E*TRADE EXTENDED MARKET INDEX FUND
SEMIANNUAL REPORT
Dear E*TRADE Funds Shareholders,
We're writing to report the performance of the E*TRADE Extended Market Index
Fund (the "Fund") for the half-year that ended June 30, 2000. We'd also like to
take this opportunity to thank all of you for your investment in the Fund.
The investment objective of the Fund is to match as closely as practicable,
before fees and expenses, the performance of the Wilshire 4500 Equity Index,
commonly known as the Extended Market Index (the "Index").* The Wilshire 4500
Index is composed of over 6,500 equity securities of issuers headquartered in
the United States. The Wilshire 4500 Index is almost entirely comprised of
common stocks listed on the New York Stock Exchange, American Stock Exchange or
NASDAQ Stock Market, excluding the 500 largest capitalization stocks. Many of
the companies whose securities comprise the Wilshire 4500 Index are small- to
medium-capitalization companies. The weightings of stocks in the Wilshire 4500
Index are based on each stock's relative total market capitalization; that is,
its market price per share times the number of shares outstanding. The Fund
seeks to achieve its investment objective by investing all of its assets in the
Extended Index Master Portfolio ("Master Portfolio.") The Master Portfolio
invests in a representative sample of the securities that comprise the Index.
For the six months ended June 30, 2000, the Fund returned 0.87%, while the Index
gained 0.27%. The Fund has gained a cumulative 29.23% since inception on August
13, 1999. The Fund has returned 29.49% since September 1, 1999, compared to the
Index's return of 29.12% for the same period.** The investment return and
principal value of an investment in the Fund will fluctuate, and your shares,
when redeemed, may be worth more or less than their original cost.
Equity markets began the year dropping on the news of strong economic figures, a
theme that would dominate the first half of 2000. The next six months witnessed
some of the most volatile markets in history, with the NASDAQ logging both its
largest intra-day price movement and its largest single-day loss during the
month of April.
Higher-than-expected fourth quarter GDP figures renewed investor concerns about
the possibility of higher interest rates. In response, markets tumbled in
January, dragged down by the technology sector. However, the NASDAQ roared back
in February, gaining over 15% for the month. The Federal Reserve Board raised
interest rates in February and again in March, as strong economic numbers
continued to surface. In a reversal of past trends, concerns about the economy
drove investors away from technology stocks, and "old economy" stocks outpaced
"new economy" shares for the next several months.
The second quarter opened with a court's ruling against Microsoft in an
antitrust lawsuit, triggering a sell-off in the technology sector. The NASDAQ
plummeted 7.64% on that day, its fifth largest decline in history. On April 14,
higher-than-expected Consumer Price Index figures for March drove the NASDAQ
down 9.67% or 355.49 points, marking its second-largest percentage decline and
largest point drop ever. The move away from "new economy" stocks continued into
May. A widely anticipated 0.50% increase in interest rates by the Federal
Reserve on May 16 spurred further market declines. On May 23, the NASDAQ reached
its year low of 3164.55, representing a 37.32% drop from its historic high on
March 10. June brought a reprieve to the markets. Economic reports pointed
toward a slowing economy, and the Federal Reserve Board left rates unchanged.
Markets welcomed the relief from inflationary concerns by rebounding sharply.
The NASDAQ, in particular, recovered 16.62% for the month.
The involvement of the Fund in the IPO market was a continuing trend across the
first quarter. Successful IPOs included Web Methods in February, up 349% through
June 30th. In addition, one of the market's best performers was 3COM Corp. whose
strong returns are attributed to the IPO of the company's Palm Inc. unit. Poor
market performance early in the second quarter caused some IPO listings to be
either postponed or reduced in size before being priced. However, several
successful IPO listings were logged during the second quarter as well: on April
12, Nuance Communications went public, rising 390%; Sonus Networks, listed on
May 24, soared 586%; and Marvell Technology Group's listing on June 23 shot up
280%.
You should remember that past performance is no guarantee of future returns and
the Fund may not be able to duplicate its performance. The Fund's unaudited
financial statements for the period ended June 30, 2000 are provided below. We
hope you will find them useful for evaluating and monitoring your investment.
Thank you again for your continued participation in the E*TRADE Extended Market
Index Fund.
Sincerely, E*TRADE Funds
*Wilshire Associates, Inc. ("Wilshire Associates") does not sponsor the Fund or
the Master Portfolio, nor is it affiliated in any way with the Fund or the
Master Portfolio or their respective investment advisors. "Wilshire 4500 Equity
Index(R)," "Wilshire 4500 Index(R)," and "Wilshire 4500(R)," are trademarks of
Wilshire Associates Incorporated and have been licensed for use by E*TRADE Asset
Management, Inc. The Fund and the Master Portfolio are not sponsored, endorsed,
sold, or promoted by Wilshire Associates, and neither Wilshire Associates nor
the Wilshire 4500 Index makes any representation or warranty, express or
implied, regarding the advisability of investing in the Fund or the Master
Portfolio.
** The Fund began operations on August 13, 1999. Index Comparisons began on
September 1, 1999.
<PAGE>
EXTENDED INDEX MASTER PORTFOLIO
JUNE 30, 2000 (Unaudited)
Schedule of Investments
Security Shares Value
-----------------------------------------------------------------------
COMMON STOCKS--96.30%
ADVERTISING--0.63%
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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
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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
<PAGE>
TransTechnology Corp. 232 2,552
Venturian Corp. 440 1,760
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376,391
-----------------------------------------------------------------------
AGRICULTURE--0.02%
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Delta & Pine Land Co. 2,014 50,476
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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
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
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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
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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
<PAGE>
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
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
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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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
Zions Bancorp 4,998 229,361
-----------------------------------------------------------------------
10,207,480
-----------------------------------------------------------------------
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
<PAGE>
Avant Immunotherapeutics Inc. + 2,900 30,631
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
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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
-----------------------------------------------------------------------
CHEMICALS--1.09%
-----------------------------------------------------------------------
<PAGE>
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
<PAGE>
RPM Inc. 6,047 61,226
Schulman Inc. "A" 1,588 19,155
Scotts Co. (The)"A" + 2,635 96,177
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
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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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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. (T+e) 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
<PAGE>
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
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
-----------------------------------------------------------------------
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
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30,807,713
-----------------------------------------------------------------------
<PAGE>
-----------------------------------------------------------------------
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
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
<PAGE>
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
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
<PAGE>
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
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5,229,365
-----------------------------------------------------------------------
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
<PAGE>
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
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4,939,090
-----------------------------------------------------------------------
ELECTRICAL COMPONENTS & EQUIPMENT--0.06%
-----------------------------------------------------------------------
Hubbell Inc. "B" 4,442 113,271
UCAR International Inc. + 2,812 36,732
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150,003
-----------------------------------------------------------------------
ELECTRONICS--5.43%
-----------------------------------------------------------------------
Acme Electric Corp. + 500 4,312
Act Manufacturing Inc. + 734 34,085
Actel Corp. + 1,337 61,001
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
-----------------------------------------------------------------------
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
<PAGE>
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
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
<PAGE>
WMS Industries Inc. + 3,102 47,887
World Wrestling Federation
Entertainment Inc. + 1,200 24,975
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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
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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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
Enzon Inc. + 2,084 88,570
Epimmune Inc. + 2,000 12,750
Epitope Inc. + 1,601 22,014
<PAGE>
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
Mediware Information Systems Inc. + 200 1,300
Medstone International Inc. + 300 1,725
<PAGE>
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
<PAGE>
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 Intruments 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
<PAGE>
McGrath RentCorp 916 15,572
Morrison Knudsen Corp. + 2,689 19,495
UNIFAB International Inc. + 300 2,475
-----------------------------------------------------------------------
209,632
-----------------------------------------------------------------------
HOLDING COMPANIES-DIVERSIFIED--2.00%
-----------------------------------------------------------------------
Berkshire Hathaway Inc. "A" + 93 5,003,400
-----------------------------------------------------------------------
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
<PAGE>
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
-----------------------------------------------------------------------
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
<PAGE>
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
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
<PAGE>
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
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
-----------------------------------------------------------------------
<PAGE>
-----------------------------------------------------------------------
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
-----------------------------------------------------------------------
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
<PAGE>
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
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
<PAGE>
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
-----------------------------------------------------------------------
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
<PAGE>
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
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
<PAGE>
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
-----------------------------------------------------------------------
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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%
-----------------------------------------------------------------------
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
Franchise Finance Corporation of America 3,892 89,516
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
<PAGE>
Books-A-Million Inc. + 1,043 4,824
Borders Group Inc. + 4,435 69,020
BOWLIN Outdoor Advertising & Travel
Centers Inc. + 200 1,275
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
-----------------------------------------------------------------------
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
Data Race Inc. + 3,209 21,260
Davox Corp. + 762 9,858
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
Leap Wireless International Inc. + 1,555 73,085
Level 3 Communications Inc. + 22,641 1,992,408
Lifeline Systems Inc. + 214 2,996
<PAGE>
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
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
<PAGE>
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
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
<PAGE>
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
-----------------------------------------------------------------------
TRANSPORTATION--0.92%
-----------------------------------------------------------------------
ABC Rail Products Corp. + 1,831 14,648
<PAGE>
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
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
<PAGE>
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
-----------------------------------------------------------------------
Security Principal Value
-----------------------------------------------------------------------
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
-----------------------------------------------------------------------
Security Principal Value
-----------------------------------------------------------------------
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
-----------------------------------------------------------------------
<PAGE>
-----------------------------------------------------------------------
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
=====================================================================
--------------------------------------------------------------------------------
+ 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.
<PAGE>
E*TRADE EXTENDED MARKET INDEX FUND
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSETS
Investments:
In Extended Index Master Portfolio
(Master Portfolio), at market value (Note 1) $9,175,097
----------
Total Assets 9,175,097
----------
LIABILITIES
Payables:
Capital shares redeemed 25,107
Accrued administration fee (Note 2) 7,068
Distribution to shareholders 13,714
Due to E*TRADE Asset Management, Inc. (Note 2) 591
----------
Total Liabilities 46,480
----------
NET ASSETS $9,128,617
==========
NET ASSETS CONSIST OF:
Paid-in capital 8,601,967
Distributions in excess of net investment income (5,881)
Undistributed net realized gain on investments 213,964
Net unrealized appreciation of investments 318,567
----------
NET ASSETS $9,128,617
==========
Shares outstanding 710,202
==========
Net asset value and offering price per share $ 12.85
==========
--------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
E*TRADE EXTENDED MARKET INDEX FUND
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
NET INVESTMENT INCOME ALLOCATED FROM MASTER PORTFOLIO
Dividends $ 28,749
Interest 8,768
Expenses (3,669)
---------
Net investment income allocated from Master Portfolio 33,848
---------
FUND EXPENSES (NOTE 2)
Administration fees 9,470
Advisory fees 730
Trustee fees 361
---------
Total fund expenses 10,561
---------
Less:
Waived Trustee fees (Note 2) (361)
---------
Total Net Expenses 10,200
---------
Net investment income 23,648
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS ALLOCATED
FROM MASTER PORTFOLIO
Net realized gain on investments 185,368
Net realized loss on sale of futures contracts (21,915)
Net change in unrealized depreciation of investment (338,441)
Net change in unrealized depreciation of future con (9,287)
---------
Net realized and unrealized loss on investments and future
contracts allocated from Extended Market Index Master Port (184,275)
---------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(160,627)
=========
--------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
E*TRADE EXTENDED MARKET INDEX FUND
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD AUGUST 13,
FOR THE SIX MONTHS 1999 (COMMENCEMENT OF
ENDED JUNE 30, 2000 OPERATIONS) THROUGH
(UNAUDITED) DECEMBER 31, 1999
------------------- ------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 23,648 $ 7,082
Net realized gain 163,453 50,511
Net change in unrealized appreciation (depreciation) (347,728) 666,295
---------- ----------
Net increase (decrease) in net assets resulting from operations (160,627) 723,888
---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (28,301) (8,359)
---------- ----------
Total distributions to shareholders (28,301) (8,359)
---------- ----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 6,700,743 4,049,834
Net asset value of shares issued in reinvestment
of dividends and distributions 21,280 897
Cost of shares redeemed (net of redemption fees of
$6,101 and $1,228, respectively) (1,871,452) (299,286)
---------- ----------
Net increase in net assets resulting from capital
share transactions 4,850,571 3,751,445
---------- ----------
Increase in net assets 4,661,643 4,466,974
NET ASSETS:
Beginning of period 4,466,974 0
---------- ----------
End of period (including distributions in excess of
net investment income of $5,881 and $1,228) $9,128,617 $4,466,974
========== ==========
SHARES ISSUED AND REDEEMED:
Shares sold 506,411 377,377
Shares issued in reinvestment of dividends
and distributions 1,635 92
Shares redeemed (147,264) (28,049)
---------- ----------
Net increase in shares outstanding 360,782 349,420
========== ==========
</TABLE>
--------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
E*Trade Extended Market Index Fund
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Period From
Six Aug. 13, 1999
Months Ended (Commencement
Jun. 30, 2000 of Operations) to
(Unaudited)++ Dec. 31, 1999++
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $12.78 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.04 0.03
Net realized and unrealized gain on investments 0.06 2.78
------ ------
TOTAL FROM INVESTMENT OPERATIONS 0.10 2.81
------ ------
LESS DISTRIBUTIONS:
From net investment income (0.04) (0.03)
------ ------
TOTAL DISTRIBUTIONS (0.04) (0.03)
------ ------
REDEMPTION FEES ADDED TO PAID-IN-CAPITAL 0.01 0.00***
------ ------
NET ASSET VALUE, END OF PERIOD $12.85** $12.78
====== ======
TOTAL RETURN 0.87% 28.11%*
====== ======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000s) $9,129 $4,467
Ratio of expenses to average net assets + 0.38%+++ 0.38%+++
Ratio of net investment income to average net assets + 0.65% 0.95%
Portfolio turnover rate 1 14.00% 17.00%
<FN>
--------------------------------------------------------------------------------
* For the period August 13, 1999 (Commencement of operations) to December 31,
1999 and not indicative of a full year's operating results or future
returns.
** For the six months ended June 30, 2000 and not indicative of a full year's
operating results or future returns.
*** Rounds to less than $0.01.
+ Annualized.
++ Per share amounts and ratios reflect income and expenses assuming inclusion
of the Fund's proportionate share of the income and expenses of the
Extended Index Master Portfolio.
+++ The Investment Adviser has voluntarily agreed to pay the non-affiliated
Trustee expenses for the Fund for the period January 1, 2000 through May 9,
2000. Even though such action had been taken, total annualized operating
expenses as a percentage of average net assets would have remained
unchanged.
1 Represents the Portfolio turnover rate of the corresponding Master
Portfolio.
</FN>
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
E*TRADE EXTENDED MARKET INDEX FUND
NOTES TO THE FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
E*TRADE Extended Market Index Fund (the "Fund") is a diversified series
of E*TRADE Funds (the "Trust"), an open-end series management investment
company registered under the Investment Company Act of 1940, as amended.
The Trust is organized as a Delaware business trust and was formed on
November 4, 1998. As of June 30, 2000 the Trust offered eight series: the
E*TRADE Bond Index Fund, the E*TRADE E-Commerce Index Fund, the E*TRADE
Extended Market Index Fund, the E*TRADE Global Titans Index Fund, the
E*TRADE International Index Fund, the E*TRADE Premier Money Market Fund,
the E*TRADE S&P 500 Index Fund and the E*TRADE Technology Index Fund. These
financial statements contain the E*TRADE Extended Market Index Fund.
The Fund's investment objective is to match as closely as practicable,
before fees and expenses, the performance of the Wilshire 4500 Equity
Index, commonly known as the Extended Market Index.*
*Wilshire Associates, Inc. ("Wilshire Associates") does not sponsor the
Fund or the Master Portfolio, nor is it affiliated in any way with the Fund
or the Master Portfolio or their respective investment advisors. "Wilshire
4500 Equity Index (TM)", "Wilshire 4500 Index (TM)", and "Wilshire 4500
(TM)", are trademarks of Wilshire Associates Incorporated and have been
licensed for use by E*TRADE Asset Management, Inc. The Fund and the Master
Portfolio are not sponsored, endorsed, sold, or promoted by Wilshire
Associates, and neither Wilshire Associates not the Wilshire 4500 Index
makes any representation or warranty, express or implied, regarding the
advisability of investing in the Fund or the Master Portfolio.
The following is a summary of significant accounting policies which are
consistently followed by the Fund 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 accounting principles accepted in the United
States requires management to make estimates and assumptions that affect
the reported amounts of 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.
PRINCIPLES OF ACCOUNTING
The Fund uses the accrual method of accounting for financial reporting
purposes.
INVESTMENT POLICY AND SECURITY VALUATION
The Fund is a "feeder" fund in a "master-feeder" structure. Instead of
investing directly in individual securities, a feeder fund, which is
offered to the public, invests all of its assets in a master portfolio that
has substantially the same investment objective as the feeder fund. It is
the master portfolio that actually invests in the individual securities.
The Fund seeks to achieve its investment objective by investing all of its
assets in the Extended Index Master Portfolio (the "Master Portfolio"), a
separate series of the Master Investment Portfolio ("MIP"), a registered
open-end management investment company. The value of the Fund's investment
in the Master Portfolio reflects that Fund's interest in the net assets of
the Master Portfolio. As of June 30, 2000, the value of the Fund's
investment in the Master Portfolio was 4% of the outstanding interests of
the Master Portfolio.
<PAGE>
The Fund's investment in the Master Portfolio is valued at the net
asset value of the Master Portfolio's shares held by the Fund. The equity
securities of the Master Portfolio 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 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 by the Master Portfolio on the
date the securities are purchased or sold (trade date). Revenue is
recognized by the Master Portfolio as follows: dividend income is recorded
on the ex-dividend date and interest income is recognized on a daily
accrual basis. Realized gains and 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. All net investment income and realized and unrealized
capital gains and losses of the Master Portfolio are allocated as required
by the Internal Revenue Code of 1986, as amended (the "Code").
The performance of the Fund is directly affected by the performance of
the Master Portfolio. The financial statements of the Master Portfolio,
including the Portfolio of Investments, are included elsewhere in this
report and should be read in conjunction with the Fund's financial
statements.
DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders from net investment income of the Fund
are declared and distributed quarterly. Dividends to shareholders from any
net realized capital gains are declared and distributed annually, generally
in December. Such distributions to shareholders are recorded on the
ex-dividend date.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
foreign currency transactions, market discount, losses deferred to wash
sales and excise tax regulations. Permanent book and tax basis differences
relating to shareholder distributions will result in reclassifications to
paid-in capital and may impact net investment income per share.
Undistributed net investment income may include temporary book and tax
basis differences which will reverse in a subsequent period. Any taxable
income or gain remaining at fiscal year end is distributed in the following
year.
FEDERAL INCOME TAXES
The Fund is treated as a separate entity from each other series of the
Trust for federal income tax purposes. The Fund intends to qualify as a
regulated investment company under Subchapter M of the Code. If so
qualified, the Fund must distribute annually all of its investment company
taxable income and any net capital gains (taking into account capital loss
carryforwards) sufficient to relieve it from all, or substantially all,
federal income and excise taxes. Accordingly, no provision for federal
taxes was required at June 30, 2000.
<PAGE>
REDEMPTION FEES
For redemptions made after September 30, 2000, shares held in the Fund
for less than four months are subject to a redemption fee of 1.00%,
calculated as a percentage of redemption proceeds. For shares held in the
Fund that are redeemed before October 1, 2000 and within four months from
the date of purchase, the redemption fee is 0.50%. The fee, which is
retained by the Fund, is accounted for as an addition to paid-in capital.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
E*TRADE Asset Management, Inc. (the "Investment Advisor"), a wholly
owned subsidiary of E*TRADE Group, Inc. ("E*TRADE Group"), serves as the
investment advisor for the Fund pursuant to an investment advisory
agreement ("Advisory Agreement"). For its service as investment advisor,
the Investment Advisor is paid by the Fund at an annual rate of 0.02% of
the Fund's average daily net assets.
Pursuant to an investment advisory contract with the Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment advisory
services in connection with the management of the Master Portfolio's
assets. For its services, BGFA is entitled to receive a fee from the Master
Portfolio at an annual rate equal to 0.08% of the average daily net assets
of the Master Portfolio. The Fund records daily its proportionate share of
the Master Portfolio's advisory fees, described above, in addition to
income, expenses and realized and unrealized gains and losses.
The Investment Advisor also provides administrative services to the
Fund, pursuant to an administrative services agreement ("Administrative
Agreement"). Services provided by the Investment Advisor acting as
administrator include, but are not limited to: coordinating the services
performed by the transfer and dividend disbursing agent, custodian,
sub-administrator, shareholder servicing agent, independent auditors and
legal counsel; preparing and supervising the preparation of periodic
reports to the Fund's shareholders; generally supervising regulatory
compliance matters; providing, at its own expense, the services of its
personnel to serve as officers of the Trust; monitoring and reviewing the
Fund's contracted services and expenditures; and reporting to the Board of
Trustees concerning its activities pursuant to the Administrative
Agreement. The Fund pays the Investment Advisor a monthly fee calculated at
an annual rate of 0.26% of its average daily net assets for its services as
administrator of the Fund.
The Fund's investment in the Master Portfolio is subject to an
administrative fee of 0.02% of its average daily net assets to Barclays
Global Investors N.A., and Stephens, Inc., the Master Portfolio's
co-administrator. Such administrative fees are recorded at the Master
Portfolio level.
PFPC Inc. ("PFPC") serves as the transfer agent and dividend disbursing
agent for the Fund. Investors Bank & Trust Company ("IBT") serves as
sub-administrator, accounting services agent and custodian for the Fund.
E*TRADE Securities, Inc., a wholly owned subsidiary of E*TRADE Group,
serves as the shareholder servicing agent (the "Shareholder Servicing
Agent") for the Fund. The Shareholder Servicing Agent provides personal
services to the Fund's shareholders and maintains the Fund's shareholder
accounts. E*TRADE Securities, Inc. also serves as the principal underwriter
of the Fund. Such services were provided at no cost to the Fund.
Subject to a limitation of 0.0049% of the Fund's average daily net
assets, the Fund records Trustee fees and expenses and certain other direct
expenses of the Fund. The Investment Advisor voluntarily agreed to
reimburse such expenses for the six months ended June 30, 2000. Effective
May 9, 2000, the
<PAGE>
trustees fees and expenses are no longer a direct expense of the Fund, but
rather those expenses are paid by the Investment Advisor pursuant to the
Administrative Agreement.
<PAGE>
EXTENDED INDEX MASTER PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
ASSETS
Investments at market value (Cost: $214,426,998) (Note 1) $249,202,802
Receivables:
Investment securities sold 928,577
Dividends and interest 185,118
Due from broker - variation margin 49,350
------------
Total Assets 250,365,847
------------
LIABILITIES
Payables:
Investment securities purchased 708,694
Due to BGI and Stephens (Note 2) 112,387
------------
Total Liabilities 821,081
------------
NET ASSETS $249,544,766
============
--------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
EXTENDED INDEX MASTER PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
NET INVESTMENT INCOME
Dividends (Net of foreign withholding tax of $63) $ 920,293
Interest 298,136
-----------
Total investment income 1,218,429
-----------
EXPENSES (NOTE 2)
Advisory fees 95,759
Administration fees 23,940
-----------
Total expenses 119,699
-----------
Net investment income 1,098,730
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on sale of investments 6,020,047
Net realized loss on sale of futures contracts (547,538)
Net change in unrealized appreciation (depreciation) of investments (9,637,412)
Net change in unrealized appreciation (depreciation) of futures contracts (358,150)
-----------
Net loss on investments (4,523,053)
-----------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(3,424,323)
===========
</TABLE>
--------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
EXTENDED INDEX MASTER PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS
ENDED JUNE 30, 2000 FOR THE PERIOD ENDED
(UNAUDITED) DECEMBER 31, 1999*
------------------- ---------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 1,098,730 $ 1,614,308
Net realized gain 5,472,509 9,035,857
Net change in unrealized appreciation (depreciation) (9,995,562) 44,735,266
------------ ------------
Net increase (decrease) in net assets resulting from operations (3,424,323) 55,385,431
------------ ------------
INTERESTHOLDER TRANSACTIONS:
Contributions 126,561,441 215,020,329
Withdrawals (76,048,903) (67,949,209)
------------ ------------
Net increase in net assets resulting from interestholder transactions 50,512,538 147,071,120
------------ ------------
Increase in net assets 47,088,215 202,456,551
NET ASSETS:
Beginning of period 202,456,551 --
------------ ------------
End of period $249,544,766 $202,456,551
============ ============
<FN>
--------------------------------------------------------------------------------
* Period from March 1, 1999 (commencement of operations) to December 31, 1999.
</FN>
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
EXTENDED INDEX MASTER PORTFOLIO
NOTES TO THE 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 Extended Index Master Portfolio
(the "Master Portfolio").
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 the 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. 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 the 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 the 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 the 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, the 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 the 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).
<PAGE>
FUTURES CONTRACTS
The Master Portfolio 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 Portfolio is 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 Master Portfolio agrees 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 Master Portfolio as unrealized gains
or losses. When the contract is closed, the Master Portfolio 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 Master
Portfolio is 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.
As of June 30, 2000 the Master Portfolio had the following open long
futures contracts outstanding:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION NOTIONAL NET UNREALIZED
CONTRACTS TYPE DATE CONTRACT VALUE (DEPRECIATION)
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
9 Mid-Cap 400 Index 9/15/00 $ 2,197,350 $ (34,650)
24 Russell 2000 Index 9/15/00 6,271,200 (1,450)
--------------------
$ (36,100)
====================
</TABLE>
The Master Portfolio has pledged to brokers U.S. Treasury Bills for initial
margin requirements with a par value of $1,040,000.
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
the Master Portfolio's Schedule of Investments. The advisor to the Master
Portfolio may pool the Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. The 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 agreement entered into on June 30, 2000 by the Master Portfolio is
fully collateralized by U.S. Government obligations with a rate of 6.50%, a
maturity date of 08/15/05 and an aggregate market value of $8,038,592.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFLIATES
Pursuant to an Investment Advisory Contract with the Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of the Master Portfolio's assets.
BGFA is entitled to receive 0.08% of the average daily net assets of the Master
Portfolio, as compensation for advisory services. BFGA is an indirect subsidiary
of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to the
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 the
Master Portfolio.
Stephens Inc. ("Stephens"), is the sponsor and placement agent for the
Master Portfolio.
<PAGE>
The MIP has entered into administration services arrangements with BGI and
Stephens, as co-administrators, who have agreed jointly to provide general
administration services to the Master Portfolio such as managing and
coordinating third-party service relationships. BGI and Stephens are entitled to
receive a fee at an annual rate of 0.02% of the average daily net assets of the
Master Portfolio. BGI and Stephens may delegate certain of their administration
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 Portfolio's outstanding beneficial interests.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
the Master Portfolio for the six months ended June 30, 2000 were as follows:
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ --
Sales proceeds --
OTHER SECURITIES:
Purchases at cost $ 82,764,955
Sales proceeds 32,652,077
At June 30, 2000 the Master Portfolio's aggregate unrealized appreciation
and depreciation based on cost for federal income tax purposes was as follows:
TAX UNREALIZED UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION APPRECIATION
-----------------------------------------------------------------------------
$214,426,998 $66,068,430 $(31,292,626) $34,775,804
4. FINANCIAL HIGHLIGHTS
The ratios of expenses to average net assets, net investment income to
average net assets and portfolio turnover rates (excluding short-term
securities) for the Master Portfolio are as follows:
<TABLE>
<CAPTION>
SIX FOR THE
MONTHS ENDED PERIOD ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999 *
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
Ratio of expenses to average net assets + 0.10% 0.10%
Ratio of net investment income to average net
assets + 0.92% 1.26%
Portfolio turnover rate 14% 17%
-------------------------------------------------------------------------------------
</TABLE>
* Period from March 1, 1999 (commencement of operations) to December 31, 1999.
+ Annualized for period of less than one year.
