<PAGE>
T H E V A N T A G E P O I N T F U N D S
SEMIANNUAL REPORT
JUNE 30, 2000
[LOGO]
The
Vantagepoint(R)
funds
<PAGE>
Table of Contents
<TABLE>
<S> <C>
Letter from the President of the VANTAGEPOINT FUNDS....................... 1
Letter from the VANTAGEPOINT INVESTMENT ADVISERS.......................... 2
Management's Discussion and Analysis...................................... 4
Vantagepoint Funds
Statements of Assets and Liabilities.................................. 8
Statements of Operations.............................................. 10
Statements of Changes in Net Assets .................................. 12
Financial Highlights.................................................. 18
Notes to the Financial Statements..................................... 25
Schedule of Investments............................................... 34
Master Investment Portfolio
Statements of Assets and Liabilities.................................. 72
Statements of Operations.............................................. 73
Statements of Changes in Net Assets................................... 74
Notes to the Financial Statements..................................... 76
Schedule of Investments............................................... 82
</TABLE>
<PAGE>
GIRARD MILLER, CFA 777 North Capitol Street, NE
President Washington, DC 20002-4240
LETTER FROM THE PRESIDENT OF THE VANTAGEPOINT FUNDS
Dear Fellow Shareholders:
Investors in the Vantagepoint Funds benefited from our hallmark multi-management
approach as the market took a dramatic change in course during the first six
months of 2000. It is during such times that our funds help investors ride the
market swings that accompany radical shifts in sentiment. John Tobey, our Chief
Investment Officer, offers his insight into the market and complete fund
performance in his accompanying letter.
As the leading provider of retirement plans to public sector employees, we have
worked to create the tools and means to help you assess and accomplish your
goals. The most recent six months is no exception.
Most notably, in early June, we introduced a powerful Internet-based package of
investment planning tools in partnership with Standard & Poor's Investment
Advisory Services on our VantageLink Web site (www.icmarc.org). These tools
include:
. Free asset allocation advice that guides investors to appropriate
asset allocations based on a personalized assessment of time and risk
tolerance;
. PortfolioBuilder, another free service on the icmarc.org site that
shows investors how to implement the recommended asset allocation
using different combinations of Vantagepoint Funds;
. Independent advice through the S&P Retirement Planner. In addition to
S&P's advice on the best funds to meet retirement goals, this robust
service also projects retirement income from all sources.
In addition we have continued to enhance our Learning Center, with interactive
education and financial planning calculators, and our MarketView section, which
features articles, including my own, on market trends.
I sincerely hope that you take advantage of this broad range of investment
opportunities and tools and look forward to serving you with further
enhancements in the future.
Best regards,
/s/ Girard Miller
Girard Miller
[LOGO OF VANTAGE POINT]
The
Vantagepoint(R)
funds
1
<PAGE>
JOHN TOBEY 777 North Capitol Street, NE
Chief Investment Officer Washington, DC 20002-4240
LETTER FROM THE VANTAGEPOINT INVESTMENT ADVISERS
Dear Shareholders:
The first two months of 2000 looked remarkably like the previous twelve.
Investor enthusiasm remained focused on fast-growing companies, particularly
those in the technology sector, without regard to profitability.
March 10 marked a turning point in the U.S. equity markets. The Nasdaq Composite
peaked on that day, then tumbled more than 37% before regaining some, but not
all, of its losses. Investor focus shifted from technology and growth at any
price towards profitable companies across a broad range of industries. Although
second-quarter returns were negative for all major equity indexes, the
broadening of the market was a welcome event. For the first time in several
quarters, more stocks outperformed the S&P 500 Index than underperformed it.
Several long-neglected sectors were rewarded by the new attention to
profitability.
The chart below illustrates the divergence of U.S. equity index returns from the
first quarter to the second:
1st Quarter 2000 2nd Quarter 2000 12/31/99-6/30/00
All U.S. Stocks:
Wilshire 5000 Index 3.8% (4.5)% (0.8)%
Larger U.S. Stocks:
S&P 500 Index 2.3% (2.7)% (0.4)%
Smaller U.S. Stocks:
Wilshire 4500 Index 9.9% (9.4)% (0.4)%
International Stocks Lag U.S. Stocks
Stocks in developed countries displayed a similar performance pattern to large-
cap U.S. stocks: a slow first quarter followed by a pullback in the second.
Returns were volatile from month to month, and were dampened by increases in the
value of the U.S. dollar relative to foreign currencies.
1st Quarter 2000 2nd Quarter 2000 12/31/99-6/30/00
Foreign Stocks:
MSCI EAFE Index (0.0)% (3.9)% (4.0)%
Bond Market Performs Best
Bonds and cash were the most rewarding asset classes in the first six months of
2000. The Federal Open Market Committee raised a key short-term interest rate by
a full percentage point in three moves during the period. At the same time,
Treasury buybacks, reduced issuance, and periodic flights to quality caused
long-term interest rates to fall.
<TABLE>
<CAPTION>
1st Quarter 2000 2nd Quarter 2000 12/31/99 - 6/30/00
<S> <C> <C> <C>
U.S. Bonds:
Lehman Brothers Government/Credit Index 2.7% 1.4% 4.2%
</TABLE>
[LOGO OF VANTAGEPOINT]
VANTAGEPOINT(R) INVESTMENT ADVISERS, LLC
2
<PAGE>
Vantagepoint Funds Post Strong Results
All Vantagepoint Funds performed strongly as the market shifted. The multi-
management approach used to construct the funds, in which subadvisers with
distinct styles are combined in pursuit of the funds' objectives, provided a
valuable measure of risk control during this volatile period. Each actively
managed equity fund has outperformed both its market benchmark and its mutual
fund peers for the first six months of 2000:
Return, 12/31/99 - 6/30/00
Vantagepoint Equity Income Fund (0.8)%
S&P/BARRA Value Index (4.1)%
Lipper Equity Income Fund Index (2.2)%
Vantagepoint Growth & Income Fund 2.4%
S&P 500 Index (0.4)%
Lipper Growth & Income Fund Index (0.9)%
Vantagepoint Growth Fund 6.4%
Wilshire 5000 Index (0.8)%
Lipper Growth Fund Index 2.8%
Vantagepoint Aggressive Opportunities Fund 4.7%
Wilshire 4500 Index (0.4)%
Lipper Capital Appreciation Index (1.5)%
Vantagepoint International Fund (3.1)%
MSCI EAFE Index (4.0)%
Lipper International Fund Index (4.1)%
A complete performance table follows this letter.
The Vantagepoint Equity Income Fund particularly benefited from the market's
change in focus. The Fund invests in reasonably valued, dividend-paying stocks--
a market segment that was ignored in 1999. Renewed attention to financial
stability was rewarding to many of the Fund's holdings.
Fixed income investors benefited from the changes in interest rates. The Fed's
interest rate increases resulted in rising short-term yields on the Vantagepoint
Money Market Fund. The decline in longer-term yields benefited investors in the
Vantagepoint U.S. Treasury Securities and Core Bond Index Funds and the Asset
Allocation Fund, which maintained a 30% allocation to long-term bonds
throughout.
Changes to the Vantagepoint Funds
Vantagepoint Investment Advisers made two subadviser changes during the first
half of the year. Wellington Management Company was added as a subadviser to the
Growth & Income Fund. Wellington's value style complements Capital Guardian's
core style and Putnam's growth style already represented in the Fund. Also,
Atlanta Capital Management Company was added as a subadviser to the Growth Fund,
replacing William Blair and Company. Atlanta Capital selects high-quality growth
companies, a strategy that is distinct from, and effectively complements, the
strategies of the five existing subadvisers.
Sincerely,
/S/ John S. Tobey
John S. Tobey
3
<PAGE>
Vantagepoint Fund Returns
<TABLE>
<CAPTION>
==========================================================================================================================
12/31/99 - Since Inception
6/30/00 1 Year 3 Years 5 Years 10 Years Inception Date
<S> <C> <C> <C> <C> <C> <C> <C>
Actively Managed Funds
Money Market 2.8% 5.4% - - - 5.1% 3/99
U.S. Treasury Securities 3.9% 4.0% 5.6% 5.4% - 5.9% 7/92
Asset Allocation 2.2% 4.8% 14.4% 17.1% 13.6% - 12/74
Equity Income (0.8)% (13.7)% 6.6% 14.3% - 14.6% 4/94
Growth & Income 2.4% 13.3% - - - 33.1% 10/98
Growth 6.4% 26.8% 24.5% 25.1% 18.6% - 4/83
Aggressive Opportunities 4.7% 38.9% 26.0% 25.8% - 27.3% 10/94
International (3.1)% 24.8% 9.8% 12.7% - 11.2% 10/94
Index Funds
Core Bond Index 6/97
Class I 3.7% 3.7% 5.0% - - 5.3%
Class II 4.0% 4.0% 5.2% - - 5.5%
500 Stock Index 6/97
Class I (0.8)% 6.8% 19.2% - - 20.4%
Class II (0.6)% 6.9% 19.4% - - 20.6%
Broad Market Index 11/88
Class I (0.4)% 10.1% 18.9% 22.0% 16.5% -
Class II (0.4)% 10.2% 19.1% 22.2% 16.7% -
Mid/Small Company Index 6/97
Class I 0.7% 22.2% 18.1% - - 18.8%
Class II 0.8% 22.4% 18.3% - - 19.1%
Overseas Equity Index 6/97
Class I (5.2)% 15.8% 9.2% - - 10.7%
Class II (5.1)% 15.9% 9.5% - - 10.9%
==========================================================================================================================
</TABLE>
The Actively Managed and Class I Index Funds were registered 3/1/99; the Class
II Index Funds were registered 4/5/99. Three-, five- and ten-year and since
inception returns include pre-registration returns, and are shown to illustrate
long-term performance of the Vantagepoint Fund.
-------------------------------------------------------------------------
A Special Meeting of Shareholders was held on March 28, 2000 at which
shareholders approved (680,273,991 votes for; 31,875,794 against) an
arrangement whereby the Fund's Board of Directors may change
subadvisers without shareholder approval, subject to certain
conditions. Also approved at the Special Meeting (20,500,688 votes for;
463,541 against) was a proposal to approve a subadvisory agreement with
Wellington Management Company, LLC for the Growth & Income Fund.
-------------------------------------------------------------------------
4
<PAGE>
The Vantagepoint Funds
(Fund ticker symbols are included in parentheses after Fund names.)
Actively Managed Funds
<TABLE>
<CAPTION>
Money Market Fund (VAMXX) Year Founded: 1999 Total Assets: $85 million
<S> <C> <C>
Investment Objective: Current income consistent with preservation of capital and liquidity
Subadviser: AIM Advisors, Inc.
Market Benchmark: IBC All Taxable First Tier Institutional Money Market Average
U.S. Treasury Securities Fund (VPTSX) Year Founded: 1992 Total Assets: $67 million
Investment Objective: Current income
Subadviser: Seix Investment Advisors, Inc.
Market Benchmark: Merrill Lynch 5-7 Year Treasury Index
Asset Allocation Fund (VPAAX) Year Founded: 1974 Total Assets: $1.0 billion
Investment Objective: Long-term capital growth at a lower level of risk than an all-equity portfolio
Subadvisers: Avatar Investors Associates Corp.
Mellon Capital Management Corp.
Payden & Rygel Investment Counsel
Wilshire Asset Management
Market Benchmark: 65% S&P 500 Index / 25% Lehman Long-Term Treasury Index / 10% 91-Day T-Bill
Mutual Fund Benchmark: Lipper Flexible Portfolio Fund Index
Equity Income Fund (VPEIX) Year Founded: 1994 Total Assets: $430 million
Investment Objective: Long-term stable growth of capital by investing in
dividend-paying common stocks of well-established companies
Subadvisers: Barrow, Hanley, Mewhinney, & Strauss, Inc.
T. Rowe Price Associates, Inc.
Wellington Management Company, LLP
Market Benchmark: S&P/BARRA Value Index
Mutual Fund Benchmark: Lipper Equity Income Fund Index
Growth & Income Fund (VPGIX) Year Founded: 1998 Total Assets: $286 million
Investment Objective: Long-term capital growth by investing in common stocks that offer potential for
high total return through a combination of capital appreciation and current income
Subadvisers: Capital Guardian Trust Company
Putnam Investment Management, Inc.
Wellington Management Company, LLP
Market Benchmark: S&P 500 Index
Mutual Fund Benchmark: Lipper Growth & Income Fund Index
Growth Fund (VPGRX) Year Founded: 1983 Total Assets: $3.6 billion
Investment Objective: Long-term capital growth by investing in common stocks of
companies with above-average potential for earnings growth
Subadvisers: Atlanta Capital Management Company, LLC
Barclays Global Fund Advisors
Brown Capital Management, Inc.
Fidelity Management Trust Company
TCW Investment Management Company
Tukman Capital Management, Inc.
Market Benchmark: Wilshire 5000 Index
Mutual Fund Benchmark: Lipper Growth Fund Index
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
Aggressive Opportunities Fund (VPAOX) Year Founded: 1994 Total Assets: $880 million
<S> <C> <C>
Investment Objective: High long-term capital growth by investing in common stocks
of small-to medium-capitalization companies
Subadvisers: First Pacific Advisors, Inc.
MFS Institutional Advisors, Inc.
TCW Investment Management Company
Market Benchmark: Wilshire 4500 Index
Mutual Fund Benchmark: Lipper Capital Appreciation Fund Index
International Fund (VPINX) Year Founded: 1994 Total Assets: $350 million
Investment Objective: Long-term capital growth by investing in common stocks
of companies headquartered outside the U.S.
Subadvisers: Capital Guardian Trust Company
Lazard Asset Management
Rowe Price-Fleming International, Inc.
Market Benchmark: MSCI Europe, Australasia, Far East (EAFE) Index
Mutual Fund Benchmark: Lipper International Fund Index
</TABLE>
Index Funds
All Vantagepoint index funds are managed by Barclays Global Fund Advisors.
Class I and II ticker symbols are listed:
<TABLE>
<CAPTION>
Core Bond Index Fund (VPCIX/VPCDX) Year Founded: 1997 Total Assets: $337 million
<S> <C> <C>
Investment Objective: Current income by investing in U.S. government
and corporate investment-grade bonds
Index: Lehman Brothers Government/Credit Bond Index
500 Stock Index Fund (VPFIX/VPSKX) Year Founded: 1997 Total Assets: $259 million
Investment Objective: Long-term capital growth by investing in
common stocks of larger-capitalization U.S. companies
Index: S&P 500 Index
Broad Market Index Fund (VPMIX/VPBMX) Year Founded: 1988 Total Assets: $680 million
Investment Objective: Long-term capital growth by investing in common stocks
of U.S. companies across all capitalization ranges
Index: Wilshire 5000 Index
Mid/Small Company Index Fund (VPSIX/VPMSX) Year Founded: 1997 Total Assets: $77 million
Investment Objective: Long-term capital growth by investing in common stocks
of small- to medium-capitalization companies
Index: Wilshire 4500 Index
Overseas Equity Index Fund (VPOIX/VPOEX) Year Founded: 1997 Total Assets: $67 million
Investment Objective: Long-term capital growth by investing in common stocks
of companies headquartered outside the U.S.
Index: MSCI Europe, Australasia, Far East (EAFE) Free Index
</TABLE>
6
<PAGE>
This Page Intentionally Left Blank
<PAGE>
VANTAGEPOINT FUNDS
Statements of Assets & Liabilities
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Aggressive Growth &
Opportunities International Growth Income
-------------- ------------- -------------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Securities, at market
value.................. $1,015,180,232 $385,087,846 $3,849,794,840 $302,598,525
Cash................... 58,200 -- -- --
Cash denominated in
foreign currencies..... -- 3,551,560 200,378 --
Receivable for:
Dividends.............. 209,064 542,050 1,609,800 256,329
Interest............... 1,002,289 282,038 1,367,650 135,710
Investments sold....... 3,153,523 1,749,433 22,625,814 1,113,009
Recoverable foreign
taxes................. 63 239,105 20,936 1,135
Variation margin on
futures contracts..... -- -- 17,675 --
Due from investment
advisor............... -- -- -- --
Other assets............ -- -- -- --
Gross unrealized gain on
forward foreign
currency exchange
contracts.............. -- 237,316 -- --
-------------- ------------ -------------- ------------
Total Assets........... 1,019,603,371 391,689,348 3,875,637,093 304,104,708
-------------- ------------ -------------- ------------
LIABILITIES:
Payable for:
Investments purchased.. 8,129,068 4,202,074 11,096,922 1,400,180
Variation margin on
futures contracts..... -- -- -- --
Collateral for
securities loaned..... 127,618,013 35,659,358 219,820,600 16,404,814
Distribution to
shareholders........... -- -- -- --
Administrative services
fees................... 28,816 13,718 80,102 11,746
Advisory fees........... 69,683 27,897 292,797 23,372
Subadvisory fees........ 3,183,758 846,416 6,677,241 431,309
Other accrued expenses.. 918,760 421,595 2,490,820 203,416
Gross unrealized loss on
forward foreign
currency exchange
contracts.............. -- 252,172 -- --
-------------- ------------ -------------- ------------
Total Liabilities...... 139,948,098 41,423,230 240,458,482 18,474,837
-------------- ------------ -------------- ------------
NET ASSETS.............. $ 879,655,273 $350,266,118 $3,635,178,611 $285,629,871
============== ============ ============== ============
NET ASSETS REPRESENTED
BY:
Paid-in capital......... $ 621,746,796 $279,490,582 $2,573,817,047 $226,541,551
Net unrealized
appreciation
(depreciation) on
investments, open
futures contracts and
foreign currency
related translations... 152,765,022 53,075,226 660,791,262 19,645,282
Undistributed net
investment income
(loss)................. (1,029,199) 242,871 (2,417,305) 778,476
Accumulated net realized
gain (loss) on
investments, open
futures contracts and
foreign currency
related translations... 106,172,654 17,457,439 402,987,607 38,664,562
-------------- ------------ -------------- ------------
NET ASSETS.............. $ 879,655,273 $350,266,118 $3,635,178,611 $285,629,871
============== ============ ============== ============
CAPITAL SHARES:
Net Assets.............. $ 879,655,273 $350,266,118 $3,635,178,611 $285,629,871
Shares Outstanding...... 53,087,765 26,270,414 258,588,454 23,518,372
Net Asset Value,
offering and redemption
price per share (net
assets divided by
shares outstanding).... $ 16.57 $ 13.33 $ 14.06 $ 12.14
Net Assets--Class I..... N/A N/A N/A N/A
Shares Outstanding--
Class I................ N/A N/A N/A N/A
Net Asset Value--Class
I, offering and
redemption price per
share (net assets
divided by shares
outstanding)........... N/A N/A N/A N/A
Net Assets--Class II.... N/A N/A N/A N/A
Shares Outstanding--
Class II............... N/A N/A N/A N/A
Net Asset Value--Class
II, offering and
redemption price per
share (net assets
divided by shares
outstanding)........... N/A N/A N/A N/A
Cost of investments..... $ 862,415,210 $331,918,926 $3,188,945,674 $282,953,243
Cost of cash denominated
in foreign currencies.. $ -- $ 3,613,092 $ 202,692 $ --
</TABLE>
------
* Investment in Master Investment Portfolio (Note 1)
N/ANot Applicable
See Notes to Financial Statements.
8
<PAGE>
<TABLE>
<CAPTION>
U.S. Overseas Mid/Small
Equity Asset Treasury Money Equity Company Broad Market 500 Stock Core Bond
Income Allocation Securities Market Index Index Index Index Index
------------ -------------- ----------- ----------- ----------- ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$447,504,775 $1,110,393,153 $84,971,298 $84,711,986 $67,474,135* $77,379,262* $679,930,723* $259,120,578* $339,004,815*
1,072,395 7,249,726 -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
1,051,015 512,503 -- -- -- -- -- -- --
149,510 6,991,509 1,275,799 459,962 -- -- -- -- --
1,402,333 1,330,957 -- -- -- -- -- -- --
13,386 10,273 -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- -- 7,300 -- -- -- -- --
-- -- -- -- 442 134 -- 409 --
-- -- -- -- -- -- -- -- --
------------ -------------- ----------- ----------- ----------- ----------- ------------ ------------ ------------
451,193,414 1,126,488,121 86,247,097 85,179,248 67,474,577 77,379,396 679,930,723 259,120,987 339,004,815
------------ -------------- ----------- ----------- ----------- ----------- ------------ ------------ ------------
3,217,040 -- -- -- -- -- -- -- --
-- 753,394 -- -- -- -- -- -- --
17,382,499 82,022,779 19,267,500 -- -- -- -- -- --
-- -- 296,173 430,978 -- -- -- -- 1,758,121
17,395 36,538 2,842 3,746 2,481 2,303 14,352 8,864 13,144
36,744 85,392 5,403 7,030 2,727 3,096 27,748 10,502 13,709
726,921 746,652 44,082 2,375 47,981 -- -- -- --
273,463 1,074,275 129,175 28,947 23,255 16,348 133,693 16,100 70,780
-- -- -- -- -- -- -- -- --
------------ -------------- ----------- ----------- ----------- ----------- ------------ ------------ ------------
21,654,062 84,719,030 19,745,175 473,076 76,444 21,747 175,793 35,466 1,855,754
------------ -------------- ----------- ----------- ----------- ----------- ------------ ------------ ------------
$429,539,352 $1,041,769,091 $66,501,922 $84,706,172 $67,398,133 $77,357,649 $679,754,930 $259,085,521 $337,149,061
============ ============== =========== =========== =========== =========== ============ ============ ============
$443,862,549 $ 740,705,968 $71,932,371 $84,706,172 $59,131,148 $74,668,627 $568,901,632 $233,654,197 $355,952,155
(24,366,227) 283,363,826 (265,192) -- 7,837,661 328,924 11,852,422 (18,185,497) (12,374,707)
4,715,187 13,374,415 16,124 -- 327,723 193,945 2,775,171 1,177,652 44,825
5,327,843 4,324,882 (5,181,381) -- 101,601 2,166,153 96,225,705 42,439,169 (6,473,212)
------------ -------------- ----------- ----------- ----------- ----------- ------------ ------------ ------------
$429,539,352 $1,041,769,091 $66,501,922 $84,706,172 $67,398,133 $77,357,649 $679,754,930 $259,085,521 $337,149,061
============ ============== =========== =========== =========== =========== ============ ============ ============
$429,539,352 $1,041,769,091 $66,501,922 $84,706,172 N/A N/A N/A N/A N/A
60,474,077 97,192,930 6,926,077 84,706,172 N/A N/A N/A N/A N/A
$ 7.10 $ 10.72 $ 9.60 $ 1.00 N/A N/A N/A N/A N/A
N/A N/A N/A N/A $56,424,030 $40,633,273 $416,626,470 $109,707,392 $269,007,359
N/A N/A N/A N/A 4,667,876 2,897,965 34,269,199 9,329,065 28,433,508
N/A N/A N/A N/A $ 12.09 $ 14.02 $ 12.16 $ 11.76 $ 9.46
N/A N/A N/A N/A $10,974,103 $36,724,376 $263,128,460 $149,378,129 $ 68,141,702
N/A N/A N/A N/A 948,758 2,724,443 22,615,861 13,278,967 7,183,696
N/A N/A N/A N/A $ 11.57 $ 13.48 $ 11.63 $ 11.25 $ 9.49
$471,871,002 $ 829,588,620 $85,236,490 $84,711,986 $75,368,257 $77,799,283 $692,250,029 $241,394,009 $326,630,108
$ -- $ -- $ -- $ -- N/A N/A N/A N/A N/A
</TABLE>
9
<PAGE>
VANTAGEPOINT FUNDS
Statements of Operations
For the Period from January 1, 2000 to June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
U.S.
Aggressive Growth & Equity Asset Treasury Money
Opportunities International Growth Income Income Allocation Securities Market
------------- ------------- ------------- ------------ ------------ ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT
INCOME:
Dividends....... $ 1,067,851 $ 3,078,979 $ 9,690,816 $ 1,401,122 $ 5,735,623 $ 3,330,695 $ -- $ --
Interest+....... 2,801,927 661,913 3,524,253 332,900 583,183 14,101,283 2,108,632 2,580,259
Foreign taxes
withheld on
dividends...... (94) (372,464) (82,586) (7,143) (21,706) (21,140) -- --
------------ ------------ ------------- ------------ ------------ ----------- ----------- ----------
Total investment
income......... 3,869,684 3,368,428 13,132,483 1,726,879 6,297,100 17,410,838 2,108,632 2,580,259
------------ ------------ ------------- ------------ ------------ ----------- ----------- ----------
EXPENSES:
Audit........... 5,512 2,635 29,062 1,946 4,510 9,996 716 699
Legal........... 4,372 2,103 23,250 1,552 3,646 8,043 579 559
Meetings........ 1,373 672 7,500 497 1,216 2,640 192 180
Subadvisor...... 2,888,473 864,369 5,998,263 325,595 732,882 1,419,968 52,094 37,822
Custodian....... 147,641 288,381 395,782 51,425 53,307 116,313 21,814 12,700
Advisory........ 389,250 161,821 1,721,423 128,750 215,694 519,308 33,376 41,886
Fund services... 583,875 244,383 2,582,135 193,124 323,541 778,963 50,064 62,829
Printing........ 6,502 3,260 36,661 2,403 6,158 13,165 970 881
Registration.... 19,199 8,659 93,093 6,407 12,839 30,124 2,074 2,245
Investor
services....... 778,500 326,945 3,442,847 257,499 431,388 1,038,617 66,752 83,774
Administration.. 85,463 41,105 175,232 33,683 51,219 111,942 8,845 11,100
Insurance....... 7,650 3,774 42,175 2,784 6,907 14,935 1,093 1,015
------------ ------------ ------------- ------------ ------------ ----------- ----------- ----------
Total expenses
before
reductions and
reimbursements.. 4,917,810 1,948,107 14,547,423 1,005,665 1,843,307 4,064,014 238,569 255,690
Less reductions
(Note 6)....... (18,927) (12,771) (269,167) (45,723) (243,028) -- -- --
Less
reimbursements
(Note 2)....... -- -- -- -- -- -- -- (24,079)
------------ ------------ ------------- ------------ ------------ ----------- ----------- ----------
Total expenses
net of
reductions and
reimbursements.. 4,898,883 1,935,336 14,278,256 959,942 1,600,279 4,064,014 238,569 231,611
------------ ------------ ------------- ------------ ------------ ----------- ----------- ----------
NET INVESTMENT
INCOME (LOSS).. (1,029,199) 1,433,092 (1,145,773) 766,937 4,696,821 13,346,824 1,870,063 2,348,648
------------ ------------ ------------- ------------ ------------ ----------- ----------- ----------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS
(Note 2):
Net realized
gain (loss) on
sale of
investments.... 69,087,600 16,319,679 354,268,947 33,115,693 2,123,572 7,916,472 (1,849,923) --
Net realized
gain (loss) on
futures and
foreign
currency
transactions... -- (277,415) (356,158) -- -- (4,821,878) -- --
Net change in
unrealized
appreciation
(depreciation)
of
investments.... (38,755,073) (27,051,986) (133,457,343) (26,635,950) (12,867,733) (3,045,985) 2,500,068 --
Net change in
unrealized
appreciation
(depreciation)
on futures and
foreign
currency
transactions... -- 298,917 (57,864) -- -- 8,275,887 -- --
------------ ------------ ------------- ------------ ------------ ----------- ----------- ----------
NET GAIN (LOSS)
ON
INVESTMENTS.... 30,332,527 (10,710,805) 220,397,582 6,479,743 (10,744,161) 8,324,496 650,145 --
------------ ------------ ------------- ------------ ------------ ----------- ----------- ----------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS..... $ 29,303,328 $ (9,277,713) $ 219,251,809 $ 7,246,680 $ (6,047,340) $21,671,320 $ 2,520,208 $2,348,648
============ ============ ============= ============ ============ =========== =========== ==========
------
+ Interest
income
includes
securities
lending
income of: $ 192,395 $ 57,900 $ 575,672 $ 13,979 $ 22,418 $ 137,063 $ 13,512 N/A
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
VANTAGEPOINT FUNDS
Statements of Operations
For the Period from January 1, 2000 to June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Overseas Mid/Small
Equity Company Broad Market 500 Stock Core Bond
Index Index Index Index Index
----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends*.............. $ 649,276 $ 254,463 $ 3,439,259 $ 1,376,635 $ --
Interest*............... 73,524 77,586 664,324 223,062 10,986,844
Foreign taxes withheld
on dividends*.......... (73,847) (18) (16,104) (7,863) --
Expenses*............... (77,280) (32,411) (275,248) (61,545) (128,240)
----------- ----------- ------------ ----------- -----------
Total investment
income................. 571,673 299,620 3,812,231 1,530,289 10,858,604
----------- ----------- ------------ ----------- -----------
EXPENSES:
Audit................... 503 363 5,929 2,013 2,824
Legal................... 401 287 4,754 1,569 2,265
Meetings................ 129 87 1,543 502 737
Custodian............... 10,357 11,886 13,524 12,432 12,796
Advisory Class I........ 13,075 9,700 115,909 30,162 66,116
Advisory Class II....... 2,370 6,428 50,650 31,091 13,888
Fund services Class I... 39,226 29,099 347,729 90,487 198,348
Fund services Class II.. 2,370 6,428 50,650 31,091 13,888
Printing................ 630 404 7,603 2,436 3,639
Registration............ 1,622 1,353 18,569 6,439 8,780
Investor services Class
I...................... 39,226 29,099 347,729 90,487 198,348
Investor services Class
II..................... 2,370 6,428 50,650 31,091 13,888
Administration.......... 5,406 5,645 53,076 21,418 27,109
Insurance............... 725 485 8,701 2,820 4,156
----------- ----------- ------------ ----------- -----------
Total expenses.......... 118,410 107,692 1,077,016 354,038 566,782
----------- ----------- ------------ ----------- -----------
NET INVESTMENT INCOME
(LOSS)................. 453,263 191,928 2,735,215 1,176,251 10,291,822
----------- ----------- ------------ ----------- -----------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS (Note
2):
Net realized gain (loss)
on sale of
investments............ 172,647 1,670,600 89,832,363 41,777,693 (4,573,206)
Net realized gain (loss)
on futures and foreign
currency transactions.. (102,877) (245,199) 105,216 182,506 --
Net change in unrealized
appreciation
(depreciation) of
investments............ (3,298,422) (5,917,806) (91,031,714) (44,124,102) 6,270,114
Net change in unrealized
appreciation
(depreciation) on
futures and foreign
currency transactions.. (173,973) (125,208) (4,344,586) (684,299) --
----------- ----------- ------------ ----------- -----------
NET GAIN (LOSS) ON
INVESTMENTS............ (3,402,625) (4,617,613) (5,438,721) (2,848,202) 1,696,908
----------- ----------- ------------ ----------- -----------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $(2,949,362) $(4,425,685) $ (2,703,506) $(1,671,951) $11,988,730
=========== =========== ============ =========== ===========
</TABLE>
------
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
11
<PAGE>
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Aggressive Opportunities International
------------------------------- -------------------------------
For the Period For the Period
For the Period from March 1, For the Period from March 1,
from January 1, 1999* to from January 1, 1999* to
2000 to June 30, December 31, 2000 to June 30, December 31,
2000 (Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C>
Increase (decrease) in
net assets resulting
from operations:
Net investment income
(loss)................ $ (1,029,199) $ (1,676,275) $ 1,433,092 $ 1,726,751
Net realized gain
(loss) on sale of
investments and
futures and foreign
currency
transactions.......... 69,087,600 57,196,081 16,042,264 8,901,799
Net change in
unrealized
appreciation
(depreciation) of
investments and
futures and foreign
currency
transactions.......... (38,755,073) 172,263,797 (26,753,069) 80,777,164
------------- ------------- ------------ -------------
Net increase (decrease)
in net assets
resulting from
operations............ 29,303,328 227,783,603 (9,277,713) 91,405,714
------------- ------------- ------------ -------------
Distributions to
shareholders from:
Net investment income.. -- -- -- (3,382,798)
Net realized gain on
investments........... -- (18,434,752) -- (7,031,553)
------------- ------------- ------------ -------------
Total distributions.... -- (18,434,752) -- (10,414,351)
------------- ------------- ------------ -------------
Capital share
transactions:
Capital contributed in
(Note 1).............. -- 325,808,786 -- 201,334,158
Proceeds from sales of
shares................ 320,502,115 195,026,455 100,344,026 162,439,326
Reinvestment of
distributions......... -- 18,434,752 -- 10,414,351
Cost of shares
redeemed.............. (101,654,938) (117,114,076) (57,737,204) (138,242,189)
------------- ------------- ------------ -------------
Net increase (decrease)
from capital share
transactions.......... 218,847,177 422,155,917 42,606,822 235,945,646
------------- ------------- ------------ -------------
Total increase
(decrease) in net
assets................ 248,150,505 631,504,768 33,329,109 316,937,009
------------- ------------- ------------ -------------
NET ASSETS at beginning
of period.............. 631,504,768 -- 316,937,009 --
------------- ------------- ------------ -------------
NET ASSETS at end of
period................. $ 879,655,273 $ 631,504,768 $350,266,118 $ 316,937,009
============= ============= ============ =============
SHARE TRANSACTIONS:
Capital shares issued
from contributed
capital (Note 1)...... -- 32,580,879 -- 20,133,416
Number of shares sold.. 19,259,071 16,785,801 7,515,521 14,779,081
Number of shares issued
through reinvestment
of dividends and
distributions......... -- 1,252,361 -- 809,825
Number of shares
redeemed.............. (6,094,920) (10,695,427) (4,284,035) (12,683,394)
------------- ------------- ------------ -------------
Net increase (decrease)
in shares
outstanding........... 13,164,151 39,923,614 3,231,486 23,038,928
============= ============= ============ =============
</TABLE>
------
* --Commencement of operations
See Notes to Financial Statements.
12
<PAGE>
<TABLE>
<CAPTION>
Growth Growth & Income
------------------------------- -------------------------------
For the Period For the Period For the Period
from January 1, from March 1, For the Period from March 1,
2000 to June 30, 1999* to from January 1, 1999* to
2000 December 31, 2000 to June 30, December 31,
(Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- --------------
<S> <C> <C> <C>
$ (1,145,773) $ (267,642) $ 766,937 $ 264,853
353,912,789 225,384,463 33,115,693 14,267,087
(133,515,207) 740,080,046 (26,635,950) 25,098,409
-------------- -------------- ------------ -------------
219,251,809 965,196,867 7,246,680 39,630,349
-------------- -------------- ------------ -------------
-- (1,003,459) -- (253,314)
-- (176,310,076) -- (8,718,218)
-------------- -------------- ------------ -------------
-- (177,313,535) -- (8,971,532)
-------------- -------------- ------------ -------------
-- 2,429,323,710 -- 123,094,099
468,431,888 448,200,363 65,205,589 173,055,236
-- 177,313,535 -- 8,971,532
(414,200,466) (481,025,560) (21,884,856) (100,717,226)
-------------- -------------- ------------ -------------
54,231,422 2,573,812,048 43,320,733 204,403,641
-------------- -------------- ------------ -------------
273,483,231 3,361,695,380 50,567,413 235,062,458
-------------- -------------- ------------ -------------
3,361,695,380 -- 235,062,458 --
-------------- -------------- ------------ -------------
$3,635,178,611 $3,361,695,380 $285,629,871 $ 235,062,458
============== ============== ============ =============
-- 242,932,371 -- 12,292,681
33,064,978 41,275,834 5,472,487 16,270,052
-- 14,450,981 -- 804,622
(28,973,338) (44,162,372) (1,786,634) (9,534,836)
-------------- -------------- ------------ -------------
4,091,640 254,496,814 3,685,853 19,832,519
============== ============== ============ =============
</TABLE>
13
<PAGE>
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Equity Income Asset Allocation
------------------------------- -------------------------------
For the Period For the Period
For the Period from March 1, For the Period from March 1,
from January 1, 1999* to from January 1, 1999* to
2000 to June 30, December 31, 2000 to June 30, December 31,
2000 (Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C>
Increase (decrease) in
net assets resulting
from operations:
Net investment income
(loss)................ $ 4,696,821 $ 9,352,899 $ 13,346,824 $ 24,347,230
Net realized gain
(loss) on sale of
investments and
futures and foreign
currency
transactions.......... 2,123,572 113,699,336 3,094,594 14,086,914
Net change in
unrealized
appreciation
(depreciation) of
investments and
futures and foreign
currency
transactions.......... (12,867,733) (145,838,039) 5,229,902 51,031,596
------------- ------------- -------------- --------------
Net increase (decrease)
in net assets
resulting from
operations............ (6,047,340) (22,785,804) 21,671,320 89,465,740
------------- ------------- -------------- --------------
Distributions to
shareholders from:
Net investment income.. -- (9,334,533) -- (24,319,580)
Net realized gain on
investments........... -- (110,495,065) -- (12,856,685)
------------- ------------- -------------- --------------
Total distributions.... -- (119,829,598) -- (37,176,265)
------------- ------------- -------------- --------------
Capital share
transactions:
Capital contributed in
(Note 1).............. -- 541,621,977 -- 1,046,354,487
Proceeds from sales of
shares................ 65,297,111 191,192,237 119,618,480 113,896,206
Reinvestment of
distributions......... -- 119,829,598 -- 37,176,265
Cost of shares
redeemed.............. (116,400,614) (223,338,215) (199,622,125) (149,615,017)
------------- ------------- -------------- --------------
Net increase (decrease)
from capital share
transactions.......... (51,103,503) 629,305,597 (80,003,645) 1,047,811,941
------------- ------------- -------------- --------------
Total increase
(decrease) in net
assets................ (57,150,843) 486,690,195 (58,332,325) 1,100,101,416
------------- ------------- -------------- --------------
NET ASSETS at beginning
of period.............. 486,690,195 -- 1,100,101,416 --
------------- ------------- -------------- --------------
NET ASSETS at end of
period................. $ 429,539,352 $ 486,690,195 $1,041,769,091 $1,100,101,416
============= ============= ============== ==============
SHARE TRANSACTIONS:
Capital shares issued
from contributed
capital (Note 1)...... -- 54,162,198 -- 104,635,449
Number of shares sold.. 9,311,115 19,035,304 10,973,087 11,108,685
Number of shares issued
through reinvestment
of dividends and
distributions......... -- 16,997,106 -- 3,598,864
Number of shares
redeemed.............. (16,825,471) (22,206,175) (18,654,644) (14,468,511)
------------- ------------- -------------- --------------
Net increase (decrease)
in shares
outstanding........... (7,514,356) 67,988,433 (7,681,557) 104,874,487
============= ============= ============== ==============
</TABLE>
------
* --Commencement of operations
See Notes to Financial Statements.
14
<PAGE>
<TABLE>
<CAPTION>
U.S. Treasury Securities Money Market
------------------------------- -------------------------------
For the Period For the Period For the Period
from January 1, from March 1, For the Period from March 1,
2000 to June 30, 1999* to from January 1, 1999* to
2000 December 31, 2000 to June 30, December 31,
(Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- --------------
<S> <C> <C> <C>
$ 1,870,063 $ 3,630,492 $ 2,348,648 $ 2,595,759
(1,849,923) (3,408,247) -- --
2,500,068 (824,982) -- --
------------ ------------ ------------ ------------
2,520,208 (602,737) 2,348,648 2,595,759
------------ ------------ ------------ ------------
(1,856,931) (3,627,500) (2,348,648) (2,595,759)
-- -- -- --
------------ ------------ ------------ ------------
(1,856,931) (3,627,500) (2,348,648) (2,595,759)
------------ ------------ ------------ ------------
-- 89,299,259 -- 56,664,093
12,228,623 35,576,998 57,885,949 61,997,813
1,920,133 3,627,500 2,236,753 2,595,759
(24,777,907) (47,805,724) (52,189,400) (44,484,795)
------------ ------------ ------------ ------------
(10,629,151) 80,698,033 7,933,302 76,772,870
------------ ------------ ------------ ------------
(9,965,874) 76,467,796 7,933,302 76,772,870
------------ ------------ ------------ ------------
76,467,796 -- 76,772,870 --
------------ ------------ ------------ ------------
$ 66,501,922 $ 76,467,796 $ 84,706,172 $ 76,772,870
============ ============ ============ ============
-- 8,929,926 -- 56,664,093
1,279,135 3,598,456 57,885,949 61,997,813
202,798 372,553 2,236,753 2,595,759
(2,608,221) (4,848,570) (52,189,400) (44,484,795)
------------ ------------ ------------ ------------
(1,126,288) 8,052,365 7,933,302 76,772,870
============ ============ ============ ============
</TABLE>
15
<PAGE>
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Overseas Equity Index Mid/Small Company Index
------------------------------- -------------------------------
For the Period For the Period
For the Period from March 1, For the Period from March 1,
from January 1, 1999* to from January 1, 1999* to
2000 to June 30, December 31, 2000 to June 30, December 31,
2000 (Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C>
Increase (decrease) in
net assets resulting
from operations:
Net investment income
(loss)................ $ 453,263 $ 478,575 $ 191,928 $ 135,205
Net realized gain
(loss) on sale of
investments and
futures and foreign
currency
transactions.......... 69,770 503,697 1,425,401 957,497
Net change in
unrealized
appreciation
(depreciation) of
investments and
futures and foreign
currency
transactions.......... (3,472,395) 11,652,160 (6,043,014) 6,421,234
----------- ------------ ------------ ------------
Net increase (decrease)
in net assets
resulting from
operations............ (2,949,362) 12,634,432 (4,425,685) 7,513,936
----------- ------------ ------------ ------------
Distributions to
shareholders from:
Net investment income--
Class I............... -- (633,500) -- (83,412)
Net investment income--
Class II.............. -- (127,735) -- (49,776)
Net realized gain on
investments--Class I.. -- (265,146) -- (151,633)
Net realized gain on
investments--Class
II.................... -- (49,600) -- (65,112)
----------- ------------ ------------ ------------
Total distributions.... -- (1,075,981) -- (349,933)
----------- ------------ ------------ ------------
Capital share
transactions:
Capital contributed in
(Note 1).............. -- 41,378,264 -- 13,532,687
Proceeds from sales of
shares--Class I....... 15,582,577 37,975,528 41,853,068 25,395,723
Proceeds from sales of
shares--Class II...... 6,715,436 18,768,185 36,580,112 12,181,329
Reinvestment of
distributions--Class
I..................... -- 898,646 -- 235,046
Reinvestment of
distributions--Class
II.................... -- 177,335 -- 114,887
Cost of shares
redeemed--Class I..... (5,131,105) (42,051,145) (20,731,397) (22,780,342)
Cost of shares
redeemed--Class II.... (3,858,464) (11,666,213) (6,762,696) (4,999,086)
----------- ------------ ------------ ------------
Net increase (decrease)
from capital share
transactions.......... 13,308,444 45,480,600 50,939,087 23,680,244
----------- ------------ ------------ ------------
Total increase
(decrease) in net
assets................ 10,359,082 57,039,051 46,513,402 30,844,247
----------- ------------ ------------ ------------
NET ASSETS at beginning
of period.............. 57,039,051 -- 30,844,247 --
----------- ------------ ------------ ------------
NET ASSETS at end of
period................. $67,398,133 $ 57,039,051 $ 77,357,649 $ 30,844,247
=========== ============ ============ ============
SHARE TRANSACTIONS:
Capital shares issued
from contributed
capital (Note 1)...... -- 4,137,826 -- 1,353,269
Number of shares sold--
Class I............... 1,283,785 3,572,616 2,797,292 2,139,608
Number of shares issued
through reinvestment
of dividends and
distributions--Class
I..................... -- 73,062 -- 18,123
Number of shares
redeemed--Class I..... (413,793) (3,985,620) (1,447,106) (1,963,221)
----------- ------------ ------------ ------------
Net increase (decrease)
in shares
outstanding--Class I.. 869,992 3,797,884 1,350,186 1,547,779
=========== ============ ============ ============
Number of shares sold--
Class II.............. 569,179 1,820,160 2,545,139 1,130,206
Number of shares issued
through reinvestment
of dividends and
distributions--Class
II.................... -- 15,097 -- 9,220
Number of shares
redeemed--Class II.... (328,043) (1,127,635) (515,935) (444,186)
----------- ------------ ------------ ------------
Net increase (decrease)
in shares
outstanding--Class
II.................... 241,136 707,622 2,029,204 695,240
=========== ============ ============ ============
</TABLE>
------
* --Commencement of operations
See Notes to Financial Statements.
16
<PAGE>
<TABLE>
<CAPTION>
Broad Market Index 500 Stock Index Core Bond Index
-------------------------------- ------------------------------- -------------------------------
For the Period For the Period For the Period For the Period
from January 1, from March 1, For the Period from March 1, For the Period from March 1,
2000 to June 30, 1999* to from January 1, 1999* to from January 1, 1999* to
2000 December 31, 2000 to June 30, December 31, 2000 to June 30, December 31,
(Unaudited) 1999 2000 (Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C> <C>
$ 2,735,215 $ 5,149,625 $ 1,176,251 $ 1,821,724 $ 10,291,822 $ 14,575,185
89,937,579 12,002,396 41,960,199 1,025,976 (4,573,206) (1,900,006)
(95,376,300) 107,228,722 (44,808,401) 29,856,248 6,270,114 (15,452,868)
------------- ------------- ------------ ------------ ------------ -------------
(2,703,506) 124,380,743 (1,671,951) 32,703,948 11,988,730 (2,777,689)
------------- ------------- ------------ ------------ ------------ -------------
-- (3,616,487) -- (838,233) (8,388,998) (12,442,414)
-- (1,493,182) -- (982,090) (1,842,442) (2,148,328)
-- (4,306,616) -- (285,797) -- --
-- (1,407,654) -- (261,209) -- --
------------- ------------- ------------ ------------ ------------ -------------
-- (10,823,939) -- (2,367,329) (10,231,440) (14,590,742)
------------- ------------- ------------ ------------ ------------ -------------
-- 533,356,978 -- 117,397,703 -- 275,105,261
20,417,433 58,618,494 19,279,580 59,067,057 33,745,051 140,144,642
117,137,467 149,832,461 59,714,901 133,583,156 25,809,764 56,728,538
-- 7,923,094 -- 1,124,032 6,994,192 12,442,414
-- 2,900,838 -- 1,243,297 1,479,126 2,148,328
(126,157,710) (171,048,154) (45,536,126) (62,374,853) (35,106,557) (151,357,685)
(11,579,110) (12,500,159) (27,308,886) (25,769,008) (7,424,482) (7,948,390)
------------- ------------- ------------ ------------ ------------ -------------
(181,920) 569,083,552 6,149,469 224,271,384 25,497,094 327,263,108
------------- ------------- ------------ ------------ ------------ -------------
(2,885,426) 682,640,356 4,477,518 254,608,003 27,254,384 309,894,677
------------- ------------- ------------ ------------ ------------ -------------
682,640,356 -- 254,608,003 -- 309,894,677 --
------------- ------------- ------------ ------------ ------------ -------------
$ 679,754,930 $ 682,640,356 $259,085,521 $254,608,003 $337,149,061 $ 309,894,677
============= ============= ============ ============ ============ =============
-- 53,335,698 -- 11,739,770 -- 27,510,526
1,704,857 4,802,050 1,679,644 5,491,465 3,584,627 14,162,974
-- 676,609 -- 98,083 744,120 1,286,119
(9,974,442) (16,275,573) (3,778,463) (5,901,434) (3,690,963) (15,163,895)
------------- ------------- ------------ ------------ ------------ -------------
(8,269,585) 42,538,784 (2,098,819) 11,427,884 637,784 27,795,724
============= ============= ============ ============ ============ =============
9,658,370 14,891,457 5,229,860 12,881,383 2,694,072 5,710,224
-- 259,235 -- 113,543 157,099 222,576
(1,005,989) (1,187,212) (2,483,291) (2,462,528) (785,740) (814,535)
------------- ------------- ------------ ------------ ------------ -------------
8,652,381 13,963,480 2,746,569 10,532,398 2,065,431 5,118,265
============= ============= ============ ============ ============ =============
</TABLE>
17
<PAGE>
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
Aggressive Opportunities International
------------------------------- -------------------------------
For the Period For the Period
For the Period from March 1, For the Period from March 1,
from January 1, 1999* to from January 1, 1999* to
2000 to June 30, December 31, 2000 to June 30, December 31,
2000 (Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C>
Net Asset Value,
beginning of period.... $ 15.82 $ 10.00 $ 13.76 $ 10.00
Income from investment
operations:
Net investment income
(loss)................ (0.02) (0.04) 0.06 0.08
Net realized and
unrealized gain (loss)
on investments and
futures and foreign
currency
transactions.......... 0.77 6.34 (0.49) 4.15
-------- -------- -------- --------
Total from investment
operations............. 0.75 6.30 (0.43) 4.23
-------- -------- -------- --------
Less distributions:
From net investment
income................ (0.00) (0.00) (0.00) (0.15)
From net realized
gains................. (0.00) (0.48) (0.00) (0.32)
-------- -------- -------- --------
Total distributions..... 0.00 (0.48) 0.00 (0.47)
-------- -------- -------- --------
Net Asset Value, end of
period................. $ 16.57 $ 15.82 $ 13.33 $ 13.76
======== ======== ======== ========
Total return ++......... 4.74% 63.39% (3.13)% 42.62%
Ratios/Supplemental
data:
Net assets, end of
period (000).......... $879,655 $631,505 $350,266 $316,937
Number of shares
outstanding,
end of period (000)... 53,088 39,924 26,270 23,039
Ratios to average net
assets:
Ratio of expenses to
average net assets+... 1.26% 1.28% 1.17% 1.12%
Ratio of net investment
income (loss) to
average net assets+... (0.26)% (0.48)% 0.87% 0.86%
Portfolio turnover ++... 20% 50% 18% 29%
(1) Ratio of expenses to
average net assets
prior to expense
reductions and
reimbursed
expenses+........... 1.26% 1.28% 1.18% 1.14%
(2) Ratio of net
investment income
(loss) to average
net assets prior to
expense reductions
and reimbursed
expenses+........... (0.27)% (0.48)% 0.86% 0.84%
</TABLE>
------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Rounds to less than .01
See Notes to Financial Statements.
18
<PAGE>
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
Growth Growth & Income
------------------------------- -------------------------------
For the Period For the Period
For the Period from March 1, For the Period from March 1,
from January 1, 1999* to from January 1, 1999* to
2000 to June 30, December 31, 2000 to June 30, December 31,
2000 (Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C>
Net Asset Value,
beginning of period.... $ 13.21 $ 10.00 $ 11.85 $ 10.00
Income from investment
operations:
Net investment income
(loss)................ 0.00** 0.00** 0.03 0.01
Net realized and
unrealized gain (loss)
on investments and
futures and foreign
currency
transactions.......... 0.85 3.95 0.26 2.31
---------- ---------- -------- --------
Total from investment
operations............. 0.85 3.95 0.29 2.32
---------- ---------- -------- --------
Less distributions:
From net investment
income................ (0.00) (0.00)** (0.00) (0.01)
From net realized
gains................. (0.00) (0.74) (0.00) (0.46)
---------- ---------- -------- --------
Total distributions..... 0.00 (0.74) (0.00) (0.47)
---------- ---------- -------- --------
Net Asset Value, end of
period................. $ 14.06 $ 13.21 $ 12.14 $ 11.85
========== ========== ======== ========
Total return ++......... 6.43% 40.03% 2.45% 23.50%
Ratios/Supplemental
data:
Net assets, end of
period (000).......... $3,635,179 $3,361,695 $285,630 $235,062
Number of shares
outstanding,
end of period (000)... 258,588 254,497 23,518 19,833
Ratios to average net
assets:
Ratio of expenses to
average net assets+... 0.83% 0.80% 0.74% 0.94%
Ratio of net investment
income (loss) to
average net assets+... (0.07)% (0.01)% 0.60% 0.17%
Portfolio turnover ++... 37% 129% 60% 51%
(1) Ratio of expenses to
average net assets
prior to expense
reductions and
reimbursed
expenses+........... 0.84% 0.81% 0.78% 0.96%
(2) Ratio of net
investment income
(loss) to average
net assets prior to
expense reductions
and reimbursed
expenses+........... (0.08)% (0.02)% 0.56% 0.15%
</TABLE>
------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Rounds to less than .01
See Notes to Financial Statements.
19
<PAGE>
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
Equity Income Asset Allocation
------------------------------- -------------------------------
For the Period For the Period
For the Period from March 1, For the Period from March 1,
from January 1, 1999* to from January 1, 1999* to
2000 to June 30, December 31, 2000 to June 30, December 31,
2000 (Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C>
Net Asset Value,
beginning of period.... $ 7.16 $ 10.00 $ 10.49 $ 10.00
Income from investment
operations:
Net investment income
(loss)................ 0.08 0.18 0.14 0.24
Net realized and
unrealized gain (loss)
on investments and
futures and foreign
currency
transactions.......... (0.14) (0.68) 0.09 0.62
-------- -------- ---------- ----------
Total from investment
operations............. (0.06) (0.50) 0.23 0.86
-------- -------- ---------- ----------
Less distributions:
From net investment
income................ (0.00) (0.18) (0.00) (0.24)
From net realized
gains................. (0.00) (2.16) (0.00) (0.13)
-------- -------- ---------- ----------
Total distributions..... (0.00) (2.34) (0.00) (0.37)
-------- -------- ---------- ----------
Net Asset Value, end of
period................. $ 7.10 $ 7.16 $ 10.72 $ 10.49
======== ======== ========== ==========
Total return++.......... (0.84)% (4.60)% 2.19% 8.61%
Ratios/Supplemental
data:
Net assets, end of
period (000).......... $429,539 $486,690 $1,041,769 $1,100,101
Number of shares
outstanding,
end of period (000)... 60,474 67,988 97,193 104,874
Ratios to average net
assets:
Ratio of expenses to
average net assets+... 0.74% 0.75% 0.78% 0.80%
Ratio of net investment
income (loss) to
average net assets+... 2.17% 2.08% 2.56% 2.68%
Portfolio turnover++.... 15% 77% 3% 6%
(1) Ratio of expenses to
average net assets
prior to expense
reductions and
reimbursed
expenses+........... 0.85% 0.76% N/A N/A
(2) Ratio of net
investment income
(loss) to average
net assets prior to
expense reductions
and reimbursed
expenses+........... 2.06% 2.07% N/A N/A
</TABLE>
------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Rounds to less than .01
See Notes to Financial Statements.
20
<PAGE>
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
U.S. Treasury Securities Money Market
------------------------------- -------------------------------
For the Period For the Period
For the Period from March 1, For the Period from March 1,
from January 1, 1999* to from January 1, 1999* to
2000 to June 30, December 31, 2000 to June 30, December 31,
2000 (Unaudited) 1999 2000 (Unaudited) 1999
---------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C>
Net Asset Value,
beginning of period.... $ 9.50 $ 10.00 $ 1.00 $ 1.00
Income from investment
operations:
Net investment income
(loss)................ 0.27 0.44 0.03 0.04
Net realized and
unrealized gain (loss)
on investments and
futures and foreign
currency
transactions.......... 0.10 (0.50) 0.00 0.00
------- ------- ------- -------
Total from investment
operations............. 0.37 (0.06) 0.03 0.04
------- ------- ------- -------
Less distributions:
From net investment
income................ (0.27) (0.44) (0.03) (0.04)
From net realized
gains................. (0.00) (0.00) (0.00) (0.00)
------- ------- ------- -------
Total distributions..... (0.27) (0.44) (0.03) (0.04)
------- ------- ------- -------
Net Asset Value, end of
period................. $ 9.60 $ 9.50 $ 1.00 $ 1.00
======= ======= ======= =======
Total return++.......... 3.93% (0.66)% 2.79% 4.00%
Ratios/Supplemental
data:
Net assets, end of
period (000).......... $66,502 $76,468 $84,706 $76,773
Number of shares
outstanding,
end of period (000)... 6,926 8,052 84,706 76,773
Ratios to average net
assets:
Ratio of expenses to
average net assets+... 0.72% 0.66% 0.55% 0.55%
Ratio of net investment
income (loss) to
average net assets+... 5.59% 5.26% 5.55% 4.70%
Portfolio turnover++.... 62% 176% N/A N/A
(1) Ratio of expenses to
average net assets
prior to expense
reductions and
reimbursed
expenses+........... N/A N/A 0.61% 0.60%
(2) Ratio of net
investment income
(loss) to average
net assets prior to
expense reductions
and reimbursed
expenses+........... N/A N/A 5.49% 4.65%
</TABLE>
------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Rounds to less than .01
See Notes to Financial Statements.
21
<PAGE>
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
Overseas Equity Index Mid/Small Company Index
----------------------------------------------------- ---------------------------------------------------
For the Period For the Period For the Period For the Period
For the Period From From March 1, From April 5, For the Period From From March 1, From April 5,
January 1, 2000 to 1999* to 1999* to January 1, 2000 to 1999* to 1999* to
June 30, 2000 December 31, December 31, June 30, 2000 December 31, December 31,
(Unaudited) 1999 1999 (Unaudited) 1999 1999
--------------------- -------------- -------------- -------------------- -------------- --------------
Class I Class II Class I Class II Class I Class II Class I Class II
---------- --------- -------------- -------------- ---------- --------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
beginning of
period............. $ 12.75 $ 12.19 $ 10.00 $10.00 $ 13.92 $ 13.37 $ 10.00 $10.00
Income from
investment
operations:
Net investment
income (loss)..... 0.09 0.08 0.11 0.15 0.03 0.04 0.06 0.07
Net realized and
unrealized gain
(loss) on
investments and
futures and
foreign currency
transactions...... (0.75) (0.70) 2.88 2.30 0.07 0.07 4.02 3.48
--------- --------- ------- ------ --------- --------- ------- ------
Total from
investment
operations......... (0.66) (0.62) 2.99 2.45 0.10 0.11 4.08 3.55
--------- --------- ------- ------ --------- --------- ------- ------
Less distributions:
From net investment
income............ (0.00) (0.00) (0.17) (0.19) (0.00) (0.00) (0.06) (0.08)
From net realized
gains............. (0.00) (0.00) (0.07) (0.07) (0.00) (0.00) (0.10) (0.10)
--------- --------- ------- ------ --------- --------- ------- ------
Total
distributions...... (0.00) (0.00) (0.24) (0.26) (0.00) (0.00) (0.16) (0.18)
--------- --------- ------- ------ --------- --------- ------- ------
Net Asset Value, end
of period.......... $ 12.09 $ 11.57 $ 12.75 $12.19 $ 14.02 $ 13.48 $ 13.92 $13.37
========= ========= ======= ====== ========= ========= ======= ======
Total return++...... (5.18)% (5.09)% 30.03% 24.59% 0.72% 0.82% 40.90% 35.64%
Ratios/Supplemental
data:
Net assets, end of
period (000)...... $ 56,424 $ 10,974 $48,416 $8,623 $ 40,633 $ 36,724 $21,548 $9,296
Number of shares
outstanding, end
of period (000)... 4,668 949 3,798 708 2,898 2,724 1,548 695
Ratios to average
net assets:
Ratio of expenses
to average net
assets+........... 0.66% 0.46% 0.95% 0.75% 0.51% 0.31% 0.60% 0.40%
Ratio of net
investment income
(loss) to average
net assets+....... 1.43% 1.63% 1.17% 1.53% 0.51% 0.71% 0.75% 0.97%
Portfolio
turnover++......... N/A N/A N/A N/A N/A N/A N/A N/A
(1) Ratio of
expenses to
average net
assets prior to
expense
reductions and
reimbursed
expenses+....... N/A N/A N/A N/A N/A N/A N/A N/A
(2) Ratio of net
investment
income (loss) to
average net
assets prior to
expense
reductions and
reimbursed
expenses+....... N/A N/A N/A N/A N/A N/A N/A N/A
</TABLE>
------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
22
<PAGE>
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
Broad Market Index
---------------------------------------------------
For the Period For the Period
For the Period From March 1, From April 5,
From January 1, 1999* to 1999* to
2000 to June 30, December 31, December 31,
2000 (Unaudited) 1999 1999
------------------- -------------- --------------
Class I Class II Class I Class II
-------- -------- -------------- --------------
<S> <C> <C> <C> <C>
Net Asset Value, beginning
of period................. $ 12.21 $ 11.68 $ 10.00 $ 10.00
Income from investment
operations:
Net investment income
(loss)................... 0.05 0.05 0.10 0.09
Net realized and
unrealized gain (loss) on
investments and futures
and foreign currency
transactions............. (0.10) (0.10) 2.30 1.80
-------- -------- -------- --------
Total from investment
operations................ (0.05) (0.05) 2.40 1.89
-------- -------- -------- --------
Less distributions:
From net investment
income................... (0.00) (0.00) (0.09) (0.11)
From net realized gains... (0.00) (0.00) (0.10) (0.10)
-------- -------- -------- --------
Total distributions........ (0.00) (0.00) (0.19) (0.21)
-------- -------- -------- --------
Net Asset Value, end of
period.................... $ 12.16 $ 11.63 $ 12.21 $ 11.68
======== ======== ======== ========
Total return++............. (0.41)% (0.43)% 24.07% 19.01%
Ratios/Supplemental data:
Net assets, end of period
(000).................... $416,626 $263,128 $519,581 $163,050
Number of shares
outstanding, end of
period (000)............. 34,269 22,616 42,539 13,963
Ratios to average net
assets:
Ratio of expenses to
average net assets+...... 0.47% 0.27% 0.46% 0.26%
Ratio of net investment
income (loss) to average
net assets+.............. 0.76% 0.96% 0.99% 1.18%
Portfolio turnover++....... N/A N/A N/A N/A
(1) Ratio of expenses to
average net assets
prior to expense
reductions and
reimbursed expenses+.. N/A N/A N/A N/A
(2) Ratio of net
investment income
(loss) to average net
assets prior to
expense reductions and
reimbursed expenses+.. N/A N/A N/A N/A
</TABLE>
------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
23
<PAGE>
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
500 Stock Index Core Bond Index
--------------------------------------------------- ------------------------------------------------
For the Period For the Period For the Period For the Period For the Period
For the Period From March 1, From April 5, From January 1, From March 1, From April 5,
From January 1, 1999* to 1999* to 2000 to June 30, 1999* to 1999* to
2000 to June 30, December 31, December 31, 2000 December 31, December 31,
2000 (Unaudited) 1999 1999 (Unaudited) 1999 1999
------------------- -------------- -------------- ----------------- -------------- --------------
Class
Class I Class II Class I Class II Class I II Class I Class II
-------- -------- -------------- -------------- -------- ------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
beginning of period.... $ 11.85 $ 11.32 $ 10.00 $ 10.00 $ 9.41 $ 9.43 $ 10.00 $ 10.00
Income from investment
operations:
Net investment income
(loss)................ 0.06 0.06 0.09 0.08 0.30 0.31 0.49 0.45
Net realized and
unrealized gain (loss)
on investments and
futures and foreign
currency
transactions.......... (0.15) (0.13) 1.86 1.36 0.05 0.06 (0.59) (0.57)
-------- -------- -------- -------- -------- ------- -------- -------
Total from investment
operations............. (0.09) (0.07) 1.95 1.44 0.35 0.37 (0.10) (0.12)
-------- -------- -------- -------- -------- ------- -------- -------
Less distributions:
From net investment
income................ (0.00) (0.00) (0.07) (0.09) (0.30) (0.31) (0.49) (0.45)
From net realized
gains................. (0.00) (0.00) (0.03) (0.03) (0.00) (0.00) (0.00) (0.00)
-------- -------- -------- -------- -------- ------- -------- -------
Total distributions..... (0.00) (0.00) (0.10) (0.12) (0.30) (0.31) (0.49) (0.45)
-------- -------- -------- -------- -------- ------- -------- -------
Net Asset Value, end of
period................. $ 11.76 $ 11.25 $ 11.85 $ 11.32 $ 9.46 $ 9.49 $ 9.41 $ 9.43
======== ======== ======== ======== ======== ======= ======== =======
Total return++.......... (0.76)% (0.62)% 19.52% 14.44% 3.74% 3.95% (1.05)% (1.19)%
Ratios/Supplemental
data:
Net assets, end of
period (000).......... $109,707 $149,378 $135,372 $119,236 $269,007 $68,142 $261,607 $48,288
Number of shares
outstanding, end of
period (000).......... 9,329 13,279 11,428 10,532 28,434 7,184 27,796 5,118
Ratios to average net
assets:
Ratio of expenses to
average net assets+... 0.44% 0.24% 0.44% 0.24% 0.47% 0.27% 0.47% 0.27%
Ratio of net investment
income (loss) to
average net assets+... 0.86% 1.06% 1.04% 1.23% 6.38% 6.58% 5.99% 6.26%
Portfolio turnover++.... N/A N/A N/A N/A N/A N/A N/A N/A
(1) Ratio of expenses to
average net assets
prior to expense
reductions and
reimbursed
expenses+........... N/A N/A N/A N/A N/A N/A N/A N/A
(2) Ratio of net
investment income
(loss) to average
net assets prior to
expense reductions
and reimbursed
expenses+........... N/A N/A N/A N/A N/A N/A N/A N/A
</TABLE>
------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
24
<PAGE>
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS
(Unaudited)
1. Significant Accounting Policies
The Vantagepoint Funds (the "Company") is registered under the Investment
Company Act of 1940 (the "1940 Act"), as amended, as an open-end management
investment company organized as a Delaware Business Trust. The Company
commenced operations on March 1, 1999 by acquiring all of the assets of certain
funds of the ICMA Retirement Trust (the "Trust"). The acquisition was
accomplished by a tax-free transfer of net assets of the corresponding Trust
Funds in exchange for shares in the newly formed Aggressive Opportunities Fund,
the International Fund, the Growth Fund, the Growth & Income Fund, the Equity
Income Fund, the Asset Allocation Fund and the U.S. Treasury Securities Fund
(the "Funds") and the Overseas Equity Index Fund, the Mid/Small Company Index
Fund, the Broad Market Index Fund, the 500 Stock Index Fund, and the Core Bond
Index Fund (the "Index Funds") on March 1, 1999 at $10.00 per share. The Money
Market Fund commenced operations on March 1, 1999. Each Index Fund is a
"feeder" fund in a "master-feeder" structure. Instead of investing directly in
individual securities in the portfolio, the feeder fund, which is offered to
the Index Fund Shareholders, invests in a Master Portfolio that has
substantially the same investment objectives as the feeder fund. It is the
Master Portfolio that actually invests in individual securities. As of October
1, 1999, the Overseas Equity Index Fund invests all of its assets in the
International Index Master Portfolio. Prior to October 1, 1999, the Overseas
Equity Index Fund invested directly in individual portfolio securities.
Barclays Global Fund Advisors (BGFA) is the investment advisor for the Master
Portfolios. The Index Funds invest in the following Master Portfolios:
<TABLE>
<CAPTION>
Index Fund Invests in Master Portfolio
---------- ---------- -------------------
<S> <C> <C>
Overseas Equity ----- International Index
Mid/Small Company ----- Extended Index
Broad Market ----- US Equity Index
500 Stock ----- S&P 500 Index
Core Bond ----- Bond Index
</TABLE>
The financial statements of the Master Portfolios, including their Portfolios
of Investments, are included elsewhere in this report and should be read in
conjunction with the financial statements of the Index Funds.
The Funds offer a single class of shares, which commenced operations on March
1, 1999. The Index Funds offer two classes of shares: Class I Shares and Class
II Shares. Class I Shares commenced operations on March 1, 1999. Class II
Shares commenced operations on April 5, 1999. The two classes of shares differ
principally in their respective fund services and investor services fees.
Shareholders of each Index Fund bear the common expenses of the Index Fund and
earn income from the Master Portfolio pro rata based on the daily average net
assets of each class. Dividends to shareholders are determined separately for
each class based on income and expenses allocable to each class. Capital gain
distributions are allocated to each class pro rata, based upon net assets of
each class on the date of distribution. Neither class has preferential dividend
rights; differences in per share dividend rates are generally due to
differences in separate class expenses.
The following significant accounting policies are consistently followed by
the Company in the preparation of its financial statements in accordance with
generally accepted accounting principles for the investment company industry.
In the preparation of financial statements management made estimates and
assumptions that affect the reported amounts of assets, liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the
reporting period. Actual results could differ from those estimates.
25
<PAGE>
VANTAGEPOINT FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
Investment Policy and Security Valuation
The value of each Index Fund's interest in the net assets of the Master
Portfolio in which it invests reflects that Index Fund's interest in the net
assets of that Master Portfolio (86.44%, 32.06%, 99.11%, 7.01% and 81.76%) for
the International Index, Extended Index, US Equity Index, S&P 500 Index and
Bond Index Master Portfolios respectively, as of June 30, 2000. See "Investment
Policy and Security Valuation" for the Master Portfolios included elsewhere in
this report.
The equity securities of each Fund are valued at the last reported sale price
on the primary securities exchange or national securities market on which such
securities are traded. Securities not listed on an exchange or national
securities market, or securities in which there was no last reported sales
price, are valued at the most recent bid prices. Debt securities are generally
traded in the over-the-counter market and are valued using pricing matrices
obtained through Merrill Lynch and other commercial pricing services. U.S.
Government obligations are valued at the last reported bid price. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Any security for which market quotations are not
readily available, are valued at fair value as determined in good faith in
accordance with policies approved by the Board of Directors.
The Money Market Fund invests all of its assets in the Short Term Investments
Co. Liquid Assets Portfolio Institutional Class, whose investment adviser is
AIM Advisors, Inc. The Short Term Investments Co. Liquid Assets Portfolio uses
the amortized cost method of valuation to determine the value of its portfolio
securities in accordance with rule 2a-7 under the 1940 Act. The amortized cost
method, which involves valuing a security at its cost and amortizing any
discount or premium over the period until maturity, approximates market value.
The Money Market Fund seeks to maintain a constant net asset value per share of
$1.00, however there is no guarantee that it will be able to do so.
The accounting records of the Funds are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day. Purchases and sales of securities, income receipts and
expense payments are translated into U.S. dollars at the prevailing exchange
rate on the respective date of transactions. The effect of foreign exchange
rates on realized and unrealized security gains and losses is reflected as a
component of such gains and losses.
Security Transactions and Income Recognition
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-
dividend date, and interest income is recognized on a daily accrual basis.
Realized gains or losses are reported on the basis of identified cost of
securities delivered. Bond discounts and premiums are amortized for both
financial reporting and tax purposes.
Dividends and Distributions to Shareholders
Dividends to shareholders from net investment income of the Core Bond Index
Fund and U.S. Treasury Securities Fund are declared and distributed monthly.
Dividends to shareholders from net investment income of the Money Market Fund
are declared daily and distributed monthly. Dividends to shareholders from net
investment income of the remaining Funds and Index Funds are declared and
distributed annually. Distributions to shareholders from any net realized
capital gains are generally declared and distributed annually, normally in
December.
26
<PAGE>
VANTAGEPOINT FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
Federal Income Taxes
The Company intends to qualify as a regulated investment company under
Subchapter M of the Code for federal tax purposes. Accordingly, each Fund and
Index Fund intends to make distributions of substantially all of its net
investment company taxable income and any net realized capital gains (after
reduction for capital loss carryforwards) sufficient to relieve it from all, or
substantially all, federal income and excise taxes. Therefore, no provision for
federal taxes was required.
Futures Contracts
The Funds may purchase futures contracts to gain exposure to market changes
as this may be more efficient or cost effective than actually buying the
securities. A futures contract is an agreement between two parties to buy and
sell a security at a set price on a future date and is exchange traded. Upon
entering into a futures contract, the Funds are required to pledge to the
broker an amount of cash, U.S. Government securities or other high-quality debt
securities equal to the minimum "initial margin" requirements of the exchange.
Pursuant to the contract, the Funds agree to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in the value of the contract.
Such receipts or payments are known as "variation margin" and are recorded by
the Funds as unrealized gains or losses. When the contract is closed, the Funds
record a gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Pursuant to
regulations and/or published positions of the Securities and Exchange
Commission, the Funds are required to segregate cash or liquid instruments in
connection with futures transactions in an amount generally equal to the entire
futures contract amount. Risks of entering into futures contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities. The amount of risk under such futures may exceed the amounts
reflected in the financial statements. As of June 30, 2000, the following Funds
had open futures contracts:
Growth
<TABLE>
<CAPTION>
Net
Number of Expiration Notional Unrealized
Contracts Type Date Contract Value Appreciation
--------- ---- -------------- -------------- ------------
<S> <C> <C> <C> <C>
Open Purchase Contracts:
1,750 S&P 500 Index September 2000 $ 2,569,175 $ 55,105
----------
Total Unrealized Appreciation on Futures $ 55,105
==========
Asset Allocation
<CAPTION>
Net
Number of Expiration Notional Unrealized
Contracts Type Date Contract Value Appreciation
--------- ---- -------------- -------------- ------------
<S> <C> <C> <C> <C>
Open Purchase Contracts:
507,000 CBT U.S. Treasury Bonds September 2000 $49,353,281 $ 836,688
Open Sale Contracts:
66,750 S&P 500 Index September 2000 $97,995,675 $1,722,603
----------
Total Unrealized Appreciation on Futures $2,559,291
==========
</TABLE>
27
<PAGE>
VANTAGEPOINT FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
Repurchase Agreements
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Fund's Portfolio of Investments. The Funds require that the cash
investments be fully collateralized based on values that are marked to market
daily. The collateral is generally held by an agent bank under a tri-party
agreement. It is the advisor's responsibility to value collateral daily and to
obtain additional collateral as necessary to maintain the value at equal to or
greater than 102% of market value. The repurchase agreements entered into on
June 30, 2000 are collateralized by U.S. Government Securities. If the
custodian or counterparty becomes bankrupt the Funds might be delayed, or may
incur a cost or possible losses of principal and income in selling the
collateral.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement to pay or
receive specific amounts of a currency at a future date in exchange for another
currency at an agreed upon exchange rate. The funds may use forward foreign
currency exchange contracts to hedge certain foreign currency assets and
liabilities. Contracts are recorded at market value and marked to market daily.
Risks of entering into forward foreign currency exchange contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities. The amount at risk for such forward foreign currency exchange
contracts may exceed the amount reflected in the financial statements. As of
June 30, 2000, the funds had the following open forward foreign currency
exchange contracts outstanding:
28
<PAGE>
VANTAGEPOINT FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
International Fund
<TABLE>
<CAPTION>
Exchange Foreign Currency U.S. Dollar Value Net Unrealized
Currency Date Cost/Proceeds at June 30, 2000 Gain/(Loss)
-------- ---------- ---------------- ----------------- --------------
<S> <C> <C> <C> <C>
Purchase
Contracts
Euro 07/03/2000 $ 144,713 $ 145,321 $ 608
07/19/2000 489,451 456,613 (32,838)
07/19/2000 624,279 629,533 5,254
07/19/2000 965,513 973,638 8,125
07/31/2000 228,499 234,829 6,330
08/04/2000 47,963 51,169 3,206
08/10/2000 339,276 360,607 21,331
08/10/2000 109,828 116,752 6,924
08/10/2000 513,840 540,584 26,744
08/28/2000 1,086,437 1,065,316 (21,121)
09/01/2000 583,991 599,069 15,078
09/05/2000 113,029 110,132 (2,897)
09/07/2000 189,496 191,289 1,793
11/27/2000 397,155 429,612 32,457
02/20/2001 1,058,624 1,078,743 20,119
Great Britain
Pound 07/05/2000 80,081 79,794 $ (287)
----------
Net Gain on Purchase Contracts $ 90,826
Sale Contracts
Australian Dollar 07/19/2000 $ 489,452 $ 440,452 $ 49,000
08/10/2000 513,839 522,677 (8,838)
Canadian Dollar 07/05/2000 32,595 32,599 $ (4)
08/10/2000 339,275 342,473 (3,198)
09/07/2000 189,496 189,510 (14)
Euro 07/03/2000 15,441 15,506 (65)
Great Britain
Pound 07/31/2000 228,499 219,004 $ 9,495
08/04/2000 47,963 46,515 1,448
08/10/2000 109,828 108,656 1,172
09/01/2000 583,991 595,150 (11,159)
09/05/2000 113,028 108,024 5,004
Japanese Yen 07/19/2000 624,280 615,159 9,121
07/19/2000 965,513 951,406 14,107
08/28/2000 1,086,437 1,148,555 (62,118)
08/28/2000 457,000 468,651 (11,651)
11/27/2000 397,156 414,154 (16,998)
02/20/2001 1,058,624 1,139,608 (80,984)
----------
Net Loss on Sale Contracts $ (105,682)
Net Unrealized Loss on Forward
Foreign Currency Contracts $ (14,856)
==========
</TABLE>
Realized and unrealized gains or losses on forward foreign currency exchange
contracts are reflected in the accompanying financial statements.
29
<PAGE>
VANTAGEPOINT FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
2. Agreements and Other Transactions with Affiliates
Vantagepoint Investment Advisors LLC (the "VIA"), a wholly owned subsidiary
of the ICMA Retirement Corporation ("RC"), provides investment advisory
services to each of the Funds and Index Funds. Pursuant to a Master Advisory
Agreement, VIA is entitled to receive 0.10% of the average daily net assets of
each Fund and 0.05% of the average daily net assets of Class I Shares and Class
II for the Index Funds. VIA contracts with one or more subadvisers
("Subadvisors") for the day to day management of each of the Funds and Index
Funds. Fees paid to each Subadviser by the Funds during the year are based on
average net assets under management at contractual rates as follows:
<TABLE>
<CAPTION>
Annual
Fund Subadviser Assets Managed Fee
---- ---------- ------------------ ------
<S> <C> <C> <C>
Aggressive First Pacific Advisors, Inc. First $100 million
Opportunities 0.80%
Over $100 million 0.75%
MFS Institutional Advisors, Inc. Flat Fee 0.75%
TCW Investment Management Company First $100 million 0.73%
Next $100 million 0.69%
Over $200 million 0.67%
International Capital Guardian Trust Company First $25 million* 0.75%
Next $25 million 0.60%
Next $200 million 0.43%
Over $250 million 0.38%
Lazard Asset Management First $100 million 0.50%
Over $100 million 0.40%
Rowe Price-Fleming International, Inc. First $20 million 0.75%
Next $30 million 0.60%
Over $50 million 0.50%
Growth Atlanta Capital Management Co., LLC First $100 million 0.45%
Next $200 million 0.35%
Next $200 million 0.30%
Over $500 million 0.25%
Barclays Global Fund Advisors First $500 million 0.04%
Next $500 million 0.02%
Over $1 billion 0.01%
Brown Capital Management, Inc. First $50 million 0.50%
Next $50 million 0.40%
Next $100 million 0.30%
Next $300 million 0.25%
Over $500 million 0.20%
Fidelity Management Trust Company First $25 million 0.80%
Over $25 million 0.60%
TCW Investment Management Company First $25 million 0.70%
Next $25 million 0.50%
Next $50 million 0.45%
Next $400 million 0.40%
Over $500 million 0.35%
Tukman Capital Management Inc. Flat Fee 0.50%
</TABLE>
30
<PAGE>
VANTAGEPOINT FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
<TABLE>
<CAPTION>
Annual
Fund Subadviser Assets Managed Fee
---- ---------- ------------------- ------
<S> <C> <C> <C>
Growth & Capital Guardian Trust Company First $25 million**
Income 0.55%
Next $25 million 0.40%
Over $50 million 0.23%
Putnam Investment Management, Inc. First $15 million 0.55%
Next $35 million 0.40%
Next $50 million 0.30%
Over $100 million 0.25%
Wellington Management Company, LLP First $50 million 0.40%
Next $50 million 0.30%
Over $100 million 0.25%
Equity Barrow, Hanley, Mewhinney & Strauss, Inc. First $10 million
Income 0.75%
Next $15 million 0.50%
Next $175 million 0.25%
Next $600 million 0.20%
Next $200 million 0.15%
Over $1 billion 0.13%
T. Rowe Price Associates, Inc. First $500 million 0.40%
Over $500 million 0.35%
Wellington Management Company, LLP First $50 million 0.40%
Next $50 million 0.30%
Over $100 million 0.25%
Asset Avator Investors Associates Corp. First $250 million
Allocation 0.25%
Next $250 million 0.20%
Over $500 million 0.18%
Mellon Capital Management Corp. First $200 million 0.38%
Over $200 million 0.20%
Payden & Rygel Investment Counsel First $200 million 0.10%
Next $100 million 0.09%
Over $300 million 0.08%
Wilshire Asset Management First $100 million 0.04%
Next $400 million 0.02%
Over $500 million 0.01%
U.S. Seix Investment Advisors, Inc. First $25 million
Treasury
Securities 0.17%
Next $50 million 0.12%
Next $25 million 0.07%
Money A I M Advisors, Inc. Flat Fee
Market 0.09%
Overseas Barclays Global Fund Advisors First $1 billion
Equity
Index 0.25%***
Over $1 billion 0.17%
Mid/Small Barclays Global Fund Advisors Flat Fee
Company
Index 0.10%***
Broad Barclays Global Fund Advisors Flat Fee
Market
Index 0.08%***
500 Stock Barclays Global Fund Advisors Flat Fee
Index 0.05%***
Core Bond Barclays Global Fund Advisors Flat Fee
Index 0.08%***
</TABLE>
------
* Minimum fee of $337,000 per year.
** Minimum fee of $167,500 per year.
*** Allocated from Master Investment Portfolio (Note 1).
31
<PAGE>
VANTAGEPOINT FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
Vantagepoint Transfer Agents LLC ("VTA"), a wholly owned subsidiary of RC, is
the Transfer Agent for the Funds. Pursuant to a Transfer Agency and
Administrative Services Agreement with the Funds, VTA is entitled to receive a
fee at an annual rate of 0.20% and 0.15% of the average daily net assets of
each actively managed Fund for investor services and fund services,
respectively. VTA receives a fee at the annual rate of 0.15% and 0.15% of the
average daily net assets of each Index Fund's Class I Shares and 0.05% and
0.05% of the average daily net assets of each Index Fund's Class II Shares for
investor services and fund services, respectively. In addition to transfer
agency services, this fee compensates VTA for shareholder services, reporting,
communications, and related services.
Investors Bank & Trust Company ("IBT") serves as the Custodian to each Fund
and also provides portfolio accounting services. IBT is entitled to certain
transaction charges plus a monthly fee at an annual rate based on average daily
net assets. IBT also provides administrative services for the Funds and Index
Funds.
Fee Waiver
For the Money Market Fund, management has agreed, for a period of two years
from March 31, 1999, to waive any fees that would result in total Fund expenses
in excess of an annual amount of 0.55% of average net assets.
3. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for
each Fund for the period ended June 30, 2000 is as follows:
<TABLE>
<CAPTION>
Aggregate Purchases and Aggressive
Sales of: Opportunities International Growth Growth & Income
----------------------- ------------- ------------- -------------- ---------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost....... $ 0 $ 0 $ 0 $ 0
Sales Proceeds.......... 0 0 0 0
OTHER SECURITIES:
Purchases at cost....... $357,292,973 $99,724,797 $1,284,857,372 $195,291,353
Sales proceeds.......... 140,607,683 55,568,472 1,231,383,570 149,492,510
<CAPTION>
Aggregate Purchases and Asset U.S. Treasury
Sales of: Equity Income Allocation Securities
----------------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost....... $ 0 $76,147,213 $ 39,584,986
Sales Proceeds.......... 0 5,347,633 45,790,657
OTHER SECURITIES:
Purchases at cost....... $ 60,229,097 $21,878,323 $ 0
Sales proceeds.......... 97,287,825 23,687,410 0
</TABLE>
32
<PAGE>
VANTAGEPOINT FUNDS
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
4. Portfolio Securities Loaned
As of June 30, 2000, certain Funds had loaned securities, which were
collateralized by cash, cash equivalents, or US Government Obligations. Each
Funds receives compensation for providing services in connection with the
securities lending program. The risks to the Funds associated with securities
lending are that the borrower may not provide additional collateral when
required or return the securities when due. The value of the securities on loan
and the value of the related collateral were as follows:
<TABLE>
<CAPTION>
Fund Securities Collateral
---- ------------ ------------
<S> <C> <C>
Aggressive Opportunities.......................... $123,870,922 $127,618,013
International..................................... $ 34,139,240 $ 35,659,358
Growth............................................ $213,243,149 $219,820,600
Growth & Income................................... $ 15,858,156 $ 16,404,814
Equity Income..................................... $ 16,811,499 $ 17,382,499
Asset Allocation.................................. $ 80,350,546 $ 82,022,779
U.S. Treasury Securities.......................... $ 18,913,613 $ 19,267,500
</TABLE>
5. Transactions with Affiliated Funds
For investment purposes only (not for control) the Trust owns the following
percentages of the Funds and Index Funds at June 30, 2000:
<TABLE>
<CAPTION>
% Owned
By the
Fund Trust
---- -------
<S> <C>
Aggressive Opportunities 79.31%
International Fund 81.18%
Growth Fund 80.40%
Growth & Income 83.84%
Equity Income 77.57%
Asset Allocation 80.63%
US Treasury Securities 78.68%
Money Market Fund 69.43%
Overseas Equity Index Class I 99.02%
Overseas Equity Index Class II 51.04%
Mid/Small Company Class I 96.85%
Mid/Small Company Class II 47.80%
Broad Market Class I 97.68%
Broad Market Class II 51.25%
500 Stock Index Class I 95.49%
500 Stock Index Class II 34.45%
Core Bond Index Class I 93.72%
Core Bond Index Class II 44.34%
</TABLE>
6. Reduction of Expenses
Certain Funds have entered into agreements with brokers whereby the brokers
will rebate a portion of brokerage commissions. Such amounts earned by the
Funds, under such agreements, are used to reduce operating expenses and are
presented as a reduction of expenses in the Statement of Operations.
33
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
---------------------------------------------------------------------
<CAPTION>
Vantagepoint Aggressive Opportunities Fund Shares Value
<S> <C> <C>
---------------------------------------------------------------------
COMMON STOCKS--92.1%
---------------------------------------------------------------------
Advertising--0.4%
*Catalina Marketing Corporation 7,660 $ 781,320
*DST Systems, Inc. 17,430 1,326,859
*L90, Inc. 24,880 261,240
*Mypoints.com 22,900 434,026
*24/7 Media, Inc. 18,900 295,313
*Ventiv Health, Inc. 23,400 260,325
------------
3,359,083
------------
Airlines--0.3%
*Atlas Air, Inc. 42,730 1,532,939
Skywest, Inc. 31,420 1,164,504
------------
2,697,443
------------
Automotive--0.6%
Coachmen Industries, Inc. 201,500 2,317,250
Thor Industries, Inc. 140,500 2,950,500
------------
5,267,750
------------
Banking--0.1%
Westcorp 56,280 671,843
------------
Beverages, Food & Tobacco--0.2%
*Del Monte Foods Company 122,500 834,531
Tootsie Roll Industries, Inc. 25,079 877,765
------------
1,712,296
------------
Bio-Technology--0.7%
*Affymetrix, Inc. 5,000 825,625
*Aurora Biosciences Corporation 12,100 825,069
*Emisphere Technologies, Inc. 13,300 566,705
*Lexicon Genetics, Inc. 17,200 591,250
*MiniMed, Inc. 14,800 1,746,400
*Protein Design Labs, Inc. 6,500 1,072,195
*VISX, Inc. 22,800 639,825
------------
6,267,069
------------
Building Materials--0.5%
Florida Rock Industries 102,500 3,651,563
*PSS World Medical, Inc. 61,000 409,847
------------
4,061,410
------------
Chemicals--0.9%
Celanese AG 416,700 8,125,650
------------
Commercial Services--6.8%
*Affiliated Computer Services, Inc. Class A 81,860 2,706,468
*Alternative Resources Corporation 8,400 15,750
Angelica Corporation 95,700 765,600
*BISYS Group, Inc. 45,370 2,790,255
*Boron, LePore & Associates, Inc. 52,100 481,925
*Bright Horizons, Inc. 25,080 536,085
*Ceridian Corporation 59,550 1,432,922
*Checkfree Holdings Corporation 87,900 4,532,344
*Complete Business Solutions, Inc. 105,330 1,849,858
*Concord EFS, Inc. 176,100 4,578,600
*Corporate Executive Board Company 27,600 1,652,550
</TABLE>
<TABLE>
-------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------------
*Cytyc Corporation 99,900 $ 5,332,163
*Diamond Technology Partners, Inc. 28,660 2,522,080
*eLoyalty Corporation 265,980 3,391,245
*Exult, Inc. 1,800 18,000
*Gartner Group, Inc. Class A 51,720 620,640
*Gartner Group, Inc. 1,322 13,053
*Hotjobs.com Ltd. 65,000 897,813
*Interim Services, Inc. 70,690 1,254,748
*iPrint.com, Inc. 31,600 155,039
*Jupiter Communications, Inc. 4,250 97,750
*Learning Tree International, Inc. 12,500 765,625
Manpower, Inc. 120,000 3,840,000
*MedQuist, Inc. 13,322 452,962
*Modis Professional Services, Inc. 171,600 1,522,950
*National Processing, Inc. 60,660 758,250
*Nova Corporation 181,600 5,073,450
Paychex, Inc. 46,275 1,943,550
*Predictive Systems, Inc. 31,500 1,132,031
*ProBusiness Services, Inc. 56,270 1,494,672
Regis Corporation 59,700 746,250
Sodexho Marriott Services, Inc. 53,860 935,818
*Spectrasite Holdings, Inc. 133,200 3,779,550
*Superior Consultant Holdings Corporation 48,530 230,518
*Wind River Systems, Inc. 34,510 1,307,066
------------
59,627,580
------------
Communications--2.7%
*Advanced Fiber Communications, Inc. 36,530 1,655,266
*Antec Corporation 46,500 1,932,656
*Ariba, Inc. 56,400 5,529,845
*Cable Design Technologies Corporation 46,300 1,551,050
*Carrier Access Corporation 18,400 972,900
*Concord Communications, Inc. 20,060 799,893
*i3 Mobile, Inc. 800 14,700
*Kana Communications, Inc. 15,400 952,875
*Metromedia Fiber Network, Inc. Class A 67,000 2,659,063
*Netro Corporation 34,800 1,996,650
*Paradyne Networks, Inc. 26,650 867,791
*Pinnacle Holdings, Inc. 55,300 2,986,200
*Powerwave Technologies, Inc. 6,500 286,000
*Razorfish, Inc. 63,350 1,017,559
*VDI Media 13,100 91,700
*Marvell Technology Group Ltd. 3,300 188,100
------------
23,502,248
------------
Computer Software & Processing--17.3%
*About.com, Inc. 28,200 888,300
*Active Software, Inc. 27,800 2,159,713
*Agile Software Corporation 20,600 1,456,163
*Akamai Technologies, Inc. 7,500 890,508
*Alteon Websystems, Inc. 18,100 1,811,131
*Aspen Technologies, Inc. 128,010 4,928,385
*Aware, Inc. 33,200 1,697,350
*CSG Systems International, Inc. 92,760 5,200,358
</TABLE>
34
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------------
<CAPTION>
Vantagepoint Aggressive Opportunities Fund Shares Value
<S> <C> <C>
-----------------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------------
*Cadence Design Systems, Inc. 65,310 $ 1,330,691
*Cambridge Technology Partners, Inc. 108,640 947,210
*Click Commerce, Inc. 3,800 85,975
*Commerce One, Inc. 21,400 971,359
*Computer Horizons Corporation 47,840 642,850
*Cysive, Inc. 26,200 625,525
*Dendrite International, Inc. 139,370 4,642,763
*Digex, Inc. 19,300 1,311,194
*E. Piphany, Inc. 7,100 761,031
*ePresence, Inc. 99,600 722,100
*Exchange Applications, Inc. 19,520 519,720
*Extensity, Inc. 30,700 1,051,475
*Fiserv, Inc. 14,980 647,885
*HNC Software, Inc. 93,270 5,759,423
*Hyperion Solutions Corporation 82,000 2,659,875
*IDX Systems Corporation 59,600 841,850
*IMR Global Corporation 192,100 2,509,306
*Informatica Corporation 20,600 1,687,913
*Inspire Insurance Solutions, Inc. 80,200 240,600
*Interwoven, Inc. 18,700 2,056,708
*JDA Software Group, Inc. 51,300 984,319
*Keynote Systems, Inc. 8,300 585,669
*LifeMinders, Inc. 32,600 963,738
*Macromedia, Inc. 19,890 1,923,114
*Mcafee.com Corporation 51,600 1,344,825
*Mercury Interactive Corporation 22,800 2,205,900
*Meta Group, Inc. 44,200 850,850
*Micromuse, Inc. 25,900 4,286,046
*NaviSite, Inc. 18,200 760,988
*Netopia, Inc. 13,220 532,105
*NetIQ Corporation 12,800 763,200
*New Era of Networks, Inc. 33,900 1,440,750
*Packeteer, Inc. 17,800 518,425
*Peregrine Systems, Inc. 173,270 6,010,303
*Portal Software, Inc. 55,100 3,519,513
*Proxim, Inc. 14,000 1,385,563
*Quest Software, Inc. 23,400 1,295,775
*RSA Security, Inc. 136,680 9,465,090
*Renaissance Worldwide, Inc. 77,890 121,703
*Retek, Inc. 28,100 899,200
*Scient Corporation 71,400 3,150,525
*Selectica, Inc. 26,500 1,856,656
*Siebel Systems, Inc. 115,100 18,826,044
*SmartForce Public Ltd. Company ADR (Ireland) 149,070 7,155,360
*Software.com, Inc. 10,500 1,363,688
*Sonus Networks, Inc. 23,200 3,662,700
*Sungard Data Systems, Inc. 102,820 3,187,420
*Sycamore Networks, Inc. 25,100 2,770,413
*Technology Solutions Company 175,180 1,083,926
*Tibco Software, Inc. 40,800 4,375,164
*Transaction Systems Architects, Inc. Class A 115,680 1,981,020
*Trizetto Group, Inc. 16,500 267,094
*Verio, Inc. 15,400 854,460
*Verity, Inc. 52,710 2,002,980
*Versata, Inc. 23,030 928,397
</TABLE>
<TABLE>
------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------------
*Viant Corporation 65,000 $ 1,925,625
*Vignette Corporation 141,400 7,355,006
Virage, Inc. 590 10,657
*webMethods, Inc. 2,300 361,531
------------
152,023,103
------------
Computers & Information--10.4%
*AVT Corporation 93,800 691,775
*Acxiom Corporation 50,740 1,382,665
*Cabletron Systems, Inc. 88,600 2,237,150
*Cisco Systems, Inc. 2,749 174,733
*Cobalt Networks, Inc. 9,600 555,600
*Computer Network Technology Corporation 132,500 2,302,188
*Critical Path, Inc. 12,900 752,231
*Digital Insight Corporation 18,600 632,400
*Ebay, Inc. 74,800 4,062,575
*Exabyte Corporation 306,000 1,377,000
*Foundry Networks, Inc. 6,400 707,200
*Harmonic, Inc. 9,500 235,125
*HealthGate Data Corporation 11,870 19,289
*Homestore.com, Inc. 21,900 639,206
*Hutchinson Technology, Inc. 330,500 4,709,625
*iGate Capital Corporation 58,470 803,963
*InfoSpace.com, Inc. 65,500 3,618,875
*InfoUSA, Inc. 115,300 749,450
*Intelligroup, Inc. 20,230 242,760
*Juniper Networks, Inc. 52,000 7,569,250
*Lante Corporation 16,320 333,540
*MMC Networks, Inc. 150,530 8,043,947
National Data Corporation 118,280 2,720,440
*Natural Microsystems Corporation 26,500 2,979,594
*Phone.com, Inc. 8,900 579,613
*Proxicom, Inc. 24,200 1,158,575
*Radiant Systems, Inc. 27,550 661,200
*Rational Software Corporation 24,700 2,295,556
*Register.com, Inc. 5,600 171,150
*Saba Software, Inc. 8,100 170,100
*SportsLine USA, Inc. 73,830 1,259,724
*Starmedia Network, Inc. 50,200 947,525
*Storage Technology Corporation 567,300 6,204,844
*Switchboard, Inc. 680 6,800
*Verisign, Inc. 121,083 21,371,150
*Yahoo!, Inc. 72,176 8,940,802
------------
91,307,620
------------
Construction--1.3%
Centex Corporation 290,000 6,815,000
Clayton Homes, Inc. 427,900 3,423,200
*Dycom Industries, Inc. 33,790 1,554,340
------------
11,792,540
------------
Containers & Packaging--0.1%
*Ivex Packaging Corporation 85,100 946,738
------------
Diversified--0.1%
*Blyth Industries, Inc. 21,800 643,100
------------
Electronics--9.9%
*Altera Corporation 40,200 4,097,888
*Arrow Electronics, Inc. 441,000 13,671,000
Avnet, Inc. 200,000 11,850,000
*Black Box Corporation 16,290 1,289,710
*Cymer, Inc. 11,000 525,250
</TABLE>
35
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------------------------
<CAPTION>
Vantagepoint Aggressive Opportunities Fund Shares Value
<S> <C> <C>
--------------------------------------------------------------------------
COMMON STOCKS--(Continued)
--------------------------------------------------------------------------
*DRS Technologies, Inc. 314,200 $ 3,652,575
*Exar Corporation 9,900 863,156
*Integrated Device Technology, Inc. 40,200 2,406,975
*Kemet Corporation 128,000 3,208,000
*Lattice Semiconductor Corporation 30,600 2,115,225
*MKS Instruments, Inc. 22,800 892,050
*Maxim Integrated Products, Inc. 126,500 8,594,094
*Mettler-Toledo International, Inc. 28,800 1,152,000
*Micrel, Inc. 38,000 1,650,625
*Microchip Technology, Inc. 16,680 971,870
*Photronics, Inc. 83,870 2,379,811
*Polycom, Inc. 18,600 1,750,145
*Sawtek, Inc. 9,800 564,113
*Semtech Corporation 31,800 2,432,204
*Silicon Image, Inc. 19,400 967,575
*Sipex Corporation 70,860 1,961,936
*TranSwitch Corporation 9,000 694,688
*Triquint Semiconductor, Inc. 15,140 1,448,709
*Varian, Inc. 45,430 2,095,459
*Varian Semiconductor Equipment Associates, Inc. 52,930 3,324,666
*Veeco Intruments, Inc. 21,600 1,582,200
*Viasystems Group, Inc. 11,050 178,872
*Xilinx, Inc. 118,000 9,742,375
*Galileo Technology Ltd. 58,600 1,259,900
------------
87,323,071
------------
Entertainment & Leisure--1.5%
CPI Corporation 306,900 6,483,263
*Macrovision Corporation 40,200 2,569,660
*Ticketmaster Online-CitySearch, Inc. 26,430 421,228
*Westwood One, Inc. 100,300 3,422,738
------------
12,896,889
------------
Financial Services--3.5%
*Champion Enterprises, Inc. 1,057,500 5,155,313
Countrywide Credit Industries, Inc. 324,000 9,821,250
*E*TRADE Group, Inc. 204,730 3,378,045
Federated Investors, Inc. Class B 50,670 1,776,617
*NCO Group, Inc. 60,500 1,399,063
*NextCard, Inc. 28,500 242,250
T. Rowe Price Associates, Inc. 63,800 2,711,500
*S1 Corporation 46,861 1,092,447
Student Loan Corporation 22,750 955,500
*WFS Financial, Inc. 127,800 2,204,550
Waddell & Reed Financial, Inc. Class A 66,350 2,177,109
------------
30,913,644
------------
Health Care Providers--2.6%
*Caremax Rx, Inc. 1,280,600 8,724,088
*Diametrics Medical, Inc. 9,600 54,300
*Express Scripts, Inc. Class A 8,800 546,700
*Healtheon/WebMD Corporation 39,200 580,650
*IDEXX Laboratories, Inc. 134,700 3,081,263
</TABLE>
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------
*Impath, Inc. 40,630 $ 2,204,178
*Lifepoint Hospital, Inc. 68,460 1,523,235
*Lincare Holdings Inc. 55,900 1,376,538
*Mid Atlantic Medical Services, Inc. 88,970 1,201,095
*Orthodontic Centers of America, Inc. 56,360 1,275,145
*Quorum Health Group, Inc. 68,580 707,231
*Total Renal Care Holdings, Inc. 258,200 1,549,200
*VI Technologies, Inc. 54,040 378,280
------------
23,201,903
------------
Heavy Machinery--0.7%
*Applied Materials, Inc. 1 91
Capstone Turbine Corporation 12,340 556,071
*Cooper Cameron Corporation 24,740 1,632,840
*GaSonics International, Corporation 4,800 189,300
*Kulicke & Soffa Industries, Inc. 17,800 1,056,875
Lincoln Electric Holdings, Inc. 76,000 1,083,000
*Weatherford International, Inc. 34,670 1,380,299
------------
5,898,476
------------
Home Furnishings & Appliances--1.1%
Flexsteel Industries, Inc. 175,500 2,149,875
*Recoton Corporation 149,600 1,561,450
*Gemstar International Group Ltd. 102,500 6,298,943
------------
10,010,268
------------
Household Products--0.4%
*DuPont Photomasks, Inc. 48,000 3,288,000
------------
Insurance--2.1%
Conseco, Inc. 1,052,700 10,263,825
Horace Mann Educators Corporation 538,100 8,071,500
------------
18,335,325
------------
Lodging--0.1%
Four Seasons Hotels, Inc. 16,840 1,047,238
------------
Media--Broadcasting & Publishing--3.4%
*American Tower Corporation 89,700 3,739,369
*Cablevision Systems Corporation 47,400 3,217,275
*Citadel Communications Corporation 12,400 433,225
*Clear Channel Communications 25,800 1,935,000
*Cox Radio, Inc. Class A 61,600 1,724,800
*EchoStar Communications Corporation
Class A 94,200 3,118,905
*Emmis Communications Corporation
Class A 41,700 1,725,338
*Entercom Communications Corporation 9,700 472,875
*Hispanic Broadcasting Corporation 41,400 1,371,375
*Mediacom Communications Corporation 119,900 1,843,463
</TABLE>
36
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------
<CAPTION>
Vantagepoint Aggressive
Opportunities Fund Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------
*Pegasus Communications Corporation 12,900 $ 632,906
*Radio One, Inc. 30,300 895,744
*Radio One, Inc. Class D 65,540 1,445,976
*Scholastic Corporation 53,000 3,239,625
*Spanish Broadcasting System, Inc. 38,795 797,722
*Univision Communications, Inc. 34,200 3,539,700
------------
30,133,298
------------
Medical Equipment & Supplies--1.7%
*Burr-Brown Corporation 57,480 4,982,798
*Conmed Corporation 54,000 1,397,250
*Credence Systems Corporation 23,960 1,322,293
*Cyberonics, Inc. 66,590 799,080
*Haemonetics Corporation 77,570 1,628,970
*Input/Output, Inc. 132,950 1,121,766
*Osteotech, Inc. 104,130 1,093,365
*Steris Corporation 111,880 992,935
*Summit Technology, Inc. 62,840 1,186,105
------------
14,524,562
------------
Metals & Mining--0.8%
Belden, Inc. 187,370 4,801,356
International Aluminium Corporation 31,900 550,275
Oregon Steel Mills, Inc. 229,600 444,850
Rouge Industries, Inc. Class A 376,600 1,129,800
------------
6,926,281
------------
Oil & Gas--3.0%
*Dril-Quip, Inc. 19,990 934,533
Ensco International, Inc. 187,900 6,729,169
EOG Resources, Inc. 51,800 1,735,300
*Global Industries Ltd. 323,650 6,108,894
*Grant Prideco, Inc. 34,670 866,750
*Marine Drilling Company, Inc. 52,830 1,479,240
*National-Oilwell, Inc. 42,980 1,412,968
*Newfield Exploration Company 59,340 2,321,678
*Noble Drilling Corporation 110,300 4,542,981
------------
26,131,513
------------
Pharmaceuticals--5.2%
*Abgenix, Inc. 26,400 3,164,288
*Alkermes, Inc. 54,400 2,563,600
*Allos Therapeutics, Inc. 36,810 358,898
*Amerisource Health Corporation 580,660 18,000,460
*Andrx Corporation 74,200 4,743,005
*Celgene Corporation 12,400 730,050
*Genentech, Inc. 13,800 2,373,600
*Gilead Sciences, Inc. 13,900 988,638
*Human Genome Sciences, Inc. 19,800 2,640,825
*ImClone Systems, Inc. 24,000 1,834,500
*Medarex, Inc. 17,500 1,478,750
*Parexel International Corporation 116,160 1,110,780
*Professional Detailing, Inc. 15,900 541,594
*Henry Schein, Inc. 41,950 723,638
</TABLE>
<TABLE>
----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------
*Sepracor, Inc. 23,300 $ 2,810,563
*Titan Pharmaceuticals, Inc. 19,600 842,800
*United Therapeutics Corporation 3,700 400,988
------------
45,306,977
------------
Real Estate--0.1%
Kilroy Realty Corporation 19,100 495,406
Meristar Hospitality Corporation 34,200 718,200
------------
1,213,606
------------
Restaurants--1.0%
Applebee's International, Inc. 24,900 754,781
*Buffetts, Inc. 96,800 1,228,150
CKE Restaurants, Inc. 1,214,100 3,642,300
*Landry's Seafood Restaurants, Inc. 28,900 245,650
*Papa John's International, Inc. 69,710 1,707,895
*Sonic Corporation 45,000 1,321,875
------------
8,900,651
------------
Retailers--7.1%
*Amazon.com, Inc. 46,300 1,681,269
*Bed Bath & Beyond, Inc. 57,500 2,084,375
*CSK Auto Corporation 34,620 261,814
*Charming Shoppes, Inc. 1,682,300 8,569,300
*Consolidated Stores Corporation 956,100 11,473,200
*Cost Plus, Inc. 23,450 672,722
*Good Guys, Inc. 83,700 303,413
*GoTo.com, Inc. 35,500 543,594
*Gymboree Corporation 669,000 2,007,000
*Hearst-Argyle Television, Inc. 6,600 128,700
*Homebase, Inc. 406,100 634,531
*Jo-Ann Stores, Inc. Class A 155,000 1,085,000
*Jo-Ann Stores, Inc. Class B 106,300 810,538
*Linens 'n Things, Inc. 18,400 499,100
*Michaels Stores, Inc. 360,000 16,492,500
*Office Depot, Inc. 67,500 421,875
*Petco Animal Supplies, Inc. 79,220 1,554,693
*Rawlings Sporting Goods Company 35,900 233,350
Ross Stores, Inc. 728,300 12,426,619
Talbots, Inc. 15,700 862,519
------------
62,746,112
------------
Telecommunications--3.3%
*AT&T Canada, Inc. 115,300 3,826,519
*Accelerated Networks, Inc. 700 29,531
*Adelphia Business Solutions, Inc. 25,420 589,426
*Exodus Communications, Inc. 250,600 11,543,263
*Intermedia Communications, Inc. 71,110 2,115,523
*MGC Communications, Inc. 29,400 1,762,163
*McLeodUSA, Inc. Class A 109,200 2,259,075
*Network Plus Corporation 52,100 739,169
*Nextlink Communications, Inc. Class A 22,780 864,216
*ONI Systems Corporation 3,300 386,770
*Stratos Lightwave, Inc. 2,250 62,719
*Tekelec 36,970 1,781,492
*Amdocs Ltd. 23,517 1,804,930
*Global Crossing Ltd. 51,587 1,357,383
------------
29,122,179
------------
</TABLE>
37
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Vantagepoint Aggressive
Opportunities Fund Shares Value
<S> <C> <C> <C>
-----------------------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------------------
Textiles, Clothing & Fabrics--0.9%
*Reebok International Ltd. 505,000 $ 8,048,438
------------
Transportation--1.3%
*EGL, Inc. 86,900 2,672,175
Fleetwood Enterprises, Inc. 588,600 8,387,550
------------
11,059,725
------------
Utilities--0.0%
*Independent Energy Holdings PLC ADR
(United Kingdom) 36,200 300,913
------------
TOTAL COMMON STOCKS
(Cost $655,345,713) 809,334,542
------------
-----------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS--0.0%
-----------------------------------------------------------------------------
Entertainment & Leisure--0.0%
*Craig Corporation (Cost $357,000) 51,000 194,438
-----------------------------------------------------------------------------
<CAPTION>
Coupon
Rate Maturity Date Face
<S> <C> <C> <C>
-----------------------------------------------------------------------------
CORPORATE OBLIGATIONS--0.5%
-----------------------------------------------------------------------------
Commercial Services--0.1%
Personnel Group of America
5.75% 07/01/04 $ 2,800,000 1,183,000
------------
Real Estate--0.1%
Trump Atlantic City Associates
11.25% 05/01/06 1,595,000 1,132,450
------------
Restaurants--0.1%
CKE Restaurants, Inc.
4.25% 03/15/04 1,500,000 699,375
------------
Retailers--0.2%
Charming Shoppes, Inc.
7.50% 07/15/06 2,000,000 1,755,000
Michaels Stores, Inc.
10.88% 06/15/06 319,000 331,760
------------
2,086,760
------------
TOTAL CORPORATE OBLIGATIONS
(Cost $6,251,092) 5,101,585
------------
-----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--1.5%
-----------------------------------------------------------------------------
U.S. Government Agencies--Mortgage Backed--1.5%
Federal Home Loan Mortgage Corporation
6.57% 07/03/00 12,800,000 12,792,992
Federal Home Loan Mortgage Corporation
7.00% 02/15/20 599,000 50,852
------------
12,843,844
------------
Total U.S. Government Agency Obligations
(Cost $12,874,231) 12,843,844
------------
-----------------------------------------------------------------------------
U.S. Treasury Obligations--0.8%
-----------------------------------------------------------------------------
U.S. Treasury Notes--0.8%
U.S. Treasury Inflation Index Note (Cost $7,069,114)
3.58% 01/15/07 7,487,253 7,187,763
------------
</TABLE>
<TABLE>
--------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
--------------------------------------------------------------
Cash Equivalents--14.5%
--------------------------------------------------------------
Institutional Money Market Funds--1.7%
++ Janus Money Market Fund 12,282,942 $ 12,282,942
++ Merrimac Cash Fund--Premium Class 2,918,234 2,918,234
------------
15,201,176
------------
Bank & Certificate Deposits/
Offshore Time Deposits--8.0%
++ American Express Centurion Bank 26,682,114 26,682,114
++ Bank of Montreal 9,467,761 9,467,761
++ Credit Agricole Indosuez 11,561,778 11,561,778
++ Fleet National Bank 5,078,538 5,078,538
++ Royal Bank of Scotland PLC 17,113,127 17,113,127
------------
69,903,318
------------
Floating Rate Instruments/
Master Notes--4.8%
++ Bank of America 7,645,757 7,645,757
++ Bank of Montreal 8,000,000 8,000,000
++ First Union National Bank 2,366,941 2,366,941
++ Goldman Sachs & Co 4,033,880 4,033,880
++ Morgan Stanley Dean Witter & Co 20,466,941 20,466,941
------------
42,513,519
------------
TOTAL CASH EQUIVALENTS
(Cost $127,618,013) 127,618,013
------------
</TABLE>
38
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------
<CAPTION>
Vantagepoint Aggressive
Opportunities Fund Shares Value
<S> <C> <C>
----------------------------------------------------
REPURCHASE AGREEMENTS--6.0%
----------------------------------------------------
IBT Repurchase Agreement dated
06/30/2000 due 07/03/2000, with a
maturity value of $52,926,626, and
an effective yield of 6.03%
collateralized by Federal Home
Loan Mortgage Corporation ARM with
a rate of 7.30%, a maturity date
of 03/01/2024 and a market value
of $6,260,538, Federal National
Mortgage Association LIBOR Floater
with a rate of 6.74%, a maturity
date of 11/16/2009 and a market
value of $19,989,756, Federal
National Mortgage Association CMO
Floater with a rate of 6.29%, a
maturity date of 12/25/2021 and a
market value of $5,068,356,
Government National Mortgage
Association ARM with a rate of
6.75%, a maturity date of
08/20/2024 and a market value
$11,465,651, Government National
Mortgage Association ARM with a
rate of 6.38%, a maturity date of
04/20/2022 and a market
value of $12,761,074 $52,900,047 $ 52,900,047
--------------
TOTAL INVESTMENTS--115.4%
**(Cost $862,415,210) 1,015,180,232
Other assets less liabilities--
(15.4%) (135,524,959)
--------------
NET ASSETS 100.0% $ 879,655,273
==============
</TABLE>
<TABLE>
--------------------
<CAPTION>
<S> <C> <C>
--------------------
</TABLE>
Notes to the Schedule of Investments:
ADR American Depositary Receipt
ARM Adjustable Rate Mortgage
CMO Collateralized Mortgage Obiligation
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$862,415,210. Unrealized appreciation and depreciation, based on identified
tax cost at June 30, 2000 are as follows:
<TABLE>
<S> <C>
Unrealized appreciation $246,460,226
Unrealized depreciation (93,695,204)
------------
Net unrealized appreciation $152,765,022
============
</TABLE>
++ Represents collateral received from securities lending transactions.
See accompanying notes to financial statements.
39
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------------------
<CAPTION>
Vantagepoint International Fund Shares Value
<S> <C> <C>
--------------------------------------------------------------------
COMMON STOCKS--93.4%
--------------------------------------------------------------------
Argentina--0.0%
Telefonica de Argentina
SA ADR 3,010 $ 95,568
------------
Australia--2.4%
Australia & New Zealand Banking Group Ltd. 97,256 745,078
Brambles Industries Ltd. 9,900 303,945
Broken Hill Proprietary Company Ltd. 261,512 3,088,849
Coca Cola Amatil Ltd. 63,728 123,868
Commonwealth Bank of Australia 17,590 291,290
Lend Lease Corporation Ltd. 10,850 138,265
News Corporation Ltd. ADR 22,000 1,199,000
News Corporation Ltd. 43,004 591,529
Publishing &
Broadcasting Ltd. 36,220 278,347
QBE Insurance Group Ltd. 104,802 512,199
Tabcorp Holdings Ltd. 19,870 114,080
Telstra Corporation Ltd. INS 63,360 256,912
Telstra Corporation Ltd. 13,000 29,544
Westpac Banking Corporation Ltd. 77,711 560,024
------------
8,232,930
------------
Belgium--0.2%
Dexia Belgium 1,700 250,752
Fortis Class B 12,480 363,158
UCB SA 1,202 44,158
------------
658,068
------------
Brazil--0.6%
Cia Cervejaria Brahma ADR 14,000 238,000
Embratel Partipacoes SA ADR 4,000 94,500
Telecomunicacoes
Brasileiras SA ADR 12,789 1,242,132
Telecomunicacoes de Sao SA 16,689 308,747
Tele Sudeste Celular Participacoes SA ADR 2,358 71,913
Uniao de Bancos
Brasileiros SA 3,300 94,875
------------
2,050,167
------------
Canada--1.8%
Alcan Aluminum Ltd. 5,460 170,441
Bank of Nova Scotia 19,000 466,013
Celestica, Inc. 13,183 654,206
Clarica Life Insurance Co. 8,600 176,939
*Fairfax Financial Holdings Ltd. 1,200 131,351
Manulife Financial Corporation 7,000 124,155
Nortel Networks Corporation 24,538 1,674,743
Royal Bank of Canada 1,820 93,152
*Talisman Energy, Inc. 41,300 1,368,063
Thomson Corporation 38,800 1,382,903
Toronto-Dominion Bank 9,500 230,969
------------
6,472,935
------------
Denmark--0.5%
*Nordic Baltic Holding AB 11,052 80,610
Tele Danmark A/S 23,780 1,600,549
------------
1,681,159
------------
</TABLE>
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------------------------
Finland--2.3%
Nokia OYJ 124,650 $ 6,360,727
UPM-Kymmene OYJ 69,400 1,722,661
------------
8,083,388
------------
France--10.8%
Alcatel 66,300 4,348,478
Altran Technologies SA 790 154,689
Axa Company 18,351 2,890,749
Banque National de Paris 28,170 2,710,903
*Bouygues SA 1,560 1,042,532
Canal Plus 560 94,095
Cap Gemini SA 1,860 327,624
Carrefour Supermarche SA 1,560 106,636
Christian Dior SA 1,300 294,763
Compagnie de Saint Gobain 13,460 1,819,597
Compagnie Generale des Etablissements Michelin Class
B 12,000 385,050
Groupe Danone 5,180 687,403
Hermes International 1,220 164,810
Lafarge SA 585 45,462
Lagardere S.C.A. 5,300 404,793
Legrand SA 2,280 511,528
L'oreal 135 116,898
*LVMH 1,639 675,817
Pechiney SA Class A 18,000 750,967
PSA Peugeot Citroen 1,500 301,017
Rhone-Poulenc SA 49,085 3,582,557
Sanofi-Synthelabo SA 33,440 1,593,065
Schneider SA 1,720 119,872
Societe BIC SA 10,000 489,761
Societe Generale Class A 3,120 187,656
Societe Television Francaise 1 22,400 1,561,125
Sodexho Alliance SA 764 138,584
STMicroelectronics NV 36,704 2,312,726
Suez Lyonnaise des Eaux 9,110 1,595,957
Total SA Class B 30,544 4,683,137
Vivendi 42,502 3,751,312
------------
37,849,563
------------
Germany--6.5%
Aixtron AG 3,300 447,057
Allianz AG 7,656 2,721,207
Aventis SA 2,375 170,736
Bayer AG 3,120 119,445
Bayerische Motoren Werke AG 18,200 554,279
DaimlerChrysler AG 3,200 166,897
Deutsche Bank AG 11,759 967,708
Deutsche Lufthansa AG 62,500 1,458,900
Deutsche Telekom AG Regular Shares 30,578 1,763,247
*Epcos AG 2,500 246,671
Gehe AG 4,640 152,828
HypoVereinsbank 47,870 3,130,550
*Infineon Technologies AG ADR 12,900 1,022,325
*Infineon Technologies AG 29,070 2,370,115
*Intershop Communications AG 1,000 457,301
Rhoen-Klinikum AG 3,060 122,698
Sap AG 6,060 916,420
Siemens AG 23,830 3,594,577
Thyssen Krupp AG 44,200 703,434
</TABLE>
40
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Vantagepoint International Fund Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
*T-Online International AG 7,200 $ 234,742
VEBA AG 33,470 1,613,666
------------
22,934,803
------------
Hong Kong--1.6%
Cheung Kong (Holdings) Ltd. 46,330 512,600
*China Telecom 114,870 1,013,062
*China Unicom Ltd. 156,000 331,188
Dao Heng Bank Group Ltd 48,000 212,429
Henderson Land Development Company Ltd. 44,950 197,780
Hong Kong Telecommunications Ltd. 273,650 602,030
Hutchison Whampoa Ltd. 148,374 1,865,269
Johnson Electric Holdings 48,500 458,839
Li & Fung Ltd. 10,000 50,029
*Pacific Century Cyberworks Ltd. 179,000 353,615
Sun Hung Kai Properties Ltd. 12,600 90,513
------------
5,687,354
------------
India--0.1%
ICICI Ltd. ADR 14,765 276,844
------------
Ireland--0.3%
Allied Irish Banks PLC 27,535 246,579
CRH PLC 20,121 364,021
*SmartForce Public Ltd. Company ADR 5,979 286,992
------------
897,592
------------
Italy--3.7%
Alleanza Assicurazioni 82,400 1,097,411
Assicurazioni Generali 10,100 346,164
Banca Intesa SpA 217,996 976,077
Bipop-Carire SpA 54,700 430,308
ENI SpA 468,400 2,705,432
*Fiat Private Shares 29,000 472,050
Istituto Bancario San Paolo di Torino 86,550 1,536,081
Mediaset SpA 10,000 152,752
Mediolanum SpA 30,750 500,244
*Tecnost SpA 51,200 193,080
Telecom Italia Mobile SpA RNC 120,000 603,756
Telecom Italia Mobile SpA 137,310 1,402,663
Telecom Italia SpA RNC 131,000 869,211
Telecom Italia SpA 64,080 880,953
Unicredito Italiano SpA 179,710 859,553
------------
13,025,735
------------
Japan--22.6%
Acom Co. Ltd. 6,000 504,406
Advantest Corporation 6,500 1,448,801
Aiful Corporation 3,475 320,300
Bridgestone Corporation 6,000 126,950
Canon, Inc. 75,000 3,732,150
Chugai Pharm Company Ltd. 16,000 302,342
DDI Corporation 54 519,108
East Japan Railway Company 21 121,917
Fanuc Ltd. 4,700 477,951
Fuji Bank Ltd. 246,000 1,868,665
Fuji Soft ABC, Inc. 3,000 177,843
Fuji Television Network, Inc. 41 641,440
</TABLE>
<TABLE>
---------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------------
Fujitsu Ltd. 77,000 $ 2,663,307
Fujitsu Support & Service, Inc. 1,800 178,125
Hirose Electronics Company Ltd. 7,700 1,198,125
Hitachi Ltd. 13,000 187,456
Industrial Bank of Japan Ltd. 136,000 1,030,526
Ito-Yokado Company Ltd. 3,000 180,387
Jusco Company Ltd. 18,000 340,983
Kao Corporation 80,000 2,442,864
Keyence Corporation 2,240 738,891
Kokuyo Company Ltd. 8,000 131,115
Kyocera Corporation 8,200 1,390,302
Makita Corporation 12,000 114,340
Marui Company Ltd. 26,000 497,432
Matsushita Electric Industrial Company Ltd. 38,000 984,873
Mitsubishi Heavy Industries Ltd. 100,000 442,960
*Mitsubishi Motor Corporation 99,000 422,671
Mitsui Fudosan Company Ltd. 66,000 715,328
Mitsui Marine & Fire Insurance Company Ltd. 97,000 466,240
Murata Manufacturing Company Ltd. 19,000 2,725,413
NEC Corporation 143,000 4,487,912
Nichicon Corporation 3,000 73,512
Nidec Corporation 4,200 364,168
Nikon Corporation 50,000 1,851,940
Nintendo Company Ltd. 4,500 785,448
Nippon Paper Industries
Co. Ltd. 104,000 709,634
Nippon Sheet Glass Company Ltd. 23,000 319,514
Nippon Telegraph & Telephone Corporation 317 4,212,525
*Nissan Motor Company Ltd. 707,000 4,164,513
Nomura Securities
Company Ltd. 64,000 1,565,242
NTT Mobile Communcation Network, Inc. 173 4,679,421
Orix Corporation 12,140 1,790,594
Rohm Company Ltd. 4,000 1,168,654
Sakura Bank Ltd. 182,000 1,257,311
Sankyo Company Ltd. 70,000 1,580,040
Seven-Eleven Japan Company Ltd. 7,000 585,175
Shin-Etsu Chemical
Company Ltd. 12,000 608,454
Shionogi & Co, Ltd 18,000 341,831
Shiseido Company 16,000 247,302
Shohkoh Fund &
Company Ltd. 710 159,927
SoftBank Corporation 1,700 230,715
Sony Corporation ADR 400 37,725
Sony Corporation 68,700 6,409,971
Sumitomo Bank Ltd. 56,000 686,112
Sumitomo Corporation 26,000 292,334
Sumitomo Electric Industries 59,000 1,010,906
Sumitomo Trust & Banking Company Ltd. 234,000 1,665,050
Taiyo Yuden Co. Ltd. 8,000 500,636
Takeda Chemical Industries 5,000 327,977
TDK Corporation 30,000 4,308,939
Tokyo Electronics Ltd. 19,000 2,600,066
Tokyo Seimitsu Company Ltd. 400 53,532
Toray Industries, Inc. 54,000 218,840
</TABLE>
41
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------------------
<CAPTION>
Vantagepoint International Fund Shares Value
<S> <C> <C>
------------------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------------------
Toshiba Corporation 105,000 $ 1,184,537
Uni-Charm Corporation 10,000 605,061
Ushio, Inc. 5,000 137,600
Yamanouchi Pharmaceutical Company Ltd. 14,000 763,960
------------
79,080,289
------------
Luxembourg--0.0%
Societe Europeenne des Satellites 518 85,307
------------
Mexico--1.4%
Cemex SA de CV ADR 17,997 420,680
*Fomento Economico Mexicano SA de CV 78,030 334,835
*Grupo Iusacell SA de CV ADR 8,000 125,000
*Grupo Televisa SA ADR 15,660 1,079,561
Telefonos de Mexico SA ADR 48,560 2,773,990
------------
4,734,066
------------
Netherlands--6.3%
ABN AMRO Holding NV 45,720 1,120,030
Aegon NV 37,890 1,348,191
Akzo Nobel NV 35,045 1,488,855
*ASM Lithography Holdings NV 61,040 2,623,536
CSM NV B.R. Certificate 5,440 106,987
DSM NV 12,623 404,919
*Equant NV 3,276 133,110
Fortis Amev NV 17,330 504,456
Getronics NV 70,500 1,086,997
Heineken Holding NV Class A 13,900 541,429
Heineken NV 46,245 2,814,568
ING Groep NV 54,980 3,716,247
Koninklijke (Royal) Philips Electronic NV 66,876 3,154,019
KPN NV 6,620 296,097
Royal Dutch Petroleum Company 10,920 678,688
STMicroelectronics NV 2,400 154,050
TNT Post Group NV 985 26,566
*United Pan-Europe Communications NV 12,452 325,610
VNU NV 21,400 1,105,293
Wolters Kluwer NV 12,464 331,992
------------
21,961,640
------------
New Zealand--0.1%
Telecom Corporation of New Zealand Ltd. 60,880 212,763
------------
Norway--0.2%
Norsk Hydro ASA 9,900 415,258
Orkla ASA Class A 11,730 222,775
------------
638,033
------------
Portugal--0.8%
Jeronimo Martins, SGPS SA 6,950 114,523
Portugal Telecom SA 178,600 2,005,196
*PT Multimedia Servicos de Telecomunicacoes SA 2,000 99,289
*PT Multimedia.com 2,000 15,332
*Telecel-Comunicacoes Pessoai SA 40,000 607,188
------------
2,841,528
------------
</TABLE>
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------------------------
Singapore--1.4%
*Chartered Semiconductor Manufacturing Ltd. 18,000 $ 157,383
Creative Technology Ltd. 7,000 167,667
Overseas-Chinese Banking Corporation Ltd. 223,550 1,540,385
Singapore Press Holdings Ltd. 42,000 656,628
United Overseas Bank Ltd. 351,912 2,302,595
------------
4,824,658
------------
South Korea--1.2%
Hyundai Motor Company GDR 32,000 206,400
Korea Telecom Corporation ADR 8,300 401,513
Pohang Iron & Steel Co. Ltd. 2,709 65,016
Samsung Electronics GDR 11,750 2,303,000
Samsung Electronics 3,510 1,161,579
Shinhan Bank GDR 9,000 169,509
------------
4,307,017
------------
Spain--2.5%
Banco Bilbao Vizcaya SA 79,675 1,190,424
Banco Santander Central Hispano 60,007 633,038
Endesa SA 111,640 2,162,567
Resol SA 16,829 334,990
*Telefonica SA ADR 1,300 83,281
*Telefonica SA 203,981 4,381,655
------------
8,785,955
------------
Sweden--2.6%
ABB Ltd. 2,118 245,419
Atlas Copco AB Class B 2,630 49,201
Electrolux AB Class B 70,880 1,096,953
ForeningsSparbanken AB 22,500 329,083
Hennes & Mauritz AB 16,730 349,016
*Investor AB B Shares 104,600 1,429,056
Nordbanken Holding AB 71,840 541,652
Sandvik AB 3,180 66,701
Securitas AB Class B 37,929 804,163
Svenska Handelsbanken AB Class A 111,600 1,619,595
Telefonaktiebolaget LM Ericsson AB Class B 134,910 2,669,140
------------
9,199,979
------------
Switzerland--4.2%
ABB Ltd. 18,823 2,252,933
Adecco SA 1,981 1,683,115
Compagnie Financiere Richemont AG 447 1,204,294
Credit Suisse Group 2,050 407,788
*Givaudan Regular Shares 156 47,480
Holderbank Financiere Glarus AG Class B 370 453,626
Nestle SA 816 1,633,200
Novartis AG 536 849,031
PubliGroupe SA 420 314,105
Roche Holding AG 208 2,024,790
Schweizerische Rueckversicherungs-Gesellschaft 170 346,503
SGS Societe Generale de Surveillance Holding SA Class
B 130 224,729
Swisscom AG 2,854 988,481
</TABLE>
42
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Vantagepoint International Fund Shares Value
<S> <C> <C>
------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------------------------
UBS AG 5,030 $ 736,940
Zurich Allied AG 3,390 1,674,946
------------
14,841,961
------------
Taiwan--1.0%
*Hon Hai Precision Industries Co. 51,000 461,448
*Taiwan Semiconductor Manufacturing Company Ltd. ADR 65,565 2,540,655
*Taiwan Semiconductor Manufacturing Company Ltd. 121,240 576,108
------------
3,578,211
------------
United Kingdom--18.3%
Abbey National PLC 12,710 151,930
AstraZeneca Group PLC ADR 1,400 65,100
AstraZeneca Group PLC 36,684 1,705,267
*Baltimore Technologies PLC 33,000 249,665
BG Group PLC 83,777 541,283
BOC Group PLC 13,500 194,057
BP Amoco PLC 283,480 2,719,452
British Aerospace PLC 269,949 1,682,862
British Airways PLC 50,000 287,490
British Energy PLC 101,252 275,001
British Telecommunications PLC 113,200 1,462,770
BTR Siebe PLC 625,705 2,347,958
Cable & Wireless PLC 100,525 1,702,059
Cadbury Schweppes PLC 368,575 2,420,395
*Celltech Group PLC 13,000 251,781
Centrica PLC 20,905 69,747
Compass Group PLC 77,820 1,025,014
David S. Smith Holdings PLC 18,130 43,274
Diageo PLC 228,890 2,053,761
Electrocomponents PLC 16,360 167,093
Enterprise Oil PLC 38,000 316,814
GKN PLC 113,160 1,443,412
Glaxo Wellcome PLC 68,945 2,010,278
Great Universal Stores PLC 211,350 1,359,128
Halifax PLC 144,700 1,388,122
Hays PLC 8,400 46,837
HSBC Holdings PLC 155,970 1,782,620
Imperial Chemical
Industries PLC 205,030 1,627,180
Kingfisher PLC 42,580 387,538
Ladbroke Group PLC 19,910 69,892
Land Securities PLC 19,000 227,118
Lloyds TSB Group PLC 162,807 1,537,191
Marconi PLC 37,600 489,281
National Grid Group PLC 159,600 1,258,175
New Dixons Group PLC 42,952 174,828
Prudential Corporation PLC 69,145 1,012,760
</TABLE>
<TABLE>
--------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
--------------------------------------------------------------
Reed International PLC 315,340 $ 2,743,584
Reuters Group PLC 53,200 907,209
Rio Tinto PLC 28,900 472,272
Royal Bank Of Scotland Group PLC 127,416 2,132,307
Royal & Sun Alliance Insurance Group 87,333 566,896
Shell Transport & Trading Company 282,600 2,358,240
SmithKline Beecham PLC 245,860 3,217,914
Standard Chartered PLC 26,000 323,775
Tate & Lyle PLC 39,200 195,737
Tesco PLC 620,335 1,928,870
TI Group PLC 70,000 381,304
Tomkins PLC 94,528 307,159
Unilever PLC 82,036 496,515
United News & Media PLC 15,300 219,931
Vodafone Group PLC 2,183,247 8,820,318
WPP Group PLC 71,000 1,036,707
Zeneca Group PLC 76,008 3,548,015
------------
64,203,886
------------
Total Common Stocks
(Cost $274,467,862) 327,241,399
------------
--------------------------------------------------------------
PREFERRED STOCKS--0.6%
--------------------------------------------------------------
Australia--0.3%
News Corporation Ltd. 83,376 1,005,490
------------
Brazil--0.3%
Banco Itau SA 1,143,000 99,784
Petroleo Brasileiro SA 22,160 669,653
Telecomunicacoes de Sao Paulo 3,467,072 64,834
Telesp Celular Participacoes SA 2,942,294 52,961
------------
887,232
------------
Germany--0.0%
SAP AG 390 72,903
------------
TOTAL PREFERRED STOCKS
(Cost $1,579,189) 1,965,625
------------
</TABLE>
<TABLE>
-------------------------------------------
<CAPTION>
Coupon Maturity
Rate Date Face
<S> <C> <C> <C>
-------------------------------------------
CORPORATE OBLIGATIONS--0.1%
-------------------------------------------
Bermuda--0.1%
Sanwa International Finance
Trust
(Cost $286,515)
1.25% 08/01/05 $30,000,000 295,462
------------
</TABLE>
43
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------
<CAPTION>
Vantagepoint International Fund Shares
<S> <C> <C>
-------------------------------------------------------------
CASH EQUIVALENTS--10.1%
-------------------------------------------------------------
Institutional Money Market Funds--1.9%
++Janus Money Market Fund 2,751,680 $ 2,751,680
++Merrimac Cash Fund--Premium Class 3,949,746 3,949,746
------------
6,701,426
------------
Bank & Certificate Deposits/Offshore Time Deposits--5.3%
++American Express Centurion Bank 5,952,390 5,952,390
++Bank of Montreal 2,645,507 2,645,507
++Credit Agricole Indosuez 2,984,070 2,984,070
++Fleet National Bank 1,439,447 1,439,447
++Royal Bank of Scotland PLC 5,637,571 5,637,571
------------
18,658,985
------------
Floating Rate Instruments/Master Notes--2.9%
++Bank of America 1,653,442 1,653,442
++First Union National Bank 661,377 661,377
++Goldman Sachs & Co 3,322,751 3,322,751
++Morgan Stanley Dean Witter & Co 4,661,377 4,661,377
------------
10,298,947
------------
TOTAL CASH EQUIVALENTS
(Cost $35,659,358) 35,659,358
------------
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------------------------
REPURCHASE AGREEMENTS--5.7%
-----------------------------------------------------------------------------
United States--5.7%
IBT Repurchase Agreement dated 06/30/2000 due
07/03/2000, with a maturity value of $19,935,937
and an effective yield of 6.03% collateralized by
Federal Home Loan Mortgage Corporation ARM with a
rate of 6.70%, a maturity date of 06/01/2030 and a
market value of $6,723,180, Federal Home Loan
Mortgage Corporation ARM with a rate of 7.80%, a
maturity date of 02/01/23 and a market value of
$3,332,905, Federal National Mortgage Association
ARM with a rate of 7.23%, a maturity date of
06/01/2018 and a market value of $3,149,377,
Federal National Mortgage Association ARM with a
rate of 7.52%, a maturity date of 11/01/2025, and
a market
value of $7,718,042. $19,926,002 $ 19,926,002
------------
TOTAL INVESTMENTS--109.9%
**(Cost $331,918,926) 385,087,846
Other assets less liabilities--(9.9%) (34,821,728)
------------
NET ASSETS 100.0% $350,266,118
============
</TABLE>
Notes to the Schedule of Investments:
ADR American Depositary Receipt
ARM Adjustable Rate Mortgage
GDR Global Depositary Receipt
RNC Non Convertible
INS Installment Receipt
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$331,918,926. Unrealized appreciation and depreciation, based on identified
tax cost at June 30, 2000 are as follows:
<TABLE>
<S> <C>
Unrealized appreciation $ 68,013,774
Unrealized depreciation (14,844,854)
------------
Net unrealized appreciation $ 53,168,920
============
</TABLE>
++ Represents collateral received from securities lending transactions.
See accompanying notes to financial statements.
44
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------
<CAPTION>
Vantagepoint International
Fund
-------------------------------------
<S> <C>
Percentage of Portfolio by Industry
(unaudited):
Telecommunications 16.0%
Electronics 14.9%
Banking 12.1%
Securities Lending Collateral 10.2%
Pharmaceuticals 5.9%
IBT Repurchase Agreement 5.7%
Diversified 4.7%
Oil & Gas 4.7%
Insurance 4.1%
Broadcasting & Publishing 4.0%
Beverages, Food & Tobacco 3.9%
Computers & Information 2.6%
Automotive 2.4%
Financial Services 2.0%
Commercial Services 2.0%
Communications 1.3%
Metals & Mining 1.2%
Chemicals 1.2%
Retailers 1.1%
Utilities 1.0%
Forest Products & Paper 0.9%
Building Materials 0.9%
</TABLE>
<TABLE>
-----------------------------------------
<CAPTION>
<S> <C>
-----------------------------------------
Cosmetics & Personal Care 0.8%
Food Retailers 0.7%
Computer Software & Processing 0.6%
Photographic Equipment & Supplies 0.5%
Airlines 0.5%
Real Estate 0.5%
Aerospace & Defense 0.5%
Medical Equipment & Supplies 0.4%
Construction 0.4%
Advertising 0.4%
Home Furnishings & Appliances 0.4%
Restaurants 0.4%
Entertainment & Leisure 0.3%
Office Equipment & Supplies 0.3%
Heavy Machinery 0.2%
Textiles, Clothing & Fabrics 0.1%
Bio-Technology 0.1%
Transportation 0.0%
Health Care Providers 0.0%
------
TOTAL INVESTMENTS 109.9%
Other assets less liabilities (9.9)%
------
TOTAL NET ASSETS 100.0%
======
</TABLE>
See accompanying notes to financial statements.
45
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------------------
<CAPTION>
Vantagepoint
Growth Fund Shares Value
<S> <C> <C>
--------------------------------------------------------------------
COMMON STOCKS--97.1%
--------------------------------------------------------------------
Advertising--0.3%
Interpublic Group, Inc. 192,053 $ 8,258,279
Omnicom Group 9,454 841,997
Saatchi & Saatchi PLC ADR (United Kingdom) 9,600 307,200
*Ventiv Health, Inc. 1 11
Young & Rubicam, Inc. 3,860 220,744
PubliGroupe SA 849 634,941
------------
10,263,172
------------
Aerospace & Defense--0.3%
Boeing Company 48,253 2,017,579
General Dynamics Corporation 10,656 556,776
Honeywell International, Inc. 183,048 6,166,430
Lockheed Martin Corporation 21,282 528,060
Northrop Grumman Corporation 3,709 245,721
Raytheon Company Class B 18,077 347,982
TRW, Inc. 6,556 284,367
Textron, Inc. 7,678 417,011
------------
10,563,926
------------
Airlines--0.8%
*AMR Corporation 7,946 210,072
Delta Air Lines, Inc. 6,520 329,668
*Northwest Airlines Corporation 17,100 520,481
Skywest, Inc. 8,700 322,444
Southwest Airlines, Inc. 1,393,974 26,398,383
*US Airways Group, Inc. 3,533 137,787
------------
27,918,835
------------
Automotive--0.6%
Cooper Tire & Rubber Company 3,928 43,699
Dana Corporation 8,095 171,513
Delphi Automotive Systems Corporation 29,931 435,870
Ford Motor Company 64,095 2,756,085
General Motors Corporation 28,447 1,651,704
Genuine Parts Company 9,385 187,700
Goodyear Tire & Rubber Company 8,321 166,420
Harley-Davidson, Inc. 378,920 14,588,420
ITT Industries, Inc. 4,699 142,732
Johnson Controls, Inc. 4,557 233,831
*Navistar International Corporation 3,301 102,537
*Speedway Motorsports, Inc. 37,700 867,100
*Visteon Corporation 8,392 101,755
------------
21,449,366
------------
Banking--2.9%
Amsouth Bancorp 20,902 329,207
Associates First Capital Corporation 38,742 864,431
BB&T Corporation 18,528 442,356
Bank of America Corporation 88,138 3,789,934
Bank of New York
Company, Inc. 39,236 1,824,474
Bank One Corporation 60,982 1,619,834
Capital One Financial Corporation 10,390 463,654
Charter One Financial, Inc. 11,150 256,450
</TABLE>
<TABLE>
------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------
Chase Manhattan Corporation 194,908 $ 8,977,950
Citigroup, Inc. 289,658 17,451,895
Comerica, Inc. 8,311 372,956
Fifth Third Bancorp 16,481 1,042,423
First Union Corporation 52,153 1,294,046
Firstar Corporation 51,566 1,086,109
Fleet Boston Financial Corporation 47,944 1,630,096
Golden West Financial Corporation 8,386 342,254
Household International, Inc. 25,165 1,045,920
Huntington Bancshares, Inc. 11,816 186,841
KeyCorp 23,119 407,472
MBNA Corporation 42,623 1,156,149
Mellon Financial Corporation 317,345 11,563,258
JP Morgan & Company, Inc. 8,651 952,691
National City Corporation 32,226 549,856
Northern Trust Corporation 11,830 769,689
PNC Bank Corporation 15,464 724,875
Regions Financial Corporation 11,720 232,935
SLM Holding Corporation 180,309 6,750,318
Safeco Corporation 6,791 134,971
Southtrust Corporation 8,923 201,883
State Street Corporation 8,561 908,001
Summit Bancorp 9,331 229,776
Suntrust Banks, Inc. 16,084 734,838
Synovus Financial Corporation 14,991 264,216
US Bancorp 40,003 770,058
Union Planters Corporation 7,214 201,541
Wachovia Corporation 10,770 584,273
Washington Mutual, Inc. 29,148 841,649
Wells Fargo & Company 901,273 34,924,329
------------
105,923,608
------------
Beverages, Food & Tobacco--2.7%
Anheuser Busch Companies, Inc. 351,940 26,285,519
Archer-Daniels-Midland Company 32,037 314,363
Bestfoods 14,620 1,012,435
Brown Forman Corporation 12,756 685,635
Campbell Soup Company 22,469 654,410
Coca Cola Company 234,914 13,492,873
Coca Cola Enterprises, Inc. 22,350 364,584
Conagra, Inc. 26,181 499,075
Adolph Coor Company Class B 1,971 119,246
General Mills, Inc. 15,484 592,263
Heinz HJ Company 323,709 14,162,269
Hershey Foods Corporation 7,296 355,224
Kellogg Company 21,590 642,303
Nabisco Group Holdings Corporation 17,382 450,846
Pepsico, Inc. 581,631 25,846,228
Philip Morris Companies, Inc. 121,621 3,230,558
Quaker Oats Company 6,963 523,095
Ralston-Ralston Purina Group 16,336 325,699
Sara Lee Corporation 329,355 6,360,668
Supervalu, Inc. 6,970 132,866
Sysco Corporation 17,736 747,129
Tootsie Roll Industries, Inc. 7,200 252,000
*The Topps Company, Inc. 3,400 39,100
UST, Inc. 8,615 126,533
</TABLE>
46
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------
<CAPTION>
Vantagepoint
Growth Fund Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------
Unilever NV 30,414 $ 1,307,802
WM Wrigley Jr. Company 6,048 484,974
------------
99,007,697
------------
Bio-Technology--0.2%
*Affymetrix, Inc. 6,400 1,056,800
*Chiron Corporation 8,600 408,500
*Invitrogen Corporartion 900 67,683
*Celera Genomics 40,500 3,786,750
Pharmacia Corporation 67,522 3,490,043
------------
8,809,776
------------
Building Materials--2.2%
Dimon, Inc. 15,300 32,513
Fastenal Company 104,900 5,310,563
Florida Rock Industries 111,500 3,972,188
Home Depot, Inc. 1,015,244 50,698,747
Louisiana Pacific Corporation 5,560 60,465
Lowe's Companies, Inc. 161,040 6,612,705
Owens Corning 2,965 27,426
Southdown, Inc. 213,300 12,318,075
Vulcan Materials Company 5,341 227,994
------------
79,260,676
------------
Chemicals--0.2%
Air Products & Chemicals, Inc. 12,189 375,574
Avery-Dennison Corporation 5,939 398,655
Clorox Company 12,503 560,291
Dow Chemicals Company 35,960 1,085,543
Du Pont (E.I.) de Nemours & Company 55,704 2,437,050
Eastman Chemical Company 4,085 195,059
Engelhard Corporation 6,779 115,667
BF Goodrich Company 5,732 195,246
*W.R. Grace & Company 3,566 43,238
Great Lakes Chemical Corporation 2,903 91,445
Hercules, Inc. 5,696 80,100
International Flavors & Fragrances 5,486 165,609
Occidental Petroleum Corporation 19,623 413,309
Praxair, Inc. 8,398 314,400
Rohm & Haas Company 11,553 398,579
Tupperware Corporation 3,064 67,408
Union Carbide Corporation 7,163 354,569
------------
7,291,742
------------
Commercial Services--1.8%
*Allied Waste Industries, Inc. 10,039 100,390
H&R Block, Inc. 5,245 169,807
*Cendant Corporation 38,350 536,900
*Ceridian Corporation 7,695 185,161
*Checkfree Holdings Corporation 56,200 2,897,813
*Concord EFS, Inc. 1 26
*Convergys Corporation 8,150 422,781
Deluxe Corporation 99,421 2,342,607
RR Donnelley & Sons Company 6,481 146,228
Dun & Bradstreet Corporation 8,584 245,717
Equifax, Inc. 402,625 10,568,906
Halliburton Company 23,593 1,113,295
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------------------------
Paychex, Inc. 987,079 $ 41,457,318
*Quintiles Transnational Corporation 6,146 86,812
*Robert Half International, Inc. 135,800 3,870,300
Ryder System, Inc. 3,223 61,036
*Startek, Inc. 41,600 2,095,600
Waste Management, Inc. 45,845 871,055
------------
67,171,752
------------
Communications--5.6%
*ADC Telecommunications, Inc. 161,782 13,569,465
*Ancor Communications, Inc. 286,500 10,246,844
*Andrew Corporation 734,077 24,637,459
*Apropos Technology, Inc. 9,800 194,775
*Ariba, Inc. 83,300 8,167,307
Asia Satellite Telecommunications Holdings Ltd. ADR
(Hong Kong) 5,700 195,225
*Aspect Communications Corporation 20,000 786,250
*Brocade Communications Systems, Inc. 97,400 17,871,381
*Ditech Communications Corporation 24,900 2,354,606
*JDS Uniphase Corporation 206,526 24,757,304
*Jazztel PLC ADR (United Kingdom) 19,700 517,125
*Kana Communications, Inc. 14,788 915,008
Lucent Technologies, Inc. 653,034 38,692,265
*MRV Communications, Inc. 12,600 847,350
*Metromedia Fiber Network, Inc. Class A 364,300 14,458,156
*Network Appliance, Inc. 56,498 4,548,089
*Nextel Communications, Inc. Class A 155,308 9,502,908
*Pinnacle Holdings, Inc. 7,300 394,200
*Plantronics, Inc. 1,700 196,350
*Qualcomm, Inc. 39,388 2,363,280
*Qwest Communications International, Inc. 13,700 680,719
*SBA Communications Corporation 10,700 555,731
Scientific Atlanta, Inc. 185,662 13,831,819
*Tellabs, Inc. 184,364 12,617,411
------------
202,901,027
------------
Computer Software &
Processing--11.0%
Adobe Systems, Inc. 79,892 10,385,960
*Aether Systems, Inc. 6,100 1,250,500
*Agile Software Corporation 9,900 699,806
*Akamai Technologies, Inc. 1,400 166,228
*Alteon Websystems, Inc. 1,400 140,088
*America Online, Inc. 122,200 6,446,050
*Art Technology Group, Inc. 45,200 4,562,375
Autodesk, Inc. 3,104 107,670
Automatic Data Processing, Inc. 33,354 1,786,524
*BMC Software, Inc. 172,883 6,307,533
*BEA Systems, Inc. 124,800 6,169,800
*Broadbase Software, Inc. 8,500 260,313
*BroadVision, Inc. 142,800 7,256,025
*CMGI, Inc. 263,000 12,048,688
</TABLE>
47
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------------
<CAPTION>
Vantagepoint
Growth Fund Shares Value
<S> <C> <C>
-------------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------------
*Cadence Design Systems, Inc. 307,600 $ 6,267,350
*Caldera Systems, Inc. 12,500 163,281
*Citrix Systems, Inc. 10,754 203,654
Computer Associates International, Inc. 31,282 1,601,234
*Compuware Corporation 193,757 2,010,229
*Covad Communications, Inc. Class A 36,100 582,113
Electronic Data Systems Corporation 561,751 23,172,229
FactSet Research Systems, Inc. 8,800 248,600
First Data Corporation 88,321 4,382,930
*Fiserv, Inc. 178,301 7,711,497
*Hyperion Solutions Corporation 19,300 626,044
*Inktomi Corporation 3,800 449,350
*Internap Network Services Corporation 39,300 1,631,563
*i2 Technologies, Inc. 38,630 4,027,780
*MapInfo Corporation 16,100 654,063
*Mentor Graphics Corporation 15,600 310,050
*Mercury Interactive Corporation 86,200 8,339,850
*Microsoft Corporation 777,254 62,180,320
*Micromuse, Inc. 95,000 15,721,018
*NCR Corporation 5,041 196,284
*National Instruments Corporation 5,800 253,025
*NaviSite, Inc. 8,100 338,681
*New Era of Networks, Inc. 29,900 1,270,750
*Nuance Communications, Inc. 15,100 1,258,019
*Novell, Inc. 17,411 161,052
*Nvidia Corporation 10,400 661,050
*Open Market, Inc. 52,000 718,250
*Oracle Corporation 360,066 30,268,048
*Parametric Technology Corporation 14,728 162,008
*Peoplesoft, Inc. 14,694 246,125
*Pixar, Inc. 313,500 11,050,875
*Primus Knowledge Solutions, Inc. 1,600 72,000
*Puma Technology, Inc. 57,400 1,539,038
*Sapient Corporation 5,700 609,544
*Siebel Systems, Inc. 402,900 65,899,331
*Silverstream Software, Inc. 22,400 1,293,600
*Software.com, Inc. 102,300 13,286,213
*Sun Microsystems, Inc. 332,863 30,269,729
*Tibco Software, Inc. 9,000 965,110
*Tumbleweed Communications Corporation 28,600 1,455,025
*Unisys Corporation 16,577 241,403
*Veritas Software Corporation 273,763 30,939,490
*Vignette Corporation 176,100 9,159,947
*Fantastic Corporation 23,500 233,329
------------
400,418,641
------------
Computers & Information--12.7%
*Advanced Digital Information Corporation 4,300 68,531
*Apple Computer, Inc. 17,284 905,250
</TABLE>
<TABLE>
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<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------------
*Cabletron Systems, Inc. 9,687 $ 244,597
*Cisco Systems, Inc. 1,317,541 83,746,196
Compaq Computer Corporation 145,296 3,714,129
*Computer Sciences Corporation 8,914 665,764
*Comverse Technology, Inc. 98,840 9,192,120
*Dell Computer Corporation 1,612,557 79,519,217
Diebold, Inc. 35,400 986,775
*Dot Hill Systems Corporation 36,200 398,200
*EMC Corporation 502,214 38,639,090
*Emulex Corporation 336,000 22,071,000
*Engage Technologies, Inc. 26,100 337,669
*Extended Systems, Inc. 3,100 297,600
*Extreme Networks, Inc. 7,700 812,350
*Foundry Networks, Inc. 1,700 187,850
*Futurelink Corporation 12,900 92,719
*Gateway, Inc. 17,098 970,312
Hewlett-Packard Company 138,106 17,245,987
IMS Health, Inc. 15,796 284,328
*InFocus Corporation 1,600 51,500
Intel Corporation 715,995 95,719,582
*Interact Commerce Corporation 15,700 185,456
International Business Machines Corporation 279,461 30,618,446
*International Game Technology 43,900 1,163,350
*Juniper Networks, Inc. 125,400 18,253,538
*Lexmark International Group, Inc. 6,885 463,016
*Lycos, Inc. 95,000 5,130,000
*MTI Technology Corporation 302,700 2,421,600
*Maxtor Corporation 50,200 530,238
National Computer Systems, Inc. 26,300 1,295,275
*Networks Associates, Inc. 153,700 3,131,638
*Phone.com, Inc. 74,300 4,838,788
Pitney Bowes, Inc. 13,729 549,160
*Proxicom, Inc. 32,100 1,536,788
*Redback Networks, Inc. 82,800 14,738,400
*Sabre Holdings Corporation 6,878 196,023
*Seagate Technology, Inc. 12,067 663,685
*Silicon Storage Technology, Inc. 10,200 900,788
*Sybase, Inc. 81,600 1,876,800
Symbol Technologies, Inc. 188,960 10,203,840
*3 Com Corporation 18,632 1,073,669
*Ventro Corporation 9,500 179,313
*WebTrends Corporation 10,700 413,956
*Yahoo!, Inc. 43,868 5,434,149
------------
461,948,682
------------
Construction--0.3%
Butler Manufacturing Company 14,700 249,900
Centex Corporation 3,168 74,448
Fluor Corporation 4,079 128,998
Kaufman and Broad Home Corporation 2,584 51,196
Martin Marietta Materials, Inc. 255,000 10,311,563
McDermott International, Inc. 3,279 28,896
Pulte Corporation 2,210 47,791
------------
10,892,792
------------
</TABLE>
48
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June 30, 2000 (Unaudited)
<TABLE>
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Growth Fund Shares Value
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COMMON STOCKS--(Continued)
-----------------------------------------------------------------------
Containers & Packaging--0.0%
Ball Corporation 1,571 $ 50,567
Bemis Company 2,827 95,058
Crown Cork & Seal Company, Inc. 6,797 101,955
*Packaging Corporation of America 14,100 142,763
*Pactiv Corporation 8,962 70,576
*Sealed Air Corporation 4,471 234,169
------------
695,088
------------
Cosmetics & Personal Care--1.8%
Alberto Culver Company Class B 2,962 90,526
Avon Products, Inc. 12,639 562,436
Colgate-Palmolive Company 176,353 10,559,136
Ecolab, Inc. 179,910 7,027,734
Gillette Company 615,428 21,501,516
Procter & Gamble Company 469,335 26,869,429
------------
66,610,777
------------
Diversified--2.4%
General Electric Company 1,222,648 64,800,344
Hillenbrand Industries, Inc. 2,200 68,888
Loews Corporation 5,251 315,060
Minnesota Mining & Manufacturing Company (3M) 21,027 1,734,728
Newell Rubbermaid, Inc. 235,172 6,055,679
PerkinElmer, Inc. 3,989 263,773
Seagram Company Ltd. 23,187 1,344,846
Temple Inland, Inc. 2,768 116,256
Tyco International Ltd. 225,077 10,663,023
SoftBank Corporation 21,900 2,972,150
------------
88,334,747
------------
Education--0.0%
*DeVry, Inc. 21,700 573,694
------------
Electronics--8.7%
AVX Corporation 12,700 291,306
*Adaptec, Inc. 5,537 125,967
*Advanced Micro Devices, Inc. 34,850 2,692,163
*Agilent Technologies, Inc. 56,394 4,159,058
*Altera Corporation 113,200 11,539,325
*American Power Conversion Corporation 96,670 3,945,344
*Analog Devices, Inc. 18,830 1,431,080
*ARM Holdings PLC ADR (United Kingdom) 12,400 407,650
*Black Box Corporation 4,200 332,522
*Broadcom Corporation Class A 46,600 10,202,488
*Conexant Systems, Inc. 75,989 3,694,965
*Cymer, Inc. 17,100 816,525
Emerson Electric Company 22,708 1,370,996
*Fairchild Semiconductor Corporation Class A 10,300 417,150
*Ibis Technology Corporation 8,600 519,225
*LSI Logic Corporation 132,650 7,179,681
Linear Technology Corporation 133,550 8,538,853
*Littelfuse, Inc. 4,900 240,100
*Maxim Integrated Products, Inc. 762,750 51,819,328
</TABLE>
<TABLE>
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<CAPTION>
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<S> <C> <C>
------------------------------------------------------------------------------
Methode Electronics, Inc. Class A 2,500 $ 96,563
*Micron Technology, Inc. 707,320 62,288,368
Molex, Inc. 10,420 501,463
Motorola, Inc. 301,332 8,757,461
*National Semiconductor Corporation 11,471 650,979
National Service Industries, Inc. 2,172 42,354
*Novellus System, Inc. 6,950 393,109
*PMC-Sierra, Inc. 41,100 7,302,956
*Photon Dynamics, Inc. 3,300 246,469
*Polycom, Inc. 53,200 5,005,790
*Power-One, Inc. 1,400 159,513
*Qlogic Corporation 543,600 35,911,575
*SDL, Inc. 54,600 15,571,238
*Sanmina Corporation 7,900 675,450
*Semitool, Inc. 4,100 70,981
*Solectron Corporation 358,814 15,025,336
*Taiwan Semiconductor Manufacturing Company Ltd. ADR
(Taiwan) 120,364 4,664,105
*Teradyne, Inc. 20,315 1,493,153
Texas Instruments, Inc. 87,040 5,978,560
Thomas & Betts Corporation 3,074 58,790
*Vitesse Semiconductor Corporation 142,800 10,504,725
*Xilinx, Inc. 174,910 14,441,007
Kyocera Corporation 3,200 542,557
*Lernout & Hauspie Speech Products NV 15,500 682,969
*ASM Lithography Holdings NV 317,700 14,018,513
*ASE Test Ltd. GDR (Taiwan) 61,700 1,816,294
*Flextronics International Ltd. 4,300 295,356
------------
316,919,360
------------
Entertainment & Leisure--1.2%
Carnival Corporation 487,630 9,508,785
Walt Disney Company 549,803 21,339,229
*Harrah's Entertainment, Inc. 6,503 136,157
Hasbro, Inc. 9,133 137,566
International Speedway Corporation Class A 56,035 2,318,448
International Speedway Corporation Class B 41,300 1,713,950
MGM Grand, Inc. 24,400 783,850
*Macrovision Corporation 42,900 2,742,250
Mattel, Inc. 26,055 343,600
*Park Place Entertainment Corporation 12,800 156,000
Time Warner, Inc. 69,960 5,316,960
------------
44,496,795
------------
Financial Services--5.8%
American Express Company 196,149 10,224,267
Bear Stearns & Company, Inc. 5,879 244,713
Countrywide Credit Industries, Inc. 6,041 183,118
*Federal Agricultural Mortgage Corporation 27,400 399,013
Federal Home Loan Mortgage Corporation 36,962 1,496,961
Federal National Mortgage Association 623,795 32,554,302
Franklin Resources, Inc. 152,762 4,640,146
</TABLE>
49
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Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
Vantagepoint
Growth Fund Shares Value
<S> <C> <C>
------------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------------
Lehman Brothers, Inc. 6,411 $ 606,240
Merrill Lynch & Company, Inc. 101,750 11,701,250
Morgan Stanley Dean Witter & Company 101,372 8,439,219
Old Kent Financial Corporation 7,302 195,320
Paccar, Inc. 4,046 160,576
Paine Webber Group, Inc. 24,460 1,112,930
T. Rowe Price Associates, Inc. 275,610 11,713,425
Providian Financial Corporation 390,282 35,125,380
Charles Schwab & Company, Inc. 1,598,387 53,745,763
Worthington Industries, Inc. 4,608 48,384
Daiwa Securities Company Ltd. 1,077,000 14,210,477
Kokusai Securities Company Ltd. 31,000 429,189
Nikko Securities Company Ltd. 872,000 8,629,225
Nomura Securities Company Ltd. 582,000 14,233,916
------------
210,093,814
------------
Food Retailers--0.2%
Albertson's, Inc. 222,049 7,383,129
Great Atlantic & Pacific Tea Company 2,105 34,996
*Kroger Company 44,384 979,222
Winn Dixie, Inc. 7,692 110,092
------------
8,507,439
------------
Forest Products & Paper--0.4%
Boise Cascade Corporation 3,022 78,194
Fort James Corporation 10,932 252,803
Georgia-Pacific Group 9,085 238,481
International Paper Company 25,708 766,420
Kimberly-Clark Corporation 233,238 13,382,030
Mead Corporation 5,459 137,840
Potlatch Corporation 1,537 50,913
Westvaco Corporation 5,352 132,797
Weyerhauser Company 12,387 532,641
Willamette Industries, Inc. 5,896 160,666
------------
15,732,785
------------
Health Care Providers--0.5%
*Express Scripts, Inc. Class A 2,300 142,888
HCA-The Healthcare Company 33,935 1,030,776
*Healthsouth Corporation 20,513 147,437
*Health Management Associates, Inc. 610,000 7,968,125
*Manor Care, Inc. 420,710 2,944,970
*Oxford Health Plans, Inc 6,900 164,306
*Tenet Healthcare Corporation 99,737 2,692,899
*Trigon Healthcare, Inc. 8,300 427,969
UnitedHealth Group, Inc. 20,961 1,797,406
*Universal Health Services, Inc. Class B 20,100 1,326,600
------------
18,643,376
------------
Heavy Machinery--1.7%
*Applied Materials, Inc. 459,128 41,608,475
*Astec Industries, Inc. 6,800 172,550
Baker Hughes, Inc. 17,550 561,600
</TABLE>
<TABLE>
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<CAPTION>
Shares Value
<S> <C> <C>
--------------------------------------------------------------
Black & Decker Corporation 4,511 $ 177,339
Briggs & Stratton Corporation 1,200 41,100
Caterpillar, Inc. 18,536 627,907
Cummins Engine Company, Inc. 2,225 60,631
Deere & Company 12,462 461,094
Dover Corporation 10,793 437,791
Eaton Corporation 3,872 259,424
*GaSonics International, Corporation 1,200 47,325
Grainger WW, Inc. 5,002 154,124
Ingersoll Rand Company 8,589 345,707
Manitowoc Company, Inc. 56,750 1,518,063
Pall Corporation 6,595 122,008
Parker-Hannifin Corporation 5,977 204,712
Rockwell International Corporation 9,989 314,654
Stanley Works 491,049 11,662,414
Timken Company 3,296 61,388
United Technologies Corporation 25,016 1,472,817
------------
60,311,123
------------
Home Furnishings & Appliances--0.7%
Armstrong Holdings, Inc. 2,161 33,090
Corning, Inc. 98,332 26,537,349
Leggett & Platt, Inc. 17,291 285,302
Maytag Corporation 4,164 153,548
Whirlpool Corporation 3,874 180,625
------------
27,189,914
------------
Household Products--0.2%
Fortune Brands, Inc. 8,444 194,740
Illinois Tool Works, Inc. 112,348 6,403,836
*Owens-Illinois, Inc. 7,802 91,186
PPG Industries, Inc. 9,283 411,353
Snap-On, Inc. 3,136 83,496
------------
7,184,611
------------
Insurance--4.4%
AFLAC Corporation 117,240 5,385,713
Aetna, Inc. 7,510 482,048
Allstate Corporation 39,574 880,522
American General Corporation 13,194 804,834
American International Group, Inc. 734,781 86,336,768
Aon Corporation 13,587 422,046
Brown & Brown, Inc. 11,600 603,200
Cigna Corporation 8,640 807,840
Chubb Corporation 9,284 570,966
*Ciena Corporation 18,800 3,133,725
Cincinnati Financial Corporation 8,559 269,074
Conseco, Inc. 17,285 168,529
Hartford Financial Services Group 11,407 638,079
*Humana, Inc. 9,037 44,055
Jefferson Pilot Corporation 5,465 308,431
Lincoln National Corporation 10,176 367,608
MBIA, Inc. 5,250 252,984
MGIC Investment Corporation 5,618 255,619
Marsh & McLennan Companies, Inc. 14,320 1,495,545
</TABLE>
50
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
Vantagepoint
Growth Fund Shares Value
<S> <C> <C>
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COMMON STOCKS--(Continued)
----------------------------------------------------------------------
Progressive Corporation 731,500 $ 54,131,000
St. Paul Companies, Inc. 11,284 385,067
Torchmark Corporation 6,816 168,270
Unumprovident Corporation 12,812 257,041
*Wellpoint Health Networks 3,292 238,464
ACE Ltd. 12,800 358,400
------------
158,765,828
------------
Lodging--0.0%
*Aztar Corporation 14,800 229,400
Hilton Hotels Corporation 19,610 183,844
*Mandalay Resort Group 45,200 904,000
Marriott International Class A 12,739 459,400
------------
1,776,644
------------
Media--Broadcasting & Publishing--2.1%
*AT&T Corporation-Liberty Media Group 100,828 2,445,079
*ADAC Laboratories 26,300 631,200
*Allegiance Telecom, Inc. 42,900 2,745,600
American Greetings Corporation 3,414 64,866
BHC Communications, Inc. Class A 39,300 5,899,913
*Chris-Craft Industries, Inc. 22,047 1,456,480
*Clear Channel Communications 18,032 1,352,400
*Comcast Corporation 47,715 1,932,458
*Cox Communications, Inc. Class A 413,500 18,840,094
Dow Jones & Company, Inc. 4,735 346,839
*EchoStar Communications Corporation Class A 33,400 1,105,854
*Entercom Communications Corporation 600 29,250
Gannett Company, Inc. 463,069 27,697,315
*Internet Pictures Corporation 3,900 58,988
Knight Ridder, Inc. 4,133 219,824
McGraw-Hill Companies, Inc. 10,350 558,900
Meredith Corporation 2,673 90,214
New York Times Company 9,045 357,278
*TV Guide, Inc. 5,800 198,650
Tribune Company 108,685 3,803,975
TV Azteca SA de CV ADR (Mexico) 95,400 1,258,088
*Viacom, Inc. Class B 81,111 5,530,756
Wiley John & Sons, Inc. Class A 9,000 202,500
------------
76,826,521
------------
Medical Equipment & Supplies--2.2%
Allergan, Inc. 39,896 2,972,252
*Alza Corporation 116,650 6,896,931
Bard C.R., Inc. 11,784 567,105
Bausch & Lomb, Inc. 2,834 219,281
Baxter International, Inc. 15,426 1,084,641
Becton Dickinson & Company 13,403 384,499
Biomet, Inc. 6,290 241,772
*Boston Scientific Corporation 21,701 476,066
Dentsply International, Inc. 164,700 5,074,819
*Guidant Corporation 144,194 7,137,603
Johnson & Johnson 156,650 15,958,719
*KLA-Tencor Corporation 19,211 1,125,044
</TABLE>
<TABLE>
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<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------
Mallinckrodt, Inc. 3,589 $ 155,897
Medtronics, Inc. 609,664 30,368,888
*Novoste Corporation 2,900 176,900
PE Corporation 87,070 5,735,736
*St. Jude Medical, Inc. 4,433 203,364
Tektronix, Inc. 2,542 188,108
*Thermo Electron Corporation 8,282 174,440
------------
79,142,065
------------
Metals & Mining--0.3%
Alcan Aluminum Ltd. 11,630 360,530
Alcoa, Inc. 45,962 1,332,898
Allegheny Technologies, Inc. 4,431 79,758
Barrick Gold Corporation 21,093 383,629
Belden, Inc. 6,500 166,563
*Bethlehem Steel Corporation 7,065 25,169
Cooper Industries, Inc. 4,933 160,631
Crane Company 3,238 78,724
Danaher Corporation 133,037 6,577,017
*Freeport-McMoRan Copper & Gold, Inc. 8,523 78,838
Homestake Mining Company 13,934 95,796
*Inco Ltd. 8,778 134,962
Masco Corporation 23,846 430,718
Newmont Mining Corporation 8,952 193,587
Nucor Corporation 4,545 150,837
Phelps Dodge Corporation 4,164 154,849
Placer Dome, Inc. 17,396 166,349
USX US Steel Group, Inc. 4,716 87,541
*Inco Ltd. 900 13,804
------------
10,672,200
------------
Office Equipment & Supplies--0.0%
Xerox Corporation 45,328 940,556
------------
Oil & Gas--4.4%
Amerada Hess Corporation 4,803 296,585
Anadarko Petroleum Corporation 6,834 337,002
Apache Corporation 6,062 356,521
Ashland, Inc. 3,757 131,730
*Atwood Oceanics, Inc. 59,900 2,665,550
Burlington Resources, Inc. 11,455 438,154
*Cal Dive International, Inc. 38,000 2,059,125
Chevron Corporation 34,665 2,940,025
Coastal Corporation 11,383 692,940
Columbia Energy Group 4,295 281,859
Conoco, Inc. Class B 33,175 814,861
Dynegy, Inc. 163,261 11,152,767
Ensco International, Inc. 440,900 15,789,731
Eastern Enterprises 1,451 91,413
El Paso Energy Corporation 12,317 627,397
Enron Corporation 91,510 5,902,395
Exxon Mobil Corporation 185,109 14,531,057
*Global Marine, Inc. 973,900 27,451,806
Kerr-McGee Corporation 5,010 295,277
*Marine Drilling Company, Inc. 327,000 9,156,000
*National-Oilwell, Inc. 13,000 427,375
Nicor, Inc. 2,492 81,302
*Noble Drilling Corporation 146,900 6,050,444
Oneok, Inc. 1,545 40,073
Peoples Energy Corporation 1,887 61,092
Phillips Petroleum Company 143,702 7,283,895
*R&B Falcon Corporation 480,400 11,319,425
*Rowan Companies, Inc. 4,981 151,298
</TABLE>
51
<PAGE>
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June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
Vantagepoint
Growth Fund Shares Value
<S> <C> <C>
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COMMON STOCKS--(Continued)
--------------------------------------------------------------------------
Royal Dutch Petroleum Company 114,043 $ 7,020,772
Schlumberger Ltd. 100,638 7,510,111
Sempra Energy 10,913 185,521
*Smith International, Inc. 184,000 13,397,500
Sunoco, Inc. 4,722 139,004
Texaco, Inc. 29,365 1,563,686
Tidewater Inc. 66,100 2,379,600
Tosco Corporation 7,665 217,015
USX Marathon Group 16,585 415,662
Union Pacific Resources Group, Inc. 13,409 294,998
Unocal Corporation 12,920 427,975
Williams Companies, Inc. 23,509 980,031
Santa Fe International Corporation 125,900 4,398,631
Transocean Sedco Forex, Inc. 11,187 597,805
------------
160,955,410
------------
Pharmaceuticals--9.2%
Abbott Laboratories 82,420 3,672,841
*Abgenix, Inc. 9,700 1,162,636
American Home Products Corporation 544,950 32,015,813
*Amgen, Inc. 605,506 42,536,797
*Barr Laboratories, Inc. 7,800 349,538
*Biogen, Inc. 488,390 31,501,155
Bristol-Myers Squibb Company 227,910 13,275,758
Cardinal Health, Inc. 257,736 19,072,464
*Celgene Corporation 15,300 900,788
*Cephalon, Inc. 22,133 1,325,213
*COR Therapeutics, Inc. 10,700 912,844
*Genentech, Inc. 138,000 23,736,000
*Human Genome Sciences, Inc. 32,500 4,334,688
*Immnunex Corporation 750,700 37,112,731
*Immunogen, Inc. 21,400 258,138
Eli Lilly & Company 118,472 11,832,391
McKesson HBOC, Inc. 14,994 313,937
*Medarex, Inc. 2,600 219,700
*MedImmune, Inc. 30,800 2,279,200
Merck & Company, Inc. 341,085 26,135,638
Millipore Corporation 5,736 432,351
Mylan Laboratories, Inc. 72,600 1,324,950
Pfizer, Inc. 1,381,086 66,292,116
*Pharmacopeia, Inc. 4,200 194,775
Schering-Plough Corporation 207,441 10,475,771
Sigma Aldrich Corporation 4,554 133,205
Teva Pharmaceutical Industries Ltd. ADR (Israel) 63,000 3,492,563
*Watson Pharmaceutical, Inc. 5,139 276,221
------------
335,570,222
------------
Photographic Equipment & Supplies--0.0%
Eastman Kodak Company 16,450 978,775
Polaroid Corporation 2,334 42,158
------------
1,020,933
------------
Restaurants--0.3%
Applebee's International, Inc. 6,400 194,000
*Brinker International, Inc. 50,200 1,468,350
*Buffetts, Inc. 9,800 124,338
*CEC Entertainment, Inc. 15,100 386,938
*Cheesecake Factory, Inc. 118,900 3,269,750
</TABLE>
<TABLE>
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<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------
Darden Restaurants, Inc. 6,585 $ 107,006
*Jack in the Box, Inc. 18,000 443,250
McDonald's Corporation 71,055 2,340,374
*Outback Steakhouse, Inc. 64,500 1,886,625
*Papa John's International, Inc. 10,900 267,050
*Starbucks Corporation 9,750 372,328
*Tricon Global Restaurants, Inc. 7,862 222,102
Wendy's International, Inc. 41,137 732,753
------------
11,814,864
------------
Retailers--3.8%
*AnnTaylor Stores Corporation 17,100 566,438
*Autozone, Inc. 7,134 156,948
*Bed Bath & Beyond, Inc. 7,471 270,824
*Best Buy Company, Inc. 36,864 2,331,648
Brown Shoe Company, Inc. 9,300 120,900
CCS Corporation 20,759 830,360
*Chico's FAS, Inc. 11,600 232,000
Circuit City Stores 91,090 3,023,049
Claire's Stores, Inc. 18,800 361,900
*Consolidated Stores Corporation 5,933 71,196
*Costco Wholesale Corporation 402,945 13,297,185
Dillards, Inc. Class A 4,973 60,919
Dollar General 754,632 14,715,324
*Federated Department Stores 11,392 384,480
Gap, Inc. 190,043 5,938,844
*Guitar Center, Inc. 6,700 70,350
Harcourt General, Inc. 3,812 207,278
*K Mart Corporation 25,596 174,373
*Kohls Corporation 69,340 3,857,038
Limited, Inc. 22,872 494,607
Longs Drugstores Corporation 2,148 46,719
May Department Stores Company 17,676 424,224
Nordstrom, Inc. 7,144 172,349
*Office Depot, Inc. 16,811 105,069
J.C. Penney Company, Inc. 18,783 346,312
RadioShack Corporation 9,922 470,055
Rite Aid Corporation 13,769 90,359
*Safeway, Inc. 103,492 4,670,077
Sears Roebuck & Company 18,748 611,654
Sherwin Williams Company 8,718 184,713
*Staples, Inc. 400,590 6,159,071
Stride Rite Corporation 231,900 1,420,388
TJX Companies, Inc. 340,073 6,376,369
Talbots, Inc. 8,700 477,956
Target Corporation 73,336 4,253,488
Tiffany & Co. 3,850 259,875
*Toys "R" Us, Inc. 11,524 167,818
*Ultimate Electronics, Inc. 3,000 80,391
*Venator Group, Inc. 47,200 483,800
Wal-Mart Stores, Inc. 1,049,403 60,471,848
Walgreen Company 53,580 1,724,606
*Williams-Sonoma, Inc. 23,800 772,013
*Wal-Mart de Mexico SA de CV Series V 113,000 265,113
------------
137,199,928
------------
Telecommunications--2.7%
AT&T Corporation 314,274 9,938,920
Alltel Corporation 16,752 1,037,577
</TABLE>
52
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Vantagepoint
Growth Fund Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Bell Atlantic Corporation 82,183 $ 4,175,924
BellSouth Corporation 100,065 4,265,271
Centurytel, Inc. 7,480 215,050
*China Telecom Ltd. ADR (Hong Kong) 28,900 5,138,781
*Crown Castle International Corporation 4,100 149,650
*Finisar Corporation 59,600 1,560,775
GTE Corporation 51,180 3,185,955
*Nextlink Communications, Inc. Class A 37,200 1,411,275
Nokia Corporation ADR (Finland) 195,600 9,767,775
Nortel Networks Corporation 203,432 13,916,207
SBC Communications, Inc. 285,347 12,341,240
Sprint Corporation (FON Group) 46,639 2,378,589
*Sprint Corporation (PCS Group) 48,678 2,896,341
*TeleCorp PCS, Inc. 10,100 407,156
*Triton PCS Holdings, Inc. 10,200 589,050
US West, Inc. 27,001 2,315,336
*VoiceStream Wireless Corporation 8,898 1,034,810
*WorldCom, Inc. 387,183 17,762,020
*KPNQuest NV 10,400 409,069
*Global Crossing Ltd. 46,884 1,233,635
*AudioCodes Ltd. 2,300 276,000
------------
96,406,406
------------
Textiles, Clothing & Fabrics--0.0%
Liz Claiborne, Inc. 2,878 101,450
Nike, Inc. 14,535 578,675
*Reebok International Ltd. 2,989 47,637
Russell Corporation 1,800 36,000
Springs Industries, Inc. 954 30,707
VF Corporation 6,056 144,209
------------
938,678
------------
Transportation--1.7%
Alexander & Baldwin, Inc. 103,000 2,272,438
Brunswick Corporation 4,676 77,446
Burlington Northern Santa Fe 22,765 522,172
CSX Corporation 11,637 246,559
Dial Corporation 256,500 2,661,188
*FMC Corporation 1,622 94,076
*FedEx Corporation 15,429 586,302
Kansas City Southern Industries, Inc. 592,217 52,522,245
Norfolk Southern Corporation 20,386 303,242
Union Pacific Corporation 13,198 490,801
Bergesen d. y. ASA Class A 43,050 882,809
------------
60,659,278
------------
Utilities--0.8%
*AES Corporation 159,682 7,285,434
Ameren Corporation 7,313 246,814
American Electric Power, Inc. 17,088 506,232
Black Hills Corporation 58,600 1,322,163
CMS Energy Corporation 5,829 128,967
CP&L, Inc. 8,470 270,511
*Calpine Corporation 158,600 10,427,950
Cinergy Corporation 8,438 214,642
Consolidated Edison, Inc. 11,265 333,726
</TABLE>
<TABLE>
---------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------------
Constellation Energy Group 7,950 $ 258,872
DTE Energy Company 7,587 231,878
Dominion Resources, Inc. 12,632 541,597
Duke Energy Corporation 19,553 1,102,300
Edison International 17,663 362,092
Entergy Corporation 12,217 332,150
FPL Group, Inc. 9,489 469,706
Firstenergy Corporation 12,301 287,536
Florida Progress Corporation 5,236 245,438
GPU, Inc. 6,471 175,121
New Century Energies, Inc. 6,191 185,730
*Niagara Mohawk Holdings, Inc. 9,164 127,723
Northern States Power Company 8,335 168,263
Peco Energy Company 9,029 363,982
PG&E Corporation 20,496 504,714
PPL Corporation 7,663 168,107
Pinnacle West Capital Corporation 4,525 153,284
Public Service Enterprise Group, Inc. 11,485 397,668
Reliant Energy, Inc. 15,709 464,397
Southern Company 34,476 803,722
TXU Corporation 14,002 413,059
Unicom Corporation 9,437 365,094
--------------
28,858,872
--------------
TOTAL COMMON STOCKS
(Cost $2,879,814,455) 3,540,663,620
--------------
---------------------------------------------------------------------
WARRANTS--0.0%
---------------------------------------------------------------------
Oil & Gas--0.0%
Magnum Hunter Resources, Inc. (Cost $0) 1 1
--------------
---------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Coupon Maturity
Rate Date Face
<S> <C> <C> <C>
--------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--0.0%
--------------------------------------------------------------------------------------------------
U.S. Treasury--0.0%
***U.S. Treasury Bill (Cost $492,878)
5.57% 09/21/00 $500,000 492,878
-------------
</TABLE>
<TABLE>
---------------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENTS--6.0%
---------------------------------------------------------------
Institutional Money Market Funds--0.7%
++ Janus Money Market Fund 20,498,343 $ 20,498,343
++ Merrimac Cash Fund--Premium Class 6,349,104 6,349,104
-------------
26,847,447
-------------
Bank Deposits/Offshore
Time Deposits--2.4%
++ American Express Centurion Bank 32,496,453 32,496,453
++ Bank of Montreal 14,315,671 14,315,671
++ Credit Agricole Indosuez 18,164,932 18,164,932
++ Fleet National Bank 9,661,159 9,661,159
++ Royal Bank of Scotland PLC 14,167,454 14,167,454
-------------
88,805,669
-------------
</TABLE>
53
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------
<CAPTION>
Vantagepoint
Growth Fund Shares Value
<S> <C> <C>
--------------------------------------
CASH EQUIVALENTS--
(Continued)
--------------------------------------
</TABLE>
Floating Rate Instruments/ Master Notes--2.9%
<TABLE>
<S> <C> <C>
++ Bank of America $ 9,451,452 $ 9,451,452
++ Bank of Montreal 20,000,000 20,000,000
++ First Union National Bank 4,077,025 4,077,025
++ Goldman Sachs & Co 8,061,981 8,061,981
++ Morgan Stanley Dean Witter & Company 62,577,026 62,577,026
--------------
104,167,484
--------------
TOTAL CASH EQUIVALENTS
(Cost $219,820,600) 219,820,600
--------------
----------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.4%
----------------------------------------------------------------------
IBT Repurchase Agreement dated 06/30/2000 due
07/03/2000, with a maturity value of $88,862,372 and
an effective yield of 6.03% collateralized by Federal
National Mortgage Association ARM with a rate of
7.85%, a maturity date of 10/01/2029 and a market
value of $15,326,266, Federal Home Loan Mortgage
Corporation ARM with a rate of 7.63%, a maturity date
of 11/01/2023 and a market value of $1,218,427,
Government National Mortgage Association ARM with a
rate of 6.38%, a maturity date of 04/20/2024 and a
market value of $19,780,955, Small Business
Association with a rate of 6.75%, a maturity date of
07/25/2022, and a market value of $6,469,045, Federal
Home Loan Mortgage Corporation ARM with a rate of
7.79%, a maturity date of 03/01/2027 and a market
value $11,386,556, Federal National Mortgage
Association ARM with a rate of 7.54%, a maturity date
of 09/01/2023, and a market value of $4,039,107,
Federal Home Loan Bank with a rate of 6.90% a
maturity date of 07/15/2021 and a market value of
$8,141,556, Government National Mortgage Association
ARM with a rate of 6.38%, a maturity date of
05/20/2024 and a market value of $16,174,478, Small
Business Association with a rate of 8.63%, a maturity
date of 03/25/2025 and a market value of $3,165,041,
Small Business Association with a rate of 9.38%, a
maturity date of 06/01/2013 and a market value of
$2,577,130, Small Business Association with a rate of
8.38%, a maturity date of 10/25/2024 and a market
value of $4,980,131. $ 88,817,741 $ 88,817,741
--------------
TOTAL INVESTMENTS--105.9%
**(Cost $3,188,945,674) 3,849,794,840
Other assets less liabilities--(5.9%) (214,616,229)
--------------
NET ASSETS 100.0% $3,635,178,611
==============
</TABLE>
Notes to the Schedule of Investments:
ADR American Depositary Receipt
ARM Adjustable Rate Mortgage
GDR Global Depository Receipt
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$3,188,945,674. Unrealized appreciation and depreciation, based on
identified tax cost at June 30, 2000 are as follows:
<TABLE>
<S> <C>
Unrealized appreciation $ 814,362,705
Unrealized depreciation (153,513,539)
-------------
Net unrealized appreciation $ 660,849,166
=============
</TABLE>
*** Security has been pledged as collateral for futures contracts.
++ Represents collateral received from securities lending transactions.
See accompanying notes to financial statements.
54
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------------
<CAPTION>
Vantagepoint Growth & Income Fund Shares Value
<S> <C> <C>
--------------------------------------------------------------
COMMON STOCKS--97.1%
--------------------------------------------------------------
Advertising--0.5%
Interpublic Group, Inc. 21,600 $ 928,800
Omnicom Group 5,000 445,313
------------
1,374,113
------------
Aerospace & Defense--0.8%
Lockheed Martin Corporation 58,000 1,439,125
Raytheon Company Class B 18,000 346,500
Textron, Inc. 11,000 597,438
------------
2,383,063
------------
Automotive--0.5%
Federal-Mogul Corporation 20,300 194,119
Ford Motor Company 25,000 1,075,000
*Visteon Corporation 3,273 39,689
------------
1,308,808
------------
Banking--8.1%
Associates First Capital Corporation 78,184 1,744,481
Bank of America Corporation 41,400 1,780,200
Bank of New York Company, Inc. 500 23,250
Bank One Corporation 43,000 1,142,188
Chase Manhattan Corporation 19,750 909,734
Citigroup, Inc. 113,600 6,844,400
Fifth Third Bancorp 12,200 771,650
Firstar Corporation 30,400 640,300
Household International, Inc. 23,500 976,719
JP Morgan & Company, Inc. 10,600 1,167,325
National City Corporation 72,700 1,240,444
Northern Trust Corporation 3,900 253,744
SLM Holding Corporation 31,000 1,160,563
State Street Corporation 200 21,213
Wachovia Corporation 22,800 1,236,900
Washington Mutual, Inc. 88,700 2,561,213
Wells Fargo & Company 9,000 348,750
Zions Bancorporation 3,900 178,973
------------
23,002,047
------------
Beverages, Food & Tobacco--3.3%
Anheuser Busch Companies, Inc. 14,242 1,063,699
Campbell Soup Company 28,400 827,150
Conagra, Inc. 33,000 629,063
Corn Product International, Inc. 22,900 606,850
General Mills, Inc. 25,500 975,375
Heinz HJ Company 11,500 503,125
Kellogg Company 60,300 1,793,925
Pepsico, Inc. 15,700 697,669
Philip Morris Companies, Inc. 16,703 443,673
Sara Lee Corporation 74,800 1,444,575
Sysco Corporation 10,800 454,950
------------
9,440,054
------------
Bio-Technology--0.8%
Pharmacia Corporation 43,590 2,253,058
------------
Building Materials--1.1%
Home Depot, Inc. 35,400 1,767,788
Lowe's Companies, Inc. 30,000 1,231,875
------------
2,999,663
------------
</TABLE>
<TABLE>
---------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------------
Chemicals--1.4%
Air Products & Chemicals, Inc. 32,000 $ 986,000
Avery-Dennison Corporation 7,000 469,875
Clorox Company 26,000 1,165,125
Engelhard Corporation 54,300 926,494
Praxair, Inc. 12,200 456,738
------------
4,004,232
------------
Commercial Services--1.1%
*Ceridian Corporation 67,300 1,619,406
*Quintiles Transnational Corporation 60,100 848,913
Service Corporation International 46,800 149,175
Waste Management, Inc. 21,300 404,700
------------
3,022,194
------------
Communications--1.5%
*Brocade Communications Systems, Inc. 3,900 715,589
*JDS Uniphase Corporation 11,800 1,414,525
Lucent Technologies, Inc. 5,000 296,250
*Nextel Communications, Inc. Class A 18,900 1,156,444
*Tellabs, Inc. 9,900 677,531
------------
4,260,339
------------
Computer Software & Processing--5.6%
*America Online, Inc. 14,500 764,875
Autodesk, Inc. 28,300 981,656
*BMC Software, Inc. 48,800 1,780,439
*BEA Systems, Inc. 7,100 351,006
*Cadence Design Systems, Inc. 47,000 957,625
Electronic Data Systems Corporation 40,400 1,666,500
First Data Corporation 15,500 769,188
*i2 Technologies, Inc. 4,700 490,048
*Microsoft Corporation 32,200 2,576,000
*Oracle Corporation 14,600 1,227,313
*Peoplesoft, Inc. 37,000 619,750
*Siebel Systems, Inc. 3,600 588,825
*Sun Microsystems, Inc. 16,200 1,473,188
*Unisys Corporation 42,600 620,363
*Veritas Software Corporation 9,900 1,118,854
------------
15,985,630
------------
Computers & Information--6.5%
*Apple Computer, Inc. 16,800 879,900
*Cisco Systems, Inc. 61,700 3,921,806
Compaq Computer Corporation 51,000 1,303,688
*Comverse Technology, Inc. 6,600 613,800
*Dell Computer Corporation 16,000 789,000
*EMC Corporation 19,900 1,531,056
Hewlett-Packard Company 24,800 3,096,900
Intel Corporation 30,500 4,077,469
International Business Machines Corporation 5,500 602,594
*3 Com Corporation 22,300 1,285,038
*Yahoo!, Inc. 3,000 371,625
------------
18,472,876
------------
Containers & Packaging--0.1%
*Sealed Air Corporation 6,000 314,250
------------
</TABLE>
55
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------------
<CAPTION>
Vantagepoint Growth & Income Fund Shares Value
<S> <C> <C>
-----------------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------------
Cosmetics & Personal Care--1.1%
Avon Products, Inc. 22,700 $ 1,010,150
Colgate-Palmolive Company 12,600 754,425
Ecolab, Inc. 12,000 468,750
Estee Lauder Companies Class A 16,500 815,719
------------
3,049,044
------------
Diversified--3.6%
*Berkshire Hathaway, Inc. Class A 9 484,200
General Electric Company 77,600 4,112,800
Minnesota Mining & Manufacturing Company (3M) 9,700 800,250
Tyco International Ltd. 103,400 4,898,575
------------
10,295,825
------------
Electronics--5.3%
*Advanced Micro Devices, Inc. 10,700 826,575
*Agilent Technologies, Inc. 20,109 1,483,039
*Altera Corporation 3,500 356,781
*Applied Micro Circuits Corporation 5,000 493,750
*Broadcom Corporation Class A 2,100 459,769
Emerson Electric Company 37,500 2,264,063
*General Motors Corporation Class H 5,300 465,075
*LSI Logic Corporation 8,800 476,300
Linear Technology Corporation 13,100 837,581
*Micron Technology, Inc. 8,400 739,725
*PMC-Sierra, Inc. 4,300 764,056
*SCI Systems, Inc. 11,900 466,331
Sony Corporation ADR (Japan) 8,000 754,500
*Teradyne, Inc. 21,200 1,558,200
Texas Instruments, Inc. 30,100 2,067,494
*Xilinx, Inc. 14,400 1,188,900
------------
15,202,139
------------
Entertainment & Leisure--1.6%
Carnival Corporation 60,000 1,170,000
Hasbro, Inc. 35,000 527,188
Time Warner, Inc. 39,000 2,964,000
------------
4,661,188
------------
Financial Services--1.9%
American Express Company 28,400 1,480,350
Indymac Mortgage Holdings 59,500 806,969
Merrill Lynch & Company, Inc. 4,500 517,500
Morgan Stanley Dean Witter & Company 19,400 1,615,050
Charles Schwab & Company, Inc. 25,850 869,206
------------
5,289,075
------------
Food Retailers--0.0%
Albertson's, Inc. 2,600 86,450
------------
</TABLE>
<TABLE>
----------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------------
Forest Products & Paper--2.2%
Georgia-Pacific Group 37,800 $ 992,250
Georgia-Pacific Corporation 33,300 720,113
Kimberly-Clark Corporation 66,500 3,815,438
Weyerhaeuser Company 14,300 614,900
------------
6,142,701
------------
Health Care Providers--1.6%
HCA-The Healthcare Company 24,400 741,150
*PacifiCare Health Systems, Inc. 7,000 421,313
*Tenet Healthcare Corporation 48,700 1,314,900
UnitedHealth Group, Inc. 22,800 1,955,100
------------
4,432,463
------------
Heavy Machinery--2.6%
*Applied Materials, Inc. 25,000 2,265,625
Baker Hughes, Inc. 36,000 1,152,000
Dover Corporation 11,000 446,188
Eaton Corporation 14,000 938,000
Grainger WW, Inc. 10,000 308,125
*Lam Research Corporation 6,000 225,000
Stanley Works 37,900 900,125
United Technologies Corporation 22,000 1,295,250
------------
7,530,313
------------
Home Furnishings & Appliances--0.4%
Corning, Inc. 4,000 1,079,500
------------
Household Products--0.5%
Illinois Tool Works, Inc. 27,000 1,539,000
------------
Insurance--6.0%
Allstate Corporation 9,000 200,250
American General Corporation 35,300 2,153,300
American International Group, Inc. 15,600 1,833,000
Cigna Corporation 23,300 2,178,550
Cincinnati Financial Corporation 20,800 653,900
Hartford Financial Services Group 18,000 1,006,875
Jefferson Pilot Corporation 4,000 225,750
Lincoln National Corporation 10,914 394,268
MBIA, Inc. 26,000 1,252,875
PMI Group, Inc. 12,000 570,000
Stancorp Financial Group, Inc. 27,300 877,013
*Wellpoint Health Networks 48,400 3,505,975
ACE Ltd. 54,200 1,517,600
XL Capital Ltd. 16,000 866,000
------------
17,235,356
------------
Media--Broadcasting &
Publishing--5.7%
*AT&T Corporation-Liberty Media Group 128,300 3,111,275
*Adelphia Communications Corporation Class A 21,500 1,007,813
American Greetings Corporation 26,600 505,400
*Cablevision Systems Corporation 23,000 1,561,125
</TABLE>
56
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------------------------
<CAPTION>
Vantagepoint Growth & Income Fund Shares Value
<S> <C> <C>
----------------------------------------------------------------------
COMMON STOCKS--(Continued)
----------------------------------------------------------------------
*Clear Channel Communications 17,100 $ 1,282,500
*Comcast Corporation 30,200 1,223,100
*EchoStar Communications Corporation Class A 7,100 235,077
*Fox Entertainment Group, Inc. 51,000 1,549,125
Gannett Company, Inc. 17,900 1,070,644
*Viacom, Inc. Class B 68,375 4,662,320
------------
16,208,379
------------
Medical Equipment & Supplies--3.3%
Allergan, Inc. 11,800 879,100
Baxter International, Inc. 38,700 2,721,094
Becton Dickinson & Company 27,100 777,431
*Burr-Brown Corporation 9,300 806,194
*Guidant Corporation 35,100 1,737,450
*KLA-Tencor Corporation 8,500 497,781
Medtronics, Inc. 29,000 1,444,563
PE Corporation 7,300 480,888
------------
9,344,501
------------
Metals & Mining--1.8%
Alcoa, Inc. 121,400 3,520,580
Cooper Industries, Inc. 23,500 765,219
Precision Castparts Corporation 17,700 800,925
------------
5,086,724
------------
Oil & Gas--8.7%
Anadarko Petroleum Corporation 30,100 1,484,306
Apache Corporation 9,200 541,075
Ashland, Inc. 35,100 1,230,694
Burlington Resources, Inc. 25,700 983,025
Conoco, Inc. 32,000 704,000
Enron Corporation 23,700 1,528,650
Equitable Resources, Inc. 24,100 1,162,825
Exxon Mobil Corporation 75,100 5,895,350
National Fuel Gas Company 15,000 731,250
Royal Dutch Petroleum Company 13,000 800,313
Shell Transport & Trading Company ADR
(United Kingdom) 42,600 2,127,338
Sunoco, Inc. 36,900 1,086,244
Texaco, Inc. 29,700 1,581,525
USX Marathon Group 41,700 1,045,106
Union Pacific Resources Group, Inc. 34,000 748,000
Unocal Corporation 49,300 1,633,063
Williams Companies, Inc. 31,000 1,292,313
Transocean Sedco Forex, Inc. 7,000 374,063
------------
24,949,140
------------
Pharmaceuticals--5.9%
American Home Products Corporation 27,100 1,592,125
*Amgen, Inc. 17,500 1,229,375
AstraZeneca Group PLC ADR (United Kingdom) 52,000 2,418,000
*Forest Laboratories, Inc. 29,000 2,929,000
*Genentech, Inc. 4,900 842,800
Eli Lilly & Company 6,400 639,200
</TABLE>
<TABLE>
----------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------------
Pfizer, Inc. 110,500 $ 5,304,000
Schering-Plough Corporation 37,100 1,873,550
------------
16,828,050
------------
Photographic Equipment & Supplies--0.3%
Eastman Kodak Company 12,900 767,550
------------
Restaurants--0.4%
McDonald's Corporation 14,700 484,181
*Starbucks Corporation 14,000 534,625
------------
1,018,806
------------
Retailers--2.8%
*AutoNation, Inc. 58,000 409,625
CCS Corporation 13,200 528,000
Family Dollar Stores, Inc. 50,500 987,906
Gap, Inc. 9,000 281,250
*Kohls Corporation 7,300 406,063
May Department Stores Company 44,800 1,075,200
RadioShack Corporation 17,000 805,375
TJX Companies, Inc. 30,100 564,375
Target Corporation 13,600 788,800
Wal-Mart Stores, Inc. 30,500 1,757,563
*Williams-Sonoma, Inc. 11,000 356,813
------------
7,960,970
------------
Telecommunications--6.2%
AT&T Corporation 63,300 2,001,863
Alltel Corporation 9,000 557,438
Bell Atlantic Corporation 24,400 1,239,825
Telefonaktiebolaget LM Ericsson ADR (Sweden) 12,000 240,000
Nokia Corporation ADR (Finland) 54,700 2,731,581
Nortel Networks Corporation 32,000 2,184,000
Sprint Corporation (FON Group) 48,600 2,478,600
*Sprint Corporation (PCS Group) 23,400 1,392,300
US West, Inc. 5,000 428,750
Vodafone AirTouch PLC ADR (United Kingdom) 20,100 832,894
*VoiceStream Wireless Corporation 10,900 1,267,636
*WorldCom, Inc. 52,300 2,399,263
------------
17,754,150
------------
Textiles, Clothing & Fabrics--0.6%
Nike, Inc. 27,000 1,074,938
VF Corporation 15,000 357,188
*Tommy Hilfiger Corporation 21,300 159,750
------------
1,591,876
------------
Transportation--1.2%
Brunswick Corporation 19,700 326,281
Canadian National Railway Company 46,400 1,354,300
Galileo International, Inc. 21,000 438,375
Norfolk Southern Corporation 44,200 657,475
Union Pacific Corporation 10,000 371,875
United Parcel Service, Inc. Class B 6,300 371,700
------------
3,520,006
------------
</TABLE>
57
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------
<CAPTION>
Vantagepoint Growth & Income Fund Shares Value
<S> <C> <C>
-----------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------
Utilities--2.1%
*AES Corporation 22,000 $ 1,003,750
American Electric Power, Inc. 500 14,813
Cinergy Corporation 20,600 524,013
Constellation Energy Group 14,000 455,875
DQE, Inc. 18,000 712,125
*Niagra Mohawk Holdings, Inc. 22,000 306,625
NiSource, Inc. 20,700 385,538
Peco Energy Company 22,900 923,156
Pinnacle West Capital Corporation 29,300 992,538
Scana Corporation 27,500 663,438
------------
5,981,871
------------
TOTAL COMMON STOCKS
(Cost $256,657,515) 276,375,404
------------
</TABLE>
<TABLE>
-------------------------------------------------------------------------------------------------------
<CAPTION>
Coupon Maturity
Rate Date Face
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS--0.2%
-------------------------------------------------------------------------------------------------------
Retailers--0.2%
Amazon.com, Inc. (Cost $564,060)
4.75% 02/01/2009 $ 777,000 491,453
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares
<S> <C> <C>
-------------------------------------------------------------
CASH EQUIVALENTS--5.7%
-------------------------------------------------------------
Institutional Money Market Funds--0.9%
++Janus Money Market Fund 970,468 970,468
++Merrimac Cash Fund--Premium Class 1,500,000 1,500,000
------------
2,470,468
------------
Bank & Certificate Deposits/
Offshore Time Deposits--3.6%
++American Express Centurion Bank 1,839,345 1,839,345
++Bank of Montreal 3,593,518 3,593,518
++Credit Agricole Indosuez 1,314,502 1,314,502
++Fleet National Bank 2,337,350 2,337,350
++Royal Bank of Scotland PLC 1,315,506 1,315,506
------------
10,400,221
------------
Floating Rate Instruments/
Master Notes--1.2%
++Bank of America 1,073,064 1,073,064
++Bank of Montreal 1,000,000 1,000,000
++First Union National Bank 304,259 304,259
++Goldman Sachs & Co 852,544 852,544
++Morgan Stanley Dean Witter & Co 304,258 304,258
------------
3,534,125
------------
TOTAL CASH EQUILVALENTS
(Cost $16,404,814) 16,404,814
------------
</TABLE>
<TABLE>
---------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.3%
---------------------------------------------------------------------------
IBT Repurchase Agreement dated
06/30/2000 due 07/03/2000, with a
maturity value of $9,332,123 and an
effective yield of 6.03% collateralized by
Federal National Mortgage Association ARM
with a rate of 7.24%, a maturity date
of 07/01/2025 and a market value of $1,128,805,
Small Business Association with a rate of 7.26%,
a maturity date of 03/25/2017 and a
market value of $1,002,865, Federal National
Mortgage Association ARM with a rate of
7.62%, a maturity date of 11/01/2023 and a
market value of $6,289,721, Government
National Mortgage Association ARM with
a rate of 7.38%, a maturity date of
02/20/2024 and a market value of $1,372,817. $9,326,854 $ 9,326,854
------------
TOTAL INVESTMENTS--105.9%
**(Cost $282,953,243) 302,598,525
Other assets less liabilities--(5.9%) (16,968,654)
------------
NET ASSETS--100.0% $285,629,871
============
</TABLE>
Notes to the Schedule of Investments:
ADR American Depositary Receipt
ARM Adjustable Rate Mortgage
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$282,953,243. Unrealized appreciation and depreciation, based on identified
tax cost at June 30, 2000 are as follows:
<TABLE>
<S> <C>
Unrealized appreciation $ 38,674,612
Unrealized depreciation (19,029,330)
------------
Net unrealized appreciation $ 19,645,282
============
</TABLE>
++ Represents collateral received from securities lending transactions.
See accompanying notes to financial statements.
58
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------------
<CAPTION>
Vantagepoint Equity Income Fund Shares Value
<S> <C> <C>
------------------------------------------------------------------
COMMON STOCKS--95.4%
------------------------------------------------------------------
Aerospace & Defense--2.8%
Boeing Company 68,300 $ 2,855,794
Honeywell International, Inc. 166,337 5,603,478
Lockheed Martin Corporation 50,000 1,240,625
Northrop Grumman Corporation 37,200 2,464,500
------------
12,164,397
------------
Airlines--0.4%
British Airways PLC ADR (United Kingdom) 29,000 1,667,500
------------
Automotive--2.1%
Delphi Automotive Systems Corporation 80,100 1,166,456
Ford Motor Company 111,081 4,776,483
Genuine Parts Company 42,552 851,040
Johnson Controls, Inc. 43,500 2,232,094
*Visteon Corporation 14,544 176,348
------------
9,202,421
------------
Banking--10.8%
Associates First Capital Corporation 141,000 3,146,063
Bank of America Corporation 48,357 2,079,351
Bank One Corporation 133,325 3,541,445
Chase Manhattan Corporation 84,907 3,911,029
Citigroup, Inc. 86,900 5,235,725
First Union Corporation 125,304 3,109,106
Fleet Boston Financial Corporation 145,608 4,950,672
Mellon Financial Corporation 72,056 2,625,541
Mercantile Bankshares Corporation 30,400 906,300
JP Morgan & Company, Inc. 10,817 1,191,222
National City Corporation 27,000 460,688
PNC Bank Corporation 65,200 3,056,250
US Bancorp 212,422 4,089,124
Unionbancal Corporation 67,700 1,256,681
Wachovia Corporation 55,517 3,011,797
Washington Mutual, Inc. 93,097 2,688,176
Wells Fargo & Company 31,300 1,212,875
------------
46,472,045
------------
Beverages, Food & Tobacco--7.1%
Bestfoods 26,300 1,821,275
Brown Forman Corporation 20,500 1,101,875
Campbell Soup Company 26,712 777,987
General Mills, Inc. 69,022 2,640,092
Heinz HJ Company 144,849 6,337,144
Hershey Foods Corporation 40,900 1,991,319
Hormel Foods Corporation 139,400 2,343,663
Philip Morris Companies, Inc. 256,400 6,810,625
Sara Lee Corporation 87,600 1,691,775
Supervalu, Inc. 144,300 2,750,719
UST, Inc. 56,537 830,387
Whitman Corporation 101,800 1,259,775
------------
30,356,636
------------
Bio-Technology--2.3%
Pharmacia Corporation 191,066 9,875,724
------------
</TABLE>
<TABLE>
-----------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------------------
Chemicals--4.0%
Air Products & Chemicals, Inc. 147,600 $ 4,547,925
Dow Chemicals Company 116,271 3,509,931
Du Pont (E.I.) de Nemours & Company 41,446 1,813,263
Great Lakes Chemical Corporation 30,500 960,750
Hercules, Inc. 48,000 675,000
International Flavors & Fragrances 45,900 1,385,606
Lyondell Chemical Company 114,500 1,917,875
Occidental Petroleum Corporation 121,800 2,565,413
------------
17,375,763
------------
Commercial Services--3.1%
RR Donnelley & Sons Company 70,000 1,579,375
Dun & Bradstreet Corporation 75,000 2,146,875
Halliburton Company 73,300 3,458,844
Waste Management, Inc. 314,900 5,983,100
------------
13,168,194
------------
Computers & Information--1.7%
Compaq Computer Corporation 50,000 1,278,125
Hewlett-Packard Company 11,100 1,386,113
International Business Machines Corporation 40,400 4,426,325
------------
7,090,563
------------
Cosmetics & Personal Care--0.6%
Gillette Company 30,000 1,048,125
Procter & Gamble Company 25,000 1,431,250
------------
2,479,375
------------
Diversified--1.0%
Minnesota Mining & Manufacturing Company (3M) 15,090 1,244,925
Newell Rubbermaid, Inc. 124,500 3,205,875
------------
4,450,800
------------
Electronics--1.7%
Emerson Electric Company 110,700 6,683,513
Motorola, Inc. 25,000 726,563
------------
7,410,076
------------
Entertainment & Leisure--0.5%
Walt Disney Company 50,000 1,940,625
------------
Financial Services--1.7%
CIT Group, Inc. Class A 140,600 2,284,750
Federal National Mortgage Association 68,406 3,569,938
Merrill Lynch & Company, Inc. 13,700 1,575,500
------------
7,430,188
------------
Food Retailers--0.9%
Albertson's, Inc. 112,200 3,730,650
------------
</TABLE>
59
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------------
<CAPTION>
Vantagepoint Equity Income Fund Shares Value
<S> <C> <C>
-------------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------------
Forest Products & Paper--2.8%
Consolidated Papers, Inc. 36,000 $ 1,316,250
Fort James Corporation 150,100 3,471,063
International Paper Company 189,368 5,645,534
Kimberly-Clark Corporation 30,359 1,741,848
------------
12,174,695
------------
Health Care Providers--0.7%
HCA-The Healthcare Company 98,500 2,991,938
------------
Heavy Machinery--3.5%
Baker Hughes, Inc. 213,600 6,835,184
Black & Decker Corporation 68,400 2,688,975
Caterpillar, Inc. 30,777 1,042,571
Grainger WW, Inc. 30,000 924,375
Pall Corporation 79,500 1,470,750
Rockwell International Corporation 21,000 661,500
Stanley Works 65,000 1,543,750
------------
15,167,105
------------
Home Furnishings & Appliances--0.3%
Whirlpool Corporation 29,700 1,384,763
------------
Household Products--0.1%
Fortune Brands, Inc. 24,765 571,143
------------
Insurance--5.6%
Allstate Corporation 132,100 2,939,225
American General Corporation 26,783 1,633,763
Cigna Corporation 38,300 3,581,050
Chubb Corporation 15,700 965,550
Hartford Financial Services Group 76,200 4,262,438
Lincoln National Corporation 22,286 805,082
Unumprovident Corporation 70,000 1,404,375
ACE Ltd. 128,900 3,609,200
XL Captial Ltd. 92,100 4,984,913
------------
24,185,596
------------
Lodging--0.8%
Hilton Hotels Corporation 180,000 1,687,500
Starwood Hotels & Resorts Worldwide, Inc. 53,000 1,712,563
------------
3,400,063
------------
Media--Broadcasting &
Publishing--0.6%
Knight Ridder, Inc. 29,000 1,542,438
Reader's Digest Association, Inc. Class A 26,000 1,033,500
------------
2,575,938
------------
Medical Equipment & Supplies--1.6%
Baxter International, Inc. 65,400 4,598,438
Becton Dickinson & Company 81,200 2,329,425
------------
6,927,863
------------
Metals & Mining--1.9%
Alcoa, Inc. 146,600 4,251,400
Cooper Industries, Inc. 109,000 3,549,313
Hubbell, Inc. Class B 22,000 561,000
------------
8,361,713
------------
</TABLE>
<TABLE>
----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------
Office Equipment & Supplies--1.1%
Ikon Office Solutions, Inc. 308,200 $ 1,194,275
Xerox Corporation 175,700 3,645,775
------------
4,840,050
------------
Oil & Gas--10.2%
Amerada Hess Corporation 31,000 1,914,250
BP Amoco PLC ADR (United Kingdom) 148,154 8,379,961
Chevron Corporation 54,466 4,619,398
Conoco, Inc. 143,300 3,152,600
Exxon Mobil Corporation 57,380 4,504,330
Phillips Petroleum Company 68,900 3,492,369
Repsol SA ADR (Spain) 119,400 2,365,613
Royal Dutch Petroleum Company 30,781 1,894,955
Texaco, Inc. 136,632 7,275,654
Total Fina SA ADR (France) 39,300 3,018,731
Unocal Corporation 45,000 1,490,625
Williams Companies, Inc. 45,500 1,896,781
------------
44,005,267
------------
Pharmaceuticals--3.1%
Abbott Laboratories 122,174 5,444,379
American Home Products Corporation 83,247 4,890,761
Bristol-Myers Squibb Company 27,900 1,625,175
Merck & Company, Inc. 20,134 1,542,768
------------
13,503,083
------------
Photographic Equipment &
Supplies--0.4%
Eastman Kodak Company 29,741 1,769,590
------------
Real Estate--1.9%
Crescent Real Estate Equities Co. REIT 86,500 1,773,250
Equity Office Properties Trust 76,500 2,108,531
Rouse Company 100,000 2,475,000
Simon Property Group, Inc. 80,000 1,775,000
------------
8,131,781
Restaurants--0.7%
Wendy's International, Inc. 167,000 2,974,688
------------
Retailers--3.2%
*K Mart Corporation 340,500 2,319,656
May Department Stores Company 110,465 2,651,160
Nordstrom, Inc. 29,200 704,450
J.C. Penney Company, Inc. 151,721 2,797,356
*Toys "R" Us, Inc. 356,200 5,187,163
------------
13,659,785
------------
Telecommunications--6.9%
AT&T Corporation 74,200 2,346,575
Alltel Corporation 60,300 3,734,831
Bell Atlantic Corporation 88,300 4,486,744
GTE Corporation 100,362 6,247,535
SBC Communications, Inc. 169,899 7,348,132
Sprint Corporation (FON Group) 40,000 2,040,000
US West, Inc. 40,123 3,440,547
------------
29,644,364
------------
</TABLE>
60
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Vantagepoint Equity Income Fund Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Transportation--2.4%
Burlington Northern Santa Fe 71,300 $ 1,635,444
CSX Corporation 80,000 1,695,000
Norfolk Southern Corporation 211,040 3,139,220
Union Pacific Corporation 107,197 3,986,388
------------
10,456,052
------------
Utilities--6.9%
Cinergy Corporation 189,200 4,812,775
Dominion Resources, Inc. 32,700 1,402,013
Duke Energy Corporation 25,684 1,447,936
Entergy Corporation 144,800 3,936,750
FPL Group, Inc. 29,040 1,437,480
Firstenergy Corporation 41,000 958,375
Northeast Utilities 217,200 4,724,100
Pinnacle West Capital Corporation 53,700 1,819,088
Reliant Energy, Inc. 162,400 4,800,950
Scottish Power PLC ADR (United Kingdom) 25,416 849,848
Southern Company 49,305 1,149,423
Unicom Corporation 64,300 2,487,606
------------
29,826,344
------------
TOTAL COMMON STOCKS
(Cost $435,733,006) 411,366,778
------------
</TABLE>
<TABLE>
--------------------------------------------------------------------------------------------------
<CAPTION>
Coupon Maturity
Rate Date Face
<S> <C> <C> <C>
--------------------------------------------------------------------------------------------------
COMMERCIAL PAPER--1.6%
--------------------------------------------------------------------------------------------------
Banking--0.7%
Tulip Funding Corporation
6.56% 07/17/2000 $3,000,000 2,983,053
Insurance--0.6%
Fortis Finance NV
6.53% 07/07/2000 2,500,000 2,486,849
Utilities--0.3%
Alabama Power Company
6.60% 07/24/2000 1,500,000 1,490,925
------------
TOTAL COMMERCIAL PAPER
(Cost $6,960,827) 6,960,827
------------
</TABLE>
<TABLE>
----------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENTS--4.0%
----------------------------------------------------------
Institutional Money Market Funds--1.2%
++Janus Money Market Fund 1,611,972 1,611,972
++Merrimac Cash Fund-Premium Class 3,592,903 3,592,903
------------
5,204,875
------------
Bank & Certificate Deposits/Offshore Time
Deposits--2.5%
++American Express Centurion Bank 2,315,183 2,315,183
++Bank of Montreal 1,289,577 1,289,577
++Credit Agricole Indosuez 1,937,345 1,937,345
++Fleet National Bank 2,320,334 2,320,334
++Royal Bank of Scotland PLC 2,899,170 2,899,170
------------
10,761,609
------------
</TABLE>
<TABLE>
----------------------------------------------------------------------
<CAPTION>
Face Value
<S> <C> <C>
----------------------------------------------------------------------
Floating Rate Instruments/
Master Notes--0.3%
++Bank of America $ 484,014 $ 484,014
++First Union National Bank 322,395 322,395
++Goldman Sachs & Co 387,211 387,211
++Morgan Stanley Dean Witter & Co 222,395 222,395
------------
1,416,015
------------
TOTAL CASH EQUIVALENTS (Cost $17,382,499) 17,382,499
------------
----------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.7%
----------------------------------------------------------------------
IBT Repurchase Agreement dated 06/30/2000 due
07/03/2000, with a maturity value of $11,800,597 and an
effective yield of 6.03% collateralized by Small
Business Association with a rate of 9.13%, a maturity
date of 03/25/2023 and a market value of $3,577,087,
Federal Home Loan Mortgage Corporation ARM with a rate
of 6.41%, a maturity date of 01/01/2021 and a market
value of $214,631, Federal National Mortgage
Association CMO with a rate of 5.72%, a maturity date
of 06/25/2023 and a
market value of $8,593,019. $ 11,794,670 $ 11,794,670
------------
TOTAL INVESTMENTS--104.2%
** (Cost $471,871,002) 447,504,775
Other assets less liabilities--(4.2%) (17,965,423)
------------
NET ASSETS 100.0% $429,539,352
============
</TABLE>
Notes to the Schedule of Investments:
ADR American Depositary Receipt
ARM Adjustable Rate Mortgage
CMO Collateralized Mortgage Obligation
REIT Real Estate Investment Trust
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$471,871,002. Unrealized appreciation and depreciation, based on identified
tax cost at June 30, 2000 are as follows:
<TABLE>
<S> <C>
Unrealized appreciation $ 36,974,513
Unrealized depreciation (61,340,740)
-------------
Net unrealized depreciation $ (24,366,227)
=============
</TABLE>
++ Represents collateral received from securities lending transactions.
61
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------------------
<CAPTION>
Vantagepoint Asset Allocation Fund Shares Value
<S> <C> <C>
----------------------------------------------------------------
COMMON STOCKS--56.6%
----------------------------------------------------------------
Advertising--0.1%
Interpublic Group, Inc. 14,300 $ 614,900
Omnicom Group 8,400 748,125
Young & Rubicam, Inc. 3,300 188,719
--------------
1,551,744
--------------
Aerospace & Defense--0.5%
Boeing Company 42,992 1,797,603
General Dynamics Corporation 9,600 501,600
Honeywell International, Inc. 37,725 1,270,861
Lockheed Martin Corporation 18,800 466,475
Northrop Grumman Corporation 3,300 218,625
Raytheon Company Class B 16,100 309,925
TRW, Inc. 5,800 251,575
*Teledyne Technologies, Inc. 0 2
Textron, Inc. 6,800 369,325
--------------
5,185,991
--------------
Airlines--0.1%
*AMR Corporation 7,000 185,063
Delta Air Lines, Inc. 5,800 293,263
Southwest Airlines, Inc. 23,975 454,027
*US Airways Group, Inc. 3,100 120,900
--------------
1,053,253
--------------
Automotive--0.6%
Cooper Tire & Rubber Company 3,600 40,050
Dana Corporation 7,124 150,940
Delphi Automotive Systems Corporation 26,635 387,872
Ford Motor Company 57,314 2,464,502
General Motors Corporation 25,400 1,474,788
Genuine Parts Company 8,325 166,500
Goodyear Tire & Rubber Company 7,400 148,000
Harley-Davidson, Inc. 14,400 554,400
ITT Industries, Inc. 4,100 124,538
Johnson Controls, Inc. 4,100 210,381
*Navistar International Corporation 3,000 93,188
*Visteon Corporation 7,504 90,990
--------------
5,906,149
--------------
Banking--3.8%
Amsouth Bancorp 18,600 292,950
Associates First Capital Corporation 34,542 770,718
BB&T Corporation 16,500 393,938
Bank of America Corporation 78,516 3,376,188
Bank of New York Company, Inc. 35,000 1,627,500
Bank One Corporation 54,369 1,444,177
Capital One Financial Corporation 9,400 419,475
Charter One Financial, Inc. 5,400 124,200
Chase Manhattan Corporation 58,620 2,700,184
Citigroup, Inc. 159,872 9,632,288
Comerica, Inc. 7,450 334,319
Fifth Third Bancorp 14,650 926,613
First Union Corporation 46,484 1,153,384
Firstar Corporation 46,001 968,890
Fleet Boston Financial Corporation 42,726 1,452,677
Golden West Financial Corporation 7,500 306,094
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
Household International, Inc. 22,319 $ 927,633
Huntington Bancshares, Inc. 10,797 170,728
KeyCorp 20,600 363,075
MBNA Corporation 37,927 1,028,770
Mellon Financial Corporation 23,300 848,994
JP Morgan & Company, Inc. 7,700 847,963
National City Corporation 28,700 489,694
Northern Trust Corporation 10,500 683,156
PNC Bank Corporation 13,800 646,875
Regions Financial Corporation 10,300 204,713
SLM Holding Corporation 7,400 277,038
Safeco Corporation 6,000 119,250
Southtrust Corporation 7,900 178,738
State Street Corporation 7,600 806,075
Summit Bancorp 8,300 204,388
Suntrust Banks, Inc. 14,300 653,331
Synovus Financial Corporation 13,100 230,888
US Bancorp 35,624 685,762
Union Planters Corporation 6,400 178,800
Wachovia Corporation 9,600 520,800
Washington Mutual, Inc. 25,943 749,104
Wells Fargo & Company 76,360 2,958,950
--------------
39,698,320
--------------
Beverages, Food & Tobacco--2.3%
Anheuser Busch Companies, Inc. 21,400 1,598,313
Archer-Daniels-Midland Company 28,840 282,993
Bestfoods 13,000 900,250
Brown Forman Corporation 3,300 177,375
Campbell Soup Company 20,200 588,325
Coca Cola Company 117,200 6,731,675
Coca Cola Enterprises, Inc. 19,900 324,619
Conagra, Inc. 23,300 444,156
Adolph Coor Company Class B 1,800 108,900
General Mills, Inc. 13,800 527,850
Heinz HJ Company 16,650 728,438
Hershey Foods Corporation 6,600 321,338
Kellogg Company 19,200 571,200
Nabisco Group Holdings Corporation 15,400 399,438
Pepsico, Inc. 68,300 3,035,081
Philip Morris Companies, Inc. 108,400 2,879,375
Quaker Oats Company 6,200 465,775
Ralston-Ralston Purina Group 14,300 285,106
Sara Lee Corporation 41,200 795,675
Supervalu, Inc. 6,200 118,188
Sysco Corporation 15,700 661,363
UST, Inc. 8,100 118,969
Unilever NV 27,134 1,166,762
WM Wrigley Jr. Company 5,400 433,013
--------------
23,664,177
--------------
Bio-Technology--0.3%
Pharmacia Corporation 59,566 3,078,818
--------------
Building Materials--0.6%
Home Depot, Inc. 109,500 5,468,156
Louisiana Pacific Corporation 5,000 54,375
Lowe's Companies, Inc. 18,100 743,231
Owens Corning 2,600 24,050
Vulcan Materials Company 4,800 204,900
--------------
6,494,712
--------------
</TABLE>
62
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------------
<CAPTION>
Vantagepoint Asset Allocation Fund Shares Value
<S> <C> <C>
------------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------------
Chemicals--0.6%
Air Products & Chemicals, Inc. 10,900 $ 335,856
Avery-Dennison Corporation 5,300 355,763
Clorox Company 11,100 497,419
Dow Chemicals Company 31,287 944,476
Du Pont (E.I.) de Nemours & Company 49,700 2,174,375
Eastman Chemical Company 3,675 175,481
Engelhard Corporation 5,937 101,300
BF Goodrich Company 5,200 177,125
*W.R. Grace & Company 3,400 41,225
Great Lakes Chemical Corporation 2,600 81,900
Hercules, Inc. 5,000 70,313
International Flavors & Fragrances 4,900 147,919
Occidental Petroleum Corporation 17,390 366,277
Praxair, Inc. 7,500 280,781
Rohm & Haas Company 10,275 354,488
Tupperware Corporation 2,700 59,400
Union Carbide Corporation 6,400 316,800
--------------
6,480,898
--------------
Commercial Services--0.4%
*Allied Waste Industries, Inc. 8,900 89,000
H&R Block, Inc. 4,600 148,925
*Cendant Corporation 33,500 469,000
*Ceridian Corporation 6,800 163,625
*Convergys Corporation 3,500 181,563
Deluxe Corporation 3,400 80,113
RR Donnelley & Sons Company 5,700 128,606
Dun & Bradstreet Corporation 7,700 220,413
Equifax, Inc. 6,700 175,875
Halliburton Company 21,000 990,938
Paychex, Inc. 17,550 737,100
*Quintiles Transnational Corporation 5,400 76,275
Ryder System, Inc. 2,800 53,025
Waste Management, Inc. 29,427 559,113
--------------
4,073,571
--------------
Communications--1.7%
*ADC Telecommunications, Inc. 14,300 1,199,413
*Andrew Corporation 3,787 127,101
Lucent Technologies, Inc. 154,219 9,137,476
*Network Appliance, Inc. 14,400 1,159,200
*Nextel Communications, Inc. Class A 36,000 2,202,750
*Qualcomm, Inc. 35,100 2,106,000
Scientific Atlanta, Inc. 7,500 558,750
*Tellabs, Inc. 19,100 1,307,156
--------------
17,797,846
--------------
Computer Software & Processing--5.3%
Adobe Systems, Inc. 5,700 741,000
*America Online, Inc. 108,500 5,723,375
Autodesk, Inc. 2,700 93,656
Automatic Data Processing, Inc. 29,700 1,590,806
*BMC Software, Inc. 11,600 423,219
*Citrix Systems, Inc. 8,500 160,969
Computer Associates International, Inc. 27,925 1,429,411
*Compuware Corporation 17,000 176,375
</TABLE>
<TABLE>
----------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------------
Electronic Data Systems Corporation 22,100 $ 911,625
First Data Corporation 19,500 967,688
*Microsoft Corporation 249,100 19,928,000
*NCR Corporation 4,600 179,113
*Novell, Inc. 15,500 143,375
*Oracle Corporation 134,160 11,277,825
*Parametric Technology Corporation 13,000 143,000
*Peoplesoft, Inc. 12,700 212,725
*Sapient Corporation 2,800 299,425
Shared Medical Systems Corporation 1,300 94,819
*Siebel Systems, Inc. 9,500 1,553,844
*Sun Microsystems, Inc. 75,100 6,829,406
*Unisys Corporation 14,700 214,069
*Veritas Software Corporation 18,500 2,090,789
--------------
55,184,514
--------------
Computers & Information--7.9%
*Apple Computer, Inc. 15,400 806,575
*Cabletron Systems, Inc. 8,600 217,150
*Cisco Systems, Inc. 329,500 20,943,844
Compaq Computer Corporation 80,469 2,056,989
*Computer Sciences Corporation 8,000 597,500
*Comverse Technology, Inc. 7,300 678,900
*Dell Computer Corporation 121,900 6,011,194
*EMC Corporation 102,800 7,909,175
*Gateway, Inc. 15,100 856,925
Hewlett-Packard Company 47,400 5,919,075
IMS Health, Inc. 14,000 251,998
Intel Corporation 158,600 21,202,838
International Business Machines Corporation 84,000 9,203,250
*Lexmark International Group, Inc. 6,100 410,225
*MIPS Technologies Class B 6 217
Pitney Bowes, Inc. 12,200 488,000
*Sabre Holdings Corporation 6,131 174,729
*Seagate Technology, Inc. 10,300 566,500
*3 Com Corporation 16,300 939,288
*Yahoo!, Inc. 25,800 3,195,975
--------------
82,430,347
--------------
Construction--0.0%
Centex Corporation 2,800 65,800
Fluor Corporation 3,600 113,850
Kaufman and Broad Home Corporation 2,200 43,588
McDermott International, Inc. 2,800 24,675
Pulte Corporation 2,000 43,250
--------------
291,163
--------------
Containers & Packaging--0.0%
Ball Corporation 1,400 45,063
Bemis Company 2,500 84,063
Crown Cork & Seal Company, Inc. 5,900 88,500
*Pactiv Corporation 8,100 63,788
*Sealed Air Corporation 3,965 207,667
--------------
489,081
--------------
Cosmetics & Personal Care--0.7%
Alberto Culver Company Class B 2,600 79,463
Avon Products, Inc. 11,200 498,400
Colgate-Palmolive Company 27,300 1,634,588
</TABLE>
63
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------------------
<CAPTION>
Vantagepoint Asset Allocation Fund Shares Value
<S> <C> <C>
------------------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------------------
Ecolab, Inc. 6,100 $ 238,281
Gillette Company 49,500 1,729,406
Procter & Gamble Company 62,000 3,549,500
*Water Pik Tecnologies, Inc. 0 2
--------------
7,729,640
--------------
Diversified--3.1%
General Electric Company 468,300 24,819,900
Loews Corporation 4,700 282,000
Minnesota Mining & Manufacturing Company (3M) 18,800 1,551,000
Nacco Industries, Inc. Class A 200 7,025
Newell Rubbermaid, Inc. 12,560 323,420
PerkinElmer, Inc. 2,200 145,475
Seagram Company Ltd. 20,572 1,193,176
Temple Inland, Inc. 2,500 105,000
Tyco International Ltd. 79,952 3,787,726
--------------
32,214,722
--------------
Electronics--2.3%
*Adaptec, Inc. 5,000 113,750
*Advanced Micro Devices, Inc. 7,000 540,750
*Agilent Technologies, Inc. 21,269 1,568,589
*Altera Corporation 9,500 968,406
*American Power Conversion Corporation 9,100 371,394
*Analog Devices, Inc. 16,600 1,261,600
*Conexant Systems, Inc. 10,200 495,975
Emerson Electric Company 20,200 1,219,575
*Energizer Holdings, Inc. 1 18
*LSI Logic Corporation 14,100 763,163
Linear Technology Corporation 14,800 946,275
*Maxim Integrated Products, Inc. 13,200 896,775
*Micron Technology, Inc. 25,700 2,263,206
Molex, Inc. 9,275 446,359
Motorola, Inc. 101,490 2,949,553
*National Semiconductor Corporation 8,200 465,350
National Service Industries, Inc. 1,900 37,050
*Novellus System, Inc. 6,200 350,688
*Sanmina Corporation 1,000 85,500
*Solectron Corporation 28,200 1,180,875
*Teradyne, Inc. 8,200 602,700
Texas Instruments, Inc. 77,300 5,309,544
Thomas & Betts Corporation 2,700 51,638
*Xilinx, Inc. 15,200 1,254,950
--------------
24,143,683
--------------
Entertainment & Leisure--0.9%
Carnival Corporation 28,600 557,700
Walt Disney Company 98,400 3,819,150
*Harrah's Entertainment, Inc. 5,750 120,391
Hasbro, Inc. 8,075 121,630
Mattel, Inc. 19,978 263,460
Time Warner, Inc. 62,340 4,737,840
--------------
9,620,171
--------------
Financial Services--1.8%
American Express Company 63,300 3,299,513
Bear Stearns & Company, Inc. 5,233 217,824
Countrywide Credit Industries, Inc. 5,300 160,656
Federal Home Loan Mortgage Corporation 33,100 1,340,550
</TABLE>
<TABLE>
----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------
Federal National Mortgage Association 47,800 $ 2,494,563
Franklin Resources, Inc. 11,500 349,313
Lehman Brothers, Inc. 5,700 539,006
Merrill Lynch & Company, Inc. 18,100 2,081,500
Morgan Stanley Dean Witter & Company 53,630 4,464,698
Old Kent Financial Corporation 6,510 174,143
Paccar, Inc. 3,710 147,241
Paine Webber Group, Inc. 6,800 309,400
T. Rowe Price Associates, Inc. 5,700 242,250
Providian Financial Corporation 6,800 612,000
Charles Schwab & Company, Inc. 64,522 2,169,552
Worthington Industries, Inc. 4,175 43,838
--------------
18,646,047
--------------
Food Retailers--0.2%
Albertson's, Inc. 20,042 666,397
Great Atlantic & Pacific Tea Company 1,800 29,925
*Kroger Company 39,500 871,469
Winn Dixie, Inc. 6,900 98,756
--------------
1,666,547
--------------
Forest Products & Paper--0.3%
Boise Cascade Corporation 2,700 69,863
Fort James Corporation 9,700 224,313
Georgia-Pacific Group 8,000 210,000
International Paper Company 22,902 682,766
Kimberly-Clark Corporation 26,420 1,515,848
Mead Corporation 4,900 123,725
Potlatch Corporation 1,300 43,063
Westvaco Corporation 4,700 116,619
Weyerhaeuser Company 11,000 473,000
Willamette Industries, Inc. 5,200 141,700
--------------
3,600,897
--------------
Health Care Providers--0.2%
The Healthcare Company-HCA 26,377 801,201
*Healthsouth Corporation 18,300 131,531
*Manor Care, Inc. 4,800 33,600
*Tenet Healthcare Corporation 14,800 399,600
UnitedHealth Group, Inc. 7,700 660,275
--------------
2,026,207
--------------
Heavy Machinery--0.8%
*Applied Materials, Inc. 38,300 3,470,938
Baker Hughes, Inc. 15,680 501,760
Black & Decker Corporation 4,100 161,181
Briggs & Stratton Corporation 1,100 37,675
Caterpillar, Inc. 16,500 558,938
Cummins Engine Company, Inc. 1,900 51,775
Deere & Company 11,100 410,700
Dover Corporation 9,700 393,456
Eaton Corporation 3,500 234,500
Grainger WW, Inc. 4,400 135,575
Ingersoll Rand Company 7,650 307,913
Milacron, Inc. 1,700 24,650
Pall Corporation 5,766 106,671
Parker-Hannifin Corporation 5,225 178,956
Rockwell International Corporation 9,000 283,500
Stanley Works 4,200 99,750
</TABLE>
64
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------
<CAPTION>
Vantagepoint Asset Allocation Fund Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------
Timken Company 2,900 $ 54,013
United Technologies Corporation 22,300 1,312,913
--------------
8,324,864
--------------
Home Furnishings & Appliances--0.4%
Armstrong Holdings, Inc. 1,900 29,094
Corning, Inc. 13,100 3,535,363
Leggett & Platt, Inc. 9,300 153,450
Maytag Corporation 3,700 136,438
Whirlpool Corporation 3,500 163,188
--------------
4,017,533
--------------
Household Products--0.1%
Fortune Brands, Inc. 7,500 172,969
Illinois Tool Works, Inc. 14,300 815,100
*Owens-Illinois, Inc. 7,100 82,981
PPG Industries, Inc. 8,224 364,426
Snap-On, Inc. 2,750 73,219
--------------
1,508,695
--------------
Insurance--1.7%
AFLAC Corporation 12,600 578,813
Aetna, Inc. 6,837 438,850
Allstate Corporation 35,238 784,046
American General Corporation 11,724 715,164
American International Group, Inc. 72,990 8,576,325
Aon Corporation 12,125 376,633
Cigna Corporation 7,700 719,950
Chubb Corporation 8,360 514,140
Cincinnati Financial Corporation 7,600 238,925
Conseco, Inc. 15,406 150,209
Hartford Financial Services Group 10,200 570,563
*Humana, Inc. 7,900 38,513
Jefferson Pilot Corporation 4,925 277,955
Lincoln National Corporation 9,100 328,738
MBIA, Inc. 4,700 226,481
MGIC Investment Corporation 5,000 227,500
Marsh & McLennan Companies, Inc. 12,700 1,326,356
Progressive Corporation 3,500 259,000
St. Paul Companies, Inc. 10,004 341,387
Torchmark Corporation 6,200 153,063
Unumprovident Corporation 11,318 227,067
*Wellpoint Health Networks 3,000 217,313
--------------
17,286,991
--------------
Lodging--0.1%
Hilton Hotels Corporation 17,500 164,063
Marriott International Class A 11,300 407,506
--------------
571,569
--------------
Media--Broadcasting & Publishing--1.0%
American Greetings Corporation 3,000 57,000
*Clear Channel Communications 16,100 1,207,500
*Comcast Corporation 42,500 1,721,250
Dow Jones & Company, Inc. 4,200 307,650
Gannett Company, Inc. 12,600 753,638
Knight Ridder, Inc. 3,700 196,794
McGraw-Hill Companies, Inc. 9,200 496,800
Meredith Corporation 2,400 81,000
New York Times Company 8,000 316,000
</TABLE>
<TABLE>
----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------
Tribune Company 14,600 $ 511,000
*Viacom, Inc. Class B 72,281 4,928,661
--------------
10,577,293
--------------
Medical Equipment & Supplies--1.4%
Allergan, Inc. 6,200 461,900
*Alza Corporation 4,800 283,800
Bard C.R., Inc. 2,400 115,500
Bausch & Lomb, Inc. 2,506 193,902
Baxter International, Inc. 13,800 970,313
Becton Dickinson & Company 11,900 341,381
Biomet, Inc. 5,300 203,719
*Boston Scientific Corporation 19,300 423,394
*Guidant Corporation 14,600 722,700
Johnson & Johnson 65,900 6,713,563
*KLA-Tencor Corporation 8,700 509,494
Mallinckrodt, Inc. 3,200 139,000
Medtronics, Inc. 56,700 2,824,369
PE Corporation 9,800 645,575
*St. Jude Medical, Inc. 3,950 181,206
Tektronix, Inc. 2,250 166,500
*Thermo Electron Corporation 7,300 153,756
--------------
15,050,072
--------------
Metals & Mining--0.4%
Alcan Aluminum Ltd. 10,400 322,400
Alcoa, Inc. 40,960 1,187,840
Allegheny Technologies, Inc. 4,383 78,894
Barrick Gold Corporation 18,700 340,106
*Bethlehem Steel Corporation 6,200 22,088
Cooper Industries, Inc. 4,400 143,275
Crane Company 2,825 68,683
Danaher Corporation 6,700 331,231
*Freeport-McMoRan Copper & Gold, Inc. 7,700 71,225
Homestake Mining Company 12,300 84,563
*Inco Ltd. 9,100 139,913
Masco Corporation 21,200 382,925
Newmont Mining Corporation 7,868 170,146
Nucor Corporation 4,000 132,750
Phelps Dodge Corporation 3,728 138,635
Placer Dome, Inc. 15,400 147,263
USX US Steel Group, Inc. 4,120 76,478
--------------
3,838,415
--------------
Office Equipment & Supplies--0.1%
Ikon Office Solutions, Inc. 7,100 27,513
Xerox Corporation 31,500 653,625
--------------
681,138
--------------
Oil & Gas--3.4%
Amerada Hess Corporation 4,300 265,525
Anadarko Petroleum Corporation 6,100 300,806
Apache Corporation 5,400 317,588
Ashland, Inc. 3,400 119,213
Burlington Resources, Inc. 10,302 394,052
Chevron Corporation 30,900 2,620,706
Coastal Corporation 10,200 620,925
Columbia Energy Group 3,800 249,375
Conoco, Inc. Class B 29,600 727,050
Eastern Enterprises 1,300 81,900
El Paso Energy Corporation 10,900 555,219
Enron Corporation 34,700 2,238,150
Exxon Mobil Corporation 165,029 12,954,777
Kerr-McGee Corporation 4,471 263,510
Nicor, Inc. 2,200 71,775
</TABLE>
65
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------------
<CAPTION>
Vantagepoint Asset Allocation Fund Shares Value
<S> <C> <C>
--------------------------------------------------------------
COMMON STOCKS--(Continued)
--------------------------------------------------------------
Oneok, Inc. 1,400 $ 36,313
Peoples Energy Corporation 1,700 55,038
Phillips Petroleum Company 12,000 608,250
*Rowan Companies, Inc. 4,400 133,650
Royal Dutch Petroleum Company 101,500 6,248,594
Schlumberger Ltd. 26,300 1,962,638
Sempra Energy 9,669 164,373
Sunoco, Inc. 4,300 126,581
Texaco, Inc. 26,200 1,395,150
Tosco Corporation 6,800 192,525
USX Marathon Group 14,700 368,419
Union Pacific Resources Group, Inc. 11,903 261,866
Unocal Corporation 11,510 381,269
Williams Companies, Inc. 20,700 862,931
Transocean Sedco Forex, Inc. 9,911 529,619
--------------
35,107,787
--------------
Pharmaceuticals--4.8%
Abbott Laboratories 73,100 3,257,519
American Home Products Corporation 61,800 3,630,750
*Amgen, Inc. 48,600 3,414,150
*Biogen, Inc. 7,000 451,500
Bristol-Myers Squibb Company 93,500 5,446,375
Cardinal Health, Inc. 13,100 969,400
Eli Lilly & Company 53,500 5,343,313
McKesson HBOC, Inc. 13,289 278,238
*MedImmune, Inc. 9,900 732,600
Merck & Company, Inc. 109,000 8,352,125
Millipore Corporation 2,100 158,288
Pfizer, Inc. 298,100 14,308,800
Schering-Plough Corporation 69,500 3,509,750
Sigma Aldrich Corporation 4,000 117,000
*Watson Pharmaceutical, Inc. 4,600 247,250
--------------
50,217,058
--------------
Photographic Equipment &
Supplies--0.1%
Eastman Kodak Company 14,700 874,650
Polaroid Corporation 2,100 37,931
--------------
912,581
--------------
Restaurants--0.3%
Darden Restaurants, Inc. 5,800 94,250
McDonald's Corporation 63,400 2,088,238
*Starbucks Corporation 8,700 332,231
*Tricon Global Restaurants, Inc. 6,950 196,338
Wendy's International, Inc. 5,500 97,969
--------------
2,809,026
--------------
Retailers--2.5%
*Autozone, Inc. 6,300 138,600
*Bed Bath & Beyond, Inc. 6,600 239,250
*Best Buy Company, Inc. 9,700 613,525
CCS Corporation 18,500 740,000
Circuit City Stores 9,600 318,600
*Consolidated Stores Corporation 5,200 62,400
*Costco Wholesale Corporation 21,176 698,808
Dillards, Inc. Class A 4,400 53,900
Dollar General 15,540 303,030
*Federated Department Stores 10,000 337,500
Gap, Inc. 40,287 1,258,969
Harcourt General, Inc. 3,402 184,984
</TABLE>
<TABLE>
----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------
*K Mart Corporation 23,000 $ 156,688
*Kohls Corporation 15,500 862,188
Limited, Inc. 20,400 441,150
Longs Drugstores Corporation 1,800 39,150
May Department Stores Company 15,800 379,200
Nordstrom, Inc. 6,400 154,400
*Office Depot, Inc. 15,600 97,500
J.C. Penney Company, Inc. 12,300 226,781
RadioShack Corporation 8,800 416,900
Rite Aid Corporation 12,300 80,719
*Safeway, Inc. 23,500 1,060,438
Sears Roebuck & Company 16,700 544,838
Sherwin Williams Company 7,800 165,263
*Staples, Inc. 22,300 342,863
TJX Companies, Inc. 14,600 273,750
Target Corporation 21,600 1,252,800
Tiffany & Co. 3,400 229,500
*Toys "R" Us, Inc. 10,200 148,538
Wal-Mart Stores, Inc. 211,300 12,176,163
Walgreen Company 47,700 1,535,344
--------------
25,533,739
--------------
Telecommunications--4.6%
AT&T Corporation 179,598 5,679,726
Alltel Corporation 14,900 922,869
Bell Atlantic Corporation 73,264 3,722,727
BellSouth Corporation 89,200 3,802,150
Centurytel, Inc. 6,600 189,750
GTE Corporation 45,662 2,842,460
Nortel Networks Corporation 140,260 9,572,745
SBC Communications, Inc. 161,152 6,969,841
Sprint Corporation (FON Group) 41,400 2,111,400
*Sprint Corporation (PCS Group) 43,400 2,582,300
US West, Inc. 24,015 2,059,286
*WorldCom, Inc. 134,946 6,190,648
*Global Crossing Ltd. 38,725 1,018,952
--------------
47,664,854
--------------
Textiles, Clothing & Fabrics--0.1%
Liz Claiborne, Inc. 2,800 98,700
Nike, Inc. 13,100 521,544
*Reebok International Ltd. 2,600 41,438
Russell Corporation 1,500 30,000
Springs Industries, Inc. 800 25,750
VF Corporation 5,600 133,350
--------------
850,782
--------------
Transportation--0.2%
Brunswick Corporation 4,400 72,875
Burlington Northern Santa Fe 20,256 464,622
CSX Corporation 10,300 218,231
*FMC Corporation 1,500 87,000
*FedEx Corporation 13,740 522,120
Kansas City Southern Industries, Inc. 5,300 470,044
Norfolk Southern Corporation 18,100 269,238
Union Pacific Corporation 11,800 438,813
--------------
2,542,943
--------------
Utilities--0.9%
*AES Corporation 20,300 926,188
Ameren Corporation 6,500 219,375
American Electric Power, Inc. 15,260 452,078
CMS Energy Corporation 5,400 119,475
CP&L, Inc. 7,600 242,725
</TABLE>
66
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------------
<CAPTION>
Shares/
Vantagepoint Asset Allocation Fund Face Value
<S> <C> <C>
------------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------------
Cinergy Corporation 7,500 $ 190,781
Consolidated Edison, Inc. 10,000 296,250
Constellation Energy Group 7,100 231,194
DTE Energy Company 6,900 210,881
Dominion Resources, Inc. 11,271 483,265
Duke Energy Corporation 17,412 981,602
Edison International 15,700 321,850
Entergy Corporation 10,900 296,344
FPL Group, Inc. 8,500 420,750
Firstenergy Corporation 11,000 257,125
Florida Progress Corporation 4,700 220,313
GPU, Inc. 5,800 156,963
New Century Energies, Inc. 5,500 165,000
*Niagara Mohawk Holdings, Inc. 8,400 117,075
Northern States Power Company 7,300 147,369
Peco Energy Company 8,000 322,500
PG&E Corporation 18,200 448,175
PPL Corporation 6,800 149,175
Pinnacle West Capital Corporation 4,000 135,500
Public Service Enterprise Group, Inc. 10,200 353,175
Reliant Energy, Inc. 14,026 414,644
Southern Company 30,700 715,694
TXU Corporation 12,467 367,777
Unicom Corporation 8,400 324,975
--------------
9,688,218
--------------
TOTAL COMMON STOCKS
(Cost $299,712,153) 590,212,056
--------------
------------------------------------------------------------------
CORPORATE OBLIGATIONS--2.8%
------------------------------------------------------------------
Banking--0.6%
Bank One NA
6.210%, 10/25/2000 $6,000,000 5,997,288
--------------
Financial Services--0.8%
Associates Corporation
5.875%, 05/16/2001 8,000,000 7,909,600
--------------
Heavy Machinery--1.4%
John Deere Capital Corporation
5.730%, 07/13/2000 15,000,000 14,997,000
--------------
TOTAL CORPORATE OBLIGATIONS
(Cost $28,897,253) 28,903,888
--------------
------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--1.2%
------------------------------------------------------------------
U.S. Government Agencies--Mortgage Backed--1.2%
Federal Home Loan Bank
6.440%, 07/21/2000 5,000,000 4,981,217
Federal Home Loan Bank
6.430%, 07/05/2000 8,000,000 7,981,424
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $12,962,641) 12,962,641
--------------
</TABLE>
<TABLE>
-------------------------------------------------
<CAPTION>
Face Value
<S> <C> <C>
-------------------------------------------------
U.S. TREASURY OBLIGATIONS--25.5%
-------------------------------------------------
U.S. Treasury Bills--1.1%
U.S. Treasury Bill
(Cost $11,835,740)
5.730%, 09/07/2000 $12,000,000 $ 11,835,740
--------------
U.S. Treasury Bonds--24.4%
U.S. Treasury Bond
12.750%, 11/15/2010 80,000 102,338
***U.S. Treasury Bond
12.000%, 08/15/2013 13,600,000 18,360,000
U.S. Treasury Bond
11.750%, 11/15/2014 2,050,000 2,823,547
U.S. Treasury Bond
11.250%, 02/15/2015 2,390,000 3,524,127
U.S. Treasury Bond
10.625%, 08/15/2015 11,200,000 15,951,264
U.S. Treasury Bond
10.375%, 11/15/2012 3,715,000 4,567,704
U.S. Treasury Bond
8.875%, 02/15/2019 12,966,000 16,657,265
***U.S. Treasury Bond
8.875%, 08/15/2017 8,245,000 10,509,819
U.S. Treasury Bond
8.750%, 05/15/2020 3,215,000 4,126,742
U.S. Treasury Bond
8.750%, 05/15/2017 6,660,000 8,388,470
U.S. Treasury Bond
8.750%, 08/15/2020 13,110,000 16,854,478
U.S. Treasury Bond
8.500%, 02/15/2020 4,530,000 5,670,994
***U.S. Treasury Bond
8.125%, 05/15/2021 9,885,000 12,061,282
U.S. Treasury Bond
8.125%, 08/15/2019 1,570,000 1,897,989
U.S. Treasury Bond
8.125%, 08/15/2021 12,720,000 15,514,431
U.S. Treasury Bond
8.000%, 11/15/2021 5,745,000 6,945,188
U.S. Treasury Bond
7.625%, 11/15/2022 65,000 76,050
U.S. Treasury Bond
7.625%, 02/15/2025 5,515,000 6,521,488
U.S. Treasury Bond
7.500%, 11/15/2024 5,910,000 6,886,982
U.S. Treasury Bond
7.500%, 11/15/2016 5,180,000 5,850,137
U.S. Treasury Bond
7.250%, 05/15/2016 9,135,000 10,068,506
U.S. Treasury Bond
7.125%, 02/15/2023 20,220,000 22,437,891
U.S. Treasury Bond
6.875%, 08/15/2025 6,350,000 6,905,625
U.S. Treasury Bond
6.500%, 11/15/2026 12,555,000 13,114,074
U.S. Treasury Bond
6.375%, 08/15/2027 6,345,000 6,534,335
U.S. Treasury Bond
6.125%, 08/15/2029 1,300,000 1,313,000
U.S. Treasury Bond
6.125%, 11/15/2027 12,670,000 12,642,253
U.S. Treasury Bond
5.500%, 08/15/2028 9,630,000 8,835,525
</TABLE>
67
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------------------
<CAPTION>
Vantagepoint Asset Allocation Fund Face Value
<S> <C> <C>
-------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--(Continued)
-------------------------------------------------------------------------
U.S. Treasury Bond
5.250%, 02/15/2029 $4,500,000 $ 3,993,750
U.S. Treasury Bond
5.250%, 11/15/2028 5,570,000 4,931,193
--------------
254,066,447
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $263,757,920) 265,902,187
--------------
-------------------------------------------------------------------------
ASSET BACKED SECURITIES--1.0%
-------------------------------------------------------------------------
Automotive--0.5%
Nissan Auto Receivables Trust Series 2000-A
6.125%, 02/15/2001 5,734,323 5,728,932
--------------
Banking--0.5%
Associates Manufactured Housing Pass Through
5.610%, 02/15/2022 5,483,741 5,478,600
--------------
TOTAL ASSET BACKED SECURITIES
(Cost $11,218,064) 11,207,532
--------------
-------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT--0.5%
-------------------------------------------------------------------------
Banking--0.5%
UBS AG
6.475% 01/08/2001
(Cost $4,998,791) 5,000,000 4,998,751
--------------
-------------------------------------------------------------------------
COMMERCIAL PAPER--10.7%
-------------------------------------------------------------------------
Automotive--1.5%
Ford Motor Credit Company
6.510%, 07/13/2000 8,000,000 8,000,000
General Motors Acceptance Corporation
6.550%, 08/10/2000 8,000,000 8,000,000
--------------
16,000,000
--------------
Banking--2.5%
*Bank of America Corporation
0.000%, 02/28/2001 10,000,000 10,000,000
Goldman Sachs & Company
6.570%, 07/11/2000 8,000,000 7,919,700
Nat Rural
6.610%, 08/17/2000 8,000,000 7,866,331
--------------
25,786,031
--------------
Beverages, Food & Tobacco--0.7%
Coca Cola Company
6.520%, 07/17/2000 7,000,000 6,932,808
--------------
</TABLE>
<TABLE>
--------------------------------------------------------------------------
<CAPTION>
Face Value
<S> <C> <C>
--------------------------------------------------------------------------
Diversified--2.2%
Dupont
6.500%, 07/11/2000 $7,000,000 $ 6,940,597
General Electric Credit Company
6.550%, 08/08/2000 8,000,000 8,000,000
Minnesota Mining & Manufacturing Company (3M)
6.520%, 07/24/2000 8,000,000 7,955,084
--------------
22,895,681
--------------
Financial Services--2.3%
American Express Company
6.520%, 08/16/2000 8,000,000 8,000,000
Bear Stearns & Company, Inc.
6.550%, 08/21/2000 8,000,000 7,908,300
Merrill Lynch & Company, Inc.
6.580%, 07/24/2000 8,000,000 7,902,031
--------------
23,810,331
--------------
Retailers--0.8%
Wal-Mart Stores, Inc.
6.500%, 07/05/2000 8,000,000 7,937,889
--------------
Special Purpose Entity--0.7%
Edison Asset Securitization
6.550%, 07/06/2000 7,000,000 6,978,349
--------------
Total Commercial Paper
(Cost $110,341,089) 110,341,089
--------------
--------------------------------------------------------------------------
CASH EQUIVALENTS--7.9%
--------------------------------------------------------------------------
Institutional Money Market Funds--1.2%
++Janus Money Market Fund 6,335,798 6,335,798
++Merrimac Cash Fund--Premium Class 6,232,968 6,232,968
--------------
12,568,766
--------------
Bank & Certificate Deposits/Offshore Time Deposits--3.5%
++American Express Centurion Bank 14,594,073 14,594,073
++Bank of Montreal 6,085,135 6,085,135
++Credit Agricole Indosuez 5,324,489 5,324,489
++Fleet National Bank 999,019 999,019
++Royal Bank of Scotland PLC 9,332,448 9,332,448
--------------
36,335,164
--------------
Floating Rate Instruments/Master Notes--3.2%
++Bank of America 1,433,711 1,433,711
++Bank of Montreal 1,000,000 1,000,000
++First Union National Bank 1,521,287 1,521,287
++Goldman Sachs & Co 1,642,565 1,642,565
++Morgan Stanley Dean Witter & Co 27,521,286 27,521,286
--------------
33,118,849
--------------
Total Cash Equivalents
(Cost $82,022,779) 82,022,779
--------------
</TABLE>
68
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Vantagepoint Asset Allocation Fund Face Value
<S> <C> <C>
-------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--0.4%
-------------------------------------------------------------------------------
IBT Repurchase Agreement dated 06/30/2000 due
07/03/2000, with a maturity value of $3,844,160
and an effective yield of 6.03% collateralized by
Small Business Association with a rate of 6.75%, a
maturity date of 06/25/2022 and a market value
of $4,034,341. $3,842,230 $ 3,842,230
--------------
TOTAL INVESTMENTS--106.6%
**(Cost $829,588,620) 1,110,393,153
Other assets less liabilities--(6.6%) (68,624,062)
--------------
NET ASSETS--100.0% $1,041,769,091
==============
</TABLE>
Notes to the Schedule of Investments:
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$829,588,620. Unrealized appreciation and depreciation, based on identified
tax cost at June 30, 2000 are as follows:
<TABLE>
<S> <C>
Unrealized appreciation $312,860,672
Unrealized depreciation (32,055,779)
------------
Net unrealized appreciation $280,804,893
============
</TABLE>
*** Securities have been pledged as collateral for futures contracts.
++ Represents collateral received from securities lending transactions.
69
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------------
<CAPTION>
Vantagepoint U.S. Treasury Securities Fund Face Value
<S> <C> <C>
-------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--16.8%
-------------------------------------------------------------------
U.S. Government Agencies--Mortgage Backed--16.8%
Government National Mortgage Association
8.000%, 03/15/2030 $1,994,998 $ 2,016,185
Government National Mortgage Association
7.500%, 12/15/2029 994,909 987,756
Government National Mortgage Association
7.500%, 08/15/2029 1,970,931 1,957,391
Government National Mortgage Association
7.000%, 04/15/2029 1,882,365 1,830,845
Government National Mortgage Association
6.500%, 10/15/2028 2,801,846 2,659,988
Federal National Mortgage Association
6.000%, 04/01/2029 1,876,909 1,718,332
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $11,332,036) 11,170,497
------------
-------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--79.9%
-------------------------------------------------------------------
U.S. Treasury Bonds--17.9%
U.S. Treasury Bond
10.750%, 08/15/2005 4,100,000 4,887,323
U.S. Treasury Bond
7.625%, 02/15/2007 1,000,000 1,015,780
U.S. Treasury Bond
5.625%, 02/15/2006 6,200,000 6,014,992
------------
5,903,103
------------
U.S. Treasury Notes--62.0%
U.S. Treasury Note
7.000%, 07/15/2006 8,500,000 8,808,125
U.S. Treasury Note
6.875%, 05/15/2006 5,750,000 5,918,015
U.S. Treasury Note
6.500%, 08/15/2005 6,000,000 6,061,860
U.S. Treasury Note
6.500%, 10/15/2006 6,200,000 6,274,586
U.S. Treasury Note
6.250%, 02/15/2007 7,750,000 7,759,687
U.S. Treasury Note
5.875%, 11/15/2005 6,500,000 6,390,313
------------
41,212,586
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $53,234,335) 53,130,681
------------
</TABLE>
<TABLE>
--------------------------------------------------------------------------
<CAPTION>
Face Value
<S> <C> <C>
--------------------------------------------------------------------------
CASH EQUIVALENTS--29.0%
--------------------------------------------------------------------------
Institutional Money Market Funds--9.7%
++Janus Money Market Fund $3,572,127 $ 3,572,127
++Merrimac Cash Fund--Premium Class 2,879,213 2,879,213
------------
6,451,340
------------
Bank & Certificate Deposits/Offshore Time Deposits--15.9%
--------------------------------------------------------------------------
++American Express Centurion Bank 3,216,189 3,216,189
++Bank of Montreal 1,429,424 1,429,424
++Credit Agricole Indosuez 1,929,098 1,929,098
++Fleet National Bank 1,892,792 1,892,792
++Royal Bank of Scotland PLC 2,069,358 2,069,358
------------
10,536,861
------------
Floating Rate Instruments/Master Notes--3.4%
--------------------------------------------------------------------------
++Bank of America 949,873 949,873
++First Union National Bank 357,356 357,356
++Goldman Sachs & Co 614,711 614,711
++Morgan Stanley Dean Witter & Co 357,359 357,359
------------
2,279,299
------------
TOTAL CASH EQUIVALENTS
(Cost $19,267,500) 19,267,500
------------
--------------------------------------------------------------------------
REPURCHASE AGREEMENT--2.1%
--------------------------------------------------------------------------
IBT Repurchase Agreement dated 06/30/2000 due
07/03/2000, with a maturity value of $1,403,325
and an effective yield of 6.03% collateralized
by Federal Home Loan Mortgage Corporation ARM
with a rate of 7.51%, a maturity date of
01/01/2018 and a market value of $1,472,824. 1,402,620 1,402,620
------------
TOTAL INVESTMENTS--127.8%
**(Cost $85,236,490) 84,971,298
Other assets in excess of liabilities--(27.8%) (18,469,376)
------------
NET ASSETS 100.0% $ 66,501,922
============
</TABLE>
Notes to the Schedule of Investments:
ARM Adjustable Rate Mortgage
** The aggregate identified cost for federal income tax purposes is
$85,236,490. Unrealized appreciation and depreciation, based on identified
tax cost at December 31, 1999 are as follows:
<TABLE>
<S> <C>
Unrealized appreciation $ 273,608
Unrealized depreciation (538,800)
---------
Net unrealized depreciation $(265,192)
=========
</TABLE>
++ Represents collateral received from securities lending transactions.
70
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------------------------
<CAPTION>
Vantagepoint Money Market Fund Shares Value
--------------------------------------------------------------------------
<S> <C> <C>
Short Term Investment Co. Liquid Assets Portfolio
(Cost $84,711,986) 84,711,986 $84,711,986
-----------
TOTAL INVESTMENTS--100.0%
*(Cost $84,711,986) 84,711,986
Other assets less liabilities--0.0% (5,814)
-----------
TOTAL NET ASSETS--100.0% $84,706,172
===========
</TABLE>
Notes to the Schedule of Investments:
* The cost of investments for federal income tax purposes amounts to
$84,711,986.
See accompanying notes to financial statements.
71
<PAGE>
VANTAGEPOINT FUNDS--MASTER INVESTMENT PORTFOLIO
Statements of Assets and Liabilities
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Bond Index Extended International S&P 500 Index U.S. Equity
Master Index Master Index Master Master Index Master
Portfolio Portfolio Portfolio Portfolio Portfolio
------------ ------------ ------------- -------------- ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments at cost..... $458,575,643 $214,426,998 $70,125,914 $2,918,072,487 $ --
------------ ------------ ----------- -------------- ------------
Investments at market
value (Note 1)......... $442,167,182 $249,202,802 $78,062,525 $3,907,919,571 $686,024,116
Cash.................... -- -- 835 -- --
Foreign currency, at
value (cost,
$218,335).............. -- -- 221,579 -- --
Receivables:
Investment securities
sold.................. 1,040,573 928,577 -- 7,197,840 --
Dividends and
interest.............. 7,003,802 185,118 146,191 3,288,834 --
Due from broker--
variation margin...... -- 49,350 140,542 1,029,524 --
Unrealized gain on
forward foreign
currency exchange
contracts.............. -- -- 32,739 -- --
Prepaid expenses........ -- -- -- 236 --
------------ ------------ ----------- -------------- ------------
Total Assets............ 450,211,557 250,365,847 78,604,411 3,919,436,005 686,024,116
------------ ------------ ----------- -------------- ------------
LIABILITIES
Payables:
Investment securities
purchased............. 999,310 708,694 157,013 4,249,206 --
Collateral for
securities loaned
(Note 4).............. 22,082,188 -- -- 95,640,573 --
Due to Bank............ -- -- -- 2,314 --
Due to BGI (Note 2).... 127,004 112,387 65,471 738,756 90,904
Unrealized loss on
foreign forward
currency exchange
contracts.............. -- -- 65,357 -- --
------------ ------------ ----------- -------------- ------------
Total Liabilities....... 23,208,502 821,081 287,841 100,630,849 90,904
------------ ------------ ----------- -------------- ------------
NET ASSETS.............. $427,003,055 $249,544,766 $78,316,570 $3,818,805,156 $685,933,212
============ ============ =========== ============== ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
72
<PAGE>
VANTAGEPOINT FUNDS--MASTER INVESTMENT PORTFOLIO
Statements of Operations
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Extended U.S. Equity
Bond Index Index International S&P 500 Index
Master Master Index Master Index Master Master
Portfolio Portfolio Portfolio Portfolio Portfolio
----------- ----------- ------------- ------------ -----------
<S> <C> <C> <C> <C> <C>
NET INVESTMENT INCOME
Dividends+.............. $ -- $ 920,293 $ 666,870 $ 24,183,203 $ 3,444,065
Interest++.............. 15,090,875 298,136 84,779 3,984,961 667,882
----------- ----------- ----------- ------------ -----------
Total investment
income................. 15,090,875 1,218,429 751,649 28,168,164 4,111,947
----------- ----------- ----------- ------------ -----------
EXPENSES (Note 2)
Advisory Fees........... 176,216 95,759 53,559 1,091,905 260,178
Administration fee...... -- 23,940 35,706 -- 16,722
----------- ----------- ----------- ------------ -----------
Total expenses.......... 176,216 119,699 89,265 1,091,905 276,900
----------- ----------- ----------- ------------ -----------
Net investment income... 14,914,659 1,098,730 662,384 27,076,259 3,835,047
----------- ----------- ----------- ------------ -----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss)
on sale of
investments............ (6,196,688) 6,020,047 196,724 650,038,851 90,556,090
Net realized gain (loss)
on sale of futures
contracts.............. -- (547,538) (29,595) 2,644,903 103,341
Net realized loss on
foreign currency
transactions........... -- -- (89,931) -- --
Net change in unrealized
appreciation
(depreciation) of
investments............ 7,643,158 (9,637,412) (3,739,615) (701,744,471) (95,076,115)
Net change in unrealized
appreciation
(depreciation) of
futures contracts...... -- (358,150) (198,100) (12,365,227) (1,039,134)
Net change in unrealized
appreciation
(depreciation) on
assets and liabilities
in foreign currencies.. -- -- 1,110 -- --
----------- ----------- ----------- ------------ -----------
NET GAIN (LOSS) ON
INVESTMENTS............ 1,446,470 (4,523,053) (3,859,407) (61,425,944) (5,455,818)
----------- ----------- ----------- ------------ -----------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $16,361,129 $(3,424,323) $(3,197,023) $(34,349,685) $(1,620,771)
=========== =========== =========== ============ ===========
--------------------------------------------------------------------------------------------
+ Net of foreign
withholding tax of:.. $ -- $ 63 $ 85,590 $ 122,278 $ 16,235
++ Interest income
includes securities
lending income of:... $ 17,733 $ -- $ -- $ 90,107 $ --
</TABLE>
The accompanying notes are an integral part of these financial statements.
73
<PAGE>
VANTAGEPOINT FUNDS--MASTER INVESTMENT PORTFOLIO
Statements Of Changes In Net Assets
<TABLE>
<CAPTION>
Bond Index
Master Portfolio
----------------------------------------
For the Six
Months Ended For the For the
June 30, Period Ended Year Ended
2000 December 31, February 28,
(Unaudited) 1999 * 1999
------------ ------------ ------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income.............. $ 14,914,659 $ 22,243,983 $ 7,063,037
Net realized gain (loss)........... (6,196,688) (2,713,060) 419,676
Net change in unrealized
appreciation (depreciation)....... 7,643,158 (22,407,564) (4,365,016)
------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations... 16,361,129 (2,876,641) 3,117,697
------------ ------------ ------------
Interestholder transactions:
Contributions...................... 83,224,962 524,489,703 357,368,335
Withdrawals........................ (117,026,949) (478,897,035) (51,992,277)
------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
interestholder transactions........ (33,801,987) 45,592,668 305,376,058
------------ ------------ ------------
Increase (decrease) in net assets... (17,440,858) 42,716,027 308,493,755
NET ASSETS:
Beginning of period................. 444,443,913 401,727,886 93,234,131
------------ ------------ ------------
End of period....................... $427,003,055 $444,443,913 $401,727,886
============ ============ ============
</TABLE>
------
* For the ten months ended December 31, 1999. The Master Portfolio changed
its fiscal year end from February 28 to December 31.
** For the period from March 1, 1999 (commencement of operations) to December
31, 1999.
*** For the period from October 1, 1999 (commencement of operations) to
December 31, 1999.
The accompanying notes are an integral part of these financial statements.
74
<PAGE>
<TABLE>
<CAPTION>
Extended Index Master International Index S&P 500 Index U.S. Equity Index
Portfolio Master Portfolio Master Portfolio Master Portfolio
-------------------------- -------------------------- --------------------------------------------- --------------------------
For the Six For the Six
Months Ended For the For the Six For the For the Six For the For the Months Ended For the
June 30, Period Ended Months Ended Period Ended Months Ended Period Ended Year Ended June 30, Period Ended
2000 December 31, June 30, 2000 December 31, June 30, 2000 December 31, February 28, 2000 December 31,
(Unaudited) 1999 ** (Unaudited) 1999 *** (Unaudited) 1999 * 1999 (Unaudited) 1999 **
------------ ------------ ------------- ------------ -------------- -------------- -------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1,098,730 $ 1,614,308 $ 662,384 $ 106,126 $ 27,076,259 $ 52,303,458 $ 43,674,276 $ 3,835,047 $ 6,926,814
5,472,509 9,035,857 77,198 32,307 652,683,754 170,279,517 181,973,840 90,659,431 12,004,089
(9,995,562) 44,735,266 (3,936,605) 11,799,108 (714,109,698) 562,095,831 250,798,350 (96,115,249) 107,291,149
------------ ------------ ----------- ----------- -------------- -------------- -------------- ------------ ------------
(3,424,323) 55,385,431 (3,197,023) 11,937,541 (34,349,685) 784,678,806 476,446,466 (1,620,771) 126,222,052
------------ ------------ ----------- ----------- -------------- -------------- -------------- ------------ ------------
126,561,441 215,020,329 29,738,204 54,039,755 1,043,786,832 355,753,442 2,288,411,987 4,338,344 556,993,587
(76,048,903) (67,949,209) (11,847,264) (2,354,643) (2,018,157,017) -- (1,431,828,889) -- --
------------ ------------ ----------- ----------- -------------- -------------- -------------- ------------ ------------
50,512,538 147,071,120 17,890,940 51,685,112 (974,370,185) 355,753,442 856,583,098 4,338,344 556,993,587
------------ ------------ ----------- ----------- -------------- -------------- -------------- ------------ ------------
47,088,215 202,456,551 14,693,917 63,622,653 (1,008,719,870) 1,140,432,248 1,333,029,564 2,717,573 683,215,639
202,456,551 -- 63,622,653 -- 4,827,525,026 3,687,092,778 2,354,063,214 683,215,639 --
------------ ------------ ----------- ----------- -------------- -------------- -------------- ------------ ------------
$249,544,766 $202,456,551 $78,316,570 $63,622,653 $3,818,805,156 $4,827,525,026 $3,687,092,778 $685,933,212 $683,215,639
============ ============ =========== =========== ============== ============== ============== ============ ============
</TABLE>
The accompanying notes are an integral part of these financial statements.
75
<PAGE>
VANTAGEPOINT FUNDS--MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. Significant Accounting Policies
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 20, 1993 as a Delaware
business trust pursuant to an Agreement and Declaration of Trust dated May 14,
1993, and had no operations prior to March 1, 1994. MIP currently issues the
following separate portfolios: Asset Allocation, Bond Index, Extended Index,
International Index, LifePath Income, LifePath 2010, LifePath 2020, LifePath
2030, LifePath 2040, Money Market, S&P 500 Index and U.S. Equity Index Master
Portfolios.
These financial statements relate to the Bond Index, Extended Index,
International Index, S&P 500 Index, and U.S. Equity Index Master Portfolios
(each, a "Master Portfolio", collectively the "Master Portfolios").
The following is a summary of significant accounting policies which are
consistently followed by the MIP in the preparation of its financial
statements, and which are in conformity with generally accepted accounting
principles for investment companies. The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenue and expenses
during the reporting period. Actual results could differ from those estimates.
Security Valuation
The equity securities of each Master Portfolio are valued at the last
reported sales price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an
exchange or national securities market, or securities in which there was no
last reported sales price, are valued at the most recent bid prices. Debt
securities are generally traded in the over-the-counter market and are valued
at a price deemed best to reflect fair value as quoted by dealers who make
markets in those securities or by an independent pricing source. U.S.
Government obligations are valued at the last reported bid price. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Any securities, restricted securities or other
assets for which market quotations are not readily available, are valued at
fair value as determined in good faith in accordance with policies approved by
MIP's Board of Trustees.
Security Transactions and Income Recognition
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-
dividend date, and interest income is recognized on a daily accrual basis.
Realized gains or losses are reported on the basis of identified cost of
securities delivered. Original issue discount and discount on securities
purchased are accreted as interest income using a constant yield to maturity
method. Premiums on securities purchased are amortized as a reduction in
interest income using a constant yield to maturity method.
Federal Income Taxes
MIP believes that each Master Portfolio has and will continue to be operated
in a manner so as to qualify it as a partnership for federal income tax
purposes. Provided that each Master Portfolio so qualifies, it will not be
subject to any federal income tax on its income and gain (if any). However,
each investor in a Master Portfolio will be taxed on its distributive share of
the Master Portfolio's taxable income in determining its federal income tax
liability. As a partnership for federal income tax purposes,
76
<PAGE>
VANTAGEPOINT FUNDS--MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
each Master Portfolio will be deemed to have "passed through" to
interestholders any interest, dividends, gains or losses for such purposes. The
determination of such share will be made in accordance with the Internal
Revenue Code of 1986, as amended (the "Code"), and regulations promulgated
thereunder.
It is intended that each Master Portfolio's assets, income and distributions
will be managed in such a way that an entity electing and qualifying as a
"regulated investment company" under the Code can continue to so qualify by
investing substantially all of its assets through the Master Portfolio,
provided that the regulated investment company meets other requirements for
such qualifications not within the control of the Master Portfolio (e.g.,
distributing at least 90% of the regulated investment company's "investment
company taxable income" annually).
Futures Contracts
The Extended Index, International Index and S&P 500 Index Master Portfolios
may purchase long futures contracts to gain exposure to market changes as this
may be more efficient or cost effective than actually buying the securities. A
futures contract is an agreement between two parties to buy and sell a security
at a set price on a future date and is exchange traded. Upon entering into a
futures contract, the Master Portfolios are required to pledge to the broker an
amount of cash, U.S. Government securities or other high-quality debt
securities equal to the minimum "initial margin" requirements of the exchange.
Pursuant to the contract, the Extended Index, International Index and S&P 500
Index Master Portfolios agree to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in the value of the contract. Such receipts
or payments are known as "variation margin" and are recorded by the Extended
Index, International Index and S&P 500 Index Master Portfolios as unrealized
gains or losses. When the contract is closed, the Extended Index, International
Index and S&P 500 Index Master Portfolios records a gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed. Pursuant to regulations and/or published
positions of the Securities and Exchange Commission, the Extended Index,
International Index and S&P 500 Index Master Portfolios are required to
segregate cash, U.S. Government securities or high quality, liquid debt
instruments in connection with long futures transactions in an amount generally
equal to the entire futures contract amount. Risks of entering into futures
contracts include the possibility that there may be an illiquid market and that
a change in the value of the contracts may not correlate with changes in the
value of the underlying securities.
77
<PAGE>
VANTAGEPOINT FUNDS--MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
At June 30, 2000, the open long futures contracts outstanding were as
follows:
<TABLE>
<CAPTION>
Net Unrealized
Number of Expiration Notional Appreciation
Master Portfolio Contracts Type Date Contract Value (Depreciation)
---------------- --------- ---- ---------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Extended Index Master
Portfolio.............. 9 Mid Cap 400 Index 09/15/00 $ 2,197,350 $ (34,650)
24 Russell 2000 Index 09/15/00 6,271,200 (1,450)
-----------
$ (36,100)
===========
International Index
Master Portfolio....... 10 FTSE 100 Index 09/15/00 $ 964,643 $ (18,928)
36 NIKKEI 300 Index 09/07/00 1,063,980 19,355
31 EURO 50 Index 09/15/00 1,538,176 (42,754)
-----------
$ (42,327)
===========
S&P 500 Index Master
Portfolio.............. 346 S&P 500 Index 09/15/00 $126,990,650 $(2,492,652)
===========
</TABLE>
The Extended Index, International Index and S&P 500 Index Master Portfolios
have pledged to brokers U.S. Treasury Bills for initial margin requirements
with a par value of $1,040,000, $3,628,000 and $8,150,000, respectively.
Repurchase Agreements
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Schedule of Investments. The advisor to the Master
Portfolio may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the advisor's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than the repurchase price.
The repurchase agreements entered into on June 30, 2000 by the Master
Portfolios were fully collateralized by U.S. Government obligations as follows:
<TABLE>
<CAPTION>
U.S Government Obligations
----------------------------------------
Interest Aggregate
Master Portfolio Rate Maturity Date Market Value
---------------- --------- ----------------- ------------
<S> <C> <C> <C>
Bond Index Master Portfolio........... 6.50% 08/15/05 $ 5,565,975
Extended Index Master Portfolio....... 6.50 08/15/05 8,038,592
S&P 500 Index Master Portfolio........ 4.88-5.75 11/15/00-03/31/01 120,411,574
</TABLE>
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement to pay or
receive specific amounts of a currency at a future date in exchange for another
currency at an agreed upon exchange rate. The International Index Master
Portfolio may use forward foreign currency exchange contracts to hedge certain
foreign currency assets and liabilities. Contracts are recorded at market value
and marked to
78
<PAGE>
VANTAGEPOINT FUNDS--MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
market daily. Risks of entering into forward foreign currency exchange
contracts include the possibility that there may be an illiquid market and that
a change in the value of the contracts may not correlate with changes in the
value of the underlying securities. The amount at risk for such forward foreign
currency exchange contracts may exceed the amount reflected in the financial
statements.
As of June 30, 2000, the International Index Master Portfolio had the
following open forward foreign currency exchange contracts outstanding:
<TABLE>
<CAPTION>
Foreign U.S. Net
Exchange Currency Dollar Unrealized
Currency Date Cost/Proceeds Value Gain (Loss)
-------- -------- ------------- ---------- -----------
<S> <C> <C> <C> <C>
Purchase Contracts
British Pound Sterling........... 08/03/00 $1,756,901 $1,732,993 $(23,908)
Euro Dollar...................... 08/03/00 2,048,405 2,081,144 32,739
Japanese Yen..................... 08/03/00 1,684,256 1,679,739 (4,517)
Swedish Krona.................... 08/03/00 107,661 107,432 (229)
--------
Net Unrealized Gain on
Purchase Contracts $ 4,085
--------
Sale Contracts
British Pound Sterling........... 08/03/00 $ 788,000 $ 805,096 $(17,096)
Euro Dollar...................... 08/03/00 579,000 595,655 (16,655)
Japanese Yen..................... 08/03/00 620,000 621,240 (1,240)
Swedish Krona.................... 08/03/00 105,720 107,432 (1,712)
--------
Net Unrealized Loss on
Sale Contracts $(36,703)
--------
Net Unrealized Gain on
Forward Foreign Currency
Contracts $(32,618)
========
</TABLE>
2. Agreements and Other Transactions with Affiliates
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 0.15% of the first $1 billion, and 0.10% thereafter
of the average daily net assets of the International Index Master Portfolio and
0.08%, 0.08%, 0.05%, and 0.01% of the average daily net assets of Bond Index,
Extended Index, S&P 500 Index, and U.S. Equity Index Master Portfolios,
respectively, as compensation for advisory services. BGFA is an indirect
subsidiary of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to each Master
Portfolio. IBT will not be entitled to receive fees for its custodial services,
so long as it is entitled to receive a separate fee from Barclays Global
Investors, N.A. ("BGI") for its services as Sub-Administrator of each Master
Portfolio. Beginning on February 22, 2001, IBT will be entitled to receive
custodial fees of up to 0.01% from the Extended Index and U.S. Equity Master
Portfolios.
Stephens Inc. ("Stephens") is the sponsor and placement agent for the Master
Portfolios.
79
<PAGE>
VANTAGEPOINT FUNDS--MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
MIP has entered into administrative services arrangements with BGI and
Stephens as co-administrators who have agreed jointly to provide general
administrative services to the Master Portfolios such as managing and
coordinating third-party relationships. BGI and Stephens are entitled to
receive a fee at an annual rate of 0.02% and 0.01% of the average daily net
assets of the Extended Index and U.S. Equity Index Master Portfolios,
respectively, and 0.10% of the first $1 billion, and 0.07% thereafter, of the
average daily net assets of the International Index Master Portfolio. Stephens
and BGI are not entitled to compensation for providing administration services
to the S&P 500 Index and the Bond Index Master Portfolios. BGI and Stephens may
delegate certain of their administrative duties to sub-administrators.
Certain officers and trustees of MIP are also officers of Stephens. As of
June 30, 2000 these officers of Stephens collectively owned less than 1% of the
Master Portfolios' outstanding beneficial interests.
3. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for
each of the Master Portfolios for the period ended June 30, 2000 were as
follows:
<TABLE>
<CAPTION>
S&P 500 Index
Aggregate Purchases and Bond Index Extended Index International Index Master
Sales of: Master Portfolio Master Portfolio Master Portfolio Portfolio
----------------------- ---------------- ---------------- ------------------- --------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost....... $52,931,514 $ -- $ -- $ --
Sales proceeds.......... 77,259,287 -- -- --
OTHER SECURITIES:
Purchases at cost....... $42,950,493 $82,764,955 $41,187,053 $ 166,532,696
Sales proceeds.......... 36,707,378 32,652,077 22,896,338 1,076,048,259
</TABLE>
At June 30, 2000 the Master Portfolios' aggregate unrealized appreciation and
depreciation based on cost for federal income tax purposes were as follows:
<TABLE>
<CAPTION>
Net Unrealized
Unrealized Unrealized Appreciation
Master Portfolio Tax Cost Appreciation Depreciation (Depreciation)
---------------- -------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
Bond Index Master
Portfolio.............. $ 458,575,643 $ 1,419,317 $ (17,827,778) $(16,408,461)
Extended Index Master
Portfolio.............. 214,426,998 66,068,430 (31,292,626) 34,775,804
International Index
Master Portfolio....... 70,125,914 12,371,620 (4,435,009) 7,936,611
S&P 500 Index Master
Portfolio.............. 2,918,072,487 1,241,324,604 (251,477,520) 989,847,084
</TABLE>
4. Portfolio Securities Loaned
As of June 30, 2000, certain Master Portfolios had loaned securities which
were collateralized by U.S. Government Agency obligations and money market
mutual funds. Each Master Portfolio receives transaction fees for providing
services in connection with the securities lending program. The risks to the
Master Portfolios associated with securities lending are that the borrower may
not provide additional collateral when required or return the securities when
due. The value of the securities on loan and the value of the related
collateral were as follows:
80
<PAGE>
VANTAGEPOINT FUNDS--MASTER INVESTMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Continued)
<TABLE>
<CAPTION>
Value of Value of
Master Portfolio Securities Collateral
---------------- ----------- -----------
<S> <C> <C>
Bond Index Master Portfolio............................ $21,525,993 $22,082,188
S&P 500 Index Master Portfolio......................... 92,268,933 95,640,573
</TABLE>
5. Financial Highlights
The ratios of expenses to average net assets and net investment income to
average net assets and portfolio turnover rates (excluding short-term
securities) for the Master Portfolios are as follows:
<TABLE>
<CAPTION>
Six Months For the For the Year
Ended June Period Ended Ended
30, 2000 December 31, February 28,
(Unaudited) 1999 1999
----------- ------------ ------------
<S> <C> <C> <C>
Bond Index Master Portfolio
Ratio of expenses to average net
assets+............................... 0.08% 0.08%* 0.08%
Ratio of net investment income to
average net assets+................... 6.77% 6.44%* 6.31%
Portfolio turnover rate................ 22% 25%* 28%
Extended Index Master Portfolio
Ratio of expenses to average net
assets+............................... 0.10% 0.10%** N/A
Ratio of net investment income to
average net assets+................... 0.92% 1.26%** N/A
Portfolio turnover rate................ 14% 17%** N/A
International Index Master Portfolio
Ratio of expenses to average net
assets+............................... 0.25% 0.25%*** N/A
Ratio of net investment income to
average net assets+................... 1.85% 0.82%*** N/A
Portfolio turnover rate................ 33% 39%*** N/A
S&P 500 Index Master Portfolio
Ratio of expenses to average net
assets+............................... 0.05% 0.05%* 0.05%
Ratio of net investment income to
average net assets+................... 1.24% 1.44%* 1.61%
Portfolio turnover rate................ 4% 7%* 11%
U.S. Equity Index Master Portfolio
Ratio of expenses to average net as-
sets+#................................ 0.08% 0.08%** N/A
Ratio of net investment income to
average net assets+#.................. 1.14% 1.39%** N/A
</TABLE>
------
* For the ten months ended December 31,1999. The Bond Index and S&P 500 Index
Master Portfolios changed their fiscal year end from February 28 to
December 31.
** Period from March 1, 1999 (commencement of operations) to December 31,
1999.
*** Period from October 1, 1999 (commencement of operations) to December 31,
1999.
+ Annualized for period of less than one year.
# Includes expenses allocated from the portfolios of MIP in which this Master
Portfolio invests (see Note 1).
81
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
--------------------------- ---------------------------
<TABLE>
<CAPTION>
Bond Index Master Portfolio Principal Value
<S> <C> <C>
---------------------------------------------------------------------------
CORPORATE BONDS & NOTES--32.11%
---------------------------------------------------------------------------
Aerospace/Defense--0.78%
Lockheed Martin Corp.
8.20%, 12/01/09 $ 1,500,000 $ 1,514,256
Raytheon Co.
7.38%, 07/15/25 1,000,000 849,275
United Technologies Corp.
6.63%, 11/15/04 1,000,000 978,128
-----------
3,341,659
-----------
Auto Manufacturers--1.34%
Chrysler Corp.
7.45%, 03/01/27 1,500,000 1,436,962
Ford Motor Co.
6.38%, 02/01/29 1,000,000 816,214
8.88%, 04/01/06 1,500,000 1,591,153
General Motors Corp.
6.25%, 05/01/05 1,000,000 954,049
7.40%, 09/01/25 1,000,000 936,020
-----------
5,734,398
-----------
Auto Parts & Equipment--0.43%
Delphi Automotive Systems Corp.
6.50%, 05/01/09 1,000,000 898,612
Goodyear Tire & Rubber Co. 6.63%, 12/01/06 1,000,000 939,357
-----------
1,837,969
-----------
Banks--5.13%
ABN Amro Bank NV
7.30%, 12/01/26 500,000 440,665
Bank of New York Co. Inc.
6.50%, 12/01/03 1,000,000 968,576
Bank of Tokyo-Mitsubishi Ltd.
8.40%, 04/15/10 1,000,000 1,009,258
Bank One Corp.
6.40%, 08/01/02 1,000,000 981,848
8.10%, 03/01/02 1,000,000 1,010,368
BankAmerica Corp.
6.25%, 04/01/08 1,870,000 1,706,506
Chase Manhattan Corp.
5.75%, 04/15/04 1,000,000 943,821
Dresdner Bank AG
6.63%, 09/15/05 1,000,000 952,590
First Union Capital Corp.
8.04%, 12/01/26 2,000,000 1,757,366
First Union Corp.
6.63%, 07/15/05 500,000 476,246
International Bank of Reconstruction & Development
6.38%, 07/21/05 1,000,000 972,468
KeyCorp
6.75%, 03/15/06 1,500,000 1,427,616
KFW International Finance Inc.
7.63%, 02/15/04 3,500,000 3,553,105
8.00%, 02/15/10 250,000 263,723
Korea Development Bank
7.13%, 04/22/04 1,000,000 966,942
7.38%, 09/17/04 1,000,000 973,768
Mellon Capital II
8.00%, 01/15/27 1,000,000 904,086
NationsBank Corp.
7.75%, 08/15/15 1,000,000 972,288
</TABLE>
<TABLE>
<CAPTION>
Principal Value
<S> <C> <C>
--------------------------------------------------------------
Skandinaviska Enskilda Banken
6.88%, 02/15/09 $ 500,000 $ 464,045
Swiss Bank Corp.
7.38%, 07/15/15 1,200,000 1,144,871
-----------
21,890,156
-----------
Beverages--0.96%
Anheuser-Busch Companies Inc.
9.00%, 12/01/09 1,500,000 1,659,628
Coca-Cola Enterprises
8.00%, 09/15/22 1,000,000 1,006,749
Diageo PLC
6.13%, 08/15/05 1,000,000 947,168
J Seagram & Sons Ltd.
7.50%, 12/15/18 500,000 471,975
-----------
4,085,520
-----------
Chemicals--0.12%
Dow Chemical Co.
8.63%, 04/01/06 500,000 530,582
-----------
530,582
-----------
Computers--0.67%
International Business Machines Corp.
5.63%, 04/12/04 3,000,000 2,858,523
-----------
2,858,523
-----------
Cosmetics/Personal Care--0.23%
Procter & Gamble Co.
6.88%, 09/15/09 1,000,000 974,525
-----------
974,525
-----------
Diversified Financial Services--6.73%
American General Finance Corp.
6.38%, 03/01/03 1,000,000 974,076
Associates Corp. NA
6.25%, 11/01/08 1,500,000 1,344,702
6.95%, 11/01/18 1,000,000 879,737
Bear Stearns Companies Inc.
6.75%, 04/15/03 1,000,000 976,664
CIT Group Holdings
6.63%, 06/15/05 1,000,000 944,645
Citigroup Inc.
7.88%, 05/15/25 1,000,000 991,369
Countrywide Funding Corp.
6.88%, 09/15/05 1,000,000 948,225
Ford Motor Credit Co.
6.50%, 02/28/02 3,400,000 3,352,359
7.50%, 06/15/03 1,000,000 995,563
General Motors Acceptance Corp.
7.13%, 05/01/03 4,500,000 4,463,856
Household Finance Corp.
6.00%, 05/01/04 2,000,000 1,884,770
6.70%, 06/15/02 1,000,000 981,061
Lehman Brothers Inc.
7.63%, 06/01/06 2,500,000 2,435,450
Merrill Lynch & Co. Inc.
6.00%, 02/17/09 3,000,000 2,654,319
6.38%, 10/15/08 1,000,000 910,705
</TABLE>
82
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
--------------------------- ---------------------------
<TABLE>
<CAPTION>
Bond Index Master Portfolio Principal Value
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
------------------------------------------------------------------------------
Morgan Stanley Dean Witter &
Co.
7.13%, 01/15/03 $ 1,000,000 $ 993,347
8.00%, 06/15/10 1,000,000 1,009,857
Norwest Financial Inc.
5.38%, 09/30/03 1,000,000 942,224
Pemex Finance Ltd.
9.69%, 08/15/09 1,000,000 1,054,260
-----------
28,737,189
-----------
Electric--2.75%
Duke Energy Corp.
6.00%, 12/01/28 2,000,000 1,584,084
Enersis SA
7.40%, 12/01/16 1,000,000 865,807
Houston Lighting & Power Co.
6.50%, 04/21/03 4,000,000 3,895,036
Korea Electric Power Corp.
6.38%, 12/01/03 1,000,000 942,709
Niagara Mohawk Power Corp.
7.38%, 07/01/03 756,098 743,943
7.63%, 10/01/05 529,268 520,085
Northern States Power Co.
6.50%, 03/01/28 1,500,000 1,281,182
Texas Utilities Co.
6.38%, 01/01/08 1,000,000 899,864
Virginia Electric & Power Co.
7.38%, 07/01/02 1,000,000 1,002,482
-----------
11,735,192
-----------
Food--0.74%
Albertson's Inc.
6.63%, 06/01/28 1,000,000 825,305
Archer-Daniels-Midland Co.
8.38%, 04/15/17 500,000 517,726
Fred Meyer Inc.
7.45%, 03/01/08 1,000,000 956,417
Kroger Co.
7.00%, 05/01/18 1,000,000 872,229
-----------
3,171,677
-----------
Health Care--0.47%
Baxter International Inc.
7.63%, 11/15/02 1,000,000 1,008,335
Becton Dickinson & Co. 7.15%,
10/01/09 1,000,000 982,357
-----------
1,990,692
-----------
Insurance--0.22%
Aetna Services Inc.
7.13%, 08/15/06 1,000,000 948,474
-----------
948,474
-----------
Machinery--Construction & Mining--0.23%
Caterpillar Inc.
7.25%, 09/15/09 1,000,000 980,888
-----------
980,888
-----------
Manufacturers--0.20%
Tyco International Group
6.88%, 01/15/29 1,000,000 855,130
-----------
855,130
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
<S> <C> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------
Media--2.45%
Comcast Cable Communications
8.38%, 05/01/07 $ 2,000,000 $ 2,038,628
Disney (Walt) Co.
5.13%, 12/15/03 2,000,000 1,874,334
6.75%, 03/30/06 500,000 489,414
Time Warner Entertainment Co.
8.38%, 03/15/23 2,500,000 2,554,110
Viacom Inc.
7.75%, 06/01/05 3,500,000 3,524,392
-----------
10,480,878
-----------
Multi-National--0.73%
African Development Bank
7.75%, 12/15/01 500,000 503,946
Asian Development Bank 6.75%,
06/11/07 1,000,000 977,674
Inter-American Development
Bank
5.75%, 02/26/08 1,000,000 918,784
8.40%, 09/01/09 200,000 216,477
8.50%, 03/15/11 450,000 495,393
-----------
3,112,274
-----------
Oil & Gas Producers--1.13%
Amoco Canada
7.25%, 12/01/02 1,000,000 1,002,726
Conoco Inc.
5.90%, 04/15/04 2,000,000 1,905,182
Kerr-McGee Corp.
6.63%, 10/15/07 1,120,000 1,042,383
Phillips 66 Capital Trust II
8.00%, 01/15/37 1,000,000 861,060
-----------
4,811,351
-----------
Pharmaceuticals--0.23%
American Home Products Corp.
6.50%, 10/15/02 1,000,000 989,941
-----------
989,941
-----------
Pipelines--0.23%
Sonat Inc.
7.63%, 07/15/11 1,000,000 977,437
-----------
977,437
-----------
Real Estate--0.22%
EOP Operating LP
6.38%, 02/15/03 1,000,000 960,189
-----------
960,189
-----------
Real Estate Investment Trusts--0.22%
Prologis Trust
7.10%, 04/15/08 1,000,000 917,672
-----------
917,672
-----------
Retail--0.86%
Penney (J.C.) Company Inc.
8.25%, 08/15/22 2,000,000 1,546,500
Wal-Mart Stores Inc.
8.50%, 09/15/24 2,000,000 2,120,314
-----------
3,666,814
-----------
</TABLE>
83
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
--------------------------- ---------------------------
<TABLE>
<CAPTION>
Bond Index Master Portfolio Principal Value
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
-------------------------------------------------------------------------------
Telecommunication Equipment--0.23%
Motorola Inc.
7.50%, 05/15/25 $ 1,000,000 $ 993,539
-----------
993,539
-----------
Telecommunications--0.30%
Bell Telephone Canada
9.50%, 10/15/10 250,000 282,887
MCI Communications Corp.
6.13%, 04/15/02 1,000,000 976,450
-----------
1,259,337
-----------
Telephone--3.46%
AT&T Corp.
6.00%, 03/15/09 1,500,000 1,337,459
6.50%, 09/15/02 2,000,000 1,966,454
Deutsche Telekom International
Finance
8.25%, 06/15/30 1,000,000 1,016,900
New York Telephone Co.
6.00%, 04/15/08 500,000 446,364
7.00%, 12/01/33 2,305,000 2,013,418
Sprint Capital Corp.
6.13%, 11/15/08 4,000,000 3,564,100
U.S. West Capital Funding Inc.
6.13%, 07/15/02 1,000,000 978,346
US West Communications Inc.
7.63%, 06/09/03 1,000,000 998,124
WorldCom Inc.
6.25%, 08/15/03 1,000,000 964,058
7.55%, 04/01/04 1,500,000 1,497,951
-----------
14,783,174
-----------
Tobacco--0.10%
Imperial Tobacco Group PLC
7.13%, 04/01/09 500,000 444,723
-----------
444,723
-----------
Transportation--0.95%
Canadian National Railway Co.
6.45%, 07/15/00 1,300,000 1,209,667
CSX Corp.
7.90%, 05/01/17 1,000,000 949,723
Norfolk Southern Corp.
7.80%, 05/15/27 1,000,000 961,520
Union Pacific Corp.
6.79%, 11/09/07 1,000,000 934,546
-----------
4,055,456
-----------
TOTAL CORPORATE BONDS & NOTES
(Cost: $145,481,917) 137,125,359
-----------
-------------------------------------------------------------------------------
++FOREIGN GOVERNMENT BONDS & NOTES--2.91%
-------------------------------------------------------------------------------
British Columbia (Province of)
6.50%, 01/15/26 1,000,000 885,352
Chile (Republic of)
6.88%, 04/28/09 1,000,000 923,734
</TABLE>
<TABLE>
<CAPTION>
Principal Value
<S> <C> <C> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------
Corp. Andina de Fomento
7.75%, 03/01/04 $ 2,000,000 $ 1,979,770
Hydro Quebec
8.40%, 01/15/22 2,000,000 2,114,198
Mexico Government
International Bond
9.88%, 01/15/07 1,000,000 1,030,000
11.50%, 05/15/26 1,000,000 1,202,500
New Brunswick (Province of)
7.63%, 06/29/04 1,200,000 1,211,714
Ontario (Province of)
7.63%, 06/22/04 750,000 758,552
7.75%, 06/04/02 2,300,000 2,323,653
-----------
TOTAL FOREIGN GOVERNMENT BONDS &
NOTES
(Cost: $13,073,301) 12,429,473
-----------
----------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS--62.08%
----------------------------------------------------------------------------
U.S. Government Agency Bonds and Notes--14.93%
Federal Home Loan Bank
5.02%, 02/11/02 3,500,000 3,400,470
5.13%, 09/15/03 2,500,000 2,369,662
5.40%, 01/15/03 1,500,000 1,446,433
5.50%, 01/21/03 1,000,000 966,323
5.95%, 07/28/08 3,500,000 3,238,665
6.09%, 06/02/06 2,500,000 2,384,147
6.13%, 08/15/03 1,000,000 975,206
6.61%, 06/09/04 3,000,000 2,930,100
Federal Home Loan Mortgage
Corporation
5.00%, 01/15/04 5,000,000 4,684,635
5.13%, 10/15/08 3,400,000 2,960,557
5.50%, 05/15/02 1,000,000 975,654
5.63%, 02/20/04 1,000,000 952,856
5.75%, 04/15/08 1,000,000 916,906
5.75%, 03/15/09 500,000 453,973
5.90%, 05/04/04 3,500,000 3,353,994
6.30%, 06/01/04 1,000,000 968,547
6.75%, 09/15/29 1,000,000 956,254
7.00%, 02/15/03 2,000,000 2,001,206
Federal National Mortgage
Association
0.00%, 06/01/17 1,000,000 300,160
5.13%, 02/13/04 3,104,000 2,916,202
5.25%, 01/15/09 1,000,000 877,546
5.38%, 03/15/02 1,000,000 975,727
5.75%, 06/15/05 1,000,000 947,584
5.88%, 04/23/04 600,000 574,733
6.00%, 05/15/08 1,000,000 930,731
6.26%, 02/25/09 5,000,000 4,637,785
6.38%, 06/15/09 394,000 373,382
6.45%, 02/14/02 1,000,000 991,375
6.80%, 01/10/03 1,400,000 1,394,924
7.13%, 03/15/07 1,000,000 1,002,920
7.13%, 01/15/30 887,000 889,193
7.55%, 04/22/02 3,000,000 3,031,776
Financing Corp.
8.60%, 09/26/19 2,150,000 2,461,490
9.65%, 11/02/18 500,000 623,792
9.80%, 04/06/18 1,285,000 1,616,020
Tennessee Valley Authority
6.00%, 03/15/13 1,000,000 898,201
6.13%, 07/15/03 500,000 483,771
6.25%, 12/15/17 600,000 539,140
</TABLE>
84
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
--------------------------- ---------------------------
<TABLE>
<CAPTION>
Bond Index
Master Portfolio Principal Value
<S> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
--------------------------------------------------------------------
6.88%, 12/15/43 $ 1,000,000 $ 875,000
7.13%, 05/01/30 450,000 450,540
-----------
63,727,580
-----------
U.S. Government Securities--47.15%
U.S. Treasury Bonds
5.25%, 02/15/29 700,000 621,032
5.50%, 08/15/28 2,800,000 2,568,126
6.00%, 02/15/26 1,200,000 1,173,000
6.13%, 11/15/27 1,600,000 1,595,000
6.13%, 08/15/29 800,000 808,500
6.25%, 05/15/30 1,200,000 1,259,626
6.50%, 11/15/26 1,500,000 1,564,687
6.63%, 02/15/27 1,000,000 1,060,313
7.13%, 02/15/23 5,200,000 5,768,750
7.25%, 05/15/16 4,100,000 4,511,283
7.50%, 11/15/16 500,000 563,125
7.63%, 02/15/07 500,000 508,125
7.63%, 02/15/25 5,300,000 6,250,687
7.88%, 02/15/21 2,500,000 2,968,750
8.00%, 11/15/21 7,100,000 8,568,812
8.13%, 08/15/19 5,250,000 6,332,812
8.75%, 05/15/17 1,600,000 2,011,000
8.75%, 05/15/20 3,100,000 3,970,908
8.75%, 08/15/20 2,100,000 2,693,907
9.13%, 05/15/09 1,000,000 1,088,125
9.13%, 05/15/18 1,500,000 1,957,032
9.38%, 02/15/06 1,300,000 1,486,469
9.88%, 11/15/15 1,500,000 2,032,500
10.63%, 11/15/12 2,100,000 2,584,313
11.25%, 02/15/15 1,250,000 1,839,844
11.75%, 11/15/14 500,000 689,375
12.00%, 08/15/13 1,100,000 1,486,375
12.75%, 11/15/10 500,000 640,625
13.25%, 05/15/14 1,500,000 2,190,000
U.S. Treasury Notes
4.25%, 11/15/03 1,500,000 1,407,188
4.75%, 02/15/04 2,100,000 1,996,313
4.75%, 11/15/08 6,700,000 6,084,438
5.25%, 05/15/04 3,700,000 3,569,346
5.38%, 06/30/03 2,250,000 2,191,642
5.50%, 07/31/01 4,100,000 4,057,721
5.50%, 08/31/01 2,000,000 1,976,250
5.50%, 01/31/03 2,100,000 2,056,032
5.50%, 03/31/03 3,000,000 2,932,500
5.50%, 05/31/03 1,450,000 1,417,375
5.50%, 02/15/08 1,200,000 1,149,000
5.50%, 05/15/09 500,000 478,125
5.63%, 09/30/01 2,500,000 2,473,438
5.63%, 05/15/08 3,300,000 3,182,438
5.75%, 06/30/01 3,000,000 2,978,439
5.75%, 11/30/02 1,600,000 1,576,501
5.75%, 04/30/03 1,000,000 984,688
5.75%, 08/15/03 5,000,000 4,914,065
5.88%, 11/30/01 850,000 842,563
5.88%, 09/30/02 1,700,000 1,680,345
5.88%, 02/15/04 1,000,000 986,250
5.88%, 11/15/04 1,000,000 985,000
5.88%, 11/15/05 2,500,000 2,457,033
6.00%, 08/15/09 2,800,000 2,777,250
6.13%, 12/31/01 1,200,000 1,193,250
6.13%, 08/15/07 3,300,000 3,280,408
</TABLE>
<TABLE>
<CAPTION>
Principal Value
<S> <C> <C> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------
6.25%, 10/31/01 $ 2,800,000 $ 2,790,376
6.25%, 01/31/02 1,000,000 996,250
6.25%, 02/28/02 7,000,000 6,973,750
6.25%, 06/30/02 3,000,000 2,989,689
6.25%, 02/15/03 3,800,000 3,789,314
6.38%, 09/30/01 2,000,000 1,996,250
6.38%, 08/15/02 4,700,000 4,692,659
6.50%, 05/15/05 3,000,000 3,032,814
6.50%, 08/15/05 3,000,000 3,031,875
6.50%, 10/15/06 1,400,000 1,415,750
6.50%, 02/15/10 1,800,000 1,861,313
6.63%, 06/30/01 2,000,000 2,003,126
6.63%, 04/30/02 2,800,000 2,807,000
6.63%, 05/15/07 1,000,000 1,020,625
6.88%, 05/15/06 3,000,000 3,087,189
7.00%, 07/15/06 1,900,000 1,968,282
7.25%, 08/15/04 8,950,000 9,249,270
7.50%, 11/15/01 5,200,000 5,266,628
7.50%, 05/15/02 3,000,000 3,055,314
7.50%, 02/15/05 1,300,000 1,363,375
7.88%, 08/15/01 4,300,000 4,363,158
7.88%, 11/15/04 3,000,000 3,175,314
------------
201,350,020
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost: $272,485,675) 265,077,600
------------
---------------------------------------------------------------------------
SHORT TERM INSTRUMENTS--5.17%
---------------------------------------------------------------------------
+FHLMC Discount Note 4,247,333 4,247,333
6.42%, 07/05/00
+Goldman Sachs Financial
Square Prime Obligation
Fund 10,834,855 10,834,855
6.57%, 07/03/00
+Short Term Investment
Company Liquid Assets
Portfolio 7,000,000 7,000,000
------------
6.67%, 07/03/00
TOTAL SHORT TERM INSTRUMENTS
(Cost: $22,082,188) 22,082,188
------------
---------------------------------------------------------------------------
REPURCHASE AGREEMENTS--1.28%
---------------------------------------------------------------------------
Morgan Stanley Tri Party
Repurchase Agreement,
dated 6/30/00, due
7/03/00, with a maturity
value of $5,455,424 and
an effective yield of
6.30%. 5,452,562 5,452,562
------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $5,452,562) 5,452,562
------------
TOTAL INVESTMENTS IN SECURITIES--
103.55%
(Cost $458,575,643) 442,167,182
Other Assets, Less Liabilities --
(3.55%) (15,164,127)
------------
NET ASSETS -- 100.00% $427,003,055
============
---------------------------------------------------------------------------
</TABLE>
+ Represents investment of collateral received from securities lending
transactions. See Note 4.
++ Investment is denominated in U.S. Dollars.
The accompanying notes are an integral part of these financial statements.
85
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
----------------------------------------------------------
COMMON STOCKS--96.30%
----------------------------------------------------------
Advertising--0.63%
Ackerly Group Inc. (The) 2,120 $ 24,910
+APAC Customer Services Inc. 3,944 43,630
+Catalina Marketing Corp. 1,217 124,134
+Cybergold Inc. 2,900 27,006
+Cyrk International Inc. 1,891 9,455
+Digital Impact Inc. 1,703 24,055
+FreeShop.com Inc. 3,600 21,375
+GenesisIntermedia.com Inc. 400 6,425
+Getty Images Inc. 2,466 91,396
Grey Advertising Inc. 55 28,600
+Ha-Lo Industries Inc. 3,404 19,148
Harte-Hanks Inc. 4,776 119,400
+K2 Design Inc. 400 2,650
+Lamar Advertising Co. 4,276 185,204
+Mediaplex Inc. 1,900 36,694
+Modem Media Inc. 1,100 13,681
+Obie Media Corp. 220 1,760
Penton Media Inc. 1,619 56,665
+R.H. Donnelley Corp. 1,530 29,644
+Snyder Communications Inc. 3,986 94,667
+TMP Worldwide Inc. 5,310 391,944
True North Communications Inc. 3,115 137,060
+24/7 Media Inc. 4,932 77,063
------------
1,566,566
------------
Aerospace/Defense--0.15%
AAR Corp. 1,340 16,079
+BE Aerospace Inc. 2,187 15,036
+Ducommun Inc. 413 4,930
+Fairchild Corp. (The) "A" 1,431 6,976
+First Aviation Services Inc. 2,400 14,250
GenCorp. Inc. 2,357 18,856
+Hawker Pacific Aerospace 2,500 11,250
HEICO Corp. 909 12,953
HEICO Corp. "A" 852 10,437
+Kellstrom Industries Inc. 433 2,003
+Kreisler Manufacturing Corp. 2,500 10,234
+Litton Industries Inc. 3,233 135,786
+Orbital Sciences Corp. 2,547 31,042
+Pemco Aviation Group Inc. 700 11,287
Primex Technologies Inc. 876 19,272
+Sequa Corp. "A" 564 21,538
+Teledyne Technologies Inc. 1,800 30,150
TransTechnology Corp. 232 2,552
Venturian Corp. 440 1,760
------------
376,391
------------
Agriculture--0.02%
Delta & Pine Land Co. 2,014 50,476
------------
Airlines--0.37%
+Airnet Systems Inc. 519 2,368
+Airtran Holdings Inc. 2,893 12,024
+Alaska Air Group Inc. 2,172 58,916
+American West Holdings Corp. "B" 2,024 34,661
+Atlantic Coast Airlines Holdings 1,859 59,023
+Atlas Air Inc. 2,004 71,894
+Continental Airlines Inc. "B" 3,964 186,308
</TABLE>
<TABLE>
---------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------------
+Midway Airlines Corp. 517 $ 2,650
+Midwest Express Holdings Inc. 1,230 26,445
+Northwest Airlines Corp. "A" 5,635 171,515
+Offshore Logistics Inc. 2,591 37,246
Petroleum Helicopters NV 245 2,358
SkyWest Inc. 1,384 51,295
UAL Corp. 3,376 196,441
------------
913,144
------------
Apparel--0.13%
+Burlington Industries Inc. 2,578 4,350
+Jones Apparel Group Inc. 7,552 177,472
Oshkosh B'gosh Inc. "A" 812 13,297
Phillips-Van Heusen Corporation 2,403 22,828
Stride Rite Corp. 4,777 29,259
+Unifi Inc. 4,132 51,133
Warnaco Group Inc. "A" 3,668 28,427
------------
326,766
------------
Auto Manufacturers--0.29%
+Aftermarket Technology Inc. 1,845 15,682
+Alltrista Corp. 348 7,439
+American Axle & Manufacturing Holdings Inc. 3,100 43,981
AO Smith Corp. "B" 2,242 46,942
Arvin Industries Inc. 1,397 24,273
Borg-Warner Automotive Inc. 1,345 47,243
+Cannondale Corp. 274 1,781
CLARCOR Inc. 2,691 53,484
Coachmen Industries Inc. 741 8,521
Collins Industries Inc. 400 2,000
+Copart Inc. 3,182 50,912
+Delco Remy International Inc. 869 7,224
+Dura Automotive Systems Inc. 1,322 14,294
Exide Corp. 1,855 14,840
+FinishMaster Inc. 300 1,819
Hastings Manufacturing Co. 100 850
+Hayes Lemmerz International Inc. 1,550 18,697
+Holiday RV Superstores Inc. 400 1,800
+IMPCO Technologies Inc. 865 36,654
JLG Industries Inc. 3,972 47,167
+Keystone Automotive Industries Inc. 786 5,453
+Lithia Motors Inc. "A" 425 5,684
+Monaco Coach Corp. 1,835 25,002
+National RV Holdings Inc. 576 6,048
Noble International Ltd. 300 2,325
Oshkosh Truck Corp. 1,307 46,725
Regal-Beloit Corp. 1,035 16,495
+Rush Enterprises Inc. 397 2,208
Simpson Industries Inc. 772 5,814
+Sonic Automotive Inc. 2,212 23,641
Spartan Motors Inc. 562 2,353
+Standard Automotive Corp. 200 1,525
Standard Motor Products Inc. 1,184 10,064
+Starcraft Corp. 2,200 18,150
+Supreme Industries Inc. 513 2,308
+TBC Corp. 882 4,079
</TABLE>
86
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
---------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
---------------------------------------------------------------
COMMON STOCKS--(Continued)
---------------------------------------------------------------
+The Kroll-O'Gara Co. 1,619 $ 10,827
Titan International Inc. 2,171 11,533
+Ugly Duckling Corp. 719 5,078
+United Auto Group Inc. 1,064 9,709
Wabash National Corp. 2,427 28,972
Winnebago Industries Inc. 2,120 27,693
------------
717,289
------------
Auto Parts & Equipment--0.11%
Bandag Inc. 1,181 28,639
+Collins & Aikman Corp. 6,000 31,125
Federal-Mogul Corp. 4,111 39,311
+Lear Corp. 3,683 73,660
Meritor Automotive Inc. 4,188 46,068
+Strattec Security Corp. 206 6,695
Superior Industries International Inc. 1,324 34,093
Tenneco Automotive Inc. 2,400 12,600
------------
272,191
------------
Banks--4.09%
Abington Bancorp Inc. 200 1,800
Allegiant Bancorp Inc. 285 2,636
Alliance Bancorp 422 6,937
AMB Financial Corp. 400 5,200
Ambanc Holding Co. Inc. 246 3,751
AMCORE Financial Inc. 1,295 23,715
Ameriana Bancorp 156 1,540
American Bancorp 140 1,715
American Bank of Connecticut 167 3,277
American National Bankshares Inc. 600 8,250
Anchor Bancorp Wisconsin Inc. 2,823 43,227
Andover Bancorp Inc. 239 6,886
Area Bancshares Corp. 1,900 42,394
Arrow Financial Corp. 287 4,305
ASB Financial Corp. 400 3,800
Associated Bancorp. 4,874 106,314
Astoria Financial Corp. 2,946 75,859
Atlantic Financial Corp. 186 2,371
+Banc Corp. (The) 1,790 11,859
BancFirst Corp. 415 13,072
BancFirst Ohio Corp. 292 4,782
Bancorp Connecticut Inc. 229 3,320
Bancorp South Inc. 4,398 61,847
BancWest Corporation 5,412 88,960
Bank of South Carolina Corp. 400 4,800
Bank of the Ozarks 169 2,725
Bank United Corp. "A" 1,867 65,695
BankAtlantic Bancorp Inc. "A" 1 3
Bankfirst Corp. 419 3,457
Banknorth Group Inc. 8,764 134,199
Bar Harbor Bankshares 163 2,486
Bay State Bancorp Inc. 113 2,444
Bay View Capital Corp. 1,442 14,145
BB&T Corp. 424 10,123
BCSB Bancorp Inc. 273 1,638
Berkshire Bancorp Inc. 95 3,182
Big Foot Financial Corp. 400 4,425
+BOK Financial Corp. 3,921 68,863
</TABLE>
<TABLE>
---------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------
Boston Private Financial Holdings Inc. 1,300 $ 13,081
Bostonfed Bancorp Inc. 192 2,712
Brenton Banks Inc. 924 12,820
Brodge View Bancorp 129 1,741
Brookline Bancorp Inc. 3,901 44,618
Bryn Mawr Bank Corp. 458 9,217
BSB Bancorp Inc. 706 14,164
+BWC Financial Corp. 200 3,800
California Independent Bancorp 367 8,258
Camco Financial Corp. 440 3,987
Camden National Corp. 802 10,827
+Capital Bank Corp. 200 1,800
Capital City Bank Group Inc. 826 16,107
+Capital Corporation of the West 300 3,112
+Capital Crossing Bank 181 1,855
Capitol Bancorp Ltd. 732 8,326
Carolina Southern Bank 159 1,828
Cascade Bancorp 751 8,402
+Cascade Financial Corp. 250 1,906
Cathay Bancorp Inc. 901 41,784
Cavalry Bancorp Inc. 274 3,168
CB Bancshares Inc./Hawaii 131 3,226
CCB Financial Corp. 2,677 99,049
CCBT Financial Companies Inc. 334 5,250
Cenit Bancorp Inc. 178 2,114
Center Bancorp Inc. 210 4,567
+Central Coast Bancorp 371 5,658
Centura Banks Inc. 2,756 93,532
Century Bancorp Inc. "A" 161 1,972
CFS Bancorp Inc. 846 7,746
Chemical Financial Corp. 1,633 42,458
Chester Valley Bancorp 697 11,849
Chittenden Corp. 1,549 37,854
Citizens Banking Corp. 2,343 38,037
Citizens Financial Services Inc. 225 2,587
Citizens First Financial Corp. 722 9,566
City National Corp. 3,012 106,918
+Civic Bancorp 217 3,119
CKF Bancorp Inc. 400 5,700
CNB Financial Corp./NY 780 8,190
CNBT Bancshares Inc. 319 4,267
CNY Financial Corp. 239 4,421
Coastal Bancorp Inc. 262 3,766
Coastal Financial Corp. 843 8,219
Codorus Valley Bancorp Inc. 441 4,906
Colonial BancGroup Inc. 8,391 80,763
Colorado Business Bankshares 946 12,653
Columbia Bancorp 204 1,836
Comm Bancorp Inc. 98 2,670
Commerce Bancorp Inc. NJ 1,684 77,464
Commerce Bancshares Inc. 4,191 124,682
Commercial Bank of New York 237 2,785
Commercial Bankshares Inc./FL 173 3,071
Commercial Federal Corp. 2,908 45,256
Commercial National Financial Corp./PA 261 4,372
</TABLE>
87
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
--------------------------------------------------------------
COMMON STOCKS--(Continued)
--------------------------------------------------------------
Commonwealth Bancorp Inc. 542 $ 6,436
+Community Bancorp Inc. 420 2,730
Community Bank Shares of Indiana Inc. 200 2,900
Community Bank System Inc. 269 5,968
Community Banks Inc. 264 5,445
Community Bankshares Inc. 611 7,027
Community Bankshares Inc./VA 161 2,898
Community Financial Corp./VA 400 3,500
Community First Banking Co. 123 2,029
Community First Bankshares Inc. 2,411 39,329
Community Savings Bankshares 844 9,600
Community West Bancshares 400 2,200
Compass Bancshares Inc. 7,559 128,975
Cooperative Bankshares Inc. 400 3,400
Cornerstone Bancorp Inc. 100 1,175
CORUS Bankshares Inc. 1,651 43,648
CoVest Bancshares Inc. 200 2,100
Cullen/Frost Bankers Inc. 3,888 102,303
CVB Financial Corp. 2,516 39,784
Delphos Citizens Bancorp Inc. 400 4,875
Desert Community Bank 354 6,018
Dime Bancorp Inc. 7,491 117,983
Downey Financial Corp. 1,258 36,482
Drovers Bancshares Corp. 285 4,382
Eagle Bancshares Inc. 211 2,400
East Texas Financial Services Inc. 400 3,300
East West Bancorp Inc. 1,200 17,250
Eastern Virginia Bankshares 690 10,350
EFC Bancorp Inc. 335 3,141
Elmira Savings Bank FSB 359 6,464
+Equitable Bank 420 5,171
ESB Financial Corp. 880 8,800
F&M National Corp. 3,008 63,168
F.N.B. Corp. 2,303 47,499
Farmers Capital Bank Corp. 578 17,557
FCNB Corp. 688 12,427
FFD Financial Corp. 400 3,800
FFLC Bancorp Inc. 164 2,070
FFW Corp. 400 4,725
FFY Financial Corp. 288 3,168
Fidelity Bancorp Inc. 107 1,859
Fidelity Bancorp Inc./PA 400 4,700
Fidelity Bankshares Inc. 750 11,531
Fidelity National Corp. 363 2,223
Finger Lakes Financial Corp. 200 1,400
First Bancorp North Carolina 652 9,046
+First Banks America Inc. 198 3,663
First Bankshares Inc. 400 3,950
First Bell Bancorp Inc. 229 3,492
First Busey Corp. "A" 606 9,961
First Citizens BancShares Inc. 909 54,085
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
First Commonwealth Financial Corp. 2,868 $ 25,991
First Community Financial Corp. 200 3,412
First Defiance Financial Corp. 301 2,427
First Essex Bancorp Inc. 278 4,431
+First Federal Bancorp Inc. 600 4,237
First Federal Bancorp Inc./OH 600 3,600
First Federal Bancshares of Arkansas 204 3,009
First Federal Bankshares Inc. 529 4,166
First Federal Financial of Kentucky 552 10,488
First Federal of East Hartford 138 4,088
First Financial Bancorp 3,610 71,072
First Financial Corp. 400 4,100
First Franklin Corp. 400 3,350
First Georgia Holding Inc. 900 3,712
First Independence Corp. 400 3,800
First Keystone Financial Inc. 400 3,950
First Mariner Bancorp 400 2,200
First Merchants Corp. 771 16,336
First Midwest Bancorp Inc. 3,048 70,866
First Midwest Financial Inc. 400 3,700
First Mutual Bancshares Inc. 220 2,200
First Niagara Financial Group Inc. 1,331 12,478
First Northern Capital Corp. 324 4,333
First Oak Brook Bancshares "A" 164 2,234
First of Long Island Corp. 314 10,637
First Place Financial Corp. 700 7,525
First Savings Bancorp Inc. 166 2,697
First Security Corp. 11,477 155,657
First Security Financial Inc. 400 5,150
First Sentinel Bancorp Inc. 4,730 38,875
1st Source Corp. 1,947 30,544
First South Bancorp Inc. 182 3,572
First Southern Bancshares 400 3,300
First State Bancorp 228 2,337
1st State Bancorp Inc. 200 4,100
First Tennessee National Corp. 7,837 129,800
First United Corp. 727 7,906
First Virginia Banks Inc. 2,740 95,386
First West Virgina Bancorp Inc. 240 3,420
Firstbank Corp. 1,333 24,744
Firstfed America Bancorp Inc. 289 3,342
+FirstFed Financial Corp. 945 13,348
FirstMerit Corp. 4,890 104,524
FirstSpartan Financial Corp. 146 2,518
Flag Financial Corp. 1,000 4,437
+Florida Banks Inc. 400 2,175
FloridaFirst Bancorp 400 3,150
Flushing Financial Corp. 414 6,313
FMS Financial Corp. 1,000 7,375
FNB Corp./North Carolina 534 5,273
FNB Financial Services Corp. 153 1,989
Foothill Independent Bancorp 820 7,585
</TABLE>
88
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------
Frontier Financial Corp. 1,204 $ 22,123
FSF Financial Corp. 400 4,800
Fulton Financial Corp. 5,245 92,771
FVNB Corp. 406 13,702
GA Financial Inc. 263 3,123
Gaston Federal Bancorp Inc. 201 2,048
GBC Bancorp 633 18,515
German American Bancorp 334 4,843
GFSB Bancorp Inc. 400 5,450
Gold Bancorp Inc. 1,378 6,890
+Golden State Bancorp Inc. 8,156 146,808
Granite State Bankshares Inc. 218 3,297
Great Southern Bancorp Inc. 289 5,021
Greater Bay Bancorp 729 34,081
Greater Community Bancorp 410 3,382
Greater Delaware Valley Savings Bank 200 1,487
Greenpoint Financial Corp. 7,080 132,750
GS Financial Corp. 400 4,925
Guaranty Bancshares Inc. 300 3,337
Guaranty Federal Bancshares Inc. 400 4,050
Guaranty Financial Corp. 400 3,000
Habersham Bancorp 400 4,100
Hallmark Capital Corp. 200 1,825
+Hamilton Bancorp Inc. 970 16,975
Hancock Holding Co. 1,168 39,712
Harbor Florida Bancshares Inc. 1,383 14,435
Hardin Bancorp Inc. 200 2,725
Harleysville National Corp. 481 15,753
Harleysville Savings Finance Corp. 506 7,337
Harrington Financial Group Inc. 600 3,900
+Hawthorne Financial Corp. 700 5,425
+Heritage Bancorp Inc. 800 4,200
Heritage Bancorp Inc./SC 170 2,890
Heritage Financial Corp. 443 3,849
HF Financial Corp. 212 1,908
Hibernia Corp. "A" 11,096 120,669
Highland Bancorp Inc. 282 6,874
Hingham Institution for Savings 400 5,250
HMN Financial Inc. 241 2,651
Home Bancorp 97 1,710
Home City Financial Corp. 400 3,750
Home Federal Bancorp 189 3,118
Home Financial Bancorp 600 3,375
Hopfed Bancorp Inc. 180 1,721
Horizon Financial Corp. 276 2,484
Hudson City Bancorp Inc. 6,800 116,025
Hudson River Bancorp Inc. 658 7,814
Hudson United Bancorp 2,838 63,678
IBERIABANK Corp. 253 3,890
+Imperial Bancorp 2,420 37,813
Independence Community Bank Corp. 3,455 45,779
Independence Federal Savings Bank 400 4,000
Independent Bank Corp.--MA 548 6,199
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
Independent Bank Corp.--MI 978 $ 13,264
Indiana United Bancorp 576 9,216
Industrial Bancorp Inc. 180 2,137
IndyMac Mortgage Holdings Inc. 5,638 76,465
Integra Bank Corp. 1,697 28,849
Interchange Financial Services Corp. 636 8,347
International Bancshares Corp. 987 32,201
Investors Financial Services Corp. 2,200 87,312
Iroquois Bancorp Inc. 200 6,537
Irwin Financial Corp. 2,369 34,202
iStar Financial Inc. 3,970 83,122
+ITLA Capital Corp. 700 10,150
Jacksonville Savings Bank 400 3,200
James River Bankshares Inc. 200 2,200
Jefferson Savings Bancorp Inc. 1,071 11,714
Kankakee Bancorp Inc. 382 7,926
Keystone Financial Inc. 2,401 51,021
Klamath First Bancorp Inc. 365 4,283
Lakeland Financial Corp. 313 3,599
Lamar Capital Corp. 400 3,275
Leeds Federal Bankshares Inc. 232 2,421
Lexington B & L Financial Corp. 400 3,850
Logansport Financial Corp. 400 3,925
LSB Bancshares Inc. 321 3,932
M&T Bank Corp. 451 202,950
MAF Bancorp Inc. 2,636 47,942
Mahaska Investment Co. 1,062 8,894
Main Street Bancorp Inc. 100 887
Marathon Financial Corp. 400 2,025
Marshall & Ilsley Corp. 6,645 275,767
Massbank Corp. 330 9,240
Medallion Financial Corp. 1,016 15,685
Medford Bancorp Inc. 321 4,534
Mercantile Bankshares Corp. 4,694 139,940
Merchants Bancshares Inc. 462 9,009
Merchants New York Bancorp Inc. 2,168 37,262
Merrill Merchants Bancshares Inc. 309 3,476
Metrocorp Bancshares Inc. 513 3,527
+Metropoitan Financial Corp. 1,200 5,700
MetroWest Bank 637 3,503
MFB Corp. 400 6,525
Mid Coast Bancorp 630 9,726
Mid Penn Bancorp Inc. 229 4,179
MidAmerica Bancorp 1,270 31,750
Midwest Banc Holdings Inc. 415 5,758
Mississippi Valley Bancshares Inc. 424 10,282
MNB Bancshares Inc. 420 3,360
Monterey Bay Bancorp Inc. 167 1,503
Montgomery Financial Corp. 200 1,700
National Bancorp of Alaska Inc. 2,076 74,476
+National Bancshares Corp. of Texas 188 2,561
National City Bancorp 326 4,727
</TABLE>
89
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------
National Commerce Bancorp. 7,015 $ 112,678
National Penn Bancshares Inc. 1,698 35,021
+Net.B@nk Inc. 2,478 30,820
North Central Bancshares Inc. 138 1,915
North Fork Bancorp. 10,208 154,396
Northeast Bancorp 716 5,728
Northeast Indiana Bancorp Inc. 440 5,060
Northern States Financial Corp. 464 8,816
Northway Financial Inc. 309 6,798
Northwest Bancorp Inc. 5,896 40,535
Norwood Financial Corp. 200 3,500
NS & L Bancorp 480 4,860
NSD Bancorp Inc. 554 8,310
Nutmeg Federal Savings & Loan 210 1,601
Oak Hill Financial Inc. 196 2,744
OceanFirst Financial Corp. 544 10,030
+Ocwen Financial Corp. 6,716 37,358
Ohio Valley Bancorp 326 8,476
Old National Bancorp. 4,066 119,185
Old Second Bancorp Inc. 224 4,746
Omega Financial Corp. 401 10,125
One Valley Bancorp Inc. 2,553 79,781
Oregon Trail Financial Corp. 200 2,225
Ottawa Financial Corp. 685 11,650
PAB Bankshares Inc. 471 4,887
Pacific Capital Bancorp 1,480 37,093
Pacific Century Financial Corp. 4,588 67,100
Pamrapo Bancorp Inc. 127 2,445
Park National Corp. 536 48,642
Parkvale Financial Corp. 633 10,919
Pathfinder Bancorp Inc. 400 2,600
Patriot Bank Corp. 228 1,582
Peekskill Financial Corp. 400 8,700
Pennfed Financial Services Inc. 339 4,788
+Pennsylvania Commerce Bancorp Inc. 267 6,008
Peoples Bancorp Inc. 255 3,570
Peoples Bancorp/Auburn 145 1,994
People's Bancshares Inc. 200 3,050
Peoples Banctrust Co. Inc. 689 7,923
People's Bank 4,591 84,360
Peoples Bank / Catawba NC 511 6,515
Peoples Financial Corp./OH 200 1,125
Peoples Holding Co. 215 4,300
Permanent Bancorp Inc. 200 4,000
PHS Bancorp Inc. 400 3,350
Pinnacle Bancshares Inc. 800 7,200
Pittsburgh Financial Corp. 400 3,300
Popular Inc. 8,268 157,609
Premier Financial Bancorp 234 1,521
Princeton National Bancorp 171 2,095
Progress Financial Corp. 246 3,044
Prosperity Bancshares Inc. 231 3,725
Provident Bankshares Corp. 2,560 34,560
Provident Financial Group Inc. 2,664 63,436
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
+Provident Financial Holdings Inc. 200 $ 2,787
PVF Capital Corp. 220 2,159
+Quad City Holdings Inc. 200 3,225
+Quaker City Bancorp Inc. 700 10,762
Queens County Bancorp Inc. 2,151 39,659
R&G Financial Corp. "B" 374 2,969
Redwood Empire Bancorp 151 2,718
Republic Bancorp Inc. 4,240 37,898
Republic Bancorp Inc. KY "A" 540 5,434
+Republic Bancshares Inc. 454 5,448
+Republic First Bancorp Inc. 248 1,147
Republic Security Financial Corp. 5,615 28,075
Resource Bankshares Corp. 200 1,725
Richmond County Financial Corp. 1,600 30,600
Riggs National Corp. 2,971 37,509
Riverview Bancorp 259 2,072
Roslyn Bancorp Inc. 4,952 82,250
Royal Bancshares of Pennsylvania "A" 812 13,601
S&T Bancorp Inc. 1,236 22,557
Santander Bancorp 3,770 48,067
Savannah Bancorp Inc. (The) 336 6,468
Seacoast Banking Corp. of Florida 184 4,968
Second Bancorp Inc. 573 8,702
+Security Capital Group "B" 3,373 57,341
Shoreline Financial Corp. 443 5,262
+Silicon Valley Bancshares 2,446 104,261
Simmons First National Corp. "A" 611 13,671
+Six Rivers National Bank 200 2,600
SJNB Financial Corp. 110 3,080
Sky Financial Group Inc. 5,586 89,025
SNB Bancshares Inc. 200 3,000
Sound Federal Bancorp 233 1,951
South Alabama Bancorp 840 8,505
South Financial Group Inc. (The) 4,373 63,404
Southside Bankshares Corp. 320 2,380
Southwest Bancorp Inc. 440 7,095
+Southwest Bancorp of Texas Inc. 1,438 29,838
Southwest Georgia Financial Corp. 134 2,119
Sovereign Bancorp Inc. 14,232 100,069
State Bancorp Inc. 814 10,281
State Financial Services Corp. "A" 371 3,548
StateFed Financial Corp. 200 1,850
Staten Island Bancorp Inc. 1,992 35,109
Sterling Bancorp-NY 318 5,009
Sterling Bancshares Inc./TX 2,095 22,652
Sterling Financial Corp. (PA) 796 15,771
+Sterling Financial Corp./ Spokane 360 4,140
Suffolk Bancorp 224 5,852
Summit Bancshares Inc. (Texas) 640 11,040
+Summit Financial Corp. 210 2,100
Sun Bancorp Inc. 252 3,528
+Sun Bancorp Inc. "B" 783 4,700
</TABLE>
90
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
----------------------------------------------------------
COMMON STOCKS--(Continued)
----------------------------------------------------------
Susquehanna Bancshares Inc. 1,704 $ 24,282
SY Bancorp Inc. 242 4,991
TCF Financial Corp. 5,587 143,516
Team Financial Inc. 300 2,437
Texas Regional Bancshares "A" 1,544 39,179
TF Financial Corp. 129 1,758
Thistle Group Holdings Co. 402 2,789
TIB Financial Corp. 300 3,094
Timberland Bancorp Inc. 267 2,887
Tompkins County Trustco Inc. 282 6,979
TriCo Bancshares 659 10,873
Troy Financial Corp. 700 6,912
Trust Company of New Jersey (The) 2,085 38,051
TrustCo Bank Corp. NY 4,496 56,200
Trustmark Corp. 4,956 86,420
Twin City Bancorp Inc. 400 6,025
UMB Financial Corp. 1,697 55,683
Union Bankshares Corp. 776 8,245
Union Community Bancorp 300 3,300
UnionBanCal Corporation 10,039 186,349
United Bancorp Inc./Ohio 131 1,310
United Bankshares Inc. 2,124 38,630
United National Bancorp./NJ 1,684 30,944
+United Security Bancorp 880 8,470
Unity Bancorp Inc. 300 1,162
USBancorp Inc.--PA 503 1,792
Vail Banks Inc. 359 3,410
Valley National Bancorp. 4,351 105,784
+VIB Corp. 1,346 8,076
Virginia Capital Bancshares Inc. 700 10,675
+Virginia Commerce Bancorp Inc. 484 6,413
Vista Bancorp Inc. 604 8,456
W Holding Co. Inc. 4,589 37,859
Warren Bancorp Inc. 354 2,522
Warwick Community Bancorp 243 2,886
Washington Federal Inc. 2,707 49,403
Webster Financial Corp. 2,568 56,977
WesBanco Inc. 2,035 49,349
Westamerica Bancorp 1,808 47,234
WestCorp Inc. 3,331 39,764
Westerfed Financial Corp. 206 2,974
Western Ohio Financial Corp. 96 1,488
WHG Bancshares Corp. 400 3,350
Whitney Holding Corp. 1,845 63,076
Wilmington Trust Corp. 1,796 76,779
Winton Financial Corp. 300 2,737
Wintrust Financial Corp. 300 4,631
WSFS Financial Corp. 437 4,561
WVS Financial Corp. 159 1,838
Yardville National Bancorp 822 8,734
York Financial Corp. 370 4,528
Zions Bancorp. 4,998 229,361
------------
10,207,480
------------
</TABLE>
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------------
Beverages--0.44%
+Agribrands International Inc. 877 $ 36,779
Alico Inc. 759 12,049
AMCON Distributing Co. 220 1,169
+Beringer Wine Estates Holdings Inc. "B" 1,008 35,595
Bridgeford Food Corp. 1,119 13,428
+Bush Boake Allen Inc. 962 42,087
Cagle's Inc. "A" 614 4,605
+Canandaigua Brands Inc. "A" 899 45,343
+Chalone Wine Group Ltd. 1,120 8,960
Coca-Cola Bottling Co. 474 21,567
+Del Monte Foods Co. 2,596 17,685
Dreyer's Grand Ice Cream Inc. 1,221 25,641
Farmer Brothers Co. 86 15,050
+Fresh Del Monte Produce Inc. 2,629 18,074
+Gardenburger Inc. 319 1,794
+Geerlings & Wade Inc. 200 606
+Golden State Vintners Inc. "B" 229 945
+Green Mountain Coffee Inc. 1,200 20,925
+Holt's Cigar Holdings Inc. 2,346 13,343
+Horizon Organic Holding Corp. 954 10,136
+J & J Snack Foods Corp. 332 5,934
+M&F Worldwide Corp. 1,561 8,781
Maui Land & Pineapple Co. 321 7,263
+Midwest Grain Products, Inc. 1,057 8,786
Nash Finch Co. 418 3,448
+National Beverage Corp. 681 5,618
+Odwalla Inc. 100 712
Pepsi Bottling Group Inc. 9,800 286,037
+Performance Food Group Co. 862 27,584
Pilgrim's Pride Corp. "B" 1,234 8,792
+Ralcorp Holdings Inc. 2,028 24,843
Riviana Foods Inc. 667 11,631
+Robert Mondavi Corp. (The) "A" 762 23,384
Sanderson Farms Inc. 1,029 8,232
Seaboard Corp. 166 28,552
+Seneca Foods Corp. "A" 400 4,650
+Smart & Final Inc. 2,130 16,374
+Smithfield Foods Inc. 3,479 97,629
+SonomaWest Holdings Inc. 400 2,450
+Suprema Specialties Inc. 400 3,750
+Sylvan Inc. 985 9,111
Tasty Baking Company 988 12,659
+United Natural Foods Inc. 1,913 26,304
Whitman Corp. 9,213 114,011
+WLR Foods Inc. 1,405 6,498
------------
1,098,814
------------
Biotechnology--2.22%
+ACLARA BioSciences Inc. 1,940 98,819
+Affymetrix Inc. 1,627 268,658
+Ariad Pharmaceuticals Inc. 1,900 25,294
+Avant Immunotherapeutics Inc. 2,900 30,631
</TABLE>
91
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------
+Chiron Corp. 11,693 $ 555,417
+Diversa Corp. 1,787 59,194
+Exelixis Inc. 1,613 53,834
+Gene Logic Inc. 1,500 53,531
+Genentech Inc. 5,300 911,600
+Genzyme General Division 5,009 297,722
+IDEC Pharmaceuticals Corp. 2,688 315,336
+Immunex Corp. 31,368 1,550,755
+LJL Biosystems Inc. 900 17,437
+Maxygen Inc. 1,762 100,021
+Millennium Pharmaceuticals Inc. 5,846 654,021
+Nanogen Inc. 1,700 72,144
+Nexell Therapeutics Inc. 1,425 21,197
+PE Corp. (Celera Genomics Group) 3,600 336,600
+Sequenom Inc. 1,287 58,398
+Targeted Genetics Corp. 2,200 32,725
+Xoma Ltd. 5,334 22,836
------------
5,536,170
------------
Building Materials--0.49%
AMCOL International Corp. 1,498 24,717
+American Standard Companies Inc. 4,345 178,145
Andersons Inc. 1,001 9,509
+Barnett Inc. 1,597 16,369
+CapRock Communications Corp. 2,194 42,783
CARBO Ceramics Inc. 838 29,435
Centex Construction Products Inc. 909 20,623
Chemed Corp. 1,162 32,754
+Comfort Systems USA Inc. 4,359 17,436
+Continental Materials Corp. 100 1,675
+Dal-Tile International Inc. 2,596 21,417
Elcor Corp. 970 22,310
Florida Rock Industries Inc. 945 33,666
+Integrated Electrical Services Inc. 3,692 18,922
+International Smart Sourcing Inc. 200 1,475
Johns Manville Corp. 10,295 135,765
Lafarge Corp. 4,701 98,721
Martin Marietta Materials Inc. 3,183 128,713
Modine Manufacturing Co. 1,524 41,148
Noland Co. 136 2,312
+Plymouth Rubber Co. Inc. "A" 400 1,950
Puerto Rican Cement Co. Inc. 198 5,507
Rayonier Inc. 1,646 59,050
+Rock of Ages Corp. 174 859
Southdown Inc. 2,122 122,545
+Swiss Army Brands Inc. 353 1,809
United States Lime & Minerals Inc. 600 4,125
USG Corp. 3,423 103,974
+Wickes Inc. 500 2,969
Wolohan Lumber Co. 262 2,685
York International Corp. 1,992 52,041
------------
1,235,409
------------
</TABLE>
<TABLE>
------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------------
Chemicals--1.09%
Aceto Corp. 299 $ 3,289
+Advanced Technical Products Inc. 200 762
+AEP Industries Inc. 445 11,236
+Airgas Inc. 3,751 21,334
Albemarle Corp. 2,402 47,439
+American Pacific Corp. 367 2,064
American Vanguard Corp. 220 1,787
+Applied Extrusion Tech Inc. 496 2,604
Arch Chemicals Inc. 2,100 45,937
+Atlantis Plastics Inc. "A" 600 3,675
Balchem Corp. "B" 200 2,250
Brady Corp. "A" 1,407 45,727
+Brunswick Technologies Inc. 1,700 14,291
Cabot Corp. 4,577 124,723
+Cabot Microelectronics Corp. 1,267 57,965
Cambrex Corp. 4,790 215,550
+CFC International Inc. 800 6,200
Chase Corp. 100 1,050
ChemFirst Inc. 2,141 51,652
Church & Dwight Co. Inc. 2,224 40,032
CPAC Inc. 303 2,272
Crompton Corp. 6,906 84,598
+Cytec Industries Inc. 3,235 79,864
+Detrex Corp. 200 750
Dexter Corp. (The) 1,241 59,568
Ferro Corp. 1,885 39,585
Flamemaster Corp. (The) 200 1,475
+Foamex International Inc. 2,122 12,865
Fuller (H. B.) Co. 725 33,033
Gentek Inc. 933 10,438
Geon Co. 1,245 23,032
Georgia Gulf Corp. 1,579 32,863
Hanna (M.A.) Co. 2,418 21,762
Hawkins Chemical Inc. 418 3,292
+Home Products International Inc. 456 1,767
IMC Global Inc. 7,815 101,595
+International Specialty Products Inc. 3,376 19,201
+JLM Industries Inc. 2,200 7,700
Lilly Industries Inc. "B" 3,138 94,336
Lubrizol Corp. 3,866 81,186
Lyondell Chemical Co. 7,042 117,953
MacDermid Inc. 1,924 45,214
+McWhorter Technologies Inc. 381 7,406
Millennium Chemicals Inc. 3,774 64,158
Minerals Technologies Inc. 1,185 54,510
Mississippi Chemical Corp. 2,577 12,241
Myers Industries Inc. 2,700 29,025
+Nanophase Technologies Corp. 900 9,394
NL Industries Inc. 2,732 41,663
Northern Technologies International Corp. 100 625
Olin Corp. 2,793 46,084
OM Group Inc. 1,260 55,440
Omnova Solutions Inc. 2,357 14,731
Penford Corp. 771 16,576
Raven Industries Inc. 210 2,940
RPM Inc. 6,047 61,226
Schulman Inc. "A" 1,588 19,155
+Scotts Co. (The) "A" 2,635 96,177
</TABLE>
92
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
---------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
---------------------------------------------------------------
COMMON STOCKS--(Continued)
---------------------------------------------------------------
Solutia Inc. 7,227 $ 99,371
Spartech Corp. 1,702 45,954
+Spinnaker Industries Inc. 168 1,512
+Spinnaker Industries Inc. "A" 159 1,570
+Surmodics Inc. 324 8,424
+Syntroleum Corp. 1,592 27,263
+Triple S Plastics Inc. 200 4,850
Tuscarora Inc. 350 5,469
+U.S. Plastic Lumber Co. 1,954 8,610
+Uniroyal Technology Corp. 2,720 30,090
Valhi Inc. 6,622 68,703
Valspar Corp. 3,055 103,106
+Vertex Pharmaceuticals Inc. 1,633 172,077
Vulcan International Corp. 200 6,600
Wellman Inc. 1,400 22,663
West Pharmaceutical Services Inc. 771 16,673
------------
2,728,202
------------
Coal--0.02%
CONSOL Energy Inc. 4,000 60,500
------------
60,500
------------
Commercial Services--3.79%
Aaron Rents Inc. "A" 1,271 19,859
+Ablest Inc. 800 4,200
ABM Industries Inc. 1,456 33,488
+ACMAT Corp. "A" 300 2,400
+ACNielsen Corp. 3,255 71,610
+Administaff Inc. 835 53,022
+ADVO Inc. 1,402 58,884
+AHL Services Inc. 930 5,696
+Ambassadors International Inc. 965 15,199
+Amtran Inc. 737 9,166
Angelica Corp. 322 2,576
+AnswerThink Consulting Group Inc. 2,281 37,922
+Apollo Group Inc. 4,463 124,964
+Applied Anlytical Industries Inc. 1,732 16,616
+Applied Graphics Technologies Inc. 2,725 11,581
+Arch Capital Group Ltd. 2,263 33,804
+ASI Solutions Inc. 5,400 45,225
+@plan Inc. 700 4,594
+Atrix Laboratories Inc. 1,316 12,337
+Aurora Biosciences Corp. 1,226 83,598
+AXENT Technologies Inc. 3,116 77,316
+Barrett Business Services Inc. 1,000 5,906
+Barringer Technologies Inc. 640 4,400
+Berlitz International Inc. 351 3,159
+Bestway Inc. 1,400 8,400
+Billing Concepts Corp. 3,028 13,437
+Bioreliance Corp. 1,449 7,064
+Bio-Technology General Corp. 2,779 36,648
+Blount International Inc. 3,065 23,564
+Blue Rhino Corp. 1,881 15,166
Bowne & Co. Inc. 3,746 37,694
+Breakaway Solutions Inc. 2,000 54,000
+Bright Horizons Family Solutions Inc. 1,019 21,781
</TABLE>
<TABLE>
----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------
+Burns International Services Corp. 1,052 $ 13,150
+Business Resource Group 400 2,550
+Butler International Inc. 900 7,650
Cadmus Communications Corp. 890 8,677
+Capital Senior Living Corp. 727 2,136
+Caremark Rx Inc. 12,304 83,821
+Catalytica Inc. 3,661 40,271
+CDI Corp. 1,362 27,751
+Celgene Corp. 4,215 248,158
Central Parking Corp. 2,522 59,740
+Cephalon Inc. 1,759 105,320
+Cerner Corp. 1,867 50,876
+Charles River Associates Inc. 372 6,557
+Childtime Learning Centers Inc. 700 4,637
+Circle.com 1,621 5,977
+Collateral Therapeutics Inc. 887 22,494
+COMARCO Inc. 197 6,402
Comdisco Inc. 9,600 214,200
+Concepts Direct Inc. 200 1,987
+Concord EFS Inc. 13,226 343,876
+Conrad Industries Inc. 300 1,950
+Consolidated Graphics Inc. 726 6,806
+COR Therapeutics Inc. 1,596 136,159
+Corinthian Colleges Inc. 600 14,062
+Cornell Corrections Inc. 1,327 10,616
+Corporate Executive Board Co. (The) 700 41,912
+Correctional Services Corp. 1,387 5,461
+CSS Industries Inc. 480 9,810
+Cubist Pharmaceuticals Inc. 1,544 76,042
+CuraGen Corp. 2,300 87,544
+CV Therapeutics Inc. 1,000 69,312
+DeVry Inc. 4,001 105,776
+Diamond Technology Partners Inc. 1,163 102,344
+Digital Courier Tech Inc. 3,497 22,293
+Earl Scheib Inc. 1,000 3,125
+eBenx Inc. 1,510 31,993
+Edison Schools Inc. 1,900 44,056
+Education Management Corp. 2,005 36,215
+Emergent Information Technologies Inc. 739 1,570
+Emisphere Technologies Inc. 1,405 59,866
+Encompass Service Corp. 4,456 25,622
+EntreMed Inc. 778 23,291
+Exponent Inc. 300 2,512
+First Consulting Group Inc. 2,194 12,204
+First Health Group Corp. 3,121 102,408
+Franklin Covey Co. 1,025 7,111
+FTI Consulting Inc. 600 6,300
+FYI Inc. 1,606 54,102
G & K Services Inc. "A" 2,016 50,526
+Gaiam Inc. 300 5,550
+Gartner Group Inc. "B" 5,300 52,337
+Genome Therapeutics Corp. 1,320 40,177
+Gilman & Ciocia Inc. 935 4,324
+Griffin Land & Nurseries Inc. 800 9,300
+GTS Duratek Inc. 630 5,355
+Harris Interactive Inc. 5,460 26,447
+Health Risk Management Inc. 100 625
</TABLE>
93
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+Healthcare Services Group Inc. 1,214 $ 5,463
+Heidrick & Struggles International Inc. 1,000 63,125
Hertz Corp. 2,720 76,330
+HotJobs.com Ltd. 4,100 56,631
+ICOS Corp. 3,016 132,704
+ICT Group Inc. 600 5,737
+Incyte Pharmaceuticals Inc. 1,641 134,870
+Interim Services Inc. 3,724 66,101
+Iron Mountain Inc. 3,747 127,398
+Isis Pharmaceuticals Inc. 3,908 56,666
+ITT Educational Services Inc. 2,308 40,534
+Jupiter Communications Inc. 900 20,700
+Kaneb Services Inc. 2,200 8,800
Kelly Services Inc. "A" 1,746 40,376
+Kendle International Inc. 1,203 9,474
+kForce.com Inc. 4,998 34,674
+Korn/Ferry International 1,900 60,206
+Labor Ready Inc. 4,971 32,930
Landauer Inc. 817 12,715
+Learning Tree International Inc. 1,211 74,174
+LendingTree Inc. 366 2,745
+Loislaw.com Inc. 1,200 10,275
+Luminant Worldwide Corp. 4,100 36,644
+Mail-Well Inc. 3,484 30,050
+Management Network Group Inc. (The) 1,800 63,000
Manpower Inc. 4,742 151,744
+Maxim Pharmaceuticals Inc. 1,165 59,852
+MAXIMUS Inc. 1,304 28,851
+MedQuist Inc. 640 21,752
+Michael Baker Corp. 400 2,600
Midas Inc. 1,555 31,100
+Modis Professional Services Inc. 5,602 49,718
+Monro Muffler Brake Inc. 1,100 10,106
+Moore Medical Corp. 800 4,800
+MPW Industrial Services Group Inc. 1,095 8,486
+Myriad Genetics Inc. 946 140,082
+N2H2 Inc. 1,700 8,500
+National Equipment Services Inc. 2,779 16,674
+National Research Corp. 2,500 12,812
+NationsRent Inc. 4,184 15,952
+Navigant Consulting Co. 4,627 19,665
+Neff Corp. 692 2,638
+NetRatings Inc. 2,328 59,655
+Neurogen Corp. 1,733 50,040
New England Business Service Inc. 643 10,449
+Newgen Results Corp. 800 13,200
+NOVA Corporation 4,323 120,774
+Ogden Corp. 2,497 22,473
+On Assignment Inc. 1,578 48,129
+Opinion Research Corp. 200 1,325
+Optika Inc. 2,200 13,200
+Organic Inc. 5,436 53,001
+Organogenesis Inc. 3,420 39,116
+OrthAlliance Inc. "A" 1,581 9,486
+Pegasus Systems Inc. 2,005 21,804
</TABLE>
<TABLE>
------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------------------
+Personnel Group of America Inc. 1,468 $ 4,312
+PFSweb Inc. 900 4,219
+Pharmaceutical Product Development Inc. 1,544 32,424
+Pharmacopeia Inc. 1,100 51,012
+Possis Medical Inc. 1,556 9,749
+Predictive Systems Inc. 1,200 43,125
+Pre-Paid Legal Services Inc. 1,350 40,331
+Profit Recovery Group International Inc. (The) 3,046 50,640
+Prosoft I-Net Solutions Inc. 1,472 24,748
+Quest Education Corp. 365 6,593
+Questron Technology Inc. 300 1,612
+Rainbow Rentals Inc. 1,065 11,981
+RCM Technologies Inc. 486 3,584
+Regeneron Pharmaceuticals Inc. 2,143 63,888
Regis Corp. 2,499 31,237
+Remedy Temp Inc. 760 9,310
+Rent-A-Center Inc. 1,817 40,882
+Rent-Way Inc. 1,445 42,176
+Res-Care Inc. 2,444 13,137
+Richton International Corp. 800 15,900
+Right Management Consultants Inc. 800 8,400
+Robert Half International Inc. 10,586 301,701
Rollins Inc. 3,166 47,094
+SCB Computer Technology Inc. 2,410 5,121
+SCP Pool Corp. 1,844 43,322
+Security Associates International Inc. 3,200 10,800
Servicemaster Co. 18,725 212,997
Sodexho Marriott Services Inc. 6,179 107,360
Sotheby's Holdings Inc. 3,445 60,287
+Source Information Management Co. 1,130 17,232
+Staff Leasing Inc. 1,928 6,868
+Staffmark Inc. 2,496 16,692
Stewart Enterprises Inc. "A" 5,516 19,478
Strayer Education Inc. 1,102 26,448
+Student Advantage Inc. 3,600 26,325
+STV Group Inc. 200 1,350
+Summa Industries 300 3,562
+Sylvan Learning Systems Inc. 3,073 42,254
+Sypris Solutions Inc. 422 4,325
+TEAM America Corp. 2,100 9,187
+Technisource Inc. 1,883 7,297
Tejon Ranch Co. 768 17,328
+Teletech Holdings Inc. 4,095 127,201
+Tetra Tech Inc. 2,197 50,256
+Thomas Group Inc. 1,000 8,312
+TIBCO Software Inc. 11,800 1,265,366
+Transkaryotic Therapies Inc. 1,255 46,121
+Trimeris Inc. 773 54,062
+TRM Copy Centers Corp. 316 1,698
+Tyler Technologies Inc. 3,772 9,666
UniFirst Corp. 379 2,985
+United Rentals Inc. 3,960 67,815
+United Shipping and Technology Inc. 1,000 8,000
+US Oncology Inc. 4,023 20,115
</TABLE>
94
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------
+US-China Industrial Exchange Inc. 600 $ 6,000
+Valassis Communications Inc. 3,860 147,163
Viad Corp. 6,247 170,231
+Volt Information Sciences Inc. 967 31,851
Westaff Inc. 1,884 8,360
+Wireless Facilities Inc. 2,500 127,344
+Workflow Management Inc. 1,193 14,167
+World Access Inc. 2,590 28,652
World Fuel Services Corp. 455 3,924
------------
9,452,492
------------
Computer Systems--0.02%
+MyPoints.com Inc. 3,100 58,755
------------
Computers--12.35%
+About.com Inc. 1,600 50,400
+Accrue Software Inc. 1,500 53,250
+ACE*COMM Corp. 2,200 11,687
+Active Software Inc. 1,500 116,531
+Activision Inc. 1,715 11,147
+Actuate Software Corp. 1,432 76,433
+adam.com Inc. 300 1,200
+Adept Technology Inc. 381 17,812
+Advanced Digital Information Corp. 3,240 51,637
+Advantage Learning Systems Inc. 3,512 53,997
+Advent Software Inc. 1,694 109,263
+Aether Systems Inc. 2,400 492,000
+Affiliated Computer Services Inc. 3,334 110,230
+AGENCY.COM Ltd. 4,062 72,354
+Agile Software Corp. 2,600 183,787
+Allaire Corp. 1,400 51,450
+Alloy Online Inc. 1,200 13,500
+Alpha Microsystems 800 3,975
+AlphaNet Solutions Inc. 800 3,350
+Alteon Websystems Inc. 2,700 270,169
+Alysis Technologies Inc. 600 1,894
+American Software Inc. "A" 3,900 19,987
+Anixter International Inc. 1,873 49,634
+Ansoft Corp. 617 6,170
+ANSYS Inc. 604 6,870
+Apex Inc. 1,107 48,431
+Applied Computer Technology Inc. 5,700 285
+AppliedTheory Corp. 2,100 31,500
+Applix Inc. 458 3,549
+AppNet Systems Inc. 1,800 64,800
+AremisSoft Corp. 1,900 59,137
+ARIS Corp. 1,511 4,155
+Art Technology Group Inc. 4,000 403,750
+Artificial Life Inc. 841 16,347
+Ashton Technology Group Inc. (The) 3,000 8,531
+Ask Jeeves Inc. 2,200 39,737
+Aspen Technology Inc. 1,306 50,281
+Aspeon Inc. 761 3,710
+Audible Inc. 1,700 7,066
+Auspex Systems Inc. 4,648 22,949
Avert Inc. 200 4,575
+AVT Corp. 1,718 12,670
</TABLE>
<TABLE>
----------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------------
+BARRA Inc. 1,421 $ 70,428
+Be Free Inc. 3,000 27,000
+Be Inc. 4,400 22,000
+Bell & Howell Co. 1,340 32,495
+BindView Development Corp. 5,520 66,240
+Bisys Group Inc. 1,991 122,446
+Black Box Corp. 1,071 84,793
+Bluestone Software Inc. 2,200 56,512
+Boca Research Inc. 2,600 13,650
+Bottomline Technologies Inc. 900 30,769
+Boundless Corp. 1,500 8,250
+Braun Consulting Inc. 1,100 23,237
+BrightStar Information Technology Group Inc. 1,046 3,073
+Brio Technology Inc. 1,547 32,777
+Broadbase Software Inc. 2,800 85,750
+Brocade Communications System Inc. 6,800 1,247,694
+Brooktrout Technology Inc. 1,198 26,131
+BSQUARE Corp. 1,800 40,387
+BTG Inc. 393 3,193
+CacheFlow Inc. 2,320 142,825
+CAIS Internet Inc. 1,300 18,281
+Calico Commerce Inc. 1,824 29,640
+Cambridge Technology Partners Inc. 3,320 28,946
+Carreker-Antinori Inc. 913 8,217
+Casino Data Systems 1,000 6,406
+Catalyst International Inc. 2,159 17,812
+C-bridge Internet Solutions Inc. 1,351 23,474
+CCC Information Services Group Inc. 1,564 16,618
+CDnow Inc. 1,424 4,405
+Cellular Technical Services Co. Inc. 1,600 13,000
+CenterSpan Communications Corp. 596 11,175
+Centura Software Corp. 4,400 24,200
+Checkfree Holdings Corp. 3,581 184,645
+Ciber Inc. 3,099 41,062
+Ciprico Inc. 218 2,016
+Cisco Systems Inc. 1 61
+Clarent Corp. 1,800 128,700
+Clarus Corp. 1,000 38,875
+ClickAction Inc. 724 11,584
+Cognizant Technology Solutions Corp. 558 18,519
+Commerce One Inc. 9,500 431,211
+Complete Business Solutions Inc. 1,755 30,822
+Computer Network Technology Corp. 1,415 24,586
+Concur Technologies Inc. 2,236 9,363
+Concurrent Computer Corp. 2,766 36,304
+Cotelligent Inc. 2,307 13,121
+Credit Management Solutions Inc. 2,500 14,922
+Critical Path Inc. 3,489 203,452
+Crossroads Systems Inc. 1,500 37,875
+CyberCash Inc. 4,579 21,750
+CyberSource Corp. 2,800 38,675
+Cybex Computer Products Corp. 1,040 44,720
</TABLE>
95
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
--------------------------------------------------------
COMMON STOCKS--(Continued)
--------------------------------------------------------
+Cylink Corp. 2,873 $ 48,123
+Cysive Inc. 1,400 33,425
+Daisytek International Corp. 2,166 20,442
+Daleen Technologies Inc. 1,700 26,244
+Data Broadcasting Corp. 2,742 17,309
Data Research Associates Inc. 200 1,572
+Data Return Corp. 2,000 58,000
+Data Translation Inc. 2,700 11,981
+Datalink Corp. 800 11,950
+Dataram Corp. 650 18,687
+Datatec Systems Inc. 3,783 21,279
+Deltek Systems Inc. 2,199 12,988
+Dendrite International Inc. 1,959 65,259
Diebold Inc. 3,677 102,496
+Digex Inc. 1,600 108,700
+Digital River Inc. 2,838 21,817
+Digitas Inc. 3,595 58,643
+DocuCorp International 898 3,367
+Documentum Inc. 844 75,433
+Dot Hill Systems Corp. 2,640 29,040
+DSET Corporation 559 16,980
+DSP Group Inc. 1,292 72,352
+DST Systems Inc. 4,040 307,545
+E.piphany Inc. 1,900 203,656
+ebix.com Inc. 430 2,190
+Echelon Corp. 2,298 133,140
+Eclipsys Corp. 2,593 19,447
+eGain Communications Corp. 3,952 47,912
+Elcom International Inc. 1,621 11,144
+Electro Rent Corp. 1,401 17,162
+Electronics For Imaging Inc. 3,278 82,974
+Elite Information Group Inc. 2,800 19,425
+eLoyalty Corp. 2,625 33,469
+Emulex Corp. 2,104 138,206
+Engage Technologies Inc. 6,600 85,387
+Entrade Inc. 1,200 8,475
+Entrust Technologies Inc. 3,500 289,625
+ePlus Inc. 634 16,761
+Equinox Systems Inc. 237 1,422
+ESPS Inc. 900 3,487
+EuroWeb International Corp. 1,300 3,656
+Evolving Systems Inc. 3,419 20,087
+Exabyte Corp. 2,231 10,039
+Excalibur Technologies Corp. 1,704 68,053
+Exchange Applications Inc. 1,344 35,784
+Extended Systems Inc. 600 57,600
+Extreme Networks Inc. 3,400 358,700
+F5 Networks Inc. 1,300 70,931
FactSet Research Systems Inc. 1,554 43,900
Fair Isaac and Co. Inc. 824 36,256
+FileNET Corp. 1,673 30,741
+5B Technologies Corp. 600 1,950
+Foundry Networks Inc. 7,300 806,650
+4Front Software International 590 7,080
+Fourth Shift Corp. 448 1,344
+Frontline Capital Group Inc. 1,500 31,969
+FVC.COM Inc. 1,201 9,308
+Gadzoox Networks Inc. 1,400 19,162
+GateField Corp. 190 965
</TABLE>
<TABLE>
----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------
General Binding Corp. 1,695 $ 11,335
+General Magic Inc. 4,230 34,633
+Gensym Corp. 400 1,450
Gerber Scientific Inc. 2,416 27,784
+Global Intellicom Inc. 8,100 364
+Global Payment Tech Inc. 240 1,620
+Go2Net Inc. 2,234 112,398
+GoTo.com Inc. 3,000 45,937
+Great Plains Software Inc. 819 16,073
+Group 1 Software Inc. 300 5,175
+GSE Systems Inc. 200 925
+Hall Kinion & Associates Inc. 825 27,483
+Health Management Systems Inc. 642 2,006
+HMG Worldwide Corp. 700 3,150
+HNC Software Inc. 1,454 89,784
+Hollywood.com Inc. 1,389 10,765
+Hypercom Corp. 3,574 51,376
+Hyperion Solutions Corp. 1,943 63,026
+IDT Corp. 1,339 45,442
+IDX Systems Corp. 1,585 22,388
+iGate Capital Corp. 2,794 38,417
+IKOS Systems Inc. 2,200 23,787
+iManage Inc. 3,600 35,775
+Immersion Corp. 1,000 30,000
+IMRglobal Corp. 3,904 50,996
+Industri Matematik International Corp. 2,280 12,255
+InfoCure Corp. 3,692 20,767
+Infocus Corp. 1,318 42,423
+Infonautics Inc. "A" 1,500 6,562
+Informatica Corp. 1,800 147,487
+Information Architects Corp. 2,444 16,955
+Inforte Corp. 1,494 53,784
+infoUSA Inc. 3,416 22,204
+Innodata Corp. 600 5,625
+Inprise Corp. 3,368 20,629
+INSCI Corp. 300 994
+Inso Corp. 869 4,508
+Integral Systems Inc. 862 14,438
+Integrated Measurement Systems 332 5,229
+Intelligroup Inc. 1,067 12,804
+InterCept Group Inc. (The) 1,200 20,400
+Intergraph Corp. 3,688 27,890
+Interliant Inc. 2,500 58,281
+Internap Network Services Corp. 8,400 348,731
+internet.com LLC 2,900 57,094
+Intersil Holding Corp. 2,093 113,153
+Intertrust Technologies Corp. 4,700 96,644
+InterWorld Corp. 1,800 36,900
+Interwoven Inc. 1,400 153,978
+Intranet Solutions Inc. 2,222 85,269
+Intraware Inc. 3,000 48,187
+Intrusion.com Inc. 1,128 12,760
+ION Networks Inc. 800 2,450
+ISS Group Inc. 2,624 259,079
+ITXC Corp. 2,500 88,516
+iXL Enterprises Inc. 4,300 62,350
Jack Henry & Associates Inc. 2,506 125,613
+Juniper Networks Inc. 19,300 2,809,356
+Juno Online Services Inc. 2,700 29,025
+Kana Communications Inc. 5,460 337,837
</TABLE>
96
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
--------------------------------------------------------------
COMMON STOCKS--(Continued)
--------------------------------------------------------------
+Keynote Systems Inc. 1,600 $ 112,900
+Kronos Inc. 1,255 32,630
+Landmark Systems Corp. 430 2,580
+Larscom Inc. "A" 1,900 10,569
+Launch Media Inc. 4,500 41,625
+Level 8 Systems Inc. 597 12,574
+Liberate Technologies Inc. 5,300 155,356
+Log On America Inc. 600 3,262
+Logility Inc. 1,502 5,773
+LookSmart Ltd. 5,000 92,500
+Made2Manage Systems Inc. 200 1,125
+Mail.com Inc. 4,663 26,521
+Manhattan Associates Inc. 2,261 56,525
+MapInfo Corp. 615 24,984
+MarchFirst Inc. 9,195 167,809
+Marimba Inc. 1,600 22,300
+Maxtor Corp. 6,200 65,487
+McAfee.com Corp. 2,100 54,731
+MCSi Inc. 1,114 28,825
+Mechanical Dynamics Inc. 1,800 9,169
+Media 100 Inc. 860 22,145
+Media Metrix Inc. 1,900 48,331
+Mentor Graphics Corp. 3,740 74,333
+META Group Inc. 827 15,920
+MetaCreations Corp. 1,681 20,172
+Metasolv Software Inc. 1,860 81,840
+Micromuse Inc. 2,196 363,404
+Micron Electronics Inc. 5,297 66,212
+MICROS Systems Inc. 921 17,096
+Micros-To-Mainframes Inc. 200 1,150
+Microstrategy Inc. 2,160 64,800
+Microtouch Systems Inc. 374 3,226
+Microwave Power Devices Inc. 3,382 17,755
+Mitek Systems Inc. 500 2,875
+Mobius Management Systems Inc. 1,756 8,012
+MSC.Software Corp. 613 5,709
+MTI Technology Corp. 3,350 26,800
+Multex.com Inc. 1,714 43,171
+Muse Technologies Inc. 453 1,359
+MyTurn.com Inc. 1,500 26,906
National Computer System Inc. 1,696 83,528
+National Information Consortium Inc. 3,000 34,125
+National Instruments Corp. 3,009 131,268
+National Techteam Inc. 503 1,776
+Navidec Inc. 4,300 38,162
+NaviSite Inc. 3,400 142,162
+Neotopia Inc. 838 33,729
+Net Perceptions Inc. 1,800 28,575
+NetCreations Inc. 1,900 87,044
+Netegrity Inc. 1,120 84,350
+NetIQ Corp. 1,847 110,127
+NetObjects Inc. 3,900 35,587
+Netrix Corp. 2,600 32,012
+NetScout Systems Inc. 1,400 18,025
+Netsmart Technologies Inc. 1,300 6,744
+NetSolve Inc. 1,700 44,200
+NetSpeak Corp. 1,563 15,435
+Network Peripherals Inc. 953 15,963
+Network Six Inc. 400 1,275
+Novadigm Inc. 1,145 22,614
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
+NVIDIA Corp. 3,800 $ 241,537
+NYFIX Inc. 1,183 49,612
+Odetics Inc. "A" 835 12,107
+On2.com Inc. 2,100 10,762
+OneSource Information Services Inc. 1,000 7,500
+ONI Systems 447 52,390
+Ontrack Data Intenational Inc. 1,800 14,062
+ONYX Software Corp. 2,000 59,375
+Open Market Inc. 2,366 32,680
+Overland Data Inc. 451 6,258
+Packeteer Inc. 1,400 40,775
+pcOrder.com Inc. 4,200 32,550
+PC-Tel Inc. 900 34,200
+Perot Systems Corp. "A" 5,611 61,721
+Persistence Software Inc. 1,800 32,625
+Phoenix Technologies Ltd. 1,569 25,594
+Pilot Network Services 1,213 18,043
+Pivotal Corp. 1,200 28,200
+Portal Software Inc. 10,100 645,137
+Preview Systems Inc. 2,313 30,069
+PRI Automation Inc. 1,292 84,485
+Primark Corp. 1,950 72,637
+Primus Knowledge Solutions Inc. 1,700 76,500
+Printronix Inc. 252 3,307
+ProBusiness Services Inc. 1,516 40,269
+Procom Technology Inc. 999 51,636
+Progress Software Corp. 1,928 34,583
+Project Software & Development Inc. 1,138 20,484
+Proxicom Inc. 3,000 143,625
+Puma Technology Inc. 2,634 70,624
+QAD Inc. 2,989 11,209
+QRS Corp. 771 18,938
+Quantum DLT & Storage Group 9,060 87,769
+Quantum Hard Disk Drive Group 4,496 49,737
+Quest Software Inc. 5,300 293,487
+Quintus Corp. 4,935 98,006
+Quokka Sports Inc. 2,700 21,684
+Radiant Systems Inc. 1,338 32,112
+Rainbow Technologies Inc. 832 40,456
+Ramp Networks Inc. 1,900 22,562
+RAVISENT Technologies Inc. 800 5,650
+Red Hat Inc. 9,600 259,800
+Redback Networks Inc. 9,200 1,637,600
+Retek Inc. 2,600 83,200
+Rimage Corp. 325 5,037
+Rogue Wave Software Inc. 468 2,281
+RSA Security Inc. 2,329 161,283
+S3 Inc. 4,229 62,378
+Safeguard Scientifics Inc. 6,839 219,275
+Saga Systems Inc. 1,653 20,559
+Sagent Technology Inc. 1,700 24,225
+Sanchez Computer Associates Inc. 1,162 27,597
+SanDisk Corp. 4,078 249,523
+Santa Cruz Operation Inc. (The) 1,867 11,902
+SBE Inc. 1,000 20,750
+Scient Corp. 4,600 202,975
+Scientific Learning Corp. 1,700 37,612
+SCM Microsystems Inc. 788 47,723
</TABLE>
97
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+Secure Computing Corp. 2,230 $ 41,952
+SEEC Inc. 2,300 10,062
SEI Investment Co. 3,594 143,086
+SERENA Software Inc. 2,100 95,353
+Sigma Designs Inc. 1,048 4,454
+SilverStream Software Inc. 1,100 63,525
+SmartDisk Corp. 1,100 30,250
+SmartServ Online Inc. 600 42,337
+Smith-Gardner & Associates Inc. 1,300 6,256
+Socket Communications Inc. 1,400 18,375
+Software Spectrum Inc. 199 3,445
+Software.com Inc. 2,700 350,662
+Sonic Foundry Inc. 1,000 20,000
+Sonic Solutions Inc. 1,100 4,194
+SonicWALL Inc. 1,600 140,900
+Source Media Inc. 965 3,770
+Spatial Technology Inc. 1,800 6,975
+SPEEDUS.COM Inc. 3,600 21,375
+Splash Technology Holdings 1,013 7,977
+SportsLine USA Inc. 3,055 52,126
+SPSS Inc. 733 21,349
+Spyglass Inc. 852 26,678
+SS&C Technologies Inc. 1,739 7,391
+StarBase Corp. 3,706 39,376
+StarMedia Network Inc. 4,100 77,387
+Storage Computer Corp. 2,300 18,687
+Storage Technology Corp. 5,666 61,972
+Stratasys Inc. 2,400 16,050
+Stratos Lightwave Inc. 4,058 113,117
+SunGard Data Systems Inc. 8,204 254,324
+Sunquest Information Systems Inc. 1,367 14,695
+SVI Holdings Inc. 3,111 15,944
+Sykes Enterprises Inc. 2,159 27,797
+Symix Systems Inc. 341 3,026
+Synopsys Inc. 4,188 144,748
+Syntel Inc. 4,408 44,080
+Systems & Computer Technology Corp. 1,623 32,460
+T/R Systems Inc. 1,232 7,854
+Take-Two Interactive Software Inc. 1,620 19,642
+Tanning Technology Corp. 2,200 42,350
+Technology Solutions Co. 3,925 24,286
+Teknowledge Corp. 700 4,156
+Telescan Inc. 1,795 13,126
+Telxon Corp. 1,794 32,068
+TenFold Corp. 2,000 32,875
+THQ Inc. 1,707 20,804
+3D Systems Corp. 517 9,823
+3DO Co. (The) 2,056 16,127
+Tidel Technologies Inc. 1,200 11,925
+Tier Technologies Inc. "B" 384 2,016
Timberline Software Corp. 461 3,371
+TransAct Technologies Inc. 300 3,262
+Transaction Systems Architects Inc. "A" 1,848 31,647
+Tricord Systems Inc. 2,200 39,737
+Troy Group Inc. 900 13,387
+TSR Inc. 268 1,474
+Tumbleweed Communications Corp. 1,604 81,603
</TABLE>
<TABLE>
--------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
--------------------------------------------------------
+Turnstone Systems Inc. 781 $ 129,390
+U.S. Interactive Inc. 1,000 12,937
+Ultimate Software Group Inc. 1,685 15,376
+Unify Corp. 1,024 8,768
+Unigraphics Solutions Inc. 223 4,348
+USDATA Corp. 1,700 15,087
+VA Linux Systems Inc. 3,372 144,996
Valmont Industries Inc. 2,324 46,189
+VeriSign Inc. 11,753 2,074,404
+Verity Inc. 1,668 63,384
+Versant Corp. 3,800 18,525
+Vertel Corp. 1,800 31,500
+Vialink Co. (The) 1,088 11,220
+Viant Corp. 3,000 88,875
+Visual Networks Inc. 1,496 42,636
+Vitech America Inc. 739 4,064
+Vitria Technology Inc. 8,200 501,225
+Voyager.net Inc. 2,000 16,000
+Walker Interactive Systems 1,028 3,726
+WatchGuard Technologies Inc. 1,300 71,419
+Wave Systems Corp. "A" 3,069 48,529
+Webb Interactive Services 3,172 40,641
+WebTrends Corp. 1,400 54,162
+Western Digital Corp. 7,371 36,855
+Women.com Networks Inc. 4,800 9,900
+Xircom Inc. 1,729 82,127
+Xpedior Inc. 3,388 46,797
+Xybernaut Corp. 2,165 24,221
+Zamba Corp. 2,800 15,400
+Zebra Technologies Corp. "A" 1,698 75,243
------------
30,807,713
------------
Cosmetics / Personal Care--0.20%
+Carson Inc. 2,200 9,900
Carter-Wallace Inc. 2,625 52,828
+Chattem Inc. 427 5,845
+Chromatics Color Sciences 968 4,719
Del Laboratories Inc. 344 4,171
Estee Lauder Companies Inc. "A" 7,778 384,525
+Inter Parfums Inc. 567 4,819
+Paragon Trade Brands Inc. 1 10
Quaker Chemical Corp. 324 5,629
Stepan Co. 663 15,415
Stephan Co. 211 949
+Sybron Chemicals Inc. 255 5,578
+USANA Inc. 1,581 4,842
------------
499,230
------------
Distribution / Wholesale--0.10%
+Handleman Co. 3,314 41,425
+Ingram Micro Inc. "A" 4,264 74,353
+Tech Data Corp. 2,874 125,199
------------
240,977
------------
Diversified Financial Services--2.10%
Advanta Corp. "A" 1,693 20,633
Advest Group Inc. 398 8,333
+Affiliated Managers Group Inc. 1,284 58,422
Allied Capital Corp. 3,439 58,463
American Capital Strategies 1,107 26,430
</TABLE>
98
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+American Home Mortgage Holdings Inc. 500 $ 2,281
+AmeriCredit Corp. 4,003 68,051
+Ameritrade Holding Corp. "A" 11,359 132,048
+Ampal-American Israel Corp. "A" 1,683 25,245
Amplicon Inc. 436 4,142
+Analytical Surveys Inc. 249 770
+Atalanta Sosnoff Capital Corp. 500 5,000
+BlackRock Inc. 600 17,400
+Boron, LePore & Associates Inc. 1,766 16,335
Capitol Federal Financial 5,200 57,525
+Central Financial Acceptance Corp. 300 1,219
CIT Group Inc. (The) 15,246 247,747
+CompuCredit Corp. 2,500 75,000
Dain Rauscher Corp. 756 49,896
+Digital Insight Corp. 1,189 40,426
Donaldson, Lufkin & Jenrette Inc. 7,892 334,917
+Donna Karan International Inc. 1,896 12,087
Doral Financial Corp. 4,208 48,129
+DVI Inc. 1,119 17,904
+E*trade Group Inc. 18,408 303,732
Eaton Vance Corp. 1,808 83,620
Edwards (A.G.) Inc. 5,712 222,768
+E-LOAN Inc. 4,300 20,425
+Equitex Inc. 439 3,100
+eSPEED Inc. "A" 600 26,062
+Factual Data Corp. 900 8,325
Federated Investors Inc. "B" 5,460 191,441
+Financial Federal Corp. 1,665 28,929
Finova Group Inc. 3,293 42,809
+First Cash Inc. 400 1,350
+Forrester Research Inc. 1,166 84,899
+Friedman Billings Ramsey Group Inc. "A" 2,255 18,322
+Gabelli Asset Management Inc. "A" 500 12,500
+Gallery of History Inc. 400 1,300
+GlobalNet Financial.com Inc. 1,700 35,700
Goldman Sachs Group Inc. (The) 4,238 402,080
+Greg Manning Auctions Inc. 400 4,400
+H.D. Vest Inc. 300 2,006
+Hallwood Group 600 4,650
Heller Financial Inc. 2,508 51,414
+Hoening Group 400 3,925
+HPSC Inc. 200 1,725
+Insurance Auto Auctions Inc. 517 10,922
+Investment Technology Group, Inc. 2,254 95,936
+JB Oxford Holdings Inc. 521 1,823
Jeffries Group Inc. 1,440 29,070
John Nuveen Co. "A" 1,702 71,378
+JWGenesis Financial Corp. 1,144 10,010
+Kent Financial Services Inc. 1,000 4,125
+Kinnard Investments Inc. 1,200 9,750
+Kirlin Holding Corp. 4,000 9,500
+Knight Trading Group Inc. 7,090 211,371
+Labranche & Co. Inc. 2,600 37,375
Legg Mason Inc. 3,797 189,850
+M.H. Meyerson & Co. Inc. 300 1,275
</TABLE>
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------------
+MACC Private Equities Inc. 624 $ 6,123
+Marketing Services Group Inc. 1,500 6,656
+Matrix Bancorp Inc. 247 1,667
+Memberworks Inc. 898 30,195
Metris Companies Inc. 3,183 79,973
MicroFinancial Inc. 700 7,000
Morgan Keegan Inc. 1,444 21,299
+National Discounts Brokers Group Inc. 1,126 35,891
+National Processing Inc. 4,765 59,562
+NCO Group Inc. 1,360 31,450
+Netcentives Inc. 2,100 39,112
+Netzee Inc. 2,300 13,153
Neuberger Berman Inc. 2,900 134,850
+NextCard Inc. 2,700 22,950
+Norstan Inc. 492 1,968
+NZ Corporation 309 1,506
+Omega Worldwides Inc. 548 1,986
+Online Resources & Communications Corp. 700 4,506
+onlinetradingInc.com 900 4,612
+Paulson Capital Corp. 500 3,250
+Pegasystems Inc. 2,183 10,915
Phoenix Investment Partners 5,008 52,584
+Pioneer Group 1,655 70,131
PMC Capital Inc. 500 4,875
+Point West Capital Corp. 245 857
+Professional Detailing Inc. 878 29,907
Raymond James Financial Corp. 3,766 84,735
Resource America Inc. "A" 2,206 14,408
Resource Bancshares Mortgage Group Inc. 1,053 4,409
+RWD Technologies Inc. 1,550 9,009
+S1 Corp. 3,203 74,670
+SGV Bancorp Inc. 200 4,962
Siebert Financial Corp. 2,239 15,673
+SierraCities Inc. 1,924 7,215
+Sitel Corp. 4,768 23,840
+Softnet Systems 2,018 19,423
Source Capital Corp. 500 2,781
Southwest Securities Group Inc. 1,324 49,319
+Startek Inc. 789 39,746
Stifel Financial Corp. 300 3,150
Student Loan Corp. 1,094 45,948
+TD Waterhouse Group Inc. 2,400 41,550
Tucker Anthony Sutro 1,599 28,782
United Asset Management Corp. 2,938 68,676
Value Line Inc. 1,146 44,121
+Vestcom International Inc. 393 1,400
Virginia Commonwealth Finance 329 6,580
+Wackenhut Corp. 1,667 21,567
Waddell & Reed Financial Inc. "A" 4,455 146,180
+Waterside Capital Corp. 530 3,511
WFS Financial Inc. 2,248 38,778
+Wind River Systems Inc. 3,498 132,487
+Wit Soundview Group Inc. 4,800 51,525
Ziegler Companies Inc. (The) 107 1,672
------------
5,229,365
------------
</TABLE>
99
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------
Electric--1.98%
Allegheny Energy Inc. 6,678 $ 182,810
Alliant Energy Corp. 4,851 126,126
Avista Corp. 3,199 55,783
Black Hills Corp. 1,365 30,798
+Calpine Corp. 7,804 513,113
CH Energy Group Inc. 1,056 35,838
Cleco Corp. 1,106 37,051
CMP Group Inc. 1,851 54,257
Conectiv Inc. 5,404 84,100
DPL Inc. 8,804 193,138
DQE Inc. 4,678 185,073
+El Paso Electric Co. 2,696 30,162
Empire District Electric Co. (The) 2,461 54,296
Energy East Corp. 8,037 153,205
Green Mountain Power Corp. 236 1,947
Hawaiian Electric Industries Inc. 1,934 63,459
IDACorp Inc. 1,982 63,919
IPALCO Enterprises Inc. 6,442 129,645
Kansas City Power & Light Co. 3,569 80,302
LG&E Energy Corp. 8,302 198,210
Madison Gas & Electric Co. 2,419 47,775
Minnesota Power Inc. 4,226 73,163
Montana Power Co. 6,824 240,973
NiSource Inc. 8,258 153,805
Northeast Utilities 10,402 226,244
NorthWestern Corp. 1,628 37,648
NSTAR 4,422 179,920
OGE Energy Corp. 4,313 79,790
Otter Tail Power Co. 1,060 22,260
+Plug Power Inc. 2,500 156,250
Potomac Electric Power Co. 7,203 180,075
Public Service Company of New Mexico 2,469 38,115
Puget Sound Energy Inc. 6,983 148,825
+Quanta Services Inc. 3,175 174,625
RGS Energy Group Inc. 1,797 39,983
SCANA Corp. 6,992 168,682
Sierra Pacific Resources Corp. 4,287 53,855
St. Joseph Light & Power Co. 299 6,279
TECO Energy Inc. 7,901 158,514
UniSource Energy Corp. 4,342 65,130
United Illuminating Co. (The) 841 36,794
Utilicorp United Inc. 6,035 119,946
Western Resources Inc. 4,046 62,713
Wisconsin Energy Corp. 7,257 143,779
WPS Resources Corp. 1,687 50,715
------------
4,939,090
------------
Electrical Components & Equipment--0.06%
Hubbell Inc. "B" 4,442 113,271
+UCAR International Inc. 2,812 36,732
------------
150,003
------------
Electronics--5.43%
+Acme Electric Corp. 500 4,312
+Act Manufacturing Inc. 734 34,085
+Actel Corp. 1,337 61,001
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
+ADE Corp. 1,586 $ 30,332
+Advanced Lighting Technologies Inc. 1,245 23,032
+Aeroflex Inc. 1,147 56,992
+Aerosonic Corp. 178 1,847
+Alpha Industries Inc. 2,414 106,367
+Alpha Technologies Group Inc. 300 3,562
+American Locker Group Inc. 100 637
+American Superconductor Corp. 2,066 99,684
+American Xtal Technology Inc. 1,992 86,154
AMETEK Inc. 1,734 30,345
+Amphenol Corp. "A" 2,798 185,193
+Anaren Microwave Inc. 453 59,449
+Anicom Inc. 1,223 4,586
+Applied Digital Solutions Inc. 3,900 13,162
+Arrow Electronics Inc. 5,978 185,318
+Artesyn Technologies Inc. 2,290 63,691
+Artisan Components Inc. 998 10,853
+ATMI Inc. 1,590 73,935
+Ault Inc. 200 1,325
Avnet Inc. 2,409 142,733
AVX Corp. 10,542 241,807
+Axsys Technologies Inc. 1,079 17,669
Bairnco Corp. 377 2,780
Baldor Electric Co. 1,856 34,568
Barnes Group Inc. 990 16,149
+Bel Fuse Inc. "A" 691 18,657
+Benchmark Electronics Inc. 1,419 51,882
+BOLDER Technologies Corp. 1,229 9,371
Boston Acoustics Inc. 184 2,024
+BTU International Inc. 400 4,800
+Burr-Brown Corp. 3,123 270,725
C&D Technologies Inc. 1,114 62,941
+California Amplifier Inc. 1,100 50,325
+Caliper Technologies Corp. 1,434 65,964
+Catalina Lighting Inc. 300 1,425
+Catalyst Semiconductor Inc. 1,900 16,387
+C-COR Electronics Inc. 1,870 50,490
+CellStar Corp. 2,938 8,171
+Ceradyne Inc. 2,800 28,700
+Cobalt Networks Inc. 1,500 86,812
+Concord Camera Corp. 1,002 20,917
Control Chief Holdings Inc. 200 800
+CP Clare Corp. 700 5,119
Craftmade International Inc. 278 1,876
+Cree Inc. 2,036 271,806
CTS Corp. 1,416 63,720
+Daktronics Inc. 1,600 15,900
Dallas Semiconductor Corp. 3,524 143,603
+Data Critical Corp. 1,800 23,400
+DDi Corp. 2,060 58,710
+Diodes Inc. 300 12,862
+Dionex Corp. 1,193 31,913
+DuPont Photomasks Inc. 884 60,554
Eastern Co. (The) 160 2,100
EDO Corp. 296 1,868
+8 X 8 Inc. 1,983 23,796
+Electric Fuel Corp. 1,439 22,035
+Electro Scientific Industries Inc. 1,418 62,436
+EMCORE Corp. 819 98,280
+EMS Technologies Inc. 920 16,560
</TABLE>
100
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------
+Engineering Measurements Co. 200 $ 1,600
+ESS Technology Inc. 2,518 36,511
+Evans & Sutherland Computer Corp. 365 2,327
+Exar Corp. 864 75,330
+Fairchild Semiconductor Corp. "A" 4,800 194,400
+Fiberstars Inc. 300 2,850
+Finisar Corp. 9,600 251,400
Franklin Electric Co. Inc. 250 16,937
+FSI International Inc. 1,528 33,139
+FuelCell Energy Inc. 350 24,172
+Genlyte Group Inc. (The) 802 16,892
+Gentex Corp. 4,218 105,977
+Genus Inc. 1,400 11,462
+GlobeSpan Inc. 3,800 463,897
+Graham Corp. 200 1,525
Harman International Industries Inc. 891 54,351
+HEI Inc. 2,100 28,908
Helix Technology Corp. 1,197 46,683
+Herley Industries Inc. 236 4,454
+hi/fn Inc. 1,039 46,106
Hughes Supply Inc. 1,672 33,022
+Hutchinson Technology Inc. 2,299 32,761
+Hytek Microsystems Inc. 700 5,884
+Ibis Technology Corp. 1,205 72,752
+IFR Systems Inc. 1,900 9,500
+Illinois Superconductor Corp. 4,000 19,125
+ImageX.com Inc. 2,100 12,731
Innovex Inc. 1,644 16,029
+Integrated Device Technology Inc. 6,081 364,100
+Integrated Silicon
Solution Inc. 2,168 82,384
+Interlink Electronics Inc. 1,350 56,531
+inTEST Corp. 300 4,462
+Invision Technologies Inc. 1,939 8,483
+Jabil Circuit Inc. 10,778 534,858
+Jason Inc. 1,750 16,844
+JMAR Technologies Inc. 3,500 17,937
+JNI Corp. 1,100 34,787
+JPM Company (The) 360 1,980
+Juno Lighting Inc. 48 288
+KEMET Corp. 5,108 128,019
+Kent Electronics Corp. 1,550 46,209
+Koss Corp. 400 6,350
+Lamson & Sessions Co. 801 12,265
+Littelfuse Inc. 1,208 59,192
+Lowrance Electronics Inc. 1,700 6,375
LSI Industries Inc. 856 13,001
+Mackie Designs Inc. 561 3,787
+Manufacturers Services Ltd. 5,596 115,068
+Mattson Technology Inc. 853 27,722
+Maxwell Technologies Inc. 1,112 15,012
+Measurements Specialties Inc. 300 11,512
+MedicaLogic Inc. 5,227 48,350
+Mercury Computer
Systems Inc. 1,444 46,659
+Merix Corp. 500 23,500
Methode Electronics Inc. "A" 2,190 84,589
+Metrologic Instruments Inc. 241 3,555
</TABLE>
<TABLE>
-----------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------
+Micrel Inc. 5,368 $ 233,172
+Micro Linear Corp. 810 5,670
+Microchip Technology Inc. 4,845 282,297
+Microsemi Corp. 617 20,939
+Microvision Inc. 572 28,028
+MIPS Technologies Inc. "A" 967 41,097
+MKS Instruments Inc. 1,300 50,862
+MMC Networks Inc. 1,744 93,195
+MRV Communications Inc. 3,564 239,679
Nashua Corp. 283 2,335
+Netro Corp. 3,300 189,337
+NETsilicon Inc. 1,000 32,750
+Nu Horizons Electronics Corp. 710 18,904
+Nucentrix Broadband Networks Inc. 700 17,850
+Oak Technology Inc. 2,900 62,531
OPTi Inc. 683 3,500
+OSI Systems Inc. 2,134 17,005
+OYO Geospace Corp. 1,100 22,000
+Paradyne Networks Inc. 1,700 55,356
+Parlex Corp. 600 25,275
+PCD Inc. 2,410 18,715
+Photon Dynamics Inc. 800 59,750
+Photronics Inc. 1,547 43,896
+Pinnacle Holdings Inc. 2,900 156,600
+Pinnacle Systems Inc. 2,668 59,988
Pioneer-Standard
Electronics Inc. 1,571 23,172
+Plexus Corp. 980 110,740
+PLX Technology Inc. 2,400 99,600
+Powell Industries Inc. 2,791 27,212
+Power Integrations Inc. 1,512 35,626
+Power-One Inc. 1,845 210,215
+Printtrak International Inc. 508 4,508
+QuickLogic Corp. 2,100 46,725
Quixote Corp. 292 4,380
+Ramtron International Corp. 2,640 51,810
+Rayovac Corp. 1,729 38,686
+Recoton Corp. 1,331 13,892
+REMEC Inc. 1,734 72,611
+Reptron Electronics Inc. 2,200 25,712
+Research Frontiers Inc. 704 21,120
+Research Inc. 3,200 20,000
Richardson Electronics Ltd. 481 7,726
+Robinson Nugent Inc. 2,200 27,500
+Rogers Corp. 962 33,670
+Rudolph Technologies Inc. 1,617 62,659
+Sanmina Corp. 1 68
+SBS Technologies Inc. 315 11,635
+SCI Systems Inc. 9,274 363,425
Scientific Technologies Inc. 430 2,446
+Semtech Corp. 1,718 131,400
+Sensar Corp. 1,600 38,000
+Sensormatic Electronics Corp. 4,251 67,219
+Sheldahl Inc. 484 2,632
+Sigmatron International Inc. 200 750
+Signal Technology Corp. 1,900 47,500
+Silicon Image Inc. 1,500 74,812
+Silicon Storage Technology 1,729 152,692
+Silicon Valley Group Inc. 1,768 45,747
+Siliconix Inc. 1,701 114,817
+SIPEX Corp. 1,160 32,117
SL Industries Inc. 253 2,467
</TABLE>
101
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
----------------------------------------------------------
COMMON STOCKS--(Continued)
----------------------------------------------------------
SLI Inc. 3,499 $ 42,425
+Somera Communications Inc. 5,500 74,937
+Sparton Corp. 350 1,444
+Spectra-Physics Lasers Inc. 896 62,664
+Spectrum Control Inc. 490 6,676
+Spire Corp. 2,000 11,875
+SRS Labs Inc. 1,021 9,444
+Superconductor Technologies Inc. 1,800 70,762
+Supertex Inc. 1,142 57,385
+Surge Components Inc. 1,900 8,995
Symbol Technologies Inc. 8,481 457,974
TB Woods Corp. 261 2,708
Tech/Ops Sevcon Inc. 139 1,216
Technitrol Inc. 923 89,416
+Tech-Sym Corp. 223 6,272
+Telcom Semiconductor Inc. 1,947 78,610
+Therma-Wave Inc. 1,015 22,647
+Thermo Ecotek Corp. 4,607 43,191
+Thermo Instrument Systems Inc. 7,534 141,262
Thomas Industries Inc. 1,910 33,783
+3Dfx Interactive Inc. 3,954 30,767
+Three-Five Systems Inc. 1,045 61,655
+Trans-Industries Inc. 1,300 6,012
+TranSwitch Corp. 2,433 187,797
+Trident Microsystems Inc. 577 5,193
+Trimble Navigation Ltd. 1,915 93,476
+Triumph Group Inc. 515 14,356
+U.S. Wireless Corp. 1,100 23,512
+Universal Display Corp. 1,200 35,625
+Universal Electronics Inc. 1,278 31,391
+Valence Technology Inc. 3,746 69,067
+Varian Inc. 1,630 75,184
+Viasystems Group Inc. 2,829 45,794
+Vicor Corp. 2,475 86,161
+Viisage Technology Inc. 900 2,644
+Virata Corp. 3,000 178,875
+Vishay Intertechnology Inc. 7,624 289,236
+Waters Corp. 3,994 498,501
Watts Industries Inc. "A" 3,201 40,413
+WESCO International Inc. 3,100 29,644
Woodhead Industries Inc. 1,106 20,184
+Zoran Corp. 672 44,310
------------
13,552,546
------------
Energy & Related--0.23%
+Global Industries Ltd. 5,078 95,847
+Newpark Resources Inc. 6,968 65,760
Santa Fe International Corp. 7,534 263,219
+Veritas Inc. 2,322 60,372
Vintage Petroleum Inc. 3,458 78,021
------------
563,219
------------
Engineering & Construction--0.04%
Foster Wheeler Corp. 2,400 20,700
Granite Construction Inc. 1,436 35,182
+Jacobs Engineering
Group Inc. 1,343 43,899
------------
99,781
------------
</TABLE>
<TABLE>
------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------------
Entertainment--1.15%
Allen Organ Co. "B" 171 $ 9,832
+AMC Entertainment Inc. 3,050 14,869
+Anchor Gaming 739 35,426
+Argosy Gaming Co. 2,403 34,543
+Avid Technology Inc. 3,196 38,352
+barnesandnoble.com Inc. 2,900 18,941
+Boca Resorts Inc. "A" 2,661 26,277
+Boyd Gaming Corp. 6,380 35,489
+Brass Eagle Inc. 200 1,000
+Carmike Cinemas Inc. "A" 419 1,624
+Championship Auto Racing Teams Inc. 1,178 30,039
+Cheap Tickets Inc. 2,400 28,800
Churchill Downs Inc. 1,277 29,850
+Clark (Dick) Productions Inc. 339 3,983
+Coastcast Corp. 357 6,292
CPI Corp. 569 12,020
+Craig Corp. 1,000 3,875
+Direct Focus Inc. 800 39,200
Dover Downs Entertainment Inc. 2,390 33,460
Ellett Brothers Inc. 200 700
+Escalade Inc. 139 2,380
+Expedia Inc. "A" 2,100 31,106
+Family Golf Centers Inc. 952 219
+Fotoball USA Inc. 2,400 9,600
+garden.com Inc. 1,000 2,375
Gaylord Entertainment
Co. "A" 1,767 37,990
+GetThere.com Inc. 3,987 42,113
+GTECH Holdings Corp. 1,846 41,881
+Hollywood Casino Corp. "A" 2,500 17,500
+Hollywood Entertainment Corp. 4,293 33,807
+Image Entertainment Inc. 599 2,209
+International Game Technology Inc. 5,021 133,056
International Speedway Corp. "A" 3,538 146,385
+Jackpot Enterprises Inc. 385 4,861
+Jakks Pacific Inc. 1,328 19,588
+K2 Inc. 1,911 15,885
+Lakes Gaming Inc. 389 3,452
+Laser-Pacific Media Corp. 500 2,344
+Liquid Audio Inc. 2,300 21,778
+Macrovision Corp. 2,560 163,640
+Mandalay Resort Group Inc. 5,356 107,120
+Martha Stewart Living Omnimedia Inc. "A" 1,500 33,000
+Metro-Goldwyn-Mayer Inc. 12,240 319,770
MGM Grand Inc. 7,282 233,934
+Mikohn Gaming Corp. 500 3,969
+Park Place Entertainment Corp. 17,847 217,510
+Penn National Gaming Inc. 1,743 23,748
+Pinnacle Entertainment Inc. 1,651 32,091
+Premier Parks Inc. 4,174 94,958
+Rawlings Sporting Goods Co. 287 1,865
+Rentrak Corp. 300 1,106
+Resortquest International Inc. 2,354 12,064
+SFX Entertainment Inc. "A" 3,602 163,216
+Speedway Motorsports Inc. 2,456 56,488
+Sport Supply Group Inc. 331 1,531
</TABLE>
102
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------------
+Steinway Musical Instruments Inc. 825 $ 13,612
+Ticketmaster Online-CitySearch Inc. "B" 2,013 32,082
+Trimark Holdings Inc. 1,000 7,937
+United Leisure Corp. 1,400 9,800
+Vail Resorts Inc. 2,910 47,469
+Westwood One Inc. 7,086 241,810
+WMS Industries Inc. 3,102 47,887
+World Wrestling Federation Entertainment Inc. 1,200 24,975
------------
2,864,683
------------
Environmental Control--0.13%
+Crown Andersen Inc. 100 487
+GZA GeoEnvironmental Technologies Inc. 400 2,500
+IT Group Inc. 2,512 12,246
+Layne Christensen Co. 520 2,340
+MFRI Inc. 300 1,125
+MPM Technologies Inc. 1,900 11,400
+New Horizons
Worldwide Inc. 909 21,114
+Republic Services Inc. "A" 11,167 178,672
Sevenson Environmental Services Inc. 200 2,200
+Stericycle Inc. 1,400 33,600
+Strategic Diagnostic Inc. 1,700 9,456
+Synagro Technologies Inc. 1,600 5,900
+Tetra Technologies Inc. 599 8,498
+TRC Companies Inc. 500 5,750
+U S Liquids Inc. 754 4,147
+Waste Industries Inc. 1,593 17,125
------------
316,560
------------
Food--1.20%
+American Italian Pasta Co. 1,509 31,217
Applebee's International Inc. 1,743 52,835
+Arden Group Inc. 320 12,500
+Ark Restaurants Corp. 800 6,200
+Benihana Inc. 272 3,638
+Buca Inc. 800 12,500
+Buffetts Inc. 3,113 39,496
+CEC Entertainment Inc. 1,609 41,231
+Champps Entertainment Inc. 519 2,790
+Chart House Enterprises Inc. 526 2,893
+Cheesecake Factory (The) 2,383 65,532
+Consolidated Products Inc. 3,489 31,401
Corn Products
International Inc. 2,303 61,029
Dean Foods Co. 2,260 71,614
Delhaize America Inc. "A" 9,803 173,391
Dole Food Co. 2,850 46,669
Earthgrains Company (The) 2,723 52,928
+ELXSI Corp. 700 7,744
Flanigan's Enterprises Inc. 200 850
Fleming Companies Inc. 1,711 22,350
Flowers Industries Inc. 5,766 114,960
+Foodarama Supermarkets Inc. 100 2,394
+Friendly Ice Cream Corp. 433 2,192
Frisch's Restaurants Inc. 268 2,814
+Garden Fresh Restaurant Corp. 251 2,620
</TABLE>
<TABLE>
---------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------
+Hain Celestial Group Inc. 1,889 $ 69,303
Hannaford Brothers Co. 2,491 179,041
+Homeland Holding Corp. 900 3,375
Hormel Foods Corp. 8,986 151,077
IBP Inc. 7,053 108,881
+ICH Corporation 1,000 5,500
+IHOP Corp. 1,582 26,498
+Il Fornaio (America) Corp. 200 1,700
+International Home
Foods Inc. 4,165 87,205
Interstate Bakeries Corp. 5,520 77,280
+Jack in the Box Inc. 2,251 55,431
Keebler Foods Co. 4,861 180,465
Lance Inc. 1,641 14,769
Landry's Seafood Restaurants 1,119 9,511
Marsh Supermarkets Inc. "B" 911 9,110
McCormick & Co. Inc. 3,952 128,440
Michael Foods Inc. 1,348 33,026
Morrison Management Specialist Inc. 929 26,186
+Morton's Restaurant
Group Inc. 241 5,181
Nabisco Holdings Corp. 2,799 146,947
Northland Cranberries "A" 2,127 8,242
+O'Charleys Inc. 1,368 18,639
+P.F. Chang's China Bistro Inc. 753 24,049
+Panera Bread Co. "A" 538 5,447
+Papa John's International Inc. 1,821 44,614
+PJ America Inc. 511 4,982
+Rare Hospitality International Inc. 1,045 29,521
+Roadhouse Grill Inc. 400 1,825
+Rocky Mountain Chocolate Factory Inc. 300 1,425
Ruddick Corp. 2,487 29,378
+Schlotzsky's Inc. 972 5,528
Schultz Sav O Stores Inc. 742 7,698
Seaway Food Town Inc. 645 10,804
Smucker (J.M.) Co. "A" 1,503 28,933
+Sonic Corp. 1,751 51,436
+Suiza Foods Corp. 1,866 91,201
+Taco Cabana "A" 502 3,326
Tootsie Roll Industries Inc. 1,746 61,110
Tyson Foods Inc. "A" 14,742 128,992
+United Heritage Corp. 6,360 18,285
Universal Foods Corp. 2,590 47,915
+Uno Restaurant Corp. 508 5,429
+ViCorp Restaurants Inc. 334 6,095
+Village Super Market Inc. "A" 300 3,712
Weis Markets Inc. 2,368 77,552
+Whole Foods Market Inc. 1,579 65,232
+Wild Oats Markets Inc. 1,476 18,542
------------
2,982,626
------------
Forest Products & Paper--0.35%
Associated Materials Inc. 406 6,090
Bowater Inc. 3,015 133,037
+Buckeye Technologies Inc. 1,702 37,338
+Building Materials Holdings Corp. 566 4,988
Caraustar Industries Inc. 1,920 29,040
Chesapeake Corp. 1,059 31,373
</TABLE>
103
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
---------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
---------------------------------------------------------------
COMMON STOCKS--(Continued)
---------------------------------------------------------------
Consolidated Papers Inc. 5,646 $ 206,432
+Drew Industries Inc. 505 3,977
+Fibermark Inc. 286 3,539
+Gaylord Container "A" 5,383 14,467
Georgia-Pacific (Timber Group) 5,707 123,414
Glatfelter (P.H.) Co. 2,081 21,200
Hunt Corp. 411 4,264
+Impreso.com Inc. 300 1,200
+Ivex Packaging Corp. 2,336 25,988
Liberty Homes Inc. "A" 200 1,225
Patrick Industries Inc. 216 1,350
+Playtex Products Inc. 3,799 42,976
Pope & Talbot Inc. 1,097 17,552
Republic Group Inc. 533 4,797
Schweitzer-Mauduit International Inc. 702 8,775
+Simpson Manufacturing
Co. Inc. 717 34,282
+United Stationers Inc. 2,546 82,427
Wausau-Mosinee Paper Corp. 3,433 29,395
------------
869,126
------------
Gas--0.21%
AGL Resources Inc. 2,957 47,127
KeySpan Corp. 8,163 251,012
MCN Energy Group Inc. 5,644 120,641
Vectren Corporation 3,387 58,426
Washington Gas Light Co. 1,844 44,371
------------
521,577
------------
Hand / Machine Tools--0.10%
Kennametal Inc. 1,536 32,928
+SPX Corp. 1,868 225,911
------------
258,839
------------
Health Care--3.75%
+Abiomed Inc. 886 27,244
+Accredo Health Inc. 750 25,922
+Acuson Corp. 2,827 38,164
+ADAC Laboratories Inc. 1,596 38,304
+Advanced Energy Industries Inc. 1,493 87,994
+Advanced Neuromodulation Systems Inc. 342 5,729
+Advanced Tissue Sciences Inc. 3,800 30,519
+Aetrium Inc. 428 2,461
+Albany Molecular Research Inc. 1,600 87,100
+Alcide Corp. 100 1,750
+Allscripts Inc. 1,600 36,800
Amcast Industrial Corp. 339 2,966
+America Service Group Inc. 300 6,150
+American Dental Partners Inc. 932 6,524
+American Science & Engineering Inc. 315 1,733
+AmeriPath Inc. 1,973 17,510
+Amsurg Inc. "A" 451 2,424
Analogic Corp. 1,366 54,640
+Apria Healthcare Group Inc. 3,016 36,946
+Aradigm Corp. 1,348 23,590
Arrow International Inc. 1,139 38,157
</TABLE>
<TABLE>
------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------
+Arthocare Corp. 630 $ 33,548
+Aspect Medical Systems Inc. 1,667 45,009
+AVAX Technologies Inc. 2,000 18,125
+Avigen Inc. 1,500 65,813
+Bacou USA Inc. 1,487 29,740
Badger Meter Inc. 112 2,828
Baxter International Inc. 121 8,521
Beckman Coulter Inc. 1,579 92,174
+BioMarin Pharmaceutical Inc. 1,800 30,600
+Bio-Rad Laboratories Inc. "A" 758 18,950
+Biosite Diagnostics Inc. 977 47,079
+BioSource International Inc. 2,500 55,625
Block Drug Co. Inc. "A" 1,152 48,744
+BriteSmile Inc. 1,500 6,750
+CardioDynamics International Corp. 2,800 17,588
+Caredata.com Inc. 2,800 4,725
+Cerus Corp. 2,047 104,781
+ChromaVision Medical Systems Inc. 2,036 26,850
+Chronimed Inc. 546 4,027
+Closure Medical Corp. 1,294 29,762
+Coherent Inc. 1,360 114,070
+Cohesion Technologies Inc. 586 6,922
Cohu Inc. 1,218 32,848
Cole National Corp. 658 4,606
+Colorado Medtech Inc. 474 2,992
+Computer Motion Inc. 1,959 16,162
+Conmed Corp. 1,177 30,455
Cooper Companies Inc. 1,467 53,362
+Core Inc. 350 2,384
+Covance Inc. 3,005 26,482
+Coventry Health Care Inc. 5,632 75,064
+Creative BioMolecules Inc. 3,500 49,000
+Credence Systems Corp. 3,342 184,437
+CRYO-CELL International Inc. 400 2,500
+Cryolife Inc. 1,167 26,841
+Cuno Inc. 1,796 41,533
+Curative Health Services Inc. 470 2,835
+Cyber-Care Inc. 5,200 51,756
+Cyberonics 1,143 13,716
+Cygnus Inc. 2,359 33,616
+Cymer Inc. 1,613 77,021
Datascope Corp. 978 35,208
+DataTRAK International Inc. 1,587 7,637
+Daxor Corp. 213 2,370
+Del Global Technologies Corp. 340 3,304
Diagnostic Prods Corp. 1,017 32,544
+Diametrics Medical Inc. 1,962 11,098
+Dianon Systems Inc. 303 7,651
+Dynacq International Inc. 1,000 7,750
+Eclipse Surgical Technologies Inc. 2,404 10,518
+Edwards Lifesciences Corp. 3,700 70,763
+Embrex Inc. 500 6,875
+ENDOcare Inc. 600 12,150
+Endosonics Corp. 2,243 12,617
+Energy Conversion Devices Inc. 1,263 32,049
+Environmental Tectonics Corp. 374 3,366
+Enzo Biochem Inc. 1,518 104,742
</TABLE>
104
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
---------------------------------------------------------------
COMMON STOCKS--(Continued)
---------------------------------------------------------------
+Enzon Inc. 2,084 $ 88,570
+Epimmune Inc. 2,000 12,750
+Epitope Inc. 1,601 22,014
+Esterline Corp. 775 11,528
+Exactech Inc. 319 5,084
+Excel Technology Inc. 606 30,489
+Express Scripts Inc. "A" 2,204 136,924
+E-Z-Em Inc. "A" 650 4,144
+FEI Co. 1,469 44,805
+Foundation Health Systems 7,267 94,471
Frequency Electronics Inc. 343 9,818
+Genrad Inc. 1,997 17,973
+Gliatech Inc. 945 19,136
+Haemonetics Corp. 1,692 35,532
+Hanger Orthopedic Group Inc. 913 4,508
+Health Management Associates Inc. "A" 15,437 201,646
+Health Systems Design Corp. 2,300 8,338
+Healthcentral.com 3,238 9,714
Hillenbrand Industries Inc. 3,895 121,962
+Hologic Inc. 1,793 12,103
Hooper Holmes Inc. 3,918 31,344
+Human Genome Sciences Inc. 3,406 454,275
+ICU Medical Inc. 396 10,692
+IDEXX Laboratories Inc. 2,329 53,276
+IGEN International Inc. 1,785 29,564
+II-VI Inc. 306 14,803
+Immunomedics Inc. 2,193 53,729
+Impath Inc. 912 49,476
+INAMED Corp. 1,100 40,288
+InSight Health Services Corp. 1,500 9,750
+Integra Lifesciences Corp. 2,000 19,875
+Interpore International 627 6,074
Invacare Corp. 2,037 53,471
+Inverness Medical Technology Inc. 2,500 22,500
+Invitrogen Corp. 1,200 90,244
+Invivo Corp. 246 2,706
+Ionics Inc. 1,620 49,613
+IRIDEX Corp. 500 6,375
+Isolyser Co. Inc. 2,500 8,594
+I-Stat Corp. 1,362 23,750
+Kensey Nash Corp. 333 3,705
+Kopin Corp. 1,800 124,650
+K-Tron International Inc. 234 3,627
+Laboratory Corp. of America Holdings 840 64,785
+Lasersight Inc. 1,588 6,054
+LifeCell Corp. 600 3,825
+Lifemark Corp. 2,000 12,000
+LifePoint Hospitals Inc. 3,000 66,750
+Lincare Holdings Inc. 3,204 78,899
+LTX Corp. 3,108 108,586
+Luminex Corp. 2,140 89,078
+Lunar Corp. 384 6,432
+Matria Healthcare Inc. 3,442 15,812
+Meade Instruments Corp. 1,580 39,698
+Mechanical Technology Inc. 1,914 28,710
+Med-Design Corp. (The) 600 6,900
</TABLE>
<TABLE>
------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------
+Mediware Information Systems Inc. 200 $ 1,300
+Medstone International Inc. 300 1,725
+MEDTOX Scientific Inc. 200 2,000
+Medwave Inc. 1,841 13,117
Mentor Corp. 1,484 40,346
+Meridian Medical Technologies Inc. 200 2,250
+Merit Medical Systems Inc. 400 2,600
+Mesa Laboratories Inc. 2,400 13,200
+Micro Therapeutics Inc. 1,700 8,713
+Mid Atlantic Medical Services Inc. 5,020 67,770
Mine Safety Appliances 963 23,112
+Minimed Inc. 2,006 236,708
Minntech Corp. 301 2,032
+Misonix Inc. 400 3,175
+Molecular Devices Corp. 548 37,915
MTS Systems Corp. 2,185 13,656
+Nanometrics Inc. 888 36,575
+National Dentex Corp. 656 11,070
+Neogen Corp. 1,300 8,125
Newport Corp. 1,605 172,337
+NMT Medical Inc. 475 1,425
+Novamed Eyecare Inc. 2,500 22,031
+Novametrix Medical Systems Inc. 400 2,400
+Novavax Inc. 2,800 20,475
+Novoste Corp. 894 54,534
+Oakley Inc. 4,562 52,463
+Ocular Sciences Inc. 2,303 27,060
+Oratec Interventions Inc. 1,431 47,760
+Ortec Inernational Inc. 1,863 17,931
+Orthodontic Centers of America 2,838 64,210
+Orthologic Corp. 2,133 10,532
+Osmonics Inc. 516 4,773
+Osteotech Inc. 1,297 13,619
+Oxford Health Plans Inc. 4,796 114,205
+PacifiCare Health Systems Inc. "A" 2,536 152,636
+Palatin Technologies Inc. 1,800 12,600
+Pediatrix Medical Group Inc. 1,783 20,727
+PharmaNetics Inc. 400 7,950
PMR Corp. 312 995
+Polymedica Industries Inc. 800 34,600
+PPT Vision Inc. 200 1,025
+Prime Medical Service Inc. 1,859 14,407
+Protocol Systems Inc. 372 5,929
+Province Healthcare Co. 1,579 57,041
+PRWW Ltd. 900 12,488
Psychemedics Corp. 2,416 12,533
+Quality Systems Inc. 200 1,500
+Quest Diagnostics Inc. 3,036 217,264
+Quorum Health Group Inc. 4,829 49,799
+Rehabcare Corp. 678 18,476
+Renal Care Group Inc. 3,513 85,904
+Resmed Inc. 1,712 45,796
+Respironics Inc. 3,513 63,234
+Ribozyme Pharmaceuticals Inc. 1,900 49,044
+Robotic Vision Systems Inc. 2,513 45,234
+Rochester Medical Corp. 238 1,993
+Rofin-Sinar Technologies Inc. 524 6,550
</TABLE>
105
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Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Roper Industries Inc. 1,699 $ 43,537
+Satcon Technology Corp. 703 17,970
+SciQuest.com Inc. 2,905 33,226
+Sola International Inc. 2,813 13,713
+Sonosite Inc. 620 17,864
+Spacelabs Medical Inc. 947 10,654
+Spectranetics Corp. 2,155 10,640
+SPECTRASCIENCE Inc. 2,000 13,000
+SpectRx Inc. 300 3,150
+Staar Surgical Co. 596 6,668
Starrett (LS) Co. "A" 192 3,360
+Sterile Recoveries Inc. 953 7,386
+Steris Corp. 4,554 40,417
Stryker Corp. 12,228 534,975
+Summit Technology Inc. 5,638 106,417
+Sunrise Assisted Living Inc. 2,350 43,475
+Sunrise Medical Inc. 3,118 15,200
+Sunrise Technologies International Inc. 4,043 40,430
+Syncor International Corp. 1,391 100,152
+Techne Corp. 1,096 142,480
+Theragenics Corp. 2,984 25,551
+Thermedics Inc. 2,957 29,385
+Thermo Cardiosystems Inc. 2,622 26,220
+Thoratec Labs Corp. 1,851 29,963
+Total Renal Care Holdings 4,621 27,726
+Triad Hospitals Inc. 2,200 53,213
+Trigon Healthcare Inc. 2,992 154,275
+TriPath Imaging Inc. 2,379 14,646
+U.S. Physical Therapy Inc. 1,200 12,900
United-Guardian Inc. 400 1,850
+Universal Health Services 1,765 116,490
+Urologix Inc. 2,400 9,750
+Utah Medical Products Inc. 319 2,173
+Valentis Inc. 2,176 25,568
+Varian Medical Systems Inc. 2,230 87,249
+Veeco Instruments Inc. 1,389 101,744
+Ventana Medical Systems Inc. 793 18,636
+Veterinary Centers of America Inc. 1,826 25,108
+VISX Inc. 3,320 93,168
+Wesley Jessen VisionCare Inc. 1,160 43,573
X-Rite Inc. 1,981 18,077
+Young Innovations Inc. 903 16,141
+ZEVEX International Inc. 300 1,594
+Zoll Medical Corp. 477 23,373
+Zygo Corp. 911 82,730
------------
9,369,215
------------
Heavy Construction--0.08%
+AMREP Corporation 500 2,813
+Anthony & Sylvan Pools Corp. 243 1,891
+Del Webb Corp. 1,508 23,091
+Fairfield Communities Inc. 3,954 31,138
+Hovnanian Enterprises Inc. "A" 1,300 7,800
Lennar Corp. 4,950 100,238
M/I Schottenstein Homes Inc. 325 5,119
McGrath RentCorp. 916 15,572
+Morrison Knudsen Corp. 2,689 19,495
+UNIFAB International Inc. 300 2,475
------------
209,632
------------
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
Holding Companies--Diversified--2.00%
+Berkshire Hathaway Inc. "A" 93 $ 5,003,400
------------
Home Builders--0.08%
+Champion Enterprises Inc. 5,252 25,604
Clayton Homes Inc. 11,705 93,640
Fleetwood Enterprises Inc. 3,500 49,875
Skyline Corp. 741 15,932
+William Lyon Homes 700 4,638
------------
189,689
------------
Home Furnishings--0.41%
+Applica Inc. 2,214 25,046
Bassett Furniture Industries Inc. 1,279 16,147
+Beazer Homes USA Inc. 831 15,166
Bush Industries "A" 380 6,080
+Chromcraft Revington Inc. 402 4,673
D.R. Horton Inc. 4,088 55,444
+Dominion Homes Inc. 1,300 7,556
Donnelly Corp. 1,171 15,223
Engle Homes Inc. 411 3,930
Ethan Allen Interiors Inc. 3,049 73,176
Falcon Products Inc. 334 3,173
Flexsteel Industries Inc. 252 3,087
+Fossil Inc. 2,004 38,953
+Furniture Brands International Inc. 2,620 39,628
+Helen of Troy Ltd. 2,599 14,538
+Jore Corporation 1,000 5,438
Kimball International Inc. "B" 1,920 28,320
Knape & Vogt Manufacturing Co. 234 3,569
+Landec Corp. 1,973 10,728
+Lazare Kaplan International Inc. 379 3,032
La-Z-Boy Chair Co. 3,606 50,484
Lennox International Inc. 3,521 46,653
Libbey Inc. 1,773 56,958
M.D.C Holdings Inc. 1,720 32,035
+Media Arts Group Inc. 2,281 9,267
+Meritage Corp. 338 3,612
Mikasa Inc. 669 6,481
+Mity Lite Inc. 219 2,902
Movado Group Inc. 578 6,936
+Newmark Homes Corp. 1,914 12,321
+Nobility Homes Inc. 219 1,095
+NVR Inc. 481 27,417
Oneida Ltd. 1,947 34,559
+Palm Harbor Homes Inc. 2,363 34,264
+Rexhall Industries Inc. 315 1,595
Rowe Furniture Corp. 499 1,902
+Royal Appliance Manufacturing Co. 894 5,085
Ryland Group Inc. 1,557 34,449
+Salton/Maxim Corp. 1,283 47,311
+Schuler Homes Inc. 741 4,539
+SMC Corp. 300 938
Standard-Pacific Corp. 3,026 30,260
+Stanley Furniture Co. Inc. 264 5,808
Steelcase Inc. 1,929 32,793
+Toll Brothers Inc. 1,954 40,057
+Trex Co. Inc. 1,300 65,000
Virco Manufacturing Corp. 1,201 15,613
Walter Industries Inc. 3,486 39,871
+Washington Homes Inc. 500 3,000
------------
1,026,112
------------
</TABLE>
106
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------
Household Products/Wares--0.12%
Blyth Industries Inc. 2,800 $ 82,600
+Day Runner Inc. 1 1
Dial Corp. 5,917 61,389
Enesco Group Inc. 1,702 8,085
Ennis Business Forms Inc. 599 4,792
Harland (John H.) Co. 1,387 20,718
National Presto Industries Inc. 571 17,558
Pennzoil-Quaker State Co. 4,777 57,623
Standard Register Co. 1,528 21,774
Wallace Computer Services Inc. 2,335 23,058
------------
297,598
------------
Industrial--Diversified--0.09%
+Ag Services of America Inc. 733 11,178
American Biltrite Inc. 134 1,725
Aztec Manufacturing Co. 800 13,000
+Identix Inc. 1,933 30,324
+Interlott Technologies Inc. 400 2,500
+Koala Corp. 454 6,413
Oil Dri Corp. of America 266 2,394
+Publicard Inc. 1,690 5,545
Russ Berrie & Co. Inc. 1,994 38,385
Scope Industries 100 4,475
+Shuffle Master Inc. 400 5,750
+Symyx Technologies Inc. 1,700 72,436
+Thermwood Corp. 200 1,125
York Group Inc. 1,499 5,996
+Zomax Optical Media Inc. 1,456 19,110
------------
220,356
------------
Insurance--2.69%
+Acceptance Insurance Companies Inc. 641 3,205
Alfa Corp. 1,928 33,740
+Allcity Insurance Co. 500 3,500
+Alleghany Corp. 435 73,080
Allmerica Financial Corp. 3,600 188,550
AMBAC Financial Group Inc. 4,118 225,718
American Financial Group Inc. 3,332 82,675
American National Insurance Co. 1,984 101,184
Amerus Life Holdings Inc. 2,849 58,761
Amwest Insurance Group Inc. 907 4,308
Argonaut Group Inc. 1,075 18,409
+Arm Financial Group Inc. "A" 1,057 11
AXA Financial Inc. ADR 27,666 940,644
Baldwin & Lyons Inc. "B" 613 10,459
+Bancinsurance Corp. 1,050 4,397
Brown & Brown Inc. 1,504 78,208
Capitol Transamerica Corp. 413 4,879
+Citizens Financial Corp. KY "A" 200 2,300
+Clark/Bardes Holdings Inc. 897 14,801
+CNA Financial Corp. 11,327 385,118
Commerce Group Inc. 2,012 59,354
Cotton States Life Insurance Co. 287 2,440
Crawford & Co. "B" 2,382 26,202
+Danielson Holding Corp. 700 3,413
+Delphi Financial Group Inc. 948 32,173
</TABLE>
<TABLE>
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<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------------
Donegal Group Inc. 365 $ 2,099
E.W. Blanch Holdings Inc. 774 15,722
EMC Insurance Group Inc. 423 3,701
Enhance Financial Services Group Inc. 4,172 59,973
Erie Indemnity Co. "A" 3,699 116,519
Everest Re Group Ltd. 1,540 50,628
+Farm Family Holdings Inc. 508 15,716
FBL Financial Group Inc. "A" 2,105 33,154
Fidelity National Financial Inc. 4,304 78,817
Financial Industries Corp. 242 1,966
Financial Security Assurance Holdings Ltd. 2,210 167,684
First American Financial Corp. 4,208 60,227
+FPIC Insurance Group Inc. 421 6,604
Fremont General Corp. 3,527 13,888
Gainsco Inc. 770 3,850
Gallagher (Arthur J.) & Co. 1,946 81,732
Great American Financial Resources Inc. 2,109 37,303
+Hancock (John) Financial Services Inc. 20,903 495,140
Harleysville Group Inc. 2,703 45,275
HCC Insurance Holdings Inc. 3,153 59,513
+HealthExtras Inc. 3,729 20,043
Hilb Rogal & Hamilton Co. 847 29,380
Horace Mann Educators Corp. 2,702 40,530
HSB Group Inc. 1,614 50,236
Independence Holding Co. 972 11,907
+Intercontinental Life Corp. 1,200 10,200
+Interstate National Dealer Services Inc. 200 1,050
Investors Title Company 200 2,100
Kansas City Life Insurance Co. 1,354 36,389
Kaye Group Inc. 1,300 7,556
Lab Holdings Inc. 1,258 7,076
LandAmerica Financial Group Inc. 690 15,827
Leucadia National Corp. 4,082 93,121
Liberty Corp. 1,034 43,428
Liberty Financial Companies Inc. 2,464 54,054
+Markel Corp. 346 49,002
Meadowbrook Insurance Group 390 1,999
+Medical Assurance Inc. 2,298 25,853
Merchants Group Inc. 472 7,906
Mercury General Corp. 3,849 90,933
Meridian Insurance Group Inc. 821 9,852
+MetLife Inc. 12,610 265,598
MIIX Group Inc. (The) 1,100 13,200
MONY Group Inc. 2,613 88,352
+Motor Club of America 400 3,300
National Security Group Inc. 400 4,700
Nationwide Financial Services Inc. 1,464 48,129
+Navigators Group Inc. 377 3,393
NYMAGIC Inc. 433 6,170
Ohio Casualty Corp. 5,178 55,016
Old Guard Group Inc. 300 3,469
</TABLE>
107
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
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COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Old Republic International Corp. 7,100 $ 117,150
+Penn Treaty American Corp. 287 4,879
Penn-America Group Inc. 500 3,938
+Philadelphia Consolidated Holding Corp. 545 9,163
+PICO Holdings Inc. 1,200 16,875
PMA Capital Corp. "A" 409 7,771
PMI Group Inc. (The) 3,035 144,163
Presidential Life Corp. 2,120 29,415
+Professionals Group Inc. 412 10,068
Protective Life Corp. 3,582 95,371
PXRE Group Ltd. 595 8,033
Radian Group Inc. 2,106 108,986
Reinsurance Group of America Inc. 2,557 77,030
Reliastar Financial Corp. 5,581 292,654
+Rightchoice Managed Care "A" 300 5,119
RLI Corp. 464 16,124
+RTW Inc. 1,400 5,294
SCPIE Holdings Inc. 556 11,398
Selective Insurance Group Inc. 2,863 54,397
StanCorp Financial Group Inc. 2,000 64,250
State Auto Financial Corp. 4,376 51,965
Stewart Information Services Corp. 1,278 18,691
Surety Corp. 2,972 35,478
Transatlantic Holdings Inc. 2,250 188,438
Trenwick Group Inc. 2,091 30,450
+Triad Guaranty Inc. 1,498 34,360
21st Century Insurance Group 6,119 96,374
+UICI 4,968 32,603
Unico American Corp. 1,000 6,000
United Fire & Casualty Co. 451 6,991
Unitrin Inc. 4,244 124,668
W.R. Berkley Corp. 2,385 44,719
Wesco Financial Corp. 418 85,690
White Mountains Insurance Group Inc. 356 56,960
Zenith National Insurance Corp. 1,062 22,568
------------
6,724,842
------------
Iron/Steel--0.04%
AK Steel Holding Corp. 6,344 50,752
Ryerson Tull Inc. 2,542 26,373
+Steel Dynamics Inc. 2,441 22,122
+Weirton Steel Corp. 2,700 8,775
------------
108,022
------------
Leisure Time--0.09%
+Bally Total Fitness Holding Corp. 1,435 36,413
Callaway Golf Co. 4,560 74,385
Galileo International Inc. 5,294 110,512
+Johnson Outdoors Inc. "A" 300 2,119
+Navigant International Inc. 579 5,573
------------
229,002
------------
</TABLE>
<TABLE>
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<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------------
Lodging--0.32%
+Ameristar Casinos Inc. 3,300 $ 13,819
+Aztar Corp. 2,668 41,354
+Choice Hotels International Inc. 2,589 25,728
+Crestline Capital Corp. 855 14,588
+Extended Stay America Inc. 5,792 53,576
+International Leisure Hosts Ltd. 300 1,200
+Isle of Capris Casinos Inc. 1,700 23,056
+John Q Hammons Hotels Inc. 2,600 13,000
Marcus Corp. 2,495 30,252
+Monarch Casino & Resort Inc. 300 1,725
+Prime Hospitality Corp. 4,838 45,659
+Riviera Holdings Corp. 200 1,575
+ShoLodge Inc. 1,700 5,950
+Silver Leaf Resorts Inc. 1,475 3,964
Sonesta International Hotels Corp. 800 6,700
Starwood Hotels & Resorts Worldwide Inc. 12,917 417,381
+Station Casinos Inc. 2,379 59,475
+Suburban Lodges of America Inc. 1,869 10,630
+Sunburst Hospitality Corp. 893 3,963
+Thousand Trails Inc. 600 2,700
+Trendwest Resorts Inc. 1,167 18,818
+U.S. Franchise Systems Inc. 633 3,046
+Westcoast Hospitality Corp. 566 3,962
------------
802,121
------------
Machinery--0.92%
+A.S.V. Inc. 455 6,541
+Ag-Chem Equipment Co. Inc. 355 2,396
AGCO Corp. 3,663 44,872
Alamo Group Inc. 359 4,488
+Albany International Corp. 3,307 47,952
+Altair International Inc. 2,059 6,949
+American Aircarriers Support Inc. 288 1,080
Ampco-Pittsburgh Corp. 353 3,927
Applied Industrial Technologies Inc. 2,269 37,155
Applied Power Inc. "A" 1,928 64,588
+Applied Science & Technology Inc. 1,016 26,289
+Arguss Holdings Inc. 1,271 23,990
+Astec Industries Inc. 1,243 31,541
+Asyst Technologies Inc. 2,036 69,733
+Aviall Inc. 1,070 5,283
+Aviation Sales Co. 2,158 13,353
BHA Group Inc. 319 3,110
+Brooks Automation Inc. 1,205 77,045
+Chart Industries Inc. 1,077 5,250
+Cognex Corp. 2,291 118,559
Columbus McKinnon Corp. 1,316 18,260
+CTB International Corp. 454 3,065
Detroit Diesel Corp. 1,705 25,149
Donaldson Co. Inc. 3,964 78,289
+Dril-Quip 836 39,083
+DT Industries Inc. 468 4,388
+Dycom Industries Inc. 2,491 114,586
+Electroglas Inc. 1,027 22,081
</TABLE>
108
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------
Engineered Support Systems Inc. 317 $ 4,359
Fedders Corp. 3,324 19,321
Flowserve Corp. 3,718 56,002
+Gardner Denver Inc. 1,593 28,475
+Gasonics International Corp. 822 32,418
+Gehl Corp. 300 4,275
+Glacier Water Services Inc. 135 1,603
Gorman Rupp Co. 315 4,961
Graco Inc. 998 32,435
Hardinge Inc. 362 3,778
+Hurco Companies Inc. 600 2,325
Idex Corp. 1,512 47,723
+IIC Industries Inc. 400 3,850
+Imation Corp. 1,818 53,404
+Insituform Technologies Inc. "A" 1,180 32,008
+JLK Direct Distribution Inc. "A" 1,100 5,638
Katy Industries Inc. 306 3,596
+Key Technology Inc. 200 1,700
+Kulicke & Soffa Industries Inc. 1,442 85,619
Lincoln Electric Holding Inc. 3,754 53,495
Lindsay Manufacturing Co. 584 11,461
Lufkin Industries Inc. 241 3,826
+Magnetek Inc. 1,412 11,296
Manitowoc Co. Inc. 1,359 36,353
+Mansur Industries Inc. 1,200 3,225
+McClain Industries Inc. 400 2,000
+Mestek Inc. 328 5,781
Met-Pro Corp. 306 2,754
+Metromedia International Group Inc. 4,997 23,736
+Middleby Corp. (The) 200 1,466
+Mitcham Industries Inc. 2,200 11,688
Nordson Corp. 831 42,069
+P & F Industries Inc. "A" 200 1,700
+Paragon Technologies Inc. 4,300 32,250
+Paxar Corp. 4,543 54,232
+PLM International Inc. 1,800 12,150
+Presstek Inc. 1,890 30,831
+Quipp Inc. 100 1,900
Robbins & Myers Inc. 1,306 29,793
+Sames Corp. 132 2,079
+Scott Technologies Inc. 2,099 36,077
+Semitool Inc. 1,816 31,440
+Specialty Equipment Co. 1,322 35,859
+SpeedFam-IPEC Inc. 1,788 32,519
+SPS Technologies Inc. 1,366 56,091
Stewart & Stevenson Services Inc. 3,132 47,176
Tecumseh Products Co. "A" 1,039 39,677
+Tegal Corp. 2,600 17,225
Tennant Co. 1,215 45,563
+Terex Corp. 1,930 27,261
+Thermadyne Holdings Corp. 144 1,800
+Thermo Fibertek Inc. 4,150 19,713
Toro Co. 1,375 45,289
+Tractor Supply Co. 522 8,646
Twin Disc Inc. 126 2,150
+Ultratech Stepper Inc. 2,243 33,365
United Industial Corp. 1,053 9,609
+Unova Inc. 4,748 34,720
Watsco Inc. 3,306 41,325
Woodward Governor Co. 816 23,103
------------
2,285,185
------------
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
Manufacturers--0.36%
Carlisle Companies Inc. 2,650 $ 119,250
Federal Signal Corp. 2,527 41,696
Harsco Corp. 2,388 60,894
Lancaster Colony Corp. 2,193 42,078
Mark IV Industries Inc. 2,435 50,831
Mascotech Inc. 2,262 24,458
NCH Corp. 250 9,047
Newport News Shipbuilding Inc. 2,478 91,067
Pentair Inc. 3,618 128,439
Pittston Brink's Group 4,375 59,883
Teleflex Inc. 3,373 125,012
Trinity Industries Inc. 2,237 41,385
U.S. Industries Inc. 5,310 64,384
Wabtec Corporation 3,405 35,327
------------
893,751
------------
Media--3.63%
+Acme Communications Inc. 1,500 27,375
+Adelphia Communications Corp. "A" 7,097 332,672
+AMFM Inc. 13,531 933,639
Banta Corp. 1,294 24,505
+Beasley Broadcast Group Inc. "A" 1,400 19,075
Belo (A.H.) Corp. 6,494 112,427
BHC Communications Inc. "A" 1,307 196,213
+Big City Radio Inc. 1,400 7,088
+Cablevision Systems Corp. 8,109 550,398
Central Newspapers Inc. "A" 1,874 118,531
+Charter Communications Inc. 9,600 157,800
+Chris-Craft Industries Inc. 2,263 149,499
+Citadel Communications Corp. 2,150 75,116
+Classic Communications Inc. "A" 1,770 15,819
Courier Corp. 300 8,475
+Cox Radio Inc. "A" 1,365 38,220
+Crown Media Holdings Inc. 1,898 29,063
+CTN Media Group Inc. 638 3,429
+Cumulus Media Inc. 2,227 20,321
+Daily Journal Corp. 119 3,421
+Emmis Communications Corp. 2,574 106,499
+Entercom Communications Corp. 1,800 87,750
+Fox Entertainment Group Inc. 11,203 340,291
+Granite Broadcasting Corp. 1,368 10,089
Gray Communications Systems Inc. 694 6,810
Gray Communications Systems Inc. "B" 771 7,517
+Hearst-Argyle Television Inc. 2,673 52,124
+Hispanic Broadcasting Corp. 6,746 223,461
Hollinger International Inc. 5,722 77,962
Houghton Mifflin Co. 1,647 76,894
+HyperFeed Technologies Inc. 997 3,614
+IDG Books Worldwide Inc. 1,326 12,017
+Infinity Broadcasting Corp. 23,273 848,010
+Information Holdings Inc. 1,958 72,446
+Insight Communications Co. Inc. 2,900 45,313
</TABLE>
109
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
---------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
---------------------------------------------------------------
COMMON STOCKS--(Continued)
---------------------------------------------------------------
+Interep National Radio Sales Inc. "A" 840 $ 4,463
+Journal Register Co. 2,867 52,323
Lee Enterprises Inc. 2,293 53,456
+Liberty Digital Inc. "A" 1,400 42,000
+Lodgenet Entertainment Corp. 900 21,825
+Loronix Information Systems Inc. 300 10,781
+Mastec Inc. 3,042 116,166
McClatchy Co. (The) "A" 2,899 96,029
Media General Inc. "A" 1,897 92,123
+Mediacom Communications Corp. 4,250 65,344
+National Wireless Holdings Inc. 146 3,194
Nelson (Thomas) Inc. 544 4,658
+New Frontier Media Inc. 1,500 10,969
+On Command Corp. 1,949 27,773
+Paxson Communications Corp. 4,748 40,358
+Pegasus Communications Corp. 2,012 98,714
+Playboy Enterprises Inc. "B" 1,498 19,287
+Price Communications Corp. 3,564 83,977
+Primedia Inc. 8,971 204,090
Pulitzer Inc. 1,006 42,441
+Radio One Inc. 1,500 44,344
+Radio One Inc. "D" 3,000 66,188
+Radio Unica Corp. 2,100 14,700
+Rare Medium Group Inc. 3,115 49,256
Readers Digest Association "A" 6,294 250,187
+Regent Communications Inc. 3,200 27,500
+Saga Communications Inc. 715 15,730
+Scholastic Corp. 930 56,846
Scripps (E.W.) Company 4,711 232,017
+Sinclair Broadcast Group "A" 4,099 45,089
+Spanish Broadcasting System Inc. "A" 1,400 28,788
+TCI Satellite Entertainment Group "A" 3,100 26,931
+TiVo Inc. 2,000 70,000
+TV Guide Inc. 9,788 335,239
United Television Inc. 520 66,950
+UnitedGlobalCom Inc. "A" 5,046 235,901
+Univision Communications Inc. 6,357 657,950
+USA Networks Inc. 17,563 379,800
+Valley Media Inc. 300 1,050
+VDI MultiMedia 400 2,800
Washington Post Company (The) "B" 550 262,900
Wiley (John) & Sons Inc. "A" 4,834 108,765
+Wink Communications Inc. 1,600 48,800
+XM Satellite Radio Holdings Inc. "A" 2,000 74,875
+Youthstream Media Networks Inc. 2,318 13,039
+Ziff-Davis Inc. 5,874 52,866
------------
9,052,365
------------
</TABLE>
<TABLE>
---------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------
Metal Fabricate/Hardware--0.05%
Circor International Inc. 1 $ 4
Gibraltar Steel Corp. 1,160 16,240
Kaydon Corp. 1,638 34,398
NN Inc. 662 6,951
+Olympic Steel Inc. 394 1,379
Precision Castparts Corp. 1,289 58,327
------------
117,299
------------
Metals--Diversified--0.49%
+Alliant Techsystems Inc. 491 33,112
Ameron Inc. 148 5,291
Aptargroup Inc. 1,812 48,924
+Atchison Casting Corp. 457 2,628
Belden Inc. 1,088 27,880
Butler Manufacturing Co. 275 4,675
Carpenter Technology Corp. 1,180 24,928
Century Aluminum Co. 1,537 16,715
+Chase Industries Inc. 406 3,781
+Chief Consolidated Mining Co. 300 1,106
Cleveland-Cliffs Inc. 641 16,546
Commercial Metals Co. 870 23,925
CompX International Inc. 326 6,622
Curtiss Wright Corp. 1,056 39,270
Edelbrock Corp. 234 2,355
+Edison Control Corp. 100 825
+Encore Wire Corp. 601 3,230
Federal Screw Works 48 1,968
+General Bearing Corp. 200 975
General Cable Corp. 3,747 30,444
+Griffon Corporation 1,385 7,704
IMCO Recycling Inc. 1,013 5,508
Insteel Industries Inc. 377 2,333
International Aluminium Corp. 158 2,726
+Kaiser Aluminum Corp. 3,541 14,164
+Keystone Consolidated Industries Inc. 500 1,875
+Ladish Co Inc. 512 4,992
Lindberg Corp. 262 1,867
+Lone Star Technologies 1,606 74,278
Matthews International Corp. 1,787 51,823
+Maverick Tube Corp. 1,669 48,610
+MAXXAM Inc. 413 7,331
+Miller Building Systems Inc. 600 4,350
+Mueller Industries Inc. 2,801 78,428
National Steel Corp. "B" 4,836 20,251
+NCI Building Systems Inc. 1,807 36,592
+Niagara Corp. 600 2,475
+Northwest Pipe Co. 337 4,002
+NS Group Inc. 1,934 40,493
+Optical Cable Corp. 2,101 63,555
+OroAmerica Inc. 284 1,970
Reliance Steel & Aluminum Co. 1,537 29,395
Roanoke Electrics Steel Corp. 1,008 12,600
Schnitzer Steel Industries Inc. "A" 248 3,937
+Shaw Group Inc. 1,335 62,912
+Shiloh Industries Inc. 2,882 27,559
SIFCO Industries Inc. 231 1,444
Steel Technologies Inc. 438 3,121
+Stillwater Mining Co. 2,120 59,095
</TABLE>
110
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------------
Common Stocks--(Continued)
-------------------------------------------------------------------
Sturm Ruger & Co. Inc. 1,592 $ 14,129
Sun Hydraulics Corporation 284 2,379
Superior Telecom Inc. 2,127 21,137
Synalloy Corp. 300 2,133
Texas Industries Inc. 1,149 33,177
+Thermo Terratech Inc. 2,300 18,400
+Tower Automotive Inc. 2,268 28,350
TransPro Inc. 400 2,025
Tredegar Corporation 2,217 42,123
United Dominion Industries Ltd. 2,112 35,904
+Universal Stainless & Alloy Products Inc. 300 2,006
USEC Inc. 5,274 24,392
+Webco Industries Inc. 400 1,225
+WHX Corp. 856 4,708
+Wolverine Tube Inc. 628 10,676
+Xceed Inc. 1,008 9,198
------------
1,222,552
------------
Mining--0.04%
Arch Coal Inc. 5,065 38,937
Brush Wellman Inc. 704 11,000
+Charles & Colvard Ltd. 311 2,177
+Meridian Gold Inc. 4,594 28,138
Penn Virginia Corp. 330 8,126
------------
88,378
------------
Office/Business Equipment--0.34%
+Actrade International Ltd. 515 10,558
+ATEC Group Inc. 1,299 2,760
+Cytyc Corp. 1,986 106,003
+Digi International Inc. 2,013 13,085
+Fisher Scientific International Inc. 2,191 54,227
HON Industries Inc. 4,562 107,207
+Insight Enterprises Inc. 1,515 89,858
+Keravision Inc. 1,670 8,037
Miller (Herman) Inc. 5,446 140,915
+1-800 Contacts Inc. 387 18,189
Owens & Minor Inc. 3,957 68,011
+Parkervision Inc. 1,320 66,578
+Patterson Dental Co. 1,990 101,490
+Performance Technologies Inc. 1,187 10,090
+PSS World Medical Inc. 3,348 22,494
+Savoir Technology Group Inc. 691 4,880
TAB Products Co. 100 400
Vital Sign Inc. 869 15,751
------------
840,533
------------
Oil & Gas Producers--2.92%
+Able Energy Inc. 400 2,100
Adams Resources & Energy Inc. 1,100 14,713
Apco Argentina Inc. 771 20,046
Atmos Energy Corp. 1,553 27,178
+Atwood Oceanics Inc. 702 31,239
+Barrett Resources Corp. 1,827 55,609
+Basin Exploration Inc. 1,613 28,832
+Belco Oil & Gas Corp. 4,065 34,553
+Bellwether Exploration Co. 2,033 16,899
Berry Petroleum Co. 2,178 37,026
+Blue Dolphin Energy Co. 2,300 10,925
</TABLE>
<TABLE>
----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------
BP Prudhoe Bay Royalty Trust 1,189 $ 14,194
Cabot Oil & Gas Corp. "A" 1,115 23,624
+Cal Dive International Inc. 836 45,301
+Callon Petroleum Corp. 1,059 15,753
Cascade Natural Gas Corp. 1,107 18,473
Castle Energy Corp. 393 2,469
+Chesapeake Energy Corp. 4,300 33,325
Chesapeake Utilities Corp. 187 3,319
+Clayton Williams Energy Inc. 1,100 35,131
Cross Timbers Oil Co. 2,285 50,556
+Crown Central Peteroleum Corp. "B" 1,650 14,953
CTG Resources Inc. 319 11,703
+Dawson Geophysical Co. 400 4,500
+Denbury Resources Inc. 4,397 22,809
Devon Energy Corp. 5,303 297,962
Diamond Offshore Drilling Inc. 8,576 301,232
+Eagle Geophysical Inc. 2,755 14
Energen Corp. 1,408 30,712
Energynorth Inc. 122 7,229
Energysouth Inc. 179 3,379
ENSCO International Inc. 8,356 299,249
EOG Resources Inc. 7,576 253,796
Equitable Resources Inc. 1,961 94,618
+Evergreen Resources Inc. 1,493 44,230
+EXCO Resources Inc. 700 7,000
+Forest Oil Corp. 2,546 40,577
+FX Energy Inc. 583 3,316
+Giant Industries Inc. 484 3,812
+Global Marine Inc. 10,856 306,004
+Greka Energy Corp. 200 1,825
+Grey Wolf Inc. 9,565 47,825
+Hallwood Energy Corp. 637 5,213
+Hanover Compressor Co. 3,152 119,776
Helmerich & Payne Inc. 2,700 100,913
Holly Corp. 904 10,735
+Houston Exploration Co. 2,369 59,521
Howell Corp. 2,100 19,950
+HS Resources Inc. 1,685 50,550
+Key Energy Group Inc. 4,718 45,411
+Key Productions Co. Inc. 515 9,013
Kinder Morgan Inc. 7,069 244,322
Laclede Gas Co. 1,888 36,344
+Louis Dreyfus Natural Gas Corp. 3,394 106,275
+Magnum Hunter Resources Inc. 800 5,301
+Mallon Resources Corp. 4,900 43,488
+Marine Drilling Co. Inc. 3,041 85,148
+MarkWest Hydrocarbon Inc. 1,779 15,010
+McMoRan Exploration Co. 619 10,214
MDU Resources Group Inc. 3,172 68,595
+Mercury Air Group Inc. 294 1,470
+Meridian Resource Corp. (The) 1,900 10,806
Midcoast Energy Resources Inc. 862 13,577
Mitchell Energy & Development Corp. "A" 2,597 83,429
Murphy Oil Corp. 2,711 161,135
+Nabors Industries Inc. 8,783 365,043
+National-Oilwell Inc. 5,783 190,115
New Jersey Resources Corp. 696 26,492
+Newfield Exploration Co. 2,702 105,716
</TABLE>
111
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
---------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
---------------------------------------------------------
Common Stocks--(Continued)
---------------------------------------------------------
Noble Affiliates Inc. 4,149 $ 154,550
+Noble Drilling Corp. 8,264 340,374
Northwest Natural Gas Co. 1,209 27,051
+Nuevo Energy Co. 1,327 25,047
NUI Corp. 1,366 36,882
+Ocean Energy Inc. 11,362 161,199
+Oceaneering International Inc. 1,332 25,308
+Parker Drilling Co. 6,495 40,188
Patina Oil & Gas Corp. 2,300 47,725
+Patterson Energy Inc. 2,100 59,850
+Pennaco Energy Inc. 1,400 22,925
+Petroleum Development Corp. 2,500 12,813
Piedmont Natural Gas Co. 1,471 39,073
+Pioneer Natural Resources Co. 4,883 62,258
Pogo Producing Co. 2,195 48,564
+Pride International Inc. 4,254 105,287
+Prima Energy Corp. 387 20,705
Providence Energy Corp. 220 8,910
+R&B Falcon Corporation 11,810 278,273
+Remington Oil & Gas Corp. 1,700 12,750
+Santa Fe Snyder Corp. 11,029 125,455
+Seacor Smit Inc. 851 32,904
+Seitel Inc. 1,364 11,083
Semco Energy Inc. 800 10,400
+Southern Union Co. 2,507 39,648
Southwest Gas Co. 1,656 28,980
+Spinnaker Exploration Co. 1,300 33,313
St. Mary Land & Exploration Co. 1,199 50,433
+Stone Energy Corp. 974 58,197
+Superior Energy Services Inc. 3,300 34,238
+Swift Energy Co. 1,629 46,223
+Tesoro Petroleum Corp. 3,192 32,319
+Tom Brown Inc. 1,879 43,334
UGI Corp. 1,570 32,185
Ultramar Diamond Shamrock Corp. 4,919 122,053
+Unit Corp. 2,349 31,712
+UTI Energy Corp. 866 34,748
Valero Energy Corp. 3,498 111,062
Valley Resources Inc. 222 5,356
Vastar Resources Inc. 6,056 497,349
WD-40 Company 1,899 39,404
Western Gas Resources Inc. 1,785 37,485
------------
7,299,185
------------
Oil & Gas Services--0.61%
+BJ Services Co. 4,836 302,250
+Cooper Cameron Corp. 3,281 216,546
+Friede Goldman Halter Inc. 3,924 35,071
+Grant Prideco Inc. 6,860 171,500
+Input/Output Inc. 5,654 47,706
+Smith International Inc. 2,953 215,015
Tidewater Inc. 4,138 148,968
+Varco International Inc. 5,249 122,039
+Weatherford International Inc. 6,860 273,114
------------
1,532,209
------------
Packaging & Containers--0.21%
American National Can Group Inc. 3,400 57,375
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
+Astronics Corp. 299 $ 2,766
+BWAY Corporation 443 2,935
Greif Brothers Corp. "A" 1,325 40,744
Longview Fibre Co. 2,812 31,108
+Packaging Corporation of America 5,350 54,169
+Silgan Holdings Inc. 2,654 26,042
+Smurfit-Stone Container Corp. 12,916 166,294
Sonoco Products Co. 7,046 144,883
------------
526,316
------------
Pharmaceuticals--3.34%
+Abgenix Inc. 2,416 289,580
+Akorn Inc. 2,709 21,503
+Alexion Pharmaceuticals Inc. 1,216 86,944
+Alkermes Inc. 3,692 173,986
+Alliance Pharmaceutical Corp. 3,200 36,000
+Allou Health & Beauty Care Inc. "A" 261 1,876
Alpharma Inc. 2,695 167,764
+Amerisource Health Corp. "A" 3,092 95,852
+Amylin Pharmaceuticals Inc. 2,700 41,006
+Andrx Corp. 3,800 242,903
+Anika Therapeutics Inc. 400 700
+Antigenics Inc. 2,200 36,575
+Aphton Corp. 1,032 26,574
+Arqule Inc. 2,044 39,603
+AVI BioPharma Inc. 2,900 28,638
+Aviron 1,303 40,230
+Axys Pharmaceuticals Inc. 3,011 17,878
+Barr Laboratories Inc. 3,152 141,227
Bergen Brunswig Corp. "A" 6,921 38,066
Bindley Western Industries Inc. 2,917 77,118
+Biocryst Pharmaceuticals Inc. 1,965 56,371
+Biomatrix Inc. 1,316 29,775
+Biopure Corp. 1,400 26,338
+Biotime Inc. 470 3,319
+Bone Care International Inc. 3,173 74,764
+Boston Life Sciences Inc. 1,793 15,857
+Cell Genesys Inc. 3,259 91,252
+Cell Pathways Inc. 1,694 39,809
+Cell Therapeutics Inc. 1,890 57,881
+Cellegy Pharmaceuticals Inc. 2,300 18,975
+Chirex Inc. 1,137 22,740
+CIMA Labs Inc. 2,100 42,525
+CollaGenex Pharmaceuticals Inc. 4,116 38,588
+Columbia Laboratories Inc. 1,757 10,103
+Connetics Corp. 1,637 24,043
+Corixa Corp. 1,277 54,831
+Corvas International Inc. 2,500 30,000
+Coulter Pharmaceutical Inc. 933 19,127
+Crescendo Pharmaceuticals Corp. 2,000 40,250
+Cytoclonal Pharmaceuticals Inc. 3,956 40,055
+D&K Healthcare Resources Inc. 1,638 17,097
Dentsply International Inc. 2,948 90,835
+Digene Corp. 1,028 41,506
</TABLE>
112
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
----------------------------------------------------------
COMMON STOCKS--(Continued)
----------------------------------------------------------
+Dura Pharmaceuticals Inc. 2,874 $ 41,314
+Duramed Pharmaceuticals Inc. 2,262 12,300
+Epix Medical Inc. 1,921 28,575
+Forest Laboratories Inc. "A" 6,049 610,949
+Geltex Pharaceuticals Inc. 2,148 43,900
+Genta Inc. 2,100 13,650
+Genzyme Transgenics Corp. 1,776 48,174
+Geron Corp. 2,194 70,208
+Gilead Sciences Inc. 2,649 188,410
+Guest Supply Inc. 282 5,129
+Guilford Pharmaceuticals Inc. 1,220 18,376
+Hemispherx Biopharma Inc. 1,810 10,181
+Henry Schein Inc. 2,680 46,230
Herbalife International Inc. "A" 5,868 51,345
+Hi-Tech Pharmacal Co. 2,400 10,350
+Hyseq Inc. 1,678 76,244
ICN Pharmaceuticals Inc. 5,623 156,390
+Ilex Oncology Inc. 1,266 44,627
+Imclone Systems Inc. 1,801 137,664
+Immucor Inc. 333 1,873
+Immune Response Corp. 1,365 14,844
+Immunogen Inc. 4,500 54,281
+Inhale Therapeutic Systems Inc. 1,502 152,406
+Inkine Pharmaceutical Co. 2,800 13,650
+International Isotopes Inc. 392 1,691
+IVAX Corporation 10,604 440,066
Jones Pharma Inc. 4,493 179,439
+King Pharmaceuticals Inc. 5,720 250,943
+Kos Pharmaceuticals Inc. 1,853 29,764
+KV Pharmaceutical Co. "A" 2,228 59,042
+Lifecore Biomedical Inc. 1,356 10,679
+Ligand Pharmaceuticals Inc. "B" 1,382 18,225
+Magainin Pharmaceuticals Inc. 1,822 8,427
+Martek Biosciences Corp. 1,748 32,775
+Medarex Inc. 2,064 174,408
+Medical Manager Corp. 2,050 69,828
+Medicis Pharmaceutical Corp. "A" 2,143 122,151
Meridian Diagnostics Inc. 6,730 52,578
+MGI Pharma Inc. 833 23,962
+Microcide Pharmaceuticals Inc. 2,892 24,944
+Miravant Medical Technologies 1,191 26,574
Mylan Laboratories Inc. 10,654 194,436
+NABI Inc. 3,300 24,131
+Nastech Pharmaceutical Co. Inc. 3,000 13,594
+Natrol Inc. 2,290 7,443
+NBTY Inc. 3,730 23,779
+Neose Technologies Inc. 1,153 48,498
+Neurocrine Biosciences Inc. 1,371 48,756
+Northfield Laboratories Inc. 820 13,376
+NPS Pharmaceuticals Inc. 1,351 36,139
+Nu Skin Asia Pacific Inc. "A" 3,109 17,877
Omnicare Inc. 5,605 50,795
+OSI Pharmaceuticals Inc. 2,198 63,330
+Pathogenesis Corp. 1,229 31,954
+Perrigo Co. 7,576 47,824
</TABLE>
<TABLE>
-------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------------
+Pharmacyclics Inc. 956 $ 58,316
+Priority Healthcare Corp. "B" 1,338 99,430
+Progenics Pharmeceuticals Inc. 610 8,693
+Protein Design Labs Inc. 1,130 186,397
+Sangstat Medical Corp. 1,921 55,469
+Schein Pharmaceutical Inc. 3,250 70,281
+Sciclone Pharmaceuticals Inc. 1,900 24,581
+Sepracor Inc. 4,546 548,361
+Serologicals Corp. 1,087 5,435
+SICOR Inc. 4,863 38,904
+Supergen Inc. 1,451 52,599
+Sybron International Corp. 6,518 129,138
+Synaptic Pharmaceutical Corp. 1,694 8,682
+Texas Biotech Corp. 4,257 80,883
+Titan Pharmaceuticals Inc. 1,487 63,941
+Triangle Pharmaceuticals Inc. 3,876 35,126
+Tularik Inc. 2,536 74,812
+Twinlab Corp. 2,806 17,888
+United Therapeutics Inc. 1,400 151,725
+V.I. Technologies Inc. 1,752 12,264
+VaxGen Inc. 900 19,688
+Vical Inc. 883 16,998
+Vion Pharmaceuticals Inc. 2,523 18,923
+Viropharma Inc. 2,523 39,422
+VIVUS Inc. 2,800 19,425
+Zonagen Inc. 1,801 5,881
------------
8,331,824
------------
Pipelines--0.32%
Dynegy Inc. 8,736 596,778
National Fuel Gas Co. 1,920 93,600
Questar Corp. 6,090 117,994
------------
808,372
------------
Real Estate--1.34%
Acadia Realty Trust 1,437 8,173
Aegis Realty Inc. 460 4,571
Agree Realty Corp. 294 4,888
Alexandria Real Estate Equity 662 22,715
Ameresco Capital Trust 369 3,736
+American Community Property Trust 600 2,475
+American Realty Trust Inc. 581 5,520
American Residential Investment Trust Inc. 560 2,310
Amerivest Properties Inc. 700 3,063
Amli Residential Properties Trust 2,144 50,518
Annaly Mortgage Management Inc. 766 6,798
Anthracite Capital Inc. 1,137 8,101
Apex Mortgage Capital Inc. 357 3,035
Arizona Land Income Corp. "A" 500 2,156
Asset Investor Corp. 324 3,827
Associated Estates Realty Corp. 1,233 8,631
Atlantic Realty Trust Inc. 400 2,975
Banyan Strategic Realty Trust 797 4,583
Bedford Property Investors Inc. 2,913 54,073
</TABLE>
113
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+BF Enterprises Inc. 200 $ 1,550
Boykin Lodging Co. 928 12,528
Bradley Real Estate Inc. 1,266 26,982
Brandywine Realty Trust 2,800 53,550
BRE Properties Inc. 3,577 103,286
+BRT Realty Trust 500 4,000
Cabot Industrial Trust 2,031 39,985
+California Coastal Communities Inc. 535 3,143
Captec Net Lease Realty Inc. 550 6,050
+Catellus Development Corp. 7,676 115,140
CBL & Associates Properties Inc. 1,282 31,970
Centerpoint Properties Corp. 1,038 42,299
Chateau Communities Inc. 1,447 40,878
Chelsea GCA Realty Inc. 795 27,477
+Cherokee Inc. 389 3,477
Colonial Properties Trust 1,165 31,892
Commercial Net Lease Realty Inc. 4,713 49,487
Consolidated-Tomoka Land Co. 235 2,849
Cornerstone Realty Income Trust 4,949 49,490
Corporate Office Properties Trust 1,007 9,252
Correctional Properties Trust 462 4,851
+CoStar Group Inc. 728 18,246
Cousins Properties Inc. 2,418 93,093
Cross Timbers Royalty Trust 368 5,083
Crown American Realty Trust 1,466 7,880
Developers Diversified Realty Corp. 2,963 44,260
Eastgroup Properties Inc. 829 17,461
Entertainment Properties Trust 811 11,202
Equity Inns Inc. 6,529 39,990
Equity One Inc. 677 6,516
First Industrial Realty Trust 2,897 85,462
First Washington Realty Trust 515 11,362
Forest City Enterprises Inc. "A" 1,541 51,431
G & L Realty Corp. 281 2,037
Gables Residential Trust 1,271 32,808
Getty Realty Corp. 1,300 14,138
Glenborough Realty Trust Inc. 1,619 28,231
Glimcher Realty Trust 3,760 54,050
Golf Trust of America 481 7,636
Grove Property Trust 503 8,174
+Grubb And Ellis Co. 2,027 11,909
Healthcare Realty Trust 1,986 33,886
+HMG/Courtland Properties Inc. 700 4,813
Home Properties of NY Inc. 1,054 31,620
+HomeServices.com Inc. 800 9,000
Humphrey Hospitality Trust Inc. 660 5,239
Impac Commercial Holdings Inc. 585 3,400
Income Opportunity Realty Investors Inc. 2,400 17,400
Innkeepers USA Trust 5,629 51,365
</TABLE>
<TABLE>
------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------------
+Insignia Financial Group Inc. 2,357 $ 23,570
Investors Real Estate Trust 1,142 8,779
IRT Property Co. 6,387 54,290
Jameson Inns Inc. 641 4,727
JDN Realty Corp. 4,362 44,438
+Jones Lang LaSalle Inc. 3,226 43,148
JP Realty Inc. 2,389 42,554
+Kennedy-Wilson Inc. 1,098 5,833
Kilroy Realty Corp. 1,436 37,246
Koger Equity Inc. 1,389 23,439
LaSalle Hotel Properties 861 12,377
Lexington Corp. 934 10,449
LNR Property Corp. 1,320 25,740
LTC Properties Inc. 1,445 8,580
Macerich Co. (The) 1,654 36,491
Malan Realty Investors Inc. 331 4,613
Manufactured Home Communities Inc. 1,268 30,353
+Mays (JW) Inc. 600 3,000
Meristar Hospitality Corp. 2,369 49,749
Mid Atlantic Realty Trust 820 8,200
Mid-America Apartment Communities Inc. 942 22,608
Mills Corp. 1,180 22,199
Monmouth Real Estate Investment Corp. "A" 2,500 12,813
National Golf Properties Inc. 2,360 49,855
National Health Investors Inc. 4,195 46,145
National Health Realty Inc. 548 4,418
Nationwide Health Properties Inc. 2,267 31,596
One Liberty Properties Inc. 200 2,188
Pacific Gulf Properties Inc. 2,495 62,531
Pan Pacific Retail Properties Inc. 2,846 57,276
Parkway Properties Inc. 552 16,836
Philips International Realty Corp. 470 8,166
Pittsburgh & West Virginia Railroad 400 2,750
Prentiss Properties Trust 1,841 44,184
Presidential Realty Corp. "B" 400 2,800
+Price Enterprises Inc. 800 5,375
Prime Group Realty Trust 857 13,016
PS Business Parks Inc. 1,157 27,768
Ramco-Gershenson Properties Trust 462 7,132
Realty Income Corp. 1,799 42,389
Reckson Associates Realty Corp. 1,990 47,265
Redwood Trust Inc. 517 7,238
Regency Realty Corp. 3,440 81,700
Resource Asset Investment Trust 375 4,125
RFS Hotel Investors Inc. 4,113 48,328
Roberts Realty Investors Inc. 400 2,850
Shurgard Storage Centers Inc. 1,879 42,278
Sizeler Property Investors Inc. 557 4,178
Sl Green Realty Corp. 1,271 33,999
Smith (Charles E) Residential Realty Inc. 982 37,316
Sovran Self Storage Inc. 679 14,556
</TABLE>
114
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Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<S> <C> <C> <C> <C> <C> <C> <C> <C>
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COMMON STOCKS--(Continued)
--------------------------------------------------------------------------------
St. Joe Company (The) 5,324 $ 159,720
Storage USA Inc. 1,440 42,480
+Stratus Properties Inc. 639 2,716
Summit Properties Inc. 1,437 30,177
Sun Communities Inc. 863 28,857
Tanger Factory Outlet Centers
Inc. 391 9,189
Tarragon Realty Investors Inc. 508 5,334
Taubman Centers Inc. 2,667 29,337
Thornbury Mortgage Asset Corp. 1,192 8,568
Town & Country Trust 2,581 44,361
+Trammell Crow Co. 1,832 19,694
Transcontinental Realty
Investments Inc. 838 10,213
+United Capital Corp. 690 9,229
United Investors Realty Trust 624 3,686
United Mobile Homes Inc. 522 4,307
+United Park City Mines Co. 119 2,663
Universal Health Realty Inc. 530 10,037
Urban Shopping Centers Inc. 875 29,477
Urstadt Biddle Properties Inc. 400 2,725
Urstadt Biddle Properties Inc.
"A" 400 2,850
W.P. Carey & Co. LLC 1,332 21,812
+Winfield Capital Corp. 324 3,969
Winston Hotels Inc. 901 6,758
------------
3,341,589
------------
Real Estate Investment Trusts--2.16%
AMB Property Corp. 4,742 108,177
American Industrial Properties 3,592 48,717
American Mortgage Acceptance
Corp. 300 2,531
Apartment Investment &
Management Co. "A" 4,031 174,341
Archstone Communities Trust 8,411 177,157
Arden Realty Inc. 5,192 122,012
AvalonBay Communities Inc. 3,956 165,163
BNP Residential Properties
Inc. 366 3,065
Boston Properties Inc. 4,242 163,847
Camden Property Trust 2,993 87,919
Capstead Mortgage Corp. 1,476 12,362
CarrAmerica Realty Corp. 5,010 132,765
Commercial Assets Inc. 9,563 47,815
Crescent Real Estate Equities
Co. 7,713 158,117
Duke-Weeks Realty Corp. 8,358 187,010
Equity Office Properties Trust 17,910 493,644
Equity Residential Properties
Trust 5,720 263,120
Essex Property Trust Inc. 944 39,648
Federal Realty Investment
Trust 1,991 39,820
FelCor Lodging Trust Inc. 5,537 102,435
Franchise Finance Corporation
of America 3,892 89,516
</TABLE>
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------
General Growth Properties Inc. 3,506 $ 111,316
Great Lakes Inc. 3,319 56,423
Health Care Inc. 1,454 23,628
Health Care Property Investors
Inc. 3,557 96,928
Highwoods Properties Inc. 4,559 109,416
Hospitality Properties Trust 4,435 100,065
Host Marriott Corp. 12,760 119,625
HRPT Properties Trust 10,785 74,821
Keystone Property Trust 471 6,476
Kimco Realty Corp. 3,682 150,962
Kramont Realty Trust 1,181 11,072
Liberty Property Trust 4,733 122,762
Mack-Cali Realty Corp. 4,258 109,377
Maxus Realty Trust Inc. 400 2,600
Mission West Properties Inc. 2,400 25,200
New Plan Excel Realty Trust 6,847 89,011
Post Properties Inc. 2,501 110,044
Prologis Trust 9,976 212,607
Public Storage Inc. 8,094 189,703
Rouse Co. 5,269 130,408
Senior Housing Properties
Trust 4,318 34,274
Simon Property Group Inc. 9,018 200,087
Spieker Properties Inc. 3,937 186,023
United Dominion Realty Trust 8,834 97,174
USP Trust 700 4,550
Vornado Realty Trust 5,268 183,063
Washington Trust 1,796 32,104
Weingarten Realty Investors 1,893 76,430
Western Properties Trust 934 11,091
Westfield America Inc. 6,581 89,255
------------
5,385,676
------------
Retail--3.47%
+Abercrombie & Fitch Co. 6,120 74,588
+AC Moore Arts & Crafts Inc. 2,000 12,750
+Action Performance Companies
Inc. 1,745 12,651
Advanced Marketing Services
Inc. 1,066 19,654
+Alexander's Inc. 723 52,960
+Amazon.com Inc. 21,764 790,305
+American Eagle Outfitters
Inc. 2,570 35,980
+Ames Department Stores Inc. 1,336 10,354
+AnnTaylor Stores Corp. 2,047 67,807
+Ashworth Inc. 629 2,811
+AutoNation Inc. 24,098 170,192
Baker (J.) Inc. 729 4,237
+Barnes & Noble Inc. 3,968 88,288
+Bebe Stores Inc. 2,424 20,301
+Bell Microproducts Inc. 395 7,258
Big Dog Holdings Inc. 541 2,232
+BJ's Wholesale Club Inc. 4,872 160,776
Blair Corp. 1,128 20,868
Blockbuster Inc. 1,800 17,438
+Bluefly Inc. 200 438
Bob Evans Farms Inc. 3,833 57,255
+Books-A-Million Inc. 1,043 4,824
+Borders Group Inc. 4,435 69,020
+BOWLIN Outdoor Advertising
& Travel Centers Inc. 200 1,275
</TABLE>
115
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Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
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<S> <C> <C>
----------------------------------------------------------------
COMMON STOCKS--(Continued)
----------------------------------------------------------------
+Boyds Collection Ltd. (The) 5,400 $ 45,900
+Braun's Fashions Corp. 450 16,509
+Brinker International Inc. 3,633 106,265
+Brookstone Inc. 397 3,809
Brown Shoe Company Inc. 1,708 22,204
+Buckle Inc. (The) 1,682 19,764
Burlington Coat Factory Warehouse Corp. 3,019 32,643
+buy.com Inc. 6,824 34,333
+Cache Inc. 400 1,475
Casey's General Store Inc. 3,854 39,985
Cash American Investments Inc. 2,722 20,075
Cato Corp. "A" 1,513 17,589
CBRL Group Inc. 3,936 57,810
+CDW Computer Centers Inc. 5,444 340,250
+Central Garden & Pet Co. 1,332 11,946
+Charlotte Russe Holding Inc. 1,900 19,950
+Charming Shoppes Inc. 6,277 31,973
+Chico's FAS Inc. 1,716 34,320
+Children's Place Retail Stores Inc. 2,311 47,376
Claire's Stores Inc. 3,172 61,061
+Coldwater Creek Inc. 1,075 32,384
+Cost Plus Inc. 1,883 54,019
+CSK Auto Corp. 2,542 19,224
+Cyberian Outpost Inc. 2,009 9,668
+Dallas Gold and Silver Exchange Inc. 400 3,000
+Damark International Inc. "A" 284 6,106
+Dave & Buster's Inc. 781 4,832
+David's Bridal Inc. 1,600 18,500
Deb Shops Inc. 1,184 14,800
+Dollar Tree Stores Inc. 6,069 240,105
+Dress Barn Inc. 2,018 44,648
+Drugstore.com Inc. 3,300 24,853
+Duane Reade Inc. 1,259 32,419
+Duckwall-Alco Stores Inc. 227 1,873
+eBay Inc. 16,206 880,188
+Egghead.com Inc. 3,787 11,124
+Elder-Beerman Stores Corp. 779 3,213
+Electronics Boutique Holdings Corp. 1,502 24,595
+eToys Inc. 8,800 55,825
+Factory 2-U Stores Inc. 923 34,901
Family Dollar Stores Inc. 10,604 207,441
Fastenal Co. 2,097 106,161
+Filene's Basement Corp. 900 10
+Finlay Enterprises Inc. 583 7,579
+Footstar Inc. 1,097 36,475
Fred's Inc. 1,040 18,720
+FreeMarkets Inc. 2,171 102,987
Friedman's Inc. 739 3,649
+Gadzooks Inc. 697 8,092
+Gart Sports Co. 343 2,058
+GC Companies Inc. 584 13,067
+Genesis Direct Inc. 1,193 6
+Gerald Stevens Inc. 4,261 6,125
+Globe Business Resources Inc. 808 10,504
+Goody's Family Clothing Inc. 3,491 19,201
+Guitar Center Inc. 2,198 23,079
Haverty Furniture Companies Inc. 1,222 10,387
</TABLE>
<TABLE>
------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------
+Hibbet Sporting Goods Inc. 336 $ 7,896
+HomeGrocer.com Inc. 7,905 47,677
+Hot Topic Inc. 832 26,624
+iGo Corp. 1,000 3,875
+Intertan Inc. 2,653 31,173
Intimate Brands Inc. 31,750 627,063
+Jacobson Stores Inc. 200 1,000
+Jill (J.) Group Inc. (The) 454 2,951
+Jo-Ann Stores Inc. 1,102 7,714
+Joseph A. Bank Clothiers Inc. 300 1,163
+JumboSports Inc. 8,300 17
+Just For Feet Inc. 1,594 40
+Kenneth Cole Productions "A" 1,174 46,960
+Krispy Kreme Doughnuts Inc. 105 7,718
+Lands' End Inc. 1,852 61,811
Lillian Vernon Coporation 1,236 12,978
+Linens 'N Things Inc. 2,442 66,239
Lone Star Steakhouse & Saloon Inc. 1,749 17,709
+Marvel Enterprises Inc. 3,233 20,004
+Mazel Stores Inc. 408 3,417
+Men's Wearhouse Inc. (The) 2,396 53,461
+Michaels Stores Inc. 1,927 88,281
+Microage Inc. 1,143 366
+Mothers Work Inc. 900 10,125
+MP3.com Inc. 3,500 47,469
+MSC Industrial Direct Co. Inc. "A" 2,211 46,293
+Multiple Zones International Inc. 682 2,728
+Neiman-Marcus Group Inc. "A" 2,792 84,284
+Neoforma.com Inc. 6,838 48,080
+Network Commerce Inc. 3,100 17,050
+99 Cents Only Stores 2,006 79,989
+NPC International Inc. 2,293 20,565
+NuCo2 Inc. 322 2,576
+Nyer Medical Group Inc. 220 1,018
+OfficeMax Inc. 7,191 35,955
+O'Reilly Automotive Inc. 3,404 47,231
+Outback Steakhouse Inc. 4,394 128,525
+Pacific Sunwear of California Inc. 1,911 35,831
+Pantry Inc. (The) 1,400 12,950
+Payless Shoesource Inc. 1,804 94,146
+PC Connection Inc. 1,709 97,413
+Petco Animal Supplies Inc. 2,377 46,649
Pier 1 Imports Inc. 5,551 54,122
+Piercing Pagoda Inc. 436 6,322
+Priceline.com Inc. 10,522 399,672
+PurchasePro.com Inc. 1,800 73,800
+RDO Equipment Co. "A" 200 1,100
+Right Start (The) 3,600 16,425
Ross Stores Inc. 5,000 85,313
Ruby Tuesday Inc. 2,892 36,331
+Ryan's Family Steak Houses Inc. 2,791 23,549
+S&K Famous Brands Inc. 900 6,188
+Saks Inc. 8,562 89,901
+Samsonite Corp. 2,267 10,202
+School Specialty Inc. 1,352 25,097
+7-Eleven Inc. 5,009 68,874
+Shopko Stores Inc. 1,467 22,555
</TABLE>
116
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Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
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<S> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
--------------------------------------------------------------------------------
+Sound Advice Inc. 200 $ 1,913
Spiegel Inc. "A" 7,393 62,841
+Sport Chalet Inc. 300 1,388
+Stamps.com Inc. 4,200 30,713
+Stein Mart Inc. 4,129 42,322
+StyleSite Marketing Inc. 1,400 1
+Sunglass Hut International
Inc. 4,116 33,828
+Systemax Inc. 2,716 10,525
Talbots Inc. (The) 1,904 104,601
+Too Inc. 1,700 43,244
+Trans World Entertainment
Corp. 2,564 31,089
+Travis Boats & Motors Inc. 958 5,269
+Tuesday Morning Corp. 2,600 27,300
+Tweeter Home Entertainment
Group Inc. 1,064 32,319
+Urban Outfitters Inc. 1,453 12,805
+Value City Department Stores
Inc. 2,244 21,318
+Valuevision International
Inc. "A" 2,142 51,408
+Venator Group Inc. 8,363 85,721
+Ventro Corporation 2,900 54,738
+Webvan Group Inc. 1,300 9,466
+Wet Seal Inc. "A" 1,608 21,105
+Whitehall Jewellers Inc. 1,182 22,015
+Williams-Sonoma Inc. 3,388 109,898
+Wilsons The Leather Experts
Inc. 899 13,197
+Yankee Candle Co. Inc. (The) 3,500 75,688
+Zale Corp. 2,104 76,796
------------
8,657,290
------------
Semiconductors--3.26%
+Alliance Semiconductor Corp. 2,230 54,774
+Amkor Technology Inc. 7,973 281,547
+Applied Micro Circuits Corp. 7,648 755,240
+Atmel Corp. 13,910 512,931
+Broadcom Corp. 7,256 1,588,611
+Cirrus Logic Inc. 3,557 56,912
+Cypress Semiconductor Corp. 6,947 293,511
+General Semiconductor Inc. 2,258 33,306
+International Rectifier Corp. 4,005 224,280
+Lam Research Corp. 7,699 288,713
+Lattice Semiconductor Corp. 2,896 200,186
+Marvell Technology Group Ltd. 2,174 123,918
+MEMC Electronics Materials
Inc. 4,812 86,616
+Pericom Semiconductor Corp. 1,344 91,392
+Pixelworks Inc. 2,194 49,914
+QLogic Corp. 4,640 306,530
+Quantum Effect Devices Inc. 1,444 82,308
+Rambus Inc. 6,132 631,596
+SDL Inc. 4,624 1,318,707
+TriQuint Semiconductor Inc. 2,446 234,052
+Varian Semiconductor
Equipment Associates Inc. 1,730 108,666
+Vitesse Semiconductor Corp. 10,952 805,657
------------
8,129,367
------------
</TABLE>
<TABLE>
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<CAPTION>
Shares Value
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------
Software--7.69%
+Acxiom Corp. 5,072 $ 138,212
+Akamai Technologies Inc. 877 104,130
+America Online Inc. 789 41,617
+American Management Systems
Inc. 2,578 84,631
+Apropos Technology Inc. 1,300 25,838
+Ariba Inc. 12,100 1,186,367
+At Home Corp. "A" 22,107 458,720
+Avant! Corp. 4,417 82,750
+BEA Systems Inc. 15,452 763,908
+BroadVision Inc. 15,418 783,427
+Cadence Design Systems Inc. 15,871 323,372
+Caminus Corp. 760 18,620
+CareInsite Inc. 4,300 76,863
+Centillium Communications
Inc. 1,976 136,344
+ChoicePoint Inc. 2,568 114,276
+Chordiant Software Inc. 4,054 67,398
+CMGI Inc. 17,455 799,657
+CNET Networks Inc. 5,140 126,251
+Cobalt Group Inc. 2,600 17,875
+Computer Horizons Corp. 1,894 25,451
+Concentrix Inc. 225 900
+Concero Inc. 600 7,350
+Corillian Corp. 1,847 30,706
+Covad Communications Group
Inc. 9,111 146,915
+CSG Systems International
Inc. 2,998 168,075
+CyBear Inc. 1,500 4,031
+DigitalThink Inc. 1,990 71,391
+DoubleClick Inc. 7,444 283,803
+EarthLink Inc. 7,797 120,370
+Edwards (J.D.) & Co. 6,565 98,885
+Electronic Arts Inc. 4,227 308,307
+eMerge Interactive Inc. "A" 1,462 26,225
+Envision Development Corp. 600 15,600
+EPIQ Systems Inc. 207 2,251
+ePresence Inc. 2,346 17,009
+eXcelon Corp. 2,332 18,510
+Exodus Communications Inc. 22,840 1,052,068
+Extensity Inc. 1,120 38,360
+FirePond Inc. 1,751 63,036
+Fiserv Inc. 7,400 320,050
+Genuity Inc. 12,019 110,049
+Geoworks Corp. 1,120 17,640
+GraphOn Corp. 2,600 22,100
+Healtheon/WebMD Corp. 11,381 168,581
+HealthGate Data Corp. 900 1,463
+HealthStream Inc. 1,041 5,726
+HearMe Inc. 1,700 7,650
+Homestore.com Inc. 5,000 145,938
+i2 Technologies Inc. 11,367 1,185,187
+iBeam Broadcasting Corp. 6,497 116,946
+Information Resources Inc. 2,141 8,430
+Informix Corp. 17,525 130,342
+Infospace.com Inc. 14,000 773,500
+Inktomi Corp. 6,844 809,303
+Innoveda Inc. 2,888 13,177
+Internet Capital Group LLC 1,984 73,439
+Internet Pictures Corp. 3,221 48,718
+Intuit Inc. 12,353 511,105
</TABLE>
117
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June 30, 2000 (Unaudited)
<TABLE>
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<S> <C> <C>
--------------------------------------------------------------
COMMON STOCKS--(Continued)
--------------------------------------------------------------
+iVillage Inc. 2,800 $ 23,625
+JDA Software Group Inc. 2,263 43,421
+Keane Inc. 3,849 83,235
+L90 Inc. 1,900 19,950
+Lante Corp. 2,834 57,920
+Legato Systems Inc. 5,282 79,890
+LHS Group Inc. 3,343 115,334
+LifeMinders Inc. 1,600 47,300
+Lightning Rod Software Inc. 200 975
+Lightspan Inc. 4,460 24,530
+Loudeye Technologies Inc. 2,212 38,572
+Lycos Inc. 6,942 374,868
+Macromedia Inc. 3,189 308,336
+Manugistics Group, Inc. 1,779 83,168
+Mercator Software Inc. 1,682 115,638
National Data Corp. 1,916 44,068
+netGuru Inc. 1,600 28,600
+Netpliance Inc. 3,827 34,921
+Network Associates Inc. 9,017 183,721
+NetZero Inc. 6,400 33,400
+New Era of Networks Inc. 2,188 92,990
+NorthPoint Communications Group Inc. 8,000 89,500
+Numerical Technologies Inc. 1,548 75,272
+Objective Systems Integrator Inc. 5,184 55,404
+OnDisplay Inc. 1,800 146,588
+Opus360 Corp. 2,786 10,273
+Peregrine Systems Inc. 8,364 290,135
+Per-Se Technologies Inc. 1 9
+Phone.com Inc. 4,400 286,550
+Pixar Inc. 2,588 91,227
+PLATO Learning Inc. 1,500 20,625
+Policy Management Systems Corp. 3,413 52,475
+Previo Inc. 2,300 18,113
+Prodigy Communications Corp. "A" 3,738 39,249
+Promotions.com. Inc. 1,100 5,500
+PSINET Inc. 11,080 278,395
+RadiSys Corp. 963 54,650
+Rational Software Corp. 5,688 528,629
+RealNetworks Inc. 9,688 489,850
+Remedy Corp. 1,573 87,695
Reynolds & Reynolds Co. "A" 4,877 89,005
+Rhythms Netconnections Inc. 5,200 65,325
+Saba Software Inc. 3,033 63,693
+Simione Central Holdings Inc. 56 168
+SkillSoft Corp. 3,459 48,858
+Structural Dynamics Research Corp. 3,927 59,150
+Sybase Inc. 4,356 100,188
+Symantec Corp. 3,879 209,224
Total System Services Inc. 11,381 180,673
+TriZetto Group Inc. (The) 2,600 42,088
+Ulticom Inc. 1,844 44,285
+USinternetworking Inc. 5,625 114,961
+ValueClick Inc. 3,520 36,080
+Verio Inc. 5,046 279,974
+Via Net.Works Inc. 2,995 46,235
+Vicinity Corp. 1,774 34,815
+Vignette Corp. 12,000 624,188
+Virage Inc. 201 3,631
</TABLE>
<TABLE>
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<CAPTION>
Shares Value
<S> <C> <C>
---------------------------------------------------------------------
+V-One Corp. 2,900 $ 14,500
+webMethods Inc. 1,955 307,302
+Witness Systems Inc. 1,800 43,875
+ZEROplus.com Inc. 1,100 3,438
+ZipLink Inc. 900 5,400
------------
19,190,500
------------
Telecommunication Equipment--4.87%
+Accelerated Networks Inc. 836 35,301
+ADTRAN Inc. 2,418 144,778
+Advanced Fibre Communications Inc. 5,085 230,414
+AltiGen Communications Inc. 4,300 25,531
+American Tower Corp. 9,271 386,485
+ANTEC Corp. 1,993 82,834
+Avanex Corp. 446 42,593
+Ciena Corp. 8,819 1,470,017
+Commscope Inc. 3,405 139,605
+E-Tek Dynamics Inc. 4,348 1,147,057
+Glenayre Technologies Inc. 3,286 34,708
+Handspring Inc. 3,520 95,040
+Harmonic Inc. 3,053 75,562
Harris Corp. 4,200 137,550
+JDS Uniphase Corp. 34,102 4,087,977
+Metromedia Fiber Network Inc. 29,622 1,175,623
+New Focus Inc. 270 22,174
+Palm Inc. 1,755 58,573
+RF Micro Devices Inc. 4,976 436,022
+SBA Communications Corp. 2,000 103,875
+Science Dynamics Corp. 1,200 13,875
+Sonus Networks Inc. 858 135,457
+Spectrasite Holdings Inc. 7,500 212,813
+Sycamore Networks Inc. 15,400 1,699,775
+Telaxis Communications Corp. 737 23,031
+Williams Communications Group Inc. 4,300 142,706
------------
12,159,376
------------
Telecommunications--8.96%
+Act Networks Inc. 2,246 34,392
+Active Voice Corp. 600 4,800
+ACTV Inc. 2,567 38,345
+Adaptive Broadband Corp. 1,744 64,092
+Adelphia Business Solutions Inc. 1,925 44,636
+Advanced Radio Telecom Corp. 1,685 24,643
+AirGate PCS Inc. 700 36,794
+Airnet Communications Corp. 2,639 68,944
+Alamosa PCS Holdings Inc. 3,936 82,164
+Alaska Communications Systems Holdings Inc. 2,600 26,975
+Allegiance Telecom Inc. 6,728 430,592
+Allen Telecom Inc. 2,811 49,720
+Allied Riser Communications Corp. 3,000 42,375
+American Access Technologies Inc. 300 1,856
+ANADIGICS Inc. 1,514 51,571
+Ancor Communications Inc. 1,726 61,731
+Andrea Electronics Corp. 2,496 17,784
Applied Signal Technology Inc. 375 4,336
</TABLE>
118
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June 30, 2000 (Unaudited)
<TABLE>
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<CAPTION>
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<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+Arch Communications Group Inc. 5,166 $ 33,579
+Aspect Communications Corp. 2,788 109,603
+@Comm Corporation 100 1,731
Atlantic Tele-Network Inc. 319 3,011
+Audiovox Corp. "A" 1,336 29,476
+Aware Inc. 1,227 62,730
+B.I. Inc. 1,000 5,375
+Blonder Tongue Laboratories Inc. 370 2,752
+Bogen Communications International Inc. 300 2,213
+Boston Communications Group Inc. 2,800 39,200
+Brightpoint Inc. 2,643 22,878
Broadwing Inc. 13,526 350,831
C F W Communications Co. 582 21,825
+Cable Design Technologies Corp. 1,762 59,027
+Carrier Access Corp. 1,356 71,699
+Catapult Communications Corp. 700 7,044
+Celeritek Inc. 600 24,488
+Centennial Cellular Corp. "A" 6,072 83,490
+Centigram Communications Corp. 320 8,180
+Channell Commercial Corp. 408 4,896
+Checkpoint Systems Inc. 3,397 25,478
+Choice One Communications Inc. 1,857 75,789
+Citizen Communications Co. 15,257 263,183
+Cognitronics Corp. 900 11,644
+Com21 Inc. 1,130 28,250
+Comdial Corp. 594 2,636
+Commonwealth Telephone Enterprises Inc. 1,123 52,851
Communications Systems Inc. 324 4,941
Comsat Corp. 2,519 62,188
+Comtech Telecommunications Corp. 300 4,950
+Concord Communications Inc. 779 31,063
Conestoga Enterprises Inc. 257 4,697
+Convergent Communications Inc. 2,000 16,000
+Copper Mountain Networks Inc. 3,100 273,188
+Cosair Communications Inc. 1,059 30,446
+Cox Communications Inc. "A" 36,401 1,658,521
+Crown Castle International Corp. 8,909 325,179
CT Communications Inc. 1,200 34,125
+CTC Communications Group Inc. 1,138 40,968
Cubic Corp. 728 13,650
+Cypress Communications Inc. 2,982 21,620
+Cytogen Corp. 4,500 45,563
D&E Communications Inc. 273 5,324
+Data Race Inc. 3,209 21,260
+Davox Corp. 762 9,858
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
+Deltathree.com Inc. 2,063 $ 30,042
+Detection Systems Inc. 283 2,689
+Digital Island Inc. 3,900 189,638
+Digital Lightware Inc. 1,977 198,689
+Digital Microwave Corp. 3,860 147,163
+Ditech Communications Corp. 1,800 170,213
+Dobson Communications Corp. "A" 5,025 96,731
+DSL.net Inc. 3,700 38,156
+e.spire Communications Inc. 3,193 21,553
+Echostar Communications Corp. 14,456 478,629
+Efficient Networks Inc. 3,300 242,756
+eGlobe Inc. 1,600 4,800
+Elantec Semiconductor Inc. 1,900 132,288
+Electric Lightwave Inc. "A" 382 7,139
+Eltrax Systems Inc. 1,383 8,212
+eShare Technologies Inc. 1,281 8,967
+Ezenia! Inc. 690 3,062
+FirstCom Corp. 1,800 27,113
+Focal Communications Corp. 3,500 125,125
+General Communication Inc. "A" 5,033 25,794
+General DataComm Industries Inc. 3,900 23,644
+Gentner Communications Corp. 400 5,600
+Global Crossing Ltd. 1 17
Global Telesystems Group Inc. 11,772 142,000
+Globix Corp. 1,808 52,997
+GoAmerica Inc. 2,346 36,216
+GST Telecommunications Inc. 3,736 3,561
Harmon Industries Inc. 2,489 32,979
+Hector Communications Corp. 500 6,563
+Hello Direct Inc. 300 3,563
Hickory Tech Corp. 503 6,130
+High Speed Access Corp. 4,000 26,250
+Hughes Electronics Corp. 13,081 1,147,858
+Hungarian Telephone and Cable Corp. 1,300 7,800
+ibasis Inc. 2,400 103,350
+ICG Communications Inc. 2,658 58,642
+I-Link Inc. 1,939 10,422
+Illuminet Holdings Inc. 1,800 91,575
+Inet Technologies Inc. 2,800 151,900
+Infonet Services Corp. "B" 19,395 231,528
+InteliData Technologies Corp. 3,100 31,969
+Interactive Intelligence Inc. 900 33,750
+InterDigital Communications Corp. 3,187 52,785
+Interspeed Inc. 2,200 36,850
Inter-Tel Inc. 1,568 25,186
+InterVoice Inc. 1,990 13,059
+ITC DeltaCom Inc. 3,294 73,497
+L-3 Communications Holdings Inc. 2,424 138,320
+Latitude Communications Inc. 1,300 14,544
+LCC International Inc. "A" 1,600 43,700
</TABLE>
119
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
+Leap Wireless International Inc. 1,555 $ 73,085
+Level 3 Communications Inc. 22,641 1,992,408
+Lifeline Systems Inc. 214 2,996
+Lightbridge Inc. 1,590 37,961
+Lightpath Technologies Inc. "B" 500 19,906
+Loral Space & Communications Ltd. 16,097 111,673
+MarketWatch.com Inc. 1,125 21,164
+MCK Communications Inc. 1,300 30,063
+McLeodUSA Inc. "A" 35,413 732,606
+Medialink Worldwide Inc. 237 1,644
+MessageMedia Inc. 2,357 8,250
+Metricom Inc. 1,887 52,600
+Metro One Telecommunications Inc. 1,210 15,201
+Metrocall Inc. 4,710 42,390
+MGC Communications Inc. 1,832 109,806
+Motient Corp. 3,084 48,380
+Natural Microsystems Corp. 990 111,313
+Net2Phone Inc. 1,300 46,394
+Network Access Solutions Corp. 2,300 21,994
+Network Plus Corp. 3,300 46,819
+Next Level Communications Inc. 4,900 420,175
+NorthEast Optic Network Inc. 892 54,970
+Notify Technology Corp. 200 763
+NTL Inc. 8,878 531,570
+NumereX Corp. "A" 2,900 35,888
+Osicom Technologies Inc. 721 61,015
+Pacific Gateway Exchange Inc. 1,158 3,944
+Pac-West Telecomm Inc. 1,900 38,000
+PanAmSat Corp. 1,154 50,415
+P-Com Inc. 4,105 23,347
+Plantronics Inc. 1,240 143,220
+Pliant Systems Inc. 2,200 13,750
+Polycom Inc. 2,224 209,265
+Powertel Inc. 1,817 128,893
+Powerwave Technologies Inc. 3,813 167,772
+Primus Telecommunications Group Inc. 2,354 58,556
+Proxim Inc. 698 69,080
+PTEK Holdings Inc. 4,348 14,131
+Qwest Communications International Inc. 47,084 2,339,486
+Razorfish Inc. 5,150 82,722
+RCN Corp. 4,617 117,156
+Rural Cellular Corp. "A" 786 60,178
+Savvis Communications Corp. 6,224 81,301
+Sawtek Inc. 2,366 136,193
+SCC Communications Corp. 400 2,700
+Seachange International Inc. 1,209 34,910
+Sirius Satellite Radio Inc. 2,037 90,265
+Spectralink Corp. 1,666 24,365
+STAR Telecommunications Inc. 4,590 11,618
+Startec Global Communications Corp. 1,801 19,248
+STM Wireless Inc. "A" 1,000 5,875
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
+Talk.com Inc. 3,388 $ 19,693
+Tekelec 3,821 184,124
+TeleCorp. PCS Inc. 5,423 218,615
+Teligent Inc. "A" 2,265 53,511
+Telocity Inc. 6,837 31,194
+Telular Corp. 2,200 26,400
+Terayon Communications Systems Inc. 3,668 235,612
+Tessco Technologies Inc. 162 4,536
+Time Warner Telecom Inc. "A" 1,600 103,000
+Titan Corp. (The) 3,376 151,057
+T-Netix Inc. 1,582 6,625
+Tollgrade Communications Inc. 628 83,210
+Total-Tel USA Communications Inc. 284 2,840
+Tritel Inc. 6,200 184,063
+Triton PCS Holdings Inc. "A" 3,100 179,025
+Tut Systems Inc. 1,000 57,375
+Ultrak Inc. 542 4,404
+United States Cellular Corp. 5,509 347,067
+Ursus Telecom Corp. 300 1,950
+US LEC Corp. "A" 581 9,877
+Vari-L Co. Inc. 300 3,488
+VerticalNet Inc. 4,600 169,913
+VIALOG Corp. 600 2,325
+Viasat Inc. 457 24,792
+Viatel Inc. 2,859 81,660
+Vixel Corp. 3,900 32,175
+Voicestream Wireless Corp. 10,105 1,175,180
+VTEL Corp. 2,700 10,125
Warwick Valley Telephone Co. 89 3,516
+WebLink Wireless Inc. 5,172 68,529
+West Teleservices Corp. 3,433 86,898
+Westell Technologies Inc. 1,858 27,870
+Western Wireless Corp. "A" 4,526 246,667
+Winstar Communications Inc. 5,399 182,891
+WorldGate Communications Inc. 2,600 46,150
+XETA Corp. 200 6,238
+ZixIt Corp. 749 34,501
+Zoom Telephonics Inc. 2,200 14,300
+Z-Tel Technologies Inc. 1,500 18,000
------------
22,354,984
------------
Telephone--0.40%
+Intermedia Communications Inc. 3,374 100,377
+NEXTLINK Communications Inc. 13,644 517,619
Telephone & Data Systems Inc. 3,836 384,559
------------
1,002,555
------------
Textiles--0.50%
+Alpine Group (The) 696 4,698
+Chemfab Corp. 289 3,432
Cintas Corp. 10,695 392,373
+Columbia Sportswear Co. 1,629 43,779
+Cone Mills Corp. 937 5,798
Culp Inc. 581 2,978
+Cutter & Buck Inc. 1,204 9,557
+Dan River Inc. "A" 1,800 8,550
</TABLE>
120
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Decorator Industries Inc. 100 $ 463
+Dixie Group Inc. 508 1,969
Fab Industries Inc. 205 2,178
First Years Inc. (The) 384 4,272
Garan Inc. 589 13,326
+Genesco Inc. 1,199 19,259
+Gerber Childrenswear Inc. 1,474 7,831
+Global Sports Inc. 1,439 9,264
+Guess ? Inc. 2,319 32,466
Guilford Mills Inc. 2,139 9,091
Haggar Corp. 316 3,713
+Hampshire Group Ltd. 900 6,525
Justin Industries Inc. 1,176 25,725
Kellwood Co. 1,367 28,878
LaCrosse Footwear Inc. 300 1,500
+Lakeland Industries Inc. 200 1,250
+Leslie Fay Co. Inc. 45 152
+Maxwell Shoe Co. Inc. "A" 1,224 12,087
+McNaughton Apparel Group Inc. 300 3,150
+Mohawk Industries Inc. 4,665 101,464
+Nautica Enterprises Inc. 2,466 26,355
Oxford Industries Inc. 814 14,652
Penn Engineering & Manufacturing Corp. 417 14,699
+Perry Ellis International Inc. 1,000 8,000
Pillowtex Corporation 731 3,107
+Polo Ralph Lauren Corp. 2,206 31,436
Polymer Group Inc. 2,131 19,712
+PremiumWear Inc. 200 2,675
+Quaker Fabric Corp. 700 3,544
+Quiksilver Inc. 1,669 25,974
+Rocky Shoes & Boots Inc. 100 506
+Saucony Inc. "B" 300 2,963
Shaw Industries Inc. 7,495 93,688
+Sirena Apparel Group Inc. (The) 300 2
+Sport-Haley Inc. 200 825
+Starter Corp. 3,200 3
Superior Uniform Group Inc. 989 8,592
+Tag-It Pacific Inc. 500 2,469
+Tandy Brands Accessories Inc. 700 5,513
+Tarrant Apparel Group 2,213 19,779
+Timberland Co. 1,226 86,816
+Triarc Companies Inc. 1,308 26,814
+Tropical Sportswear International Corp. 349 6,108
Westpoint Stevens Inc. 3,330 37,046
Weyco Group Inc. 487 12,419
Wolverine World Wide Inc. 4,159 41,070
------------
1,250,495
------------
Tobacco--0.11%
R.J. Reynolds Tobacco Holdings Inc. 7,800 217,913
Universal Corporation 1,406 29,702
Vector Group Ltd. 1,483 21,874
------------
269,489
------------
Toys/Games/Hobbies--0.02%
+Department 56 Inc. 1,908 20,988
+Topps Co. (The) 2,611 30,027
------------
51,015
------------
</TABLE>
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------------
Transportation--0.92%
+ABC Rail Products Corp. 1,831 $ 14,648
Airborne Freight Corp. 2,660 50,374
Alexander & Baldwin Inc. 3,400 75,013
+Allied Holdings Inc. 490 2,940
+AMERCO 1,611 32,220
+American Classic Voyages Co. 2,034 41,951
+American Freightways Corp. 2,215 32,118
+Arkansas Best Corp. 1,223 12,154
Arnold Industries Inc. 2,724 32,858
+Avis Rent A Car Inc. 2,100 39,375
+Boyd Brothers Transportation Inc. 300 1,238
+Budget Group Inc. 1,609 6,637
+Carey International Inc. 448 6,216
+Celadon Group Inc. 445 5,006
CH Robinson Worldwide Inc. 2,243 111,029
Circle International Group Inc. 1,666 41,858
CNF Transportation Inc. 3,238 73,665
+Consolidated Freightways Corp. 1,266 5,143
+Covenant Transport Inc. "A" 663 5,304
+Dollar Thrifty Automotive Group Inc. 1,679 30,957
+EGL Inc. 1,407 43,265
Expeditors International Washington Inc. 3,404 161,690
Florida East Coast Industries Inc. 2,523 100,920
+Forward Air Corp. 993 39,720
+Fritz Companies Inc. 3,622 37,352
+Genesee & Wyoming Inc. "A" 183 3,065
Greenbrier Companies Inc. 525 3,806
+Heartland Express Inc. 2,142 35,745
+Hub Group Inc. "A" 358 5,348
Hunt (J.B.) Transport Services Inc. 2,492 38,470
+Hvide Marine Inc. "A" 5 1
+International Aircraft Investors 1,400 7,350
International Shipholding Corp. 846 7,403
Kenan Transport Co. 108 2,187
+Kirby Corp. 2,435 51,744
+KLLM Transport Services Inc. 500 3,953
+Landair Corp. 1,000 4,875
+Landstar System Inc. 464 27,637
+Lynch Corp. 52 1,684
+Lynch Interactive Corp. 152 14,288
+M.S. Carriers Inc. 1,348 23,759
Maritrans Inc. 540 3,274
+Marten Transport Ltd. 300 3,900
Morgan Group Inc. (The) "A" 200 1,200
+Motor Cargo Industries Inc. 400 1,850
Oglebay Norton Co. 475 12,113
+Old Dominion Freight Line Inc. 506 4,934
Overseas Shipholding Group Inc. 1,746 42,995
+P.A.M. Transportation Services Inc. 673 6,394
</TABLE>
121
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------------------
<CAPTION>
Extended Index Master Portfolio Shares Value
<S> <C> <C>
----------------------------------------------------------------
COMMON STOCKS--(Continued)
----------------------------------------------------------------
Polaris Industries Partners LP "A" 1,247 $ 39,904
Providence & Worcester Railroad Co. 500 3,813
+RailAmerica Inc. 983 6,267
Roadway Express Inc. 965 22,617
Rollins Truck Leasing Corp. 5,430 37,671
Royal Caribbean Cruises Ltd. 11,518 213,083
+Simon Transportation Services Inc. 500 2,969
+Swift Transportation Co. Inc. 4,041 56,574
Thor Industries Inc. 1,446 30,366
+Todd Shipyards Corporation 600 4,725
+TransFinancial Holdings Inc. 200 300
+Transport Corp. of America Inc. 591 3,842
+U.S. Xpress Enterprises Inc. "A" 682 5,499
United Parcel Service Inc. 6,800 401,200
US Freightways Corp. 1,375 33,773
+USA Truck Inc. 547 3,214
Werner Enterprises Inc. 2,322 26,848
+Willis Lease Finance Corp. 368 2,300
+Wisconsin Central Transportation Corp. 4,587 59,631
+Yellow Corporation 2,448 36,108
------------
2,302,330
------------
Trucking & Leasing--0.05%
GATX Corporation 2,804 95,336
+Xtra Corp. 687 27,094
------------
122,430
------------
Water--0.16%
American Water Works Inc. 6,509 162,725
+Azurix Corp. 6,400 50,000
California Water Service Group 1,464 35,502
Connecticut Water Service Inc. 467 12,492
E-Town Corp. 76 5,049
+Kaiser Ventures Inc. 478 6,632
Middlesex Water Co. 461 13,196
Philadelphia Suburban Corp. 2,212 45,346
Southwest Water Co. 282 3,666
United Water Resources Inc. 2,177 75,923
------------
410,531
------------
TOTAL COMMON STOCKS
(Cost: $205,525,982) 240,301,565
------------
</TABLE>
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Principal Value
<S> <C> <C>
-------------------------------------------------------------------------------
SHORT TERM INSTRUMENTS--0.41%
*++U.S. Treasury Bills 5.61%, 09/21/00 $1,040,000 $ 1,026,896
------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $1,026,675) 1,026,896
------------
-------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.15%
Investors Bank and Trust Tri Party Repurchase
Agreement, dated 6/30/00, due 7/03/00, with a maturity
value of $7,878,475 and an effective yield of 6.30%. 7,874,341 7,874,341
------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $7,874,341) 7,874,341
------------
TOTAL INVESTMENTS IN SECURITIES -- 99.86%
(Cost $214,426,998) 249,202,802
Other Assets, Less Liabilities--0.14% 341,964
------------
NET ASSETS--100.00% $249,544,766
============
-------------------------------------------------------------------------------
</TABLE>
Notes to the Schedule of Investments:
+ Non-income earning securities.
* Yield to Maturity.
++ These U.S. Treasury Bills are held in segregated accounts in connection with
the Master Portfolio's holdings of Mid Cap 400 Index and Russell 2000 Index
futures contracts. See Note 1.
The accompanying notes are an integral part of these financial statements.
122
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------
<CAPTION>
International Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------
COMMON STOCKS--94.61%
-------------------------------------------------------------
Australia--2.44%
AMP Ltd. 11,687 $ 118,770
+Boral Ltd. 71,979 90,362
Brambles Industries Ltd. 1,699 52,140
Broken Hill Proprietary Co. Ltd. 12,867 151,916
Coca-Cola Amatil Ltd. 20,876 40,560
Cochlear Ltd. 1,233 21,197
Coles Myer Ltd. 12,062 46,249
Commonwealth Bank of Australia 9,859 163,197
Computershare Ltd. 5,287 27,149
Gandel Retail Trust 30,252 19,531
Lend Lease Corp. Ltd. 3,501 44,595
National Australia Bank Ltd. 9,288 154,900
News Corp. Ltd. 14,697 202,075
Orica Ltd. 12,833 58,135
Rio Tinto Ltd. 3,595 59,356
Santos Ltd. 18,862 57,393
Smith (Howard) Ltd. 12,782 62,351
Southcorp Ltd. 13,279 38,262
TABCORP Holdings Ltd. 7,813 44,838
Telstra Corp Ltd. 55,984 226,909
Wesfarmers Ltd. 5,793 46,058
Westpac Banking Corp. Ltd. 11,045 79,563
WMC Ltd. 12,094 54,029
Woolworths Ltd. 13,395 49,366
-----------
1,908,901
-----------
Austria--0.15%
Bank Austria AG 1,142 55,629
OMV AG 677 58,820
-----------
114,449
-----------
Belgium--0.70%
Colruyt NV 784 33,220
Delhaize "Le Lion" SA 770 46,058
+Dolmen Computer Applications NV 64 1,253
Electrabel SA 292 72,178
Fortis "B" 4,572 133,049
Groupe Bruxelles Lambert SA 226 56,425
KBC Bancassurance
Holding NV 2,194 96,567
PetroFina SA 1 549
Solvay SA 803 54,050
UCB SA 1,499 55,072
-----------
548,421
-----------
Denmark--0.79%
A/S Dampskibsselskabet Svendborg " B" 6 88,680
D/S 1912 "B" 8 84,969
Den Danske Bank Group 500 60,144
+Nordic Baltic Holding AB 8,626 62,918
Novo-Nordisk A/S "B" 538 91,565
Tele Danmark A/S 1,600 107,696
Vestas Wind Systems A/S 144A 3,290 120,829
-----------
616,801
-----------
Finland--2.94%
Nokia OYJ 37,124 1,894,497
Pohjola Group Insurance Corp. "B" 623 22,020
</TABLE>
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------------------------
Sonera Group OYJ 6,460 $ 294,508
Tietoenator OYJ 771 25,727
UPM-Kymmene OYJ 2,700 67,024
-----------
2,303,776
-----------
France--10.67%
Accor SA 1,871 76,688
Air Liquide 708 92,389
Alcatel SA 9,016 591,374
Aventis SA 5,809 424,005
AXA UAP 2,875 452,911
Banque National de Paris 3,426 329,715
+Bouygues SA 244 163,072
Canal Plus 925 155,434
Cap Gemini SA 951 167,521
Carrefour Supermarche SA 5,246 358,619
Compagnie de Saint Gobain 694 93,824
Compagnie Generale des Etablissements Michelin "B" 1,523 48,872
Dassault Systemes SA 892 83,205
Etablissements Economiques du Casino Guichard-Perrachon
SA 746 69,088
France Telecom SA 7,852 1,097,521
Groupe Danone 1,062 140,939
Lafarge SA 892 69,324
Lagardere S.C.A. 991 75,693
+L'OREAL 490 424,321
+LVMH (Louis Vuitton Moet Hennessy) 716 295,249
Pechiney SA "A" 1,184 49,400
Pernod Ricard 1,657 90,176
Pinault-Printemps-Redoute SA 845 187,735
PSA Peugeot Citroen 375 75,258
Publicis SA 81 31,785
Sagem SA 81 94,967
Sanofi-Synthelabo SA 5,337 254,266
Schneider SA 1,307 91,094
Societe Generale "A" 3,076 185,020
Sodexho Alliance SA 319 57,868
STMicroelectronics NV 6,475 408,014
Suez Lyonnaise des Eaux SA 1,338 234,417
Thomson CSF 1,339 52,747
Total SA--Series B 5,694 873,081
Usinor SA 2,549 31,102
Valeo SA 873 46,676
Vivendi 4,375 386,168
-----------
8,359,538
-----------
Germany--7.99%
Allianz AG 1,799 646,334
BASF AG 4,650 188,684
Bayer AG 5,300 202,914
Beiersdorf AG 894 74,259
Continental AG 2,228 37,439
DaimlerChrysler AG 7,896 411,841
Deutsche Bank AG--Registered Shares 4,688 385,821
Deutsche Lufthansa AG 3,128 73,019
Deutsche Telekom AG 23,399 1,335,949
Dresdner Bank AG 3,850 158,427
EM TV & Merchandising AG 1,078 63,658
Fresenius Medical Care AG 787 62,756
Heidelberger Zement AG 710 43,384
HypoVereinsbank 3,050 199,472
Karstadt AG 1,318 34,353
</TABLE>
123
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
---------------------------------------------------------------------
<CAPTION>
International Index Master Portfolio Shares Value
<S> <C> <C>
---------------------------------------------------------------------
COMMON STOCKS--(Continued)
---------------------------------------------------------------------
Linde AG 1,562 $ 62,785
MAN AG 1,448 43,769
Merck KGaA 1,873 57,224
Metro AG 2,681 94,683
Muenchener Rueckversicherungs-Gesellschaft AG 1,273 398,652
Preussag AG 1,815 58,571
RWE AG 3,898 132,304
SAP AG 1,473 217,141
Schering AG 1,767 96,246
Siemens AG 4,516 681,244
Thyssen Krupp AG 4,605 74,963
Veba AG 5,626 271,258
Volkswagen AG 3,021 114,478
WCM Beteiligungs & Grundbesi AG 1,587 37,259
-----------
6,258,887
-----------
Hong Kong--1.96%
Cathay Pacific Airways Ltd. 31,000 57,462
CLP Holdings Ltd. 16,500 76,832
Esprit Holdings Ltd. 16,000 16,624
Hang Seng Bank Ltd. 15,100 143,337
Henderson Land Development Co. Ltd. 15,000 65,998
Hong Kong & China Gas Co. Ltd. 49,060 55,065
Hong Kong Telecommunications Ltd. 90,400 198,880
Hutchison Whampoa Ltd. 29,700 373,365
Johnson Electric Holdings Ltd. 8,000 75,684
Li & Fung Ltd. 12,000 60,034
+Pacific Century Cyberworks Ltd. 40,000 79,020
Sun Hung Kai Properties Ltd. 21,000 150,853
Swire Pacific Ltd. "A" 18,500 108,216
Television Broadcasts Ltd. 4,000 26,682
Wharf Holdings Ltd. 27,000 48,316
-----------
1,536,368
-----------
Ireland--0.37%
Allied Irish Banks PLC 8,668 77,627
CRH PLC 3,725 67,395
Eircom PLC 17,419 46,566
Irish Life & Permanent PLC 5,332 45,255
Kerry Group PLC 3,985 51,098
-----------
287,941
-----------
Italy--4.14%
Assicurazioni Generali SpA 8,594 294,565
Banca di Roma SpA 64,474 79,161
Banca Intesa SpA 39,543 177,066
Benetton Group SpA 23,233 48,578
Beni Stabili SpA 6,022 3,231
Enel SpA 52,366 231,987
ENI SpA 64,554 372,883
Fiat SpA 3,781 98,118
Mediaset SpA 8,790 134,277
Mediobanca Banca SpA 9,411 97,040
+Olivetti SpA 39,777 144,693
Pirelli SpA 24,078 63,332
Riunione Adriatica di Sicurta SpA 7,600 83,446
</TABLE>
<TABLE>
--------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
--------------------------------------------------------
San Paolo--IMI SpA 10,593 $ 188,014
Telecom Italia Mobile SpA 51,099 522,022
Telecom Italia Mobile SpA Rnc 14,238 71,640
Telecom Italia SpA 28,635 393,688
Telecom Italia SpA Rnc 7,464 49,527
Unicredito Italiano SpA 39,134 187,190
-----------
3,240,458
-----------
Japan--25.43%
Acom Co. Ltd. 1,200 100,815
Advantest Corp. 800 178,196
Ajinomoto Co. Inc. 6,000 76,854
Asahi Bank Ltd. 23,000 96,614
Asahi Breweries Ltd. 6,000 71,712
Asahi Chemical Industry Co. Ltd. 13,000 91,829
Asahi Glass Co. Ltd. 11,000 122,769
Bank of Tokyo-Mitsubishi Ltd. 37,000 446,405
Bank of Yokohama Ltd. 11,000 49,211
Benesse Corporation 800 55,380
Bridgestone Corp. 7,000 148,010
Canon Inc. 7,000 348,104
Casio Computer Co. Ltd. 5,000 56,039
Central Japan Railway Co. 15 84,766
Chugai Pharmaceutical Co. Ltd. 3,000 56,652
Dai Nippon Printing Co. Ltd. 6,000 105,618
Daiichi Pharmaceutical Co. Ltd. 4,000 101,342
Daikin Industries Ltd. 3,000 69,649
Daiwa Bank Ltd. 17,000 44,032
Daiwa House Industry Co. Ltd. 7,000 51,029
Daiwa Securities Co. Ltd. 11,000 145,044
Denso Corp. 7,000 170,096
East Japan Railway Co. 28 162,449
Ebara Corporation 5,000 67,671
Eisai Co. Ltd. 3,000 96,068
Fanuc Ltd. 1,900 193,087
Fuji Bank Ltd. 26,000 197,371
Fuji Photo Film Co. 4,000 163,504
Fujitsu Ltd. 15,000 518,484
Furukawa Electric Co. Ltd. 6,000 125,171
Hirose Electric Co. Ltd. 500 77,749
Hitachi Ltd. 26,000 374,665
Honda Motor Co. Ltd. 8,000 272,004
Hoya Corp. 1,000 89,475
Industrial Bank of Japan Ltd. 21,000 159,020
+Itochu Corp. 12,000 60,467
Ito-Yokado Co. Ltd. 3,000 180,269
Japan Airlines Co. Ltd. 19,000 72,116
Japan Tobacco Inc. 15 131,528
Joyo Bank Ltd. 12,000 46,112
Jusco Co. Ltd. 3,000 56,793
Kaneka Corp. 4,000 44,040
Kansai Electric Power Co. Inc. 5,600 100,106
Kao Corp. 4,000 122,063
Kawasaki Steel Corp. 33,000 47,243
Keihin Electric Express Railway 14,000 52,611
Kinden Corp. 12,000 75,272
Kinki Nippon Railway Co. Ltd. 19,000 76,948
Kirin Brewery Co. Ltd. 8,000 99,835
Komatsu Ltd. 12,000 84,313
</TABLE>
124
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
---------------------------------------------------------------
<CAPTION>
International Index Master Portfolio Shares Value
<S> <C> <C>
---------------------------------------------------------------
COMMON STOCKS--(Continued)
---------------------------------------------------------------
Konami Company Ltd. 1,100 $ 69,414
Kubota Corp. 17,000 61,644
Kuraray Co. Ltd. 8,000 91,622
Kyocera Corp. 1,400 237,212
Kyowa Hakko Kogyo Co. Ltd. 4,000 39,068
+Marubeni Corp. 13,000 44,690
Marui Co. Ltd. 4,000 76,478
Matsushita Electric Industrial Co. Ltd. 15,000 388,509
Minebea Co. Ltd. 5,000 62,633
Mitsubishi Chemical Corp. 19,000 77,843
Mitsubishi Corp. 12,000 108,388
Mitsubishi Electric Corp. 17,000 183,809
Mitsubishi Estate Co. Ltd. 11,000 129,296
Mitsubishi Heavy Industries Ltd. 30,000 132,801
Mitsubishi Rayon Co. 18,000 54,994
Mitsubishi Trust & Banking Corp. 11,000 85,265
Mitsui & Co. Ltd. 12,000 91,547
Mitsui Fudosan Co. Ltd. 8,000 86,650
Mitsui Marine & Fire Insurance Co. Ltd. 11,000 52,837
Murata Manufacturing Co. Ltd. 2,000 286,696
NEC Corp. 13,000 407,723
NGK Insulators Ltd. 6,000 74,255
Nidec Corp. 600 51,990
Nikon Corp. 3,000 111,043
Nintendo Co. Ltd. 1,100 191,872
Nippon COMSYS Corp. 2,000 42,477
Nippon Express Co. Ltd. 10,000 61,314
Nippon Mitsubishi Oil Corp. 17,000 77,814
Nippon Paper Industries Co. 10,000 68,189
Nippon Sheet Glass Co. Ltd. 4,000 55,531
Nippon Steel Corp. 54,000 113,416
Nippon Telegraph & Telephone Corp. 97 1,288,156
Nippon Yusen Kabushiki Kaisha 15,000 72,051
+Nissan Motor Co. Ltd. 32,000 188,368
Nitto Denko Corp. 2,000 77,043
Nomura Securities Co. Ltd. 15,000 366,612
NSK Ltd. 6,000 52,555
Oji Paper Co. Ltd. 11,000 75,629
Olympus Optical Co. Ltd. 4,000 71,618
Omron Corp. 3,000 81,375
Oriental Land Co. Ltd. 1,000 102,001
Orix Corp. 720 106,127
Osaka Gas Co. 22,000 63,197
Pioneer Electronic Corp. 2,000 77,796
Promise Co. Ltd. 1,000 78,926
Rohm Co. Ltd. 900 262,774
Sakura Bank Ltd. 31,000 214,015
Sankyo Co. Ltd. 4,000 90,228
Sanyo Electric Co. Ltd. 17,000 152,748
Secom Co. Ltd. 2,000 145,985
Sekisui House Ltd. 8,000 73,916
Sharp Corp. 8,000 141,276
Shin-Etsu Chemical Co. Ltd. 3,000 152,013
Shionogi & Co. Ltd. 3,000 56,934
Shiseido Co. 5,000 77,231
Shizuoka Bank Ltd. 7,000 59,336
Skylark Co. 1,000 39,463
</TABLE>
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------------
SMC Corp. 600 $ 112,738
Softbank Corp. 2,500 339,063
Sony Corp. 6,800 634,048
Sumitomo Bank Ltd. (The) 25,000 306,098
Sumitomo Chemical Co. Ltd. 16,000 96,142
Sumitomo Corp. 9,000 101,126
Sumitomo Electric Industries 7,000 119,859
Sumitomo Marine & Fire Insurance Co. Ltd. 10,000 58,112
Taisho Pharmaceutical Co. Ltd. 3,000 107,370
Taiyo Yuden Co. Ltd. 1,000 62,538
Takara Shuzo Co. 2,000 49,823
Takeda Chemical Industries 7,000 458,865
Takefuji Corp. 1,200 144,780
Teijin Ltd. 12,000 58,432
Terumo Corp. 2,000 67,624
Tobu Railway Co. Ltd. 17,000 48,515
Toho Co. Ltd. 200 34,019
Tohoku Electric Power Co. Inc. 2,800 37,711
Tokai Bank Ltd. 19,000 93,590
Tokio Marine & Fire Insurance Co. Ltd. 11,000 126,809
Tokyo Electric Power Co. Inc. 8,800 214,250
Tokyo Electronics Ltd. 1,000 136,755
Tokyo Gas Co. 25,000 70,168
Tokyu Corp. 14,000 69,093
Toppan Printing Co. Ltd. 6,000 63,405
Toray Industries Inc. 17,000 68,848
Toshiba Corp. 24,000 270,571
Toyo Seikan Kaisha Ltd. 3,000 55,946
Toyota Motor Corp. 29,000 1,319,236
Trans Cosmos Inc. 200 29,988
Uni-Charm Corp. 800 48,373
Wacoal Corp. 5,000 50,860
Yamanouchi Pharmaceutical Co. Ltd. 3,000 163,598
Yamato Transport Co. Ltd. 4,000 99,270
-----------
19,918,616
-----------
Netherlands--5.14%
ABN AMRO Holding NV 11,138 272,870
Aegon NV 10,148 361,103
Akzo Nobel NV 2,364 100,438
+ASM Lithography Holding NV 3,138 134,881
Elsevier NV 5,957 72,174
Getronics NV 2,670 41,170
Heineken NV 2,337 142,243
ING Groep NV 7,314 494,402
Koninklijike Philips Electronics NV 10,409 490,939
Koninklijke Ahold NV 6,081 178,995
Royal Dutch Petroleum Co. 16,415 1,020,266
Royal KPN NV 6,976 312,038
TNT Post Group NV 3,591 96,856
Unilever NV 4,134 189,651
VOPAK 2,403 52,768
Wolters Kluwer NV 2,391 63,691
-----------
4,024,485
-----------
New Zealand--0.10%
Lion Nathan Ltd. 35,635 79,438
-----------
Norway--0.31%
Bergesen DY "A" 2,734 56,072
Norsk Hydro ASA 2,715 113,896
Orkla As A-Aksjer 3,612 68,607
-----------
238,575
-----------
</TABLE>
125
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
--------------------------------------------------------------------------
<CAPTION>
International Index Master Portfolio Shares Value
<S> <C> <C>
--------------------------------------------------------------------------
COMMON STOCKS--(Continued)
--------------------------------------------------------------------------
Portugal--0.45%
Banco Comercial Portugues SA "R" 9,868 $ 51,347
Banco Espirito Santo e Comercial de Lisboa SA 1,726 42,351
Brisa-Auto Estradas de Portugal SA 4,522 38,943
EDP--Electricidade de Portugal SA 4,559 82,789
Portugal Telecom 9,108 102,264
Sonae SGPS SA 17,080 36,080
-----------
353,774
-----------
Singapore--0.84%
+Chartered Semiconductor Manufacturing 8,000 69,928
City Developments Ltd. 12,000 46,541
DBS Group Holdings Ltd. 10,652 136,888
DBS Land Ltd. 33,000 42,791
Oversea-Chinese Banking Corp Ltd.--Ordinary Shares 11,350 78,186
Singapore Airlines Ltd. 9,000 89,088
Singapore Press Holdings Ltd. 4,000 62,518
Singapore Telecommunications Ltd. 46,000 67,367
United Overseas Bank Ltd. 10,392 67,976
-----------
661,283
-----------
Spain--2.72%
+Autopistas Concesion 5,772 2,480
Autopistas Concesionaria Espanola SA 5,772 50,204
Banco Bilbao Vizcaya SA 23,653 353,421
Banco Santander Central Hispano SA 30,724 324,138
+Corporacion Financiere Alba 1,406 37,050
Endesa SA 7,371 142,791
Fomento de Construcciones y Contratas SA 2,289 43,272
Gas Natural SDG SA 3,900 70,003
Grupo Dragados SA 10,404 74,598
Iberdrola SA 7,322 94,375
Repsol SA 9,518 189,471
Sociedad General de Aguas de Barcelona SA 2,780 37,159
Tabacalera SA "A" 4,570 70,204
+Telefonica SA 24,769 532,088
Union Electrica Fenosa SA 2,719 49,194
Zardoya Otis SA 6,733 59,655
-----------
2,130,103
-----------
Sweden--3.44%
Atlas Copco AB "B" 2,219 42,770
Drott AB 4,750 51,162
Electrolux AB "B" 3,394 52,526
ForeningsSparbanken AB 4,950 72,398
Hennes & Mauritz AB 6,051 126,234
+NetCom AB "B" 900 66,429
Nordic Baltic Holding AB 21,357 161,025
Sandvik AB 2,295 48,138
Securitas AB "B" 2,965 62,863
Skandia Forsakrings AB 11,320 299,043
Skandinaviska Enskilda Banken "A" 6,300 74,643
</TABLE>
<TABLE>
----------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------------------
Skanska AB "B" 1,588 $ 56,264
Svenska Cellulosa AB "B" 2,325 44,154
Svenska Handelsbanken AB "B" 5,900 85,624
Swedish Match AB 13,328 41,102
Telefonakfiebolaget Ericsson AB 60,008 1,187,234
+Telia AB 10,600 99,750
Volvo AB "B" 3,602 78,207
WM-Data AB 7,355 40,444
-----------
2,690,010
-----------
Switzerland--5.44%
ABB Ltd. 2,243 268,456
Adecco SA 140 118,944
+Alusuisse Lonza Group AG 102 66,464
Credit Suisse Group 2,138 425,280
+Gebruder Sulzer AG 65 43,231
+Givaudan--Foreign Registered 63 19,174
Holderbank Financiere Glarus AG 134 43,781
Holderbank Financiere Glarus AG "B" 51 62,525
Nestle SA 289 578,407
Novartis AG--Registered 544 861,677
Roche Holding AG 51 496,448
Roche Holding AG-Genusschein 12 126,926
Schindler Holding AG 28 42,909
Schweizerische Rueckversicherungs-Gesellschaft 100 203,819
Swatch Grap AG 57 72,466
Swisscom AG 558 193,257
Union Bank of Switzerbank 3,244 475,260
Zurich Allied AG 330 163,043
-----------
4,262,067
-----------
United Kingdom--18.59%
Abbey National PLC 10,532 126,257
Allied Zurich PLC 11,530 136,733
AMVESCAP PLC 5,511 88,644
Anglian Water PLC 6,542 60,555
+Arm Holdings PLC 7,615 81,813
BAA PLC 9,421 75,768
Barclays PLC 11,485 286,341
Bass PLC 8,258 93,106
BG Group PLC 25,767 166,957
Blue Circle Industries PLC 7,627 49,361
BOC Group PLC 3,826 55,155
Boots Co. PLC 8,188 62,497
BP Amoco PLC 173,728 1,671,368
British Aerospace PLC 22,004 137,567
British Airways PLC 10,196 58,793
British American Tobacco PLC 21,132 141,415
+British Sky Broadcasting Group PLC 13,940 273,301
British Telecommunications PLC 49,095 636,222
Burmah Castrol PLC 2,563 64,794
Cadbury Schweppes PLC 15,528 102,263
+Canary Wharf Finance PLC 8,119 45,647
Capita Group PLC 1,859 45,615
Carlton Communications PLC 5,870 75,713
Centrica PLC 29,385 98,322
</TABLE>
126
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------------------------
<CAPTION>
International Index Master Portfolio Shares Value
<S> <C> <C>
----------------------------------------------------------------------
COMMON STOCKS--(Continued)
----------------------------------------------------------------------
CGU PLC 16,552 $ 276,286
Compass Group PLC 5,363 70,842
Corus Group PLC 30,263 44,314
Diageo PLC 24,066 216,558
Dixons Group PLC 15,509 63,306
Electrocomponents PLC 4,340 44,454
EMI Group PLC 6,945 63,232
GKN PLC "B" 5,919 75,716
Glaxo Wellcome PLC 26,976 788,813
Granada Group PLC 14,330 143,518
Great Universal Stores PLC 9,242 59,603
Halifax PLC 16,658 160,260
Hanson PLC 7,221 51,172
Hays PLC 12,846 71,832
HSBC Holdings PLC 63,929 732,901
Imperial Chemical Industries PLC 7,273 57,886
Invensys PLC 27,902 105,004
J Sainsbury PLC 16,140 73,476
Kingfisher PLC 11,570 105,605
Ladbroke Group PLC 15,154 53,350
Land Securities PLC 4,627 55,468
Legal & General Group PLC 36,494 85,560
Lloyds TSB Group PLC 41,720 395,043
Logica PLC 3,049 72,362
Marconi PLC 19,382 252,937
Marks & Spencer PLC 23,054 81,249
Misys PLC 4,645 39,331
National Grid Group PLC 10,190 80,561
National Power PLC 9,209 58,832
Nycomed Amersham PLC "A" 5,977 59,498
Pearson PLC 4,418 140,786
Peninsular & Oriental Steam Navigation Co. PLC 7,949 68,272
Prudential Corp. PLC 13,373 196,435
Psion PLC 3,830 37,138
Railtrack Group PLC 4,674 72,805
Reed International PLC 9,589 83,667
Rentokil Initial PLC 24,807 56,466
Reuters Group PLC 10,427 178,319
Rio Tinto PLC 9,297 152,364
Royal Bank of Scotland Group PLC 19,389 325,406
Sage Group PLC 9,623 78,123
Schroders PLC 2,562 46,186
Scottish Power PLC 12,685 107,793
Sema Group PLC 3,602 51,379
Smith & Nephew Associated 14,249 52,758
SmithKline Beecham PLC 42,128 552,968
Smiths Industries PLC 4,444 57,995
Tesco PLC 48,782 152,122
Thames Water PLC 4,017 52,117
3i Group PLC 3,979 82,056
Unigate PLC 13,995 61,586
Unilever PLC 21,405 129,924
United Utilities PLC 5,079 50,405
Vodafone Group PLC ADR 465,708 1,886,863
Williams PLC 9,227 53,906
Wolseley PLC 7,972 42,944
</TABLE>
<TABLE>
-------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------
WPP Group PLC 5,720 $ 83,760
Zeneca Group PLC 13,449 629,593
-----------
14,557,312
-----------
TOTAL COMMON STOCKS
(Cost: $66,238,347) 74,091,203
-----------
-------------------------------------------
PREFERRED STOCKS--0.46%
-------------------------------------------
Australia--0.23%
News Corp. Ltd. 15,039 181,289
-----------
Germany--0.23%
SAP AG--Vorzug 954 176,429
-----------
TOTAL PREFERRED STOCKS
(Cost: $273,296) 357,718
-----------
-------------------------------------------
SHORT TERM INSTRUMENTS--4.61%
-------------------------------------------
United States--4.61%
U.S. Treasury Bills
*++5.61%, 08/03/00 $2,227,000 2,215,428
*++5.67%, 07/13/00 1,401,000 1,398,176
-----------
3,613,604
-----------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $3,614,271) 3,613,604
-----------
TOTAL INVESTMENTS IN SECURITIES--99.68%
(Cost $70,125,914) 78,062,525
Other Assets, Less
Liabilities--0.32% 254,045
-----------
NET ASSETS--100.00% $78,316,570
===========
-------------------------------------------
</TABLE>
Notes to the Schedule of Investments:
+ Non-income earning securities.
++ These U.S. Treasury Bills are held in a segregated account in connection
with the Master Portfolio holdings of FTSE 100 Index, Nikkei 300 Index and
Euro 50 Index future contracts. See Note 1.
* Yield to maturity.
The accompanying notes are an integral part of these financial statements.
127
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
----------------------------------------------------------------
<CAPTION>
S&P 500 Index Master Portfolio Shares Value
<S> <C> <C>
----------------------------------------------------------------
COMMON STOCKS--96.53%
----------------------------------------------------------------
Advertising--0.25%
Interpublic Group of Companies Inc. 88,983 $ 3,826,269
Omnicom Group Inc. 52,409 4,667,677
Young & Rubicam Inc. 21,250 1,215,234
--------------
9,709,180
--------------
Aerospace/Defense--0.99%
Boeing Co. 267,657 11,191,408
General Dynamics Corp. 59,166 3,091,423
Goodrich (B.F.) Co. 31,653 1,078,180
Honeywell International Inc. 235,506 7,933,608
Lockheed Martin Corp. 118,063 2,929,438
Northrop Grumman Corp. 20,579 1,363,359
Raytheon Co. "B" 100,313 1,931,025
United Technologies Corp. 138,858 8,175,265
--------------
37,693,706
--------------
Airlines--0.17%
+AMR Corp. 44,117 1,166,343
Delta Air Lines Inc. 36,167 1,828,694
Southwest Airlines Co. 146,387 2,772,204
+US Airways Group Inc. 19,665 766,935
--------------
6,534,176
--------------
Apparel--0.13%
Liz Claiborne Inc. 16,121 568,265
Nike Inc. "B" 80,682 3,212,152
+Reebok International Ltd. 16,696 266,093
Russell Corp. 9,607 192,140
VF Corp. 33,740 803,434
--------------
5,042,084
--------------
Auto Manufacturers--0.68%
Ford Motor Co. 355,660 15,293,380
General Motors Corp. "A" 157,839 9,164,527
+Navistar International Corp. 18,266 567,388
PACCAR Inc. 22,623 897,850
--------------
25,923,145
--------------
Auto Parts & Equipment--0.18%
Cooper Tire & Rubber Co. 21,817 242,714
Dana Corp. 44,980 953,014
Delphi Automotive Systems Corp. 166,161 2,419,720
Goodyear Tire & Rubber Co. 46,125 922,500
TRW Inc. 36,427 1,580,021
+Visteon Corp. 46,568 564,634
--------------
6,682,603
--------------
Banks--4.37%
Amsouth Bancorp 115,902 1,825,457
Bank of America Corp. 488,955 21,025,065
Bank of New York Co. Inc. 217,656 10,121,004
Bank One Corp. 338,401 8,988,777
BB&T Corp. 102,884 2,456,356
</TABLE>
<TABLE>
----------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------
Charter One Financial Inc. 61,800 $ 1,421,400
Chase Manhattan Corp. 364,952 16,810,602
Comerica Inc. 46,138 2,070,443
Fifth Third Bancorp 91,408 5,781,556
First Union Corp. 289,342 7,179,298
Firstar Corp. 286,181 6,027,687
FleetBoston Financial Corp. 265,918 9,041,212
Golden West Financial Corp. 46,604 1,902,026
Huntington Bancshares Inc. 65,477 1,035,355
KeyCorp 128,259 2,260,565
Mellon Financial Corp. 144,933 5,280,996
Morgan (J.P.) & Co. Inc. 47,939 5,279,282
National City Corp. 178,864 3,051,867
Northern Trust Corp. 65,596 4,267,840
Old Kent Financial Corp. 40,530 1,084,177
PNC Bank Corp. 85,645 4,014,609
Regions Financial Corp. 65,133 1,294,518
SouthTrust Corp. 49,639 1,123,082
State Street Corp. 47,492 5,037,120
Summit Bancorp 51,906 1,278,185
SunTrust Banks Inc. 89,242 4,077,244
Synovus Financial Corp. 83,331 1,468,709
U.S. Bancorp 221,809 4,269,823
Union Planters Corp. 39,895 1,114,567
Wachovia Corp. 59,690 3,238,182
Washington Mutual Inc. 161,622 4,666,835
Wells Fargo & Company 475,374 18,420,742
--------------
166,914,581
--------------
Beverages--1.95%
Anheuser-Busch Companies Inc. 133,274 9,953,902
Brown-Forman Corp. "B" 20,210 1,086,287
Coca-Cola Co. 730,291 41,946,089
Coca-Cola Enterprises 124,098 2,024,349
Coors (Adolph) Company "B" 10,832 655,336
PepsiCo Inc. 425,204 18,895,003
--------------
74,560,966
--------------
Biotechnology--0.63%
+Amgen Inc. 302,912 21,279,568
+Biogen Inc. 43,850 2,828,325
--------------
24,107,893
--------------
Building Materials--0.11%
Armstrong Holdings Inc. 11,893 182,112
Masco Corp. 132,383 2,391,168
Owens Corning 16,386 151,570
Vulcan Materials Co. 29,770 1,270,807
--------------
3,995,657
--------------
Chemicals--0.86%
Air Products & Chemicals Inc. 67,659 2,084,743
Ashland Inc. 20,837 730,597
Dow Chemical Co. 199,424 6,020,112
Du Pont (E.I.) de Nemours 309,057 13,521,244
</TABLE>
128
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------------
<CAPTION>
S&P 500 Index Master Portfolio Shares Value
<S> <C> <C>
------------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------------
Eastman Chemical Co. 22,582 $ 1,078,290
Engelhard Corp. 37,703 643,307
+Grace (W.R.) & Company 19,928 241,627
Great Lakes Chemical Corp. 16,041 505,291
Hercules Inc. 31,616 444,600
Praxair Inc. 46,501 1,740,881
Rohm & Haas Co. "A" 64,196 2,214,762
Sherwin-Williams Co. 48,277 1,022,869
Sigma-Aldrich Corp. 25,191 736,837
Union Carbide Corp. 39,767 1,968,466
--------------
32,953,626
--------------
Commercial Services--0.48%
Block (H & R) Inc. 28,977 938,130
+Cendant Corp. 212,779 2,978,906
+Convergys Corp. 45,200 2,344,750
Deluxe Corp. 21,374 503,625
Donnelley (R.R.) & Sons Co. 35,965 811,460
Dun & Bradstreet Corp. 47,696 1,365,298
Ecolab Inc. 38,220 1,492,969
Equifax Inc. 41,646 1,093,207
McKesson HBOC Inc. 83,116 1,740,241
Paychex Inc. 109,551 4,601,142
+Quintiles Transnational Corp. 34,000 480,250
--------------
18,349,978
--------------
Computers--11.17%
+Adaptec Inc. 30,700 698,425
+Apple Computer Inc. 95,992 5,027,581
+Cabletron Systems 53,807 1,358,627
+Ceridian Corp. 42,803 1,029,947
+Cisco Systems Inc. 2,052,472 130,460,252
Compaq Computer Corp. 500,962 12,805,841
+Computer Sciences Corp. 49,381 3,688,143
+Dell Computer Corp. 759,796 37,467,440
Electronic Data Systems Corp. 137,448 5,669,730
+EMC Corporation 640,258 49,259,850
+Gateway Inc. 94,998 5,391,136
Hewlett-Packard Co. 295,134 36,854,858
International Business Machines Corp. 523,099 57,312,034
+Lexmark International Group Inc. "A" 38,175 2,567,269
+NCR Corp. 28,050 1,092,197
+Network Appliance Inc. 89,850 7,232,925
+Sapient Corp. 17,300 1,850,019
+Seagate Technology Inc. 67,076 3,689,180
+Sun Microsystems Inc. 468,086 42,566,571
+3Com Corp. 103,468 5,962,344
+Unisys Corp. 91,975 1,339,386
+Veritas Software Corp. 115,309 13,031,716
--------------
426,355,471
--------------
Cosmetics/Personal Care--1.49%
Alberto-Culver Co. "B" 16,427 502,050
Avon Products Inc. 70,093 3,119,138
Colgate-Palmolive Co. 170,134 10,186,773
</TABLE>
<TABLE>
--------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
--------------------------------------------------------------------
Gillette Co. 307,983 $ 10,760,156
International Flavors & Fragrances Inc. 30,348 916,130
Kimberly-Clark Corp. 163,941 9,406,115
Procter & Gamble Co. 385,931 22,094,550
--------------
56,984,912
--------------
Distribution/Wholesale--0.16%
+Costco Wholesale Corp. 131,776 4,348,608
Genuine Parts Co. 52,188 1,043,760
Grainger (W.W.) Inc. 27,673 852,674
--------------
6,245,042
--------------
Diversified Financial Services--5.12%
American Express Co. 394,141 20,544,600
Associates First Capital Corp. 214,910 4,795,179
Bear Stearns Companies Inc. 32,599 1,356,933
Capital One Financial Corp. 57,740 2,576,648
Citigroup Inc. 995,704 59,991,166
Countrywide Credit Industries Inc. 33,474 1,014,681
Federal Home Loan Mortgage Corporation 205,111 8,306,995
Federal National Mortgage Association 297,183 15,509,238
Franklin Resources Inc. 71,881 2,183,385
Household International Inc. 139,616 5,802,790
Lehman Brothers Holdings Inc. 35,675 3,373,517
MBNA Corp. 236,525 6,415,741
Merrill Lynch & Co. Inc. 114,437 13,160,255
Morgan Stanley Dean Witter & Co. 333,984 27,804,168
Paine Webber Group Inc. 43,004 1,956,682
Price (T. Rowe) Associates 35,650 1,515,125
Providian Financial Corp. 42,059 3,785,310
Schwab (Charles) Corp. 401,777 13,509,752
SLM Holding Corp. 46,234 1,730,885
--------------
195,333,050
--------------
Electric--1.58%
+AES Corp. 125,810 5,740,081
Ameren Corp. 40,466 1,365,727
American Electric Power Inc. 94,948 2,812,835
Cinergy Corp. 46,911 1,193,299
CMS Energy Corp. 32,343 715,589
Consolidated Edison Inc. 62,520 1,852,155
Constellation Energy Group Inc. 44,110 1,436,332
CP&L Energy Inc. 47,126 1,505,087
Dominion Resources Inc. 70,218 3,010,597
DTE Energy Co. 42,110 1,286,987
Duke Energy Corp. 108,456 6,114,207
Edison International 98,024 2,009,492
Entergy Corp. 67,882 1,845,542
FirstEnergy Corp. 68,161 1,593,263
Florida Progress Corp. 29,108 1,364,438
</TABLE>
129
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
S&P 500 Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
FPL Group Inc. 52,606 $ 2,603,997
GPU Inc. 35,807 969,027
New Century Energies Inc. 34,343 1,030,290
+Niagara Mohawk Holdings Inc. 50,880 709,140
Northern States Power Co. 46,395 936,599
PECO Energy Co. 50,048 2,017,560
PG&E Corp. 113,712 2,800,158
Pinnacle West Capital Corp. 25,000 846,875
PP & L Resources Inc. 42,577 934,033
Public Service Enterprise Group Inc. 63,813 2,209,525
Reliant Energy Inc. 87,234 2,578,855
Southern Co. 191,400 4,462,013
TXU Corporation 77,811 2,295,424
Unicom Corp. 52,448 2,029,082
--------------
60,268,209
--------------
Electrical Components & Equipment--0.33%
+American Power Conversion Corp. 57,200 2,334,475
Emerson Electric Co. 125,932 7,603,145
Molex Inc. 57,850 2,784,031
--------------
12,721,651
--------------
Electronics--1.44%
+Agilent Technologies Inc. 133,393 9,837,734
+Analog Devices Inc. 104,380 7,932,880
Johnson Controls Inc. 25,308 1,298,617
Linear Technology Corp. 91,800 5,869,462
+Maxim Integrated Products Inc. 83,400 5,665,987
Millipore Corp. 13,625 1,026,984
Parker Hannifin Corp. 33,031 1,131,312
PE Corp. (Biosystems Group) 61,422 4,046,174
PerkinElmer Inc. 14,448 955,374
+Sanmina Corp. 43,750 3,740,625
+Solectron Corp. 175,954 7,368,074
Tektronix Inc. 14,210 1,051,540
+Teradyne Inc. 51,090 3,755,115
+Thermo Electron Corp. 46,003 968,938
Thomas & Betts Corp. 17,143 327,860
--------------
54,976,676
--------------
Engineering & Construction--0.02%
Fluor Corp. 22,558 713,407
--------------
Entertainment--0.02%
+Harrah's Entertainment Inc. 36,015 754,064
--------------
Environmental Control--0.11%
+Allied Waste Industries Inc. 55,715 557,150
Waste Management Inc. 183,268 3,482,092
--------------
4,039,242
--------------
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-------------------------------------------------------------
Food--1.86%
Albertson's Inc. 124,976 $ 4,155,452
Archer-Daniels-Midland Co. 177,683 1,743,514
Bestfoods 80,962 5,606,618
Campbell Soup Co. 124,661 3,630,752
ConAgra Inc. 145,231 2,768,466
General Mills Inc. 86,036 3,290,877
Great Atlantic & Pacific Tea Co. 11,288 187,663
Heinz (H.J.) Co. 103,902 4,545,713
Hershey Foods Corp. 40,435 1,968,679
Kellogg Co. 119,649 3,559,558
+Kroger Co. 246,360 5,435,318
Nabisco Group Holdings Corp. "A" 96,363 2,499,415
Quaker Oats Co. 38,658 2,904,182
Ralston Purina Co. 90,546 1,805,261
+Safeway Inc. 146,509 6,611,219
Sara Lee Corp. 256,527 4,954,178
Super Value Inc. 38,779 739,225
Sysco Corp. 98,312 4,141,393
Unilever NV 168,689 7,253,627
Winn-Dixie Stores Inc. 42,658 610,543
Wrigley William Jr. Co. 33,637 2,697,267
--------------
71,108,920
--------------
Forest Products & Paper--0.37%
Boise Cascade Corp. 16,843 435,813
Fort James Corp. 60,728 1,404,335
Georgia-Pacific Corp. 50,289 1,320,086
International Paper Co. 142,526 4,249,056
Louisiana-Pacific Corp. 30,771 334,635
Mead Corp. 30,346 766,236
Potlatch Corp. 8,471 280,602
Temple-Inland Inc. 15,437 648,354
Westvaco Corp. 29,713 737,254
Weyerhaeuser Co. 68,695 2,953,885
Willamette Industries Inc. 32,672 890,312
--------------
14,020,568
--------------
Gas--0.07%
Eastern Enterprises 8,032 506,016
NICOR Inc. 13,745 448,431
ONEOK Inc. 8,584 222,648
Peoples Energy Corp. 10,459 338,610
Sempra Energy 60,279 1,024,743
--------------
2,540,448
--------------
Hand/Machine Tools--0.05%
Black & Decker Corp. 25,127 987,805
Snap-On Inc. 17,253 459,361
Stanley Works (The) 25,902 615,172
--------------
2,062,338
--------------
Health Care--2.54%
Allergan Inc. 38,250 2,849,625
Bard (C.R.) Inc. 14,878 716,004
Bausch & Lomb Inc. 15,621 1,208,675
Baxter International Inc. 85,621 6,020,227
Becton Dickinson & Co. 74,461 2,136,100
Biomet Inc. 34,868 1,340,239
+Boston Scientific Corp. 120,321 2,639,542
+Guidant Corp. 90,411 4,475,344
HCA--The Healthcare Company 164,536 4,997,781
</TABLE>
130
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------------
<CAPTION>
S&P 500 Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------------
+Healthsouth Corp. 113,709 $ 817,283
+Humana Inc. 49,704 242,307
Johnson & Johnson 410,347 41,804,101
Mallinckrodt Group Inc. 19,824 861,105
+Manor Care Inc. 30,186 211,302
Medtronic Inc. 353,156 17,591,583
+St. Jude Medical Inc. 24,753 1,135,544
Tenet Healthcare Corp. 92,273 2,491,371
UnitedHealth Group Inc. 47,903 4,107,682
+Wellpoint Health Networks Inc. 18,355 1,329,590
--------------
96,975,405
--------------
Holding Companies--Diversified--0.20%
Seagram Co. Ltd. 128,787 7,469,646
--------------
7,469,646
--------------
Home Builders--0.03%
Centex Corp. 17,515 411,602
Kaufman & Broad Home Corp. 14,179 280,921
Pulte Corp. 12,137 262,463
--------------
954,986
--------------
Home Furnishings--0.07%
Leggett & Platt Inc. 58,000 957,000
Maytag Corp. 23,111 852,218
Whirlpool Corp. 21,581 1,006,214
--------------
2,815,432
--------------
Household Products/Wares--0.24%
American Greetings Corp. "A" 19,020 361,380
Avery Dennison Corp. 33,083 2,220,696
Clorox Co. 69,302 3,105,596
Fortune Brands Inc. 46,748 1,078,126
Newell Rubbermaid Inc. 78,590 2,023,693
Tupperware Corp. 17,021 374,462
--------------
9,163,953
--------------
Insurance--2.84%
Aetna Inc. 41,589 2,669,494
AFLAC Inc. 78,282 3,596,079
Allstate Corp. 219,699 4,888,303
American General Corp. 73,323 4,472,703
American International Group 454,825 53,441,938
AON Corp. 75,472 2,344,334
Chubb Corp. 51,669 3,177,643
CIGNA Corp. 48,077 4,495,199
Cincinnati Financial Corp. 47,444 1,491,521
Conseco Inc. 95,946 935,473
Hartford Financial Services Group Inc. 63,362 3,544,312
Jefferson-Pilot Corp. 30,464 1,719,312
Lincoln National Corp. 56,547 2,042,760
Loews Corp. 29,113 1,746,780
Marsh & McLennan Companies Inc. 79,585 8,311,659
MBIA Inc. 29,039 1,399,317
MGIC Investment Corp. 31,231 1,421,010
</TABLE>
<TABLE>
-----------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
-----------------------------------------------------------------
Progressive Corporation 21,575 $ 1,596,550
SAFECO Corp. 37,622 747,737
St. Paul Companies Inc. 62,543 2,134,280
Torchmark Corp. 37,786 932,842
UNUMProvident Corp. 70,960 1,423,635
--------------
108,532,881
--------------
Iron/steel--0.05%
Allegheny Technologies Inc. 24,570 442,260
+Bethlehem Steel Corp. 39,001 138,941
Nucor Corp. 25,074 832,143
USX-U.S. Steel Group Inc. 26,033 483,238
--------------
1,896,582
--------------
Leisure Time--0.22%
Brunswick Corp. 25,932 429,499
Carnival Corp. "A" 178,339 3,477,610
Harley-Davidson Inc. 89,600 3,449,600
Sabre Holdings Corp. 38,105 1,085,993
--------------
8,442,702
--------------
Lodging--0.09%
Hilton Hotels Corp. 108,662 1,018,706
Marriott International Inc. 70,733 2,550,809
--------------
3,569,515
--------------
Machinery--0.34%
Briggs & Stratton Corp. 6,622 226,803
Caterpillar Inc. 102,878 3,484,992
Cummins Engine Company Inc. 12,200 332,450
Deere & Co. 69,077 2,555,849
Dover Corp. 59,863 2,428,193
Ingersoll-Rand Co. 47,786 1,923,387
McDermott International Inc. 17,706 156,034
Rockwell International Corp. 55,445 1,746,517
--------------
12,854,225
--------------
Manufacturers--6.08%
Cooper Industries Inc. 27,520 896,120
Corning Inc. 81,353 21,955,141
Crane Co. 17,843 433,808
Danaher Corp. 41,806 2,066,784
Eastman Kodak Co. 91,441 5,440,740
Eaton Corp. 21,496 1,440,232
+FMC Corp. 8,992 521,536
General Electric Co. 2,919,108 154,712,724
Illinois Tool Works Inc. 88,936 5,069,352
ITT Industries Inc. 25,973 788,930
Minnesota Mining & Manufacturing Co. 116,771 9,633,608
National Service Industries Inc. 11,998 233,961
Pall Corp. 36,449 674,307
Polaroid Corp. 13,220 238,786
PPG Industries Inc. 51,394 2,277,397
Textron Inc. 42,584 2,312,844
Tyco International Ltd. 498,078 23,596,445
--------------
232,292,715
--------------
</TABLE>
131
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------------------
<CAPTION>
S&P 500 Index Master Portfolio Shares Value
<S> <C> <C>
-----------------------------------------------------------------
COMMON STOCKS--(Continued)
-----------------------------------------------------------------
Media--3.14%
+Clear Channel Communications Inc. 100,045 $ 7,503,375
+Comcast Corp. "A" 264,908 10,728,774
Disney (Walt) Co. 613,024 23,792,994
Dow Jones & Co. Inc. 26,136 1,914,462
Gannett Co. Inc. 78,630 4,703,057
Harcourt General Inc. 21,181 1,151,717
Knight Ridder Inc. 22,948 1,220,547
McGraw-Hill Companies Inc. 57,345 3,096,630
Meredith Corp. 14,947 504,461
New York Times Co. "A" 50,154 1,981,083
Time Warner Inc. 388,170 29,500,920
Tribune Co. 91,032 3,186,120
+Viacom Inc. "B" 449,923 30,679,125
--------------
119,963,265
--------------
Metal Fabricate/Hardware--0.02%
Timken Co. 17,951 334,337
Worthington Industries Inc. 25,390 266,595
--------------
600,932
--------------
Metals--Diversified--0.30%
Alcan Aluminium Ltd. 64,565 2,001,515
Alcoa Inc. 254,914 7,392,506
+Freeport-McMoRan Copper & Gold Inc. 47,174 436,360
+Inco Ltd. 53,637 824,669
Phelps Dodge Corp. 23,201 862,787
--------------
11,517,837
--------------
Mining--0.12%
Barrick Gold Corp. 116,748 2,123,354
Homestake Mining Company 76,835 528,241
Newmont Mining Corp. 49,505 1,070,546
Placer Dome Inc. 96,556 923,317
--------------
4,645,458
--------------
Office/Business Equipment--0.19%
Pitney Bowes Inc. 76,003 3,040,120
Xerox Corp. 196,566 4,078,745
--------------
7,118,865
--------------
Oil & Gas Producers--4.74%
Amerada Hess Corp. 26,691 1,648,169
Anadarko Petroleum Corp. 37,795 1,863,766
Apache Corp. 33,597 1,975,924
Burlington Resources Inc. 63,478 2,428,034
Chevron Corp. 192,401 16,318,010
Coastal Corp. 63,110 3,841,821
Conoco Inc. 184,185 4,524,044
Exxon Mobil Corp. 1,027,075 80,625,388
Kerr-McGee Corp. 27,824 1,639,877
Occidental Petroleum Corp. 108,734 2,290,210
Phillips Petroleum Co. 74,887 3,795,835
+Rowan Companies Inc. 27,675 840,628
Royal Dutch Petroleum Co. 632,674 38,948,993
</TABLE>
<TABLE>
----------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
----------------------------------------------------------
Sunoco Inc. 26,137 $ 769,408
Texaco Inc. 162,900 8,674,425
Tosco Corp. 42,650 1,207,528
Transocean Sedco Forex Inc. 62,068 3,316,759
Union Pacific Resources Group 74,333 1,635,326
Unocal Corp. 71,663 2,373,837
USX-Marathon Group Inc. 91,977 2,305,174
--------------
181,023,156
--------------
Oil & Gas Services--0.57%
Baker Hughes Inc. 97,458 3,118,656
Halliburton Co. 131,018 6,182,412
Schlumberger Ltd. 167,942 12,532,672
--------------
21,833,740
--------------
Packaging & Containers--0.09%
Ball Corp. 8,780 282,606
Bemis Co. 15,708 528,182
Crown Cork & Seal Co. Inc. 37,841 567,615
+Owens-Illinois Inc. 43,219 505,122
+Pactiv Corp. 49,825 392,372
+Sealed Air Corp. 24,657 1,291,410
--------------
3,567,307
--------------
Pharmaceuticals--8.02%
Abbott Laboratories 457,120 20,370,410
+ALZA Corp. 30,289 1,790,837
American Home Products Corp. 384,853 22,610,114
Bristol-Myers Squibb Co. 581,988 33,900,801
Cardinal Health Inc. 81,252 6,012,648
Lilly (Eli) and Company 333,194 33,277,751
+MedImmune Inc. 61,600 4,558,400
Merck & Co. Inc. 678,408 51,983,013
Pfizer Inc. 1,857,192 89,145,204
Pharmacia & Upjohn Inc. 374,555 19,359,812
Schering-Plough Corp. 431,964 21,814,182
+Watson Pharmaceutical Inc. 28,471 1,530,316
--------------
306,353,488
--------------
Pipelines--0.64%
Columbia Energy Group 23,772 1,560,038
EL Paso Energy Corp. 68,257 3,476,841
Enron Corp. 215,970 13,930,065
Williams Companies Inc. 130,360 5,434,383
--------------
24,401,327
--------------
Retail--5.29%
+AutoZone Inc. 39,456 868,023
+Bed Bath & Beyond Inc. 41,400 1,500,750
+Best Buy Co. Inc. 60,298 3,813,849
Circuit City Stores Inc. 59,963 1,990,022
+Consolidated Stores Corp. 32,652 391,824
CVS Corp. 115,144 4,605,760
Darden Restaurants Inc. 36,480 592,800
Dillards Inc. "A" 27,622 338,370
</TABLE>
132
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
-------------------------------------------------------------------
<CAPTION>
S&P 500 Index Master Portfolio Shares Value
<S> <C> <C>
-------------------------------------------------------------------
COMMON STOCKS--(Continued)
-------------------------------------------------------------------
Dollar General Corp. 97,130 $ 1,894,035
+Federated Department Stores Inc. 63,117 2,130,199
Gap Inc. 251,098 7,846,813
Home Depot Inc. 682,641 34,089,385
+Kmart Corp. 141,959 967,096
+Kohls Corp. 96,218 5,352,126
Limited Inc. 126,776 2,741,531
Longs Drug Stores Inc. 11,654 253,475
Lowe's Companies Inc. 112,790 4,631,439
May Department Stores Co. 98,073 2,353,752
McDonald's Corp. 394,268 12,986,202
Nordstrom Inc. 39,715 958,124
+Office Depot Inc. 93,299 583,119
Penney (J.C.) Company Inc. 76,999 1,419,669
RadioShack Corp. 55,075 2,609,178
Rite Aid Corp. 76,381 501,250
Sears, Roebuck and Co. 104,024 3,393,783
+Staples Inc. 142,879 2,196,765
+Starbucks Corp. 54,200 2,069,763
Target Corporation 134,574 7,805,292
Tiffany & Co. 21,400 1,444,500
TJX Companies Inc. 88,503 1,659,431
+Toys R Us Inc. 63,825 929,452
+Tricon Global Restaurants Inc. 43,482 1,228,367
Walgreen Co. 297,328 9,570,245
Wal-Mart Stores Inc. 1,315,010 75,777,451
Wendy's International Inc. 33,543 597,485
--------------
202,091,325
--------------
Semiconductors--6.15%
+Advanced Micro Devices Inc. 45,227 3,493,786
+Altera Corp. 58,700 5,983,731
+Applied Materials Inc. 238,236 21,590,138
+Conexant Systems Inc. 64,150 3,119,294
Intel Corp. 988,115 132,098,624
+KLA-Tencor Corp. 54,896 3,214,847
+LSI Logic Corp. 90,558 4,901,452
+Micron Technology Inc. 163,751 14,420,343
+National Semiconductor Corp. 52,131 2,958,434
+Novellus Systems Inc. 38,500 2,177,656
Texas Instruments Inc. 482,776 33,160,677
+Xilinx Inc. 94,800 7,826,925
--------------
234,945,907
--------------
Software--7.90%
Adobe Systems Inc. 35,326 4,592,380
+America Online Inc. 677,842 35,756,166
Autodesk Inc. 17,182 596,001
Automatic Data Processing 185,107 9,914,794
+BMC Software Inc. 72,084 2,629,942
+Citrix Systems Inc. 54,640 1,034,745
Computer Associates International Inc. 173,596 8,885,945
+Compuware Corp. 106,345 1,103,329
First Data Corp. 121,623 6,035,541
IMS Health Inc. 87,683 1,578,294
</TABLE>
<TABLE>
------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C>
------------------------------------------------------------
+Mercury Interactive Corp. 23,500 $ 2,273,625
+Microsoft Corp. 1,552,674 124,213,920
+Novell Inc. 97,214 899,230
+Oracle Corp. 837,472 70,399,990
+Parametric Technology Corp. 81,453 895,983
+PeopleSoft Inc. 81,410 1,363,618
+Siebel Systems Inc. 58,850 9,625,653
+Yahoo! Inc. 160,330 19,860,879
--------------
301,660,035
--------------
Telecommunication Equipment--4.54%
+ADC Telecommunications Inc. 99,502 8,345,723
+Andrew Corp. 23,767 797,680
+Comverse Technology Inc. 45,050 4,189,650
Lucent Technologies Inc. 960,833 56,929,355
Motorola Inc. 634,980 18,454,106
Nortel Networks Corp. 873,984 59,649,408
+QUALCOMM Inc. 218,596 13,115,760
Scientific-Atlanta Inc. 46,946 3,497,477
+Tellabs Inc. 120,813 8,268,140
--------------
173,247,299
--------------
Telecommunications--0.96%
+Global Crossing Ltd. 260,199 6,846,486
+Nextel Communications Inc. "A" 223,764 13,691,560
+Sprint Corp. (PCS Group) 270,013 16,065,774
--------------
36,603,820
--------------
Telephone--5.62%
Alltel Corp. 93,034 5,762,293
AT&T Corp. 1,107,175 35,014,417
Bell Atlantic Corp. 456,085 23,174,819
BellSouth Corp. 555,119 23,661,947
CenturyTel Inc. 41,419 1,190,796
GTE Corp. 284,015 17,679,934
SBC Communications Inc. 1,003,688 43,409,506
Sprint Corp. (FON Group) 258,680 13,192,680
US West Communications Inc. 149,780 12,843,635
+WorldCom Inc. 844,758 38,753,273
--------------
214,683,300
--------------
Textiles--0.00%
Springs Industries Inc. "A" 5,242 168,727
--------------
Tobacco--0.49%
Philip Morris Companies Inc. 674,720 17,922,250
UST Inc. 47,906 703,619
--------------
18,625,869
--------------
Toys/Games/Hobbies--0.06%
Hasbro Inc. 50,812 765,356
Mattel Inc. 125,622 1,656,640
--------------
2,421,996
--------------
</TABLE>
133
<PAGE>
Schedule of Investments--(Continued)
June 30, 2000 (Unaudited)
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Shares/
S&P 500 Index Master Portfolio Principal Value
<S> <C> <C>
------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
------------------------------------------------------------------------------
Transportation--0.39%
Burlington Northern Santa Fe Corp. 126,334 $ 2,897,786
CSX Corp. 64,427 1,365,047
+FedEx Corp. 85,557 3,251,166
Kansas City Southern Industries Inc. 32,841 2,912,586
Norfolk Southern Corp. 113,050 1,681,619
Union Pacific Corp. 73,080 2,717,663
--------------
14,825,867
--------------
Trucking & Leasing--0.01%
Ryder System Inc. 17,510 331,596
--------------
TOTAL COMMON STOCKS
(Cost: $2,696,343,153) 3,686,190,751
--------------
------------------------------------------------------------------------------
SHORT TERM INSTRUMENTS--2.71%
------------------------------------------------------------------------------
++FHLMC Discount Note
6.42%, 07/05/00 $ 18,395,703 18,395,703
++Goldman Sachs Financial Square Prime Obligation
Fund
6.57%, 07/03/00 56,944,870 56,944,870
++Short Term Investment Company Liquid Assets
Portfolio
6.67%, 07/03/00 20,300,000 20,300,000
*+++U.S. Treasury Bills
5.61%, 09/21/00 8,150,000 8,047,310
--------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $103,688,397) 103,687,883
--------------
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Principal Value
<S> <C> <C>
-----------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.09%
-----------------------------------------------------------------------------
Morgan Stanley Tri Party Repurchase Agreement,
dated 06/30/00, due 07/03/00, with a maturity
value of $118,102,909 and an effective yield of
6.30% $118,040,937 $ 118,040,937
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $118,040,937) 118,040,937
--------------
TOTAL INVESTMENTS IN SECURITIES--102.33%
(Cost $2,918,072,487) 3,907,919,571
Other Assets, Less Liabilities--(2.33%) (89,114,415)
--------------
NET ASSETS--100.00% $3,818,805,156
==============
</TABLE>
Notes to the Schedule of Investments:
+ Non-income earning securities.
++ Represents investment of collateral received from securities lending
transactions. See Note 4.
+++ These U.S. Treasury Bills are held in segregated accounts in connection
with the Master Portfolio's holdings of S&P 500 futures contracts. See Note
1.
* Yield to Maturity.
The accompanying notes are an integral part of these financial statements.
134
<PAGE>
Schedule of Investments
June 30, 2000 (Unaudited)
<TABLE>
-----------------------------------------------------
<CAPTION>
U.S. Equity Index Master Portfolio Value
-----------------------------------------------------
<S> <C>
MASTER PORTFOLIOS--100.01%
Extended Index Master Portfolio $162,976,650
S&P 500 Index Master Portfolio 523,047,466
------------
TOTAL MASTER PORTFOLIOS 686,024,116
============
TOTAL INVESTMENTS--100.01% 686,024,116
Other Assets Less Liabilities--(0.01%) (90,904)
------------
NET ASSETS--100.00% $685,933,212
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
135
<PAGE>
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