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Previous: E TRADE FUNDS, N-30D, 2000-03-09 |
Next: RELIANT INTERACTIVE MEDIA CORP, 10QSB/A, 2000-03-09 |
The E*TRADE Extended Market Index Fund commenced operations on August 13, 1999.
This annual report contains audited financial statements for a period of less
than six months and, therefore, does not contain an analysis of the results of
operations for the period ended December 31, 1999. Relying on financial
statements reporting operating results for such a period is subject to inherent
limitations resulting from the shortness of the period.
<PAGE>
MASTER INVESTMENT PORTFOLIO-EXTENDED INDEX
MASTER PORTFOLIO-DECEMBER 31, 1999
PORTFOLIO OF INVESTMENTS
SECURITY NAME SHARES VALUE
COMMON STOCKS - 97.0%
ADVERTISING - 1.2%
*24/7 Media Inc 1,092 $ 61,425
*AdForce Inc. 1,000 71,375
*Catalina Marketing Corporation 917 106,143
*Cybergold Inc. 1,400 24,763
*Cyrk International Inc. 691 8,206
*Digital Impact Inc 1,403 70,325
*DoubleClick Inc 2,222 562,305
*e4L Inc 1,439 3,598
*Flycast Communications Corporation 800 103,950
*FreeShop.com Inc 600 28,800
*GenesisIntermedia.com Inc 400 2,325
*Getty Images Inc 1,766 86,313
Grey Advertising Inc 55 22,000
*Ha-Lo Industries Inc 2,304 17,280
*Healthworld Corporationoration 1,000 20,750
*K2 Design Inc 400 2,550
*Lamar Advertising Company 2,276 137,840
*Leapnet Inc 600 3,563
*Lifeminders.com Inc 1,000 57,750
*Mediaplex Inc 1,500 94,125
*Modem Media Poppe Tyson Inc 200 14,075
*MyPoints.com Inc 1,200 88,800
*Obie Media Corporation 220 2,558
Penton Media Inc 1,619 38,856
*Princeton Video Image Inc 200 1,600
*RH Donnelley Corporation 1,530 28,879
*Snyder Communications Inc 3,586 69,031
The Ackerly Group Inc 1,120 20,300
*theglobe.com Inc 922 7,722
*TMP Worldwide Inc 1,805 256,310
True North Communications Inc 2,515 112,389
*Ventiv Health Inc 1,095 10,060
*Yesmail.com Inc 1,300 43,956
Young & Rubicam Inc 3,562 252,012
-----------
$ 2,431,934
AEROSPACE & DEFENSE - 0.2%
AAR Corporation 1,340 24,036
*BE Aerospace Inc 1,087 9,172
Cordant Technologies Inc 1,933 63,789
*Ducommun Inc 413 4,491
*Edac Technologies Corporation 300 450
*First Aviation Services Inc 2,400 11,850
GenCorp Inc 2,357 23,275
*Hawker Pacific Aerospace 3,200 23,200
HEICO Corporation Class A 252 5,324
HEICO Corporation 309 6,740
*Hi-Shear Technology Corporation 300 788
*Kellstrom Industries Inc 433 3,951
*Kreisler Manufacturing Corporation 2,500 10,625
*LMI Aerospace Inc 376 1,128
Newport News Shipbuilding 1,578 43,395
*Orbital Sciences Corporation 1,847 34,285
*Precision Standard Inc 700 6,913
Primex Technologies Inc 376 7,802
*Sequa Corporation 564 30,421
*Simula Inc 443 2,409
Stewart & Stevenson Services 1,132 13,407
<PAGE>
*The Fairchild Corporation Class A 1,431 12,968
Transtechnology Corporation 232 2,567
Venturian Corporation 440 2,640
-----------
$ 345,626
AIRLINES - 0.5%
Airborne Freight Corporation 2,660 58,520
*Airnet Systems Inc 519 3,698
*AirTran Holdings Inc 2,893 13,109
*Alaska Air Group Inc 1,272 44,679
*American West Holdings Corporation Class B 2,024 41,998
*Atlantic Coast Airlines Holdings 859 20,401
*Atlas Air Inc 1,604 44,010
Comair Holdings Inc 4,600 107,525
*Continental Airlines Class B 3,664 162,590
*Frontier Airlines Inc 735 8,361
*Kitty Hawk Inc 824 5,665
*Mesa Air Group Inc 1,546 7,344
*Mesaba Holdings Inc 887 10,145
*Midway Airlines Corporation 517 3,199
*Midwest Express Holdings Inc 630 20,081
*Northwest Airlines Corporation Class A 4,535 100,904
*Offshore Logistics Inc 991 9,291
Petroleum Helicopters NV 245 2,389
SkyWest Inc 1,084 30,352
*Trans World Airlines Inc 3,081 8,665
*UAL Corporation 2,676 207,557
*Vanguard Airlines Inc 1,100 3,609
-----------
$ 914,092
AUTOMOTIVE - 0.9%
*Aftermarket Technology Inc 845 10,087
*Alltrista Corporation 348 7,700
*American Axle & Manufacturing Holdings Inc 1,700 20,613
AO Smith Corporation Class B 1,042 22,794
Arvin Industries Inc 1,397 39,640
Autocam Corporation 273 4,931
*AutoNation Inc 24,098 222,907
Bandag Inc 1,181 29,525
Borg-Warner Automotive Inc 1,345 54,473
*Breed Technologies Inc 2,359 330
*Cannondale Corporation 274 1,790
Clarcor Inc 1,091 19,638
Coachmen Industries Inc 741 11,208
Collins Industries Inc 400 2,000
*Copart Inc 1,291 56,159
*Delco Remy International Inc 869 7,169
*Dura Automotive Systems Inc 622 10,846
*Excelsior-Henderson Motorcycle 482 346
Exide Corporation 955 7,938
*Featherlite Inc 400 2,250
*FinishMaster Inc 300 2,381
*Group 1 Automotive Inc 917 12,781
Harley-Davidson Inc 7,736 495,588
Hastings Manufacturing Company 100 800
*Hayes Lemmerz International Inc 1,550 27,028
Hertz Corporation Class A 2,020 101,253
*Holiday RV Superstores Inc 400 2,250
*Hometown Auto Retailers Inc - Class A 400 1,425
Huffy Corporation 434 2,279
*Impco Technologies Inc 365 5,087
JLG Industries Inc 2,072 33,023
*Keystone Automotive Industries Inc 786 4,618
*Lear Corporation 3,283 105,056
*Lithia Motors Inc Class A 425 7,597
*Lund International Holdings Inc 200 1,175
<PAGE>
Mascotech Inc 2,262 28,699
*McLaren Automotive Group Inc 593 1,334
Meritor Automotive Inc 3,488 67,580
*Miller Industries Inc - TN 1,720 4,945
Modine Manufacturing Company 1,524 38,100
*Monaco Coach Corporation 835 21,345
*Motorcar Parts & Accessories 487 533
*National R V Holdings Inc 576 11,088
*Noble International Ltd 300 4,313
Oshkosh Truck Corporation 607 17,793
*R & B Inc 461 2,132
*Raytech Corporation - DEL 300 1,013
Regal-Beloit Corporation 1,035 21,347
*Rush Enterprises Inc 397 5,757
*Safety Components International Inc 400 350
Simpson Industries Inc 772 8,685
*Smart Choice Automotive Group Inc 2,000 660
*Sonic Automotive Inc 1,012 9,867
Spartan Motors Inc 562 2,459
*Standard Automotive Corporation 200 1,800
Standard Motor Products Inc 584 9,417
*Starcraft Corporation 2,200 15,675
*Strattec Security Corporation 206 6,669
Superior Industries International Inc 1,324 35,500
*Supreme Industries Inc 489 3,026
*TBC Corporation 882 5,513
Tenneco Automotive Inc 2,400 22,350
*The Coast Distribution System Inc - DE 300 750
*The Colonel's International Inc 1,089 7,351
*The Kroll-O'Gara Company 1,019 16,814
Titan International Inc 771 5,012
*Transportation Components Inc 1,093 3,142
*Ugly Duckling Corporation 719 4,943
*United Auto Group Inc 1,064 9,510
Wabash National Corporation 1,027 15,405
Winnebago Industries Inc 1,020 20,464
Wynn's International Inc 841 11,879
-----------
$ 1,777,905
BANKING - 4.7%
1st Source Corporation 847 21,175
1st State Bancorp Inc 200 3,825
Abington Bancorp Inc 200 2,113
*ACE Cash Express Inc 366 6,771
Alabama National BanCorp - DE 387 7,305
Allegiant Bacorp Inc 285 2,779
Alliance Bancorp 422 7,807
AMB Financial Corporation 400 5,300
Ambanc Holding Company Inc 246 3,629
Amcore Financial Inc 1,295 31,080
Ameriana Bancorp 156 2,262
American Bancorp 140 2,293
*American Bancshares Inc 223 2,676
American Bank Conn Waterbury 167 4,008
American National Bankshares Inc 600 10,050
ANB Corporation 468 18,603
Anchor Bancorp Wisconsin Inc 1,023 15,473
Anchor Financial Corporation 539 14,823
Andover Bancorp Inc 239 6,692
Area Bancshares Corporation 700 17,150
Arrow Financial Corporation 287 5,579
ASB Financial Corporation 400 3,900
Associated Banc Corporation 3,031 103,812
Astoria Financial Corporation 2,546 77,494
Atlantic Financial Corporation 186 2,720
<PAGE>
BancFirst Corporation 415 14,084
BancFirst Ohio Corporation 292 6,716
Banco Santander Puerto Rico 1,700 26,244
Bancorp Connecticut Inc 229 3,550
BancorpSouth Inc 2,798 45,642
Bancwest Corporation 5,412 105,534
Bank of Granite Corporation 512 11,008
Bank of South Carolina Corporation 400 5,700
Bank of the Ozarks 169 3,296
*Bank Plus Corporation 868 2,496
Bank Santa Clara California 102 3,366
Bank United Corporation Class A 1,467 39,976
BankAtlantic Bancorp Inc Class A 1,133 4,673
*Bankfirst Corporation 419 3,614
Banknorth Group Inc 1,035 27,686
*Bankunited Financial Corporation Class A 657 5,215
Bar Harbor Bankshares 163 2,893
Bay State Bancorp Inc 113 2,204
Bay View Capital Corporation 1,442 20,452
BCSB Bankcorp Inc 273 1,809
Belmont Bancorp 893 5,693
Berkshire Bancorp Inc 95 3,325
Big Foot Financial Corporation 400 5,000
*BOK Financial Corporation 2,321 46,891
Borel Bank & Trust San Mateo 129 2,338
*Boston Private Financial Holdings Inc 1,300 11,050
Bostonfed Bancorp Inc 192 3,048
Brenton Banks Inc 924 9,356
Brodge View Bancorp 124 1,951
Brookline Bancorp Inc 1,301 12,685
Bryn Mawr Bank Corporation 458 10,935
BSB Bancorp Inc 706 13,591
BT Financial Corporation 783 17,233
*BWC Financial Corporation 200 3,875
California Independent Bancorp 367 6,285
Camco Financial Corporation 257 2,634
Camden National Corporation 802 13,434
*Capital Bank Corporation 200 1,550
Capital City Bank Group Inc 326 7,009
*Capital Corporation of The West 300 2,925
*Capital Crossing Bank 181 2,263
Capitol Bancorp Ltd 732 7,595
Carolina First Corporation 1,101 20,093
Carolina Southern Bank 160 2,075
Cascade Bancorp 751 9,388
*Cascade Financial Corporation 250 2,641
Cathay Bancorp Inc 401 16,441
Cavalry Bancorp Inc 274 4,521
CB Bancshares Inc - Hawaii 131 3,856
CCB Financial Corporation 2,077 90,481
CCBT Financial Companies Inc 334 5,135
Cenit Bancorp Inc 178 3,082
*Centennial Bancorp 652 7,009
Center Bancorp Inc 210 3,170
*Central Coast Bancorp 338 5,577
Centura Banks Inc 1,550 68,394
Century Bancorp Inc Class A 161 2,616
Century South Banks Inc 493 11,031
CFS Bancorp Inc 846 7,878
Charter One Financial Inc 10,539 201,558
Chemical Financial Corporation 603 19,221
Chester Valley Bancorp 697 10,978
Chittenden Corporation 1,549 45,889
Citizens Banking Corporation - MI 2,343 52,425
<PAGE>
Citizens Financial Services Inc 225 3,769
Citizens First Financial Corporation 722 8,664
City Holding Company 752 10,528
City National Corporation 2,453 80,796
*Civic Bacorp 207 3,209
CKF Bancorp Inc 400 5,400
CNB Financial Corporation - NY 780 12,090
CNBT Bancshares Inc 319 3,429
CNY Financial Corporation 239 4,302
Coast Bancorp 242 5,838
Coastal Bancorp Inc 262 4,585
Coastal Financial Corporation 767 8,821
Codorus Valley Bancorp Inc 420 7,298
Colonial BancGroup Inc 5,491 56,969
Colorado Business Bankshares 946 12,062
Columbia Bancorp 204 2,308
*Columbia Banking System Inc 388 5,093
Comm Bancorp Inc 98 3,920
Commerce Bancorp Inc - NJ 1,319 53,337
Commerce Bancshares Inc 2,992 101,344
Commercial Bank of New York 237 2,637
Commercial Bankshares Inc - FL 173 3,638
Commercial Federal Corporation 2,908 51,799
Commercial National Financial Corporation - PA 261 4,568
Commonwealth Bancorp Inc 542 9,011
*Community Bancorp Inc 420 2,258
Community Bank Shares of Indiana Inc 200 3,275
Community Bank System Inc 269 6,221
Community Banks Inc 252 5,765
Community Bankshares Inc - VA 161 3,542
Community Bankshares Inc 582 7,566
*Community Capital Corporation 300 2,550
Community Financial Corporation - VA 400 4,150
Community First Banking Company 123 2,137
Community First Bankshares Inc 2,411 37,973
Community Savings Bankshares 844 10,603
Community Trust Bancorp Inc 408 8,160
Community West Bancshares 400 2,850
Compass Bancshares Inc 5,559 124,024
*Cooperative Bankshares Inc 400 4,400
Cornerstone Bancorp Inc 100 1,125
Corus Bankshares Inc 651 15,624
CoVest Bancshares Inc 200 2,663
CPB Inc 367 10,460
Cullen - Frost Bankers Inc 2,688 69,216
CVB Financial Corporation 973 22,501
Delphos Citizens Bancorp Inc 400 6,700
Desert Community Bank 354 7,523
Dime Bancorp Inc 5,391 81,539
Dime Community Bancshares 427 7,900
Downey Financial Corporation 1,258 25,396
Drovers Bancshares Corporation - PA 272 5,576
Eagle Bacshares Inc 211 3,033
East Texas Financial Services Inc 400 3,700
East West Bancorp Inc 1,200 13,725
Eastern Virginia Bankshares 690 13,110
EFC Bancorp Inc 335 3,350
Elmira Savings Bank FSB 342 7,439
*Equitable Federal Savings Bank 400 6,800
ESB Financial Corporation 800 9,500
F&M Bancorp - Frederick MD 406 8,222
F&M National Corporation 1,008 27,783
Farmers Capital Bank Corporation 278 8,375
FCNB Corporation 688 10,492
<PAGE>
FFD Financial Corporation 400 4,400
FFLC Bancorp Inc 164 2,501
FFW Corporation 400 5,100
FFY Financial Corporation 288 3,528
Fidelity Bancorp Inc - PA 400 5,300
Fidelity Bancorp Inc 107 1,792
Fidelity Bankshares Inc 750 10,594
Fidelity Financial of Ohio Inc 500 8,938
Fidelity National Corporation 363 2,745
Finger Lakes Financial Corporation 200 1,500
*First BanCorp 1,333 27,660
First Bancorp North Carolina 652 10,758
First Banking Co- S/E Georgia 573 11,102
First Banks America Inc 198 3,589
First Bankshares Inc 400 3,800
First Bell Bancorp Inc 229 3,492
First Busey Corporation Class A 606 13,711
First Charter Corporation 808 12,019
*First Citizens BancShares Inc 509 35,503
First Commerce Bancshares Inc Class A 583 12,535
First Commonwealth Financial Corporation 2,868 34,416
First Community Financial Corporation 200 3,400
First Defiance Financial Corporation 301 3,161
*First Essex Bancorp Inc 278 3,996
First Federal Financial of Kentucky 552 12,282
First Federal Bancorp 600 3,825
First Federal Bancorp Inc - OH 600 4,425
First Federal Bancshares of Arkansas 204 3,226
First Federal Bankshares Inc 529 4,563
First Federal Capital Corporation 681 9,960
First Federal of East Hartford 138 4,140
First Financial Bancorp 2,211 47,258
First Financial Bankshares Inc 426 13,100
First Financial Corporation - IN 322 13,363
First Financial Corporation 400 5,150
First Financial Holdings Inc 501 8,016
First Franklin Corporation 400 5,400
First Georgia Holding Inc 900 4,331
First Independence Corporation 400 4,000
First Indiana Corporation 468 10,179
First International Bancorp Inc 555 4,440
First Keystone Financial Inc 400 3,900
First Mariner Bancorp 400 3,300
First Merchants Corporation 771 20,239
First Midwest Bancorp Inc - IL 1,948 51,622
First Midwest Financial Inc 400 4,500
First Mutual Bancshares Inc 220 2,640
First Northern Capital Corporation 324 3,119
*First Oak Brook Bancshares Class A 164 3,034
First of Long Island Corporation 314 9,224
First Place Financial Corporation 700 7,438
First Republic Bank 324 7,614
First Savings Bancorp Inc 166 3,071
First Security Corporation 9,977 254,726
First Security Financial Inc 400 4,325
First Sentinel Bancorp Inc 1,930 15,078
First Southern Bancshares 400 4,700
First State Bancorp 228 3,135
First Tennessee National Corporation 6,737 192,005
First United Bancshares Inc 1,131 15,127
First United Corporation 727 10,360
First Virginia Banks Inc 2,440 104,920
First Washington Bancorp Inc 421 6,210
*First West Virgina Bancorp Inc 240 3,960
<PAGE>
Firstfed America Bancorp Inc 289 3,324
Firstfed Financial Corporation 945 13,289
Firstmerit Corporation 4,390 100,970
Firstspartan Financial Corporation 146 2,628
*Flag Financial Corporation 1,000 7,000
Flagstar Bancorp Inc 611 10,540
Florida Banks Inc 400 2,413
FloridaFirst Bancorp 400 3,500
Flushing Financial Corporation 414 6,132
FMS Financial Corporation 1,000 9,250
FNB Corporation - NC 534 8,544
FNB Corporation 794 17,667
FNB Financial Services Corporation 153 1,607
Foothill Independent Bancorp 820 10,660
Frontier Financial Corporation 704 14,080
FSF Financial Corporation 400 4,900
FVNB Corporation 406 14,210
Ga Financial Inc 263 3,485
Gaston Federal Bancorp Inc 201 2,286
GBC Bancorp 633 12,225
German American Bancorp 334 5,762
GFSB Bancorp Inc 400 5,400
Glacier Bancorp Inc 338 5,450
Gold Banc Corporation Inc 1,010 9,090
*Golden State Bancorp 6,156 106,191
Grand Premier Financial Inc 810 11,998
Granite State Bankshares Inc 218 4,333
Great Southern Bancorp Inc 289 6,358
Greater Bay Bancorp 429 18,393
Greater Community Bancorp 410 3,741
Greater Delaware Valley Savings Bank 200 1,700
Greenpoint Financial Corporation 5,280 125,730
GS Financial Corporation 400 4,900
Guaranty Bancshares Inc 300 2,813
Guaranty Federal Bancshares Inc 400 4,050
Guaranty Financial Corporation 400 3,300
*Gulf West Banks Inc 410 3,588
Habersham Bancorp 400 5,100
Hallmark Capital Corporation 200 1,800
*Hamilton Bancorp Inc 370 6,568
Hancock Holding Company 468 18,135
Harbor Florida Bancshares Inc 1,383 17,893
Hardin Bancorp Inc 200 3,000
Harleysville National Corporation 481 15,633
Harleysville Savings Bank 506 6,768
Harrington Financial Group Inc 600 4,313
Harris Financial Inc 1,507 11,303
Haven Bancorp Inc 326 5,033
*Hawthorne Financial Corporation 700 8,750
*Heritage Bancorp Inc 170 2,635
Heritage Bancorp Inc - South Carolina 800 2,950
*Heritage Commerce Corporation 365 5,840
Heritage Financial Corporation 443 3,821
HF Financial Corporation 212 2,491
Highland Bancorp Inc 282 5,358
Hingham Institution for Savings 400 5,800
HMN Financial Inc 241 2,711
Home Bancorp 97 1,685
Home City Financial Corporation 400 5,000
Home Federal Bancorp 189 4,253
Home Financial Bancorp 600 4,050
Hopfed Bancorp Inc 180 2,858
Horizon Financial Corporation 276 2,622
Hudson City Bancorp Inc 3,000 40,313
<PAGE>
Hudson River Bancorp Inc 658 6,662
Hudson United Bancorp 2,438 62,321
*Imperial Bancorp 2,241 54,064
Independence Community Bank Corporation 3,455 43,188
Independence Federal Savings Bank 400 4,800
Independent Bank Corporation - Massachusetts 548 6,850
Independent Bank Corporation - Michigan 978 14,303
Indiana United Bancorp 576 10,800
Industrial Bancorp Inc 180 2,678
Interchange Financial Service - New Jersey 636 10,415
International Bancshares Corporation 790 34,958
InterWest Bancorp Inc 707 13,610
Investors Financial Services Corporation 600 27,600
Iroquois Bancorp Inc 200 2,950
Irwin Financial Corporation 969 17,260
ISB Financial Corporation 253 3,479
*ITLA Capital Corporation 700 8,794
Jacksonville Savings Bank 400 3,250
James River Bankshares Inc 200 2,325
Jefferson Savings Bancorp Inc 1,071 11,312
JSB Financial Inc 428 22,203
Kankakee Bancorp Inc 382 7,545
Keystone Financial Inc 2,401 50,571
Klamath First Bancorp Inc 365 4,334
Lake Ariel Bancorp Inc 215 3,171
Lakeland Financial Corporation 313 4,675
Lamar Capital Corporation 400 4,450
Leeds Federal Bankshares Inc 232 2,262
Letchworth Independent Bcshs 151 2,888
Lexington B & L Financial Corporation 400 5,200
Logansport Financial Corporation 400 4,000
LSB Bancshares Inc 321 5,056
M & T Bank Corporation 351 145,402
MAF Bancorp Inc 1,136 23,785
Mahaska Investment Company 1,062 13,275
Main Street Bancorp Inc 383 3,782
Marathon Financial Corporation 400 2,475
Marshall & Ilsley Corporation 5,245 329,452
Massbank Corporation 330 9,735
MECH Financial Inc 192 6,636
Medford Bancorp Inc 321 5,337
Mercantile Bankshares 3,294 105,202
Merchants Bancorp Inc - Delaware 191 5,420
Merchants Bancshares Inc 462 9,875
Merchants New York Bancorp Inc 868 14,865
Merrill Merchants Bancshares Inc 300 2,775
Metrocorp Bancshares Inc 513 4,232
*Metropoitan Financial Corporation 1,200 5,400
Metrowest Bank - MA 637 3,782
MFB Corporation 400 6,675
Michigan Financial Corporation 238 6,560
Mid Coast Bancorp 630 4,390
Mid Penn Bancorp Inc 229 5,124
MidAmerica Bancorp 470 13,395
Mid-State Bancshares 450 14,344
Midwest Banc Holdings Inc 415 5,706
Mississippi Valley Bancshares Inc 424 11,448
MNB Bancshares Inc 420 3,465
Monterey Bay Bancorp Inc 167 1,691
Montgomery Financial Corporation 200 1,625
National Bancorp of Alaska Inc 1,476 41,420
*National Bancshares Corporation of Texas 188 2,750
National City Bancorp 326 5,461
National City Bancshares Inc - Indiana 797 20,025
<PAGE>
National Commerce Banorp 5,374 121,923
National Penn Bancshares Inc 798 20,050
NBT Bancorp Inc 586 9,083
*Net.B@nk Inc 1,378 25,493
Newsouth Bancorp Inc 182 3,367
Niagara Bancorp Inc 1,331 13,643
North Central Bancshares Inc 138 2,070
*North County Bancorp 200 4,175
North Fork Bancorp Inc 6,684 116,970
Northeast Bancorp 716 5,818
Northeast Indiana Bancorp Inc 440 5,445
*Northern Bank of Commerce 300 1,088
Northern States Financial Corporation 464 10,440
Northway Financial Inc 309 8,034
Northwest Bancorp Inc 2,096 14,541
Northwest Equity Corporation 400 8,900
Norwood Financial Corporation 200 4,150
NS & L Bancorp 480 4,980
NSD Bancorp Inc 528 9,240
Nutmeg Federal Savings & Loan 210 1,680
Oak Hill Financial Inc 196 2,867
OceanFirst Financial Corporation 544 9,418
Ohio Valley Banc Corporation 326 10,677
Old National Bancorp 2,336 75,774
Old Second Bancorp Inc 224 5,712
One Valley Bancorp Inc 1,653 50,623
Oregon Trail Financial Corporation 200 2,013
Oriental Financial Group Inc 605 13,348
Ottawa Financial Corporation 623 11,292
Pab Bankshares Inc 471 6,270
Pacific Bank NA 598 16,557
Pacific Capital Bancorp 1,080 33,210
Pacific Century Financial Corporation 3,988 74,526
Pamrapo Bancorp Inc 127 2,826
Park National Corporation 536 51,456
Parkvale Financial Corporation 633 10,168
Pathfinder Bancorp Inc 400 3,550
Patriot Bank Corporation 228 2,451
*PBOC Holdings Inc 806 7,607
Peekskill Financial Corporation 400 5,100
Pennfed Financial Services Inc 339 5,127
*Pennsylvania Commerce Bancorp Inc 255 5,100
Peoples Bancorp - Auburn 145 2,266
Peoples Bancorp Inc 232 4,988
People's Bancshares Inc 200 3,500
Peoples Banctrust Company Inc 689 9,474
Peoples Bank of North Carolina 465 6,859
People's Bank 3,291 69,522
Peoples Financial Corporation - Ohio 200 1,550
Peoples Heritage Financial Group Inc 5,051 76,081
Peoples Holding Company 215 6,208
Permanent Bancorp Inc 200 3,475
PFF Bancorp Inc 569 11,024
PHS Bancorp Inc 400 3,300
Piedmont Bancorp Inc 400 4,525
Pinnacle Bancshares Inc 800 6,500
Pittsburgh Home Financial Corporation 400 4,750
Popular Inc 7,068 197,462
Premier Bancshares Inc 1,213 16,527
Premier Financial Bancorp 234 2,106
Premier National Bancorp Inc 577 10,638
Prime Bancshares Inc 379 9,096
Princeton National Bancorp 171 1,902
Progress Finl Corporation 246 3,106
<PAGE>
Prosperity Bancshares Inc 231 3,696
Provident Bankshares Corporation 1,139 19,719
Provident Financial Group 2,118 75,983
*Provident Financial Holdings Inc 200 3,300
PVF Capital Corporation 220 2,503
*Quad City Holdings Inc 200 2,700
*Quaker City Bancorp Inc 700 11,375
Queens County Bancorp Inc 951 25,796
R&G Financial Corporation Class B 374 4,301
Redwood Empire Bancorp 151 2,888
Reliance Bancorp Inc 320 11,040
Republic Bancorp Inc 2,040 24,770
*Republic Bancorp Inc Class A 540 4,624
*Republic Bancshares Inc 454 5,675
Republic First Bancorp Inc 248 1,287
Republic Security Financial Corporation 2,115 15,136
Resource Bankshares Corporation 200 1,725
Richmond County Financial Corporation 1,600 28,900
Riggs National Corporation 1,371 18,080
Riverview Bancorp 259 2,509
Roslyn Bancorp Inc 3,452 63,862
Royal Bancshares of Pennsylvania Class A 813 12,191
S&T Bancorp Inc 1,236 28,660
Sandy Spring Bancorp Inc 354 9,558
Seacoast Banking Corporation of Florida 184 5,267
Second Bancorp Inc 573 12,821
Security Holding Bank Company 420 2,363
*Shoreline Financial Corporation 422 7,807
Silicon Valley Bancshares 1,123 55,589
*Simmons First National Corporation Class A 211 5,275
Six Rivers National Bank 200 2,650
SJNB Financial Corporation 110 3,355
Sky Financial Group Inc 3,886 78,204
SNB Bancshares Inc 200 2,850
Sound Federal Bancorp 233 2,126
South Alabama BanCorp 840 10,238
Southside Bankshares Corporation 320 2,800
*Southwest Bancorp Inc - Oklahoma 440 8,800
Southwest Bancorp of Texas Inc 1,438 28,490
Southwest Georgia Financial Corporation 134 1,943
Sovereign Bancorp Inc 10,732 79,987
St Francis Capital Corporation 340 6,333
State Bancorp Inc 754 10,792
State Financial Services Corporation Class A 371 4,452
StateFed Financial Corporation 200 1,800
Staten Island Bancorp Inc 1,992 35,856
Statewide Financial Corporation 200 5,050
Sterling Bancorp-NY 318 5,088
Sterling Bancshares Inc - TX 995 11,132
*Sterling Financial Corporation - PA 296 9,176
Sterling Financial Corporation - Spokane 360 4,140
Suffolk Bancorp 224 5,908
*Summit Bancshares Inc - TX 640 11,840
*Summit Financial Corporation 210 2,520
Sun Bancorp Inc 746 7,413
Sun Bancorp Inc 252 4,851
*Susquehanna Bancshares Inc 1,704 27,051
SVB Financial Services Inc 315 2,796
SY Bancorp Inc 242 5,294
TCF Financial Corporation 4,287 106,639
Team Financial Inc 300 2,700
*Telebanc Financial Corporation 1,606 41,756
Texas Regional Bancshares Class A 644 18,676
TF Financial Corporation 129 1,709
<PAGE>
*The Banc Corporation 390 2,974
The Savannah Bancorp Inc 336 6,620
The Trust Company of New Jersey 885 20,244
Thistle Group Holdings Company 402 2,814
TIB Financial Corporation 300 3,038
Timberland Bancorp Inc 267 3,004
Tompkins County Trustco Inc 179 5,169
Triangle Bancorp Inc 1,125 21,797
Trico Bancshares 659 12,686
Troy Financial Corporation 700 7,131
TrustCo Bank Corporation - NY 2,496 33,072
Trustmark Corporation 3,456 74,682
Twin City Bancorp Inc 400 6,700
*Ucbh Holdings Inc 344 7,074
UMB Financial Corporation 998 37,663
Union Bankshares Corporation 776 11,349
Union Community Bancorp 300 3,300
Unionbancal Corporation 8,339 328,869
United Bancorp Inc - Ohio 131 2,063
United Bankshares Inc 2,124 50,711
United Community Financial Corporation 1,435 14,260
United National Bancorp - NJ 584 12,958
*United Panam Financial 772 1,496
*United Security Bancorp 800 10,000
Unity Bancorp Inc 300 1,800
US Trust Corporation 1,032 82,754
USB Holding Company Inc 583 9,292
USBANCORP - Pennsylvania 503 5,910
UST Corporation 2,312 73,406
*Vail Banks Inc 359 3,545
Valley National Bancorp 3,044 85,232
*VIB Corporation 1,307 9,966
Virginia Capital Bancshares Inc 700 11,288
*Virginia Commerce Bancorp Inc 440 5,830
Vista Bancorp Inc 576 9,720
VRB Bancorp 588 3,565
W Holding Company Inc 1,989 20,636
Warren Bancorp Inc 354 2,655
Warwick Community Bancorp 243 2,643
Washington Federal Inc 2,707 53,463
Washington Trust Bancorp Inc 368 6,532
Webster Financial Corporation 2,569 60,521
WesBanco Inc 935 24,310
West Coast Bancorp - OR 576 7,776
Westamerica Bancorppration 1,808 50,511
Westcorp 976 14,152
Westerfed Financial Corporation 206 3,142
Western Ohio Financial Corporation 96 1,584
Westwood Homestead Financial Corporation 300 3,225
WHG Bancshares Corporation 400 3,000
Whitney Holding Corporation 1,045 38,730
Winton Financial Corporation 300 3,938
*Wintrust Financial Corporation 300 4,575
WSFS Financial Corporation 437 5,517
WVS Financial Corporation 159 1,938
Yardville National Bnacorp 822 9,556
York Financial Corporation 370 4,158
Zions Bancorp 4,298 254,388
-----------
$ 9,575,729
BEVERAGES, FOOD & TOBACCO - 1.4%
*800-JR Cigar Inc 567 4,926
*Agribrands International Inc 477 21,942
Alico Inc 759 12,713
Amcon Distributing Company 200 1,675
<PAGE>
*American Italian Pasta Company Class A 809 24,877
*Aurora Foods Inc - DE 3,197 29,772
*Balance Bar Company 1,618 22,045
*Ben & Jerry's Homemade Inc Class A 267 6,642
*Beringer Wine Estates Holdings Inc Class B 808 32,219
Bob Evans Farms Inc 1,833 28,297
*Boston Beer Company Inc Class A 604 4,341
Bridgeford Food Corporation 1,119 10,840
Brooke Group Ltd 983 14,684
*Bush Boake Allen Inc 962 23,629
*Cadiz Inc 1,489 14,146
Cagle's Inc Class A 614 6,984
*Canandaigua Brands Inc Class A 899 45,849
*Celestial Seasonings Inc 307 5,713
*Chalone Wine Group Ltd 1,120 9,730
Chiquita Brands International Inc 2,926 13,899
Coca-Cola Bottling Company 474 22,456
Corn Product International Inc 1,903 62,323
Dean Foods Company 1,960 77,910
*Del Monte Foods Company 2,596 31,963
*Delicious Brands Inc 191 269
Dimon Inc 2,042 6,637
Dole Food Company 2,850 46,313
Dreyer's Grand Ice Cream Inc 1,221 20,757
Earthgrains Company 2,023 32,621
Farmer Brothers Company 86 13,674
Fleming Company Inc 1,711 17,538
Flowers Industries Inc 4,966 79,146
*Fresh America Corporation 796 3,881
*Fresh Del Monte Produce Inc 2,629 23,661
*Gardenburger Inc 319 2,113
*Geerlings & Wade Inc 200 1,388
*General Cigar Holdings Inc 1,442 11,987
Golden Enterprises 544 1,360
*Golden State Vintners Inc Class B 229 1,202
*Green Mountain Coffee Inc 1,200 9,450
*Gumtech International Inc 270 4,320
*Hansen Natural Corporation 400 1,725
*Hines Horticulture Inc 814 6,868
*Holt's Cigar Holdings Inc 2,346 8,504
*Horizon Organic Holding Corporation 954 7,155
Hormel Foods Corporation 3,793 154,091
IBP Inc 4,453 80,154
Imperial Sugar Company 1,185 3,925
*International Home Foods Inc 3,565 61,942
International Multifoods Corporation 838 11,104
Interstate Bakeries Corporation 3,520 63,800
*J & J Snack Foods Corporation 332 6,806
JM Smucker Company 1,503 29,309
*Keebler Foods Company 4,061 114,216
Lancaster Colony Corporation 2,193 72,643
Lance Inc 1,641 16,410
*Marketing Specialists Corporation 266 998
Maui Land & Pineapple Company 321 5,577
McCormick & Company Inc 3,552 105,672
Michael Foods Inc 948 23,345
*Midwest Grain Products, Inc 1,057 7,795
Morrison Management Specialists Inc 445 9,595
*M&F Worldwide Corporation 1,561 7,903
Nabisco Holdings Corporation Class A 2,499 79,031
Nash Finch Company 418 2,665
*National Beverage Corporation 681 5,618
Northland Cranberries Class A 727 4,362
*Odwalla Inc 100 594
<PAGE>
*Omega Protein Corporation 2,495 7,797
*PepsiAmericas Inc 792 2,970
*Performance Food Group Company 862 21,011
Pilgrim's Pride Corporation Class B 1,234 10,258
*Ralcorp Holdings Inc 1,428 28,471
*Rica Foods Inc 336 3,990
Riviana Foods Inc 667 11,839
RJ Reynolds Tobacco Holdings Inc 5,100 89,888
Sanderson Farms Inc 1,029 8,811
Seaboard Corporation 66 12,821
*Seneca Foods Corporation Class A 400 4,600
Smart & Final Inc 830 6,018
*Smithfield Foods Inc 2,379 57,096
*SonomaWest Holdings Inc 400 2,400
Standard Commercial Corporation 573 2,041
*Suiza Foods Corporation 1,866 73,940
*Suprema Specialties Inc 400 3,150
*Sylvan Inc 985 8,373
Tasty Baking 988 8,336
*The Hain Food Group Inc 595 13,313
The Pepsi Bottling Group Inc 8,000 132,500
*The Robert Mondavi Corporation Class A 362 12,580
Tootsie Roll Industries Inc 1,697 55,895
Tyson Food Inc 11,442 185,933
*United Natural Foods Inc 813 9,756
Universal Corporation 1,706 38,918
Universal Foods Corporation 2,590 52,771
*U.S. Foodservice Inc 4,830 80,903
Weider Nutrition International 414 1,527
Whitman Corporation 7,213 96,925
*WLR Foods Inc 1,605 9,229
*Yocream International Inc 200 800
*Zapata Corporation 880 4,070
-----------
$ 2,756,629
BUILDING MATERIALS - 0.4%
Amcol International Corporation 1,498 24,155
Andersons Inc 1,001 8,258
Apogee Enterprises Inc 1,219 6,171
*Barnett Inc 697 7,231
*Cameron Ashley Building Prods 418 4,180
*CapRock Communications Corporation 1,494 48,462
Carbo Ceramics Inc 838 18,331
Centex Construction Products Inc 909 35,451
Chemed Corporation 462 13,225
*Comfort Systems USA Inc 1,859 13,710
*Continental Materials Corporation 100 2,275
Elcor Corporation 970 29,221
Florida Rock Industries Inc 945 32,543
*Group Maintenance America Corporation 1,811 19,355
*Integrated Electrical Services Inc 1,692 17,026
*International Smart Sourcing Inc 200 1,400
Johns Manville Corporation 7,695 107,730
Kennametal Inc 1,536 51,648
Lafarge Corporation 3,501 96,715
Lawson Products Inc 398 9,204
Martin Marietta Inc 2,283 93,603
Noland Company 136 2,431
*Plymouth Rubber Company Inc Class A 400 3,250
Puerto Rican Cement Company Inc 198 6,732
*Rock of Ages Corporation 174 794
*Schuff Steel Company 1,700 6,800
*Service Experts Inc 779 4,528
Southdown Inc 2,122 109,548
*Swiss Army Brands Inc 353 2,515
<PAGE>
United States Lime & Minerals Inc 600 4,200
USG Corporation 2,723 128,321
Watts Industries Inc 1,201 17,715
*Wickes Inc 500 2,688
Wolohan Lumber Company 262 3,177
-----------
$ 932,593
CHEMICALS - 1.1%
A Schulman Inc 1,588 25,904
Aceto Corporation 299 3,289
*Advanced Technical Products Inc 200 2,788
*AEP Industries Inc 445 11,459
*Airgas Inc 3,751 35,635
Albemarle Corporation 2,402 46,088
*American Pacific Corporation 367 3,120
American Vanguard Corporation 200 1,225
*Applied Extrusion Technologies Inc 496 3,038
Arch Chemicals Inc 1,000 20,938
*Atlantis Plastics Inc Class A 600 8,400
Balchem Corporation - Class B 200 1,600
Brady Corporation Class A 1,007 34,175
*Brunswick Technologies Inc 1,700 6,056
Cabot Corporation 3,477 70,844
Calgon Carbon Corporation 1,736 10,308
Cambrex Corporation 1,490 51,312
*CFC International Inc 800 4,900
Chase Corporation 100 1,088
ChemFirst Inc 841 18,397
Church & Dwight Company Inc 2,224 59,353
CK Witco Corporation 6,006 80,330
*Core Materials Corporation 900 2,081
CPAC Inc 303 2,462
*Cytec Industries Inc 2,135 49,372
*Denali Inc 200 625
*Detrex Corporation 200 775
*Eco Soil Systems Inc 815 3,515
Ethyl Corporation 4,434 17,459
Ferro Corporation 1,885 41,470
*Foamex International Inc 1,022 8,495
Fuller (H B) Company 725 40,555
Gentek Inc 933 9,738
Geon Company 1,245 40,463
Georgia Gulf Corporation 1,579 48,061
*Gundle/Slt Environmental Inc 588 2,058
Hanna (M A) Company 2,418 26,447
Hawkins Chemical Inc 418 3,631
*Home Products International Inc 456 4,731
IMC Global Inc 5,915 96,858
*JLM Industries Inc 500 1,688
*Landec Corporation 573 4,298
Lesco Inc 309 5,253
Lilly Industries Inc Class A 1,138 15,292
Liqui-Box Corporation 171 8,465
Lubrizol Corporation 2,866 88,488
Lyondell Chemical Company 7,042 89,786
MacDermid Inc 1,324 54,367
*McWhorter Technologies Inc 381 6,096
Millennium Chemicals Inc 3,774 74,537
Minerals Technologies Inc 1,185 47,474
Mining Services International Corporation 200 600
Mississippi Chemical Corporation 1,177 7,283
Myers Industries Inc 1,000 15,750
*Nanophase Technologies Corporation 900 4,388
NL Industries Inc 2,732 41,151
Northern Technologies International Corporation 100 738
<PAGE>
*NuCo2 Inc 322 4,709
*OEA Inc 759 3,700
Olin Corporation 2,793 55,336
OM Group Inc 1,260 43,391
Omnova Solutions Inc 2,357 18,267
Penford Corporation 771 13,300
Raven Industries Inc 210 3,071
*Reunion Industries Inc 1,900 3,325
Rollins Inc 1,366 20,490
RPM Inc 6,047 61,604
Solutia Inc 5,427 83,779
*Southwall Technologies Inc 200 925
Spartech Corporation 1,702 54,890
*Spinnaker Industries Inc Class A 159 1,868
*Spinnaker Industries Inc 168 1,995
*Surmodics Inc 324 9,720
*Synthetech Inc 635 2,381
*Syntroleum Corporation 1,092 8,873
Terra Industries Inc 3,350 5,444
The Dexter Corporation 1,241 49,330
The Flamemaster Corporation 200 1,200
*The Scotts Company Class A 935 37,634
*Triple S Plastics Inc 200 2,775
Tuscarora Inc 350 4,244
*Uniroyal Technology Corporation 560 14,280
*US Home & Garden Inc 881 2,478
USEC Inc 5,274 36,918
*U.S. Plastic Lumber Company 1,954 15,021
Valhi Inc 6,622 69,531
*Valley National Gases Inc 430 1,371
Valspar Corporation 2,255 94,428
*Vertex Pharmaceuticals Inc 1,133 39,655
*Viskase Companies Inc 664 1,868
Vulcan International Corporation 200 6,300
Wellman Inc 1,400 26,075
West Pharmaceutical Services Inc 771 23,853
-----------
$ 2,188,726
COMMERCIAL SERVICES - 4.8%
Aaron Rents Inc Class A 771 14,071
ABM Industries Inc 1,056 21,516
*Access Worldwide Communications Inc 601 1,427
*ACMAT Corporation Class A 300 2,175
*Acnielson Corporation 2,755 67,842
*Acsys Inc 645 1,088
*Administaff Inc 535 16,184
*ADVO Inc 1,002 23,798
*Affymetrix Inc 1,227 208,207
*AHL Services Inc 930 19,414
*AHT Corporation 3,000 14,063
Airlease Ltd LP 206 2,292
*Akamai Technologies Inc 400 131,050
*Alternative Resources Corporation 688 3,784
*Ambassadors International Inc 965 10,555
American Business Products Inc - GA 698 8,158
*Amtran Inc 737 14,279
*Andover.Net Inc 500 24,944
Angelica Corporation 322 3,140
*AnswerThink Consulting Group Inc 2,281 78,124
*Apollo Group Inc Class A 3,663 73,489
*Applied Anlytical Industries Inc 732 6,680
*Applied Graphics Technologies Inc 1,125 9,703
*ASI Solutions Inc 300 1,275
*Atrix Laboratories Inc 1,316 6,827
*Aurora Biosciences Corporation 626 16,589
<PAGE>
*AXENT Technologies Inc 1,416 29,736
*Barrett Business Services Inc 1,000 6,625
*Barringer Technologies Inc 640 3,920
*Berlitz International Inc 351 6,033
*Bestway Inc 1,400 7,000
*Billing Concepts Corporation 1,628 10,582
*Bionova Holding Corporation 2,500 3,750
*Bioreliance Corporation 1,449 8,287
*Bio-Technology General Corporation 2,279 34,755
*Blount International Inc 1,465 23,351
*Blue Rhino Corporation 481 4,690
Bowne & Company Inc 1,646 22,221
*Breakaway Solutions Inc 800 58,400
*Bright Horizons Family Solutions Inc 519 9,731
*Brookdale Living Communities Inc 426 5,272
*Building One Services Corporation 2,116 19,970
*Burns International Services Corporation 1,052 11,375
*Business Resource Group 400 2,125
*Butler International Inc 900 9,900
Cadmus Communications Corporation 890 7,565
*Caliber Learning Network Inc 300 863
*Capital Senior Living Corporation 727 3,680
*Career Education Corporation 319 12,242
*Careerbuilder Inc 700 4,506
*Carriage Services Inc Class A 507 3,010
*Catalytica Inc 1,261 17,102
*CDI Corporation 862 20,796
*Celgene Corporation 805 56,350
Central Parking Corporation 1,822 34,846
*Cephalon Inc 1,659 57,339
*Cerner Corporation 1,467 28,882
*Charles River Associates Inc 372 12,462
*Childrens Comprehensive Service 1,470 8,269
*Childtime Learning Centers Inc 700 8,663
*Choicepoint Inc 1,610 66,614
*Circle.com 821 10,109
*Clintrials Inc 672 2,772
*CMGI Inc 5,830 1,614,181
*Coinmach Laundry Corporation 467 4,962
*Coinstar Inc 761 10,654
*Collateral Therapeutics Inc 387 7,401
*Comarco Inc 197 4,630
*Comforce Corporation 719 2,067
*Comps.com Inc 1,200 9,450
*Computer Learning Center 780 1,877
*Concepts Direct Inc 200 2,175
*Concord EFS Inc 10,426 268,470
*Conrad Industries Inc 300 975
*Consolidated Graphics Inc 726 10,845
*Convergys Corporation 7,723 237,482
*COR Therapeutics Inc 996 26,768
*Corinthian Colleges Inc 600 14,325
*Cornell Corrections Inc 427 3,576
*Correctional Services Corporation 1,387 6,068
*Corrpro Companies Inc 1,200 7,050
*CORT Business Services Corporation 482 8,405
*CSS Industries Inc 480 10,260
*Cubist Pharmaceuticals Inc 744 14,322
*Cunningham Graphics International Inc 236 3,289
*CuraGen Corporation 700 48,825
*CV Therapeutics Inc 700 18,244
*Data Transmission Network Corporation 424 7,314
Delta & Pine Land Company 2,014 34,993
*DeVry Inc 3,501 65,206
<PAGE>
*Diamond Technology Partners Inc 763 65,570
*Digital Courier Technology Inc 997 9,596
*Dispatch Management Services Corporation 1,400 4,113
*DualStar Technologies Corporation 400 3,050
Duff & Phelps Credit Rating Company 171 15,208
*Eagle USA Airfreight Inc 1,407 60,677
*Earl Scheib Inc 1,000 2,938
*eBenx Inc 510 32,134
*Edison Schools Inc 1,900 29,925
*Education Management Corporation 1,305 18,270
*Emisphere Technologies Inc 505 15,182
*Employee Solutions Inc 800 550
*EntreMed Inc 578 14,811
*E-Stamp Corporation 1,600 35,600
*Exactis.com Inc 600 14,588
*Exponent Inc 300 1,988
*First Consulting Group Inc 994 15,407
*flightserv.com 1,100 9,763
Food Technology Service Inc 450 2,728
*Franklin Covey Company 1,025 7,688
*FTI Consulting Inc 600 3,000
*FYI Inc 606 20,604
G & K Services Inc Class A 1,016 32,893
*Gaiam Inc 300 4,763
Galileo International Inc 4,894 146,514
*Gartner Group Inc Class B 4,600 63,538
General Employment Enterprises Inc 230 1,064
General Magnaplate Corporation 300 881
*Genome Therapeutics Corporation 820 13,223
*Gilman & Ciocia Inc 935 7,655
*Global Vacation Group Inc 595 1,711
*GRC International Inc 457 5,427
*Griffin Land & Nurseries Inc 800 9,200
*GTS Duratek Inc 630 4,961
*Hagler Bailly Inc 725 3,625
*Hanover Direct Inc 10,857 39,357
*Harris Interactive Inc 3,360 43,890
*Headway Corporate Resources 665 2,909
*Health Risk Management Inc 100 613
*Healthcare Recoveries Inc 2,124 7,700
*Healthcare Services Group Inc 1,214 8,498
Healthplan Services Corporation 1,713 5,996
*Heidrick & Struggles International Inc 800 33,800
*Hoover's Inc 200 1,750
*Hotelworks.com Inc 542 2,710
*HotJobs.com Ltd 1,700 74,269
*ICOS Corporation 2,416 70,668
*ICT Group Inc 600 7,350
*Incyte Pharmaceuticals Inc 1,241 74,460
*Innovative Valve Technologies Inc 1,300 2,072
*Intelli-Check Inc 400 4,450
*Interim Services Inc 3,324 82,269
*International Total Services Inc 2,500 2,813
*Isis Pharmaceuticals Inc 1,208 7,550
*IT Group Inc 1,012 9,298
*ITT Educational Services Inc 1,208 18,649
*IVI Checkmate Corporation 619 1,896
*Jacobs Engineering Group 1,343 43,648
*Jenny Craig Inc 3,263 11,828
*Jupiter Communications Inc 600 18,150
*Kaneb 1,358 5,941
Kelly Services Inc Class A 1,746 43,868
*Kendle International Inc 403 3,980
*Korn/Ferry International 1,600 58,200
<PAGE>
*Labor Ready Inc 1,971 23,892
*Laboratory Corporation America Holdings 6,108 22,523
Landauer Inc 317 6,934
*Learning Tree International Inc 911 25,508
*Leasing Solutions Inc 1,600 350
*Loislaw.com Inc 1,200 46,950
*Luminant Worldwide Corporation 1,300 59,150
*Mace Security International Inc 200 825
*Mac-Gray Corporation 1,295 4,937
Manpower Inc 3,942 148,318
*Marlton Technologies Inc 400 1,100
*Maxim Pharmaceuticals 1,165 23,300
*Maximus Inc 1,004 34,073
*MedImmune Inc 3,039 504,094
*MedQuist Inc 1,748 45,120
*Michael Baker Corporation 400 2,650
*Millennium Pharmaceuticals Inc 2,124 259,068
*Modis Professional Services 5,002 71,279
*Monro Muffler Brake Inc 1,100 8,250
*Moore Medical Corporation 800 7,800
*MPW Industrial Services Group Inc 1,095 8,692
*Myriad Genetics Inc 1,046 48,116
*N2H2 Inc 900 21,150
*National Equipment Services Inc 1,079 6,744
*National Research Corporation 2,500 10,000
National Technical Systems Inc 300 1,163
*NationsRent Inc 2,284 12,848
*Navigant Consulting Inc 2,027 22,044
*Neff Corporation 692 4,412
*NeoPharm Inc 364 7,849
*NetRatings Inc 1,028 68,735
*Neurogen Corporation 533 8,795
New England Business Service Inc 643 15,713
*Newgen Results Corporation 800 8,450
*Nextera Enterprises Inc Class A 1,000 12,875
*NFO Worldwide Inc 954 21,346
*nFront Inc 500 10,000
*Official Payments Corporation 1,500 78,000
Olsten Corporation 3,736 42,264
*On Assignment Inc 489 14,609
*Opinion Research Corporation 200 1,800
*Optika Inc 500 6,969
*Organogenesis Inc 1,320 11,468
*Orthalliance Inc Class A 1,581 9,881
*Outsource International Inc 2,500 4,766
*Packaged Ice Inc 700 2,275
*PC Service Source Inc 600 1,313
*Pegasus Systems Inc 670 40,409
*Perceptron Inc 200 800
*Personnel Group of America Inc 1,468 14,864
*Pfsweb Inc 600 33,759
*Pharmaceutical Product Development Inc 1,144 13,585
*Pharmacopeia Inc 800 18,100
*Possis Medical, Inc 556 4,344
*Predictive Systems Inc 1,000 65,500
*Pre-Paid Legal Services Inc 1,050 25,200
*Primix Solutions Inc 400 3,425
*Profile Technologies Inc 1,200 8,400
*ProMedCo Management Company 3,379 9,926
*Prosoft I-Net Solutions Inc 572 5,935
*Protection One Inc 5,664 10,974
*Provant Inc 820 20,705
*Quest Education Corporation 365 3,194
*Questron Technology Inc 300 1,931
<PAGE>
*Rainbow Rentals Inc 1,065 7,655
*RCM Technologies Inc 486 8,384
*Reckson Service Industries Inc 1,300 81,088
*Regeneron Pharmaceuticals Inc 1,143 14,573
Regis Corporation 1,799 33,956
*Remedy Temp Inc 760 14,440
*Rent-A-Center Inc 1,217 24,112
*Rent-Way Inc 945 17,660
*Res-Care Inc 1,144 14,586
*Richton International Corporation 800 11,400
*Right Management Consultants Inc 800 9,200
*Robert Half International Inc 4,493 128,331
*Romac International Inc 2,198 29,536
*Safescience Inc 688 7,998
*Safety 1st Inc 400 3,000
*SCB Computer Technology Inc 2,410 7,531
*Scientific Games Holdings Corporation 441 7,304
*SCP Pool Corporation 529 13,721
*Security Associates International Inc 3,200 12,400
ServiceMaster Company 15,525 191,152
*SM&A Corporation 739 4,526
*Sos Staffing Service Inc 1,967 8,606
Sotheby's Inc 2,945 88,350
*Source Information Management Company 530 8,878
*Staff Leasing Inc 828 7,866
*StaffMark Inc 1,196 9,045
Standard Register Company 1,528 29,605
Stewart Enterprises Inc 5,516 26,201
Stone & Webster Inc 583 9,802
*Strategic Distribution Inc 500 719
Strayer Education Inc 702 13,865
*Student Advantage Inc 1,600 35,500
*STV Group Inc 200 1,438
*Summa Industries 300 3,469
*Superior Consultant Holdings Corporation 460 6,555
*Sylvan Learning Systems Inc 2,473 32,149
*Sypris Solutions Inc 422 3,798
*Talk City Inc 1,000 26,125
*Team America Corporation 2,100 11,944
*Technisource Inc 1,883 11,063
Tejon Ranch Company 768 18,240
*Tetra Tech Inc 1,797 27,629
*The Corporation Executive Board Company 700 39,113
*The Management Network Group Inc 1,300 42,413
*The Profit Recovery Group International Inc 2,246 59,659
*The Randers Killam Group Inc 800 3,400
*Thomas Group Inc 1,000 11,250
*TIBCO Software Inc 3,000 459,000
*Tickets.com Inc 2,800 40,075
*Track Data Corporation 2,592 26,406
*Transkaryotic Therapies Inc 855 32,918
*Travel Services International Inc 792 7,227
*Trimeris Inc 473 11,175
*TRM Copy Centers Corporation 316 1,936
*Tyler Technologies Inc 1,772 9,746
*T&W Financial Corporation 309 541
*Unidigital Inc 1,700 6,906
UniFirst Corporation 379 4,785
*United Rentals Inc 3,460 59,253
*United Road Services Inc 579 941
*United Shipping and Technology Inc 300 2,400
*URS Corporation 673 14,596
*U.S. Oncology Inc 4,023 19,864
*U.S.-China Industrial Exchange Inc 600 10,950
<PAGE>
*U.S. Search.com Inc 500 3,750
*Valassis Communications Inc 2,960 125,060
*Viador Inc 700 29,663
*Vicon Industries Inc 200 1,200
*Vision Twenty-One Inc 672 1,848
*Vivid Technologies Inc 2,700 17,888
*Volt Information Sciences Inc 667 15,925
*Westaff Inc 1,884 15,543
*Whitman Education Group Inc 593 1,631
*Whittman-Hart Inc 2,789 149,560
*Wireless Facilities Inc 1,500 65,438
*World Access Inc 2,090 40,233
World Fuel Services Corporation 455 3,413
*Worldtalk Communications Corporation 400 8,025
*@plan.Inc 700 6,913
-----------
$ 9,639,201
COMMUNICATIONS - 11.1%
*Able Telecom Holding Corporation 695 5,560
*Act Networks Inc 546 5,085
*Active Voice Corporation 100 2,906
*ACTV Inc 2,167 99,005
*Adaptive Broadband Corporation 672 49,602
*Adelphia Business Solutions Inc 1,125 54,000
*Adtran Inc 1,918 98,657
*Advanced Communications Group 923 12,576
*Advanced Fibre Communications Inc 3,785 169,142
*Advanced Radio Telecom Corporation 1,685 40,440
*Aerial Communications Inc 1,572 95,696
*AirGate PCS Inc 600 31,650
*Airnet Communications Corporation 839 41,441
*Aironet Wireless Communications Inc 800 53,425
*Alaska Communications Systems Holdings Inc 1,600 19,800
*Allen Telecom Inc 1,111 12,846
*Allied Riser Communications Corporation 3,000 62,063
*Allstar Systems Inc 700 919
*American Access Technologies Inc 300 1,538
*American Mobile Satellite Corporation 2,384 50,213
*Anadigics Inc 943 44,498
*Ancor Communications Inc 1,726 117,152
*Andrea Electronics Corporation 896 6,888
*Antec Corporation 1,793 65,445
*APAC Teleservices Inc 2,244 31,556
*Applied Innovation 707 5,877
Applied Signal Technology 375 5,273
*Arch Communications Group Inc 3,166 20,876
*Aspect Communications Corporation 2,288 89,518
Atlantic Tele-Network 319 2,931
*Audiovox Corporation Class A 736 22,356
*Aware Inc 1,027 37,357
*Blonder Tongue Laboratories 370 1,850
*Bogen Communications International Inc 300 2,325
*Boston Communications Group Inc 900 4,725
*Brightpoint Inc 2,643 34,689
BroadWing Inc 10,726 395,521
*B.I. Inc 1,000 7,625
CFW Communications Company 582 20,225
*Cable Design Technologies Corporation 1,362 31,326
*Carrier Access Corporation 1,156 77,813
*Catapult Communications Corporation 700 6,956
*Cavion Technologies Inc 400 3,100
*Celeritek Inc 200 3,900
*CellNet Data Systems Inc 1,894 2,131
*Centennial Cellular Corporation Class A 2,024 167,739
*Centigram Communications Corporation 320 5,360
<PAGE>
*Channell Commercial Corporation 408 4,667
*Checkpoint Systems Inc 1,397 14,232
*Ciena Corporation 6,919 397,843
*Cognitronics Corporation 900 15,188
*Com21 Inc 1,030 23,111
*Comdial Corporation 594 5,903
*CommNet Cellular Inc 1,200 38,550
*Commonwealth Telephone Entrprises Inc 1,123 59,379
Communications Systems Inc 324 4,212
*Compu-Dawn Inc 1,500 9,563
Comsat Corporation 2,519 50,065
*Comtech Telecommunications Corporation 300 4,425
*Concentric Network Corporation 2,132 65,692
*Concord Communications Inc 779 34,568
Conestoga Enterprises Inc 257 4,425
*Convergent Communications Inc 900 14,288
*Copper Mountain Networks Inc 2,200 107,250
*Cosair Communications Inc 1,059 8,604
*Covad Communications Group Inc 4,174 233,483
*Coyote Network Systems Inc 470 2,556
*C-Phone Corporation 500 547
*Crown Castle International Corporation 7,309 234,802
CT Communications Inc 600 33,600
*CTC Communications Group Inc 759 29,613
Cubic Corporation 328 7,175
*Cycomm International Inc 1,800 1,098
*Data Race Inc 1,309 3,559
Davel Communication Group 553 2,627
*Davox Corporation 762 14,954
*Deltathree.com Inc 1,063 27,372
*Detection Systems Inc 283 2,671
*Digital Generation Systems Inc 1,021 7,275
*Digital Island 1,900 180,738
*Digital Lightware Inc 1,977 126,528
*Digital Microwave Corporation 2,960 69,375
*Ditech Communications Corporation 700 65,450
*DSL.net Inc 2,600 37,538
D&E Communications Inc 273 5,187
*EchoStar Communications Corporation Class A 5,428 529,230
*Efficient Networks Inc 1,900 129,200
*eGlobe Inc 600 2,663
*Elantec Semiconductor Inc 1,500 49,500
*Elcotel Inc 602 1,166
*eLEC Communications Corporation 900 3,459
*Electric Lightwave Inc Class A 382 7,163
*Eltrax Systems Inc 1,383 11,150
*eShare Technologies Inc 681 11,620
*Executone Information Systems Inc 3,300 17,944
*Exodus Communications Inc 8,520 756,683
*Ezenia! Inc 690 5,477
*e.spire Communications Inc 3,193 18,559
*FastComm Communications Corporation 2,300 4,313
Federal Signal Corporation 2,527 40,590
*FirstCom Corporation 1,500 55,125
*Focal Communications Corporation 2,800 67,550
*Fonix Corporation 9,000 2,610
*Franklin Telecommunucations Corporation 1,900 4,513
*General Communication Inc Class A 2,233 9,769
*General DataComm Industries Inc 700 4,638
*Gentner Communications Corporation 400 5,600
*Glenayre Technologies Inc 2,886 32,648
*Global TeleSystems Group Inc 8,972 310,656
*Globecomm Systems Inc 405 10,226
*Globix Corporation 904 54,240
<PAGE>
*GST Telecommunications Inc 3,736 33,858
Harmon Industries Inc 689 8,354
*Harmonic Inc 1,462 138,799
*Hector Communications Corporation 500 7,000
*Hello Direct Inc 300 4,463
Hickory Tech Corporation 503 7,545
*High Speed Access Corporation 2,500 44,063
*HighwayMaster Communications Inc 1,600 3,600
*Hungarian Telephone and Cable Corporation 200 1,438
*ibasis Inc 1,500 43,125
*ICG Communications Inc 2,658 49,838
*I-Link Inc 1,039 2,890
*Illuminet Holdings Inc 1,400 77,000
*Inet Technologies Inc 2,200 153,725
*Infonet Services Corporation Class B 1,095 28,744
*Intelect Communications Inc 1,800 2,475
*InteliData Technologies Corporation 1,300 5,403
*Interactive Intelligence Inc 900 23,963
*InterDigital Communications Corporation 2,187 164,025
*Intermedia Communications Inc 2,874 111,547
*Interspeed Inc 700 12,381
Inter-Tel Inc 1,268 31,700
*InterVoice Inc 1,990 46,268
*IPC Information Systems Inc 397 28,187
*ITC DeltaCom Inc 2,794 77,184
*Itron Inc 542 3,320
*IXnet Inc 2,400 72,300
*JDS Uniphase Corporation 11,332 1,827,993
*JFAX.COM Inc 1,000 6,719
*Juniper Networks Inc 2,600 884,000
*L-3 Communications Holdings Inc 1,624 67,599
*Latitude Communications Inc 700 18,288
*LCC International Inc Class A 1,600 31,900
*Leap Wireless International Inc 855 67,118
*Level 3 Communications Inc 17,141 1,403,419
*Lifeline Systems Inc 214 3,210
*Lightbridge Inc 690 19,148
*Loral Space & Communications Ltd 12,397 301,402
*MarketWatch.com Inc 625 22,813
*Mastec Inc 1,428 63,546
*MCK Communications Inc 800 18,000
*McLeod Inc Class A 7,760 456,870
*Medialink Worldwide Inc 237 1,911
*Medscape Inc 2,200 22,000
*MessageMedia Inc 2,057 28,927
*Metricom Inc 987 77,603
*Metro One Telecommunications Inc 410 5,330
*Metrocall Inc 1,510 2,548
*Metromedia Fiber Network Inc 10,011 479,902
*Mgc Communications Inc 1,032 52,374
*Natural Microsystems Corporation 590 27,619
*Net2Phone Inc 500 22,969
*NetMoves Corporation 685 4,795
*Network Access Solutions Corporation 2,300 75,900
*Network Plus Corporation 2,400 50,400
*Next Level Communications Inc 3,800 284,525
*Nextlink Communications Inc Class A 3,700 307,331
North Pittsburgh Systems Inc 553 8,157
*NorthEast Optic Network Inc 792 49,550
*Notify Technology Corporation 200 1,213
*NTL Inc 5,263 656,559
*NumereX Corporation Class A 2,900 35,888
*Omnipoint Corporation 2,863 345,349
*Osicom Technologies Inc 721 32,715
<PAGE>
*Pacific Gateway Exchange Inc 1,158 19,758
*Pac-West Telecommunications Inc 1,700 45,050
*Paging Network Inc 4,637 3,768
*Pairgain Technologies Inc 3,366 47,755
*PanAmSat Corporation 954 56,644
*P-Com Inc 3,005 26,576
*Phone.com Inc 3,300 382,594
*Picturetel Corporation 1,722 7,426
Pittway Corporation Class A 2,154 96,526
*Plantronics Inc 840 60,113
*Pliant Systems Inc 700 6,256
*Polycom Inc 1,724 109,797
*Porta Systems Corporation 500 375
*Powertel Inc 1,417 142,231
*Powerwave Technologies Inc 971 56,682
*Premiere Technologies Inc 2,248 15,736
*Primus Telecommunications Group 1,654 63,266
*Prodigy Communications Corporation 3,028 58,668
*Proxim Inc 498 54,780
*Qwest Communications International Inc 37,484 1,611,812
*Razorfish Inc 2,125 202,141
*RCN Corporation 3,617 175,425
*RMI.NET Inc 692 5,752
*Rural Cellular Corporation Class A 386 34,933
*Sawtek Inc 2,066 137,518
*SCC Communications Corporation 400 2,350
*Seachange International Inc 909 32,156
*Shared Technologies Cellular Inc 200 1,700
*Sirius Satellite Radio Inc 1,137 50,597
*Spectralink Corporation 866 6,279
*Spectrian Corporation 485 13,701
*Standard Microsystems Corporation 689 7,450
*Star Telecommunications Inc 2,890 22,849
*Startec Global Communication 801 17,121
*STM Wireless Inc Class A 1,000 6,625
*Symmetricom Inc 580 5,764
*Talk.com Inc 2,788 49,487
*TALX Corporation 100 1,325
*Tekelec 2,721 61,223
*TeleCorp PCS Inc 4,023 152,874
Telephone & Data System 3,036 382,536
*Telesoft Corporation 200 863
*Teligent Inc Class A 365 22,539
*Telscape International Inc 200 2,525
*Teltrend Inc 319 9,650
*Teltronics Inc 600 1,988
*Telular Corporation 900 8,550
*Terayon Communications Systems Inc 1,034 64,948
*Tessco Technologies Inc 162 3,017
*The Associated Group Inc Class A 1,477 134,776
*The Associated Group Inc Class B 200 18,400
*The Titan Corporation 2,312 108,953
*Time Warner Telecom Inc Class A 1,000 49,938
*T-Netix Inc 382 1,659
*Tollgrade Communications Inc 214 7,383
*Total-Tel Usa Communications 284 4,012
*Tritel Inc 6,200 196,463
*Triton PCS Holdings Inc Class A 2,600 118,300
*Tut Systems Inc 600 32,175
*Ultrak Inc 542 4,201
*United States Cellular Corporation 4,409 445,033
*Ursus Telecom Corporation 300 3,975
*U.S. LEC Corporation Class A 581 18,737
*Vari-L Company Inc 300 10,275
<PAGE>
*VDS Communications Inc 748 1,730
*Veramark Technologies Inc 338 4,141
*Vertex Communications 228 4,674
*VerticalNet Inc 1,750 287,000
*Vialog Corporation 600 1,875
*Viasat Inc 357 17,805
*Viatel Inc 2,559 137,226
*ViewCast.com Inc 469 2,103
*Vixel Corporation 1,000 17,063
*VoiceStream Wireless Corporation 4,826 686,800
*Voxware Inc 800 825
*VTEL Corporation 2,700 8,860
Warwick Valley Telephone Company 89 4,305
*Wavo Corporation 1,628 6,309
*WebLink Wireless Inc 1,272 19,716
*West Teleservices 3,033 74,119
*Westell Technologies Inc 806 8,665
*Western Wireless Corporation 2,426 161,936
*Williams Communications Group Inc 2,900 83,919
*WinStar Communications Inc 2,733 205,658
*WorldGate Communications Inc 1,000 47,563
*WorldPort Communications Inc 766 1,592
*XETA Corporation 200 6,638
*ZixIt Corporation 749 29,679
*Zoom Telephonics Inc 2,200 18,563
-----------
$22,507,509
COMPUTER SOFTWARE & PROCESSING - 18.8%
*3D Systems Corporation 517 4,395
*3DO Company (The) 1,356 12,331
*4Front Software International 590 7,891
*About.com Inc 800 71,800
*Accerl8 Technology Corporation 1,600 1,900
*Acclaim Entertainment Inc 2,403 12,315
*Accrue Software Inc 1,000 54,125
*Active Software Inc 1,200 110,400
*Activision Inc 915 14,011
*Actuate Software Corporation 1,232 52,822
*Acxiom Corporation 4,072 97,728
*adam.com Inc 300 3,825
*Adept Technology Inc 381 2,429
*Advanced Communication Systems 317 6,063
*Advantage Learning Systems Inc 1,612 18,034
*Advent Software Inc 647 41,691
*Aether Systems Inc 1,200 85,950
*Agency.com Inc 5,562 283,662
*Agile Software Corporation 1,000 217,234
*Allaire Corporation 600 87,788
*Alloy Online Inc 600 9,450
*Alteon Websystems Inc 1,900 166,725
*Alysis Technologies Inc 600 5,625
*American Management Systems Inc 1,978 62,060
*American Software Inc Class A 500 5,125
*Analogy Inc 2,700 5,822
*Ansoft Corporation 617 3,702
*ANSYS Inc 604 6,644
*AppliedTheory Corporation 800 22,200
*Applix Inc 458 8,273
*AppNet Systems Inc 1,600 70,000
*Ardent Software Inc 776 30,264
*AremisSoft Corporation 800 26,000
*Ariba Inc 4,500 798,188
*Art Technology Group Inc 1,500 192,188
*Artificial Life Inc 341 6,095
*Artisoft Inc 658 11,844
<PAGE>
*ASD Systems Inc 900 15,975
*Ask Jeeves Inc 1,400 158,113
*Aspect Development Inc 1,462 100,147
*Aspen Technology Inc 1,106 29,240
*At Home Corporation Series A 17,107 733,463
*Atlantic Data Services Inc 574 3,301
*Audible Inc 1,000 15,000
*audiohighway.com 100 856
*autobytel.com Inc 1,000 15,188
*Autoweb.com Inc 900 9,788
*AVT Corporation 859 40,373
*Banyan Systems Inc 1,246 24,920
*Barra Inc 621 19,717
*Base Ten Systems Inc CV Class A 220 523
*Be Free Inc 1,300 93,438
*Be Inc 1,700 38,781
*BEA Systems Inc 6,426 449,418
*Best Software Inc 429 12,656
*BindView Development Corporation 1,210 60,122
*Biospherics Inc 393 2,162
*Bluestone Software Inc 1,100 126,500
*Bottomline Technologies Inc 400 14,400
*Boundless Corporation 1,500 12,563
*Braun Consulting Inc 800 57,200
*Brightstar Information Technologies 1,046 8,630
*Brio Technology Inc 647 27,174
*Broadbase Software Inc 1,100 123,750
*BroadVision Inc 3,997 679,740
*Brocade Communications Systems Inc 2,700 477,900
*Bsquare Corporation 1,800 75,488
*BTG Inc 393 3,193
*CacheFlow Inc 1,620 211,714
*Cadence Design Systems Inc 12,271 294,504
*Caere Corporation 553 4,044
*CAIS Internet Inc 800 28,400
*Calico Commerce Inc 1,600 84,800
*Cambridge Technology Partners Inc 2,820 74,025
*CareInsite Inc 3,500 281,750
*Carreker-Antinori Inc 913 8,274
*Catalyst International Inc 559 7,127
*C-bridge Internet Solutions Inc 51 2,480
*CCC Information Services Group Inc 1,064 18,221
*CDnow Inc 1,424 14,062
*CE Software Holdings Inc 200 1,725
*Cellular Technical Services Company Inc 1,600 12,400
*Centura Software Corporation 2,000 10,875
*CFI Proservices Inc 225 1,842
*CheckFree Holdings Corporation 2,681 280,165
*Ciber Inc 3,099 85,223
*Clarent Corporation 1,400 108,850
*Clarify Inc 1,186 149,436
*Clarus Corporation 1,000 66,000
*click2learn.com Inc 608 6,764
*ClickAction Inc 362 10,656
*Commerce One Inc 3,600 707,400
*Complete Business Solutions Inc 1,755 44,094
Computer Concepts Corporation 1,200 2,025
*Computer Horizons Corporation 1,394 22,565
*Computer Outsourcing Services Inc 200 5,050
Computer Task Group Inc 928 13,746
*Concur Technologies Inc 936 27,144
*Condor Technology Solutions 415 571
*ConnectInc.com Company 2,776 11,191
*ConSyGen Inc 1,400 1,414
<PAGE>
*Cornerstone Internet Solutions Company 500 3,797
*Cotelligent Inc 607 3,263
*Cover-All Technologies Inc 700 875
*Credit Management Solutions Inc 2,500 21,250
*Critical Path Inc 1,900 179,313
*CSG Systems International Inc 2,698 107,583
*CyberCash Inc 879 8,131
*Cybershop International Inc 823 4,527
*CyberSource Corporation 1,300 67,275
*Cylink Corporation 1,373 18,536
*Cysive Inc 500 36,031
*DA Consulting Group Inc 293 1,044
*Daleen Technologies Inc 800 17,500
*Data Broadcasting Corporation 1,442 11,897
*Data Dimensions Inc 2,108 5,402
Data Research Associates Inc 200 1,600
*Data Return Corporation 1,600 85,600
*Datastream Systems Inc 906 22,254
*Datatec Systems Inc 1,083 6,092
*DecisionOne Holdings Corporation 600 300
*Deltek Systems Inc 799 10,787
*Dendrite International Inc 1,959 66,344
*Digex Inc 600 41,250
*Digital Lava Inc 200 1,425
*Digital River Inc 938 31,247
*Documentum Inc 844 50,535
*Dset Corporation 559 20,893
*DSP Group Inc 546 50,778
*DST Systems Inc 3,240 247,253
*Ducocorp International 898 6,314
*EarthLink Network Inc 1,676 71,230
*EarthWeb Inc 353 17,760
*ebix.com Inc 430 4,811
*Echelon Corporation 1,198 23,436
*Eclipsys Corporation 1,693 43,383
*eCollege.com Inc 582 6,366
*eGain Communications Corporation 1,300 49,075
*Elcom International Inc 1,621 55,114
*Electro Rent Corporation 1,401 16,287
*Electronic Arts Inc 3,127 262,668
*Elite Information Group Inc 2,800 29,925
*e-Net Inc 1,100 13,681
*Engage Technologies Inc 2,500 150,000
*Engineering Animation Inc 600 5,250
*Entrade Inc 300 12,263
*Entrust Technologies Inc 2,300 137,856
*Epicor Software Corporation 2,181 11,041
*ePlus inc 334 12,024
*ESPS Inc 900 4,613
*EuroWeb International Corporation 1,300 15,031
*Evolving Systems Inc 819 6,962
*Excalibur Technologies Corporation 504 10,395
*Exchange Applications Inc 572 31,961
*Exigent International Inc 700 2,756
*Extreme Networks Inc 2,600 217,100
*E.piphany Inc 1,300 290,063
*F5 Networks Inc 900 102,600
FactSet Research Systems Inc 777 61,869
Fair Isaac and Company Inc 624 33,072
*Fatbrain.com Inc 511 12,807
Fidelity Holdings Inc 900 17,044
*FileNET Corporation 1,373 35,012
*Firearms Training Systems Inc 2,300 1,150
*Fiserv Inc 6,200 237,538
<PAGE>
*FlashNet Communications Inc 600 3,713
*FlexiInternational Software Inc 900 639
*Fourth Shift Corporation 448 3,108
*Frontline Communications Corporation 300 2,306
*General Magic Inc 2,430 9,416
*Genesys Telecommunications Laboratories Inc 1,322 71,388
*Gensym Corporation 400 2,300
*Geoworks 1,120 18,760
Gerber Scientific Inc 1,016 22,289
*GK Intelligent Systems Inc 2,700 1,134
*Go2Net Inc 1,434 124,758
*GoTo.com Inc 2,300 135,125
*Great Plains Software Inc 719 53,745
*Group 1 Software Inc 200 2,600
*GSE Systems Inc 200 663
*GT Interactive Software Corporation 3,150 5,217
*Hall Kinion & Assoc Inc 425 9,138
*Harbinger Corporation 1,847 58,758
*Health Mgmt Systems Inc 642 4,053
*HIE Inc 1,904 6,426
*HNC Software Inc 1,154 122,036
*Hollywood.com Inc 389 7,391
*HomeCom Communications Inc 500 1,594
*HTE Inc 622 3,732
*Hypercom Corporation 1,574 15,740
*Hyperion Solutions Corporation 1,443 62,771
*I2 Technologies Inc 3,787 738,465
*IDT Corporation 1,339 25,274
*IDX Systems Corporation 1,285 40,156
*iManage Inc 1,500 48,188
*IMRglobal Corporation 1,704 21,407
*Indus International Inc 1,253 15,271
*Industri Matematik International Corporation 2,280 13,965
*Inference Corporation Class A 200 925
*Infinium Software Inc 564 3,842
*InfoCure Corporation 1,392 43,413
*Infonautics Inc Class A 1,500 10,500
*Informatica Corporation 700 74,463
*Information Analysis Inc 2,000 1,688
*Information Architects Corporation 2,444 25,051
*Information Management Associates Inc 500 2,625
*Information Resource Engineering Inc 200 4,100
*Information Resources Inc 1,041 9,629
*Informix Corporation 9,309 106,472
*InfoSpace.com 2,400 513,600
*infoUSA Inc 2,516 35,067
*Inktomi Corporation 5,244 465,405
*Innodata Corporation 600 4,763
*Inprise Corporation 2,568 28,409
*INSCI Corporation 300 1,575
*Inso Corporation 869 28,025
*INSpire Insurance Solutions Inc 824 3,785
*Integral Systems Inc - MD 262 11,561
*Integrated Measurement Systems 332 4,690
*Integrated Systems Inc 1,313 44,068
*IntelliCorp Inc 1,000 3,125
*Intelligroup Inc 767 18,983
*Interactive Pictures Corporation 600 13,988
*Interleaf Inc 600 20,175
*Interliant Inc 2,200 57,200
*Internap Network Services Corporation 3,200 553,600
*International Microcomputer Software Inc 453 934
*Internet America Inc 231 2,729
*Internet Capital Group Inc 1,484 252,280
<PAGE>
*Internet Commerce Corporation Class A 500 15,563
*internet.com LLC 1,200 62,700
*Interplay Entertainment Corporation 500 1,469
*Intertrust Technologies Corporation 1,900 223,488
*InterVU Inc 701 73,605
*InterWorld Corporation 1,300 110,988
*Interwoven Inc 1,200 145,950
*Intranet Solutions Inc 622 23,014
*Intraware Inc 1,100 87,931
*Intuit Inc 9,354 560,635
*Isocor 1,039 45,197
*ISS Group Inc 1,924 136,845
*ITC Learning Corporation 1,000 3,000
*iTurf Inc Class A 200 2,488
*ITXC Corporation 1,700 57,163
*iVillage Inc 1,000 20,250
Jack Henry & Associates Inc 953 51,164
*JD Edwards & Company 5,165 154,304
*JDA Software Group Inc 1,263 20,682
*Juno Online Services Inc 1,400 49,700
*Kana Communications Inc 1,400 287,000
*Keane Inc 3,449 109,506
*Keynote Systems Inc 1,200 88,500
*Kronos Inc 555 33,300
*Landmark Systems Corporation 430 4,488
*Larscom Inc Class A 1,900 12,409
*Lason Inc 882 9,702
*Launch Media Inc 400 7,575
*Learn2.com Inc 2,184 7,166
*Legato Systems Inc 4,582 315,299
*Level 8 Systems Inc 598 20,660
*LHS Group Inc 2,743 67,375
*Liberate Technologies Inc 2,100 539,700
*Lionbridge Technologies Inc 600 10,950
*Litronic Inc 300 2,400
*Log On America Inc 600 12,150
*Logility Inc 1,502 29,289
*LookSmart Ltd 4,300 116,100
*Lycos, Inc 4,842 385,242
*Made2Manage Systems Inc 200 1,600
*Mail.com Inc 1,400 26,250
*Manhattan Associates Inc 1,061 7,825
*Manugistics Group Inc 1,779 57,484
*Mapics Inc 750 9,469
*Mapinfo Corporation 210 7,718
*MapQuest.com Inc 1,500 33,844
*Marimba Inc 1,100 50,669
*Mastech Corporation 2,394 59,252
*MathSoft Inc 600 2,738
*MC Informatics Inc 900 1,350
*Mcglen Internet Group Inc 1,000 4,063
*Mechanical Dynamics Inc 1,800 9,225
*Mecon Inc 279 3,017
*Media Metrix Inc 900 32,175
*Mentor Graphics Corporation 2,940 38,771
*Mercury Interactive Corporation 1,880 202,923
*Meta Group Inc 427 8,113
*MetaCreations Corporation 1,281 11,009
*Metamor Worldwide Inc 1,656 48,231
*Metasolv Software Inc 1,660 135,705
*Metro Information Services Inc 665 15,960
*Micrografx Inc 405 1,772
*Micromuse Inc 798 135,660
*Microstrategy Inc 480 100,800
<PAGE>
*Microwave Power Devices Inc 482 3,434
*Midway Games Inc 1,666 39,880
*MindSpring Enterprises Inc 3,092 81,648
*Mission Critical Software Inc 700 49,000
*Mobius Management Systems Inc 956 7,588
*Mpath Interactive Inc 1,000 26,625
*MSC.Software Corporation 613 6,207
*Multex.com Inc 1,414 53,202
*Muse Technologies Inc 453 1,387
*Mustang.com Inc 1,300 20,313
National Computer System Inc 1,696 63,812
National Data Corporation 1,616 54,843
*National Information Consortium Inc 2,600 83,200
*National Instruments Corporation 2,509 95,969
*National Techteam Inc 503 2,421
*Navidec Inc 700 8,400
*NaviSite Inc 1,400 140,000
*NeoMedia Technologies Inc 500 2,375
*Neon Systems 300 11,775
*Neotopia Inc 638 34,651
*Net Perceptions Inc 1,200 50,400
*NetCreations Inc 800 35,200
*Netegrity Inc 720 40,995
*NetGateway Inc 900 8,100
*NetIQ Corporation 800 41,650
*Netivation.com Inc 300 1,725
*Netlojix Communications Inc 826 2,117
*NetManage Inc 2,545 12,566
*NetObjects Inc 900 14,850
*NetScout Systems Inc 1,000 31,000
*Netsmart Technologies Inc 1,300 8,288
*NetSolve Inc 500 15,750
*NetSpeak Corporation 663 14,089
*Network Associates Inc 7,017 187,266
*Network Equipment Technologies Inc 787 9,296
*Network Peripherals Inc 653 30,854
*Network Solutions Inc Class A 1,672 363,765
*Network Systems International Inc 200 750
*NetZero Inc 4,900 131,994
*New Era of Networks Inc 1,588 75,629
*NorthPoint Communications Group Inc 6,200 148,800
*Nova Corporation 3,523 111,195
*Novadigm Inc 645 13,384
*Nvidia Corporation 1,500 70,406
*OAO Technology Solutions Inc 736 5,704
*Object Design Inc 1,332 19,314
*Objective Systems Integrator Corporation 1,284 8,507
*ObjectShare Inc 1,100 440
*ObjectSoft Corporation 233 780
*Omega Research Inc 1,232 7,392
*Omtool Ltd 960 2,280
*ON Technology Corporation 500 6,938
*On2.com Inc 1,200 34,800
*OneMain.com Inc 900 13,500
*OneSource Information Services Inc 1,000 13,438
*Ontrack Data Intenational Inc 1,800 21,713
*ONYX Software Corporation 700 25,900
*Open Market Inc 1,766 79,691
*Packeteer Inc 1,400 99,400
*Panja Inc 371 6,122
*Pathways Group Inc 2,400 5,700
*pcOrder.com Inc 100 5,100
*PC-Tel Inc 700 36,750
*Peapod Inc 831 7,167
<PAGE>
*Peregrine Systems Inc 2,477 208,532
*Persistence Software Inc 700 15,750
*Pervasive Software Inc 696 11,789
*Phoenix International Ltd Inc 380 1,473
*Phoenix Technologies Ltd 1,069 16,904
*Pilot Network Services 613 14,712
*Pivotal Corporation 1,000 42,250
*PopMail.com 800 2,400
*Portal Software Inc 3,900 401,213
*PowerCerv Corporation 400 2,100
*Preview Systems Inc 613 52,759
*Preview Travel Inc 706 36,800
*PRI Automation Inc 992 66,588
*Primark Corporation 950 26,422
*Primus Knowledge Solutions Inc 800 36,250
*ProBusiness Services Inc 1,116 40,176
*Progress Software Corporation 764 43,357
*Project Software & Development Inc 938 52,059
*Proxicom Inc 1,300 161,606
*ProxyMed Inc 679 6,620
*PRT Group Inc 816 1,785
*PSINet Inc 3,595 221,991
*PSW Technologies Inc 600 11,963
*Puma Technology Inc 967 126,314
*Qad Inc 1,589 22,147
*QRS Corporation 671 70,455
*Quadramed Corporation 1,161 10,123
*quepasa.com Inc 700 8,881
*Quest Software Inc 1,900 193,800
*Quintus Corporation 1,805 82,804
*Quokka Sports Inc 1,900 24,938
*Radiant Systems Inc 692 27,810
*RadiSys Corporation 763 38,913
*Ramp Networks Inc 900 13,725
*Rational Software Corporation 4,388 215,561
*Ravisent Technologies Inc 800 30,750
*RealNetworks Inc 3,694 444,434
*Red Hat Inc 3,500 739,375
*Registry Magic Inc 400 1,200
*Remedy Corporation 1,373 65,046
*Renaissance Worldwide Inc 2,504 18,467
*Research Engineers Inc 800 38,400
*Retek Inc 2,200 165,550
Reynolds & Reynolds Inc 3,877 87,233
*Rogue Wave Software 468 3,744
*Ross Systems 1,378 4,565
*RSA Security Inc 1,929 149,498
*Rythms NetConnections Inc 3,600 111,600
*S3 Inc 3,429 39,648
*Saflink Corporation 1,000 2,031
*Saga Systems Inc 1,353 26,975
*Sagent Technology Inc 1,100 32,931
*SalesLogix Corporation 800 32,850
*Salon.com Inc 300 1,500
*Sanchez Computer Associates Inc 1,162 47,860
*Sapient Corporation 2,874 405,054
*Schick Technologies Inc 2,300 2,415
*Scient Corporation 3,500 302,531
*Scientific Learning Corporation 600 21,900
*Secure Computing Corporation 2,230 28,014
*Sedona Corporation 700 2,406
*SEEC Inc 2,300 15,381
*Segue Software Inc 907 22,675
SEI Investment Company 898 106,876
<PAGE>
*Serena Software Inc 1,100 34,031
*ShowCase Corporation 300 1,725
*Siebel Systems Inc 9,240 776,160
*Silknet Software Inc 800 132,600
*SilverStream Software Inc 900 107,100
*SmartServ Online Inc 1,000 19,719
*Smith-Gardner & Associates Inc 1,300 22,181
*Software Spectrum 199 3,520
*Software.com Inc 2,100 201,600
*Softworks Inc 589 5,724
*Sonic Foundry Inc 100 2,369
*Sonic Solutions Inc 1,100 4,331
*SonicWALL Inc 1,200 48,300
*Source Media Inc 965 17,853
*Spatial Technology Inc 300 1,388
*Speedus.com Inc 1,000 4,781
*Splitrock Services Inc 2,700 53,663
*SportsLine USA Inc 1,255 62,907
*SPR Inc 706 4,324
*SPSS Inc 333 8,408
*Spyglass Inc 852 32,309
*SS&C Technologies Inc 1,739 11,304
*Stac Software Inc 600 3,788
*StarBase Corporation 1,700 18,594
*StarMedia Network Inc 2,900 116,181
*Sterling Commerce Inc 4,299 146,435
*Sterling Software 4,156 130,914
*Stratasys Inc 2,400 17,400
*Structural Dynamics Research Corporation 1,627 20,744
*Styleclick.com Inc 625 7,461
*Summit Design Inc 1,088 3,808
*SunGard Data Systems Inc 6,104 144,970
*Sunquest Information Systems Inc 567 7,655
*Sunrise International Leasing Corporation 600 3,131
*SVI Holdings Inc 1,311 15,732
*Sycamore Networks Inc 3,900 1,201,200
*Sykes Enterprises Inc 2,159 94,726
*Symantec Corporation 2,779 162,919
*Symix Systems Inc 341 6,223
*Synopsys Inc 3,588 239,499
*Syntel Inc 1,708 27,648
*System Software Associates Inc 438 876
*Systems & Computer Technology Corporation 1,623 26,374
*Take-Two Interactive Software Inc 1,620 20,959
*Tangram Enterprise Solutions Inc 2,600 20,475
*Tanning Technology Corporation 900 53,044
*TCSI Corporation 600 1,913
*Technology Solutions Company 2,225 72,869
*TekInsight.com Inc 700 1,925
*Teknowledge Corporation 700 2,800
*Telescan Inc 595 14,689
*TenFold Corporation 1,500 59,906
*The Ashton Technology Group Inc 1,500 9,656
*The BISYS Group Inc 1,391 90,763
*The InterCept Group Inc 600 17,813
*The Santa Cruz Operation Inc 1,867 56,710
*The TriZetto Group Inc 1,000 46,625
*The Vantive Corporation 1,573 40,636
*The Vialink Company 244 8,876
*THQ Inc 907 21,031
*Tier Technologies Inc Class B 384 3,240
Timberline Software Corporation 461 6,195
Total System Services Inc 9,881 161,184
*TouchStone Software Corporation 1,100 756
<PAGE>
*Towne Services Inc 689 2,756
*Transaction Systems Architects Inc Class A 1,548 43,344
*Treev Inc 300 947
*TRO Learning Inc 1,500 8,063
*TSI International Software Ltd 1,682 95,243
*TSR Inc 268 2,211
*Tumbleweed Communications Corporation 1,000 84,750
*Ultimate Software Group Inc 1,685 22,010
*UniComp Inc 2,500 21,875
*Unify Corporation 1,024 28,032
*Unigraphics Solutions Inc 223 6,021
*Usdata Corporation 1,700 23,588
*USWeb Corporation 3,600 159,975
*U.S. Interactive Inc 1,000 43,000
*VCampus Corporation 200 625
*Verilink Corporation 623 2,687
*Verio Inc 3,846 177,637
*Verisign Inc 5,076 969,199
*Veritas Software Corporation 12,775 1,828,422
*Verity Inc 1,468 62,482
*Versant Corporation 1,000 8,750
*Viant Corporation 1,100 108,900
*Viasoft Inc 1,783 10,141
*Vignette Corporation 2,800 456,400
*Virtual Communities Inc 700 2,275
*Visio Corporation 1,556 73,910
*VISTA Information Solutions Inc 1,397 5,064
*Visual Data Corporation 234 2,691
*Vitria Technology Inc 1,500 351,000
*Vizacom Inc 1,600 5,300
*V-ONE Corporation 2,900 17,038
*Voyager.net Inc 1,100 10,106
*Vysis Inc 936 3,393
*Walker Interactive Systems 1,028 6,425
*WatchGuard Technologies Inc 800 24,200
*Wave Systems Corporation Class A 1,569 18,730
*Webb Interactive Services 472 10,738
*Webhire Inc 448 7,560
*Webstakes.com Inc 1,100 21,725
*WebTrends Corporation 600 48,600
*White Pine Software Inc 1,000 24,500
*Women.com Networks Inc 2,100 29,925
*Xionics Document Technologies Inc 500 5,219
*Xiox Corporation 100 2,700
*Xpedior Inc 488 14,030
*Zamba Corporation 1,100 19,113
*ZapMe! Corporation 2,500 21,563
*Zitel Corporation 2,100 5,119
*Zmax Corporation 524 1,146
-----------
$38,117,942
COMPUTERS & INFORMATION - 2.7%
*Accent Color Sciences Inc 2,800 1,148
*ACE*COMM Corporation 2,200 17,738
*Advanced Digital Info Corporation 1,220 59,323
*Affiliated Computer Services Inc Class A 2,334 107,364
*Alpha Microsystems 800 3,800
*AlphaNet Solutions Inc 800 3,250
Analysts International Corporation 1,007 12,588
*Anixter International Inc 1,873 38,631
*Apex Inc 907 29,251
*Applied Computer Technology Inc 5,700 86
*Applied Magnetics Corporation 2,654 995
*Ariel Corporation 700 4,944
*Aris Corporation 1,511 17,754
<PAGE>
Auspex Systems Inc 1,348 13,817
*Autologic Information International Inc 2,100 5,250
*Avant! Corporation 1,517 22,755
*Avert Inc 200 2,563
*Axiohm Transaction Solutions Inc 300 54
*Aztec Technology Partners Inc 810 3,696
*Bell & Howell Company 1,040 33,085
*Black Box Corporation 871 58,357
*Blue Wave Systems Inc 582 5,384
*Boca Research Inc 2,600 17,225
*Brooktrout Technology Inc 498 9,244
*Bull Run Corporation 500 2,938
*CACI International Inc Class A 400 9,050
*Casino Data Systems 1,000 4,000
*CenterSpan Communications Corporation 596 19,296
*Ciprico Inc 218 2,521
*Cognex Corporation 2,091 81,549
*Cognizant Technology Solutions Corporation 129 14,101
Comdisco Inc 7,700 286,825
*Communication Intelligence Corporation 4,900 40,425
*Computer Network Technology Corporation 1,015 23,282
*Concurrent Computer Corporation 2,766 51,690
*CopyTele Inc 1,700 1,381
*Crossroads Systems Inc 1,200 101,400
*Crosswalk.Com Inc 600 3,075
*Cybex Computer Products Corporation 560 22,680
*Daisytek International Corporation 766 17,857
*Daou Systems Inc 2,252 6,897
*Data Translation Inc 2,700 19,913
*Datalink Corporation 800 15,400
*Datapoint Corporation 1,300 447
*Dataram Corporation 150 3,366
*Digital Origin Inc 300 3,638
*Dot Hill Systems Corporation 1,040 5,135
*Dunn Computer Corporation 500 1,625
*ECCS Inc 400 5,050
*Efax.com Inc 829 5,984
*Emulex Corporation 1,804 202,950
*Encad Inc 1,019 4,872
*Equinox Systems Inc 237 2,133
*European Micro Holdings Inc 200 1,200
*Exabyte Corporation 831 6,233
*Extended Systems Inc 300 14,363
*Focus Enhancements Inc 1,000 8,250
*Foundry Networks Inc 2,900 874,894
*FVC.com Inc 1,201 14,037
*Gadzoox Networks Inc 1,200 52,275
*GateField Corporation 190 736
General Binding Corporation 595 6,991
*Genicom Corporation 600 431
*Global Imaging Systems Inc 804 9,849
*Global Intellicom Inc 8,100 1
*Global Payment Tech Inc 240 2,220
*Hertz Technology Group Inc 800 2,100
*HMG Worldwide Corporation 700 4,900
*IKOS Systems Inc 2,200 21,313
*Immersion Corporation 800 30,700
*In Focus Systems Inc 918 21,286
*Industrial Data Systems Corporation 500 406
*Intergraph Corporation 1,788 8,381
*Interphase Corporation 300 6,338
*Iomega Corporation 13,450 45,394
*ION Networks Inc 800 17,900
*iXL Enterprises Inc 3,300 183,150
<PAGE>
*Javelin Systems Inc 261 2,398
*Key Tronic Corporation 400 1,500
*Komag Inc 2,691 8,409
*Lumisys Inc 300 947
*MAI Systems Corporation 500 406
*Maxtor Corporation 4,900 35,525
*McAfee.com Corporation 1,500 94,518
*Media 100 Inc 200 5,288
*Merge Technologies Inc 700 1,838
*Micros Systems Inc 721 53,354
*Micros-To-Mainframes Inc 200 1,356
*Microtouch Systems Inc 374 4,722
*Mitek Systems Inc 500 2,156
*MTI Technology Corporation 1,350 49,781
*NCR Corporation 4,887 185,095
*Nematron Corporation 400 1,100
*Neomagic Corporation 1,809 19,786
*Netrix Corporation 2,600 38,838
*Network Computing Devices 587 4,623
*Network Six Inc 400 1,350
*nStor Technologies Inc 2,853 6,241
*Number Nine Visual Technology Corporation 600 60
*NYFIX Inc 589 16,713
*Odetics Inc Class A 335 4,523
*ODS Networks Inc 1,128 10,223
*Osage Systems Group Inc 423 529
*PAR Technology Corporation 391 1,857
*Paramount Financial Corporation 600 863
*Paravant Inc 900 3,263
*Perot Systems Corporation Class A 4,211 80,009
*Planar Systems Inc 393 2,604
*Printronix Inc 252 5,733
*Procom Technology Inc 499 13,224
*Psc Inc Electronics 437 3,223
*Quantum Corporation - DLT & Storage Systems 9,060 137,033
*Quantum Corporation - Hard Disk Drive 4,496 31,191
*Rainbow Technologies Inc 432 10,044
*Rainmaker Systems Inc 2,600 52,650
*Redback Networks Inc 2,200 390,500
*Rimage Corporation 217 3,472
*Safeguard Scientifics Inc 1,713 277,613
*SanDisk Corporation 1,589 152,941
*SBE Inc 1,000 6,375
*ScanSoft Inc 900 3,600
*Scansource Inc 201 8,153
*SCM Microsystems Inc 688 43,989
*Sigma Designs Inc 1,048 11,528
*Simulations Plus Inc 1,800 3,375
*SmartDisk Corporation 700 22,925
*Socrates Technologies Corporation 1,500 3,281
*Splash Technology Holdings 1,013 8,927
*Storage Computer Corporation 800 4,000
*Storage Technology Corporation 4,866 89,717
*Sybase Inc 4,356 74,052
*Tanisys Technology Inc 1,200 318
*Tekgraf Inc 800 1,200
Telxon Corporation 794 12,704
*Tera Computer Company 998 4,491
*Tidel Technologies Inc 1,200 3,375
*TransAct Technologies Inc 300 2,269
*Tricord Systems Inc 2,200 10,725
*Tridex Corporation 400 650
*UBICS Inc 800 2,500
*Unova Inc 2,548 33,124
<PAGE>
*VA Linux Systems Inc 1,435 413,996
Valmont Industries Inc 1,124 18,054
*Vertel Corporation 1,800 9,788
*Visual Networks Inc 996 78,933
*Vitech America Inc 739 5,912
Wallace Computer Services Inc 2,335 38,819
*Western Digital Corporation 4,171 17,466
*Xircom Inc 1,429 107,175
*Xybernaut Corporation 2,165 11,637
*Zebra Technologies Corporation Class A 1,698 99,333
-----------
$ 5,631,020
CONTAINERS & PACKAGING - 0.1%
*ACX Technologies Inc 1,275 13,627
American National Can Group Inc 2,500 32,500
*Astronics Corporation 299 3,027
*Bway Corporation 443 2,713
*Disc Graphics Inc 400 1,225
*EarthShell Corporation 4,476 18,464
*EPL Technologies Inc 512 496
Greif Bros Corporation Class A 1,025 30,494
Interpool Inc 1,233 9,170
*PVC Container Corporation 313 2,035
*Silgan Holdings Inc 854 11,422
Sonoco Products Company 5,146 117,072
*UFP Technologies Inc 500 1,375
*U.S. Can Corporation 485 9,639
-----------
$ 253,259
COSMETICS & PERSONAL CARE - 0.3%
*Carson Inc 2,200 7,150
Carter-Wallace Inc 2,625 47,086
*Chattem Inc 427 8,113
*Chromatics Color Sciences 968 6,806
Del Laboratories Inc 344 2,707
Dial Corporation 5,317 129,270
*Enamelon Inc 458 110
Estee Lauder Company Class A 6,278 316,647
*French Fragrances Inc 509 3,277
*Garden Botanika Inc 2,700 405
*Inter Parfums Inc 378 3,544
*International Specialty Products Inc 3,376 31,017
NCH Corporation 250 11,141
Quaker Chemical Corporation 324 4,617
*Revlon Inc Class A 894 7,096
Stepan Company 663 15,498
Stephan Company 211 844
*Styling Technology 182 569
*Sybron Chemicals Inc 255 2,996
*USA Detergents Inc 509 1,400
*Usana Inc 1,581 7,905
-----------
$ 608,198
ELECTRIC UTILITIES - 2.1%
Allegheny Energy Inc 5,678 152,951
Alliant Energy Corporation 3,951 108,653
Avista Corporation 2,499 38,578
Bangor Hydro-Electric Company 271 4,421
Black Hills Corporation 965 21,411
*Calpine Corporation 3,002 192,128
Central Vermont Public Service 422 4,484
CH Energy Group Inc 756 24,948
*Citizens Utilities Company Class B 13,057 185,246
Cleco Corporation 1,106 35,461
CMP Group Inc 1,851 51,018
Conectiv Inc 4,804 80,767
DPL Inc 7,804 135,107
<PAGE>
DQE Inc 3,678 127,351
Eastern Utilities Associates 914 27,706
*El Paso Electric Company 2,696 26,455
*Emcor Group Inc 367 6,698
Energy East Corporation 6,150 127,997
Green Mountain Power Corporation 236 1,755
Hawaiian Electric Industries Inc 1,634 47,182
IdaCorp Inc 1,982 53,142
Illinova Corporation 3,208 111,478
Ipalco Enterprises Inc 4,642 79,204
Kansas City Power & Light Company 3,169 69,916
KeySpan Corporation 6,963 161,455
LG & E Energy Corporation 6,602 115,122
Madison Gas & Electric Company 719 14,470
MidAmerican Energy Holdings Company 3,164 106,587
Minnesota Power & Light Company 4,226 71,578
Montana Power Company 5,824 210,028
New England Electric System 3,077 159,235
NiSource Inc 6,458 115,437
Northeast Utilities 6,440 132,423
NorthWestern Corporation 1,128 24,816
NSTAR 3,122 126,441
OGE Energy Corporation 4,313 81,947
Otter Tail Power Company 530 19,875
*Plug Power Inc 2,100 59,325
Potomac Electric Power 5,803 133,106
Public Service Company of New Mexico 1,869 30,371
Puget Sound Power & Light 4,183 81,046
*Quanta Services Inc 1,317 37,205
RGS Energy Group Inc 1,797 36,951
Scana Corporation 5,534 148,726
Sierra Pacific Resources 4,287 74,219
Sigcorp Inc 1,057 24,047
St Joseph Light & Power 299 6,130
Teco Energy 6,601 122,531
The Empire District Electric Company 761 17,218
The United Illuminating Company 641 32,931
TNP Enterprises Inc 594 24,503
*UniSource Energy Corporation 1,442 16,132
Unitil Corporation 166 5,935
UtiliCorp United Inc 4,435 86,205
Western Resources Inc 3,446 58,582
Wisconsin Energy Corporation 5,857 112,747
WPS Resources Corporation 1,287 32,336
*York Research Corporation 666 2,498
-----------
$ 4,196,215
ELECTRONICS - 8.5%
*3DFX Interactive Inc 1,254 12,305
*8 X 8 Inc 1,983 10,163
*Aavid Thermal Technologies Inc 440 10,808
*Acme Electric Corporation 500 2,875
*Act Manufacturing Inc 534 20,025
*Actel Corporation 1,037 24,888
*ADE Corporation 686 11,319
*Advanced Lighting Technologies Inc 745 4,284
*Aeroflex Inc 947 9,825
*Aerosonic Corporation 178 2,136
*Affinity Technology Group Inc 2,000 1,375
*Agilent Technologies Inc 3,810 294,561
*Align-Rite International Inc 300 6,581
*Alliance Semiconductor Corporation 1,830 30,538
*Alpha Industries Inc 907 51,982
*Alpha Technologies Group Inc 300 1,800
*Altera Corporation 9,906 490,966
<PAGE>
*American Locker Group Inc 100 563
*American Power Conversion 9,864 260,163
*American Superconductor Corporation 566 15,848
*American Xtal Technology Inc 892 15,554
Ametek Inc 1,734 33,054
*Amkor Technology Inc 5,973 168,737
*Ampex Corporation Class A 2,236 12,158
*Amphenol Corporation Class A 899 59,840
*Anacomp Inc 517 9,403
*Anaren Microwave Inc 202 10,933
*Anicom Inc 1,223 5,198
*APA Optics Inc 300 4,650
*Applied Digital Solutions Inc 2,100 15,750
*Applied Micro Circuits Corporation 2,674 340,267
*Arrow Electronics Inc 4,578 116,167
*Artesyn Technologies Inc 1,790 37,590
*Artisan Components Inc 998 20,599
*Aspec Technology Inc 3,000 15,094
*Astropower Inc 514 7,196
*Atmel Corporation 10,110 298,877
*ATMI Inc 1,190 39,344
*Ault Inc 200 1,800
Avnet Inc 2,009 121,545
AVX Corporation 4,371 218,277
*Axsys Technologies Inc 179 2,372
Bairnco Corporation 377 2,262
Baldor Electric Company 1,856 33,640
Barnes Group Inc 990 16,149
*Bel Fuse Inc Class A 191 5,324
Bell Industries Inc 349 2,596
*Benchmark Electronics Inc 719 16,492
Bmc Industries, Inc 1,201 5,855
*Bolder Technologies Corporation 429 5,470
Boston Acoustics Inc 184 2,565
*Broadcom Corporation Class A 2,428 661,327
*BTU International Inc 400 2,300
*Burr-Brown Corporation 2,924 105,611
*California Amplifier Inc 500 13,156
*Caliper Technologies Corporation 468 31,239
*Catalina Lighting Inc 300 1,444
*Catalyst Semiconductor Inc 1,900 6,413
*C-COR Electronics Inc 735 56,319
*C-Cube Microsystems Inc 1,979 123,193
*CellStar Corporation 2,938 29,013
*Ceradyne Inc 2,800 12,775
*Cidco Inc 2,629 14,295
*Cirrus Logic Inc 3,157 42,028
*Cobalt Networks Inc 1,000 108,375
*Commscope Inc 2,605 105,014
*Concord Camera 501 11,398
*Conexant Systems Inc 9,754 647,422
Control Chief Holdings Inc 200 900
*CP Clare Corporation 700 7,350
Craftmade International Inc 278 2,016
*Cree Research Inc 1,436 122,599
CTS Corporation 1,416 106,731
*Cypress Semiconductor Corporation 5,447 176,347
C&D Technologies Inc 557 23,673
*Daktronics Inc 800 20,200
Dallas Semiconductor Corporation 1,462 94,208
*Data Critical Corporation 600 8,925
*Datum Inc 200 1,925
*Dense-Pac Microsystems Inc 700 5,622
Diebold Inc 3,677 86,410
<PAGE>
*Diodes Inc 300 6,450
*Dionex Corporation 1,193 49,137
*Display Technologies Inc 315 1,270
*Drexler Technology Corporation 360 3,510
*DRS Technologies Inc 283 2,759
*DuPont Photomasks Inc 684 33,003
*ECC International Corporation 300 975
EDO Corporation 296 1,739
*EFTC Corporation 1,195 2,166
*Electric Fuel Corporation 639 2,237
*Electro Scientific Industries Inc 609 44,457
*Electronic Retailing Systems International Inc 900 872
*Electronics for Imaging Inc 2,778 161,471
*Emcore Corporation 519 17,646
*EMS Technologies Inc 320 3,760
*En Pointe Technologies Inc 200 5,500
*Engineering Measurements Company 200 1,200
*Esco Electronics 452 5,255
*ESS Technology Inc 2,018 44,774
*ETEC Systems Inc 983 44,112
*E-Tek Dynamics Inc 3,348 450,725
*eToys Inc 5,900 154,875
*Evans & Sutherland Computer Corporation 365 4,175
*Exar Corporation 443 26,082
*Fairchild Semiconductor Corporation Class A 2,800 83,300
*Faroudja Inc 2,800 14,088
*Fiberstars Inc 300 1,725
*Finisar Corporation 2,400 215,700
*Focus Affiliates Inc 1,200 5,850
Franklin Electric Company Inc 250 17,547
*FSI International Inc 1,028 11,822
*FuelCell Energy Inc 150 3,759
*GameTech International Inc 400 2,000
*General Motors Corporation Class H 6,781 650,976
*General Semiconductor Inc 2,258 32,035
*Genus Inc 700 3,150
*GlobeSpan Inc 900 58,613
*GP Strategies Corporation 398 2,438
*Graham Corporation 200 1,325
*Hadco Corporation 597 30,447
Harman International Industries Inc 891 50,007
Harris Corporation Inc 3,900 104,081
*Harvey Electronics Inc 3,300 5,156
*Hauppage Digital Inc 300 6,038
*Heartland Technology Inc 500 1,500
*HEI Inc 300 2,288
Helix Technology Corporation 1,197 53,641
*Herley Industries Inc 236 3,584
*hi/fn Inc 339 13,136
*HMT Technology Corporation 2,954 11,816
Hubbell Inc Class B 3,342 91,070
Hughes Supply Inc 1,072 23,115
*Hutchinson Technology Inc 1,199 25,479
*Hytek Microsystems Inc 700 1,181
*Ibis Technology Corporation 405 20,098
*IEC Electronics Corporation 2,800 6,650
*IFR Systems Inc 1,900 19,119
*Illinois Superconductor Corporation 1,000 1,969
*ImageX.com Inc 700 29,313
*Imation Corporation 1,818 61,017
*IMP Inc 2,900 9,244
Innovex Inc 544 5,100
*Integrated Device Technology Inc 4,281 124,149
*Integrated Silicon 868 14,376
<PAGE>
*Interlink Electronics Inc 900 52,875
*International Rectifier Corporation 2,405 62,530
*inTEST Corporation 300 5,400
*Intevac Inc 642 2,247
*Invision Technologies Inc 539 2,223
*Jabil Circuit Inc 4,439 324,047
*Jason Inc 750 5,438
*JNI Corporation 1,000 66,000
*JPM Company 360 2,835
Juno Lighting Inc 48 498
*Kemet Corporation 1,954 88,052
*Kent Electronics Corporation 1,250 28,438
Kollmorgen Corporation 373 4,593
*Koss Corporation 400 5,500
*K-Tel International 372 2,186
*Lam Research Corporation 1,933 215,650
*Lamson & Sessions Company 801 3,905
*Lattice Semiconductor Corporation 2,296 108,199
*Let's Talk Cellular & Wireless Inc 2,500 6,328
Linear Technology Corporation 7,626 545,736
*Littelfuse Inc 908 22,033
*Litton Industries Inc 2,233 111,371
*Logic Devices Inc 600 1,875
*Lo-Jack Corporation 668 4,509
*Lowrance Electronics Inc 1,700 8,553
LSI Industries Inc 356 7,699
*Mackie Designs Inc 561 2,945
*Macromedia Inc 2,389 174,696
*Maker Communications Inc 800 34,200
*Mattson Technology Inc 653 11,183
*Maxim Integrated Products Inc 13,500 637,031
*Maxwell Technologies Inc 312 3,120
*Measurements Specialties Inc 300 6,263
*MedicaLogic Inc 1,248 32,517
*MEMC Electronic Materials Inc 3,212 39,347
*Mercury Computer Systems Inc 944 33,040
*Merix Corporation 500 5,500
Methode Electronics Inc Class A 1,690 54,291
*Metrologic Instruments Inc 241 3,254
*Micrel Inc 1,984 112,964
*Micro Linear Corporation 810 6,936
*Microchip Technology Inc 2,497 170,888
*Micron Electronics Inc 4,597 51,142
*Microsemi Corporation 617 5,476
*Microvision Inc 272 8,228
*MIPS Technologies Inc Class A 967 50,284
*MKS Instruments Inc 1,300 46,963
*MMC Networks Inc 1,444 49,638
*Moog Inc Class A 369 9,963
*MRV Communications Inc 1,482 93,181
*Nashua Corporation 283 2,123
*National-Standard Company 3,000 9,375
*Netro Corporation 2,100 107,100
*NETsilicon Inc 1,000 20,063
*Northeast Digital Networks Inc 17,900 179
*Novellus System Inc 1,928 236,240
*Nu Horizons Electronics Corporation 210 2,783
*Nucentrix Broadband Networks Inc 300 7,350
*Nuwave Technologies Inc 600 1,388
*Oak Industries Inc 887 94,133
*Oak Technology Inc 1,699 16,034
*On-Point Technology Systems Inc 400 1,000
*OPTi Inc 683 3,628
*ORBIT/FR Inc 900 2,475
<PAGE>
*Ortel Corporation 538 64,560
*OSI Systems Inc 434 2,387
*OYO Geospace Corporation 1,100 11,275
*O.I. Corporation 200 788
*Pacific Aerospace & Electronics Inc 600 750
*Panavision Inc 360 1,688
*Paradyne Networks Inc 1,500 40,875
Park Electrochemical Corporation 466 12,378
*Parlex Corporation 600 15,788
*PCD Inc 310 2,093
*PE Corporation - Celera Genomics Group 1,300 193,700
*Percon Inc 100 1,475
*Pericom Semiconductor Corporation 544 14,314
*Photon Dynamics Inc 400 15,500
*Photronics Inc 1,092 31,259
*Pinnacle Holdings Inc 2,000 84,750
*Pinnacle Systems Inc 1,134 46,140
Pioneer-Standard Electronics Inc 971 14,019
*Pixar Inc 2,288 80,938
*Plexus Corporation 780 34,320
*PLX Technology Inc 1,200 22,725
*Policy Management System Corporation 1,613 41,232
*Powell Industries Inc 391 2,688
*Power Integrations Inc 1,312 62,894
*Power-One Inc 930 42,606
*Printtrak International Inc 508 4,953
*QLogic Corporation 1,770 282,979
*QMS Inc 194 570
*QualMark Corporation 2,100 6,300
*QuickLogic Corporation 600 9,900
Quixote Corporation 292 4,453
*Rambus Inc 1,133 76,407
*Ramtron International Corporation 840 5,618
*Rayovac Corporation 1,229 23,197
*Read-Rite Corporation 2,179 10,350
*Recoton Corporation 531 4,779
*Remec Inc 1,134 28,917
*Reptron Electronics Inc 2,200 19,250
*Research Frontiers Inc 404 5,984
*Research Inc 3,200 16,000
*RF Micro Devices Inc 3,876 265,264
*RF Monolithics Inc 257 1,542
Richardson Electronics 481 3,608
*Robinson Nugent Inc 2,200 28,600
*Rogers Corporation 281 10,748
*Rudolph Technologies Inc 717 24,020
*Saf T Lok Inc 800 875
*Sage Inc 500 9,688
*Sanmina Corporation 2,898 289,438
*SBS Technologies Inc 315 11,498
*SCI Systems Inc 3,687 303,025
Scientific Technologies Inc 430 2,338
*SDL Inc 1,762 384,116
*Semtech Corporation 1,418 73,913
*Sensar Corporation 800 47,600
*Sensormatic Electronics Corporation 3,751 65,408
*Sensory Science Corporation 700 1,225
*Sheldahl Inc 484 2,087
*Sigmatron International Inc 200 1,300
*Signal Technology Corporation 2,400 17,400
*Silicon Image Inc 1,200 84,075
*Silicon Storage Technology 1,329 54,821
*Silicon Valley Group Inc 1,468 26,057
*Siliconix Inc 567 74,561
<PAGE>
*SIPEX Corporation 860 21,124
SL Industries Inc 253 2,941
*SLI Inc 1,699 23,043
*Somera Communications Inc 2,300 28,606
*Spacehab Inc 412 2,215
*Sparton Corporation 350 1,859
*Spectra-Physics Lasers Inc 796 22,288
*Spectrum Control Inc 490 5,206
*Spire Corporation 2,000 11,500
*SRS Labs Inc 521 3,061
*Star Struck Ltd 2,800 12,250
*Stoneridge Inc 1,002 15,468
*Superconductor Technologies Inc 2,500 12,188
*Supertex Inc 542 10,942
*Surge Components Inc 1,900 6,947
Symbol Technologies Inc 4,454 283,107
TB Woods Corporation 261 2,219
*Tech Sym Corporation 223 4,599
Technitrol Inc 723 32,174
Tech/Ops Sevcon Inc 139 1,390
*Telcom Semiconductor Inc 847 17,787
*The Carbide/Graphite Group 373 2,425
*The DII Group Inc 1,789 126,963
The Eastern Company 160 2,500
*The Genlyte Group Inc 802 17,143
*The Panda Project Inc 8,100 344
*Thermo Ecotek Corporation 1,607 8,537
*Thermo Instrument Systems inc 5,934 66,016
*Thermo Vision Corporation 500 3,469
Thomas Industries Inc 710 14,511
*Three-Five Systems Inc 497 20,377
*Trans-Industries Inc 1,300 7,150
*Transmation Inc 400 963
*TranSwitch Corporation 1,222 88,671
*Trident Microsystems Inc 577 5,914
*Trimble Navigation Ltd 915 19,787
*TriQuint Semiconductor Inc 873 97,121
*Triumph Group Inc 515 12,457
*UCAR International Inc 2,112 37,620
*Ultralife Batteries Inc 469 2,873
*Unique Mobility Inc 714 2,945
*Universal Display Corporation 300 5,025
*Universal Electric 289 13,294
*uniView Technologies Corporation 2,400 11,250
*U.S. Wireless Corporation 600 9,075
*V3 Semiconductor Inc 400 5,200
*Valence Technology Inc 1,046 19,874
*Varian Inc 1,330 29,925
*Varian Semiconductor Equipment Associates Inc 1,430 48,620
*Vicor Corporation 1,975 79,988
*Viisage Technology Inc 900 7,256
*Virata Corporation 1,000 29,875
*Vishay Intertechnology Inc 4,183 132,287
*Vitesse Semiconductor Corporation 7,652 401,252
Watkins-Johnson Company 241 9,640
*WESCO International Inc 1,800 15,975
*Williams Controls Inc 2,200 4,881
*Wireless Telecom Group Inc 500 1,594
Woodhead Industries Inc 406 4,720
*WPI Group Inc 2,700 6,581
*Xicor Inc 800 10,950
*Zing Technologies Inc 200 2,575
*Zoltek Companies Inc 798 6,883
*Zoran Corporation 672 37,464
-----------
$17,334,574
<PAGE>
ENTERTAINMENT & LEISURE - 1.4%
*4Kids Entertainment Inc 500 14,000
*800 Travel Systems Inc 500 1,094
*Acres Gaming Inc 3,300 2,991
*Adams Golf Inc 829 1,347
Allen Organ Company Class B 171 6,498
*Alliance Gaming Corporation 437 1,188
*Alpha Hospitality Corporation 400 2,500
*AMC Entertainment 1,050 9,056
*American Coin Merchandising Inc 200 550
*American Wagering Inc 348 2,132
*AMF Bowling Inc 4,403 13,759
*Anchor Gaming 539 23,413
*Argosy Gaming Company 1,103 17,165
*Ascent Entertainment Group 1,331 16,887
*Autotote Corporation Class A 1,200 3,900
*Avid Technology Inc 1,096 14,317
*A.T. Cross Class A 610 2,745
*Bally Total Fitness Holdings Corporation 1,035 27,622
*barnesandnoble.com inc 1,300 18,444
*Boca Resorts Inc Class A 1,561 15,220
*Boyd Gaming Corporation 2,480 14,415
*Brass Eagle Inc 200 1,000
*Brilliant Digital Entertainment Inc 500 1,969
Callaway Golf Company 3,860 68,274
*Carmike Cinemas Inc Class A 419 3,273
*Championship Auto Racing 678 15,594
*Cheap Tickets Inc 1,000 13,688
Churchill Downs Inc 477 10,762
*Clark (Dick) Prod Inc 309 4,596
*Cleveland Indians Baseball 600 12,563
*CNET Inc 3,640 206,570
*Coastcast Corporation 357 5,935
*Coleman Company Inc 2,497 23,253
CPI Corporation 569 12,838
*Craig Corporation 1,000 6,875
*Cybex International Inc 1,900 4,988
*Department 56 Inc 808 18,281
*Direct Focus Inc 400 11,100
Dover Downs Entertainment 1,590 29,813
*DSI Toys Inc 505 1,452
*Egreetings Network Inc 1,950 19,744
Ellett Brothers Inc 200 1,375
*EMusic.com Inc 1,600 16,400
*Escalade Inc 139 1,807
*Expedia Inc Class A 1,400 49,000
*Family Golf Centers Inc 952 1,339
*Fotoball USA Inc 2,400 15,150
*Four Media Company 763 11,350
*garden.com Inc 400 3,475
Gaylord Entertainment Company Class A 1,767 52,900
*GetThere.com Inc 1,587 63,877
*Golf Entertainment Inc 1,300 1,259
*GTECH Holdings Corporation 1,846 40,612
*Hollywood Entertainment Corporation 2,193 31,799
*Hollywood Park Inc 1,151 25,826
*Image Entertainment Inc 599 3,351
*Imaginon 1,346 5,721
International Game Technology 5,021 101,989
International Speedway Corporation Class A 2,738 137,914
*Jackpot Enterprises Inc 385 3,200
*Jakks Pacific Inc 628 11,736
*JCC Holding Company Class A 1,000 2,813
<PAGE>
*Johnson Worldwide Associates 300 2,128
K2 Inc 611 4,659
*Kushner Locke Company 489 2,124
*Lady Luck Gaming Corporation 2,000 20,375
*Lakes Gaming Inc 389 3,088
*Laser-Pacific Media Corporation 500 5,031
*Liquid Audio Inc 800 21,000
*Loews Cineplex Entertainment 2,622 15,404
*Macrovision Corporation 1,280 94,720
*Mandalay Resort Group 4,656 93,702
*Martha Stewart Living Omnimedia Inc Class A 700 16,800
*Metro Goldwyn Mayer Inc (MGM) 9,740 229,499
*MGM Grand Inc 3,141 158,032
*MP3.com Inc 3,500 110,906
*Multimedia Games Inc 200 431
*Musicmaker.com Inc 1,100 6,463
*Navigant International Inc 579 6,767
*Paul-Son Gaming Corporation 1,300 5,850
*PDS Financial Corporation 300 506
*Penn National Gaming Inc 543 4,887
*Platinum Entertainment Inc 600 1,500
*Play By Play Toys & Novelties Inc 1,500 2,531
*Playcore Inc 1,200 9,600
*Players International Inc 1,178 9,682
*Premier Parks Inc 3,774 108,974
*Racing Champions Corporation 1,589 7,051
*Rawlings Sporting Goods Company 287 1,722
*Reading Entertainment Inc 333 1,915
*Rentrak Corporation 300 2,119
*Resortquest International Inc 754 3,157
*Riddell Sports Inc 500 1,719
*Sabre Group Holdings Inc 1,002 51,353
*SFX Entertainment Inc Class A 3,301 119,455
*Speedway Motorsports 2,056 57,183
*Sport Supply Group Inc 331 2,276
*Sports Club Company Inc 600 2,325
*Steinway Musical Instruments 325 6,581
*TBA Entertainment Corporation 500 2,656
*TearDrop Golf Company 400 550
*Ticketmaster Online-CitySearch Inc Class B 613 23,562
Todd Ao Corporation Class A 300 9,150
*Topps Company Inc 2,611 27,089
*Toymax International Inc 474 2,222
*Trimark Holdings Inc 1,000 3,594
*Unapix Entertainment Inc 400 750
*United Leisure Corporation 400 1,300
*Video Update Inc Class A 1,200 312
*Westwood One Inc 2,793 212,268
*WMS Industries Inc 1,202 15,776
*World Wrestling Federation Entertainment Inc 400 6,900
*Youbet.com Inc 1,400 6,038
-----------
$ 2,768,386
ENVIRONMENTAL CONTROLS - 0.2%
*ATG Inc 810 3,493
*Capital Environmental Resource Inc 200 1,188
*Casella Waste Systems Inc Class A 966 18,233
*Covol Technologies Inc 559 402
*Crown Andersen Inc 100 750
*Environmental Elements Corporation 300 694
*GZA GeoEnvironmental Technologies Inc 600 2,700
*Harding Lawson Associates Group Inc 300 2,325
*Hi-Rise Recycling Systems Inc 900 1,969
*Layne Christensen Company 520 3,770
*Metal Management Inc 3,900 14,625
<PAGE>
*MFRI Inc 300 1,294
*MPM Technologies Inc 300 1,950
*New Horizons Worldwide Inc 309 3,666
Ogden Corporation 2,497 29,808
*Republic Services Inc Class A 8,967 128,901
*Safety-Kleen Corporation 5,054 57,173
Sevenson Environmental Services Inc 200 1,900
*Stericycle Inc 700 13,169
*Strategic Diagnostic Inc 300 1,969
*Synagro Technologies Inc 1,600 7,800
*Thermatrix Inc 300 263
*TRC Companies Inc 500 3,844
Trigen Energy Corporation 453 7,871
*U.S. Liquids Inc 754 6,315
*Waste Connections Inc 943 13,615
*Waste Industries 693 7,840
*Waste Systems International 724 3,439
-----------
$ 340,966
FINANCIAL SERVICES - 3.1%
*Acacia Research Corporation 400 11,975
Advanta Corporation Class A 1,193 21,772
Advest Group Inc 398 7,313
*Affiliated Managers Group 1,084 43,834
AG Edwards Inc 4,612 147,872
Allied Capital Corporation 2,939 53,820
American Capital Strategies 707 16,084
*Americredit 3,403 62,956
*Ameritrade Holding Corporation Class A 7,659 166,105
*Ampal-American Israel Corporation Class A 883 8,168
Amplicon Inc 436 4,742
*Amresco Inc 2,017 2,837
*Analytical Surveys Inc 249 2,848
Apartment Investment & Management Company 3,231 128,634
*Arcadia Financial Ltd 1,444 6,408
*Atalanta Sosnoff Capital Corporation 500 4,250
Avalon Capital Inc 400 7,100
*A.B. Watley Group Inc 200 2,150
*Boron Lepore & Associates 466 3,029
Camden Property Trust 1,993 54,558
Capitol Federal Financial 4,100 39,975
*Caribiner International Inc 1,073 3,890
*Cash Technologies Inc 100 1,431
*Central Financial Acceptance Corporation 300 2,213
*Century Business Services 4,128 34,830
Charter Municipal Mortgage Acceptance 921 10,822
CIT Group Inc Class A 13,446 284,047
*Collectors Universe Inc 1,300 8,125
*CompuCredit Corporation 1,900 73,150
Conning Corporation 477 3,935
*Consumer Portfolio Services 700 1,094
*ContiFinancial Corporation 1,724 404
*Credit Acceptance Corporation 2,070 7,633
*Creditrust Corporation 395 3,037
*Crescent Operating Inc 1,800 4,950
*Crown Group Inc 444 2,192
Dain Rauscher Corporation 556 25,854
*Delta Financial Corporation 688 2,838
*Digital Insight Corporation 700 25,463
Donaldson Lufkin & Jenrette Inc 6,392 309,213
*Donna Karan International Inc 796 5,224
Doral Financial Corporation 1,908 23,492
*DVI Inc 519 7,882
Eaton Vance Corporation 1,808 68,704
*Ebay Inc 6,403 801,576
<PAGE>
*Electronic Processing Inc 207 3,105
*E-LOAN Inc 1,900 30,875
*Enercorp Inc 700 1,488
*Equitex Inc 439 3,512
*eSPEED Inc Class A 1,800 88,928
*E*TRADE Group Inc 11,822 308,850
*Factual Data Corporation 900 7,200
*Federal Agric Management Corporation Class A 400 6,450
Federated Investors Inc Class B 4,060 81,454
*Financial Federal Corporation 665 15,170
*Finet Holdings Corporation 3,100 4,069
Finova Group Inc 2,993 106,252
First Albany Companies Inc 330 4,764
*First Cash Inc 400 3,300
*First Sierra Financial Inc 924 15,824
*Firstcity Financial Corporation 305 839
*Forrester Research Inc 383 26,379
Freedom Securities Corporation 899 10,114
*Friedman Billings Ramsey Group Inc Class A 555 4,371
Fulton Financial Corporation 3,396 61,128
*Gabelli Asset Management Inc Class A 500 8,125
*GlobalNet Financial.com Inc 500 14,406
*Greg Manning Auctions Inc 400 5,500
*Hallwood Group 600 7,313
Harris & Harris Group Inc 600 6,900
Heller Financial Inc 2,508 50,317
Hibernia Corporation Class A 7,696 81,770
*Hoening Group 400 3,700
*Hpsc Inc 200 1,850
*H.D. Vest Inc 300 1,894
*Imperial Credit Industries Inc 1,648 10,300
IndyMac Mortgage Holdings Inc 3,938 50,210
*Innotrac Corporation 331 4,551
*Insurance Auto Auctions Inc 517 8,143
Investment Technology Group Inc 2,254 64,803
*Iron Mountain Inc 1,710 67,224
*Iti Technologies Inc 306 9,180
*JB Oxford Holdings Inc 521 4,005
Jeffries Group Inc 1,040 22,880
John Nuveen & Company Inc Class A 1,402 50,560
*JWGenesis Financial Corporation 763 22,604
*Kent Financial Services Inc 1,000 4,000
*Kinnard Investments Inc 1,200 8,925
*Kirlin Holding Corporation 2,000 17,250
*Knight/Trimark Group Inc Class A 5,590 257,140
*Labranche & Company Inc 1,900 24,225
Legg Mason Inc 2,797 101,391
Liberty Financial Companies 2,464 56,518
Liberty Property Trust 3,233 78,400
*LINC Capital Inc 900 4,275
*MACC Private Equities Inc 520 6,955
*Marketing Services Group Inc 1,000 16,750
*Matrix Bancorp Inc 247 2,964
Medallion Financial Corporation 516 9,256
*Memberworks Inc 698 23,165
Metris Companies Inc 1,822 65,023
MicroFinancial Inc 700 8,181
Morgan Keegan Inc 1,444 24,277
*Mortgage.com Inc 1,800 10,463
*Mossimo Inc 671 5,410
*M.H. Meyerson & Company Inc 300 1,575
*National Discounts Brokers Group Inc 1,126 29,698
*National Processing Inc 2,265 20,102
*NCO Group Inc 1,360 40,970
<PAGE>
*Netcentives Inc 1,600 99,700
*Netzee Inc 1,000 16,625
Neuberger Berman Inc 2,500 62,188
*New Century Financial Corporation 533 8,395
*Newsedge Corporation 1,632 19,074
*NextCard Inc 2,200 63,525
*Norstan Inc 492 3,137
*Ocwen Financial Corporation 3,216 20,102
*Omega Worldwides Inc 548 2,552
*Online Resources & Communications Corporation 700 11,638
*onlinetradinginc.com 900 9,788
*Overland Data Inc 451 3,383
*Paulson Capital Corporation 500 2,641
*Pegasystems Inc 1,383 15,559
*Pelican Financial Inc 400 1,500
*Per-Se Technologies Inc 1,301 10,937
Phoenix Investment Partners 2,008 16,315
*Pioneer Group 1,155 18,191
Pmc Capital Inc 500 4,063
*Point West Capital Corporation 245 2,419
Post Properties Inc 1,901 72,713
*Precision Response Corporation 894 21,680
*Ragen Mackenzie Group Inc 481 8,658
Raymond James Financial Corporation 2,266 42,346
Resource America Inc Class A 806 6,347
Resource Bancshares Mortgage Group 1,053 4,771
*Ritchie Brothers Auctioneers Inc 900 24,975
*Rwd Technologies Inc 550 5,706
*S1 Corporation 1,703 133,047
Seacoast Financial Services Corporation 1,200 12,225
*Seattle Filmworks Inc 726 2,019
*SGV Bancorp Inc 200 4,375
Siebert Financial Corporation 939 13,850
*Sitel Corporation 3,168 22,176
*Softnet Systems 718 18,040
Source Capital Corporation 500 2,875
Southwest Securities Group Inc 524 14,345
*Startek Inc 589 21,351
Stifel Financial Corporation 300 2,963
Student Loan Corporation 1,094 54,563
*TD Waterhouse Group Inc 1,900 31,231
*Telespectrum Worldwide Inc 1,447 10,310
*Teletech Holdings Inc 2,995 100,941
*The Banc Stock Group Inc Class A 800 2,400
The Goldman Sachs Group Inc 3,538 333,235
*The WMF Group Ltd 2,000 11,500
The Ziegler Companies Inc - WI 107 1,578
*Transmedia Network Inc 574 1,399
*UniCapital Corporation 2,301 8,485
United Asset Management Corporation 2,938 54,537
Value Line Inc 446 16,056
*Vestcom International Inc 393 1,376
Virginia Commonwealth Finan 329 8,061
*VSI Holdings Inc - GA 1,414 6,275
Wackenhut Corporation 867 12,951
Waddell & Reed Financial Inc Class A 2,970 80,561
*Warrantech Corporation 694 1,041
*Waterside Capital Corporation 500 4,563
*Web Street Inc 1,300 16,088
*WebFinancial Corporation 300 1,866
Wfs Financial Inc 1,048 22,139
Wilmington Trust Corporation 1,596 77,007
*Wind River Systems 1,991 72,920
*Wit Capital Group Inc 500 8,500
<PAGE>
*World Acceptance Corporation 701 3,374
-----------
$ 6,374,800
FOOD RETAILERS - 0.4%
*7-Eleven Inc 19,445 34,637
*Arden Group Inc 320 11,520
Delhaize America Inc (non-voting shares) 7,703 156,467
*Foodarama Supermarkets Inc 100 1,988
Hannaford Brothers Company 2,091 144,932
*Homeland Holding Corporation 3,000 10,875
Ingles Markets 660 7,343
Marsh Supermarkets Inc Class B 911 9,224
*Rocky Mountain Chocolate Factory Inc 300 1,575
Schultz Sav O Stores Inc 742 9,461
Seaway Food Town Inc 645 10,481
*Starbucks Corporation 9,272 224,846
*Synergy Brands Inc 400 1,188
*The Grand Union Company 1,000 10,125
*United Heritage Corporation 160 540
*Village Super Market Inc Class A 700 9,144
*Vlasic Foods International Inc 2,135 12,143
*Webvan Group Inc 1,200 19,800
Weismarkets Inc 2,368 103,008
*Whole Foods Market Inc 1,279 59,314
*Wild Oats Markets Inc 876 19,436
-----------
$ 858,047
FOREST PRODUCTS & PAPER - 0.7%
American Woodmark Corporation 353 8,560
Associated Materials Inc 406 6,648
Bowater Inc 2,515 136,596
*Buckeye Technologies Inc 1,702 25,317
*Building Materials Holdings Corporation 566 5,802
Caraustar Industries Inc 1,220 29,280
Chesapeake Corporation 1,059 32,300
Consolidated Papers Inc 4,546 144,620
*Crown Vantage Inc 3,200 6,600
*Day Runner Inc 438 1,711
*Decora Industries Inc 328 882
*Drew Industries Inc 505 4,545
Ennis Business Forms 599 4,642
*Fibermark Inc 286 3,361
*Gaylord Container Class A 2,383 16,234
Georgia Pacific Corporation 4,007 98,672
Glatfelter (P H) Company 2,081 30,305
Hunt Corporation 411 3,905
*Ivex Packaging Corporation 936 9,360
*Kevco Inc 306 574
Liberty Homes Inc Class A 200 1,638
Longview Fibre Company 2,812 40,071
*Mail-Well Inc 2,284 30,834
*Palex Inc 721 5,047
*Paragon Trade Brands Inc 534 123
Patrick Industries Inc 216 1,998
*Playtex Products Inc 2,999 46,110
Pope And Talbot 497 7,952
Rayonier Inc 1,646 79,522
Republic Group 533 8,062
Rock-Tenn Company Class A 1,029 15,178
*Shorewood Packaging Corporation 1,287 24,373
*Simpson Manufacturing Company Inc 517 22,619
*Smurfit-Stone Container Corporation 11,116 272,342
St Joe Corporation 4,324 105,127
TJ International n Inc 903 37,926
*TST/Impreso Inc 300 1,181
*United Stationers 1,646 47,014
<PAGE>
Universal Forest Products Inc 926 13,659
Wausau-Mosinee Paper Corporation 2,633 30,773
-----------
$ 1,361,463
HEALTH CARE PROVIDERS - 1.0%
*Accredo Health Inc 500 15,375
*Allscripts Inc 1,100 48,400
*Alterra Healthcare Corporation 982 8,163
*America Service Group Inc 300 4,500
*American Dental Partners Inc 932 6,524
*American Healthcorp Inc 305 1,392
*American Retirement Corporation 765 6,072
*Ameripath Inc 873 7,148
*Amsurg Inc Class A 451 2,932
*Apria Healthcare Group 3,016 54,100
*ARV Assisted Living Inc 710 1,065
*Assisted Living Concepts Inc 778 1,702
*Beverly Enterprises Inc 4,781 20,917
*Caredata.com Inc 2,800 18,550
*Caremark Rx Inc 9,904 50,139
*Carematrix Corporation 796 1,990
*Castle Dental Centers Inc 500 1,500
*Centennial Healthcare Corporation 639 1,917
*Chronimed, Inc 546 4,197
*Coast Dental Services Inc 341 831
*Core Inc Massachusetts 350 3,347
*Corvel Corporation 300 7,050
*Coventry Health Care Inc 2,832 19,116
*Cryolife Inc 467 5,487
*Curative Health Services Inc 470 3,643
*Daxor Corporation 213 3,089
*Dianon Systems Inc 303 4,166
*drkoop.com Inc 1,300 15,438
*Dynacq International Inc 500 9,000
*Emeritus Corporation 1,243 8,080
*Enzo Biochem Inc 1,218 54,886
*Enzon Inc 1,984 86,056
*Express Scripts Inc Class A 1,904 121,856
*First Health Group Corporation 3,121 83,877
*Foundation Health Systems 6,067 60,291
*Genesis Health Ventures Inc 1,575 3,248
*Health Management Associates Inc Class A 12,637 169,020
*Health Systems Design Corporation 300 1,575
*Healthcentral.com 3,238 23,678
*Healtheon Corporation 3,781 141,788
Hooper Holmes Inc 1,359 34,994
*Human Genome Sciences Inc 1,203 183,608
*Immunomedics Inc 1,393 17,064
*Impath Inc 412 10,480
*IntegraMed America Inc 400 1,350
*Integrated Health Services Inc 2,363 295
*InterDent Inc 800 6,450
*Laser Vision Centers Inc 1,192 12,591
*Lifemark Corporation . 300 975
*LifePoint Hospitals Inc 1,500 17,719
*Lincare Holdings Inc 3,204 111,139
*Magellan Health Services Inc 1,414 8,926
*Mariner Post-Acute Network 1,858 130
*Matria Healthcare Inc 1,342 5,536
*Maxicare Health Plans Inc 661 1,900
*Mid Atlantic Medical Services Inc 2,320 19,285
*National Dentex Corporation 656 10,988
*Novacare Inc 1,300 244
*Orthodontic Centers of America 2,338 27,910
*Oxford Health Plans Inc 4,096 51,968
<PAGE>
*PacifiCare Health Systems Inc Class A 2,336 123,808
*Pediatrix Medical Group Inc 683 4,781
*Pentegra Dental Group Inc 400 475
*PMR Corporation 312 1,014
*Prime Medical Service Inc 659 6,013
*ProVantage Health Services Inc 1,000 8,000
*Province Healthcare Company 779 14,801
Psychemedics Corporation 2,416 12,080
*Ramsay Youth Services Inc 400 588
*Raytel Medical Corporation 2,500 7,656
*Rehabcare Corporation 339 7,161
*Renal Care Group Inc 2,213 51,729
*Renex Corporation 300 2,794
*SeraCare Inc 1,900 6,650
*Sierra Health Services Inc 1,213 8,112
*Sight Resource Corporation 500 1,031
*Sonus Corporation 400 1,200
*Sunrise Assisted Living Inc 950 13,063
*Syncor International Corporation 491 14,300
*Total Renal Care Holdings Inc 4,621 30,903
*Transworld Healthcare Inc 784 1,470
*Triad Hospitals Inc 1,600 24,200
*United Payors & United Prov 764 12,654
*Universal Health Services Inc Class B 1,765 63,540
*Urocor Inc 468 1,960
*U.S. Physical Therapy Inc 1,200 10,200
Ventas Inc 3,435 14,384
*Veterinary Centers of America 926 11,922
*VisionAmerica Inc 500 1,500
*Women First Health Care Inc 500 2,625
-----------
$ 2,066,271
HEAVY CONSTRUCTION - 0.1%
Abrams Industries 300 1,275
*Amrep Corporation 500 2,375
*Anthony & Sylvan Pools Corporation 221 1,535
*Crossmann Communities Inc 514 7,967
*Del Webb 808 20,150
*Fairfield Communities Inc 2,054 22,081
Granite Construction Inc 1,436 26,476
*Hovnanian Ent Class A 1,300 8,369
*Kentucky Electric Steel Inc 2,800 6,650
Lennar Corporation 3,001 48,766
Mcgrath Rentcorp 916 16,030
*Meadow Valley Corporation 400 1,450
*Morrison Knudsen Corporation 2,689 21,008
M/I Schottenstein Homes Inc 325 5,058
*Perini Corporation 200 775
*Rottlund Company 1,200 3,150
Rouse Company 3,969 84,341
*TransCoastal Marine Services Inc 2,300 6,613
*Unifab International Inc 300 1,706
*U.S. Home Corporation 607 15,516
*Williams Industries Inc 300 1,050
-----------
$ 302,341
HEAVY MACHINERY - 1.2%
*Ag-Chem Equipment 355 3,683
Agco Corporation 2,763 37,128
Alamo Group Inc 359 3,590
*Albany International 1,408 21,818
Allied Products Corporation 528 1,881
*Altair International 859 3,436
*American Aircarriers Support 288 2,232
*American Standard Companies 3,645 167,214
Ampco-Pittsburgh Corporation 353 3,574
<PAGE>
Applied Industrial Technology Inc 969 16,110
Applied Power Inc Class A 1,928 70,854
*Applied Science & Technology 516 17,149
*Arguss Holdings 471 6,123
*Astec Industries 843 15,859
*Asyst Technologies Inc 718 47,074
*Aviall Inc 1,070 8,761
*Aviation Sales Company 658 10,857
*Avteam Inc Class A 677 3,639
*A.S.V. Inc 455 6,199
*Baldwin Technology Company Inc Class A 676 1,437
BHA Group Inc 319 2,512
*Bolt Technology Corporation 800 3,050
*Brooks Automation Inc 505 16,444
Cascade Corporation 427 3,923
*CFM Technologies Inc 452 4,379
*CH Heist Corporation 800 4,600
Charter Industries 1,077 4,308
CMI Corporation Class A 894 6,314
Columbus Mckinnon Corporation 616 6,237
*Ctb International Corporation 454 2,639
*CVC Inc 600 5,775
Detroit Diesel Corporation 1,105 21,202
Donaldson Company Inc 2,264 54,478
*Dril-Quip 836 25,394
Dt Industries Inc 468 3,686
*Dycomind 1,394 61,423
*Electroglas Inc 827 20,985
Engineered Support Systems 317 3,804
*Farr Company 395 3,851
Fedders Corporation 1,424 7,832
Federal Mogul Corporation 3,511 70,659
*Flow International Corporation 551 6,268
Flowserve Corporation 1,818 30,906
*Gardner Denver Inc 693 11,564
*Gasonics International Corporation 622 12,285
*Gehl Corporation 300 5,400
*Glacier Water Services Inc 135 2,185
Gleason Corporation 478 11,114
Gorman Rupp Company 315 5,513
Graco Inc 998 35,803
Hardinge Inc 362 4,729
Harnischfeger Industries Inc 800 325
*Hirsch International Corporation Class A 800 900
*Hurco Companies Inc 600 2,100
Idex Corporation 1,512 45,927
*Iic Industries Inc 400 3,950
*Industrial Distribution Group 779 2,532
*Industrial Holdings Inc 778 1,994
*Insituform Technologies Class A 1,180 33,335
*IRI International Corporation 1,785 7,140
*ITEQ Inc 1,200 1,050
*JLK Direct Distribution Inc Class A 1,100 11,344
Kaman Corporation Class A 1,059 13,635
Katy Industries Inc 306 2,658
*Key Technology Inc 200 1,800
*Knight Transportation Inc 669 11,457
*Kulicke & Soffa Industries 1,042 44,350
*Lancer Corporation 336 1,554
Lincoln Electric Holding Inc 2,254 46,489
Lindsay Manufacturing Company 584 10,658
Lufkin Industries Inc 241 3,615
*MagneTek Inc 1,412 10,855
Manitowoc Company Inc 1,359 46,206
<PAGE>
*Mansur Industries Inc 1,200 6,150
*McClain Industries Inc 400 2,000
*Mestek Inc 328 6,642
Met-Pro Corporation 306 3,060
*Metromedia International Group Inc 4,998 23,740
*Mitcham Industries Inc 2,200 7,563
*Newcor Inc 2,500 6,563
NN Ball & Roller Inc 662 4,800
Nordson Corporation 831 40,096
*P & F Industries Inc Class A 200 1,288
*Park - Ohio Holdings Corporation 411 4,059
*Paxar Corporation 2,143 18,082
*Pentacon Inc 745 2,328
Pentair Inc 2,518 96,943
*Plasma-Therm Inc 700 8,575
*Plm International Inc 1,800 10,575
*Presstek Inc 1,490 20,674
Quipp Inc 100 1,500
*Riviera Tool Company 315 1,221
Robbins & Myers Inc 506 11,448
*Sames Corporation 132 2,013
Sauer Inc 1,210 10,966
*Schmitt Industries Inc 3,300 7,631
*Scott Technologies Inc 799 15,081
*Semitool Inc 608 9,120
SI Handling Systems Inc 100 953
*Specialty Equipment Company 822 19,677
*SpeedFam-IPEC Inc 1,388 17,957
*Speizman Industries Inc 1,900 9,025
*SPS Technologies Inc 566 18,077
*SPX Corporation 1,568 126,714
Tecumseh Products Company Class A 1,039 49,028
*Tegal Corporation 3,000 26,531
Teleflex Inc 1,973 61,780
Tennant Company 415 13,591
*Terex Corporation 1,230 34,133
*The Middleby Corporation 200 1,125
*Thermadyne Holdings Corporation 144 2,808
*Thermo Fibertek Inc 2,750 19,594
*Thermo Sentron Inc 447 6,482
*Tokheim Corporation 566 2,052
Toro Company 575 21,455
*Total Containment Inc 300 638
*Tractor Supply Company 522 8,352
*Turbochef Inc 640 5,080
Twin Disc Inc 126 1,496
*Ultratech Stepper Inc 943 15,206
United Industial Corporation 1,053 9,740
*Waterlink Inc 547 1,368
Watsco Inc 1,506 17,413
*Weatherford International Inc 5,460 218,059
*White Cap Industries Inc 393 5,895
Woodward Governor Company 416 11,440
York International Corporation 1,992 54,656
-----------
$ 2,314,197
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES - 0.6%
*American Homestar Corporation 880 3,465
Bassett Furniture Industries Inc 579 9,264
*Beazer Homes USA Inc 231 4,447
*BioShield Technologies Inc 600 7,125
Bush Industries Class A 380 6,531
*C3 Inc - N C 311 1,885
Cavalier Homes Inc 724 2,851
*Champion Enterprises Inc 2,452 20,995
<PAGE>
*Chromcraft Revington Inc 402 4,221
Clayton Homes Inc 7,405 68,033
*Congoleum Corporation Class A 900 3,600
*Dal Tile International Inc 2,596 26,285
*Diamond Home Services Inc 400 200
*Dominion Homes Inc 1,300 8,125
Donnelly Corporation 371 5,194
DR Horton Inc 3,288 45,416
Engle Homes Inc 411 4,932
Ethan Allen Interiors Inc 1,949 62,490
Falcon Products Inc 334 2,881
Flexsteel Industries 252 3,371
*Fossil Inc 1,504 34,780
*Furniture Brands International Inc 2,620 57,640
*Gallery of History Inc 400 1,300
*Gentex Corporation 3,618 100,400
*Helen of Troy Ltd - New 1,299 9,418
HON Industries Inc 3,062 67,173
Hussmann International Inc 2,381 35,864
*Jan Bell Marketing 1,344 3,864
*Jore Corporation 1,000 7,813
Kimball International Class B 1,920 31,680
Knape & Vogt Manufacturing Company 213 2,942
*Ladd Furniture 288 5,688
*Lazare Kaplan International 379 3,079
La-Z-Boy Chair Company 2,567 43,158
Lennox International Inc 2,000 18,375
Libbey Inc 773 22,224
Lifetime Hoan Corporation 464 2,436
MDC Holdings Inc 1,020 16,001
*Media Arts Group Inc 2,281 7,841
*Meritage Corporation 338 3,697
*Michael Anthony Jewellers Inc 1,200 3,525
Mikasa Inc 669 6,732
Miller (Herman) Inc 3,846 88,458
*Mity Lite Inc 219 3,408
*Modtech Holdings Inc 500 3,000
National Presto Industries 271 9,621
*Newmark Homes Corporation 1,914 11,484
*Nobility Homes Inc 219 1,150
*NVR LP - WI 481 22,968
Oakwood Homes Corporation 2,087 6,652
Oneida Ltd 747 16,247
*Palm Harbor Homes Inc 1,163 20,934
Pulaski Furniture Corporation 126 1,953
*Rexhall Industries Inc 315 3,071
*Robertson-Ceco Corporation 1,300 12,838
Rowe Furniture Corporation 499 4,210
*Royal Appliance Manufacturing Company 894 4,358
Ryland Group 657 15,152
*Salton/Maxim Corporation 583 19,494
*Schuler Homes Inc 741 4,817
*Select Comfort Corporation 810 3,291
Skyline Corporation 341 8,014
*SMC Corporation 300 1,163
*Southern Energy Homes Inc 565 1,324
Standard-Pacific Corporation 1,326 14,586
Standex International Corporation 581 12,165
*Stanley Furniture Company Inc 264 4,851
Steelcase Inc 1,129 13,548
*Sunbeam Corporation 4,513 18,898
*The Presley Companies 700 3,850
*Toll Brothers 1,954 36,393
*Trex Company Inc 600 16,050
<PAGE>
Virco Manufacturing 401 5,213
Walter Industries Inc 2,286 24,717
*Washington Homes Inc 500 2,500
*Windmere Corporation 1,014 17,238
*Zaring National Corporation 600 2,775
-----------
$ 1,213,332
INDUSTRIAL - DIVERSIFIED - 2.4%
*AG Services of America Inc 733 10,949
*Alyn Corporation 3,200 6,600
American Biltrite Inc 134 1,910
Aztec Manufacturing Company 800 9,800
*Berkshire Hathaway Inc Class A 760 4,263,600
*Blyth Industries Inc 2,400 58,950
Carlisle Companies Inc 1,550 55,800
*Hexcel Corporation 1,724 9,590
*Identix Inc 1,133 10,268
Interlott Technologies Inc 400 1,700
*Koala Corporation 454 6,356
*Lydall Inc 577 3,823
Mark IV Industries Inc 2,435 43,069
*Metrika Systems Corporation 361 2,166
*Mikohn Gaming Corporation 500 2,563
Oil Dri Corporation of America 266 3,824
*Publicard Inc 690 4,528
Russ Berrie & Company Inc 994 26,093
Scope Industries 100 4,425
*Shuffle Master Inc 400 3,400
*Symyx Technologies 1,900 57,000
*Thermwood Corporation 200 1,125
U.S. Industries Inc 4,410 61,740
Wesco Financial Corporation 318 77,910
York Group Inc 1,499 6,464
*Zomax Optical Media Inc 728 32,942
-----------
$ 4,766,595
INSURANCE - 2.5%
20th Century Industries 4,119 79,548
*Acceptance Insurance Company Inc 641 3,726
ACE Limited 1,056 17,626
*Advance Paradigm Inc 918 19,794
Alfa Corporation 1,928 31,451
*Allcity Insurance Company 500 3,375
Alleghany Corporation 427 79,209
Allmerica Financial Corporation 2,700 150,188
Ambac Financial Group Inc 3,618 188,814
American Annuity Group Inc 2,109 37,962
American Financial Group Inc 3,332 87,882
*American Med Security Group 611 3,666
American National Insurance 1,284 81,855
Amerus Life Holdings Inc 1,149 26,427
Amwest Insurance Group Inc 907 6,576
Argonaut Group Inc 1,075 21,366
Arm Financial Group Inc Class A 1,057 29
*Atlantic American Corporation 2,700 6,244
AXA Financial Inc 22,666 767,811
Baldwin & Lyons Inc Class B 613 13,563
*Bancinsurance Corporation 1,050 5,513
Brown & Brown 604 23,141
*Capital Title Group Inc 1,000 1,750
Capitol Transamerica Corporation 413 4,156
*Ceres Group Inc 423 2,961
*Citizens Financial Corporation-A - KY 200 2,200
*Citizens Inc 843 5,849
*Clark/Bardes Holdings Inc 297 4,269
*CNA Financial Corporation 9,427 367,064
<PAGE>
CNA Surety Corporation 2,072 26,936
Commerce Group Inc 1,712 44,726
Cotton States Life Insurance 287 2,475
Crawford and Company 2,382 32,455
*Danielson Holding Corporation 700 4,025
*Delphi Financial Group Inc 949 28,458
Donegal Group Inc 365 2,327
E.W. Blanch Holdings Inc 574 35,158
EMC Insurance Group Inc 423 3,860
Enhance Financial Service Group Inc 1,672 27,170
Erie Indemnity Company Class A 3,399 110,043
Everest Reinsurance Holdings Inc 2,640 58,905
*Farm Family Holdings Inc 208 8,788
FBL Financial Group Inc Class A 1,405 28,100
Fidelity National Financial Inc 1,387 19,938
*Financial Industries Corporation 242 2,420
Financial Security Assurance 1,610 83,921
First American Financial Corporation 3,308 41,143
Foremost Corporation of America 1,218 34,561
*Fpic Insurance Group Inc 421 7,025
Fremont General Corporation 3,527 26,012
Frontier Insurance Group Inc 1,656 5,693
Gainsco Inc 770 4,139
Gallagher A J & Company 973 63,002
Harleysville Group Inc 1,303 18,568
Hartford Life Class A 1,357 59,708
HCC Insurance Holdings Inc 2,353 31,030
*HealthExtras Inc 1,129 13,548
*Highlands Insurance Group 477 4,532
Hilb Rogal & Hamilton Company 847 23,928
Horace Mann Educators Corporation 2,002 39,289
HSB Group Inc 1,614 54,573
Independence Holding Company 972 10,935
*Insurance Management Solutions Group Inc 1,400 3,500
*InsWeb Corporation 1,600 40,900
*Intercontinental Life Corporation 1,200 11,100
*Interstate National Dealer Services Inc 200 1,200
Investors Title 200 3,450
Kansas City Life Insurance Company 554 18,698
Kaye Group Inc 1,300 10,888
LabOne Inc 1,258 8,649
Landamerica Financial Group 690 12,679
Leucadia National Corporation 2,882 66,646
Liberty Corporation 1,034 43,622
*Markel Corporation 346 53,630
Meadowbrook Insurance Group 390 2,559
*Medical Assurance Inc 1,046 22,162
Merchants Group Inc 472 9,204
Mercury General Corporation 2,749 61,165
Meridian Insurance Group 822 11,504
Midland Company 340 7,055
MMI Companies Inc 849 7,323
Mobile America Corporation 500 969
Mony Group Inc 2,213 64,592
*Motor Club of America 400 3,300
National Security Group Inc 400 4,400
*National Western Life Insurance Class A 146 10,019
Nationwide Financial Services Inc Class A 1,064 29,726
*Navigators Group Inc 377 3,676
Nymagic Inc 433 5,710
Ohio Casualty Corporation 3,078 49,440
Old Guard Group Inc 300 3,300
Old Republic International Corporation 7,100 96,738
*Penn Treaty Amer Corporation 287 4,520
<PAGE>
Penn-America Group Inc 500 3,875
*Philadelphia Cons Holdings Company 545 7,903
*Pico Holdings Inc 500 6,156
Pma Capital Corporation Class A 409 8,129
PMI Group Inc 2,335 113,977
Presidential Life Corporation 1,420 26,093
*Professionals Group Inc 412 9,656
Protective Life Corporation 3,182 101,227
*Provident Amer Corporation 477 16,784
PXRE Group Ltd 595 7,735
*Quotesmith.com Inc 400 4,550
Radian Group Inc 1,806 86,237
Reinsurance Group of America Inc 2,557 70,957
Reliance Group Holdings Inc 5,591 37,390
Reliastar Financial Corporation 4,781 187,355
*Rightchoice Managed Care Class A 300 3,450
*Risk Capital Holdingss Inc 763 9,633
RLI Corporation 464 15,776
*RTW Inc 1,400 8,050
Scpie Holdings Inc 556 17,862
Selective Insurance Group 1,263 21,708
*Southern Security Life Insurance 500 2,328
StanCorp Financial Group Inc 1,600 40,300
*Standard Management Corporation 353 1,677
State Auto Financial 1,876 17,119
Stewart Information Services 478 6,363
*Superior National Insurance 797 6,027
*Symons International Group 464 667
The MIIX Group Inc 1,100 16,088
*The Seibels Bruce Group Inc 300 525
Transatlantic Holdings Inc 1,750 136,609
Travelers Property Casualty Corporation 2,901 99,359
Trenwick Group Inc 891 15,091
*Triad Guaranty Inc 598 13,605
*Trigon Healthcare Inc 1,992 58,764
*UICI 2,368 25,012
Unico American 1,000 7,000
United Fire & Causualty Company 451 10,204
United Wisconsin Services 611 2,597
Unitrin Inc 3,844 144,631
*Universal American Financial Corporation 1,400 6,475
Vesta Insurance Group 686 2,701
W.R. Berkley Corporation 1,185 24,737
*Wackenhut Corrections Corporation 977 11,419
White Mountains Insurance Group Inc 256 30,848
Zenith National Insurance Corporation 1,062 21,904
-----------
$ 5,140,283
LODGING - 0.4%
*American Skiing Corporation 3,194 10,181
*Ameristar Casinos Inc 700 2,669
*Aztar Corporation 2,668 29,015
*BridgeStreet Accomodations Inc 300 450
*Bristol Hotel & Resorts Inc 655 3,316
*Cavanaughs Hospitality Corporation 566 4,670
*Choice Hotels International Inc 2,589 44,337
*Crestline Capital Corporation 855 17,634
*Extended Stay America Inc 4,492 34,252
Hilton Hotels Corporation 4,336 41,734
*Homestead Village Property Inc 1,411 2,998
Host Marriott Corporation 11,060 91,245
Interstate Hotels Corporation 347 1,128
*International Leisure Hosts 300 1,500
*Isle of Capris Casinos Inc 800 10,550
*John Q Hammons Hotels Inc 300 1,163
<PAGE>
*Lodgian Inc 1,064 5,320
Marcus Corporation 1,395 18,745
*MeriStar Hotels & Resorts Inc 900 3,206
*Monarch Casino & Resort Inc 300 1,575
*Park Place Entertainment Corporation 15,547 194,338
*Prime Hospitality Corporation 2,338 20,604
*Riviera Holdings Corporation 200 1,275
*ShoLodge Inc 1,700 7,650
*Silver Leaf Resorts Inc 1,475 10,509
Sodexho Marriott Services Inc 2,979 38,727
Sonesta International Hotels 800 6,200
*Station Casinos Inc 1,879 42,160
*Suburban Lodges of America 1,869 9,695
*Sunburst Hospitality Corporation 893 5,023
*Sunterra Resorts Inc 1,706 19,619
*Thousand Trails Inc 600 3,000
*Trendwest Resorts Inc 767 17,258
*Trump Hotels & Casino Resorts 818 2,761
*U.S. Franchise Systems Inc 633 2,849
*Vail Resorts Inc 1,310 23,498
*Wyndham International Inc - Class A 10,824 31,796
-----------
$ 762,650
MEDIA - BROADCASTING & PUBLISHING - 4.9%
*5th Avenue Channel Corporation 700 1,750
*Acme Communications Inc 800 26,600
*Adelphia Communications Class A 3,497 229,491
*Allegiance Telecom Inc 3,052 281,547
*American Tower Corporation 7,271 222,220
*AMFM Inc 10,431 815,837
Banta Corporation 1,294 29,196
Belo (A H) Corporation 5,894 112,354
BHC Communications Inc Class A 1,107 177,120
*Big City Radio 1,400 6,650
*Cablevision Systems Corporation 5,409 408,380
Central Newspapers Class A 1,874 73,789
Champion Industries Inc - WV 1,632 6,834
*Charter Communications Inc Class A 4,600 100,625
*Chris-Craft Industries Inc 1,698 122,468
*Citadel Communications Corporation 1,550 100,556
*Classic Communications Inc Class A 1,770 64,716
Courier Corporation 300 7,125
*Cox Communications Inc Class A 28,401 1,462,652
*Cox Radio Inc Class A 455 45,386
*CTN Media Group Inc 638 6,380
*Cumulus Media Inc 927 47,045
*Daily Journal Corporation-Sc 119 3,838
*Emmis Communications 787 98,092
*Entercom Communications Corporation 1,600 105,600
EW Scripps Company 3,911 175,262
*Fox Entertainment Group Inc 8,603 214,537
*Gibson Greetings Inc 583 5,229
*Granite Broadcasting Corporation 468 4,739
Gray Communications System Class B 771 10,409
Gray Communications System 694 12,275
Harland (John H) Company 1,387 25,399
Harte-Hanks Communications Inc 3,376 73,428
*Hearst-Argyle Television Inc 2,673 71,169
*Hispanic Broadcasting Corporation 2,673 246,501
Hollinger International Inc 5,722 74,028
Houghton Mifflin Company 1,647 69,483
*HyperFeed Technologies Inc 997 4,611
*IDG Books Worldwide Inc 526 6,082
*Individual Investors Group 379 1,279
*Infinity Broadasting Corporation 18,173 657,635
<PAGE>
*Information Holdings Inc 758 22,029
*Insight Communications Company Inc 2,400 71,100
*Interep National Radio Sales Inc Class A 840 11,235
*Jones Intercable Inc 2,040 141,398
*Journal Register Company 2,167 33,453
Lee Enterprises Inc 2,293 73,233
*Liberty Digital Inc Class A 1,200 89,100
*Lodgenet Entertainment Corporation 400 9,950
*Loronix Information Systems Inc 300 5,925
Media General Inc Class A 1,397 72,644
*National Wireless Holdings 146 4,271
Nelson (Thomas) Inc 544 5,032
*Network Event Theater Inc 618 18,386
*New Frontier Media Inc 300 1,275
*On Command Corporation 1,349 24,957
*OnHealth Network Company 938 8,383
*Paxson Communications Corporation 2,448 29,223
*Pegasus Communications Corporation 706 69,012
*Playboy Enterprises Inc Class B 1,098 26,695
*Price Communications - WI 2,564 71,311
*Primedia Inc 7,271 119,972
Pulitzer Inc 1,006 40,554
*Radio One Inc 800 73,600
*Radio Unica Corporation 1,000 28,875
*Rare Medium Group Inc 2,215 75,587
Readers Digest Association Inc Class A 5,594 163,625
*Saga Communications Inc 715 14,479
*Salem Communications Corporation Class A 700 15,838
*Scholastic Corporation 930 57,834
*Sinclair Broadcast Group Class A 2,199 26,835
*Spanish Broadcasting System Inc Class A 1,100 44,275
*TCI Satellite Entertainment Inc 2,800 44,800
*The Harvey Entertainment Company 200 763
The Macclatchy Company Class A 2,199 95,107
*The Network Connection Inc 1,700 9,775
*TheStreet.com Inc 900 17,269
*TiVo Inc 1,800 60,750
*TV Guide Inc Class A 7,688 330,584
United Television Inc 520 70,460
*United Global Communications Inc Class A 3,546 250,436
*Univision Communications Inc Class A 4,957 506,543
*USA Networks Inc 6,749 372,882
*Valley Media Inc 300 2,100
*VDI Media 400 5,500
*Vidikron Technologies Group Inc 14,100 1,763
Washington Post Company 450 250,144
*Wave Technologies International Inc 300 1,013
Wiley John & Sons Class A 2,934 49,145
*Wink Communications Inc 1,400 84,088
*Workflow Management Inc 493 14,112
*XM Satelite Radio Holdings Inc Class A 1,200 45,750
*Young Broadcasting Corporation Class A 533 27,183
*Ziff Davis Inc 4,874 77,070
-----------
$ 9,975,640
MEDICAL SUPPLIES - 1.3%
*Abiomed Inc 386 14,186
*Acuson Corporation 1,327 16,670
*Adac Laboratories 896 9,632
*Advanced Neuromodulation Systems 342 3,206
*Aksys Ltd 658 3,208
*Alaris Medical Inc 2,183 4,093
*Amer Science & Engine Inc 315 2,284
*Applied Biometrics Inc 300 797
*Aradigm Corporation 1,348 12,806
<PAGE>
Arrow International Inc 1,139 33,031
*Arthocare Corporation 430 26,230
*ATS Medical Inc 795 11,875
*Bacou Usa Inc 787 11,854
*Bionx Implants Inc 399 1,247
*Bio-Plexus Inc 700 2,800
*Biosite Diagnostics Inc 577 9,232
Block Drug Company Inc Class A 1,153 35,732
*BriteSmile Inc 700 5,688
*Cambridge Heart Inc 401 1,378
*Candela Corporation 300 5,588
*CardioDynamics International Corporation 1,700 9,350
*Cerus Corporation 447 11,846
*Chromavision Medical Systems 836 12,749
*Closure Medical Corporation 594 7,648
*CNS Inc 783 3,230
*Coherent Inc 1,060 28,355
*Cohesion Technologies Inc 586 5,347
Cole National Corporation 658 3,290
*Colorado Medtech Inc 474 3,792
*Computer Motion Inc 359 3,949
*Conmed Corporation 777 20,105
Cooper Companies Inc 667 20,093
*Cyber-Care Inc 1,100 10,038
*Cygnus Inc 2,359 43,052
*DHB Capital Group 1,112 801
Datascope Corporation 978 39,120
*Del Global Technologies Corporation 340 2,635
Dentsply International Inc 2,948 69,647
Diagnostic Prods Corporation 617 15,117
*Diametrics Medical Inc 862 7,381
*Eclipse Surgical Tech Inc 1,104 8,142
*Endocardial Solutions Inc 402 3,518
*Endocare Inc 600 5,063
*Endosonics Corporation 643 2,894
*Environmental Tectonics Corporation 374 5,657
*Exactech Inc 319 3,768
*Excel Technology Inc 606 10,870
*E-Z-Em Inc Class A 650 5,038
*Focal Inc 592 2,294
*Fusion Medical Technologies Inc 300 3,900
*Gliatech Inc 345 5,736
*Haemonetics Corporation 1,292 30,766
*Hanger Orthopedic Group Inc 913 9,130
*Heartport 929 4,413
Hillenbrand Industries Inc 3,595 113,917
*Hologic Inc 1,793 10,310
*Horizon Medical Products Inc 598 1,495
*Icu Med Inc 396 6,039
*I-Flow Corporation 1,700 6,747
*Igen International Inc 685 20,379
*Imatron Inc 3,500 8,750
*Inamed Corporation 900 39,488
*Incara Pharmaceuticals Corporation 2,126 3,189
*Integra Lifesciences Corporation 700 4,134
*Intermagnetics General Corporation 555 4,856
*Interpore International 627 4,938
Invacare Corporation 1,637 32,842
*Iridex Corporation 500 4,250
*Isolyser Company Inc 2,500 7,422
*I-Stat Corporation 562 8,149
*Kensey Nash Corporation 333 3,954
*Lasersight Inc 588 5,880
*LCA-Vision Inc 2,200 10,313
<PAGE>
*Lunar Corporation 384 2,736
*MedCare Technologies Inc 400 838
*Medical Advisory Systems Inc 300 3,900
*Medstone International Inc 300 1,425
*Medtox Scientific Inc 200 1,750
*Medwave Inc 341 2,302
Mentor Corporation 1,184 30,562
*Meridian Medical Technologies Inc 200 1,125
*Merit Medical Systems Inc 400 2,900
*Micro Therapeutics Inc 300 2,306
Mine Safety Appliances 321 20,544
*Minimed Inc 1,706 124,965
Minntech Corporation 301 2,897
*Misonix Inc 400 2,100
*NMT Medical Inc 475 1,366
*North American Scientific Inc 298 2,682
*Novametrix Medical Systems Inc 400 1,975
*Novoste Corporation 594 9,801
*Oakley Inc 3,362 18,701
*Ocular Sciences Inc 1,103 20,819
*Orthologic Corporation 933 2,391
*Osteotech Inc 597 7,985
*Palomar Medical Technologies Inc 500 609
*PharmaNetics Inc 400 3,700
*Phycor Inc 3,407 6,388
*PLC Systems Inc 882 1,764
*Polymedica Industries Inc 400 9,250
*Protocol Systems Inc 372 3,348
*Quorum Health Group Inc 3,629 33,795
*Resmed Inc 656 27,388
*Respironics Inc 1,413 11,260
*Rochester Medical Corporation 238 1,696
*Sabratek Corporation 461 37
*Safeskin Corporation 2,741 33,235
*SciQuest.com Inc 1,705 135,548
*Selfcare Inc 2,500 7,969
*Sola International 1,113 15,443
*Sonosite Inc 220 6,958
*Spacelabs Medical Inc 347 6,441
*Spectranetics Corporation 855 3,313
*Spectrascience Inc 300 1,200
*SpectRx Inc 300 3,581
*Staar Surgical Company 596 5,811
*Sterile Recoveries Inc 953 6,552
*Steris Corporation 3,554 36,651
Stryker Corporation 5,014 349,100
*Summit Technology Inc 2,438 28,494
*Sunrise Medical Inc 818 5,061
*Sunrise Technologies International 2,143 25,314
*Sybron Corporation 5,518 136,226
*Techne Corporation 1,096 60,349
*The Med-Design Corporation 600 8,775
*Theragenics Corporation 1,184 10,730
*Thermo Cardiosystems Inc 1,922 12,613
*Thoratec Labs Corporation 851 8,297
*Trex Medical Corporation 1,258 3,538
United-Guardian Inc 400 1,450
*Urologix Inc 2,400 9,600
*U.S. Vision Inc 2,000 5,125
*Utah Medical Products Inc 319 2,153
*Valentis Inc 2,176 19,584
*Varian Medical Systems Inc 1,530 45,613
*Ventana Medical Systems 593 14,751
*Visx Inc 3,320 171,810
<PAGE>
*Waters Corporation 2,994 158,682
*Wesley Jessen Visioncare 760 28,785
*WRP Corporation 300 600
*Young Innovations Inc 903 13,094
*ZEVEX International Inc 300 1,538
*Zoll Medical Corporation 277 10,578
-----------
$ 2,687,190
MEDICAL & BIO-TECHNOLOGY - 1.4%
*Advanced Energy Industries 1,293 63,680
*Advanced Tissue Sciences Inc 1,800 4,500
*Aetrium Inc 428 2,822
*AgriBioTech Inc 1,675 3,978
*Albany Molecular Research Inc 500 15,250
*Alcide Corporation 100 1,275
Amcast Indl Corporation 339 5,551
Analogic Corporation 566 18,678
*AVAX Technologies Inc 2,000 13,188
*Avigen Inc 500 15,500
Badger Meter Inc 112 3,374
Beckman Coulter Inc 1,579 80,332
Bei Technologies Inc 272 4,148
*BioMarin Pharmaceutical Inc 1,500 17,625
*Bio-Rad Laboratories Inc 758 17,718
*BioSource International Inc 2,500 19,844
*Boston Biomedica Inc 2,900 8,338
*Brown & Sharpe Mfg 476 1,012
*Cerprobe Corporation 284 2,095
*Chiron Corporation 9,193 389,553
Cohu Inc 818 25,358
*Creative BioMolecules Inc 2,000 9,875
*Credence Systems Corporation 1,171 101,292
*CRYO-CELL International Inc 400 2,900
*Cuno Inc 696 14,409
*Cyberonics 743 11,842
*Cyberoptics Corporation 221 6,078
*Cymer Inc 1,413 64,998
*DataTRAK International Inc 1,587 5,753
*Dynamic Healthcare Technologies Inc 400 650
*Embrex Inc 500 5,375
*Energy Conversion Devices 563 5,208
*Epimmune Inc 2,000 5,188
*Epitope Inc 501 3,257
*Esterline Corporation 775 8,961
*FARO Technologies Inc 2,407 7,071
*FEI Company 869 13,470
*Flanders Corporation 928 2,320
*Flir Systems Inc 540 8,775
Frequency Electronics Inc 343 3,559
*Gene Logic Inc 700 18,550
*Genelabs Technologies Inc 1,300 7,150
*Genentech Inc 4,300 578,350
*Genrad Inc 1,397 22,527
*Genzyme Corporation - General Division 4,309 193,905
*Genzyme Surgical Products 646 3,755
*Idexx Laboratories Inc 1,929 31,105
*II-VI Inc 306 6,158
*Immtech International Inc 500 14,438
*Innovasive Devices Inc 2,500 20,000
*InSight Health Services Corporation 1,500 7,875
*Intelligent Medical Imaging Inc 1,900 133
*Invitrogen Corporation 1,000 60,000
*Invivo Corporation 246 2,983
*Ionics Inc 720 20,250
*Kopin Corporation 1,300 54,600
<PAGE>
*K-Tron International Inc 234 3,159
*LanVision Systems Inc 800 825
*Lecroy Corporation 279 3,418
*LifeCell Corporation 600 3,075
*LTX Corporation 1,708 38,217
*Meade Instruments Corporation 290 8,265
*Mechanical Technology Inc 638 14,834
*Mediware Information Systems Inc 200 1,550
*Mesa Laboratories Inc 200 763
*Molecular Devices Corporation 348 18,096
Moore Products Company 117 4,665
MTS Systems 785 6,084
*Nanogen Inc 800 17,500
*Nanometrics Inc 388 7,809
*Neogen Corporation 1,300 6,825
*NetOptix Corporation 400 26,700
Newport Corporation 335 15,326
*Nexell Therapeutics Inc 1,100 1,375
*Novavax Inc 2,800 15,750
*Onix Systems Inc 529 3,240
Optical Coating Laboratories 738 218,448
*Ortec Inernational Inc 263 1,973
*Osmonics Inc 516 4,741
*Palatin Technologies Inc 1,800 4,500
*PPT Vision Inc 200 725
*Premeir Research Worldwide Ltd 200 1,963
*Quality Systems Inc 200 1,550
*Quest Diagnostics Inc 1,636 50,000
*Ribozyme Pharmaceuticals Inc 1,900 19,950
*Robotic Vision Systems Inc 1,113 10,295
*Rofin-Sinar Technologies Inc 524 3,734
Roper Industries Inc 1,699 64,243
*Satcon Technology Corporation 403 3,363
*Simione Central Holdings Inc 700 1,313
*Somanetics Corporation 400 475
Starrett(LS) Company Class A 192 4,308
*Techniclone Corporation 900 478
*Thermedics Detection Inc 1,292 8,721
*Thermedics Inc 1,857 10,097
*Thermo Bioanalysis Corporation 885 16,262
*Thermo Optek Corporation 2,312 26,299
*Thermoquest Corporation 2,386 24,606
*TriPath Imaging Inc 1,279 5,276
Tsi Inc/Minnesota 417 4,900
*Veeco Intruments Inc 759 35,531
X-Rite Inc 781 4,881
*Zygo Corporation 411 8,271
-----------
$ 2,770,958
METALS - 0.8%
AK Steel Holding Corporation 5,344 100,868
*Alliant Techsystems Inc 491 30,595
*American Precision Industries 334 2,881
Ameron Inc - DE 148 5,855
Aptargroup Inc 1,812 45,527
*Atchison Casting Corporation 457 4,170
*Bayou Steel Corporation - Class A 600 2,400
Belden Inc 1,088 22,848
Birmingham Steel Corporation 1,079 5,732
Butler Manufacturing Company 275 6,136
Carpenter Technology 1,180 32,376
Castle AM 517 6,075
Century Aluminum Company 737 11,055
*Chase Industries 406 3,299
*Chief Consolidated Mining Company 300 806
<PAGE>
*CIRCOR International Inc 601 6,193
Cleveland-Cliffs Inc 641 19,951
Commercial Intertech Corporation 526 6,707
Commercial Metals Company 870 29,526
Commonwealth Industries 588 7,644
Compx International Inc 326 5,990
Curtiss Wright Corporation 456 16,815
*Dayton Superior Corporation 357 5,801
*Driver-Harris Company 2,900 9,425
*Dynamic Materials Corporation 200 238
Edelbrock Corporation 234 2,808
*Edison Control Corporation 100 588
*Encore Wire Corporation 601 4,583
Federal Screw Works 48 2,016
*Foster (LB) Class A 446 2,174
*General Bearing Corporation 200 1,175
General Cable Corporation 1,647 12,455
Gibraltar Steel Corporation 560 13,090
*Griffon Corporation 1,385 10,820
*Gulf Island Fabrication Inc 520 4,875
Harsco Corporation 2,388 75,819
*Hawk Corporation Class A 511 2,970
*Howmet International Inc 5,374 97,068
Huntco Inc Class A 3,300 10,519
Imco Recycling Inc 1,013 12,789
Insteel Industries 377 3,417
Intermet Corporation 1,150 13,369
International Aluminium Corporation 158 3,713
*Kaiser Aluminum Corporation 3,541 27,221
Kaydon Corporation 1,638 43,919
*Keystone Consolidated Industries Inc 500 2,969
*Ladish Company Inc 512 3,264
Lindberg Corporation 262 2,031
*Lone Star Technologies 1,006 28,042
*Material Sciences Corporation 677 6,897
Matthews International Corporation 587 16,143
*Maverick Tube Corporation 769 18,985
*Maxxam Inc 413 17,707
*Metals USA Inc 1,707 14,510
*Met-Coil Systems Corporation 300 1,875
*Miller Building Systems 600 2,925
*Mobile Mini Inc 491 10,557
*Morton Industrial Group Inc 200 700
*Mueller Industries 1,801 65,286
National Steel Corporation Class B 1,936 14,399
*NCI Building Systems Inc 807 14,930
*Niagara Corporation 600 2,550
*Nortek Inc 498 13,944
*Northwest Pipe Company 337 4,718
*NS Group Inc 834 6,359
*Olympic Steel Inc 394 1,872
*Optical Cable Corporation 1,801 36,020
Oregon Steel Mills Inc 1,250 9,922
*OroAmerica Inc 284 1,775
Pitt-Des Moines 267 6,575
Precision Castparts Corporation 1,289 33,836
Quanex Corporation 591 15,071
Reliance Steel & Aluminum Company 1,537 36,023
Roanoke Electrics Steel Corporation 408 6,630
Rouge Industries Inc Class A 534 4,205
*RTI International Metals 926 6,945
Ryerson Tull Inc 1,142 22,198
Schnitzer Steel Industries Inc Class A 248 4,712
*Shaw Group Inc 635 16,073
<PAGE>
*Shiloh Industries Inc 482 5,302
Sifco Industries 231 1,603
Southern Peru Copper Corporation 514 7,935
*Special Metals Corporation 570 1,817
*Starmet Corporation 1,800 11,700
*Steel Dynamics Inc 2,441 38,903
Steel Technologies Inc 438 6,351
*Stillwater Mining Company 1,820 58,013
Sturm Ruger & Company Inc 1,592 14,129
Sun Hydraulics 284 1,846
Superior Telecom Inc 998 15,407
Synalloy Corporation 300 2,250
Texas Industries Inc 1,149 48,904
*Thermo Terratech Inc 1,000 6,750
Titanium Metals Corporation 1,156 5,202
*Tower Automotive Inc 2,268 35,012
*Transportation Technologies Industries Inc 564 10,187
TransPro Inc 400 2,575
Tredegar Corporation 1,917 39,658
Tremont Corporation New 205 3,075
United Dominion Industries Ltd 2,112 42,108
*Universal Stainless & Alloy Products Inc 300 2,025
*U.S. Energy Corporation - WY 200 700
*Webco Industries Inc 400 1,400
*WHX Corporation 856 7,704
*Wolverine Tube Inc 628 8,871
*Xceed Inc - DE 708 29,382
-----------
$ 1,593,758
MINING - 0.2%
Arch Coal Inc 2,165 24,492
*Battle Mountain Gold Company 3,700 7,631
Brush Wellman 704 11,836
CONSOL Energy Inc 4,000 40,500
*Couer D'Alene Mines Corporation 3,207 11,024
*Echo Bay Mines Ltd 907 1,077
*Hecla Mining 2,032 3,175
LTV Corporation 4,766 19,660
*Meridian Gold Inc 4,594 31,297
Penn Virginia Corporation 330 5,528
*Royal Gold 2,500 9,063
*Smith International Inc 2,453 121,883
*Sunshine Mining and Refining Company 208 286
*Varco International Inc 2,991 30,471
-----------
$ 317,923
OFFICE EQUIPMENT & SUPPLIES - 0.3%
*1-800 Contacts Inc 387 10,473
*Actrade International Ltd 515 7,693
*Atec Group Inc 1,299 3,166
*Ballantyne of Omaha Inc 526 3,025
*CHS Electronics Inc 3,448 3,879
*Cytyc Corporation 993 60,635
*Digi International Inc 2,013 21,011
*Fisher Scientific International Inc 2,191 79,150
*Gunther International Ltd 800 2,200
*Imaging Technologies Corporation 3,600 2,250
*Ingram Micro Inc Class A 3,364 44,153
*Insight Enterprises Inc 1,215 49,359
*Keravision Inc 570 3,491
*Lanier Worldwide Inc 4,100 15,888
*Mathews Studio Equip Group 500 1,563
*Merisel Inc 2,900 3,806
*Miami Computer Supply Corporation 514 19,082
*Navarre Corporation 1,397 8,033
Owens & Minor Holdings Company 1,457 13,022
<PAGE>
*Parkervision Inc 520 15,990
*Patterson Dental Company 1,690 72,036
*Peerless Systems Corporation 907 7,029
*Performance Technologies Inc 487 8,462
*Pomeroy Computer Resources 525 6,956
*Precept Business Services Class A 290 897
*Programmers Paradise 316 2,410
*PSS World Medical Inc 3,348 31,597
*Savoir Technology Group Inc 691 4,923
TAB Products Company 100 650
*Thermotrex Corporation 988 7,781
Vital Sign Inc 869 19,878
-----------
$ 530,488
OIL & GAS - 2.8%
*Able Energy Inc 400 2,150
Adams Resources & Energy Inc 1,100 9,350
AGL Resources Inc 2,957 50,269
Apco Argentina Inc 771 23,516
Atmos Energy Corporation 1,553 31,739
*Atwood Oceanics Inc 702 27,115
*Barrett Resources Corporation 1,827 53,782
*Basin Exploration 713 12,567
*Belco Oil & Gas Corporation 1,165 6,408
*Bellwether Exploration Company 633 3,046
*Benton Oil and Gas Company 2,400 4,650
Berry Petroleum 878 13,280
*BJ Services Company 3,736 156,212
*Blue Dolphin Energy 500 3,063
BP Prudhoe Bay Royalty Trust 1,189 10,775
*Brigham Exploration Company 2,800 4,288
Cabot Oil & Gas Corporation Class A 1,115 17,910
*Cal Dive International Inc 836 27,693
*Callon Petroleum Corporation 359 5,318
Cascade Natural Gas 407 6,563
Castle Energy Corporation 131 3,324
*Chesapeake Energy Corporation 4,300 10,213
Chesapeake Utilities Corporation 187 3,436
*Clayton Williams Energy Inc 1,100 12,994
*Columbus Energy Corporation 1,600 9,200
*Comstock Resources Inc 1,100 3,094
Connecticut Energy Corporation 378 14,695
*Contour Energy Company 180 94
*Cooper Cameron Corporation 2,881 140,989
Cross Timbers Oil Company 2,285 20,708
*Crown Central Pete Class B 450 2,363
*Crystal Gas Storage Inc 298 16,874
CTG Resources 319 11,085
*Dawson Geophysical Company 500 4,406
*Denbury Resources Inc 1,897 8,181
Devon Energy Corporation 4,303 141,461
Diamond Offshore Drilling Inc 6,676 204,035
Dynegy Inc 8,013 194,816
Eagle Geophysical Inc 2,755 28
*Edge Petroleum Corporation 1,800 5,175
*EEX Corporation 1,763 5,179
Energen Corporation 1,408 25,432
*Energy Biosystems Corporation 981 4,415
Energynorth Inc 122 6,718
Energysouth Inc 179 3,714
Ensco International Inc 7,256 165,981
EOG Resources Inc 7,676 134,810
Equitable Resources Inc 1,661 55,436
*Evans Systems Inc 458 630
*Evergreen Resources Inc 593 11,712
<PAGE>
*EXCO Resources Inc 1,300 9,425
*Forest Oil Corporation 2,546 33,575
*Frontier Oil Corporation 1,036 6,993
*FX Energy Inc 583 3,134
General Chemical Group Inc 933 2,158
*Getty Petroleum Marketing Inc 300 750
*Giant Industries Inc 484 4,054
*Global Industries Ltd 4,278 36,898
*Global Marine Inc 9,256 153,881
*Greka Energy Corporation 200 1,850
*Grey Wolf Inc 6,565 18,874
*Hallwood Energy Corporation 637 2,786
*Hanover Compressor Company 1,576 59,494
*Harken Energy Corporation 3,456 2,592
Holly Corporation 904 12,091
*Houston Exploration Company 1,069 21,180
Howell Corporation 2,100 12,075
*Hs Resources Inc 785 13,541
Hugoton Royalty Trust 2,000 16,250
Indiana Energy Inc 1,445 25,649
*Input/Output Inc 2,254 11,411
*Key Energy Group Inc 3,818 19,806
*Key Productions Company Inc 515 3,798
Kinder Morgan Inc 5,669 114,443
Laclede Gas Company 888 19,203
*Louis Dreyfus Natural Gas 1,794 32,516
*Magnum Hunter Resources Inc 800 2,300
*Mallon Resources Corporation 100 594
*Marine Drilling Company Inc 2,641 59,257
*Markwest Hydrocarbon 379 2,464
*McMoRan Exploration Company 619 13,076
MCN Corporation 4,644 110,295
Mdu Resources Group Inc 3,172 63,440
*Mercury Air Group Inc 294 2,389
Midcoast Energy Resources 262 4,389
*Miller Exploration Company 3,000 3,281
Mitchell Energy Class A 2,597 57,296
Murphy Oil Corporation 2,311 132,594
*Nabors Industries Inc 6,683 206,755
National Fuel Gas Company 2,120 98,580
*National-Oilwell Inc 2,771 43,470
New Jersey Resources Corporation 896 35,000
*Newfield Exploration Company 2,002 53,554
*Newpark Resources Inc 3,068 18,792
Noble Affiliates Inc 2,849 61,075
*Noble Drilling Corporation 6,464 211,696
Northwest Natural Gas Company 1,209 26,522
*Nuevo Energy Company 1,327 24,881
NUI Corporation 566 14,928
*Ocean Energy Inc 8,162 63,256
*Oceaneering International Inc 1,332 19,897
*Omni Energy Services Corporation 713 802
*Parker Drilling 3,995 12,734
Patina Oil & Gas Corporation 3,000 25,875
*Patterson Energy Inc 2,100 27,300
*Pennaco Energy Inc 300 2,400
Pennzoil-Quaker State Company 3,677 37,459
*Petroleum Development Corporation 1,000 3,813
Piedmont Natural Gas Company 1,571 47,523
*Pioneer Natural Resources Company 4,883 43,642
Plains All Amer Pipeline LP 897 11,661
*Plains Resource Inc 722 9,025
Pogo Producing Company 1,795 36,798
*Pride International Inc 2,554 37,352
<PAGE>
*Prima Energy Corporation 258 6,208
Providence Energy Corporation 220 8,168
*PS Group Holdings Inc 271 3,049
Public Service Company of NC 1,205 38,937
Questar Corporation 4,290 64,350
*Quicksilver Resources Inc 800 3,500
Range Resources Corporation 1,600 5,100
*Remington Oil & Gas Corporation 1,700 6,588
RPC Inc 1,068 6,141
*R&B Falcon Corporation 9,410 124,683
Santa Fe International Corporation 5,634 145,780
*Santa Fe Snyder Corporation 9,929 79,432
*Seacor Smit Inc 567 29,342
*Seitel Inc 1,364 9,207
Semco Energy Inc 905 10,690
*Seven Seas Petroleum Company 1,386 2,426
South Jersey Industries 397 11,290
*Southern Union Company 2,388 45,671
Southwest Gas Company 1,656 38,088
Southwestern Energy Company 919 6,031
*Spinnaker Exploration Company 800 11,300
St Mary Land & Exploration 399 9,875
*Stone Energy Corporation 774 27,574
*Superior Energy Services Inc 3,300 22,275
*Swift Energy Company 729 8,384
*Tesoro Petroleum Corporation 1,392 16,095
*Tetra Technologies Inc 599 4,343
*The Meridian Resource Corporation 1,900 5,819
*Titan Exploration Inc 1,396 7,591
*Tom Brown Inc 1,179 15,769
*Transmontaigne Inc 1,363 9,541
Transocean Sedco Forex Inc 5,398 181,845
*Tuboscope Inc 2,048 32,512
UGI Corporation 1,570 32,087
Ultramar Diamond Shamrock Corporation 4,519 102,525
*Unit Corporation Common Stock 1,049 8,064
*UTI Energy Corporation 866 19,972
Valero Energy Corporation 2,598 51,635
Valley Resources Inc 222 4,940
Vastar Resources Inc 5,056 298,304
*Veritas DGC Inc 1,122 15,708
Vintage Petroleum Inc 2,858 34,475
Washington Gas Light Company 2,444 67,210
Wd 40 Company 899 19,890
Western Gas Resources 1,185 15,627
Wicor Inc 2,070 60,418
*Wilshire Oil Company of Texas 1,200 4,500
Yankee Energy System Inc 590 25,923
-----------
$ 5,714,366
PHARMACEUTICALS - 2.7%
*Abgenix Inc 708 93,810
*Advanced Polymer Systems 937 3,221
*Akorn Inc 2,709 13,206
*Alexion Pharmaceuticals 1,216 36,632
*Algos Pharmaceuticals Corporation 761 8,371
*Alkermes Inc 1,346 66,122
*Alliance Pharmaceutical Corporation 3,200 23,600
*Allou Health & Beauty Class A 261 1,729
Alpharma Inc 1,495 45,971
*Amerisource Health Corporation 2,392 36,329
*Amylin Pharmaceuticals Inc 2,200 18,356
*Andrx Corporation 1,650 69,816
*Anesta Corporation 559 9,608
*Anika Therapeutics Inc 400 2,825
<PAGE>
*Aphton Corporation 532 8,113
*Aronex Pharmaceuticals Inc 1,400 4,375
*Arqule Inc 844 8,651
*AVI BioPharma Inc 2,900 15,769
*Aviron 703 11,116
*Axys Pharmaceuticals Inc 3,011 12,232
*Barr Laboratories Inc 1,001 31,406
Bergen Brunswig Corporation Class A 6,921 57,531
Bindley Western Ind Inc 1,317 19,837
*Biocryst Pharmaceuticals Inc 665 19,618
*Biogen Inc 7,586 641,017
*Biomatrix Inc 1,016 19,558
*Biopure Corporation 700 11,638
*Biotime Inc 470 4,171
*Bone Care International Inc 1,173 14,809
*Boston Life Sciences Inc 593 2,150
*Cell Genesys Inc 1,059 13,568
*Cell Pathways Inc 994 9,195
*Cell Therapeutics Inc 690 4,830
*Cellegy Pharmaceuticals Inc 2,300 7,763
*Chirex Inc 637 9,316
*CIMA Labs Inc 2,100 27,431
*Collagenex Pharmaceuticals 1,116 27,900
*Columbia Laboratories Inc 1,157 8,678
*Connetics Corporation 837 8,789
*Corixa Corporation 577 9,809
*Coulter Pharmaceutical Inc 733 16,630
*Covance Inc 3,005 32,492
*Crescendo Pharmaceuticals Corporation 200 3,638
Cypress Bioscience Inc 1,765 3,199
*Cytoclonal Pharmaceuticals 456 3,420
*Diacrin Inc 640 4,160
*Digene Corporation 628 10,951
*Dura Pharmaceuticals Inc 2,074 28,906
*Duramed Pharmaceuticals 862 6,142
*D&K Healthcare Resources 438 6,406
*Epix Medical Inc 1,921 19,210
*Forest Labs Inc Class A 4,249 261,048
*Geltex Pharaceuticals Inc 748 9,584
*Genta Inc 300 1,931
*Genzyme Transgenics Corporation 676 8,535
*Geron Corporation 494 6,237
*Gilead Sciences Inc 2,049 110,902
*Guest Supply Inc 282 4,230
*Guilford Pharmaceuticals Inc 820 13,940
*Hemispherx Biopharma Inc 1,110 11,031
*Henry Schein Inc 2,080 27,690
Herbalife International Class A 1,068 15,353
*Heska Corporation 1,278 2,876
*Hi-Tech Pharmacal Company 2,400 10,950
*Hollis-Eden Pharmaceuticals 383 3,974
*Hyseq Inc 2,678 45,526
ICN Pharmaceuticals Inc 3,723 94,238
*Idec Pharmaceuticals Corporation 2,188 214,971
*Ilex Oncology Inc 1,266 30,542
*Imclone Systems Inc 1,301 51,552
*Immucor Inc 333 4,391
*Immune Response Corporation 865 3,757
*Immunex Corporation 8,256 904,032
*Inhale Therapeutic Systems 702 29,879
*International Isotopes Inc 392 2,156
*Interneuron Pharmaceuticals Corporation 1,742 9,962
*IVAX Corporation 5,236 134,827
Jones Pharma Inc 2,129 92,478
<PAGE>
*King Pharmaceuticals Inc 2,354 131,971
*Kos Pharmaceuticals 1,853 10,423
*Kv Pharmaceutical Company Class A 728 15,971
*La Jolla Pharmaceutical Company 898 2,273
*Lifecore Biomedical Inc 1,356 28,646
*Ligand Pharmaceuticals Class B 982 12,643
*Liposome Company Inc 1,710 20,867
*Lynx Therapeutics Inc 410 13,274
*Magainin Pharmaceuticals 822 1,490
*Mannatech Inc 900 4,669
*Martek Biosciences 548 6,576
*Matrix Pharmaceutical Inc 900 4,275
*Medarex Inc 1,364 50,809
*Medco Research Inc 384 11,544
*Medical Manager Corporation 1,750 147,438
*Medicis Pharmaceutical Class A 1,443 61,418
Meridian Diagnostics Inc 1,530 11,093
*Mgi Pharma Inc 633 7,556
*Microcide Pharmaceuticals Inc 2,892 25,667
*Miravant Medical Technologies 791 7,366
Mylan Laboratories 6,754 170,116
*NABI 3,300 15,263
*Nastech Pharmaceutical Company Inc 3,000 10,125
*Natrol Inc 590 4,130
Natures Sunshine Products Inc 669 5,352
*Nbty Inc 3,030 35,034
*Ncs Healthcare Inc Class A 902 2,170
*Neose Technologies Inc 1,153 16,574
*NeoTherapeutics Inc 200 2,650
*Neurocrine Biosciences Inc 771 19,082
*North American Vaccine Inc 1,187 5,342
*Northfield Laboratories Inc 520 5,753
*Noven Pharmaceuticals Inc 788 14,283
*NPS Pharmaceuticals Inc 551 6,750
*Nu Skin Asia Pacific Inc Class A 1,809 16,394
*Nutraceutical International Corporation 722 2,527
*Omni Nutraceuticals Inc 1,023 1,151
Omnicare Inc 4,605 55,260
*Onyx Pharmaceuticals Inc 510 5,100
*Orphan Medical Inc 284 1,473
*OSI Pharmaceuticals Inc 998 7,922
*Oxigene Inc 376 5,875
*Parexel International Corporation 1,109 13,100
*Pathogenesis Corporation 729 15,628
*Penwest Pharmaceuticals Company 407 6,207
*Perrigo Company 3,276 26,208
*Pharmaceutical Resources Inc 1,181 5,831
*Pharmacyclics Inc 656 27,060
*Pharmaprint Inc 1,803 2,310
*PlanetRx.com Inc 2,500 36,250
*Priority Healthcare Corporation Class B 938 27,143
*Professional Detailing Inc 478 14,310
*Progenics Pharmeceuticals 410 20,039
*Protein Design Labs Inc 1,030 72,100
*Pure World Inc 2,000 6,250
*Rexall Sundown Inc 3,068 31,639
*Sangstat Medical Corporation 721 21,450
*Schein Pharmaceutical Inc 1,450 17,581
Schweitzer-Mauduit International Inc 702 9,433
*Scios Inc 1,716 7,186
*Sepracor Inc 1,673 165,941
*Serologicals Corporation 1,087 6,522
*Shire Pharmaceuticals Group PLC 1,570 45,735
*SICOR Inc 3,963 30,713
<PAGE>
*Sonus Pharmaceuticals Inc 2,186 5,465
*Supergen Inc 951 27,936
*Synaptic Pharmaceutical Corporation 394 2,660
*Texas Biotech Corporation 1,257 9,977
*Thermolase Corporation 1,450 2,900
*Titan Pharmaceuticals Inc 587 11,153
*Triangle Pharmaceuticals Inc 1,676 21,474
*Tristar Corporation 618 3,631
*Tularik Inc 1,636 65,928
*Twinlab Corporation 1,306 10,366
*United Therapeutics Inc 700 32,200
*VaxGen Inc 300 5,550
*Vical Inc 583 17,454
*Vion Pharmaceuticals Inc 623 3,816
*Viropharma Inc 623 23,051
*VIVUS Inc 2,800 8,838
*V.I. Technologies Inc 1,752 12,045
*Xoma Ltd 1,934 5,802
*Zila Inc 3,802 11,168
*Zonagen Inc 501 2,192
-----------
$ 5,557,149
REAL ESTATE - 3.2%
Acadia Realty Trust 1,437 6,646
Aegis Realty Inc 460 4,054
Agree Realty Corporation 294 4,190
Alexandria Real Estate Equit 662 21,060
AMB Property Corporation 4,242 84,575
Ameresco Capital Trust 369 3,137
American Community Property Trust 600 1,913
American Indust Props REIT 1,092 13,514
American Mortgage Acceptance Corporation REIT 300 2,700
American Residential Investment Trust Inc 560 3,850
Amerivest Properties Inc 700 3,128
Amli Residential Properties Trust REIT 844 17,038
Annaly Mortgage Management Inc 766 6,703
Anthracite Capital Inc 1,137 7,248
Apex Mortgage Capital Inc 357 3,637
Archstone Communities Trust 6,711 137,576
Arden Realty Group Inc 3,192 64,040
Arizona Land Income Corporation Class A 500 2,250
Asset Investor Corporation 324 3,605
Associated Estates Realty Corporation 1,233 9,633
Atlantic Realty Trust Inc 400 3,100
Avalonbay Communities Inc 3,156 108,290
*Avatar Holdings 338 6,126
Banyan Strategic Realty Trust 797 4,782
Bedford Property Investors 1,013 17,284
*BF Enterprises Inc 200 1,400
*Bluegreen Corporation 880 4,400
Boddie-Noell Properties Inc 366 3,065
Boston Properties Inc REIT 3,342 104,020
Boykin Lodging Company 928 10,150
Bradley Real Estate Inc 1,266 22,076
Brandywine Realty Trust 2,200 36,025
BRE Properties Inc 2,177 49,391
*BRT Realty Trust 500 4,000
Burnham Pacific Properties Inc 1,629 15,272
CV REIT Inc 493 4,437
Cabot Industrial Trust 2,031 37,320
*California Coastal Communities Inc 535 3,611
Capital Alliance Income Trust Ltd 800 1,950
Capital Automotive REIT 1,100 13,406
*Capital Trust Class A 1,071 5,355
Capstead Mortgage Corporation REIT 2,953 12,366
<PAGE>
Captec Net Lease Rlt 550 4,125
Carey Diversified LLC 1,332 22,478
CarrAmerica Realty Corporation REIT 3,310 69,924
*Castle & Cooke Inc 627 7,955
*Catellus Development Corporation 5,476 70,161
*Cb Richard Ellis Services 942 11,657
Cbl & Associates Properties 1,282 26,441
Cedar Income Fund Ltd 600 3,450
Center Trust Inc REIT 1,351 13,088
Centerpoint Properties Corporation 1,038 37,238
Chastain Capital Corporation 200 88
Chateau Communities Inc 1,447 37,532
Chelsea Gca Realty Inc 795 23,651
Cherokee Inc 389 3,234
Chicago Title Corporation 1,078 49,858
*Citadel Holding Corporation 1,500 5,156
Colonial Properties Trust 1,165 27,013
Commercial Assets Inc REIT 663 2,901
Commercial Net Lease Realty 1,613 16,029
Consolidated Tomoka Land Company - FL 235 2,996
Cornerstone Properties Inc REIT 6,347 92,825
Cornerstone Realty Income Trust 1,949 19,003
Corporate Office Properties 1,007 7,678
Correctional Properties Trust 462 5,660
*CoStar Group Inc 523 18,763
Cousins Properties Inc 1,618 54,911
Crescent Real Estate Equities Company REIT 6,213 114,164
*Criimi Mae Inc 1,840 2,645
Cross Timbers Royalty Trust 368 3,634
Crown American Realty 1,466 8,063
*DBT Online Inc 826 20,134
Developers Divers Realty Corporation 2,963 38,149
Duke-Weeks Realty Corporation 6,058 118,131
*Dynex Capital Inc - REIT 2,049 13,190
Eastgroup Properties Inc 829 15,337
*Echelon International Corporation 246 5,658
Eldertrust 527 3,228
Entertainment Properties 811 10,695
Equity Inns Inc 1,929 13,021
Equity Office Properties Trust REIT 12,330 303,626
Equity One Inc 677 7,066
Equity Residential Properties Trust REIT 6,120 261,248
Essex Property Trust Inc REIT 944 32,096
Federal Realty Investment Trust REIT 1,991 37,456
FelCor Lodging Trust Inc 3,337 58,398
First Industrial Realty Trust 1,897 52,049
First Union Real Estate 2,258 10,726
First Washington Realty Trust 515 9,624
Forest City Enterprises Class A 1,541 43,148
Franchise Finance Corporation of America 2,792 66,834
Franklin Select Realty Trust 748 5,143
G & L Realty Corporation 281 2,476
Gables Residential Trust 1,271 30,504
General Growth Properties Inc 2,606 72,968
Getty Realty Corporation 500 5,594
Glenborough Realty Trust Inc 1,619 21,654
Glimcher Realty Trust 1,260 16,223
Golf Trust of America 481 8,147
Great Lakes REIT Inc 819 11,773
Grove Propert Trust 503 6,665
*Grubb And Ellis Company 2,027 9,502
Hanover Capital Mortgage Holdings Inc 600 2,100
Health Care Property Investors Inc REIT 2,557 61,048
Health Care Reit Inc 1,454 21,992
<PAGE>
Healthcare Realty Trust 1,986 31,031
Hersha Hospitality Trust 500 2,500
Highwoods Properties Inc REIT 3,059 71,122
*HMG/Courtland Properties Inc 700 3,325
Home Properties of NY Inc 1,054 28,919
*Homeseekers.com Inc 300 3,938
*HomeStore.com Inc 3,400 252,450
*Horizon Group Properties Inc 900 3,038
Hospitalities Properties Trust 2,735 52,136
HRPT Properties Trust REIT 6,485 58,365
Humphrey Hospitality Trust Inc 660 5,156
Impac Commercial Holdings 585 3,071
Impac Mortgage Holdings Inc 1,305 5,383
Imperial Commercial Mortgage Investors 1,451 16,505
Income Opportunity Realty Investors 1,000 5,500
Innkeepers USA Trust 1,829 14,975
*Insignia Financial Group 1,057 9,183
Investors Real Estate Trust 1,142 8,993
Irt Property Company 1,687 13,180
Jameson Inns Inc 641 4,527
Jdn Realty Corporation 1,662 26,800
*Jones Lang LaSalle Inc 1,526 18,121
JP Realty Inc 889 13,891
*Kennedy-Wilson Inc 1,098 8,784
Keystone Property Trust REIT 471 7,301
Kilroy Realty Corporation REIT 1,436 31,592
Kimco Realty Corporation REIT 2,982 101,015
Koger Equity Inc 1,389 23,439
Konover Property Trust Inc 1,661 10,485
Kranzco Realty Trust 688 6,063
Lasalle Hotel Properties 861 10,063
Laser Mortgage Mgmt Inc 1,181 4,798
Lexington Corporationorate 934 8,581
Liberte Investors Inc 1,206 4,146
LNR Property Corporation 1,320 26,235
LTC Properties Inc 1,445 12,192
Macerich Company (The) 1,654 34,424
Mack-Cali Realty Corporation REIT 2,858 74,487
Malan Realty Investors Inc 331 4,427
Manufactured Home Communities 1,268 30,828
*Mays (JW) Inc 600 3,300
Meditrust Corporation REIT 6,943 38,187
Meristar Hospitality Corporation 2,369 37,904
*Merry Land Properties Inc 600 3,150
Mgi Properties Inc 815 4,279
Mid Atlantic Realty Trust 820 8,251
Mid-America Apartment Comm 942 21,313
Mills Corporation 1,180 21,093
Monmouth Real Estate Investment Corporation Class A 500 2,406
National Golf Properties Inc 660 13,035
National Health Investors Inc 1,295 19,263
National Health Realty Inc 548 4,521
Nationwide Health Properties 2,267 31,171
*New Mexico & Arizona Land 309 1,545
New Plan Excel Realty Trust 4,347 68,737
*Nooney Realty Trust Inc 400 2,400
*Novastar Financial Inc 663 2,072
Omega Healthcare Investors Inc 1,003 12,726
One Liberty Properties Inc 200 2,625
Pacific Gulf Properties Inc 995 20,149
Pan Pacific Retail Properties Inc 1,046 17,063
Parkway Properties Inc - Md 552 15,905
Pennsylvania Real Estate 690 10,048
Philips International Realty 470 7,726
<PAGE>
Pittsburgh & West Virginia Railroad 400 2,825
PMC Commercial Trust-SBI 440 4,455
Prentiss Properties Trust 1,841 38,661
Presidential Realty Corporation Class B 400 2,750
*Price Enterprises Inc 800 5,825
Prime Group Realty Trust 857 13,016
Prime Retail Inc 2,212 12,443
Prison Realty Corporation REIT 5,778 29,251
Prologis Trust 7,876 151,607
Ps Business Parks Inc - CA 1,157 26,322
Public Storage Inc REIT 6,294 142,795
Ramco-Gershenson Properties 462 5,833
Realty Income Corporation 1,299 26,792
Reckson Associates Realty Corporation 1,990 40,797
Redwood Trust Inc 517 6,463
Regency Realty Corporation 2,940 58,800
Resource Asset Invt Trust 375 4,055
Rfs Hotel Investors Inc 1,313 13,704
Roberts Realty Investors Inc 400 3,100
Saul Centers Inc 673 9,464
*Saxton Inc 1,800 4,725
*Security Capital Group Inc Class B 2,573 32,163
Senior Housing Properties Trust REIT 1,318 16,393
Shurgard Storage Centers 1,479 34,294
Simon Property Group Inc 8,218 188,500
Sizeler Property Investors Inc 557 4,526
Sl Green Realty Corporation 1,271 27,644
Smith Charles E Residential 982 34,738
Sovran Self Storage 679 12,859
Spieker Properties Inc REIT 3,137 114,304
Starwood Financial Inc 3,970 67,242
Starwood Hotels & Resorts Worldwide Inc 9,117 214,250
Storage USA Inc 1,440 43,560
*Stratus Properties Inc 639 2,676
Summit Properties Inc 1,437 25,686
Sun Communities Inc 863 27,778
Tanger Factory Outlet Centers 391 8,113
Tarragon Realty Investors 508 5,207
Taubman Centers Inc 2,667 28,670
Thornbury Mortgage Asset Corporation 1,192 9,834
Town & Country Trust 781 14,009
*Trammell Crow Company 1,832 21,297
Transcontinental Realty Inv 838 10,580
*United Capital Corporation 690 12,851
United Dominion Realty Trust Inc 5,034 49,711
United Investors Realty Trust 624 3,861
United Mobile Homes Inc 522 4,307
*United Park City Mines 119 3,302
Universal Health Realty Inc 530 7,751
Urban Shopping Centers 875 23,734
Urstadt Biddle Properties - Class A 400 3,075
Urstadt Biddle Properties 400 2,925
USP Real Estate Investment Trust 700 3,981
Vornado Realty Trust REIT 4,168 135,460
Walden Residential Properties Inc 1,310 28,329
Washington REIT 1,796 26,940
Weingarten Realty Investors REIT 1,293 50,346
*Wellsford Real Properties 738 6,273
Western Properties Trust REIT 934 8,931
Westfield America Inc REIT 3,581 44,091
*Winfield Capital Corporation 324 12,150
Winston Hotels Inc 901 7,321
-----------
$ 6,429,430
<PAGE>
RESTAURANTS - 0.4%
*Advantica Restaurant Group Inc 1,775 3,106
Applebee's International Inc 1,343 39,619
*Ark Restaurants Corporation 800 6,900
Avado Brands Inc 1,261 5,320
*Benihana Inc 272 3,927
*Boston Chicken Inc 1,800 126
*Brinker International Inc 3,233 77,592
*Buca Inc 800 8,200
*Buffetts Inc 2,013 20,130
CBRL Group Inc 2,836 27,518
*CEC Entertainment Inc 1,609 45,655
*Champps Entertainment Inc 519 1,817
*Chart House Enterprises Inc 526 2,334
CKE Restaurants Inc 2,317 13,612
*Consolidated Products 1,289 13,053
*Country Star Restaurants Inc 700 4,113
*Dave & Buster's Inc 781 6,394
*Diedrich Coffee Inc 200 813
*Einstein/Noah Bagel Corporation 1,000 406
*ELXSI Corporation 700 8,794
*Flanigan's Enterprises Inc 200 913
*Friendly Ice Cream Corporation 433 1,921
Frisch's Restaurants Inc 268 2,362
*Garden Fresh Restaurant Corporation 251 4,298
*Ich Corporation 1,000 11,000
*Ihop Corporation 882 14,718
*Il Fornaio (America) Corporation 200 1,388
*J Alexander's Corporation 2,700 8,438
*Jack in the Box Inc 1,751 36,224
*Landry's Seafood Restaurants 1,119 9,721
*Lone Star Steakhouse & Saloon 1,749 15,604
Luby's Cafeteria Inc 1,041 11,841
*Mexican Restaurants Inc 400 1,550
*Morgan's Foods Inc 2,500 6,563
*Morton's Restaurant Group Inc 241 3,736
*NPC International Inc 1,093 8,607
*O'Charleys Inc 568 7,455
*Outback Steakhouse Inc 3,594 93,219
*Panera Bread Company Class A 538 4,170
*Papa John's International Inc 1,421 37,035
*PF Changs China Bistro 353 8,781
Picadilly Cafetaries Inc 388 1,552
*PJ America Inc 511 7,921
*Planet Hollywood International Inc 1,927 131
*Prandium Inc 5,900 856
*Rainforest Cafe Inc 912 3,620
*Rare Hospitality International Inc 445 9,630
*Roadhouse Grill Inc 400 1,650
Ruby Tuesday Inc 1,446 26,299
*Ryans Family Steak House Inc 1,791 15,224
*Santa Barbara Restaurant Group 568 888
*Schlotzsky's Inc 972 6,440
*Shells Seafood Restaurant Inc 2,400 5,250
*Shoneys Inc 800 1,100
*Sonic Corporation 851 24,254
*Star Buffet Inc 1,700 5,950
*Taco Cabana Class A 502 4,079
TCBY Enterprises Inc 852 3,248
*The Cheesecake Factory 889 31,115
*Uno Restaurant Corporation 508 5,652
*Vicorp Restaurants Inc 334 5,386
-----------
$ 739,218
<PAGE>
RETAILERS - 4.1%
*1-800-FLOWERS.COM Inc 1,000 10,688
*99 Cents Only Stores 1,205 46,091
*Abercrombie & Fitch Company 5,420 144,646
*AC Moore Arts & Crafts Inc 2,000 11,625
*Action Performance Companies Inc 745 8,568
Advanced Marketing Services 311 8,844
*Alexander's Inc 223 17,617
*Amazon.com Inc 16,964 1,291,385
*American Eagle Outfitters Inc 2,270 102,150
*Ames Department Stores Inc 1,336 38,494
*Anntaylor 1,547 53,275
*Ashford.com Inc 2,100 23,100
*Ashworth Inc 629 2,595
*Barnes & Noble Inc 3,468 71,528
*Bebe Stores Inc 1,124 30,348
*Bell Microproducts Inc 395 4,345
*Beyond.com Corporation 1,723 13,461
Big Dog Holdings Inc 541 3,753
*BJ's Wholesale Club Inc 3,772 137,678
Blair Corporation 328 4,592
Blockbuster Inc Class A 1,800 24,075
*Bluefly Inc 200 2,063
*Boise Cascade Office Products Corporation 3,140 47,100
*Bombay Company Inc 1,696 7,632
*Books-A-Million Inc 1,043 8,670
*Borders Group Inc 3,735 59,993
*Bowlin Outdoor Advertising & Travel Centers Inc 200 1,050
*Braun's Fashions Corporation 450 9,450
*Brookstone Inc 397 6,972
Brown Shoe Company Inc 808 11,413
Burlington Coat Factory Warehouse 2,219 30,789
*Cache Inc 400 2,600
Casey's General Store Inc 2,654 27,701
Cash American Investments Inc 1,122 10,940
*Catherines Stores Corporation 325 6,825
Cato Corporation Class A 1,513 19,102
*CD Warehouse Inc 400 1,300
*CDW Computer Centers Inc 2,122 166,842
*Central Garden & Pet Company 1,332 13,820
*Charming Shoppes Inc 4,577 30,323
*Chemdex Corporation 1,700 188,700
*Chico's Fas Inc 408 15,351
*Children's Place 1,111 18,262
Claire's Stores Inc 2,572 57,549
*Coldwater Creek Inc 475 9,738
*Compucom Systems Inc 1,731 7,140
*CompUSA Inc 4,200 21,525
*Cost Plus Inc 883 31,457
*Cost-U-Less Inc 400 1,600
*Creative Computers Inc 455 3,327
*Csk Auto Corporation 1,342 23,485
*Cyberian Outpost Inc 1,009 10,027
*Dallas Gold and Silver Exchange Inc 400 2,400
*Damark International Inc Class A 284 4,473
Deb Shops Inc 584 10,804
*Delia's Inc 921 6,677
*Discount Auto Parts Inc 744 13,439
*Dollar Tree Stores Inc 3,046 147,541
*Dress Barn Inc 1,018 16,924
*Drug Emporium Inc 600 2,663
*Drugstore.com Inc 2,100 75,994
*Duane Reade Inc 759 20,920
*Duckwall-Alco Stores Inc 227 1,731
*Egghead.com Inc 1,687 27,308
*Elder-Beerman Stores Corporation 779 3,992
<PAGE>
*Electronics Boutique Holdings 902 16,236
Enesco Group Inc 602 6,660
Ezcorp Inc Class A 498 2,023
*Factory 2-U Stores Inc 523 14,840
Family Dollar Stores Inc 9,104 148,509
*Fashionmall.com Inc 300 1,331
Fastenal Company 1,897 85,246
*FFP Marketing Company Inc 500 1,313
*Filene's Basement Corporation 900 110
*Finlay Enterprises Inc 583 8,454
*Fogdog Inc 1,090 10,355
*Footstar Inc 1,097 33,459
Fred's Inc 440 7,013
*FreeMarkets Inc 1,271 563,723
Friedman's Inc 739 5,543
*Funco Inc 365 4,083
*Gadzooks Inc 697 6,839
*Gart Sports Company 343 2,101
*GC Companies Inc 284 7,349
*Genesis Direct Inc 1,193 6
*Gerald Stevens Inc 1,861 15,586
*Globe Business Resources Inc 808 10,403
*Good Guys Inc 637 5,932
*Goody's Family Clothing Inc 1,491 8,014
*Gottschalks Inc 463 3,444
*Grow Biz International Inc 226 904
*Guitar Center Inc 1,098 11,049
*Gymboree Corporation 1,091 6,137
Hancock Fabrics Inc 755 2,359
*Handleman Company 1,414 18,912
*Harold's Store Inc 800 3,000
*Hastings Entertainment Inc 526 2,597
Haverty Furniture 1,222 15,428
*HEARx Ltd 300 1,388
Heilig Meyers Company 2,673 7,351
*Hibbet Sporting Goods Inc 336 5,712
*Homebase Inc 1,697 5,197
*Horizon Pharmacies 248 651
*Hot Topic 432 10,044
*iGo Corporation 1,000 9,063
*Inacom Corporation 2,026 14,815
*Intertan Inc 769 20,090
Intimate Brands Inc 12,675 546,609
J Baker Inc 729 4,374
*Jacobson Stores Inc 200 1,175
*Jo-Ann Stores 1,102 12,398
*Jos A Bank Clothiers Inc 300 900
*JumboSports Inc 8,300 42
*Just For Feet Inc 1,594 1,993
*J. Jill Group Inc 454 1,873
*Kenneth Cole Productions Class A 583 26,672
*Land's End Inc 1,552 53,932
Lillian Vernon Coporation 336 3,738
*Linens `N Things Inc 1,942 57,532
*Marinemax Inc 653 6,204
*Marvel Enterprises Inc 1,433 7,882
*Mazel Stores Inc 408 3,774
*MediaBay Inc 375 4,195
*Michaels Stores Inc 1,327 37,820
*Micro Warehouse Inc 1,662 30,747
*Microage Inc 1,143 4,001
Midas Inc 755 16,516
*MotherNature.com Inc 632 4,622
*Mothers Work Inc 100 1,163
<PAGE>
Movado Group 578 12,608
*Movie Gallery Inc 600 2,588
*Msc Industrial Direct Company Class A 1,511 20,021
*Multiple Zones International Inc 682 4,902
*Musicland Stores Corporation 1,701 14,352
*National Record Mart Inc 400 1,100
*Natural Wonders Inc 300 403
*Noodle Kidoodle Inc 339 1,610
*North Face Inc 560 2,275
*Nyer Medical Group Inc 200 1,275
*Officemax Inc 5,591 30,751
*One Price Clothing Stores 667 1,709
*O'Reilly Automotive Inc 2,504 53,836
*Pacific Sunwear of California 1,511 48,163
*Party City Corporation 459 413
*Paul Harris Stores 682 1,876
*Payless ShoeSource Inc 1,804 84,788
*Pc Connection Inc 773 26,669
*Perfumania Inc 300 1,013
*Petco Animal Supplies Inc 977 14,533
*Petsmart Inc 5,606 32,235
*Phar Mor Inc 547 1,504
Pier 1 Imports Inc 4,451 28,375
*Piercing Pagoda Inc 436 6,595
*Priceline.com Inc 7,322 346,880
*Pricesmart Inc 185 7,250
*PurchasePro.com Inc 1,500 206,250
*RDO Equipment Company Class A 200 1,175
*Real Goods Trading Corporation 2,500 9,844
*Reeds Jewelers Inc 300 900
*Restoration Hardware Inc 726 4,946
*Rex Stores Corporation 362 12,670
Ross Stores Inc 4,400 78,925
*RoweCom Inc 500 22,688
Ruddick Corporation 2,487 38,549
*Saks Inc 7,062 109,902
*Samsonite Corporation 1,022 5,940
*School Specialty Inc 752 11,374
*Service Merchandise Company 3,000 255
*Sharper Image Corporation 519 6,585
*Shoe Pavilion Inc 400 875
*Shop At Home Inc 1,340 13,316
*Shopko Stores Inc 1,467 33,741
*ShopNow.com Inc 1,600 30,300
*Skymall Inc 714 5,266
*SmarterKids.com Inc 1,000 7,250
*Sound Advice Inc 200 2,450
*Specialty Catalog Corporation 300 1,219
*Spiegel Inc Class A 5,993 42,139
*Sport Chalet Inc 300 1,538
*Stage Stores Inc 1,584 3,663
*Stamps.com Inc 1,700 70,763
*Stein Mart Inc 2,029 11,540
*Sterling Vision Inc 666 4,496
*Streamline.com Inc 1,100 9,419
*Streicher Mobile Fueling Inc 200 1,375
*StyleSite Marketing Inc 108 54
*Sunglass Hut Inc 2,216 24,930
*Syms Corporation 761 3,805
*Systemax Inc 1,616 13,736
*S&K Famous Brands Inc 900 5,344
Talbots Inc 1,604 71,579
*Tech Data Corporation 2,474 67,107
*The Bon-Ton Stores 506 1,866
<PAGE>
*The Boyds Collection Ltd 2,600 18,038
*The Buckle Inc 982 14,546
*The Finish Line 948 5,155
*The Maxim Group Inc 844 4,537
*The Men's Wearhouse Inc 1,996 58,633
*The Neiman Marcus Group Inc Class A 2,792 78,002
*The Pantry Inc 700 9,888
*The Right Start 800 16,800
*The Sports Authority Inc 1,673 3,346
*The Sportsman's Guide Inc 300 750
*The Yankee Candle Company Inc 2,700 44,044
Tiffany & Company 3,538 315,767
*Too Inc 1,300 22,425
*Trans World Entertainment Corporation 2,564 26,922
*Travis Boats & Motors Inc 158 1,896
*Tuesday Morning Corporation 1,900 35,031
*Tweeter Home Entertainment 664 23,572
*Ubid Inc 719 19,046
*Ultimate Electronics Inc 400 9,900
*United Retail Group Inc 582 4,802
*Urban Outfitters Inc 753 21,931
*USA Floral Products Inc 547 1,350
*USinternetworking Inc 2,850 199,144
*U.S. Office Products Company 1,949 6,091
*Value America Inc 2,100 10,631
*Value City Dept Stores Inc 1,444 21,841
*Valuevision International Inc Class A 1,942 111,301
*Venator Group Inc 7,263 50,841
*Vista Eyecare Inc 780 804
*West Marine Inc 723 5,965
*Wet Seal Inc Class A 708 8,673
*Whitehall Jewellers Inc 455 16,778
*Williams-Sonoma Inc 2,888 132,848
*Wilmar Industries Inc 493 8,566
*Wilsons The Leather Experts 599 11,044
*Zale Corporation 1,804 87,269
*Zany Brainy Inc 1,200 12,300
-----------
$ 8,273,876
TEXTILES, CLOTHING & FABRICS - 0.7%
*Bernard Chaus Inc 800 1,900
*Burlington Industries Inc 2,578 10,312
*Candie's Inc 770 602
*Chemfab Corporation 289 4,516
*Chic By HIS Inc 3,200 2,000
Cintas Corporation 5,630 299,094
Collins & Aikman Corporation 3,000 17,250
*Columbia Sportswear Company 1,229 26,424
*Cone Mills Corporation 937 4,217
*Conso Products Company 1,800 15,525
*Converse Inc 774 1,064
Crown Crafts 385 1,107
Culp Inc 581 3,668
*Cutter & Buck Inc 304 4,598
Decorator Industries Inc 100 531
Delta Woodside Industries 891 1,671
*Dixie Group Inc 508 3,747
Fab Industries Inc 205 2,217
*Florsheim Group 500 1,406
*Galey & Lord Inc 2,429 4,706
Garan Inc 189 5,410
*Genesco 1,199 15,587
*Gerber Childrenswear Inc 1,474 7,370
*Global Sports Inc 939 11,796
*Guess ? Inc 1,919 41,738
<PAGE>
Guilford Mills 1,039 7,533
Haggar Corporation 316 3,595
*Hampshire Group 900 7,988
*Hampton Industries 1,320 3,053
*Hartmarx Corporation 1,282 5,208
*Innovo Group Inc 1,000 1,125
Interface Flooring Systems 2,343 13,472
*Johnston Industries Inc 800 1,350
*Jones Apparel Group Inc 6,352 172,298
*JPS Textile Group Inc 2,700 9,113
Justin Industries 1,176 17,493
K Swiss Inc Class A 484 8,992
*Kasper A.S.L. Ltd 600 1,313
Kellwood Company 1,367 26,571
Lacrosse Footwear Inc 300 1,331
*Lakeland Industries Inc 200 813
*Leslie Fay Company Inc 45 276
*Maxwell Shoe Company Inc Class A 1,224 9,792
*McNaughton Apparel Group Inc 300 2,175
*Mohawk Industries Inc 3,065 80,839
*Nautica Enterprises Inc 1,666 18,847
OshKosh B'Gosh Class A 812 17,103
Oxford Industries Inc 314 6,221
Penn Engineering & Mfg Corporation 417 9,643
*Perry Ellis International Inc 1,000 11,625
Phillips-Van Heusen 1,003 8,337
Pillowtex 731 4,523
*Polo Ralph Lauren Corporation 1,606 27,402
Polymer Group Inc 1,431 26,116
*PremiumWear Inc 200 1,100
*Quaker Fabric Corporation 700 2,975
*Quiksilver Inc 969 15,020
*R G Barry 1,459 5,745
*Rocky Shoes & Boots Inc 100 763
*Saucony Inc Class B 300 4,163
Shaw Industries Inc 6,795 104,898
*Shoe Carnival Inc 585 5,887
*Sport-Haley Inc 200 688
*Starter Corporation 3,200 3
*Steven Madden Ltd 501 9,550
Stride Rite Corporation 2,077 13,501
Superior Surgical Manufacturing 989 8,901
*Tag-It Pacific Inc 500 2,813
*Tandy Brands Accessories Inc 700 9,713
*Tarrant Apparel Group 713 6,863
*The Alpine Group 696 8,961
The First Years Inc 384 3,192
*The Sirena Apparel Group Inc 300 0
*Timberland Company 1,026 54,250
*Triarc Companies 1,308 24,035
*Tropical Sportswear International 349 5,628
*Unifi Inc 2,932 36,100
*Vans Inc 600 7,350
Warnaco Group Inc 2,768 34,081
West Point Stevens Inc 2,730 47,775
Weyco Group 487 12,297
Wolverine World Wide 1,959 21,427
-----------
$ 1,440,282
TRANSPORTATION - 1.2%
*Aasche Transportation Services Inc 300 619
*ABC-NACO Inc 731 6,031
Air Express International Corporation 1,511 48,824
Alexander & Baldwin Inc 2,100 47,906
*Allied Holdings Inc 490 3,001
<PAGE>
*Amerco 1,011 25,275
*American Classic Voyages Company 834 29,190
*American Freightways Corporation 1,515 24,524
Arctic Cat Inc 1,016 10,160
*Arkansas Best Corporation 1,223 14,676
Arnold Industries Inc 1,124 15,806
*Avis Rent A Car Inc 1,500 38,344
*Boyd Bros Transportation Inc 300 1,950
*Budget Group Inc 1,609 14,582
*Carey International Inc 448 10,920
*Celadon Group Inc 445 2,559
CH Robinson Worldwide Inc 2,243 89,159
Circle International Group Inc 766 17,044
CNF Transportation Inc 2,438 84,111
*Commodore Holdings Ltd 400 1,675
*Consolidated Delivery & Logistics Inc 300 1,088
*Consolidated Freightways Corporation . 1,266 10,049
*Covenant Transport Inc Class A 663 11,520
*Dollar Thrifty Automotive Group 1,079 25,829
Expeditors International Wash Inc 2,604 114,088
Florida East Coast Industries Inc 1,823 76,110
*Forward Air Corporation 662 28,714
*Friede Goldman Halter Inc 1,824 12,654
*Fritz Companies Inc 1,622 17,031
Frozen Food Express Industries 616 2,387
*Frp Properties Inc 149 3,502
GATX Corporation 2,504 84,510
*Genesee & Wyoming Inc Class A 183 2,356
Greenbrier Companies Inc 525 4,528
*Gulfmark Offshore Inc 299 4,373
*Heartland Express 1,442 22,712
*Hub Group Inc Class A 358 7,160
Hunt (J B) Transport Services 1,592 22,039
*Hvide Marine Inc 573 89
*International Aircraft Investors 1,400 8,750
Intl Shipholding Corporation 846 9,835
*Intrenet Inc 606 1,458
Kenan Transport Company 108 3,389
*Kirby Corporation 1,035 21,218
*KLLM Transport Services Inc 500 2,375
*Landair Corporation 1,000 5,000
*Landstar System Inc 464 19,865
*Lynch Corporation 52 1,339
*Lynch Interactive Corporation 52 5,194
*Marine Transport Corporation 300 788
Maritrans Inc 540 2,903
*Marten Transport 300 3,863
*Matlack Systems Inc 394 1,281
*Motor Cargo Industries Inc 400 1,850
*M.S. Carriers Inc 548 13,084
Oglebay Norton Company 475 11,281
*Old Dominion Freight Line 506 5,440
*OTR Express Inc 400 675
Overseas Shipholding Group 1,746 25,863
*PAM Transportation Services 673 7,193
*Pierce Leahy Corporation 761 32,913
Pittston Brink's Group 2,032 44,704
Pittston BAX Group 914 9,711
Polaris Ind Partners LP Class A 1,247 45,204
Providence & Worcester Railroad Company 500 4,000
*Railamerica Inc 357 3,057
*Railtex Inc 939 16,785
*Railworks Corporation 555 5,411
Roadway Express Inc 965 20,868
<PAGE>
Rollins Truck Leasing Corporation 2,730 32,589
Royal Caribbean Cruises Ltd 9,118 449,631
*Rural/Metro Corporation 633 2,710
*Simon Transportion Services Inc 500 2,938
*Smithway Motor Xpress Corporation Class A 400 1,650
*Swift Transportation Company Inc 3,341 58,885
The Morgan Group Inc - Class A 200 1,150
Thor Industries 546 16,619
Tidewater Inc 2,738 98,568
*Todd Shipyards 600 4,725
*Trailer Bridge Inc 600 750
*TransFinancial Holdings Inc 200 1,025
*Transit Group Inc 1,056 3,234
*Transport Corporation of America 591 7,351
*Trico Marine Services Inc 1,251 8,835
Trinity Industries Inc 2,237 63,615
United Parcel Service Inc Class B 1,600 110,400
U.S. Freightways Corporation 1,375 65,828
*USA Truck Inc 547 4,308
*U.S. Xpress Enterprises Class A 682 5,030
Viad Corporation 5,147 143,473
Werner Enterprises Inc 2,322 32,653
Westinghouse Air Brake Company 2,305 40,914
*Willis Lease Finance Corporation 368 2,369
*Wisconsin Central Transportation Corporation 2,387 32,075
*Xtra Corporation 687 29,283
*Yellow Corporation 1,148 19,301
-----------
$ 2,512,301
WATER COMPANIES - 0.2%
American States Water Company 330 11,880
American Water Works Company 4,809 102,191
*Aqua Care Systems Inc 800 1,250
Aquarion Company 612 22,644
*Azurix Corporation 5,400 48,263
California Water Service Group 564 17,096
Connecticut Water Service Inc 467 14,944
E-Town Corporation 376 23,406
*Kaiser Ventures Inc 478 7,641
Middlesex Water Company 461 14,752
Philadelphia Suburban Corporation 2,012 41,623
SJW Corporation 116 13,949
Southwest Water Company 282 4,230
United Water Resources Inc 2,177 74,426
-----------
$398,295
Total Common Stocks (Cost $152,007,428) $196,421,357
PREFERRED STOCKS - 0.0%
Home Construction, Furnishings & Appliances - 0.0%
*O'Sullivan Industries Holdings (Cost $0) 686 $350
Total Preferred Stocks (Cost $480) $350
CONVERTIBLE PREFERRED STOCKS - 0.0%
Automotive - 0.0%
Automatic Common Exchange Security Trust II (Cost $0) 595 $5,690
Total Convertible Preferred Stocks (Cost $7,440) $5,690
RIGHTS - 0.0%
Entertainment & Leisure - 0.0%
<PAGE>
*Metro Goldwyn Mayer Inc. (Cost $0) 2,211 $0
Total Rights (Cost $0) $0
WARRANTS - 0.0%
Insurance - 0.0%
InterContinental Life Corporation
(expires 07/01/2002) (Cost $0) 94 $0
Oil & Gas - 0.0%
*Magnum Hunter Resources Inc (expires 07/01/2002) (Cost $0) 267 $50
Total Warrants (Cost $0). $50
MUTUAL FUNDS - 0.0%
Banking - 0.0%
Omega Financial Corporation (Cost $12,292) 401 $11,629
Financial Services - 0.0%
Cohen and Steers Realty Income Fund (Cost $2,739) 300 $1,950
Real Estate - 0.0%
American Realty Trust Inc (Cost $9,853) 581 $9,877
Total Mutual Funds (Cost $22,169) $23,456
SHORT TERM SECURITIES - 3.1%
Principal U.S. Treasury Bills - 0.3% Yield to Maturity Maturity Date
600,000 U.S. Treasury Bills ** (Cost $0) 5.025% 03/23/2000
$593,240
U.S. Treasury Securities (Cost $593,410) $593,240
Repurchase Agreements - 2.8%
5,599,742 IBT Repurchase Agreement dated 12/31/99 due 01/03/00, $5,599,742
with a maturity value of $5,600,110 and an effective
yield of 2.40% collateralized by Federal Home Loan Bank
Note with a rate of 6.45%, a maturity date of 11/15/05
and a market value of $2,569,672, Federal Home Loan
Mortgage Corporation Note with a rate of 6.80%, a
maturity date of 05/15/09 and a market value of
$3,198,062.
TOTAL REPURCHASE AGREEMENTS (COST $5,599,742) 5,599,742
TOTAL SHORT TERM SECURITIES (COST $6,193,152) $6,192,982
TOTAL INVESTMENTS - 100.1%
(Cost $158,230,669) 202,643,885
Other assets less liabilities - (0.1%) (187,334)
------------
TOTAL NET ASSETS - 100.0% $202,456,551
============
- --------------------------------------------------------------------------------
* Non-income producing security.
** These U.S. Treasury Bills are held in segregated accounts in connection with
the Master Portfolio's holdings of Russell 2000 Index and Mid Cap 400 Index
futures contracts. See Note 1.
+ Cost for federal income tax purposes is $158,259,734 and net unrealized
appreciation consists of:
Gross Unrealized Appreciation $ 61,068,175
Gross Unrealized Depreciation (16,684,024)
------------
Net Unrealized Appreciation $ 44,384,151
============
The accompanying notes are an integral part of these financial statements.
<PAGE>
E*TRADE Extended Market Index Fund
Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
INVESTMENTS -
Investment in Extended Index Master Portfolio, at market value (Note 1) .... $4,446,064
Receivable for fund shares sold ............................................ 30,350
----------
TOTAL ASSETS ........................................................ 4,476,414
----------
LIABILITIES
Payable for fund shares redeemed ........................................... 1,089
Accrued administration fee (Note 2) ........................................ 804
Accrued advisory fee (Note 2) .............................................. 104
Distribution payable to shareholders ....................................... 7,443
----------
TOTAL LIABILITIES ................................................... 9,440
----------
TOTAL NET ASSETS ........................................................... $4,466,974
==========
NET ASSETS CONSIST OF:
Paid-in capital ............................................................ 3,751,396
Overdistributed net investment income ...................................... (1,228)
Accumulated undistributed net realized gain on sale of investments ......... 50,511
Net unrealized appreciation of investments ................................. 659,533
Net unrealized appreciation of futures contracts ........................... 6,762
----------
TOTAL NET ASSETS ........................................................... $4,466,974
==========
Shares Outstanding (unlimited authorized, par value $0.01) ................. 349,420
==========
Net Asset Value, Offering Price and Redemption Price per Share ............. $12.78
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
E*TRADE Extended Market Index Fund
Statement of Operations
Period from August 13, 1999 (commencement of operations) to December 31, 1999
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME:
NET INVESTMENT INCOME FROM EXTENDED INDEX MASTER PORTFOLIO
Dividends ................................................. $ 8,000
Interest .................................................. 1,905
Expenses (Note 2) ......................................... (750)
---------
NET INVESTMENT INCOME FROM EXTENDED INDEX MASTER PORTFOLIO .... 9,155
---------
EXPENSES (NOTE 2):
Advisory fee .................................................... 144
Administration fee .............................................. 1,929
Trustee fees .................................................... 39
---------
TOTAL EXPENSES BEFORE WAIVER OF TRUSTEE FEES .................. 2,112
---------
Waived Trustee fees (Note 2) .............................. (39)
---------
NET EXPENSES .................................................. 2,073
---------
NET INVESTMENT INCOME ........................................... 7,082
---------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES
CONTRACTS ALLOCATED FROM EXTENDED INDEX MASTER PORTFOLIO
Net realized gain on sale of investments ........................ 50,511
Change in unrealized appreciation of investments ................ 659,533
Change in unrealized appreciation of futures contracts .......... 6,762
---------
Net Realized and Unrealized Gain on Investments and Futures
Contracts Allocated from Extended Index Master Portfolio ... 716,806
---------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS .................................................... $ 723,888
=========
The accompanying notes are an integral part of these financial statements.
<PAGE>
E*TRADE Extended Market Index Fund
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Period from
August 13, 1999
(commencement of
operations ) to
December 31, 1999
-----------------
<S> <C>
INCREASE IN NET ASSETS
OPERATIONS:
Net investment income ................................................ $ 7,082
Net realized gain on sale of investments ............................. 50,511
Change in unrealized appreciation of investments ..................... 659,533
Change in unrealized appreciation of futures contracts ............... 6,762
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................. 723,888
-----------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ............................. (8,359)
-----------
TRANSACTIONS IN SHARES OF COMMON STOCK:
Net proceeds from sales of shares .................................... 4,049,834
Net asset value of shares issued to shareholders in reinvestment of
distributions ...................................................... 897
Cost of shares redeemed .............................................. (300,514)
-----------
NET INCREASE IN NET ASSETS FROM TRANSACTIONS IN
SHARES OF COMMON STOCK ............................................. 3,750,217
-----------
REDEMPTION FEES ...................................................... 1,228
-----------
INCREASE IN NET ASSETS ............................................... 4,466,974
NET ASSETS:
Beginning of period .................................................. --
-----------
END OF PERIOD ........................................................ $ 4,466,974
===========
SHARE TRANSACTIONS:
Number of shares sold ................................................ 377,377
Number of shares issued through reinvestment of distributions ........ 92
Number of shares redeemed ............................................ (28,049)
-----------
NET INCREASE IN SHARES OUTSTANDING ................................... 349,420
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
<PAGE>
E*TRADE Extended Market Index Fund
Financial Highlights
- --------------------------------------------------------------------------------
Period from
August 13, 1999
(commencement of
operations ) to
December 31, 1999
-----------------
FOR A SHARE OUTSTANDING FOR THE PERIOD (5)
NET ASSET VALUE, BEGINNING OF PERIOD ................... $ 10.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................ 0.03
Net realized and unrealized gain on investments
and futures contracts allocated
from Extended Index Master Portfolio ............. 2.78
------------
Total income from investment operations ................ 2.81
------------
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income ............... (0.03)
------------
REDEMPTION FEES ADDED TO PAID-IN CAPITAL ............... 0.00 (4)
------------
NET ASSET VALUE, END OF PERIOD ......................... $ 12.78
============
TOTAL RETURN ........................................... 28.11%(1)
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000s omitted) ............. $ 4,467
Ratio of expenses to average net assets (5) .......... 0.38%(2)(3)
Ratio of net investment income to average
net assets (5) .................................... 0.95%(2)
(1) For the period August 13, 1999 (commencement of operations) to December 31,
1999 and not indicative of a full year's operating results.
(2) Annualized.
(3) The Investment Advisor has voluntarily agreed to pay the non-affiliated
Trustee expenses for the Fund. Even though such action had been taken, total
annualized operating expenses as a percentage of average net assets would
have remained unchanged at 0.38% for the period August 13, 1999 commencement
of operations) through December 31, 1999.
(4) Rounds to less than $0.01.
(5) 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 accompanying notes are an integral part of these financial statements.
<PAGE>
E*TRADE EXTENDED MARKET INDEX FUND
NOTES TO THE FINANCIAL STATEMENTS
DECEMBER 31, 1999
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 December 31, 1999, the Trust offered six series:
the S&P 500 Index Fund, the Bond Index Fund, the Extended Market Index
Fund, the International Index Fund, the E-Commerce Index Fund and the
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, 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 EquityIndex (REGISTRATION MARK)," "Wilshire 4500 Index (REGISTRATION
MARK)," and "Wilshire 4500 (REGISTRATION MARK)," 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 following is a summary of significant accounting policies which are
consistently followed by the Fund in the preparation of its financial
statements, and which 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 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 pursues 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 December 31, 1999, the value of the Fund's
investment in the Master Portfolio was 2.20% of the outstanding interests
of the Master Portfolio.
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.
<PAGE>
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 recognized 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. Bond discounts and premiums are amortized as
required by the Internal Revenue Code of 1986, as amended (the "Code"). All
net investment income and realized and unrealized capital gains and losses
of the Master Portfolio are allocated as required by 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. It is the policy of the Fund to
qualify as a regulated investment company under Subchapter M of the
Internal Revenue 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 December 31,
1999.
The following reclassifications, which have no impact on the net asset
value of the Fund, were made in order to present the Fund's capital
accounts on a tax basis:
Overdistributed Net
Paid-in Capital Decrease Investment Income Increase
------------------------------------------------------------------
$49 $49
REDEMPTION FEES
Shares held in the Fund less than four months are subject to a fee equal to
0.50% of the proceeds of the redeemed shares. The fee, which is retained by
the Fund, is accounted for as an addition to paid-in capital.
<PAGE>
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 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 report 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 administrative
services.
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 period August 13, 1999 (commencement of
operations) through December 31, 1999.
<PAGE>
Extended Index Master Portfolio
Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
ASSETS
Investments:
In securities, at market value
(Cost $158,230,669) (Note 1) ........ $202,643,885
Cash ................................... 28,653
Receivables:
Investments sold ....................... 57,190
Dividends and interest receivable ...... 143,934
Receivable for daily variation margin on
open financial futures contracts .... 70,400
------------
TOTAL ASSETS ........................... 202,944,062
------------
LIABILITIES
Payables:
Investment securities purchased ........ 427,713
Collateral for securities loaned ....... --
Due to BGI (Note 2) .................... 59,798
------------
Total Liabilities ...................... 487,511
------------
TOTAL NET ASSETS ....................... $202,456,551
============
The accompanying notes are an integral part of these financial statements.
<PAGE>
Extended Index Master Portfolio
Statement of Operations
Period from
March 1, 1999
(commencement of
operations) to
December 31, 1999
-----------------
NET INVESTMENT INCOME:
Dividends (1) ............................................... $ 1,409,143
Interest .................................................... 333,669
-----------
TOTAL INVESTMENT INCOME ................................... 1,742,812
-----------
EXPENSES (NOTE 2):
Advisory fees ............................................... 102,803
Administration fees ......................................... 25,701
-----------
TOTAL EXPENSES ............................................ 128,504
-----------
NET INVESTMENT INCOME ........................................ 1,614,308
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on sale of investments .................... 8,084,670
Net realized gain on sale of futures contracts .............. 951,187
Net change in unrealized appreciation of investments ........ 44,413,216
Net change in unrealized appreciation of future contracts ... 322,050
-----------
NET GAIN ON INVESTMENTS ...................................... 53,771,123
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS ................................................. $55,385,431
===========
- ----------------------------------------------------------------------------
(1) Net of foreign withholding tax of ...................... $ 240
- ----------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
Extended Index Master Portfolio
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
Period from
March 1, 1999
(commencement of
operations) to
December 31, 1999
------------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income .............................. $ 1,614,308
Net realized gain .................................. 9,035,857
Net change in unrealized appreciation .............. 44,735,266
------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS ................................. 55,385,431
------------
NET INCREASE IN NET ASSETS RESULTING FROM
BENEFICIAL INTEREST TRANSACTIONS ................... 147,071,120
------------
INCREASE IN NET ASSETS ............................. 202,456,551
------------
NET ASSETS:
Beginning net assets ............................... --
------------
ENDING NET ASSETS .................................. $202,456,551
============
The accompanying notes are an integral part of these financial statements.
<PAGE>
EXTENDED INDEX MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
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 (the "Master Portfolios"), the
Asset Allocation, Bond Index, LifePath Income (formerly "LifePath 2000"),
LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market,
S&P 500 Index, Extended Index, International Index and U.S. Equity Index
Master Portfolios. These financial statements show Extended Index Master
Portfolio (the "Master Portfolio").
The following significant accounting policies are consistently followed by
MIP in the preparation of its financial statements, and such policies 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 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 on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the
ex-dividend date, and interest income is recognized on a daily accrual
basis. Realized gains or losses are reported on the basis of identified
cost of securities delivered. Bond discounts and premiums are accreted or
amortized, respectively, under provisions of the Internal Revenue Code of
1986, as amended (the "Code").
FEDERAL INCOME TAXES
The Master Portfolio intends to qualify as a partnership for federal income
tax purposes. The Master Portfolio, therefore, believes that it will not be
subject to any federal income tax on its income and net realized capital
gains (if any). However, each investor in the Master Portfolio will be
taxed on its allocable share of the partnership's income and capital gains
for the purposes of determining its federal income tax liability. The
determination of such share will be made in accordance with the applicable
sections of the Code.
<PAGE>
It is intended that the Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing
in the Master Portfolio will be able to satisfy the requirements of
Subchapter M of the Code, assuming that the regulated investment company
invested all of its assets in the Master Portfolio.
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 December 31, 1999, Master Portfolio had the following
open long futures contracts outstanding:
EXTENDED INDEX MASTER PORTFOLIO
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION NOTIONAL NET UNREALIZED
CONTRACTS TYPE DATE CONTRACT VALUE APPRECIATION
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
10 Russell 2000 Index March 2000 $ 2,549,750 $ 163,850
15 Mid Cap 400 Index March 2000 $ 3,593,200 $ 158,200
--------------
Total Extended Index $ 322,050
</TABLE>
The Extended Index Master Portfolio has pledged to brokers U.S. Treasury
Bills for initial margin requirements with a par value of $600,000.
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 Portfolio 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 102% of market value. The repurchase agreements entered into
on December 31, 1999 by the Master Portfolio are collateralized by U.S.
Government securities.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
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 Extended Index Master Portfolio, as compensation for
advisory services. BFGA is an indirect subsidiary of Barclays Bank PLC.
<PAGE>
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.
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
December 31, 1999, 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 were as follows:
EXTENDED INDEX
MASTER PORTFOLIO
--------------------
AGGREGATE PURCHASES PERIOD ENDED
AND SALES OF: DEC. 31, 1999 *
--------------------- ------------------
Purchases at cost $ 97,047,860
Sales proceeds 67,475,630
* For the ten months ended December 31, 1999. The Master Portfolio changed
its fiscal year end from February 28 to December 31.
4. FINANCIAL HIGHLIGHTS
The ratios of expenses and net investment income to average net assets and
portfolio turnover rates (excluding short-term securities) for the Master
Portfolio are as follows:
PERIOD FROM
MARCH 1, 1999
(COMMENCEMENT
OF OPERATIONS) TO
DECEMBER 31,
Extended Index Master Portfolio 1999
-------------------------------------------------------------------
Ratio of expenses to average net assets + 0.10%
Ratio of net investment income to average net 1.26%
assets +
Portfolio turnover 17%
+ Annualized for period of less than one year.
<PAGE>
INDEPENDENT AUDITORS' REPORT
- ----------------------------
To the Board of Trustees and Shareholders of E*TRADE Funds:
We have audited the accompanying statement of assets and liabilities of E*TRADE
Extended Market Index Fund (the "Fund") (one of six funds comprising the E*TRADE
Funds) as of December 31, 1999 and the related statement of operations,
statement of changes in net assets, and financial highlights for the period
August 13, 1999 (commencement of operations) to December 31, 1999. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements and
financial highlights. Our procedures included confirmation of securities owned
as of December 31, 1999 by correspondence with the custodian. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audit provides a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
E*TRADE Extended Market Index Fund as of December 31, 1999 and the results of
its operations, the changes in its net assets, and the financial highlights for
the period August 13, 1999 (commencement of operations) to December 31, 1999 in
conformity with generally accepted accounting principles.
/S/ Deloitte & Touche LLP
Deloitte & Touche LLP
Los Angeles, California
February 23, 2000
<PAGE>
INDEPENDENT AUDITORS' REPORT
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To the Interestholders and Board of Trustees of
Master Investment Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Extended Index Master Portfolio (a portfolio of
Master Investment Portfolio) as of December 31, 1999, and the related statements
of operations and the changes in net assets for the period from March 1, 1999
(commencement of operations) to December 31, 1999. These financial statements
are the responsibility of the Trust's management. Our responsibility is to
express an opinion on these financial statements based on our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 1999 by correspondence with
the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Extended Index Master Portfolio
as of December 31, 1999, the results of its operations and the changes in its
net assets for the period from March 1, 1999 to December 31, 1999, in conformity
with generally accepted accounting principles.
/S/ KPMG
KPMG
San Francisco, California
February 11, 2000
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