-----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, JmbgiRq7gEELui0XIHheuVSpRBzRqMeHft/WmhjeVznecaM2JB+KQpC48nklh9TD 7cR7nYQGILZjqbFFjxow5w== 0000932471-04-000765.txt : 20040826 0000932471-04-000765.hdr.sgml : 20040826 20040826132313 ACCESSION NUMBER: 0000932471-04-000765 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040826 DATE AS OF CHANGE: 20040826 EFFECTIVENESS DATE: 20040826 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-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-06093 FILM NUMBER: 04998270 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-CSRS 1 institutionalsncsr.txt INSTITUTIONAL INDEX REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-6093 Name of Registrant: Vanguard Institutional Index Funds Address of Registrant: P.O. Box 2600 Valley Forge, PA 19482 Name and address of agent for service: R. Gregory Barton, Esquire P.O. Box 876 Valley Forge, PA 19482 Registrant's telephone number, including area code: (610) 669-1000 Date of fiscal year end: December 31 Date of reporting period: January 1, 2004 - June 30, 2004 Item 1: Reports to Shareholders VANGUARD(R) INSTITUTIONAL INDEX FUND JUNE 30, 2004 SEMIANNUAL REPORT 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 ABOUT YOUR FUND'S EXPENSES 11 FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SUMMARY * Vanguard Institutional Index Fund returned 3.4% in the first half of its fiscal year, matching the return of its target benchmark. * The fund's small advances in both the first and second quarters reflected the relatively moderate price swings that occurred in the broad U.S. stock market. * Energy-related stocks were among the leading performers during the period. LETTER FROM THE CHAIRMAN Dear Shareholder, During the six months ended June 30, 2004, both share classes of Vanguard Institutional Index Fund returned 3.4% as the U.S. stock market traded within a relatively narrow range. Your fund's return matched the 3.4% return of its benchmark, the Standard & Poor's 500 Index, and surpassed the 2.0% average return of its peer fund group. [PICTURES OF JOHN J. BRENNAN] - -------------------------------------------------------------------------------- TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2004 - -------------------------------------------------------------------------------- VANGUARD INSTITUTIONAL INDEX FUND Institutional Shares 3.4% Institutional Plus Shares 3.4 S&P 500 Index 3.4 Average Large-Cap Core Fund* 2.0 - -------------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. The adjacent table provides the total returns for your fund (both the Institutional Shares and the Institutional Plus Shares) and its comparative yardsticks. A more detailed look at your fund's total returns on a per-share basis appears on page 5. STOCKS GAINED AS THE ECONOMY REBOUNDED Stock markets worldwide showed moderate gains across the board as investors took heart from a generally positive economic environment. In the United States, corporate earnings were strong, and Wall Street boosted its earnings-growth forecasts as the economic expansion accelerated. Consumer confidence solidified during the half-year as job creation increased. Gains were tempered, however, by a two-month period in which indicators of rising inflation rattled investors. Unrest in the Middle East and growing global demand pushed the price of oil past a level last seen more than 20 years earlier, during the Iran-Iraq War. But good economic news was back in the headlines in May and June, prompting a snapback for stocks. 1 - -------------------------------------------------------------------------------- Across the market-cap spectrum, value-oriented stocks outdistanced growth stocks. - -------------------------------------------------------------------------------- For the six months, the broad U.S. stock market, as measured by the Dow Jones Wilshire 5000 Composite Index, returned 3.9%. The Russell 1000 Index of mid- to large-capitalization stocks produced a 3.3% gain, while the Russell 2000 Index, a proxy for small-cap stocks, jumped 6.8%. Across the market-cap spectrum, value-oriented stocks (those that generally trade at below-market valuations relative to their book values and other fundamental measures) outdistanced growth stocks (those expected to produce above-average earnings growth). European and Pacific markets produced local-currency returns topping those of U.S. stocks. However, international stock returns were dampened somewhat for U.S.-based investors as the rebounding domestic economy and rising interest rates caused the U.S. dollar to strengthen against many currencies. (A stronger U.S. currency means that foreign returns translate into fewer dollars.) Emerging-markets returns, in aggregate, were negative for the six-month period. BONDS REACTED TO THE STRONGER ECONOMY In the fixed income markets, interest rates rose across bond maturities, depressing prices. Rates stayed at historically low levels during the first half of the period, then rose sharply in April as the economy strengthened. For the six months, the yield of the benchmark 10-year U.S. Treasury note increased 33 basis points (0.33 percentage point), from 4.25% to 4.58%. At the short end of the maturity spectrum, rates climbed more sharply in anticipation of the Federal Reserve Board's increase in its target federal funds rate. The Fed acted on June 30, lifting its target by 25 basis points, the first increase in four years. The yield of the 3-month Treasury bill, a proxy for money market rates, climbed from 0.92% at year-end 2003 to 1.26% on June 30. As earnings growth fortified corporate balance sheets, corporate bonds became more attractive, enhancing their performance relative to Treasuries. This trend particularly benefited lesser-quality bonds; the Lehman Brothers High Yield Bond Index, a benchmark of below-investment-grade bonds, posted a six-month return of 1.4%, compared with the 0.2% return of the broad market, as measured by the Lehman Aggregate Bond Index. 2 THE FUND'S PERFORMANCE WAS RELATIVELY PLACID Consistent with the relatively narrow trading ranges that the U.S. stock market navigated during the first half of 2004, Vanguard Institutional Index Fund quietly tacked its way to a 3.4% gain, closely following the S&P 500 Index. At the beginning of the year, the fund was still riding the momentum of last year's 28.7% gain, and by early March it had advanced an additional 4.4%. However, investor sentiment then cooled, and the fund backtracked to end the first quarter with a 1.7% gain. The second quarter was similarly indecisive, with a mildly up-and-down pattern that ended with another three-month increase of 1.7%. During the six-month period, higher energy prices and improved earnings fueled a rally in the integrated oils sector. These big oil companies, including ExxonMobil, ChevronTexaco, and ConocoPhillips, collectively rose about 11%. The "other energy" companies, which typically focus on specialized aspects of oil and natural gas exploration, production, and related products and services, advanced about 17%. Taken together, these two energy-related sectors were the leading engine for Vanguard Institutional Index Fund's gain. MARKET BAROMETER TOTAL RETURNS PERIODS ENDED JUNE 30, 2004 ----------------------------- SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 3.3% 19.5% 1.6% Russell 2000 Index (Small-caps) 6.8 33.4 6.6 Dow Jones Wilshire 5000 Index 3.9 21.2 1.0 (Entire market) MSCI All Country World Index ex USA (International) 4.1 32.5 1.0 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 0.2% 0.3% 6.9% (Broad taxable market) Lehman Municipal Bond Index 0.7 0.8 5.9 Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1 ================================================================================ CPI Consumer Price Index 2.9% 3.3% 2.7% - -------------------------------------------------------------------------------- *Annualized. The "other" sector, which includes conglomerates such as General Electric and 3M, was another standout, returning more than 8%. The consumer discretionary group--mostly retailers, media, and entertainment companies--benefited from healthy consumer spending and therefore also performed better than average, gaining about 4.5%. Among the sectors with substandard performances was the fund's largest, financial services, which is typically vulnerable to rising interest rates. It advanced in the neighborhood of 2%. The only sector to lose ground was technology, the fund's second-largest, which cooled off after a sizzling 2003 and declined by less than 1%. 3 THE ENDURING BENEFITS OF INDEX INVESTING Investing in the stock market is often compared with riding a roller coaster. Since 1995, that analogy has been particularly apt, with the overall U.S. market delivering double-digit gains in six different calendar years and double-digit losses in three others. Thus far in 2004, Vanguard Institutional Index Fund, like its benchmark, has changed the tempo by gliding more than gyrating. Of course, no one knows for sure whether the ride for the rest of 2004 and beyond will be smooth or dizzying. That's why we encourage all our shareholders to continue to evaluate investments from a long-term perspective. The march of time smoothes out short-term patterns and, based on history, rewards patience. And investing in an index fund such as Vanguard Institutional Index Fund is an ideal way to capitalize on the stock market's long-term potential. Because the fund holds all 500 stocks that make up the S&P 500, your investment is broad-based and well positioned to benefit from any gains that the U.S. economy generates in the future. In fact, your fund's characteristics of diversification, low turnover, and low costs constitute a model for managing any portfolio. We're more convinced than ever that the best plan for long-term success is to maintain a steady, diversified mix of low-cost stock, bond, and cash investments tailored to your organization's financial situation. We appreciate your continued confidence in Vanguard, and we look forward to reporting to you in early 2005. Sincerely, /S/JOHN J. BRENNAN JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER JULY 13, 2004 4 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2003 - JUNE 30, 2004 DISTRIBUTIONS PER SHARE -------------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- INSTITUTIONAL INDEX FUND Institutional Shares $101.78 $104.51 $0.750 $0.000 Institutional Plus Shares 101.78 104.51 0.763 0.000 - -------------------------------------------------------------------------------- 5 - -------------------------------------------------------------------------------- FUND PROFILE AS OF 6/30/2004 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 INDEX FUND - ---------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET FUND INDEX* - ---------------------------------------------------- Number of Stocks 505 500 Median Market Cap $51.7B $51.7B Price/Earnings Ratio 20.6x 20.6x Price/Book Ratio 3.0x 3.0x Yield 1.7% Institutional Shares 1.6% Institutional Plus Shares 1.7% Return on Equity 21.0% 21.0% Earnings Growth Rate 8.0% 8.0% Foreign Holdings 0.0% 0.0% Turnover Rate 5%** -- 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. 3.2% (conglomerate) Microsoft Corp. 2.9 (software) ExxonMobil Corp. 2.7 (oil) Pfizer Inc. 2.4 (pharmaceuticals) Citigroup, Inc. 2.3 (banking) Wal-Mart Stores, Inc. 2.1 (retail) American International Group, Inc. 1.7 (insurance) Intel Corp. 1.7 (electronics) Bank of America Corp. 1.6 (banking) Johnson & Johnson 1.5 (pharmaceuticals) - -------------------------------------------- Top Ten 22.1% - -------------------------------------------- "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 21 21 Health Care 13 13 Integrated Oils 5 5 Other Energy 2 2 Materials & Processing 3 3 Producer Durables 4 4 Technology 15 15 Utilities 7 7 Other 5 5 - ---------------------------------------------------- *S&P 500 Index. **Annualized. Turnover rate excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares. - ------------------------- INVESTMENT FOCUS Market Cap Large Style Blend - ------------------------- VISIT OUR WEBSITE AT VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 6 GLOSSARY OF INVESTMENT TERMS - -------------------------------------------------------------------------------- BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of 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. - -------------------------------------------------------------------------------- 7 - -------------------------------------------------------------------------------- PERFORMANCE SUMMARY AS OF 6/30/2004 All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (For the performance data current to the most recent month-end, which may be higher or lower than that cited, visit our website at www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor's shares, when sold, 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 sale of fund shares. - -------------------------------------------------------------------------------- INSTITUTIONAL INDEX FUND - ------------------------------------------------------------ FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993JUNE 30, 2004 INSTITUTIONAL INDEX FUND FISCAL YEAR INSTITUTIONAL SHARES 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 -22.1 2003 28.7 28.7 2004* 3.4 3.4 - ------------------------------------------------------------ *Six months ended June 30, 2004. Note: See Financial Highlights tables on pages 20 and 21 for dividend and capital gains information. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2004 TEN YEARS ONE FIVE ---------------------- INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL - -------------------------------------------------------------------------------- Institutional Index Fund Institutional Shares 7/31/1990 19.07% 2.15% 10.02% 1.87% 11.89% Institutional Plus Shares 7/7/1997 19.10 2.12 3.36* 1.53* 4.89* - -------------------------------------------------------------------------------- *Return since inception. 8 ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. For the six months ended June 30, 2004, the Institutional Index Fund's Institutional Shares had an annualized expense ratio of 0.05%, and the fund's Institutional Plus Shares had an annualized expense ratio of 0.025%. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates your fund's costs in two ways: * BASED ON ACTUAL FUND RETURN. This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." * BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case--because the return used is not the fund's actual return--the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. - -------------------------------------------------------------------------------- SIX MONTHS ENDED JUNE 30, 2004 BEGINNING ENDING EXPENSES ACCOUNT VALUE ACCOUNT VALUE PAID DURING INSTITUTIONAL INDEX FUND 12/31/2003 6/30/2004 PERIOD* - -------------------------------------------------------------------------------- BASED ON ACTUAL FUND RETURN Institutional Shares $1,000 $1,034 $0.25 Institutional Plus Shares 1,000 1,034 0.13 BASED ON HYPOTHETICAL 5% RETURN Institutional Shares $1,000 $1,050 $0.25 Institutional Plus Shares 1,000 1,050 0.13 - -------------------------------------------------------------------------------- *Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. 9 Note that the expenses shown in the table on page 9 are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs or account maintenance fees. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a "sales load." The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. You can find more information about the fund's expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus. 10 - -------------------------------------------------------------------------------- AS OF 6/30/2004 FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Securities are grouped and subtotaled by asset type (common stocks, bonds, etc.) and by industry sector. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. 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 (99.6%)(1) - -------------------------------------------------------------------------------- Auto & Transportation (2 6%) United Parcel Service, Inc. 4,558,553 342,666 Ford Motor Co. 7,405,192 115,891 General Motors Corp. 2,283,569 106,392 FedEx Corp. 1,208,149 98,694 Harley-Davidson, Inc. 1,193,929 73,952 Union Pacific Corp. 1,048,167 62,314 Southwest Airlines Co. 3,196,042 53,598 Burlington Northern Santa Fe Corp. 1,500,130 52,610 Norfolk Southern Corp. 1,585,779 42,055 PACCAR, Inc. 709,598 41,150 CSX Corp. 868,415 28,458 Genuine Parts Co. 705,447 27,992 Delphi Corp. 2,266,140 24,202 Dana Corp. 602,775 11,814 * Navistar International Corp. 282,371 10,945 Cooper Tire & Rubber Co. 300,298 6,907 * The Goodyear Tire & Rubber Co. 708,942 6,444 Visteon Corp. 523,370 6,108 * Delta Air Lines, Inc. 505,750 3,601 ----------- 1,115,793 ----------- CONSUMER DISCRETIONARY (13.7%) Wal-Mart Stores, Inc. 17,347,461 915,252 * Time Warner, Inc. 18,439,061 324,159 Home Depot, Inc. 8,990,522 316,466 Viacom Inc. Class B 6,970,746 248,995 * eBay Inc. 2,659,008 244,496 The Walt Disney Co. 8,299,337 211,550 * Yahoo! Inc. 5,447,471 197,907 Gillette Co. 4,058,661 172,087 Lowe's Cos., Inc. 3,179,878 167,103 Target Corp. 3,694,741 156,916 Kimberly-Clark Corp. 2,027,515 133,573 McDonald's Corp. 5,091,720 132,385 Carnival Corp. 2,558,552 120,252 Cendant Corp. 4,124,849 100,976 Gannett Co., Inc. 1,102,440 93,542 Clear Channel Communications, Inc. 2,484,498 91,802 The Gap, Inc. 3,641,191 88,299 Avon Products, Inc. 1,909,344 88,097 NIKE, Inc. Class B 1,067,901 80,894 Costco Wholesale Corp. 1,856,658 76,253 Waste Management, Inc. 2,348,101 71,969 * Starbucks Corp. 1,604,103 69,746 * Electronic Arts Inc. 1,224,660 66,805 Best Buy Co., Inc. 1,312,357 66,589 * Apollo Group, Inc. Class A 714,127 63,050 Tribune Co. 1,325,238 60,351 The McGraw-Hill Cos., Inc. 770,523 58,999 Staples, Inc. 2,011,666 58,962 * Kohl's Corp. 1,379,381 58,320 11 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.6%)(1) - -------------------------------------------------------------------------------- Omnicom Group Inc. 764,665 58,030 International Game Technology 1,411,397 54,480 TJX Cos., Inc. 2,001,663 48,320 * Bed Bath & Beyond, Inc. 1,215,672 46,743 Marriott International, Inc. Class A 914,967 45,639 * Yum! Brands, Inc. 1,170,833 43,578 J.C. Penney Co., Inc. (Holding Co.) 1,141,157 43,090 * Univision Communications Inc. 1,307,985 41,764 Starwood Hotels & Resorts Worldwide, Inc. 837,355 37,555 Federated Department Stores, Inc. 727,234 35,707 Limited Brands, Inc. 1,905,960 35,642 Cintas Corp. 692,295 33,002 Sears, Roebuck & Co. 860,785 32,503 May Department Stores Co. 1,176,402 32,339 Eastman Kodak Co. 1,159,502 31,283 Mattel, Inc. 1,708,422 31,179 R.R. Donnelley & Sons Co. 878,708 29,015 Hilton Hotels Corp. 1,550,459 28,932 * AutoZone Inc. 336,219 26,931 New York Times Co. Class A 601,380 26,888 Newell Rubbermaid, Inc. 1,111,465 26,119 Dollar General Corp. 1,333,554 26,084 Harrah's Entertainment, Inc. 456,323 24,687 Nordstrom, Inc. 562,662 23,975 * Interpublic Group of Cos., Inc. 1,694,264 23,262 Knight Ridder 318,428 22,927 * Office Depot, Inc. 1,265,647 22,668 Tiffany & Co. 592,328 21,827 VF Corp. 444,442 21,644 Family Dollar Stores, Inc. 693,821 21,106 Leggett & Platt, Inc. 776,756 20,747 Robert Half International, Inc. 694,151 20,665 Jones Apparel Group, Inc. 510,294 20,146 Black & Decker Corp. 320,302 19,900 Whirlpool Corp. 279,086 19,145 RadioShack Corp. 650,615 18,627 * AutoNation, Inc. 1,081,521 18,494 Alberto-Culver Co. Class B 365,941 18,348 * Allied Waste Industries, Inc. 1,283,781 16,920 Liz Claiborne, Inc. 448,729 16,145 Wendy's International, Inc. 461,582 16,082 Sabre Holdings Corp. 562,599 15,590 The Stanley Works 330,414 15,060 International Flavors & Fragrances, Inc. 381,742 14,277 * Toys R Us, Inc. 865,425 13,786 Hasbro, Inc. 713,591 13,558 Darden Restaurants Inc. 651,333 13,385 * Monster Worldwide Inc. 474,046 12,193 Meredith Corp. 203,215 11,169 Circuit City Stores, Inc. 804,006 10,412 * Convergys Corp. 579,556 8,925 Reebok International Ltd. 242,517 8,726 Snap-On Inc. 235,581 7,904 Maytag Corp. 319,107 7,821 Dillard's Inc. 338,474 7,548 * Big Lots Inc. 465,835 6,736 Viacom Inc. Class A 36,030 1,310 ----------- 5,906,333 ----------- CONSUMER STAPLES (7.7%) The Procter & Gamble Co. 10,398,738 566,107 The Coca-Cola Co. 9,851,017 497,279 Altria Group, Inc. 8,295,045 415,167 PepsiCo, Inc. 6,903,528 371,962 Anheuser-Busch Cos., Inc. 3,252,860 175,654 Walgreen Co. 4,143,492 150,036 Colgate-Palmolive Co. 2,152,275 125,800 Sysco Corp. 2,585,836 92,754 Sara Lee Corp. 3,196,698 73,492 General Mills, Inc. 1,528,645 72,657 Kellogg Co. 1,660,988 69,512 CVS Corp. 1,606,947 67,524 ConAgra Foods, Inc. 2,137,539 57,885 Wm. Wrigley Jr. Co. 908,539 57,283 H.J. Heinz Co. 1,424,116 55,825 Coca-Cola Enterprises, Inc. 1,901,714 55,131 * The Kroger Co. 3,003,305 54,660 Hershey Foods Corp. 1,049,314 48,552 The Clorox Co. 858,130 46,150 * Safeway, Inc. 1,805,386 45,748 Campbell Soup Co. 1,662,266 44,682 Albertson's, Inc. 1,487,600 39,481 The Pepsi Bottling Group, Inc. 1,041,613 31,811 UST, Inc. 669,341 24,096 Brown-Forman Corp. Class B 491,653 23,732 R.J. Reynolds Tobacco Holdings, Inc. 344,872 23,310 McCormick & Co., Inc. 556,410 18,918 SuperValu Inc. 545,238 16,690 Adolph Coors Co. Class B 150,381 10,879 Winn-Dixie Stores, Inc. 574,791 4,138 ----------- 3,336,915 ----------- FINANCIAL SERVICES (21.4%) Citigroup, Inc. 20,921,375 972,844 American International Group, Inc. 10,551,731 752,127 Bank of America Corp. 8,246,498 697,819 Wells Fargo & Co. 6,824,705 390,578 12 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.6%)(1) - -------------------------------------------------------------------------------- J.P. Morgan Chase & Co. 8,418,981 326,404 Fannie Mae 3,919,734 279,712 American Express Co. 5,167,899 265,527 Wachovia Corp. 5,317,138 236,613 Morgan Stanley 4,446,088 234,620 Bank One Corp. 4,542,119 231,648 U.S. Bancorp 7,665,037 211,248 Merrill Lynch & Co., Inc. 3,887,800 209,863 The Goldman Sachs Group, Inc. 1,952,097 183,810 Freddie Mac 2,784,358 176,250 First Data Corp. 3,529,006 157,111 Washington Mutual, Inc. 3,497,814 135,156 MBNA Corp. 5,168,034 133,284 Allstate Corp. 2,842,001 132,295 Fifth Third Bancorp 2,276,457 122,428 Metropolitan Life Insurance Co. 3,057,276 109,603 St. Paul Travelers Cos., Inc. 2,697,820 109,370 Automatic Data Processing, Inc. 2,387,842 100,003 Prudential Financial, Inc. 2,127,287 98,855 Marsh & McLennan Cos., Inc. 2,116,644 96,053 National City Corp. 2,673,390 93,595 The Bank of New York Co., Inc. 3,144,223 92,692 Lehman Brothers Holdings, Inc. 1,120,068 84,285 AFLAC Inc. 2,056,868 83,941 BB&T Corp. 2,269,317 83,897 The Hartford Financial Services Group Inc. 1,181,353 81,206 Countrywide Financial Corp. 1,130,117 79,391 Progressive Corp. of Ohio 879,658 75,035 SunTrust Banks, Inc. 1,142,485 74,250 SLM Corp. 1,775,861 71,834 State Street Corp. 1,358,624 66,627 Capital One Financial Corp. 969,843 66,318 Golden West Financial Corp. 617,456 65,666 PNC Financial Services Group 1,141,020 60,565 Charles Schwab Corp. 5,519,947 53,047 The Chubb Corp. 767,420 52,323 SouthTrust Corp. 1,333,800 51,765 Paychex, Inc. 1,527,507 51,752 Franklin Resources Corp. 1,011,201 50,641 Mellon Financial Corp. 1,717,237 50,367 KeyCorp 1,660,021 49,618 ACE Ltd. 1,145,316 48,424 Loews Corp. 750,208 44,983 The Principal Financial Group, Inc. 1,291,213 44,908 Equity Office Properties Trust REIT 1,632,350 44,400 Simon Property Group, Inc. REIT 841,696 43,280 XL Capital Ltd. Class A 558,593 42,151 M & T Bank Corp. 479,438 41,855 Charter One Financial, Inc. 905,316 40,006 CIGNA Corp. 571,936 39,355 Moody's Corp. 605,414 39,146 Comerica, Inc. 700,708 38,455 Northern Trust Corp. 891,450 37,691 Aon Corp. 1,274,644 36,289 AmSouth Bancorp 1,424,667 36,286 Bear Stearns Co., Inc. 424,356 35,778 Marshall & Ilsley Corp. 898,542 35,124 Lincoln National Corp. 721,178 34,076 H & R Block, Inc. 707,657 33,741 Equity Residential REIT 1,133,333 33,694 MBIA, Inc. 583,989 33,358 Regions Financial Corp. 886,906 32,416 Ambac Financial Group, Inc. 438,459 32,200 Synovus Financial Corp. 1,232,823 31,215 * Fiserv, Inc. 788,511 30,665 * SunGard Data Systems, Inc. 1,173,533 30,512 MGIC Investment Corp. 399,533 30,309 Cincinnati Financial Corp. 680,457 29,614 Jefferson-Pilot Corp. 565,636 28,734 North Fork Bancorp, Inc. 699,575 26,619 T. Rowe Price Group Inc. 512,350 25,822 Sovereign Bancorp, Inc. 1,131,543 25,007 SAFECO Corp. 563,413 24,790 Torchmark Corp. 450,227 24,222 ProLogis REIT 733,473 24,146 Plum Creek Timber Co. Inc. REIT 741,015 24,142 Union Planters Corp. 769,413 22,936 First Horizon National Corp. 501,654 22,810 Zions Bancorp 362,246 22,260 Huntington Bancshares Inc. 928,227 21,256 UnumProvident Corp. 1,198,860 19,062 * Providian Financial Corp. 1,177,873 17,279 * E*TRADE Financial Corp. 1,478,245 16,482 Janus Capital Group Inc. 968,495 15,970 Dow Jones & Co., Inc. 331,100 14,933 Equifax, Inc. 554,201 13,717 Federated Investors, Inc. 437,247 13,266 Apartment Investment & Management Co. Class A REIT 381,133 11,865 Ryder System, Inc. 264,580 10,602 Deluxe Corp. 201,673 8,773 Provident Financial Group, Inc. 53,900 2,127 ----------- 9,238,787 ----------- HEALTH CARE (13.2%) Pfizer Inc. 30,869,495 1,058,206 Johnson & Johnson 12,007,318 668,808 Merck & Co., Inc. 8,986,534 426,860 13 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.6%)(1) - -------------------------------------------------------------------------------- Eli Lilly & Co. 4,568,627 319,393 * Amgen, Inc. 5,143,784 280,696 Abbott Laboratories 6,307,371 257,088 Medtronic, Inc. 4,903,155 238,882 Wyeth 5,392,605 194,997 Bristol-Myers Squibb Co. 7,862,946 192,642 UnitedHealth Group Inc. 2,490,948 155,062 * Boston Scientific Corp. 3,377,733 144,567 Cardinal Health, Inc. 1,740,569 121,927 Schering-Plough Corp. 5,952,310 109,999 Stryker Corp. 1,618,954 89,042 * Zimmer Holdings, Inc. 987,276 87,078 * Biogen Idec Inc. 1,374,154 86,915 Baxter International, Inc. 2,479,197 85,557 * Forest Laboratories, Inc. 1,496,340 84,738 HCA Inc. 1,964,174 81,690 Guidant Corp. 1,268,808 70,901 * WellPoint Health Networks Inc. Class A 629,531 70,514 * Caremark Rx, Inc. 1,850,130 60,943 * St. Jude Medical, Inc. 712,581 53,907 Becton, Dickinson & Co. 1,024,507 53,069 Aetna Inc. 616,302 52,386 * Anthem, Inc. 560,732 50,219 Allergan, Inc. 531,248 47,557 Biomet, Inc. 1,029,145 45,735 * Genzyme Corp. General Division 916,308 43,369 * Medco Health Solutions, Inc. 1,096,388 41,115 McKesson Corp. 1,184,396 40,660 * Gilead Sciences, Inc. 531,791 35,630 Quest Diagnostics, Inc. 418,480 35,550 * Chiron Corp. 764,264 34,117 AmerisourceBergen Corp. 454,188 27,151 * Tenet Healthcare Corp. 1,882,655 25,246 * Express Scripts Inc. 315,229 24,976 C.R. Bard, Inc. 422,087 23,911 * MedImmune Inc. 1,006,079 23,542 IMS Health, Inc. 950,941 22,290 Health Management Associates Class A 983,512 22,050 Mylan Laboratories, Inc. 1,086,641 22,004 * Hospira, Inc. 631,246 17,422 Bausch & Lomb, Inc. 214,122 13,933 * Watson Pharmaceuticals, Inc. 440,464 11,848 Manor Care, Inc. 359,502 11,749 * Millipore Corp. 199,315 11,235 * King Pharmaceuticals, Inc. 976,274 11,178 * Humana Inc. 653,050 11,037 ----------- 5,699,391 ----------- INTEGRATED OILS (4.6%) ExxonMobil Corp. 26,453,057 1,174,780 ChevronTexaco Corp. 4,327,453 407,257 ConocoPhillips Co. 2,773,720 211,607 Occidental Petroleum Corp. 1,582,210 76,595 Marathon Oil Corp. 1,397,084 52,866 Unocal Corp. 1,066,054 40,510 Amerada Hess Corp. 364,022 28,827 ----------- 1,992,442 ----------- OTHER ENERGY (1.8%) Schlumberger Ltd. 2,382,571 151,317 Devon Energy Corp. 970,026 64,022 Anadarko Petroleum Corp. 1,018,874 59,706 Burlington Resources, Inc. 1,604,662 58,057 Apache Corp. 1,315,363 57,284 Halliburton Co. 1,780,590 53,881 Baker Hughes, Inc. 1,347,154 50,720 Valero Energy Corp. 520,655 38,404 * Transocean Inc. 1,297,444 37,548 Kerr-McGee Corp. 604,896 32,525 * BJ Services Co. 650,713 29,829 EOG Resources, Inc. 471,383 28,146 * Nabors Industries, Inc. 600,888 27,172 Williams Cos., Inc. 2,102,187 25,016 * Noble Corp. 545,448 20,667 El Paso Corp. 2,593,755 20,439 Sunoco, Inc. 305,765 19,453 * Rowan Cos., Inc. 427,812 10,409 * Calpine Corp. 1,682,448 7,268 * Dynegy, Inc. 1,532,357 6,528 ----------- 798,391 ----------- MATERIALS & Processing (3.4%) E.I. du Pont de Nemours & Co. 4,045,118 179,684 Dow Chemical Co. 3,786,138 154,096 Alcoa Inc. 3,516,007 116,134 International Paper Co. 1,963,390 87,764 Newmont Mining Corp. (Holding Co.) 1,792,461 69,476 Weyerhaeuser Co. 975,491 61,573 Masco Corp. 1,771,730 55,243 Praxair, Inc. 1,314,364 52,456 Air Products & Chemicals, Inc. 919,443 48,225 Archer-Daniels-Midland Co. 2,628,694 44,110 PPG Industries, Inc. 693,877 43,360 Monsanto Co. 1,074,457 41,367 Georgia Pacific Group 1,031,247 38,136 Rohm & Haas Co. 906,556 37,695 * American Standard Cos., Inc. 869,859 35,064 Ecolab, Inc. 1,039,293 32,946 * Phelps Dodge Corp. 378,076 29,305 Avery Dennison Corp. 446,843 28,602 14 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.6%)(1) - -------------------------------------------------------------------------------- Nucor Corp. 319,320 24,511 Sherwin-Williams Co. 579,233 24,067 MeadWestvaco Corp. 815,050 23,954 Freeport-McMoRan Copper & Gold, Inc. Class B 715,978 23,735 Vulcan Materials Co. 413,046 19,640 * Sealed Air Corp. 341,065 18,169 Sigma-Aldrich Corp. 279,665 16,671 Ball Corp. 227,999 16,427 Engelhard Corp. 502,743 16,244 United States Steel Corp. 458,306 16,096 Fluor Corp. 335,866 16,011 Temple-Inland Inc. 223,932 15,507 * Pactiv Corp. 619,794 15,458 Ashland, Inc. 284,621 15,031 Eastman Chemical Co. 313,176 14,478 Boise Cascade Corp. 354,716 13,352 Bemis Co., Inc. 432,577 12,220 Louisiana-Pacific Corp. 440,026 10,407 Worthington Industries, Inc. 351,097 7,208 Allegheny Technologies Inc. 328,573 5,931 Great Lakes Chemical Corp. 204,883 5,544 * Hercules, Inc. 444,520 5,419 ----------- 1,491,316 ----------- PRODUCER DURABLES (4.2%) United Technologies Corp. 2,078,621 190,152 The Boeing Co. 3,409,767 174,205 * Applied Materials, Inc. 6,818,907 133,787 Illinois Tool Works, Inc. 1,252,711 120,123 Caterpillar, Inc. 1,382,810 109,850 Emerson Electric Co. 1,706,159 108,426 Lockheed Martin Corp. 1,814,994 94,525 Northrop Grumman Corp. 1,454,094 78,085 Deere & Co. 1,006,932 70,626 Danaher Corp. 1,245,837 64,597 * Agilent Technologies, Inc. 1,947,235 57,015 * Lexmark International, Inc. 525,532 50,730 Ingersoll-Rand Co. 700,919 47,880 * Xerox Corp. 3,237,055 46,937 Pitney Bowes, Inc. 935,053 41,376 * KLA-Tencor Corp. 795,037 39,259 Dover Corp. 822,090 34,610 Parker Hannifin Corp. 483,526 28,750 Pulte Homes, Inc. 512,659 26,674 Molex, Inc. 766,932 24,603 Rockwell Collins, Inc. 717,381 23,903 * Waters Corp. 483,494 23,101 Centex Corp. 499,085 22,833 Cooper Industries, Inc. Class A 374,131 22,227 W.W. Grainger, Inc. 367,680 21,142 * Thermo Electron Corp. 670,378 20,607 * Novellus Systems, Inc. 598,253 18,809 * Teradyne, Inc. 784,644 17,811 American Power Conversion Corp. 809,983 15,916 Goodrich Corp. 475,793 15,382 Pall Corp. 506,001 13,252 * Andrew Corp. 649,922 13,005 KB HOME 188,875 12,963 Tektronix, Inc. 342,239 11,643 Cummins Inc. 174,432 10,902 Crane Co. 240,732 7,557 Thomas & Betts Corp. 237,696 6,472 * Power-One, Inc. 337,190 3,702 ----------- 1,823,437 ----------- TECHNOLOGY (15.0%) Microsoft Corp. 43,662,802 1,247,010 Intel Corp. 26,162,074 722,073 * Cisco Systems, Inc. 27,348,997 648,171 International Business Machines Corp. 6,815,940 600,825 * Dell Inc. 10,204,943 365,541 Hewlett-Packard Co. 12,331,879 260,203 * Oracle Corp. 21,008,933 250,637 QUALCOMM Inc. 3,277,162 239,167 Motorola, Inc. 9,479,916 173,008 Texas Instruments, Inc. 7,000,558 169,273 * EMC Corp. 9,885,057 112,690 General Dynamics Corp. 805,217 79,958 * Corning, Inc. 5,550,881 72,495 Analog Devices, Inc. 1,520,246 71,573 Maxim Integrated Products, Inc. 1,303,727 68,341 Computer Associates International, Inc. 2,365,794 66,384 * Lucent Technologies, Inc. 17,333,074 65,519 Raytheon Co. 1,810,838 64,774 * Broadcom Corp. 1,270,803 59,436 * Sun Microsystems, Inc. 13,454,784 58,394 * Symantec Corp. 1,261,665 55,236 * Apple Computer, Inc. 1,537,363 50,026 Linear Technology Corp. 1,251,619 49,401 * Veritas Software Corp. 1,747,349 48,402 Xilinx, Inc. 1,403,889 46,764 Adobe Systems, Inc. 965,809 44,910 * Micron Technology, Inc. 2,469,447 37,807 Electronic Data Systems Corp. 1,958,981 37,515 * Computer Sciences Corp. 758,674 35,225 * Altera Corp. 1,514,066 33,643 * National Semiconductor Corp. 1,451,054 31,909 * Network Appliance, Inc. 1,405,702 30,265 * Intuit, Inc. 774,919 29,896 15 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.6%)(1) - -------------------------------------------------------------------------------- * Affiliated Computer Services, Inc. Class A 550,133 29,124 * Avaya Inc. 1,794,557 28,336 Rockwell Automation, Inc. 751,786 28,199 * PeopleSoft, Inc. 1,475,701 27,300 * Solectron Corp. 3,887,981 25,155 * Advanced Micro Devices, Inc. 1,430,381 22,743 * JDS Uniphase Corp. 5,826,220 22,081 * Siebel Systems, Inc. 2,032,402 21,706 Scientific-Atlanta, Inc. 619,592 21,376 * Jabil Circuit, Inc. 811,925 20,444 Autodesk, Inc. 459,057 19,652 * Sanmina-SCI Corp. 2,107,299 19,176 * NCR Corp. 382,666 18,976 * Unisys Corp. 1,348,292 18,714 * Mercury Interactive Corp. 372,958 18,585 Applera Corp. Applied Biosystems Group 816,618 17,761 * BMC Software, Inc. 901,501 16,678 * Comverse Technology, Inc. 791,526 15,783 * Tellabs, Inc. 1,681,896 14,700 * Citrix Systems, Inc. 688,645 14,021 Symbol Technologies, Inc. 948,742 13,984 * NVIDIA Corp. 671,318 13,762 * Novell, Inc. 1,564,520 13,126 * LSI Logic Corp. 1,545,515 11,777 PerkinElmer, Inc. 516,437 10,349 * Compuware Corp. 1,561,961 10,309 * PMC Sierra Inc. 714,308 10,250 * QLogic Corp. 377,060 10,026 * ADC Telecommunications, Inc. 3,271,461 9,291 * CIENA Corp. 2,295,754 8,540 * Gateway, Inc. 1,505,782 6,776 * Applied Micro Circuits Corp. 1,260,502 6,706 * Parametric Technology Corp. 1,083,790 5,419 ----------- 6,477,296 ----------- UTILITIES (6.7%) Verizon Communications Inc. 11,203,376 405,450 SBC Communications Inc. 13,395,565 324,842 * Comcast Corp. Class A 8,128,574 227,844 BellSouth Corp. 7,419,419 194,537 * AT&T Wireless Services Inc. 11,031,247 157,968 * Nextel Communications, Inc. 4,488,234 119,656 Sprint Corp. 5,768,084 101,518 Exelon Corp. 2,673,007 88,984 Southern Co. 2,982,865 86,951 Dominion Resources, Inc. 1,320,622 83,305 Duke Energy Corp. 3,700,411 75,081 ALLTEL Corp. 1,246,860 63,116 TXU Corp. 1,309,816 53,061 Entergy Corp. 931,423 52,169 American Electric Power Co., Inc. 1,600,257 51,208 FirstEnergy Corp. 1,334,008 49,905 FPL Group, Inc. 747,511 47,803 * PG&E Corp. 1,694,889 47,355 AT&T Corp. 3,210,823 46,974 Progress Energy, Inc. 997,427 43,937 Consolidated Edison Inc. 974,842 38,760 Public Service Enterprise Group, Inc. 957,125 38,314 Edison International 1,317,840 33,697 Ameren Corp. 777,758 33,412 PPL Corp. 719,280 33,015 Sempra Energy 929,347 31,997 Kinder Morgan, Inc. 501,852 29,755 DTE Energy Co. 701,513 28,439 Cinergy Corp. 727,616 27,649 Xcel Energy, Inc. 1,614,911 26,985 * Comcast Corp. Special Class A 940,053 25,955 * Qwest Communications International Inc. 7,217,418 25,911 Constellation Energy Group, Inc. 681,576 25,832 * AES Corp. 2,577,432 25,594 KeySpan Corp. 647,897 23,778 NiSource, Inc. 1,065,583 21,972 CenturyTel, Inc. 561,864 16,878 Pinnacle West Capital Corp. 369,520 14,925 CenterPoint Energy Inc. 1,242,867 14,293 * Citizens Communications Co. 1,163,025 14,073 TECO Energy, Inc. 761,761 9,134 * Allegheny Energy, Inc. 513,472 7,913 Peoples Energy Corp. 151,493 6,385 NICOR Inc. 178,431 6,061 * CMS Energy Corp. 661,239 6,037 ----------- 2,888,428 ----------- OTHER (5.3%) General Electric Co. 42,697,871 1,383,411 3M Co. 3,162,841 284,687 Tyco International Ltd. 8,110,439 268,780 Honeywell International Inc. 3,473,570 127,237 Fortune Brands, Inc. 591,547 44,620 Johnson Controls, Inc. 768,573 41,026 Eaton Corp. 609,083 39,432 Textron, Inc. 556,530 33,030 ITT Industries, Inc. 374,429 31,078 Brunswick Corp. 383,244 15,636 ----------- 2,268,937 ----------- - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $38,667,439) 43,037,466 - -------------------------------------------------------------------------------- 16 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE* SHARES (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.3%)(1) - -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.05%, 7/14/2004 $17,000 16,992 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.46%, 7/1/2004--Note E 45,125 45,125 1.47%, 7/1/2004 83,319 83,319 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $145,436) 145,436 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (99.9%) (COST $38,812,875) 43,182,902 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (0.1%) - -------------------------------------------------------------------------------- Other Assets 334,337 Liabilities--Note E (281,425) ----------- 52,912 ----------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $43,235,814 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 0.0%, 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 JUNE 30, 2004, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $40,877,406 Undistributed Net Investment Income 23,608 Accumulated Net Realized Losses (2,036,432) Unrealized Appreciation Investment Securities 4,370,027 Futures Contracts 1,205 - -------------------------------------------------------------------------------- NET ASSETS $43,235,814 ================================================================================ Institutional Shares--Net Assets Applicable to 300,144,534 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $31,366,807 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $104.51 ================================================================================ Institutional Plus Shares--Net Assets Applicable to 113,571,048 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $11,869,007 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL PLUS SHARES $104.51 ================================================================================ 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 SIX MONTHS ENDED JUNE 30, 2004 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 332,121 Interest 887 Security Lending 91 - -------------------------------------------------------------------------------- Total Income 333,099 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Management and Administrative Institutional Shares 7,657 Institutional Plus Shares 1,291 - -------------------------------------------------------------------------------- Total Expenses 8,948 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 324,151 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (130,760) Futures Contracts 13,367 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (117,393) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 1,155,215 Futures Contracts (5,278) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 1,149,937 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $1,356,695 ================================================================================ 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 ----------------------------- SIX MONTHS YEAR ENDED ENDED JUNE 30, 2004 DEC. 31, 2003 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 324,151 $ 581,883 Realized Net Gain (Loss) (117,393) 1,488,925 Change in Unrealized Appreciation (Depreciation) 1,149,937 6,564,004 - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 1,356,695 8,634,812 - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Institutional Shares (223,196) (422,249) Institutional Plus Shares (82,255) (157,952) Realized Capital Gain Institutional Shares -- -- Institutional Plus Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (305,451) (580,201) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Institutional Shares 1,098,908 3,213,652 Institutional Plus Shares 2,822,724 (2,408,925) - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 3,921,632 804,727 - -------------------------------------------------------------------------------- Total Increase (Decrease) 4,972,876 8,859,338 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 38,262,938 29,403,600 - -------------------------------------------------------------------------------- End of Period $43,235,814 $38,262,938 ================================================================================ 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
- ----------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, ----------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002 2001 2000 1999 - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $101.78 $ 80.45 $104.89 $120.72 $134.02 $112.85 - ----------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .79 1.54 1.42 1.374 1.403 1.501 Net Realized and Unrealized 2.69 21.32 (24.45) (15.829) (13.303) 22.143 - ----------------------------------------------------------------------------------------------------------------- Total from Investment Opera 3.48 22.86 (23.03) (14.455) (11.900) 23.644 - ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.75) (1.53) (1.41) (1.375) (1.400) (1.514) Distributions from Realized Capital Gains -- -- -- -- -- (.960) - ----------------------------------------------------------------------------------------------------------------- Total Distributions (.75) (1.53) (1.41) (1.375) (1.400) (2.474) - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $104.51 $101.78 $ 80.45 $104.89 $120.72 $134.02 ================================================================================================================= TOTAL RETURN 3.43% 28.66% -22.03% -11.93% -8.95% 21.17% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $31,367 $29,458 $20,361 $24,165 $26,406 $28,918 Ratio of Total Expenses to Average Net Assets 0.05%* 0.05% 0.05% 0.05% 0.06% 0.06% Ratio of Net Investment Income to Average Net Assets 1.58%* 1.74% 1.57% 1.27% 1.10% 1.25% Portfolio Turnover Rate** 5%* 4% 8% 5% 7% 3% =================================================================================================================
*Annualized. **Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares. 20 INSTITUTIONAL INDEX FUND INSTITUTIONAL PLUS SHARES
- ----------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, ----------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002 2001 2000 1999 - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $101.78 $ 80.45 $104.89 $120.72 $134.02 $112.85 - ----------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .803 1.562 1.438 1.405 1.449 1.542 Net Realized and Unrealized Gain (Loss) on Investments 2.690 21.320 (24.446) (15.829) (13.302) 22.143 - ----------------------------------------------------------------------------------------------------------------- Total from Investment Operations 3.493 22.882 (23.008) (14.424) (11.853) 23.685 - ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.763) (1.552) (1.432) (1.406) (1.447) (1.555) Distributions from Realized Capital Gains -- -- -- -- -- (.960) - ----------------------------------------------------------------------------------------------------------------- Total Distributions (.763) (1.552) (1.432) (1.406) (1.447) (2.515) - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $104.51 $101.78 $ 80.45 $104.89 $120.72 $134.02 ================================================================================================================= TOTAL RETURN 3.45% 28.69% -22.01% -11.90% -8.92% 21.21% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $11,869 $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% 0.025% Ratio of Net Investment Income to Average Net Assets 1.60% 1.76% 1.59% 1.31% 1.14% 1.29% Portfolio Turnover Rate 5%* 4% 8% 5% 7% 3% =================================================================================================================
*Annualized. **Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares. 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, 21 NOTES TO FINANCIAL STATEMENTS (continued) and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard Group, transfers uninvested cash balances into a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Class-specific shareholder servicing fees are charged to each class at the contractual rate. Income, expenses not attributable to a specific class, and realized and unrealized gains and losses on investments 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 six months ended June 30, 2004, the fund realized $99,515,000 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. 22 The fund's tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2003, 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2004; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above. At June 30, 2004, net unrealized appreciation of investment securities for tax purposes was $4,370,027,000, consisting of unrealized gains of $8,494,980,000 on securities that had risen in value since their purchase and $4,124,953,000 in unrealized losses on securities that had fallen in value since their purchase. At June 30, 2004, the aggregate settlement value of open futures contracts expiring in September 2004 and the related unrealized appreciation (depreciation) were: - -------------------------------------------------------------------------------- (000) ---------------------------- Aggregate Unrealized Number of Settlement Appreciation Futures Contracts Long Contracts Value (Depreciation) - -------------------------------------------------------------------------------- S&P 500 Index 559 $159,371 $1,190 E-Mini S&P 500 Index 140 7,983 15 - -------------------------------------------------------------------------------- Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes. D. During the six months ended June 30, 2004, the fund purchased $5,056,335,000 of investment securities and sold $1,102,068,000 of investment securities, other than temporary cash investments. E. The market value of securities on loan to broker/dealers at June 30, 2004, was $41,199,000, for which the fund held cash collateral of $45,125,000. The fund invests cash collateral received in repurchase agreements, and records a liability for the return of the collateral, during the period the securities are on loan. F. Capital share transactions for each class of shares were:
- -------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2004 DECEMBER 31, 2003 ----------------------- --------------------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - -------------------------------------------------------------------------------------------------------- Institutional Shares Issued $ 5,197,464 50,198 $ 7,987,042 90,051 Issued in Lieu of Cash Distributions 200,423 1,953 380,701 4,185 Redeemed (4,298,979) (41,436) (5,154,091) (57,889) - -------------------------------------------------------------------------------------------------------- Net Increase (Decrease)--Institutional Shares 1,098,908 10,715 3,213,652 36,347 - -------------------------------------------------------------------------------------------------------- Institutional Plus Shares Issued 3,318,916 31,848 1,660,391 18,568 Issued in Lieu of Cash Distributions 78,565 765 149,700 1,662 Redeemed (574,757) (5,556) (4,219,016) (46,105) --------------------------------------------------- Net Increase (Decrease)--Institutional Plus Shares 2,822,724 27,057 (2,408,925) (25,875) - --------------------------------------------------------------------------------------------------------
23 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 (129) - ------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (129) 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) (129) 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 (129) 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) (127) Director of Vanguard Investment Series plc (Irish investment 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) (129) 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) (129) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (129) 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) (129) 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 LOGO] THE VANGUARD GROUP(R) 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. S&P 500(R), Standard & Poor's 500, and 500 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. All other marks are the exclusive property of their respective owners. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. 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. You can obtain a free copy of Vanguard's proxy voting guidelines by visiting our website, www.vanguard.com, and searching for "proxy voting guidelines," or by calling 1-800-662-2739. They are also available from the SEC's website, www.sec.gov. 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. Q942 082004 VANGUARD(R) INSTITUTIONAL TOTAL BOND MARKET INDEX FUND JUNE 30, 2004 SEMIANNUAL REPORT 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 5 FUND PROFILE 6 GLOSSARY OF INVESTMENT TERMS 7 PERFORMANCE SUMMARY 8 ABOUT YOUR FUND'S EXPENSES 10 FINANCIAL STATEMENTS 38 ADVANTAGES OF VANGUARD.COM ================================================================================ SUMMARY - - Vanguard Institutional Total Bond Market Index Fund posted a 0.1% return during the first half of 2004, in line with its bogey and the average mutual fund peer. - - Yields rose and prices fell during the six months, resulting in virtually flat returns for bonds. - - Mortgage-backed securities fared somewhat better than nominal U.S. Treasury and investment-grade corporate securities. ================================================================================ LETTER FROM THE CHAIRMAN Dear Shareholder, During the first half of 2004, returns from investment-grade bonds were virtually flat as meaningful price declines in April and May offset price gains in the other months and the six months' income distributions. In this environment, Vanguard Institutional Total Bond Market Index Fund posted a six-month total return of 0.1%, which closely matched the return of its target benchmark and was a tad higher than the average return of its mutual fund peer group. The adjacent table shows the total returns (capital change plus reinvested distributions) for your fund and its comparative measures. The fund's per-share distributions and change in share price during the period are shown in the table on page 4. ================================================================================ TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2004 - -------------------------------------------------------------------------------- VANGUARD INSTITUTIONAL TOTAL BOND MARKET INDEX FUND 0.1% Lehman Aggregate Bond Index 0.2 Average Intermediate Investment Grade Debt Fund* -0.1 - -------------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. Reflective of the overall rising interest-rate environment, the yield of your fund stood at 4.18% on June 30, or 28 basis points (0.28 percentage point) higher than at the start of the year. STRONG ECONOMIC DATA DAMPENED BOND RETURNS Fixed income securities enjoyed solid price gains during the first quarter of 2004, and yields again approached historical lows. However, the picture changed early in the second quarter, as inflationary fears fueled by surging energy prices and reports indicating the economy was recovering at a healthy pace--coupled with the Federal Reserve Board's telegraphing its intent to start raising short-term interest rates as early as June--caused bond prices to fall in April and May. 1 For the full six months, interest income barely offset the price declines, with the Lehman Brothers Aggregate Bond Index--a proxy for the broad U.S. taxable, investment-grade bond market--posting a total return of 0.2%. Within the index, marginally negative returns in nominal U.S. Treasury securities and investment-grade corporate bonds were offset by modestly positive results from mortgage-backed securities (MBSs), which account for more than one-third of the index's value. Treasury inflation-indexed securities and high-yield bonds--which are not part of the aggregate index--registered higher total returns, though those too were modest (+1.9% and +1.4%, respectively). ================================================================================ MARKET BAROMETER TOTAL RETURNS PERIODS ENDED JUNE 30, 2004 -------------------------------- SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 0.2% 0.3% 6.9% (Broad taxable market) Lehman Municipal Bond Index -0.7 0.8 5.9 Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1 - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 3.3% 19.5% -1.6% Russell 2000 Index (Small-caps) 6.8 33.4 6.6 Dow Jones Wilshire 5000 Index 3.9 21.2 -1.0 (Entire market) MSCI All Country World Index ex USA (International) 4.1 32.5 1.0 ================================================================================ CPI Consumer Price Index 2.9% 3.3% 2.7% - -------------------------------------------------------------------------------- *Annualized. For the fiscal half-year, the yield of the bellwether 10-year Treasury note increased 33 basis points, from 4.25% to 4.58%. At the shorter end of the maturity spectrum, rates climbed more sharply in anticipation of the Federal Reserve's increase in its target federal funds rate. The Fed acted on June 30, lifting its target by 25 basis points, the first increase in four years. The yield of the 3-month Treasury bill, a proxy for money market rates, climbed from 0.92% at year-end 2003 to 1.26% on June 30. STOCKS MADE MODERATE GAINS The generally positive economic environment was good news for stock investors worldwide. In the United States, corporate earnings were strong, and Wall Street boosted its earnings-growth forecasts as the economic expansion accelerated. Consumer confidence solidified during the half-year as job creation increased. The broad U.S. stock market returned 3.9%. Developed markets overseas did even better, but a stronger U.S. dollar dampened returns from foreign securities for U.S.-based investors. Gains overall might have been higher but for 2 concerns raised by unrest in the Middle East. In addition, the price of crude oil reached a two-decade high, causing stock prices to dip during the middle of the period. MORTGAGE-BACKED SECURITIES KEPT FUND IN THE BLACK The Institutional Total Bond Market Index Fund's six-month return of 0.1% was just shy of the return of its benchmark, though by a margin consistent with the effects of real-world operating costs, which the fund incurs but the index does not. As we mentioned earlier, the return of MBSs helped the index and your fund to stay in the black. The higher coupon rates of MBSs versus Treasuries with equivalent maturities have allowed MBSs to better weather periods of rising interest rates in the recent past, though they have also experienced more moderate price appreciation in an environment of declining interest rates. (We should note that the lower volatility of MBSs may not hold going forward. Unlike noncallable bonds, the durations of MBSs are very volatile and tend to follow the direction of interest rates.) In recent years, the volatility of bonds in general has been higher than the norm. Despite bonds' strong showing during the first quarter, the downward trend for fixed income securities that began in mid-2003 continued during the half-year. For the 12 months ended June 30, your fund's share price fell -3.5%, which was offset by a 3.8% income return for a total return of 0.3%. ================================================================================ RISING RATES MAY RESULT IN A TEMPORARY DECLINE IN PRINCIPAL VALUE< BU A HIGHER TOTAL RETURN OVER THE LONG RUN. ================================================================================ BONDS CONTINUE TO PLAY A VALUABLE ROLE In last year's letter, I mentioned that no one should expect bonds' stellar gains in recent years to be the norm going forward and that bonds' short-term performances might be disappointing due to the likelihood that interest rates would rise from their historical lows. With the possibility of more rate hikes to come, that may still be true. But there is a silver lining. For investors with longer time horizons who reinvest their distributions, rising interest rates are good news: While rising rates initially result in a decline of bonds' principal value on paper, they also mean that interest income will be reinvested in securities with lower prices and higher yields, resulting in higher total returns over the long run. 3 Regardless of the direction of short-term interest rates and their effect on bond prices, bond funds continue to fulfill the important role of diversification in an overall portfolio. The past several years--in which stock and bond prices moved in an almost seesaw motion--only reinforced the tried-and-true value of a balanced approach. Index funds can further enhance your investment plan by providing low-cost, broad exposure to different asset classes. Thank you for investing your assets with Vanguard. Sincerely, /S/ John J. Brennan JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER JULY 21, 2004 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2003--JUNE 30, 2004 DISTRIBUTIONS PER SHARE ------------------------ STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- Institutional Total Bond Market Index Fund $51.80 $50.81 $1.056 $0.017 - -------------------------------------------------------------------------------- 4 - -------------------------------------------------------------------------------- AS OF 6/30/2004 FUND PROFILE This Profile provides a snapshot of the fund's characteristics, compared where appropriate with its unmanaged target index. Key terms are defined on page 6. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL BOND MARKET INDEX FUND - --------------------------------------------------------------- FINANCIAL ATTRIBUTES - ------------------------------------------------------ TARGET FUND INDEX* - ------------------------------------------------------ Number of Issues 2,199 5,700 Yield 4.2% -- Yield to Maturity 4.7%** 4.7% Average Coupon 5.9% 5.4% Average Effective Maturity 7.6 years 7.5 years Average Quality+ Aa1 Aa1 Average Duration 4.8 years 4.8 years Expense Ratio 0.05%++ -- Short-Term Reserves 0% -- - ------------------------------------------------------ - ------------------------------------------------------ DISTRIBUTION BY CREDIT QUALITY+ (% of portfolio) Treasury/Agency/GSEs(double dagger) 69% Aaa 7 Aa 3 A 10 Baa 11 - ------------------------------------------------------ Total 100% - ------------------------------------------------------ - ----------------------------------- INVESTMENT FOCUS CREDIT QUALITY -- TREASURY/AGENCY AVERAGE MATURITY -- MEDIUM - ----------------------------------- - ----------------------------------- DISTRIBUTION BY MATURITY (% of portfolio) 1-5 Years 36% 5-10 Years 48 10-20 Years 9 20-30 Years 7 - ----------------------------------- Total 100% - ----------------------------------- - ----------------------------------------------- SECTOR DIVERSIFICATION (% of portfolio) Asset-Backed /Commercial Mortgage-Backed 5% Finance 8 Foreign 4 Government Mortgage-Backed 36 Industrial 12 Treasury/Agency 33 Utilities 2 - ----------------------------------------------- Total 100% - ----------------------------------------------- *Lehman Aggregate Bond Index. **Before expenses. +Source: Moody's Investors Service. ++Annualized. (dougle dagger)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. 5 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. 6 AS OF 6/30/2004 PERFORMANCE SUMMARY All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (For the performance data current to the most recent month-end, which may be higher or lower than that cited, visit our website at www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor's shares, when sold, 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 sale of fund shares. INSTITUTIONAL TOTAL BOND MARKET INDEX FUND - -------------------------------------------------------------------------------- Fiscal-Year Total Returns (%) April 26, 2002--June 30, 2004 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 2004** -1.9 2.0 0.1 0.2 - --------------------------------------------------------- *Lehman Aggregate Bond Index. **Six months ended June 30, 2004. Note: See Financial Highlights table on page 34 for dividend and capital gains information. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2004 SINCE INCEPTION ONE ---------------------------- INCEPTION DATE YEAR CAPITAL INCOME TOTAL - -------------------------------------------------------------------------------- Institutional Total Bond Market Index Fund 4/26/2002 0.28% 0.92% 4.35% 5.27% - -------------------------------------------------------------------------------- 7 ABOUT YOUR FUND'S EXPENSES We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. For the six months ended June 30, 2004, the Institutional Total Bond Market Index Fund had an annualized expense ratio of 0.05%. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates your fund's costs in two ways: * Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." * Based on hypothetical 5% return. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case--because the return used is not the fund's actual return--the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. - -------------------------------------------------------------------------------- Six Months Ended June 30, 2004 INSTITUTIONAL TOTAL BEGINNING ENDING EXPENSES BOND MARKET ACCOUNT VALUE ACCOUNT VALUE PAID DURING INDEX FUND 12/31/2003 6/30/2004 PERIOD* - -------------------------------------------------------------------------------- Based on Actual Fund Return $1,000 $1,001 $0.25 Based on Hypothetical 5% Return $1,000 $1,050 $0.25 - -------------------------------------------------------------------------------- *Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366. - -------------------------------------------------------------------------------- 8 Note that the expenses shown in the table on page 8 are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs or account maintenance fees. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a "sales load." The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. You can find more information about the fund's expenses in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus. 9 AS OF 6/30/2004 FINANCIAL STATEMENTS (UNAUDITED) STATEMENT OF NET ASSETS This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Securities are grouped and subtotaled by bond type (U.S. government and agency issues, corporate bonds, sovereign bonds, etc.); corporate bonds are further classified by industry sector. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Undistributed Net Investment Income is minimal because the fund distributes its net income to shareholders as a dividend each day. Any realized gains must be distributed annually, so the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The balance shown for Accumulated Net Realized Gains usually approximates the amount available to distribute to shareholders as capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS (67.1%) - ---------------------------------------------------------------------------------------------------------------- U.S. Government Securities (21.3%) U.S. Treasury Bond 10.375% 11/15/2009 1,530 1,579 U.S. Treasury Bond 10.00% 5/15/2010 850 908 U.S. Treasury Bond 12.00% 8/15/2013 1,500 1,980 U.S. Treasury Bond 13.25% 5/15/2014 750 1,061 U.S. Treasury Bond 12.50% 8/15/2014 1,975 2,757 U.S. Treasury Bond 11.75% 11/15/2014 750 1,030 U.S. Treasury Bond 11.25% 2/15/2015 575 887 U.S. Treasury Bond 9.875% 11/15/2015 600 864 U.S. Treasury Bond 9.25% 2/15/2016 3,100 4,304 U.S. Treasury Bond 7.50% 11/15/2016 225 277 U.S. Treasury Bond 8.75% 5/15/2017 875 1,186 U.S. Treasury Bond 8.875% 8/15/2017 7,965 10,915 U.S. Treasury Bond 9.125% 5/15/2018 6,825 9,581 U.S. Treasury Bond 8.875% 2/15/2019 6,000 8,304 U.S. Treasury Bond 8.125% 8/15/2019 1,280 1,676 U.S. Treasury Bond 8.50% 2/15/2020 400 541 U.S. Treasury Bond 8.75% 5/15/2020 540 747 U.S. Treasury Bond 8.75% 8/15/2020 275 381 U.S. Treasury Bond 7.875% 2/15/2021 990 1,278 U.S. Treasury Bond 8.125% 8/15/2021 1,425 1,885 U.S. Treasury Bond 8.00% 11/15/2021 1,805 2,366 U.S. Treasury Bond 7.25% 8/15/2022 3,300 4,043 U.S. Treasury Bond 7.625% 11/15/2022 4,695 5,971 U.S. Treasury Bond 6.25% 8/15/2023 25 28 - ----------------------------------------------------------------------------------------------------------------
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- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- U.S. Treasury Bond 6.875% 8/15/2025 1,850 2,200 U.S. Treasury Bond 6.625% 2/15/2027 30 35 U.S. Treasury Bond 6.375% 8/15/2027 6,050 6,830 U.S. Treasury Bond 5.50% 8/15/2028 1,350 1,368 U.S. Treasury Bond 5.25% 11/15/2028 675 661 U.S. Treasury Bond 6.25% 5/15/2030 250 280 U.S. Treasury Note 6.50% 8/15/2005 5,250 5,500 U.S. Treasury Note 2.00% 8/31/2005 4,500 4,489 U.S. Treasury Note 1.875% 11/30/2005 9,750 9,683 U.S. Treasury Note 1.875% 12/31/2005 7,550 7,487 U.S. Treasury Note 1.875% 1/31/2006 5,000 4,953 U.S. Treasury Note 1.625% 2/28/2006 4,375 4,311 U.S. Treasury Note 4.625% 5/15/2006 3,925 4,065 U.S. Treasury Note 6.875% 5/15/2006 9,415 10,136 U.S. Treasury Note 7.00% 7/15/2006 13,215 14,322 U.S. Treasury Note 6.50% 10/15/2006 5,700 6,155 U.S. Treasury Note 6.25% 2/15/2007 1,525 1,648 U.S. Treasury Note 4.375% 5/15/2007 300 310 U.S. Treasury Note 6.625% 5/15/2007 4,175 4,573 U.S. Treasury Note 6.125% 8/15/2007 4,350 4,720 U.S. Treasury Note 5.625% 5/15/2008 13,380 14,407 U.S. Treasury Note 3.125% 9/15/2008 3,725 3,656 U.S. Treasury Note 3.125% 10/15/2008 5,275 5,170 U.S. Treasury Note 4.75% 11/15/2008 725 758 U.S. Treasury Note 3.375% 12/15/2008 1,450 1,432 U.S. Treasury Note 3.25% 1/15/2009 1,450 1,422 U.S. Treasury Note 6.50% 2/15/2010 975 1,099 U.S. Treasury Note 5.00% 8/15/2011 175 183 U.S. Treasury Note 4.875% 2/15/2012 12,290 12,695 U.S. Treasury Note 4.375% 8/15/2012 7,965 7,931 --------- 207,028 --------- AGENCY BONDS AND NOTES (11.6%) Federal Home Loan Bank* 3.25% 8/15/2005 1,125 1,136 Federal Home Loan Bank* 2.50% 12/15/2005 2,000 1,997 Federal Home Loan Bank* 5.125% 3/6/2006 2,650 2,750 Federal Home Loan Bank* 2.50% 3/15/2006 1,150 1,144 Federal Home Loan Bank* 2.875% 9/15/2006 3,000 2,981 Federal Home Loan Bank* 6.50% 8/15/2007 2,450 2,660 Federal Home Loan Bank* 5.865% 9/2/2008 550 589 Federal Home Loan Bank* 3.625% 11/14/2008 750 737 Federal Home Loan Bank* 6.50% 11/13/2009 1,300 1,427 Federal Home Loan Bank* 7.625% 5/14/2010 5,350 6,195 Federal Home Loan Bank* 5.75% 5/15/2012 800 843 Federal Home Loan Bank* 4.50% 9/16/2013 800 764 Federal Home Loan Mortgage Corp.* 7.00% 7/15/2005 8,000 8,385 Federal Home Loan Mortgage Corp.* 2.125% 11/15/2005 2,250 2,237 Federal Home Loan Mortgage Corp.* 5.25% 1/15/2006 1,050 1,090 Federal Home Loan Mortgage Corp.* 4.00% 6/12/2006 850 774 Federal Home Loan Mortgage Corp.* 5.50% 7/15/2006 1,050 1,100 Federal Home Loan Mortgage Corp.* 2.875% 12/15/2006 1,000 992 Federal Home Loan Mortgage Corp.* 5.75% 4/15/2008 2,725 2,908 - ----------------------------------------------------------------------------------------------------------------
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- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.* 5.75% 3/15/2009 2,000 2,129 Federal Home Loan Mortgage Corp.* 6.625% 9/15/2009 2,100 2,320 Federal Home Loan Mortgage Corp.* 7.00% 3/15/2010 2,500 2,812 Federal Home Loan Mortgage Corp.* 6.875% 9/15/2010 5,900 6,628 Federal Home Loan Mortgage Corp.* 5.875% 3/21/2011 750 789 Federal Home Loan Mortgage Corp.* 6.00% 6/15/2011 1,500 1,609 Federal Home Loan Mortgage Corp.* 5.50% 9/15/2011 1,100 1,147 Federal Home Loan Mortgage Corp.* 5.75% 1/15/2012 2,550 2,689 Federal Home Loan Mortgage Corp.* 5.125% 7/15/2012 500 506 Federal Home Loan Mortgage Corp.* 4.50% 1/15/2013 1,250 1,203 Federal Home Loan Mortgage Corp.* 4.50% 7/15/2013 500 478 Federal Home Loan Mortgage Corp.* 6.75% 3/15/2031 889 991 Federal Home Loan Mortgage Corp.* 6.25% 7/15/2032 132 138 Federal National Mortgage Assn.* 7.00% 7/15/2005 8,500 8,909 Federal National Mortgage Assn.* 5.50% 2/15/2006 1,500 1,565 Federal National Mortgage Assn.* 5.25% 6/15/2006 1,750 1,824 Federal National Mortgage Assn.* 7.125% 3/15/2007 1,500 1,644 Federal National Mortgage Assn.* 6.625% 10/15/2007 3,560 3,887 Federal National Mortgage Assn.* 5.75% 2/15/2008 1,850 1,970 Federal National Mortgage Assn.* 6.00% 5/15/2008 1,000 1,076 Federal National Mortgage Assn.* 6.375% 6/15/2009 600 656 Federal National Mortgage Assn.* 6.625% 9/15/2009 5,015 5,542 Federal National Mortgage Assn.* 7.25% 1/15/2010 2,830 3,218 Federal National Mortgage Assn.* 6.625% 11/15/2010 500 555 Federal National Mortgage Assn.* 6.25% 2/1/2011 225 242 Federal National Mortgage Assn.* 6.00% 5/15/2011 1,000 1,073 Federal National Mortgage Assn.* 5.375% 11/15/2011 2,500 2,584 Federal National Mortgage Assn.* 6.125% 3/15/2012 4,850 5,222 Federal National Mortgage Assn.* 4.625% 5/1/2013 1,150 1,087 Federal National Mortgage Assn.* 5.125% 1/2/2014 300 292 Federal National Mortgage Assn.* 7.125% 1/15/2030 750 872 Federal National Mortgage Assn.* 7.25% 5/15/2030 1,550 1,829 Federal National Mortgage Assn.* 6.625% 11/15/2030 800 880 Private Export Funding Corp. (U.S. Government Guaranteed) 7.20% 1/15/2010 1,325 1,503 State of Israel (U.S. Government Guaranteed) 5.50% 9/18/2023 250 248 State of Israel (U.S. Government Guaranteed) 5.50% 12/4/2023 200 199 State of Israel (U.S. Government Guaranteed) 5.50% 4/26/2024 125 124 Tennessee Valley Auth.* 5.375% 11/13/2008 325 342 Tennessee Valley Auth.* 7.125% 5/1/2030 1,650 1,920 ---------- 113,411 ---------- MORTGAGE-BACKED SECURITIES (34.2%) Federal Home Loan Mortgage Corp.* 4.00% 7/1/2008-4/1/2019(1) 7,186 6,933 Federal Home Loan Mortgage Corp.* 4.50% 3/1/2008-4/1/2034(1) 19,102 18,700 Federal Home Loan Mortgage Corp.* 5.00% 6/1/2007-5/1/2034(1) 36,344 35,663 Federal Home Loan Mortgage Corp.* 5.50% 12/1/2005-11/1/2035(1) 26,170 26,268 Federal Home Loan Mortgage Corp.* 6.00% 1/1/2006-6/1/2033(1) 14,074 14,495 Federal Home Loan Mortgage Corp.* 6.50% 10/1/2004-8/1/2032(1) 11,987 12,554 Federal Home Loan Mortgage Corp.* 7.00% 10/27/2004-6/1/2032(1) 5,520 5,836 Federal Home Loan Mortgage Corp.* 7.50% 10/1/2012-2/1/2032(1) 1,810 1,943 Federal Home Loan Mortgage Corp.* 8.00% 6/1/2012-11/1/2031(1) 935 1,013 - ----------------------------------------------------------------------------------------------------------------
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- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.* 8.50% 6/1/2025-5/1/2030(1) 419 460 Federal Home Loan Mortgage Corp.* 9.00% 2/1/2025-9/1/2030(1) 35 38 Federal Home Loan Mortgage Corp.* 9.50% 2/1/2025(1) 5 5 Federal National Mortgage Assn.* 4.00% 8/1/2010-11/1/2018(1) 4,757 4,581 Federal National Mortgage Assn.* 4.50% 5/1/2018-10/1/2033(1) 21,789 21,104 Federal National Mortgage Assn.* 5.00% 9/1/2009-3/1/2034(1) 34,402 33,578 Federal National Mortgage Assn.* 5.50% 5/1/2009-6/1/2034(1) 53,731 53,763 Federal National Mortgage Assn.* 6.00% 10/1/2008-4/1/2034(1) 27,090 27,796 Federal National Mortgage Assn.* 6.50% 1/1/2012-3/1/2033(1) 14,312 14,944 Federal National Mortgage Assn.* 7.00% 7/1/2014-7/1/2032(1) 4,658 4,920 Federal National Mortgage Assn.* 7.50% 11/1/2011-10/1/2031(1) 2,122 2,273 Federal National Mortgage Assn.* 8.00% 12/1/2029-6/1/2031(1) 506 548 Federal National Mortgage Assn.* 8.50% 4/1/2030-4/1/2031(1) 210 226 Federal National Mortgage Assn.* 9.00% 8/1/2030(1) 10 11 Federal National Mortgage Assn.* 9.50% 11/1/2025(1) 16 18 Government National Mortgage Assn. 4.50% 8/15/2018-9/15/2033(1) 1,658 1,595 Government National Mortgage Assn. 5.00% 2/15/2018-5/15/2034(1) 7,095 6,932 Government National Mortgage Assn. 5.50% 2/15/2017-5/15/2034(1) 13,337 13,352 Government National Mortgage Assn. 6.00% 9/15/2013-3/15/2034(1) 8,992 9,234 Government National Mortgage Assn. 6.50% 5/15/2013-11/15/2032(1) 6,148 6,435 Government National Mortgage Assn. 7.00% 10/15/2010-6/15/2032(1) 3,935 4,186 Government National Mortgage Assn. 7.50% 5/15/2023-10/15/2031(1) 1,732 1,866 Government National Mortgage Assn. 8.00% 7/15/2025-11/15/2030(1) 1,378 1,506 Government National Mortgage Assn. 8.50% 12/15/2024-7/15/2030(1) 108 119 Government National Mortgage Assn. 9.00% 5/15/2025-9/15/2030(1) 64 70 Government National Mortgage Assn. 9.50% 11/15/2017(1) 26 29 --------- 332,994 --------- - ---------------------------------------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $659,903) 653,433 - ---------------------------------------------------------------------------------------------------------------- CORPORATE BONDS (29.8%) - ---------------------------------------------------------------------------------------------------------------- Asset-Backed/Commercial Mortgage-Backed Securities (6.6%) American Express Credit Account Master Trust 1.369% 11/17/2008(1)(3) 4,100 4,111 Bank of America Mortgage Securities 4.654% 6/25/2032(1) 54 54 California Infrastructure & Economic Development Bank Special Purpose Trust PG&E-1 6.42% 9/25/2008(1) 769 803 California Infrastructure & Economic Development Bank Special Purpose Trust SDG&E-1 6.31% 9/25/2008(1) 822 858 Carco Auto Loan Master Trust 1.304% 11/15/2006(1)(3) 5,000 5,006 Chase Credit Card Master Trust 1.339% 2/15/2007(1)(3) 1,000 1,000 Chase Credit Card Master Trust 1.299% 3/17/2008(1)(3) 1,000 1,001 Chase Credit Card Master Trust 1.379% 6/16/2008(1)(3) 10,000 10,023 Citibank Credit Card Master Trust 5.875% 3/10/2011(1) 1,750 1,868 Countrywide Home Loans 4.557% 9/19/2032(1) 388 388 Countrywide Home Loans 4.145% 5/25/2033(1) 1,078 1,080 Discover Card Master Trust I 1.519% 2/16/2007(1)(3) 2,000 2,001 Discover Card Master Trust I 1.369% 4/16/2007(1)(3) 4,000 4,001 Discover Card Master Trust I 1.419% 9/18/2007(1)(3) 4,000 4,005 First USA Credit Card Master Trust 1.42% 4/17/2007(1)(3) 1,000 1,000 First USA Credit Card Master Trust 1.43% 9/19/2008(1)(3) 6,000 6,012 Harley-Davidson Motorcycle Trust 4.50% 1/15/2010(1) 1,650 1,683 - ----------------------------------------------------------------------------------------------------------------
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- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust 4.22% 4/16/2007(1) 325 330 Household Credit Card Master Note Trust I 1.379% 8/15/2008(1)(3) 3,000 3,005 MBNA Credit Card Master Note Trust 1.369% 2/15/2007(1)(3) 4,000 4,001 MBNA Credit Card Master Note Trust 4.95% 6/15/2009(1) 1,300 1,350 MBNA Master Credit Card Trust 1.359% 2/15/2007(1)(3) 4,000 4,001 PECO Energy Transition Trust 5.80% 3/1/2007(1) 1,908 1,944 PP&L Transition Bond Co. LLC 6.96% 12/26/2007(1) 1,500 1,574 PSE&G Transition Funding LLC 6.89% 12/15/2017(1) 200 225 Residential Asset Securities Corp. 4.988% 2/25/2027(1) 371 372 Salomon Brothers Mortgage Securities VII 4.161% 9/25/2033(1) 1,627 1,610 Toyota Auto Receivables Owner Trust 2.65% 11/15/2006(1) 982 985 Toyota Auto Receivables Owner Trust 4.00% 7/15/2008(1) 100 101 Washington Mutual Mortgage Pass-Through Certificates 5.435% 2/25/2032(1) 23 23 Washington Mutual Mortgage Pass-Through Certificates 5.50% 4/26/2032(1) 355 356 Washington Mutual Mortgage Pass-Through Certificates 5.55% 4/26/2032(1) 27 27 World Omni Auto Receivables Trust 3.79% 11/21/2005(1) 9 9 ---------- 64,807 ---------- FINANCE (9.3%) BANKING (4.9%) ABN AMRO Bank NV 7.55% 6/28/2006 250 271 Abbey National PLC 7.95% 10/26/2029 400 475 African Development Bank 3.25% 8/1/2008 300 294 Asian Development Bank 5.593% 7/16/2018 325 332 Asian Development Bank 4.875% 2/5/2007 850 883 BB&T Corp. 4.75% 10/1/2012 150 144 BB&T Corp. 5.20% 12/23/2015 250 240 BBVA-Bancomer Capital Trust I 10.50% 2/16/2011(2) 225 253 BSCH Issuances Ltd. 7.625% 9/14/2010 500 572 Bank One Corp. 6.875% 8/1/2006 600 643 Bank One Corp. 2.625% 6/30/2008 100 94 Bank One Corp. 6.00% 2/17/2009 795 842 Bank One Corp. 7.875% 8/1/2010 725 839 Bank of America Corp. 7.125% 9/15/2006 600 648 Bank of America Corp. 5.25% 2/1/2007 550 573 Bank of America Corp. 3.375% 2/17/2009 250 240 Bank of America Corp. 7.40% 1/15/2011 700 797 Bank of America Corp. 5.375% 6/15/2014 150 149 Bank of New York Co., Inc. 3.75% 2/15/2008 375 373 BankAmerica Capital II 8.00% 12/15/2026 500 547 Bayerische Landesbank 2.875% 10/15/2008 250 238 Citicorp 6.375% 11/15/2008 250 272 Citicorp Capital II 8.015% 2/15/2027 100 110 Citicorp Lease Pass-Through Trust 8.04% 12/15/2019(2) 225 256 Citigroup, Inc. 6.75% 12/1/2005 1,750 1,847 Citigroup, Inc. 5.625% 8/27/2012 975 1,000 Citigroup, Inc. 4.875% 5/7/2015 200 189 Citigroup, Inc. 6.625% 6/15/2032 275 284 Citigroup, Inc. 6.00% 10/31/2033 450 425 CoreStates Capital Corp. 8.00% 12/15/2026(2) 425 465 - ----------------------------------------------------------------------------------------------------------------
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- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Corporacion Andina de Fomento 5.20% 5/21/2013 125 121 Credit Suisse First Boston USA, Inc. 5.75% 4/15/2007 675 711 Credit Suisse First Boston USA, Inc. 4.625% 1/15/2008 500 509 Credit Suisse First Boston USA, Inc. 6.50% 1/15/2012 600 642 Credit Suisse First Boston USA, Inc. 5.50% 8/15/2013 100 100 Credit Suisse First Boston USA, Inc. 5.125% 1/15/2014(1) 300 290 Credit Suisse First Boston USA, Inc. 7.125% 7/15/2032 200 219 Deutsche Bank Financial LLC 5.375% 3/2/2015 325 319 European Investment Bank 5.625% 1/24/2006 500 523 European Investment Bank 3.00% 8/15/2006 300 302 European Investment Bank 4.875% 9/6/2006 800 831 European Investment Bank 4.625% 3/1/2007 1,300 1,344 European Investment Bank 3.00% 6/16/2008 425 415 European Investment Bank 3.375% 3/16/2009 525 511 Export-Import Bank of Korea 7.10% 3/15/2007 250 269 Fifth Third Bancorp 6.75% 7/15/2005 300 312 Fifth Third Bank 3.375% 8/15/2008 200 195 First Union Corp. 7.50% 4/15/2035 100 116 First Union National Bank (NC) 7.80% 8/18/2010 275 318 Fleet Boston Financial Corp. 7.25% 9/15/2005 200 211 Fleet Capital Trust II 7.92% 12/11/2026 400 435 Golden West Financial 4.125% 8/15/2007 300 303 HSBC Holdings PLC 7.50% 7/15/2009 350 396 HSBC Holdings PLC 5.25% 12/12/2012 550 550 Inter-American Development Bank 6.125% 3/8/2006 525 554 Inter-American Development Bank 6.375% 10/22/2007 450 488 Inter-American Development Bank 5.625% 4/16/2009 700 747 Inter-American Development Bank 7.00% 6/15/2025 150 173 Inter-American Development Bank 8.50% 3/15/2011 325 398 International Bank for Reconstruction & Development 5.00% 3/28/2006 700 727 International Bank for Reconstruction & Development 4.125% 8/12/2009 825 831 International Bank for Reconstruction & Development 8.875% 3/1/2026 250 349 J.P. Morgan Chase & Co. 5.25% 5/30/2007 950 989 J.P. Morgan Chase & Co. 3.625% 5/1/2008 900 885 J.P. Morgan Chase & Co. 5.25% 5/1/2015 200 191 J.P. Morgan, Inc. 6.70% 11/1/2007 400 435 JPM Capital Trust II 7.95% 2/1/2027 150 163 KFW International Finance, Inc. 2.50% 10/17/2005 1,125 1,125 KFW International Finance, Inc. 5.25% 6/28/2006 200 209 KFW International Finance, Inc. 4.75% 1/24/2007 500 519 Korea Development Bank 3.875% 3/2/2009 300 288 Korea Development Bank 5.75% 9/10/2013 250 249 Marshall & Ilsley Bank 4.125% 9/4/2007 225 229 Mellon Capital II 7.995% 1/15/2027 500 552 Mellon Funding Corp. 5.00% 12/1/2014 200 193 Mizuho Finance (Cayman) 5.79% 4/15/2014(2) 150 145 National City Bank of Indiana 4.875% 7/20/2007 300 310 NationsBank Corp. 6.375% 2/15/2008 500 538 NationsBank Corp. 7.25% 10/15/2025 500 557 - ----------------------------------------------------------------------------------------------------------------
15
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Nordic Investment Bank 3.125% 4/24/2008 250 246 North Fork Bancorp 5.875% 8/15/2012 250 257 Oesterreich Kontrollbank 5.50% 1/20/2006 250 260 Oesterreich Kontrollbank 5.125% 3/20/2007 300 314 PNC Funding Corp. 5.75% 8/1/2006 500 523 Regions Financial Corp. 6.375% 5/15/2012 300 321 Royal Bank of Scotland Group PLC 4.70% 7/3/2018 250 221 Royal Bank of Scotland Group PLC 7.648% 8/31/2049 500 561 Sanwa Bank Ltd. 8.35% 7/15/2009 150 171 Sanwa Bank Ltd. 7.40% 6/15/2011 325 354 Southtrust Corp. 5.80% 6/15/2014 125 127 Standard Chartered Bank 8.00% 5/30/2031(2) 125 145 Sumitomo Mitsui Banking Corp. 8.00% 6/15/2012 115 134 SunTrust Banks, Inc. 6.00% 2/15/2026 500 524 SunTrust Capital II 7.90% 6/15/2027 200 219 Swiss Bank Corp. 7.00% 10/15/2015 100 113 Swiss Bank Corp. 7.375% 6/15/2017 100 118 Synovus Financial Corp. 7.25% 12/15/2005 175 186 The Chase Manhattan Corp. 6.00% 11/1/2005 150 156 The Chase Manhattan Corp. 7.125% 2/1/2007 250 271 UFJ Finance Aruba AEC 6.75% 7/15/2013 200 207 US Bancorp 5.10% 7/15/2007 500 520 US Bancorp 3.125% 3/15/2008 350 340 US Bank NA 2.85% 11/15/2006 175 173 US Bank NA 6.375% 8/1/2011 100 108 US Bank NA 6.30% 2/4/2014 100 106 Union Planters Bank NA 5.125% 6/15/2007 200 208 Union Planters Corp. 7.75% 3/1/2011 100 115 UnionBanCal Corp. 5.25% 12/16/2013 75 74 Wachovia Corp. 4.95% 11/1/2006 825 856 Wachovia Corp. 3.50% 8/15/2008 500 487 Washington Mutual Bank 6.875% 6/15/2011 1,200 1,338 Wells Fargo & Co. 5.125% 2/15/2007 250 260 Wells Fargo & Co. 3.50% 4/4/2008 625 617 Wells Fargo & Co. 6.45% 2/1/2011 625 679 Wells Fargo & Co. 4.95% 10/16/2013 200 193 Zions Bancorp. 6.00% 9/15/2015 100 101 BROKERAGE (1.4%) Bear Stearns Co., Inc. 5.70% 1/15/2007 600 631 Bear Stearns Co., Inc. 4.00% 1/31/2008 200 200 Bear Stearns Co., Inc. 5.70% 11/15/2014 600 602 Goldman Sachs Group, Inc. 7.625% 8/17/2005 500 527 Goldman Sachs Group, Inc. 4.125% 1/15/2008 475 476 Goldman Sachs Group, Inc. 3.875% 1/15/2009 400 390 Goldman Sachs Group, Inc. 6.875% 1/15/2011 400 438 Goldman Sachs Group, Inc. 5.70% 9/1/2012 350 354 Goldman Sachs Group, Inc. 5.25% 10/15/2013 250 242 Goldman Sachs Group, Inc. 5.15% 1/15/2014 350 337 Goldman Sachs Group, Inc. 5.50% 11/15/2014 350 344 Goldman Sachs Group, Inc. 6.125% 2/15/2033 200 189 Goldman Sachs Group, Inc. 6.345% 2/15/2034 375 352 - ----------------------------------------------------------------------------------------------------------------
16
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc. 4.00% 1/22/2008 300 300 Lehman Brothers Holdings, Inc. 7.00% 2/1/2008 700 766 Lehman Brothers Holdings, Inc. 3.60% 3/13/2009 850 817 Lehman Brothers Holdings, Inc. 6.625% 1/18/2012 175 189 Lehman Brothers Holdings, Inc. 4.80% 3/13/2014 100 94 Merrill Lynch & Co., Inc. 6.15% 1/26/2006 350 367 Merrill Lynch & Co., Inc. 5.36% 2/1/2007 250 261 Merrill Lynch & Co., Inc. 4.00% 11/15/2007 400 402 Merrill Lynch & Co., Inc. 4.125% 1/15/2009 100 99 Merrill Lynch & Co., Inc. 5.30% 9/30/2015 150 146 Merrill Lynch & Co., Inc. 6.875% 11/15/2018 450 491 Morgan Stanley Dean Witter 6.10% 4/15/2006 1,000 1,055 Morgan Stanley Dean Witter 6.875% 3/1/2007 200 216 Morgan Stanley Dean Witter 5.80% 4/1/2007 700 739 Morgan Stanley Dean Witter 3.625% 4/1/2008 500 491 Morgan Stanley Dean Witter 3.875% 1/15/2009 350 341 Morgan Stanley Dean Witter 4.75% 4/1/2014 525 485 Morgan Stanley Dean Witter 7.25% 4/1/2032 450 502 Salomon Smith Barney Holdings Inc. 6.50% 2/15/2008 200 216 Salomon Smith Barney Holdings Inc. 5.875% 3/15/2006 275 288 Waddell & Reed Financial, Inc. 7.50% 1/18/2006 250 266 FINANCE COMPANIES (1.9%) American Express Co. 3.75% 11/20/2007 350 349 American Express Co. 4.75% 6/17/2009 100 101 American Express Credit Corp. 3.00% 5/16/2008 300 289 American General Finance Corp. 5.875% 7/14/2006 200 210 American General Finance Corp. 5.75% 3/15/2007 500 528 American General Finance Corp. 5.375% 10/1/2012 225 227 CIT Group, Inc. 4.125% 2/21/2006 550 559 CIT Group, Inc. 7.375% 4/2/2007 350 384 CIT Group, Inc. 4.00% 5/8/2008 250 248 CIT Group, Inc. 4.75% 12/15/2010 50 49 CIT Group, Inc. 7.75% 4/2/2012 200 228 CIT Group, Inc. 5.00% 2/13/2014 150 142 Capital One Bank 4.875% 5/15/2008 675 684 Capital One Bank 4.25% 12/1/2008 100 98 Countrywide Home Loan 5.50% 8/1/2006 550 573 Countrywide Home Loan 5.50% 2/1/2007 500 522 Countrywide Home Loan 2.875% 2/15/2007 125 122 Countrywide Home Loan 5.625% 5/15/2007 50 52 General Electric Capital Corp. 2.75% 9/25/2006 300 297 General Electric Capital Corp. 2.80% 1/15/2007 350 346 General Electric Capital Corp. 5.375% 3/15/2007 1,050 1,101 General Electric Capital Corp. 4.25% 1/15/2008 1,000 1,014 General Electric Capital Corp. 3.50% 5/1/2008 250 246 General Electric Capital Corp. 4.625% 9/15/2009 500 505 General Electric Capital Corp. 7.375% 1/19/2010 750 852 General Electric Capital Corp. 4.25% 12/1/2010 100 97 General Electric Capital Corp. 6.125% 2/22/2011 500 534 General Electric Capital Corp. 6.75% 3/15/2032 900 968 Household Finance Corp. 6.50% 1/24/2006 475 501 - ----------------------------------------------------------------------------------------------------------------
17
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Household Finance Corp. 7.20% 7/15/2006 125 135 Household Finance Corp. 5.75% 1/30/2007 350 369 Household Finance Corp. 4.625% 1/15/2008 850 865 Household Finance Corp. 6.375% 10/15/2011 525 561 Household Finance Corp. 7.00% 5/15/2012 925 1,021 Household Finance Corp. 7.35% 11/27/2032 50 57 International Lease Finance Corp. 3.125% 5/3/2007 25 25 International Lease Finance Corp. 5.625% 6/1/2007 575 602 International Lease Finance Corp. 4.50% 5/1/2008 250 252 International Lease Finance Corp. 6.375% 3/15/2009 250 268 MBNA America Bank NA 7.75% 9/15/2005(2) 750 791 SLM Corp. 5.625% 8/1/2033 325 297 SLM Corp. 5.05% 11/14/2014 450 431 USA Education, Inc. 5.625% 4/10/2007 975 1,025 INSURANCE (0.7%) ACE Capital Trust II 9.70% 4/1/2030 100 130 ACE Ltd. 6.00% 4/1/2007 150 158 AEGON NV 4.75% 6/1/2013 125 119 AXA SA 8.60% 12/15/2030 350 431 Allstate Corp. 5.375% 12/1/2006 150 157 Allstate Corp. 7.20% 12/1/2009 475 535 American General Capital II 8.50% 7/1/2030 50 64 American International Group, Inc. 2.875% 11/15/2004(3) 150 145 American International Group, Inc. 2.85% 12/1/2005 300 301 Aon Capital Trust 8.205% 1/1/2027 250 274 Arch Capital Group Ltd. 7.35% 5/1/2034 150 149 Assurant, Inc. 5.625% 2/15/2014 50 49 Assurant, Inc. 6.75% 2/15/2034 100 99 Commerce Group, Inc. 5.95% 12/9/2013 75 75 Fidelity National Financial, Inc. 7.30% 8/15/2011 175 195 GE Global Insurance Holdings Corp. 7.00% 2/15/2026 75 79 GE Global Insurance Holdings Corp. 7.75% 6/15/2030 200 228 Genworth Financial, Inc. 4.75% 6/15/2009 100 101 Genworth Financial, Inc. 5.75% 6/15/2014 100 101 Genworth Financial, Inc. 6.50% 6/15/2034 150 152 Hartford Financial Services Group, Inc. 4.625% 7/15/2013 200 189 Hartford Life, Inc. 7.375% 3/1/2031 300 341 Loews Corp. 5.25% 3/15/2016 150 139 Marsh & McLennan Cos., Inc. 6.25% 3/15/2012 400 424 MetLife, Inc. 5.25% 12/1/2006 375 390 MetLife, Inc. 5.00% 11/24/2013 125 121 MetLife, Inc. 6.375% 6/15/2034 200 200 Monumental Global Funding II 6.05% 1/19/2006(2) 150 157 Nationwide Life Global Funding 5.35% 2/15/2007(2) 125 131 Principal Life Inc. Funding 5.10% 4/15/2014 200 195 Progressive Corp. 6.625% 3/1/2029 200 211 Protective Life Secured Trust 3.70% 11/24/2008 350 342 Prudential Financial, Inc. 4.50% 7/15/2013 125 116 Prudential Financial, Inc. 5.75% 7/15/2033 125 115 Safeco Capital Trust I 8.072% 7/15/2037 100 109 St. Paul Cos., Inc. 5.75% 3/15/2007 125 131 - ----------------------------------------------------------------------------------------------------------------
18
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Travelers Property Casualty Corp. 3.75% 3/15/2008 175 173 Travelers Property Casualty Corp. 6.375% 3/15/2033 125 124 REAL ESTATE INVESTMENT TRUSTS (0.3%) Boston Properties, Inc. 5.625% 4/15/2015 150 147 EOP Operating LP 7.75% 11/15/2007 500 556 EOP Operating LP 7.00% 7/15/2011 150 163 EOP Operating LP 4.75% 3/15/2014 125 115 EOP Operating LP 7.875% 7/15/2031 50 56 ERP Operating LP 6.625% 3/15/2012 350 379 Health Care REIT, Inc. 6.00% 11/15/2013 250 247 Health Care Property Investment, Inc. 6.45% 6/25/2012 300 317 ProLogis 5.50% 3/1/2013 100 100 Rouse Co. 5.375% 11/26/2013 100 97 Simon Property Group Inc. 6.375% 11/15/2007 700 746 OTHER (0.1%) Berkshire Hathaway, Inc. 3.375% 10/15/2008 125 121 Berkshire Hathaway, Inc. 4.20% 12/15/2010 200 194 Berkshire Hathaway, Inc. 4.625% 10/15/2013 100 96 J. Paul Getty Trust 5.875% 10/1/2033 125 122 --------- 90,428 --------- INDUSTRIAL (12.0%) BASIC INDUSTRY (0.7%) Alcan, Inc. 4.50% 5/15/2013 275 258 Alcan, Inc. 5.20% 1/15/2014 250 246 Alcan, Inc. 6.125% 12/15/2033 75 73 Alcoa, Inc. 4.25% 8/15/2007 825 837 Celulosa Arauco Constitution SA 8.625% 8/15/2010 150 175 Dow Chemical Co. 6.125% 2/1/2011 675 709 Dow Chemical Co. 7.375% 11/1/2029 100 108 E.I. du Pont de Nemours & Co. 6.875% 10/15/2009 300 336 E.I. du Pont de Nemours & Co. 4.125% 4/30/2010 150 147 E.I. du Pont de Nemours & Co. 4.875% 4/30/2014 50 49 E.I. du Pont de Nemours & Co. 6.50% 1/15/2028 100 106 ICI Wilmington 4.375% 12/1/2008 200 197 Inco Ltd. 5.70% 10/15/2015 200 195 International Paper Co. 6.75% 9/1/2011 300 324 International Paper Co. 5.85% 10/30/2012 425 432 International Paper Co. 5.50% 1/15/2014 100 98 International Paper Co. 5.25% 4/1/2016 200 188 Noranda, Inc. 7.25% 7/15/2012 200 210 Placer Dome, Inc. 6.45% 10/15/2035 100 100 Potash Corp. of Saskatchewan 7.75% 5/31/2011 200 228 Praxair, Inc. 6.90% 11/1/2006 125 135 Praxair, Inc. 3.95% 6/1/2013 350 321 Rohm & Haas Co. 9.80% 4/15/2020 220 280 Rohm & Haas Co. 7.85% 7/15/2029 100 120 Vale Overseas Ltd. 8.625% 3/8/2007 200 214 Westvaco Corp. 8.20% 1/15/2030 225 257 Weyerhaeuser Co. 5.50% 3/15/2005 267 272 Weyerhaeuser Co. 7.375% 3/15/2032 375 408 - ----------------------------------------------------------------------------------------------------------------
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- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- CAPITAL GOODS (1.3%) BAE Systems 2001 7.156% 12/15/2011(2) 113 121 Boeing Capital Corp. 6.50% 2/15/2012 675 729 Bombardier Capital Corp. 6.125% 6/29/2006(2) 100 100 CRH America Inc. 6.95% 3/15/2012 200 221 CRH America Inc. 6.40% 10/15/2033 100 100 Caterpillar Financial Services Corp. 5.95% 5/1/2006 500 526 Caterpillar, Inc. 7.375% 3/1/2097 250 284 Emerson Electric Co. 4.625% 10/15/2012 500 485 General Dynamics Corp. 2.125% 5/15/2006 100 98 General Dynamics Corp. 3.00% 5/15/2008 100 97 General Dynamics Corp. 4.25% 5/15/2013 350 326 General Electric Co. 5.00% 2/1/2013 675 665 Goodrich Corp. 6.45% 12/15/2007 300 321 Hanson PLC 5.25% 3/15/2013 325 316 Honeywell International, Inc. 6.125% 11/1/2011 200 213 Hutchison Whampoa International Ltd. 5.45% 11/24/2010(2) 125 123 Ingersoll-Rand Co. 6.25% 5/15/2006 150 158 John Deere Capital Corp. 3.90% 1/15/2008 750 750 John Deere Capital Corp. 7.00% 3/15/2012 350 392 Lockheed Martin Corp. 7.65% 5/1/2016 425 492 Lockheed Martin Corp. 8.50% 12/1/2029 200 250 Masco Corp. 6.75% 3/15/2006 500 530 Masco Corp. 6.50% 8/15/2032 100 102 Northrop Grumman Corp. 7.75% 2/15/2031 150 175 Raytheon Co. 4.50% 11/15/2007 800 813 Raytheon Co. 5.50% 11/15/2012 200 202 Raytheon Co. 5.375% 4/1/2013 100 100 Republic Services, Inc. 7.125% 5/15/2009 200 222 TRW, Inc. 7.75% 6/1/2029 450 520 Textron Financial Corp. 5.875% 6/1/2007 300 318 Textron, Inc. 6.50% 6/1/2012 100 108 The Boeing Co. 8.75% 8/15/2021 300 376 The Boeing Co. 6.125% 2/15/2033 125 121 Tyco International Group SA 5.80% 8/1/2006 250 261 Tyco International Group SA 6.75% 2/15/2011 175 190 Tyco International Group SA 6.375% 10/15/2011 175 187 Tyco International Group SA 6.00% 11/15/2013 175 180 Tyco International Group SA 6.875% 1/15/2029 175 182 USA Waste Services, Inc. 7.00% 7/15/2028 150 157 United Technologies Corp. 4.875% 11/1/2006 425 440 United Technologies Corp. 7.50% 9/15/2029 200 237 Waste Management, Inc. 6.50% 11/15/2008 250 271 Waste Management, Inc. 7.375% 8/1/2010 100 112 Waste Management, Inc. 5.00% 3/15/2014 75 71 Waste Management, Inc. 7.75% 5/15/2032 100 114 COMMUNICATION (2.7%) AT&T Broadband Corp. 8.375% 3/15/2013 100 118 AT&T Broadband Corp. 9.455% 11/15/2022 100 129 AT&T Corp. 8.05% 11/15/2011 150 154 AT&T Corp. 8.75% 11/15/2031 525 511 - ----------------------------------------------------------------------------------------------------------------
20
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- AT&T Wireless Services, Inc. 7.875% 3/1/2011 450 513 AT&T Wireless Services, Inc. 8.125% 5/1/2012 375 434 AT&T Wireless Services, Inc. 8.75% 3/1/2031 500 612 America Movil SA de C.V. 4.125% 3/1/2009(2) 250 235 America Movil SA de C.V. 5.50% 3/1/2014(2) 125 115 BellSouth Capital Funding 7.875% 2/15/2030 900 1,045 BellSouth Corp. 6.55% 6/15/2034 75 75 BellSouth Telecommunications 6.375% 6/1/2028 250 247 British Sky Broadcasting Corp. 7.30% 10/15/2006 75 81 British Sky Broadcasting Corp. 6.875% 2/23/2009 75 82 British Sky Broadcasting Corp. 8.20% 7/15/2009 75 87 British Telecommunications PLC 7.875% 12/15/2005 650 695 British Telecommunications PLC 8.875% 12/15/2030 525 649 Century Tel Enterprises 6.875% 1/15/2028 100 97 Cingular Wireless 7.125% 12/15/2031 100 105 Citizens Communications 9.00% 8/15/2031 275 268 Clear Channel Communications, Inc. 7.65% 9/15/2010 500 564 Comcast Cable Communications, Inc. 6.375% 1/30/2006 250 262 Comcast Cable Communications, Inc. 6.75% 1/30/2011 250 270 Comcast Cable Communications, Inc. 8.875% 5/1/2017 200 244 Comcast Corp. 5.30% 1/15/2014 400 386 Comcast Corp. 6.50% 1/15/2015 350 364 Comcast Corp. 7.05% 3/15/2033 100 104 Cox Communications, Inc. 3.875% 10/1/2008 250 244 Cox Communications, Inc. 7.75% 11/1/2010 200 226 Deutsche Telekom International Finance 3.875% 7/22/2008 100 98 Deutsche Telekom International Finance 8.50% 6/15/2010 600 700 Deutsche Telekom International Finance 5.25% 7/22/2013 100 98 Deutsche Telekom International Finance 8.75% 6/15/2030 400 488 France Telecom 8.20% 3/1/2006 500 536 France Telecom 8.75% 3/1/2011 250 289 France Telecom 9.50% 3/1/2031 275 345 GTE Corp. 8.75% 11/1/2021 100 123 GTE South, Inc. 6.125% 6/15/2007 700 742 International Telecom Satellite 7.625% 4/15/2012 75 72 Koninklijke KPN NV 8.00% 10/1/2010 275 319 Koninklijke KPN NV 8.375% 10/1/2030 200 242 New England Telephone & Telegraph Co. 7.875% 11/15/2029 100 115 News America Holdings, Inc. 9.25% 2/1/2013 200 252 News America Holdings, Inc. 8.00% 10/17/2016 175 205 News America Holdings, Inc. 8.15% 10/17/2036 125 150 News America Holdings, Inc. 7.75% 12/1/2045 300 343 R.R. Donnelley & Sons Co. 3.75% 4/1/2009(2) 100 97 R.R. Donnelley & Sons Co. 4.95% 4/1/2014(2) 125 119 SBC Communications, Inc. 5.75% 5/2/2006 200 209 SBC Communications, Inc. 6.25% 3/15/2011 225 239 SBC Communications, Inc. 5.875% 8/15/2012 1,000 1,030 Sprint Capital Corp. 6.00% 1/15/2007 400 419 Sprint Capital Corp. 6.125% 11/15/2008 400 421 Sprint Capital Corp. 7.625% 1/30/2011 100 111 Sprint Capital Corp. 8.75% 3/15/2032 1,025 1,194 TCI Communications, Inc. 8.00% 8/1/2005 465 491 - ----------------------------------------------------------------------------------------------------------------
21
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- TCI Communications, Inc. 8.75% 8/1/2015 175 211 Tele-Communications, Inc. 7.875% 8/1/2013 150 172 Telecom Italia Capital 4.00% 11/15/2008(2) 375 368 Telecom Italia Capital 5.25% 11/15/2013(2) 250 242 Telecom Italia Capital 6.375% 11/15/2033(2) 100 96 Telecomunicaciones de Puerto Rico 6.65% 5/15/2006 125 132 Telefonica Europe BV 7.35% 9/15/2005 275 290 Telefonica Europe BV 8.25% 9/15/2030 375 456 Telefonos de Mexico SA 8.25% 1/26/2006 175 187 Telefonos de Mexico SA 4.50% 11/19/2008 200 193 Telus Corp. 7.50% 6/1/2007 175 191 Telus Corp. 8.00% 6/1/2011 275 315 Time Warner Entertainment 8.375% 3/15/2023 100 116 Time Warner Entertainment 8.375% 7/15/2033 450 532 US Cellular 6.70% 12/15/2033 175 166 USA Interactive 7.00% 1/15/2013 300 325 Univision Communications, Inc. 2.875% 10/15/2006 100 99 Univision Communications, Inc. 3.50% 10/15/2007 150 148 Verizon Global Funding Corp. 4.00% 1/15/2008 100 100 Verizon Global Funding Corp. 6.75% 12/1/2005 325 343 Verizon New Jersey, Inc. 5.875% 1/17/2012 400 412 Verizon New York, Inc. 6.875% 4/1/2012 175 188 Verizon New York, Inc. 7.375% 4/1/2032 600 630 Verizon Pennsylvania, Inc. 5.65% 11/15/2011 475 482 Verizon Wireless Capital 5.375% 12/15/2006 400 418 Vodafone AirTouch PLC 7.75% 2/15/2010 175 201 Vodafone AirTouch PLC 7.875% 2/15/2030 625 739 WPP Finance USA Corp. 5.875% 6/15/2014(2) 150 151 CONSUMER CYCLICAL (2.9%) AOL Time Warner, Inc. 6.125% 4/15/2006 650 682 AOL Time Warner, Inc. 6.15% 5/1/2007 525 557 AOL Time Warner, Inc. 6.75% 4/15/2011 100 108 AOL Time Warner, Inc. 7.625% 4/15/2031 600 658 AOL Time Warner, Inc. 7.70% 5/1/2032 150 166 Brinker International 5.75% 6/1/2014(2) 75 75 Cendant Corp. 6.25% 1/15/2008 350 371 Cendant Corp. 7.375% 1/15/2013 175 195 Cendant Corp. 6.875% 8/15/2006 245 262 Centex Corp. 5.125% 10/1/2013 100 94 Costco Wholesale Corp. 5.50% 3/15/2007 175 184 DaimlerChrysler North America Holding Corp. 7.375% 9/15/2006 975 1,048 DaimlerChrysler North America Holding Corp. 4.05% 6/4/2008 250 245 DaimlerChrysler North America Holding Corp. 8.00% 6/15/2010 200 226 DaimlerChrysler North America Holding Corp. 7.30% 1/15/2012 225 244 DaimlerChrysler North America Holding Corp. 6.50% 11/15/2013 300 307 DaimlerChrysler North America Holding Corp. 8.50% 1/18/2031 400 458 Dayton Hudson Corp. 6.65% 8/1/2028 250 266 Delphi Corp. 6.50% 8/15/2013 300 304 The Walt Disney Co. 5.375% 6/1/2007 500 520 The Walt Disney Co. 6.375% 3/1/2012 250 268 Federated Department Stores, Inc. 6.90% 4/1/2029 200 207 - ----------------------------------------------------------------------------------------------------------------
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- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Ford Capital BV 9.50% 6/1/2010 225 255 Ford Motor Co. 7.45% 7/16/2031 875 830 Ford Motor Co. 9.98% 2/15/2047 650 762 Ford Motor Credit Co. 6.875% 2/1/2006 1,275 1,338 Ford Motor Credit Co. 6.50% 1/25/2007 1,575 1,656 Ford Motor Credit Co. 7.375% 10/28/2009 100 107 Ford Motor Credit Co. 7.875% 6/15/2010 250 272 Ford Motor Credit Co. 7.375% 2/1/2011 125 132 Ford Motor Credit Co. 7.25% 10/25/2011 1,000 1,046 Ford Motor Credit Co. 7.00% 10/1/2013 450 454 General Motors Acceptance Corp. 6.75% 1/15/2006 200 209 General Motors Acceptance Corp. 4.50% 7/15/2006 375 380 General Motors Acceptance Corp. 6.125% 9/15/2006 600 625 General Motors Acceptance Corp. 5.625% 5/15/2009 125 125 General Motors Acceptance Corp. 7.75% 1/19/2010 1,075 1,166 General Motors Acceptance Corp. 7.25% 3/2/2011 250 262 General Motors Acceptance Corp. 6.875% 9/15/2011 500 513 General Motors Acceptance Corp. 7.00% 2/1/2012 825 849 General Motors Acceptance Corp. 6.875% 8/28/2012 900 914 General Motors Acceptance Corp. 8.00% 11/1/2031 100 102 General Motors Corp. 7.20% 1/15/2011 250 261 General Motors Corp. 8.25% 7/15/2023 150 157 General Motors Corp. 7.40% 9/1/2025 350 337 General Motors Corp. 6.75% 5/1/2028 375 337 General Motors Corp. 8.375% 7/15/2033 400 421 Harrah's Operating Co., Inc. 7.125% 6/1/2007 175 188 Harrah's Operating Co., Inc. 7.50% 1/15/2009 250 273 Harrah's Operating Co., Inc. 5.375% 12/15/2013 25 23 Kohl's Corp. 6.00% 1/15/2033 100 96 Liberty Media Corp. 3.50% 9/25/2006 200 200 Liberty Media Corp. 8.25% 2/1/2030 250 287 Lowe's Cos., Inc. 6.875% 2/15/2028 250 273 May Department Stores Co. 9.75% 2/15/2021 340 429 McDonald's Corp. 6.00% 4/15/2011 250 266 Nordstrom, Inc. 6.95% 3/15/2028 100 105 Pulte Homes, Inc. 5.25% 1/15/2014 175 166 Pulte Homes, Inc. 7.875% 6/15/2032 75 82 Target Corp. 3.375% 3/1/2008 500 492 Target Corp. 5.40% 10/1/2008 450 471 Target Corp. 6.35% 11/1/2032 100 103 Toyota Motor Credit Corp. 4.35% 12/15/2010 200 198 Tricon Global Restaurants, Inc. 8.875% 4/15/2011 200 241 Viacom International Inc. 7.75% 6/1/2005 375 392 Viacom International Inc. 6.625% 5/15/2011 100 109 Viacom International Inc. 5.625% 8/15/2012 300 304 Viacom International Inc. 7.875% 7/30/2030 225 266 Viacom International Inc. 5.50% 5/15/2033 100 89 Wal-Mart Stores, Inc. 4.375% 7/12/2007 250 255 Wal-Mart Stores, Inc. 4.125% 2/15/2011 175 169 Wal-Mart Stores, Inc. 7.55% 2/15/2030 400 479 Wal-Mart Stores, Inc. Canada 5.58% 5/1/2006(2) 1,150 1,202 Yum! Brands, Inc. 7.70% 7/1/2012 100 114 - ----------------------------------------------------------------------------------------------------------------
23
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- CONSUMER NONCYCLICAL (2.1%) Abbott Laboratories 5.625% 7/1/2006 300 314 Abbott Laboratories 3.50% 2/17/2009 175 170 Albertson's, Inc. 7.50% 2/15/2011 150 168 Albertson's, Inc. 7.45% 8/1/2029 150 161 Albertson's, Inc. 8.00% 5/1/2031 150 172 Altria Group, Inc. 5.625% 11/4/2008 275 275 Anheuser-Busch Cos., Inc. 7.125% 7/1/2017 475 524 Archer-Daniels-Midland Co. 8.125% 6/1/2012 300 360 Archer-Daniels-Midland Co. 5.935% 10/1/2032 150 146 AstraZeneca PLC 5.40% 6/1/2014 150 153 C.R. Bard, Inc. 6.70% 12/1/2026 200 213 Baxter International, Inc. 5.25% 5/1/2007 250 259 Boston Scientific 5.45% 6/15/2014 125 126 Bottling Group LLC 4.625% 11/15/2012 250 243 Bristol-Myers Squibb Co. 4.00% 8/15/2008(2) 250 248 Bristol-Myers Squibb Co. 5.75% 10/1/2011 550 571 Bristol-Myers Squibb Co. 5.25% 8/15/2013(2) 250 249 Bunge Ltd. Finance Corp. 4.375% 12/15/2008 200 198 Bunge Ltd. Finance Corp. 5.35% 4/15/2014(2) 100 96 CIGNA Corp. 7.40% 5/15/2007 200 218 Campbell Soup Co. 6.75% 2/15/2011 400 441 Cia. Brasil de Bebidas AmBev 10.50% 12/15/2011 90 103 Cia. Brasil de Bebidas AmBev 8.75% 9/15/2013(2) 150 158 Coca-Cola Enterprises Inc. 6.125% 8/15/2011 800 859 Coca-Cola Enterprises Inc. 8.50% 2/1/2022 75 95 Coca-Cola Enterprises Inc. 6.75% 9/15/2028 250 270 Conagra, Inc. 7.875% 9/15/2010 575 660 Diageo Capital PLC 3.375% 3/20/2008 250 245 Eli Lilly & Co. 6.00% 3/15/2012 125 133 Fred Meyer, Inc. 7.375% 3/1/2005 400 414 General Mills, Inc. 2.625% 10/24/2006 300 294 General Mills, Inc. 5.125% 2/15/2007 475 492 GlaxoSmithKline Capital Inc. 2.375% 4/16/2007 25 24 GlaxoSmithKline Capital Inc. 4.375% 4/15/2014 350 329 Grand Metropolitan Investment Corp. 9.00% 8/15/2011 400 491 Health Care Services Corp. 7.75% 6/15/2011(2) 200 223 H.J. Heinz Co. 6.375% 7/15/2028 225 232 Hospira, Inc. 4.95% 6/15/2009(2) 125 126 Hospira, Inc. 5.90% 6/15/2014(2) 75 76 Imperial Tobacco 7.125% 4/1/2009 175 192 International Flavors & Fragrances 6.45% 5/15/2006 75 79 Johnson & Johnson 3.80% 5/15/2013 225 207 Johnson & Johnson 4.95% 5/15/2033 125 109 Kellogg Co. 6.00% 4/1/2006 300 315 Kellogg Co. 7.45% 4/1/2031 350 403 Kimberly-Clark Corp. 5.625% 2/15/2012 100 105 Kraft Foods, Inc. 4.625% 11/1/2006 925 947 Kraft Foods, Inc. 5.625% 11/1/2011 225 229 Kraft Foods, Inc. 6.50% 11/1/2031 225 227 Kroger Co. 7.70% 6/1/2029 175 197 Kroger Co. 8.00% 9/15/2029 250 290 - ----------------------------------------------------------------------------------------------------------------
24
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Merck & Co. 6.40% 3/1/2028 125 132 Pepsi Bottling Group, Inc. 7.00% 3/1/2029 250 278 Pfizer, Inc. 4.50% 2/15/2014 725 694 Philip Morris Cos., Inc. 7.00% 7/15/2005 475 491 Procter & Gamble Co. ESOP 9.36% 1/1/2021 600 788 Quest Diagnostic, Inc. 6.75% 7/12/2006 325 347 Safeway, Inc. 6.50% 3/1/2011 450 477 Safeway, Inc. 5.80% 8/15/2012 125 126 Sara Lee Corp. 6.125% 11/1/2032 200 199 Schering-Plough Corp. 5.30% 12/1/2013 200 196 Schering-Plough Corp. 6.50% 12/1/2033 150 149 Tyson Foods, Inc. 7.25% 10/1/2006 200 214 Tyson Foods, Inc. 8.25% 10/1/2011 200 230 Unilever Capital Corp. 6.875% 11/1/2005 400 422 Unilever Capital Corp. 7.125% 11/1/2010 150 169 UnitedHealth Group, Inc. 5.20% 1/17/2007 375 390 Wellpoint Health Networks Inc. 6.375% 1/15/2012 200 212 Wyeth 4.375% 3/1/2008 425 426 Wyeth 5.50% 3/15/2013 250 242 Wyeth 6.50% 2/1/2034 100 94 Wyeth 5.50% 2/1/2014 100 96 ENERGY (1.2%) Alberta Energy Co. Ltd. 7.375% 11/1/2031 225 254 Anadarko Finance Co. 7.50% 5/1/2031 350 400 Anadarko Petroleum Corp. 6.125% 3/15/2012 200 211 Apache Finance Canada 7.75% 12/15/2029 75 91 BP Capital Markets PLC 2.35% 6/15/2006 500 495 BP Capital Markets PLC 2.75% 12/29/2006 50 50 BP Capital Markets PLC 2.625% 3/15/2007 150 147 Baker Hughes, Inc. 6.25% 1/15/2009 300 325 Burlington Resources, Inc. 7.40% 12/1/2031 250 284 Canadian Natural Resources 5.45% 10/1/2012 100 101 Canadian Natural Resources 7.20% 1/15/2032 200 224 Conoco Funding Co. 5.45% 10/15/2006 500 523 Conoco Funding Co. 6.35% 10/15/2011 775 841 ConocoPhillips 5.90% 10/15/2032 500 484 Devon Energy Corp. 7.95% 4/15/2032 300 347 Devon Financing Corp. 7.875% 9/30/2031 100 115 Devon Financing Corp. 6.875% 9/30/2011 500 544 Encana Holdings Finance Corp. 5.80% 5/1/2014 100 102 Halliburton Co. 5.50% 10/15/2010 125 126 Halliburton Co. 8.75% 2/15/2021 100 119 Kerr McGee Corp. 6.95% 7/1/2024 125 125 LG Caltex Oil Corp. 7.75% 7/25/2011(2) 200 226 Marathon Oil Corp. 6.125% 3/15/2012 300 317 Marathon Oil Corp. 6.80% 3/15/2032 100 104 Nexen, Inc. 5.05% 11/20/2013 200 192 Norsk Hydro 7.25% 9/23/2027 200 227 Norsk Hydro 7.15% 1/15/2029 300 337 Occidental Petroleum 6.75% 1/15/2012 200 220 Occidental Petroleum 7.20% 4/1/2028 200 223 - ----------------------------------------------------------------------------------------------------------------
25
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust 6.60% 12/1/2011(1)(2) 300 315 PanCanadian Energy Corp. 7.20% 11/1/2031 125 138 Pemex Project Funding Master Trust 7.875% 2/1/2009 200 217 Pemex Project Funding Master Trust 7.375% 12/15/2014 350 356 Pemex Project Funding Master Trust 8.625% 2/1/2022 350 362 Petro-Canada 4.00% 7/15/2013 400 355 Suncor Energy, Inc. 7.15% 2/1/2032 325 363 Texaco Capital, Inc. 5.50% 1/15/2009 500 528 Transocean Sedco Forex, Inc. 6.625% 4/15/2011 425 465 Union Oil Co. of California 5.05% 10/1/2012 300 296 Valero Energy Corp. 6.875% 4/15/2012 425 459 TECHNOLOGY (0.5%) Computer Sciences Corp. 6.75% 6/15/2006 225 240 Eastman Kodak Co. 3.625% 5/15/2008 250 238 Electronic Data Systems 6.00% 8/1/2013 350 335 First Data Corp. 4.70% 11/1/2006 250 258 First Data Corp. 3.375% 8/1/2008 300 292 Hewlett-Packard Co. 3.625% 3/15/2008 800 790 International Business Machines Corp. 6.45% 8/1/2007 600 649 International Business Machines Corp. 7.00% 10/30/2025 450 500 International Business Machines Corp. 7.125% 12/1/2096 275 298 Motorola, Inc. 7.625% 11/15/2010 400 449 Motorola, Inc. 8.00% 11/1/2011 100 115 Motorola, Inc. 7.50% 5/15/2025 200 214 Science Applications International Corp. 6.25% 7/1/2012 50 53 Science Applications International Corp. 5.50% 7/1/2033 50 44 SunGard Data Systems, Inc. 3.75% 1/15/2009 50 48 SunGard Data Systems, Inc. 4.875% 1/15/2014 50 47 Texas Instruments, Inc. 6.125% 2/1/2006 100 105 TRANSPORTATION (0.6%) American Airlines, Inc. Pass-Through Certificates 7.024% 10/15/2009 325 323 Burlington Northern Santa Fe Corp. 7.875% 4/15/2007 350 388 CNF, Inc. 6.70% 5/1/2034(2) 150 147 CSX Corp. 6.75% 3/15/2011 200 217 Canadian National Railway Co. 6.80% 7/15/2018 375 408 Canadian Pacific Rail 6.25% 10/15/2011 325 349 Consolidated Rail Corp. 9.75% 6/15/2020 100 134 Continental Airlines Enhanced Equipment Trust Certificates 6.648% 9/15/2017 277 257 Delta Air Lines Enhanced Equipment Trust Certificates 7.111% 9/18/2011 350 321 ERAC USA Finance Co. 7.35% 6/15/2008(2) 175 194 FedEx Corp. 2.65% 4/1/2007(2) 150 146 FedEx Corp. 3.50% 4/1/2009(2) 75 72 Hertz Corp. 6.35% 6/15/2010 100 100 Hertz Corp. 7.40% 3/1/2011 525 549 Hertz Corp. 7.625% 6/1/2012 125 131 MISC Capital Ltd. 5.00% 7/1/2009(2) 175 175 MISC Capital Ltd. 6.125% 7/1/2014(2) 200 199 - ----------------------------------------------------------------------------------------------------------------
26
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Norfolk Southern Corp. 8.375% 5/15/2005 525 549 Norfolk Southern Corp. 7.90% 5/15/2097 325 375 Northwest Airlines, Inc. Pass-Through Certificates 6.841% 4/1/2011 100 97 Southwest Airlines Co. 6.50% 3/1/2012 150 158 Union Pacific Corp. 3.625% 6/1/2010 500 468 Union Pacific Corp. 7.00% 2/1/2016 300 330 OTHER Rockwell International Corp. 6.70% 1/15/2028 100 105 -------- 116,948 -------- UTILITIES (1.9%) ELECTRIC (1.5%) AEP Texas Central Co. 5.50% 2/15/2013 225 226 AEP Texas Central Co. 6.65% 2/15/2033 150 154 Alabama Power Co. 5.50% 10/15/2017 275 275 American Electric Power 6.125% 5/15/2006 125 131 Arizona Public Service Co. 4.65% 5/15/2015 500 455 Boston Edison Co. 4.875% 4/15/2014 100 97 Cincinnati Gas & Electric Co. 5.70% 9/15/2012 350 356 Cleveland Electric Illumination Co. 7.88% 11/1/2017 100 115 Commonwealth Edison Co. 3.70% 2/1/2008 100 99 Commonwealth Edison Co. 6.15% 3/15/2012 100 107 Commonwealth Edison Co. 4.70% 4/15/2015 100 95 Consolidated Edison, Inc. 6.625% 12/15/2005 325 343 Constellation Energy Group, Inc. 6.125% 9/1/2009 500 530 Constellation Energy Group, Inc. 7.00% 4/1/2012 125 136 Consumers Energy Co. 4.25% 4/15/2008 100 99 Consumers Energy Co. 4.80% 2/17/2009 250 251 Consumers Energy Co. 5.375% 4/15/2013 100 98 Dominion Resources, Inc. 5.25% 8/1/2015 100 96 Duke Capital Corp. 6.75% 2/15/2032 175 170 Duke Energy Corp. 6.45% 10/15/2032 350 343 Energy East Corp. 6.75% 6/15/2012 300 321 Entergy Gulf States 3.60% 6/1/2005 150 145 Florida Power & Light 6.875% 12/1/2005 600 634 Florida Power & Light 5.95% 10/1/2033 150 148 HQI Transelec Chile SA 7.875% 4/15/2011 225 251 Jersey Central Power & Light 5.625% 5/1/2016(2) 150 147 MidAmerican Energy Co. 6.75% 12/30/2031 625 676 National Rural Utilities Cooperative Finance Corp. 6.50% 3/1/2007 200 215 National Rural Utilities Cooperative Finance Corp. 5.75% 8/28/2009 1,000 1,059 NiSource Finance Corp. 3.20% 11/1/2006 300 298 NiSource Finance Corp. 7.875% 11/15/2010 150 172 Oncor Electric Delivery Co. 6.375% 5/1/2012 150 161 Oncor Electric Delivery Co. 6.375% 1/15/2015 200 212 Oncor Electric Delivery Co. 7.25% 1/15/2033 200 225 PSEG Power Corp. 6.875% 4/15/2006 225 239 PSEG Power Corp. 6.95% 6/1/2012 200 217 PSEG Power Corp. 8.625% 4/15/2031 125 153 - ----------------------------------------------------------------------------------------------------------------
27
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- PacifiCorp 6.90% 11/15/2011 275 305 Pacific Gas & Electric Co. 3.60% 3/1/2009 100 96 Pacific Gas & Electric Co. 4.20% 3/1/2011 125 119 Pacific Gas & Electric Co. 4.80% 3/1/2014 75 71 Pacific Gas & Electric Co. 6.05% 3/1/2034 525 494 Pepco Holdings, Inc. 6.45% 8/15/2012 200 207 Pepco Holdings, Inc. 7.45% 8/15/2032 100 107 Progress Energy, Inc. 6.05% 4/15/2007 100 105 Progress Energy, Inc. 7.10% 3/1/2011 850 931 Public Service Co. of Colorado 4.375% 10/1/2008 550 554 SCANA Corp. 6.25% 2/1/2012 400 424 Southern California Edison Co. 5.00% 1/15/2014 150 146 Southern California Edison Co. 6.00% 1/15/2034 250 240 Southern California Edison Co. 5.75% 4/1/2035 125 116 United Utilities PLC 5.375% 2/1/2019 350 325 Virginia Electric & Power Co. 5.375% 2/1/2007 475 495 Wisconsin Electric Power Co. 5.625% 5/15/2033 100 93 XCEL Energy, Inc. 7.00% 12/1/2010 125 139 NATURAL GAS (0.4%) Columbia Energy Group 7.62% 11/28/2025 150 159 Consolidated Natural Gas 5.375% 11/1/2006 425 442 Consolidated Natural Gas 6.25% 11/1/2011 500 533 Duke Energy Field Services 7.50% 8/16/2005 225 236 Duke Energy Field Services 8.125% 8/16/2030 150 175 Keyspan Corp. 7.25% 11/15/2005 425 449 Kinder Morgan Energy Partners, LP 7.30% 8/15/2033 250 265 Kinder Morgan, Inc. 6.50% 9/1/2012 500 529 Panhandle Eastern Pipeline 2.75% 3/15/2007(2) 100 97 Sempra Energy 6.95% 12/1/2005 350 369 Southern Union Co. 7.60% 2/1/2024 200 211 Texas Gas Transmission 4.60% 6/1/2015 150 137 Trans-Canada Pipelines 4.00% 6/15/2013 375 342 --------- 18,360 --------- - ---------------------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS (Cost $288,378) 290,543 - ---------------------------------------------------------------------------------------------------------------- SOVEREIGN BONDS (U.S. Dollar-Denominated) (2.4%) - ---------------------------------------------------------------------------------------------------------------- Canadian Government 6.75% 8/28/2006 650 701 Eksportfinans 4.375% 7/15/2009 225 226 Export Development Canada 4.00% 8/1/2007 200 202 Federation of Malaysia 8.75% 6/1/2009 250 295 Federation of Malaysia 7.50% 7/15/2011 175 199 Hellenic Republic 6.95% 3/4/2008 250 276 Instituto de Credito Oficial 6.00% 5/19/2008 200 215 International Finance Corp. 3.00% 4/15/2008 450 441 Kredit Fuer Wiederaufbau 2.375% 9/25/2006 200 197 Kredit Fuer Wiederaufbau 3.375% 1/23/2008 200 198 Kredit Fuer Wiederaufbau 3.25% 3/30/2009 75 73 Landwirtschaft Rentenbank 3.375% 11/15/2007 500 496 Landwirtschaft Rentenbank 3.25% 6/16/2008 200 196 Landwirtschaft Rentenbank 3.875% 9/4/2008 250 250 - ----------------------------------------------------------------------------------------------------------------
28
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Ontario Hydro Electric 6.10% 1/30/2008 200 215 People's Republic of China 7.30% 12/15/2008 100 112 People's Republic of China 4.75% 10/29/2013 100 96 Petroleos Mexicanos 6.50% 2/1/2005 750 769 Province of British Columbia 5.375% 10/29/2008 470 497 Province of Manitoba 7.50% 2/22/2010 500 579 Province of New Brunswick 3.50% 10/23/2007 200 199 Province of Nova Scotia 5.75% 2/27/2012 125 133 Province of Ontario 5.50% 10/1/2008 1,600 1,692 Province of Quebec 5.75% 2/15/2009 550 588 Province of Quebec 5.00% 7/17/2009 500 517 Province of Quebec 7.50% 9/15/2029 250 303 Province of Saskatchewan 7.375% 7/15/2013 250 294 Quebec Hydro Electric 6.30% 5/11/2011 500 546 Quebec Hydro Electric 7.50% 4/1/2016 500 598 Region of Lombardy 5.804% 10/25/2032 250 246 Republic of Chile 5.625% 7/23/2007 450 471 Republic of Finland 5.875% 2/27/2006 125 131 Republic of Finland 4.75% 3/6/2007 125 130 Republic of Italy 4.375% 10/25/2006 500 513 Republic of Italy 3.625% 9/14/2007 2,225 2,225 Republic of Italy 3.25% 5/15/2009 50 48 Republic of Italy 5.625% 6/15/2012 1,400 1,474 Republic of Italy 6.875% 9/27/2023 425 481 Republic of Italy 5.375% 6/15/2033 50 47 Republic of Korea 8.875% 4/15/2008 200 232 Republic of Korea 4.25% 6/1/2013 250 230 Republic of South Africa 7.375% 4/25/2012 225 244 Republic of South Africa 6.50% 6/2/2014 175 177 Republic of South Africa 8.50% 6/23/2017 175 199 State of Israel 4.625% 6/15/2013 125 115 Swedish Export Credit 2.875% 1/26/2007 225 223 United Mexican States 9.875% 1/15/2007 600 684 United Mexican States 8.625% 3/12/2008 175 197 United Mexican States 4.625% 10/8/2008 325 319 United Mexican States 9.875% 2/1/2010 300 360 United Mexican States 8.375% 1/14/2011 1,275 1,438 United Mexican States 6.375% 1/16/2013 250 249 United Mexican States 11.375% 9/15/2016 50 70 United Mexican States 8.125% 12/30/2019 100 107 United Mexican States 8.30% 8/15/2031 1,100 1,150 United Mexican States 7.50% 4/8/2033 150 145 - ---------------------------------------------------------------------------------------------------------------- TOTAL SOVEREIGN BONDS (Cost $23,114) 23,008 - ---------------------------------------------------------------------------------------------------------------- TAXABLE MUNICIPAL BONDS (0.2%) - ---------------------------------------------------------------------------------------------------------------- Illinois (Taxable Pension) GO 4.95% 6/1/2023 75 68 Illinois (Taxable Pension) GO 5.10% 6/1/2033 1,100 980 Kansas Dev. Finance Auth. Rev. (Public Employee Retirement System) 5.501% 5/1/2034 25 24 New Jersey Econ. Dev. Auth. State Pension Rev. 7.425% 2/15/2029 175 207 New Jersey Turnpike Auth. Rev. 4.252% 1/1/2016 175 162 - ----------------------------------------------------------------------------------------------------------------
29
- ---------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------------- Oregon (Taxable Pension) GO 5.762% 6/1/2023 125 126 Oregon (Taxable Pension) GO 5.892% 6/1/2027 125 126 Wisconsin Public Service Rev. 4.80% 5/1/2013 150 147 Wisconsin Public Service Rev. 5.70% 5/1/2026 150 147 - ---------------------------------------------------------------------------------------------------------------- TOTAL TAXABLE MUNICIPAL BONDS (Cost $2,016) 1,987 - ---------------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.7%) - ---------------------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account--Note E 1.466% 7/1/2004 2,018 2,018 Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.468% 7/1/2004 14,714 14,714 - ---------------------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $16,732) 16,732 - ---------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (101.2%) (Cost $990,143) 985,703 - ---------------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-1.2%) Other Assets 28,807 Liabilities--Note E (40,566) --------- (11,759) --------- - ---------------------------------------------------------------------------------------------------------------- NET ASSETS (100%) - ---------------------------------------------------------------------------------------------------------------- Applicable to 19,169,943 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $973,944 ================================================================================================================ NET ASSET VALUE PER SHARE $50.81 ================================================================================================================
*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)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2004, the aggregate value of these securities was $8,281,000, representing 0.9% of net assets. (3)Adjustable-rate note. GO-Government Obligation Bond. 30 AMOUNT PER (000) SHARE ================================================================================ AT JUNE 30, 2004, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $979,519 $51.10 Undistributed Net Investment Income -- -- Accumulated Net Realized Losses (1,197) (.06) Unrealized Appreciation (Depreciation) Investment Securities (4,440) (.23) Swap Contracts 62 -- - -------------------------------------------------------------------------------- NET ASSETS $973,944 $50.81 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 31 STATEMENT OF OPERATIONS This Statement shows the types of income earned by the fund during the reporting period, and details the operating expenses charged to the fund. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period. ================================================================================ INSTITUTIONAL TOTAL BOND MARKET INDEX FUND SIX MONTHS ENDED JUNE 30, 2004 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Interest $23,084 Security Lending 33 - -------------------------------------------------------------------------------- Total Income 23,117 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Management and Administrative 283 - -------------------------------------------------------------------------------- Total Expenses 283 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 22,834 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold 4,034 Swap Contracts 135 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) 4,169 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (23,251) Swap Contracts (339) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (23,590) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 3,413 ================================================================================ 32 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how the fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. Because the fund distributes its income to shareholders each day, the amounts of Distributions--Net Investment Income approximate the net income earned as shown under the Operations section. The amounts of Distributions--Realized Capital Gain may not match the capital gains shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the gains were realized on the financial statements. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, as well as the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed are shown at the end of the Statement. INSTITUTIONAL TOTAL BOND MARKET INDEX FUND SIX MONTHS YEAR ENDED ENDED JUNE 30, 2004 DEC. 31, 2003 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 22,834 $ 39,556 Realized Net Gain (Loss) 4,169 9,009 Change in Unrealized Appreciation (Depreciation) (23,590) (5,503) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 3,413 43,062 - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income (23,330) (40,547) Realized Capital Gain* (359) (4,003) - -------------------------------------------------------------------------------- Total Distributions (23,689) (44,550) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS1 Issued 114,284 423,202 Issued in Lieu of Cash Distributions 16,860 33,805 Redeemed (321,542) (275,964) - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (190,398) 181,043 - -------------------------------------------------------------------------------- Total Increase (Decrease) (210,674) 179,555 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 1,184,618 1,005,063 - -------------------------------------------------------------------------------- End of Period $973,944 $1,184,618 - -------------------------------------------------------------------------------- 1Shares Issued (Redeemed) Issued 2,200 8,136 Issued in Lieu of Cash Distributions 326 650 Redeemed (6,227) (5,282) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding (3,701) 3,504 ================================================================================ *Includes fiscal 2004 and 2003 short-term gain distributions totaling $0 and $2,653,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 33 FINANCIAL HIGHLIGHTS This table summarizes the fund's investment results and distributions to shareholders on a per-share basis. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year. INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- ------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR ENDED APRIL 26* TO JUNE 30, DEC. 31, DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $51.80 $51.89 $50.00 - ------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income 1.030 1.952 1.701 Net Realized and Unrealized Gain (Loss) on Investments (.947) .133 1.891 - ------------------------------------------------------------------------------------------------------ Total from Investment Operations .083 2.085 3.592 - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (1.056) (1.997) (1.690) Distributions from Realized Capital Gains (.017) (.178) (.012) - ------------------------------------------------------------------------------------------------------ Total Distributions (1.073) (2.175) (1.702) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $50.81 $51.80 $51.89 - ------------------------------------------------------------------------------------------------------ TOTAL RETURN 0.14% 4.08% 7.30% - ------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $974 $1,185 $1,005 Ratio of Total Expenses to Average Net Assets 0.05%** 0.05% 0.05%** Ratio of Net Investment Income to Average Net Assets 4.04%** 3.81% 4.57%** Portfolio Turnover+ 53%** 60% 64% ======================================================================================================
*Inception. **Annualized. +Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares. SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 34 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. 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. 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. 35 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 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. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund's tax-basis capital gains and losses are determined only at the end of each fiscal year. During the six months ended June 30, 2004, the fund realized $4,810,000 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. Realized and unrealized gains (losses) on certain of the fund's swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund's income dividends to shareholders is offset by a change in principal return. Realized gains on swap contracts of $496,000 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 June 30, 2004, net unrealized depreciation of investment securities for tax purposes was $4,440,000, consisting of unrealized gains of $7,154,000 on securities that had risen in value since their purchase and $11,594,000 in unrealized losses on securities that had fallen in value since their purchase. At June 30, 2004, 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 7/31/2004 DBS $ 9,000 0.56% $ 20 8/30/2004 BA 5,100 0.56 12 10/31/2004 BA 15,000 0.51 35 - ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., 6.00% 30-Year 7/31/2004 UBS 2,000 1.01 (36) - ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., 5.50% 30-Year 10/31/2004 UBS 5,000 1.13 1 - ------------------------------------------------------------------------------------------------------ Federal National Mortgage Association, 5.00% 15-Year 8/31/2004 UBS 7,000 1.18 38 10/31/2004 UBS 4,000 1.16 (7) - ------------------------------------------------------------------------------------------------------ Federal National Mortgage Association, 5.00% 30-Year 10/31/2004 UBS 2,000 1.16 (1) ------ $ 62 - ------------------------------------------------------------------------------------------------------
*BA--Bank of America. DBS--Deutsche Bank Securities. USB--UBS Warburg. **Based on one-month London InterBank Offered Rate (LIBOR). 36 D. During the six months ended June 30, 2004, the fund purchased $63,002,000 of investment securities and sold $141,822,000 of investment securities other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $339,421,000 and $380,057,000, respectively. E. The market value of securities on loan to broker/dealers at June 30, 2004, was $12,322,000, for which the fund held as collateral cash of $2,018,000 and U.S. government and agency securities with a market value of $10,777,000. 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. 37 INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM If you're like many Vanguard investors, you believe in planning and taking control of your own investments. Vanguard.com was built for you--and it keeps getting better. RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE Use our PLANNING & Advice and RESEARCH FUNDS & Stocks sections to: * Determine what asset allocation might best suit your needs--by taking our Investor Questionnaire. * Find out how much to save for retirement and your children's college education-- by using our planning tools. * Learn how to achieve your goals--by reading our PlainTalk(R) investment guides. * Find your next fund--by using the Compare Funds, Compare Costs, and Narrow Your Fund Choices tools. * Look up fund price, performance history, and distribution information--in a snap. INVEST AND MANAGE ACCOUNTS WITH EASE Log on to Vanguard.com to: * See what you own (at Vanguard and elsewhere) and how your investments are doing. * Elect to receive online statements, fund reports (like this one), prospectuses, and tax forms. * Analyze your portfolio's holdings and performance. * Open new accounts, buy and sell shares, and exchange money between funds--securely and easily. * Sign up to receive electronic newsletters from Vanguard informing you of news on our funds, products, and services, as well as on investing and the financial markets. Find out what Vanguard.com can do for you. Log on today! 38 CAPITALIZE ON YOUR IRA Are you taking full advantage of your individual retirement account? You really should be. These tax-deferred accounts are powerful options for retirement savers. Here's how you can exploit your IRA--and improve your chances of having the retirement of your dreams. CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR It may be an obvious point, but if you invest as much in your IRA as the law allows--currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over--you will increase the odds of meeting your retirement goals. "Max out" every year you can. MAKE IT AUTOMATIC Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit. CONSIDER COST The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice. REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS Don't spend your retirement assets before you've retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA. If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit VANGUARD.COM. You can open or fund your IRA on our website and have a confirmation in your hand within minutes. THE PEOPLE WHO GOVERN YOUR FUND - -------------------------------------------------------------------------------- The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard(R) funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the 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 of (1954) Board, Chief The Vanguard Group, Inc., and of each of the investment companies May 1987 Executive Officer, served by The Vanguard Group. and Trustee (131) - ------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (131) 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) (131) 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 (commu- nications components); Board Member of the American Chemistry Council; Trustee of Drexel University. - ------------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the HEISEN (131) Executive Committee of Johnson & Johnson (pharmaceuticals/ (1950) consumer products); Director of the University Medical Center at July 1998 Princeton and Women's Research and Education Institute. - ------------------------------------------------------------------------------------------------------------------ BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton (1932) (129) University; Director of Vanguard Investment Series plc (Irish invest- May 1977 ment fund) (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) (131) 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) (131) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (131) 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) (131) 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. - -------------------------------------------------------------------------------- THE VANGUARD GROUP (R) Post Office Box 2600 Valley Forge, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, PlainTalk, and the ship logo are trademarks of The Vanguard Group, Inc. All other marks are the exclusive property of their respective owners. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. 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. You can obtain a free copy of Vanguard's proxy voting guidelines by visiting our website, www.vanguard.com, and searching for "proxy voting guidelines," or by calling 1-800-662-2739. They are also available from the SEC's website, www.sec.gov. In addition, beginning August 31, 2004, you may obtain a free report on how the fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either www.vanguard.com or www.sec.gov. 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. Q3372 082004 VANGUARD(R) INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND June 30, 2004 [GRAPHIC OF SAILS] semiannual report 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 5 FUND PROFILE 6 GLOSSARY OF INVESTMENT TERMS 7 PERFORMANCE SUMMARY 8 ABOUT YOUR FUND'S EXPENSES 10 FINANCIAL STATEMENTS 54 ADVANTAGES OF VANGUARD.COM ================================================================================ SUMMARY * Vanguard Institutional Total Stock Market Index Fund met its objective of closely tracking the return of its target index during the six months ended June 30. * Large-capitalization stocks advanced modestly, as rising interest rates provoked investor anxiety. Small-cap stocks posted stronger returns. * Financial stocks, which play a significant role in the fund, generated modestly positive returns, but were restrained by rising rates. Energy stocks, which benefited from high oil prices, provided the best returns. - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- LETTER FROM THE CHAIRMAN - -------------------------------------------------------------------------------- [PICTURES OF JOHN J. BRENNAN] Dear Shareholder, During the six months ended June 30, 2004, the U.S. stock market got off to a strong start, but stalled as robust economic growth led to higher interest rates and raised the specter of rising inflation. Vanguard Institutional Total Stock Market Index Fund posted a modest half-year return, but succeeded in its objective of closely tracking the return of the Dow Jones Wilshire 5000 Composite Index. - -------------------------------------------------------------------------------- TOTAL RETURNS SIX MONTHS ENDED June 30, 2004 - -------------------------------------------------------------------------------- VANGUARD INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND Institutional Shares 4.0% Institutional Plus Shares 4.0 Dow Jones Wilshire 5000 Index 3.9 Average Multi-Cap Core Fund* 3.3 - -------------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. The adjacent table presents the total returns of the fund and its target index. For additional perspective, we also show the average return of multi-capitalization core funds. This group consists primarily of actively managed portfolios. The fund's starting and ending net asset values, as well as its income distributions, appear in a table on page 4. STOCKS GAINED AS THE ECONOMY REBOUNDED The U.S. stock market registered moderate returns in a positive economic environment. Corporate earnings growth was strong, and consumers grew more confident as economic growth--and job creation--accelerated. Gains were tempered, however, by a two-month period in which indicators of rising inflation rattled investors. Unrest in the Middle East and growing global demand pushed the price of oil past a level last seen more than 20 years earlier, during the Iran-Iraq War. But good economic news was back in the headlines in May and June, prompting a snapback for stocks. 1 For the six months, the Russell 1000 Index of mid- to large-cap stocks produced a 3.3% gain, while the Russell 2000 Index, a proxy for small-cap stocks, jumped 6.8%. Across the market-cap spectrum, value-oriented stocks (those that generally trade at below-market valuations relative to their earnings and other fundamental measures) outdistanced growth stocks (those expected to produce above-average earnings growth). BONDS REACTED TO THE STRONGER ECONOMY In the fixed income markets, rates stayed at historically low levels during the first half of the period, then rose sharply in April as the economy strengthened. For the six months, the yield of the benchmark 10-year U.S. Treasury note increased 33 basis points (0.33 percentage point), from 4.25% to 4.58%. At the short end of the maturity spectrum, rates climbed more sharply in anticipation of the Federal Reserve Board's increase in its target federal funds rate. The Fed acted on June 30, lifting its target by 25 basis points, the first increase in four years. The yield of the 3-month Treasury bill, a proxy for money market rates, climbed from 0.92% at year-end 2003 to 1.26% on June 30. As earnings growth fortified corporate balance sheets, corporate bonds became more attractive, enhancing their performance relative to Treasuries. This trend was particularly obvious among lesser-quality bonds; the Lehman Brothers High Yield Bond Index, a benchmark of below-investment-grade bonds, posted a six-month return of 1.4%, compared with the 0.2% return of the broad market, as measured by the Lehman Aggregate Bond Index. - -------------------------------------------------------------------------------- MARKET BAROMETER Total Returns Periods Ended June 30, 2004 --------------------------- Six One Five Months Year Years* - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 3.3% 19.5% -1.6% Russell 2000 Index (Small-caps) 6.8 33.4 6.6 Dow Jones Wilshire 5000 Index 3.9 21.2 -1.0 (Entire market) MSCI All Country World Index ex USA (International) 4.1 32.5 1.0 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 0.2% 0.3% 6.9% (Broad taxable market) Lehman Municipal Bond Index -0.7 0.8 5.9 Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1 ================================================================================ CPI Consumer Price Index 2.9% 3.3% 2.7% - -------------------------------------------------------------------------------- *Annualized. 2 FINANCIALS WERE SUBDUED, WHILE ENERGY WAS STRONG During the past six months, the return of Vanguard Institutional Total Stock Market Index Fund was the product of subdued-to-weak results from large industry sectors such as financial services and technology, and stronger performances from small sectors such as "other energy." Energy-related stocks benefited from persistently high oil prices, while financial services stocks, which make up the broad stock market's largest sector, teetered as interest rates rose. (Higher rates boost the cost of funds for banks and brokerages, reducing the profitability of lending as well as other financial services operations.) Technology stocks, another sizable market sector, were the weakest performers, posting a modest loss overall. - ---------------------------------------- Corporate earnings growth was strong, but inlfationary presures cooled investor enthusiasm. - ---------------------------------------- The net result of these different sector performances was a six-month return of 4.0% for the Institutional and Institutional Plus Shares. The fund got a boost relative to funds that track the more widely followed Standard & Poor's 500 Index from its exposure to small and mid-sized companies, which, as noted earlier, outperformed large stocks. Of course, index fund managers can't control the market's absolute returns. The measure of an index fund manager's skill is a portfolio's ability to match index returns. Unlike indexes, which are theoretical constructs free of costs, index fund managers must develop portfolio-construction and trading techniques that minimize the real-world burden of operating and transaction costs. During the six-month period, the return of Vanguard Institutional Total Stock Market Index Fund was 0.1 percentage point higher than the index return, a testament to the index-portfolio-management skills of Vanguard Quantitative Equity Group, the fund's advisor. DO NOT WAVER IN THE FACE OF VOLATILITy The recent rise in interest rates has reverberated through both the stock and bond markets. A prudent response to this volatility is to remain focused on an investment plan designed to help your institution meet its financial goals. Vanguard has long advised its institutional clients that such a plan include an allocation to stock, bond, and money market 3 portfolios in proportions suited to the organization's unique circumstances. Vanguard Institutional Total Stock Market Index Fund is an excellent means of capturing the returns of the broad stock market at extremely low cost. Thank you for entrusting your institution's assets to Vanguard. Sincerely, /s/John J. Brennan John J. Brennan CHAIRMAN AND CHIEF EXECUTIVE OFFICER JULY 14, 2004
- ----------------------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE December 31, 2003-June 30, 2004 Distributions Per Share ------------------------------------------------ Starting Ending Income Capital Share Price Share Price Dividends Gains - ----------------------------------------------------------------------------------------------- INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND Institutional Shares $23.33 $24.10 $0.160 $0.000 Institutional Plus Shares 23.33 24.10 0.164 0.000 - ------------------------------------------------------------------------------------------------
4 AS OF 06/30/2004 FUND PROFILE This Profile provides a snapshot of the fund's characteristics, compared where appropriate with its unmanaged target index. Key terms are defined on page 6. - ------------------------------------------------ INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND - --------------------------------------------------------------- PORTFOLIO CHARACTERISTICS Target Fund Index* - --------------------------------------------------------------- Number of Stocks 3,395 5,064 Median Market Cap $27.5B $27.1B Price/Earnings Ratio 22.6x 22.5x Price/Book Ratio 2.8x 2.8x Yield 1.6% Institutional Shares 1.4% Institutional Plus Shares 1.4% Return on Equity 15.6% 15.7% Earnings Growth Rate 6.8% 6.7% Foreign Holdings 0.9% 0.9% Turnover Rate 8%** -- Expense Ratio -- Institutional Shares 0.06%** Institutional Plus Shares 0.025%** Short-Term Reserves 0% -- - --------------------------------------------------------------- - --------------------------------------------------------------- Ten Largest Holdings (% of total net assets) General Electric Co. 2.4% (conglomerate) Microsoft Corp. 2.2 (software) ExxonMobil Corp. 2.1 (oil) Pfizer Inc. 1.9 (pharmaceuticals) Citigroup, Inc. 1.7 (banking) Wal-Mart Stores, Inc. 1.6 (retail) American International Group, Inc. 1.3 (insurance) Intel Corp. 1.3 (electronics) Bank of America Corp. 1.2 (banking) Johnson & Johnson 1.2 (pharmaceuticals) Short-Term Reserves 0% -- - --------------------------------------------------------------- Top Ten 16.9% - --------------------------------------------------------------- "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - --------------------------------------- VOLATILITY MEASURES Target Fund Index* - ---------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - --------------------------------------- - --------------------------- INVESTMENT FOCUS [CHART] Market Cap Large Style Blend - --------------------------- - --------------------------------------------------------------- SECTOR DIVERSIFICATIONY (% of portfolio) Target Fund Index* - --------------------------------------------------------------- Auto & Transportation 3% 3% Consumer Discretionary 16 15 Consumer Staples 7 7 Financial Services 23 23 Health Care 13 13 Integrated Oils 3 4 Other Energy 4 3 Materials & Processing 3 4 Producer Durables 4 4 Technology 14 14 Utilities 6 6 Other 4 4 - --------------------------------------------------------------- *Dow Jones Wilshire 5000 Index **Annualized. YSecurity classification based on Wilshire Associates methodology. 5 - -------------------------------------------------------------------------------- GLOSSARY OF INVESTMENT TERMS - -------------------------------------------------------------------------------- BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of 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. - -------------------------------------------------------------------------------- 6 - -------------------------------------------------------------------------------- AS OG 06/30/2004 PERFORMANCE SUMMARY All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (For the performance data current to the most recent month-end, which may be higher or lower than that cited, visit our website at www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor's shares, when sold, 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 sale of fund shares. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) August 31, 2001-June 30, 2004 [BAR CHART] [40%---3%] INSTITUTIONAL TOTAL STOCK DOW JONES MARKET FUND WILSHIRE 5000 YEAR INSTITUTIONAL SHARES INDEX 2001 2.3% 2.3% 2002 -20.8 -20.9 2003 31.7 31.6 2004* 4.0 3.9 - -------------------------------------------------------------------------------- *Six months ended June 30, 2004. Note: See Financial Highlights tables on pages 49 and 50 for dividend and capital gains information.
- ----------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2004 Since Inception One--------------------------------- Inception Date Year Capital Income Total - --------------------------------------------------------------------------------------------------------- INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES 8/31/2001 21.33% 2.10% 1.67% 3.77% INSTITUTIONAL PLUS SHARES 5/31/2001 21.31 -1.18 1.52 0.34 - -----------------------------------------------------------------------------------------------------------
7 - -------------------------------------------------------------------------------- ABOUT YOUR FUND'S EXPENSES - -------------------------------------------------------------------------------- We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. In the six months ended June 30, 2004, the Institutional Shares of the Institutional Total Stock Market Index Fund had an annualized expense ratio of 0.06%; the fund's Institutional Plus Shares had an annualized expense ratio of 0.025%. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table below illustrates your fund's costs in two ways: * BASED ON ACTUAL FUND RETURN. This section helps you to estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." * BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's costs with those of other mutual funds. It assumes that the fund had a return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case--because the return used is not the fund's actual return--the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Six Months Ended June 30, 2004
Beginning Ending Expenses INSTITUTIONAL TOTAL Account Value Account Value Paid During STOCK MARKET INDEX FUND 12/31/2003 6/30/2004 Period* - ------------------------------------------------------------------------------------------------------------------- Based on Actual Fund Return Institutional Shares $1,000 $1,040 $0.30 Institutional Plus Shares 1,000 1,040 0.13 Based on Hypothetical 5% Return Institutional Shares $1,000 $1,050 $0.31 Institutional Plus Shares 1,000 1,050 0.13 - ------------------------------------------------------------------------------------------------------------------- *Expenses are equal to the fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.
8 Note that the expenses shown in the table on page 8 are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs or account maintenance fees. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it carry a "sales load." The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. You can find more information about the fund's expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus. 9 - -------------------------------------------------------------------------------- 06/30/2004 FINANCIAL STATEMENTS (unaudited) - -------------------------------------------------------------------------------- STATEMENT OF NET ASSETS This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Securities are grouped and subtotaled by asset type (common stocks, bonds, etc.) and by industry sector according to Frank Russell Company. Other assets are added to, and liabilities are subtracted from, the value of Total Investments to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. 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) - ------------------------------------------------------------------------------------------------------------------------ AUTO & Transportation (2.7%) United Parcel Service, Inc. 83,718 $ 6,293 Ford Motor Co. 134,920 2,111 General Motors Corp. 42,984 2,003 FedEx Corp. 22,858 1,867 Harley-Davidson, Inc. 22,538 1,396 Union Pacific Corp. 19,846 1,180 Southwest Airlines Co. 60,577 1,016 Burlington Northern Santa Fe Corp. 28,491 999 Norfolk Southern Corp. 30,064 797 PACCAR, Inc. 13,386 776 CSX Corp. 16,341 535 Genuine Parts Co. 13,316 528 Delphi Corp. 42,737 456 Expeditors International of Washington, Inc. 8,050 398 Lear Corp. 5,164 305 C.H. Robinson Worldwide, Inc. 6,450 296 J.B. Hunt Transport Services, Inc. 6,112 236 Gentex Corp. 5,800 230 * JetBlue Airways Corp. 7,728 227 Dana Corp. 11,311 222 * Navistar International Corp. 5,275 204 BorgWarner, Inc. 4,090 179 Polaris Industries, Inc. 3,412 164 CNF Inc. 3,819 159 American Axle & Manufacturing Holdings, Inc. 4,106 149 Oshkosh Truck Corp. 2,600 149 * AMR Corp. 12,141 147 * Yellow Roadway Corp. 3,637 145 Thor Industries, Inc. 4,324 145 * TRW Automotive Holdings Corp. 7,600 143 Cooper Tire & Rubber Co. 5,834 134 Overseas Shipholding Group Inc. 3,004 133 Tidewater Inc. 4,318 129 Werner Enterprises, Inc. 6,016 127 * Landstar System, Inc. 2,304 122 * The Goodyear Tire & Rubber Co. 13,093 119 Visteon Corp. 9,909 116 * Swift Transportation Co., Inc. 6,304 113 Florida East CoastIndustries, Inc. Class A 2,868 112 Modine Manufacturing Co. 3,404 108 Alexander & Baldwin, Inc. 3,224 108 Heartland Express, Inc. 3,881 106 ArvinMeritor, Inc. 5,325 104 * Laidlaw International Inc. 7,900 102 * General Maritime Corp. 3,680 101 * EGL, Inc. 3,790 101 Winnebago Industries, Inc. 2,600 97 * AirTran Holdings, Inc. 6,498 92
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Sauer-Danfoss, Inc. 5,138 $ 88 * Wabash National Corp. 3,119 86 * Kansas City Southern 5,407 84 OMI Corp. 7,000 83 * Knight Transportation, Inc. 2,880 83 Wabtec Corp. 4,454 80 Arkansas Best Corp. 2,400 79 Bandag, Inc. 1,769 79 Skywest, Inc. 4,516 79 * Pacer International, Inc. 4,200 78 * Offshore Logistics, Inc. 2,748 77 USF Corp. 2,116 74 * Northwest Airlines Corp.Class A 6,676 74 * Delta Air Lines, Inc. 9,818 70 Superior Industries International, Inc. 2,037 68 * Old Dominion Freight Line, Inc. 2,304 68 * Fleetwood Enterprises, Inc. 4,542 66 * ExpressJet Holdings, Inc. 5,400 66 * Alaska Air Group, Inc. 2,745 66 * RailAmerica, Inc. 4,270 62 * Forward Air Corp. 1,664 62 * Aviall Inc. 3,273 62 * Continental Airlines, Inc. Class B 5,119 58 * Tenneco Automotive, Inc. 4,329 57 * TBC Corp. 2,311 55 * Kirby Corp. 1,300 51 Coachmen Industries, Inc. 2,915 47 * AAR Corp. 3,994 45 * Strattec Security Corp. 658 45 Overnite Corp. 1,442 42 Monaco Coach Corp. 1,500 42 Titan International, Inc. 3,911 40 Marine Products Corp. 2,166 40 * Mesa Air Group Inc. 4,847 39 * Aftermarket Technology Corp. 2,319 38 Todd Shipyards Corp. 2,030 36 * SCS Transportation, Inc. 1,283 34 * Gulfmark Offshore, Inc. 1,972 31 * Tower Automotive, Inc. 7,675 29 * Collins & Aikman Corp. 4,968 28 Standard Motor Products, Inc. 1,792 26 * Atlantic Coast Airlines Holdings Inc. 4,572 26 * America West Holdings Corp.Class B 2,845 26 * MAIR Holdings, Inc. 3,039 25 Spartan Motors, Inc. 1,961 24 * Stoneridge, Inc. 1,318 22 * Frontier Airlines, Inc. 2,000 22 * Petroleum Helicopters, Inc. 1,085 21 * Pinnacle Airlines Corp. 1,800 20 * Conrad Industries, Inc. 7,466 18 * Seabulk International, Inc. 2,019 17 * Genesee & Wyoming Inc. Class A 700 17 * Dura Automotive Systems, Inc. 1,752 16 * A.S.V., Inc. 500 16 * International Shipholding Corp. 1,039 15 * Allied Holdings, Inc. 3,465 15 * Keystone Automotive Industries, Inc. 500 14 * Hayes Lemmerz International, Inc. 800 13 Maritrans Inc. 700 11 * Republic Airways Holdings Inc. 600 9 * Miller Industries, Inc. 609 6 * Impco Technologies Inc. 921 6 * The Greenbrier Cos., Inc. 300 6 * Quantum Fuel Systems Technologies Worldwide, Inc. 921 6 * Quality Distribution Inc. 378 4 * Trailer Bridge, Inc. 823 4 * Central Freight Lines, Inc. 205 2 ------- 28,277 ------ CONSUMER DISCRETIONARY (15.7%) Wal-Mart Stores, Inc. 325,692 17,184 Home Depot, Inc. 170,861 6,014 * Time Warner, Inc. 333,254 5,859 Viacom Inc. Class B 132,475 4,732 * eBay Inc. 49,866 4,585 The Walt Disney Co. 155,878 3,973 * Yahoo! Inc. 102,998 3,742 Gillette Co. 76,424 3,240 Lowe's Cos., Inc. 59,667 3,136 Target Corp. 69,937 2,970 Kimberly-Clark Corp. 38,403 2,530 McDonald's Corp. 95,916 2,494 Carnival Corp. 48,390 2,274 Liberty Media Corp. 218,220 1,962 Cendant Corp. 77,658 1,901 * DirecTV Group, Inc. 104,870 1,793 Gannett Co., Inc. 20,794 1,764 Clear Channel Communications, Inc. 47,209 1,744 * Amazon.com, Inc. 30,937 1,683 Avon Products, Inc. 36,206 1,671 The Gap, Inc. 68,701 1,666 * InterActiveCorp 52,605 1,586 NIKE, Inc. Class B 20,128 1,525 Costco Wholesale Corp. 35,114 1,442 Waste Management, Inc. 44,193 1,356 * Starbucks Corp. 30,337 1,319
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Best Buy Co., Inc. 24,844 $ 1,261 * Electronic Arts Inc. 22,900 1,249 * Apollo Group, Inc. Class A 13,473 1,190 Tribune Co. 25,312 1,153 The McGraw-Hill Cos., Inc. 14,679 1,124 Staples, Inc. 37,953 1,112 Omnicom Group Inc. 14,619 1,109 * Kohl's Corp. 26,068 1,102 International Game Technology 26,576 1,026 TJX Cos., Inc. 38,532 930 * Bed Bath & Beyond, Inc. 22,860 879 Marriott International, Inc. Class A 17,597 878 * Fox Entertainment Group, IncClass A 32,752 874 * Yum! Brands, Inc. 21,964 818 J.C. Penney Co., Inc. (Holding Co.) 21,260 803 * Univision Communications Inc. 24,679 788 Starwood Hotels & Resorts Worldwide, Inc. 15,628 701 Washington Post Co. Class B 732 681 Federated Department Stores, Inc. 13,809 678 Limited Brands, Inc. 35,862 671 E.W. Scripps Co. Class A 6,217 653 * Coach, Inc. 14,310 647 Royal Caribbean Cruises, Ltd. 14,785 642 Cintas Corp. 13,230 631 Sears, Roebuck & Co. 16,467 622 R.R. Donnelley & Sons Co. 18,635 615 May Department Stores Co. 22,050 606 Mattel, Inc. 32,944 601 Eastman Kodak Co. 21,941 592 * EchoStar Communications Corp.Class A 18,604 572 Hilton Hotels Corp. 29,061 542 * MGM Mirage, Inc. 10,943 514 New York Times Co. Class A 11,483 513 * AutoZone Inc. 6,306 505 Dollar General Corp. 25,720 503 Newell Rubbermaid, Inc. 21,108 496 * Kmart Holding Corp. 6,900 495 Harrah's Entertainment, Inc. 8,670 469 Harman International Industries, Inc. 5,086 464 Estee Lauder Cos. Class A 9,388 458 Nordstrom, Inc. 10,463 446 Knight Ridder 6,109 440 * Interpublic Group of Cos., Inc. 31,627 434 * Office Depot, Inc. 23,689 424 CDW Corp. 6,485 413 Tiffany & Co. 11,179 412 VF Corp. 8,307 406 * XM Satellite Radio Holdings, Inc. 14,635 399 Family Dollar Stores, Inc. 13,120 399 Leggett & Platt, Inc. 14,614 390 Robert Half International, Inc. 13,100 390 Jones Apparel Group, Inc. 9,704 383 * Liberty Media International INC-A 10,316 383 * Mohawk Industries, Inc. 5,067 372 * VeriSign, Inc. 18,454 367 Black & Decker Corp. 5,881 365 Whirlpool Corp. 5,303 364 RadioShack Corp. 12,508 358 Mandalay Resort Group 5,211 358 PETsMART, Inc. 10,915 354 Manpower Inc. 6,902 350 * AutoNation, Inc. 20,457 350 Republic Services, Inc. Class A 12,086 350 * Career Education Corp. 7,670 349 Alberto-Culver Co. Class B 6,931 348 * Caesars Entertainment, Inc. 23,070 346 Fastenal Co. 5,802 330 * Weight Watchers International, Inc. 8,153 319 * Iron Mountain, Inc. 6,527 315 * Allied Waste Industries, Inc. 23,788 314 Ross Stores, Inc. 11,572 310 * Chico's FAS, Inc. 6,806 307 * ChoicePoint Inc. 6,657 304 Wendy's International, Inc. 8,676 302 Liz Claiborne, Inc. 8,362 301 * Williams-Sonoma, Inc. 9,044 298 * Pixar, Inc. 4,250 295 Sabre Holdings Corp. 10,632 295 * Sirius Satellite Radio, Inc. 94,779 292 * Lamar Advertising Co. Class A 6,626 287 Abercrombie & Fitch Co. 7,379 286 Michaels Stores, Inc. 5,162 284 The Stanley Works 6,218 283 * Fisher Scientific International Inc. 4,845 280 ServiceMaster Co. 22,534 278 International Flavors & Fragrances, Inc. 7,173 268 Foot Locker, Inc. 10,891 265 Darden Restaurants Inc. 12,598 260 * Toys R Us, Inc. 16,226 258 Polo Ralph Lauren Corp. 7,498 258 * Getty Images, Inc. 4,294 258 Hasbro, Inc. 13,301 253
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Brinker International, Inc. 7,303 $ 249 * Advance Auto Parts, Inc. 5,600 247 The McClatchy Co. Class A 3,468 243 * Dollar Tree Stores, Inc. 8,770 242 Belo Corp. Class A 8,844 237 Outback Steakhouse 5,707 236 Station Casinos, Inc. 4,795 232 * Wynn Resorts Ltd. 5,962 230 Aramark Corp. Class B 8,000 230 * Monster Worldwide Inc. 8,830 227 Metro-Goldwyn-Mayer Inc. 18,639 226 Meredith Corp. 3,832 211 GTECH Holdings Corp. 4,540 210 The Neiman Marcus Group, Inc. Class A 3,724 207 Circuit City Stores, Inc. 15,959 207 International Speedway Corp. 4,016 195 * O'Reilly Automotive, Inc. 4,169 188 * Education Management Corp. 5,702 187 * Rent-A-Center, Inc. 6,260 187 * Urban Outfitters, Inc. 3,000 183 * Westwood One, Inc. 7,639 182 Viad Corp. 6,704 181 * Copart, Inc. 6,778 181 * Barnes & Noble, Inc. 5,208 177 * Timberland Co. 2,705 175 Talbots Inc. 4,452 174 * Hewitt Associates, Inc. 6,300 173 * CarMax, Inc. 7,907 173 * Tech Data Corp. 4,332 170 * Corinthian Colleges, Inc. 6,824 169 * Service Corp. International 22,860 168 * Ask Jeeves, Inc. 4,305 168 Lee Enterprises, Inc. 3,497 168 * Convergys Corp. 10,845 167 The Corporate Executive Board Co. 2,886 167 * Columbia Sportswear Co. 3,037 166 * Activision, Inc. 10,362 165 Harte-Hanks, Inc. 6,724 164 * Marvel Enterprises Inc. 8,345 163 * The Cheesecake Factory 4,087 163 Reebok International Ltd. 4,508 162 * American Eagle Outfitters, Inc. 5,429 157 Saks Inc. 10,445 157 Regis Corp. 3,475 155 Claire's Stores, Inc. 7,134 155 John Wiley & Sons Class A 4,745 152 * AnnTaylor Stores Corp. 5,223 151 * Gemstar-TV Guide International, Inc. 31,228 150 * Fossil, Inc. 5,436 148 Snap-On Inc. 4,404 148 * Citadel Broadcasting Corp. 10,100 147 Maytag Corp. 5,992 147 * DeVry, Inc. 5,326 147 Applebee's International, Inc. 6,287 146 * Entercom Communications Corp. 3,869 144 The Brink's Co. 4,151 142 Borders Group, Inc. 6,032 141 * NetFlix.com, Inc. 3,900 140 Ruby Tuesday, Inc. 5,052 139 * West Corp. 5,154 135 Nu Skin Enterprises, Inc. 5,309 134 * BJ's Wholesale Club, Inc. 5,335 133 Dillard's Inc. 5,954 133 The Toro Co. 1,894 133 Choice Hotel International, Inc. 2,644 133 * ITT Educational Services, Inc. 3,486 133 Boyd Gaming Corp. 4,950 132 IKON Office Solutions, Inc. 11,438 131 * Big Lots Inc. 8,928 129 * Laureate Education Inc 3,355 128 * Earthlink, Inc. 12,251 127 Reader's Digest Association, Inc. 7,671 123 * PETCO Animal Supplies, Inc. 3,800 122 SCP Pool Corp. 2,700 122 Blyth, Inc. 3,483 120 Pier 1 Imports Inc. 6,790 120 * Tractor Supply Co. 2,864 120 * Valassis Communications, Inc. 3,930 120 * CNET Networks, Inc. 10,743 119 * Aeropostale, Inc. 4,350 117 CBRL Group, Inc. 3,782 117 * Kroll Inc. 3,160 117 * The Yankee Candle Co., Inc. 3,968 116 * Pacific Sunwear of California, Inc. 5,871 115 * American Greetings Corp. Class A 4,953 115 Strayer Education, Inc. 1,015 113 The Pep Boys (Manny, Moe & Jack) 4,434 112 Hollinger International, Inc. 6,686 112 Furniture Brands International Inc. 4,462 112 * R.H. Donnelley Corp. 2,514 110 Speedway Motorsports, Inc. 3,268 109 Media General, Inc. Class A 1,697 109 * Corrections Corp. of America REIT 2,750 109 * Zale Corp. 3,962 108 Ethan Allen Interiors, Inc. 2,917 105 * Take-Two Interactive Software, Inc. 3,400 104
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Aztar Corp. 3,711 $ 104 * Sonic Corp. 4,555 104 * United Stationers, Inc. 2,577 102 * Linens 'n Things, Inc. 3,444 101 Hearst-Argyle Television Inc. 3,888 101 MSC Industrial Direct Co., Inc.Class A 3,043 100 * MPS Group, Inc. 8,234 100 * Quiksilver, Inc. 4,190 100 * Penn National Gaming, Inc. 3,000 100 * Gaylord Entertainment Co. 3,151 99 * Sirva Inc. 4,300 99 * Waste Connections, Inc. 3,324 99 Grey Global Group Inc. 100 99 * United Natural Foods, Inc. 3,400 98 * Charming Shoppes, Inc. 11,006 98 United Auto Group, Inc. 3,200 98 * Radio One, Inc. Class D 5,830 93 Journal Communications, Inc. 4,900 92 * Tuesday Morning Corp. 3,180 92 * Scientific Games Corp. 4,796 92 * InfoSpace, Inc. 2,389 92 * Charter Communications, Inc. 23,084 90 Tupperware Corp. 4,586 89 * Insight Enterprises, Inc. 4,991 89 * Emmis Communications, Inc. 4,216 88 Matthews International Corp. 2,682 88 * Navigant Consulting, Inc. 4,120 88 * Krispy Kreme Doughnuts, Inc. 4,602 88 * Helen of Troy Ltd. 2,372 87 * Scholastic Corp. 2,918 87 Kellwood Co. 2,000 87 * ValueClick, Inc. 7,237 87 Banta Corp. 1,948 87 * THQ Inc. 3,764 86 * CEC Entertainment Inc. 2,916 86 ABM Industries Inc. 4,406 86 * Jack in the Box Inc. 2,870 85 * The Warnaco Group, Inc. 4,000 85 * United Online, Inc. 4,830 85 * MAXIMUS, Inc. 2,398 85 * Arbitron Inc. 2,315 85 * DoubleClick Inc. 10,745 83 * 99 Cents Only Stores 5,470 83 * CKE Restaurants Inc. 6,189 82 * Korn/Ferry International 4,253 82 * Argosy Gaming Co. 2,179 82 * Stewart Enterprises, Inc. Class A 10,041 82 * Priceline.com, Inc. 3,023 81 * Men's Wearhouse, Inc. 3,079 81 * Shuffle Master, Inc. 2,226 81 Kelly Services, Inc. Class A 2,703 81 * Guitar Center, Inc. 1,800 80 * Stein Mart, Inc. 4,922 80 Rollins, Inc. 3,468 80 * Select Comfort Corp. 2,800 80 * Catalina Marketing Corp. 4,317 79 * Wesco International, Inc. 4,291 79 * Panera Bread Co. 2,200 79 * Payless ShoeSource, Inc. 5,268 79 * P.F. Chang's China Bistro, Inc. 1,900 78 * Hot Topic, Inc. 3,766 77 * Boca Resorts, Inc. Class A 3,883 77 Wolverine World Wide, Inc. 2,919 77 Landry's Restaurants, Inc. 2,563 77 IHOP Corp. 2,141 77 * Labor Ready, Inc. 4,896 76 * Rare Hospitality International Inc. 3,030 75 Liberty Corp. 1,601 75 ADVO, Inc. 2,270 75 * NetRatings, Inc. 4,580 75 Kenneth Cole Productions, Inc. 2,172 74 Bob Evans Farms, Inc. 2,717 74 * Journal Register Co. 3,704 74 * Stage Stores, Inc. 1,965 74 La-Z-Boy Inc. 4,115 74 Ameristar Casinos, Inc. 2,200 74 G & K Services, Inc. Class A 1,833 74 * WMS Industries, Inc. 2,455 73 Burlington Coat Factory Warehouse Corp. 3,763 73 * The Sports Authority, Inc. 2,021 73 Regal Entertainment Group Class A 4,000 72 * Tempur-Pedic International Inc. 5,125 72 * The Children's Place Retail Stores, Inc. 3,043 72 * Teletech Holdings Inc. 8,151 71 Renaissance Learning, Inc. 3,186 71 Sonic Automotive, Inc. 3,213 71 * Universal Technical Institute Inc. 1,772 71 * Resources Connection, Inc. 1,800 70 * A.C. Moore Arts & Crafts, Inc. 2,514 69 * Cross Country Healthcare, Inc. 3,800 69 * Ryan's Restaurant Group, Inc. 4,362 69 * Group 1 Automotive, Inc. 2,062 68 Fred's, Inc. 3,100 68 * Cumulus Media Inc. 3,999 67 Callaway Golf Co. 5,926 67 * Consolidated Graphics, Inc. 1,521 67 * bebe stores, inc. 3,342 67 * ProQuest Co. 2,451 67
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Oakley, Inc. 5,157 $ 67 Aaron Rents, Inc. Class B 2,000 66 * Tetra Tech, Inc. 4,050 66 * The Dress Barn, Inc. 3,854 66 * Electronics Boutique Holdings Corp. 2,500 66 CDI Corp. 1,894 66 * Alliance Gaming Corp. 3,788 65 * J. Jill Group, Inc. 2,748 65 * Jarden Corp. 1,800 65 * CoStar Group, Inc. 1,400 65 World Fuel Services Corp. 1,411 64 * CSK Auto Corp. 3,706 64 * Midway Games Inc. 5,509 63 * Hollywood Entertainment Corp. 4,724 63 Startek, Inc. 1,746 63 Handleman Co. 2,692 62 * Global Imaging Systems, Inc. 1,700 62 * Dollar Thrifty Automotive Group, Inc. 2,267 62 * PRIMEDIA Inc. 22,261 62 Central Parking Corp. 3,284 62 * CMGI Inc. 31,155 61 * Bright Horizons Family Solutions, Inc. 1,133 61 * Dick's Sporting Goods, Inc. 1,800 60 Cato Corp. Class A 2,672 60 * Coldwater Creek Inc. 2,235 59 The Nautilus Group, Inc. 3,000 59 K-Swiss, Inc. 2,888 58 * Six Flags, Inc. 7,923 58 * Spherion Corp. 5,660 57 * Vail Resorts Inc. 2,972 57 * Cox Radio, Inc. 3,272 57 * Crown Media Holdings, Inc. 6,671 57 * Guess?, Inc. 3,499 56 * Multimedia Games Inc. 2,100 56 Gevity HR, Inc. 2,138 56 * Cost Plus, Inc. 1,700 55 * Wireless Facilities, Inc. 5,579 55 * infoUSA Inc. 5,316 54 Movado Group, Inc. 3,124 54 * Central Garden and Pet Co. 1,500 54 * Playtex Products, Inc. 6,835 53 * Hibbett Sporting Goods, Inc. 1,950 53 Christopher & Banks Corp. 3,000 53 * Steak n Shake Co. 2,900 53 * FTI Consulting, Inc. 3,200 53 Movie Gallery, Inc. 2,700 53 * Ventiv Health, Inc. 3,362 52 * K2 Inc. 3,291 52 * Administaff, Inc. 3,104 52 The Buckle, Inc. 1,819 51 * PDI, Inc. 1,691 51 * Prime Hospitality Corp. 4,794 51 Watson Wyatt & Co. Holdings 1,900 51 * aQuantive, Inc. 5,110 51 * Too Inc. 3,006 50 * Papa John's International, Inc. 1,697 50 Lone Star Steakhouse & Saloon, Inc. 1,837 50 * The Advisory Board Co. 1,400 50 * ShopKo Stores, Inc. 3,520 50 * USANA Health Sciences, Inc. 1,600 50 * Spanish Broadcasting System, Inc. 5,339 50 * SOURCECORP, Inc. 1,805 50 Oxford Industries, Inc. 1,140 50 Blockbuster Inc. Class A 3,257 49 * Exult Inc. 9,154 49 * The Gymboree Corp. 3,192 49 Gray Television, Inc. 3,500 49 The Marcus Corp. 2,816 49 Bowne & Co., Inc. 3,062 49 * Finish Line, Inc. 1,600 48 * Entravision Communications Corp. 6,283 48 Phillips-Van Heusen Corp. 2,489 48 * Trans World Entertainment Corp. 4,768 48 Russell Corp. 2,654 48 * Pinnacle Entertainment, Inc. 3,777 48 * Big 5 Sporting Goods Corp. 1,800 47 Churchill Downs, Inc. 1,151 47 * Lin TV Corp. 2,200 47 * GameStop Corp. 3,000 46 * Amerco, Inc. 1,922 46 * Clark, Inc. 2,460 46 * Cole National Corp. Class A 1,950 46 * ValueVision Media, Inc. 3,477 45 * Volt Information Sciences Inc. 1,436 45 * Forrester Research, Inc. 2,390 45 Libbey, Inc. 1,604 45 * MemberWorks, Inc. 1,494 44 * Coinstar, Inc. 2,013 44 * JAKKS Pacific, Inc. 2,124 44 * Charles River Associates Inc. 1,424 44 * Carter's, Inc. 1,500 44 The Topps Co., Inc. 4,456 43 * Insight Communications Co., Inc. 4,648 43 Advanced Marketing Services 3,322 43 * Jo-Ann Stores, Inc. 1,450 43 * AMN Healthcare Services, Inc. 2,781 43 * Lakes Entertainment, Inc. 3,662 42
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Leapfrog Enterprises, Inc. 2,100 $ 42 Chemed Corp. 857 42 * Lifeline Systems, Inc. 1,734 41 * School Specialty, Inc. 1,122 41 * Salem Communications Corp. 1,500 41 Triarc Cos., Inc. Class B 3,988 41 * Skechers U.S.A., Inc. 3,108 41 * NIC Inc. 5,631 40 * Playboy Enterprises, Inc. Class B 3,463 40 National Presto Industries, Inc. 974 40 * Isle of Capri Casinos, Inc. 2,300 40 Pulitzer, Inc. 816 40 * Dave & Busters, Inc. 2,097 39 * Pre-Paid Legal Services, Inc. 1,650 39 * Century Business Services, Inc. 8,949 39 Sinclair Broadcast Group, Inc. 3,767 39 Hancock Fabrics, Inc. 3,023 39 * AMC Entertainment, Inc. 2,500 38 * Red Robin Gourmet Burgers 1,400 38 The Stride Rite Corp. 3,457 38 Blair Corp. 1,319 38 Brown Shoe Co., Inc. 929 38 Stanley Furniture Co., Inc. 900 38 * TiVo Inc. 5,343 38 Thomas Nelson, Inc. 1,661 38 * 1-800-FLOWERS.COM, Inc. 4,632 38 * Sharper Image Corp. 1,200 38 * Water Pik Technologies, Inc. 2,229 37 * Pegasus Solutions Inc. 2,764 36 * S&K Famous Brands Inc. 2,167 36 * Benihana Inc. Class A 2,406 36 * Jos. A. Bank Clothiers, Inc. 1,140 36 Dover Downs Gaming & Entertainment, Inc. 3,167 36 * Casella Waste Systems, Inc. 2,692 35 * Shoe Carnival, Inc. 2,340 35 * Insurance Auto Auctions, Inc. 2,048 35 Action Performance Cos., Inc. 2,309 35 * Regent Communications, Inc. 5,607 35 * Perry Ellis International Corp. 1,372 35 * iVillage Inc. 5,432 34 * Applica Inc. 3,844 34 * California Pizza Kitchen, Inc. 1,779 34 * Friendly Ice Cream Corp. 2,582 34 * Radio One, Inc. 2,100 34 * The Boyds Collection, Ltd. 10,116 34 Bassett Furniture Industries, Inc. 1,535 33 * GSI Commerce, Inc. 3,468 33 * Galyan's Trading Co. 2,000 33 * Learning Tree International, Inc. 2,288 33 L.S. Starrett Co. Class A 2,036 33 Angelica Corp. 1,287 32 * RC2 Corp. 903 32 * Overstock.com, Inc. 800 31 * Kforce Inc. 3,231 31 * Revlon, Inc. Class A 10,328 31 World Wrestling Entertainment, Inc. 2,365 30 * FindWhat.com 1,300 30 * Hartmarx Corp. 4,764 30 * Steven Madden, Ltd. 1,500 30 * MTR Gaming Group Inc. 2,686 29 * Central European Distribution Corp. 1,125 29 * Nashua Corp. 2,999 29 * Universal Electronics, Inc. 1,648 29 * 4Kids Entertainment Inc. 1,200 29 * iPass Inc. 2,700 29 Superior Uniform Group, Inc. 1,793 28 * Innotrac Corp. 3,214 28 * Heidrick & Struggles International, Inc. 954 28 * Retail Ventures, Inc. 3,569 28 * O'Charley's Inc. 1,600 28 * PC Connection, Inc. 4,148 27 * Drugstore.com, Inc. 7,678 27 * SITEL Corp. 6,305 27 * Chicago Pizza & Brewery, Inc. 1,700 26 CPI Corp. 1,745 26 * Navigant International, Inc. 1,440 26 * Saga Communications, Inc. 1,400 26 * Asbury Automotive Group, Inc. 1,700 26 * PLATO Learning, Inc. 2,572 25 Courier Corp. 600 25 * Navarre Corp. 1,714 25 * FreeMarkets, Inc. 3,766 25 * Neoforma, Inc. 1,998 24 * America's Car-Mart, Inc. 800 24 American Woodmark Corp. 400 24 Dover Motorsports, Inc. 5,954 24 * Young Broadcasting Inc. 1,770 23 * Hudson Highland Group, Inc. 759 23 * The Wet Seal, Inc. Class A 4,443 23 * Spherix Inc. 4,519 23 Traffix, Inc. 3,467 23 * First Consulting Group, Inc. 4,092 23 * MarketWatch.com, Inc. 1,915 22 * Enesco Group, Inc. 2,497 22 * Brightpoint, Inc. 1,620 22 * Syms Corp. 2,395 22 * Harris Interactive Inc. 3,300 22 * Autobytel Inc. 2,441 22
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Department 56 Inc. 1,426 $ 22 * Information Holdings Inc. 800 22 * Casual Male Retail Group, Inc. 2,977 22 * Martha Stewart Living Omnimedia, Inc. 2,387 21 * West Marine, Inc. 800 21 Cadmus Communications 1,449 21 UniFirst Corp. 726 21 * Elizabeth Arden, Inc. 1,000 21 * 1-800 CONTACTS, Inc. 1,400 21 * Midas Inc. 1,185 21 Triarc Cos., Inc. Class A 1,994 21 * Kirkland's, Inc. 1,700 20 * LodgeNet Entertainment Corp. 1,200 20 * DiamondCluster International, Inc. 2,278 20 * Alloy, Inc. 3,200 20 * Orbitz, Inc. 900 19 * Genesco, Inc. 800 19 * Atari, Inc. 7,811 19 Ambassadors Group, Inc. 800 19 * EZCORP, Inc. 1,891 19 Stamps.com Inc. 1,779 18 * On Assignment, Inc. 3,055 18 Russ Berrie and Co., Inc. 900 17 * Luby's, Inc. 2,513 17 Fedders Corp. 3,786 16 * The Princeton Review, Inc. 2,100 16 * Carmike Cinemas, Inc. 400 16 Goody's Family Clothing 1,495 16 * Bally Total Fitness Holding Corp. 3,038 15 * Fisher Communications, Inc. 300 15 Lithia Motors, Inc. 600 15 Allen Organ Co. 283 15 * Beasley Broadcast Group, Inc. 980 15 * Lazare Kaplan International, Inc. 1,707 14 * MarineMax, Inc. 500 14 Strategic Distribution, Inc. 1,081 14 CSS Industries, Inc. 400 14 * Geo Group Inc. 677 14 * Nexstar Broadcasting Group, Inc. 1,252 14 * Carriage Services, Inc. 2,708 14 * SM&A Corp. 1,556 13 * Wyndham International, Inc. Class A 13,380 13 * Cellstar Corp. 1,817 13 * The Pantry, Inc. 600 13 * Digital Theater Systems Inc. 500 13 * Cenveo Inc. 4,425 13 * Pegasus Communications Corp. 528 13 * Charlotte Russe Holding Inc. 600 13 * Gartner, Inc. Class B 979 13 * Checkers Drive-In Restaurants, Inc. 1,088 13 Inter Parfums, Inc. 600 13 * Correctional Services Corp. 3,725 12 * Greg Manning Auctions, Inc. 800 12 * Cornell Companies, Inc. 900 12 * Brookstone, Inc. 600 12 * Clean Harbors Inc. 1,200 11 * Blue Nile Inc. 300 11 * ParkerVision, Inc. 1,902 11 * Raindance Communications, Inc. 5,187 11 Haverty Furniture Cos., Inc. 600 10 * Franklin Electronic Publishers, Inc. 2,242 10 * Worldwide RestaurantConcepts Inc. 2,964 10 * LookSmart, Ltd. 4,764 10 * Internap Network Services Corp. 8,392 10 Haggar Corp. 500 10 * Gadzooks, Inc. 3,843 10 * Monarch Casino & Resort, Inc. 700 10 * Digital Generation Systems 6,395 9 * Conn's, Inc. 595 9 * QRS Corp. 1,390 9 * Paxson Communications Corp. 2,800 9 * Total Entertainment Restaurant Corp. 667 9 * Medical Staffing Network Holdings, Inc. 1,400 9 * Daily Journal Corp. 260 9 * LKQ Corp. 473 9 * Alderwoods Group, Inc. 709 9 * Buca, Inc. 1,600 9 * WCA Waste Corp. 1,000 9 * Big Dog Holdings, Inc. 1,650 8 Stephan Co. 1,743 8 * Mothers Work, Inc. 400 8 * Management Network Group Inc. 3,210 8 * Interstate Hotels & Resorts, Inc. 1,462 8 * Candie's, Inc. 2,808 8 * Emerson Radio Corp. 2,400 8 * Champps Entertainment Inc. 900 7 * Perficient, Inc. 1,810 7 Flexsteel Industry 300 7 * Maxwell Shoe Co. Inc. 300 7 * PriceSmart, Inc. 1,105 7 * Oneida Ltd. 4,222 7 * Edgewater Technology, Inc. 1,077 7 * Digital Impact, Inc. 3,471 7 * SPEEDUS Corp. 2,777 7 * LECG Corp. 334 6
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Metro One Telecommunications, Inc. 3,900 $ 6 * Systemax Inc. 848 6 * Empire Resorts Inc. 400 6 * Concord Camera Corp. 1,700 6 * Acme Communications, Inc. 800 6 * Century Casinos, Inc. 1,000 5 * Cabela's Inc. 200 5 * Brillian Corp. 666 5 * Medialink Worldwide, Inc. 1,489 5 * eMerge Interactive, Inc. 2,734 5 * COMFORCE Corp. 2,081 5 * Gander Mountain Co. 200 5 * Tweeter Home Entertainment Group, Inc. 800 4 * Synagro Technologies Inc. 1,506 4 * Trump Hotels & Casino Resorts, Inc. 1,687 4 * ICT Group, Inc. 375 3 * Acclaim Entertainment Inc. 9,860 3 * APAC Teleservices, Inc. 1,928 3 Lawson Products, Inc. 84 3 ILX Resorts Inc. 329 3 * Pfsweb Inc. 1,689 3 * SciQuest, Inc. 446 3 * Protection One, Inc. 9,439 3 * Exponent, Inc. 100 3 * Commerce One, Inc. 2,823 3 * Register.com, Inc. 397 2 * Mayor's Jeweler's, Inc. 2,977 2 Waste Industries USA, Inc. 200 2 * 24/7 Real Media, Inc. 380 2 * Rainmaker Systems, Inc. 992 2 Craftmade International, Inc. 100 2 The First Years Inc. 100 2 * Gallery of History, Inc. 466 2 * Fresh Choice, Inc. 1,092 2 * A.T. Cross Co. Class A 300 1 * SportsLine.com, Inc. 1,287 1 * Verticalnet, Inc. 850 1 Star Buffet, Inc. 186 1 * Onvia.com, Inc. 174 1 * Bush Industries, Inc. 3,784 1 * Hanover Direct, Inc. 6,816 1 * Liquid Audio, Inc. 2,723 1 * Marchex, Inc. 60 1 * National Technical Systems, Inc. 107 1 * Geerlings & Wade Inc. 764 -- * VCampus Corp. 142 -- * Major Automotive Cos., Inc. 435 -- * Visual Data Corp. 139 -- * EasyLink Services Corp. 148 -- * Headway Corporate Resources, Inc. 3,808 -- ------- 164,593 ------- CONSUMER STAPLES (6.6%) The Procter & Gamble Co. 196,322 10,688 The Coca-Cola Co. 185,001 9,339 Altria Group, Inc. 155,696 7,793 PepsiCo, Inc. 130,348 7,023 Anheuser-Busch Cos., Inc. 61,389 3,315 Walgreen Co. 77,785 2,817 Colgate-Palmolive Co. 40,592 2,373 Sysco Corp. 48,496 1,740 Sara Lee Corp. 60,654 1,394 General Mills, Inc. 28,685 1,363 Kellogg Co. 31,407 1,314 CVS Corp. 30,235 1,270 Wm. Wrigley Jr. Co. 17,265 1,089 ConAgra Foods, Inc. 40,072 1,085 H.J. Heinz Co. 26,973 1,057 Coca-Cola Enterprises, Inc. 35,891 1,040 * The Kroger Co. 57,082 1,039 Hershey Foods Corp. 19,848 918 The Clorox Co. 16,115 867 * Safeway, Inc. 33,939 860 Campbell Soup Co. 31,538 848 Albertson's, Inc. 28,127 746 Kraft Foods Inc. 21,455 680 The Pepsi Bottling Group, Inc. 20,086 613 Tyson Foods, Inc. 26,975 565 UST, Inc. 12,676 456 Brown-Forman Corp. Class B 9,306 449 Whole Foods Market, Inc. 4,680 447 * Dean Foods Co. 11,923 445 R.J. Reynolds Tobacco Holdings, Inc. 6,448 436 McCormick & Co., Inc. 10,550 359 Hormel Foods Corp. 10,614 330 SuperValu Inc. 10,262 314 * Constellation Brands, Inc.Class A 8,148 303 * Smithfield Foods, Inc. 8,436 248 PepsiAmericas, Inc. 11,008 234 * Rite Aid Corp. 39,557 206 J.M. Smucker Co. 4,396 202 Adolph Coors Co. Class B 2,674 193 * Del Monte Foods Co. 15,829 161 * 7-Eleven, Inc. 8,685 155 * NBTY, Inc. 5,236 154 Church & Dwight, Inc. 3,209 147 Pilgrim's Pride Corp. 5,058 146
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Tootsie Roll Industries, Inc. 3,867 $ 126 Fresh Del Monte Produce Inc. 4,343 110 Ruddick Corp. 4,415 99 Universal Corp. (VA) 1,901 97 * Performance Food Group Co. 3,487 93 Flowers Foods, Inc. 3,526 92 Sanderson Farms, Inc. 1,650 88 Casey's General Stores, Inc. 4,478 82 Longs Drug Stores, Inc. 3,382 81 Winn-Dixie Stores, Inc. 11,051 80 Sensient Technologies Corp. 3,612 78 * Ralcorp Holdings, Inc. 2,162 76 Weis Markets, Inc. 2,072 73 * Hain Celestial Group, Inc. 3,924 71 Schweitzer-Mauduit International, Inc. 2,085 64 Vector Group Ltd. 3,872 61 * Chiquita Brands International, Inc. 2,816 59 Lance, Inc. 3,549 55 Riviana Foods, Inc. 1,997 52 Standard Commercial Tobacco Co. 2,540 46 * Duane Reade Inc. 2,800 46 American Italian Pasta Co. 1,451 44 Interstate Bakeries Corp. 3,974 43 * The Great Atlantic & Pacific Tea Co., Inc. 5,133 39 * Pathmark Stores, Inc. 4,660 36 * Chalone Wine Group Ltd. 2,901 31 Coca-Cola Bottling Co. 522 30 * M&F Worldwide Corp. 2,122 29 * Todhunter International, Inc. 1,975 28 Nash-Finch Co. 1,099 28 Farmer Brothers, Inc. 980 26 Dimon Inc. 4,458 26 Seaboard Corp. 50 25 * Boston Beer Co., Inc. Class A 886 18 * Provide Commerce Inc. 800 16 * Wild Oats Markets Inc. 900 13 * J & J Snack Foods Corp. 300 12 * Robert Mondavi Corp. Class A 300 11 * Omega Protein Corp. 1,100 11 * Lifeway Foods, Inc. 654 10 * Smart & Final Inc. 800 10 * Green Mountain Coffee Roasters, Inc. 500 9 * Nutraceutical International Corp. 300 6 * John B. Sanfilippo & Son, Inc. 200 5 Rocky Mountain Chocolate Factory, Inc. 251 3 * Nutrition 21 Inc. 4,377 3 * Redhook Ale Brewery, Inc. 825 2 ------ 69,364 ------ FINANCIAL SERVICES (21.9%) Citigroup, Inc. 392,776 18,264 American International Group, Inc. 198,101 14,121 Bank of America Corp. 154,801 13,099 Wells Fargo & Co. 128,175 7,335 J.P. Morgan Chase & Co. 158,167 6,132 Fannie Mae 73,521 5,246 American Express Co. 97,063 4,987 Wachovia Corp. 99,871 4,444 Morgan Stanley 83,402 4,401 Bank One Corp. 85,705 4,371 U.S. Bancorp 144,693 3,988 Merrill Lynch & Co., Inc. 72,704 3,925 The Goldman Sachs Group, Inc. 36,845 3,469 Freddie Mac 52,240 3,307 First Data Corp. 66,605 2,965 Washington Mutual, Inc. 66,181 2,557 MBNA Corp. 97,040 2,503 Allstate Corp. 53,336 2,483 Fifth Third Bancorp 42,682 2,295 St. Paul Travelers Cos., Inc. 50,812 2,060 Metropolitan Life Insurance Co. 57,359 2,056 Automatic Data Processing, Inc. 45,234 1,894 Prudential Financial, Inc. 40,123 1,865 Marsh & McLennan Cos., Inc. 39,795 1,806 The Bank of New York Co., Inc. 59,468 1,753 National City Corp. 47,475 1,662 Lehman Brothers Holdings, Inc. 21,254 1,599 AFLAC Inc. 39,059 1,594 BB&T Corp. 41,863 1,548 The Hartford Financial Services Group Inc. 22,351 1,536 Countrywide Financial Corp. 21,183 1,488 Progressive Corp. of Ohio 16,656 1,421 SunTrust Banks, Inc. 21,557 1,401 SLM Corp. 33,508 1,355 Capital One Financial Corp. 18,344 1,254 State Street Corp. 25,565 1,254 Golden West Financial Corp. 11,687 1,243 PNC Financial Services Group 21,333 1,132 Charles Schwab Corp. 104,077 1,000 The Chubb Corp. 14,461 986 SouthTrust Corp. 25,259 981 Paychex, Inc. 28,903 979 Mellon Financial Corp. 32,995 968 Franklin Resources Corp. 19,120 958 KeyCorp 31,871 953
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ The Principal Financial Group, Inc. 24,700 $ 859 Loews Corp. 14,227 853 Equity Office Properties Trust REIT 30,705 835 * Genworth Financial Inc. 35,880 823 Simon Property Group, Inc. REIT 15,960 821 M & T Bank Corp. 9,210 804 Charter One Financial, Inc. 17,004 751 CIGNA Corp. 10,785 742 Moody's Corp. 11,427 739 Comerica, Inc. 13,404 736 Northern Trust Corp. 16,866 713 AmSouth Bancorp 26,855 684 Aon Corp. 24,013 684 Marshall & Ilsley Corp. 17,376 679 Bear Stearns Co., Inc. 7,901 666 Lincoln National Corp. 13,652 645 H & R Block, Inc. 13,246 632 MBIA, Inc. 11,054 631 UnionBanCal Corp. 11,193 631 CIT Group Inc. 16,372 627 Equity Residential REIT 21,080 627 Regions Financial Corp. 17,036 623 Ambac Financial Group, Inc. 8,189 601 Synovus Financial Corp. 23,161 586 * CNA Financial Corp. 19,533 578 * Fiserv, Inc. 14,855 578 MGIC Investment Corp. 7,513 570 * SunGard Data Systems, Inc. 21,892 569 Jefferson-Pilot Corp. 10,839 551 Vornado Realty Trust REIT 9,356 534 Cincinnati Financial Corp. 12,189 530 Sovereign Bancorp, Inc. 23,436 518 National Commerce Financial Corp. 15,714 511 North Fork Bancorp, Inc. 13,036 496 Fidelity National Financial, Inc. 13,157 491 T. Rowe Price Group Inc. 9,655 487 General Growth Properties Inc. REIT 16,437 486 Hudson City Bancorp, Inc. 14,482 484 SAFECO Corp. 10,747 473 Torchmark Corp. 8,679 467 Legg Mason Inc. 5,018 457 Plum Creek Timber Co. Inc. REIT 13,972 455 ProLogis REIT 13,736 452 Public Storage, Inc. REIT 9,731 448 First Horizon National Corp. 9,616 437 Popular, Inc. 10,140 434 Union Planters Corp. 14,379 429 Archstone-Smith Trust REIT 14,559 427 Banknorth Group, Inc. 13,110 426 Zions Bancorp 6,875 422 Boston Properties, Inc. REIT 8,102 406 New York Community Bancorp, Inc. 20,609 405 Green Point Financial Corp. 10,176 404 Compass Bancshares Inc. 9,332 401 Huntington Bancshares Inc. 17,441 399 Kimco Realty Corp. REIT 8,469 385 Rouse Co. REIT 7,892 375 * Ameritrade Holding Corp. 32,339 367 The Chicago Mercantile Exchange 2,500 361 UnumProvident Corp. 22,541 358 White Mountains Insurance Group Inc. 678 346 Radian Group, Inc. 7,208 345 Duke Realty Corp. REIT 10,808 344 Commerce Bancorp, Inc. 6,034 332 Total System Services, Inc. 15,147 332 iStar Financial Inc. REIT 8,230 329 Old Republic International Corp. 13,797 327 Transatlantic Holdings, Inc. 4,026 326 * Providian Financial Corp. 22,109 324 The PMI Group Inc. 7,362 320 TCF Financial Corp. 5,389 313 Avalonbay Communities, Inc.REIT 5,517 312 * E*TRADE Financial Corp. 27,916 311 * DST Systems, Inc. 6,444 310 * Host Marriott Corp. REIT 24,738 306 Janus Capital Group Inc. 18,337 302 * The Dun & Bradstreet Corp. 5,584 301 Hibernia Corp. Class A 11,783 286 Doral Financial Corp. 8,213 283 Mercantile Bankshares Corp. 6,051 283 Dow Jones & Co., Inc. 6,233 281 Developers Diversified Realty Corp. REIT 7,907 280 W.R. Berkley Corp. 6,406 275 Assurant, Inc. 10,300 272 Leucadia National Corp. 5,323 265 Equifax, Inc. 10,623 263 * Alliance Data Systems Corp. 6,200 262 Liberty Property Trust REIT 6,384 257 Federated Investors, Inc. 8,255 250 Associated Banc-Corp. 8,347 247 City National Corp. 3,678 242 Health Care Properties Investors REIT 10,038 241 Commerce Bancshares, Inc. 5,178 238
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * AmeriCredit Corp. 12,174 $ 238 Allied Capital Corp. 9,710 237 SEI Corp. 8,033 233 Brown & Brown, Inc. 5,388 232 Independence Community Bank Corp. 6,277 228 Apartment Investment & Management Co. Class A REIT 7,312 228 Erie Indemnity Co. Class A 4,854 227 * CapitalSource Inc. 9,000 220 * Conseco, Inc. 11,050 220 Astoria Financial Corp. 6,008 220 Unitrin, Inc. 5,128 218 Investors Financial Services Corp. 4,994 218 Chelsea Property Group REIT 3,334 217 People's Bank 6,973 217 AMB Property Corp. REIT 6,257 217 Hospitality Properties Trust REIT 5,059 214 Student Loan Corp. 1,554 212 * WellChoice Inc. 5,100 211 Friedman, Billings, Ramsey Group, Inc. REIT 10,651 211 A.G. Edwards & Sons, Inc. 6,194 211 The Macerich Co. REIT 4,386 210 Protective Life Corp. 5,402 209 Arthur J. Gallagher & Co. 6,823 208 Mercury General Corp. 4,159 206 * Markel Corp. 742 206 * CheckFree Corp. 6,815 204 Weingarten Realty Investors REIT 6,521 204 Ryder System, Inc. 5,023 201 Eaton Vance Corp. 5,161 197 Fulton Financial Corp. 9,751 196 Regency Centers Corp. REIT 4,576 196 Webster Financial Corp. 4,167 196 Catellus Development Corp. REIT 7,893 195 American National Insurance Co. 2,105 194 United Dominion Realty Trust REIT 9,811 194 Reinsurance Group of America, Inc. 4,748 193 Mack-Cali Realty Corp. REIT 4,636 192 Valley National Bancorp 7,507 190 Bank of Hawaii Corp. 4,177 189 Certegy, Inc. 4,864 189 * The First Marblehead Corp. 4,675 188 Nuveen Investments, Inc. Class A 7,016 188 Wilmington Trust Corp. 5,024 187 Trizec Properties, Inc. REIT 11,500 187 Westcorp, Inc. 4,094 186 Mills Corp. REIT 3,921 183 Fair, Isaac, Inc. 5,400 180 Cullen/Frost Bankers, Inc. 3,948 178 Colonial BancGroup, Inc. 9,677 176 Sky Financial Group, Inc. 7,073 175 First American Corp. 6,743 175 * BOK Financial Corp. 4,444 175 New Plan Excel Realty Trust REIT 7,391 173 American Financial Group, Inc. 5,561 170 FirstMerit Corp. 6,396 169 Deluxe Corp. 3,861 168 Rayonier Inc. REIT 3,775 168 Capitol Federal Financial 5,606 168 Thornburg Mortgage, Inc. REIT 6,072 164 * Alleghany Corp. 568 163 HCC Insurance Holdings, Inc. 4,847 162 Nationwide Financial Services, Inc. 4,244 160 Pan Pacific RetailProperties, Inc. REIT 3,129 158 Federal Realty Investment Trust REIT 3,720 155 International Bancshares Corp. 3,805 154 WFS Financial, Inc. 3,101 154 StanCorp Financial Group, Inc. 2,243 150 Annaly Mortgage Management Inc. REIT 8,845 150 Raymond James Financial, Inc. 5,635 149 Provident Financial Group, Inc. 3,728 147 Ventas, Inc. REIT 6,237 146 Washington Federal Inc. 5,992 144 Arden Realty Group, Inc. REIT 4,877 143 SL Green Realty Corp. REIT 3,033 142 American Capital Strategies, Ltd. 5,022 141 Reckson Associates Realty Corp. REIT 5,096 140 Camden Property Trust REIT 3,045 139 W Holding Co., Inc. 8,118 139 Whitney Holdings Corp. 3,108 139 Waddell & Reed Financial, Inc. 6,235 138 IndyMac Bancorp, Inc. REIT 4,333 137 CenterPoint Properties Corp. REIT 1,784 137 * Allmerica Financial Corp. 4,007 135 Jack Henry & Associates Inc. 6,717 135 BRE Properties Inc. Class A REIT 3,876 135 Westamerica Bancorporation 2,564 134 UCBH Holdings, Inc. 3,400 134 BancorpSouth, Inc. 5,957 134
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Jefferies Group, Inc. 4,296 $ 133 HRPT Properties Trust REIT 13,099 131 The South Financial Group, Inc. 4,616 131 * BISYS Group, Inc. 9,258 130 First Midwest Bancorp, Inc. 3,686 130 Shurgard Storage Centers, Inc. Class A REIT 3,452 129 Health Care Inc. REIT 3,958 129 Old National Bancorp 5,165 128 Trustmark Corp. 4,418 128 Hudson United Bancorp 3,423 128 Global Payments Inc. 2,823 127 CBL & Associates Properties, Inc. REIT 2,303 127 New Century Financial Corp. 2,700 126 Realty Income Corp. REIT 3,026 126 First BanCorp Puerto Rico 3,083 126 Cathay General Bancorp 1,882 126 AmerUs Group Co. 3,011 125 Park National Corp. 971 124 Healthcare Realty Trust Inc. REIT 3,271 123 * Interactive Data Corp. 7,006 122 CarrAmerica Realty Corp. REIT 4,034 122 Crescent Real Estate, Inc. REIT 7,500 121 Commerce Group, Inc. 2,439 120 * The MONY Group Inc. 3,847 120 Cousins Properties, Inc. REIT 3,647 120 FactSet Research Systems Inc. 2,534 120 Odyssey Re Holdings Corp. 4,980 120 * National Processing, Inc. 4,130 119 Essex Property Trust, Inc. REIT 1,731 118 * Instinet Group Inc. 22,401 118 Greater Bay Bancorp 4,041 117 East West Bancorp, Inc. 3,800 117 Texas Regional Bancshares, Inc. 2,531 116 Prentiss Properties Trust REIT 3,447 116 Southwest Bancorporation of Texas, Inc. 2,601 115 Downey Financial Corp. 2,101 112 * La Quinta Corp. REIT 13,301 112 * Affiliated Managers Group, Inc. 2,191 110 First Industrial Realty Trust REIT 2,977 110 * United Rentals, Inc. 6,008 107 United Bankshares, Inc. 3,302 107 MAF Bancorp, Inc. 2,510 107 Delphi Financial Group, Inc. 2,406 107 Impac Mortgage Holdings, Inc. REIT 4,700 106 * Silicon Valley Bancshares 2,668 106 * NewAlliance Bancshares, Inc. 7,486 105 * UICI 4,389 105 Citizens Banking Corp. 3,331 103 * Philadelphia Consolidated Holding Corp. 1,713 103 American Financial Realty Trust REIT 7,200 103 Susquehanna Bancshares, Inc. 4,084 103 GATX Corp. 3,777 103 Fremont General Corp. 5,749 101 Chittenden Corp. 2,865 101 Pennsylvania REIT 2,935 101 Pacific Capital Bancorp 3,546 100 * Arch Capital Group Ltd. 2,500 100 United Community Banks, Inc. 3,900 98 Home Properties, Inc. REIT 2,480 97 Hilb, Rogal and Hamilton Co. 2,708 97 * Kronos, Inc. 2,327 96 Heritage Property Investment Trust REIT 3,500 95 MB Financial, Inc. 2,567 94 Brandywine Realty Trust REIT 3,474 94 State Auto Financial Corp. 3,071 94 Equity One, Inc. REIT 5,199 94 Highwood Properties, Inc. REIT 3,980 94 * Ohio Casualty Corp. 4,644 93 Washington REIT 3,170 93 Nationwide Health Properties, Inc. REIT 4,902 93 Waypoint Financial Corp. 3,348 92 Flagstar Bancorp, Inc. 4,638 92 Community First Bankshares, Inc. 2,821 91 * Ocwen Financial Corp. 7,537 91 The Phoenix Cos., Inc. 7,400 91 Post Properties, Inc. REIT 3,091 90 * Knight Trading Group, Inc. 8,967 90 BlackRock, Inc. 1,400 89 Corus Bankshares Inc. 2,157 89 Taubman Co. REIT 3,866 88 First Citizens BancShares Class A 723 88 Alfa Corp. 6,254 88 Zenith National Insurance Corp. 1,801 88 * NCO Group, Inc. 3,251 87 21st Century Insurance Group 6,666 86 FBL Financial Group, Inc. Class A 3,027 86 Commercial Federal Corp. 3,151 85 Alexandria Real Estate Equities, Inc. REIT 1,500 85 UMB Financial Corp. 1,645 85 Northwest Bancorp, Inc. 3,708 85 Senior Housing Properties Trust REIT 5,034 85 * Commercial Capital Bancorp, Inc. 4,859 84
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Maguire Properties, Inc. REIT 3,400 $ 84 Chemical Financial Corp. 2,236 82 PS Business Parks, Inc. REIT 2,049 82 Kilroy Realty Corp. REIT 2,414 82 Horace Mann Educators Corp. 4,645 81 * Triad Guaranty, Inc. 1,394 81 Hancock Holding Co. 2,784 81 Summit Properties, Inc. REIT 3,136 80 Redwood Trust, Inc. REIT 1,431 80 BankAtlantic Bancorp, Inc.Class A 4,301 79 John H. Harland Co. 2,696 79 Republic Bancorp, Inc. 5,687 79 * Jones Lang Lasalle Inc. 2,908 79 * Alexander's, Inc. REIT 469 79 First Commonwealth Financial Corp. 6,040 78 Wintrust Financial Corp. 1,550 78 CVB Financial Corp. 3,589 78 Santander BanCorp 3,158 78 Seacoast Financial Services Corp. 2,249 78 S & T Bancorp, Inc. 2,428 78 First Niagara Financial Group, Inc. 6,449 77 * Sotheby's Holdings Class A 4,837 77 Amcore Financial, Inc. 2,534 76 TrustCo Bank NY 5,822 76 Capital Automotive REIT 2,600 76 First Federal Capital Corp. 2,727 76 * ProAssurance Corp. 2,200 75 R.L.I. Corp. 2,044 75 * eFunds Corp. 4,242 74 First Financial Bankshares, Inc. 1,770 74 Brookline Bancorp, Inc. 5,044 74 Advanta Corp. Class A 3,370 74 NDCHealth Corp. 3,170 74 First National Bankshares of Florida 3,867 73 National Health Investors REIT 2,690 73 First Financial Bancorp 4,067 72 Lexington Corporate Properties Trust REIT 3,600 72 * CB Richard Ellis Group, Inc. 3,733 71 Provident Bankshares Corp. 2,462 71 First Republic Bank 1,641 71 F.N.B. Corp. 3,454 70 Commercial Net Lease Realty REIT 4,079 70 * Piper Jaffray Cos., Inc. 1,518 69 Novastar Financial, Inc. REIT 1,800 68 Glimcher Realty Trust REIT 3,038 67 * First Federal Financial Corp. 1,615 67 * S1 Corp. 6,755 67 Presidential Life Corp. 3,711 67 McGrath Rent Corp. 1,808 67 City Holding Co. 2,106 67 * BankUnited Financial Corp. 2,577 66 Cash America International Inc. 2,888 66 Dime Community Bancshares 3,795 66 Irwin Financial Corp. 2,511 66 First Charter Corp. 3,003 65 * CompuCredit Corp. 3,732 65 Anchor Bancorp Wisconsin Inc. 2,434 64 * Digital Insight Corp. 3,101 64 Harbor Florida Bancshares, Inc. 2,335 64 Sun Communities, Inc. REIT 1,706 64 NBT Bancorp, Inc. 2,847 64 * USI Holdings Corp. 4,000 63 Harleysville National Corp. 2,457 63 Manufactured Home Communities, Inc. REIT 1,887 63 Central Pacific Financial Co. 2,276 63 First Sentinel Bancorp Inc. 3,004 62 Getty Realty Holding Corp. REIT 2,451 62 * Financial Federal Corp. 1,743 61 CB Bancshares Inc. (HI) 653 61 Riggs National Corp. 2,878 61 Corporate Office Properties Trust, Inc. REIT 2,440 61 Koger Equity, Inc. REIT 2,621 61 First Source Corp. 2,422 61 PFF Bancorp, Inc. 1,624 60 Westbanco Inc. 2,076 60 Community Bank System, Inc. 2,648 60 Gold Banc Corp., Inc. 3,888 60 First Financial Corp. (IN) 1,876 60 Selective Insurance Group 1,500 60 Hanmi Financial Corp. 2,024 60 R & G Financial Corp. Class B 1,800 60 Sterling Bancshares, Inc. 4,166 59 LandAmerica Financial Group, Inc. 1,516 59 Sovran Self Storage, Inc. REIT 1,530 58 Equity Inns, Inc. REIT 6,282 58 Great American Financial Resources, Inc. 3,654 58 Glacier Bancorp, Inc. 2,062 58 Charter Financial Corp. 1,700 58 Parkway Properties Inc. REIT 1,300 58 American Home MortgageInvestment Corp. REIT 2,214 57
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Newcastle Investment Corp. REIT 1,900 $ 57 Colonial Properties Trust REIT 1,463 56 Gables Residential Trust REIT 1,641 56 * FelCor Lodging Trust, Inc. REIT 4,608 56 Independent Bank Corp. (MA) 1,909 55 * Advent Software, Inc. 3,040 55 Net.Bank, Inc. 4,980 54 * Danielson Holdings Corp. 7,834 54 Mid-State Bancshares 2,287 54 Correctional Properties Trust REIT 1,826 53 * Investment Technology Group, Inc. 4,156 53 * CNA Surety Corp. 4,842 53 Anthracite Capital Inc. REIT 4,411 53 Glenborough Realty Trust, Inc. REIT 2,872 53 Kansas City Life Insurance Co. 1,231 52 Boston Private Financial Holdings, Inc. 2,231 52 Harleysville Group, Inc. 2,700 51 Oriental Financial Group Inc. 1,872 51 Stewart Information Services Corp. 1,500 51 Hudson River Bancorp. Inc. 2,960 51 Great Southern Bancorp, Inc. 1,712 50 First Community Bancorp 1,300 50 * Nelnet, Inc. 2,800 50 EastGroup Properties, Inc. REIT 1,475 50 * Credit Acceptance Corp. 3,295 50 * InterCept, Inc. 3,018 49 * Universal American Financial Corp. 4,500 49 Interchange Financial Services Corp. 1,925 48 Town & Country Trust REIT 1,884 48 * eSPEED, Inc. Class A 2,667 47 Umpqua Holdings Corp. 2,240 47 * Sterling Financial Corp. 1,452 46 First Place Financial Corp. 2,489 46 Bryn Mawr Bank Corp. 2,030 46 Fidelity Bankshares, Inc. 1,300 46 First Indiana Corp. 2,391 46 * Metris Cos., Inc. 5,190 45 * PICO Holdings, Inc. 2,356 45 Community Trust Bancorp Inc. 1,476 45 First Financial Holdings, Inc. 1,562 45 Capital City Bank Group, Inc. 1,125 45 Alabama National BanCorporation 800 44 Quaker City Bancorp, Inc. 807 44 U.S.B. Holding Co., Inc. 1,922 44 Suffolk Bancorp 1,348 44 * Accredited Home Lenders Holding Co. 1,560 44 WSFS Financial Corp. 882 43 First Merchants Corp. 1,653 43 Universal Health RealtyIncome REIT 1,494 43 * World Acceptance Corp. 2,327 43 United Fire & Casualty Co. 730 42 Independent Bank Corp. (MI) 1,650 42 BancFirst Corp. 700 42 Unizan Financial Corp. 1,600 42 * Stifel Financial Corp. 1,532 42 Midland Co. 1,400 42 * HomeStore, Inc. 10,278 41 West Coast Bancorp 1,908 41 NYMAGIC, Inc. 1,545 41 National Penn Bancshares Inc. 1,365 41 Washington Trust Bancorp, Inc. 1,558 40 Community Banks, Inc. 1,373 40 Peoples Holding Co. 1,165 40 * Argonaut Group, Inc. 2,177 40 Columbia Banking System, Inc. 1,803 40 Bank Mutual Corp. 3,668 40 * United PanAm Financial Corp. 2,341 40 HMN Financial, Inc. 1,513 40 * Saxon Capital Inc. 1,700 39 LaBranche & Co. Inc. 4,605 39 * National Western Life Insurance Co. Class A 251 39 Ziegler Cos., Inc. 2,124 38 * Ace Cash Express, Inc. 1,483 38 Flushing Financial Corp. 2,142 38 Crawford & Co. Class B 7,625 38 Seacoast Banking Corp of Florida 1,789 37 Arrow Financial Corp. 1,226 37 First Bancorp (NC) 1,108 37 Value Line, Inc. 1,037 37 Associated Estates Realty Corp. REIT 4,513 36 Humboldt Bancorp 1,733 36 Midwest Banc Holdings, Inc. 1,620 36 Entertainment PropertiesTrust REIT 1,000 36 Medallion Financial Corp. 4,472 36 Capital Bank Corp. 2,169 36 Vesta Insurance Group, Inc. 5,486 35 MCG Capital Corp. 2,300 35 American Land Lease, Inc. REIT 1,851 35
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * American Physicians Capital, Inc. 1,500 $ 35 MFA Mortgage Investments, Inc. REIT 3,900 35 * Tradestation Group Inc. 4,806 35 Capital Corp. of the West 889 35 Omega Financial Corp. 992 34 Mid-America Apartment Communities, Inc. REIT 900 34 Sanders Morris Harris Group Inc. 2,300 34 Keystone Property Trust REIT 1,400 34 Cross Timbers Royalty Trust 1,210 33 Banner Corp. 1,141 33 Infinity Property & Casualty Corp. 1,000 33 * iPayment Holdings, Inc. 800 33 LTC Properties, Inc. REIT 1,970 33 First South Bancorp, Inc. 1,456 33 Century Bancorp, Inc. Class A 990 33 OceanFirst Financial Corp. 1,349 32 Winston Hotels, Inc. REIT 3,118 32 BSB Bancorp, Inc. 907 32 Horizon Financial Corp. 1,605 32 CFS Bancorp, Inc. 2,400 32 * MeriStar Hospitality Corp. REIT 4,629 32 * PRG-Schultz International, Inc. 5,772 32 * CyberSource Corp. 3,774 32 * Apollo Investment Corp. 2,341 32 Simmons First National Corp. 1,210 31 Provident Bancorp, Inc. 2,761 31 FNB Financial Services Corp. 1,847 31 Innkeepers USA Trust REIT 3,021 31 * Florida Banks, Inc. 1,419 31 TF Financial Corp. 1,016 30 * Portfolio Recovery Associates, Inc. 1,100 30 Farmers Capital Bank Corp. 846 30 * Euronet Worldwide, Inc. 1,300 30 Safety Insurance Group, Inc. 1,400 30 Kramont Realty Trust REIT 1,872 30 Second Bancorp, Inc. 949 30 Wayne Savings Bancshares, Inc. 1,873 30 Capstead Mortgage Corp. REIT 2,186 29 First Federal Bancshares of Arkansas, Inc. 1,506 29 Frontier Financial Corp. 839 29 * Ameriserv Financial Inc. 5,269 29 Prosperity Bancshares, Inc. 1,200 29 Nara Bancorp, Inc. 1,672 29 Cascade Bancorp 1,542 28 * Willis Lease Finance Corp. 3,389 28 Southwest Bancorp, Inc. 1,540 28 * First Mariner Bancorp, Inc. 1,646 28 Newmil Bancorp, Inc. 950 28 Sizeler PropertyInvestors, Inc. REIT 3,028 28 HopFed Bancorp, Inc. 1,705 28 Sterling Bancorp 1,000 28 Sandy Spring Bancorp, Inc. 794 28 PrivateBancorp, Inc. 1,000 27 KNBT Bancorp Inc. 1,643 27 BCSB Bankcorp, Inc. 2,051 27 Tanger Factory Outlet Centers, Inc. REIT 692 27 Affordable Residential Communities 1,622 27 First Keystone Financial, Inc. 1,097 27 Summit Bancshares, Inc. 912 27 AMLI Residential Properties Trust REIT 900 26 Comm Bancorp, Inc. 639 26 Sterling Financial Corp. (PA) 1,006 26 Anworth Mortgage Asset Corp. REIT 2,200 26 Capitol Bancorp Ltd. 1,000 26 Capital Trust Class A 970 26 First Midwest Financial, Inc. 1,049 25 Wainwright Bank & Trust Co. 2,050 25 RAIT Investment Trust REIT 1,000 25 Omega Healthcare Investors, Inc. REIT 2,437 24 Greater Community Bancorp 1,710 24 LaSalle Hotel Properties REIT 1,000 24 Pulaski Financial Corp. 1,362 24 Codorus Valley Bancorp, Inc. 1,297 24 Investors Title Co. 748 24 * CCC Information Services Group 1,400 24 * Prime Group Realty Trust REIT 4,282 23 Main Street Banks, Inc. 800 22 Ameriana Bancorp 1,500 22 LSB Corp. 1,398 22 Oak Hill Financial, Inc. 710 22 * Ceres Group, Inc. 3,566 22 HF Financial Corp. 1,414 22 * DutchFork Bancshares, Inc. 559 22 Partners Trust Financial Group, Inc. 1,100 22 Gabelli Asset Management Inc. 500 21 Columbia Bancorp 726 21 * Carreker Corp. 2,100 21 State Financial Services Corp.Class A 701 21 Cornerstone RealtyIncome Trust, Inc. REIT 2,287 20
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ German American Bancorp 1,188 $ 20 Price Legacy Corp. REIT 1,075 20 Merchants Bancshares, Inc. 752 20 Peoples Bancorp, Inc. 735 20 Team Financial, Inc. 1,658 19 * Federal Agricultural Mortgage Corp. Class A 1,021 19 Greater Delaware Valley Savings Bank 663 19 First State Bancorporation 600 18 Community West Bancshares 2,110 18 * Navigators Group, Inc. 624 18 PMA Capital Corp. Class A 2,000 18 IBERIABANK Corp. 300 18 Provident Financial Holdings, Inc. 706 17 * HealthExtras, Inc. 1,000 17 North Valley Bancorp 1,042 17 Heritage Financial Corp. 862 16 Old Second Bancorp, Inc. 300 16 BancTrust Financial Group, Inc. 900 16 Shore Bancshares, Inc. 600 15 * Amnet Mortgage INC 1,460 15 * Ampal-American Israel Corp. 4,703 15 * Investors Capital Holdings, Ltd. 3,067 15 Bristol West Holdings, Inc. 800 15 Government Properties Trust, Inc. 1,400 15 * Criimi Mae, Inc. REIT 1,204 14 Massbank Corp. 413 14 * Franklin Bank Corp. 900 14 Rainier Pacific Financial Group Inc. 875 14 Highland Hospitality Corp. 1,400 14 Penn-America Group, Inc. 1,000 14 Bank of the Ozarks, Inc. 600 14 * Marlin Business Services Inc. 900 14 * E-LOAN, Inc. 5,008 14 * Banc Corp. 2,068 13 * Signature Bank 566 13 Commercial Bankshares, Inc. 500 13 American Equity Investment Life Holding Co. 1,300 13 Chester Valley Bancorp 601 13 Saul Centers, Inc. REIT 400 13 First Potomac REIT 669 13 First M&F Corp. 400 12 SWS Group, Inc. 800 12 * ITLA Capital Corp. 300 12 Ramco-Gershenson Properties Trust REIT 500 12 Sound Federal Bancorp Inc. 900 12 Urstadt Biddle Properties Class A REIT 800 12 * Hypercom Corp. 1,400 12 United Community Financial Corp. 900 12 Bay View Capital Corp. 5,600 12 Foothill Independent Bancorp. 545 11 TriCo Bancshares 600 11 American National Bankshares Inc. 500 11 MutualFirst Financial Inc. 500 11 FirstBank Corp. 396 11 Baldwin & Lyons, Inc. Class B 400 11 FNB Corp. (VA) 371 11 Peapack Gladstone Financial Corp. 330 11 * AmericanWest Bancorporation 550 11 Security Bank Corp. 300 10 * First Union Real Estate REIT 3,259 10 Pennfed Financial Services, Inc. 300 10 * Central Coast Bancorp 550 10 Ashford Hospitality Trust 1,200 10 First United Corp. 500 10 LSB Bancshares, Inc. 600 10 Unity Bancorp, Inc. 717 10 Center Bancorp, Inc. 840 9 Camco Financial Corp. 670 9 * Consumer Portfolio Services, Inc. 2,020 9 Yardville National Bancorp 363 9 * The Bancorp Bank 500 9 First Defiance Financial Corp. 400 9 Integra Bank Corp. 400 9 * Portal Software, Inc. 2,426 9 Citizens First Financial Corp. 387 9 Bedford Property Investors, Inc. REIT 300 9 Webster City Federal Bancorp 600 9 United Mobile Homes, Inc. REIT 648 9 * First Cash Financial Services, Inc. 400 9 * Asset Acceptance Capital Corp. 500 9 Luminent Mortgage Capital, Inc. 700 8 * TheStreet.com, Inc. 2,242 8 Belmont Bancorp 1,366 8 First Financial Service Corp. 330 8 Capital Title Group, Inc. 1,848 8 Citizens South Banking Corp. 600 8 Jefferson Bancshares, Inc. 600 8 ESB Financial Corp. 600 8 Financial Institutions, Inc. 300 7 Mission West Properties Inc. REIT 600 7 Community Bancorp Inc. 300 7 Track Data Corp. 6,608 7 EFC Bancorp, Inc. 300 7 Royal Bancshares of Pennsylvania, Inc. 280 7
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Humphrey Hospitality Trust, Inc. REIT 1,565 $ 7 Leesport Financial Corp. 300 7 * Sun Bancorp, Inc. (NJ) 315 7 * Republic First Bancorp, Inc. 500 6 * American Independence Corp. 390 6 Republic Bancorp, Inc. Class A 315 6 Bank of Granite Corp. 300 6 * Intersections Inc. 260 6 Investors Real Estate Trust REIT 600 6 CoBiz Inc. 450 6 Westfield Financial, Inc. 300 6 Eastern Virginia Bankshares, Inc. 300 6 AmeriVest Properties, Inc. REIT 1,000 6 BNP Residential Properties, Inc. REIT 444 6 * Falcon Financial Investment Trust REIT 700 5 * Pacific Mercantile Bancorp. 500 5 Habersham Bancorp. 209 5 * Texas Capital Bancshares, Inc. 300 5 Cavalry Bancorp, Inc. 300 5 U.S. RestaurantProperties, Inc. REIT 300 5 * Heritage Commerce Corp. 300 4 First Busey Corp. 146 4 * Greenhill & Co., Inc. 200 4 American Mortgage Acceptance Co. REIT 300 4 Community Bank of Northern Virginia 300 4 BostonFed Bancorp, Inc. 100 4 BRT Realty Trust REIT 200 4 FNB Corp. (NC) 200 4 Pennrock FinancialServices Corp. 129 4 Berkshire Hills Bancorp, Inc. 100 4 * Intelidata Technologies Corp. 5,592 4 Warwick Community Bancorp, Inc. 109 3 National Health Realty Inc. REIT 200 3 * Pacific Premier Bancorp, Inc. 305 3 Maxcor Financial Group Inc. 300 3 Citizens 1st Bancorp, Inc. 125 3 Princeton National Bancorp, Inc. 100 3 Northern States Financial Corp. 100 3 FFLC Bancorp, Inc. 100 3 Home Federal Bancorp 100 3 * Boykin Lodging Co. REIT 300 2 NASB Financial Inc. 51 2 Clifton Savings Bancorp, Inc. 173 2 Burnham Pacific Properties, Inc. REIT 15,143 2 United Financial Corp. 75 2 Acadia Realty Trust REIT 100 1 * InsWeb Corp. 237 1 Hoenig Group, Inc.Rights Exp. 9/1/2006 3,670 1 * Cardinal Financial Corp. 78 1 Pittsburgh & West Virginia Railroad REIT 73 1 * FirstCity Financial Corp. 71 1 * Pinnacle Warrants Exp. 11/13/2007 9 -- ------- 229,670 -------- HEALTH CARE (12.9%) Pfizer Inc. 579,585 19,868 Johnson & Johnson 225,485 12,560 Merck & Co., Inc. 168,706 8,014 Eli Lilly & Co. 86,033 6,015 * Amgen, Inc. 96,581 5,270 Abbott Laboratories 119,270 4,861 Medtronic, Inc. 91,988 4,482 Wyeth 101,295 3,663 Bristol-Myers Squibb Co. 147,661 3,618 UnitedHealth Group Inc. 46,956 2,923 * Boston Scientific Corp. 63,826 2,732 Cardinal Health, Inc. 32,719 2,292 * Genentech, Inc. 40,572 2,280 Schering-Plough Corp. 112,747 2,084 Stryker Corp. 30,562 1,681 * Biogen Idec Inc. 25,952 1,641 * Zimmer Holdings, Inc. 18,572 1,638 Baxter International, Inc. 46,834 1,616 * Forest Laboratories, Inc. 28,154 1,594 HCA Inc. 35,436 1,474 Guidant Corp. 23,905 1,336 * WellPoint Health Networks Inc. Class A 11,690 1,309 * Caremark Rx, Inc. 35,150 1,158 * Gilead Sciences, Inc. 16,402 1,099 * St. Jude Medical, Inc. 13,488 1,020 Becton, Dickinson & Co. 19,341 1,002 Aetna Inc. 11,687 993 * Anthem, Inc. 10,610 950 Allergan, Inc. 9,994 895 Biomet, Inc. 19,545 869 * Genzyme Corp.-General Division 17,424 825 * Medco Health Solutions, Inc. 20,723 777 McKesson Corp. 22,310 766 Quest Diagnostics, Inc. 7,937 674 * Chiron Corp. 14,350 641
27
- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ AmerisourceBergen Corp. 8,653 $ 517 * ImClone Systems, Inc. 5,769 495 * Tenet Healthcare Corp. 35,441 475 * Express Scripts Inc. 5,976 473 * MedImmune Inc. 19,066 446 C.R. Bard, Inc. 7,874 446 * Laboratory Corp. of America Holdings 10,992 436 IMS Health, Inc. 18,306 429 Mylan Laboratories, Inc. 20,617 417 * Varian Medical Systems, Inc. 5,248 416 Health Management Associates Class A 18,514 415 * Patterson Dental Co. 5,213 399 * IVAX Corp. 14,976 359 * Celgene Corp. 6,253 358 Oxford Health Plans, Inc. 6,266 345 * Sepracor Inc. 6,487 343 * Coventry Health Care Inc. 6,923 339 Omnicare, Inc. 7,785 333 * Hospira, Inc. 11,927 329 * Millennium Pharmaceuticals, Inc. 22,990 317 DENTSPLY International Inc. 6,057 316 Beckman Coulter, Inc. 4,791 292 * Eon Labs, Inc. 7,100 291 * Invitrogen Corp. 3,876 279 * Barr Pharmaceuticals Inc. 7,742 261 Bausch & Lomb, Inc. 3,958 258 * Lincare Holdings, Inc. 7,540 248 * PacifiCare Health Systems, Inc. 6,388 247 * Kinetic Concepts, Inc. 4,900 245 * Endo Pharmaceuticals Holdings, Inc. 10,035 235 * DaVita, Inc. 7,531 232 * Cephalon, Inc. 4,299 232 * Health Net Inc. 8,598 228 * Watson Pharmaceuticals, Inc. 8,288 223 Manor Care, Inc. 6,741 220 * WebMD Corp. 23,522 219 * Apogent Technologies Inc. 6,784 217 * Triad Hospitals, Inc. 5,718 213 * OSI Pharmaceuticals, Inc. 3,014 212 * Cytyc Corp. 8,331 211 * Millipore Corp. 3,740 211 * King Pharmaceuticals, Inc. 18,335 210 * Henry Schein, Inc. 3,315 209 * Humana Inc. 12,275 207 * Community Health Systems, Inc. 7,539 202 Universal Health Services Class B 4,188 192 * Renal Care Group, Inc. 5,695 189 * Covance, Inc. 4,734 183 * Charles River Laboratories, Inc. 3,528 172 * Gen-Probe Inc. 3,600 170 * INAMED Corp. 2,700 170 * IDEXX Laboratories Corp. 2,692 169 Medicis Pharmaceutical Corp. 4,182 167 * American Pharmaceuticals Partners, Inc. 5,400 164 * Stericycle, Inc. 3,163 164 Cooper Cos., Inc. 2,582 163 * Amylin Pharmaceuticals, Inc. 7,103 162 * Respironics, Inc. 2,681 158 * Edwards Lifesciences Corp. 4,464 156 * Andrx Group 5,448 152 * Dade Behring Holdings Inc. 3,200 152 * Affymetrix, Inc. 4,610 151 * MGI Pharma, Inc. 5,380 145 * ICOS Corp. 4,784 143 * Accredo Health, Inc. 3,621 141 * Neurocrine Biosciences, Inc. 2,700 140 * VCA Antech, Inc. 3,100 139 * Protein Design Labs, Inc. 7,062 135 * Techne Corp. 3,107 135 * Pharmaceutical Product Development, Inc. 4,215 134 * ResMed Inc. 2,533 129 * Martek Biosciences Corp. 2,284 128 * Nektar Therapeutics 6,424 128 Valeant Pharmaceuticals International 6,265 125 * STERIS Corp. 5,512 124 * Pediatrix Medical Group, Inc. 1,780 124 * Tularik, Inc. 4,903 122 * Cerner Corp. 2,670 119 * Bio-Rad Laboratories, Inc. Class A 1,974 116 * Human Genome Sciences, Inc. 9,776 114 Mentor Corp. 3,280 112 * The Medicines Co. 3,653 111 * First Health Group Corp. 7,134 111 * eResearch Technology, Inc. 3,975 111 * Onyx Pharmaceuticals, Inc. 2,600 110 * Apria Healthcare Group Inc. 3,827 110 * LifePoint Hospitals, Inc. 2,879 107 * NeighborCare Inc. 3,319 104 Invacare Corp. 2,290 102 Perrigo Co. 5,381 102 Select Medical Corp. 7,548 101 * VISX Inc. 3,745 100 Arrow International, Inc. 3,342 100 * AMERIGROUP Corp. 2,000 98
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Pharmion Corp. 2,000 $ 98 Diagnostic Products Corp. 2,220 98 * Ocular Sciences, Inc. 2,525 96 * Ligand Pharmaceuticals Inc. Class B 5,500 96 * US Oncology, Inc. 6,455 95 * Sierra Health Services, Inc. 2,100 94 * Advanced Medical Optics, Inc. 2,198 94 * ILEX Oncology, Inc. 3,724 93 * Kos Pharmaceuticals, Inc. 2,800 92 * Alkermes, Inc. 6,750 92 * PAR Pharmaceutical Cos. Inc. 2,600 92 * Magellan Health Services, Inc. 2,701 90 * Wright Medical Group, Inc. 2,500 89 * Sybron Dental Specialties, Inc. 2,949 88 * Inveresk Research Group Inc. 2,800 86 * Sunrise Senior Living, Inc. 2,200 86 * Beverly Enterprises, Inc. 9,947 86 * Impax Laboratories, Inc. 4,400 85 * K-V Pharmaceutical Co. Class A 3,692 85 * Cyberonics, Inc. 2,538 85 * Integra LifeSciences Holdings 2,400 85 * Kyphon Inc. 3,000 85 * United Surgical Partners International, Inc. 2,125 84 * Align Technology, Inc. 4,400 84 * American Medical Systems Holdings, Inc. 2,475 83 Alpharma, Inc. Class A 3,999 82 * Haemonetics Corp. 2,728 81 * Kindred Healthcare, Inc. 3,064 81 * Abgenix, Inc. 6,832 80 Owens & Minor, Inc. Holding Co. 3,061 79 * ArthroCare Corp. 2,713 79 * Telik, Inc. 3,300 79 * Zymogenetics, Inc. 4,125 78 * Priority Healthcare Corp.Class B 3,353 77 * PSS World Medical, Inc. 6,807 76 * Province Healthcare Co. 4,425 76 * Genencor International Inc. 4,597 75 * Dendreon Corp. 5,937 73 * Possis Medical Inc. 2,100 72 * Viasys Healthcare Inc. 3,425 72 * IDX Systems Corp. 2,243 72 * Noven Pharmaceuticals, Inc. 3,223 71 * Intuitive Surgical, Inc. 3,706 70 * RehabCare Group, Inc. 2,600 69 * Immucor Inc. 2,103 68 * Exelixis, Inc. 6,633 67 * Nabi Biopharmaceuticals 4,658 66 * Applera Corp.-Celera Genomics Group 5,723 66 * Centene Corp. 1,700 66 * Tanox, Inc. 3,394 65 * Vertex Pharmaceuticals, Inc. 5,967 65 * Ventana Medical Systems, Inc. 1,349 64 * United Therapeutics Corp. 2,394 61 * CIMA Labs Inc. 1,808 61 * NPS Pharmaceuticals Inc. 2,841 60 * Salix Pharmaceuticals, Ltd. 1,800 59 * PAREXEL International Corp. 2,938 58 * Atrix Laboratories, Inc. 1,686 58 * Sola International Inc. 3,342 58 * Eclipsys Corp. 3,731 57 * Hologic, Inc. 2,438 57 * AmSurg Corp. 2,250 57 * Medarex, Inc. 7,745 56 * MedCath Corp. 2,800 56 * American Medical Security Group, Inc. 2,053 56 * Per-Se Technologies, Inc. 3,825 56 * OraSure Technologies, Inc. 5,632 55 * CONMED Corp. 1,972 54 * Biosite Inc. 1,191 54 * Adolor Corp. 4,184 53 * Gentiva Health Services, Inc. 3,250 53 * Odyssey Healthcare, Inc. 2,800 53 * Advanced Neuromodulation Systems, Inc. 1,600 52 * CTI Molecular Imaging, Inc. 3,700 52 * Vicuron Pharmaceuticals Inc. 4,166 52 Hooper Holmes, Inc. 9,039 52 * Quality Systems, Inc. 1,051 52 * Digene Corp. 1,394 51 * Maxygen Inc. 4,741 50 * Transkaryotic Therapies, Inc. 3,314 50 * Closure Medical Corp. 1,964 49 * Aspect Medical Systems, Inc. 2,654 49 * Enzon Pharmaceuticals, Inc. 3,804 49 * Orthodontic Centers of America, Inc. 5,896 48 * Genesis Healthcare Corp. 1,659 48 * Incyte Corp. 6,148 47 * Thoratec Corp. 4,317 46 * Serologicals Corp. 2,300 46 * American Healthways Inc. 1,700 45 * TriPath Imaging, Inc. 4,789 45 * CV Therapeutics, Inc. 2,683 45 * Encysive Pharmaceuticals, Inc. 5,223 44 * Molecular Devices Corp. 2,494 44 PolyMedica Corp. 1,400 43
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Bruker BioSciences Corp. 8,844 $ 43 * Regeneron Pharmaceuticals, Inc. 4,081 43 * VaxGen, Inc. 3,020 43 * Cepheid, Inc. 3,700 43 * ABIOMED, Inc. 3,375 42 * Enzo Biochem, Inc. 2,827 42 Vital Signs, Inc. 1,457 42 * SurModics, Inc. 1,711 42 * SonoSite, Inc. 1,762 42 * Indevus Pharmaceuticals, Inc. 6,819 42 * Maxim Pharmaceuticals, Inc. 4,304 42 * Albany Molecular Research, Inc. 3,206 41 Meridian Bioscience Inc. 3,732 41 * CorVel Corp. 1,452 41 * Cell Genesys, Inc. 3,948 41 * InterMune Inc. 2,625 40 * Connetics Corp. 2,000 40 * Luminex Corp. 4,004 40 * Candela Corp. 4,092 40 * Zoll Medical Corp. 1,141 40 * Alexion Pharmaceuticals, Inc. 2,112 39 * Inspire Pharmaceuticals, Inc. 2,300 38 * AtheroGenics, Inc. 2,000 38 * CardioDynamics International Corp. 7,532 38 * LCA-Vision Inc. 1,291 38 * ImmunoGen, Inc. 6,130 37 * Lexicon Genetics Inc. 4,729 37 * Cubist Pharmaceuticals, Inc. 3,337 37 * Alliance Imaging, Inc. 8,100 37 * DJ Orthopedics Inc. 1,600 37 * Myriad Genetics, Inc. 2,400 36 * Isis Pharmaceuticals, Inc. 6,225 36 * Regeneration Technologies, Inc. 3,290 35 * Wilson Greatbatch Technologies, Inc. 1,200 34 * Diversa Corp. 3,302 33 * CuraGen Corp. 5,529 33 * SFBC International, Inc. 1,050 33 * BioMarin Pharmaceutical Inc. 5,435 33 * SuperGen, Inc. 4,928 32 * Specialty Laboratories, Inc. 3,533 32 * US Physical Therapy, Inc. 2,300 32 * Stratagene Holding Corp. 3,795 31 * National Dentex Corp. 1,077 31 * Pharmacyclics, Inc. 3,019 31 * Cell Therapeutics, Inc. 3,930 29 * Kensey Nash Corp. 828 29 * First Horizon Pharmaceutical Corp. 1,500 28 * Allscripts Healthcare Solutions, Inc. 3,570 28 * Dyax Corp. 2,379 28 * GenVec, Inc. 9,030 28 * Accelrys Inc. 2,797 28 * Laserscope 1,000 28 * Molina Healthcare Inc. 700 27 * Trimeris, Inc. 1,826 26 * Air Methods Corp. 3,041 26 * Antigenics, Inc. 3,021 26 * Bone Care International, Inc. 1,093 26 * Eyetech Pharmaceuticals Inc. 594 25 * PRAECIS Pharmaceuticals Inc. 6,704 25 Analogic Corp. 600 25 West Pharmaceutical Services, Inc. 600 25 * Superior Consultant Holdings Corp. 4,112 25 * Immunomedics Inc. 5,002 24 * BioLase Technology, Inc. 1,800 24 * VistaCare, Inc. 1,300 24 * MedQuist, Inc. 2,003 24 Datascope Corp. 600 24 * Ciphergen Biosystems, Inc. 3,206 23 * Chattem, Inc. 800 23 * Nanogen, Inc. 3,386 23 * Matria Healthcare, Inc. 904 23 * Rochester Medical Corp. 2,716 22 * SciClone Pharmaceuticals, Inc. 4,366 22 * LabOne, Inc. 700 22 * Nuvelo, Inc. 2,308 22 * Gene Logic Inc. 5,467 22 * Inverness Medical Innovations, Inc. 1,007 22 * Third Wave Technologies 4,741 21 * Corixa Corp. 4,497 21 * Alcide Corp. 1,009 21 * Illumina, Inc. 3,276 21 * Aclara Biosciences, Inc. 4,614 21 * Able Laboratories, Inc. 1,000 21 * XOMA Ltd. 4,538 20 * Conceptus, Inc. 1,800 20 * Medical Action Industries Inc. 1,100 20 * Penwest Pharmaceuticals Co. 1,563 20 * Lifecore Biomedical Inc. 3,233 20 * Exactech, Inc. 900 20 * Bradley Pharmaceuticals, Inc. 700 20 * SONUS Pharmaceuticals, Inc. 4,183 19 * Vivus, Inc. 5,306 19 * Embrex, Inc. 1,419 19 * Theragenics Corp. 4,093 19 * Nastech Pharmaceutical Co., Inc. 1,785 18 * Progenics Pharmaceuticals, Inc. 1,070 18
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Trover Solutions, Inc. 2,600 $ 18 * Neurogen Corp. 2,387 18 * Advanced Magnetics, Inc. 1,173 18 * IVAX Diagnostics, Inc. 2,766 18 * Geron Corp. 2,138 17 * ARIAD Pharmaceuticals, Inc. 2,300 17 * Savient Pharmaceuticals Inc. 6,883 17 * ICU Medical, Inc. 500 17 Landauer, Inc. 375 17 * Sangamo BioSciences, Inc. 2,740 16 * InKine Pharmaceutical Co., Inc. 4,225 16 * Spectranetics Corp. 2,779 16 * Durect Corp. 4,425 15 * Novavax, Inc. 2,847 15 * Harvard Bioscience, Inc. 3,410 15 * Curative Health Services, Inc. 1,739 15 * Neogen Corp. 875 15 * Pozen Inc. 2,165 15 * EPIX Medical, Inc. 700 15 * Oscient Pharmaceuticals 2,887 15 * HMS Holdings Corp. 2,468 15 * Genta Inc. 5,819 15 * Curis, Inc. 3,275 14 * Hollis-Eden Pharmaceuticals, Inc. 1,200 14 * BioSphere Medical Inc. 4,500 14 * CYTOGEN Corp. 879 14 * VitalWorks Inc. 3,890 13 * Genaissance Pharmaceuticals, Inc. 3,100 13 * Lipid Sciences, Inc. 2,862 13 * Curon Medical Inc. 7,226 12 * CryoLife Inc. 2,226 12 * NMT Medical, Inc. 3,100 12 * Axonyx Inc. 2,200 12 * Oxigene, Inc. 1,815 11 * SRI/Surgical Express, Inc. 1,677 11 * AP Pharma Inc. 3,352 11 * Merit Medical Systems, Inc. 700 11 * Tapestry Pharmaceuticals Inc. 6,104 11 * aaiPharma Inc. 2,000 11 * Vical, Inc. 1,846 11 * Novoste Corp. 3,865 11 * Emisphere Technologies, Inc. 2,550 10 * Caliper Life Sciences, Inc. 2,209 10 * Sonic Innovations, Inc. 1,778 10 * Cytokinetics, Inc. 671 10 * Aphton Corp. 2,490 10 * Insmed Inc. 4,380 10 * Hi-Tech Pharmacal Co., Inc. 600 10 * Chronimed Inc. 1,200 10 * Allied Healthcare International Inc. 1,980 10 * Cypress Bioscience, Inc. 700 10 * Abaxis, Inc. 500 9 * La Jolla Pharmaceutical Co. 3,848 9 * Large Scale Biology Corp. 6,609 9 * Titan Pharmaceuticals, Inc. 3,367 9 * Symbion, Inc. 500 9 * NeoPharm, Inc. 814 8 * Microvision, Inc. 1,000 8 * Kendle International Inc. 1,075 8 * Corgentech Inc. 500 8 * Iridex Corp. 1,100 8 * Pharmacopeia Drug Discovery 1,398 8 * Orchid Biosciences, Inc. 1,004 8 * Discovery Laboratories, Inc. 800 8 Psychemedics Corp. 725 8 * V.I. Technologies, Inc. 6,546 7 * Tercica, Inc. 800 7 * Kosan Biosciences, Inc. 800 6 * Neurobiological Technologies, Inc. 1,600 6 * Rita Medical Systems, Inc. 1,400 6 * Targeted Genetics Corp. 3,721 6 * MacroChem Corp. 3,800 6 * Seattle Genetics, Inc. 800 6 * Carrington Labs Inc. 1,246 6 * EntreMed, Inc. 2,738 6 * Virologic, Inc. 2,205 5 * Proxymed Pharmacy, Inc. 320 5 * Sequenom, Inc. 3,558 5 * Columbia Laboratories Inc. 1,500 5 * Orphan Medical, Inc. 500 5 * Aradigm Corp. 5,575 5 * Collagenex Pharmaceuticals, Inc. 500 5 * Cerus Corp. 1,842 4 * Aksys, Ltd. 737 4 * Northfield Laboratories, Inc. 300 4 * Ista Pharmaceuticals Inc. 398 4 * Alteon, Inc. 3,513 4 * ViroPharma Inc. 2,238 4 * Lanvision Systems, Inc. 1,425 4 * Transgenomic, Inc. 2,841 4 * Cortex Pharmaceuticals, Inc. 1,300 3 * GTC Biotherapeutics, Inc. 2,100 3 * Synovis Life Technologies, Inc. 300 3 * Continucare Corp. 1,581 3 * Five Star Quality Care, Inc. 668 3 * Interpharm Holdings, Inc. 739 3 * Santarus Inc. 196 3 * Renovis, Inc. 300 3 * Paradigm Genetics, Inc. 3,296 3
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Repligen Corp. 1,000 $ 2 * Cardima, Inc. 4,715 2 * PharmaNetics, Inc. 5,064 2 * Applied Imaging Corp. 2,500 2 * Matritech Inc. 1,700 2 * Biopure Corp. 3,100 2 * Aastrom Biosciences, Inc. 2,400 2 * GTx, Inc. 200 2 * Avigen, Inc. 604 2 * Osteotech, Inc. 300 2 * Bioject Medical Technologies Inc. 1,000 2 * Animas Corp. 100 2 * IntraBiotics Pharmaceuticals, Inc. 470 2 * SIGA Technologies, Inc. 1,265 2 * eXegenics Inc. 2,293 2 * Myogen, Inc. 200 2 Wellcare Group Inc. 100 2 * The Immune Response Corp. 981 1 * Valentis, Inc. 165 1 * Epimmune Inc. 643 1 * IGI, Inc. 418 1 * Lynx Therapeutics, Inc. 408 1 * Corcept Therapeutics Inc. 107 1 * HealthAxis, Inc. 225 1 * Barrier Therapeutics Inc. 100 1 * Precision Optics Corp., Inc. 391 -- * Pure Bioscience 571 -- --------- 135,553 --------- INTEGRATED OILS (3.6%) ExxonMobil Corp. 496,715 22,059 ChevronTexaco Corp. 81,238 7,645 ConocoPhillips Co. 52,086 3,974 Occidental Petroleum Corp. 29,706 1,438 Marathon Oil Corp. 26,143 989 Unocal Corp. 19,839 754 Amerada Hess Corp. 6,882 545 Murphy Oil Corp. 7,014 517 Hugoton Royalty Trust 3,800 87 * KCS Energy, Inc. 5,533 74 * Giant Industries, Inc. 2,210 49 * Delta Petroleum Corp. 3,500 47 * NewMarket Corp. 1,463 31 * GMX Resources Inc. 3,450 27 --------- 38,236 --------- OTHER ENERGY (2.6%) Schlumberger Ltd. 44,882 2,850 Devon Energy Corp. 18,115 1,196 Anadarko Petroleum Corp. 19,222 1,126 Burlington Resources, Inc. 30,236 1,094 Apache Corp. 24,860 1,083 Halliburton Co. 33,550 1,015 Baker Hughes, Inc. 25,598 964 Valero Energy Corp. 10,009 738 * Transocean Inc. 24,531 710 Kerr-McGee Corp. 11,391 612 XTO Energy, Inc. 19,607 584 * BJ Services Co. 12,162 558 EOG Resources, Inc. 8,817 526 * Nabors Industries, Inc. 11,258 509 GlobalSantaFe Corp. 17,874 474 Williams Cos., Inc. 39,518 470 * Weatherford International Ltd. 10,086 454 * Smith International, Inc. 7,976 445 * Noble Corp. 10,337 392 El Paso Corp. 48,859 385 Sunoco, Inc. 5,973 380 ENSCO International, Inc. 11,457 333 Pioneer Natural Resources Co. 9,182 322 Chesapeake Energy Corp. 18,005 265 Peabody Energy Corp. 4,684 262 Texas Genco Holdings, Inc. 5,674 256 Equitable Resources, Inc. 4,738 245 CONSOL Energy, Inc. 6,804 245 Pogo Producing Co. 4,921 243 * Reliant Energy, Inc. 22,445 243 * Newfield Exploration Co. 4,323 241 * Premcor, Inc. 6,300 236 Diamond Offshore Drilling, Inc. 9,874 235 Noble Energy, Inc. 4,329 221 * Ultra Petroleum Corp. 5,678 212 Patterson-UTI Energy, Inc. 6,323 211 * National-Oilwell, Inc. 6,499 205 * Cooper Cameron Corp. 4,144 202 * Rowan Cos., Inc. 7,863 191 * NRG Energy 7,591 188 * Pride International, Inc. 10,288 176 * Grant Prideco, Inc. 9,532 176 Massey Energy Co. 5,791 163 * Varco International, Inc. 7,409 162 Patina Oil & Gas Corp. 5,350 160 * FMC Technologies Inc. 5,123 148 Arch Coal, Inc. 4,011 147 * Tesoro Petroleum Corp. 5,000 138 * Calpine Corp. 31,345 135 * Evergreen Resources, Inc. 3,326 134 * Quicksilver Resources, Inc. 1,894 127 * Houston Exploration Co. 2,382 123 * Dynegy, Inc. 28,866 123 * Forest Oil Corp. 4,080 111 Vintage Petroleum, Inc. 6,431 109 * Unit Corp. 3,452 109 Cabot Oil & Gas Corp. 2,462 104
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Plains Exploration & Production Co. 5,655 $ 104 * Spinnaker Exploration Co. 2,576 101 Helmerich & Payne, Inc. 3,776 99 St. Mary Land & Exploration Co. 2,710 97 * Cimarex Energy Co. 3,192 96 * Key Energy Services, Inc. 10,156 96 * Stone Energy Corp. 2,041 93 * Encore Acquisition Co. 3,315 92 * Denbury Resources, Inc. 4,200 88 * Oceaneering International, Inc. 2,499 86 * Cal Dive International, Inc. 2,818 85 CARBO Ceramics Inc. 1,190 81 * Magnum Hunter Resources Inc. 7,780 81 * Swift Energy Co. 3,391 75 Range Resources Corp. 5,100 74 Frontier Oil Corp. 3,476 74 * Seacor Holdings INC 1,659 73 * Universal Compression Holdings, Inc. 2,362 72 * Hanover Compressor Co. 6,075 72 Holly Corp. 1,918 72 * Comstock Resources, Inc. 3,665 71 Berry Petroleum Class A 2,385 70 * Remington Oil & Gas Corp. 2,958 70 Penn Virginia Corp. 1,912 69 * Enbridge Energy Management LLC 1,600 68 * Plug Power, Inc. 8,936 67 * Global Industries Ltd. 11,658 67 * Veritas DGC Inc. 2,845 66 * Grey Wolf, Inc. 15,529 66 * Atwood Oceanics, Inc. 1,554 65 RPC Inc. 4,091 65 * Energy Partners, Ltd. 4,208 64 * Newpark Resources, Inc. 10,383 64 * TETRA Technologies, Inc. 2,335 63 * Input/Output, Inc. 7,542 63 * Superior Energy Services, Inc. 6,200 62 * Prima Energy Corp. 1,558 62 Resource America, Inc. 2,534 60 * Whiting Petroleum Corp. 2,217 56 * Petroleum Development Corp. 2,000 55 * Harvest Natural Resources, Inc. 3,500 52 * Plains Resources Inc. 2,927 50 * W-H Energy Services, Inc. 2,487 49 * Brigham Exploration Co. 5,300 49 * ATP Oil & Gas Corp. 6,200 48 * Syntroleum Corp. 6,873 45 * McMoRan Exploration Co. 2,795 44 * Dril-Quip, Inc. 2,328 44 * TransMontaigne Inc. 8,059 43 * Parker Drilling Co. 11,063 42 * PetroQuest Energy, Inc. 9,400 40 * Hydrill Co. 1,200 38 * The Meridian Resource Corp. 5,349 37 * FuelCell Energy, Inc. 3,060 36 * Oil States International, Inc. 2,300 35 * Parallel Petroleum Corp. 6,000 30 * Double Eagle Petroleum Co. 2,171 30 * Callon Petroleum Co. 1,966 28 * Prime Energy Corp. 1,426 26 Gulf Island Fabrication, Inc. 1,148 25 * The Exploration Co.of Delaware, Inc. 6,500 25 * KFX, Inc. 3,200 24 * Todco 1,300 20 * Beta Oil & Gas Inc. 2,900 19 * Toreador Resources Corp. 2,315 17 * Capstone Turbine Corp. 7,214 16 * Clayton Williams Energy, Inc. 647 15 * Goodrich Petroleum Corp. 1,400 12 * Royale Energy, Inc. 775 11 * Torch Offshore, Inc. 3,600 10 * Harken Energy Corp. 19,883 10 * Global Power Equipment Group Inc. 1,215 10 * Magellan Petroleum Corp. 5,434 7 * Abraxas Petroleum Corp. 3,800 6 * Westmoreland Coal Co. 300 6 * Horizon Offshore, Inc. 4,889 5 * U.S. Energy Systems, Inc. 4,134 4 * Infinity, Inc. 800 3 * FX Energy, Inc. 200 2 * Wilshire Enterprises, Inc. 190 1 * ICO, Inc. 357 1 -------- 27,485 --------- MATERIALS & Processing (4.0%) E.I. du Pont de Nemours & Co. 76,463 3,396 Dow Chemical Co. 71,374 2,905 Alcoa Inc. 66,589 2,199 International Paper Co. 36,789 1,644 Newmont Mining Corp (Holding Co.) 30,735 1,191 Weyerhaeuser Co. 17,023 1,074 Masco Corp. 33,423 1,042 Praxair, Inc. 24,882 993 Air Products & Chemicals, Inc. 17,401 913 Archer-Daniels-Midland Co. 49,693 834 PPG Industries, Inc. 13,074 817 Monsanto Co. 20,336 783 Georgia Pacific Group 19,483 720
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Rohm & Haas Co. 17,053 $ 709 * American Standard Cos., Inc. 16,606 669 Ecolab, Inc. 19,700 624 * Phelps Dodge Corp. 7,177 556 Avery Dennison Corp. 8,405 538 Sherwin-Williams Co. 11,174 464 Nucor Corp. 6,000 461 MeadWestvaco Corp. 15,373 452 Freeport-McMoRan Copper & Gold, Inc. Class B 13,586 450 Smurfit-Stone Container Corp. 18,871 376 Vulcan Materials Co. 7,768 369 * Sealed Air Corp. 6,525 348 Ball Corp. 4,358 314 Sigma-Aldrich Corp. 5,267 314 Engelhard Corp. 9,560 309 Bunge Ltd. 7,900 308 United States Steel Corp. 8,687 305 Fluor Corp. 6,299 300 * Pactiv Corp. 11,973 299 Temple-Inland Inc. 4,174 289 Ashland, Inc. 5,277 279 * Energizer Holdings, Inc. 6,189 279 Eastman Chemical Co. 5,922 274 Precision Castparts Corp. 4,951 271 Boise Cascade Corp. 6,717 253 Lyondell Chemical Co. 13,515 235 Bemis Co., Inc. 8,104 229 The St. Joe Co. 5,762 229 Lafarge North America Inc. 5,236 227 * International Steel Group, Inc. 7,500 223 Forest City Enterprise Class A 3,753 199 Valspar Corp. 3,908 197 Packaging Corp. of America 8,024 192 Louisiana-Pacific Corp. 8,054 190 Cabot Corp. 4,680 190 Sonoco Products Co. 7,419 189 * Owens-Illinois, Inc. 11,257 189 The Timken Co. 6,772 179 Bowater Inc. 4,276 178 * Glamis Gold, Ltd. 9,900 174 Martin Marietta Materials, Inc. 3,836 170 * Jacobs Engineering Group Inc. 4,298 169 * Scotts Co. 2,514 161 Harsco Corp. 3,138 147 Cytec Industries, Inc. 3,123 142 Lubrizol Corp. 3,870 142 Florida Rock Industries, Inc. 3,342 141 Worthington Industries, Inc. 6,684 137 Corn Products International, Inc. 2,879 134 RPM International, Inc. 8,809 134 Airgas, Inc. 5,524 132 Hughes Supply, Inc. 2,235 132 Southern Peru Copper Corp. 3,053 126 York International Corp. 3,055 125 * Crown Holdings, Inc. 12,372 123 AptarGroup Inc. 2,747 120 * FMC Corp. 2,735 118 IMC Global Inc. 8,630 116 Allegheny Technologies Inc. 6,136 111 * Steel Dynamics, Inc. 3,755 108 Great Lakes Chemical Corp. 3,964 107 Simpson Manufacturing Co. 1,900 107 * Hercules, Inc. 8,590 105 Valhi, Inc. 9,126 104 Albemarle Corp. 3,246 103 * Dycom Industries, Inc. 3,656 102 Reliance Steel & Aluminum Co. 2,500 101 * Stillwater Mining Co. 6,686 100 * Meridian Gold Co. 7,732 100 Texas Industries, Inc. 2,341 96 Mueller Industries Inc. 2,652 95 * Longview Fibre Co. 6,400 94 * URS Corp. 3,409 93 Potlatch Corp. 2,237 93 Brady Corp. Class A 2,020 93 Olin Corp. 5,151 91 * OM Group, Inc. 2,720 90 Acuity Brands, Inc. 3,311 89 Georgia Gulf Corp. 2,491 89 Minerals Technologies, Inc. 1,537 89 * Rogers Corp. 1,255 88 Clarcor Inc. 1,894 87 Lennox International Inc. 4,784 87 Greif Inc. Class A 2,019 85 Kaydon Corp. 2,757 85 Albany International Corp. 2,500 84 * Millennium Chemicals, Inc. 4,840 84 * Symyx Technologies, Inc. 3,468 84 Ferro Corp. 3,107 83 LNR Property Corp. 1,518 82 * Maverick Tube Corp. 3,082 81 Spartech Corp. 3,108 81 * NCI Building Systems, Inc. 2,460 80 Silgan Holdings, Inc. 1,986 80 Carpenter Technology Corp. 2,340 80 USEC Inc. 8,955 79 Commercial Metals Co. 2,354 76 MacDermid, Inc. 2,244 76 Kronos Worldwide, Inc. 2,200 75 * Armor Holdings, Inc. 2,200 75 Watsco, Inc. 2,653 74
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Wausau-Mosinee Paper Corp. 4,286 $ 74 * GrafTech International Ltd. 6,942 73 * WCI Communities, Inc. 3,250 73 Glatfelter 5,139 72 H.B. Fuller Co. 2,546 72 * Lone Star Technologies, Inc. 2,616 72 * Graphic Packaging Corp. 8,200 71 Tredegar Corp. 4,344 70 Arch Chemicals, Inc. 2,388 69 A. Schulman Inc. 3,174 68 Brookfield Homes Corp. 2,600 68 * Coeur d'Alene Mines Corp. 16,261 66 * Oregon Steel Mills, Inc. 4,488 66 * Tejon Ranch Co. 1,877 65 AMCOL International Corp. 3,408 65 Delta & Pine Land Co. 2,913 64 * PolyOne Corp. 8,571 64 * Buckeye Technology, Inc. 5,499 63 Crompton Corp. 9,725 61 NL Industries, Inc. 4,088 59 Ryerson Tull, Inc. 3,730 59 Granite Construction Co. 3,233 59 * Cabot Microelectronics Corp. 1,921 59 Chesapeake Corp. of Virginia 2,187 58 * USG Corp. 3,299 58 Cambrex Corp. 2,289 58 * Hexcel Corp. 4,979 58 * Century Aluminum Co. 2,290 57 * Quanta Services, Inc. 9,079 56 * Trammell Crow Co. 3,872 55 * Jacuzzi Brands, Inc. 6,753 54 * Caraustar Industries, Inc. 3,795 54 ElkCorp 2,210 53 * EMCOR Group, Inc. 1,200 53 Barnes Group, Inc. 1,809 52 * AK Steel Corp. 9,745 51 * Avatar Holding, Inc. 1,234 51 * Insituform Technologies Inc.Class A 3,150 51 Eagle Materials, Inc. B Shares 725 50 * Hecla Mining Co. 8,792 50 Myers Industries, Inc. 3,513 50 Eagle Materials, Inc. 697 50 * Shaw Group, Inc. 4,862 49 * Encore Wire Corp. 1,783 49 Rock-Tenn Co. 2,900 49 * Interface, Inc. 5,627 49 * Trex Co., Inc. 1,200 45 Schnitzer Steel Industries, Inc. Class A 1,275 43 * Mobile Mini, Inc. 1,523 43 * Titanium Metals Corp. 461 43 * Omnova Solutions Inc. 6,933 42 * Material Sciences Corp. 3,688 39 Quanex Corp. 800 39 * Terra Industries, Inc. 6,769 38 * A.M. Castle & Co. 3,520 38 CIRCOR International, Inc. 1,846 38 Apogee Enterprises, Inc. 3,608 38 * Zoltek Cos., Inc. 4,979 36 Oil-Dri Corp. of America 2,123 35 * Integrated Electrical Services, Inc. 4,211 34 * AAON, Inc. 1,650 33 The Standard Register Co. 2,700 32 * Lydall, Inc. 3,277 32 * NS Group Inc. 1,926 32 * Maxxam Inc. 1,190 32 Penford Corp. 1,785 31 Ampco-Pittsburgh Corp. 2,429 31 * Griffon Corp. 1,400 31 * Northwest Pipe Co. 1,751 31 * CompX International Inc. 1,929 29 * Energy Conversion Devices, Inc. 2,557 29 * Griffin Land & Nurseries, Inc. 1,126 29 * Stratus Properties Inc. 2,199 28 * Cleveland-Cliffs Inc. 500 28 Wellman, Inc. 3,463 28 Valmont Industries, Inc. 1,200 27 LSI Industries Inc. 2,257 26 * Synalloy Corp. 2,538 26 * Huttig Building Products, Inc. 3,365 26 * Ceradyne, Inc. 700 25 Royal Gold, Inc. 1,700 24 Aceto Corp. 1,350 24 Calgon Carbon Corp. 3,497 23 Gibraltar Steel 700 23 * W.R. Grace & Co. 3,562 22 Steel Technologies, Inc. 1,000 22 Consolidated-Tomoka Land Co. 580 22 Alico, Inc. 532 21 WD-40 Co. 700 21 * Comfort Systems USA, Inc. 3,106 20 * Valence Technology Inc. 5,663 19 * Unifi, Inc. 6,614 19 * Acmat Corp. Class A 1,503 19 Stepan Co. 680 18 * Anthony & Sylvan Pools Corp. 3,845 16 Compass Minerals International 800 16 Deltic Timber Corp. 400 15 * Tarragon Realty Investors Inc. REIT 1,000 15 Quaker Chemical Corp. 524 14
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Layne Christensen Co. 856 $ 14 Universal Forest Products, Inc. 400 13 * Juno Lighting, Inc. 361 13 Intermet Corp. 2,894 12 * Zapata Corp. 200 12 * Foamex International, Inc. 2,519 12 * Medis Technology Ltd. 700 11 * TransPro Inc. 1,789 10 * U.S. Energy Corp. 3,571 9 Ameron International Corp. 240 8 * Drew Industries, Inc. 200 8 * Perini Corp. 700 7 * Infrasource Services Inc. 600 7 * Lesco, Inc. 500 7 * Wellsford Real Properties Inc. 426 7 Penn Engineering & Manufacturing Corp. 300 6 * Eden Bioscience Corp. 7,422 6 Ennis Business Forms, Inc. 300 6 Anchor Glass Container Corp. 400 5 * Liquidmetal Technologies Inc. 2,600 4 * U.S. Concrete, Inc. 500 4 * Baker (Michael) Corp. 200 3 * Nonophase Technologies Corp. 300 2 * Webco Industries, Inc. 577 2 * American Real Estate Partners, LP 100 2 * Impreso, Inc. 800 2 * EarthShell Corp. 938 2 * Badger Paper Mills, Inc. 238 1 * Advanced Environmental Recycling Technologies, Inc. 600 1 * WHX Corp. 222 -- * BMC Industries, Inc. 4,603 -- * Cone Mills Corp. 2,187 -- --------- 42,129 --------- PRODUCER DURABLES (4.5%) United Technologies Corp. 39,086 3,576 The Boeing Co. 63,973 3,268 * Applied Materials, Inc. 128,040 2,512 Illinois Tool Works, Inc. 23,656 2,268 Caterpillar, Inc. 26,154 2,078 Emerson Electric Co. 32,334 2,055 Lockheed Martin Corp. 34,054 1,774 Northrop Grumman Corp. 27,352 1,469 Deere & Co. 18,880 1,324 Danaher Corp. 23,496 1,218 * Agilent Technologies, Inc. 36,798 1,077 * Lexmark International, Inc. 9,854 951 Ingersoll-Rand Co. 13,451 919 * Xerox Corp. 60,903 883 Pitney Bowes, Inc. 17,896 792 * KLA-Tencor Corp. 15,050 743 Dover Corp. 15,563 655 Parker Hannifin Corp. 9,061 539 Lennar Corp. Class A 11,860 530 D. R. Horton, Inc. 17,794 505 Pulte Homes, Inc. 9,624 501 Molex, Inc. 14,593 468 Rockwell Collins, Inc. 13,629 454 * Waters Corp. 9,329 446 Centex Corp. 9,432 432 Cooper Industries, Inc. Class A 7,185 427 W.W. Grainger, Inc. 7,007 403 * Thermo Electron Corp. 12,464 383 * Novellus Systems, Inc. 11,634 366 * Teradyne, Inc. 14,585 331 American Power Conversion Corp. 15,078 296 Diebold, Inc. 5,520 292 Goodrich Corp. 8,950 289 * LAM Research Corp. 10,148 272 * American Tower Corp. Class A 17,139 261 Pentair, Inc. 7,574 255 Pall Corp. 9,691 254 KB HOME 3,619 248 * Crown Castle International Corp. 16,761 247 * Andrew Corp. 12,126 243 * NVR, Inc. 500 242 * Toll Brothers, Inc. 5,596 237 Tektronix, Inc. 6,467 220 Hubbell Inc. Class B 4,580 214 Cummins Inc. 3,265 204 Donaldson Co., Inc. 6,656 195 HNI Corp 4,515 191 * Alliant Techsystems, Inc. 2,903 184 * Polycom, Inc. 7,493 168 Graco, Inc. 5,286 164 Roper Industries Inc. 2,828 161 * Hovnanian Enterprises Inc.Class A 4,632 161 MDC Holdings, Inc. 2,509 160 Herman Miller, Inc. 5,509 159 Ametek, Inc. 5,158 159 Briggs & Stratton Corp. 1,708 151 Ryland Group, Inc. 1,900 149 * Plantronics, Inc. 3,440 145 Crane Co. 4,488 141 * United Defense Industries Inc. 4,000 140 * AGCO Corp. 6,795 138 Cognex Corp. 3,394 131 Standard Pacific Corp. 2,638 130
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ Kennametal, Inc. 2,827 $ 129 * Terex Corp. 3,770 129 IDEX Corp. 3,715 128 Thomas & Betts Corp. 4,557 124 Nordson Corp. 2,695 117 Joy Global Inc. 3,900 117 Engineered Support Systems, Inc. 1,900 111 Beazer Homes USA, Inc. 1,100 110 Lincoln Electric Holdings, Inc. 3,222 110 * Varian Semiconductor Equipment Associates, Inc. 2,804 108 * Flowserve Corp. 4,304 107 * Cymer, Inc. 2,794 105 * Axcelis Technologies, Inc. 7,674 95 * Electro Scientific Industries, Inc. 3,259 92 * Dionex Corp. 1,672 92 * Actuant Corp. 2,352 92 Mine Safety Appliances Co. 2,716 92 * Rayovac Corp. 3,238 91 * MKS Instruments, Inc. 3,983 91 * CUNO Inc. 1,660 89 The Manitowoc Co., Inc. 2,555 86 * FEI Co. 3,565 85 * William Lyon Homes, Inc. 914 84 * Interdigital Communications Corp. 4,382 82 * Esterline Technologies Corp. 2,774 82 * ATMI, Inc. 2,993 82 * Credence Systems Corp. 5,887 81 Technical Olympic USA, Inc. 3,526 79 NACCO Industries, Inc. Class A 824 78 A.O. Smith Corp. 2,400 76 * Littelfuse, Inc. 1,782 76 * Technitrol, Inc. 3,443 75 Franklin Electric, Inc. 1,956 74 * Meritage Corp. 1,066 73 Woodward Governor Co. 1,000 72 Baldor Electric Co. 3,061 71 Federal Signal Corp. 3,758 70 * Taser International Inc. 1,600 69 * Power-One, Inc. 6,265 69 * Mykrolis Corp. 3,881 68 * Photronics Inc. 3,560 67 * Brooks Automation, Inc. 3,332 67 Regal-Beloit Corp. 2,927 65 * Entegris Inc. 5,613 65 Stewart & Stevenson Services, Inc. 3,513 63 Tecumseh Products Co. Class A 1,512 62 * LTX Corp. 5,744 62 * Orbital Sciences Corp. 4,451 61 * Kulicke & Soffa Industries, Inc. 5,595 61 Watts Water Technologies, Inc. 2,238 60 * Photon Dynamics, Inc. 1,713 60 Curtiss-Wright Corp. Class B 1,094 59 * Powerwave Technologies, Inc. 7,639 59 JLG Industries, Inc. 4,196 58 * Ionics, Inc. 2,050 58 Helix Technology Corp. 2,701 58 * Paxar Corp. 2,900 57 Belden, Inc. 2,633 56 C & D Technologies, Inc. 3,149 56 * Cable Design Technologies Corp. 5,292 56 Kimball International, Inc. Class B 3,691 54 MTS Systems Corp. 2,300 54 * Moog Inc. 1,450 54 CTS Corp. 4,421 53 * Kadant Inc. 2,272 53 * FARO Technologies, Inc. 2,032 52 * Headwaters Inc. 2,000 52 * Teledyne Technologies, Inc. 2,582 52 * Itron, Inc. 2,253 52 * Gardner Denver Inc. 1,847 52 * Vicor Corp. 2,786 51 * Mattson Technology, Inc. 4,200 50 * Arris Group Inc. 8,355 50 Steelcase Inc. 3,510 49 * Symmetricom Inc. 5,419 48 * Imagistics International Inc. 1,347 48 * Audiovox Corp. 2,790 47 * Palm Harbor Homes, Inc. 2,645 47 * General Cable Corp. 5,352 46 * Magnatek, Inc. 5,390 45 * Genlyte Group, Inc. 700 44 * DuPont Photomasks, Inc. 2,152 44 * Presstek, Inc. 4,073 43 * Veeco Instruments, Inc. 1,654 43 * Champion Enterprises, Inc. 4,638 43 * Artesyn Technologies, Inc. 4,685 42 * General Binding Corp. 2,685 42 * Triumph Group, Inc. 1,300 42 * Advanced Energy Industries, Inc. 2,587 41 * Ultratech, Inc. 2,448 40 Lindsay Manufacturing Co. 1,642 39 Alamo Group, Inc. 2,394 38 * EnPro Industries, Inc. 1,650 38 X-Rite Inc. 2,435 35 * C-COR Electronics, Inc. 3,345 34 * Axsys Technologies, Inc. 1,536 34 * SBA Communications Corp. 7,477 33 * Zygo Corp. 2,931 33 * ESCO Technologies Inc. 600 32 HEICO Corp. 1,623 30
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- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ M/I Homes, Inc. 700 $ 28 * MTC Technologies, Inc. 1,100 28 * AZZ Inc. 1,865 28 * Levitt Corp. Class A 1,075 28 Thomas Industries, Inc. 800 27 * Blount International, Inc. 2,084 27 * Virco Manufacturing Corp. 3,740 26 United Industrial Corp. 1,100 26 * California Amplifier, Inc. 3,600 25 Met-Pro Corp. 1,673 25 Applied Industrial Technology, Inc. 800 24 * BE Aerospace, Inc. 3,140 24 Tech/Ops Sevcon, Inc. 4,019 24 Curtiss-Wright Corp. 416 23 * Paragon Technologies, Inc. 2,370 23 SpectraLink Corp. 1,500 22 * Aetrium, Inc. 3,024 22 The Middleby Corp. 400 22 Standex International Corp. 800 22 * Strategic Diagnostics Inc. 5,050 21 * Lancer Corp. 3,372 21 * Asyst Technologies, Inc. 2,038 21 * Baldwin Technology Class A 5,881 21 * FSI International, Inc. 2,666 21 * Mastec Inc. 3,811 21 * Proxim Corp. Class A 17,225 20 * Milacron Inc. 5,055 20 * Catalytica Energy Systems, Inc. 7,012 20 * Terayon Communications Systems, Inc. 8,314 19 * Ducommun, Inc. 800 17 * Tollgrade Communications, Inc. 1,609 17 Gorman-Rupp Co. 612 17 * Fairchild Corp. 3,873 17 * Park-Ohio Holdings Corp. 1,316 16 Paul Mueller Co. 488 15 * Sonic Solutions, Inc. 700 15 * BTU International, Inc. 2,880 15 * Arotech Corp. 6,122 13 * Distributed Energy Systems Corp. 4,650 13 * Therma-Wave Inc. 2,443 12 * Active Power, Inc. 3,664 12 BHA Group Holdings Inc. 300 11 * Cavalier Homes, Inc. 2,095 11 * EMCORE Corp. 3,364 11 Applied Signal Technology, Inc. 300 11 Keithley Instruments Inc. 465 10 * Cavco Industries, Inc. 248 10 * Perceptron, Inc. 1,378 10 * Electroglas, Inc. 1,784 10 * The Allied Defense Group, Inc. 500 9 Tennant Co. 200 8 * DDi Corp. 1,000 8 Skyline Corp. 200 8 * Somera Communications, Inc. 5,038 8 Cohu, Inc. 400 8 * Astec Industries, Inc. 400 8 * Darling International, Inc. 1,756 7 Astro-Med, Inc. 718 7 * Capital Pacific Holdings, Inc. 1,789 7 Robbins & Myers, Inc. 300 7 * Global Payment Tech Inc. 1,783 7 * Katy Industries, Inc. 1,331 7 Cascade Corp. 200 6 * Genus, Inc. 1,700 6 * Applied Films Corp. 200 6 * LMI Aerospace, Inc. 4,197 5 * Summa Industries 500 5 * American Superconductor Corp. 400 5 * Peco II, Inc. 6,467 5 * Applied Innovation Inc. 1,262 5 * TRC Cos., Inc. 300 5 * SatCon Technology Corp. 1,860 5 * Duratek, Inc. 300 5 * Bell Industries, Inc. 1,505 5 * Optical Cable Corp. 800 4 * Flanders Corp. 500 4 HEICO Corp. Class A 296 4 * Versar Inc. 800 4 * Copper Mountain Networks, Inc. 255 3 Woodhead Industries, Inc. 200 3 * Teleglobe International Holdings Ltd. 576 3 * American Access Technologies Inc. 1,753 3 * Team, Inc. 173 3 * Tut Systems, Inc. 783 2 * Airnet Communications Corp. 3,283 2 * Nanometrics Inc. 200 2 * Allied Motion Technologies, Inc. 301 1 * Serrento Networks Corp. 335 1 * UQM Technologies, Inc. 400 1 * ZEVEX International, Inc. 306 1 * General Bearing Corp. 196 1 * RF Monolithics, Inc. 73 1 * Andrea Radio Corp. 3,118 -- * DT Industries, Inc. 1,000 -- ------- 47,745 ------- TECHNOLOGY (14.1%) Microsoft Corp. 819,886 23,416 Intel Corp. 491,284 13,559 * Cisco Systems, Inc. 513,557 12,171
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- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ International Business Machines Corp. 127,932 $ 11,277 * Dell Inc. 192,860 6,908 Hewlett-Packard Co. 232,595 4,908 * Oracle Corp. 395,883 4,723 QUALCOMM Inc. 61,720 4,504 Motorola, Inc. 178,453 3,257 Texas Instruments, Inc. 131,489 3,179 * EMC Corp. 185,313 2,113 General Dynamics Corp. 15,200 1,509 * Corning, Inc. 104,609 1,366 Analog Devices, Inc. 28,603 1,347 Maxim Integrated Products, Inc. 24,478 1,283 Computer Associates International, Inc. 44,343 1,244 * Lucent Technologies, Inc. 326,430 1,234 Raytheon Co. 31,864 1,140 * Broadcom Corp. 23,727 1,110 * Sun Microsystems, Inc. 252,060 1,094 * Symantec Corp. 23,796 1,042 * Juniper Networks, Inc. 39,663 975 * Apple Computer, Inc. 29,028 945 Linear Technology Corp. 23,922 944 * Veritas Software Corp. 32,739 907 Xilinx, Inc. 26,368 878 Adobe Systems, Inc. 18,247 848 * Micron Technology, Inc. 46,692 715 Electronic Data Systems Corp. 36,906 707 * Computer Sciences Corp. 14,389 668 * Altera Corp. 29,006 645 * National Semiconductor Corp. 27,324 601 * Intuit, Inc. 15,191 586 * Network Appliance, Inc. 26,465 570 L-3 Communications Holdings, Inc. 8,141 544 Rockwell Automation, Inc. 14,329 537 * PeopleSoft, Inc. 28,755 532 * Avaya Inc. 33,615 531 * Affiliated Computer Services, Inc. Class A 9,840 521 Microchip Technology, Inc. 15,887 501 Seagate Technology 34,400 496 * Solectron Corp. 73,181 473 * Advanced Micro Devices, Inc. 26,592 423 * JDS Uniphase Corp. 110,345 418 * Siebel Systems, Inc. 38,294 409 Scientific-Atlanta, Inc. 11,632 401 * Jabil Circuit, Inc. 15,288 385 Autodesk, Inc. 8,634 370 * Sanmina-SCI Corp. 39,878 363 * NCR Corp. 7,246 359 * Mercury Interactive Corp. 7,074 352 * Unisys Corp. 25,225 350 Applera Corp.- Applied Biosystems Group 15,759 343 * Synopsys, Inc. 11,760 334 * Red Hat, Inc. 13,970 321 * BMC Software, Inc. 17,161 317 * Zebra Technologies Corp. Class A 3,564 310 * Cadence Design Systems, Inc. 20,879 305 * Comverse Technology, Inc. 14,704 293 * Tellabs, Inc. 31,872 279 * PanAmSat Corp. 11,450 266 * SanDisk Corp. 12,252 266 * Citrix Systems, Inc. 13,046 266 Symbol Technologies, Inc. 17,603 259 * NVIDIA Corp. 12,602 258 Harris Corp. 5,057 257 * Ceridian Corp. 11,322 255 * BEA Systems, Inc. 30,793 253 * UTStarcom, Inc. 8,258 250 * Cognizant Technology Solutions Corp. 9,676 246 * Storage Technology Corp. 8,458 245 * Novell, Inc. 29,080 244 * Arrow Electronics, Inc. 8,551 229 Intersil Corp. 10,536 228 * Vishay Intertechnology, Inc. 12,172 226 * Amphenol Corp. 6,720 224 * Network Associates, Inc. 12,298 223 * LSI Logic Corp. 28,949 221 * Agere Systems Inc. Class B 102,499 220 * Atmel Corp. 35,933 213 * Avnet, Inc. 9,226 209 * International Rectifier Corp. 5,020 208 ADTRAN Inc. 6,050 202 * Compuware Corp. 29,426 194 PerkinElmer, Inc. 9,599 192 * QLogic Corp. 7,178 191 AVX Corp. 13,160 190 National Instruments Corp. 5,965 183 * 3Com Corp. 29,215 183 * Silicon Laboratories Inc. 3,901 181 * ADC Telecommunications, Inc. 61,565 175 * Ingram Micro, Inc. Class A 11,523 167 * Akamai Technologies, Inc. 9,182 165 Acxiom Corp. 6,548 163 * CIENA Corp. 43,048 160 * SpectraSite, Inc. 3,700 160 * MEMC Electronic Materials, Inc. 15,791 156 * Conexant Systems, Inc. 34,846 151 * Integrated Circuit Systems, Inc. 5,444 148
39
- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Fairchild Semiconductor International, Inc. 8,974 $ 147 * Foundry Networks, Inc. 10,301 145 * FLIR Systems, Inc. 2,520 138 * Advanced Fibre Communications, Inc. 6,787 137 * Rambus Inc. 7,694 137 * Western Digital Corp. 15,733 136 * Semtech Corp. 5,632 133 * Avocent Corp. 3,584 132 * BearingPoint, Inc. 14,806 131 * Cree, Inc. 5,605 130 * Cypress Semiconductor Corp. 9,188 130 * Sybase, Inc. 7,227 130 * Gateway, Inc. 28,579 129 * Hyperion Solutions Corp. 2,923 128 * TIBCO Software Inc. 14,995 127 * Macromedia, Inc. 5,137 126 * Avid Technology, Inc. 2,309 126 * Applied Micro Circuits Corp. 23,399 124 * Maxtor Corp. 18,700 124 * PalmOne, Inc. 3,494 121 * Gartner, Inc. Class A 9,100 120 Reynolds & Reynolds Class A 5,100 118 * Electronics for Imaging, Inc. 4,170 118 * Brocade Communications Systems, Inc. 19,664 118 Imation Corp. 2,733 116 * Siliconix, Inc. 2,304 114 * Varian, Inc. 2,711 114 * Perot Systems Corp. 8,395 111 * Integrated Device Technology Inc. 7,960 110 * Trimble Navigation Ltd. 3,946 110 * Amkor Technology, Inc. 13,207 108 * AMIS Holdings Inc. 6,300 107 * RF Micro Devices, Inc. 14,112 106 * Parametric Technology Corp. 20,716 104 * Silicon Image, Inc. 7,742 102 * Skyworks Solutions, Inc. 11,558 101 * Coherent, Inc. 3,357 100 * Microsemi Corp. 7,000 99 * Verint Systems Inc. 2,900 99 * ON Semiconductor Corp. 19,310 97 * CommScope, Inc. 4,512 97 * Wind River Systems Inc. 8,095 95 Anixter International Inc. 2,786 95 * Macrovision Corp. 3,764 94 * Quest Software, Inc. 7,280 94 * RSA Security Inc. 4,550 93 * FileNET Corp. 2,930 93 * UNOVA, Inc. 4,526 92 * Intergraph Corp. 3,523 91 * Emulex Corp. 6,330 91 * Sycamore Networks, Inc. 21,328 90 * CACI International, Inc. 2,200 89 * Benchmark Electronics, Inc. 3,050 89 * Sonus Networks, Inc. 18,508 88 * Micrel, Inc. 7,192 87 * Anteon International Corp. 2,660 87 * CSG Systems International, Inc. 4,189 87 * Openwave Systems Inc. 6,694 85 * RealNetworks, Inc. 12,416 85 * Tekelec 4,633 84 * Aspect Communications Corp. 5,902 84 * The Titan Corp. 6,403 83 * InVision Technologies, Inc. 1,664 83 * Manhattan Associates, Inc. 2,684 83 Black Box Corp. 1,753 83 * KEMET Corp. 6,710 82 * Mentor Graphics Corp. 5,275 82 * Transaction Systems Architects, Inc. 3,710 80 * Vitesse Semiconductor Corp. 16,264 79 * Aeroflex, Inc. 5,536 79 * FormFactor Inc. 3,500 79 * Digital River, Inc. 2,404 78 * SafeNet, Inc. 2,823 78 * Sapient Corp. 12,787 77 * Ascential Software Corp. 4,694 75 * Websense, Inc. 2,000 74 * Silicon Storage Technology, Inc. 7,150 74 * Epicor Software Corp. 5,197 73 * Opsware, Inc. 9,072 72 * Adaptec, Inc. 8,464 72 * Keane, Inc. 5,197 71 * F5 Networks, Inc. 2,678 71 * Newport Corp. 4,356 70 * WebEx Communications, Inc. 3,229 70 * Pixelworks, Inc. 4,556 70 * Digitas Inc. 6,238 69 * Dendrite International, Inc. 3,681 68 * Artisan Components, Inc. 2,636 68 * SonicWALL, Inc. 7,891 68 * OmniVision Technologies, Inc. 4,200 67 * DSP Group Inc. 2,453 67 * Intermagnetics General Corp. 1,960 67 * SERENA Software, Inc. 3,463 66 * Progress Software Corp. 2,991 65 * Exar Corp. 4,377 64 * Internet Security Systems, Inc. 4,172 64 EDO Corp. 2,640 64 * Magma Design Automation, Inc. 3,300 63
40
- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * ANSYS, Inc. 1,344 $ 63 * NetIQ Corp. 4,779 63 * ViaSat, Inc. 2,500 62 * Lattice Semiconductor Corp. 8,845 62 * Power Integrations, Inc. 2,475 62 * Zoran Corp. 3,285 60 * Borland Software Corp. 7,021 60 * Cirrus Logic 9,805 59 * Ciber, Inc. 7,113 58 * Agere Systems Inc. Class A 24,959 57 * Ulticom, Inc. 4,897 57 Cubic Corp. 2,724 57 * TriQuint Semiconductor, Inc. 10,426 57 * ChipPAC, Inc. 9,068 57 * Checkpoint Systems, Inc. 3,110 56 * Informatica Corp. 7,308 56 * j2 Global Communications, Inc. 1,996 55 * ESS Technology, Inc. 5,175 55 * Altiris, Inc. 2,000 55 * SRA International, Inc. 1,300 55 * Quantum Corp. 17,735 55 * Ditech Communications Corp. 2,329 54 * SigmaTel Inc. 1,856 54 * Ixia 5,467 54 * Tyler Technologies, Inc. 5,666 54 Bel Fuse, Inc. Class A 1,477 53 * Corvis Corp. 37,565 53 * Inet Technologies, Inc. 4,212 53 * MICROS Systems, Inc. 1,094 52 * Echelon Corp. 4,549 51 Syntel, Inc. 3,063 51 * Extreme Networks, Inc. 9,124 50 * Vignette Corp. 29,966 50 * Harmonic, Inc. 5,833 50 * Hutchinson Technology, Inc. 2,016 50 Agilysys, Inc. 3,591 50 * DRS Technologies, Inc. 1,544 49 * Integrated Silicon Solution, Inc. 4,033 49 * MRO Software Inc. 3,596 49 * Sykes Enterprises, Inc. 6,471 49 * Advanced Digital Information Corp. 5,031 49 * Infonet Services Corp. 27,586 48 * McDATA Corp. Class A 8,973 48 * Mercury Computer Systems, Inc. 1,921 48 * webMethods, Inc. 5,497 47 * SeaChange International, Inc. 2,765 47 * Embarcadero Technologies, Inc. 3,748 46 * Packeteer, Inc. 2,854 46 * MIPS Technologies, Inc. 7,483 46 * Keynote Systems Inc. 3,329 46 * Micromuse Inc. 6,747 45 * Agile Software Corp. 5,155 45 * Plexus Corp. 3,274 44 * Interwoven Inc. 4,379 44 * EMS Technologies, Inc. 2,231 43 * TTM Technologies, Inc. 3,634 43 * I.D. Systems, Inc. 2,818 42 * FalconStor Software, Inc. 5,418 42 * Ariba, Inc. 21,121 42 Talx Corp. 1,700 42 * The TriZetto Group, Inc. 6,192 41 * Secure Computing Corp. 3,540 41 * SupportSoft, Inc. 4,741 41 * JDA Software Group, Inc. 3,088 41 * OPNET Technologies, Inc. 3,104 41 * Mapics Inc. 3,848 41 * Entrust, Inc. 8,998 40 Inter-Tel, Inc. 1,614 40 * Lexar Media, Inc. 6,023 40 * InFocus Corp. 4,671 40 * eCollege.com Inc. 2,475 40 * Pinnacle Systems, Inc. 5,519 39 * Hifn, Inc. 3,266 39 * Covansys Corp. 3,740 39 * Remec, Inc. 6,030 38 * Mindspeed Technologies, Inc. 7,618 38 * Carrier Access Corp. 3,154 38 Methode Electronics, Inc. Class A 2,893 38 * MatrixOne, Inc. 5,418 37 * IXYS Corp. 4,747 37 * Lawson Software Inc. 5,200 37 * SPSS, Inc. 2,031 36 * Cray Inc. 5,500 36 * Interactive Intelligence Inc. 6,083 36 * Pericom Semiconductor Corp. 3,380 36 * MicroStrategy Inc. 843 36 * ScanSource, Inc. 600 36 * Finisar Corp. 17,994 36 * Group 1 Software, Inc. 1,536 35 * Enterasys Networks, Inc. 16,652 35 Iomega Corp. 6,288 35 * Bottomline Technologies, Inc. 3,300 35 * Netegrity, Inc. 3,997 34 * Identix, Inc. 4,513 34 * Transmeta Corp. 15,389 34 * Pegasystems Inc. 3,788 33 * PLX Technology, Inc. 1,900 33 * Blue Coat Systems, Inc. 978 33 * Novatel Wireless, Inc. 1,231 33 * Kopin Corp. 6,294 32
41
- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Safeguard Scientifics, Inc. 13,946 $ 32 * Extended Systems Inc. 6,414 32 * E.piphany Inc. 6,636 32 * Anaren, Inc. 1,960 32 * NMS Communications Corp. 4,321 32 * SeeBeyond Technology Corp. 8,403 32 * Answerthink Consulting Group, Inc. 5,511 32 * Xicor, Inc. 2,030 31 * InterVoice, Inc. 2,669 31 * Alliance Semiconductor Corp. 5,110 30 * PEC Solutions, Inc. 2,500 30 * Zix Corp. 3,704 29 * Retek Inc. 4,775 29 * Tessera Technologies, Inc. 1,624 29 * PC-Tel, Inc. 2,475 29 * Stratex Networks, Inc. 9,762 29 * Aether Systems, Inc. 8,337 29 * Avanex Corp. 7,346 29 * Gerber Scientific, Inc. 4,036 28 * Clarus Corp. 2,461 28 * Sirenza Microdevices, Inc. 6,774 28 * MSC Software Corp. 3,100 28 * Aspen Technologies, Inc. 3,811 28 * WatchGuard Technologies, Inc. 3,827 28 * TippingPoint Technologies Inc. 1,079 27 * Equinix, Inc. 802 27 * SCM Microsystems, Inc. 4,186 27 * Jupitermedia Corp. 1,906 27 * Universal Display Corp. 2,500 27 * QAD Inc. 2,499 27 * Radiant Systems, Inc. 5,607 26 * LCC International, Inc. Class A 5,363 26 * Manugistics Group, Inc. 7,983 26 * Verity, Inc. 1,918 26 * Aware, Inc. 6,553 26 * Phoenix Technologies Ltd. 3,670 26 * Captaris Inc. 3,923 25 * Mechanical Technology Inc. 4,184 25 * iGATE Corp. 6,274 25 * ActivCard Corp. 3,400 25 * Witness Systems, Inc. 2,006 24 * COMARCO, Inc. 3,450 24 * Actel Corp. 1,300 24 * Silicon Graphics, Inc. 10,760 24 * NETGEAR, Inc. 2,200 24 * MRV Communications Inc. 8,615 24 * Chordiant Software, Inc. 5,093 23 * BindView Development Corp. 6,537 23 * Numerex Corp. 4,974 23 * Dynamics Research Corp. 1,261 23 * Comtech Telecommunications Corp. 1,000 23 * Concord Communications, Inc. 1,975 23 * ManTech International Corp. 1,200 23 * Stellent Inc. 2,632 22 * Virage Logic Corp. 2,453 22 * SiRF Technology Holdings, Inc. 1,700 22 * EPIQ Systems, Inc. 1,500 22 * NYFIX, Inc. 4,410 22 * Herley Industries Inc. 1,102 22 * Westell Technologies, Inc. 4,201 21 * Datastream Systems, Inc. 3,299 21 * Selectica, Inc. 4,294 20 * Actuate Software Corp. 5,144 20 * Concurrent Computer Corp. 9,854 20 * Drexler Technology Corp. 1,461 19 * Merix Corp. 1,710 19 * TranSwitch Corp. 10,935 19 * Standard Microsystem Corp. 826 19 * Analysts International Corp. 6,206 19 * Genesis Microchip Inc. 1,366 19 * WJ Communications, Inc. 5,246 19 * Avici Systems Inc. 1,376 19 * Glenayre Technologies, Inc. 7,769 18 * PDF Solutions, Inc. 2,100 18 Park Electrochemical Corp. 700 18 * Paradyne Networks, Inc. 3,175 17 * Oplink Communications, Inc. 9,088 17 * Digi International, Inc. 1,621 17 * PalmSource, Inc. 1,007 17 * Net2Phone, Inc. 3,773 17 * Telular Corp. 2,339 17 * Verso Technologies, Inc. 9,594 17 * VA Software Corp. 6,843 17 * Netopia, Inc. 2,531 17 * Corio, Inc. 7,620 17 * Tumbleweed Communications Corp. 3,880 17 * Marimba, Inc. 1,981 16 * Bioveris Corp. 1,914 16 * Centillium Communications, Inc. 4,148 16 * Computer Horizons Corp. 3,949 16 * Captiva Software Corp. 1,620 16 * Zhone Technologies 3,992 16 * At Road, Inc. 2,000 15 * Roxio, Inc. 3,088 15 * Intellisync Corp. 5,258 15 * MetaSolv, Inc. 5,311 15 * Daktronics, Inc. 600 15 * Atheros Communications 1,418 15 * Interlink Electronics Inc. 1,500 15
42
- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Optical Communication Products, Inc. 5,929 $ 14 * SYNNEX Corp. 900 14 * Zomax Inc. 3,737 14 * Nuance Communications Inc. 3,079 14 * Sumtotal Systems Inc. 2,141 14 * Network Equipment Technologies, Inc. 1,700 14 * BroadVision, Inc. 3,249 14 * Sipex Corp. 2,394 14 * Three-Five Systems, Inc. 2,665 14 * Mobius Management Systems, Inc. 2,203 14 * Synaptics Inc. 700 13 * Verisity Ltd. 2,200 13 * Ramtron International Corp. 2,886 13 Integral Systems, Inc. 799 13 * KVH Industries, Inc. 1,000 13 * Open Solutions Inc. 500 12 * ScanSoft, Inc. 2,521 12 * Dot Hill Systems Corp. 1,100 12 * Fargo Electronics 1,100 12 * QuickLogic Corp. 3,495 12 * Nu Horizons Electronics Corp. 1,354 12 * RadiSys Corp. 656 12 * NASSDA Corp. 2,900 12 Sunrise Telecom Inc. 4,513 12 BEI Technologies, Inc. 400 12 SS&C Technologies, Inc. 600 11 * Art Technology Group, Inc. 9,046 11 * Braun Consulting, Inc. 5,992 11 * Visual Networks, Inc. 3,538 11 * ImageWare Systems, Inc. 3,800 10 * Docucorp International, Inc. 1,179 10 * Computer Task Group, Inc. 2,557 10 * Excel Technology, Inc. 300 10 * Neoware Systems, Inc. 1,200 10 * Niku Corp. 871 10 * Digital Lightwave, Inc. 5,717 10 Lowrance Electronics, Inc. 318 10 * All American Semiconductor, Inc. 1,057 10 * Applix, Inc. 2,208 10 * Vyyo Inc. 1,423 9 * II-VI, Inc. 300 9 * Inforte Corp. 907 9 * Vitria Technology, Inc. 2,928 9 * Viewpoint Corp. 4,486 9 * Technology Solutions Co. 7,836 8 * Wave Systems Corp. 6,508 8 Celeritek, Inc. 2,197 8 * SteelCloud Inc. 3,121 8 * Lantronix, Inc. 6,475 8 TSR, Inc. 1,253 8 * Tripath Technology Inc. 2,491 8 * Centra Software, Inc. 3,329 7 * Komag, Inc. 524 7 * Merge Technologies, Inc. 500 7 * ePlus Inc. 683 7 * Click Commerce, Inc. 1,239 7 * NetManage, Inc. 877 7 * Ebix, Inc. 487 7 * AuthentiDate Holding Corp. 600 7 * Internet Capital Group Inc 825 6 * Lionbridge Technologies, Inc. 800 6 * Cherokee International Corp. 533 6 * WorldGate Communications, Inc. 2,858 6 * Computer Network Technology Corp. 1,000 6 * Kana Software, Inc. 2,458 6 * Omtool, Ltd. 596 6 * ONYX Software Corp. 1,345 6 * Blue Martini Software, Inc. 1,258 6 * AXT, Inc. 2,800 5 * Forgent Networks, Inc. 3,983 5 * TechTeam Global, Inc. 600 5 * I-many, Inc. 4,500 5 * Loudeye Corp. 3,369 5 * SAVVIS Communications Corp. 3,840 5 * Saba Software, Inc. 1,374 5 * Channell Commercial Corp. 1,100 5 * Intraware, Inc. 2,604 5 * Micro Linear Corp. 800 5 * Staktek Holdings Inc. 861 5 * Norstan, Inc. 1,483 4 * Stratos International Inc. 802 4 * Network Engines, Inc. 1,561 4 * The SCO Group, Inc. 705 4 * VIA NET.WORKS, Inc. 5,204 4 * Crossroads Systems, Inc. 2,314 4 * Leadis Technology Inc. 300 4 * eLoyalty Corp. 614 4 * BSQUARE Corp. 3,786 4 * MTI Technology Corp. 2,045 4 * Stratasys, Inc. 150 4 * Versant Corp. 2,795 4 * PowerDsine Ltd. 300 4 * Argonaut Technologies Inc. 2,664 4 * LightPath Technologies, Inc.Class A 568 3 * Quovadx, Inc. 2,693 3 * Concur Technologies, Inc. 300 3 * Astea International, Inc. 330 3
43
- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * Primus Knowledge Solutions, Inc. 1,489 $ 3 * Cosine Communications, Inc. 623 3 * Superconductor Technologies Inc. 2,100 3 * ACT Teleconferencing, Inc. 1,000 3 * Applied Digital Solutions, Inc. 1,000 2 * DigitalNet Holdings, Inc. 100 2 * IPIX Corp. 143 2 * Insightful Corp. 884 2 * Plumtree Software, Inc. 500 2 * Interland, Inc. 655 2 * Critical Path, Inc. 1,328 2 * Ezenia!, Inc. 2,547 2 * HEI, Inc. 700 2 Net Perceptions, Inc. 2,405 2 * Versata, Inc. 832 2 * On2 Technologies, Inc. 2,193 2 * Axeda Systems Inc. 1,400 1 * GraphOn Corp. 2,730 1 * ACE Corp. 593 1 * Research Frontiers, Inc. 200 1 * Redback Networks Inc. 217 1 * Amtech Systems, Inc. 269 1 * Larscom Inc. 284 1 Dynabazaar, Inc. 3,795 1 * NaviSite, Inc. 293 1 * DSL.Net, Inc. 3,371 1 * Storage Computer Corp. 2,856 1 * Artisoft, Inc. 366 1 * The A Consulting Team, Inc. 114 1 * Ampex Corp. Class A 437 1 * Pemstar Inc. 300 1 * GoAmerica, Inc. 630 1 * Callidus Software Inc. 100 1 * eGain Communications Corp. 436 -- * Network-1 Security Solutions, Inc. 975 -- * Universal Access Global Holdings Inc. 287 -- * Navidec, Inc. 182 -- * NexPrise, Inc. 106 -- * Cogent Communications Group, Inc. 65 -- * Media 100 Inc. 1,614 -- --------- 148,165 --------- UTILITIES (6.2%) Verizon Communications Inc. 210,359 7,613 SBC Communications Inc. 252,422 6,121 * Comcast Corp. Class A 145,568 4,080 BellSouth Corp. 139,296 3,652 * AT&T Wireless Services Inc. 208,129 2,980 * Nextel Communications, Inc. 81,563 2,174 Sprint Corp. 101,512 1,787 Exelon Corp. 50,442 1,679 Southern Co. 56,402 1,644 Dominion Resources, Inc. 24,899 1,571 Duke Energy Corp. 69,516 1,410 * Cox Communications, Inc.Class A 45,507 1,265 ALLTEL Corp. 23,348 1,182 TXU Corp. 24,804 1,005 Entergy Corp. 17,506 981 American Electric Power Co., Inc. 30,249 968 FirstEnergy Corp. 25,230 944 FPL Group, Inc. 14,172 906 AT&T Corp. 60,519 885 * PG&E Corp. 30,357 848 Progress Energy, Inc. 18,785 827 Consolidated Edison Inc. 18,228 725 * Comcast Corp. Special Class A 26,044 719 Public Service Enterprise Group, Inc. 17,958 719 Edison International 25,017 641 PPL Corp. 13,554 622 Sempra Energy 17,357 598 Ameren Corp. 13,880 596 Kinder Morgan, Inc. 9,477 562 DTE Energy Co. 13,266 538 Cinergy Corp. 13,643 518 Xcel Energy, Inc. 30,574 511 * Qwest Communications International Inc. 135,902 488 Constellation Energy Group, Inc. 12,811 486 * AES Corp. 47,891 476 KeySpan Corp. 12,158 446 NiSource, Inc. 20,000 412 * NTL Inc. 6,618 381 * Cablevision Systems NY Group Class A 16,865 332 CenturyTel, Inc. 11,000 330 Telephone & Data Systems, Inc. 4,364 311 SCANA Corp. 8,431 307 Wisconsin Energy Corp. 9,040 295 Pinnacle West Capital Corp. 7,020 284 Energy East Corp. 11,091 269 CenterPoint Energy Inc. 23,341 268 * Citizens Communications Co. 21,717 263 * U.S. Cellular Corp. 6,542 252 Questar Corp. 6,296 243 Pepco Holdings, Inc. 13,038 238 * Nextel Partners, Inc. 13,918 222 Alliant Energy Corp. 8,430 220 MDU Resources Group, Inc. 8,829 212
44
- ------------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ Shares (000) - ------------------------------------------------------------------------------------------------------------------------ * UnitedGlobalCom Inc. Class A 28,925 $ 210 NSTAR 4,103 196 Northeast Utilities 9,635 188 DPL Inc. 9,647 187 * Western Wireless Corp. Class A 6,415 185 * Level 3 Communications, Inc. 51,833 184 ONEOK, Inc. 7,862 173 Western Gas Resources, Inc. 5,314 173 TECO Energy, Inc. 14,322 172 Great Plains Energy, Inc. 5,691 169 OGE Energy Corp. 6,588 168 Puget Energy, Inc. 7,418 163 Hawaiian Electric Industries Inc. 6,064 158 National Fuel Gas Co. 6,236 156 * Allegheny Energy, Inc. 9,787 151 Vectren Corp. 5,746 144 Aqua America, Inc. 7,113 143 AGL Resources Inc. 4,855 141 * Kinder Morgan Management, LLC 3,721 137 Energen Corp. 2,732 131 WPS Resources Corp. 2,772 128 Westar Energy, Inc. 6,446 128 UGI Corp. Holding Co. 3,888 125 Piedmont Natural Gas, Inc. 2,861 122 Peoples Energy Corp. 2,843 120 * Southern Union Co. 5,554 117 NICOR Inc. 3,341 113 * CMS Energy Corp. 12,266 112 Duquesne Light Holdings, Inc. 5,786 112 WGL Holdings Inc. 3,788 109 Atmos Energy Corp. 4,154 106 * Southwestern Energy Co. 3,572 102 Avista Corp. 5,245 97 PNM Resources Inc. 4,649 97 UniSource Energy Corp. 3,650 91 New Jersey Resources Corp. 2,123 88 * Cincinnati Bell Inc. 18,732 83 Black Hills Corp. 2,612 82 * Centennial Communications Corp. Class A 11,480 82 IDACORP, Inc. 3,000 81 * Commonwealth Telephone Enterprises, Inc. 1,784 80 * Price Communications Corp. 5,162 76 Cleco Corp. 4,164 75 Southwest Gas Corp. 3,016 73 MGE Energy, Inc. 2,221 72 * Sierra Pacific Resources 9,150 71 CH Energy Group, Inc. 1,506 70 * PTEK Holdings, Inc. 5,968 69 Northwest Natural Gas Co. 2,233 68 UIL Holdings Corp. 1,379 67 The Laclede Group, Inc. 2,300 63 Otter Tail Corp. 2,258 61 * Mediacom Communications Corp. 7,745 61 * Aquila, Inc. 16,582 59 Empire District Electric Co. 2,904 58 * El Paso Electric Co. 3,300 51 Surewest Communications 1,600 51 SJW Corp. 1,383 47 * UbiquiTel Inc. 10,558 45 Central Vermont Public Service Corp. 2,082 43 Connecticut Water Services, Inc. 1,606 41 Middlesex Water Co. 2,040 40 * Primus Telecommunications Group, Inc. 6,670 34 * Triton PCS, Inc. 7,286 32 * IDT Corp. 1,658 30 Green Mountain Power Corp. 1,099 29 * Alamosa Holdings, Inc. 3,700 27 * IDT Corp. Class B 1,458 27 * Dobson Communications Corp. 8,200 27 South Jersey Industries, Inc. 600 26 * Hector Communications Corp. 1,219 25 * Talk America Holdings, Inc. 3,135 24 * Time Warner Telecom Inc. 5,653 24 * Global Crossing Ltd. 1,500 23 American States Water Co. 971 23 * General Communication, Inc. 2,800 22 NUI Corp. 1,411 21 Maine & Maritimes Corp. 624 20 California Water Service Group 500 14 Atlantic Tele-Network, Inc. 380 12 Cascade Natural Gas Corp. 500 11 * Covista Communications, Inc. 3,805 10 Southwest Water Co. 753 9 D&E Communications, Inc. 629 8 Shenandoah Telecommunications Co. 310 8 * Intrado Inc. 500 8 * Penn Octane Corp. 3,564 7 * BayCorp Holdings, Ltd. 500 6 * Hungarian Telephoneand Cable Corp. 300 3 * Z-Tel Technologies, Inc. 1,950 3 * McLeod USA Inc. 3,739 2 * RCN Corp. 10,437 1 * Pac-West Telecom, Inc. 1,175 1 * FiberNet Telecom Group, Inc. 10 -- -------- 65,288 --------
45
- ------------------------------------------------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE^ MARKET INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------------------------ OTHER (4.5%) General Electric Co. 791,667 $ 25,650 * Berkshire Hathaway Inc.Class A 87 7,739 3M Co. 59,582 5,363 Honeywell International Inc. 65,267 2,391 Fortune Brands, Inc. 11,176 843 Johnson Controls, Inc. 14,486 773 Eaton Corp. 11,694 757 Textron, Inc. 10,596 629 ITT Industries, Inc. 7,104 590 Brunswick Corp. 7,273 297 Hillenbrand Industries, Inc. 4,704 284 SPX Corp. 5,816 270 Allete, Inc. 6,638 221 Wesco Financial Corp. 558 202 Teleflex Inc. 3,064 154 Carlisle Co., Inc. 2,316 144 Lancaster Colony Corp. 2,747 114 Trinity Industries, Inc. 3,527 112 GenCorp, Inc. 5,889 79 * Global Signal, Inc. 3,400 75 Walter Industries, Inc. 5,091 69 * McDermott International, Inc. 6,735 68 * Sequa Corp. Class A 615 36 * United Capital Corp. 1,046 18 Raven Industries, Inc. 500 18 * Foster Wheeler Ltd. 6,755 9 * Xanser Corp. 2,966 7 Kaman Corp. Class A 400 6 * Adesa, Inc. 100 2 --------- 46,920 --------- - -------------------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $965,326) 1,043,425 - -------------------------------------------------------------------------------------------------------------------- Face Amount (000) - -------------------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.9%)(1) - -------------------------------------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.05%, 7/14/2004 $1,000 1,000 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.47%, 7/1/2004 5,749 5,749 1.47%, 7/1/2004--Note E 3,027 3,027 - -------------------------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $9,776) 9,776 - -------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.2%) (Cost $975,102) 1,053,201 - -------------------------------------------------------------------------------------------------------------------- Market Value* (000) - -------------------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.2%) - -------------------------------------------------------------------------------------------------------------------- Other Assets $ 1,739 Liabilities--Note E (3,653) ---------- (1,914) --------- - -------------------------------------------------------------------------------------------------------------------- NET ASSETS (100%) $1,051,287 ==================================================================================================================== ^See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.1% and 0.1%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. ==================================================================================================================== AT JUNE 30, 2004, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------------------------------------------- Amount (000) - -------------------------------------------------------------------------------------------------------------------- Paid-in Capital $1,127,254 Undistributed Net Investment Income 511 Accumulated Net Realized Losses (154,693) Unrealized Appreciation Investment Securities 78,099 Futures Contracts 116 - -------------------------------------------------------------------------------------------------------------------- NET ASSETS $1,051,287 ==================================================================================================================== Institutional Shares--Net Assets Applicable to 23,409,232 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $564,114 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $24.10 ==================================================================================================================== Institutional Plus Shares--Net Assets Applicable to 20,215,464 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $487,173 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL PLUS SHARES $24.10 ==================================================================================================================== See Note C in Notes to Financial Statements for the tax-basis components of net assets.
46 STATEMENT OF OPERATIONS This Statement shows the types of income earned by the fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND Six Months Ended June 30, 2004 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME Income Dividends $ 7,712 Interest 30 Security Lending 35 - -------------------------------------------------------------------------------- Total Income 7,777 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Management and Administrative Institutional Shares 166 Institutional Plus Shares 60 - -------------------------------------------------------------------------------- Total Expenses 226 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 7,551 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold 847 Futures Contracts 404 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) 1,251 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 32,631 Futures Contracts (86) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 32,545 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $41,347 ================================================================================ 47 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how the fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND --------------------------------- Six Months Year Ended Ended June 30, 2004 Dec. 31, 2003 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 7,551 $ 15,679 Realized Net Gain (Loss) 1,251 (34,979) Change in Unrealized Appreciation (Depreciation) 32,545 287,848 - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 41,347 268,548 - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Institutional Shares (3,696) (5,582) Institutional Plus Shares (3,321) (10,097) Realized Capital Gain Institutional Shares -- -- Institutional Plus Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (7,017) (15,679) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Institutional Shares (17,697) 230,314 Institutional Plus Shares (7,590) (366,054) - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (25,287) (135,740) - -------------------------------------------------------------------------------- Total Increase (Decrease) 9,043 117,129 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 1,042,244 925,115 - -------------------------------------------------------------------------------- End of Period $1,051,287 $1,042,244 ================================================================================ 48 FINANCIAL HIGHLIGHTS This table summarizes the fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES - ------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED AUG. 31* TO JUNE 30, DECEMBER 31, DEC. 31, -------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002 2001 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $23.33 $18.00 $23.10 $22.72 - ------------------------------------------------------------------------------------------------------ Investment Operations Net Investment Income .17 .33 .32 .098 Net Realized and Unrealized Gain (Loss) on Investments .76 5.33 (5.10) .421 - ------------------------------------------------------------------------------------------------------ Total from Investment Operations .93 5.66 (4.78) .519 - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.16) (.33) (.32) (.139) Distributions from Realized Capital Gains -- -- -- -- - ------------------------------------------------------------------------------------------------------ Total Distributions (.16) (.33) (.32) (.139) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $24.10 $23.33 $18.00 $23 10 ======================================================================================================= Total Return 4.00% 31.70% -20.77% 2.33% ======================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $564 $563 $245 $358 Ratio of Total Expenses to Average Net Assets 0.06%** 0.06% 0.06% 0.06%** Ratio of Net Investment Income to Average Net Assets 1.44%** 1.62% 1.45% 1.33%** Portfolio Turnover Rate 8%** 11% 9% 15% ======================================================================================================== *Inception. **Annualized.
49 FINANCIAL HIGHLIGHTS (continued)
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL PLUS SHARES - ------------------------------------------------------------------------------------------------------ Six Months Ended Year Ended May 31* to June 30, December 31, Dec. 31, ------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002 2001 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $23.33 $18.00 $23.10 $25.00 - ------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .175 .337 .327 .151 Net Realized and Unrealized Gain (Loss) on Investments .759 5.330 (5.100) (1.900) Total from Investment Operations .934 5.667 (4.773) (1.749) - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.164) (.337) (.327) (.151) Distributions from Realized Capital Gains -- -- -- -- - ------------------------------------------------------------------------------------------------------ Total Distributions (.164) (.337) (.327) (.151) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $24.10 $23.33 $18.00 $23.10 ======================================================================================================= TOTAL RETURN 4.02% 31.74% -20.74% -6.96% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $487 $479 $680 $1,189 Ratio of Total Expenses to Average Net Assets 0.025%** 0.025% 0.025% 0.025%** Ratio of Net Investment Income to Average Net Assets 1.48%** 1.64% 1.48% 1.36%** Portfolio Turnover Rate 8%** 11% 9% 15% ======================================================================================================= *Inception. **Annualized.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 50 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. 51 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. The fund's tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2003, 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2004; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above. At June 30, 2004, net unrealized appreciation of investment securities for tax purposes was $78,099,000, consisting of unrealized gains of $190,595,000 on securities that had risen in value since their purchase and $112,496,000 in unrealized losses on securities that had fallen in value since their purchase. At June 30, 2004, the aggregate settlement value of open futures contracts expiring in September 2004 and the related unrealized appreciation (depreciation) were: - -------------------------------------------------------------------------------- (000) -------------------------------------- Aggregate Unrealized Number of Settlement Appreciation Futures Contracts Long Contracts Value (Depreciation) - -------------------------------------------------------------------------------- S&P 500 Index 23 $6,557 $47 Russell 2000 Index 4 1,185 48 S&P MidCap 400 Index 3 912 21 - -------------------------------------------------------------------------------- Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes. D. During the six months ended June 30, 2004, the fund purchased $42,504,000 of investment securities and sold $67,489,000 of investment securities, other than temporary cash investments. 52 - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- E. The market value of securities on loan to broker/dealers at June 30, 2004, was $2,587,000, for which the fund held cash collateral of $3,027,000. The fund invests cash collateral received in repurchase agreements, and records a liability for the return of the collateral, during the period the securities are on loan. F. Capital share transactions for each class of shares were:
- ------------------------------------------------------------------------------------------------- Six Months Ended Year Ended June 30, 2004 December 31, 2003 -------------------------- ------------------------- Amount Shares Amount Shares - ------------------------------------------------------------------------------------------------- (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------- Institutional Shares Issued $47,834 2,020 $290,822 13,540 Issued in Lieu of Cash Distributions 2,736 116 4,901 235 Redeemed (68,267) (2,863) (65,409) (3,260) -------------------------------------------------- Net Increase (Decrease)--Institutional Shares (17,697) (727) 230,314 10,515 -------------------------------------------------- Institutional Plus Shares Issued 1,157 48 53,910 2,434 Issued in Lieu of Cash Distributions 290 12 1,781 90 Redeemed (9,037) (378) (421,745) (19,760) -------------------------------------------------- Net Increase (Decrease)--Institutional Plus Shares (7,590) (318) (366,054) (17,236) - -------------------------------------------------------------------------------------------------
53 INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM If you're like many Vanguard investors, you believe in planning and taking control of your own investments. Vanguard.com was built for you--and it keeps getting better. RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE Use our Planning & Advice and Research Funds & Stocks sections to: * Determine what asset allocation might best suit your needs--by taking our Investor Questionnaire. * Find out how much to save for retirement and your children's college education-- by using our planning tools. * Learn how to achieve your goals--by reading our PlainTalk(R) investment guides. * Find your next fund--by using the Compare Funds, Compare Costs, and Narrow Your Fund Choices tools. * Look up fund price, performance history, and distribution information--in a snap. INVEST AND MANAGE ACCOUNTS WITH EASE Log on to Vanguard.com to: * See what you own (at Vanguard and elsewhere) and how your investments are doing. * Elect to receive online statements, fund reports (like this one), prospectuses, and tax forms. * Analyze your portfolio's holdings and performance. * Open new accounts, buy and sell shares, and exchange money between funds--securely and easily. * Sign up to receive electronic newsletters from Vanguard informing you of news on our funds, products, and services, as well as on investing and the financial markets. Find out what Vanguard.com can do for you. Log on today! 54 - -------------------------------------------------------------------------------- CAPITALIZE ON YOUR IRA - -------------------------------------------------------------------------------- Are you taking full advantage of your individual retirement account? You really should be. These tax-deferred accounts are powerful options for retirement savers. Here's how you can exploit your IRA--and improve your chances of having the retirement of your dreams. CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR It may be an obvious point, but if you invest as much in your IRA as the law allows--currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over--you will increase the odds of meeting your retirement goals. "Max out" every year you can. MAKE IT AUTOMATIC Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit. CONSIDER COST The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice. REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS Don't spend your retirement assets before you've retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA. If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit Vanguard.com. You can open or fund your IRA on our website and have a confirmation in your hand within minutes. THE PEOPLE WHO GOVERN YOUR FUND - -------------------------------------------------------------------------------- The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard(R) funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the 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 of (1954) Board, Chief The Vanguard Group, Inc., and of each of the investment companies May 1987 Executive Officer, served by The Vanguard Group. and Trustee (131) - ------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (131) 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) (131) 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 (commu- nications components); Board Member of the American Chemistry Council; Trustee of Drexel University. - ------------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the HEISEN (131) Executive Committee of Johnson & Johnson (pharmaceuticals/ (1950) consumer products); Director of the University Medical Center at July 1998 Princeton and Women's Research and Education Institute. - ------------------------------------------------------------------------------------------------------------------ BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton (1932) (129) University; Director of Vanguard Investment Series plc (Irish invest- May 1977 ment fund) (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) (131) 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) (131) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (131) 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) (131) 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 LOGO] THE VANGUARD GROUP(R) LOGO Post Office Box 2600 Valley Forge, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, PlainTalk, and the ship logo are trademarks of The Vanguard Group, Inc. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. 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. You can obtain a free copy of Vanguard's proxy voting guidelines by visiting our website, www.vanguard.com, and searching for "proxy voting guidelines," or by calling 1-800-662-2739. They are also available from the SEC's website, www.sec.gov. In addition, beginning August 31, 2004, you may obtain a free report on how the fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either www.vanguard.com or www.sec.gov. 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. 08712 082004 Q8712 082004 Item 2: Not applicable. Item 3: Not applicable. Item 4: Not applicable. Item 5: Not applicable. Item 6: Not applicable. Item 7: Not applicable. Item 8: Not applicable. Item 9: Not applicable. Item 10: Controls and Procedures. (a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. (b) Internal Controls. There were no significant changes in Registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Item 11: Exhibits. (a) 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 FUNDS BY: (signature) ---------------------------------------- (HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER Date: August 16, 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 FUNDS BY: (signature) ---------------------------------------- (HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER Date: August 16, 2004 VANGUARD INSTITUTIONAL INDEX FUNDS BY: (signature) ---------------------------------------- (HEIDI STAM) THOMAS J. HIGGINS* TREASURER Date: August 16, 2004 *By Power of Attorney. See File Number 2-57689, filed on December 26, 2002. Incorporated by Reference. EX-31 2 cert302institutional.txt CERT 302 CERTIFICATIONS I, John J. Brennan, certify that: 1. I have reviewed this report on Form N-CSR of Vanguard Institutional Index Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 16, 2004 /S/ JOHN J. BRENNAN ________________________________ 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 Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 16, 2004 /S/ THOMAS J. HIGGINS ------------------------- TREASURER EX-99.906 3 cert906institutional.txt CERT 906 Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 Name of Issuer: Vanguard Institutional Index Funds In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. Date: August 16, 2004 /S/ JOHN J. BRENNAN ---------------------------- CHIEF EXECUTIVE OFFICER Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 Name of Issuer: Vanguard Institutional Index Funds In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. Date: August 16, 2004 /S/ THOMAS J. HIGGINS ------------------------- TREASURER -----END PRIVACY-ENHANCED MESSAGE-----