<PAGE> 1
VANGUARD U.S. STOCK
INDEX FUNDS
MID- AND
SMALL-CAPITALIZATION
PORTFOLIOS
VANGUARD EXTENDED MARKET INDEX FUND
VANGUARD MID-CAP INDEX FUND
VANGUARD SMALL-CAP INDEX FUND
VANGUARD SMALL-CAP GROWTH INDEX FUND
VANGUARD SMALL-CAP VALUE INDEX FUND
[PHOTO]
SEMIANNUAL
REPORT
JUNE 30, 1999
[THE VANGUARD GROUP LOGO]
<PAGE> 2
AT VANGUARD, WE BELIEVE THAT TRADITION MATTERS
Our 9,000 crew members embrace the traditional values on which our success is
built, including integrity, hard work, thrift, teamwork, and fair dealing on
behalf of our clients.
Our report cover pays homage to three anniversaries, each of great significance
to The Vanguard Group:
- - The 200th anniversary of the Battle of the Nile, which commenced on
August 1, 1798. HMS Vanguard, the victorious British flagship at the
Nile, is our namesake. And its motto--"Leading the way"--serves as a
guiding principle for our company.
- - The 100th birthday, on July 23, 1998, of Walter L. Morgan, founder of
Wellington Fund, the oldest member of what became The Vanguard Group. Mr.
Morgan was friend and mentor to Vanguard founder John C. Bogle, and
helped to shape the standards and business principles that Mr. Bogle laid
down for Vanguard at its beginning nearly 25 years ago: a stress on
balanced, diversified investments; insistence on fair dealing and candor
with clients; and a focus on long-term investing. To our great regret,
Mr. Morgan died on September 2, 1998.
- - The 70th anniversary, on December 28, 1998, of the incorporation of
Vanguard Wellington Fund. It is the nation's oldest balanced mutual fund,
and one of only a handful of funds created in the 1920s that are still in
operation.
Although Vanguard constantly tackles new challenges, adopts new technology, and
develops new services, we treasure the traditions and values that set us apart
in a crowded, competitive industry. And we salute our shareholders, whose
support and trust we strive to earn each and every day.
[PHOTO]
CONTENTS
A MESSAGE TO
OUR SHAREHOLDERS
1
THE MARKETS IN
PERSPECTIVE
5
PERFORMANCE
SUMMARIES
7
FUND PROFILES
12
FINANCIAL STATEMENTS
18
FOR AN UPDATE ON OUR YEAR 2000
PREPAREDNESS, SEE PAGE 32.
All comparative mutual fund data
are from Lipper or Morningstar,
unless otherwise noted.
<PAGE> 3
FELLOW SHAREHOLDER,
[PHOTO] [PHOTO]
JOHN J. BRENNAN JOHN C. BOGLE
Chairman & CEO Senior Chairman
The U.S. stock market staged a broad advance during the six months ended June
30. In this environment, Vanguard Extended Market Index Fund posted the highest
return of the five Vanguard mid- and small-cap stock index funds, gaining
+11.7%. Six-month total returns of our other funds ranged from +1.7% for the
Small-Cap Growth Index Fund to +10.6% for the Small-Cap Index Fund.
For your reference, the S&P 500 Index, which is dominated by
large-capitalization stocks, returned +12.4% for the period. The adjacent table
shows the six-month total returns (capital change plus reinvested dividends)
achieved by our funds, compared with the returns of their respective unmanaged
index benchmarks. As you can see, the returns of all but the Small-Cap Growth
Index Fund exceeded those of their target indexes. The performance of the
Institutional Shares for our Extended Market, Mid-Cap, and Small-Cap Index
Funds, which are available for minimum investments of $10 million, are
presented at the bottom of this table.
<TABLE>
<CAPTION>
- --------------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 1999
- --------------------------------------------------------------
<S> <C>
EXTENDED MARKET INDEX FUND +11.7%
Wilshire 4500 Index +11.3
- --------------------------------------------------------------
MID-CAP INDEX FUND + 7.1%
S&P MidCap 400 Index + 6.9
- --------------------------------------------------------------
SMALL-CAP INDEX FUND +10.6%
Russell 2000 Index + 9.3
- --------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND + 1.7%
S&P SmallCap 600/BARRA Growth Index + 1.7
- --------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND + 8.7%
S&P SmallCap 600/BARRA Value Index + 8.5
- --------------------------------------------------------------
INSTITUTIONAL SHARES
- --------------------------------------------------------------
EXTENDED MARKET INDEX FUND +11.8%
Wilshire 4500 Index +11.3
- --------------------------------------------------------------
MID-CAP INDEX FUND + 7.2%
S&P MidCap 400 Index + 6.9
- --------------------------------------------------------------
SMALL-CAP INDEX FUND +10.6%
Russell 2000 Index + 9.3
- --------------------------------------------------------------
</TABLE>
Per-share figures for each fund, including net asset values, income
dividends, and capital gains distributions, are presented in a table that
follows this letter.
THE PERIOD IN REVIEW
The key influences on financial markets during the first half of 1999 were the
surprising strength of the U.S. economy's long-running expansion, promising
corporate earnings, and the increasing signs that a number of shaky foreign
economies were on firmer footing. These factors were responsible for both
broad-based gains in U.S. stocks and increases in interest rates, which sent
bond prices lower.
The overall U.S. stock market, as measured by the Wilshire 5000 Equity
Index, gained +11.8%--equivalent to more than a full year's return based on
historical norms. But the half-year saw a sharp rotation in market leadership.
As the outlook for global economic growth kept improving, there was a notable
revival in cyclical stocks--commodity-related companies, machinery makers, and
other firms whose profit prospects are most closely tied to the economy's ups
and downs. This was a welcome change for cyclicals and other "value" stocks,
which had lagged the market not just in the first quarter but for much of the
last five years. Within the S&P 500 Index,
1
<PAGE> 4
the value stocks--those generally characterized by above-average dividend yields
and below-average price/earnings ratios--carried the day during the second
quarter and for the first half of the year, when they gained +14.0% versus a
gain of +11.0% for growth stocks. Many old-line industrial companies posted
spectacular returns during the quarter. For example, aluminum maker Alcoa gained
+50% from the end of March until June 30.
Value and growth diverged sharply among mid- and small-cap stocks,
particularly small-caps, where the value component of the S&P SmallCap 600 Index
gained +8.5% for the half-year and the growth component was up just +1.7%.
Among mid-caps, growth stocks outpaced value stocks by 2.5 percentage
points, and the S&P MidCap 400 Index registered a six-month return of +6.9%.
Also rebounding vigorously were small stocks, another market segment that
had trailed large-cap stocks in recent years. The Russell 2000 Index of small
stocks gained +15.6% for the quarter, nicely outpacing the large-cap-dominated
S&P 500. Even so, the Russell 2000 trailed the S&P 500 for the half-year (+9.3%
versus +12.4%).
For bond investors, a surging economy has a dark side: the possibility
that accelerating growth will push up inflation, which diminishes the buying
power of future bond interest and principal payments. Interest rates held steady
in January, but rose throughout the rest of the half-year. And on the final day
of the period, the Federal Reserve Board hiked its target for short-term
interest rates by 0.25% amid concerns that higher inflation would be an
inevitable by-product of strong growth. By June 30, yields on U.S. Treasury
notes and bonds were higher by roughly 1 percentage point from their year-end
1998 levels. The yield of the benchmark 30-year Treasury bond increased 86 basis
points (0.86 percentage point), from 5.10% to 5.96%. The rate rise was less
pronounced for short-term securities, with the 3-month Treasury bill's yield
rising 33 basis points, from 4.45% on December 31 to 4.78% on June 30.
PERFORMANCE OVERVIEW
The returns of our funds, while generally solid on an absolute basis, were
mostly disappointing relative to the returns of similar mutual funds. The
adjacent table presents the six-month total returns for the investor shares of
our funds, compared with returns of their average mutual fund peers. As you can
see, Vanguard Small-Cap Index Fund was the only one of the five funds to
outperform its average peer.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED JUNE 30, 1999
---------------------------------------------
VANGUARD AVERAGE
INDEX COMPARABLE
U.S. STOCK INDEX FUND FUND FUND* DIFFERENCE
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market +11.7% +11.7% 0.0%
Mid-Cap + 7.1 +12.1 -5.0
Small-Cap +10.6 + 9.3 +1.3
Small-Cap Growth + 1.7 + 9.3 -7.6
Small-Cap Value + 8.7 + 9.3 -0.6
- -------------------------------------------------------------------------------
</TABLE>
*Figures for the average comparable funds are compiled by Lipper, Inc. The
Lipper fund groups are: for the Extended Market Index Fund, growth funds; for
the Mid-Cap Index Fund, mid-cap funds; for the Small-Cap, Small-Cap Growth, and
Small-Cap Value Index Funds, small-cap funds.
VANGUARD EXTENDED MARKET INDEX FUND returned +11.7% during the half-year,
matching the return of the average growth mutual fund and outpacing the +11.3%
return of its unmanaged benchmark, the Wilshire 4500 Index, which tracks the
performance of the stocks outside of the S&P 500.
VANGUARD MID-CAP INDEX FUND gained +7.1%, slightly ahead of the +6.9%
return of the S&P MidCap 400 Index but well behind the +12.1% return of the
average mid-cap mutual fund.
2
<PAGE> 5
The bias toward value stocks over growth stocks in the small-cap arena
explained the relative performance of our small-cap index funds. VANGUARD
SMALL-CAP INDEX FUND, which includes both growth and value stocks, posted a
six-month return of +10.6%, outperforming the average small-cap mutual fund and
the Russell 2000 Index, both of which returned +9.3% for the period.
VANGUARD SMALL-CAP GROWTH INDEX FUND provided the lowest return of our
funds, earning +1.7% for the six months. The fund matched the S&P SmallCap
600/BARRA Growth Index, but our return was a full 7.6 percentage points behind
the return of the average small-cap fund, which owns a larger share of value
stocks and bigger companies.
VANGUARD SMALL-CAP VALUE INDEX FUND fared much better than its growth
counterpart. Its return of +8.7% exceeded the +8.5% return of the S&P SmallCap
600/BARRA Value Index but trailed the +9.3% return of the average small-cap
fund. This disadvantage can be attributed, in part, to our lower median market
capitalization relative to our peer group.
Because the Extended Market Index Fund is made up of stocks that fall
outside the realm of the large-cap-based S&P 500 Index, it may seem curious that
the fund generated a return so much higher than those of both the Mid-Cap and
Small-Cap Index Funds. There are two reasons for the discrepancy. First, the
Wilshire 4500 Index--Extended Market's benchmark--does contain a fair number of
large-cap stocks, some as large as those found in the S&P 500 Index. (As of
December 31, 1998, the most recent date for which data were available, about 7%
of the index was made up of stocks of companies with market capitalizations of
$10 billion or more.)
What's more, the Wilshire 4500 Index has benefited--and could suffer--from
an "Internet effect": When an initial public offering of an Internet stock is
completed, that stock is automatically added to the Wilshire index, something
that is not true of either the S&P MidCap 400 or Russell 2000 Indexes. In
essence, when these stocks perform well, as they have recently, the index feels
the resulting jolt. Over the long term, we expect these variations among the
funds' returns to even out.
As we noted earlier, each of our funds either topped or matched the return
of its index benchmark. That our funds could accomplish this feat versus
unmanaged indexes which, unlike mutual funds, do not incur operating expenses,
is a credit to the expertise of Vanguard Core Management Group, which oversees
the investments for all Vanguard stock index funds.
During the first half of 1999, the stock market reminded investors that
the financial markets move in cycles. That is why we counsel investors to be
mindful that the powerful forces that push returns toward long-term averages act
not just upon the market's leaders but upon its laggards as well. We believe
that investors who understand the cyclical nature of the financial markets will
be best prepared for the inevitable period when stock returns revert to their
historical norms. For their part, our index funds will continue to provide
investors with an excellent way to capture the returns of a selected piece of
the stock market--at costs among the lowest in the mutual fund industry.
IN SUMMARY
Sticking with a portfolio diversified across various asset classes and market
segments can be trying at times, particularly when one segment runs ahead of the
others and seems to be "the only game in town." But in the long run, investors
are well-served by investment programs constructed with the knowledge that
market leadership can change abruptly
3
<PAGE> 6
and unpredictably. So once you've decided on an investment plan suited to your
time horizon, goals, and tolerance for risk, we urge you to "stay the course."
We look forward to reporting to you on our full 1999 fiscal year six
months hence.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Senior Chairman Chairman and
Chief Executive Officer
July 17, 1999
<TABLE>
<CAPTION>
PORTFOLIO STATISTICS
- --------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1999
-------------------------------------------
NET ASSET VALUE PER SHARE DISTRIBUTIONS FROM DIVIDENDS PER
----------------------------- NET REALIZED SHARE FROM NET
VANGUARD INDEX FUND DEC. 31, 1998 JUN. 30, 1999 CAPITAL GAINS INVESTMENT INCOME
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market $30.63 $32.34 $1.635 $0.010
Mid-Cap 10.79 10.97 0.510 --
Small-Cap 21.20 23.24 0.160 0.010
Small-Cap Growth 9.53 9.69 -- --
Small-Cap Value 8.74 9.45 0.040 --
- --------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------------------
Extended Market $30.63 $32.36 $1.635 $0.010
Mid-Cap 10.79 10.98 0.510 --
Small-Cap 21.20 23.25 0.160 0.010
- --------------------------------------------------------------------------------------------------------
</TABLE>
4
<PAGE> 7
THE MARKETS IN PERSPECTIVE
SIX MONTHS ENDED JUNE 30, 1999
[PHOTO]
A markedly improved global economic outlook during the first half of 1999 led to
mostly positive stock market returns and lower bond prices.
As the year began, many observers expected that severe economic crises in
Asia, Russia, and some Latin American nations would restrain business activity
worldwide, even in the United States, which has been the world's economic
locomotive. By spring, however, a consensus emerged that global economic
activity was likely to be solid, if not robust. This change in sentiment stemmed
from several factors, including further vigorous growth in the U.S. economy, a
belief that Asia's slump had bottomed out, and moves in Europe to ease monetary
policy to encourage growth.
Interest rates rose as investors stopped wondering whether the Federal
Reserve Board would lower interest rates--as it had three times in autumn
1998--and began to wonder when the Fed would increase rates to slow growth and
thereby forestall inflation. Indeed, on the final day of the period, the Fed
boosted short-term rates by 0.25 percentage point. In the stock market, the
brighter economic outlook led to a change in leadership from glamorous
large-capitalization growth stocks to value stocks and small-cap stocks, both of
which had been among Wall Street's wallflowers in recent years.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 1999
------------------------------------
6 MONTHS 1 YEAR 5 YEARS*
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index 12.4% 22.8% 27.9%
Russell 2000 Index 9.3 1.5 15.4
Wilshire 5000 Index 11.8 19.5 25.7
MSCI EAFE Index 4.1 7.9 8.5
- -------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index -1.4% 3.2% 7.8%
Lehman 10 Year Municipal Bond Index -1.7 2.3 6.8
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 2.2 4.7 5.2
- -------------------------------------------------------------------------------
OTHER
Consumer Price Index 1.4% 2.0% 2.3%
- -------------------------------------------------------------------------------
</TABLE>
*Annualized.
U.S. STOCK MARKETS
The rise in stock prices reflected the healthy domestic economy and improving
prospects for corporate earnings. The overall market, as measured by the
Wilshire 5000 Index, rose 11.8% during the period, while the S&P 500 Index, a
yardstick for large-cap stocks, gained 12.4%.
Large-cap growth stocks, which are generally perceived as less vulnerable
than other stocks to economic slowdowns, continued to lead the market's climb
during the first quarter of the year. During the second quarter, however, value
stocks--especially producers of commodity products such as oil, aluminum, and
chemicals--moved to the front of the pack. Providing support were generally
upbeat corporate profit reports. Indeed, earnings gains were sufficient to send
prices higher despite rising interest rates, which often depress stock prices as
well as bond prices. For the six months, the S&P 500 Index's value stocks posted
a 14.0% return while its growth stocks gained 11.0% as a group.
5
<PAGE> 8
Small-cap stocks, as measured by the Russell 2000 Index, gained 9.3%,
although that fact masks a remarkable turnaround: Small-caps declined 5.4%
during the first quarter of 1999, then advanced 15.6% during the second quarter.
Even so, the cumulative return of the Russell 2000 over the past three years
lags the S&P 500 Index by nearly 80 percentage points (+37.6% for the Russell
2000 versus +115.2% for the S&P 500).
Four of the top-performing sectors within the S&P 500 Index during the
half-year were solidly in the value camp--the "other energy" group (+40%);
producer durables (+26%); materials & processing (+25%); and integrated-oils
(+17%). The strongest growth-oriented sector was the irrepressible technology
group (+24%). The poor performance of the consumer staples sector (-8%) was due
in part to the gains of the U.S. dollar against most foreign currencies, which
reduced the value of earnings from overseas operations.
U.S. BOND MARKETS
The powerful economic expansion that buoyed corporate profits and stock prices
was too much of a good thing for the bond market. Inflation was well
behaved--consumer prices rose 1.4% for the six months and 2.0% for the twelve
months ended June 30--but investors and Fed policymakers clearly were concerned
that an overheated economy might yet trigger significant increases in wages and
overall prices. Certainly, there was no evidence of the "natural slowing" that
many analysts expected for the economy, which is in the longest peacetime
expansion ever.
Yields on U.S. Treasury bonds rose by approximately 1 percentage point--a
significant rise for a six-month period. The yield of the 30-year Treasury bond
rose 86 basis points, to 5.96% on June 30 from 5.10% on December 31, 1998. The
yield of the 10-year Treasury rose 113 basis points, to 5.78% from 4.65%. Money
market rates didn't rise as far: Yields on 3-month T-bills increased on balance
by only 33 basis points, to 4.78% on June 30. Bond prices, which move in the
opposite direction from interest rates, fell. The Lehman Aggregate Bond Index, a
benchmark for investment-grade taxable bonds, declined 1.4% on a total-return
basis, as bond prices declined an average of 4.4%, outweighing the 3.0% in
interest income for the period.
INTERNATIONAL STOCK MARKETS
Led by sharp recoveries in stock prices in Japan and many emerging markets,
international stock prices generated positive returns in local currencies during
the six months. However, a pervasive rise in the value of the U.S. dollar
against other currencies reduced returns for U.S. investors (returns from abroad
are augmented when the dollar falls in value against other currencies).
Overall, the developed markets outside the United States gained 4.1% in
U.S.-dollar terms, as measured by the Morgan Stanley Capital International
Europe, Australasia, Far East (EAFE) Index. The biggest increases were in the
Pacific region--up 27.3% in local-currency terms and 21.1% when measured in U.S.
dollars. Europe, which accounts for the lion's share of EAFE's market
capitalization, was up 8.2% in local currencies. But in U.S. dollars, the return
from European stocks was a negative 2.3%, as weakness in European
currencies--notably in the euro, the new 11-nation common currency--lopped more
than 10 percentage points from the local-currency returns. The MSCI Select
Emerging Markets Free Index shot up 31.5% in dollar terms, led by Asian markets
that rebounded from severe losses suffered in 1997 and 1998.
6
<PAGE> 9
PERFORMANCE SUMMARIES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely, so an investment in the fund could
lose money.
<TABLE>
<CAPTION>
EXTENDED MARKET INDEX FUND
TOTAL INVESTMENT RETURNS: DECEMBER 21, 1987-JUNE 30, 1999
- ----------------------------------------------------------
EXTENDED MARKET INDEX FUND WILSHIRE
4500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
1987 -0.1% 0.0% -0.1% 0.5%
1988 17.7 2.0 19.7 20.5
1989 22.1 2.0 24.1 23.9
1990 -16.4 2.4 -14.0 -13.6
1991 39.6 2.2 41.8 43.5
1992 10.9 1.6 12.5 11.9
1993 13.2 1.3 14.5 14.6
1994 -3.2 1.4 -1.8 -2.7
1995 32.2 1.6 33.8 33.5
1996 16.2 1.4 17.6 17.2
1997 25.3 1.4 26.7 25.7
1998 7.0 1.3 8.3 8.6
1999* 11.6 0.1 11.7 11.3
- ----------------------------------------------------------
</TABLE>
*Six months ended June 30, 1999.
See Financial Highlights table on page 23 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 7, 1997-JUNE 30, 1999
- ----------------------------------------------------
EXTENDED MARKET INDEX FUND WILSHIRE
INSTITUTIONAL SHARES 4500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ----------------------------------------------------
<S> <C> <C> <C> <C>
1997 10.5% 1.3% 11.8% 12.0%
1998 7.0 1.5 8.5 8.6
1999* 11.7 0.1 11.8 11.3
- ----------------------------------------------------
</TABLE>
*Six months ended June 30, 1999.
See Financial Highlights table on page 24 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- -----------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Extended Market Index Fund* 12/21/1987 10.62% 20.19% 12.97% 1.72% 14.69%
Extended Market Index Fund
Institutional Shares** 7/7/1997 10.76 -- 14.94+ 1.50+ 16.44+
- -----------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Performance figures are adjusted for the 0.25% transaction fee on purchases.
+Since inception.
7
<PAGE> 10
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely, so an investment in the fund could
lose money.
<TABLE>
<CAPTION>
MID-CAP INDEX FUND
TOTAL INVESTMENT RETURNS: MAY 21, 1998-JUNE 30, 1999
- ------------------------------------------------------
MID-CAP INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ------------------------------------------------------
<S> <C> <C> <C> <C>
1998 8.0% 0.6% 8.6% 7.9%
1999** 7.1 0.0 7.1 6.9
- ------------------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
**Six months ended June 30, 1999.
See Financial Highlights table on page 24 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
MID-CAP INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: MAY 21, 1998-JUNE 30, 1999
- -----------------------------------------------------------
MID-CAP INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
1998 8.0% 0.6% 8.6% 7.9%
1999** 7.2 0.0 7.2 6.9
- -----------------------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
**Six months ended June 30, 1999.
See Financial Highlights table on page 25 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- ------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Mid-Cap Index Fund* 5/21/1998 18.04% 14.03% 0.53% 14.56%
Mid-Cap Index Fund Institutional Shares 5/21/1998 18.21 14.12 0.59 14.71
- ------------------------------------------------------------------------------------------------------------
</TABLE>
*The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
8
<PAGE> 11
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely, so an investment in the fund
could lose money.
<TABLE>
<CAPTION>
SMALL-CAP INDEX FUND
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1978-JUNE 30, 1999
- ------------------------------------------------------------
SMALL-CAP INDEX FUND RUSSELL
2000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ------------------------------------------------------------
<S> <C> <C> <C> <C>
1979 30.6% 3.8% 34.4% 43.1%
1980 42.9 1.1 44.0 38.6
1981 -2.9 0.0 -2.9 2.0
1982 43.5 2.9 46.4 24.9
1983 18.2 0.0 18.2 29.1
1984 -25.2 0.0 -25.2 -7.3
1985 21.5 1.5 23.0 31.1
1986 0.2 0.0 0.2 5.7
1987 -7.0 0.0 -7.0 -8.8
1988 24.0 0.6 24.6 24.9
1989 9.4 1.1 10.5 16.2
1990 -19.8 1.7 -18.1 -19.5
1991 43.0 2.3 45.3 46.1
1992 16.7 1.5 18.2 18.4
1993 17.4 1.3 18.7 18.9
1994 -1.9 1.4 -0.5 -1.8
1995 27.2 1.5 28.7 28.4
1996 16.6 1.5 18.1 16.5
1997 23.2 1.4 24.6 22.4
1998 -4.0 1.4 -2.6 -2.5
1999* 10.5 0.1 10.6 9.3
- ------------------------------------------------------------
</TABLE>
*Six months ended June 30, 1999.
See Financial Highlights table on page 25 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 7, 1997-JUNE 30, 1999
- --------------------------------------------------------------
SMALL-CAP INDEX FUND RUSSELL
INSTITUTIONAL SHARES 2000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
1997 10.1% 1.3% 11.4% 11.1%
1998 -4.0 1.5 -2.5 -2.5
1999* 10.6 0.0 10.6 9.3
- --------------------------------------------------------------
</TABLE>
*Six months ended June 30, 1999.
See Financial Highlights table on page 26 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- ----------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Small-Cap Index Fund* 10/3/1960 2.43% 16.35% 11.34% 1.51% 12.85%
Small-Cap Index Fund Institutional Shares** 7/7/1997 2.51 -- 7.92+ 1.52+ 9.44+
- ----------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Performance figures are adjusted for the 0.5% transaction fee on purchases.
+Since inception.
9
<PAGE> 12
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely, so an investment in the fund
could lose money.
<TABLE>
<CAPTION>
SMALL-CAP GROWTH INDEX FUND
TOTAL INVESTMENT RETURNS: MAY 21, 1998-JUNE 30, 1999
- ----------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -5.1% 0.3% -4.8% -5.0%
1999** 1.7 0.0 1.7 1.7
- ----------------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Growth Index.
**Six months ended June 30, 1999.
See Financial Highlights table on page 26 for dividend information since the
fund's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- ---------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ---------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Small-Cap Growth Index Fund* 5/21/1998 -0.99% -3.58% 0.28% -3.30%
- ---------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
10
<PAGE> 13
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely, so an investment in the fund
could lose money.
<TABLE>
<CAPTION>
SMALL-CAP VALUE INDEX FUND
TOTAL INVESTMENT RETURNS: MAY 21, 1998-JUNE 30, 1999
- -----------------------------------------------------------
SMALL-CAP VALUE INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -13.0% 0.5% -12.5% -13.3%
1999** 8.7 0.0 8.7 8.5
- -----------------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Value Index.
**Six months ended June 30, 1999.
See Financial Highlights table on page 27 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- ------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Small-Cap Value Index Fund* 5/21/1998 -3.34% -5.39% 0.55% -4.84%
- ------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
11
<PAGE> 14
FUND PROFILE
EXTENDED MARKET INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ---------------------------------------------------
EXTENDED WILSHIRE
MARKET 4500
- ---------------------------------------------------
<S> <C> <C>
Number of Stocks 2,716 6,679
Median Market Cap $2.0B $2.0B
Price/Earnings Ratio 23.1x 23.1x
Price/Book Ratio 2.9x 2.9x
Yield 1.0% 1.0%
Yield--Institutional Shares 1.2% 1.0%
Return on Equity 14.2% 14.2%
Earnings Growth Rate 18.7% 18.7%
Foreign Holdings 0.0% 0.0%
Turnover Rate 22%* --
Expense Ratio 0.25%* --
Expense Ratio--
Institutional Shares 0.10%* --
Cash Reserves 0.1% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ---------------------------------------------------
<S> <C>
STYLE BLEND
MARKET CAP MEDIUM
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------
EXTENDED
MARKET S&P 500
- ----------------------------------------------------
<S> <C> <C>
R-Squared 0.78 1.00
Beta 1.07 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ----------------------------------------------------
<S> <C>
Berkshire Hathaway Class A 3.2%
Yahoo!, Inc. 1.2
Qwest Communications International Inc. 0.7
QUALCOMM, Inc. 0.7
Level 3 Communications, Inc. 0.6
Amazon.com, Inc. 0.6
Cox Communications Class A 0.6
eBay Inc. 0.6
At Home Corp. Series A 0.6
Priceline.com Inc. 0.5
- ----------------------------------------------------
Top Ten 9.3%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
------------------------------------------------
EXTENDED EXTENDED WILSHIRE
MARKET MARKET 4500
------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.2% 2.9% 2.9%
Consumer Discretionary 19.4 20.7 20.7
Consumer Staples 4.0 2.8 2.8
Financial Services 22.5 20.1 20.1
Health Care 8.2 7.1 7.1
Integrated Oils 0.4 0.6 0.6
Other Energy 4.0 2.8 2.8
Materials & Processing 7.2 5.5 5.5
Producer Durables 6.0 6.4 6.4
Technology 12.8 17.9 17.9
Utilities 7.8 8.3 8.3
Other 4.5 4.9 4.9
- ---------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE> 15
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of the overall market (or appropriate market
index). The market (or index) is assigned a beta of 1.00, so a fund with a beta
of 1.20 would have seen its share price rise or fall by 12% when the overall
market rose or fell by 10%.
CASH RESERVES. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts to simulate stock
investment.
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the
past five years for the stocks now in a fund.
EXPENSE RATIO. The percentage of a fund's average net assets used to pay its
annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by
stocks or American Depositary Receipts of companies based outside the United
States.
INVESTMENT FOCUS. This grid indicates the focus of a fund in terms of two
attributes: market capitalization (large, medium, or small) and relative
valuation (growth, value, or a blend).
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's
assets invested in each stock. Stocks representing half of the fund's assets
have market capitalizations above the median, and the rest are below it.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a fund
holds, the more diversified it is and the more likely to perform in line with
the overall stock market.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, the weighted average price/book ratio of the
stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share
earnings over the past year. For a fund, the weighted average P/E of the stocks
it holds. P/E is an indicator of market expectations about corporate prospects;
the higher the P/E, the greater the expectations for a company's future growth.
R-SQUARED. A measure of how much of a fund's past returns can be explained by
the returns from the overall market (or its benchmark index). If a fund's total
return were precisely synchronized with the overall market's return, its
R-squared would be 1.00. If a fund's returns bore no relationship to the
market's returns, its R-squared would be 0.
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a fund, the weighted average return on
equity for the companies whose stocks it holds.
SECTOR DIVERSIFICATION. The percentages of a fund's common stocks that come
from each of the major industry groups that compose the stock market.
TEN LARGEST HOLDINGS. The percentage of net assets that a fund has invested in
its ten largest holdings. (The average for stock mutual funds is about 30%.) As
this percentage rises, a fund's returns are likely to be more volatile because
they are more dependent on the fortunes of a few companies.
TURNOVER RATE. An indication of trading activity during the period. Funds with
high turnover rates incur higher transaction costs and are more likely to
distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
13
<PAGE> 16
FUND PROFILE
MID-CAP INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ---------------------------------------------------
S&P
MID-CAP MIDCAP 400
- ---------------------------------------------------
<S> <C> <C>
Number of Stocks 405 400
Median Market Cap $3.0B $3.0B
Price/Earnings Ratio 22.9x 22.9x
Price/Book Ratio 3.1x 3.1x
Yield 0.9% 1.1%
Yield--Institutional Shares 1.0% 1.1%
Return on Equity 16.8% 16.8%
Earnings Growth Rate 18.7% 18.7%
Foreign Holdings 0.0% 0.0%
Turnover Rate 33%* --
Expense Ratio 0.25%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ---------------------------------------------------
<S> <C>
STYLE BLEND
MARKET CAP MEDIUM
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ---------------------------------------------------
<S> <C>
QUALCOMM, Inc. 2.3%
Linear Technology Corp. 1.1
Biogen, Inc. 1.0
E*TRADE Group, Inc. 1.0
Maxim Integrated Products, Inc. 1.0
Lexmark International Group, Inc. Class A 0.9
Harley-Davidson, Inc. 0.9
Xilinx, Inc. 0.9
Analog Devices, Inc. 0.9
Veritas Software Corp. 0.9
- ---------------------------------------------------
Top Ten 10.9%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
------------------------------------------------
S&P MIDCAP
MID-CAP MID-CAP 400
------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.1% 3.9% 4.0%
Consumer Discretionary 20.2 17.3 17.6
Consumer Staples 5.5 4.4 4.4
Financial Services 15.9 15.5 15.5
Health Care 9.0 9.5 9.5
Integrated Oils 0.6 0.8 0.3
Other Energy 6.5 4.1 4.2
Materials & Processing 8.0 6.9 7.1
Producer Durables 5.9 5.9 5.6
Technology 11.0 16.9 20.0
Utilities 12.3 12.7 10.4
Other 2.0 2.1 1.4
- ---------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 17
FUND PROFILE
SMALL-CAP INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ---------------------------------------------------
RUSSELL
SMALL-CAP 2000
- ---------------------------------------------------
<S> <C> <C>
Number of Stocks 1,902 2,000
Median Market Cap $0.8B $0.7B
Price/Earnings Ratio 18.8x 19.0x
Price/Book Ratio 2.4x 2.4x
Yield 1.1% 1.3%
Yield--Institutional Shares 1.3% 1.3%
Return on Equity 14.4% 14.3%
Earnings Growth Rate 14.2% 14.1%
Foreign Holdings 0.0% 0.0%
Turnover Rate 61%* --
Expense Ratio 0.24%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 0.2% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ---------------------------------------------------
<S> <C>
STYLE
MARKET CAP
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ---------------------------------------------------
SMALL-CAP S&P 500
- ---------------------------------------------------
<S> <C> <C>
R-Squared 0.68 1.00
Beta 1.03 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ---------------------------------------------------
<S> <C>
Radian Group, Inc. 0.2%
LAM Research Corp. 0.2
VerticalNet, Inc. 0.2
Go2Net, Inc. 0.2
Metris Cos., Inc. 0.2
Informix Corp. 0.2
Gilead Sciences, Inc. 0.2
Ethan Allen Interiors, Inc. 0.2
IDEC Pharmaceuticals Corp. 0.2
EG&G, Inc. 0.2
- ---------------------------------------------------
Top Ten 2.0%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
------------------------------------------------
RUSSELL
SMALL-CAP SMALL-CAP 2000
------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 4.6% 4.4% 4.0%
Consumer Discretionary 17.9 18.1 18.8
Consumer Staples 2.8 2.8 2.7
Financial Services 24.4 21.6 22.1
Health Care 8.8 9.0 9.0
Integrated Oils 0.6 0.5 0.1
Other Energy 3.1 2.6 2.9
Materials & Processing 9.7 10.0 10.3
Producer Durables 7.3 8.0 7.9
Technology 12.2 15.1 14.8
Utilities 7.0 6.1 6.1
Other 1.6 1.8 1.3
- ---------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 18
FUND PROFILE
SMALL-CAP GROWTH INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------
S&P
SMALL-CAP SMALLCAP
GROWTH 600
- -----------------------------------------------------
<S> <C> <C>
Number of Stocks 219 600
Median Market Cap $1.1B $0.8B
Price/Earnings Ratio 26.2x 19.9x
Price/Book Ratio 4.9x 2.6x
Yield 0.4% 0.8%
Return on Equity 18.6% 16.0%
Earnings Growth Rate 21.1% 17.4%
Foreign Holdings 0.0% 0.4%
Turnover Rate 82%* --
Expense Ratio 0.25%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- -----------------------------------------------------
<S> <C>
STYLE GROWTH
MARKET CAP SMALL
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -----------------------------------------------------
<S> <C>
Novellus Systems, Inc. 1.5%
FirstMerit Corp. 1.4
Express Scripts 1.3
Legg Mason Inc. 1.2
Valassis Communications, Inc. 1.2
Gentex Corp. 1.1
Acxiom Corp. 1.1
Williams Sonoma, Inc. 1.1
Linens 'n Things, Inc. 0.9
U.S. Trust Corp. 0.9
- -----------------------------------------------------
Top Ten 11.7%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ----------------------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
-------------------------------------------------
SMALL-CAP SMALL-CAP S&P SMALLCAP
GROWTH GROWTH 600
-------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 5.3% 4.1% 5.5%
Consumer Discretionary 18.8 24.0 20.5
Consumer Staples 2.4 1.1 2.9
Financial Services 21.5 17.2 17.2
Health Care 15.9 12.7 10.6
Integrated Oils 0.5 0.4 0.0
Other Energy 1.0 2.3 3.3
Materials & Processing 8.9 6.7 10.6
Producer Durables 9.3 10.6 9.7
Technology 15.3 19.4 14.5
Utilities 0.5 1.2 4.8
Other 0.6 0.3 0.4
- ----------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 19
FUND PROFILE
SMALL-CAP VALUE INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ---------------------------------------------------
S&P
SMALL-CAP SMALLCAP
VALUE 600
- ---------------------------------------------------
<S> <C> <C>
Number of Stocks 386 600
Median Market Cap $0.6B $0.8B
Price/Earnings Ratio 15.7x 19.9x
Price/Book Ratio 1.7x 2.6x
Yield 0.8% 0.8%
Return on Equity 13.6% 16.0%
Earnings Growth Rate 14.0% 17.4%
Foreign Holdings 0.0% 0.4%
Turnover Rate 76%* --
Expense Ratio 0.25%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ---------------------------------------------------
<S> <C>
STYLE VALUE
MARKET CAP SMALL
</TABLE>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ---------------------------------------------------
American Bankers Insurance Group 1.4%
Radian Group, Inc. 1.0
Devon Energy Corp. 1.0
Lattice Semiconductor Corp. 0.8
Zale Corp. 0.8
Commercial Federal Corp. 0.8
Smithfield Foods, Inc. 0.8
Fremont General Corp. 0.8
UST Corp. 0.7
USFreightways Corp. 0.7
- ---------------------------------------------------
Top Ten 8.8%
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ----------------------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
-------------------------------------------------
SMALL-CAP SMALL-CAP S&P SMALLCAP
VALUE VALUE 600
-------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 7.1% 7.8% 5.5%
Consumer Discretionary 20.5 17.8 20.5
Consumer Staples 4.2 5.2 2.9
Financial Services 17.4 16.8 17.2
Health Care 8.1 8.0 10.6
Integrated Oils 0.4 0.3 0.0
Other Energy 5.4 3.6 3.3
Materials & Processing 12.9 14.1 10.6
Producer Durables 6.5 8.0 9.7
Technology 8.2 9.1 14.5
Utilities 8.2 8.5 4.8
Other 1.1 0.8 0.4
- ----------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE> 20
FINANCIAL STATEMENTS
JUNE 30, 1999 (UNAUDITED)
The Statements of Net Assets--integral parts of the Financial Statements for
the Vanguard Extended Market Index, Mid-Cap Index, Small-Cap Index, Small-Cap
Growth Index, and Small-Cap Value Index Funds of the Vanguard U.S. Stock Index
Funds--are included as an insert to this report.
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by each fund during
the reporting period, and details the operating expenses charged to each class
of its shares. These expenses directly reduce the amount of investment income
available to pay to shareholders as dividends. This Statement also shows any
Net Gain (Loss) realized on the sale of investments, and the increase or
decrease in the Unrealized Appreciation (Depreciation) on investments during
the period. If a fund invested in futures contracts during the period, the
results of these investments are shown separately.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
EXTENDED
MARKET MID-CAP SMALL-CAP
INDEX FUND INDEX FUND INDEX FUND
-------------------------------------------
SIX MONTHS ENDED JUNE 30, 1999
-------------------------------------------
(000) (000) (000)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 21,671 $ 2,049 $ 20,229
Interest 58 99 1,546
Security Lending 2,808 7 1,418
-------------------------------------------
Total Income 24,537 2,155 23,193
-------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 69 34 86
Management and Administrative 1,092 106 1,215
Shareholder Account Maintenance--Investor Shares 2,262 180 1,557
Shareholder Account Maintenance--Institutional Shares 12 4 3
Marketing and Distribution--Investor Shares 268 27 304
Marketing and Distribution--Institutional Shares 49 3 18
Custodian Fees 94 8 36
Auditing Fees 5 1 5
Shareholders' Reports--Investor Shares 87 12 238
Shareholders' Reports--Institutional Shares 7 2 15
Trustees' Fees and Expenses 2 -- 2
-------------------------------------------
Total Expenses 3,947 377 3,479
Expenses Paid Indirectly--Note C (20) -- (6)
-------------------------------------------
Net Expenses 3,927 377 3,473
- --------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 20,610 1,778 19,720
- --------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 142,912 9,050 212,563
Futures Contracts 4,011 138 6,393
- --------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 146,923 9,188 218,956
- --------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 228,825 23,279 79,083
Futures Contracts (630) (188) (6,731)
- --------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 228,195 23,091 72,352
- --------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $395,728 $34,057 $311,028
========================================================================================================
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP
GROWTH VALUE
INDEX FUND INDEX FUND
--------------------------------
SIX MONTHS ENDED JUNE 30, 1999
--------------------------------
(000) (000)
- --------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
<S> <C> <C>
Dividends $ 258 $ 750
Interest 8 12
Security Lending 47 30
--------------------------------
Total Income 313 792
--------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 34 34
Management and Administrative 1 8
Shareholder Account Maintenance--Investor Shares 61 86
Shareholder Account Maintenance--Institutional Shares -- --
Marketing and Distribution--Investor Shares 10 13
Marketing and Distribution--Institutional Shares -- --
Custodian Fees 6 10
Auditing Fees 1 1
Shareholders' Reports--Investor Shares 6 8
Shareholders' Reports--Institutional Shares -- --
Trustees' Fees and Expenses -- --
--------------------------------
Total Expenses 119 160
Expenses Paid Indirectly Note C -- --
--------------------------------
Net Expenses 119 160
- --------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 194 632
- --------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (568) 10,177
Futures Contracts -- --
- --------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (568) 10,177
- --------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 2,881 3,416
Futures Contracts -- --
- --------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 2,881 3,416
- --------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $2,507 $14,225
==============================================================================================================
</TABLE>
19
<PAGE> 22
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined
on a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in
the fund, either by purchasing shares or by reinvesting distributions, as well
as the amounts redeemed. The corresponding numbers of Shares Issued and
Redeemed are shown at the end of the Statement. Distributions, Capital Share
Transactions, and Shares Issued and Redeemed are shown separately for each
class of shares.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET MID-CAP
INDEX FUND INDEX FUND
------------------------------ --------------------------------
SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED APR. 20* TO
JUN. 30, 1999 DEC. 31, 1998 JUN. 30, 1999 DEC. 31, 1998
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C> <C> <C>
Net Investment Income $ 20,610 $ 39,807 $ 1,778 $ 1,143
Realized Net Gain (Loss) 146,923 367,082 9,188 15,845
Change in Unrealized Appreciation (Depreciation) 228,195 (154,493) 23,091 9,050
------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 395,728 252,396 34,057 26,038
------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (956) (33,806) -- (962)
Institutional Shares (145) (5,556) -- (210)
Realized Capital Gain
Investor Shares (156,006) (195,606) (12,978) (907)
Institutional Shares (23,734) (30,314) (2,311) (178)
------------------------------------------------------------------
Total Distributions (180,841) (265,282) (15,289) (2,257)
------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 415,681 661,516 200,501 202,429
Issued in Lieu of Cash Distributions 145,708 210,315 12,201 1,588
Redeemed (353,253) (641,617) (41,687) (18,534)
------------------------------------------------------------------
Net Increase--Investor Shares 208,136 230,214 171,015 185,483
------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 104,125 242,869 40,024 34,802
Issued in Lieu of Cash Distributions 19,598 30,471 1,803 279
Redeemed (57,397) (232,988) -- --
------------------------------------------------------------------
Net Increase (Decrease)--Institutional Shares 66,326 40,352 41,827 35,081
- ----------------------------------------------------------------------------------------------------------------------------------
Total Increase 489,349 257,680 231,610 244,345
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,395,159 3,137,479 244,345 --
------------------------------------------------------------------
End of Period $3,884,508 $3,395,159 $ 475,955 $244,345
==================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 13,588 21,213 19,439 20,969
Issued in Lieu of Cash Distributions 5,118 7,196 1,282 155
Redeemed (11,594) (21,009) (4,111) (2,058)
------------------------------------------------------------------
Net Increase in Shares Outstanding 7,112 7,400 16,610 19,066
==================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 3,353 7,627 3,927 3,559
Issued in Lieu of Cash Distributions 688 1,037 189 27
Redeemed (1,873) (7,244) -- --
------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding 2,168 1,420 4,116 3,586
==================================================================================================================================
</TABLE>
*Commencement of subscription period
20
<PAGE> 23
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP GROWTH
INDEX FUND INDEX FUND
-------------------------------- --------------------------------
SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED APR. 20* TO
JUN. 30, 1999 DEC. 31, 1998 JUN. 30, 1999 DEC. 31, 1998
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 19,720 $ 40,202 $ 194 $ 253
Realized Net Gain (Loss) 218,956 199,544 (568) (5,567)
Change in Unrealized Appreciation (Depreciation) 72,352 (318,857) 2,881 5,558
---------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 311,028 (79,111) 2,507 244
---------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (1,290) (37,309) -- (281)
Institutional Shares (104) (3,153) -- --
Realized Capital Gain
Investor Shares (20,675) (188,747) -- --
Institutional Shares (1,661) (14,670) -- --
---------------------------------------------------------------------
Total Distributions (23,730) (243,879) -- (281)
---------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 520,611 970,360 42,122 101,722
Issued in Lieu of Cash Distributions 20,447 207,350 -- 232
Redeemed (497,566) (765,726) (18,360) (11,799)
---------------------------------------------------------------------
Net Increase--Investor Shares 43,492 411,984 23,762 90,155
---------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 71,655 149,717 -- --
Issued in Lieu of Cash Distributions 1,549 12,572 -- --
Redeemed (91,141) (8,221) -- --
---------------------------------------------------------------------
Net Increase (Decrease)--Institutional Shares (17,937) 154,068 -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Increase 312,853 243,062 26,269 90,118
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,032,356 2,789,294 90,118 --
---------------------------------------------------------------------
End of Period $3,345,209 $3,032,356 $116,387 $90,118
===================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 24,551 42,704 4,607 10,819
Issued in Lieu of Cash Distributions 1,040 10,127 -- 25
Redeemed (23,877) (33,911) (2,052) (1,393)
---------------------------------------------------------------------
Net Increase in Shares Outstanding 1,714 18,920 2,555 9,451
===================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 3,429 6,477 -- --
Issued in Lieu of Cash Distributions 79 613 -- --
Redeemed (4,317) (385) -- --
---------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding (809) 6,705 -- --
===================================================================================================================================
</TABLE>
*Commencement of subscription period
21
<PAGE> 24
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (continued)
- ---------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE
INDEX FUND
--------------------------------
SIX MONTHS
ENDED APR. 20* TO
JUN. 30, 1999 DEC. 31, 1998
(000) (000)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 632 $ 639
Realized Net Gain (Loss) 10,177 482
Change in Unrealized Appreciation (Depreciation) 3,416 (11,368)
--------------------------------
Net Increase (Decrease) in Net Assets Resulting from Operations 14,225 (10,247)
--------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (705)
Institutional Shares -- --
Realized Capital Gain
Investor Shares (586) --
Institutional Shares -- --
--------------------------------
Total Distributions (586) (705)
--------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 71,427 143,483
Issued in Lieu of Cash Distributions 532 627
Redeemed (20,334) (20,593)
--------------------------------
Net Increase--Investor Shares 51,625 123,517
--------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- --
Issued in Lieu of Cash Distributions -- --
Redeemed -- --
--------------------------------
Net Increase (Decrease)--Institutional Shares -- --
- ---------------------------------------------------------------------------------------------------------
Total Increase 65,264 112,565
- ---------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 112,565 --
--------------------------------
End of Period $177,829 $112,565
=========================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 8,302 15,327
Issued in Lieu of Cash Distributions 68 74
Redeemed (2,436) (2,516)
--------------------------------
Net Increase in Shares Outstanding 5,934 12,885
=========================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- --
Issued in Lieu of Cash Distributions -- --
Redeemed -- --
--------------------------------
Net Increase (Decrease) in Shares Outstanding -- --
=========================================================================================================
</TABLE>
*Commencement of subscription period.
22
<PAGE> 25
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents
the Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1999 1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 30.63 $ 30.76 $ 26.20 $24.07 $18.52 $ 19.43
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .160 .388 .351 .34 .30 .28
Net Realized and Unrealized Gain (Loss)
on Investments 3.195 2.025 6.479 3.85 5.95 (.62)
-------------------------------------------------------------------
Total from Investment Operations 3.355 2.413 6.830 4.19 6.25 (.34)
-------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.010) (.373) (.360) (.34) (.30) (.28)
Distributions from Realized Capital Gains (1.635) (2.170) (1.910) (1.72) (.40) (.29)
-------------------------------------------------------------------
Total Distributions (1.645) (2.543) (2.270) (2.06) (.70) (.57)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 32.34 $ 30.63 $ 30.76 $26.20 $24.07 $ 18.52
=============================================================================================================================
TOTAL RETURN* 11.68% 8.32% 26.73% 17.65% 33.80% -1.76%
=============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 3,332 $ 2,939 $ 2,723 $2,099 $1,523 $ 967
Ratio of Total Expenses to
Average Net Assets 0.25%** 0.23% 0.23% 0.25% 0.25% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.17%** 1.21% 1.30% 1.42% 1.51% 1.51%
Portfolio Turnover Rate 22%** 27% 15% 22% 15% 19%
=============================================================================================================================
</TABLE>
*Total return figures do not reflect transaction fees on purchases (0.25% after
October 31, 1997; 0.5% in 1995 through October 31, 1997; 1.0% in 1994) or the
annual account maintenance fee of $10.
**Annualized.
23
<PAGE> 26
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (continued)
- -----------------------------------------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED YEAR ENDED JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 1999 DEC. 31, 1998 DEC. 31, 1997
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $30.63 $30.76 $29.28
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .180 .427 .200
Net Realized and Unrealized Gain (Loss) on Investments 3.195 2.025 3.191
-------------------------------------------------
Total from Investment Operations 3.375 2.452 3.391
-------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.010) (.412) (.371)
Distributions from Realized Capital Gains (1.635) (2.170) (1.540)
-------------------------------------------------
Total Distributions (1.645) (2.582) (1.911)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $32.36 $30.63 $30.76
=================================================================================================================
TOTAL RETURN** 11.75% 8.45% 11.82%
=================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $552 $456 $415
Ratio of Total Expenses to Average Net Assets 0.10%+ 0.10% 0.10%+
Ratio of Net Investment Income to Average Net Assets 1.32%+ 1.34% 1.43%+
Portfolio Turnover Rate 22%+ 27% 15%
=================================================================================================================
</TABLE>
*INCEPTION.
**Total return figures do not reflect transaction fees on purchases (0.25% after
October 31, 1997; 0.5% from inception through October 31, 1997).
+Annualized.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
MID-CAP INDEX FUND
SIX MONTHS ENDED APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 1999 DEC. 31, 1998
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.79 $10.00
- --------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .039 .053
Net Realized and Unrealized Gain (Loss) on Investments .651 .840
----------------------------------
Total from Investment Operations .690 .893
----------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.053)
Distributions from Realized Capital Gains (.510) (.050)
----------------------------------
Total Distributions (.510) (.103)
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.97 $10.79
==============================================================================================================
TOTAL RETURN** 7.12% 8.55%
==============================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $391 $206
Ratio of Total Expenses to Average Net Assets 0.25%+ 0.25%+
Ratio of Net Investment Income to Average Net Assets 1.05%+ 1.19%+
Portfolio Turnover Rate 33%+ 44%
==============================================================================================================
</TABLE>
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
**Total return figures do not reflect the 0.25% transaction fee on purchases
(from inception through February 28, 1999) or the annual account maintenance
fee of $10.
+Annualized.
24
<PAGE> 27
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
MID-CAP INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED MAY 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 1999 DEC. 31, 1998
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.79 $10.03
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .049 .055
Net Realized and Unrealized Gain (Loss) on Investments .651 .814
---------------------------------------
Total from Investment Operations .700 .869
---------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.059)
Distributions from Realized Capital Gains (.510) (.050)
---------------------------------------
Total Distributions (.510) (.109)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.98 $10.79
===================================================================================================================
TOTAL RETURN** 7.21% 8.61%
===================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $85 $39
Ratio of Total Expenses to Average Net Assets 0.12%+ 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.18%+ 1.30%+
Portfolio Turnover Rate 33%+ 44%
===================================================================================================================
</TABLE>
*Initial share purchase date. Subscription period for the fund was April 20,
1998, to May 20, 1998, during which time all assets were held in money market
instruments. Performance measurement begins May 21, 1998.
**Total return figures do not reflect the 0.25% transaction fee on purchases
(from inception through February 28, 1999).
+Annualized.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP INDEX FUND
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ---------------------------------------------- FEB. 1* TO OCT. 1, 1993, TO
THROUGHOUT EACH PERIOD JUN. 30, 1999 1998 1997 1996 1995 DEC. 31, 1994 JAN. 31, 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 21.20 $ 23.75 $ 20.23 $ 18.61 $ 14.99 $ 16.24 $ 16.23
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .130 .311 .277 .26 .24 .20 .05
Net Realized and Unrealized
Gain (Loss) on Investments 2.080 (1.007) 4.632 3.07 4.06 (.86) .96
--------------------------------------------------------------------------------------------
Total from Investment
Operations 2.210 (.696) 4.909 3.33 4.30 (.66) 1.01
--------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net
Investment Income (.010) (.304) (.274) (.27) (.23) (.22) (.18)
Distributions from Realized
Capital Gains (.160) (1.550) (1.115) (1.44) (.45) (.37) (.82)
--------------------------------------------------------------------------------------------
Total Distributions (.170) (1.854) (1.389) (1.71) (.68) (.59) (1.00)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 23.24 $ 21.20 $ 23.75 $ 20.23 $ 18.61 $ 14.99 $ 16.24
===================================================================================================================================
TOTAL RETURN** 10.57% -2.61% 24.59% 18.12% 28.74% -4.00% 6.65%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period
(Millions) $ 3,074 $ 2,768 $ 2,652 $ 1,713 $ 971 $ 605 $ 533
Ratio of Total Expenses
to Average Net Assets 0.24%+ 0.24% 0.23% 0.25% 0.25% 0.17%+ 0.18%+
Ratio of Net Investment Income
to Average Net Assets 1.32%+ 1.39% 1.38% 1.51% 1.58% 1.50%+ 1.16%+
Portfolio Turnover Rate 61%+ 35% 29% 28% 28% 25% 5%
===================================================================================================================================
</TABLE>
*Date of reorganization of Vanguard Small Capitalization Stock Fund into
Vanguard Small-Cap Index Fund.
**Total return figures do not reflect transaction fees on purchases (0.5% after
1996, 1.0% in 1993 through 1996) or the annual account maintenance fee of
$10.
+Annualized.
25
<PAGE> 28
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (continued)
- -------------------------------------------------------------------------------------------------------------------
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED YEAR ENDED JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 1999 DEC. 31, 1998 DEC. 31, 1997
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 21.20 $ 23.75 $ 22.56
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .140 .336 .158
Net Realized and Unrealized Gain (Loss) on Investments 2.080 (1.007) 2.370
------------------------------------------------------
Total from Investment Operations 2.220 (.671) 2.528
------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.010) (.329) (.288)
Distributions from Realized Capital Gains (.160) (1.550) (1.050)
------------------------------------------------------
Total Distributions (.170) (1.879) (1.338)
- -------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 23.25 $ 21.20 $ 23.75
===================================================================================================================
TOTAL RETURN** 10.62% -2.50% 11.42%
===================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 271 $ 264 $ 137
Ratio of Total Expenses to Average Net Assets 0.12%+ 0.12% 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.43%+ 1.53% 1.52%+
Portfolio Turnover Rate 61%+ 35% 29%
===================================================================================================================
</TABLE>
*Inception.
**Total return figures do not reflect the 0.5% transaction fee on purchases.
+Annualized.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND
SIX MONTHS ENDED APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 1999 DEC. 31, 1998
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.53 $ 10.00
- --------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .01 .03
Net Realized and Unrealized Gain (Loss) on Investments .15 (.47)
-----------------------------------
Total from Investment Operations .16 (.44)
-----------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.03)
Distributions from Realized Capital Gains -- --
-----------------------------------
Total Distributions -- (.03)
- --------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.69 $ 9.53
==================================================================================================
TOTAL RETURN** 1.68% -4.77%
==================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 116 $ 90
Ratio of Total Expenses to Average Net Assets 0.25%+ 0.25%+
Ratio of Net Investment Income to Average Net Assets 0.41%+ 0.63%+
Portfolio Turnover Rate 82%+ 77%
==================================================================================================
</TABLE>
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
**Total return figures do not reflect transaction fees on purchases (0.5% after
February 28, 1999; 1.0% from inception through February 28, 1999) or the annual
account maintenance fee of $10.
+Annualized.
26
<PAGE> 29
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND
SIX MONTHS ENDED APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 1999 DEC. 31, 1998
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $8.74 $10.00
- -------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .04 .045
Net Realized and Unrealized Gain (Loss) on Investments .71 (1.250)
----------------------------------------
Total from Investment Operations .75 (1.205)
----------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.055)
Distributions from Realized Capital Gains (.04) --
----------------------------------------
Total Distributions (.04) (.055)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $9.45 $ 8.74
=============================================================================================================
TOTAL RETURN** 8.67% -12.47%
=============================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $178 $113
Ratio of Total Expenses to Average Net Assets 0.25%+ 0.25%+
Ratio of Net Investment Income to Average Net Assets 0.98%+ 1.13%+
Portfolio Turnover Rate 76%+ 53%
=============================================================================================================
</TABLE>
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
**Total return figures do not reflect transaction fees on purchases (0.5% after
February 28, 1999; 1.0% from inception through February 28, 1999) or the annual
account maintenance fee of $10.
+Annualized.
27
<PAGE> 30
NOTES TO FINANCIAL STATEMENTS
Vanguard Extended Market Index, Mid-Cap Index, Small-Cap Index, Small-Cap
Growth Index, and Small-Cap Value Index Funds are registered under the
Investment Company Act of 1940 as diversified open-end investment companies, or
mutual funds.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The funds consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Equity securities are valued at the latest quoted
sales prices as of the close of trading on the New York Stock Exchange
(generally 4:00 p.m. Eastern time) on the valuation date; such securities not
traded on the valuation date are valued at the mean of the latest quoted bid and
asked prices. Prices are taken from the primary market in which each security
trades. Temporary cash investments acquired over 60 days to maturity are valued
using the latest bid prices or using valuations based on a matrix system (which
considers such factors as security prices, yields, maturities, and ratings),
both as furnished by independent pricing services. Other temporary cash
investments are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued by
methods deemed by the Board of Trustees to represent fair value.
2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The funds, along with other members of The
Vanguard Group, transfer uninvested cash balances to a Pooled Cash Account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
4. FUTURES CONTRACTS: The funds use index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity, and minimizing transaction costs. A
fund may purchase futures contracts to immediately invest incoming cash in the
market, or sell futures in response to cash outflows, thereby simulating a fully
invested position in the underlying index while maintaining a cash balance for
liquidity. A fund may seek to enhance returns by using futures contracts instead
of the underlying securities when futures are believed to be priced more
attractively than the underlying securities. The primary risks associated with
the use of futures contracts are imperfect correlation between changes in market
values of stocks held by the fund and the prices of futures contracts, and the
possibility of an illiquid market.
Futures contracts based upon the following indexes are used: S&P 500 Index
(Extended Market Index and Small-Cap Index Funds), S&P MidCap 400 Index
(Extended Market Index, Mid-Cap Index, and Small-Cap Index Funds), and Russell
2000 Index (Extended Market Index and Small-Cap Index Funds).
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date. Distributions are determined on a tax basis and may differ
from net investment income and realized capital gains for financial reporting
purposes.
28
<PAGE> 31
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold. Transaction fees assessed on
purchases of capital shares are credited to paid in capital.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to each fund under methods approved by the Board of
Trustees. Each fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At June 30, 1999, the funds had contributed
capital to Vanguard (included in Other Assets) of:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
CAPITAL CONTRIBUTIONS PERCENTAGE PERCENTAGE OF
TO VANGUARD OF FUND VANGUARD'S
INDEX FUND (000) NET ASSETS CAPITALIZATION
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market $574 0.01% 0.8%
Mid-Cap 63 0.01 0.1
Small-Cap 490 0.01 0.7
Small-Cap Growth 14 0.01 --
Small-Cap Value 21 0.01 --
- -----------------------------------------------------------------------------------
</TABLE>
The funds' Trustees and officers are also Directors and officers of Vanguard.
C. The funds' custodian banks have agreed to reduce their fees when the funds
maintain cash on deposit in their non-interest-bearing custody accounts. For the
six months ended June 30, 1999, custodian fee offset arrangements reduced
expenses of the Extended Market Index and Small-Cap Index Funds by $20,000 and
$6,000, respectively.
D. The Extended Market Index, Mid-Cap Index, Small-Cap Index, Small-Cap Growth
Index, and Small-Cap Value Index Funds each offer two classes of shares,
Investor Shares and Institutional Shares. The Small-Cap Growth Index and
Small-Cap Value Index Funds have not issued any Institutional Shares as of June
30, 1999. Institutional Shares are designed primarily for institutional
investors that meet certain administrative and servicing criteria and have a
minimum investment of $10 million. Investor Shares are offered to all other
investors. Both classes of shares have equal rights to assets and earnings,
except that each class bears certain class-specific expenses related to its
shareholder activity. Class-specific expenses for the six months ended June 30,
1999, represented the following percentages of average net assets:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
INDEX FUND INVESTOR SHARES INSTITUTIONAL SHARES
- -----------------------------------------------------------------------
<S> <C> <C>
Extended Market 0.18%* 0.03%*
Mid-Cap 0.16* 0.03*
Small-Cap 0.15* 0.03*
- -----------------------------------------------------------------------
</TABLE>
*Annualized.
Income, expenses not attributable to a specific class, and realized and
unrealized gains and losses on investments are allocated to each class of shares
based on its relative net assets.
29
<PAGE> 32
NOTES TO FINANCIAL STATEMENTS (continued)
E. During the six months ended June 30, 1999, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------
(000)
--------------------------------
INDEX FUND PURCHASES SALES
- ---------------------------------------------------------------------------------
<S> <C> <C>
Extended Market $ 493,321 $383,785
Mid-Cap 262,308 56,002
Small-Cap 1,008,145 902,449
Small-Cap Growth 65,795 39,888
Small-Cap Value 98,691 50,948
- ---------------------------------------------------------------------------------
</TABLE>
At December 31, 1998, the Small-Cap Growth Index Fund had available
realized losses of $5,555,000 to offset future net capital gains of $1,034,000
through December 31, 2006, and $4,521,000 through December 31, 2007.
F. At June 30, 1999, net unrealized appreciation (depreciation) of investment
securities for financial reporting and federal income tax purposes was:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
(000)
----------------------------------------------------
NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
INDEX FUND SECURITIES SECURITIES (DEPRECIATION)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market $1,367,809 $(381,117) $986,692
Mid-Cap 56,618 (24,527) 32,091
Small-Cap 621,082 (300,236) 320,846
Small-Cap Growth 14,313 (5,874) 8,439
Small-Cap Value 10,710 (18,662) (7,952)
- -----------------------------------------------------------------------------------
</TABLE>
At June 30, 1999, the aggregate settlement value of open futures contracts
expiring in September 1999 and the related unrealized appreciation were:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
(000)
-----------------------------------
AGGREGATE
NUMBER OF SETTLEMENT UNREALIZED
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE APPRECIATION
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market/
S&P MidCap 400 Index 206 $43,193 $1,003
Russell 2000 Index 156 36,036 1,361
Mid-Cap/
S&P MidCap 400 Index 10 2,097 50
Small-Cap/
Russell 2000 Index 70 16,170 485
- -------------------------------------------------------------------------------------
</TABLE>
30
<PAGE> 33
G. The market value of securities on loan to broker/dealers at June 30, 1999,
and collateral received with respect to such loans were:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
(000)
---------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
INDEX FUND SECURITIES RECEIVED
- --------------------------------------------------------------------------
<S> <C> <C>
Extended Market $241,652 $254,007
Small-Cap 97,711 101,074
Small-Cap Growth 1,954 2,905
Small-Cap Value 327 822
- --------------------------------------------------------------------------
</TABLE>
Cash collateral received is invested in repurchase agreements.
"Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500," "500,"
"S&P MidCap 400," and "S&P SmallCap 600" are trademarks of The McGraw-Hill
Companies, Inc., and have been licensed for use by Vanguard Index Funds
and The Vanguard Group, Inc. These mutual funds are not sponsored, endorsed,
sold, or promoted by Standard & Poor's, and Standard & Poor's makes no
representation regarding the advisability of investing in the funds. Frank
Russell Company is the owner of trademarks and copyrights relating to the
Russell Indexes. "Wilshire 4500" and "Wilshire 5000" are trademarks of
Wilshire Associates.
31
<PAGE> 34
NOTICE TO SHAREHOLDERS ABOUT Y2K
As is well known by now, the approaching calendar change to 2000 has posed a
challenge to many computer systems worldwide. Computers that are not modified
could interpret "00" as 1900 rather than 2000 and produce errors in
date-dependent calculations, including bond interest payments, stock trade
settlements, retirement benefits, and other financial transactions.
OUR APPROACH
Vanguard has taken this challenge seriously. We have had a Year 2000 Project
under way since 1996 to fulfill our responsibility to safeguard our business
relationships and the security of our investors' accounts.
Our internal systems are Year 2000-compliant. They have been renovated and
thoroughly tested and are ready for the date change. As for the external systems
that connect with ours, we have been working for many months with clients,
business partners, and providers of products and services to assess their
compliance. We have analyzed the external services we require and have developed
contingency plans--including provision for alternative providers where
appropriate.
On New Year's Day, our telephone centers will be staffed and ready for
shareholder calls. However, we expect the volume of inquiries over the New
Year's weekend to be high, and we encourage shareholders to check their accounts
via our website or automated telephone systems, which offer much greater service
capacity and efficiency. This will also help our live representatives to provide
a higher level of service to those with specific transaction or other
service-related needs.
WHAT YOU CAN DO
We assure you we will protect our shareholders' records, so account records
will not be lost. Nevertheless, keeping copies of current records is always
advisable. You should keep at least your third-quarter statement and any
confirmations you receive from us between October 1, 1999, and year-end.
If you are a registered user of Access Vanguard(TM) (www.vanguard.com),
you can retrieve this information through the secure "Your Accounts" section
and print copies for your files. If you are not registered for Access Vanguard
and wish to have this flexibility, you should register as soon as possible so
that you can receive your password and become familiar with this service before
the New Year's weekend. Likewise, you may need personal identification numbers
to use our automated telephone services: Vanguard Tele-Account(R) for
individual investors (1-800-662-6273) and The VOICE(TM) Network for
participants in employer-sponsored retirement plans (1-800-523-1188).
Our Year 2000 Project's primary goal from the start has been to prepare
our systems for business as usual on behalf of our shareholders into 2000 and
beyond. We remain confident we will meet that goal, and we look forward to
serving you in the years to come.
32
<PAGE> 35
TRUSTEES AND OFFICERS
JOHN C. BOGLE
Founder, Senior Chairman of the Board, and Director/Trustee of The Vanguard
Group, Inc., and each of the investment companies in The Vanguard Group.
JOHN J. BRENNAN
Chairman of the Board, Chief Executive Officer, and Director/Trustee of The
Vanguard Group, Inc., and each of the investment companies in The Vanguard
Group.
JoANN HEFFERNAN HEISEN
Vice President, Chief Information Officer, and a member of the Executive
Committee of Johnson & Johnson; Director of Johnson & JohnsonoMerck Consumer
Pharmaceuticals Co., Women First HealthCare, Inc., Recording for the Blind and
Dyslexic, The Medical Center at Princeton, and Women's Research and Education
Institute.
BRUCE K. MacLAURY
President Emeritus of The Brookings Institution; Director of American Express
Bank Ltd., The St. Paul Companies, Inc., and National Steel Corp.
BURTON G. MALKIEL
Chemical Bank Chairman's Professor of Economics, Princeton University; Director
of Prudential Insurance Co. of America, Banco Bilbao Gestinova, Baker Fentress
& Co., The Jeffrey Co., and Southern New England Telecommunications Co.
ALFRED M. RANKIN, JR.
Chairman, President, and Chief Executive Officer of NACCO Industries, Inc.;
Director of NACCO Industries, The BFGoodrich Co., and The Standard Products Co.
JOHN C. SAWHILL
President and Chief Executive Officer of The Nature Conservancy; formerly,
Director and Senior Partner of McKinsey & Co. and President of New York
University; Director of Pacific Gas and Electric Co., Procter & Gamble Co.,
NACCO Industries, and Newfield Exploration Co.
JAMES O. WELCH, JR.
Retired Chairman of Nabisco Brands, Inc.; retired Vice Chairman and Director of
RJR Nabisco; Director of TECO Energy, Inc., and Kmart Corp.
J. LAWRENCE WILSON
Chairman and Chief Executive Officer of Rohm & Haas Co.; Director of Cummins
Engine Co. and The Mead Corp.; Trustee of Vanderbilt University.
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY
Secretary; Managing Director and Secretary of The Vanguard Group, Inc.;
Secretary of each of the investment companies in The Vanguard Group.
THOMAS J. HIGGINS
Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of the
investment companies in The Vanguard Group.
OTHER VANGUARD OFFICERS
R. GREGORY BARTON
Managing Director, Legal Department.
ROBERT A. DiSTEFANO
Managing Director, Information Technology.
JAMES H. GATELY
Managing Director, Individual Investor Group.
KATHLEEN C. GUBANICH
Managing Director, Human Resources.
IAN A. MacKINNON
Managing Director, Fixed Income Group.
F. WILLIAM McNABB, III
Managing Director, Institutional Investor Group.
MICHAEL S. MILLER
Managing Director, Planning and Development.
RALPH K. PACKARD
Managing Director and Chief Financial Officer.
GEORGE U. SAUTER
Managing Director, Core Management Group.
<PAGE> 36
VANGUARD
MILESTONES
[GRAPHIC]
The Vanguard Group is
named for HMS Vanguard,
Admiral Horatio Nelson's flagship
at the Battle of the Nile on
August 1, 1798. Our founder,
John C. Bogle, chose the name
after reading Nelson's inspiring
tribute to his fleet: "Nothing could
withstand the squadron . . .
with the judgment of the captains,
together with their valour, and that
of the officers and men of every
description, it was absolutely irresistible."
[GRAPHIC]
Walter L. Morgan, founder of
Wellington Fund, the nation's
oldest balanced mutual fund
and forerunner of today's family
of some 100 Vanguard funds,
celebrated his 100th birthday on
July 23, 1998. Mr. Morgan,
a true investment pioneer, died
six weeks later on September 2.
[GRAPHIC]
Wellington Fund,
The Vanguard Group's oldest fund,
was incorporated by Mr. Morgan
70 years ago, on December 28, 1928.
The fund was named after
the Duke of Wellington,
whose forces defeated
Napoleon Bonaparte at the
Battle of Waterloo in 1815.
[THE VANGUARD GROUP LOGO]
Post Office Box 2600
Valley Forge, Pennsylvania 19482-2600
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
This report is intended for the funds' shareholders. It may not be distributed
to prospective investors unless it is preceded or accompanied by the current
fund prospectus.
Q982-08/20/1999
(C) 1999 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing
Corporation, Distributor.
<PAGE> 37
VANGUARD U.S. STOCK INDEX FUNDS
MID- AND SMALL-CAPITALIZATION PORTFOLIOS
FINANCIAL STATEMENTS
JUNE 30, 1999 (UNAUDITED)
[PHOTO]
The Statement of Net Assets should be read in conjunction with the Statement of
Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes
to Financial Statements, which begin on page 18 of the accompanying report.
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each fund, you will find a
table displaying the composition of the fund's net assets. Because all income
and any realized gains must be distributed to shareholders each year, the bulk
of net assets consists of Paid in Capital (money invested by shareholders). The
amounts shown for Undistributed Net Investment Income and Accumulated Net
Realized Gains usually approximate the sums the fund had available to distribute
to shareholders as income dividends or capital gains as of the statement date.
Any Accumulated Net Realized Losses, and any cumulative excess of distributions
over net income or net realized gains, will appear as negative balances.
Unrealized Appreciation (Depreciation) is the difference between the market
value of the fund's investments and their cost, and reflects the gains (losses)
that would be realized if the fund were to sell all of its investments at their
statement-date values.
CONTENTS
Extended Market Index Fund 1
Mid-Cap Index Fund 26
Small-Cap Index Fund 30
Small-Cap Growth Index Fund 48
Small-Cap Value Index Fund 51
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (97.8%)(1)
- -----------------------------------------------------------------------
- - Berkshire Hathaway Class A 1,795 $ 123,676
- - Yahoo!, Inc. 274,121 47,217
- - Qwest Communications
International Inc. 847,980 28,036
- - QUALCOMM, Inc. 182,400 26,174
Level 3 Communications, Inc. 410,200 24,638
- - Amazon.com, Inc. 194,100 24,287
- - Cox Communications Class A 632,108 23,269
- - eBay Inc. 151,800 22,979
- - At Home Corp. Series A 398,355 21,486
- - Priceline.com Inc. 171,300 19,796
The Equitable Cos. 271,109 18,164
Intimate Brands, Inc. 313,950 14,873
- - CMGI Inc 112,208 12,799
- - Immunex Corp. 98,600 12,565
Linear Technology Corp. 185,108 12,449
- - Biogen, Inc. 181,076 11,645
- - E*TRADE Group, Inc. 282,100 11,266
- - Maxim Integrated Products, Inc. 163,360 10,863
- - Lexmark International Group,
Inc. Class A 157,000 10,372
Harley-Davidson, Inc. 185,908 10,109
- - Autonation Inc. 560,358 9,981
- - Xilinx, Inc. 173,700 9,944
- - Analog Devices, Inc. 195,458 9,810
- - Chancellor Media Corp. 173,270 9,552
- - Veritas Software Corp. 100,387 9,530
- - Cablevision Systems Corp.
Class B 131,100 9,177
Donaldson, Lufkin & Jenrette, Inc. 150,300 9,056
- - CNA Financial Corp. 222,815 8,982
Cintas Corp. 133,000 8,936
Royal Caribbean Cruises, Ltd. 203,000 8,881
- - Altera Corp. 240,260 8,845
- - General Motors Corp. Class H 149,234 8,394
Marshall & Ilsley Corp. 128,409 8,266
- - Starbucks Corp. 217,300 8,162
- - Outdoor Systems, Inc. 223,418 8,155
- - Uniphase Corp. 48,800 8,101
Equity Office Properties
Trust REIT 311,600 7,985
- - Global TeleSystems Group, Inc. 97,800 7,922
- - Inktomi Corp. 58,500 7,693
</TABLE>
1
<PAGE> 38
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Knight/Trimark Group, Inc. 127,200 $ 7,672
UnionBanCal Corp. 210,482 7,604
- - NTL Inc. 87,900 7,576
- - Estee Lauder Cos. Class A 148,058 7,421
- - Teradyne, Inc. 103,189 7,404
- - ADC Telecommunications, Inc. 161,900 7,377
- - Univision Communications Inc. 111,400 7,352
- - AmeriTrade Holding Corp. 69,200 7,335
- - Siebel Systems, Inc. 110,200 7,315
Stryker Corp. 116,900 7,029
Molex, Inc. 187,591 6,941
ServiceMaster Co. 368,750 6,914
Galileo International, Inc. 127,000 6,787
Conexant Systems, Inc. 116,800 6,782
- - Metromedia Fiber Network, Inc. 188,700 6,781
- - Intuit, Inc. 74,100 6,678
- - Healtheon Corp. 85,600 6,591
First Security Corp. 240,027 6,541
Equity Residential Properties
Trust REIT 144,889 6,529
Leggett & Platt, Inc. 234,100 6,511
- - Bed Bath & Beyond, Inc. 168,900 6,503
Starwood Hotels & Resorts
Worldwide, Inc. 211,517 6,464
- - Concord EFS, Inc. 152,612 6,457
Washington Post Co. Class B 12,000 6,453
Conoco Inc. 230,700 6,431
- - USA Networks, Inc. 157,207 6,308
- - Comverse Technology, Inc. 83,300 6,289
- - Broadcom Corp. 43,200 6,245
Food Lion Inc. Class A 522,050 6,199
- - Vitesse Semiconductor Corp. 91,900 6,198
Tyson Foods, Inc. 275,010 6,188
Vastar Resources, Inc. 117,900 6,182
First American Corp. (Tenn.) 147,491 6,130
- - VISIX Inc. 76,600 6,066
Zions Bancorp 95,412 6,059
- - Gulfstream Aerospace Corp. 88,800 6,000
- - Abercrombie & Fitch Co. 124,800 5,990
- - Citrix Systems, Inc. 105,800 5,978
First Tennessee National Corp. 155,200 5,946
- - The Goldman Sachs Group, Inc. 82,100 5,932
- - Broadcast.com, Inc. 44,200 5,903
- - NCR Corp. 120,300 5,872
- - Exodus Communications, Inc. 48,400 5,805
Old Kent Financial Corp. 136,339 5,709
- - Quintiles Transnational Corp. 134,035 5,629
Charter One Financial 202,295 5,626
- - Jones Apparel Group, Inc. 162,801 5,586
T. Rowe Price 145,400 5,580
The CIT Group, Inc. 192,700 5,564
- - U.S. Cellular Corp. 103,550 5,540
- - Infinity Broadcasting Corp. 183,300 5,453
- - RealNetworks, Inc. 78,800 5,427
M & T Bank Corp. 9,834 5,408
- - VeriSign, Inc. 61,600 5,313
Telephone & Data Systems, Inc. 72,628 5,306
- - Smurfit-Stone Container Corp. 257,968 5,304
- - Loral Space & Communications 294,300 5,297
- - Sanmina Corp. 69,100 5,243
- - NorthPoint Communications
Group, Inc. 142,600 5,205
Simon Property Group, Inc. REIT 204,712 5,195
El Paso Energy Corp. 147,264 5,182
- - Republic Services, Inc. Class A 208,900 5,170
Reader's Digest Assn., Inc.
Class A 128,200 5,096
Family Dollar Stores, Inc. 210,000 5,040
- - eToys Inc. 122,900 5,008
Weatherford International, Inc. 136,270 4,991
- - Saks Inc. 172,159 4,971
Popular, Inc. 162,588 4,928
Reliastar Financial Corp. 111,624 4,884
- - McLeodUSA, Inc. Class A 88,700 4,879
Tosco Corp. 186,674 4,842
- - Quantum Corp. 200,000 4,825
- - CNET, Inc. 82,800 4,771
- - Rhythms NetConnections Inc. 81,700 4,769
- - Genzyme Corp. 98,176 4,762
- - DST Systems, Inc. 75,700 4,760
KeySpan Corp. 180,147 4,751
AMBAC Financial Group Inc. 82,856 4,733
Allegheny Energy, Inc. 147,600 4,732
- - SunGard Data Systems, Inc. 137,136 4,731
- - Synopsys, Inc. 85,508 4,719
- - Lycos, Inc. 51,272 4,711
Diamond Offshore Drilling, Inc. 165,200 4,688
- - Covad Communications
Group, Inc. 87,700 4,676
Montana Power Co. 65,600 4,625
- - American Power
Conversion Corp. 229,000 4,609
- - Adaptec, Inc. 130,400 4,605
- - Fiserv, Inc. 146,387 4,584
Dial Corp. 123,000 4,574
Comdisco, Inc. 178,476 4,573
- - Chiron Corp. 220,040 4,566
E.W. Scripps Co. Class A 95,869 4,560
- - Forest Laboratories, Inc. 98,216 4,542
- - MedImmune Inc. 66,100 4,478
- - Hispanic Broadcasting Corp. 58,500 4,439
Federal-Mogul Corp. 84,800 4,410
The Pepsi Bottling Group, Inc. 190,700 4,398
- - Jabil Circuit, Inc. 97,300 4,391
- - Allied Waste Industries, Inc. 221,650 4,378
Total System Services, Inc. 230,364 4,377
Public Storage, Inc. REIT 154,100 4,315
- - Century Communications Corp.
Class A 93,781 4,314
- - DoubleClick Inc. 46,900 4,303
Potomac Electric Power Co. 145,600 4,286
Allmerica Financial Corp. 70,210 4,270
Green Point Financial Corp. 129,700 4,256
- - Sterling Commerce, Inc. 114,562 4,182
Cincinnati Bell, Inc. 167,600 4,180
- - American Tower Corp. Class A 173,840 4,172
- - American Standard Cos., Inc. 86,200 4,138
- - Allegiance Telecom, Inc. 74,900 4,110
- - SCI Systems, Inc. 85,984 4,084
Mylan Laboratories, Inc. 153,700 4,073
- - Fox Entertainment Group, Inc.
Class A 151,200 4,073
- - UAL Corp. 62,600 4,069
Pinnacle West Capital Corp. 100,700 4,053
</TABLE>
2
<PAGE> 39
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - R.J. Reynolds Tobacco
Holdings, Inc. 128,000 $ 4,032
- - Lear Corp. 81,000 4,030
ProLogis Trust REIT 198,557 4,021
NiSource, Inc. 152,940 3,948
- - Waters Corp. 74,200 3,942
- - Centocor, Inc. 84,200 3,926
- - Pacificare Health Systems, Inc. 54,516 3,922
- - Litton Industries, Inc. 54,600 3,918
Tiffany & Co. 40,532 3,911
- - Electronic Arts Inc. 72,000 3,906
Energy East Corp. 149,800 3,895
FINOVA Group, Inc. 73,696 3,878
Enron Oil & Gas Co. 189,876 3,845
Symbol Technologies, Inc. 104,062 3,837
Viad Corp. 122,245 3,782
Unitrin, Inc. 91,740 3,761
- - MGM Grand, Inc. 76,740 3,760
- - i2 Technologies, Inc. 87,100 3,745
North Fork Bancorp, Inc. 175,502 3,740
- - CIENA Corp. 123,900 3,740
New England Electric System 74,500 3,734
Starwood Financial Trust REIT 59,780 3,706
- - Cadence Design Systems, Inc. 289,532 3,692
Compass Bancshares Inc. 135,447 3,691
DQE Inc. 91,843 3,685
TECO Energy, Inc. 161,900 3,683
Hormel Foods Corp. 91,300 3,675
- - RF Micro Devices, Inc. 49,200 3,672
Young & Rubicam Inc. 80,600 3,662
- - Convergys Corp. 189,800 3,654
Dynegy,Inc. 179,300 3,653
Archstone Communities
Trust REIT 166,221 3,646
A.G. Edwards & Sons, Inc. 112,822 3,639
- - Portal Software, Inc. 77,600 3,594
Crescent Real Estate, Inc. REIT 151,000 3,586
Sonoco Products Co. 119,393 3,574
- - Vornado Realty Trust REIT 101,096 3,570
Hubbell Inc. Class B 78,006 3,540
DPL Inc. 191,512 3,519
- - Golden State Bancorp Inc. 159,205 3,503
- - Ariba, Inc. 36,000 3,501
- - Rational Software Corp. 106,292 3,501
- - Outback Steakhouse 89,031 3,500
- - RCN Corp. 83,700 3,484
Infoseek Corp. 72,000 3,451
Wisconsin Energy Corp. 137,461 3,445
BHC Communications, Inc.
Class A 26,715 3,436
- - Extreme Networks, Inc. 59,000 3,426
- - E-Tek Dynamics, Inc. 71,800 3,415
- - Health Management Associates
Class A 303,398 3,413
- - Premier Parks Inc. 92,700 3,407
Hillenbrand Industries, Inc. 78,250 3,384
- - Citizens Utilities Co. Class B 303,574 3,377
- - Sybron International Corp. 121,600 3,352
USG Corp. 59,600 3,338
- - TV Guide, Inc. 90,900 3,329
ENSCO International, Inc. 166,100 3,312
LG&E Energy Corp. 157,128 3,300
- - Northwest Airlines Corp. Class A 101,300 3,292
TCA Cable TV, Inc. 59,000 3,275
- - Electronics for Imaging, Inc. 63,700 3,273
Martin Marietta Materials, Inc. 55,300 3,263
- - Metro-Goldwyn-Mayer Inc. 177,630 3,242
Transocean Offshore, Inc. 123,300 3,237
- - VoiceStream Wireless Corp. 113,800 3,236
- - Promus Hotel Corp. 104,288 3,233
- - MindSpring Enterprises, Inc. 72,400 3,208
- - Novellus Systems, Inc. 47,000 3,208
- - Crown Castle International Corp. 154,100 3,207
Host Marriott Corp. REIT 269,938 3,206
Transatlantic Holdings, Inc. 42,600 3,192
- - Atmel Corp. 121,300 3,177
- - Nabors Industries, Inc. 129,700 3,170
- - Sepracor Inc. 39,000 3,169
- - Dollar Tree Stores, Inc. 71,812 3,160
- - SPX Corp. 37,691 3,147
- - Perot Systems Corp. 106,600 3,145
Mercantile Bankshares Corp. 88,825 3,142
- - Park Place Entertainment 323,900 3,138
Associated Banc-Corp. 75,273 3,124
- - Verio Inc. 44,900 3,121
- - Global Marine, Inc. 201,900 3,117
Apartment Investment &
Management Co. Class A REIT 72,801 3,112
- - Adelphia Communications Corp.
Class A 48,800 3,105
Santa Fe International Corp. 134,600 3,096
- - Redback Networks Inc. 24,600 3,089
- - QLogic Corp. 23,400 3,089
Bowater Inc. 64,949 3,069
- - Noble Drilling Corp. 155,400 3,059
- - Keebler Foods Co. 100,500 3,053
FirstMerit Corp. 108,300 3,039
ICN Pharmaceuticals, Inc. 94,227 3,033
TCF Financial Corp. 108,742 3,031
- - Andrx Corp. 39,300 3,031
Lafarge Corp. 85,400 3,026
Hertz Corp. Class A 48,800 3,026
Travelers Property Casualty Corp. 76,800 3,005
Hibernia Corp. Class A 190,428 2,987
Solutia, Inc. 139,500 2,973
The St. Joe Co. 109,997 2,970
American Water Works Co., Inc. 95,974 2,951
SCANA Corp. 126,100 2,948
First Virginia Banks, Inc. 59,963 2,946
- - PSINet, Inc. 67,200 2,940
Southdown, Inc. 45,728 2,938
Astoria Financial Corp. 66,853 2,937
- - Consolidated Papers Inc. 109,800 2,937
- - Snyder Communications, Inc. 89,500 2,931
Ross Stores, Inc. 57,988 2,921
- - Microchip Technology, Inc. 61,575 2,917
Spieker Properties, Inc. REIT 74,900 2,912
Commerce Bancshares, Inc. 72,320 2,911
- - PRIMEDIA Inc. 171,400 2,903
- - Go2Net, Inc. 31,400 2,885
- - Continental Airlines, Inc. Class B 76,500 2,878
- - Robert Half International, Inc. 110,400 2,870
- - Affiliated Computer Services, Inc.
Class A 56,325 2,851
</TABLE>
3
<PAGE> 40
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Old Republic International Corp. 164,341 $ 2,845
- - NEXTLINK Communications, Inc. 38,100 2,834
Dime Bancorp, Inc. 140,346 2,824
- - EchoStar Communications Corp. 18,400 2,823
- - SFX Entertainment, Inc. 42,400 2,822
- - Storage Technology Corp. 123,382 2,807
Bergen Brunswig Corp. Class A 162,654 2,806
Kimco Realty Corp. REIT 71,450 2,795
Avalonbay Communities, Inc. REIT 75,421 2,791
The Timber Co. 110,000 2,778
A. H. Belo Corp. Class A 140,506 2,766
- - Express Scripts 45,900 2,763
- - Legato Systems, Inc. 47,800 2,760
- - Winstar Communications, Inc. 56,500 2,754
American Bankers
Insurance Group 50,400 2,744
Hannaford Brothers Co. 51,200 2,739
Lyondell Chemical Co. 132,654 2,736
Nabisco Holdings Corp. Class A 63,200 2,733
- - Shaw Industries, Inc. 165,500 2,731
Premark International, Inc. 72,523 2,720
- - Northeast Utilities 153,400 2,713
- - International Network Services 67,050 2,707
Murphy Oil Corp. 55,230 2,696
CCB Financial Corp. 50,944 2,694
- - InfoSpace.com, Inc. 57,200 2,688
Conectiv, Inc. 109,984 2,688
McCormick & Co., Inc. 84,783 2,676
- - BJ's Wholesale Club, Inc. 89,000 2,676
National Community Bancorp 122,292 2,675
Boston Properties, Inc. REIT 74,300 2,666
Flowers Industries, Inc. 122,700 2,661
IBP, Inc. 111,800 2,655
- - United International Holdings, Inc.
Class A 39,139 2,647
- - Valassis Communications, Inc. 72,150 2,642
- - Sterling Software, Inc. 98,774 2,636
CNB Bancshares, Inc. 45,950 2,619
- - BEA Systems, Inc. 91,500 2,613
Sotheby's Holdings Class A 68,500 2,612
- - Jones Intercable Inc. 53,000 2,597
Alliant Energy Corp. 90,899 2,579
UtiliCorp United, Inc. 105,829 2,573
- - MiniMed, Inc. 33,400 2,570
- - MidAmerican Energy Holdings Co. 74,092 2,565
Wesco Financial Corp. 8,268 2,563
- - U.S. Foodservice 60,096 2,562
- - Gartner Group, Inc. Class A 124,800 2,558
Legg Mason Inc. 66,398 2,556
- - Gentex Corp. 91,100 2,551
- - Rambus Inc. 27,600 2,544
Protective Life Corp. 76,700 2,531
- - BJ Services Co. 85,300 2,511
- - American Eagle Outfitters, Inc. 55,100 2,507
American Financial Group, Inc. 73,600 2,507
AVX Corp. 102,000 2,486
- - United Rentals, Inc. 83,552 2,465
- - TMP Worldwide, Inc. 38,800 2,464
Johns Manville Corp. 189,300 2,461
- - Apollo Group, Inc. Class A 92,062 2,445
- - Smith International, Inc. 56,200 2,441
- - Safeguard Scientifics, Inc. 39,200 2,430
Comair Holdings, Inc. 116,436 2,423
- - Vignette Corp. 32,300 2,423
- - Cooper Cameron Corp. 65,200 2,416
Fastenal Co. 46,000 2,412
Meditrust Corp. 184,169 2,406
HRPT Properties Trust REIT 156,500 2,396
IMC Global Inc. 135,944 2,396
Cornerstone Properties, Inc. REIT 150,800 2,394
- - Pixar, Inc. 55,500 2,393
AMB Property Corp. REIT 101,800 2,392
- - LAM Research Corp. 51,235 2,392
Puget Sound Energy Inc. 99,641 2,391
Valley National Bancorp 83,085 2,389
Duke Realty Investments,
Inc. REIT 104,540 2,359
- - Mandalay Resort Group 111,359 2,352
- - Network Associates, Inc. 159,757 2,346
- - BroadVision, Inc. 31,700 2,338
Applied Micro Circuits Corp. 28,400 2,336
- - Acxiom Corp. 93,622 2,335
Ultramar Diamond
Shamrock Corp. 106,826 2,330
- - Associated Group, Inc. 35,656 2,322
- - J.D. Edwards & Co. 125,350 2,319
Harte-Hanks, Inc. 85,482 2,319
Pentair, Inc. 50,608 2,315
International Game Technology 124,998 2,312
OGE Energy Corp. 97,200 2,309
Whitman Corp. 128,200 2,308
BEC Energy 55,900 2,306
- - Tech Data Corp. 60,178 2,302
- - Barnes & Noble, Inc. 83,900 2,297
Diebold, Inc. 79,826 2,295
- - Nova Corp. (Georgia) 91,736 2,293
- - Thermo Instrument Systems, Inc. 135,758 2,291
- - Williams Sonoma, Inc. 65,800 2,291
Illinova Corp. 83,876 2,286
National Fuel Gas Co. 46,900 2,275
Peoples Bank Bridgeport 74,650 2,272
- - Level One Communications 46,400 2,271
Erie Indemnity Co. Class A 79,517 2,266
Peoples Heritage Financial
Group Inc. 120,234 2,262
- - EarthLink Network, Inc. 36,800 2,261
CNF Transportation, Inc. 58,600 2,249
Sovereign Bancorp, Inc. 185,116 2,245
Manpower Inc. 99,200 2,244
IPALCO Enterprises, Inc. 105,900 2,244
GATX Corp. 58,800 2,238
Wilmington Trust Corp. 39,000 2,238
U.S. Trust Corp. 24,000 2,220
- - Brinker International, Inc. 81,463 2,215
- - US Oncology, Inc. 184,232 2,211
Provident Financial Group, Inc. 50,525 2,210
Herman Miller, Inc. 104,884 2,203
- - Critical Path, Inc. 39,800 2,201
- - CDW Computer Centers, Inc. 50,000 2,200
Mercury General Corp. 64,600 2,196
- - Mohawk Industries, Inc. 72,100 2,190
- - Foundation Health Systems
Class A 145,932 2,189
American National Insurance Co. 30,650 2,184
</TABLE>
4
<PAGE> 41
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Millennium Chemicals, Inc. 92,600 $ 2,182
The PMI Group Inc. 34,600 2,173
Rouse Co. REIT 85,600 2,172
CarrAmerica Realty Corp. REIT 86,700 2,168
- - Payless ShoeSource, Inc. 40,400 2,161
- - ICOS Corp. 52,600 2,147
- - Arrow Electronics, Inc. 112,800 2,143
City National Corp. 57,188 2,141
Radian Group, Inc. 43,800 2,138
- - MIPS Technologies, Inc. 44,500 2,133
- - Ingram Micro, Inc. 82,800 2,132
- - R & B Falcon Corp. 226,737 2,126
- - ACNielson Corp. 70,100 2,121
Mack-Cali Realty Corp. REIT 68,500 2,119
- - Lamar Advertising Co. Class A 51,550 2,110
Reynolds & Reynolds Class A 90,500 2,110
Westpoint Stevens, Inc. 70,714 2,108
Metris Cos., Inc. 51,708 2,107
Aliant Communications, Inc. 45,600 2,106
- - Gilead Sciences, Inc. 40,300 2,106
HON Industries, Inc. 72,100 2,104
- - Omnipoint Corp. 72,600 2,101
- - Catalina Marketing Corp. 22,800 2,098
Meritor Automotive, Inc. 82,100 2,094
COMSAT Corp. 64,400 2,093
- - Vishay Intertechnology, Inc. 99,604 2,092
- - Howmet International Inc. 121,200 2,083
Pacific Century Financial Corp. 96,402 2,079
- - Blyth Industries, Inc. 60,450 2,078
Western Resources, Inc. 77,792 2,071
Dean Foods Corp. 49,633 2,063
Hudson United Bancorp 67,243 2,059
Devon Energy Corp. 57,600 2,059
- - VerticalNet, Inc. 19,600 2,056
Dole Food Co. 69,900 2,053
Centura Banks, Inc. 36,339 2,049
- - Linens 'n Things, Inc. 46,800 2,047
- - LHS Group, Inc. 61,700 2,044
Avnet, Inc. 43,842 2,039
York International Corp. 47,600 2,038
The Warnaco Group, Inc. Class A 76,037 2,034
- - Cypress Semiconductor Corp. 123,200 2,033
U.S. Industries, Inc. 119,390 2,030
- - IVAX Corp. 143,600 2,028
Waddell & Reed Financial, Inc.
Class B 75,000 2,025
Financial Security Assurance
Holdings Ltd. 38,800 2,018
- - CommScope, Inc. 65,600 2,017
MCN Energy Group Inc. 97,100 2,015
- - Nielsen Media Research 68,800 2,012
- - General Nutrition Cos., Inc. 86,300 2,012
Everest Reinsurance Holdings, Inc. 61,600 2,010
- - Whittman-Hart, Inc. 63,200 2,007
C.H. Robinson Worldwide, Inc. 54,600 2,007
Ethan Allen Interiors, Inc. 53,100 2,005
Teleflex Inc. 46,000 1,998
Tidewater Inc. 65,100 1,986
Post Properties, Inc. REIT 48,357 1,983
Highwood Properties, Inc. REIT 72,100 1,978
- - Copper Mountain Networks, Inc. 25,600 1,978
- - Catellus Development Corp. 127,001 1,969
Cabot Corp. 81,332 1,967
Stewart Enterprises, Inc. Class A 134,400 1,957
- - USWeb Corp. 87,950 1,951
20th Century Industries of CA 103,200 1,948
- - Speedway Motorsports, Inc. 49,400 1,942
Cordant Technologies, Inc. 42,600 1,925
Florida East Coast Railway Co. 43,500 1,925
- - Lattice Semiconductor Corp. 30,900 1,924
- - BISYS Group, Inc. 32,800 1,919
Trustmark Corp. 83,600 1,912
Clayton Homes Inc. 167,096 1,911
New Plan Excel Realty Trust REIT 106,114 1,910
Liberty Property Trust REIT 76,700 1,908
Interstate Bakeries Corp. 85,000 1,907
Weis Markets, Inc. 48,600 1,901
- - Safety-Kleen Corp. 104,725 1,898
- - Furniture Brands International Inc. 68,000 1,897
Questar Corp. 98,730 1,888
Noble Affiliates, Inc. 66,936 1,887
- - Ocean Energy, Inc. 195,942 1,886
- - KEMET Corp. 82,100 1,883
- - Keane, Inc. 83,200 1,882
SEI Corp. 21,300 1,880
- - MMC Networks, Inc. 42,000 1,880
Valspar Corp. 49,400 1,877
- - Sapient Corp. 33,100 1,874
Lubrizol Corp. 68,533 1,868
- - L-3 Communications Holdings, Inc. 38,600 1,865
- - Scient Corp. 39,200 1,864
Houghton Mifflin Co. 39,600 1,864
- - ITC DeltaCom, Inc. 66,400 1,859
- - Chris-Craft Industries, Inc. 39,378 1,856
Federated Investors, Inc. 103,400 1,855
Colonial BancGroup, Inc. 132,900 1,852
- - Macromedia 52,477 1,850
- - Devry, Inc. 82,500 1,846
- - Ziff-Davis Inc. 119,500 1,845
- - Alliance Semiconductor Corp. 185,450 1,843
- - The SABRE Group Holdings, Inc. 26,800 1,843
- - MedQuist, Inc. 42,100 1,842
- - SDL, Inc. 36,000 1,838
- - IDEC Pharmaceuticals Corp. 23,800 1,834
Kansas City Power & Light Co. 71,800 1,831
- - Informix Corp. 214,400 1,829
- - Modis Professional Services Inc. 132,900 1,827
- - USinternetworking, Inc. 43,500 1,827
- - Prodigy Communications Corp. 70,600 1,827
- - Guess ?, Inc. 131,600 1,818
- - CustomTracks Corp. 32,350 1,810
RPM Inc. (Ohio) 127,480 1,809
- - ISS Group, Inc. 47,800 1,804
- - Burr-Brown Corp. 49,200 1,802
- - MedPartners, Inc. 237,717 1,798
Hospitality Properties Trust REIT 66,100 1,793
Arden Realty Group, Inc. REIT 72,800 1,793
- - Universal Health Services Class B 37,500 1,791
LTX Corp. 133,912 1,783
- - Trigon Healthcare, Inc. 49,000 1,782
National Data Corp. 41,639 1,780
The MONY Group Inc. 54,500 1,778
- - Micrel, Inc. 24,000 1,776
United Asset Management Corp. 78,000 1,774
</TABLE>
5
<PAGE> 42
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Crompton & Knowles Corp. 90,500 $ 1,770
- - Lincare Holdings, Inc. 70,800 1,770
- - Swift Transportation Co., Inc. 80,325 1,767
- - Zale Corp. 44,100 1,764
The McClatchy Co. Class A 53,250 1,764
- - Lands' End, Inc. 36,300 1,761
Minnesota Power, Inc. 88,300 1,755
- - Sykes Enterprises, Inc. 52,450 1,751
Keystone Financial, Inc. 59,200 1,750
- - Azurix Corp. 87,500 1,750
Expeditors International of
Washington, Inc. 64,200 1,749
- - OfficeMax, Inc. 145,700 1,748
Carlisle Co., Inc. 36,246 1,744
Borg-Warner Automotive, Inc. 31,700 1,743
Hartford Life, Inc. 33,000 1,737
- - Dycom Industries, Inc. 31,000 1,736
Roslyn Bancorp, Inc. 100,840 1,733
DENTSPLY International Inc. 60,000 1,732
- - Symantec Corp. 67,912 1,732
- - Remedy Corp. 64,400 1,731
Dallas Semiconductor Corp. 34,200 1,727
Central Newspapers, Inc. 45,900 1,727
General Growth Properties Inc.
REIT 48,600 1,725
- - ESS Technology, Inc. 127,800 1,717
- - Synetic, Inc. 24,900 1,712
USEC Inc. 115,000 1,711
- - NextCard, Inc. 50,300 1,707
- - International Home Foods, Inc. 92,400 1,704
Harsco Corp. 53,232 1,703
- - Adtran, Inc. 46,800 1,702
Leucadia National Corp. 68,076 1,702
Cullen/Frost Bankers, Inc. 61,720 1,701
Fulton Financial Corp. 81,909 1,694
Beckman Coulter, Inc. 34,800 1,692
- - Cognex Corp. 53,450 1,687
- - CapRock Communications Corp. 41,600 1,685
- - Suiza Foods Corp. 40,200 1,683
- - Intermedia Communications Inc. 56,000 1,680
- - Calpine Corp. 31,100 1,679
Commercial Federal Corp. 72,397 1,679
- - Covance, Inc. 69,860 1,672
Trinity Industries, Inc. 49,900 1,672
Lennar Corp. 69,639 1,671
- - Vicor Corp. 78,881 1,671
Tootsie Roll Industries, Inc. 43,034 1,662
- - Smithfield Foods, Inc. 49,700 1,662
- - Sunglass Hut International, Inc. 96,674 1,662
USFreightways Corp. 35,800 1,658
- - Cytec Industries, Inc. 51,900 1,654
FelCor Lodging Trust, Inc. REIT 79,637 1,652
Reinsurance Group of
America, Inc. 46,800 1,650
True North Communications 54,900 1,647
Lancaster Colony Corp. 47,715 1,646
- - Barrett Resources Corp. 42,850 1,644
- - Sylvan Learning Systems, Inc. 60,400 1,642
- - CheckFree Holdings Corp. 59,500 1,640
- - Venator Group, Inc. 157,100 1,640
- - Journal Register Co. 72,800 1,638
Lee Enterprises, Inc. 53,700 1,638
Allied Capital Corp. 68,220 1,637
- - Advanced Fibre
Communications, Inc. 104,700 1,636
Media General, Inc. Class A 32,000 1,632
- - IXC Communications, Inc. 41,500 1,631
WestAmerica Bancorporation 44,696 1,631
- - Coltec Inc. 75,200 1,631
La-Z-Boy Inc. 70,800 1,628
- - Oxford Health Plan 104,400 1,625
- - C-Cube Microsystems, Inc. 50,900 1,613
- - Credence Systems Corp. 43,400 1,611
CMP Group Inc. 61,467 1,610
- - Unifi, Inc. 75,725 1,609
Talbots Inc. 42,200 1,609
- - New Era of Networks, Inc. 36,600 1,608
- - CSG Systems International, Inc. 61,300 1,605
John Nuveen Co. Class A 37,443 1,598
Airborne Freight Corp. 57,620 1,595
- - Alleghany Corp. 8,617 1,594
Ogden Corp. 59,051 1,591
Rayonier Inc. 31,900 1,589
- - Macrovision Corp. 21,200 1,587
- - Station Casinos, Inc. 77,600 1,581
Camden Property Trust REIT 56,961 1,581
Old National Bancorp 52,573 1,580
- - The Liposome Co., Inc. 82,639 1,580
AK Steel Corp. 70,200 1,580
UST Corp. 52,200 1,579
- - American Management
Systems, Inc. 49,125 1,575
Webster Financial Corp. 57,932 1,571
- - Neiman Marcus Group Inc. 61,155 1,571
Pennzoil-Quaker State Co. 104,655 1,570
- - Sequent Computer Systems, Inc. 88,400 1,569
- - First Health Group Corp. 72,730 1,568
- - Antec Corp. 48,700 1,561
- - Affymetrix, Inc. 31,600 1,560
- - QRS Corp. 20,000 1,560
- - SkyTel Communications, Inc. 74,400 1,558
- - Pinnacle Systems, Inc. 46,244 1,555
- - Cree Research, Inc. 20,200 1,554
- - Newfield Exploration Co. 54,600 1,553
- - Henry Schein, Inc. 48,900 1,550
Liberty Financial Cos., Inc. 53,100 1,547
- - Mercury Interactive Corp. 43,700 1,546
BancWest Corp. 41,600 1,544
- - Papa John's International, Inc. 34,550 1,544
- - CEC Entertainment Inc. 36,475 1,541
- - STERIS Corp. 79,516 1,541
- - Santa Fe Snyder Corp. 201,968 1,540
Fremont General Corp. 81,374 1,536
Hollinger International, Inc. 129,000 1,532
- - Clarify, Inc. 37,100 1,530
Jones Pharma, Inc. 38,850 1,530
- - National Instruments Corp. 37,850 1,528
Equitable Resources, Inc. 40,450 1,527
- - Laser Vision Centers, Inc. 24,200 1,525
- - Patterson Dental Co. 43,800 1,522
Valhi, Inc. 136,700 1,521
- - Millennium Pharmaceuticals, Inc. 42,200 1,519
</TABLE>
6
<PAGE> 43
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Total Renal Care Holdings, Inc. 97,394 $ 1,516
- - Men's Wearhouse, Inc. 59,404 1,515
- - Fairfield Communities, Inc. 93,900 1,514
- - InfoCure Corp. 28,600 1,514
- - The Profit Recovery Group
International, Inc. 32,000 1,514
- - AnnTaylor Stores Corp. 33,600 1,512
Claire's Stores, Inc. 58,800 1,507
- - Aerial Communications Inc. 111,600 1,507
IndyMac Mortgage Holdings, Inc. 93,800 1,501
- - Harmonic, Inc. 26,100 1,499
One Valley Bancorp of
West Virginia Inc. 39,968 1,499
- - DSP Communications, Inc. 51,900 1,499
Polaris Industries, Inc. 34,450 1,499
- - Wyman-Gordon Corp. 77,500 1,497
Nevada Power Co. 59,852 1,496
- - Iomega Corp. 302,500 1,494
Central Parking Corp. 43,600 1,493
- - O'Reilly Automotive, Inc. 29,600 1,491
- - Atlas Air, Inc. 46,200 1,490
- - TSI International Software Ltd. 52,464 1,489
- - Barr Labs Inc. 37,300 1,487
- - Concentric Network Corp. 37,400 1,487
- - WMS Industries, Inc. 87,150 1,482
- - hi/fn, inc. 19,367 1,474
Eaton Vance Corp. 42,800 1,474
- - Ames Department Stores, Inc. 32,300 1,474
- - G & K Services, Inc. 28,025 1,468
- - Mueller Industries Inc. 43,232 1,467
- - AboveNet Communications Inc. 36,200 1,462
- - Viatel, Inc. 26,000 1,459
IDACORP, Inc. 46,300 1,458
Pittway Corp. Class A 42,632 1,457
Horace Mann Educators Corp. 53,600 1,457
Minerals Technologies, Inc. 26,100 1,457
- - Policy Management Systems Corp. 48,528 1,456
Aptargroup Inc. 48,500 1,455
Optical Coating Laboratory, Inc. 17,385 1,454
Cousins Properties, Inc. REIT 42,920 1,451
- - Advanced Digital Information Corp. 35,800 1,450
- - UICI 52,400 1,448
National Computer Systems, Inc. 42,800 1,445
HSB Group Inc. 35,014 1,442
Delta & Pine Land Co. 45,776 1,442
- - AmeriSource Health Corp. 56,508 1,441
- - 99 Cents Only Stores 28,850 1,441
Pier 1 Imports Inc. 128,008 1,440
- - Excel Switching Corp. 48,100 1,440
United Dominion Realty Trust REIT 122,200 1,436
Kaydon Corp. 42,700 1,436
American Annuity Group Inc. 59,178 1,435
- - Revlon, Inc. Class A 47,400 1,434
Regency Realty Corp. REIT 65,300 1,433
- - Transaction Systems
Architects, Inc. 36,700 1,431
Deb Shops, Inc. 72,000 1,431
Donaldson Co., Inc. 58,200 1,426
Nordson Corp. 23,240 1,423
- - Whole Foods Market, Inc. 29,600 1,423
- - Knoll, Inc. 53,400 1,422
- - SanDisk Corp. 31,500 1,418
MeriStar Hospitality Corp. REIT 63,031 1,414
Sky Financial Group, Inc. 51,840 1,413
- - High Speed Access Corp. 55,000 1,409
- - Unitrode Corp. 49,100 1,409
Franchise Finance Corp. of
America REIT 64,000 1,408
- - Cephalon, Inc. 81,000 1,407
Nationwide Financial
Services, Inc. 31,100 1,407
Newport News Shipbuilding Inc. 47,600 1,404
- - TeleBanc Financial Corp. 36,200 1,403
- - Marimba, Inc. 26,600 1,401
- - Peregrine Systems, Inc. 54,500 1,400
Washington Federal Inc. 62,322 1,398
Crawford & Co. Class B 86,000 1,397
MDU Resources Group, Inc. 61,225 1,397
- - Tower Automotive, Inc. 54,900 1,397
Valero Energy Corp. 65,000 1,393
- - Foodmaker, Inc. 49,100 1,393
- - Hearst-Argyle Television Inc. 58,035 1,393
- - Borders Group, Inc. 87,800 1,388
Mark IV Industries, Inc. 65,632 1,386
- - Dialogic Corp. 31,600 1,386
Pilgrim's Pride Corp. 46,200 1,386
- - Western Wireless Corp. Class A 51,200 1,382
- - Bally Total Fitness Holding Corp. 48,689 1,382
- - Mastec Inc. 48,883 1,381
- - Polycom, Inc. 35,400 1,381
- - Westwood One, Inc. 38,600 1,378
MacDermid, Inc. 29,600 1,376
Omnicare, Inc. 108,900 1,375
Liberty Corp. 25,200 1,373
- - Zebra Technologies Class A 35,700 1,372
R.H. Donnelley Corp. 70,100 1,371
- - Security First Technologies Corp. 30,376 1,371
- - ChoicePoint Inc. 20,400 1,369
Superior Industries
International, Inc. 50,119 1,369
Raymond James Financial, Inc. 57,137 1,368
- - URS Corp. 46,658 1,368
- - iVillage Inc. 27,200 1,367
- - Choice Hotel International, Inc. 69,100 1,365
- - Sodexho Marriott Services, Inc. 71,100 1,364
- - Kronos, Inc. 29,975 1,364
- - AmeriCredit Corp. 85,200 1,363
Earthgrains Co. 52,800 1,363
Washington Gas Light Corp. 52,402 1,362
- - Amkor Technology, Inc. 132,800 1,361
- - American Freightways 69,500 1,360
United Bankshares, Inc. 51,300 1,359
Commerce Bancorp, Inc. 31,785 1,359
- - Aurora Foods Inc. 77,600 1,358
- - PETsMART, Inc. 132,400 1,357
Corn Products International, Inc. 44,500 1,354
Werner Enterprises, Inc. 65,275 1,354
Pittston Brink's Group 50,600 1,354
- - UCAR International, Inc. 53,600 1,353
United Television, Inc. 12,900 1,353
- - BOK Financial Corp. 53,566 1,353
- - Visio Corp. 35,500 1,351
</TABLE>
7
<PAGE> 44
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Wausau-Mosinee Paper Corp. 75,028 $ 1,351
Callaway Golf Co. 92,300 1,350
- - Terayon Communications
Systems, Inc. 24,100 1,347
- - Renal Care Group, Inc. 52,000 1,346
- - Alaska Air Group, Inc. 32,200 1,344
- - DII Group, Inc. 36,000 1,343
First Midwest Bancorp 33,700 1,340
- - Quanta Services, Inc. 30,400 1,338
- - Kaiser Aluminum &
Chemical Corp. 150,700 1,337
- - Sequa Corp. Class A 19,100 1,337
- - Transwitch Corp. 28,200 1,336
- - Extended Stay America, Inc. 111,300 1,336
Wallace Computer Services, Inc. 53,400 1,335
Roper Industries Inc. 41,700 1,334
BRE Properties Inc. Class A REIT 51,400 1,333
Western Gas Resources, Inc. 83,300 1,333
- - Metzler Group, Inc. 48,240 1,333
Weingarten Realty Investors REIT 31,900 1,332
Witco Chemical Corp. 66,500 1,330
- - Plantronics, Inc. 20,400 1,329
Blount International, Inc. 48,800 1,327
Arvin Industries, Inc. 35,000 1,326
- - World Color Press, Inc. 48,200 1,325
- - Global Industries Ltd. 103,100 1,321
- - International Rectifier Corp. 99,200 1,321
- - Amphenol Corp. 33,200 1,320
Wyndham International Inc. 285,290 1,319
Hawaiian Electric Industries Inc. 37,135 1,318
Dexter Corp. 32,300 1,318
Sun Communities, Inc. REIT 37,100 1,317
- - GoTo.com, Inc. 47,000 1,316
Kelly Services, Inc. Class A 40,937 1,315
- - SLI, Inc. 48,700 1,315
- - Jacobs Engineering Group Inc. 34,600 1,315
Oneida Ltd. 46,733 1,314
- - WorldGate Communications, Inc. 25,600 1,312
- - DuPont Photomasks, Inc. 27,400 1,312
- - DBT Online Inc. 40,054 1,312
Bank North Group 39,740 1,311
H.B. Fuller Co. 19,150 1,309
Centennial Cellular Corp. Class A 36,700 1,307
- - Spiegel, Inc. Class A 147,000 1,305
- - Summit Technology, Inc. 59,250 1,303
Pioneer Natural Resources Co. 118,256 1,301
Ohio Casualty Corp. 35,956 1,299
Prison Realty Trust, Inc. 132,161 1,297
Community First Bankshares 54,316 1,297
AGL Resources Inc. 70,300 1,296
- - Shopko Stores, Inc. 35,755 1,296
Pultizer, Inc. 26,682 1,296
Reckson Associates Realty
Corp. REIT 55,100 1,295
- - Avondale Industries, Inc. 33,200 1,295
Western Bancorp 29,761 1,295
John H. Harland Co. 64,900 1,294
- - Capstar Broadcasting Corp. 47,100 1,289
St. Paul Bancorp, Inc. 50,555 1,289
Alpharma, Inc. Class A 36,234 1,289
- - Paymentech, Inc. 50,767 1,288
Manitowac Co., Inc. 30,900 1,286
- - Bank United Corp. Class A 32,000 1,286
- - Advanced Energy Industries, Inc. 31,700 1,286
- - Nexstar Pharmaceuticals Inc. 64,491 1,286
Burlington Coat Factory
Warehouse Corp. 66,500 1,284
CBRL Group, Inc. 74,033 1,282
Albemarle Corp. 55,382 1,281
- - Southern Union Co. 58,841 1,280
Washington REIT 75,500 1,279
Sierra Pacific Resources 35,100 1,277
- - Stillwater Mining Co. 39,050 1,276
- - Dal-Tile International Inc. 112,200 1,276
First American Financial Corp. 71,400 1,276
- - Hanover Compressor Co. 39,700 1,275
- - Abacus Direct Corp. 13,900 1,272
Elcor Corp. 29,100 1,271
Heller Financial, Inc. 45,700 1,271
- - The Boyds Collection, Ltd. 73,400 1,271
Bindly Western Industries, Inc. 55,067 1,270
- - Sybase, Inc. 115,440 1,270
Westfield America, Inc. REIT 84,300 1,270
D. R. Horton, Inc. 76,200 1,267
Detroit Diesel Corp. 51,422 1,266
Federal Realty Investment
Trust REIT 55,200 1,266
John Wiley & Sons Class A 71,800 1,265
- - Anixter International Inc. 69,300 1,265
- - Telescan, Inc. 52,000 1,264
- - Sanchez Computer
Associates, Inc. 36,500 1,264
- - Alliant Techsystems, Inc. 14,600 1,263
GenCorp, Inc. 50,000 1,263
- - Ciber, Inc. 66,000 1,262
A.O. Smith Corp. 45,050 1,261
- - Xomed Surgical Products Inc. 25,900 1,261
- - Triarc Cos., Inc. Class A 59,300 1,260
Ruddick Corp. 63,000 1,260
- - Mastech Corp. 67,500 1,257
Investment Technology Group, Inc. 38,830 1,257
- - Marshall Industries 34,972 1,257
JLG Industries, Inc. 61,600 1,255
- - Hambrecht & Quist Group 33,800 1,255
Commonwealth Energy Systems 29,800 1,252
- - TenFold Corp. 39,400 1,251
HCC Insurance Holdings, Inc. 55,100 1,250
IDEX Corp. 38,000 1,249
EVEREN Capital Corp. 41,900 1,249
E.W. Blanch Holdings, Inc. 18,300 1,248
- - Network Peripherals, Inc. 64,400 1,248
- - Coach USA, Inc. 29,700 1,246
- - Hyperion Telecommunications,
Inc. Class A 66,200 1,245
Student Loan Corp. 27,900 1,242
- - Coventry Health Care Inc. 113,500 1,241
Wicor, Inc. 44,400 1,240
Rochester Gas & Electric Corp. 46,648 1,239
- - Avis Rent A Car, Inc. 42,500 1,238
- - Matria Healthcare, Inc. 170,678 1,237
- - Human Genome Sciences, Inc. 31,300 1,236
- - Kent Electronics Corp. 62,400 1,236
- - Markel Corp. 6,600 1,234
Universal Corp. 43,400 1,234
</TABLE>
8
<PAGE> 45
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Datascope Corp. 38,400 $ 1,234
The Toro Co. 31,300 1,232
Penton Media, Inc. Class A 50,816 1,232
Universal Foods Corp. 58,324 1,232
- - Michaels Stores, Inc. 40,200 1,231
- - IDEXX Laboratories Corp. 52,800 1,231
- - Scholastic Corp. 24,300 1,230
- - Century Business Services, Inc. 84,800 1,230
First Industrial Realty Trust REIT 44,800 1,229
- - Apria Healthcare 72,280 1,229
- - Metro Networks, Inc. 23,000 1,228
- - Maxxam Inc. 19,000 1,226
Foremost Corp. of America 55,700 1,225
- - Teletech Holdings Inc. 120,900 1,224
- - VWR Scientific Products Corp. 33,300 1,222
Florida Rock Industries, Inc. 26,800 1,219
Hughes Supply, Inc. 41,061 1,219
- - Cambridge Technology Partners 69,400 1,219
Charles E. Smith Residential
Realty, Inc. REIT 35,900 1,218
- - Sola International Inc. 62,600 1,217
- - Dionex Corp. 30,000 1,215
- - Carrier Access Corp. 27,700 1,214
- - Coherent, Inc. 65,146 1,213
Precision Castparts Corp. 28,500 1,211
- - Sensormatic Electronics Corp. 86,861 1,211
Developers Diversified Realty
Corp. REIT 72,800 1,210
- - Education Management Corp. 58,300 1,210
- - Fossil, Inc. 25,000 1,209
Orion Capital Corp. 33,600 1,205
Advanta Corp. Class A 66,602 1,203
- - Security Dynamics
Technologies, Inc. 56,600 1,203
Health Care REIT, Inc. 51,700 1,202
BancorpSouth, Inc. 66,300 1,202
- - Entercom Communications Corp. 28,100 1,201
- - Kulicke & Soffa Industries, Inc. 44,700 1,199
- - Haemonetics Corp. 59,700 1,198
Presidential Life Corp. 61,000 1,197
Applied Power, Inc. 43,815 1,197
- - The Children's Place Retail
Stores, Inc. 29,500 1,195
- - American Mobile Satellite
Corp., Inc. 72,900 1,194
The Macerich Co. REIT 45,400 1,192
- - MAXIMUS, Inc. 41,200 1,184
- - Genrad, Inc. 56,912 1,184
- - AnswerThink Consulting
Group, Inc. 46,900 1,184
Arthur J. Gallagher & Co. 23,900 1,183
P.H. Glatfelter Co. 80,800 1,182
Frontier Insurance Group, Inc. 76,850 1,182
- - PEC Israel Economic Corp. 37,500 1,181
Stewart & Stevenson
Services, Inc. 77,382 1,180
- - Great Plains Software, Inc. 25,000 1,180
Church & Dwight, Inc. 27,100 1,179
MAF Bancorp, Inc. 48,571 1,178
Eastern Utilities Associates 40,381 1,176
- - ICG Communications, Inc. 55,000 1,176
Bradley Real Estate Inc. REIT 56,637 1,175
- - CONSOL Energy, Inc. 97,800 1,174
Rollins Truck Leasing 105,462 1,173
Alfa Corp. 58,600 1,172
- - Cygnus Inc. 90,100 1,171
- - Primark Corp. 41,731 1,171
Chateau Communities, Inc. REIT 39,112 1,171
Brooke Group Ltd. 50,000 1,169
- - Mid Atlantic Medical
Services, Inc. 118,000 1,165
Ruby Tuesday, Inc. 61,324 1,165
Arrow International, Inc. 45,000 1,164
Summit Properties, Inc. REIT 58,900 1,163
- - Cymer, Inc. 46,520 1,163
Forest City Enterprise Class A 41,500 1,162
- - Long Beach Financial Corp. 79,100 1,162
- - Action Performance Cos., Inc. 35,200 1,162
- - Mentor Graphics Corp. 90,600 1,161
TJ International, Inc. 37,400 1,159
Chelsea GCA Realty, Inc. REIT 31,200 1,158
- - Aware, Inc. 25,100 1,158
- - ThermoQuest Corp. 86,900 1,157
- - Aztar Corp. 125,900 1,157
- - Inacom Corp. 91,600 1,156
- - LCA-Vision, Inc. 124,137 1,156
- - The Topps Co., Inc. 158,640 1,155
Carter-Wallace, Inc. 63,500 1,155
White Mountains Insurance
Group, Inc. 8,185 1,154
- - Imperial Bancorp 58,185 1,153
The Standard Register Co. 37,487 1,153
- - StanCorp Financial Group, Inc. 38,400 1,152
Piedmont Natural Gas, Inc. 36,997 1,152
- - Gaylord Entertainment Co.
Class A 38,357 1,151
Chesapeake Corp. of Virginia 30,683 1,149
- - Newpark Resources, Inc. 129,300 1,148
- - Wisconsin Central
Transportation Corp. 60,700 1,146
- - MEMC Electronic Materials, Inc. 94,000 1,146
United Dominion Industries Ltd. 47,185 1,144
- - Hollywood Entertainment Corp. 58,471 1,144
Texas Industries, Inc. 29,514 1,144
- - Medical Manager Corp. 25,800 1,142
- - Net.B@nk, Inc. 30,000 1,140
- - Forte Software, Inc. 117,600 1,139
Alexander & Baldwin, Inc. 51,200 1,139
- - National Processing, Inc. 112,500 1,139
- - Armco, Inc. 171,900 1,139
Graco, Inc. 38,765 1,139
- - Collins & Aikman Corp. 149,200 1,138
- - Integrated Device
Technology Inc. 104,600 1,138
Brady Corp. Class A 35,000 1,138
Longview Fibre Co. 72,770 1,137
United Water Resources, Inc. 50,044 1,135
Bob Evans Farms, Inc. 57,016 1,133
Hussman International, Inc. 68,400 1,133
Capitol Federal Financial 108,500 1,132
Vintage Petroleum, Inc. 105,200 1,131
WFS Financial, Inc. 81,460 1,130
Invacare Corp. 42,243 1,130
- - Bombay Co. 146,862 1,129
</TABLE>
9
<PAGE> 46
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - S3, Inc. 124,100 $ 1,129
- - Acuson Corp. 65,638 1,128
- - CDI Corp. 33,100 1,127
Pacific Gulf Properties, Inc. REIT 49,800 1,127
- - Mail-Well, Inc. 69,600 1,127
AmerUs Life Holdings, Inc. 41,700 1,126
Independence Community
Bank Corp. 83,400 1,126
- - Sawtek Inc. 24,500 1,124
- - Pre-Paid Legal Services, Inc. 41,300 1,123
Executive Risk, Inc. 13,200 1,123
Taubman Co. REIT 85,100 1,122
Casey's General Stores 74,800 1,122
West Pharmaceutical
Services, Inc. 28,562 1,121
Federal Signal Corp. 52,837 1,119
- - Iron Mountain, Inc. 39,100 1,119
J.M. Smucker Co. Class A 50,300 1,119
Ferro Corp. 40,662 1,118
Modine Manufacturing Co. 34,300 1,117
Avista Corp. 68,700 1,116
United National Bancorp 46,989 1,116
- - Laboratory Corp. of America 387,844 1,115
- - Ascent Entertainment Group, Inc. 78,863 1,114
Philadelphia Suburban Corp. 48,300 1,114
Belden, Inc. 46,500 1,113
- - Optical Cable Corp. 101,100 1,112
- - UNOVA, Inc. 70,000 1,111
KN Energy, Inc. 83,025 1,110
- - Micron Electronics, Inc. 110,100 1,108
- - GTech Holdings Corp. 47,000 1,107
- - Midway Games Inc. 85,581 1,107
Cilcorp, Inc. 17,700 1,106
- - Boyd Gaming Corp. 158,000 1,106
CTS Corp. 15,800 1,106
- - Spyglass, Inc. 54,900 1,105
- - Neff Corp. 71,500 1,104
- - Toll Brothers, Inc. 51,400 1,102
Aquarion Co. 31,673 1,101
- - Alpha Industries, Inc. 23,100 1,100
Park National Corp. 11,000 1,100
Orange & Rockland Utilities, Inc. 18,800 1,099
LNR Property Corp. 51,350 1,098
- - Photronics Labs Inc. 44,796 1,098
- - Silicon Valley Group, Inc. 65,200 1,096
Republic Bancorp, Inc. 72,135 1,096
Ryland Group, Inc. 36,900 1,095
Standard Products Co. 42,750 1,095
- - Interim Services, Inc. 53,100 1,095
- - Digital Microwave Corp. 85,896 1,095
- - XOMA Ltd. 180,544 1,095
Yankee Energy Systems 27,577 1,094
Berkshire Realty Co., Inc. REIT 94,600 1,094
- - Imation Corp. 44,080 1,094
Roberts Pharmaceuticals 45,100 1,094
Southwest Gas Corp. 38,200 1,093
Whitney Holdings 27,500 1,093
- - SMART Modular
Technologies, Inc. 62,900 1,093
Harman International
Industries, Inc. 24,814 1,092
MascoTech Inc. 64,385 1,091
- - Hayes Lemmerz International, Inc. 37,100 1,090
- - Citadel Communications Corp. 30,100 1,089
- - Central Sprinkler Corp. 38,607 1,088
- - Anchor Gaming 22,601 1,086
Caraustar Industries, Inc. 44,000 1,086
- - Beyond.com Corp. 37,800 1,084
- - About.Com, Inc. 20,900 1,084
Norrell Corp. 57,600 1,084
Nationwide Health Properties,
Inc. REIT 56,800 1,083
- - GST Telecommunications Inc. 82,000 1,081
- - Orbital Sciences Corp. 45,700 1,080
- - PriceSmart, Inc. 30,800 1,078
CPI Corp. 32,600 1,076
Cross Timbers Oil Co. 72,300 1,075
JDN Realty Corp. REIT 48,050 1,075
Koger Equity, Inc. REIT 58,300 1,075
Health Care Properties Investors
REIT 37,200 1,074
- - ETEC Systems, Inc. 32,300 1,074
Selective Insurance Group 56,300 1,073
- - C-COR Electronics, Inc. 38,500 1,073
- - NPC International Class A 69,800 1,073
- - Consolidated Products Inc. 59,495 1,071
UMB Financial Corp. 24,962 1,070
- - American Italian Pasta Co. 35,200 1,069
Block Drug Co. Class A 25,638 1,069
Chittenden Corp. 34,153 1,067
Cabot Oil & Gas Corp. Class A 57,264 1,067
Geon Co. 33,000 1,064
Citizens Banking Corp. 35,400 1,064
- - NCO Group, Inc. 28,000 1,064
- - Labor Ready, Inc. 32,700 1,063
- - Fisher Scientific International Inc. 47,600 1,062
Prentiss Properties Trust REIT 45,100 1,060
- - Playtex Products, Inc. 68,100 1,060
- - Wesco International, Inc. 51,650 1,059
Ametek Aerospace Products Inc. 46,000 1,058
Argonaut Group, Inc. 44,019 1,056
Pogo Producing Co. 56,700 1,056
- - CSK Auto Corp. 39,100 1,056
Storage USA, Inc. REIT 33,100 1,055
- - McMoRan Exploration Co. 47,490 1,054
- - Aviall Inc. 56,000 1,053
- - Datastream Systems, Inc. 65,800 1,053
- - Arcadia Financial Ltd. 135,800 1,052
- - Holophane Corp. 27,600 1,052
CenterPoint Properties Corp. REIT 28,700 1,051
Greif Brothers Corp. Class A 41,200 1,051
- - Pacific Sunwear of California 43,050 1,049
- - America West Holdings Corp.
Class B 55,500 1,048
New England Business
Service, Inc. 33,900 1,047
Regal-Beloit Corp. 44,300 1,047
- - Collateral Therapeutics, Inc. 45,500 1,046
- - Champion Enterprises, Inc. 56,114 1,045
Kennametal, Inc. 33,655 1,043
- - Oceaneering International, Inc. 64,700 1,043
- - Premiere Technologies, Inc. 90,600 1,042
</TABLE>
10
<PAGE> 47
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
First Citizens BancShares Class A 12,900 $ 1,042
Alexandria Real Estate Equities,
Inc. REIT 33,300 1,041
- - Del Monte Foods Co. 62,000 1,038
- - Conmed Corp. 33,900 1,038
- - Dave & Busters 35,760 1,037
- - El Paso Electric Co. 115,966 1,036
Lincoln Electric Holdings 50,552 1,036
Baldor Electric Co. 52,006 1,034
Kellwood Co. 38,100 1,033
- - Marine Drilling Co., Inc. 75,500 1,033
ChemFirst Inc. 42,500 1,033
Bedford Property Investors, Inc.
REIT 57,800 1,033
Westinghouse Air Brake Co. 39,800 1,032
- - Cerner Corp. 49,230 1,032
Flowserve Corp. 54,494 1,032
- - Basin Exploration Inc. 51,398 1,031
Applebee's International, Inc. 34,218 1,031
- - ADVO, Inc. 49,675 1,031
- - The IT Group, Inc. 64,008 1,028
Staten Island Bancorp, Inc. 57,100 1,028
- - United Stationers, Inc. 46,688 1,027
- - 7-Eleven, Inc. 462,900 1,027
Watts Industries Class A 53,500 1,027
- - Argosy Gaming Co. 116,400 1,026
Mitchell Energy &
Development Corp. Class A 53,100 1,025
- - Bell & Howell Co. 27,100 1,025
Apogee Enterprises, Inc. 76,200 1,024
- - Hadco Corp. 25,751 1,024
- - INCYTE Pharmaceuticals, Inc. 38,700 1,023
- - Vertex Pharmaceuticals, Inc. 42,400 1,023
- - Young Broadcasting Inc. 24,000 1,021
Trustco Bank 37,976 1,021
- - Sbarro, Inc. 37,691 1,020
- - Footstar Inc. 27,400 1,019
- - Airgas, Inc. 83,100 1,018
- - Lason Holdings, Inc. 20,500 1,017
Town & Country Trust REIT 56,800 1,015
- - Quorum Health Group, Inc. 80,800 1,015
Glenborough Realty Trust, Inc.
REIT 57,900 1,013
Walden Residential Properties,
Inc. REIT 47,100 1,013
- - Complete Business Solutions, Inc. 56,444 1,012
- - Pharmaceutical Product
Development, Inc. 36,983 1,012
Quanex Corp. 35,500 1,012
Ballard Medical Products 43,366 1,011
Tejon Ranch Co. 38,500 1,011
Sovran Self Storage, Inc. REIT 37,500 1,010
- - Comfort Systems USA, Inc. 56,100 1,010
EastGroup Properties, Inc. REIT 50,300 1,009
- - Cirrus Logic 113,600 1,008
- - Yellow Corp. 56,800 1,008
The Trust Co. of New Jersey 42,900 1,008
Roadway Express Inc. 52,000 1,007
AAR Corp. 44,400 1,007
- - Advanced Communications
Group, Inc. 101,300 1,007
- - Houston Exploration Co. 53,100 1,006
- - Insurance Auto Auctions, Inc. 62,300 1,005
Hancock Holding Co. 22,385 1,005
Kilroy Realty Corp. REIT 41,300 1,004
Curtiss-Wright Corp. 25,800 1,003
- - TheStreet.com, Inc. 27,850 1,003
- - Corporate Express, Inc. 143,200 1,002
FactSet Research Systems Inc. 17,700 1,002
- - Saga Systems, Inc. 78,500 1,001
- - Razorfish Inc. 27,000 1,001
- - Advantage Learning Systems, Inc. 45,200 1,000
Central Hudson Gas &
Electric Corp. 23,800 1,000
Gerber Scientific, Inc. 45,300 999
- - Varco International, Inc. 91,356 999
- - Pharmaceutical Resources, Inc. 114,988 999
Alliance Bancorp Inc. 42,942 998
- - Coleman Inc. 106,400 998
Coachmen Industries, Inc. 42,900 997
- - Dendrite International, Inc. 27,600 997
- - Medaphis Corp. 173,400 997
- - Medicis Pharmaceutical Corp. 39,287 997
National Bankcorp of Alaska Inc. 37,600 996
Brenton Banks, Inc. 64,268 996
Commercial Metals Co. 34,866 994
United Illuminating Co. 23,400 993
Michael Foods Group, Inc. 42,255 993
- - EarthWeb Inc. 26,600 991
- - Media Metrix, Inc. 18,600 990
- - Network Solutions, Inc. Class A 12,500 989
Queens County Bancorp, Inc. 30,497 987
- - Xoom, Inc. 18,800 987
Cleco Corp. 32,492 987
- - SPSS, Inc. 38,400 986
R.L.I. Corp. 25,450 986
- - ITT Educational Services, Inc. 37,800 985
- - Fritz Cos., Inc. 91,500 984
Applied Industrial Technology, Inc. 51,750 983
- - International Specialty
Products, Inc. 96,500 983
Duff & Phelps Credit Rating 14,700 983
- - Emmis Communications, Inc. 19,900 983
- - Phone.com, Inc. 17,500 980
Omega Healthcare Investors, Inc.
REIT 37,941 979
Air Express International Corp. 38,550 978
- - King Pharmaceuticals, Inc. 37,800 978
- - Telcom Semiconductor, Inc. 101,600 978
- - Intergraph Corp. 126,100 977
Reliance Group Holdings 131,314 977
- - Healthcare Financial
Partners, Inc. 28,500 976
- - Buffets Inc. 84,693 974
First Charter Corp. 39,273 972
JSB Financial 19,099 972
- - Scotts Co. 20,400 972
CKE Restaurants Inc. 59,774 971
- - Metamor Worldwide, Inc. 40,350 971
Mentor Corp. 52,115 971
- - Hanover Direct, Inc. 344,876 970
- - Gaylord Container Corp. 122,200 970
</TABLE>
11
<PAGE> 48
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Mid-America Apartment
Communities, Inc. REIT 41,900 $ 969
Russ Berrie and Co., Inc. 39,100 968
- - EMCOR Group, Inc. 38,400 967
Dreyer's Grand Ice Cream, Inc. 63,900 966
Arnold Industries, Inc. 62,600 966
M.A. Hanna Co. 58,775 966
Rollins, Inc. 60,600 966
Downey Financial Corp. 44,020 966
- - Shorewood Packaging Corp. 52,350 965
- - Evergreen Resources, Inc. 38,300 965
- - Quest Diagnostics, Inc. 35,200 964
- - Jones Lang Lasalle Inc. 32,300 963
- - National Discount Brokers
Group, Inc. 16,600 963
- - Structural Dynamics
Research Corp. 51,855 963
- - Alexander's, Inc. 13,000 960
- - Bio-Rad Laboratories, Inc.
Class A 36,747 960
- - Micro Warehouse Inc. 53,700 960
- - PairGain Technologies, Inc. 83,400 959
- - Artesyn Technologies, Inc. 43,200 959
- - The Source Information
Management Co. 71,000 958
- - Whittaker Corp. 34,200 958
- - Priority Healthcare Corp. Class A 27,753 957
Midas Inc. 33,733 957
Commerce Group, Inc. 39,200 955
- - Ryan's Family Steak Houses, Inc. 82,100 954
- - Sunbeam Corp. 120,000 952
Clarcor Inc. 49,600 952
- - MGI Pharma, Inc. 90,500 950
- - Pool Energy Service Co. 46,667 948
- - Orthodontic Centers of
America, Inc. 67,100 948
- - Amerco, Inc. 42,100 947
New Jersey Resources Corp. 25,300 947
- - SportsLine USA, Inc. 26,400 947
- - Vantive Corp. 82,700 946
- - Hyperion Solutions Corp. 53,085 946
- - Tesoro Petroleum Corp. 59,300 945
- - Value America, Inc. 49,700 944
- - Bush Boake Allen, Inc. 32,200 942
Diagnostic Products Corp. 34,077 941
- - AirTran Holdings, Inc. 163,600 941
- - Royal Appliance
Manufacturing Co. 135,500 940
- - Canandaigua Brands, Inc.
Class A 17,900 939
- - US LEC Corp. Class A 41,700 938
Granite Construction Co. 32,000 938
- - Louis Dreyfus Natural Gas Corp. 43,500 938
- - Aspect Development, Inc. 50,700 938
- - Hexcel Corp. 92,500 937
Public Service Co. of New Mexico 47,120 937
- - Specialty Equipment Cos., Inc. 31,800 936
Northwest Bancorp, Inc. 93,600 936
Kimball International, Inc. Class B 55,400 935
Zenith National Insurance Corp. 37,960 935
- - M.S. Carriers, Inc. 31,500 934
- - National-Oilwell, Inc. 66,700 934
- - Eagle USA Airfreight, Inc. 22,000 934
Riggs National Corp. 45,400 934
Northwestern Corp. 38,500 931
AREA Bancshares Corp. 34,325 931
- - Rexall Sundown, Inc. 76,394 931
Baldwin & Lyons, Inc. Class B 39,300 931
Enterprise Products Partners L.P. 50,300 931
Healthcare Realty Trust Inc. REIT 44,300 930
Jack Henry & Associates 23,700 930
- - Molecular Devices Corp. 24,800 930
- - Sicor, Inc. 218,607 929
Brown Shoe Company, Inc. 42,706 929
- - IHOP Corp. 38,600 929
- - Micromuse Inc. 18,600 928
Berry Petroleum Class A 66,500 927
- - Boise Cascade Office
Products Corp. 78,776 926
- - Castle & Cooke Inc. 52,433 924
International Integration Inc. 41,000 923
- - AFC Cable Systems, Inc. 26,100 922
TNP Enterprises, Inc. 25,400 921
- - Handleman Co. 77,900 920
N L Industries, Inc. 82,700 920
- - Stone Energy Corp. 21,700 920
- - Lone Star Technologies, Inc. 51,800 919
- - Paxar Corp. 102,100 919
Lilly Industries Inc. Class A 49,488 919
- - bebe stores, inc. 27,000 918
Overseas Shipholding Group Inc. 71,300 918
PennzEnergy Co. 55,000 918
- - Astec Industries, Inc. 22,500 917
- - Ralcorp Holdings, Inc. 57,000 916
- - Delphi Financial Group, Inc. 25,518 915
- - Technology Solutions Co. 84,596 915
Wellman, Inc. 57,355 914
- - Workflow Management, Inc. 64,145 914
National Presto Industries, Inc. 23,863 913
Richfood Holdings, Inc. 51,700 911
- - Beverly Enterprises, Inc. 113,000 911
- - Oak Industries, Inc. 20,800 909
Shurgard Storage Centers, Inc.
Class A REIT 33,500 909
Wabash National Corp. 46,900 909
Enhance Financial Services
Group, Inc. 46,000 909
Primex Technologies, Inc. 42,120 908
OM Group, Inc. 26,300 907
Southwestern Energy Co. 85,800 906
Morrison Health Care Inc. 36,241 906
Empire District Electric Co. 34,755 906
First Financial Bancorp 39,980 905
- - Southwest Bancorporation of
Texas, Inc. 50,200 904
- - CUNO Inc. 47,200 903
- - Beringer Wine Estates
Holdings, Inc. 21,600 902
IRT Property Co. REIT 91,300 902
Circle International Group, Inc. 41,200 901
- - First Federal Financial Corp. 46,650 898
Home Properties of New York, Inc.
REIT 32,500 898
Lone Star Industries, Inc. 23,900 898
</TABLE>
12
<PAGE> 49
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
South Jersey Industries, Inc. 31,684 $ 897
- - Players International, Inc. 124,800 897
- - Allen Telecom Inc. 83,440 897
- - Dollar Thrifty Automotive
Group, Inc. 38,500 895
- - Plexus Corp. 29,700 895
- - Protein Design Labs 40,300 894
SIG Corp. 31,281 893
Pennsylvania Enterprises Inc. 29,100 893
- - Grey Wolf, Inc. 357,100 893
- - InterVU Inc. 23,300 893
- - Vail Resorts Inc. 51,000 892
- - MRV Communications Inc. 67,914 891
- - Scott Technologies, Inc. 46,300 891
- - Continental Materials Corp. 46,000 891
Lawson Products, Inc. 35,350 890
Standex International Corp. 32,500 890
Badger Meter, Inc. 25,600 890
Omega Financial Corp. 25,600 890
Tredegar Corp. 40,900 890
- - Sunrise Assisted Living, Inc. 25,500 889
- - Windmere-Durable Holdings Inc. 52,698 889
- - Metromedia International
Group, Inc. 118,500 889
Pioneer Standard Electronics Inc. 74,025 888
Merchants New York
Bancorporation 26,500 888
- - Mosaix Inc. 69,268 887
- - NetGravity, Inc. 39,000 887
- - General Semiconductor, Inc. 97,150 886
Capstead Mortgage Corp. REIT 163,000 886
- - Albany International Corp. 42,679 886
- - Harbinger Corp. 70,730 884
Del Webb Corp. 37,000 883
Bandag, Inc. 25,462 883
Prime Bancorp Inc. 31,964 883
Apex PC Solutions, Inc. 43,050 883
- - Littelfuse, Inc. 45,800 882
- - Nortek, Inc. 28,152 882
- - Cable Design Technologies 57,072 881
- - Tekelec 72,200 880
- - Cadiz Inc. 93,200 880
Cash America International Inc. 68,310 879
- - CTC Communications Corp. 45,000 878
- - InterVoice, Inc. 60,774 877
- - Leap Wireless International, Inc. 43,300 877
- - Steel Dynamics, Inc. 56,400 872
- - Consolidated Freightways Corp. 67,850 871
Justin Industries, Inc. 62,500 871
Skyline Corp. 29,700 871
Vital Signs, Inc. 43,664 871
- - PSS World Medical, Inc. 77,800 870
Regis Corp. 45,210 867
- - Value City Department Stores, Inc. 70,800 867
WPS Resources Corp. 28,900 867
Mid-America Bancorp 35,184 866
The Stride Rite Corp. 83,900 865
Premier National Bancorp, Inc. 43,241 865
- - PageMart Wireless, Inc. 114,300 864
- - Advent Software, Inc. 12,900 864
- - Midwest Express Holdings, Inc. 25,400 864
Rock-Tenn Co. 51,550 860
First Federal Capital Corp. 58,300 860
- - Thermo Fibertek, Inc. 120,500 859
- - ProBusiness Services, Inc. 23,900 857
- - Preview Travel, Inc. 39,000 856
- - Volt Information Sciences Inc. 37,400 856
- - Sinclair Broadcast Group, Inc. 52,200 855
- - Automobile Protection Corp. 66,700 855
Lance, Inc. 54,641 854
Centex Construction
Products, Inc. 25,000 853
Chicago Title Corp. 23,874 852
- - Timberland Co. 12,500 851
Atmos Energy Corp. 34,009 850
International Multifoods Corp. 37,669 850
- - CompuCredit Corp. 44,700 849
- - Friede Goldman International, Inc. 61,200 849
- - Earthshell Corp. 121,100 848
- - Allaire Corp. 12,400 846
- - NVR, Inc. 16,200 845
Oshkosh B Gosh, Inc. Class A 40,000 845
- - Security Capital Group Inc. REIT
Class B 58,000 845
Indiana Energy, Inc. 39,600 844
- - Activision, Inc. 57,900 843
- - Manugistics Group, Inc. 58,100 842
- - CDnow Inc. 47,746 842
- - HNC Software, Inc. 27,300 841
- - MicroStrategy Inc. 22,200 841
- - Aspen Technologies, Inc. 71,500 840
- - Wind River Systems Inc. 52,291 840
Provident Bankshares Corp. 36,069 839
- - PictureTel Corp. 104,800 838
Saul Centers, Inc. REIT 50,800 838
Fleming Cos., Inc. 72,100 838
Konover Property Trust, Inc. REIT 91,200 838
W.R. Berkley Corp. 33,450 836
IMCO Recycling, Inc. 48,800 836
- - Genlyte Group, Inc. 37,200 835
- - Fresh Del Monte Produce Inc. 58,800 831
National Health Investors REIT 36,400 830
- - J & J Snack Foods Corp. 34,500 828
- - Copley Pharmaceutical, Inc. 80,617 826
- - Pioneer Group, Inc. 47,900 826
- - Billing Concepts Corp. 73,772 825
Energy North, Inc. 28,511 825
BSB Bancorp, Inc. 30,544 825
- - Asyst Technologies, Inc. 27,500 823
Cato Corp. Class A 70,800 823
- - Florida Panthers Holdings, Inc. 77,000 823
Universal Health Realty Income 41,800 823
- - National R. V. Holdings, Inc. 33,473 822
- - Eclipsys Corp. 34,300 821
- - Rush Enterprises, Inc. 50,900 821
NBT Bancorp, Inc. 40,025 821
Colonial Gas Co. 22,176 821
The Ackerley Group, Inc. 45,100 820
- - First Republic Bank 28,300 819
Lexford Residential Trust REIT 34,300 819
O'Sullivan Corp. 67,175 819
- - WetSeal, Inc. Class A 28,600 819
- - Chock Full O'Nuts Corp. 78,360 818
- - Biotechnology General 125,600 816
</TABLE>
13
<PAGE> 50
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Identix, Inc. 83,200 $ 816
Brandywine Realty Trust REIT 41,100 814
Ethyl Corp. 135,604 814
- - Mesa Air Group Inc. 108,200 813
F & M National Corp. 24,500 813
- - Black Box Corp. 16,200 812
Community Trust Bancorp Inc. 34,716 811
- - CompUSA, Inc. 109,100 811
Reliance Steel & Aluminum Co. 20,800 811
Colonial Properties Trust REIT 28,700 811
MECH Financial, Inc. 21,600 810
- - Arkansas Best Corp. 81,400 809
- - @Entertainment, Inc. 43,100 808
- - Cheap Tickets, Inc. 22,100 807
- - Atwood Oceanics, Inc. 25,800 806
Doral Financial Corp. 46,700 806
Enesco Group, Inc. 34,800 805
SJW Corp. 10,100 804
- - Sierra Health Services 55,603 803
- - EntreMed, Inc. 35,600 801
Tecumseh Products Co. Class A 13,200 799
Sanderson Farms, Inc. 56,050 799
St. John Knits, Inc. 27,300 799
Blair Corp. 29,600 797
TCI Music, Inc. Class A 22,500 796
- - Ardent Software, Inc. 37,400 795
International Bancshares Corp. 18,766 794
- - Chico's Fas, Inc. 33,686 792
- - Vistana, Inc. 50,125 789
- - Tyler Technologies, Inc. 114,700 789
Peoples Bancorp, Inc. 79,099 789
- - Applix, Inc. 90,079 788
First Commonwealth
Financial Corp. 33,000 788
- - Meridian Gold Co. 170,100 787
- - K-V Pharmaceutical Co. Class A 50,750 787
- - Hagler Bailly, Inc. 76,700 786
- - Medical Assurance, Inc. 27,510 786
- - AXENT Technologies, Inc. 70,600 785
Flushing Financial Corp. 51,150 785
Exide Corp. 53,100 783
Innkeepers USA Trust REIT 78,100 781
- - Cellstar Corp. 99,000 780
- - Integrated Electrical Services,Inc. 48,300 779
Prime Retail, Inc. REIT 89,500 778
Jefferies Group, Inc. 25,900 777
- - Data Broadcasting Corp. 73,556 777
AGCO Corp. 68,600 776
Bassett Furniture Industries, Inc. 33,900 775
- - Swift Energy Co. 72,479 775
- - SCM Microsystems,Inc. 16,700 774
- - Hutchinson Technology, Inc. 27,900 774
Philadelphia Consolidated
Holding Corp. 31,600 774
City Holding Co. 26,616 772
Medford Bancorp, Inc. 42,002 772
- - IDX Systems Corp. 34,182 771
General Binding Corp. 32,800 771
- - ACX Technologies Inc. 47,400 770
Varian Medical Systems, Inc. 30,500 770
- - Getty Images, Inc. 40,800 770
Northwest Natural Gas Co. 31,900 770
- - Digital Lightwave, Inc. 128,150 769
- - Global Imaging Systems, Inc. 42,100 768
Chemed Corp. 23,100 768
Digital River, Inc. 23,100 768
- - Aphton Corp. 54,861 768
Luby's, Inc. 51,200 768
Kaman Corp. Class A 48,900 767
- - On Assignment, Inc. 29,300 765
- - MarketWatch.com, Inc. 13,000 765
- - The Buckle, Inc. 26,600 765
- - Com21, Inc. 44,800 764
- - Commonwealth Telephone
Enterprises, Inc. 18,900 764
- - Safeskin Corp. 63,600 763
Brush Wellman, Inc. 42,100 763
Polo Ralph Lauren Corp. 40,100 762
- - UniSource Energy Corp. 63,700 760
- - Globix Corp. 17,200 760
- - ISIS Pharmaceuticals, Inc. 74,574 760
- - Garden Fresh Restaurant Corp. 40,500 759
- - Province Heathcare Co. 38,900 759
- - West TeleServices Corp. 80,900 758
CNA Surety Corp. 49,500 758
SpeedUs.com, Inc. 129,000 758
- - Mesaba Holdings, Inc. 59,400 757
- - Thermedics, Inc. 81,300 757
- - CareInsite, Inc. 16,000 756
- - Prime Hospitality Corp. 63,000 756
- - PICO Holdings, Inc. 29,845 755
- - Inhale Therapeutic Systems 31,700 755
- - Right Management Consultants 48,700 755
- - GelTex Pharmaceuticals, Inc. 41,900 754
- - FileNet Corp. 65,900 754
- - Associated Group, Inc. Class B 11,550 753
- - Perrigo Co. 98,600 752
- - DVI, Inc. 43,900 752
- - PanAmSat Corp. 19,300 751
Reliance Bancorp, Inc. 27,200 751
- - Polymer Group, Inc. 63,900 751
Irwin Financial Corp. 38,500 751
- - Consolidated Graphics, Inc. 15,000 750
- - Transkaryotic Therapies, Inc. 22,700 749
- - Visual Networks, Inc. 23,400 749
- - Host Marriott Services Corp. 92,090 748
- - TALK.com, Inc. 66,500 748
- - Avant! Corp. 59,190 747
F & M Bancorp 22,244 747
RPC Inc. 85,200 746
Banco Santander Puerto Rico 41,200 744
Susquehanna Bancshares, Inc. 42,050 744
- - SEACOR SMIT Inc. 13,900 744
- - Bright Horizons Family
Solutions, Inc. 39,380 743
- - Xircom, Inc. 24,700 743
- - Rayovac Corp. 32,700 742
WSFS Financial Corp. 50,500 742
Anchor Bancorp Wisconsin Inc. 41,600 741
- - Ben & Jerry's Homemade, Inc.
Class A 26,700 741
American Woodmark Corp. 21,000 740
</TABLE>
14
<PAGE> 51
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
St. Francis Capital Corp. 34,400 $ 740
- - XTRA Corp. 16,100 740
Myers Industries, Inc. 36,971 739
- - Aavid Thermal Technologies 32,600 738
Sauer Inc. 68,600 737
- - Park-Ohio Holdings Corp. 43,509 737
A.M. Castle & Co. 43,325 737
- - Big Flower Holdings, Inc. 23,100 736
Realty Income Corp. REIT 31,000 736
Associated Estates Realty Corp.
REIT 62,300 736
Manufactured Home
Communities, Inc. REIT 28,300 736
- - Rental Service Corp. 25,700 736
Cambrex Corp. 28,000 735
LaSalle Hotel Properties REIT 48,000 735
- - Sabratek Corp. 33,600 735
- - Drug Emporium, Inc. 101,330 735
Phillips-Van Heusen Corp. 74,393 735
- - WebTrends Corp. 15,900 733
Trinet Corporate Realty Trust, Inc.
REIT 26,400 731
- - Digi International, Inc. 69,950 730
S & T Bancorp, Inc. 28,900 730
Stone & Webster, Inc. 27,400 730
- - Engineering Animation, Inc. 34,400 729
Wolverine World Wide, Inc. 51,904 727
Boykin Lodging Co. REIT 47,200 726
- - e.spire Communications, Inc. 68,700 726
- - Oakley, Inc. 101,800 725
- - International Telecommunication
Data Systems, Inc. 45,300 725
- - Rehabcare Corp. 39,300 725
Independent Bank Corp. 46,000 724
J. Baker, Inc. 83,909 724
- - Superior Services Inc. 27,100 723
- - Goody's Family Clothing 63,200 723
- - Rogers Corp. 24,500 723
National Steel Corp. Class B 86,200 722
- - Zoran Corp. 43,100 722
- - Walter Industries, Inc. 55,800 722
- - Tetra Tech, Inc. 43,750 722
- - The Dress Barn, Inc. 45,100 722
- - Monaco Coach Corp. 17,050 721
- - Centennial Bancorp 52,190 721
- - First Consulting Group, Inc. 67,842 720
- - Concentra Managed Care 48,600 720
- - Protection One, Inc. 133,800 719
- - Recovery Engineering, Inc. 42,300 719
- - Boston Communications
Group, Inc. 53,500 719
Suffolk Bancorp 25,900 719
- - Superior Consultant
Holdings Corp. 29,100 718
- - Magnatek 68,000 718
Psychemedics, Inc. 143,556 718
- - Epitope Inc. 122,000 717
Pennsylvania REIT 34,200 716
UNITILI Corp. 28,400 715
- - U.S. Bioscience 73,355 715
CBL & Associates Properties, Inc.
REIT 27,100 715
FFY Financial Corp. 38,100 714
Pope & Talbot, Inc. 59,200 714
First Bell Bancorp, Inc. 40,200 714
- - TransMontaigne Inc. 56,800 714
Granite State Bankshares, Inc. 30,850 713
- - Vicorp Restaurants, Inc. 41,039 713
First Bancorp/Puerto Rico 31,600 713
World Fuel Services Corp. 48,313 713
Olin Corp. 54,000 712
Morgan Keegan, Inc. 37,600 712
- - Trimble Navigation Ltd. 55,300 712
Chartwell Re Corp. 38,210 712
- - Mark VII, Inc. 42,800 712
Stewart Information
Services Corp. 33,600 710
- - Network Equipment
Technologies, Inc. 71,847 709
- - Diamond Technology Partners Inc. 31,690 709
US Bancorp, Inc. 45,000 709
RFS Hotel Investors, Inc. REIT 56,200 706
- - Acclaim Entertainment Inc. 110,500 704
- - uBid, Inc. 21,978 703
- - Global Industrial Technologies, Inc. 58,300 703
Carpenter Technology Corp. 24,600 703
Chiquita Brands International, Inc. 78,065 703
American Heritage Life
Investment Corp. 28,600 701
Churchill Downs, Inc. 20,300 700
- - Integrated Systems, Inc. 59,600 700
- - Information Resources, Inc. 80,034 700
Donnelly Corp. 44,212 699
- - 24/7 Media, Inc. 18,100 697
Amcore Financial 30,200 696
Skywest, Inc. 27,900 696
Republic Security Financial Corp. 83,041 695
Intermet Corp. 45,900 694
FBL Financial Group, Inc. Class A 35,600 694
UGI Corp. Holding Co. 34,346 693
- - Winslow Furniture Co. 20,600 693
- - Frontier Oil Corp. 101,600 692
- - Citizens, Inc. 117,800 692
Computer Task Group, Inc. 40,708 692
- - Software.com, Inc. 29,800 691
- - IGEN International, Inc. 23,700 690
- - Spectrian Corp. 47,600 690
- - EEX Corp. 99,233 688
Capital Re Corp. 42,800 687
- - Nautica Enterprises, Inc. 40,737 687
LTV Corp. 102,723 687
- - Charles River Associates Inc. 27,300 684
Research Frontiers, Inc. 70,600 684
Metrowest Bank 97,638 683
- - Silicon Valley Bancshares 27,600 683
- - Avatar Holding, Inc. 36,000 682
- - Information Resources
Engineering, Inc. 22,600 681
- - Rent-A-Center, Inc. 28,300 679
- - Acceptance Insurance Cos. Inc. 45,000 678
Puerto Rican Cement Co., Inc. 20,400 677
- - Hamilton Bancorp, Inc. 28,200 677
- - Esterline Technologies Corp. 47,010 676
</TABLE>
15
<PAGE> 52
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Alkermes, Inc. 29,200 $ 675
Ameron International Corp. 15,300 675
Banta Corp. 32,025 673
XL Capital Ltd. Class A 11,898 672
Pennfed Financial Services, Inc. 42,600 671
Knape & Vogt Manufacturing Co. 38,062 671
Gables Residential Trust REIT 27,800 671
- - Gliatech Inc. 26,300 671
Merrill Corp. 46,100 668
Weeks Corp. REIT 21,900 668
Fidelity National Financial, Inc. 31,790 668
- - Avid Technology, Inc. 41,400 668
Getty Realty Holding Corp. 46,432 667
Pacific Crest Capital Inc. 43,645 666
- - American Axle & Manufacturing
Holdings, Inc. 47,500 665
A. Schulman Inc. 38,662 665
- - E. Gottschalk & Co., Inc. 72,800 664
- - Western Digital Corp. 102,200 664
Oriental Financial Group 27,466 663
- - BioCryst Pharmaceuticals, Inc. 75,700 662
- - Syntel, Inc. 73,505 662
- - Verity, Inc. 12,200 661
- - HA-LO Industries, Inc. 66,900 661
- - Biomatrix, Inc. 30,534 660
- - Thermedics Detection Inc. 65,610 660
Interface, Inc. 76,300 658
- - Advanced Communication
Systems, Inc. 48,000 657
ABM Industries 21,400 657
Arch Chemicals, Inc. 27,000 656
- - MetaCreations Corp. 113,962 655
- - Best Software, Inc. 40,600 655
- - TBC Corp. 92,675 655
- - A.S.V., Inc. 28,900 654
- - Chemical Fabrics Corp. 35,914 653
- - Credit Acceptance Corp. 108,700 652
- - STAR Telecommunications, Inc. 83,200 650
- - Echelon International Corp., Inc. 29,000 649
Tecumseh Products Co. Class B 11,900 649
- - The Gymboree Corp. 61,760 648
NCH Corp. 13,100 648
- - Multex.com Inc. 24,800 648
- - Republic Bank/Clearwater Fla. 31,600 648
Westernbank Puerto Rico 49,500 647
- - Loews Cineplex
Entertainment Corp. 59,400 646
- - FSI International, Inc. 77,700 646
- - Intraware, Inc. 26,900 646
J.B. Hunt Transport Services, Inc. 39,503 642
- - Advanced Polymer Systems 91,600 641
Carolina First Corp. 26,300 641
- - ITI Technologies, Inc. 28,300 640
Harris Financial, Inc. 59,200 640
- - Offshore Logistics, Inc. 57,500 640
- - The Kroll-O'Gara Co. 28,900 638
- - Impath, Inc. 23,600 637
- - IMRglobal Corp. 33,100 637
- - Software Spectrum, Inc. 39,200 637
Oakwood Homes Corp. 48,500 637
- - Salton, Inc. 12,700 635
- - Insight Enterprises, Inc. 25,650 635
- - Fairchild Corp. 49,700 634
General Cable Corp. 39,600 634
- - Crown Central Petroleum Corp.
Class B 57,500 632
- - Wavo Corp. 99,200 632
- - Checkpoint Systems, Inc. 70,726 632
- - Hibbett Sporting Goods, Inc. 28,700 631
Haven Bancorp, Inc. 39,400 630
Flexsteel Industry 47,300 630
Titanium Metals Corp. 56,600 630
- - Learning Tree International, Inc. 57,500 629
- - Professional Detailing, Inc. 26,700 627
Cascade Bancorp 38,895 627
- - Collagen Aesthetics, Inc. 45,603 627
- - Magellan Health Services, Inc. 62,700 627
Virco Manufacturing Corp. 38,830 626
- - Bottomline Technologies, Inc. 11,800 625
Timberline Software Corp. 39,700 625
- - Unify Corp. 46,200 624
Bush Industries, Inc. 37,510 624
Simmons First National 19,400 623
LandAmerica Financial Group, Inc. 21,650 622
- - Healthcare Services Group, Inc. 63,814 622
Cabot Industrial Trust REIT 29,200 620
SierraWest Bancorp 20,200 620
Terra Industries, Inc. 154,942 620
- - Novoste Corp. 29,500 620
Klamath First Bancorp 41,300 619
- - Rainbow Technologies, Inc. 52,400 619
Penn Engineering &
Manufacturing Corp. 27,500 619
Andover Bancorp, Inc. 19,675 617
BostonFed Bancorp, Inc. 34,500 617
- - Ultratech Stepper, Inc. 40,900 616
SITEL Corp. 209,600 616
F & M Bancorporation, Inc. 16,300 615
- - Pacific Gateway Exchange, Inc. 21,100 615
- - Parker Drilling Co. 185,500 614
- - Analytical Surveys, Inc. 24,700 614
- - Energy Conversion Devices, Inc. 61,825 614
Michigan Financial Corp. 18,939 613
- - Trammell Crow Co. 37,300 613
- - Aftermarket Technology Corp. 53,900 613
Sagent Technology, Inc. 71,000 612
- - PJ America Inc. 28,900 612
- - Concord Communications, Inc. 13,600 612
Oregon Steel Mills, Inc. 45,900 611
- - NetManage, Inc. 282,957 610
- - Department 56 Inc. 22,700 610
- - Personnel Group of America, Inc. 60,996 610
Angelica Corp. 34,600 610
- - Precision Response Corp. 109,000 610
- - Buckeye Technology, Inc. 40,000 608
Advanced Marketing Services 40,500 607
- - Pegasystems Inc. 59,200 607
- - Presstek, Inc 83,900 606
- - Ambassadors International, Inc. 40,700 605
- - Danielson Holdings Corp. 105,000 604
- - Tuboscope Inc. 44,100 604
- - Waste Industries, Inc. 33,750 603
</TABLE>
16
<PAGE> 53
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Procom Technology, Inc. 73,000 $ 602
- - Todd Shipyards Corp. 87,600 602
- - Ocwen Financial Corp. 67,800 602
- - Berlitz International, Inc. 32,726 601
Mississippi Chemical Corp. 61,255 601
- - Brightpoint, Inc. 99,100 601
- - Oak Technology, Inc. 165,500 600
- - Alterra Healthcare Corp. 43,600 599
- - National Beverage Corp. 65,540 598
- - Image Entertainment, Inc. 92,000 598
- - Insignia Financial Group, Inc. 56,866 597
Worthington Foods 36,100 596
- - Stericycle, Inc. 43,900 595
- - HomeBase, Inc. 94,300 595
- - ThrustMaster, Inc. 24,800 595
Pittston BAX Group 62,400 593
L. S. Starrett Co. Class A 22,000 591
- - ONSALE, Inc. 31,200 591
- - Renaissance Worldwide, Inc. 74,100 590
- - Bristol Hotels & Resorts, Inc. 78,725 590
- - Documentum, Inc. 45,200 590
- - Read Rite Corp. 95,069 590
Communications Systems, Inc. 47,600 589
- - barnesandnoble.com inc. 32,700 589
- - Forrester Research, Inc. 23,500 588
Delta Woodside 97,900 587
Ampco-Pittsburgh Corp. 45,765 586
National City Bancorporation 28,066 586
- - ADE Corp. 48,600 583
Central Bancorp, Inc. 27,100 583
- - Bluegreen Corp. 108,240 582
- - Benihana Inc. Class A 40,100 581
- - Chalone Wine Group Ltd. 59,500 580
Merchants Bancshares, Inc. 25,500 580
Arch Coal, Inc. 41,700 579
Food Lion Inc. Class B 50,005 578
- - Artisoft, Inc. 113,900 577
BMC Industries, Inc. 55,904 577
- - Computer Outsourcing
Services, Inc. 57,600 576
Trans World Entertainment Corp. 51,200 576
- - Penwest Pharmaceuticals Co. 71,963 576
F.N.B. Corp. 21,315 576
- - Juno Online Services, Inc. 25,000 575
- - Sangstat Medical Corp. 33,300 574
- - Carmike Cinemas, Inc. Class A 35,800 571
- - Burlington Industries, Inc. 62,900 570
- - M&F Worldwide Corp. 71,800 570
- - Computer Horizons Corp. 41,138 568
- - Veeco Instruments, Inc. 16,700 568
- - Advanced Tissue Sciences Inc. 174,542 567
Pacific Capital Bancorp 18,000 567
TransTechnology Corp. 28,800 567
Patina Oil & Gas Corp. 89,668 566
- - Concur Technologies, Inc. 20,100 565
R & G Financial Corp. Cl B 33,200 564
- - I-Link, Inc. 120,400 564
- - Microtouch Systems, Inc. 37,901 564
Imperial Sugar Co. 81,202 563
Wackenhut Corp. 18,900 562
- - Advance Paradigm, Inc. 9,200 561
- - World Acceptance Corp. 111,500 561
- - Medco Research, Inc. 21,300 559
- - Ace Cash Express, Inc. 39,550 559
- - AMF Bowling, Inc. 66,200 559
- - Kellstrom Industries, Inc. 30,600 558
TCBY Enterprises, Inc. 92,100 558
- - Gundle/SLT Environmental, Inc. 131,300 558
Steelcase Inc. 27,900 558
- - New Mexico & Arizona Land Co. 76,905 558
Corus Bankshares Inc. 17,500 557
Superior Telecom Inc. 22,250 556
- - Integrated Silicon Solution, Inc. 95,500 555
Olsten Corp. 87,930 555
Georgia Gulf Corp. 32,782 553
Scope Industries 8,400 550
- - Friendly Ice Cream Corp. 68,700 550
- - Peerless Systems Corp. 52,200 548
Spartan Motors, Inc. 95,200 547
People's Bancshares, Inc. 27,000 547
- - Able Telcom Holding Corp. 75,400 547
- - SeaMED Corp. 46,500 546
Met-Pro Corp. 43,679 546
- - 1-800 CONTACTS, Inc. 29,100 546
- - Paging Network, Inc. 113,300 545
NYMAGIC, Inc. 34,800 544
- - Casella Waste Systems, Inc. 20,900 543
- - OneMain.com, Inc. 23,000 543
Gainsco, Inc. 92,461 543
- - Hot Topic, Inc. 20,100 543
- - J. Jill Group, Inc. 37,100 543
- - Atrix Laboratories, Inc. 56,334 542
- - Dura Pharmaceuticals, Inc. 45,414 542
Towne Services, Inc. 68,800 542
- - iXL Enterprises, Inc. 20,100 540
Libbey, Inc. 18,600 539
- - Trans World Airlines 109,203 539
- - Vical, Inc. 44,400 538
- - Echo Bay Mines Ltd. 374,500 538
LabOne Inc. 52,500 538
- - Medialink Worldwide, Inc. 33,600 538
- - Playboy Enterprises Inc. Class A 22,850 537
- - Premisys Communications, Inc. 73,300 536
- - Trinitech Systems, Inc. 34,800 535
- - P-Com, Inc. 101,800 533
Jefferson Savings Bancorp, Inc. 38,400 533
- - LoJack Corp. 63,400 531
Ohio Valley Banc Corp. 16,625 531
Cleveland-Cliffs Iron Co. 16,400 531
- - BankUnited Financial Corp. 55,100 530
HMN Financial, Inc. 45,600 530
- - Mortons Restaurant Group 27,800 530
Penford Corp. 32,609 530
- - Barrett Business Services, Inc. 62,300 530
Commercial Assets 91,100 529
- - Pharmacyclics, Inc. 18,900 529
- - Rocky Mountain Internet, Inc. 44,100 529
- - MPW Industrial Services
Group, Inc. 52,900 529
Aceto Corp. 45,962 529
- - EMCORE Corp. 26,200 527
Bairnco Corp. 70,200 527
</TABLE>
17
<PAGE> 54
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Autoweb.com, Inc. 35,000 $ 523
- - Egghead.com, Inc. 46,669 522
- - KTI, Inc. 36,600 522
- - Sonosite, Inc. 30,679 522
- - Hoenig Group, Inc. 52,200 519
- - Varian Semiconductor Equipment
Associates, Inc. 30,500 519
- - School Specialty, Inc. 32,238 518
- - Object Design, Inc. 133,400 517
- - Landstar System 14,300 516
- - Cunningham Graphics
International, Inc. 31,000 515
Correctional Properties Trust REIT 32,700 515
Bowne & Co., Inc. 39,600 515
- - Willis Lease Finance Corp. 31,500 514
- - Javelin Systems, Inc. 41,900 513
- - AstroPower, Inc. 29,300 513
- - Nashua Corp. 51,800 512
- - Wit Capital Group, Inc. 15,000 510
- - Aspect
Telecommunications Corp. 52,300 510
- - Actuate Software Corp. 19,200 509
- - Duane Reade Inc. 16,600 508
Warren Bancorp, Inc. 61,400 507
- - Zomax Inc. 11,500 506
Calgon Carbon Corp. 85,100 505
- - OnHealth Network Co. 47,500 505
- - Jackpot Enterprises, Inc. 59,327 504
- - Peapod, Inc. 63,500 504
- - APAC Teleservices, Inc. 154,589 502
K2 Inc. 56,145 502
- - Crescent Operating, Inc. REIT 73,580 501
- - GT Interactive Software Corp. 143,200 501
- - Applied Analytical Industries, Inc. 44,500 501
Progress Financial Corp. 34,230 501
Bel Fuse, Inc.- Class B 19,250 501
- - Interneuron Pharmaceutical, Inc. 182,000 501
Oregon Trail Financial Corp. 39,100 499
- - Columbia Sportswear Co. 32,400 498
- - Cameron Ashley Building Products 47,700 498
- - Pride International Inc. 47,100 497
- - Kensey Nash Corp. 62,000 496
- - Foodarama Supermarkets, Inc. 16,600 496
- - Imperial Credit 69,874 496
- - Globe Business Resources, Inc. 38,100 495
Frisch's Restaurants, Inc. 47,634 494
Apex Mortgage Capital, Inc. REIT 37,100 494
United Wisconsin Services, Inc. 61,700 494
Engineered Support Systems, Inc. 41,750 493
- - Kopin Corp. 20,600 493
- - Saga Communications, Inc. 26,475 493
Lab Holdings, Inc. 35,500 493
PMC Capital, Inc. 58,800 492
- - Trico Marine Services, Inc. 75,000 492
- - Central Garden and Pet Co. 48,000 492
- - Highlands Insurance Group 46,800 491
- - Glenayre Technologies, Inc. 136,712 491
Brown & Brown, Inc. 12,900 490
- - Civic Bancorp 34,651 489
- - Piercing Pagoda, Inc. 38,750 489
- - Lifeline Systems, Inc. 25,300 487
Gold Banc Corp., Inc. 36,900 484
- - PC Connection, Inc. 40,100 484
- - Converse Inc. 133,433 484
- - Franklin Covey Co. 65,500 483
Harleysville Group, Inc. 23,500 482
- - Celera Genomics 29,700 481
Telxon Corp. 60,500 480
- - North American Vaccine, Inc. 98,500 480
PS Group Holdings Inc. 43,900 480
- - Sunterra Corp. 34,450 480
- - PhyCor, Inc. 64,825 480
- - SPS Technologies, Inc. 12,800 480
- - Meta Group, Inc. 31,100 478
- - Oxigene, Inc. 50,661 478
- - Jan Bell Marketing Inc. 136,600 478
- - CTB International Corp. 57,500 478
- - Shoney's Inc. 218,300 478
- - BTG Inc. 79,400 476
- - Capital Corp. of the West 38,100 476
- - Stage Stores, Inc. 73,100 475
HEICO Corp. 19,029 473
Abington Bancorp Inc. 35,000 473
- - Triad Hospitals, Inc. 35,000 472
- - American Software, Inc. Class A 106,450 472
- - Meade Instruments Corp. 27,300 471
- - Unique Mobility, Inc. 99,000 470
- - Natrol, Inc. 62,500 469
Dimon Inc. 90,350 469
- - Drexler Technology Corp. 49,211 468
- - Metro One
Telecommunications, Inc. 34,000 467
Yardville National Bancorp 37,385 467
PVF Capital Corp. 32,490 467
- - American Bank Note
Holographics, Inc. 169,800 467
- - Callon Petroleum Co. 45,200 466
- - UniCapital Corp. 73,800 466
- - Ocular Sciences, Inc. 26,800 466
- - Koala Corp. 17,400 465
S.Y. Bancorp, Inc. 18,600 465
- - EMS Technologies, Inc. 31,914 463
- - QMS, Inc. 84,100 463
- - Florida Banks, Inc. 59,200 462
Midwest Grain Products 41,550 462
- - PCD, Inc. 42,000 462
- - Abgenix, Inc. 23,200 461
Texas Regional Bancshares, Inc. 16,900 459
- - Miami Computer Supply Corp. 24,300 459
- - Digital Link Corp. 61,100 458
- - HMT Technology Corp. 183,300 458
- - Kendle International Inc. 28,600 458
HEICO Corp. Class A 18,864 457
- - Mapics Inc. 43,200 456
- - Digital Generation Systems 93,495 456
- - TCI Satellite Entertainment, Inc.
Class A 154,777 455
- - Raytel Medical Corp. 98,200 454
- - ITLA Capital Corp. 28,800 454
- - MSC.Software Corp. 78,000 453
- - Theragenics Corp. 65,200 452
- - LINC Capital, Inc. 50,900 452
</TABLE>
18
<PAGE> 55
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Ryerson Tull, Inc. 19,977 $ 451
TF Financial Corp. 23,312 450
- - Pilgrim Capital Corp. 23,200 449
- - Nuevo Energy Co. 33,900 449
- - NorthEast Optic Network, Inc. 29,800 449
- - Invision Technologies, Inc. 87,000 446
- - Sunrise Medical, Inc. 62,500 445
- - Halter Marine Group, Inc. 67,093 444
- - Audio Book Club, Inc. 34,100 443
Tremont Corp. 20,609 443
Holly Corp. 33,100 443
Pillowtex Designs 27,111 442
Home Bancorp 16,000 442
- - Integrated Health Services, Inc. 55,213 442
- - Geron Corp. 42,300 442
- - Key Tronic Corp. 78,200 440
- - Veritas DGC Inc. 24,000 440
- - Home Products International Inc. 51,620 439
- - Vlasic Foods International, Inc. 60,000 439
First Mutual Savings Bank 36,544 439
- - National Techteam, Inc. 79,700 438
- - Twinlab Corp. 51,000 438
Cavalry Bancorp, Inc. 19,200 438
- - General DataComm
Industries, Inc. 166,800 438
- - Mysoftware Co. 28,300 437
- - Thermo Cardiosystems Inc. 40,050 436
- - Strategic Distribution, Inc. 188,300 435
- - Myriad Genetics, Inc. 48,300 435
- - Epicor Software Corp. 58,412 434
- - MLC Holdings, Inc. 56,000 434
- - Thermotrex Corp. 56,900 434
The First Years Inc. 28,900 433
Schweitzer-Mauduit
International, Inc. 28,800 432
- - Delta Financial Corp. 67,700 432
Ventas, Inc. 80,165 431
- - ResortQuest International, Inc. 52,200 431
- - LifePoint Hospitals, Inc. 31,720 426
- - Rentrak Corp. 84,900 424
- - Startec Global
Communications Corp. 35,000 424
- - MSC Industrial Direct Co., Inc.
Class A 41,400 424
Harmon Industries, Inc. 21,400 424
- - Metrocall, Inc. 154,000 424
- - Keystone Consolidated
Industries, Inc. 63,919 423
WesterFed Financial Corp. 25,853 423
- - MECON, Inc. 56,200 422
- - Cellegy Pharmaceuticals, Inc. 90,800 420
- - Affiliated Managers Group, Inc. 13,900 420
- - 800-JR CIGAR, Inc. 33,900 420
- - Immune Response 77,983 419
- - Romac International, Inc. 47,100 418
- - Serologicals Corp. 51,300 417
G & L Realty Corp. 36,200 416
- - McWorter Technologies Inc. 28,800 416
- - Getty Petroleum Marketing Inc. 138,232 415
- - Catalytica, Inc. 29,600 414
Amcast Industrial Corp. 25,400 414
- - Evans & Sutherland
Computer Corp. 31,697 414
- - Coeur D'Alene Mines Corp. 89,500 414
A.T. Cross Co. Class A 74,300 413
- - BioTime, Inc. 35,300 413
- - Integral Systems, Inc. 18,100 412
- - Varian, Inc. 30,500 412
Bay State Bancorp, Inc. 20,000 411
- - Belco Oil & Gas Corp. 59,200 411
- - American Classic Voyager Co. 17,100 410
- - Interlink Electronics Inc. 41,200 409
Guilford Mills, Inc. 39,425 409
- - Diamond Multimedia
Systems, Inc. 99,100 409
- - Systemax Inc. 32,846 406
- - Lone Star Steakhouse &
Saloon, Inc. 41,763 406
Boston Acoustics, Inc. 22,700 406
- - Mansur Industries, Inc. 40,500 405
- - Alliance Pharmaceutical Corp. 153,700 403
- - Input/Output, Inc. 53,300 403
- - Lynx Therapeutics Inc. 35,625 403
Laser Mortgage
Management, Inc. 116,900 402
Central Vermont Public
Service Corp. 31,500 402
- - Andrea Radio Corp. 61,700 401
- - Transworld Healthcare Inc. 118,445 400
- - Syncor International Corp. 11,100 400
- - Fatbrain.com Inc. 23,800 399
- - Crestline Capital Corp. 23,665 398
- - theglobe.com, inc. 20,200 398
- - Alpine Group, Inc. 24,600 395
- - Elite Information Group, Inc. 73,500 395
- - Chesapeake Energy Corp. 134,300 395
- - Mobius Management
Systems, Inc. 47,800 394
- - Merix Corp. 51,700 394
- - SPR Inc. 74,200 394
- - Hanger Orthopedic Group, Inc. 27,500 390
- - Vertex Communications Corp. 28,500 390
American Insured
Mortgage Investors 70,500 388
CFS Bancorp, Inc. 35,400 387
- - Metrika Systems Corp. 44,200 387
OmniQuip International, Inc. 49,000 386
- - Perclose, Inc. 8,000 384
Sterling Bancorp 20,200 384
- - Schein Pharmaceutical, Inc. 31,800 384
- - Applied Magnetics Corp. 124,700 382
Wackenhut Corp. Class B 15,862 381
- - Artisan Components, Inc. 32,600 379
First Source Corp. 11,770 377
- - Zygo Corp. 32,800 375
- - Wall Data Inc. 39,200 375
- - AMREP Corp. 65,700 374
- - Onyx Acceptance Corp. 49,000 374
- - Novavax, Inc. 106,500 373
- - Juniper Networks INC 2,500 373
- - Competitive Technologies, Inc. 56,200 372
- - Candela Corp. 26,100 372
</TABLE>
19
<PAGE> 56
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- -----------------------------------------------------------------------
<S> <C> <C>
- - Syntroleum Corp. 41,600 $ 372
- - MAI Systems Corp. 114,275 371
- - Time Warner Telecom Inc. 12,800 371
- - Sames Corp. 18,650 371
- - Budget Group, Inc. 30,000 369
- - Caliber Learning Network, Inc. 77,100 366
- - JLK Direct Distribution Inc.
Class A 39,300 366
Herbalife International Class B 42,400 366
BancFirst Corp. 10,674 366
- - Pediatrix Medical Group, Inc. 17,200 365
HealthPlan Services Corp. 53,600 365
Sterling Bancshares, Inc. 27,300 365
- - Allou Health & Beauty, Inc. 51,400 363
- - XETA Corp. 11,800 363
- - Hecla Mining Co. 175,800 363
- - Restoration Hardware, Inc. 27,100 362
- - American Science &
Engineering, Inc. 39,100 362
- - Cypros Pharmaceuticals Corp. 147,900 361
Avado Brands, Inc. 42,976 360
- - Lechters Corp. 143,700 359
- - Gilman & Ciocia, Inc. 39,100 359
- - Digital Island Inc. 20,000 359
- - Matrix Bancorp, Inc. 25,600 358
JeffBanks, Inc. 12,600 358
- - autobytel.com inc. 17,100 357
- - Systems & Computer
Technology Corp. 24,500 357
- - Phoenix International Ltd., Inc. 55,700 355
- - American Dental Partners, Inc. 31,900 355
- - Interpore International 86,000 355
- - Exabyte Corp. 91,300 354
- - Hector Communications Corp. 35,350 354
- - Jenny Craig Inc. 100,600 352
Landmark Bancshare, Inc. 18,700 352
- - NBTY, Inc. 54,100 352
Main Street Bancorp, Inc. 24,182 351
- - Caribiner International, Inc. 56,600 350
- - Coram Healthcare Corp. 199,929 350
- - Merisel, Inc. 153,310 350
OEA, Inc. 39,300 349
Southern Financial Bancorp, Inc. 17,100 348
GBC Bancorp 17,200 348
- - Blue Rhino Corp. 37,800 347
MOCON, Inc. 59,062 347
- - Cytogen Corp. 178,469 346
- - Scios, Inc. 106,168 345
Heilig-Meyers Co. 50,618 345
- - Arch Communications Group, Inc 40,533 345
- - OAO Technology Solutions, Inc. 91,520 343
BHA Group Holdings Inc. 41,437 342
- - SERENA Software, Inc. 25,400 341
- - Radio One, Inc. 7,300 339
- - Simula, Inc. 52,200 339
- - Landmark Systems Corp. 32,700 339
East Texas Financial Services, Inc. 24,000 339
Merchants Group, Inc. 15,100 338
- - Brocade Communications
Systems, Inc. 3,500 338
Westcorp, Inc. 30,000 337
- - Canandaigua Brands, Inc. Class B 6,375 336
- - InterDent, Inc. 45,974 336
- - Miravant Medical Technology 47,000 335
- - FPIC Insurance Group, Inc. 6,900 335
- - PAREXEL International Corp. 25,100 334
- - Invitrogen Corp. 13,500 333
- - Clarus Corp. 66,400 332
- - USDATA Corp., Inc. 85,150 330
- - Orthologic Corp. 133,600 330
- - Cybershop International, Inc. 47,800 329
- - Komag, Inc. 99,000 328
Vesta Insurance Group, Inc. 70,500 326
- - TCSI Corp. 126,529 324
- - Industrial Distribution Group, Inc. 64,000 324
- - Landry's Seafood
Restaurants, Inc. 40,500 324
Phillips International Realty Corp.
REIT 19,200 324
- - Metrologic Instruments, Inc. 28,400 323
- - Genome Therapeutics Corp. 106,930 321
- - Ultralife Batteries, Inc. 58,300 321
- - Alliance Gaming Corp. 84,528 317
- - WHX Corp. 47,564 312
- - Applied Graphics
Technologies, Inc. 24,600 311
Liberty Homes, Inc. Class A 32,500 310
Technitrol, Inc. 9,600 310
- - Brass Eagle Inc. 16,400 307
- - Data Transmission Network Corp. 10,900 307
- - Sizzler International 136,050 306
- - Vertel Corp. 163,091 306
- - Drypers Corp. 109,500 305
- - QAD Inc. 99,400 304
- - Objective Systems
Integrators, Inc. 110,400 304
Resource Bancshares
Mortgage Group, Inc. 29,600 303
- - Commonwealth Telephone
Enterprises Class B 7,400 302
- - Family Golf Centers, Inc. 39,200 301
- - Morrison Knudsen Corp. 29,200 301
- - Tristar Corp. 43,400 301
- - Clayton Williams Energy, Inc. 50,700 301
- - DLJdirect 10,200 301
Bank of Granite Corp. 12,200 300
Republic Banking Corp. of Florida 15,600 300
- - Florsheim Group Inc. 53,015 298
- - Catalina Lighting, Inc. 59,400 297
- - Fresh America Corp. 21,100 295
- - SONUS Pharmaceuticals, Inc. 56,800 295
- - Microwave Power Devices, Inc. 19,100 294
- - Algos Pharmaceutical Corp. 13,300 293
Hancock Fabrics, Inc. 66,900 293
- - Vivus, Inc. 111,500 293
- - Building One Services Corp. 21,036 292
- - Omega Worldwide, Inc. 71,715 291
- - Mitcham Industries, Inc. 72,800 291
- - First Commonwealth, Inc. 11,850 291
- - North American Scientific, Inc. 35,200 290
- - Energy Research Corp. 20,300 289
- - Zoltek Cos., Inc. 36,400 289
</TABLE>
20
<PAGE> 57
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Autotote Corp. 121,167 $ 288
- - Colorado MEDtech, Inc. 13,100 287
Southwest Securities Group, Inc. 4,000 287
- - Mattson Technology, Inc. 22,600 285
- - Response Oncology, Inc. 96,603 284
- - HORIZON Pharmacies, Inc. 48,200 283
- - Hospitality Worldwide Services 78,000 283
Brookline Bancorp, Inc. 24,375 282
- - Equivest Finance, Inc. 51,675 279
- - Heartport Inc. 117,200 278
- - The Sports Authority, Inc. 62,700 278
Davel Communications, Inc. 51,300 276
TransPro Inc. 52,510 276
- - eGames, Inc. 86,400 275
- - ResMed Inc. 8,200 272
Marion Capital Holdings 13,100 272
- - Cohesion Technologies, Inc. 45,003 270
- - 4Front Technologies, Inc. 27,300 270
- - Excalibur Technologies Corp. 18,900 269
- - ModaCAD, Inc. 24,000 267
- - Immunomedics Inc. 181,600 267
- - Eagle Food 86,200 267
Maine Public Service Co. 15,000 266
- - Genesis Direct, Inc. 141,800 266
- - Amresco, Inc. 41,300 266
- - Worldtex Inc. 111,944 266
Newmil Bancorp, Inc. 23,900 263
Prime Bancshares, Inc. 14,700 263
- - American Access
Technologies Inc. 14,200 263
Astro-Med, Inc. 38,150 262
U.S.B. Holding Co., Inc. 17,080 262
- - PathoGenesis Corp. 18,400 261
- - CHS Electronics, Inc. 59,600 261
Golden Enterprises Inc. 69,500 261
Huntco Inc. Class A 86,000 258
- - Cholestech Corp. 100,300 257
- - Just for Feet, Inc. 39,924 257
- - K-tel International, Inc. 36,700 256
Great Southern Bancorp, Inc. 9,600 256
- - Nobility Homes, Inc. 34,000 255
- - Franklin Electronic Publishers, Inc. 69,100 255
- - Osteotech, Inc. 8,850 254
- - Gibson Greetings, Inc. 40,100 254
Commercial Net Lease Realty REIT 19,700 254
- - Paul-Son Gaming Corp. 28,100 253
- - Advanced Magnetics, Inc. 60,200 252
- - Ivex Packaging Corp. 11,400 251
- - Plasma-Therm, Inc. 91,000 250
- - The TesseracT Group, Inc. 95,000 249
Wiser Oil Co. 75,000 248
Crown Crafts, Inc. 56,740 248
Guaranty Federal Bancshares, Inc. 21,100 248
- - Craig Corp. 35,023 247
- - Res-Care, Inc. 10,700 243
- - JLM Industries, Inc. 46,300 243
Boddie-Noell Properties Inc. 21,100 243
- - ContiFinancial Corp. 67,800 242
- - Molecular Biosystems, Inc. 98,934 241
Community Bank System, Inc. 9,500 241
- - Stac Software, Inc. 43,325 241
- - SOS Staffing Services, Inc. 45,800 240
Alabama National
BanCorporation 9,600 240
- - US SEARCH.com Inc. 30,000 240
Craftmade International, Inc. 18,400 239
- - Fresh Foods Inc. 27,600 238
- - Atlantic Bank & Trust Co. 13,400 238
- - Hyseq, Inc. 67,700 235
- - MeriStar Hotels & Resorts, Inc.
REIT 68,000 234
- - US Physical Therapy, Inc. 27,400 233
- - Acme Electric Corp. 42,800 233
- - The Rottlund Co. 50,300 233
- - Playboy Enterprises, Inc. Class B 8,750 232
Redwood Empire Bancorp 9,700 232
BeautiControl Cosmetics 50,050 231
Ohio Art Co. 14,800 231
Western Beef 37,160 230
- - Careerbuilder, Inc. 17,500 230
- - CRW Financial, Inc. 44,700 229
- - Information Management
Associates, Inc. 65,400 229
Summit Bancshares, Inc. 13,100 228
- - Navigant International, Inc. 28,869 227
- - Matthews Studio
Equipment Group 29,300 227
- - ImmuLogic Pharmaceutical Corp. 121,000 227
Birmingham Steel Corp. 54,550 225
- - Korn/Ferry International 13,200 224
- - Breed Technological Inc. 99,500 224
- - Global Vacation Group, Inc. 49,500 223
- - Universal Stainless &
Alloy Products, Inc. 38,700 223
Richmond County Financial Corp. 11,550 222
- - Creditrust Corp. 8,000 222
- - National Record Mart, Inc. 53,000 222
- - Homestead Village, Inc. 90,770 221
- - Enstar Inc. 23,266 221
- - Chic By H.I.S., Inc. 83,000 220
- - U.S. Energy Corp. 58,770 220
United Community Financial Corp. 15,000 220
- - Cognizant Technology
Solutions Corp. 8,400 219
- - Viasoft, Inc. 62,452 219
- - Perini Corp. 38,400 218
- - Lakes Gaming, Inc. 19,900 218
- - Barnett, Inc. 29,000 218
Black Hills Corp. 9,400 217
Vulcan International Corp. 5,900 216
MFB Corp. 10,000 215
- - Genesis Health Ventures Inc. 71,650 215
- - Segue Software, Inc. 29,600 215
- - Edify Corp. 16,000 214
- - Newcor, Inc. 43,880 214
Community Federal Bancorp, Inc. 16,300 212
Spartech Corp. 6,700 212
- - Universal Display Corp. 49,700 211
- - System Software Associates, Inc. 127,150 211
- - KFX, Inc. 140,350 211
Merit Holding Corp. 9,200 208
- - INSO Corp. 38,600 207
</TABLE>
21
<PAGE> 58
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------------
<S> <C> <C>
Cooper Cos., Inc. 8,300 $ 207
- - High Plains Corp. 107,997 206
Frontier Financial Corp. 8,400 206
Second Bancorp, Inc. 7,000 205
- - Graham-Field Health
Products Inc. 136,416 205
- - Rimage Corp. 13,600 204
- - Amylin Pharmaceuticals, Inc. 181,200 204
- - ChromaVision Medical
Systems, Inc. 20,500 202
FirstSpartan Financial Corp. 8,700 202
First Bancorp North Carolina 7,800 201
- - Republic First Bancorp, Inc. 25,030 200
Barnes Group, Inc. 9,200 200
- - TSR, Inc. 23,500 200
- - ShoLodge, Inc. 39,333 199
- - PSW Technologies. Inc. 50,600 196
Resource Asset Investment Trust
REIT 15,500 196
- - Seacoast Financial Services Corp. 17,170 195
- - Hawthorne Financial Corp. 12,000 195
- - Filene's Basement Corp. 135,650 195
- - Hawk Corp. Class A 22,000 194
- - Roy F. Weston, Inc. 64,600 194
CPB, Inc. 7,300 193
Green Mountain Power Corp. 16,907 190
- - Play By Play Toys & Novelties, Inc. 46,100 189
- - NeoPharm, Inc. 12,700 187
- - Open Market, Inc. 13,200 187
- - PMR Corp. 56,500 187
- - Inference Corp. Class A 44,000 187
- - Carrington Labs Inc. 64,872 187
- - Applied Microsystems Corp. 59,600 186
- - Tultex Corp. 246,900 185
- - Aqua Alliance Inc. 183,398 183
- - International Microcomputer
Software, Inc. 37,600 183
- - Bank Plus Corp. 34,100 183
- - Alcide Corp. 10,100 182
- - Data Systems & Software, Inc. 50,600 180
- - 800 Travel Systems, Inc. 44,900 180
Waddell & Reed Financial, Inc. 6,500 178
- - Tut Systems, Inc. 3,600 176
- - BroadBand Technologies, Inc. 71,200 176
- - NovaCare, Inc. 117,100 176
- - Einstein/Noah Bagel Corp. 180,700 175
- - Nastech Pharmaceutical Co., Inc. 52,300 173
- - Kevco, Inc. 21,000 172
- - Horizon Medical Products, Inc. 28,200 169
- - ThermoLase Corp. 128,900 169
Penn Engineering &
Manufacturing Corp. Class A 8,300 169
- - Internet America, Inc. 8,900 168
- - Network Access Solutions Corp. 12,500 166
- - Aztec Technology Partners, Inc. 88,068 165
- - Versant Corporation 65,100 163
- - e-Net, Inc. 33,900 161
- - VIB Corp. 17,510 161
- - Destia Communications, Inc. 12,800 158
- - Safety First Inc. 26,900 158
Coast Bancorp 7,800 158
State Financial Services Corp.
Class A 10,300 157
- - Information Holdings Inc. 8,000 157
- - Maxwell Technologies, Inc. 6,500 156
Westbanco Inc. 5,200 156
- - U.S. Office Products Co. 29,011 156
- - Barnwell Industries, Inc. 13,400 156
Unity Bancorp, Inc. 13,125 154
- - Hollywood Casino Corp. 102,600 154
- - Silknet Software, Inc. 3,800 154
- - C2, Inc. 24,600 154
- - PETCO Animal Supplies, Inc. 9,630 152
United Guardian, Inc. 31,800 151
- - Safeguard Health
Enterprises, Inc. 33,565 151
- - Darling International, Inc. 77,900 151
- - NVIDIA Corp. 7,800 149
- - Wintrust Financial Corp. 8,400 148
- - Big Entertainment, Inc. 9,400 147
- - Wave Technologies International 40,800 145
Greater Delaware Valley
Savings Bank 15,200 143
- - Princeton Video Image, Inc. 31,600 143
Greater Bay Bancorp 4,300 143
- - Cytoclonal Pharmaceutics Inc. 22,600 143
- - Metal Management, Inc. 95,000 143
Kentucky First Bancorp, Inc. 11,600 141
- - Atlantic Coast Airlines Holdings 7,400 141
- - Coulter Pharmaceutical, Inc. 6,200 140
Peekskill Financial Corp. 10,400 138
- - Ziff-Davis Inc. - ZDNet 5,300 138
- - Mediware Information
Systems, Inc. 17,900 135
Urstadt Biddle Properties REIT 17,800 133
- - Sharper Image Corp. 15,300 130
- - Creative Computers, Inc. 16,000 128
- - H.T.E., Inc. 37,500 127
- - SEEC, Inc. 29,500 125
- - TD Waterhouse Group, Inc. 5,000 125
- - United Payors &
United Providers, Inc. 5,400 125
- - Metro Information Services, Inc. 7,500 125
- - Fourth Shift Corp. 33,800 125
Harrodsburg First
Financial Bancorp 9,800 124
- - Carson Inc. 37,300 124
Horizon Financial Corp. 9,000 123
- - Coda Music Technology, Inc. 51,100 123
- - Schick Technologies, Inc. 40,000 122
- - BioSpecifics Technology 40,800 122
Allied Products Corp. 42,101 121
- - Secure Computing Corp. 49,600 121
- - Adams Golf, Inc. 47,100 121
- - IGI, Inc. 68,500 120
- - Bolle Inc. 43,590 120
- - Consumer Portfolio Services, Inc. 71,600 120
- - Cal Dive International, Inc. 4,000 120
- - Factory 2-U Stores Inc. 6,400 118
- - CD Warehouse, Inc. 13,800 118
Lindsay Manufacturing Co. 6,700 118
- - Hauser, Inc. 21,300 117
</TABLE>
22
<PAGE> 59
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Sunburst Hospitality Corp. 19,666 $ 116
- - Winfield Capital Corp. 5,000 115
- - American Aircarriers Support, Inc. 13,300 115
CRIIMI MAE, Inc. REIT 50,900 115
- - Socrates Technologies Corp. 107,100 114
- - Boron, LePore & Associates, Inc. 13,500 113
- - Heartland Express, Inc. 6,900 113
- - Capital Trust Class A 25,000 112
- - Strouds, Inc. 69,100 112
- - Starter Corp. 89,800 112
- - Zonagen, Inc. 12,100 112
- - Party City Corp. 28,800 111
- - Dataware Technologies, Inc. 46,600 111
- - Community Capital Corp. 11,000 110
- - DecisionOne Holdings Corp. 57,929 109
- - CAIS Internet, Inc. 5,900 108
- - Nitches Inc. 30,128 108
- - Seven Seas Petroleum Inc. 39,000 107
Urban Shopping Centers, Inc. REIT 3,400 107
- - Docucorp International 25,940 107
- - ATEC Group, Inc. 27,100 105
- - Accelr8 Technology Corp. 52,400 105
- - Famous Dave's of America, Inc. 41,300 105
- - Navarre Corp. 10,500 103
LSB Bancshares, Inc. 5,400 103
- - Precision Systems, Inc. 109,300 102
- - Interface Systems Inc. 30,300 102
Molex, Inc. Class A 3,241 102
Aames Financial Corp. 77,100 101
- - Steinway Musical
Instruments Inc. 3,800 101
- - Samsonite Corp. 20,064 100
- - Puma Technology, Inc. 19,100 100
- - United Road Services, Inc. 19,200 98
- - Lexington Global Asset
Managers, Inc. 27,600 98
- - SCC Communications Corp. 22,400 98
- - Marcam Solutions, Inc. 13,100 98
Peoples Holding Co. 3,000 97
- - Four Media Co. 14,900 97
Commercial Bank of New York 7,900 97
Heritage Financial Corp. 11,300 97
- - Hitox Corp. of America 40,700 97
- - Ceres Group, Inc. 10,500 96
- - Glacier Water Services, Inc. 4,800 95
- - Ecogen, Inc. 32,940 95
- - Rainbow Rentals, Inc. 8,200 94
- - Celtrix Pharmaceuticals 75,300 94
- - Display Technologies, Inc. 23,885 94
- - Natural Alternatives
International, Inc. 27,300 94
- - Nutrition for Life International, Inc. 43,900 93
ABC Bancorp 7,000 93
Belmont Bancorp. 9,200 93
Price Enterprises, Inc. 12,668 91
Service Merchandise Co., Inc. 241,499 91
- - VitalCom Inc. 42,200 90
- - Telular Corp. 30,325 89
- - Applied Digital Access, Inc. 19,600 88
- - Viant Corp. 2,500 88
Vulcan Materials Co. 1,800 87
- - Royal Gold, Inc. 19,000 87
- - BankFirst Corp. 9,100 84
- - Globecomm Systems, Inc. 8,500 84
- - Maker Communications, Inc. 2,700 84
- - Central Financial
Acceptance Corp. 22,900 83
- - GSI Lumonics, Inc. 21,578 82
- - Labtec, Inc. 19,200 82
Peoples BancTrust Co., Inc. 4,800 82
First of Long Island Corp. 2,250 81
- - Capital Title Group, Inc. 32,300 81
- - AppliedTheory Corp. 6,300 80
- - Food Technology Service, Inc. 18,700 79
- - Monarch Dental Corp. 25,000 79
- - Clean Harbors Inc. 43,500 79
- - Genzyme Surgical Products 17,574 77
West Coast Bancorp 4,400 77
- - StarMedia Network, Inc. 1,200 77
- - Service Experts, Inc. 3,500 77
- - Trimedyne, Inc. 60,000 75
- - Gold Reserve Inc. Class A 63,400 72
- - SurModics, Inc. 4,400 72
- - BWC Financial Corp. 3,000 71
- - Female Health Co. 37,600 71
- - Computron Software, Inc. 76,500 69
Timberland Bancorp, Inc. 5,900 69
- - America Service Group Inc. 4,500 69
- - Medical Dynamics, Inc. 63,700 68
- - Universal Electronics, Inc. 2,400 67
- - Agritope, Inc. 19,220 67
- - Dunn Computer Corp. 33,200 66
- - Latitude Communications, Inc. 5,100 66
- - Planet Hollywood International, Inc.
Class A 95,400 66
- - SCB Computer Technology, Inc. 12,400 65
- - Intelligent Medical Imaging, Inc. 86,700 65
- - V.I. Technologies, Inc. 12,800 64
America First Mortgage
Investments, Inc. REIT 13,100 64
United Mobile Homes, Inc. 6,500 61
- - Technisource, Inc. 11,600 60
- - Viisage Technology, Inc. 50,000 59
- - Evercel, Inc. 5,332 59
Vornado Operating Inc. REIT 7,329 59
- - Mariner Post-Acute
Network, Inc. 103,285 58
- - E-Z-EM, Inc. Class A 10,300 58
- - AML Communications, Inc. 38,600 58
- - American Coin
Merchandising, Inc. 8,800 57
- - V-One Corp. 21,000 57
Wainwright Bank & Trust Co. 7,000 57
- - Let's Talk Cellular & Wireless, Inc. 16,100 56
- - Applied Biometrics, Inc. 11,900 56
Liberte Investors, Inc. 16,000 55
FNB Financial Services Corp. 3,600 55
- - Gallery of History, Inc. 10,400 55
- - American Banknote Corp. 174,000 54
- - ONYX Software Corp. 2,500 54
- - Modtech Holdings, Inc. 4,679 53
California Independent Bancorp 2,578 53
</TABLE>
23
<PAGE> 60
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
EXTENED MARKET VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Orphan Medical, Inc. 8,700 $ 52
- - Network Plus Corp. 2,500 52
TriCo Bancshares 2,800 52
Peoples Bank 2,710 51
Coca-Cola Bottling Co. 900 50
- - Electronic Processing, Inc. 4,800 50
- - Ariel Corp. 21,800 50
- - JWGenesis Financial Corp. 3,400 48
- - Barrister Information
Systems Corp. 16,000 48
- - Shoe Pavilion, Inc. 10,600 48
Ecology and Environment, Inc. 6,925 48
- - Donnkenny, Inc. 34,600 48
- - Forcenergy Inc. 50,726 48
- - American Wagering, Inc. 7,600 47
- - Berkshire Hathaway Inc. Class B 21 47
- - Cellular Technical Services 13,565 47
- - Informatica Corp. 1,300 46
- - Little Switzerland, Inc. 67,000 46
- - President Casinos 26,213 46
- - Penncorp Financial Group Inc. 91,400 46
Escalade, Inc. 2,600 45
NMBT Corp. 3,200 45
- - Pinnacle Global Group, Inc. 8,675 44
- - EA Engineering Sciences and
Technology Inc. 41,700 44
Avatex Corp. 38,000 43
Mego Financial Corp. 52,500 41
- - Obie Media Corp. 3,200 41
- - Travel Services International, Inc. 3,400 41
- - Miller Exploration Co. 18,200 40
- - Interstate Hotels Corp. 9,509 39
- - Checkers Drive-In Restaurant 104,400 39
- - The Right Start, Inc. 5,100 39
- - NewStar Media, Inc. 24,500 38
- - VISTA Information Solutions, Inc. 3,300 38
- - Oriole Homes Corp. Class B 19,300 37
Eastern Virginia Bankshares, Inc. 2,100 37
- - Research Partners
International, Inc. 9,300 37
BioLase Technology, Inc. 13,800 36
- - Zamba Corp. 18,500 36
- - COMARCO, Inc. 1,800 36
- - Carleton Corp. 18,100 35
Bowl America, Inc. Class A 5,000 35
- - Technical Communications Corp. 14,000 35
FNB Corp. 1,600 35
- - Virbac Corp. 23,910 34
- - Q-Med, Inc. 9,800 34
Nature's Sunshine Inc. 3,200 34
- - Cardinal Financial Corp. 4,600 33
GK Intelligent Systems, Inc. 74,700 33
- - Kelly Oil Corp. 148,000 32
- - Sun Healthcare Group, Inc. 86,300 32
- - Multiple Zones International, Inc. 4,300 32
- - National Bancshares Corp.
of Texas 2,000 32
- - Priority Healthcare Corp. class B 900 31
- - Energy Biosystems Corp. 12,414 31
- - Decora Industries, Inc. 4,800 31
Independent Bank Corp. 1,700 30
Acadia Realty Trust REIT 5,300 28
- - Biospherics, Inc. 4,100 28
- - Outlook Group Corp. 8,000 28
- - Chase Industries, Inc. 3,250 27
- - Genzyme Molecular Oncology 9,851 27
Dispatch Management
Services Corp. 9,500 26
- - Progress Software Corp. 900 25
- - Perfumania Inc. 8,000 25
- - Vencor, Inc. 163,465 25
- - Profile Technologies, Inc. 3,000 24
Washington Trust Bancorp, Inc. 1,300 23
Harbor Federal Bancorp, Inc. 1,500 23
- - Dynamics Research Corp. 4,000 23
Big Foot Financial Corp. 1,500 23
J.M. Smucker Co. Class B 1,200 23
- - Registry Magic, Inc. 4,900 22
Niagara Bancorp, Inc. 1,900 20
Hubbell Inc. Class A 500 20
- - Digital Origin, Inc. 6,000 20
- - Paracelsus Healthcare Corp. 15,000 20
- - Software Publishing Corp.
Holdings, Inc. 7,992 19
- - Credit Management Solutions, Inc. 4,000 19
First Southern Bancshares 1,600 18
- - Onix Systems Inc. 3,000 18
First Essex Bancorp Inc. 1,100 18
Bandag, Inc. Class A 600 17
Carolina Southern Bank 1,100 17
- - Allied Devices Corp. 11,200 16
- - OMNI Energy Services Corp. 4,400 15
Herbalife International Class A 1,400 15
First Midwest Financial, Inc. 1,050 15
- - Merry Land Properties, Inc. REIT 3,065 15
Reader's Digest Assn., Inc.
Class B 400 15
- - Netsmart Technologies, Inc. 3,733 15
The Middleby Corp. 2,300 15
- - Kaiser Ventures Inc. 1,000 14
GSB Financial Corp. 1,000 14
- - Hudson Technology, Inc. 5,600 14
- - FIRSTPLUS Financial Group, Inc. 44,200 14
- - Heartland Technology, Inc 2,300 14
- - Starmet Corp. 3,200 13
- - Horizon Group Properties,
Inc. REIT 3,865 13
- - Showpower, Inc. 3,000 12
- - Caprius, Inc. 53,380 12
CopyTele, Inc. 6,500 11
Mobile America Corp. 3,400 11
- - Astronics Corp. 1,100 11
L. S. Starrett Co. Class B 400 11
- - Success Bancshares, Inc. 1,000 11
- - Gradco Systems, Inc. 4,000 10
- - Superconductor Technologies Inc. 2,300 9
- - Chromatics Color Sciences
International, Inc. 1,000 8
ADFlex Solutions, Inc. 2,000 8
- - E-LOAN, Inc. 200 8
- - Benchmark Electronics, Inc. 200 7
- - Waterlink, Inc. 2,500 7
</TABLE>
24
<PAGE> 61
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------------
<S> <C> <C>
- - SMC Corp. 1,400 $ 7
- - Cytel Corp. 2,200 7
- - Inmark Enterprises, Inc. 2,000 6
- - Santa Barbara Restaurant Group 2,300 6
- - The Sirena Apparel Group, Inc. 2,500 5
- - National Research Corp. 2,000 5
- - WPI Group, Inc. 1,500 5
- - Intellicell Corp. 800 4
- - American Homestar Corp. 600 4
- - World Corp. 49,900 4
German American Bancorp 181 3
- - ProcureNet, Inc. 21,000 3
- - Prolong International Corp. 2,500 3
- - Medtox Scientific, Inc. 420 3
- - Cosmetic Center, Inc. Class C 8,019 2
- - Continucare Corp. 3,000 2
- - Westmark Group Holdings, Inc. 800 2
- - Aquila Biopharmaceuticals, Inc. 920 1
- - Birman Managed Care, Inc. 2,000 1
- - Costilla Energy, Inc. 7,200 1
- - Vidikron Technologies Group, Inc. 1,000 1
- --------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $2,813,296) 3,799,988
- ---------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (8.9%)(1)
- --------------------------------------------------------------------------------------
Federal National Mortgage Assn.
(2) 4.75%, 7/22/1999 $ 2,500 2,492
U.S. Treasury Bills
(2) 4.72%, 10/21/1999 700 690
(2) 4.74%, 10/28/1999 500 492
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 85,926 85,926
4.96%, 7/1/1999--Note G 254,007 254,007
- --------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $343,607) 343,607
- --------------------------------------------------------------------------------------
TOTAL INVESTMENTS (106.7%)
(Cost $3,156,903) 4,143,595
- --------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.7%)
- --------------------------------------------------------------------------------------
Other Assets--Note B 33,807
Security Lending Collateral Payable to
Brokers--Note G (254,007)
Other Liabilities (38,887)
- ---------------------------------------------------------------------------------------
(259,087)
- ---------------------------------------------------------------------------------------
NET ASSETS (100%) $3,884,508
=======================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
-Non-Income-Producing Security.
(1) The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash
investment positions represent 99.9% and 6.8%, respectively, of net assets.
See Note F in Notes to Financial Statements.
(2) Securities with an aggregate value of $3,674,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $2,732,758
Undistributed Net Investment Income 19,376
Accumulated Net Realized Gains 143,318
Unrealized Appreciation--Note F
Investment Securities 986,692
Futures Contracts 2,364
- ---------------------------------------------------------------------------------------
NET ASSETS $3,884,508
=======================================================================================
Investor Shares--Net Assets
Applicable to 103,040,887 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,332,117
- ---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $32.34
- ---------------------------------------------------------------------------------------
Institutional Shares--Net Assets
Applicable to 17,068,788 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $552,391
- ---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $32.36
=======================================================================================
</TABLE>
25
<PAGE> 62
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (99.5%)(1)
- ---------------------------------------------------------------------------------------
- - QUALCOMM, Inc. 77,500 $ 11,121
Linear Technology Corp. 78,900 5,306
- - Biogen, Inc. 77,300 4,971
- - E*TRADE Group, Inc. 120,200 4,801
- - Maxim Integrated Products, Inc. 69,500 4,622
- - Lexmark International Group, Inc.
Class A 66,300 4,380
Harley-Davidson, Inc. 79,100 4,301
- - Xilinx, Inc. 74,500 4,265
- - Analog Devices, Inc. 83,200 4,176
- - Veritas Software Corp. 42,700 4,054
Cintas Corp. 57,200 3,843
- - Altera Corp. 102,300 3,766
- - Starbucks Corp. 93,800 3,523
Marshall & Ilsley Corp. 53,900 3,470
- - ADC Telecommunications, Inc. 69,600 3,171
- - Teradyne, Inc. 43,500 3,121
- - Univision Communications Inc. 47,100 3,109
- - Siebel Systems, Inc. 46,600 3,093
Stryker Corp. 49,500 2,976
Molex, Inc. 79,200 2,930
- - Intuit, Inc. 31,300 2,821
Washington Post Co. Class B 5,200 2,796
Leggett & Platt, Inc. 100,400 2,792
- - Concord EFS, Inc. 65,600 2,776
- - Bed Bath & Beyond, Inc. 71,400 2,749
First Security Corp. 98,900 2,695
- - Comverse Technology, Inc. 35,150 2,654
Tyson Foods, Inc. 117,800 2,651
- - Vitesse Semiconductor Corp. 38,900 2,623
Zions Bancorp 40,400 2,565
- - VISIX Inc. 32,300 2,558
First Tennessee National Corp. 66,600 2,552
- - Abercrombie & Fitch Co. 52,800 2,534
- - Citrix Systems, Inc. 44,600 2,520
- - NCR Corp. 51,200 2,499
- - Gulfstream Aerospace Corp. 36,600 2,473
- - Quintiles Transnational Corp. 57,320 2,407
Charter One Financial 85,975 2,391
T. Rowe Price 61,900 2,375
Old Kent Financial Corp. 54,912 2,299
Telephone & Data Systems, Inc. 31,100 2,272
- - Sanmina Corp. 29,225 2,217
El Paso Energy Corp. 62,200 2,189
Reader's Digest Assn., Inc.
Class A 55,000 2,186
- - Jones Apparel Group, Inc. 62,418 2,142
- - Saks Inc. 73,922 2,134
Family Dollar Stores, Inc. 88,400 2,122
- - Quantum Corp. 86,200 2,079
- - Genzyme Corp. 42,300 2,051
AMBAC Financial Group Inc. 35,700 2,039
- - SunGard Data Systems, Inc. 59,000 2,036
Tosco Corp. 78,000 2,023
- - Synopsys, Inc. 36,300 2,003
Montana Power Co. 28,200 1,988
Reliastar Financial Corp. 45,300 1,982
Comdisco, Inc. 77,300 1,981
- - Fiserv, Inc. 63,150 1,977
- - American Power Conversion Corp. 98,200 1,976
Dial Corp. 52,800 1,964
- - Forest Laboratories, Inc. 42,300 1,956
- - MedImmune Inc. 28,500 1,931
- - Chiron Corp. 93,000 1,930
KeySpan Corp. 73,100 1,928
- - Hispanic Broadcasting Corp. 25,300 1,920
Allegheny Energy, Inc. 59,700 1,914
- - Allied Waste Industries, Inc. 96,100 1,898
- - Jabil Circuit, Inc. 42,000 1,895
Federal-Mogul Corp. 36,100 1,877
Green Point Financial Corp. 55,800 1,831
Weatherford International, Inc. 49,995 1,831
Potomac Electric Power Co. 60,700 1,787
- - Sterling Commerce, Inc. 48,800 1,781
Allmerica Financial Corp. 29,100 1,770
Cincinnati Bell, Inc. 70,500 1,758
- - SCI Systems, Inc. 36,900 1,753
Mylan Laboratories, Inc. 66,100 1,752
- - R.J. Reynolds Tobacco
Holdings, Inc. 55,500 1,748
Pinnacle West Capital Corp. 43,400 1,747
Tiffany & Co. 18,000 1,737
- - American Standard Cos., Inc. 36,100 1,733
- - Electronic Arts Inc. 31,700 1,720
- - Lear Corp. 34,200 1,701
- - Pacificare Health Systems, Inc. 23,600 1,698
- - Centocor, Inc. 36,300 1,692
- - Litton Industries, Inc. 23,300 1,672
Symbol Technologies, Inc. 45,150 1,665
FINOVA Group, Inc. 31,600 1,663
NiSource, Inc. 64,000 1,652
- - Cadence Design Systems, Inc. 123,900 1,580
Viad Corp. 51,000 1,578
Sonoco Products Co. 52,200 1,563
A.G. Edwards & Sons, Inc. 48,400 1,561
Energy East Corp. 60,000 1,560
Unitrin, Inc. 38,000 1,558
TECO Energy, Inc. 67,700 1,540
New England Electric System 30,700 1,539
Hubbell Inc. Class B 33,800 1,534
North Fork Bancorp, Inc. 71,900 1,532
American Water Works Co., Inc. 49,400 1,519
Hormel Foods Corp. 37,700 1,517
- - Outback Steakhouse 38,400 1,510
- - Convergys Corp. 78,000 1,501
DPL Inc. 81,600 1,499
Wisconsin Energy Corp. 59,700 1,496
Hillenbrand Industries, Inc. 34,400 1,488
- - Health Management Associates
Class A 130,700 1,470
- - Rational Software Corp. 44,300 1,459
- - Sybron International Corp. 52,600 1,450
Martin Marietta Materials, Inc. 24,200 1,428
USG Corp. 25,300 1,417
TCA Cable TV, Inc. 25,500 1,415
LG&E Energy Corp. 66,500 1,397
ENSCO International, Inc. 69,700 1,390
- - Dollar Tree Stores, Inc. 31,400 1,382
Associated Banc-Corp. 32,950 1,367
- - Global Marine, Inc. 88,200 1,362
- - Sepracor Inc. 16,700 1,357
</TABLE>
26
<PAGE> 63
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Transocean Offshore, Inc. 51,600 $ 1,355
- - SPX Corp. 16,000 1,336
- - Atmel Corp. 50,900 1,333
- - Nabors Industries, Inc. 54,400 1,329
- - Noble Drilling Corp. 66,800 1,315
- - Promus Hotel Corp. 42,400 1,314
Hibernia Corp. Class A 82,200 1,290
ICN Pharmaceuticals, Inc. 39,500 1,271
Mercantile Bankshares Corp. 35,900 1,270
- - Affiliated Computer Services, Inc.
Class A 25,000 1,266
- - Snyder Communications, Inc. 38,500 1,261
First Virginia Banks, Inc. 25,500 1,253
Southdown, Inc. 19,436 1,249
Bowater Inc. 26,400 1,247
Consolidated Papers 46,500 1,244
SCANA Corp. 53,200 1,244
Astoria Financial Corp. 28,200 1,239
- - Microchip Technology, Inc. 25,800 1,222
- - Robert Half International, Inc. 46,900 1,219
TCF Financial Corp. 43,700 1,218
Solutia, Inc. 56,800 1,211
Bergen Brunswig Corp. Class A 69,295 1,195
A. H. Belo Corp. Class A 60,600 1,193
- - Legato Systems, Inc. 20,600 1,190
Premark International, Inc. 31,600 1,185
Ross Stores, Inc. 23,500 1,184
- - Shaw Industries, Inc. 71,600 1,181
- - Northeast Utilities 66,700 1,180
Lyondell Chemical Co. 57,000 1,176
- - Storage Technology Corp. 51,600 1,174
Conectiv, Inc. 47,675 1,165
UtiliCorp United, Inc. 47,850 1,163
McCormick & Co., Inc. 36,700 1,158
Old Republic International Corp. 66,800 1,156
Dime Bancorp, Inc. 57,200 1,151
Hannaford Brothers Co. 21,500 1,150
- - BJ's Wholesale Club, Inc. 38,100 1,145
Alliant Energy Corp. 40,300 1,144
IBP, Inc. 48,000 1,140
- - Sterling Software, Inc. 42,500 1,134
Sotheby's Holdings Class A 29,400 1,121
Murphy Oil Corp. 22,900 1,118
- - Smith International, Inc. 25,500 1,108
Flowers Industries, Inc. 51,000 1,106
The Timber Co. 43,600 1,101
- - U.S. Foodservice 25,800 1,100
Protective Life Corp. 32,800 1,082
CCB Financial Corp. 20,400 1,079
- - BJ Services Co. 36,100 1,063
- - Apollo Group, Inc. Class A 39,900 1,060
- - Network Associates, Inc. 72,000 1,058
Comair Holdings, Inc. 50,750 1,056
IMC Global Inc. 59,600 1,050
American Financial Group, Inc. 30,600 1,042
- - MidAmerican Energy
Holdings Co. 30,000 1,039
Fastenal Co. 19,800 1,038
Puget Sound Energy Inc. 43,100 1,034
Diebold, Inc. 35,700 1,026
- - Tech Data Corp. 26,700 1,021
Pentair, Inc. 22,200 1,016
Harte-Hanks, Inc. 36,800 998
Illinova Corp. 36,400 992
Sovereign Bancorp, Inc. 81,300 986
- - Barnes & Noble, Inc. 35,800 980
- - Mandalay Resort Group 46,100 974
GATX Corp. 25,500 971
Provident Financial Group, Inc. 22,200 971
Wilmington Trust Corp. 16,900 970
International Game Technology 52,400 969
The PMI Group Inc. 15,400 967
National Fuel Gas Co. 19,900 965
Ultramar Diamond
Shamrock Corp. 44,200 964
- - Nova Corp. (Georgia) 38,056 951
- - Mohawk Industries, Inc. 31,200 948
IPALCO Enterprises, Inc. 44,700 947
CNF Transportation, Inc. 24,600 944
OGE Energy Corp. 39,400 936
- - Foundation Health Systems
Class A 62,300 935
HON Industries, Inc. 32,000 934
Manpower Inc. 41,300 934
- - Arrow Electronics, Inc. 48,800 927
- - Brinker International, Inc. 34,000 924
- - Vishay Intertechnology, Inc. 43,819 920
Reynolds & Reynolds Class A 39,300 916
- - ACNielson Corp. 30,200 914
Meritor Automotive, Inc. 35,600 908
COMSAT Corp. 27,500 894
- - Cypress Semiconductor Corp. 54,100 893
Tidewater Inc. 29,000 884
Pacific Century Financial Corp. 41,000 884
- - Payless ShoeSource, Inc. 16,500 883
York International Corp. 20,600 882
Herman Miller, Inc. 41,700 876
- - Blyth Industries, Inc. 25,400 873
City National Corp. 23,300 872
Westpoint Stevens, Inc. 29,100 868
MCN Energy Group Inc. 41,700 865
Cordant Technologies, Inc. 19,100 863
Dean Foods Corp. 20,600 856
Teleflex Inc. 19,700 856
Dole Food Co. 29,100 855
Avnet, Inc. 18,200 846
Clayton Homes Inc. 73,900 845
Noble Affiliates, Inc. 29,800 840
Stewart Enterprises, Inc. Class A 57,600 839
- - Gilead Sciences, Inc. 16,000 836
- - Informix Corp. 98,000 836
- - Keane, Inc. 36,600 828
Questar Corp. 43,200 826
Cabot Corp. 34,000 822
Everest Reinsurance
Holdings, Inc. 25,000 816
- - General Nutrition Cos., Inc. 35,000 816
- - Ocean Energy, Inc. 84,800 816
Interstate Bakeries Corp. 36,200 812
Aliant Communications, Inc. 17,500 808
- - Chris-Craft Industries, Inc. 17,145 808
Kansas City Power & Light Co. 31,600 806
</TABLE>
27
<PAGE> 64
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Whitman Corp. 44,100 $ 794
- - Trigon Healthcare, Inc. 21,600 786
DENTSPLY International Inc. 27,200 785
RPM Inc. (Ohio) 55,300 785
- - IVAX Corp. 55,500 784
The Warnaco Group, Inc. Class A 29,300 784
Borg-Warner Automotive, Inc. 14,000 770
Lubrizol Corp. 28,100 766
- - Lands' End, Inc. 15,700 761
Carlisle Co., Inc. 15,800 760
Minnesota Power, Inc. 38,100 757
Trinity Industries, Inc. 22,600 757
- - Lincare Holdings, Inc. 30,100 753
Keystone Financial, Inc. 25,300 748
- - Symantec Corp. 29,100 742
- - Furniture Brands
International Inc. 26,500 739
Houghton Mifflin Co. 15,700 739
Lancaster Colony Corp. 21,400 738
WestAmerica Bancorporation 20,100 734
- - Suiza Foods Corp. 17,400 729
- - Sylvan Learning Systems, Inc. 26,700 726
- - Covance, Inc. 30,300 725
Beckman Coulter, Inc. 14,800 720
AK Steel Corp. 31,100 700
Lee Enterprises, Inc. 22,900 698
- - OfficeMax, Inc. 58,200 698
Rayonier Inc. 14,000 697
Airborne Freight Corp. 25,100 695
Ogden Corp. 25,800 695
- - Papa John's International, Inc. 15,500 693
Media General, Inc. Class A 13,500 688
- - STERIS Corp. 35,500 688
- - Cytec Industries, Inc. 21,400 682
- - Modis Professional Services Inc. 49,600 682
Harsco Corp. 21,200 678
- - Santa Fe Snyder Corp. 87,700 669
Nevada Power Co. 26,500 663
- - Total Renal Care Holdings, Inc. 42,400 660
Crompton & Knowles Corp. 33,600 657
- - Unifi, Inc. 30,900 657
Claire's Stores, Inc. 25,500 653
- - Borders Group, Inc. 40,800 645
- - Oxford Health Plan 40,900 637
Tecumseh Products Co. Class A 10,500 636
Valero Energy Corp. 29,500 632
Minerals Technologies, Inc. 11,300 631
Washington Gas Light Corp. 24,000 624
Pennzoil-Quaker State Co. 39,994 600
Witco Chemical Corp. 29,900 598
HSB Group Inc. 14,500 597
- - Transaction Systems
Architects, Inc. 15,300 597
IDACORP, Inc. 18,900 595
Horace Mann Educators Corp. 21,700 590
Donaldson Co., Inc. 24,000 588
Callaway Golf Co. 39,800 582
- - UCAR International, Inc. 22,900 578
Kelly Services, Inc. Class A 17,900 575
Pittston Brink's Group 21,500 575
Omnicare, Inc. 45,500 574
Hawaiian Electric Industries Inc. 16,100 572
Pioneer Natural Resources Co. 51,800 570
- - Alaska Air Group, Inc. 13,600 568
- - First Health Group Corp. 26,200 565
- - Swift Transportation Co., Inc. 25,600 563
Albemarle Corp. 24,320 562
Universal Foods Corp. 26,400 558
Mark IV Industries, Inc. 26,100 551
CBRL Group, Inc. 31,700 549
- - Sensormatic Electronics Corp. 39,000 544
GenCorp, Inc. 21,500 543
Wallace Computer Services, Inc. 21,700 542
Nordson Corp. 8,800 539
Precision Castparts Corp. 12,600 536
Kaydon Corp. 15,900 535
AGL Resources Inc. 28,800 531
- - Policy Management
Systems Corp. 17,700 531
Investment Technology
Group, Inc. 16,300 528
- - Cambridge Technology Partners 29,800 523
Newport News Shipbuilding Inc. 17,500 516
Ferro Corp. 18,600 512
Federal Signal Corp. 24,000 509
- - Integrated Device
Technology Inc. 46,500 506
Arvin Industries, Inc. 13,300 504
- - Imation Corp. 20,300 504
Dexter Corp. 12,200 498
- - Wisconsin Central
Transportation Corp. 26,400 498
Kennametal, Inc. 15,900 493
H.B. Fuller Co. 7,200 492
Modine Manufacturing Co. 15,100 492
Universal Corp. 17,300 492
KN Energy, Inc. 36,700 491
- - Jacobs Engineering Group Inc. 12,900 490
Alexander & Baldwin, Inc. 21,800 485
Wausau-Mosinee Paper Corp. 26,500 477
- - Quorum Health Group, Inc. 37,800 475
Ruddick Corp. 23,700 474
- - GTech Holdings Corp. 19,600 462
- - Apria Healthcare 26,900 457
Church & Dwight, Inc. 10,300 448
- - Mentor Graphics Corp. 34,500 442
- - Scholastic Corp. 8,700 440
- - Beverly Enterprises, Inc. 54,500 439
The Standard Register Co. 14,100 434
Bob Evans Farms, Inc. 21,800 433
- - Airgas, Inc. 35,200 431
Public Service Co. of
New Mexico 21,600 429
Chesapeake Corp. of Virginia 11,400 427
CMP Group Inc. 16,100 422
- - PSS World Medical, Inc. 37,600 421
M.A. Hanna Co. 24,800 408
Carter-Wallace, Inc. 22,300 406
Granite Construction Co. 13,650 400
Longview Fibre Co. 25,600 400
- - Sequent Computer Systems, Inc. 22,400 398
Ametek Aerospace Products Inc. 17,200 396
</TABLE>
28
<PAGE> 65
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Bandag, Inc. 10,800 $ 375
Superior Industries
International, Inc. 13,500 369
- - Sequa Corp. Class A 5,200 364
- - Structural Dynamics
Research Corp. 19,100 355
- - Varco International, Inc. 32,100 351
Flowserve Corp. 18,400 348
- - Concentra Managed Care 23,300 345
- - Micro Warehouse Inc. 19,200 343
Cleco Corp. 11,100 337
- - CompUSA, Inc. 45,300 337
AGCO Corp. 29,500 334
P.H. Glatfelter Co. 22,200 325
J.M. Smucker Co. Class A 14,500 323
Indiana Energy, Inc. 14,866 317
Carpenter Technology Corp. 10,900 311
Ranger Oil Ltd. 62,600 309
- - Albany International Corp. 14,787 307
Olin Corp. 23,300 307
Banta Corp. 14,300 300
J.B. Hunt Transport Services, Inc. 17,900 291
A. Schulman Inc. 16,400 282
Ryerson Tull, Inc. 12,385 279
- - Perrigo Co. 36,400 278
- - Sbarro, Inc. 10,200 276
Watts Industries Class A 13,900 267
- - Buffets Inc. 23,100 266
- - Cirrus Logic 30,000 266
Wellman, Inc. 16,400 261
Georgia Gulf Corp. 15,300 258
Olsten Corp. 40,400 255
Rollins, Inc. 16,000 255
Ethyl Corp. 41,300 248
Overseas Shipholding Group Inc. 19,300 248
Lance, Inc. 15,800 247
Black Hills Corp. 10,600 245
- - Acuson Corp. 14,200 244
- - Burlington Industries, Inc. 26,900 244
- - Maxxam Inc. 3,500 226
International Multifoods Corp. 9,300 210
Stewart & Stevenson
Services, Inc. 13,800 210
Dreyer's Grand Ice Cream, Inc. 13,600 206
Heilig-Meyers Co. 30,300 206
Arnold Industries, Inc. 13,300 205
- - Magnatek 17,600 186
Oregon Steel Mills, Inc. 14,000 186
- - Vlasic Foods International, Inc. 25,300 185
Cleveland-Cliffs Iron Co. 5,500 178
Enesco Group, Inc. 7,300 169
- - Lone Star Steakhouse &
Saloon, Inc. 16,900 164
NCH Corp. 2,600 129
- - Information Resources, Inc. 12,900 113
- - DST Systems, Inc. 1,200 75
- - Genzyme Surgical Products 7,411 33
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $441,773) 473,864
- ---------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------
FACE MARKET
AMOUNTS VALUE*
(000) (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (1.0%)(1)
- ---------------------------------------------------------------------------------------
Federal National Mortgage Assn.
(2) 4.75%, 7/22/1999 $ 200 $ 199
Repurchase Agreement
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 4,419 4,419
- ---------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $4,618) 4,618
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.5%)
(Cost $446,391) 478,482
- ---------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.5%)
- ---------------------------------------------------------------------------------------
Other Assets--Note B 13,293
Liabilities (15,820)
----------
(2,527)
- ---------------------------------------------------------------------------------------
NET ASSETS (100%) $475,955
=======================================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment
positions represent 100.0% and 0.5%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2)Security segregated as initial margin for open futures contracts.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $433,406
Undistributed Net Investment Income 1,749
Accumulated Net Realized Gains 8,659
Unrealized Appreciation--Note F
Investment Securities 32,091
Futures Contracts 50
- ---------------------------------------------------------------------------------------
NET ASSETS $475,955
=======================================================================================
Investor Shares--Net Assets
Applicable to 35,676,072 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $391,381
- ---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $10.97
=======================================================================================
Institutional Shares--Net Assets
Applicable to 7,702,188 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $84,574
- ---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $10.98
=======================================================================================
</TABLE>
29
<PAGE> 66
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (99.3%)(1)
- ---------------------------------------------------------------------------------------
- - Radian Group, Inc. 152,111 $ 7,425
- - LAM Research Corp. 145,700 6,802
VerticalNet, Inc. 61,300 6,429
- - Go2Net, Inc. 69,800 6,413
Metris Cos., Inc. 147,542 6,012
- - Informix Corp. 700,300 5,974
- - Gilead Sciences, Inc. 113,200 5,915
Ethan Allen Interiors, Inc. 156,300 5,900
- - IDEC Pharmaceuticals Corp. 76,500 5,895
EG&G, Inc. 164,400 5,857
- - Concentric Network Corp. 145,600 5,788
C.H. Robinson Worldwide, Inc. 155,800 5,726
- - MedQuist, Inc. 130,300 5,701
USEC Inc. 382,400 5,688
- - The MONY Group Inc. 173,800 5,670
- - CommScope, Inc. 183,508 5,643
- - General Nutrition Cos., Inc. 240,800 5,614
Trinity Industries, Inc. 164,100 5,497
Dallas Semiconductor Corp. 108,700 5,489
- - MedPartners, Inc. 722,650 5,465
- - Lattice Semiconductor Corp. 86,775 5,402
- - Smithfield Foods, Inc. 160,100 5,353
- - ITC DeltaCom, Inc. 190,900 5,345
- - Covance, Inc. 220,000 5,266
- - Cypress Semiconductor Corp. 318,925 5,262
- - OfficeMax, Inc. 433,600 5,203
Rayonier Inc. 104,300 5,195
Tupperware Corp. 201,500 5,138
- - Andrew Corp. 270,837 5,129
- - American Management
Systems, Inc. 158,800 5,092
- - Intermedia Communications Inc. 169,000 5,070
Crompton & Knowles Corp. 259,100 5,069
Tektronix, Inc. 167,800 5,065
Airborne Freight Corp. 182,600 5,056
- - Cytec Industries, Inc. 158,100 5,039
Equitable Resources, Inc. 132,900 5,017
Lee Enterprises, Inc. 163,600 4,990
- - STERIS Corp. 256,500 4,970
- - MMC Networks, Inc. 110,900 4,963
Cyprus Amax Minerals Co. 322,500 4,898
- - Unifi, Inc. 230,400 4,896
Ogden Corp. 181,000 4,876
- - Millennium Pharmaceuticals, Inc. 135,400 4,874
Harsco Corp. 151,900 4,861
Nevada Power Co. 193,800 4,845
- - Furniture Brands
International Inc. 173,800 4,845
- - Suiza Foods Corp. 115,400 4,832
- - Mercury Interactive Corp. 136,600 4,832
- - BroadVision, Inc. 65,000 4,794
- - Dycom Industries, Inc. 85,050 4,763
True North Communications 158,100 4,743
One Valley Bancorp of
West Virginia Inc. 126,443 4,742
UST Corp. 156,600 4,737
Camden Property Trust REIT 170,387 4,728
- - SkyTel Communications, Inc. 224,900 4,709
- - Whole Foods Market, Inc. 97,900 4,705
- - Borders Group, Inc. 294,800 4,662
Polaroid Corp. 168,700 4,660
Potlatch Corp. 105,800 4,649
Hudson United Bancorp 151,777 4,648
- - Mueller Industries Inc. 136,900 4,646
The Pep Boys
(Manny, Moe & Jack) 214,800 4,645
- - C-Cube Microsystems, Inc. 146,400 4,639
- - W.R. Grace & Co. 252,200 4,634
- - Transaction Systems
Architects, Inc. 118,600 4,625
MDU Resources Group, Inc. 202,687 4,624
United Dominion Realty Trust
REIT 393,450 4,623
- - Barrett Resources Corp. 120,000 4,605
US Freightways Corp. 99,000 4,585
Kaufman & Broad Home Corp. 183,200 4,557
La-Z-Boy Inc. 197,600 4,545
IDACORP, Inc. 143,900 4,533
IndyMac Mortgage
Holdings, Inc. 282,000 4,512
- - TeleBanc Financial Corp. 116,000 4,495
Washington Federal Inc. 199,500 4,476
Washington Gas Light Corp. 172,100 4,475
Helmerich & Payne, Inc. 187,900 4,474
- - TranSwitch Corp. 94,400 4,472
Sky Financial Group, Inc. 162,910 4,439
Delta & Pine Land Co. 140,500 4,426
- - MicroStrategy Inc. 116,600 4,416
Pennzoil-Quaker State Co. 293,900 4,409
- - UCAR International, Inc. 173,300 4,376
Commerce Bancorp, Inc. 102,289 4,373
Corn Products
International, Inc. 143,400 4,365
- - PETsMART, Inc. 423,150 4,337
BRE Properties Inc. Class A REIT 166,448 4,317
Horace Mann Educators Corp. 158,600 4,312
- - Foodmaker, Inc. 151,500 4,299
HSB Group Inc. 104,250 4,294
Hawaiian Electric Industries Inc. 120,900 4,292
- - Stillwater Mining Co. 131,150 4,287
- - Coltec Inc. 197,600 4,285
- - Renal Care Group, Inc. 165,450 4,281
- - Plantronics, Inc. 65,700 4,279
- - CapRock Communications Corp. 105,400 4,269
- - Total Renal Care Holdings, Inc. 273,900 4,263
- - IXC Communications, Inc. 107,700 4,234
- - DSP Communications, Inc. 146,600 4,233
Community First Bankshares 177,200 4,231
- - First Health Group Corp. 196,200 4,231
Lennar Corp. 176,000 4,224
Pioneer Natural Resources Co. 383,600 4,220
Sierra Pacific Resources 116,000 4,220
- - Alaska Air Group, Inc. 100,700 4,204
Pier 1 Imports Inc. 372,200 4,187
Callaway Golf Co. 285,900 4,181
Minerals Technologies, Inc. 74,800 4,175
- - AmeriSource Health Corp. 163,600 4,172
United Bankshares, Inc. 157,000 4,161
Earthgrains Co. 161,044 4,157
United Asset Management Corp. 182,500 4,152
- - Tower Automotive, Inc. 162,900 4,144
</TABLE>
30
<PAGE> 67
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Weingarten Realty Investors REIT 99,075 $ 4,136
Mark IV Industries, Inc. 195,076 4,121
- - Policy Management
Systems Corp. 137,300 4,119
- - Ames Department Stores, Inc. 90,200 4,115
Kaydon Corp. 122,000 4,102
Witco Chemical Corp. 203,600 4,072
Valero Energy Corp. 189,600 4,065
- - AGL Resources Inc. 220,000 4,056
Polaris Industries, Inc. 93,200 4,054
- - World Color Press, Inc. 147,200 4,048
- - DII Group, Inc. 108,446 4,046
Universal Foods Corp. 190,600 4,026
MeriStar Hospitality Corp. REIT 179,134 4,019
- - Cognex Corp. 127,300 4,018
- - Security First Technologies Corp. 89,000 4,016
- - Quanta Services, Inc. 91,100 4,008
- - AboveNet Communications Inc. 99,200 4,005
Wicor, Inc. 143,200 4,001
- - Coach USA, Inc. 94,800 3,976
WestAmerica Bancorporation 108,900 3,975
- - Alliant Techsystems, Inc. 45,800 3,962
Pittston Brink's Group 148,000 3,959
Bank United Corp. Class A 98,400 3,954
Florida East Coast Railway Co. 89,200 3,947
Wallace Computer Services, Inc. 157,300 3,933
Applied Power, Inc. 143,595 3,922
Manitowac Co., Inc. 93,900 3,909
Developers Diversified Realty
Corp. REIT 234,400 3,897
- - UICI 140,600 3,884
Precision Castparts Corp. 90,900 3,863
- - Micrel, Inc. 52,200 3,863
St. Paul Bancorp, Inc. 151,405 3,861
- - AmeriCredit Corp. 241,200 3,859
National Computer Systems, Inc. 114,300 3,858
Reckson Associates Realty Corp.
REIT 163,500 3,842
Hospitality Properties Trust REIT 140,600 3,814
G & K Services, Inc. 72,750 3,810
- - Bethlehem Steel Corp. 495,591 3,810
- - Visio Corp. 100,000 3,806
CBRL Group, Inc. 219,700 3,804
Tecumseh Products Co. Class A 62,800 3,803
Rochester Gas & Electric Corp. 143,000 3,798
Newport News Shipbuilding Inc. 128,100 3,779
- - MIPS Technologies, Inc. 78,800 3,777
Webster Financial Corp. 139,100 3,773
ONEOK, Inc. 118,600 3,766
Donaldson Co., Inc. 153,600 3,763
The Timken Co. 192,900 3,762
Worthington Industries, Inc. 228,800 3,761
- - Papa John's International, Inc. 83,950 3,752
- - Metzler Group, Inc. 135,700 3,749
Arvin Industries, Inc. 98,900 3,746
Orion Capital Corp. 104,400 3,745
First Industrial Realty Trust REIT 136,400 3,742
- - Interim Services, Inc. 181,406 3,741
Independence Community
Bank Corp. 277,000 3,739
- - Iomega Corp. 756,400 3,735
Ohio Casualty Corp. 103,209 3,728
Roper Industries Inc. 116,200 3,718
- - Wisconsin Central
Transportation Corp. 195,600 3,692
Piedmont Natural Gas, Inc. 118,308 3,682
- - Sensormatic Electronics Corp. 263,850 3,677
Eaton Vance Corp. 106,600 3,671
- - ChoicePoint Inc. 54,600 3,665
Wausau-Mosinee Paper Corp. 203,310 3,660
- - Mettler-Toledo International Inc. 146,900 3,645
Aliant Communications, Inc. 78,800 3,640
First Midwest Bancorp 91,514 3,638
- - Newfield Exploration Co. 127,800 3,634
Dexter Corp. 89,000 3,632
- - Federal Signal Corp. 171,200 3,627
Raymond James Financial, Inc. 151,300 3,622
- - Choice Hotel International, Inc. 183,300 3,620
- - Imation Corp. 145,000 3,598
- - GTech Holdings Corp. 152,300 3,589
- - Advanced Fibre
Communications, Inc. 229,500 3,586
- - The Profit Recovery Group
International, Inc. 75,600 3,577
Avista Corp. 219,600 3,568
- - Summit Technology, Inc. 162,121 3,567
Whitney Holdings 89,650 3,564
- - The Boyds Collection, Ltd. 205,800 3,563
- - Shopko Stores, Inc. 98,200 3,560
CTS Corp. 50,800 3,556
- - ICG Communications, Inc. 166,200 3,553
Leucadia National Corp. 141,400 3,535
Ferro Corp. 128,500 3,534
- - SanDisk Corp. 78,500 3,532
Universal Corp. 124,100 3,529
Alexander & Baldwin, Inc. 158,200 3,520
First American Financial Corp. 196,800 3,518
- - Cree Research, Inc. 45,700 3,516
- - Burr-Brown Corp. 95,300 3,490
IDEX Corp. 106,000 3,485
- - Quorum Health Group, Inc. 276,450 3,473
Executive Risk, Inc. 40,800 3,471
- - IDEXX Laboratories Corp. 148,600 3,464
- - Federal Realty Investment Trust
REIT 150,200 3,445
- - Western Bancorp 78,900 3,432
Prentiss Properties Trust REIT 145,900 3,429
Jones Pharma, Inc. 87,000 3,426
- - Abacus Direct Corp. 37,400 3,422
- - Sybase, Inc. 310,000 3,410
- - Zebra Technologies Class A 88,700 3,409
- - Clarify, Inc. 82,400 3,399
Fleetwood Enterprises, Inc. 128,400 3,395
Aptargroup Inc. 112,900 3,387
JLG Industries, Inc. 166,200 3,386
Lincoln Electric Holdings 165,000 3,382
- - Dionex Corp. 83,200 3,370
BancorpSouth, Inc. 185,800 3,368
- - Integrated Device
Technology Inc. 309,200 3,363
- - PMC Sierra Inc. 57,000 3,359
HCC Insurance Holdings, Inc. 147,950 3,357
</TABLE>
31
<PAGE> 68
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
H.B. Fuller Co. 48,950 $ 3,347
Nordson Corp. 54,600 3,344
Chittenden Corp. 106,957 3,342
- - Unitrode Corp. 115,800 3,322
- - Apria Healthcare 195,100 3,317
Eastern Enterprises 83,400 3,315
Health Care Properties Investors
REIT 114,600 3,309
Arthur J. Gallagher & Co. 66,800 3,307
- - Omnipoint Corp. 114,100 3,302
- - Sunglass Hut International, Inc. 192,100 3,302
- - Human Genome Sciences, Inc. 83,300 3,290
- - Hanover Compressor Co. 101,700 3,267
Southwest Gas Corp. 113,800 3,258
CMP Group Inc. 124,114 3,250
Cilcorp, Inc. 52,000 3,250
- - Reebok International Ltd. 174,400 3,248
- - Footstar Inc. 87,300 3,246
- - Century Business Services, Inc. 223,600 3,242
- - Orbital Sciences Corp. 137,100 3,239
- - Black Box Corp. 64,600 3,238
Optical Coating Laboratory, Inc. 38,700 3,236
- - KEMET Corp. 140,700 3,227
Richfood Holdings, Inc. 182,600 3,218
D. R. Horton, Inc. 192,844 3,206
Kennametal, Inc. 102,900 3,190
- - ISS Group, Inc. 84,500 3,190
- - CustomTracks Corp. 56,900 3,183
Florida Rock Industries, Inc. 69,900 3,180
- - Jacobs Engineering Group Inc. 83,300 3,165
- - Extended Stay America, Inc. 263,600 3,163
E.W. Blanch Holdings, Inc. 46,000 3,137
Cousins Properties, Inc. REIT 92,709 3,135
OM Group, Inc. 90,700 3,129
Church & Dwight, Inc. 71,900 3,128
- - Fisher Scientific International Inc. 140,000 3,124
Liberty Corp. 57,300 3,123
CKE Restaurants Inc. 191,900 3,118
Nationwide Health Properties,
Inc. REIT 163,300 3,113
- - Alleghany Corp. 16,810 3,110
- - Jones Lang Lasalle Inc. 104,200 3,106
- - Scotts Co. 65,200 3,105
BancWest Corp. 83,600 3,104
- - Patterson Dental Co. 88,950 3,091
- - Cambridge Technology Partners 175,700 3,086
- - Swift Transportation Co., Inc. 140,000 3,080
- - Polycom, Inc. 78,700 3,069
Air Express International Corp. 120,800 3,065
- - Mentor Graphics Corp. 239,000 3,062
Storage USA, Inc. REIT 95,900 3,057
- - AnnTaylor Stores Corp. 67,600 3,042
GenCorp, Inc. 120,200 3,035
Hussman International, Inc. 182,975 3,031
- - Terayon Communications
Systems, Inc. 54,100 3,023
Philadelphia Suburban Corp. 130,900 3,019
Healthcare Realty Trust Inc. REIT 143,707 3,018
M.A. Hanna Co. 183,200 3,011
- - Power Integrations, Inc. 40,900 2,991
Methode Electronics, Inc.
Class A 130,400 2,983
- - O'Reilly Automotive, Inc. 59,100 2,977
Chesapeake Corp. of Virginia 79,500 2,976
- - Michaels Stores, Inc. 96,918 2,968
Applebee's International, Inc. 98,300 2,961
Longview Fibre Co. 189,400 2,959
Allied Capital Corp. 123,200 2,957
- - Quest Diagnostics, Inc. 107,700 2,948
- - Champion Enterprises, Inc. 158,148 2,946
Southwest Securities Group, Inc. 41,000 2,942
Bob Evans Farms, Inc. 148,000 2,941
- - America West Holdings Corp.
Class B 155,700 2,939
WPS Resources Corp. 97,900 2,937
- - NTL Inc. 34,067 2,936
- - Ciber, Inc. 153,300 2,932
- - Security Dynamics
Technologies, Inc. 137,960 2,932
Texas Industries, Inc. 75,620 2,930
The Macerich Co. REIT 111,400 2,924
- - Antec Corp. 91,200 2,924
- - CEC Entertainment Inc. 69,200 2,924
Old National Bancorp 97,100 2,919
Shurgard Storage Centers, Inc.
Class A REIT 107,600 2,919
- - Markel Corp. 15,600 2,917
- - Metamor Worldwide, Inc. 121,200 2,916
- - PSS World Medical, Inc. 260,562 2,915
- - Oak Industries, Inc. 66,500 2,905
Varian Medical Systems, Inc. 114,700 2,896
Pittway Corp. Class A 84,500 2,889
- - Affymetrix, Inc. 58,400 2,884
- - Airgas, Inc. 235,300 2,882
Orange & Rockland Utilities, Inc. 49,300 2,881
- - United Stationers, Inc. 130,700 2,875
- - Credence Systems Corp. 77,400 2,873
- - Net.B@nk, Inc. 75,600 2,873
- - HNC Software, Inc. 93,100 2,869
Casey's General Stores 190,700 2,860
Commonwealth Energy Systems 68,100 2,860
Park National Corp. 28,600 2,860
Pogo Producing Co. 153,500 2,859
- - Emmis Communications, Inc. 57,900 2,859
- - Global Industries Ltd. 223,000 2,857
ASARCO, Inc. 151,875 2,857
- - Roberts Pharmaceuticals 117,600 2,852
- - Labor Ready, Inc. 87,657 2,849
- - Digital Microwave Corp. 223,300 2,847
- - PairGain Technologies, Inc. 246,800 2,838
Public Service Co. of
New Mexico 142,700 2,836
- - Semtech Corp. 54,351 2,833
Jostens Inc. 134,400 2,831
Alfa Corp. 141,200 2,824
- - Hambrecht & Quist Group 75,800 2,814
Atmos Energy Corp. 112,518 2,813
PennzEnergy Co. 168,200 2,807
Staten Island Bancorp, Inc. 155,800 2,804
- - Avis Rent A Car, Inc. 96,200 2,802
Geon Co. 86,700 2,796
- - Henry Schein, Inc. 88,100 2,792
Regency Realty Corp. REIT 127,200 2,790
- - Beverly Enterprises, Inc. 345,000 2,782
</TABLE>
32
<PAGE> 69
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Medicis Pharmaceutical Corp. 109,550 $ 2,780
- - Artesyn Technologies, Inc. 125,056 2,775
White Mountains Insurance
Group, Inc. 19,653 2,771
Bank North Group 83,970 2,771
- - Marshall Industries 77,000 2,767
First Commonwealth
Financial Corp. 115,400 2,755
- - Data General Corp. 188,800 2,749
- - Aware, Inc. 59,600 2,749
MacDermid, Inc. 59,000 2,743
Pulte Corp. 118,900 2,742
Harman International
Industries, Inc. 62,225 2,738
- - Del Monte Foods Co. 163,400 2,737
Ballard Medical Products 117,366 2,736
- - Journal Register Co. 121,500 2,734
- - Beringer Wine Estates
Holdings, Inc. 65,300 2,728
- - Adtran, Inc. 74,900 2,724
- - InfoCure Corp. 51,400 2,721
- - Lason Holdings, Inc. 54,500 2,705
- - Superior Services Inc. 101,000 2,695
- - ETEC Systems, Inc. 81,000 2,693
Flowserve Corp. 142,206 2,693
- - Sequent Computer Systems, Inc. 151,700 2,693
- - Affiliated Managers Group, Inc. 89,100 2,690
JDN Realty Corp. REIT 120,150 2,688
- - Fairfield Communities, Inc. 166,500 2,685
Modine Manufacturing Co. 82,200 2,677
Colonial Properties Trust REIT 94,700 2,675
Hughes Supply, Inc. 89,750 2,664
Ametek Aerospace Products Inc. 115,800 2,663
Lone Star Industries, Inc. 70,900 2,663
- - Scholastic Corp. 52,600 2,663
- - Catalytica, Inc. 190,000 2,660
CenterPoint Properties Corp. REIT 72,500 2,655
- - Marine Drilling Co., Inc. 193,700 2,651
F & M National Corp. 79,841 2,650
- - Corporate Express, Inc. 378,292 2,648
Milacron Inc. 143,077 2,647
- - Catalina Marketing Corp. 28,700 2,640
- - Sykes Enterprises, Inc. 79,100 2,640
Citizens Banking Corp. 87,800 2,639
- - The Liposome Co., Inc. 138,000 2,639
- - Westwood One, Inc. 73,800 2,634
- - Emulex Corp. 23,600 2,624
- - Central Hudson Gas &
Electric Corp. 62,400 2,621
- - Unistar Financial Service Corp. 44,300 2,614
Brandywine Realty Trust REIT 131,900 2,613
Trustco Bank 97,049 2,608
- - Pacific Sunwear of California 106,763 2,602
- - Cymer, Inc. 103,500 2,587
- - Microchip Technology, Inc. 54,500 2,582
- - CompUSA, Inc. 346,900 2,580
- - Rental Service Corp. 89,900 2,573
- - Armco, Inc. 388,200 2,572
- - International Rectifier Corp. 192,800 2,567
New Jersey Resources Corp. 68,500 2,564
- - UNOVA, Inc. 161,400 2,562
- - The Children's Place Retail
Stores, Inc. 63,200 2,560
Blount International, Inc. 94,000 2,556
- - AnswerThink Consulting
Group, Inc. 101,200 2,555
Wyndham International Inc. 552,200 2,554
- - US Oncology, Inc. 212,682 2,552
Varlen Corp. 62,850 2,545
Cleco Corp. 83,400 2,533
LTV Corp. 378,700 2,533
SIG Corp. 88,599 2,531
- - Sunbeam Corp. 318,700 2,530
Alpharma, Inc. Class A 70,934 2,523
- - Powertel Inc. 84,300 2,518
- - Bally Total Fitness Holding Corp. 88,700 2,517
- - Concentra Managed Care 168,650 2,498
Trinet Corporate Realty Trust, Inc.
REIT 90,100 2,495
Pacific Capital Bancorp 79,000 2,489
- - Laser Vision Centers, Inc. 39,500 2,488
- - Verity, Inc. 45,900 2,487
- - Imperial Bancorp 125,215 2,481
R.H. Donnelley Corp. 126,700 2,479
- - Xircom, Inc. 82,300 2,474
- - AGCO Corp. 218,700 2,474
Baldor Electric Co. 124,427 2,473
Amcore Financial 107,020 2,468
UMB Financial Corp. 57,538 2,467
Commerce Group, Inc. 101,100 2,464
- - Novellus Systems, Inc. 36,100 2,464
- - National Instruments Corp. 61,000 2,463
- - VISIX Inc. 31,100 2,463
- - Amphenol Corp. 61,900 2,461
- - Wave Systems Corp. 129,100 2,453
- - Alpha Industries, Inc. 51,500 2,453
- - Pinnacle Systems, Inc. 72,900 2,451
- - Citadel Communications Corp. 67,500 2,443
- - Visual Networks, Inc. 76,234 2,439
Westinghouse Air Brake Co. 94,000 2,438
Invacare Corp. 91,000 2,434
S & T Bancorp, Inc. 96,400 2,434
- - Medical Assurance, Inc. 85,216 2,434
- - Structural Dynamics
Research Corp. 130,606 2,424
- - Enzon, Inc. 117,000 2,420
- - Varco International, Inc. 221,100 2,418
- - Express Scripts 40,100 2,414
- - Mastech Corp. 129,500 2,412
Dain Rauscher Corp. 44,500 2,409
Kilroy Realty Corp. REIT 99,000 2,407
- - Cephalon, Inc. 138,400 2,405
- - PRI Automation, Inc. 66,200 2,400
- - Eclipsys Corp. 100,200 2,399
UGI Corp. Holding Co. 118,600 2,394
- - Rayovac Corp. 105,200 2,387
- - AAR Corp. 105,000 2,382
- - Steel Dynamics, Inc. 153,900 2,381
Indiana Energy, Inc. 111,666 2,380
- - iVillage Inc. 47,300 2,377
Health Care REIT, Inc. 102,200 2,376
- - Coventry Health Care Inc. 217,200 2,376
</TABLE>
33
<PAGE> 70
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Lands' End, Inc. 48,900 $ 2,372
- - SEACOR SMIT Inc. 44,300 2,370
- - Mail-Well, Inc. 146,400 2,370
Brady Corp. Class A 72,900 2,369
- - Remedy Corp. 87,800 2,360
- - Dendrite International, Inc. 65,300 2,359
Chateau Communities, Inc. REIT 78,700 2,356
Jefferies Group, Inc. 78,532 2,356
Werner Enterprises, Inc. 113,188 2,349
- - Amkor Technology, Inc. 229,000 2,347
- - Micro Warehouse Inc. 131,200 2,345
MascoTech Inc. 138,400 2,344
Media General, Inc. Class A 45,900 2,341
- - Newpark Resources, Inc. 263,500 2,339
- - INCYTE Pharmaceuticals, Inc. 88,400 2,337
- - Men's Wearhouse, Inc. 91,650 2,337
Susquehanna Bancshares, Inc. 132,075 2,336
United Illuminating Co. 54,850 2,328
- - Peregrine Systems, Inc. 90,400 2,322
- - XTRA Corp. 50,500 2,320
- - Kulicke & Soffa Industries, Inc. 86,400 2,317
- - Proxim, Inc. 39,800 2,308
- - Comfort Systems USA, Inc. 128,200 2,308
- - Cost Plus, Inc. 50,700 2,307
United Water Resources, Inc. 101,568 2,304
Realty Income Corp. REIT 96,900 2,301
- - National-Oilwell, Inc. 163,800 2,293
Ruby Tuesday, Inc. 120,350 2,287
- - Building One Services Corp. 164,800 2,287
Gables Residential Trust REIT 94,200 2,273
- - Concord Communications, Inc. 50,500 2,272
- - Station Casinos, Inc. 111,500 2,272
- - Consolidated Graphics, Inc. 45,400 2,270
- - Medical Manager Corp. 51,000 2,257
Oakwood Homes Corp. 171,900 2,256
Weeks Corp. REIT 73,900 2,254
Essex Property Trust, Inc. REIT 63,700 2,253
Kellwood Co. 82,950 2,250
- - Hollywood Entertainment Corp. 115,000 2,250
Caraustar Industries, Inc. 91,100 2,249
Northwest Natural Gas Co. 93,150 2,247
Ryerson Tull, Inc. 99,447 2,244
Cross Timbers Oil Co. 150,525 2,239
- - First Financial Bancorp 98,868 2,237
- - Harmonic Inc. 38,900 2,234
Banta Corp. 106,300 2,232
John Wiley & Sons Class A 126,500 2,230
- - Prime Hospitality Corp. 185,700 2,228
Washington REIT 131,150 2,221
- - Tuboscope Inc. 161,800 2,215
John H. Harland Co. 110,600 2,205
- - Sunrise Assisted Living, Inc. 63,100 2,201
Ruddick Corp. 110,000 2,200
- - Western Digital Corp. 338,400 2,200
- - Sonic Corp. 67,400 2,199
- - Vertex Pharmaceuticals, Inc. 90,900 2,193
Eastern Utilities Associates 75,289 2,193
A.O. Smith Corp. 78,200 2,190
Charles E. Smith Residential
Realty, Inc. REIT 64,500 2,189
- - Xomed Surgical Products Inc. 44,850 2,184
J.M. Smucker Co. Class A 97,900 2,178
- - ImClone Systems, Inc. 85,800 2,177
Elcor Corp. 49,750 2,173
- - Stone Energy Corp. 51,200 2,170
- - Astec Industries, Inc. 53,200 2,168
- - Charming Shoppes, Inc. 355,700 2,168
- - Vicor Corp. 102,300 2,167
Hooper Holmes, Inc. 106,300 2,166
Cambrex Corp. 82,500 2,166
Fidelity National Financial, Inc. 102,962 2,162
Block Drug Co. Class A 51,847 2,161
Westbanco Inc. 71,979 2,159
Belden, Inc. 90,200 2,159
Public Service Co. of
North Carolina, Inc. 73,800 2,159
- - Entercom Communications Corp. 50,400 2,155
Wolverine World Wide, Inc. 153,840 2,154
- - Nautica Enterprises, Inc. 127,614 2,153
- - Tetra Tech, Inc. 129,903 2,143
Sun Communities, Inc. REIT 60,300 2,141
- - Mastec Inc. 75,600 2,136
Provident Bankshares Corp. 91,837 2,135
Northwestern Corp. 88,200 2,133
- - Dal-Tile International Inc. 187,500 2,133
- - Neiman Marcus Group Inc. 83,000 2,132
Bindly Western Industries, Inc. 92,400 2,131
- - CommNet Cellular Inc. 81,100 2,129
CBL & Associates Properties, Inc.
REIT 80,700 2,128
National Health Investors REIT 93,200 2,126
Glenborough Realty Trust, Inc.
REIT 121,400 2,124
Manufactured Home
Communities, Inc. REIT 81,600 2,122
- - QRS Corp. 27,200 2,122
Capitol Federal Financial 203,200 2,121
Gaylord Entertainment Co.
Class A 70,675 2,120
Queens County Bancorp, Inc. 65,472 2,120
- - Walter Industries, Inc. 163,800 2,119
- - Tut Systems, Inc. 43,300 2,119
- - Primark Corp. 75,500 2,119
FBL Financial Group, Inc. Class A 108,600 2,118
- - NVR, Inc. 40,500 2,114
- - Beyond.com Corp. 73,600 2,111
MAF Bancorp, Inc. 86,851 2,106
- - StanCorp Financial Group, Inc. 70,200 2,106
- - Terex Corp. 69,100 2,103
Great Atlantic &
Pacific Tea Co., Inc. 62,200 2,103
- - Hutchinson Technology, Inc. 75,700 2,101
- - Ancor Communications, Inc. 64,600 2,091
- - Wesley Jessen VisionCare, Inc. 64,600 2,091
- - PhyCor, Inc. 281,800 2,087
- - Sequa Corp. Class A 29,800 2,086
Granite Construction Co. 71,100 2,084
Russell Corp. 106,825 2,083
Kimball International, Inc.
Class B 123,400 2,082
- - Kronos, Inc. 45,750 2,082
- - SCM Microsystems,Inc. 44,855 2,080
A. Schulman Inc. 121,000 2,080
- - Sawtek Inc. 45,300 2,078
</TABLE>
34
<PAGE> 71
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Investors Financial
Services Corp. 51,952 $ 2,078
PS Business Parks, Inc. REIT 85,200 2,077
Crawford & Co. Class B 127,750 2,076
- - Hyperion Solutions Corp. 115,919 2,065
- - El Paso Electric Co. 231,000 2,065
- - Iron Mountain, Inc. 72,000 2,061
- - Genrad, Inc. 98,800 2,056
- - Security Capital Group Inc. REIT
Class B 141,200 2,056
- - Ionics, Inc. 56,300 2,055
- - Advance Paradigm, Inc. 33,600 2,050
Kelly Services, Inc. Class A 63,800 2,050
- - NeXstar Pharmaceuticals Inc. 102,800 2,050
Chelsea GCA Realty, Inc. REIT 55,200 2,049
General Cable Corp. 128,050 2,049
- - Cirrus Logic 230,800 2,048
F & M Bancorporation, Inc. 54,254 2,048
- - PLX Technology, Inc. 43,200 2,047
- - Canandaigua Brands, Inc. Class A 39,000 2,045
- - Kent Electronics Corp. 103,200 2,045
- - Delphi Financial Group, Inc. 56,902 2,041
Enhance Financial Services
Group, Inc. 103,200 2,038
- - Bell & Howell Co. 53,800 2,034
- - Big Flower Holdings, Inc. 63,800 2,034
Foster Wheeler Corp. 143,900 2,033
- - Cerner Corp. 96,900 2,032
WorldGate Communications, Inc. 39,600 2,030
- - Silicon Valley Group, Inc. 120,700 2,029
- - Dollar Thrifty Automotive
Group, Inc. 86,900 2,020
- - Quiksilver, Inc. 77,500 2,020
Adolph Coors Co. Class B 40,800 2,020
Regis Corp. 104,650 2,008
- - Aurora Foods Inc. 114,700 2,007
- - Duane Reade Inc. 65,500 2,006
- - Pride International Inc. 189,700 2,004
- - Hadco Corp. 50,400 2,003
Westernbank Puerto Rico 153,200 2,001
Albemarle Corp. 86,520 2,001
- - Wind River Systems Inc. 124,550 2,001
- - MICROS Systems, Inc. 58,800 1,999
- - Alkermes, Inc. 86,400 1,998
First Bancorp/Puerto Rico 88,500 1,997
- - Orthodontic Centers of
America, Inc. 141,300 1,996
- - SportsLine USA, Inc. 55,400 1,987
- - IPC Communications, Inc. 29,100 1,986
International Bancshares Corp. 46,638 1,973
- - Transkaryotic Therapies, Inc. 59,600 1,967
Superior Industries
International, Inc. 72,000 1,967
Jack Henry & Associates 50,100 1,966
Olin Corp. 148,800 1,962
Carolina First Corp. 80,100 1,952
- - The Cheesecake Factory 63,953 1,951
Battle Mountain Gold Co.
Class A 799,600 1,949
Morgan Keegan, Inc. 102,600 1,943
Helix Technology Corp. 81,100 1,941
- - CSK Auto Corp. 71,900 1,941
- - American Italian Pasta Co. 63,800 1,938
Chicago Title Corp. 54,300 1,938
LNR Property Corp. 90,550 1,936
- - Barr Labs Inc. 48,500 1,934
Arch Chemicals, Inc. 79,500 1,933
- - Sanchez Computer
Associates, Inc. 55,800 1,932
- - Pre-Paid Legal Services, Inc. 71,000 1,930
- - Premiere Technologies, Inc. 167,500 1,926
- - International Network Services 47,650 1,924
- - Dura Pharmaceuticals, Inc. 160,900 1,921
- - ANADIGICS, Inc. 51,900 1,920
- - World Access, Inc. 135,900 1,920
- - CB Richard Ellis Services, Inc. 77,129 1,919
- - Holophane Corp. 50,300 1,918
Carpenter Technology Corp. 66,900 1,911
Bradley Real Estate Inc. REIT 92,014 1,909
- - Monaco Coach Corp. 45,100 1,908
Doral Financial Corp. 110,600 1,908
- - Haemonetics Corp. 95,050 1,907
- - Photronics Labs Inc. 77,700 1,904
Georgia Gulf Corp. 112,500 1,898
Viatel, Inc. 33,800 1,897
- - FactSet Research Systems Inc. 33,450 1,894
Selective Insurance Group 99,200 1,891
- - Burlington Industries, Inc. 208,400 1,889
Oneida Ltd. 67,135 1,888
- - Electronics for Imaging, Inc. 36,700 1,885
- - e.spire Communications, Inc. 178,200 1,882
- - Tesoro Petroleum Corp. 118,100 1,882
- - Techne 74,128 1,881
- - Valuevision International, Inc.
Class A 94,500 1,878
- - Electro Scientific Industries, Inc. 44,900 1,876
- - ATMI, Inc. 63,000 1,874
- - Hayes Lemmerz
International, Inc. 63,700 1,871
Rollins Truck Leasing 168,037 1,869
- - Playboy Enterprises, Inc. Class B 70,200 1,865
- - Siliconix, Inc. 54,200 1,856
W.R. Berkley Corp. 74,175 1,854
- - National Discount Brokers
Group, Inc. 31,900 1,850
- - Primus Telecommunications
Group, Inc. 82,100 1,842
- - Sunrise Technologies
International, Inc. 150,200 1,840
- - Entrust Technologies, Inc. 55,300 1,839
- - VWR Scientific Products Corp. 50,100 1,838
- - Reliance Steel & Aluminum Co. 47,100 1,837
West Pharmaceutical
Services, Inc. 46,794 1,837
National City Bancshares, Inc. 57,506 1,837
Yankee Energy Systems 46,200 1,834
Bowne & Co., Inc. 140,900 1,832
The Stride Rite Corp. 177,500 1,830
Skywest, Inc. 73,400 1,830
Taubman Co. REIT 138,500 1,826
Omega Healthcare Investors, Inc.
REIT 70,700 1,825
- - Action Performance Cos., Inc. 55,300 1,825
Premier Bancshares, Inc. 99,600 1,824
</TABLE>
35
<PAGE> 72
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Harbinger Corp. 145,850 $ 1,823
- - Macrovision Corp. 24,200 1,812
- - MotivePower Industries Inc. 102,000 1,810
Walden Residential Properties,
Inc. REIT 84,200 1,810
- - Computer Network
Technology Corp. 83,700 1,810
- - Playtex Products, Inc. 116,300 1,810
- - Buffets Inc. 157,349 1,810
Koger Equity, Inc. REIT 98,100 1,809
F.N.B. Corp. 66,981 1,808
- - LTX Corp. 135,700 1,807
- - Micromuse Inc. 36,100 1,800
- - ResMed Inc. 54,100 1,795
- - Toll Brothers, Inc. 83,700 1,794
Wellman, Inc. 112,500 1,793
- - Insight Enterprises, Inc. 72,200 1,787
- - Sunterra Corp. 127,950 1,783
- - SMART Modular
Technologies, Inc. 102,500 1,781
- - ABM Industries 58,000 1,780
Black Hills Corp. 76,950 1,779
Regal-Beloit Corp. 75,300 1,779
American Health Properties, Inc.
REIT 88,300 1,777
- - Reliance Group Holdings 238,300 1,772
- - SLI, Inc. 65,375 1,765
EVEREN Capital Corp. 59,200 1,765
Energen Corp. 94,600 1,762
- - Mid Atlantic Medical
Services, Inc. 178,200 1,760
- - Pinnacle Holdings Inc. 71,800 1,759
Home Properties of New York,
Inc. REIT 63,600 1,757
- - Eagle USA Airfreight, Inc. 41,400 1,757
- - SPS Technologies, Inc. 46,800 1,755
- - FPIC Insurance Group, Inc. 36,100 1,751
- - Southwest Bancorporation of
Texas, Inc. 97,200 1,750
- - Red Roof Inns, Inc. 97,500 1,749
- - Systems & Computer
Technology Corp. 119,900 1,746
- - Republic Bancorp, Inc. 114,725 1,742
Frontier Insurance Group, Inc. 113,232 1,741
St. John Knits, Inc. 59,500 1,740
- - Inacom Corp. 137,812 1,740
- - Genesco, Inc. 119,400 1,739
First United Bancshares, Inc. 93,300 1,738
- - Conmed Corp. 56,650 1,735
- - Ralcorp Holdings, Inc. 108,000 1,735
- - BE Avionics Inc. 92,700 1,732
- - Department 56 Inc. 64,400 1,731
- - Aspect
Telecommunications Corp. 177,400 1,730
Libbey, Inc. 59,600 1,728
TNP Enterprises, Inc. 47,600 1,725
- - Progress Software Corp. 60,900 1,720
- - Midwest Express Holdings, Inc. 50,600 1,720
Springs Industries Inc. Class A 39,400 1,719
- - Pharmaceutical Product
Development, Inc. 62,771 1,718
Aquarion Co. 49,309 1,713
The Toro Co. 43,400 1,709
- - Great Plains Software, Inc. 36,200 1,708
- - Plexus Corp. 56,700 1,708
- - Perrigo Co. 223,600 1,705
- - Respironics, Inc. 112,591 1,703
- - Metro Networks, Inc. 31,900 1,703
- - MEDE AMERICA Corp. 45,100 1,703
Matthews International Corp. 57,400 1,700
Penton Media, Inc. Class A 70,100 1,700
Midas Inc. 59,800 1,697
Olsten Corp. 267,650 1,690
Otter Tail Power Co. 43,800 1,689
- - U.S. Home Corp. 47,400 1,683
- - TriQuint Semiconductor, Inc. 29,600 1,682
- - Rational Software Corp. 50,979 1,679
National Data Corp. 39,200 1,676
NACCO Industries, Inc. Class A 22,795 1,675
Presidential Life Corp. 85,300 1,674
- - Copart, Inc. 78,700 1,672
- - S3, Inc. 183,900 1,672
- - Healthcare Financial
Partners, Inc. 48,800 1,671
TJ International, Inc. 53,900 1,671
- - Dura Automotive Systems, Inc. 50,235 1,670
Clarcor Inc. 86,925 1,668
- - Sola International Inc. 85,800 1,668
- - Wyman-Gordon Corp. 86,200 1,665
- - United International
Holdings, Inc. Class A 24,600 1,664
- - IHOP Corp. 69,100 1,663
Summit Properties, Inc. REIT 84,100 1,661
- - Silicon Valley Bancshares 67,000 1,658
- - Digital River, Inc. 49,800 1,656
- - Aspect Development, Inc. 89,500 1,656
SL Green Realty Corp. REIT 81,000 1,655
- - MTI Technology Corp. 126,700 1,655
- - Systemax Inc. 133,400 1,651
- - Ligand Pharmaceuticals Inc.
Class B 148,300 1,650
- - Anixter International Inc. 90,400 1,650
- - Fossil, Inc. 34,100 1,650
- - Safeskin Corp. 137,300 1,648
First Citizens BancShares
Class A 20,400 1,647
Chemical Finance 47,312 1,647
Richmond County Financial Corp. 85,400 1,644
- - 99 Cents Only Stores 32,875 1,642
Gerber Scientific, Inc. 74,300 1,639
- - Coherent, Inc. 87,800 1,635
- - Advent Software, Inc. 24,400 1,635
- - Ryan's Family Steak Houses, Inc. 140,600 1,634
- - IDT Corp. 73,400 1,633
Pegasus Systems Inc. 43,600 1,632
Spartech Corp. 51,600 1,632
- - Trammell Crow Co. 99,250 1,631
- - Yellow Corp. 91,850 1,630
Cabot Oil & Gas Corp. Class A 87,526 1,630
Empire District Electric Co. 62,470 1,628
Mentor Corp. 87,400 1,628
- - Triangle Pharmaceuticals, Inc. 90,400 1,627
</TABLE>
36
<PAGE> 73
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Ivex Packaging Corp. 73,900 $ 1,626
- - Vail Resorts Inc. 92,900 1,626
- - ADVO, Inc. 78,250 1,624
- - Computer Horizons Corp. 117,400 1,622
- - Pegasus Communications Corp.
Class A 41,100 1,621
- - Palm Harbor Homes, Inc. 64,629 1,620
- - Medaphis Corp. 281,650 1,619
- - In Focus Systems, Inc. 107,900 1,618
- - Integrated Health Services, Inc. 202,000 1,616
- - Atlas Air, Inc. 50,000 1,612
MDC Holdings, Inc. 75,000 1,612
- - Technology Solutions Co. 149,125 1,612
ChemFirst Inc. 66,300 1,612
- - Acxiom Corp. 64,630 1,612
Downey Financial Corp. 73,246 1,607
- - Perclose, Inc. 33,400 1,605
- - Plains Resources 84,400 1,604
Talbots Inc. 42,000 1,601
Fleming Cos., Inc. 137,700 1,601
- - Insituform Technologies Class A 73,800 1,596
Westfield America, Inc. REIT 105,900 1,595
- - Integrated Electrical
Services, Inc. 98,900 1,595
Technitrol, Inc. 49,100 1,583
Foremost Corp. of America 71,900 1,582
Stewart & Stevenson
Services, Inc. 103,610 1,580
- - Triarc Cos., Inc. Class A 74,300 1,579
- - Paymentech, Inc. 62,200 1,578
- - Grey Wolf, Inc. 631,300 1,578
- - Benchmark Electronics, Inc. 43,900 1,578
Tredegar Corp. 72,500 1,577
Collins & Aikman Corp. 206,700 1,576
Ryland Group, Inc. 53,000 1,573
LandAmerica Financial
Group, Inc. 54,700 1,573
- - Commonwealth Telephone
Enterprises, Inc. 38,799 1,569
- - Adaptive Broadband Corp. 71,700 1,568
- - Penske Motorsports, Inc. 31,600 1,568
Phoenix Investment Partners Ltd. 181,700 1,567
- - ProBusiness Services, Inc. 43,600 1,564
Lilly Industries Inc. Class A 84,150 1,562
- - Getty Images, Inc. 82,700 1,561
Mid-America Apartment
Communities, Inc. REIT 67,400 1,559
- - Bottomline Technologies, Inc. 29,400 1,558
Bandag, Inc. 44,900 1,557
Forest City Enterprise Class A 55,500 1,554
- - DSP Group Inc. 43,100 1,552
- - CPI Corp. 47,000 1,551
- - Avant! Corp. 122,838 1,551
Heilig-Meyers Co. 227,500 1,550
- - Cable Design Technologies 100,250 1,548
- - Triad Hospitals, Inc. 114,579 1,547
- - Veritas DGC Inc. 84,400 1,546
- - Datascope Corp. 48,100 1,545
Jones Apparel Group, Inc. 44,898 1,541
- - American Freightways 78,700 1,540
- - Rexall Sundown, Inc. 126,300 1,539
- - Kirby Corp. 72,500 1,536
- - Chirex, Inc. 47,800 1,536
Graco, Inc. 52,225 1,534
Cooper Cos., Inc. 61,400 1,531
- - Pioneer Group, Inc. 88,700 1,530
- - Electroglas, Inc. 76,500 1,530
- - Tekelec 125,500 1,530
- - 24/7 Media, Inc. 39,700 1,528
Roadway Express Inc. 78,700 1,525
JSB Financial 29,900 1,521
BMC Industries, Inc. 147,500 1,521
General Motors Corp. Class H 27,006 1,519
Berkshire Realty Co., Inc. REIT 131,300 1,518
- - Louis Dreyfus Natural Gas Corp. 70,396 1,518
Applied Industrial
Technology, Inc. 79,800 1,516
- - HA-LO Industries, Inc. 153,525 1,516
- - SpeedFam-IPEC, Inc. 94,351 1,516
Argonaut Group, Inc. 63,100 1,514
- - barnesandnoble.com inc. 84,100 1,514
Standard Products Co. 59,025 1,513
- - Xoom, Inc. 28,800 1,512
- - Carrier Access Corp. 34,500 1,512
Universal Forest Products, Inc. 70,300 1,511
- - Price Communications Corp. 100,700 1,510
- - Arcadia Financial Ltd. 194,900 1,510
- - Dialogic Corp. 34,400 1,509
- - CDI Corp. 44,300 1,509
- - CD Radio Inc. 49,500 1,508
- - ITT Educational Services, Inc. 57,800 1,506
Quanex Corp. 52,800 1,505
Cornerstone Realty
Income Trust, Inc. REIT 139,800 1,503
- - Ascent Entertainment Group, Inc. 106,229 1,500
Republic Security Financial Corp. 179,019 1,499
- - Rent-A-Center, Inc. 62,400 1,498
- - TALK.com, Inc. 133,000 1,496
- - Gaylord Container Corp. 188,500 1,496
Advanta Corp. Class A 82,780 1,495
- - AVT Corp. 39,400 1,492
The Titan Corp. 135,600 1,492
- - International Home Foods, Inc. 80,900 1,492
- - NCO Group, Inc. 39,250 1,492
SCPIE Holdings Inc. 45,700 1,491
- - First Federal Financial Corp. 77,450 1,491
- - Education Management Corp. 71,800 1,490
- - Hollywood Park, Inc. 87,600 1,489
Wabash National Corp. 76,700 1,486
- - Aztar Corp. 161,600 1,485
- - Tom Brown, Inc. 95,200 1,482
- - Pacific Gateway Exchange, Inc. 50,800 1,480
- - Advanced Digital Information Corp. 36,500 1,478
Furon Co. 77,600 1,474
- - Waste Connections, Inc. 48,300 1,473
The Standard Register Co. 47,900 1,473
- - Young Broadcasting Inc. 34,600 1,473
- - First Sierra Financial, Inc. 58,900 1,472
- - LifePoint Hospitals, Inc. 109,580 1,472
Burlington Coat Factory
Warehouse Corp. 76,240 1,472
- - Metals USA, Inc. 115,475 1,472
</TABLE>
37
<PAGE> 74
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Life USA Holding, Inc. 72,600 $ 1,470
Triangle Bancorp, Inc. 86,700 1,468
Liberty Financial Cos., Inc. 50,400 1,468
Pacific Gulf Properties, Inc. REIT 64,800 1,466
Laclede Gas Co. 63,000 1,465
Brown Shoe Company, Inc. 67,200 1,462
- - hi/fn, inc. 19,200 1,462
Burnham Pacific Properties, Inc.
REIT 118,600 1,460
- - Advanced Energy Industries, Inc. 36,000 1,460
- - Hanover Direct, Inc. 518,500 1,458
AmerUs Life Holdings, Inc. 53,992 1,458
Brown & Brown, Inc. 38,350 1,457
- - Albany International Corp. 70,100 1,455
Vintage Petroleum, Inc. 135,100 1,452
Apogee Enterprises, Inc. 108,000 1,451
- - Protein Design Labs 65,400 1,451
United Television, Inc. 13,829 1,450
American Heritage Life
Investment Corp. 59,164 1,450
Deltic Timber Corp. 53,800 1,449
- - Agribrands International, Inc. 36,600 1,448
Lance, Inc. 92,600 1,447
Banco Santander Puerto Rico 79,900 1,443
- - Complete Business Solutions, Inc. 80,400 1,442
- - Sierra Health Services 99,800 1,441
- - Rent-Way, Inc. 58,500 1,441
- - Saga Systems, Inc. 112,900 1,439
- - Billing Concepts Corp. 128,500 1,438
First Western Bancorp 42,900 1,437
Carter-Wallace, Inc. 78,900 1,435
First Source Corp. 44,834 1,435
Winnebago Industries, Inc. 63,700 1,433
- - DBT Online Inc. 43,700 1,431
National Bankcorp of Alaska Inc. 54,000 1,431
CNA Surety Corp. 93,400 1,430
- - Pool Energy Service Co. 70,300 1,428
- - Sinclair Broadcast Group, Inc. 87,200 1,428
- - Handleman Co. 120,800 1,427
- - MRV Communications Inc. 108,700 1,427
Commercial Net Lease Realty
REIT 110,800 1,427
Duff & Phelps Credit Rating 21,300 1,424
Hancock Holding Co. 31,707 1,423
- - Alterra Healthcare Corp. 103,400 1,422
Cabot Industrial Trust REIT 66,900 1,422
Mills Corp. REIT 65,547 1,422
- - United Payors &
United Providers, Inc. 61,300 1,421
Bedford Property Investors, Inc.
REIT 79,400 1,419
- - Celera Genomics 87,600 1,418
New England Business
Service, Inc. 45,900 1,417
- - Open Market, Inc. 99,700 1,414
- - Paxar Corp. 157,056 1,414
- - Ziff-Davis Inc. 91,400 1,411
- - Aviron 49,000 1,409
- - Aviall Inc. 74,875 1,409
Authentic Fitness Corp. 80,200 1,403
- - InterVoice, Inc. 97,200 1,403
- - USinternetworking, Inc. 33,400 1,403
Interface, Inc. 162,600 1,402
Bay View Capital Corp. 68,406 1,402
- - NCI Building Systems, Inc. 65,600 1,402
- - Columbia Laboratories Inc. 163,700 1,402
Diagnostic Products Corp. 50,700 1,401
- - Paxson Communications Corp. 103,700 1,400
- - Varian Semiconductor
Equipment Associates, Inc. 82,300 1,399
- - Metromedia International
Group, Inc. 186,500 1,399
- - Lone Star Technologies, Inc. 78,800 1,399
Oshkosh Truck Corp. 27,800 1,399
- - Seitel, Inc. 86,400 1,399
- - First Republic Bank 48,300 1,398
MGI Properties, Inc. REIT 49,400 1,396
Standex International Corp. 50,800 1,391
Cleveland-Cliffs Iron Co. 42,900 1,389
- - Osteotech, Inc. 48,300 1,389
Central Parking Corp. 40,500 1,387
- - Maxxam Inc. 21,500 1,387
Omega Financial Corp. 39,900 1,387
Glimcher Realty Trust REIT 85,300 1,386
CT Communications, Inc. 33,700 1,386
- - PFF Bancorp, Inc. 73,800 1,384
Barnes Group, Inc. 63,600 1,383
- - Shorewood Packaging Corp. 75,000 1,383
- - Southern Union Co. 63,561 1,382
- - Cellnet Data Systems 152,900 1,376
- - Nova Corp. (Georgia) 55,037 1,376
C & D Technology Inc. 44,900 1,375
- - Long Beach Financial Corp. 93,600 1,375
Coachmen Industries, Inc. 59,100 1,374
AMCOL International Corp. 95,550 1,374
OneMain.com, Inc. 58,100 1,373
Inter-Tel, Inc. 75,200 1,372
- - Magellan Health Services, Inc. 137,100 1,371
- - Mercury Computer Systems, Inc. 42,500 1,371
- - Borg-Warner Security Corp. 67,400 1,369
- - Landstar System 37,900 1,368
Elizabethtown Corp. 29,900 1,368
Riggs National Corp. 66,400 1,365
- - Powerwave Technologies, Inc. 42,300 1,364
Prime Retail, Inc. REIT 156,999 1,364
- - Buckeye Technology, Inc. 89,800 1,364
- - Simpson Manufacturing Co. 28,700 1,363
- - Consolidated Products Inc. 75,590 1,361
Town & Country Trust REIT 76,100 1,360
Commonwealth Bancorp 75,800 1,360
Valmont Industries, Inc. 79,600 1,356
- - Midway Games Inc. 104,711 1,355
- - Cellular Communications of
Puerto Rico 47,500 1,354
International Multifoods Corp. 59,900 1,351
- - Inhale Therapeutic Systems 56,700 1,350
Wackenhut Corp. 45,300 1,348
- - Knoll, Inc. 50,600 1,347
Southern Peru Copper Corp. 93,300 1,347
First Charter Corp. 54,400 1,346
Connecticut Energy Corp. 34,900 1,346
- - Cor Therapeutics, Inc. 91,200 1,345
</TABLE>
38
<PAGE> 75
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
North Carolina Natural Gas Corp. 39,202 $ 1,343
- - NBTY, Inc. 206,500 1,342
Briggs & Stratton Corp. 23,225 1,341
- - Forest Oil Corp. 106,700 1,340
- - American Mobile Satellite
Corp., Inc. 81,800 1,339
- - Jones Intercable Inc. 27,900 1,339
- - URS Corp. 45,600 1,337
- - Service Experts, Inc. 60,900 1,336
- - UniSource Energy Corp. 111,860 1,335
- - ACTV, Inc. 96,200 1,335
- - WMS Industries, Inc. 78,500 1,335
- - Littelfuse, Inc. 69,300 1,334
Landauer, Inc. 45,200 1,333
California Water Service Group 51,026 1,333
- - Group Maintenance
America Corp. 103,000 1,333
- - Avid Technology, Inc. 82,500 1,330
- - Scott Technologies, Inc. 69,100 1,330
Innkeepers USA Trust REIT 132,700 1,327
K-Swiss, Inc. 28,500 1,325
Enesco Group, Inc. 57,300 1,325
- - King Pharmaceuticals, Inc. 51,200 1,325
P.H. Glatfelter Co. 90,400 1,322
Texas Regional Bancshares, Inc. 48,600 1,321
- - Korn/Ferry International 77,700 1,321
- - F.Y.I. Inc. 42,100 1,321
- - Aavid Thermal Technologies 58,100 1,315
The Trust Co. of New Jersey 55,870 1,313
CVB Financial Corp. 50,490 1,313
- - Res-Care, Inc. 57,700 1,313
- - @Entertainment, Inc. 70,000 1,313
- - Razorfish Inc. 35,400 1,312
- - Sipex Corp. 64,000 1,312
- - Aviation Sales Co. 33,200 1,311
- - TSI International Software Ltd. 46,100 1,308
Ethyl Corp. 217,700 1,306
Watsco, Inc. 79,750 1,306
Mitchell Energy &
Development Corp. Class A 67,600 1,306
- - Sicor, Inc. 306,560 1,303
- - Lone Star Steakhouse &
Saloon, Inc. 133,900 1,301
- - BindView Development Corp. 54,700 1,299
InterWest Bancorp Inc. 51,900 1,297
- - Coulter Pharmaceutical, Inc. 57,500 1,297
CNB Bancshares, Inc. 22,745 1,296
- - Sbarro, Inc. 47,900 1,296
National Penn Bancshares Inc. 55,057 1,296
- - Acuson Corp. 75,250 1,293
- - Oceaneering International, Inc. 80,200 1,293
LTC Properties, Inc. REIT 99,300 1,291
Southwestern Energy Co. 122,100 1,290
- - Varian, Inc. 95,400 1,288
- - FileNet Corp. 112,600 1,288
Commercial Metals Co. 45,166 1,287
- - American Xtal Technology, Inc. 54,000 1,286
Chiquita Brands
International, Inc. 142,500 1,282
- - Windmere-Durable Holdings Inc. 75,967 1,282
- - The IT Group, Inc. 79,800 1,282
Ocean Financial Corp. 70,600 1,280
National Golf Properties, Inc.
REIT 52,600 1,279
Pioneer Standard
Electronics Inc. 106,550 1,279
Sterling Bancshares, Inc. 95,500 1,277
- - Micron Electronics, Inc. 126,800 1,276
- - Trans World Airlines 258,200 1,275
Kaman Corp. Class A 81,200 1,274
Tejon Ranch Co. 48,500 1,273
- - MemberWorks, Inc. 43,900 1,273
- - Wolverine Tube, Inc. 50,600 1,271
- - Banctec, Inc. 70,828 1,270
- - CUNO Inc. 66,350 1,269
Owens & Minor, Inc. Holding Co. 115,337 1,269
- - O'Sullivan Industries
Holdings, Inc. 74,600 1,268
- - Priority Healthcare Corp. Class A 36,758 1,268
- - ISIS Pharmaceuticals, Inc. 124,300 1,266
Guarantee Life Cos., Inc. 50,400 1,266
- - Kopin Corp. 52,900 1,266
Del Webb Corp. 52,996 1,265
Peoples Bancorp, Inc. 126,800 1,264
- - Trans World Entertainment Corp. 112,350 1,264
Arrow International, Inc. 48,800 1,263
- - EEX Corp. 181,966 1,262
Overseas Shipholding Group Inc. 98,000 1,262
Imperial Credit Commercial
Mortgage Investment Corp.
REIT 116,600 1,261
- - Stein Mart, Inc. 134,400 1,260
Fair Issac & Co. 35,900 1,259
Capital Re Corp. 78,300 1,258
MMI Cos., Inc. 74,500 1,257
- - Dave & Busters 43,300 1,256
Entertainment Properties Trust
REIT 71,200 1,255
Greif Brothers Corp. Class A 49,200 1,255
- - Cort Business Services Corp. 52,400 1,254
- - Urban Outfitters, Inc. 49,900 1,254
- - Timberland Co. 18,400 1,252
- - NVIDIA Corp. 65,400 1,251
John Nuveen Co. Class A 29,300 1,251
- - Romac International, Inc. 140,910 1,251
WD-40 Co. 50,000 1,250
- - Cytyc Corp. 64,100 1,250
- - Anchor Gaming 26,000 1,250
- - PICO Holdings, Inc. 49,300 1,248
- - Level One Communications 25,475 1,247
Luby's, Inc. 83,100 1,246
- - MGC Communications, Inc. 47,900 1,245
Brenton Banks, Inc. 80,119 1,242
- - Heartland Express, Inc. 75,808 1,241
- - DuPont Photomasks, Inc. 25,900 1,240
- - Coinstar, Inc. 43,200 1,239
Cohu, Inc. 35,000 1,238
- - Specialty Equipment Cos., Inc. 42,000 1,236
- - Asyst Technologies, Inc. 41,200 1,233
J.B. Hunt Transport
Services, Inc. 75,900 1,233
Capstead Mortgage Corp. REIT 226,500 1,232
- - Transaction Network
Services, Inc. 42,050 1,230
</TABLE>
39
<PAGE> 76
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Myers Industries, Inc. 61,497 $ 1,230
Peoples Energy Corp. 32,525 1,226
Thomas Industries, Inc. 59,650 1,223
- - bebe stores, inc. 35,900 1,221
- - Ocular Sciences, Inc. 70,200 1,220
JP Realty Inc. REIT 59,300 1,219
Park Electrochemical Corp. 42,300 1,216
- - Input/Output, Inc. 160,700 1,215
Michael Foods Group, Inc. 51,700 1,215
- - Group 1 Automotive, Inc. 57,400 1,213
- - Magnatek 114,800 1,213
- - Biotechnology General 186,400 1,212
- - Crestline Capital Corp. 72,000 1,210
LaSalle Hotel Properties REIT 78,900 1,208
- - PAREXEL International Corp. 90,700 1,207
Berry Petroleum Class A 86,600 1,207
- - Kenneth Cole Productions, Inc. 43,300 1,207
IRT Property Co. REIT 122,098 1,206
- - Avondale Industries, Inc. 30,900 1,205
Equity Inns, Inc. REIT 130,200 1,204
- - First Financial Holdings, Inc. 64,200 1,204
- - PETCO Animal Supplies, Inc. 76,300 1,202
- - Wild Oats Marketing Corp. 39,600 1,202
Reliance Bancorp, Inc. 43,400 1,199
Kansas City Life Insurance Co. 27,860 1,198
- - Performance Food Group Co. 43,950 1,195
Intermet Corp. 79,000 1,195
- - Musicland Stores Corp. 134,600 1,195
- - Sylvan Learning Systems, Inc. 43,900 1,194
- - Global Industrial
Technologies, Inc. 98,900 1,193
Life Technologies, Inc. 32,950 1,190
Rollins, Inc. 74,500 1,187
- - Aspen Technologies, Inc. 101,000 1,187
- - Maxxim Medical, Inc. 50,900 1,187
- - Morrison Knudsen Corp. 114,900 1,185
- - Financial Federal Corp. 53,850 1,185
- - NetGravity, Inc. 52,000 1,183
NUI Corp. 47,300 1,182
- - Cygnus Inc. 90,800 1,180
Parkway Properties Inc. REIT 35,600 1,179
Oregon Steel Mills, Inc. 88,500 1,178
- - Boyd Gaming Corp. 168,200 1,177
- - Intergraph Corp. 151,900 1,177
Chemed Corp. 35,400 1,177
- - Steinway Musical
Instruments Inc. 44,400 1,177
- - Daisytek International Corp. 72,100 1,176
EastGroup Properties, Inc. REIT 58,600 1,176
- - Castle & Cooke Inc. 66,700 1,176
- - Pediatrix Medical Group, Inc. 55,300 1,175
Brush Wellman, Inc. 64,800 1,175
- - Trimble Navigation Ltd. 91,200 1,174
Computer Task Group, Inc. 69,000 1,173
- - Concur Technologies, Inc. 41,700 1,173
Alexandria Real Estate Equities,
Inc. REIT 37,500 1,172
- - Algos Pharmaceutical Corp. 53,100 1,172
- - Checkpoint Systems, Inc. 130,900 1,170
- - Atwood Oceanics, Inc. 37,400 1,169
- - Kaiser Aluminum &
Chemical Corp. 131,600 1,168
- - Hanger Orthopedic Group, Inc. 82,300 1,168
National Presto Industries, Inc. 30,500 1,167
- - IDX Systems Corp. 51,680 1,166
- - Canandaigua Brands, Inc. Class B 22,100 1,166
- - PictureTel Corp. 145,600 1,165
- - Manugistics Group, Inc. 80,300 1,164
Anchor Bancorp Wisconsin Inc. 65,300 1,163
Dreyer's Grand Ice Cream, Inc. 76,900 1,163
Standard Pacific Corp. 89,900 1,163
- - Rare Hospitality International Inc. 45,500 1,160
- - On Assignment, Inc. 44,400 1,160
Cash America International Inc. 90,012 1,159
- - Advanced Radio Telecom Corp. 80,400 1,156
Merchants New York
Bancorporation 34,500 1,156
- - The Dress Barn, Inc. 72,200 1,155
- - AFC Cable Systems, Inc. 32,700 1,155
- - Central Garden and Pet Co. 112,500 1,153
Western Gas Resources, Inc. 72,000 1,152
Colonial Gas Co. 31,100 1,151
Curtiss-Wright Corp. 29,600 1,151
- - UniCapital Corp. 182,000 1,149
- - Brightpoint, Inc. 189,325 1,148
GBC Bancorp 56,600 1,146
- - General Communication, Inc. 168,600 1,146
Watts Industries Class A 59,700 1,145
Oriental Financial Group 47,466 1,145
CFW Communications Co. 47,200 1,145
- - OEC Medical Systems, Inc. 46,700 1,144
Greater Bay Bancorp 34,400 1,144
- - Budget Group, Inc. 92,700 1,141
Skyline Corp. 38,900 1,140
Cullen/Frost Bankers, Inc. 41,360 1,140
Centertrust Retail Properties, Inc.
REIT 97,000 1,140
Bassett Furniture Industries, Inc. 49,825 1,140
- - Host Marriott Services Corp. 140,140 1,139
Pennsylvania Enterprises Inc. 37,100 1,139
- - TransMontaigne Inc. 90,600 1,138
- - Leap Wireless International, Inc. 56,200 1,138
- - U.S. Bioscience 116,600 1,137
Sovran Self Storage, Inc. REIT 42,200 1,137
- - Patterson Energy, Inc. 114,800 1,134
Madison Gas & Electric Co. 55,075 1,129
Franchise Finance Corp. of
America REIT 51,300 1,129
- - Reckson Associates Realty Corp.
Class B 47,257 1,128
- - P-Com, Inc. 215,500 1,128
- - Consolidated Freightways Corp. 87,800 1,128
- - Superior National Insurance
Group, Inc. 41,400 1,127
BT Financial Corp. 45,960 1,127
- - Remec, Inc. 69,900 1,127
- - Barra, Inc. 44,600 1,126
Centex Construction
Products, Inc. 33,000 1,126
Russ Berrie and Co., Inc. 45,500 1,126
Sotheby's Holdings Class A 29,500 1,125
Urban Shopping Centers, Inc. REIT 35,700 1,125
Stone & Webster, Inc. 42,200 1,124
</TABLE>
40
<PAGE> 77
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - AMLI Residential Properties Trust
REIT 50,200 $ 1,123
- - Ultratech Stepper, Inc. 74,500 1,122
Dime Community Bancorp, Inc. 48,200 1,121
- - Premier National Bancorp, Inc. 56,000 1,120
- - HomeBase, Inc. 177,200 1,119
- - Biomatrix, Inc. 51,700 1,118
- - Personnel Group of America, Inc. 111,800 1,118
RFS Hotel Investors, Inc. REIT 88,900 1,117
- - Hain Food Group, Inc. 54,100 1,116
Arch Coal, Inc. 80,400 1,116
- - IGEN International, Inc. 38,300 1,115
PMA Capital Corp. Class A 54,200 1,114
Sunstone Hotel Investors, Inc.
REIT 131,100 1,114
- - Veeco Instruments, Inc. 32,700 1,112
Corus Bankshares Inc. 34,900 1,110
Resource America, Inc. 76,500 1,109
- - Griffon Corp. 141,900 1,109
- - Florida Panthers Holdings, Inc. 103,500 1,106
- - Silgan Holdings, Inc. 55,600 1,105
- - Offshore Logistics, Inc. 99,300 1,105
Western Investment Real Estate
Trust REIT 95,000 1,104
Farmer Brothers, Inc. 5,450 1,104
- - Ocwen Financial Corp. 124,000 1,100
New Plan Excel Realty Trust REIT 61,109 1,100
- - Veterinary Centers of
America, Inc. 81,100 1,100
- - Wellsford Real Properties Inc.
REIT 102,300 1,100
JeffBanks, Inc. 38,633 1,099
Analysts International Corp. 76,400 1,098
- - WetSeal, Inc. Class A 38,300 1,096
- - RTI International Metals 74,600 1,096
- - MAXIMUS, Inc. 38,100 1,095
- - CDnow Inc. 62,121 1,095
- - Guilford Pharmaceuticals, Inc. 85,700 1,093
- - Novoste Corp. 51,900 1,090
- - Amerco, Inc. 48,420 1,089
Bank of Granite Corp. 44,218 1,089
- - Chattem, Inc. 34,200 1,088
- - CSG Systems International, Inc. 41,500 1,087
- - AMC Entertainment, Inc. 56,800 1,086
- - Scientific Games Holdings Corp. 55,700 1,086
Mississippi Chemical Corp. 110,565 1,085
Great Lakes, Inc. REIT 66,700 1,084
Ventas, Inc. 201,400 1,083
West Coast Bancorp 61,855 1,082
- - Data Transmission Network Corp. 38,400 1,080
- - Genesys Telecommunications
Laboratories, Inc. 43,200 1,080
- - Exodus Communications, Inc. 9,000 1,079
Commercial Intertech Corp. 67,650 1,078
- - Esterline Technologies Corp. 75,000 1,078
Arnold Industries, Inc. 69,700 1,076
Tennant Co. 33,600 1,075
The Marcus Corp. 87,300 1,075
Harleysville National Corp. 29,998 1,072
- - Nuevo Energy Co. 80,900 1,072
- - Ziff-Davis Inc. - ZDNet 41,200 1,071
- - Alexander's, Inc. 14,500 1,071
- - Triumph Group, Inc. 42,000 1,071
- - Keystone Automotive
Industries, Inc. 61,600 1,070
Rock-Tenn Co. 63,960 1,067
- - The Buckle, Inc. 37,100 1,067
- - US LEC Corp. Class A 47,300 1,064
- - AirTran Holdings, Inc. 185,000 1,064
Standard Motor Products, Inc. 43,400 1,063
First Financial Bankshares, Inc. 33,470 1,063
- - AXENT Technologies, Inc. 95,480 1,062
- - Epicor Software Corp. 142,790 1,062
- - Information Resources, Inc. 121,200 1,060
- - MSC Industrial Direct Co., Inc.
Class A 103,300 1,059
BSB Bancorp, Inc. 39,150 1,057
Independent Bank Corp. 67,100 1,057
- - Bio-Rad Laboratories, Inc.
Class A 40,400 1,055
- - Robert Mondavi Corp. Class A 29,000 1,055
- - GelTex Pharmaceuticals, Inc. 58,600 1,055
- - 7-Eleven, Inc. 475,100 1,054
- - CCC Information Services Group 81,700 1,052
Scotsman Industries, Inc. 48,700 1,050
N L Industries, Inc. 94,300 1,049
- - Actel Corp. 71,100 1,049
- - IMRglobal Corp. 54,400 1,047
- - Symantec Corp. 41,040 1,047
- - Multex.com Inc. 40,000 1,045
- - Fairchild Corp. 81,908 1,044
- - Polymer Group, Inc. 88,800 1,043
South Jersey Industries, Inc. 36,836 1,043
- - PEC Israel Economic Corp. 33,100 1,043
Boykin Lodging Co. REIT 67,700 1,041
- - Acclaim Entertainment Inc. 163,000 1,039
U.S. Restaurant Properties, Inc.
REIT 48,900 1,039
Pennsylvania REIT 49,600 1,039
Norrell Corp. 55,200 1,038
American Annuity Group Inc. 42,800 1,038
- - Wesco International, Inc. 50,600 1,037
NBT Bancorp, Inc. 50,569 1,037
- - Vantive Corp. 90,600 1,036
Brooke Group Ltd. 44,200 1,033
- - CHS Electronics, Inc. 235,500 1,030
Freedom Securities Corp. 60,100 1,029
Community Trust Bancorp Inc. 44,026 1,029
- - First Financial Corp.-Indiana 27,200 1,028
Franklin Electric, Inc. 15,800 1,027
- - Chesapeake Energy Corp. 349,480 1,027
Strayer Education, Inc. 33,450 1,026
- - Guess ?, Inc. 74,200 1,025
- - School Specialty, Inc. 63,800 1,025
Mine Safety Appliances Co. 16,000 1,024
- - Nortek, Inc. 32,700 1,024
Wynn's International Inc. 55,450 1,022
- - Aftermarket Technology Corp. 89,700 1,020
- - Ventana Medical Systems, Inc. 53,300 1,019
- - Oxford Health Plan 65,400 1,018
- - ACX Technologies Inc. 62,600 1,017
R.L.I. Corp. 26,250 1,017
</TABLE>
41
<PAGE> 78
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Com21, Inc. 59,600 $ 1,017
- - Goody's Family Clothing 88,900 1,017
- - Network Equipment
Technologies, Inc. 102,700 1,014
- - Impath, Inc. 37,500 1,012
- - Championship Auto Racing
Teams, Inc. 33,800 1,012
- - Rogers Corp. 34,300 1,012
- - LCA-Vision, Inc. 108,600 1,011
American Business
Products, Inc. 66,300 1,011
- - Closure Medical Corp. 33,700 1,011
- - Province Heathcare Co. 51,800 1,010
- - Cal Dive International, Inc. 33,800 1,010
- - Sangstat Medical Corp. 58,500 1,009
- - Cellstar Corp. 128,000 1,008
Titanium Metals Corp. 90,600 1,008
The Ackerley Group, Inc. 55,400 1,008
- - The Gymboree Corp. 95,800 1,006
Simpson Industries, Inc. 97,800 1,002
- - M.S. Carriers, Inc. 33,800 1,002
- - Integrated Systems, Inc. 85,300 1,002
- - Interdigital Communications Corp. 216,600 1,002
- - Allen Telecom Inc. 93,060 1,000
- - Radio One, Inc. 21,500 1,000
Circle International Group, Inc. 45,700 1,000
Pittston BAX Group 105,200 999
Grey Advertising, Inc. 3,000 999
Redwood Trust, Inc. REIT 60,200 997
- - Ardent Software, Inc. 46,900 997
- - American Tower Corp. Class A 41,490 996
- - Enzo Biochem, Inc. 100,803 995
Golf Trust of America, Inc. REIT 40,700 995
Stewart Information
Services Corp. 47,000 993
- - ParkerVision, Inc. 28,300 991
First Sentinel Bancorp Inc. 111,540 990
- - NFO Worldwide, Inc. 70,700 990
- - NeoMagic Corp. 117,700 989
Phillips-Van Heusen Corp. 100,100 988
- - Excel Switching Corp. 33,000 988
Gentek, Inc. 71,200 988
- - Vishay Intertechnology, Inc. 47,023 987
- - Guitar Center, Inc. 94,600 987
- - Kellstrom Industries, Inc. 54,000 985
- - Organogenesis, Inc. 105,092 985
- - Project Software &
Development, Inc. 31,500 984
St. Mary Land & Exploration Co. 47,840 984
Lindsay Manufacturing Co. 55,995 983
- - WebTrends Corp. 21,300 982
- - Mesa Air Group Inc. 130,300 979
- - Preview Travel, Inc. 44,600 978
- - Data Processing Resources Corp. 41,300 976
- - Philadelphia Consolidated
Holding Corp. 39,700 973
- - National Western Life
Insurance Co. Class A 10,100 972
- - Alpine Group, Inc. 60,500 972
- - Read Rite Corp. 156,600 971
- - American Classic Voyager Co. 40,400 970
- - CompuCredit Corp. 51,000 969
- - Data Broadcasting Corp. 91,600 968
Trenwick Group Inc. 39,150 965
- - Oakley, Inc. 135,200 963
- - Priority Healthcare Corp. Class B 27,900 963
- - Triad Guaranty, Inc. 53,600 961
- - Parker Drilling Co. 290,200 961
- - Vlasic Foods International, Inc. 131,200 959
US Bancorp, Inc. 60,899 959
Oshkosh B Gosh, Inc. Class A 45,400 959
Justin Industries, Inc. 68,750 958
- - Teletech Holdings Inc. 94,500 957
- - FlashNet Communications, Inc. 32,500 957
Crown American Realty Trust
REIT 130,800 956
Analogic Corp. 30,600 951
- - Phoenix Technologies LTD. 53,200 951
- - Marketing Services Group, Inc. 36,300 951
- - Dril-Quip, Inc. 41,400 950
- - Discount Auto Parts Inc. 39,300 948
- - National R. V. Holdings, Inc. 38,500 946
- - American Retirement Corp. 75,400 943
Thornburg Mortgage Asset Corp.
REIT 94,200 942
Tanger Factory Outlet Centers,
Inc. REIT 36,100 939
Sturm, Ruger & Co., Inc. 87,800 938
- - International Telecommunication
Data Systems, Inc. 58,600 938
- - Carriage Services, Inc. 50,000 937
- - UTI Energy Corp. 56,500 936
- - AMF Bowling, Inc. 110,900 936
- - AgriBioTech, Inc. 154,300 935
PXRE Corp. 51,533 934
Flagstar Bancorp, Inc. 36,900 932
- - CONSOL Energy, Inc. 77,400 929
- - GC Cos. 25,950 928
- - InterVU Inc. 24,200 927
UniFirst Corp. 50,400 926
MTS Systems Corp. 75,800 924
- - The Kroll-O'Gara Co. 41,800 922
- - Imperial Credit 129,964 922
- - Sabratek Corp. 42,100 921
First Liberty Financial Corp. 29,300 919
First Federal Capital Corp. 62,300 919
- - Pharmacyclics, Inc. 32,800 918
- - NPC International Class A 59,700 918
- - Charles River Associates Inc. 36,600 917
- - Fritz Cos., Inc. 85,300 917
Associated Estates Realty Corp.
REIT 77,600 917
- - HS Resources Inc. 62,100 916
- - JDA Software Group, Inc. 98,250 915
- - STAR Telecommunications, Inc. 117,100 915
Harleysville Group, Inc. 44,600 914
- - Insignia Financial Group, Inc. 87,000 914
- - Engineering Animation, Inc. 43,100 913
- - American Axle &
Manufacturing Holdings, Inc. 65,200 913
- - ITI Technologies, Inc. 40,300 912
- - Diamond Technology
Partners Inc. 40,700 911
</TABLE>
42
<PAGE> 79
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Wackenhut Corrections Corp. 45,900 $ 909
Irwin Financial Corp. 46,600 909
Zenith National Insurance Corp. 36,900 909
- - Advantage Learning Systems, Inc. 41,000 907
- - Legato Systems, Inc. 15,700 907
- - PathoGenesis Corp. 63,700 904
Oxford Industries, Inc. 31,900 903
Exide Corp. 61,100 901
- - K-V Pharmaceutical Co. Class B 56,750 900
Arctic Cat, Inc. 100,600 899
General Growth Properties Inc.
REIT 25,300 898
- - Hamilton Bancorp, Inc. 37,400 898
- - CSS Industries, Inc. 31,800 894
Merrill Corp. 61,500 892
Calgon Carbon Corp. 149,700 889
- - Finish Line, Inc. 79,000 889
- - Rare Medium Group, Inc. 71,400 888
- - DVI, Inc. 51,800 887
A.M. Castle & Co. 52,025 884
- - Zomax Inc. 20,100 884
Pultizer, Inc. 18,200 884
Simmons First National 27,500 883
- - Nichols Research Corp. 40,300 882
- - Columbia Banking System, Inc. 57,315 881
- - Volt Information Sciences Inc. 38,500 881
- - FSI International, Inc. 105,700 879
- - ACT Networks, Inc. 51,400 877
L. S. Starrett Co. Class A 32,600 876
Superior Telecom Inc. 35,043 876
- - Earthshell Corp. 124,900 874
- - Knight Transportation, Inc. 40,900 874
- - 3Dfx Interactive, Inc. 55,900 873
Dimon Inc. 168,300 873
- - Argosy Gaming Co. 99,000 872
- - Value City Department Stores, Inc. 71,200 872
- - Local Financial Corp. 87,200 872
- - StaffMark, Inc. 86,800 871
Schweitzer-Mauduit
International, Inc. 57,900 868
- - Mesaba Holdings, Inc. 68,050 868
Northwest Bancorp, Inc. 86,600 866
- - Friede Goldman International, Inc. 62,300 864
- - Documentum, Inc. 66,000 862
- - ARM Financial Group, Inc. 101,400 862
- - Interpool, Inc. 66,250 861
Lawson Products, Inc. 34,000 856
- - Lydall, Inc. 74,000 851
Student Loan Corp. 19,100 850
- - Boise Cascade Office
Products Corp. 71,500 840
- - BOK Financial Corp. 33,200 838
- - Paging Network, Inc. 174,000 837
- - Titan International, Inc. 70,300 835
- - Electro Rent Corp. 77,558 834
- - Adelphia Communications Corp.
Class A 13,100 833
Ball Corp. 19,700 832
- - Stericycle, Inc. 61,200 830
- - Globix Corp. 18,700 826
- - Gibraltar Steel 33,350 825
- - Staff Leasing,Inc. 64,100 825
FelCor Lodging Trust, Inc. REIT 39,722 824
- - Mapics Inc. 78,000 824
Cubic Corp. 33,500 821
RPC Inc. 93,600 819
- - QLogic Corp. 6,200 818
United National Bancorp 34,400 817
- - Cybex Computer Products Corp. 29,300 817
- - Egghead.com, Inc. 73,000 817
- - Robbins & Myers, Inc. 36,478 814
- - Acceptance Insurance Cos. Inc. 53,900 812
- - Thermo Cardiosystems Inc. 74,300 808
- - Glenayre Technologies, Inc. 224,825 808
- - Landry's Seafood
Restaurants, Inc. 100,800 806
United Community Financial Corp. 54,800 805
Mid-State Bancshares 23,800 803
- - JAKKS Pacific, Inc. 26,900 802
- - International Specialty
Products, Inc. 78,600 801
- - First Consulting Group, Inc. 75,300 800
- - Atlantic Coast Airlines Holdings 42,100 800
- - Stoneridge,Inc. 59,200 799
Valhi, Inc. 71,800 799
- - Cadiz Inc. 84,500 797
Grand Premier Financial, Inc. 64,405 797
- - Aerial Communications Inc. 58,900 795
- - Vical, Inc. 65,400 793
Columbus McKinnon Corp. 33,000 792
Guilford Mills, Inc. 76,300 792
National Steel Corp. Class B 94,200 789
Westcorp, Inc. 70,100 789
- - West TeleServices Corp. 84,100 788
City Holding Co. 27,110 786
IMCO Recycling, Inc. 45,800 784
- - TenFold Corp. 24,700 784
- - BEA Systems, Inc. 27,400 783
Innovex, Inc. 55,800 781
Republic Group Inc. 43,400 781
- - Unilab Corp. 130,000 780
Getty Realty Holding Corp. 54,100 778
- - Activision, Inc. 53,400 778
- - QuadraMed Corp. 95,600 777
- - Merisel, Inc. 339,500 774
- - Metricom 38,600 772
Commercial Federal Corp. 33,151 769
- - Excalibur Technologies Corp. 53,900 768
Avado Brands, Inc. 91,550 767
United Fire & Casualty Co. 29,425 765
- - Serologicals Corp. 94,150 765
- - Applied Micro Circuits Corp. 9,300 765
- - NEON Systems, Inc. 22,900 764
- - Regeneron Pharmaceuticals, Inc. 97,700 763
Coca-Cola Bottling Co. 13,622 763
F & M Bancorp 22,680 761
OEA, Inc. 85,300 757
- - MEMC Electronic Materials, Inc. 62,000 756
- - The Meridian Resource Corp. 194,844 755
- - Neurogen Corp. 51,600 755
- - Inet Technologies, Inc. 31,400 754
- - Premisys Communications, Inc. 102,800 752
</TABLE>
43
<PAGE> 80
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Franklin Covey Co. 101,700 $ 750
- - Laboratory Corp. of America 260,352 749
- - Superior Consultant
Holdings Corp. 30,300 748
- - General Semiconductor, Inc. 81,950 748
Harbor Florida Bancshares, Inc. 60,984 747
- - Apex PC Solutions, Inc. 36,400 746
- - New Century Financial Corp. 41,100 745
- - Swift Energy Co. 69,420 742
- - EarthWeb Inc. 19,900 741
- - Radiant Systems, Inc. 52,000 741
- - Carmike Cinemas, Inc. Class A 46,300 738
- - Tractor Supply Co. 26,900 735
- - Aaron Rents, Inc. Class B 32,900 732
- - Twinlab Corp. 85,000 730
- - Brookdale Living
Communites, Inc. 49,200 729
- - Risk Capital Holdings, Inc. 53,900 728
- - Cumulus Media Inc. 33,200 726
- - Columbia Sportswear Co. 47,000 723
- - Maxtor Corp. 143,600 722
- - Sunrise Medical, Inc. 101,200 721
- - Jabil Circuit, Inc. 15,900 717
- - iMALL, Inc. 37,500 717
- - Cornell Corrections, Inc. 43,600 717
Primex Technologies, Inc. 33,100 714
Fedders Corp. 106,700 714
- - Administaff, Inc. 44,300 709
Brookline Bancorp, Inc. 61,200 708
- - The Grand Union Co. 65,200 705
- - Gentex Corp. 25,000 700
- - Miller Industries, Inc. 177,650 699
Reinsurance Group of
America, Inc. 19,800 698
Houghton Mifflin Co. 14,800 697
Advest Group, Inc. 34,800 694
General Binding Corp. 29,500 693
- - Harken Energy Corp. 425,700 692
- - CyberCash, Inc. 53,900 691
- - Valassis Communications, Inc. 18,850 690
- - Hexcel Corp. 68,000 688
- - Halter Marine Group, Inc. 103,300 684
Mahoning National Bancorp. Inc. 15,600 682
Nature's Sunshine Inc. 64,982 682
- - Capital Senior Living Corp. 68,100 681
- - Komag, Inc. 205,100 679
- - Value America, Inc. 35,400 673
- - Source Media, Inc. 39,500 671
- - ThermoQuest Corp. 50,200 668
- - SFX Entertainment, Inc. 10,000 666
- - P. F. Chang's China Bistro, Inc. 30,700 664
- - CACI International, Inc. 29,400 661
- - Linens 'n Things, Inc. 15,100 661
- - EchoStar Communications Corp. 4,300 660
- - Theragenics Corp. 95,100 660
- - Centennial Bancorp 47,419 655
- - Just for Feet, Inc. 101,650 654
- - Medco Research, Inc. 24,900 654
- - Family Golf Centers, Inc. 84,400 649
- - Applied Graphics
Technologies, Inc. 51,200 646
- - theglobe.com, inc. 32,700 644
- - Devry, Inc. 28,600 640
- - Pharmaceutical Resources, Inc. 73,500 639
Baldwin & Lyons, Inc. Class B 26,900 637
- - Protection One, Inc. 118,500 637
- - The Topps Co., Inc. 87,000 633
- - The North Face, Inc. 64,100 633
- - autobytel.com inc. 30,300 633
Ameron International Corp. 14,300 631
Vital Signs, Inc. 31,600 630
- - Lithia Motors, Inc. 30,600 627
Chart Industries, Inc. 78,550 619
- - Speedway Motorsports, Inc. 15,700 617
- - INSpire Insurance Solutions, Inc. 42,400 615
- - Jo-Ann Stores, Inc. Class A 40,900 614
- - MarketWatch.com, Inc. 10,400 612
- - Aqua Alliance Inc. 606,100 606
- - Century Communications Corp.
Class A 13,016 599
- - Associated Group, Inc. 9,148 596
- - CareMatrix Corp. 47,900 596
- - AK Steel Corp. 26,300 592
Sterling Bancorp 31,000 589
- - Metro Information Services, Inc. 35,400 589
- - West Marine, Inc. 40,100 584
- - A.S.V., Inc. 25,800 584
- - SDL, Inc. 11,300 577
- - Wavo Corp. 90,400 576
- - About.Com, Inc. 11,000 571
- - Republic Bancshares, Inc. 27,800 570
Minnesota Power, Inc. 28,600 568
- - Miami Computer Supply Corp. 30,000 566
Prison Realty Trust, Inc. 57,524 564
- - Renaissance Worldwide, Inc. 70,600 563
- - SITEL Corp. 191,400 562
Actuate Software Corp. 21,200 562
- - Schein Pharmaceutical, Inc. 46,500 561
- - U S Liquids Inc. 26,600 555
- - Spyglass, Inc. 27,500 553
- - Spiegel, Inc. Class A 62,200 552
- - Value Line, Inc. 14,100 550
- - Coleman Inc. 58,600 549
- - MedImmune Inc. 8,100 549
Terra Industries, Inc. 137,000 548
- - Duramed Pharmaceuticals, Inc. 35,000 547
- - Brooks Automation, Inc. 20,200 547
Hilb, Rogal and Hamilton Co. 24,400 546
- - SCP Pool Corp. 20,900 541
- - ONSALE, Inc. 28,500 540
First Washington Bancorp, Inc. 26,900 540
First Indiana Corp. 25,120 537
- - Tarrant Apparel Group, Inc. 23,600 537
- - ABC-NACO, INC. 26,100 535
- - EMCOR Group, Inc. 21,200 534
Prime Group Realty Trust REIT 31,000 533
- - Celgene Corp. 30,300 532
Prime Bancshares, Inc. 29,700 531
- - Octel Corp. 42,275 528
First Commerce Bancshares Inc.
Class B 22,172 528
- - PubliCARD, Inc. 51,800 528
</TABLE>
44
<PAGE> 81
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Longs Drug Stores, Inc. 15,200 $ 525
- - e4L, Inc. 73,000 525
- - Xceed Inc. 23,800 521
- - Amtran, Inc. 21,100 520
- - Bombay Co. 67,500 519
International Speedway Corp. 10,900 518
- - Banyan Systems, Inc. 47,200 516
- - American Eagle Outfitters, Inc. 11,300 514
- - Syntel, Inc. 56,875 512
SEI Corp. 5,800 512
- - Marvel Enterprises Inc. 68,400 504
- - Franchise Mortgage
Acceptance Co. LLC 57,600 504
- - Zale Corp. 12,600 504
- - Cyberian Outpost, Inc. 50,700 504
- - The Ashton Technology
Group, Inc. 40,100 501
Semco Energy Inc. 31,585 488
- - Horizon Offshore, Inc. 62,900 487
- - Cotelligent, Inc. 62,100 485
- - Ampex Corp. Class A 95,400 483
Capital Transamerica Corp. 35,750 474
- - AEP Industries, Inc. 15,600 472
- - Learning Tree International, Inc. 43,100 471
- - TAVA Technologies, Inc. 61,300 471
- - Rambus Inc. 5,100 470
Thor Industries, Inc. 16,500 468
- - First Union Real Estate REIT 103,980 468
Borg-Warner Automotive, Inc. 8,431 464
- - dELiA*s Inc. 34,300 463
- - Friedman, Billings, Ramsey
Group, Inc. 38,700 460
- - Executone Information Systems 107,100 459
- - SVI Holdings, Inc. 38,100 457
Harnischfeger Industries Inc. 228,400 457
- - CompuCom Systems, Inc. 109,800 453
- - Select Comfort Corp. 50,500 451
Medallion Financial Corp. 23,600 450
- - ADAC Laboratories 61,533 446
- - Forrester Research, Inc. 17,800 445
- - Jo-Ann Stores, Inc. Class B 33,900 440
- - Brooktrout Technology, Inc. 27,300 439
Washington Trust Bancorp, Inc. 23,950 431
- - Invitrogen Corp. 17,300 427
- - Bacou USA Inc. 24,900 425
Claire's Stores, Inc. 16,250 416
- - Concurrent Computer Corp. 65,800 415
- - Launch Media, Inc. 23,200 415
Fedders Corp. Class A 67,612 414
North Pittsburgh Systems, Inc. 24,100 410
- - Diamond Multimedia
Systems, Inc. 98,100 405
- - Corinthian Colleges, Inc. 21,100 398
Prime Bancorp Inc. 14,400 398
BankAtlantic Bancorp, Inc.
Class B 48,500 394
- - National Equipment
Services, Inc. 32,800 394
- - Evans & Sutherland
Computer Corp. 30,100 393
- - SS&C Technologies, Inc. 51,200 390
Nationwide Financial
Services, Inc. 8,600 389
BancFirst Corp. 11,358 389
- - Advanced Communications
Group, Inc. 39,100 389
- - National City Bancorporation 18,600 388
- - Belco Oil & Gas Corp. 55,900 388
- - Syncor International Corp. 10,700 385
- - IRI International Corp. 83,000 384
Charter Municipal Mortgage
Acceptance Co. 29,900 383
- - Maverick Tube Corp. 27,300 380
- - Telescan, Inc. 15,400 374
- - United Natural Foods, Inc. 15,100 374
- - Prism Financial Corp. 18,200 372
- - Mannatech, Inc. 36,600 371
- - Frontier Financial Corp. 15,100 370
- - Donna Karan International Inc. 36,800 366
- - Credit Acceptance Corp. 60,400 362
- - Racing Champions Corp. 50,600 361
- - Corixa Corp. 20,100 358
- - Modem Media . Poppe Tyson, Inc. 15,600 357
- - NCS HealthCare, Inc. 64,821 352
- - JLK Direct Distribution Inc.
Class A 37,600 350
Sandy Spring Bancorp, Inc. 12,500 347
- - Bright Horizons Family
Solutions, Inc. 18,200 344
- - Autoweb.com, Inc. 22,900 342
- - PcOrder.com, Inc. 8,200 341
- - Premier Parks Inc. 9,200 338
- - Datastream Systems, Inc. 21,100 338
- - General Cigar Holdings, Inc. 43,100 337
- - Fidelity Holdings, Inc. 16,400 334
- - Valence Technology 44,900 331
- - AppliedTheory Corp. 25,900 330
Second Bancorp, Inc. 11,000 322
- - Berlitz International, Inc. 17,500 322
AREA Bancshares Corp. 11,800 320
- - The Source Information
Management Co. 23,700 320
- - Valley Media, Inc. 21,400 318
- - infoUSA, Inc. Class B 37,400 318
- - Creditrust Corp. 11,400 316
- - Seacoast Financial Services Corp. 27,800 316
- - Trex Medical Corp. 52,000 312
- - Capstar Broadcasting Corp. 11,300 309
- - RWD Technologies, Inc. 29,600 309
- - Whittman-Hart, Inc. 9,700 308
Lancaster Colony Corp. 8,900 307
- - U.S. Xpress Enterprises, Inc. 28,700 307
- - Creative Computers, Inc. 38,200 306
- - TMP Worldwide, Inc. 4,600 292
- - Stanford
Telecommunications, Inc. 9,700 287
- - Advanced Tissue Sciences Inc. 87,300 284
Churchill Downs, Inc. 8,100 279
- - iTurf Inc. 15,400 278
- - Tyler Technologies, Inc. 40,000 275
CFSB Bancorp, Inc. 11,160 275
- - LoJack Corp. 32,800 275
</TABLE>
45
<PAGE> 82
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Hudson River Bancorp, Inc. 24,600 $ 274
Devon Energy Corp. 7,600 272
- - Finet Holdings Corp. 48,400 269
- - Ingram Micro, Inc. 10,400 268
- - SalesLogix Corp. 17,700 263
The McClatchy Co. Class A 7,900 262
Roslyn Bancorp, Inc. 15,191 261
Harris Financial, Inc. 24,100 261
Cathay Bancorp, Inc. 6,000 255
Mid-America Bancorp 10,300 254
- - Federal Agricultural
Mortgage Corp. 3,550 244
- - Edify Corp. 18,200 243
Hollinger International, Inc. 20,400 242
- - Latitude Communications, Inc. 18,600 242
- - ContiFinancial Corp. 67,100 239
- - Westell Technologies, Inc. 33,700 235
- - Amresco, Inc. 36,100 232
XL Capital Ltd. Class A 4,100 232
- - Unigraphics Solutions Inc. 11,900 224
- - First Commerce Bancshares Inc.
Class A 8,900 220
- - MacroChem Corp. 36,900 219
- - ONYX Software Corp. 10,000 216
- - CDW Computer Centers, Inc. 4,900 216
Expeditors International of
Washington, Inc. 7,900 215
- - Presstek, Inc 29,800 215
Heller Financial, Inc. 7,700 214
- - Ocean Energy, Inc. 22,100 213
- - uBid, Inc. 6,600 211
Herbalife International Class A 19,300 211
- - New Era of Networks, Inc. 4,700 207
- - Hartmarx Corp. 48,900 205
Capital City Bank Group, Inc. 8,000 200
- - Sapient Corp. 3,500 198
- - Tech Data Corp. 5,100 195
Fatbrain.com Inc. 11,600 194
Herbalife International Class B 22,134 191
Telxon Corp. 22,400 178
- - Track Data Corp. 11,700 165
- - Alaris Medical, Inc. 48,900 165
- - Santa Cruz Operation, Inc. 25,200 165
- - Cox Radio, Inc. 3,000 163
- - Coldwater Creek Inc. 8,100 158
- - Cognizant Technology
Solutions Corp. 5,800 151
- - Foamex International, Inc. 26,000 145
- - Mechanical Technology Inc. 5,100 138
BankAtlantic Bancorp, Inc.
Class A 18,375 133
- - Advantica Restaurant Group, Inc. 38,100 131
- - J & J Snack Foods Corp. 5,400 130
- - Syntroleum Corp. 14,200 127
- - 7th Level, Inc. 27,400 125
Unisource Worldwide, Inc. 10,000 121
- - OnHealth Network Co. 11,300 120
- - Omega Research, Inc. 10,800 119
- - Manhattan Associates, Inc. 14,000 115
Century South Banks, Inc. 5,100 115
Sterling Financial Corp. 3,300 113
- - PanAmSat Corp. 2,900 113
- - L-3 Communications
Holdings, Inc. 2,300 111
- - Pegasystems Inc. 10,500 108
Ingles Markets, Inc. 7,000 107
- - Electric Lightwave, Inc. Class A 7,500 98
- - Cone Mills Corp. 16,100 97
- - Teligent, Inc. 1,600 96
- - NovaCare Employee
Services, Inc. 32,200 89
Gold Banc Corp., Inc. 6,700 88
Wackenhut Corp. Class B 3,656 88
Steelcase Inc. 4,300 86
Superior Telecom 8.50% Cvt. Pfd. 2,000 86
- - Exchange Applications, Inc. 2,100 86
First Merchants Corp. 3,300 78
Seaboard Corp. 230 78
- - K-V Pharmaceutical Co. Class A 5,000 78
- - U.S. Office Products Co. 13,600 73
- - Thermo Optek Corp. 6,700 70
- - Nu Skin Enterprises, Inc. 3,400 68
Michigan Financial Corp. 2,074 67
- - Winstar Communications, Inc. 1,200 59
BancFirst Ohio Corp. 2,300 57
Alabama National BanCorporation 2,200 55
Rouge Industries Inc. 5,300 51
- - Associated Group, Inc. Class B 750 49
- - Players International, Inc. 6,600 47
- - APAC Teleservices, Inc. 14,100 46
- - Fuisz Technologies Ltd. 11,300 37
- - Interstate Hotels Corp. 7,846 32
- - Mariner Post-Acute Network, Inc. 50,849 29
- - PageMart Wireless, Inc. 3,700 28
Century Aluminum Co. 4,000 25
- - Vivus, Inc. 8,600 23
- - ProcureNet, Inc. 136,100 20
J.M. Smucker Co. Class B 1,000 19
- - Modis Professional Services Inc. 1,300 18
- - CSF Holdings Inc. 29,125 15
- - Wilshire Financial Services
Group Inc. 52,700 13
United Cos. Finance Corp. 84,602 10
Investment Technology Group, Inc. 282 9
- - Coinmach Laundry Corp. 400 5
- - Metromedia Fiber Network, Inc. 56 2
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $3,002,099) 3,322,945
- ---------------------------------------------------------------------------------------
</TABLE>
46
<PAGE> 83
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (3.6%)(1)
- ---------------------------------------------------------------------------------------
U.S. Treasury Bill
(2) 4.35%, 7/1/1999 $ 4,000 $ 4,000
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 13,662 13,662
4.96%, 7/1/1999--Note G 101,074 101,074
- ---------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $118,736) 118,736
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS (102.9%)
(COST $3,120,835) 3,441,681
- ---------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-2.9%) (96,472)
- ---------------------------------------------------------------------------------------
NET ASSETS (100%) $3,345,209
- ---------------------------------------------------------------------------------------
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment
positions represent 99.8% and 3.1%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2)Security segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- ---------------------------------------------------------------------------------------
<S> <C>
- ---------------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- ---------------------------------------------------------------------------------------
ASSETS
Investments in Securities, at Value $3,441,681
Receivables for Investment Securities Sold 225,697
Other Assets--Note B 10,724
-----------
Total Assets 3,678,102
-----------
LIABILITIES
Payables for Investment Securities Purchased 222,482
Security Lending Collateral
Payable to Brokers--Note G 101,074
Other Liabilities 9,337
-----------
Total Liabilities 332,893
- ---------------------------------------------------------------------------------------
NET ASSETS (100%) $3,345,209
=======================================================================================
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $2,794,716
Undistributed Net Investment Income 17,685
Accumulated Net Realized Gains 211,477
Unrealized Appreciation--Note F
Investment Securities 320,846
Futures Contracts 485
- ---------------------------------------------------------------------------------------
NET ASSETS $3,345,209
=======================================================================================
Investor Shares--Net Assets
Applicable to 132,301,429 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,074,153
- ---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $23.24
=======================================================================================
Institutional Shares--Net Assets
Applicable to 11,658,143 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $271,056
- ---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $23.25
=======================================================================================
</TABLE>
47
<PAGE> 84
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
COMMON STOCKS (100.4%)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Novellus Systems, Inc. 24,900 $ 1,699
FirstMerit Corp. 58,400 1,639
- - Express Scripts 24,200 1,457
Legg Mason Inc. 36,000 1,386
- - Valassis Communications, Inc. 36,600 1,340
- - Gentex Corp. 46,600 1,305
- - Acxiom Corp. 50,100 1,249
- - Williams Sonoma, Inc. 35,700 1,243
- - Linens 'n Things, Inc. 25,200 1,103
U.S. Trust Corp. 11,900 1,101
- - Catalina Marketing Corp. 11,800 1,086
- - Whittman-Hart, Inc. 34,000 1,079
Centura Banks, Inc. 18,200 1,026
- - BISYS Group, Inc. 17,300 1,012
- - IDEC Pharmaceuticals Corp. 13,100 1,010
- - Devry, Inc. 45,000 1,007
- - MedQuist, Inc. 22,800 998
SEI Corp. 11,300 997
- - CommScope, Inc. 32,400 996
Ethan Allen Interiors, Inc. 26,150 987
- - Universal Health Services
Class B 20,300 969
- - Micrel, Inc. 12,900 955
Cullen/Frost Bankers, Inc. 34,300 945
- - Macromedia 26,600 938
- - Dycom Industries, Inc. 16,600 930
Dallas Semiconductor Corp. 18,400 929
National Data Corp. 21,700 928
Mutual Risk Management Ltd. 27,700 924
True North Communications 30,300 909
- - American Management
Systems, Inc. 27,200 872
Expeditors International of
Washington, Inc. 32,000 872
- - Burr-Brown Corp. 23,400 857
- - National Instruments Corp. 21,200 856
- - Mercury Interactive Corp. 24,100 853
- - Ames Department Stores, Inc. 18,300 835
- - The Profit Recovery Group
International, Inc. 17,500 828
- - Cognex Corp. 26,100 824
Central Parking Corp. 23,500 805
- - Whole Foods Market, Inc. 16,700 803
Eaton Vance Corp. 23,200 799
Hudson United Bancorp 26,021 797
- - O'Reilly Automotive, Inc. 15,800 796
- - C-Cube Microsystems, Inc. 25,100 795
- - Barrett Resources Corp. 20,600 791
Delta & Pine Land Co. 24,800 781
- - Zebra Technologies Class A 20,200 776
La-Z-Boy Inc. 33,500 771
- - Newfield Exploration Co. 26,700 759
Commerce Bancorp, Inc. 17,658 755
- - AnnTaylor Stores Corp. 16,700 752
- - Patterson Dental Co. 21,600 751
- - Foodmaker, Inc. 26,400 749
MacDermid, Inc. 16,100 749
- - Renal Care Group, Inc. 28,900 748
- - DSP Communications, Inc. 25,800 745
- - Stillwater Mining Co. 22,200 726
Jones Pharma, Inc. 18,400 724
- - Ciber, Inc. 37,800 723
- - Plantronics, Inc. 11,100 723
First Midwest Bancorp 18,000 716
Polaris Industries, Inc. 16,100 700
Manitowac Co., Inc. 16,750 697
Pier 1 Imports Inc. 61,900 696
National Computer Systems, Inc. 20,400 688
G & K Services, Inc. 13,100 686
- - AmeriCredit Corp. 41,000 656
- - Men's Wearhouse, Inc. 25,400 648
- - Westwood One, Inc. 18,100 646
Blount International, Inc. 23,700 644
Roper Industries Inc. 19,700 630
Alpharma, Inc. Class A 17,700 629
Executive Risk, Inc. 7,400 629
CTS Corp. 8,800 616
- - SLI, Inc. 22,800 616
Philadelphia Suburban Corp. 26,490 611
- - Summit Technology, Inc. 27,200 598
- - IDEXX Laboratories Corp. 25,500 594
- - Unitrode Corp. 20,700 594
- - Dendrite International, Inc. 16,300 589
- - Alliant Techsystems, Inc. 6,800 588
- - Labor Ready, Inc. 18,100 588
- - Barr Labs Inc. 14,600 582
- - Metro Networks, Inc. 10,900 582
- - Alpha Industries, Inc. 12,200 581
JLG Industries, Inc. 28,500 581
- - Dionex Corp. 14,300 579
Arthur J. Gallagher & Co. 11,700 579
Applebee's International, Inc. 18,900 569
FactSet Research Systems Inc. 10,050 569
E.W. Blanch Holdings, Inc. 8,300 566
- - Vicor Corp. 26,500 561
- - Scotts Co. 11,700 557
- - CustomTracks Corp. 9,800 548
Air Express International Corp. 21,400 543
- - Fossil, Inc. 11,000 532
- - Security Dynamics
Technologies, Inc. 24,900 529
- - Footstar Inc. 14,200 528
Methode Electronics, Inc. Class A 22,800 522
- - Visio Corp. 13,700 521
Jack Henry & Associates 13,100 514
Tredegar Corp. 23,600 513
- - Oak Industries, Inc. 11,700 511
- - Digital Microwave Corp. 39,700 506
- - Astec Industries, Inc. 12,200 497
- - CEC Entertainment Inc. 11,600 490
Geon Co. 15,100 487
- - Pacific Sunwear of California 19,950 486
Pogo Producing Co. 26,100 486
- - HNC Software, Inc. 15,700 484
Regis Corp. 25,250 484
- - Timberland Co. 7,100 483
- - INCYTE Pharmaceuticals, Inc. 18,200 481
MascoTech Inc. 28,300 479
- - Xircom, Inc. 15,700 472
</TABLE>
48
<PAGE> 85
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - The Liposome Co., Inc. 24,600 $ 470
Trustco Bank 17,270 464
Ballard Medical Products 19,800 462
- - Consolidated Graphics, Inc. 9,200 460
Baldor Electric Co. 23,100 459
- - ETEC Systems, Inc. 13,700 456
Queens County Bancorp, Inc. 13,750 445
- - TALK.com, Inc. 39,200 441
- - Pharmaceutical Product
Development, Inc. 16,000 438
- - Safeskin Corp. 35,700 428
Cross Timbers Oil Co. 28,600 425
First Bancorp/Puerto Rico 18,600 420
- - Powerwave Technologies, Inc. 13,000 419
- - Pre-Paid Legal Services, Inc. 15,400 419
- - Insight Enterprises, Inc. 16,700 413
- - Stone Energy Corp. 9,700 411
Caraustar Industries, Inc. 16,400 405
- - Sonic Corp. 12,400 405
- - The Cheesecake Factory 13,200 403
- - Tetra Tech, Inc. 24,375 402
- - DBT Online Inc. 12,200 400
John H. Harland Co. 20,000 399
Ruby Tuesday, Inc. 20,500 390
Public Service Co. of
North Carolina, Inc. 13,200 386
Graco, Inc. 13,100 385
- - Photronics Labs Inc. 15,400 377
- - Quiksilver, Inc. 14,400 375
- - Kronos, Inc. 8,200 373
- - Aviation Sales Co. 9,400 371
- - Action Performance Cos., Inc. 11,000 363
Elcor Corp. 8,300 363
- - Triarc Cos., Inc. Class A 16,900 359
- - Wesley Jessen Vision Care, Inc. 11,100 359
- - Simpson Manufacturing Co. 7,500 356
- - Insituform Technologies Class A 16,400 355
- - MICROS Systems, Inc. 10,400 354
Helix Technology Corp. 14,500 347
- - Buckeye Technology, Inc. 22,600 343
Fair Issac & Co. 9,300 326
K-Swiss, Inc. 7,000 326
- - Cephalon, Inc. 18,700 325
- - Shorewood Packaging Corp. 17,600 325
- - Biomatrix, Inc. 14,900 322
Winnebago Industries, Inc. 14,200 320
- - Progress Software Corp. 11,250 318
Premier Bancshares, Inc. 17,100 313
Inter-Tel, Inc. 17,000 310
St. John Knits, Inc. 10,600 310
- - Department 56 Inc. 11,500 309
Coca-Cola Bottling Co. 5,500 308
- - Harbinger Corp. 24,600 307
- - Consolidated Products Inc. 17,075 307
Libbey, Inc. 10,400 302
- - The Kroll-O'Gara Co. 13,500 298
- - Plexus Corp. 9,900 298
Pioneer Group, Inc. 16,900 292
Mentor Corp. 15,600 291
- - ADVO, Inc. 13,700 284
New England Business
Service, Inc. 9,100 281
- - InterVoice, Inc. 18,900 273
- - Kirby Corp. 12,900 273
- - Syncor International Corp. 7,500 270
- - Billing Concepts Corp. 23,700 265
WD-40 Co. 10,400 260
C & D Technology Inc. 8,200 251
Apogee Enterprises, Inc. 18,200 245
- - Cor Therapeutics, Inc. 16,100 237
Computer Task Group, Inc. 13,900 236
- - Landstar System 6,500 235
- - United Natural Foods, Inc. 9,200 228
- - Scott Technologies, Inc. 11,800 227
Oshkosh B Gosh, Inc. Class A 10,600 224
- - General Semiconductor, Inc. 24,400 223
- - Biotechnology General 34,100 222
- - PAREXEL International Corp. 16,200 216
- - Plains Resources 11,000 209
- - Adaptive Broadband Corp. 9,500 208
Analysts International Corp. 14,500 208
CPI Corp. 6,300 208
- - Whittaker Corp. 7,200 202
Hilb, Rogal and Hamilton Co. 8,700 195
- - Vantive Corp. 16,900 193
- - Organogenesis, Inc. 19,700 185
- - Auspex Systems, Inc. 16,900 184
- - Trimble Navigation Ltd. 14,300 184
- - Cygnus Inc. 14,000 182
- - U.S. Bioscience 17,600 172
- - Enzo Biochem, Inc. 16,800 166
- - Priority Healthcare Corp. Class B 4,800 166
- - C-COR Electronics, Inc. 5,900 164
Lindsay Manufacturing Co. 8,200 144
- - Valence Technology 17,400 128
Nature's Sunshine Inc. 11,800 124
- - North American Vaccine, Inc. 21,300 104
- - Immune Response 19,200 103
- - Advanced Tissue Sciences Inc. 27,100 88
- - Noven Pharmaceuticals, Inc. 14,600 88
- - Taco Cabana 8,600 88
X-Rite Inc. 13,600 88
- - Breed Technological Inc. 25,000 56
- - USA Detergents, Inc. 8,400 51
- - System Software Associates, Inc. 29,800 49
- - Benton Oil & Gas Co. 19,000 38
- - Atlantic Coast Airlines Holdings 1,100 21
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $108,437) 116,876
- ---------------------------------------------------------------------------------------
</TABLE>
49
<PAGE> 86
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
FACE MARKET
SMALL-CAP GROWTH AMOUNT VALUE*
INDEX FUND (000) (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (2.9%)
- ---------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 $ 390 $ 390
4.96%, 7/1/1999--Note G 2,905 2,905
- ---------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $3,295) 3,295
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS (103.3%)
(COST $111,732) 120,171
- ---------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-3.3%) (3,784)
- ---------------------------------------------------------------------------------------
NET ASSETS (100%) $116,387
- ---------------------------------------------------------------------------------------
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
<TABLE>
<S> <C>
- ---------------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- ---------------------------------------------------------------------------------------
ASSETS
Investments in Securities, at Value $120,171
Receivables for Investment Securities Sold 19,424
Other Assets--Note B 397
------------
Total Assets 139,992
------------
- ---------------------------------------------------------------------------------------
LIABILITIES
Payables for Investment Securities Purchased 20,531
Other Liabilities--Note G 3,074
------------
Total Liabilities 23,605
- ---------------------------------------------------------------------------------------
NET ASSETS (100%) $116,387
=======================================================================================
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------------------------------
<S> <C>
- ---------------------------------------------------------------------------------------
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------------------------------
Paid in Capital $113,917
Undistributed Net Investment Income 166
Accumulated Net Realized Losses (6,135)
Unrealized Appreciation--Note F 8,439
- ---------------------------------------------------------------------------------------
NET ASSETS $116,387
=======================================================================================
Investor Shares--Net Assets
Applicable to 12,006,852 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $116,387
- ---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $9.69
=======================================================================================
</TABLE>
50
<PAGE> 87
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
COMMON STOCKS (100.5%)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
American Bankers
Insurance Group 44,300 $ 2,412
Radian Group, Inc. 37,800 1,845
Devon Energy Corp. 49,600 1,773
- - Lattice Semiconductor Corp. 24,000 1,494
- - Zale Corp. 37,300 1,492
Commercial Federal Corp. 62,100 1,440
- - Smithfield Foods, Inc. 42,900 1,434
Fremont General Corp. 71,800 1,355
UST Corp. 43,700 1,322
USFreightways Corp. 27,000 1,250
- - Mueller Industries Inc. 36,800 1,249
- - Tower Automotive, Inc. 48,000 1,221
First American Financial Corp. 66,300 1,185
United Bankshares, Inc. 44,500 1,179
Raymond James Financial, Inc. 48,800 1,168
Corn Products International, Inc. 38,200 1,163
Sierra Pacific Resources 31,800 1,157
Community First Bankshares 48,300 1,153
Earthgrains Co. 43,900 1,133
Aptargroup Inc. 37,200 1,116
D. R. Horton, Inc. 65,800 1,094
Applied Power, Inc. 40,000 1,093
Wicor, Inc. 38,400 1,073
- - World Color Press, Inc. 39,000 1,072
St. Paul Bancorp, Inc. 40,912 1,043
- - US Oncology, Inc. 86,500 1,038
Werner Enterprises, Inc. 48,500 1,006
Orion Capital Corp. 27,900 1,001
Piedmont Natural Gas, Inc. 31,700 987
- - Shopko Stores, Inc. 26,800 972
- - Canandaigua Brands, Inc. Class A 18,400 965
- - Lason Holdings, Inc. 19,100 948
Whitney Holdings 23,800 946
- - Hambrecht & Quist Group 25,300 939
- - Interim Services, Inc. 45,200 932
Commonwealth Energy Systems 22,100 928
- - Champion Enterprises, Inc. 49,800 928
- - KEMET Corp. 40,200 922
- - Orbital Sciences Corp. 38,200 902
- - Michaels Stores, Inc. 29,300 897
Southwest Gas Corp. 31,300 896
United Water Resources, Inc. 39,400 894
- - Superior Services Inc. 33,100 883
Florida Rock Industries, Inc. 19,300 878
Cilcorp, Inc. 13,900 869
CKE Restaurants Inc. 53,100 863
Richfood Holdings, Inc. 48,900 862
OM Group, Inc. 24,300 838
Texas Industries, Inc. 21,500 833
Invacare Corp. 30,900 827
Casey's General Stores 54,300 814
Orange & Rockland Utilities, Inc. 13,900 812
- - Toll Brothers, Inc. 37,800 810
Harman International
Industries, Inc. 18,100 796
Atmos Energy Corp. 31,600 790
Varian Medical Systems, Inc. 31,200 788
- - Roberts Pharmaceuticals 32,400 786
Bank North Group 23,800 785
Kellwood Co. 28,400 770
Enhance Financial Services
Group, Inc. 38,900 768
Lone Star Industries, Inc. 20,000 751
Brady Corp. Class A 23,100 751
- - Delphi Financial Group, Inc. 20,821 747
- - Dialogic Corp. 16,900 741
Reliance Steel & Aluminum Co. 18,900 737
Hughes Supply, Inc. 24,800 736
Jefferies Group, Inc. 24,400 732
Central Hudson Gas &
Electric Corp. 17,300 727
- - Cerner Corp. 34,200 717
Bindly Western Industries, Inc. 31,100 717
- - International Rectifier Corp. 53,000 706
- - Hutchinson Technology, Inc. 25,300 702
- - Orthodontic Centers of
America, Inc. 48,800 689
New Jersey Resources Corp. 18,400 689
Dain Rauscher Corp. 12,700 687
Vintage Petroleum, Inc. 63,600 684
ABM Industries 22,300 684
Susquehanna Bancshares, Inc. 37,800 669
- - Anixter International Inc. 36,600 668
A.O. Smith Corp. 23,800 666
- - CDI Corp. 19,500 664
- - SEACOR SMIT Inc. 12,400 663
Cambrex Corp. 25,200 661
- - Coventry Health Care Inc. 60,300 660
Rollins Truck Leasing 59,000 656
Fidelity National Financial, Inc. 30,900 649
- - Kulicke & Soffa Industries, Inc. 24,000 643
- - American Freightways 32,600 638
Oakwood Homes Corp. 48,200 633
AAR Corp. 27,900 633
Downey Financial Corp. 28,800 632
- - Prime Hospitality Corp. 52,600 631
- - Vertex Pharmaceuticals, Inc. 26,100 630
United Illuminating Co. 14,700 624
- - Tuboscope Inc. 45,300 620
Skywest, Inc. 24,700 616
Northwest Natural Gas Co. 25,500 615
- - Marshall Industries 17,100 615
Eastern Utilities Associates 20,900 609
Chiquita Brands
International, Inc. 67,400 607
- - Ionics, Inc. 16,500 602
MAF Bancorp, Inc. 24,700 599
Belden, Inc. 25,000 598
- - Primark Corp. 21,200 595
Riggs National Corp. 28,900 594
- - Nautica Enterprises, Inc. 35,200 594
Wolverine World Wide, Inc. 42,200 591
- - Inacom Corp. 46,380 586
- - Anchor Gaming 12,100 582
Provident Bankshares Corp. 24,895 579
- - PhyCor, Inc. 78,100 578
- - Silicon Valley Group, Inc. 33,800 568
- - Kent Electronics Corp. 28,600 567
Energen Corp. 30,400 566
</TABLE>
51
<PAGE> 88
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - Morrison Knudsen Corp. 54,400 $ 561
Carolina First Corp. 23,000 561
- - Benchmark Electronics, Inc. 15,600 561
- - Hyperion Solutions Corp. 31,200 556
- - Electro Scientific Industries, Inc. 13,300 556
- - Hadco Corp. 13,900 553
Selective Insurance Group 28,700 547
Frontier Insurance Group, Inc. 35,590 547
- - Pride International Inc. 51,690 546
- - Dura Pharmaceuticals, Inc. 45,300 541
Russ Berrie and Co., Inc. 21,800 540
Technitrol, Inc. 16,500 532
- - Silicon Valley Bancshares 21,300 527
Capital Re Corp. 32,800 527
The Toro Co. 13,300 524
- - Ralcorp Holdings, Inc. 31,900 512
Gerber Scientific, Inc. 23,200 512
Regal-Beloit Corp. 21,500 508
- - Midway Games Inc. 39,000 505
Norrell Corp. 26,700 502
- - Datascope Corp. 15,600 501
- - Heartland Express, Inc. 30,500 499
TNP Enterprises, Inc. 13,700 497
- - Sola International Inc. 25,500 496
Michael Foods Group, Inc. 21,100 496
MDC Holdings, Inc. 23,000 495
TJ International, Inc. 15,900 493
The Stride Rite Corp. 47,500 490
- - S3, Inc. 53,900 490
Bowne & Co., Inc. 37,700 490
- - IHOP Corp. 20,300 488
- - HA-LO Industries, Inc. 49,300 487
- - SPS Technologies, Inc. 12,900 484
- - U.S. Home Corp. 13,600 483
JSB Financial 9,500 483
- - SpeedFam-IPEC, Inc. 30,000 482
Watsco, Inc. 29,350 481
- - NBTY, Inc. 72,900 474
- - Aspect Telecommunications Corp. 48,600 474
Cabot Oil & Gas Corp. Class A 25,300 471
- - Respironics, Inc. 31,100 470
Interface, Inc. 54,500 470
Clarcor Inc. 24,500 470
- - BE Avionics Inc. 25,100 469
- - URS Corp. 15,700 460
- - Ryan's Family Steak Houses, Inc. 39,600 460
Universal Forest Products, Inc. 21,300 458
- - Technology Solutions Co. 42,350 458
Anchor Bancorp Wisconsin Inc. 25,700 458
Fleming Cos., Inc. 39,300 457
ChemFirst Inc. 18,800 457
- - Coherent, Inc. 24,500 456
Wabash National Corp. 23,500 455
- - Yellow Corp. 25,500 453
Ryland Group, Inc. 15,200 451
- - Hollywood Park, Inc. 26,500 450
- - Cable Design Technologies 28,900 446
Lilly Industries Inc. Class A 23,800 442
- - Pool Energy Service Co. 21,700 441
- - Paxar Corp. 48,800 439
- - Stein Mart, Inc. 46,500 436
Barnes Group, Inc. 20,000 435
Integrated Health Services, Inc. 54,100 433
Zenith National Insurance Corp. 17,500 431
Commercial Metals Co. 15,000 427
- - Aztar Corp. 46,500 427
- - Protein Design Labs 19,100 424
Standard Products Co. 16,500 423
Valmont Industries, Inc. 24,800 422
Quanex Corp. 14,700 419
Authentic Fitness Corp. 23,800 417
- - Discount Auto Parts Inc. 17,100 413
Applied Industrial
Technology, Inc. 21,700 412
- - Electroglas, Inc. 20,300 406
Connecticut Energy Corp. 10,500 405
Aquarion Co. 11,650 405
- - Fritz Cos., Inc. 37,600 404
Analogic Corp. 13,000 404
Brown Shoe Company, Inc. 18,400 400
Coachmen Industries, Inc. 17,100 398
- - Sierra Health Services 27,500 397
- - Seitel, Inc. 24,400 395
- - Input/Output, Inc. 52,100 394
Standard Pacific Corp. 30,400 393
- - Goody's Family Clothing 34,400 393
- - Avid Technology, Inc. 24,400 393
- - Service Experts, Inc. 17,800 390
AMCOL International Corp. 27,100 390
Intermet Corp. 25,700 389
Diagnostic Products Corp. 14,000 387
The Marcus Corp. 30,800 379
Myers Industries, Inc. 18,800 376
- - FileNet Corp. 32,900 376
Kaman Corp. Class A 23,900 375
- - Oceaneering International, Inc. 23,200 374
- - M.S. Carriers, Inc. 12,600 374
Owens & Minor, Inc. Holding Co. 33,200 365
Justin Industries, Inc. 26,100 364
- - Banctec, Inc. 20,200 362
Standex International Corp. 13,200 361
Thor Industries, Inc. 12,700 360
Stone & Webster, Inc. 13,400 357
Cooper Cos., Inc. 14,300 357
Chemed Corp. 10,700 356
Wynn's International Inc. 19,200 354
- - Volt Information Sciences Inc. 15,400 352
- - General Communication, Inc. 51,500 350
- - Maxxim Medical, Inc. 14,800 345
Luby's, Inc. 23,000 345
- - Wolverine Tube, Inc. 13,700 344
Pennsylvania Enterprises Inc. 11,100 341
Cash America International Inc. 26,200 337
- - Pediatrix Medical Group, Inc. 15,800 336
Thomas Industries, Inc. 16,200 332
- - Ultratech Stepper, Inc. 22,000 331
- - PictureTel Corp. 41,300 330
- - Brightpoint, Inc. 54,200 329
Standard Motor Products, Inc. 13,300 326
- - Amresco, Inc. 50,600 326
Pioneer Standard Electronics Inc. 27,000 324
- - Magellan Health Services, Inc. 32,300 323
</TABLE>
52
<PAGE> 89
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - The Dress Barn, Inc. 20,200 $ 323
- - NFO Worldwide, Inc. 22,700 318
Cato Corp. Class A 27,100 315
- - Read Rite Corp. 50,500 313
RTI International Metals 21,000 308
- - Epicor Software Corp. 41,100 306
- - Allen Telecom Inc. 28,500 306
Park Electrochemical Corp. 10,600 305
Brush Wellman, Inc. 16,800 304
- - Aspen Technologies, Inc. 25,300 297
National Presto Industries, Inc. 7,700 295
Bassett Furniture Industries, Inc. 12,900 295
Sturm, Ruger & Co., Inc. 27,200 291
- - Bombay Co. 37,800 291
- - GC Cos. 8,100 290
- - Jo-Ann Stores, Inc. Class A 19,200 288
IMCO Recycling, Inc. 16,800 288
BMC Industries, Inc. 27,500 284
- - HS Resources Inc. 19,000 280
- - Checkpoint Systems, Inc. 31,100 278
Lawson Products, Inc. 11,000 277
Phillips-Van Heusen Corp. 27,600 273
- - Global Industrial
Technologies, Inc. 22,600 273
- - Hanger Orthopedic Group, Inc. 19,200 272
Skyline Corp. 9,200 270
Southwestern Energy Co. 25,300 267
- - The Gymboree Corp. 25,300 266
Trenwick Group Inc. 10,700 264
- - P-Com, Inc. 50,200 263
- - Mesa Air Group Inc. 34,800 262
Mississippi Chemical Corp. 26,600 261
American States Water Co. 9,100 258
Vital Signs, Inc. 12,800 255
- - Esterline Technologies Corp. 17,600 253
Fedders Corp. 37,500 251
- - Regeneron Pharmaceuticals, Inc. 32,000 250
Titan International, Inc. 21,000 249
Schweitzer-Mauduit
International, Inc. 16,600 249
- - Offshore Logistics, Inc. 22,400 249
Robbins & Myers, Inc. 11,100 248
Arctic Cat, Inc. 27,800 248
- - Gardner Denver Inc. 15,300 247
- - Griffon Corp. 31,100 243
A.M. Castle & Co. 14,300 243
Guilford Mills, Inc. 23,300 242
- - Material Sciences Corp. 15,900 238
Pillowtex Designs 14,500 237
- - Players International, Inc. 32,800 236
Merrill Corp. 16,300 236
Dimon Inc. 45,500 236
Oxford Industries, Inc. 8,300 235
St. Mary Land & Exploration Co. 11,100 228
- - Landry's Seafood
Restaurants, Inc. 28,500 228
Republic Group Inc. 12,300 221
Harmon Industries, Inc. 11,100 220
- - Network Equipment
Technologies, Inc. 22,000 217
Cascade Natural Gas Corp. 11,400 217
- - J & J Snack Foods Corp. 8,900 214
Butler Manufacturing Co. 7,500 210
Innovex, Inc. 14,800 207
Commonwealth Industries Inc. 16,400 205
- - Just for Feet, Inc. 31,500 203
- - Family Golf Centers, Inc. 26,400 203
- - Halter Marine Group, Inc. 30,300 201
- - Arkansas Best Corp. 20,100 200
Watkins-Johnson Co. 6,700 198
Pittston BAX Group 20,800 198
O'Sullivan Corp. 16,010 195
Simpson Industries, Inc. 18,500 190
- - Carmike Cinemas, Inc. Class A 11,700 186
- - SpaceLabs Medical, Inc. 9,800 185
- - Lydall, Inc. 16,100 185
- - Insurance Auto Auctions, Inc. 11,400 184
- - Komag, Inc. 55,200 183
Thomas Nelson, Inc. 15,200 169
Pope & Talbot, Inc. 13,900 168
- - Sunrise Medical, Inc. 22,800 162
- - Flow International Corp. 15,000 162
Angelica Corp. 9,000 159
- - Digi International, Inc. 15,100 158
- - Cone Mills Corp. 26,300 158
Huffy Corp. 11,200 157
- - TBC Corp. 22,100 156
- - McWorter Technologies Inc. 10,600 153
- - Franklin Covey Co. 20,700 153
Amcast Industrial Corp. 9,400 153
- - ADAC Laboratories 20,800 151
- - Hartmarx Corp. 35,800 150
Central Vermont Public
Service Corp. 11,800 150
K2 Inc. 16,700 149
Delta Woodside 24,900 149
- - Building Materials Holding Corp. 13,000 149
Quaker Chemical Corp. 9,100 148
- - The Sports Authority, Inc. 32,710 145
TCBY Enterprises, Inc. 23,530 143
- - Rural/Metro Corp. 14,900 143
- - Books-a-Million Inc. 18,500 139
- - Royal Appliance
Manufacturing Co. 19,600 136
- - Applied Magnetics Corp. 44,170 135
- - RailTex, Inc. 9,600 133
Telxon Corp. 16,600 132
- - TETRA Technologies, Inc. 14,300 131
J. Baker, Inc. 14,700 127
Lillian Vernon Corp. 9,700 126
Birmingham Steel Corp. 30,600 126
- - Itron, Inc. 14,600 125
Frozen Food Express
Industries, Inc. 16,400 125
- - Symmetricom Inc. 15,200 124
- - Standard Microsystem 16,400 124
Penford Corp. 7,600 124
Nash-Finch Co. 12,000 121
- - Hecla Mining Co. 57,800 119
Bangor Hydro-Electric Co. 7,300 118
- - Alliance Pharmaceutical Corp. 44,400 117
- - WHX Corp. 17,600 116
</TABLE>
53
<PAGE> 90
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
- - E. Gottschalk & Co., Inc. 12,400 $ 113
- - NCS HealthCare, Inc. 19,900 108
- - Genesis Health Ventures Inc. 36,100 108
Steel Technologies, Inc. 11,300 107
- - Remington Oil & Gas Corp. 22,000 107
Haggar Corp. 7,700 101
- - Wall Data Inc. 10,500 100
- - Three-Five Systems, Inc. 7,200 99
- - Jan Bell Marketing Inc. 28,200 99
- - Gibson Greetings, Inc. 15,600 99
The Dixie Group, Inc. 11,700 99
- - Coeur D'Alene Mines Corp. 21,360 99
A.T. Cross Co. Class A 17,610 98
- - Intermagnetics General Corp. 12,324 96
- - Exabyte Corp. 24,100 93
- - Cyrk International, Inc. 15,200 92
- - Hologic, Inc. 15,500 87
Hancock Fabrics, Inc. 19,500 85
- - Panera Bread 13,100 84
Insteel Industries, Inc. 8,600 77
- - Microage, Inc. 20,000 76
Spartan Motors, Inc. 12,500 72
- - Swiss Army Brands, Inc. 7,700 68
- - Southern Energy Homes, Inc. 12,500 66
- - Ashworth, Inc. 13,800 64
- - Nashua Corp. 6,300 62
- - Centigram Communications 6,500 61
- - TCSI Corp. 23,300 60
Green Mountain Power Corp. 5,300 60
- - Curative Health Services Inc. 10,300 57
- - Galey & Lord 12,700 56
- - DAMARK International, Inc. 6,700 56
- - Molecular Biosystems, Inc. 20,000 49
- - Eagle Geophysical, Inc. 1,280 1
- ---------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $186,600) 178,648
- ---------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (0.9 %)
- ---------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 $823 823
4.96%, 7/1/1999--Note G 822 822
- ---------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $1,645) 1,645
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.4%)
(COST $188,245) 180,293
- ---------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-1.4%) (2,464)
- ---------------------------------------------------------------------------------------
NET ASSETS (100%) $177,829
=======================================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- ---------------------------------------------------------------------------------------
<S> <C>
- ---------------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- ---------------------------------------------------------------------------------------
ASSETS
Investments in Securities, at Value $180,293
Receivables for Investment Securities Sold 31,330
Other Assets--Note B 1,072
----------
Total Assets 212,695
----------
LIABILITIES
Payables for Investment Securities Purchased 33,661
Other Liabilities--Note G 1,205
----------
Total Liabilities 34,866
- ---------------------------------------------------------------------------------------
NET ASSETS (100%) $177,829
=======================================================================================
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $175,142
Undistributed Net Investment Income 566
Accumulated Net Realized Gains 10,073
Unrealized Depreciation--Note F (7,952)
- ---------------------------------------------------------------------------------------
NET ASSETS $177,829
- ---------------------------------------------------------------------------------------
Investor Shares--Net Assets
Applicable to 18,819,204 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $177,829
- ---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $9.45
- ---------------------------------------------------------------------------------------
</TABLE>
F982-08/20/1999
54
<PAGE> 91
VANGUARD U.S. STOCK
INDEX FUNDS
LARGE-CAPITALIZATION PORTFOLIOS
VANGUARD 500 INDEX FUND
VANGUARD GROWTH INDEX FUND
VANGUARD VALUE INDEX FUND
VANGUARD TOTAL STOCK MARKET INDEX FUND
[PHOTO]
SEMIANNUAL
REPORT
JUNE 30, 1999
[THE VANGUARD GROUP LOGO]
<PAGE> 92
AT VANGUARD, WE BELIEVE
THAT TRADITION MATTERS
Our 9,000 crew members embrace the traditional values on which our success is
built, including integrity, hard work, thrift, teamwork, and fair dealing on
behalf of our clients.
Our report cover pays homage to three anniversaries, each of great significance
to The Vanguard Group:
- - The 200th anniversary of the Battle of the Nile, which commenced on August 1,
1798. HMS Vanguard, the victorious British flagship at the Nile, is our
namesake. And its motto-- "Leading the way"--serves as a guiding principle
for our company.
- - The 100th birthday, on July 23, 1998, of Walter L. Morgan, founder of
Wellington Fund, the oldest member of what became The Vanguard Group. Mr.
Morgan was friend and mentor to Vanguard founder John C. Bogle, and helped to
shape the standards and business principles that Mr. Bogle laid down for
Vanguard at its beginning nearly 25 years ago: a stress on balanced,
diversified investments; insistence on fair dealing and candor with clients;
and a focus on long-term investing. To our great regret, Mr. Morgan died on
September 2, 1998.
- - The 70th anniversary, on December 28, 1998, of the incorporation of Vanguard
Wellington Fund. It is the nation's oldest balanced mutual fund, and one of
only a handful of funds created in the 1920s that are still in operation.
Although Vanguard constantly tackles new challenges, adopts new technology, and
develops new services, we treasure the traditions and values that set us apart
in a crowded, competitive industry. And we salute our shareholders, whose
support and trust we strive to earn each and every day.
CONTENTS
A MESSAGE TO
OUR SHAREHOLDERS
1
THE MARKETS IN
PERSPECTIVE
5
PERFORMANCE
SUMMARIES
7
FUND PROFILES
11
FINANCIAL STATEMENTS
16
FOR AN UPDATE ON OUR YEAR 2000 PREPAREDNESS, SEE PAGE 34.
All comparative mutual fund data
are from Lipper or Morningstar,
unless otherwise noted.
<PAGE> 93
FELLOW SHAREHOLDER,
[PHOTO] [PHOTO]
JOHN J. BRENNAN JOHN C. BOGLE
CHAIRMAN & CEO SENIOR CHAIRMAN
Large-capitalization stocks again led the U.S. stock market higher during the
six months ended June 30, 1999, buoyed by strong economic growth and
stabilizing overseas markets. In this environment, the total returns of the
four Vanguard large-cap stock index funds ranged from +11.1% for Vanguard
Growth Index Fund to +13.8% for Vanguard Value Index Fund. Each fund closely
tracked its unmanaged benchmark index, and the Growth and Total Stock Market
Index Funds actually achieved a slight edge in returns over their index
targets.
The adjacent table shows the six-month total returns (capital change plus
reinvested dividends) achieved by our large-cap index funds, compared with the
returns of their respective indexes. The performance of the Institutional
Shares of our Growth, Value, and Total Stock Market Index Funds, which are
available for minimum investments of $10 million, is presented at the bottom of
the table.
Per-share figures for each fund, including net asset values, income
dividends, and capital gains distributions, are presented in a table that
follows this letter.
<TABLE>
<CAPTION>
- ---------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 1999
- ---------------------------------------------------
<S> <C>
500 INDEX FUND +12.3%
S&P 500 Index +12.4
- ---------------------------------------------------
GROWTH INDEX FUND +11.1%
S&P/BARRA Growth Index +11.0
- ---------------------------------------------------
VALUE INDEX FUND +13.8%
S&P/BARRA Value Index +14.0
- ---------------------------------------------------
TOTAL STOCK MARKET INDEX FUND +11.9%
Wilshire 5000 Index +11.8
- ---------------------------------------------------
INSTITUTIONAL SHARES
- ---------------------------------------------------
Growth Index Fund +11.1%
Value Index Fund +13.9
Total Stock Market Index Fund +12.0
- ---------------------------------------------------
</TABLE>
THE PERIOD IN REVIEW
The key influences on financial markets during the first half of 1999 were the
surprising strength of the U.S. economy's long-running expansion, promising
corporate earnings, and the increasing signs that a number of shaky foreign
economies were on firmer footing. These factors were partly responsible for
both broad-based gains in U.S. stocks and increases in interest rates, which
sent bond prices lower.
The overall U.S. stock market, as measured by the Wilshire 5000 Equity
Index, gained +11.8%--equivalent to more than a full year's return based on
historical norms. But the half-year saw a sharp rotation in market leadership.
As the outlook for global economic growth kept improving, there was a notable
revival in cyclical stocks-- commodity-related companies, machinery makers, and
other firms whose profit prospects are most closely tied to the economy's ups
and downs. This was a welcome change for cyclicals and other "value" stocks,
which had lagged the market not just in the first quarter but for much of the
last five years. Within the S&P 500 Index, the value stocks--those generally
characterized by above-average dividend yields and below-average price/earnings
ratios--carried the day during the second quarter and for the first half of the
year, when they gained +14.0% versus a gain of +11.0% for growth stocks. Many
old-line industrial companies posted growth-stock-like returns during the
quarter. For example, aluminum maker Alcoa gained +50% from the end of March
until June 30.
1
<PAGE> 94
For bond investors, a surging economy has a dark side: the possibility
that prices and wages will rise and push up inflation, which diminishes the
buying power of future bond interest and principal payments. Interest rates
held steady in January, but rose throughout the rest of the half-year. And on
the final day of the period, the Federal Reserve Board hiked its target for
short-term interest rates by 0.25% amid concerns that higher inflation would be
an inevitable by-product of strong growth. The yield of the benchmark 30-year
Treasury bond increased 86 basis points (0.86 percentage point) on balance
during the six months, rising from 5.10% to 5.96%. The rate rise was less
pronounced for short-term securities, with the 3-month Treasury bill's yield
rising 33 basis points, from 4.45% on December 31 to 4.78% on June 30.
PERFORMANCE OVERVIEW
Overall, the performance of our large-cap index funds during the half-year was
excellent, both on an absolute basis and relative to our comparative
benchmarks. The adjacent table presents the six-month total returns for the
investor shares of our funds, compared with returns of their average mutual
fund peers. As you can see, the returns of our 500, Value, and Total Stock
Market Index Funds exceeded the average results for their peers, while the
return of the Growth Index Fund fell short of that of the average growth mutual
fund.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED JUNE 30, 1999
----------------------------------------------
AVERAGE
VANGUARD COMPARABLE
U.S. STOCK INDEX FUND FUND FUND* DIFFERENCE
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
500 +12.3% +11.0% +1.3%
Growth +11.1 +11.7 -0.6
Value +13.8 +11.0 +2.8
Total Stock Market +11.9 +11.0 +0.9
- ---------------------------------------------------------------------------
</TABLE>
*Figures for the average comparable funds are compiled by Lipper, Inc. The
Lipper fund groups are: for the 500 and Total Stock Market Index Funds,
general equity funds; for the Growth Index Fund, growth funds; for the Value
Index Fund, value funds.
Our flagship VANGUARD 500 INDEX FUND returned +12.3% during the half-year,
just behind the +12.4% return of the S&P 500 Index, but 1.3 percentage points
ahead of the average general equity mutual fund. Our advantage over the average
fund can be attributed primarily to the strong performance of large companies,
which dominate the index and led the market despite the second-quarter
resurgence of mid- and small-cap shares. Many funds in the general equity
category hold significant stakes in mid- and small-cap stocks. The index was
powered by technology stocks, which make up 17% of its assets and returned +24%
for the half-year. Strong contributions also came from the "other energy"
sector (up +40% thanks to higher oil prices), producer durables (+26%), and
materials & processing stocks (+25%). Meanwhile, health-care issues and
consumer staples (large consumer-product companies) lagged, posting negative
returns for the period.
We emphasize that the S&P 500 Index, while a good measure of large-cap
stocks, does not represent the entire U.S. stock market. It excludes some 6,700
stocks, which together account for about one-quarter of the market's
capitalization. The stocks in the S&P 500 Index currently account for about 78%
of the value of the Wilshire 5000 Index, and the 6,700 other stocks make up 22%
of the value of the U.S. market. These mid- and small-cap stocks provided a
return of +11.3% during the six months. For investors looking for exposure to
large-cap companies, the 500 Index Fund is a fine choice; for those looking for
broader exposure to mid- and small-cap stocks, a search beyond S&P 500 stocks
is a necessity.
2
<PAGE> 95
VANGUARD TOTAL STOCK MARKET INDEX FUND, which tracks the performance of
the Wilshire 5000 Index, the broadest measure of U.S. stocks, returned +11.9%
for the half-year, slightly higher than the +11.8% return of its index target
and nearly a full percentage point above that of the average general equity
mutual fund.
The divergence of results for growth and value stocks was evident in the
returns of VANGUARD GROWTH INDEX FUND and VANGUARD VALUE INDEX FUND. Our Growth
Index Fund returned +11.1%, a tiny bit above the +11.0% return of the S&P/BARRA
Growth Index--the growth component of the S&P 500 Index--but just short of the
+11.7% return of the average growth mutual fund. Our Value Index Fund benefited
from the second-quarter surge of value shares, earning a six-month total return
of +13.8%. This topped the +11.0% return of the average value mutual fund and
was just a tad short of the +14.0% return of the S&P/BARRA Value Index--the S&P
500's value component. As we noted earlier, each of our funds closely tracked
the returns of its index benchmark. That our funds could accomplish this feat
versus unmanaged indexes, which, unlike mutual funds, do not incur operating
expenses, is a credit to the expertise of Vanguard Core Management Group, which
oversees the investments for all Vanguard stock index funds.
While the overall excellent performance of our large-cap index funds is
surely welcome, returns on the order of 11% to 13% for a six-month period are
well above what should be expected from any investment. We also note that
large-cap stocks won't outperform their mid- and small-cap brethren in every
period, and that the smaller stocks will lead the market from time to time. We
believe that investors who understand the cyclical nature of the financial
markets will be best prepared for the inevitable period when stock returns
revert to their (much lower) long-term historical norms. For their part, our
index funds will continue to provide investors with an excellent way to capture
the returns of the overall stock market--or a selected piece of the market--at
costs that are among the lowest in the mutual fund industry.
IN SUMMARY
Sticking with a portfolio diversified across various asset classes and market
segments can be trying at times, particularly when one segment runs ahead of
the others and seems to be "the only game in town." But in the long run,
investors are well served by investment programs constructed with the knowledge
that market leadership can change abruptly and unpredictably. So once you've
decided on an investment plan suited to your time horizon, goals, and tolerance
for risk, we urge you to "stay the course."
We look forward to reporting to you on the full 1999 fiscal year in our
annual report six months hence.
/s/JOHN C. BOGLE /s/JOHN J. BRENNAN
John C. Bogle John J. Brennan
Senior Chairman Chairman and
Chief Executive Officer
July 17, 1999
3
<PAGE> 96
NOTICE TO SHAREHOLDERS
In the past, the quarterly income dividends that the Vanguard
Large-Capitalization Index Funds distributed to shareholders were paid at a
"set rate." Income the fund earned during the first three quarters that was in
excess of the set rate was distributed in the December income dividend. In June
1999, the funds began distributing income on a "pay as you go" basis, rather
than according to a set rate. This policy change provides for a more even
distribution of income by distributing substantially all of the income earned
during each quarter to the fund's shareholders at the end of the quarter. As a
result of the transition to the new policy, the income dividends distributed by
the funds in June included income earned during the second quarter as well as
residual income earned, but not distributed, during the first quarter. For
example, Vanguard 500 Index Fund's June dividend of $0.38 per share included
about $0.03 of residual income that remained in the fund after payment of the
March dividend.
<TABLE>
<CAPTION>
PORTFOLIO STATISTICS
- ------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1999
--------------------------------------
NET ASSET VALUE PER SHARE DISTRIBUTIONS FROM DIVIDENDS PER
-------------------------------- NET REALIZED SHARE FROM NET
U.S. STOCK INDEX FUND DEC. 31, 1998 JUNE 30, 1999 CAPITAL GAINS INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 $113.95 $126.83 $0.455 $0.650
Growth 31.67 34.92 0.135 0.110
Value 22.51 24.66 0.720 0.160
Total Stock Market 27.42 30.35 0.155 0.150
- ------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
- ------------------------------------------------------------------------------------------------------
Growth $31.67 $34.93 $0.135 $0.123
Value 22.51 24.66 0.720 0.170
Total Stock Market 27.42 30.36 0.155 0.162
- ------------------------------------------------------------------------------------------------------
</TABLE>
4
<PAGE> 97
THE MARKETS IN PERSPECTIVE
SIX MONTHS ENDED JUNE 30, 1999
[PHOTO]
A markedly improved global economic outlook during the first half of 1999 led
to mostly positive stock market returns and lower bond prices.
As the year began, many observers expected that severe economic crises in
Asia, Russia, and some Latin American nations would restrain business activity
worldwide, even in the United States, which has been the world's economic
locomotive. By spring, however, a consensus emerged that global economic
activity was likely to be solid, if not robust. This change in sentiment
stemmed from several factors, including further vigorous growth in the U.S.
economy, a belief that Asia's slump had bottomed out, and moves in Europe to
ease monetary policy to encourage growth.
Interest rates rose as investors stopped wondering whether the Federal
Reserve Board would lower interest rates--as it had three times in autumn
1998--and began to wonder when the Fed would increase rates to slow growth and
thereby forestall inflation. Indeed, on the final day of the period, the Fed
boosted short-term rates by 0.25 percentage point. In the stock market, the
brighter economic outlook led to a change in leadership from glamorous
large-capitalization growth stocks to value stocks and small-cap stocks, both
of which had been among Wall Street's wallflowers in recent years.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 1999
----------------------------------------
6 MONTHS 1 YEAR 5 YEARS*
- ----------------------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index 12.4% 22.8% 27.9%
Russell 2000 Index 9.3 1.5 15.4
Wilshire 5000 Index 11.8 19.5 25.7
MSCI EAFE Index 4.1 7.9 8.5
- ----------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index -1.4% 3.2% 7.8%
Lehman 10 Year Municipal Bond Index -1.7 2.3 6.8
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 2.2 4.7 5.2
- ----------------------------------------------------------------------------------
OTHER
Consumer Price Index 1.4% 2.0% 2.3%
- ----------------------------------------------------------------------------------
</TABLE>
*Annualized.
U.S. STOCK MARKETS
The rise in stock prices reflected the healthy domestic economy and improving
prospects for corporate earnings. The overall market, as measured by the
Wilshire 5000 Index, rose 11.8% during the period, while the S&P 500 Index, a
yardstick for large-cap stocks, gained 12.4%.
Large-cap growth stocks, which are generally perceived as less vulnerable
than other stocks to economic slowdowns, continued to lead the market's climb
during the first quarter of the year. During the second quarter, however, value
stocks--especially producers of commodity products such as oil, aluminum, and
chemicals--moved to the front of the pack. Providing support were generally
upbeat corporate profit reports. Indeed, earnings gains were sufficient to send
prices higher despite rising interest rates, which often depress stock prices
as well as bond prices. For the six months, the S&P 500 Index's value stocks
posted a 14.0% return while its growth stocks gained 11.0% as a group.
5
<PAGE> 98
Small-cap stocks, as measured by the Russell 2000 Index, gained 9.3%,
although that fact masks a remarkable turnaround: Small-caps declined 5.4%
during the first quarter of 1999, then advanced 15.6% during the second
quarter. Even so, the cumulative return of the Russell 2000 over the past three
years lags the S&P 500 Index by nearly 80 percentage points (+37.6% for the
Russell 2000 versus +115.2% for the S&P 500).
Four of the top-performing sectors within the S&P 500 Index during the
half-year were solidly in the value camp--the "other energy" group (+40%);
producer durables (+26%); materials & processing (+25%); and integrated-oils
(+17%). The strongest growth-oriented sector was the irrepressible technology
group (+24%). The poor performance of the consumer staples sector (-8%) was due
in part to the gains of the U.S. dollar against most foreign currencies, which
reduced the value of earnings from overseas operations.
U.S. BOND MARKETS
The powerful economic expansion that buoyed corporate profits and stock prices
was too much of a good thing for the bond market. Inflation was well
behaved--consumer prices rose 1.4% for the six months and 2.0% for the twelve
months ended June 30--but investors and Fed policymakers clearly were concerned
that an overheated economy might yet trigger significant increases in wages and
overall prices. Certainly, there was no evidence of the "natural slowing" that
many analysts expected for the economy, which is in the longest peacetime
expansion ever.
Yields on U.S. Treasury bonds rose by approximately 1 percentage point--a
significant rise for a six-month period. The yield of the 30-year Treasury bond
rose 86 basis points, to 5.96% on June 30 from 5.10% on December 31, 1998. The
yield of the 10-year Treasury rose 113 basis points, to 5.78% from 4.65%. Money
market rates didn't rise as far: Yields on 3-month T-bills increased on balance
by only 33 basis points, to 4.78% on June 30. Bond prices, which move in the
opposite direction from interest rates, fell. The Lehman Aggregate Bond Index,
a benchmark for investment-grade taxable bonds, declined 1.4% on a total-return
basis, as bond prices declined an average of 4.4%, outweighing the 3.0% in
interest income for the period.
INTERNATIONAL STOCK MARKETS
Led by sharp recoveries in stock prices in Japan and many emerging markets,
international stock prices generated positive returns in local currencies
during the six months. However, a pervasive rise in the value of the U.S.
dollar against other currencies reduced returns for U.S. investors (returns
from abroad are augmented when the dollar falls in value against other
currencies).
Overall, the developed markets outside the United States gained 4.1% in
U.S.-dollar terms, as measured by the Morgan Stanley Capital International
Europe, Australasia, Far East (EAFE) Index. The biggest increases were in the
Pacific region--up 27.3% in local-currency terms and 21.1% when measured in
U.S. dollars. Europe, which accounts for the lion's share of EAFE's market
capitalization, was up 8.2% in local currencies. But in U.S. dollars, the
return from European stocks was a negative 2.3%, as weakness in European
currencies--notably in the euro, the new 11-nation common currency--lopped more
than 10 percentage points from the local-currency returns. The MSCI Select
Emerging Markets Free Index shot up 31.5% in dollar terms, led by Asian markets
that rebounded from severe losses suffered in 1997 and 1998.
6
<PAGE> 99
PERFORMANCE SUMMARIES
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely, so an investment in the fund
could lose money.
<TABLE>
<CAPTION>
500 INDEX FUND
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1978-JUNE 30, 1999
- -----------------------------------------------------------------------------
500 INDEX FUND S&P 500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1979 12.1% 5.9% 18.0% 18.4%
1980 25.5 6.4 31.9 32.4
1981 -9.8 4.6 -5.2 -4.9
1982 14.8 6.2 21.0 21.5
1983 16.2 5.1 21.3 22.5
1984 1.5 4.7 6.2 6.3
1985 26.1 5.1 31.2 31.8
1986 14.0 4.1 18.1 18.7
1987 2.3 2.4 4.7 5.3
1988 11.6 4.6 16.2 16.6
1989 26.7 4.7 31.4 31.7
1990 -6.8 3.5 -3.3 -3.1
1991 26.3 3.9 30.2 30.5
1992 4.4 3.0 7.4 7.6
1993 7.1 2.8 9.9 10.1
1994 -1.5 2.7 1.2 1.3
1995 34.4 3.0 37.4 37.6
1996 20.5 2.4 22.9 23.0
1997 31.1 2.1 33.2 33.4
1998 27.0 1.6 28.6 28.6
1999* 11.7 0.6 12.3 12.4
- -----------------------------------------------------------------------------
</TABLE>
*Six months ended June 30, 1999.
See Financial Highlights table on page 26 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- ------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION ------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
500 Index Fund* 8/31/1976 22.80% 27.78% 15.69% 2.92% 18.61%
- ------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
7
<PAGE> 100
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely, so an investment in the fund
could lose money.
<TABLE>
<CAPTION>
GROWTH INDEX FUND
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-JUNE 30, 1999
- --------------------------------------------------------------------
GROWTH INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- --------------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 2.6% 0.6% 3.2% 3.5%
1993 -0.6 2.1 1.5 1.7
1994 0.8 2.1 2.9 3.1
1995 35.9 2.2 38.1 38.1
1996 22.0 1.7 23.7 24.0
1997 34.8 1.5 36.3 36.5
1998 41.1 1.1 42.2 42.2
1999** 10.7 0.4 11.1 11.0
- --------------------------------------------------------------------
</TABLE>
*S&P/BARRA Growth Index.
**Six months ended June 30, 1999.
See Financial Highlights table on page 27 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
GROWTH INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: MAY 14, 1998-JUNE 30, 1999
- ---------------------------------------------------------------------
GROWTH INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
<S> <C> <C> <C> <C>
1998 20.0% 0.8% 20.8% 20.6%
1999** 10.7 0.4 11.1 11.0
- ---------------------------------------------------------------------
</TABLE>
*S&P/BARRA Growth Index.
**Six months ended June 30, 1999.
See Financial Highlights table on page 27 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- ------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Growth Index Fund* 11/2/1992 28.46% 31.72% 21.17% 1.82% 22.99%
Growth Index Fund Institutional Shares 5/14/1998 28.57 -- 28.65 1.17 29.82
- ------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
8
<PAGE> 101
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely, so an investment in the fund
could lose money.
<TABLE>
<CAPTION>
VALUE INDEX FUND
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-JUNE 30, 1999
- ------------------------------------------------------------------
S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ------------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 3.0% 0.7% 3.7% 3.8%
1993 14.6 3.7 18.3 18.6
1994 -4.0 3.3 -0.7 -0.6
1995 33.0 3.9 36.9 37.0
1996 19.1 2.8 21.9 22.0
1997 27.4 2.4 29.8 30.0
1998 12.8 1.8 14.6 14.7
1999** 13.1 0.7 13.8 14.0
- ------------------------------------------------------------------
</TABLE>
*S&P/BARRA Value Index.
**Six months ended June 30, 1999.
See Financial Highlights table on page 28 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
VALUE INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 2, 1998-JUNE 30, 1999
- --------------------------------------------------------------------
VALUE INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- --------------------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -0.4% 1.1% 0.7% 0.6%
1999** 13.1 0.8 13.9 14.0
- --------------------------------------------------------------------
</TABLE>
*S&P/BARRA Value Index.
**Six months ended June 30, 1999.
See Financial Highlights table on page 28 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- -----------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ----------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Value Index Fund* 11/2/1992 16.42% 23.51% 17.44% 2.97% 20.41%
Value Index Fund Institutional Shares 7/2/1998 -- -- 12.64 2.03 14.67
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
9
<PAGE> 102
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely, so an investment in the fund
could lose money.
<TABLE>
<CAPTION>
TOTAL STOCK MARKET INDEX FUND
TOTAL INVESTMENT RETURNS: APRIL 27, 1992-JUNE 30, 1999
- ---------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND WILSHIRE
5000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 8.1% 2.3% 10.4% 10.7%
1993 8.1 2.5 10.6 11.2
1994 -2.5 2.3 -0.2 -0.1
1995 33.1 2.7 35.8 36.4
1996 18.9 2.1 21.0 21.3
1997 29.0 2.0 31.0 31.3
1998 21.7 1.6 23.3 23.4
1999* 11.3 0.6 11.9 11.8
- ---------------------------------------------------------------------------
</TABLE>
*Six months ended June 30, 1999.
See Financial Highlights table on page 29 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 7, 1997-JUNE 30, 1999
- --------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND WILSHIRE
INSTITUTIONAL SHARES 5000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1997 7.6% 1.0% 8.6% 8.8%
1998 21.7 1.7 23.4 23.4
1999* 11.3 0.7 12.0 11.8
- --------------------------------------------------------------------------
</TABLE>
*Six months ended June 30, 1999.
See Financial Highlights table on page 29 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 1999
- --------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Total Stock Market Index Fund* 4/27/1992 19.54% 25.43% 17.35% 2.28% 19.63%
Total Stock Market Index Fund
Institutional Shares 7/7/1997 19.69 -- 20.94 1.78 22.72
- --------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
10
<PAGE> 103
FUND PROFILE
500 INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------
500 INDEX S&P 500
- -----------------------------------------------
<S> <C> <C>
Number of Stocks 512 500
Median Market Cap $70.1B $70.1B
Price/Earnings Ratio 29.6x 29.6x
Price/Book Ratio 5.2x 5.2x
Yield 1.1% 1.2%
Return on Equity 22.4% 22.4%
Earnings Growth Rate 14.8% 14.8%
Foreign Holdings 1.6% 1.6%
Turnover Rate 7%* --
Expense Ratio 0.18%* --
Cash Reserves 0.0% --
*Annualized.
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ----------------------------------------------
<S> <C>
STYLE BLEND
MARKET CAP LARGE
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ---------------------------------------------
500 INDEX S&P 500
- ---------------------------------------------
<S> <C> <C>
R-Squared 1.00 1.00
Beta 1.00 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ---------------------------------------------
<S> <C>
Microsoft Corp. 4.1%
General Electric Co. 3.3
International Business Machines Corp. 2.1
Wal-Mart Stores, Inc. 1.9
Cisco Systems, Inc. 1.8
Lucent Technologies, Inc. 1.8
Intel Corp. 1.8
Exxon Corp. 1.7
AT&T Corp. 1.6
Merck & Co., Inc. 1.6
- ---------------------------------------------
Top Ten 21.7%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- --------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
-------------------------------------------
500 INDEX 500 INDEX S&P 500
-------------------------------------------
<S> <C> <C> <C>
Auto & Transportation................. 3.3% 2.5% 2.5%
Consumer Discretionary................ 10.2 12.8 12.8
Consumer Staples...................... 10.7 7.8 7.8
Financial Services.................... 18.5 16.5 16.5
Health Care........................... 12.1 11.1 11.1
Integrated Oils....................... 6.5 5.1 5.1
Other Energy.......................... 1.0 1.4 1.4
Materials & Processing................ 5.2 3.5 3.5
Producer Durables..................... 3.5 3.5 3.5
Technology............................ 13.0 18.9 18.9
Utilities............................. 10.3 11.3 11.3
Other................................. 5.7 5.6 5.6
- --------------------------------------------------------------------------------------
</TABLE>
11
<PAGE> 104
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of the overall market (or appropriate market
index). The market (or index) is assigned a beta of 1.00, so a fund with a beta
of 1.20 would have seen its share price rise or fall by 12% when the overall
market rose or fell by 10%.
CASH RESERVES. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts to simulate stock
investment.
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the
past five years for the stocks now in a fund.
EXPENSE RATIO. The percentage of a fund's average net assets used to pay its
annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by
stocks or American Depositary Receipts of companies based outside the United
States.
INVESTMENT FOCUS. This grid indicates the focus of a fund in terms of two
attributes: market capitalization (large, medium, or small) and relative
valuation (growth, value, or a blend).
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's
assets invested in each stock. Stocks representing half of the fund's assets
have market capitalizations above the median, and the rest are below it.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a fund
holds, the more diversified it is and the more likely to perform in line with
the overall stock market.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, the weighted average price/book ratio of the
stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share
earnings over the past year. For a fund, the weighted average P/E of the stocks
it holds. P/E is an indicator of market expectations about corporate prospects;
the higher the P/E, the greater the expectations for a company's future growth.
R-SQUARED. A measure of how much of a fund's past returns can be explained by
the returns from the overall market (or its benchmark index). If a fund's total
return were precisely synchronized with the overall market's return, its
R-squared would be 1.00. If a fund's returns bore no relationship to the
market's returns, its R-squared would be 0.
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a fund, the weighted average return on
equity for the companies whose stocks it holds.
SECTOR DIVERSIFICATION. The percentages of a fund's common stocks that come
from each of the major industry groups that compose the stock market.
TEN LARGEST HOLDINGS. The percentage of net assets that a fund has invested in
its ten largest holdings. (The average for stock mutual funds is about 30%.) As
this percentage rises, a fund's returns are likely to be more volatile because
they are more dependent on the fortunes of a few companies.
TURNOVER RATE. An indication of trading activity during the period. Funds with
high turnover rates incur higher transaction costs and are more likely to
distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
12
<PAGE> 105
FUND PROFILE
GROWTH INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------
GROWTH INDEX S&P 500
- --------------------------------------------------
<S> <C> <C>
Number of Stocks 133 500
Median Market Cap $119.3B $70.1B
Price/Earnings Ratio 39.5x 29.6x
Price/Book Ratio 12.0x 5.2x
Yield 0.6% 1.2%
Yield--Institutional Shares 0.7% 1.2%
Return on Equity 28.4% 22.4%
Earnings Growth Rate 21.4% 14.8%
Foreign Holdings 0.8% 1.6%
Turnover Rate 40%* --
Expense Ratio 0.22%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 0.0% --
*Annualized.
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- -------------------------------------------------
<S> <C>
STYLE
MARKET CAP
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- --------------------------------------------
GROWTH INDEX S&P 500
- --------------------------------------------
<S> <C> <C>
R-Squared 0.94 1.00
Beta 1.03 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- --------------------------------------------
<S> <C>
Microsoft Corp. 8.0%
General Electric Co. 6.4
International Business Machines Corp. 4.0
Wal-Mart Stores, Inc. 3.7
Cisco Systems, Inc. 3.6
Lucent Technologies, Inc. 3.6
Intel Corp. 3.4
AT&T Corp. 3.0
Merck & Co., Inc. 3.0
The Coca-Cola Co. 2.7
- --------------------------------------------
Top Ten 41.4%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ----------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
-----------------------------------------------
GROWTH INDEX GROWTH INDEX S&P 500
-----------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 0.3% 0.2% 2.5%
Consumer Discretionary 8.2 14.1 12.8
Consumer Staples 19.1 11.5 7.8
Financial Services 9.2 2.1 16.5
Health Care 20.7 18.8 11.1
Integrated Oils 0.0 0.0 5.1
Other Energy 1.1 0.0 1.4
Materials & Processing 4.4 1.1 3.5
Producer Durables 3.0 2.5 3.5
Technology 19.2 29.8 18.9
Utilities 6.8 12.2 11.3
Other 8.0 7.7 5.6
- ----------------------------------------------------------------------------------------
</TABLE>
13
<PAGE> 106
FUND PROFILE
VALUE INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------
VALUE INDEX S&P 500
- --------------------------------------------------
<S> <C> <C>
Number of Stocks 382 500
Median Market Cap $28.7B $70.1B
Price/Earnings Ratio 23.0x 29.6x
Price/Book Ratio 3.2x 5.2x
Yield 1.6% 1.2%
Yield--Institutional Shares 1.7% 1.2%
Return on Equity 16.5% 22.4%
Earnings Growth Rate 8.2% 14.8%
Foreign Holdings 2.4% 1.6%
Turnover Rate 50%* --
Expense Ratio 0.22%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 0.5% --
*Annualized.
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ------------------------------------------------
<S> <C>
STYLE VALUE
MARKET CAP LARGE
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ------------------------------------------------
VALUE INDEX S&P 500
- ------------------------------------------------
<S> <C> <C>
R-Squared 0.93 1.00
Beta 0.97 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ------------------------------------------------
<S> <C>
Exxon Corp. 3.4%
Citigroup, Inc. 3.0
MCI WorldCom, Inc. 2.9
American International Group, Inc. 2.7
Royal Dutch Petroleum Co. ADR 2.4
Bank of America Corp. 2.4
Hewlett-Packard Co. 1.9
Philip Morris Cos., Inc. 1.8
Mobil Corp. 1.4
E.I. du Pont de Nemours & Co. 1.4
- ------------------------------------------------
Top Ten 23.3%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- -----------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
--------------------------------------------------
VALUE INDEX VALUE INDEX S&P 500
--------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 6.7% 4.9% 2.5%
Consumer Discretionary 12.4 11.2 12.8
Consumer Staples 1.5 3.7 7.8
Financial Services 28.8 31.9 16.5
Health Care 2.6 2.6 11.1
Integrated Oils 13.5 11.3 5.1
Other Energy 0.9 2.4 1.4
Materials & Processing 6.1 6.5 3.5
Producer Durables 4.2 5.9 3.5
Technology 6.1 6.2 18.9
Utilities 14.1 10.5 11.3
Other 3.1 2.9 5.6
- -----------------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 107
FUND PROFILE
TOTAL STOCK MARKET INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
1999, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ------------------------------------------------
TOTAL STOCK WILSHIRE
MARKET INDEX 5000
- ------------------------------------------------
<S> <C> <C>
Number of Stocks 3,215 7,167
Median Market Cap $35.1B $35.1B
Price/Earnings Ratio 27.8x 27.8x
Price/Book Ratio 4.5x 4.5x
Yield 1.1% 1.2%
Yield--Institutional Shares 1.2% 1.2%
Return on Equity 21.4% 21.4%
Earnings Growth Rate 16.0% 16.0%
Foreign Holdings 0.1% 0.1%
Turnover Rate 3%* --
Expense Ratio 0.20%* --
Expense Ratio--
Institutional Shares 0.10%* --
Cash Reserves 0.0% --
*Annualized.
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ------------------------------------------------
<S> <C>
STYLE BLEND
MARKET LARGE
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ------------------------------------------------
<S> <C>
Microsoft Corp. 3.2%
General Electric Co. 2.6
International Business Machines Corp. 1.7
Wal-Mart Stores, Inc. 1.5
Cisco Systems, Inc. 1.4
Lucent Technologies, Inc. 1.4
Intel Corp. 1.4
Exxon Corp. 1.3
AT&T Corp. 1.3
Merck & Co., Inc. 1.2
- ------------------------------------------------
Top Ten 17.0%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- --------------------------------------------
TOTAL STOCK
MARKET INDEX S&P 500
- --------------------------------------------
<S> <C> <C>
R-Squared 0.98 1.00
Beta 1.02 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------
JUNE 30, 1998 JUNE 30, 1999
- ---------------------------------------------------------------------------------------
TOTAL STOCK TOTAL STOCK WILSHIRE
MARKET INDEX MARKET INDEX 5000
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.4% 2.6% 2.6%
Consumer Discretionary 13.0 14.9 14.9
Consumer Staples 8.6 6.6 6.6
Financial Services 20.1 17.7 17.7
Health Care 11.2 10.4 10.4
Integrated Oils 4.0 3.3 3.3
Other Energy 1.9 1.8 1.8
Materials & Processing 5.6 3.8 3.8
Producer Durables 4.0 3.8 3.8
Technology 13.3 19.2 19.2
Utilities 9.8 11.0 11.0
Other 5.1 4.9 4.9
- ---------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 108
FINANCIAL STATEMENTS
JUNE 30, 1999 (UNAUDITED)
[PHOTO]
The Statements of Net Assets--integral parts of the Financial Statements for the
Vanguard 500 Index, Growth Index, Value Index, and Total Stock Market Index
Funds--are included as an insert to this report (except for the 500 Index Fund,
whose Statement of Net Assets is provided below).
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each fund, you will find a
table displaying the composition of the fund's net assets. Because all income
and any realized gains must be distributed to shareholders each year, the bulk
of net assets consists of Paid in Capital (money invested by shareholders). The
amounts shown for Undistributed Net Investment Income and Accumulated Net
Realized Gains usually approximate the sums the fund had available to distribute
to shareholders as income dividends or capital gains as of the statement date.
Any Accumulated Net Realized Losses, and any cumulative excess of distributions
over net income or net realized gains, will appear as negative balances.
Unrealized Appreciation (Depreciation) is the difference between the market
value of the fund's investments and their cost, and reflects the gains (losses)
that would be realized if the fund were to sell all of its investments at their
statement-date values.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------
COMMON STOCKS (99.7%)(1)
- ------------------------------------------------------------------------------
<S> <C> <C>
- - Microsoft Corp. 41,970,682 $ 3,785,231
General Electric Co. 26,902,794 3,040,016
International Business
Machines Corp. 14,922,316 1,928,709
Wal-Mart Stores, Inc. 36,590,867 1,765,509
- - Cisco Systems, Inc. 26,265,665 1,689,210
Lucent Technologies, Inc. 24,995,056 1,685,604
Intel Corp. 27,284,926 1,623,453
Exxon Corp. 19,962,236 1,539,587
AT&T Corp. 26,164,508 1,460,307
Merck & Co., Inc. 19,409,444 1,436,299
Citigroup, Inc. 27,784,701 1,319,773
- - MCI WorldCom, Inc. 15,309,252 1,317,552
The Coca-Cola Co. 20,289,606 1,268,100
American International
Group, Inc. 10,186,386 1,192,444
Pfizer, Inc. 10,642,024 1,167,962
Bristol-Myers Squibb Co. 16,328,393 1,150,131
Johnson & Johnson 11,060,772 1,083,956
Royal Dutch Petroleum Co. ADR 17,631,274 1,062,284
Bank of America Corp. 14,347,145 1,051,825
- - America Online, Inc. 8,933,741 987,178
Procter & Gamble Co. 10,923,500 974,922
SBC Communications Inc. 16,147,541 936,557
Hewlett-Packard Co. 8,345,747 838,748
Bell Atlantic Corp. 12,763,552 834,417
Philip Morris Cos., Inc. 19,838,609 797,264
Home Depot, Inc. 12,183,040 785,045
- - Dell Computer Corp. 20,855,901 771,668
BellSouth Corp. 15,573,733 730,019
Time Warner, Inc. 9,808,077 720,894
Ameritech Corp. 9,036,460 664,180
Eli Lilly & Co. 9,051,936 648,345
Schering-Plough Corp. 12,104,304 641,528
Tyco International Ltd. 6,747,684 639,343
Mobil Corp. 6,434,250 636,991
E.I. du Pont de Nemours & Co. 9,274,140 633,540
American Home Products Corp. 10,768,705 619,201
GTE Corp. 7,989,859 605,232
The Chase Manhattan Corp. 6,950,187 602,060
Wells Fargo Co. 13,590,251 580,983
Bank One Corp. 9,710,409 578,376
Fannie Mae 8,427,999 576,264
Abbott Laboratories 12,501,400 568,814
Ford Motor Co. 9,955,535 561,866
The Walt Disney Co. 16,932,466 521,732
Chevron Corp. 5,388,537 512,921
Warner-Lambert Co. 6,994,286 485,229
American Express Co. 3,704,606 482,062
Morgan Stanley Dean Witter & Co. 4,691,533 480,882
Nortel Networks Corp. 5,456,430 473,686
PepsiCo, Inc. 12,144,459 469,839
Motorola, Inc. 4,958,188 469,788
Texas Instruments, Inc. 3,223,058 467,343
</TABLE>
16
<PAGE> 109
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
McDonald's Corp. 11,165,569 $ 461,278
- - EMC Corp. 8,323,858 457,812
- - Oracle Corp. 11,837,766 439,477
- - Sun Microsystems, Inc. 6,363,857 438,311
Sprint Corp. 7,113,130 375,662
Medtronic, Inc. 4,803,400 374,065
First Union Corp. 7,958,429 374,046
Gillette Co. 9,119,640 373,905
- - MediaOne Group, Inc. 4,979,040 370,316
Charles Schwab Corp. 3,356,477 368,793
The Gap, Inc. 7,066,305 355,965
The Boeing Co. 8,009,248 353,909
General Motors Corp. 5,331,315 351,867
Freddie Mac 5,716,023 331,529
Compaq Computer Corp. 13,978,144 331,107
Unilever NV ADR 4,699,743 327,807
Xerox Corp. 5,437,556 321,156
Minnesota Mining & Manufacturing Co. 3,310,666 287,821
Schlumberger Ltd. 4,497,847 286,457
AlliedSignal Inc. 4,544,386 286,296
United Technologies Corp. 3,913,885 280,577
Anheuser-Busch Cos., Inc. 3,911,314 277,459
Texaco Inc. 4,411,258 275,704
Waste Management, Inc. 5,007,995 269,180
Associates First Capital Corp. 5,986,730 265,287
- - Amgen, Inc. 4,210,437 256,310
- - CBS Corp. 5,853,515 254,262
Kimberly-Clark Corp. 4,377,760 249,532
Carnival Corp. 5,041,787 244,527
- - Viacom Inc. Class B 5,535,936 243,581
U S WEST, Inc. 4,140,757 243,269
Computer Associates
International, Inc. 4,409,878 242,543
Walgreen Co. 8,235,416 241,915
Merrill Lynch & Co., Inc. 3,024,741 241,790
Allstate Corp. 6,635,346 238,043
Enron Corp. 2,907,675 237,702
Colgate-Palmolive Co. 2,402,550 237,252
Pharmacia & Upjohn, Inc. 4,166,738 236,723
Dayton Hudson Corp. 3,639,920 236,595
The Bank of New York
Co., Inc. 6,259,591 229,649
Dow Chemical Co. 1,806,850 229,244
Electronic Data Systems Corp. 4,047,313 228,926
- - Applied Materials, Inc. 3,066,715 226,554
Emerson Electric Co. 3,578,817 225,018
Automatic Data
Processing, Inc. 5,087,548 223,852
Atlantic Richfield Co. 2,647,194 221,206
- - Tellabs, Inc. 3,219,831 217,540
Fleet Financial Group, Inc. 4,690,160 208,126
- - Sprint PCS 3,616,205 206,576
Comcast Corp. Class A Special 5,338,688 205,206
J.P. Morgan & Co., Inc. 1,458,392 204,904
Monsanto Co. 5,192,218 204,768
U.S. Bancorp 5,976,967 203,217
- - Safeway, Inc. 4,083,295 202,123
MBNA Corp. 6,592,573 201,898
- - The Kroger Co. 6,792,148 189,756
- - Clear Channel
Communications, Inc. 2,733,232 188,422
Alcoa Inc. 3,038,655 188,017
Household International, Inc. 3,943,290 186,813
SunTrust Banks, Inc. 2,644,009 183,593
Eastman Kodak Co. 2,647,265 179,352
Albertson's, Inc. 3,456,503 178,226
The Seagram Co. Ltd. 3,520,353 177,338
Caterpillar, Inc. 2,925,680 175,541
ALLTEL Corp. 2,447,275 174,980
First Data Corp. 3,551,385 173,796
Lowe's Cos., Inc. 3,053,326 173,085
Washington Mutual, Inc. 4,891,116 173,023
International Paper Co. 3,375,530 170,464
National City Corp. 2,585,327 169,339
Illinois Tool Works, Inc. 2,059,401 168,871
Sara Lee Corp. 7,428,822 168,541
Campbell Soup Co. 3,586,544 166,326
Gannett Co., Inc. 2,299,763 164,146
Halliburton Co. 3,622,805 163,932
Marsh & McLennan Cos., Inc. 2,164,464 163,417
CVS Corp. 3,213,557 163,088
Duke Energy Corp. 2,994,841 162,844
Mellon Bank Corp. 4,284,376 155,844
Raytheon Co. Class B 2,212,180 155,682
American General Corp. 2,062,988 155,498
Firstar Corp. 5,438,513 152,278
Southern Co. 5,731,749 151,891
Williams Cos., Inc. 3,555,283 151,322
CIGNA Corp. 1,672,958 148,893
H.J. Heinz Co. 2,955,794 148,159
NIKE, Inc. Class B 2,312,488 146,409
Fifth Third Bancorp 2,188,797 145,692
Baxter International, Inc. 2,397,576 145,353
- - Costco Cos., Inc. 1,806,531 144,635
PNC Bank Corp. 2,499,651 144,042
Cardinal Health, Inc. 2,240,235 143,655
- - Boston Scientific Corp. 3,253,330 142,943
Wachovia Corp. 1,668,269 142,741
Pitney Bowes, Inc. 2,211,822 142,110
Corning, Inc. 2,006,739 140,723
Sears, Roebuck & Co. 3,132,267 139,582
- - Solectron Corp. 2,074,647 138,353
- - FDX Corp. 2,445,698 132,679
- - Cendant Corp. 6,315,382 129,465
Guidant Corp. 2,484,272 127,785
BankBoston Corp. 2,440,176 124,754
- - NEXTEL Communications, Inc. 2,434,420 122,177
Lockheed Martin Corp. 3,242,258 120,774
Honeywell, Inc. 1,036,913 120,152
Burlington Northern
Santa Fe Corp. 3,863,387 119,765
Avon Products, Inc. 2,153,062 119,495
Union Pacific Corp. 2,036,986 118,782
KeyCorp 3,682,433 118,298
- - Staples, Inc. 3,821,859 118,239
Omnicom Group Inc. 1,470,807 117,665
Bestfoods 2,297,702 113,736
Weyerhaeuser Co. 1,649,421 113,398
State Street Corp. 1,324,460 113,076
May Department Stores Co. 2,747,431 112,301
Kellogg Co. 3,331,058 109,925
Providian Financial Corp. 1,169,824 109,379
</TABLE>
17
<PAGE> 110
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
The Hartford Financial
Services Group, Inc. 1,865,956 $ 108,809
Newell Rubbermaid, Inc. 2,316,856 107,734
ConAgra, Inc. 4,014,272 106,880
Columbia/HCA Healthcare Corp. 4,671,481 106,568
J.C. Penney Co., Inc. 2,166,945 105,232
AFLAC, Inc. 2,197,085 105,185
- - BMC Software, Inc. 1,938,936 104,703
Phillips Petroleum Co. 2,078,565 104,578
Coca-Cola Enterprises, Inc. 3,490,062 103,829
Aetna Inc. 1,159,257 103,681
The Clorox Co. 970,254 103,635
- - Kohl's Corp. 1,337,884 103,268
PG&E Corp. 3,153,881 102,501
Textron, Inc. 1,239,717 102,044
General Mills, Inc. 1,256,663 101,004
Interpublic Group of Cos., Inc. 1,155,663 100,109
- - Best Buy Co., Inc. 1,471,083 99,298
- - Compuware Corp. 3,021,395 96,118
Texas Utilities Co. 2,307,625 95,190
Rockwell International Corp. 1,565,485 95,103
BB&T Corp. 2,585,059 94,839
Norfolk Southern Corp. 3,124,137 94,115
The Chubb Corp. 1,329,639 92,410
- - AES Corp. 1,569,123 91,205
- - Federated Department Stores, Inc. 1,714,965 90,786
Mattel, Inc. 3,425,780 90,569
Capital One Financial Corp. 1,623,977 90,435
- - Computer Sciences Corp. 1,305,794 90,345
Baker Hughes, Inc. 2,692,075 90,185
United Healthcare Corp. 1,423,672 89,157
Northern Trust Corp. 918,023 89,048
TJX Cos., Inc. 2,648,127 88,216
Ingersoll-Rand Co. 1,364,334 88,170
The McGraw-Hill Cos., Inc. 1,626,377 87,723
Aon Corp. 2,106,217 86,881
Progressive Corp. of Ohio 598,864 86,835
- - Unisys Corp. 2,216,984 86,324
Lincoln National Corp. 1,649,747 86,302
Delphi Automotive Systems Corp. 4,645,682 86,235
- - AMR Corp. 1,262,570 86,170
Wrigley, (Wm.) Jr. Co. 954,706 85,924
Southwest Airlines Co. 2,759,193 85,880
Tribune Co. 974,400 84,895
Consolidated Edison, Inc. 1,868,406 84,545
PPG Industries, Inc. 1,428,307 84,359
Franklin Resources Corp. 2,070,947 84,132
Frontier Corp. 1,423,949 84,013
- - Micron Technology, Inc. 2,056,779 82,914
USX-Marathon Group 2,535,350 82,557
Ralston-Ralston Purina Group 2,682,237 81,641
IMS Health, Inc. 2,602,572 81,330
Sysco Corp. 2,721,446 81,133
CSX Corp. 1,787,512 80,997
FPL Group, Inc. 1,481,393 80,921
Conseco, Inc. 2,657,444 80,886
Masco Corp. 2,768,211 79,932
The Limited, Inc. 1,752,704 79,529
- - 3Com Corp. 2,975,502 79,409
Unocal Corp. 1,989,236 78,823
Tandy Corp. 1,591,391 77,779
Circuit City Stores, Inc. 826,032 76,821
Transamerica Corp. 1,023,860 76,790
Pioneer Hi-Bred
International, Inc. 1,969,073 76,671
Marriott International, Inc.
Class A 2,049,560 76,602
Edison International 2,854,878 76,368
Comerica, Inc. 1,283,416 76,283
- - Gateway, Inc. 1,287,026 75,935
Air Products & Chemicals, Inc. 1,883,590 75,814
Deere & Co. 1,905,266 75,496
The Goodyear Tire & Rubber Co. 1,281,375 75,361
Rohm & Haas Co. 1,744,749 74,806
Archer-Daniels-Midland Co. 4,833,842 74,622
Mercantile Bancorp, Inc. 1,297,332 74,110
Public Service Enterprise Group, Inc. 1,805,318 73,792
The Quaker Oats Co. 1,108,858 73,600
- - Novell, Inc. 2,766,560 73,314
McKesson HBOC, Inc. 2,275,376 73,096
General Dynamics Corp. 1,047,728 71,769
Loews Corp. 898,236 71,073
Regions Financial Corp. 1,842,954 70,839
Coastal Corp. 1,751,424 70,057
Unicom Corp. 1,784,230 68,804
Fort James Corp. 1,813,364 68,681
Dominion Resources, Inc. 1,578,391 68,364
- - Tricon Global Restaurants, Inc. 1,261,152 68,260
Hershey Foods Corp. 1,148,914 68,217
Reliant Energy, Inc. 2,434,109 67,242
Georgia Pacific Group 1,417,660 67,162
- - Kmart Corp. 4,066,658 66,846
Delta Air Lines, Inc. 1,157,846 66,721
PECO Energy Corp. 1,578,972 66,119
Vodafone AirTouch PLC ADR 328,823 64,778
Danaher Corp. 1,112,256 64,650
Paychex, Inc. 2,023,266 64,492
Praxair, Inc. 1,295,171 63,382
Entergy Corp. 2,026,915 63,341
Burlington Resources, Inc. 1,456,727 63,003
Dana Corp. 1,363,376 62,801
UNUM Corp. 1,142,266 62,539
Barrick Gold Corp. 3,203,235 62,063
Becton, Dickinson & Co. 2,051,224 61,537
Dover Corp. 1,754,539 61,409
SLM Holding Corp. 1,339,257 61,355
Lehman Brothers Holdings, Inc. 976,694 60,799
Allergan, Inc. 546,981 60,715
- - Apple Computer, Inc. 1,308,230 60,587
Huntington Bancshares Inc. 1,727,591 60,466
Occidental Petroleum Corp. 2,858,559 60,387
- - General Instrument Corp. 1,419,304 60,320
FirstEnergy Corp. 1,937,716 60,069
American Electric
Power Co., Inc. 1,583,106 59,465
Alcan Aluminium Ltd. 1,860,317 59,414
St. Paul Cos., Inc. 1,860,693 59,193
Republic New York Corp. 863,791 58,900
Summit Bancorp 1,407,211 58,839
- - Office Depot, Inc. 2,633,285 58,097
</TABLE>
18
<PAGE> 111
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
Kansas City Southern
Industries, Inc. 906,300 $ 57,833
Jefferson-Pilot Corp. 870,513 57,617
Fortune Brands, Inc. 1,371,881 56,762
Avery Dennison Corp. 933,790 56,378
PaineWebber Group, Inc. 1,200,813 56,138
Browning-Ferris
Industries, Inc. 1,290,462 55,490
Eaton Corp. 589,764 54,258
TRW, Inc. 988,742 54,257
- - LSI Logic Corp. 1,175,002 54,197
New York Times Co. Class A 1,457,472 53,653
Carolina Power & Light Co. 1,243,087 53,220
Union Carbide Corp. 1,091,659 53,218
MBIA, Inc. 819,743 53,078
SouthTrust Corp. 1,376,835 52,836
Dollar General Corp. 1,817,074 52,695
Union Planters Corp. 1,172,663 52,403
Rite Aid Corp. 2,126,586 52,367
Nabisco Group Holdings Corp. 2,668,145 52,196
Genuine Parts Co. 1,472,360 51,533
Cincinnati Financial Corp. 1,368,986 51,423
- - HEALTHSOUTH Corp. 3,405,535 50,870
Maytag Corp. 726,039 50,596
SAFECO Corp. 1,120,902 49,460
Johnson Controls, Inc. 699,774 48,503
PE Corp.-PE Biosystems Group 419,395 48,126
Dun & Bradstreet Corp. 1,349,108 47,809
Consolidated Natural Gas Co. 786,390 47,773
DTE Energy Co. 1,191,483 47,659
- - Tenet Healthcare Corp. 2,550,840 47,350
- - KLA-Tencor Corp. 724,901 47,028
- - Seagate Technology, Inc. 1,828,743 46,862
Ecolab, Inc. 1,065,961 46,503
- - Wellpoint Health Networks Inc. Class A 544,373 46,204
Whirlpool Corp. 621,703 46,006
CenturyTel, Inc. 1,144,393 45,490
Golden West Financial Corp. 464,131 45,485
Black & Decker Corp. 719,422 45,414
Winn-Dixie Stores, Inc. 1,220,796 45,093
Hasbro, Inc. 1,607,539 44,911
PacifiCorp 2,442,373 44,879
Bear Stearns Co., Inc. 957,360 44,757
Sempra Energy 1,972,414 44,626
Provident Cos., Inc. 1,113,846 44,554
- - Sealed Air Corp. 685,897 44,498
Synovus Financial Corp. 2,226,534 44,252
Amerada Hess Corp. 742,345 44,170
MGIC Investment Corp. 895,583 43,548
GPU, Inc. 1,032,113 43,542
Ameren Corp. 1,127,077 43,252
Service Corp. International 2,234,918 43,022
Columbia Energy Group 681,724 42,736
- - Toys R Us, Inc. 2,049,063 42,390
Equifax, Inc. 1,186,120 42,330
UST, Inc. 1,445,995 42,295
- - ALZA Corp. 828,064 42,128
Willamette Industries, Inc. 914,547 42,126
VF Corp. 984,492 42,087
- - Owens-Illinois, Inc. 1,280,273 41,849
Cinergy Corp. 1,305,004 41,760
W.W. Grainger, Inc. 766,257 41,234
Adobe Systems, Inc. 501,631 41,212
Central & South West Corp. 1,746,502 40,824
Parker Hannifin Corp. 892,333 40,824
CMS Energy Corp. 963,739 40,357
Cooper Industries, Inc. 775,220 40,311
H & R Block, Inc. 799,182 39,959
PP&L Resources, Inc. 1,296,635 39,872
R.R. Donnelley & Sons Co. 1,074,091 39,808
Countrywide Credit
Industries, Inc. 926,189 39,595
Dow Jones & Co., Inc. 743,800 39,468
Nordstrom, Inc. 1,168,272 39,137
Sherwin-Williams Co. 1,404,514 38,975
- - Ceridian Corp. 1,186,091 38,770
International Flavors &
Fragrances, Inc. 871,125 38,656
Raytheon Co. Class A 551,569 37,989
Champion International Corp. 786,420 37,650
Northrop Grumman Corp. 566,058 37,537
Torchmark Corp. 1,099,963 37,536
- - AutoZone, Inc. 1,230,357 37,065
Biomet, Inc. 925,059 36,771
Brown-Forman Corp. Class B 562,765 36,685
New Century Energies, Inc. 944,222 36,648
Anadarko Petroleum Corp. 993,334 36,567
Constellation Energy Group 1,228,535 36,395
Bausch & Lomb, Inc. 468,580 35,846
Apache Corp. 918,479 35,821
Allegheny Teledyne Inc. 1,582,459 35,803
Kerr-McGee Corp. 709,484 35,607
Knight Ridder 647,442 35,569
The Times Mirror Co. Class A 595,977 35,312
- - National Semiconductor Corp. 1,379,748 34,925
The Mead Corp. 834,624 34,846
PACCAR, Inc. 643,005 34,320
- - PeopleSoft, Inc. 1,979,458 34,146
Nucor Corp. 716,621 33,995
Union Pacific Resources
Group, Inc. 2,071,204 33,787
AmSouth Bancorp 1,456,676 33,777
Eastman Chemical Co. 647,398 33,503
Tenneco, Inc. 1,398,345 33,385
Hercules, Inc. 827,849 32,545
Placer Dome, Inc. 2,672,970 31,574
Reynolds Metals Co. 529,904 31,264
Temple-Inland Inc. 457,611 31,232
- - Parametric Technology Corp. 2,228,989 30,927
Dillard's Inc. 878,280 30,850
Northern States Power Co. 1,261,759 30,519
Hilton Hotels Corp. 2,125,039 30,149
Harcourt General, Inc. 584,183 30,122
Sonat, Inc. 904,083 29,948
Phelps Dodge Corp. 476,231 29,497
Case Corp. 610,633 29,387
Wendy's International, Inc. 1,021,749 28,928
Crown Cork & Seal Co., Inc. 1,006,054 28,673
Sigma-Aldrich Corp. 829,464 28,565
Inco Ltd. 1,578,398 28,411
Florida Progress Corp. 684,696 28,287
Nalco Chemical Co. 540,652 28,046
- - Watson Pharmaceuticals, Inc. 785,695 27,548
ITT Industries, Inc. 721,956 27,525
</TABLE>
19
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
Newmont Mining Corp. 1,376,517 $ 27,358
- - Mirage Resorts, Inc. 1,632,987 27,353
Comcast Corp. Class A 760,722 27,243
- - Navistar International Corp. 543,356 27,168
- - US Airways Group, Inc. 610,472 26,594
- - Thermo Electron Corp. 1,297,715 26,035
The BFGoodrich Co. 612,103 26,014
Harris Corp. 654,912 25,664
- - Silicon Graphics, Inc. 1,550,666 25,392
SuperValu Inc. 984,123 25,280
Fluor Corp. 622,590 25,215
Deluxe Corp. 641,545 24,980
- - Niagara Mohawk Holdings Inc. 1,539,021 24,721
- - St. Jude Medical, Inc. 692,871 24,684
Ashland, Inc. 607,502 24,376
- - Consolidated Stores, Inc. 899,405 24,284
Darden Restaurants Inc. 1,098,913 23,970
Westvaco Corp. 823,647 23,886
The Stanley Works 729,704 23,487
Raychem Corp. 633,371 23,435
Engelhard Corp. 1,031,635 23,341
- - Harrah's Entertainment, Inc. 1,048,262 23,062
Pall Corp. 1,024,849 22,739
Sunoco, Inc. 742,685 22,420
Scientific-Atlanta, Inc. 617,527 22,231
Great Lakes Chemical Corp. 481,684 22,188
Thomas & Betts Corp. 467,553 22,092
- - HCR Manor Care, Inc. 912,951 22,082
- - Advanced Micro Devices, Inc. 1,204,074 21,749
Mallinckrodt, Inc. 583,787 21,235
Louisiana-Pacific Corp. 891,497 21,173
Freeport-McMoRan Copper &
Gold Inc. Class B 1,179,851 21,164
Brunswick Corp. 755,127 21,049
- - King World Productions, Inc. 584,090 20,334
C.R. Bard, Inc. 422,023 20,178
Laidlaw, Inc. 2,714,708 20,021
Boise Cascade Corp. 464,747 19,984
Cummins Engine Co., Inc. 346,634 19,801
USX-U.S. Steel Group 726,534 19,616
- - Network Appliance, Inc. 349,783 19,544
Snap-On Inc. 539,317 19,517
Liz Claiborne, Inc. 527,506 19,254
Armstrong World
Industries Inc. 329,171 19,030
- - Cabletron Systems, Inc. 1,415,807 18,405
Centex Corp. 489,091 18,371
IKON Office Solutions, Inc. 1,221,423 18,321
- - Humana, Inc. 1,377,851 17,826
- - FMC Corp. 260,747 17,812
Crane Co. 560,769 17,629
Homestake Mining Co. 2,139,433 17,517
Bemis Co., Inc. 430,116 17,097
American Greetings Corp.
Class A 553,419 16,672
Owens Corning 450,326 15,480
Ryder System, Inc. 582,533 15,146
Adolph Coors Co. Class B 303,269 15,012
NICOR, Inc. 389,417 14,822
Meredith Corp. 425,981 14,750
Cooper Tire & Rubber Co. 623,613 14,733
Millipore Corp. 361,552 14,665
Shared Medical Systems Corp. 219,107 14,297
Autodesk, Inc. 482,935 14,277
McDermott International, Inc. 483,226 13,651
EG&G, Inc. 371,401 13,231
- - R.J. Reynolds Tobacco
Holdings, Inc. 417,397 13,148
- - Andrew Corp. 673,629 12,757
- - Rowan Cos., Inc. 685,482 12,639
Worthington Industries, Inc. 753,342 12,383
Alberto-Culver Co. Class B 463,138 12,331
Tupperware Corp. 473,807 12,082
National Service Industries, Inc. 334,766 12,052
Vulcan Materials Co. 243,045 11,727
Tektronix, Inc. 383,520 11,578
Cyprus Amax Minerals Co. 740,701 11,249
Longs Drug Stores, Inc. 322,835 11,158
Briggs & Stratton Corp. 190,581 11,006
Peoples Energy Corp. 291,694 10,993
Ball Corp. 251,853 10,641
Great Atlantic & Pacific
Tea Co., Inc. 313,131 10,588
Potlatch Corp. 237,938 10,454
- - W.R. Grace & Co. 567,803 10,433
Polaroid Corp. 363,490 10,041
The Timken Co. 505,079 9,849
Kaufman & Broad Home Corp. 393,885 9,798
Helmerich & Payne, Inc. 404,083 9,622
The Pep Boys (Manny,
Moe & Jack) 432,422 9,351
- - Reebok International Ltd. 460,141 8,570
ONEOK, Inc. 260,108 8,258
- - Bethlehem Steel Corp. 1,072,975 8,248
Pulte Corp. 355,641 8,202
Fleetwood Enterprises, Inc. 286,669 7,579
Eastern Enterprises 186,031 7,395
Springs Industries Inc. Class A 145,289 6,338
- - Viacom Inc. Class A 143,386 6,327
ASARCO, Inc. 326,668 6,145
Jostens Inc. 288,315 6,073
- - Data General Corp. 416,136 6,060
Milacron Inc. 312,893 5,789
- - Fruit of the Loom Inc. Class A 590,284 5,755
Russell Corp. 294,079 5,735
NACCO Industries, Inc. Class A 66,575 4,893
Foster Wheeler Corp. 334,839 4,730
Battle Mountain Gold Co.
Class A 1,885,596 4,596
- - Triad Hospitals, Inc. 237,475 3,206
Freeport-McMoRan Copper &
Gold, Inc. Class A 175,183 2,934
- - LifePoint Hospitals, Inc. 126,475 1,700
- - PE Corp.-Celera Genomics
Group 96,440 1,561
Moore Corp. Ltd. 112,215 940
Alberto-Culver Co. Class A 1,000 23
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $53,589,236) 92,404,893
- -------------------------------------------------------------------------------
</TABLE>
20
<PAGE> 113
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- -------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.4%)(1)
- --------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 4.75%, 7/22/1999 $ 3,000 $ 2,991
U.S. TREASURY BILL
(2) 4.35%, 7/1/1999 30,000 29,999
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 299,627 299,627
- -------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $332,618) 332,617
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(COST $53,921,854) 92,737,510
- -------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
- -------------------------------------------------------------------------------
Other Assets--Note B 1,094,858
Liabilities (1,188,440)
------------
(93,582)
- -------------------------------------------------------------------------------
NET ASSETS (100.0%)
- -------------------------------------------------------------------------------
Applicable to 730,448,850 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $92,643,928
- -------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $126.83
- -------------------------------------------------------------------------------
</TABLE>
*See Note A in Notes to Financial Statements.
- -Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments,
the fund's effective common stock and temporary cash investment positions
represent 100.0% and 0.1%, respectively, of net assets. See Note F in Notes to
Financial Statements.
(2)Securities with an aggregate value of $32,990,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -------------------------------------------------------------------------------
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Note E $53,524,918 $ 73.28
Undistributed Net
Investment Income 23,963 .03
Accumulated Net Realized
Gains--Note E 270,156 .37
Unrealized Appreciation--
Note F
Investment Securities 38,815,656 53.14
Futures Contracts 9,235 .01
- -------------------------------------------------------------------------------
NET ASSETS $92,643,928 $126.83
- -------------------------------------------------------------------------------
</TABLE>
21
<PAGE> 114
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by each fund during the
reporting period, and details the operating expenses charged to each class of
its shares. These expenses directly reduce the amount of investment income
available to pay to shareholders as dividends. This Statement also shows any Net
Gain (Loss) realized on the sale of investments, and the increase or decrease in
the Unrealized Appreciation (Depreciation) on investments during the period. If
a fund invested in futures contracts during the period, the results of these
investments are shown separately.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
500 INDEX FUND
SIX MONTHS ENDED JUNE 30, 1999
(000)
- ---------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 551,697
Interest 13,062
Security Lending 972
------------
Total Income 565,731
------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 52
Management and Administrative 64,735
Marketing and Distribution 7,408
Custodian Fees 222
Auditing Fees 23
Shareholders' Reports 1,627
Trustees' Fees and Expenses 57
------------
Total Expenses 74,124
Expenses Paid Indirectly--Note C (21)
------------
Net Expenses 74,103
- ---------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 491,628
- ---------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 1,374,080
Futures Contracts 40,354
- ---------------------------------------------------------------------------------------------
REALIZED NET GAIN 1,414,434
- ---------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 7,825,770
Futures Contracts (3,761)
- ---------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 7,822,009
- ---------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $9,728,071
=============================================================================================
</TABLE>
22
<PAGE> 115
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
GROWTH VALUE TOTAL STOCK
INDEX INDEX MARKET INDEX
FUND FUND FUND
--------------------------------------------------
SIX MONTHS ENDED JUNE 30, 1999
--------------------------------------------------
(000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 43,852 $ 26,902 $ 81,525
Interest 1,105 247 11,887
Security Lending 78 39 1,895
--------------------------------------------------
Total Income 45,035 27,188 95,307
--------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 34 34 69
Management and Administrative 3,728 1,103 4,529
Shareholder Account Maintenance--Investor Shares 5,414 1,526 5,754
Shareholder Account Maintenance--Institutional Shares 38 34 171
Marketing and Distribution--Investor Shares 886 282 1,055
Marketing and Distribution--Institutional Shares 11 11 208
Custodian Fees 35 29 150
Auditing Fees 5 5 7
Shareholders' Reports--Investor Shares 176 75 224
Shareholders' Reports--Institutional Shares 4 3 30
Trustees' Fees and Expenses 6 2 9
--------------------------------------------------
Total Expenses 10,337 3,104 12,206
Expenses Paid Indirectly--Note C -- -- (21)
--------------------------------------------------
Net Expenses 10,337 3,104 12,185
- ----------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 34,698 24,084 83,122
- ----------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 310,953 190,562 53,617
Futures Contracts (1,484) 462 46,388
- ----------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 309,469 191,024 100,005
- ----------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 642,206 170,384 1,421,431
Futures Contracts (275) (112) (17,357)
- ----------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 641,931 170,272 1,404,074
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 986,098 $ 385,380 $ 1,587,201
=====================================================================================================================
</TABLE>
23
<PAGE> 116
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in the
fund, either by purchasing shares or by reinvesting distributions, as well as
the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed
are shown at the end of the Statement. Distributions, Capital Share
Transactions, and Shares Issued and Redeemed are shown separately for each class
of shares.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
500 INDEX FUND GROWTH INDEX FUND
-------------------------------------- ----------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 1999 DEC. 31, 1998 JUN. 30, 1999 DEC. 31, 1998
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 491,628 $ 821,564 $ 34,698 $ 37,960
Realized Net Gain 1,414,434 1,519,211 309,469 72,886
Change in Unrealized Appreciation (Depreciation) 7,822,009 13,039,461 641,931 1,404,145
---------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 9,728,071 15,380,236 986,098 1,514,991
---------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (461,514) (822,586) (33,664) (36,372)
Institutional Shares* -- -- (1,045) (693)
Realized Capital Gain
Investor Shares (313,840) (262,081) (38,237) (23,155)
Institutional Shares* -- -- (1,143) (813)
---------------------------------------------------------------------------
Total Distributions (775,354) (1,084,667) (74,089) (61,033)
---------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 16,323,537 20,785,658 4,874,252 3,805,024
Issued in Lieu of Cash Distributions 719,694 999,651 67,050 54,919
Redeemed (7,580,546) (11,209,975) (1,080,082) (991,663)
---------------------------------------------------------------------------
Net Increase--Investor Shares 9,462,685 10,575,334 3,861,220 2,868,280
---------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- -- 127,518 205,585
Issued in Lieu of Cash Distributions -- -- 2,186 1,506
Redeemed -- -- (80,099) (26,162)
---------------------------------------------------------------------------
Net Increase--Institutional Shares* -- -- 49,605 180,929
- ----------------------------------------------------------------------------------------------------------------------------------
Total Increase 18,415,402 24,870,903 4,822,834 4,503,167
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 74,228,526 49,357,623 6,868,500 2,365,333
---------------------------------------------------------------------------
End of Period $ 92,643,928 $ 74,228,526 $ 11,691,334 $ 6,868,500
================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 136,337 205,796 146,918 140,735
Issued in Lieu of Cash Distributions 6,019 9,433 2,012 1,885
Redeemed (63,305) (111,820) (32,545) (37,803)
---------------------------------------------------------------------------
Net Increase in Shares Outstanding 79,051 103,409 116,385 104,817
================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- -- 3,837 7,955
Issued in Lieu of Cash Distributions -- -- 66 49
Redeemed -- -- (2,394) (925)
---------------------------------------------------------------------------
Net Increase in Shares Outstanding -- -- 1,509 7,079
================================================================================================================================
</TABLE>
*The 500 Index Fund does not offer Institutional Shares.
24
<PAGE> 117
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
VALUE INDEX TOTAL STOCK MARKET
FUND INDEX FUND
--------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 1999 DEC. 31, 1998 JUN. 30, 1999 DEC. 31, 1998
(000) (000) (000) (000)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 24,084 $ 37,457 $ 83,122 $ 129,306
Realized Net Gain 191,024 148,039 100,005 77,195
Change in Unrealized Appreciation (Depreciation) 170,272 110,054 1,404,074 1,758,376
----------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 385,380 295,550 1,587,201 1,964,877
----------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (19,393) (36,542) (60,868) (100,035)
Institutional Shares (2,076) (1,280) (16,410) (28,557)
Realized Capital Gain
Investor Shares (79,931) (98,153) (58,318) (38,015)
Institutional Shares (6,150) (4,565) (14,449) (10,094)
----------------------------------------------------------------------
Total Distributions (107,550) (140,540) (150,045) (176,701)
----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 821,466 872,207 3,298,988 3,915,057
Issued in Lieu of Cash Distributions 90,934 123,840 111,994 128,569
Redeemed (371,323) (516,494) (823,069) (1,246,506)
----------------------------------------------------------------------
Net Increase--Investor Shares 541,077 479,553 2,587,913 2,797,120
----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 154,233 171,548 716,905 831,150
Issued in Lieu of Cash Distributions 8,073 5,121 27,124 35,644
Redeemed (1,336) (60) (196,026) (295,428)
----------------------------------------------------------------------
Net Increase--Institutional Shares 160,970 176,609 548,003 571,366
- --------------------------------------------------------------------------------------------------------------------------
Total Increase 979,877 811,172 4,573,072 5,156,662
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 2,606,713 1,795,541 11,753,119 6,596,457
----------------------------------------------------------------------
End of Period $3,586,590 $2,606,713 $16,326,191 $11,753,119
==========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 34,730 39,652 115,032 160,242
Issued in Lieu of Cash Distributions 4,026 5,572 3,945 4,991
Redeemed (15,956) (23,806) (28,716) (50,676)
----------------------------------------------------------------------
Net Increase in Shares Outstanding 22,800 21,418 90,261 114,557
==========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 6,529 8,040 24,881 33,554
Issued in Lieu of Cash Distributions 356 232 956 1,385
Redeemed (56) (3) (6,856) (12,173)
----------------------------------------------------------------------
Net Increase in Shares Outstanding 6,829 8,269 18,981 22,766
==========================================================================================================================
</TABLE>
25
<PAGE> 118
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
500 INDEX FUND
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -----------------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1999 1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $113.95 $ 90.07 $ 69.17 $ 57.60 $ 42.97 $43.83
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT OPERATIONS
Net Investment Income .690 1.33 1.31 1.28 1.22 1.18
Net Realized and Unrealized Gain (Loss)
on Investments 13.295 24.30 21.50 11.82 14.76 (.67)
-------------------------------------------------------------------------------
Total from Investment Operations 13.985 25.63 22.81 13.10 15.98 .51
-------------------------------------------------------------------------------
Dividends from Net Investment Income (.650) (1.33) (1.32) (1.28) (1.22) (1.17)
Distributions from Realized Capital Gains (.455) (.42) (.59) (.25) (.13) (.20)
-------------------------------------------------------------------------------
Total Distributions (1.105) (1.75) (1.91) (1.53) (1.35) (1.37)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $126.83 $113.95 $ 90.07 $ 69.17 $ 57.60 $42.97
==================================================================================================================================
TOTAL RETURN* 12.33% 28.62% 33.19% 22.88% 37.45% 1.18%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $92,644 $74,229 $49,358 $30,332 $17,372 $9,356
Ratio of Total Expenses to
Average Net Assets 0.18%+ 0.18% 0.19% 0.20% 0.20% 0.19%
Ratio of Net Investment Income to
Average Net Assets 1.19%+ 1.35% 1.66% 2.04% 2.38% 2.72%
Portfolio Turnover Rate** 7%+ 6% 5% 5% 4% 6%
===================================================================================================================================
</TABLE>
*Total return figures do not reflect the annual account maintenance fee
of $10.
**Portfolio turnover rates excluding in-kind redemptions were 3%, 3%, 3%,
2%, 2%, and 4%, respectively.
+Annualized.
26
<PAGE> 119
<TABLE>
<CAPTION>
GROWTH INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $31.67 $22.53 $16.90 $13.97 $10.28 $10.20
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .105 .230 .23 .22 .21 .21
Net Realized and Unrealized Gain (Loss)
on Investments 3.390 9.244 5.88 3.07 3.68 .08
------------------------------------------------------------------------
Total from Investment Operations 3.495 9.474 6.11 3.29 3.89 .29
------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.110) (.219) (.23) (.22) (.20) (.21)
Distributions from Realized Capital Gains (.135) (.115) (.25) (.14) -- --
------------------------------------------------------------------------
Total Distributions (.245) (.334) (.48) (.36) (.20) (.21)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $34.92 $31.67 $22.53 $16.90 $13.97 $10.28
========================================================================================================================
TOTAL RETURN* 11.07% 42.21% 36.34% 23.74% 38.06% 2.89%
========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $11,391 $6,644 $2,365 $787 $271 $86
Ratio of Total Expenses to
Average Net Assets 0.22%** 0.22% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 0.72%** 0.92% 1.19% 1.57% 1.71% 2.08%
Portfolio Turnover Rate 40%** 29% 26% 29% 24% 28%
========================================================================================================================
</TABLE>
*Total return figures do not reflect the annual account maintenance fee
of $10.
**Annualized.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
GROWTH INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED MAY 14* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 1999 DEC. 31, 1998
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $31.67 $26.49
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .128 .167
Net Realized and Unrealized Gain (Loss) on Investments 3.390 5.315
------------------------
Total from Investment Operations 3.518 5.482
------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.123) (.187)
Distributions from Realized Capital Gains (.135) (.115)
------------------------
Total Distributions (.258) (.302)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $34.93 $31.67
===========================================================================================================================
TOTAL RETURN 11.15% 20.79%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $300 $224
Ratio of Total Expenses to Average Net Assets 0.12%** 0.12%**
Ratio of Net Investment Income to Average Net Assets 0.82%** 0.97%**
Portfolio Turnover Rate 40%** 29%
===========================================================================================================================
</TABLE>
*Inception.
**Annualized.
27
<PAGE> 120
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
VALUE INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1999 1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.51 $ 20.85 $17.02 $14.79 $11.12 $ 11.74
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .173 .366 .38 .37 .41 .38
Net Realized and Unrealized Gain (Loss)
on Investments 2.857 2.647 4.57 2.81 3.66 (.46)
--------------------------------------------------------------------------
Total from Investment Operations 3.030 3.013 4.95 3.18 4.07 (.08)
--------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.160) (.363) (.37) (.38) (.40) (.38)
Distributions from Realized Capital Gains (.720) (.990) (.75) (.57) -- (.16)
--------------------------------------------------------------------------
Total Distributions (.880) (1.353) (1.12) (.95) (.40) (.54)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.66 $ 22.51 $20.85 $17.02 $14.79 $ 11.12
=========================================================================================================================
TOTAL RETURN* 13.84% 14.64% 29.77% 21.86% 36.94% -0.73%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $3,214 $2,421 $1,796 $1,016 $ 496 $ 297
Ratio of Total Expenses to
Average Net Assets 0.22%** 0.22% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.63%** 1.72% 2.05% 2.54% 3.06% 3.37%
Portfolio Turnover Rate 50%** 33% 25% 29% 27% 32%
==========================================================================================================================
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
**Annualized.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
VALUE INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED JUL. 2* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 1999 DEC. 31, 1998
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.51 $ 23.22
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .183 .196
Net Realized and Unrealized Gain (Loss) on Investments 2.857 (.060)
--------------------------
Total from Investment Operations 3.040 .136
--------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.170) (.236)
Distributions from Realized Capital Gains (.720) (.610)
--------------------------
Total Distributions (.890) (.846)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 24.66 $ 22.51
=========================================================================================================================
TOTAL RETURN 13.88% 0.69%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 372 $ 186
Ratio of Total Expenses to Average Net Assets 0.12%** 0.12%**
Ratio of Net Investment Income to Average Net Assets 1.72%** 1.90%**
Portfolio Turnover Rate 50%** 33%
=========================================================================================================================
</TABLE>
*Inception.
**Annualized.
28
<PAGE> 121
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -----------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 1999 1998 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 27.42 $ 22.64 $ 17.77 $15.04 $11.37 $11.69
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .155 .336 .319 .29 .29 .27
Net Realized and Unrealized Gain (Loss)
on Investments 3.080 4.898 5.143 2.84 3.75 (.29)
-------------------------------------------------------------------------
Total from Investment Operations 3.235 5.234 5.462 3.13 4.04 (.02)
-------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.150) (.329) (.322) (.29) (.28) (.27)
Distributions from Realized Capital Gains (.155) (.125) (.270) (.11) (.09) (.03)
-------------------------------------------------------------------------
Total Distributions (.305) (.454) (.592) (.40) (.37) (.30)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 30.35 $ 27.42 $ 22.64 $ 17.77 $15.04 $11.37
=========================================================================================================================
TOTAL RETURN* 11.88% 23.26% 30.99% 20.96% 35.79% -0.17%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $13,043 $9,308 $5,092 $3,531 $1,571 $786
Ratio of Total Expenses to
Average Net Assets 0.20%** 0.20% 0.20% 0.22% 0.25% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.20%** 1.44% 1.65% 1.86% 2.14% 2.35%
Portfolio Turnover Rate 3%** 3% 2% 3% 3% 2%
=========================================================================================================================
</TABLE>
*Total return figures do not reflect the 0.25% transaction fee on
purchases through 1995 or the annual account maintenance fee of $10.
**Annualized.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED YEAR ENDED JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 1999 DEC. 31, 1998 DEC. 31, 1997
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $27.42 $22.64 $21.27
- ----------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .177 .359 .172
Net Realized and Unrealized Gain (Loss) on Investments 3.080 4.898 1.642
-------------------------------------------
Total from Investment Operations 3.257 5.257 1.814
-------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.162) (.352) (.214)
Distributions from Realized Capital Gains (.155) (.125) (.230)
-------------------------------------------
Total Distributions (.317) (.477) (.444)
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $30.36 $27.42 $22.64
============================================================================================================================
TOTAL RETURN 11.96% 23.37% 8.60%
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $3,283 $2,445 $1,504
Ratio of Total Expenses to Average Net Assets 0.10%** 0.10% 0.10%**
Ratio of Net Investment Income to Average Net Assets 1.31%** 1.53% 1.70%**
Portfolio Turnover Rate 3%** 3% 2%
============================================================================================================================
</TABLE>
*Inception.
**Annualized.
29
<PAGE> 122
NOTES TO FINANCIAL STATEMENTS
Vanguard 500 Index, Growth Index, Value Index, and Total Stock Market Index
Funds are registered under the Investment Company Act of 1940 as diversified
open-end investment companies, or mutual funds.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The funds consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Equity securities are valued at the latest quoted
sales prices as of the close of trading on the New York Stock Exchange
(generally 4:00 p.m. Eastern time) on the valuation date; such securities not
traded on the valuation date are valued at the mean of the latest quoted bid and
asked prices. Prices are taken from the primary market in which each security
trades. Temporary cash investments acquired over 60 days to maturity are valued
using the latest bid prices or using valuations based on a matrix system (which
considers such factors as security prices, yields, maturities, and ratings),
both as furnished by independent pricing services. Other temporary cash
investments are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued by
methods deemed by the Board of Trustees to represent fair value.
2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The funds, along with other members of The
Vanguard Group, transfer uninvested cash balances to a Pooled Cash Account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
4. FUTURES CONTRACTS: The funds use index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity, and minimizing transaction costs. A
fund may purchase futures contracts to immediately invest incoming cash in the
market, or sell futures in response to cash outflows, thereby simulating a fully
invested position in the underlying index while maintaining a cash balance for
liquidity. A fund may seek to enhance returns by using futures contracts instead
of the underlying securities when futures are believed to be priced more
attractively than the underlying securities. The primary risks associated with
the use of futures contracts are imperfect correlation between changes in market
values of stocks held by the fund and the prices of futures contracts, and the
possibility of an illiquid market.
Futures contracts based upon the following indexes are used: S&P 500 Index
(500 Index, Growth Index, and Total Stock Market Index Funds), S&P MidCap 400
Index (Total Stock Market Index Fund), S&P/BARRA Growth Index (Growth Index
Fund), S&P/BARRA Value Index (Value Index Fund), and Russell 2000 Index (Total
Stock Market Index Fund).
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date. Distributions are determined on a tax basis and may differ
from net investment income and realized capital gains for financial reporting
purposes.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold.
30
<PAGE> 123
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to each fund under methods approved by the Board of
Trustees. Each fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At June 30, 1999, the funds had contributed
capital to Vanguard (included in Other Assets) of:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF
TO VANGUARD OF FUND VANGUARD'S
INDEX FUND (000) NET ASSETS CAPITALIZATION
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $13,403 0.01% 19.1%
Growth 1,666 0.01 2.4
Value 504 0.01 0.7
Total Stock Market 2,303 0.01 3.3
- --------------------------------------------------------------------------------------------
</TABLE>
The funds' Trustees and officers are also Directors and officers of Vanguard.
C. The funds' custodian banks have agreed to reduce their fees when the funds
maintain cash on deposit in their non-interest-bearing custody accounts. For the
six months ended June 30, 1999, custodian fee offset arrangements reduced
expenses by:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
EXPENSE REDUCTION
INDEX FUND (000)
- ------------------------------------------------------------------
<S> <C>
500 $21
Total Stock Market 21
- ------------------------------------------------------------------
</TABLE>
D. The Growth Index, Value Index, and Total Stock Market Index Funds each
offer two classes of shares, Investor Shares and Institutional Shares.
Institutional Shares are designed primarily for institutional investors that
meet certain administrative and servicing criteria and have a minimum investment
of $10 million. Investor Shares are offered to all other investors. Both classes
of shares have equal rights to assets and earnings, except that each class bears
certain class-specific expenses related to its shareholder activity.
Class-specific expenses for the six months ended June 30, 1999, represented the
following percentages of average net assets:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------
INDEX FUND INVESTOR SHARES INSTITUTIONAL SHARES
- ----------------------------------------------------------------------------------
<S> <C> <C>
Growth 0.14%* 0.04%*
Value 0.14* 0.04*
Total Stock Market 0.13* 0.03*
- ----------------------------------------------------------------------------------
</TABLE>
*Annualized.
Income, expenses not attributable to a specific class, and realized and
unrealized gains and losses on investments are allocated to each class of shares
based on its relative net assets.
31
<PAGE> 124
NOTES TO FINANCIAL STATEMENTS (continued)
E. During the six months ended June 30, 1999, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
(000)
--------------------------------
INDEX FUND PURCHASES SALES
- --------------------------------------------------------------------------------------------
<S> <C> <C>
500 $12,086,845 $2,695,642
Growth 5,801,949 1,912,148
Value 1,326,070 735,002
Total Stock Market 3,499,342 202,788
- --------------------------------------------------------------------------------------------
</TABLE>
During the six months ended June 30, 1999, the 500 Index Fund realized
$1,127,123,000 of net capital gains resulting from in-kind redemptions--in which
shareholders exchange fund shares for securities held by the fund rather than
for cash. Because such gains are not taxable to the fund, and are not
distributed to shareholders, they have been reclassified from accumulated net
realized gains to paid in capital.
F. At June 30, 1999, net unrealized appreciation of investment securities for
financial reporting and federal income tax purposes was:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
(000)
----------------------------------------------------------
APPRECIATED DEPRECIATED NET UNREALIZED
INDEX FUND SECURITIES SECURITIES APPRECIATION
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $39,689,502 $(873,846) $38,815,656
Growth 2,663,582 (70,245) 2,593,337
Value 772,433 (57,262) 715,171
Total Stock Market 5,394,453 (383,445) 5,011,008
- -----------------------------------------------------------------------------------------------
</TABLE>
At June 30, 1999, the aggregate settlement value of open futures contracts
expiring in September 1999 and the related unrealized appreciation were:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
(000)
------------------------------
AGGREGATE
NUMBER OF SETTLEMENT UNREALIZED
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE APPRECIATION
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500/
S&P 500 Index 734 $253,542 $9,235
Growth/
S&P/BARRA Growth Index 10 1,936 59
Value/
S&P/BARRA Value Index 5 783 5
Total Stock Market/
S&P 500 Index 700 241,798 8,942
S&P MidCap 400 Index 153 32,080 1,034
Russell 2000 Index 267 61,677 2,215
- ------------------------------------------------------------------------------------------
</TABLE>
32
<PAGE> 125
G. The market value of securities on loan to broker/dealers at June 30, 1999,
and collateral received with respect to such loans were:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
(000)
---------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
INDEX FUND SECURITIES RECEIVED
- ----------------------------------------------------------------------------
<S> <C> <C>
Total Stock $213,407 $224,732
- ----------------------------------------------------------------------------
</TABLE>
Cash collateral received is invested in repurchase agreements.
"Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500," "500,"
"S&P MidCap 400," and "S&P SmallCap 600" are trademarks of The McGraw-Hill
Companies, Inc., and have been licensed for use by Vanguard Index Funds and The
Vanguard Group, Inc. These mutual funds are not sponsored, endorsed, sold, or
promoted by Standard & Poor's, and Standard & Poor's makes no representation
regarding the advisability of investing in the funds. Frank Russell Company is
the owner of trademarks and copyrights relating to the Russell Indexes.
"Wilshire 4500" and "Wilshire 5000" are trademarks of Wilshire Associates.
33
<PAGE> 126
NOTICE TO SHAREHOLDERS ABOUT Y2K
As is well known by now, the approaching calendar change to 2000 has posed a
challenge to many computer systems worldwide. Computers that are not modified
could interpret "00" as 1900 rather than 2000 and produce errors in
date-dependent calculations, including bond interest payments, stock trade
settlements, retirement benefits, and other financial transactions.
OUR APPROACH
Vanguard has taken this challenge seriously. We have had a Year 2000 Project
under way since 1996 to fulfill our responsibility to safeguard our business
relationships and the security of our investors' accounts.
Our internal systems are Year 2000-compliant. They have been renovated and
thoroughly tested and are ready for the date change. As for the external systems
that connect with ours, we have been working for many months with clients,
business partners, and providers of products and services to assess their
compliance. We have analyzed the external services we require and have developed
contingency plans--including provision for alternative providers where
appropriate.
On New Year's Day, our telephone centers will be staffed and ready for
shareholder calls. However, we expect the volume of inquiries over the New
Year's weekend to be high, and we encourage shareholders to check their accounts
via our website or automated telephone systems, which offer much greater service
capacity and efficiency. This will also help our live representatives to provide
a higher level of service to those with specific transaction or other
service-related needs.
WHAT YOU CAN DO
We assure you we will protect our shareholders' records, so account records will
not be lost. Nevertheless, keeping copies of current records is always
advisable. You should keep at least your third-quarter statement and any
confirmations you receive from us between October 1, 1999, and year-end.
If you are a registered user of Access Vanguard(TM) (www.vanguard.com), you
can retrieve this information through the secure "Your Accounts" section and
print copies for your files. If you are not registered for Access Vanguard and
wish to have this flexibility, you should register as soon as possible so that
you can receive your password and become familiar with this service before the
New Year's weekend. Likewise, you may need personal identification numbers to
use our automated telephone services: Vanguard Tele-Account(R) for individual
investors (1-800-662-6273) and The VOICE(TM) Network for participants in
employer-sponsored retirement plans (1-800-523-1188).
Our Year 2000 Project's primary goal from the start has been to prepare our
systems for business as usual on behalf of our shareholders into 2000 and
beyond. We remain confident we will meet that goal, and we look forward to
serving you in the years to come.
34
<PAGE> 127
TRUSTEES AND OFFICERS
JOHN C. BOGLE
Founder, Senior Chairman of the Board, and Director/Trustee of The Vanguard
Group, Inc., and each of the investment companies in The Vanguard Group.
JOHN J. BRENNAN
Chairman of the Board, Chief Executive Officer, and Director/Trustee of The
Vanguard Group, Inc., and each of the investment companies in The Vanguard
Group.
JoANN HEFFERNAN HEISEN
Vice President, Chief Information Officer, and a member of the Executive
Committee of Johnson & Johnson; Director of Johnson & Johnson-Merck Consumer
Pharmaceuticals Co., Women First HealthCare, Inc., Recording for the Blind and
Dyslexic, The Medical Center at Princeton, and Women's Research and Education
Institute.
BRUCE K. MacLAURY
President Emeritus of The Brookings Institution; Director of American Express
Bank Ltd., The St. Paul Companies, Inc., and National Steel Corp.
BURTON G. MALKIEL
Chemical Bank Chairman's Professor of Economics, Princeton University; Director
of Prudential Insurance Co. of America, Banco Bilbao Gestinova, Baker Fentress &
Co., The Jeffrey Co., and Southern New England Telecommunications Co.
ALFRED M. RANKIN, JR.
Chairman, President, and Chief Executive Officer of NACCO Industries, Inc.;
Director of NACCO Industries, The BFGoodrich Co., and The Standard Products Co.
JOHN C. SAWHILL
President and Chief Executive Officer of The Nature Conservancy; formerly,
Director and Senior Partner of McKinsey & Co. and President of New York
University; Director of Pacific Gas and Electric Co., Procter & Gamble Co.,
NACCO Industries, and Newfield Exploration Co.
JAMES O. WELCH, JR.
Retired Chairman of Nabisco Brands, Inc.; retired Vice Chairman and Director of
RJR Nabisco; Director of TECO Energy, Inc., and Kmart Corp.
J. LAWRENCE WILSON
Chairman and Chief Executive Officer of Rohm & Haas Co.; Director of Cummins
Engine Co. and The Mead Corp.; Trustee of Vanderbilt University.
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY
Secretary; Managing Director and Secretary of The Vanguard Group, Inc.;
Secretary of each of the investment companies in The Vanguard Group.
THOMAS J. HIGGINS
Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of the
investment companies in The Vanguard Group.
OTHER VANGUARD OFFICERS
R. GREGORY BARTON
Managing Director, Legal Department.
ROBERT A. DiSTEFANO
Managing Director, Information Technology.
JAMES H. GATELY
Managing Director, Individual Investor Group.
KATHLEEN C. GUBANICH
Managing Director, Human Resources.
IAN A. MacKINNON
Managing Director, Fixed Income Group.
F. WILLIAM McNABB, III
Managing Director, Institutional Investor Group.
MICHAEL S. MILLER
Managing Director, Planning and Development.
RALPH K. PACKARD
Managing Director and Chief Financial Officer.
GEORGE U. SAUTER
Managing Director, Core Management Group.
<PAGE> 128
VANGUARD
MILESTONES
[GRAPHIC]
The Vanguard Group is
named for HMS Vanguard,
Admiral Horatio Nelson's flagship
at the Battle of the Nile on
August 1, 1798. Our founder,
John C. Bogle, chose the name
after reading Nelson's inspiring
tribute to his fleet: "Nothing could
withstand the squadron . . .
with the judgment of the captains,
together with their valour, and that
of the officers and men of every
description, it was absolutely irresistible."
[GRAPHIC]
Walter L. Morgan, founder of
Wellington Fund, the nation's
oldest balanced mutual fund
and forerunner of today's family
of some 100 Vanguard funds,
celebrated his 100th birthday on
July 23, 1998. Mr. Morgan,
a true investment pioneer, died
six weeks later on September 2.
[GRAPHIC]
Wellington Fund,
The Vanguard Group's oldest fund,
was incorporated by Mr. Morgan
70 years ago, on December 28, 1928.
The fund was named after
the Duke of Wellington,
whose forces defeated
Napoleon Bonaparte
at the Battle of
Waterloo in 1815.
[THE VANGUARD GROUP LOGO]
Post Office Box 2600
Valley Forge, Pennsylvania 19482-2600
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
This report is intended for the funds' shareholders. It may not be distributed
to prospective investors unless it is preceded or accompanied by the current
fund prospectus.
Q402-08/19/1999
(C) 1999 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation,
Distributor.
<PAGE> 129
VANGUARD U.S. STOCK INDEX FUNDS
LARGE-CAPITALIZATION PORTFOLIOS
FINANCIAL STATEMENTS
JUNE 30, 1999 (UNAUDITED)
The Statement of Net Assets should be read in conjunction with the Statement of
Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes
to Financial Statements, which begin on page 22 of the accompanying report.
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each fund, you will find a
table displaying the composition of the fund's net assets. Because all income
and any realized gains must be distributed to shareholders each year, the bulk
of net assets consists of Paid in Capital (money invested by shareholders). The
amounts shown for Undistributed Net Investment Income and Accumulated Net
Realized Gains usually approximate the sums the fund had available to distribute
to shareholders as income dividends or capital gains as of the statement date.
Any Accumulated Net Realized Losses, and any cumulative excess of distributions
over net income or net realized gains, will appear as negative balances.
Unrealized Appreciation (Depreciation) is the difference between the market
value of the fund's investments and their cost, and reflects the gains (losses)
that would be realized if the fund were to sell all of its investments at their
statement-date values.
- -------------------------------------------------------------------------------
CONTENTS
Growth Index Fund.............................................................1
Value Index Fund..............................................................4
Total Stock Market Index Fund.................................................8
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
COMMON STOCKS (100.1%)(1)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Microsoft Corp. 10,345,548 $ 933,039
General Electric Co. 6,632,114 749,429
International Business Machines Corp. 3,638,300 470,250
Wal-Mart Stores, Inc. 9,020,394 435,234
- - Cisco Systems, Inc. 6,475,314 416,444
Lucent Technologies, Inc. 6,161,775 415,535
Intel Corp. 6,630,356 394,506
AT&T Corp. 6,327,320 353,143
Merck & Co., Inc. 4,721,098 349,361
The Coca-Cola Co. 5,001,771 312,611
Pfizer, Inc. 2,623,463 287,925
Bristol-Myers Squibb Co. 4,025,332 283,534
Johnson & Johnson 2,726,730 267,219
Procter & Gamble Co. 2,692,854 240,337
- - America Online, Inc. 2,164,290 239,154
SBC Communications Inc. 3,980,726 230,882
Bell Atlantic Corp. 3,139,300 205,232
Home Depot, Inc. 2,915,850 187,890
- - Dell Computer Corp. 5,027,648 186,023
BellSouth Corp. 3,830,500 179,555
Time Warner, Inc. 2,412,342 177,307
Ameritech Corp. 2,173,070 159,721
Eli Lilly & Co. 2,174,444 155,744
Schering-Plough Corp. 2,905,810 154,008
Tyco International Ltd. 1,614,195 152,945
American Home Products Corp. 2,606,044 149,848
GTE Corp. 1,953,000 147,940
Abbott Laboratories 3,000,800 136,536
Warner-Lambert Co. 1,676,765 116,326
Texas Instruments, Inc. 792,700 114,942
PepsiCo, Inc. 2,901,165 112,239
- - EMC Corp. 1,984,636 109,155
- - Oracle Corp. 2,841,737 105,499
- - Sun Microsystems, Inc. 1,523,100 104,904
Medtronic, Inc. 1,155,086 89,952
Gillette Co. 2,193,396 89,929
Charles Schwab Corp. 806,020 88,561
The Gap, Inc. 1,690,719 85,170
Xerox Corp. 1,337,600 79,002
Unilever NV ADR 1,130,165 78,829
</TABLE>
1
<PAGE> 130
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
AlliedSignal Inc. 1,149,700 $ 72,431
Anheuser-Busch Cos., Inc. 945,017 67,037
Waste Management, Inc. 1,183,465 63,611
- - Amgen, Inc. 1,006,062 61,244
Kimberly-Clark Corp. 1,071,446 61,072
U S WEST, Inc. 1,018,400 59,831
Computer Associates International, Inc. 1,065,266 58,590
Walgreen Co. 1,974,002 57,986
Colgate-Palmolive Co. 578,976 57,174
- - Applied Materials, Inc. 754,300 55,724
Automatic Data Processing, Inc. 1,218,124 53,597
- - Tellabs, Inc. 767,668 51,866
- - Safeway, Inc. 961,350 47,587
- - The Kroger Co. 1,626,904 45,452
Sara Lee Corp. 1,803,322 40,913
Campbell Soup Co. 879,070 40,767
H.J. Heinz Co. 715,370 35,858
Pitney Bowes, Inc. 539,050 34,634
Baxter International, Inc. 565,462 34,281
- - Boston Scientific Corp. 776,894 34,135
Corning, Inc. 484,574 33,981
- - Solectron Corp. 497,310 33,164
Guidant Corp. 595,690 30,641
- - NEXTEL Communications, Inc. 598,500 30,037
Avon Products, Inc. 519,028 28,806
- - Staples, Inc. 911,150 28,189
Bestfoods 565,000 27,968
Omnicom Group Inc. 343,850 27,508
Kellogg Co. 801,382 26,446
Providian Financial Corp. 280,010 26,181
Newell Rubbermaid, Inc. 555,327 25,823
- - BMC Software, Inc. 466,083 25,168
The Clorox Co. 231,668 24,745
General Mills, Inc. 303,238 24,373
- - Kohl's Corp. 312,980 24,158
Interpublic Group of Cos., Inc. 274,807 23,805
- - Compuware Corp. 726,400 23,109
TJX Cos., Inc. 638,992 21,286
- - Unisys Corp. 545,300 21,233
Capital One Financial Corp. 379,400 21,128
The McGraw-Hill Cos., Inc. 390,100 21,041
Wrigley, (Wm.) Jr. Co. 229,579 20,662
Frontier Corp. 350,200 20,662
Vodafone AirTouch PLC ADR 102,815 20,254
- - Best Buy Co., Inc. 294,600 19,886
Ralston-Ralston Purina Group 649,243 19,761
IMS Health, Inc. 630,254 19,695
Sysco Corp. 658,330 19,626
Tandy Corp. 391,400 19,130
Pioneer Hi-Bred International, Inc. 484,300 18,857
Comcast Corp. Class A Special 480,000 18,450
- - Gateway, Inc. 308,980 18,230
The Quaker Oats Co. 269,396 17,881
McKesson HBOC, Inc. 547,805 17,598
Hershey Foods Corp. 283,078 16,808
Fort James Corp. 435,970 16,512
- - Tricon Global Restaurants, Inc. 301,580 16,323
Paychex, Inc. 485,000 15,459
SLM Holding Corp. 327,650 15,010
Avery Dennison Corp. 229,838 13,876
Kansas City Southern Industries, Inc. 216,700 13,828
Allergan, Inc. 115,600 12,832
Dollar General Corp. 437,388 12,684
Maytag Corp. 178,800 12,460
Dun & Bradstreet Corp. 326,650 11,576
PE Corp.-PE Biosystems Group 98,475 11,300
Ecolab, Inc. 255,798 11,159
Black & Decker Corp. 175,900 11,104
UST, Inc. 367,666 10,754
- - Sealed Air Corp. 164,976 10,703
Equifax, Inc. 291,580 10,406
- - Ceridian Corp. 282,836 9,245
Dow Jones & Co., Inc. 164,200 8,713
The Times Mirror Co. Class A 142,990 8,472
- - PeopleSoft, Inc. 460,500 7,944
Adobe Systems, Inc. 91,400 7,509
Hilton Hotels Corp. 522,300 7,410
- - Parametric Technology Corp. 528,500 7,333
Hercules, Inc. 184,300 7,245
- - US Airways Group, Inc. 149,300 6,504
Freeport-McMoRan Copper & Gold Inc. Class B 323,284 5,799
Owens Corning 107,309 3,689
Millipore Corp. 87,030 3,530
- - Network Appliance, Inc. 60,400 3,375
Tupperware Corp. 116,500 2,971
- - W.R. Grace & Co. 139,800 2,569
Jostens Inc. 69,960 1,474
Comcast Corp. Class A 27,755 994
Nortel Networks Corp. 8,274 718
- - PE Corp.-Celera Genomics Group 26,488 429
Freeport-McMoRan Copper & Gold, Inc. Class A 4,000 67
Firstar Corp. 710 20
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $9,104,599) 11,697,936
- -------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- -------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.0%)(1)
- -------------------------------------------------------------------------------
U.S. TREASURY BILLS
(2)4.33%, 7/1/1999 $ 300 300
(2)4.74%, 10/28/1999 300 295
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 3,837 3,837
- -------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $4,432) 4,432
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(COST $9,109,031) 11,702,368
- -------------------------------------------------------------------------------
</TABLE>
2
<PAGE> 131
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- -------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES--NET (-0.1%) ($11,034)
- -------------------------------------------------------------------------------
NET ASSETS (100%) $11,691,334
===============================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment
positions represent 100.1% and 0.0%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2)Securities with an aggregate value of $595,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------
<S> <C>
ASSETS
Investments in Securities, at Value $11,702,368
Receivables for Investment Securities Sold 1,783,141
Other Assets--Note B 32,888
------------
Total Assets 13,518,397
------------
LIABILITIES
Payables for Investment Securities
Purchased 1,808,394
Other Liabilities 18,669
------------
Total Liabilities 1,827,063
- -------------------------------------------------------------------------------
NET ASSETS $11,691,334
===============================================================================
- -------------------------------------------------------------------------------
AMOUNT
(000)
- -------------------------------------------------------------------------------
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------------------------
Paid in Capital $ 8,788,823
Undistributed Net Investment Income 363
Accumulated Net Realized Gains 308,752
Unrealized Appreciation--Note F
Investment Securities 2,593,337
Futures Contracts 59
- -------------------------------------------------------------------------------
NET ASSETS $ 11,691,334
===============================================================================
Investor Shares--Net Assets
Applicable to 326,186,749 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 11,391,361
- -------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $ 34.92
===============================================================================
Institutional Shares--Net Assets
Applicable to 8,588,328 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 299,973
- -------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $ 34.93
===============================================================================
</TABLE>
3
<PAGE> 132
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
COMMON STOCKS (99.4%)(1)
- -------------------------------------------------------------------------------
<S> <C> <C>
Exxon Corp. 1,601,612 $ 123,524
Citigroup, Inc. 2,229,228 105,888
- - MCI WorldCom, Inc. 1,227,500 105,642
American International
Group, Inc. 817,300 95,675
Royal Dutch Petroleum Co.
ADR 1,414,632 85,232
Bank of America Corp. 1,151,082 84,389
Hewlett-Packard Co. 669,600 67,295
Philip Morris Cos., Inc. 1,591,700 63,967
Mobil Corp. 516,282 51,112
E.I. du Pont de Nemours & Co. 744,100 50,831
The Chase Manhattan Corp. 557,600 48,302
Wells Fargo Co. 1,090,400 46,615
Bank One Corp. 779,059 46,403
Fannie Mae 676,200 46,235
Ford Motor Co. 798,764 45,080
The Walt Disney Co. 1,358,529 41,860
Chevron Corp. 432,380 41,157
American Express Co. 297,200 38,673
Morgan Stanley Dean
Witter & Co. 376,400 38,581
Nortel Networks Corp. 437,800 38,007
Motorola, Inc. 397,812 37,693
McDonald's Corp. 895,900 37,012
Sprint Corp. 570,700 30,140
First Union Corp. 638,544 30,012
- - MediaOne Group, Inc. 399,471 29,711
The Boeing Co. 642,655 28,397
General Motors Corp. 427,767 28,233
Freddie Mac 458,600 26,599
Compaq Computer Corp. 1,121,500 26,566
Minnesota Mining &
Manufacturing Co. 265,600 23,091
Schlumberger Ltd. 360,900 22,985
United Technologies Corp. 312,204 22,381
Texaco Inc. 353,886 22,118
Associates First Capital Corp. 480,380 21,287
- - CBS Corp. 469,641 20,400
- - Viacom Inc. Class B 453,966 19,975
Carnival Corp. 404,500 19,618
Merrill Lynch & Co., Inc. 242,670 19,399
Allstate Corp. 532,414 19,100
Enron Corp. 233,300 19,072
Pharmacia & Upjohn, Inc. 334,323 18,994
Dayton Hudson Corp. 292,000 18,980
Comcast Corp. Class A Special 488,500 18,777
The Bank of New York Co., Inc. 502,252 18,426
Dow Chemical Co. 144,976 18,394
Electronic Data Systems Corp. 324,700 18,366
Emerson Electric Co. 287,100 18,052
Atlantic Richfield Co. 212,412 17,750
Fleet Financial Group, Inc. 376,280 16,697
- - Sprint PCS 290,150 16,575
J.P. Morgan & Co., Inc. 117,039 16,444
Monsanto Co. 416,600 16,430
U.S. Bancorp 479,600 16,306
MBNA Corp. 528,900 16,198
- - Clear Channel
Communications, Inc. 219,066 15,102
Alcoa Inc. 243,850 15,088
Household International, Inc. 316,246 14,982
SunTrust Banks, Inc. 212,108 14,728
Eastman Kodak Co. 212,200 14,377
Albertson's, Inc. 277,378 14,302
The Seagram Co. Ltd. 282,331 14,222
Caterpillar, Inc. 234,776 14,087
ALLTEL Corp. 196,330 14,038
First Data Corp. 284,900 13,942
Lowe's Cos., Inc. 244,936 13,885
Washington Mutual, Inc. 392,415 13,882
International Paper Co. 270,834 13,677
National City Corp. 207,400 13,585
Illinois Tool Works, Inc. 165,200 13,546
Raytheon Co. Class B 189,677 13,349
Gannett Co., Inc. 184,300 13,154
Halliburton Co. 290,700 13,154
Marsh & McLennan Cos., Inc. 173,700 13,114
CVS Corp. 257,800 13,083
Duke Energy Corp. 240,317 13,067
Mellon Bank Corp. 343,768 12,505
American General Corp. 165,537 12,477
Firstar Corp. 436,400 12,219
Southern Co. 459,899 12,187
Williams Cos., Inc. 285,271 12,142
CIGNA Corp. 134,214 11,945
Fifth Third Bancorp 177,300 11,802
NIKE, Inc. Class B 185,500 11,744
- - Costco Cos., Inc. 144,900 11,601
PNC Bank Corp. 200,566 11,558
Cardinal Health, Inc. 179,700 11,523
Wachovia Corp. 133,854 11,453
Sears, Roebuck & Co. 251,300 11,199
- - FDX Corp. 196,186 10,643
- - Cendant Corp. 506,700 10,387
BankBoston Corp. 195,768 10,009
Lockheed Martin Corp. 260,822 9,716
Honeywell, Inc. 83,400 9,664
Burlington Northern
Santa Fe Corp. 309,980 9,609
Union Pacific Corp. 163,400 9,528
KeyCorp 295,498 9,493
State Street Corp. 106,600 9,101
Weyerhaeuser Co. 132,310 9,096
May Department Stores Co. 220,427 9,010
The Hartford Financial
Services Group Inc. 149,670 8,728
ConAgra, Inc. 322,100 8,576
Columbia/HCA Healthcare Corp. 374,774 8,550
AFLAC, Inc. 176,800 8,464
J.C. Penney Co., Inc. 173,869 8,444
Phillips Petroleum Co. 167,228 8,414
Aetna Inc. 93,615 8,373
Coca-Cola Enterprises, Inc. 280,000 8,330
PG&E Corp. 253,083 8,225
Textron, Inc. 99,430 8,184
Rockwell International Corp. 125,968 7,653
Texas Utilities Co. 185,167 7,638
</TABLE>
4
<PAGE> 133
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
BB&T Corp. 207,702 $ 7,620
Norfolk Southern Corp. 250,625 7,550
The Chubb Corp. 106,999 7,436
- - AES Corp. 125,900 7,318
- - Federated Department
Stores, Inc. 137,633 7,286
Mattel, Inc. 274,900 7,268
- - Computer Sciences Corp. 104,800 7,251
Baker Hughes, Inc. 215,978 7,235
Northern Trust Corp. 74,200 7,197
United Healthcare Corp. 114,221 7,153
Ingersoll-Rand Co. 109,689 7,089
Progressive Corp. of Ohio 48,100 6,975
Aon Corp. 169,030 6,972
Lincoln National Corp. 132,430 6,928
Delphi Automotive Systems Corp. 372,742 6,919
- - AMR Corp. 101,268 6,912
Southwest Airlines Co. 221,400 6,891
Tribune Co. 78,200 6,813
PPG Industries, Inc. 115,330 6,812
Consolidated Edison Inc. 149,909 6,783
Franklin Resources Corp. 166,600 6,768
USX-Marathon Group 205,260 6,684
- - Micron Technology, Inc. 165,630 6,677
Conseco Inc. 213,996 6,514
CSX Corp. 143,419 6,499
FPL Group, Inc. 118,792 6,489
Masco Corp. 222,214 6,416
- - 3Com Corp. 239,400 6,389
The Limited, Inc. 140,653 6,382
Unocal Corp. 161,000 6,380
Transamerica Corp. 82,270 6,170
Marriott International, Inc.
Class A 164,900 6,163
Circuit City Stores, Inc. 66,239 6,160
Comerica, Inc. 103,112 6,129
Edison International 229,097 6,128
The Goodyear Tire & Rubber Co. 103,817 6,106
Air Products & Chemicals, Inc. 151,300 6,090
Deere & Co. 152,878 6,058
Rohm & Haas Co. 141,277 6,057
Archer-Daniels-Midland Co. 389,037 6,006
Mercantile Bancorp, Inc. 104,200 5,952
Public Service Enterprise
Group, Inc. 144,816 5,919
- - Novell, Inc. 222,007 5,883
General Dynamics Corp. 84,822 5,810
Regions Financial Corp. 149,100 5,731
Loews Corp. 72,075 5,703
Coastal Corp. 141,828 5,673
Unicom Corp. 143,108 5,519
Dominion Resources, Inc. 126,648 5,485
Reliant Energy, Inc. 195,413 5,398
- - Kmart Corp. 326,593 5,368
Georgia Pacific Group 113,226 5,364
Delta Air Lines, Inc. 92,764 5,346
PECO Energy Corp. 126,558 5,300
Danaher Corp. 90,100 5,237
Praxair, Inc. 105,000 5,138
Burlington Resources, Inc. 118,039 5,105
Entergy Corp. 162,745 5,086
UNUM Corp. 92,558 5,068
Dana Corp. 109,458 5,042
Barrick Gold Corp. 257,700 4,993
Becton, Dickinson & Co. 166,200 4,986
Dover Corp. 142,000 4,970
Occidental Petroleum Corp. 231,630 4,893
- - General Instrument Corp. 114,900 4,883
Lehman Brothers Holdings, Inc. 78,300 4,874
- - Apple Computer, Inc. 104,916 4,859
Huntington Bancshares Inc. 137,948 4,828
American Electric
Power Co., Inc. 128,244 4,817
FirstEnergy Corp. 155,331 4,815
Alcan Aluminium Ltd. 148,998 4,759
Summit Bancorp 113,697 4,754
St. Paul Cos., Inc. 149,304 4,750
Republic New York Corp. 69,392 4,732
Jefferson-Pilot Corp. 70,553 4,670
Fortune Brands, Inc. 110,244 4,561
- - Office Depot, Inc. 206,100 4,547
PaineWebber Group, Inc. 96,500 4,511
Browning-Ferris Industries, Inc. 103,615 4,455
- - LSI Logic Corp. 95,200 4,391
Eaton Corp. 47,413 4,362
TRW, Inc. 79,364 4,355
Carolina Power & Light Co. 100,701 4,311
Union Carbide Corp. 88,428 4,311
MBIA, Inc. 66,400 4,299
New York Times Co. Class A 116,416 4,286
SouthTrust Corp. 111,400 4,275
Rite Aid Corp. 172,300 4,243
Union Planters Corp. 94,200 4,210
Nabisco Group Holdings Corp. 214,300 4,192
Genuine Parts Co. 117,928 4,127
Cincinnati Financial Corp. 109,400 4,109
- - HEALTHSOUTH Corp. 273,600 4,087
SAFECO Corp. 89,355 3,943
Johnson Controls, Inc. 55,828 3,870
Consolidated Natural Gas Co. 62,833 3,817
DTE Energy Co. 95,060 3,802
- - Tenet Healthcare Corp. 203,223 3,772
- - Seagate Technology Inc. 146,900 3,764
- - Wellpoint Health Networks Inc.
Class A 44,300 3,760
- - KLA-Tencor Corp. 57,600 3,737
Whirlpool Corp. 49,878 3,691
CenturyTel, Inc. 92,850 3,691
Golden West Financial Corp. 37,345 3,660
Sempra Energy 159,353 3,605
Bear Stearns Co., Inc. 76,920 3,596
Hasbro, Inc. 128,686 3,595
Winn-Dixie Stores, Inc. 97,300 3,594
PacifiCorp 195,026 3,584
Amerada Hess Corp. 59,934 3,566
GPU, Inc. 83,955 3,542
Provident Cos., Inc. 88,400 3,536
Synovus Financial Corp. 177,300 3,524
MGIC Investment Corp. 71,800 3,491
Columbia Energy Group 55,413 3,474
</TABLE>
5
<PAGE> 134
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Service Corp. International 179,330 $ 3,452
Ameren Corp. 89,829 3,447
Willamette Industries, Inc. 74,092 3,413
- - Toys R Us, Inc. 164,690 3,407
Cinergy Corp. 105,781 3,385
W.W. Grainger, Inc. 62,324 3,354
- - ALZA Corp. 65,900 3,353
VF Corp. 78,316 3,348
- - Owens-Illinois, Inc. 101,800 3,328
Parker Hannifin Corp. 71,157 3,255
Central & South West Corp. 138,886 3,246
Cooper Industries, Inc. 62,116 3,230
CMS Energy Corp. 76,700 3,212
PP&L Resources Inc. 104,234 3,205
H & R Block, Inc. 64,000 3,200
R.R. Donnelley & Sons Co. 86,302 3,199
Countrywide Credit
Industries, Inc. 73,900 3,159
Sherwin-Williams Co. 112,760 3,129
Nordstrom, Inc. 92,900 3,112
International Flavors &
Fragrances, Inc. 69,600 3,089
Champion International Corp. 62,716 3,003
Torchmark Corp. 87,964 3,002
Northrop Grumman Corp. 45,202 2,997
- - AutoZone Inc. 98,450 2,966
Anadarko Petroleum Corp. 79,800 2,938
Brown-Forman Corp. Class B 44,962 2,931
Biomet, Inc. 73,700 2,930
Allegheny Teledyne Inc. 128,800 2,914
New Century Energies, Inc. 75,000 2,911
Bausch & Lomb, Inc. 37,987 2,906
Constellation Energy Group 97,972 2,902
Kerr-McGee Corp. 56,740 2,848
Apache Corp. 72,700 2,835
Knight Ridder 51,494 2,829
The Mead Corp. 66,840 2,791
- - National Semiconductor Corp. 109,760 2,778
PACCAR, Inc. 51,300 2,738
Nucor Corp. 57,476 2,727
AmSouth Bancorp 117,100 2,715
Eastman Chemical Co. 52,011 2,692
Union Pacific Resources
Group, Inc. 164,800 2,688
Tenneco, Inc. 111,669 2,666
Placer Dome, Inc. 213,270 2,519
Reynolds Metals Co. 42,368 2,500
Temple-Inland Inc. 36,489 2,490
Dillard's Inc. 70,149 2,464
Northern States Power Co. 100,164 2,423
Harcourt General, Inc. 46,623 2,404
Sonat, Inc. 72,256 2,393
Phelps Dodge Corp. 38,116 2,361
Case Corp. 48,632 2,340
Wendy's International, Inc. 81,770 2,315
Crown Cork & Seal Co., Inc. 80,331 2,289
Sigma-Aldrich Corp. 66,390 2,286
Inco Ltd. 126,859 2,283
Nalco Chemical Co. 43,820 2,273
ITT Industries, Inc. 59,083 2,253
Raytheon Co. Class A 32,092 2,210
- - Watson Pharmaceuticals, Inc. 62,600 2,195
Newmont Mining Corp. 110,400 2,194
- - Navistar International Corp. 43,622 2,181
- - Mirage Resorts, Inc. 129,200 2,164
- - Thermo Electron Corp. 104,920 2,105
The BFGoodrich Co. 49,098 2,087
Florida Progress Corp. 50,100 2,070
Harris Corp. 52,088 2,041
SuperValu Inc. 79,248 2,036
Fluor Corp. 49,895 2,021
Deluxe Corp. 51,500 2,005
- - Niagara Mohawk Holdings Inc. 123,696 1,987
- - Silicon Graphics, Inc. 121,264 1,986
- - St. Jude Medical, Inc. 55,580 1,980
Ashland, Inc. 49,068 1,969
- - Consolidated Stores, Inc. 71,900 1,941
Darden Restaurants Inc. 88,318 1,926
Westvaco Corp. 66,241 1,921
- - Harrah's Entertainment, Inc. 85,000 1,870
Engelhard Corp. 82,600 1,869
The Stanley Works 57,800 1,860
Raychem Corp. 50,000 1,850
Sunoco, Inc. 60,480 1,826
Great Lakes Chemical Corp. 39,065 1,799
Pall Corp. 80,400 1,784
- - Advanced Micro Devices, Inc. 97,590 1,763
Scientific-Atlanta, Inc. 48,817 1,757
- - HCR Manor Care, Inc. 72,600 1,756
Thomas & Betts Corp. 36,651 1,732
Mallinckrodt, Inc. 46,026 1,674
Louisiana-Pacific Corp. 70,199 1,667
C.R. Bard, Inc. 34,690 1,659
Brunswick Corp. 59,337 1,654
- - King World Productions, Inc. 46,222 1,609
Laidlaw, Inc. 213,345 1,573
Boise Cascade Corp. 36,382 1,564
Cummins Engine Co., Inc. 27,053 1,545
USX-U.S. Steel Group 57,080 1,541
Snap-On Inc. 42,429 1,535
Liz Claiborne, Inc. 41,707 1,522
Armstrong World
Industries Inc. 25,865 1,495
- - FMC Corp. 21,363 1,459
- - Cabletron Systems, Inc. 111,300 1,447
Centex Corp. 38,398 1,442
IKON Office Solutions, Inc. 95,435 1,432
- - Humana, Inc. 108,200 1,400
Crane Co. 44,374 1,395
Homestake Mining Co. 168,000 1,376
American Greetings Corp.
Class A 45,210 1,362
Bemis Co., Inc. 33,806 1,344
Ryder System, Inc. 46,350 1,205
NICOR, Inc. 30,737 1,170
Adolph Coors Co. Class B 23,616 1,169
Meredith Corp. 33,700 1,167
Cooper Tire & Rubber Co. 48,991 1,157
Autodesk, Inc. 38,300 1,132
Shared Medical Systems Corp. 17,200 1,122
McDermott International, Inc. 38,232 1,080
- - R.J. Reynolds Tobacco
Holdings, Inc. 33,667 1,061
</TABLE>
6
<PAGE> 135
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
EG&G, Inc. 28,925 $ 1,030
- - Andrew Corp. 53,500 1,013
- - Rowan Cos., Inc. 54,200 999
Alberto-Culver Co. Class B 36,894 982
Worthington Industries, Inc. 59,756 982
National Service Industries, Inc. 26,639 959
Tektronix, Inc. 30,500 921
Vulcan Materials Co. 18,600 897
Cyprus Amax Minerals Co. 58,788 893
Briggs & Stratton Corp. 15,150 875
Longs Drug Stores, Inc. 25,152 869
Peoples Energy Corp. 22,969 866
Ball Corp. 19,881 840
Great Atlantic & Pacific
Tea Co., Inc. 24,777 838
Potlatch Corp. 18,658 820
Polaroid Corp. 28,584 790
The Timken Co. 40,144 783
Kaufman & Broad Home Corp. 31,157 775
Helmerich & Payne, Inc. 31,916 760
The Pep Boys (Manny,
Moe & Jack) 34,223 740
- - Reebok International Ltd. 36,500 680
- - Bethlehem Steel Corp. 84,690 651
Pulte Corp. 27,882 643
ONEOK, Inc. 20,200 641
Fleetwood Enterprises, Inc. 22,722 601
Eastern Enterprises 14,725 585
Springs Industries Inc. Class A 11,726 512
ASARCO, Inc. 25,965 488
- - Data General Corp. 32,755 477
Milacron Inc. 25,153 465
- - Fruit of the Loom Inc. Class A 47,100 459
Russell Corp. 23,390 456
NACCO Industries, Inc. Class A 5,330 392
Foster Wheeler Corp. 26,700 377
Battle Mountain Gold Co. Class A 150,680 367
- - Triad Hospitals, Inc. 20,935 283
- - LifePoint Hospitals, Inc. 20,935 281
Moore Corp. Ltd. 15,559 130
- - Viacom Inc. Class A 1,532 68
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $2,851,512) 3,566,683
- -------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- -------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.3%)(1)
- -------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 4.75%, 7/22/1999 $ 400 399
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 9,519 9,519
- -------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $9,918) 9,918
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS (99.7%)
(COST $2,861,430) $3,576,601
- -------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- -------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (0.3%) $ 9,989
- -------------------------------------------------------------------------------
NET ASSETS (100%) $3,586,590
===============================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment
positions represent 99.5% and 0.2%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2)Security segregated as initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------
<S> <C>
ASSETS
Investments in Securities, at Value $3,576,601
Receivables for Investment Securities Sold 588,106
Other Assets--Note B 9,404
-----------
Total Assets 4,174,111
-----------
LIABILITIES
Payables for Investment Securities Purchased 582,192
Other Liabilities 5,329
-----------
Total Liabilities 587,521
- -------------------------------------------------------------------------------
NET ASSETS $3,586,590
===============================================================================
- -------------------------------------------------------------------------------
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------------------------
AMOUNT
(000)
- -------------------------------------------------------------------------------
Paid in Capital $2,684,299
Undistributed Net Investment Income 2,064
Accumulated Net Realized Gains 185,051
Unrealized Appreciation--Note F
Investment Securities 715,171
Futures Contracts 5
- -------------------------------------------------------------------------------
NET ASSETS $3,586,590
===============================================================================
Investor Shares--Net Assets
Applicable to 130,348,412 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,214,280
- -------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $24.66
===============================================================================
Institutional Shares--Net Assets
Applicable to 15,098,197 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $372,310
- -------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $24.66
===============================================================================
</TABLE>
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (97.9%)(1)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Microsoft Corp. 5,829,042 $ 525,707
General Electric Co. 3,764,120 425,345
International Business
Machines Corp. 2,087,935 269,865
Wal-Mart Stores, Inc. 5,119,660 247,023
- - Cisco Systems, Inc. 3,680,803 236,722
Lucent Technologies, Inc. 3,490,828 235,413
Intel Corp. 3,790,420 225,530
Exxon Corp. 2,793,051 215,414
AT&T Corp. 3,660,869 204,322
Merck & Co., Inc. 2,715,746 200,965
Citigroup, Inc. 3,887,525 184,657
- - MCI WorldCom, Inc. 2,136,552 183,877
The Coca-Cola Co. 2,838,832 177,427
American International
Group, Inc. 1,425,234 166,841
Pfizer, Inc. 1,489,019 163,420
Bristol-Myers Squibb Co. 2,284,655 160,925
Johnson & Johnson 1,547,591 151,664
Bank of America Corp. 2,007,422 147,169
- - America Online, Inc. 1,236,514 136,635
Procter & Gamble Co. 1,528,367 136,407
SBC Communications Inc. 2,259,359 131,043
Hewlett-Packard Co. 1,167,745 117,358
- - Berkshire Hathaway Inc.
Class A 1,697 116,923
Bell Atlantic Corp. 1,785,873 116,751
Philip Morris Cos., Inc. 2,775,737 111,550
Home Depot, Inc. 1,704,633 109,842
- - Dell Computer Corp. 2,903,146 107,416
BellSouth Corp. 2,181,299 102,248
Time Warner, Inc. 1,372,558 100,883
Ameritech Corp. 1,264,383 92,932
Eli Lilly & Co. 1,266,522 90,715
Schering-Plough Corp. 1,693,583 89,760
Mobil Corp. 900,284 89,128
E.I. du Pont de Nemours & Co. 1,297,658 88,646
American Home Products Corp. 1,506,762 86,639
GTE Corp. 1,117,933 84,683
The Chase Manhattan Corp. 972,508 84,243
Wells Fargo Co. 1,901,498 81,289
Bank One Corp. 1,358,691 80,927
Fannie Mae 1,179,286 80,634
Abbott Laboratories 1,749,175 79,587
Ford Motor Co. 1,392,980 78,616
The Walt Disney Co. 2,369,199 73,001
Chevron Corp. 754,028 71,774
Warner-Lambert Co. 988,239 68,559
American Express Co. 518,341 67,449
Morgan Stanley Dean
Witter & Co. 656,425 67,283
PepsiCo, Inc. 1,699,233 65,739
Motorola, Inc. 693,773 65,735
Texas Instruments, Inc. 451,030 65,399
McDonald's Corp. 1,562,308 64,543
- - EMC Corp. 1,164,686 64,058
- - Oracle Corp. 1,656,035 61,480
- - Sun Microsystems, Inc. 890,304 61,320
Sprint Corp. 998,447 52,730
Medtronic, Inc. 672,110 52,340
Gillette Co. 1,276,074 52,319
First Union Corp. 1,108,332 52,092
- - MediaOne Group, Inc. 696,675 51,815
Charles Schwab Corp. 469,661 51,604
The Gap, Inc. 988,698 49,806
The Boeing Co. 1,120,649 49,519
General Motors Corp. 746,024 49,237
Freddie Mac 799,784 46,387
Compaq Computer Corp. 1,955,746 46,327
Xerox Corp. 760,885 44,940
- - Yahoo!, Inc. 260,588 44,886
Minnesota Mining &
Manufacturing Co. 463,275 40,276
Schlumberger Ltd. 629,332 40,080
AlliedSignal Inc. 635,892 40,061
United Technologies Corp. 549,144 39,367
Anheuser-Busch Cos., Inc. 547,281 38,823
Texaco Inc. 617,228 38,577
Waste Management, Inc. 700,777 37,667
Associates First Capital Corp. 829,188 36,743
- - Amgen, Inc. 589,035 35,857
- - CBS Corp. 819,016 35,576
Kimberly-Clark Corp. 606,211 34,554
Carnival Corp. 705,505 34,217
Computer Associates
International, Inc. 617,084 33,940
U S WEST, Inc. 573,534 33,695
- - Viacom Inc. Class B 765,467 33,680
Walgreen Co. 1,140,573 33,504
Merrill Lynch & Co., Inc. 417,539 33,377
Allstate Corp. 928,387 33,306
Enron Corp. 406,824 33,258
Colgate-Palmolive Co. 336,159 33,196
Dayton Hudson Corp. 504,160 32,770
Comcast Corp. Class A Special 840,924 32,323
Dow Chemical Co. 252,801 32,074
Electronic Data Systems Corp. 566,288 32,031
The Bank of New York Co., Inc. 865,176 31,741
- - Applied Materials, Inc. 429,144 31,703
Emerson Electric Co. 500,794 31,487
Automatic Data Processing, Inc. 704,325 30,990
Atlantic Richfield Co. 370,402 30,952
- - Tellabs, Inc. 450,497 30,437
Fleet Financial Group, Inc. 649,610 28,826
Monsanto Co. 726,525 28,652
- - Sprint PCS 500,851 28,611
U.S. Bancorp 836,354 28,436
J.P. Morgan & Co., Inc. 201,983 28,379
- - Safeway, Inc. 571,348 28,282
MBNA Corp. 913,001 27,961
- - Qwest Communications
International Inc. 805,324 26,626
- - Clear Channel
Communications, Inc. 381,690 26,313
- - The Kroger Co. 940,688 26,280
Alcoa Inc. 420,904 26,043
Household International, Inc. 544,094 25,776
SunTrust Banks, Inc. 369,959 25,689
- - QUALCOMM, Inc. 176,100 25,270
Eastman Kodak Co. 365,136 24,738
Albertson's, Inc. 471,401 24,307
Caterpillar, Inc. 403,846 24,231
</TABLE>
8
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<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
First Data Corp. 494,569 $ 24,203
Washington Mutual, Inc. 677,386 23,962
National City Corp. 365,783 23,959
Lowe's Cos., Inc. 420,701 23,848
International Paper Co. 467,506 23,609
- - Level 3 Communications, Inc. 390,300 23,442
Sara Lee Corp. 1,028,805 23,341
Illinois Tool Works, Inc. 283,796 23,271
Campbell Soup Co. 496,776 23,038
Halliburton Co. 506,964 22,940
Marsh & McLennan Cos., Inc. 303,752 22,933
- - Amazon.com, Inc. 182,500 22,835
ALLTEL Corp. 318,729 22,789
Gannett Co., Inc. 317,072 22,631
CVS Corp. 442,775 22,471
Duke Energy Corp. 412,654 22,438
Raytheon Co. Class B 312,827 22,015
- - Cox Communications Class A 597,570 21,998
Firstar Corp. 771,825 21,611
- - eBay Inc. 141,900 21,480
Mellon Bank Corp. 590,320 21,473
American General Corp. 284,813 21,468
- - At Home Corp. Series A 397,544 21,442
Southern Co. 789,676 20,926
Williams Cos., Inc. 489,878 20,850
CIGNA Corp. 230,751 20,537
H.J. Heinz Co. 407,954 20,449
Baxter International, Inc. 335,551 20,343
Fifth Third Bancorp 304,454 20,265
NIKE, Inc. Class B 318,612 20,172
- - Costco Cos., Inc. 248,865 19,925
Cardinal Health, Inc. 308,714 19,796
PNC Bank Corp. 343,089 19,771
Wachovia Corp. 229,927 19,673
- - Boston Scientific Corp. 446,572 19,621
Pitney Bowes, Inc. 304,984 19,595
Corning, Inc. 276,564 19,394
Sears, Roebuck & Co. 432,364 19,267
- - Solectron Corp. 285,900 19,066
- - Cendant Corp. 909,550 18,646
- - Priceline.com Inc. 161,300 18,640
- - FDX Corp. 336,990 18,282
Guidant Corp. 342,308 17,607
BankBoston Corp. 336,258 17,191
The Equitable Cos. 253,591 16,990
- - NEXTEL Communications, Inc. 332,777 16,701
Lockheed Martin Corp. 446,756 16,642
Honeywell, Inc. 143,130 16,585
Burlington Northern
Santa Fe Corp. 532,305 16,501
Avon Products, Inc. 296,874 16,476
Columbia/HCA Healthcare Corp. 721,966 16,470
Union Pacific Corp. 280,672 16,367
KeyCorp 509,274 16,360
- - Staples, Inc. 526,626 16,292
Omnicom Group Inc. 201,928 16,154
May Department Stores Co. 391,996 16,023
- - Best Buy Co., Inc. 235,200 15,876
State Street Corp. 185,641 15,849
Bestfoods 318,813 15,781
Weyerhaeuser Co. 226,474 15,570
The Hartford Financial
Services Group Inc. 260,383 15,183
Kellogg Co. 459,799 15,173
Providian Financial Corp. 161,193 15,071
Newell Rubbermaid, Inc. 319,264 14,846
ConAgra, Inc. 554,080 14,752
Textron, Inc. 176,737 14,548
J.C. Penney Co., Inc. 298,557 14,499
AFLAC, Inc. 302,776 14,495
Phillips Petroleum Co. 287,615 14,471
- - BMC Software, Inc. 267,690 14,455
Coca-Cola Enterprises, Inc. 480,863 14,306
The Clorox Co. 133,735 14,284
Aetna Inc. 159,487 14,264
- - Kohl's Corp. 184,353 14,230
PG&E Corp. 434,532 14,122
General Mills, Inc. 174,595 14,033
Intimate Brands, Inc. 295,575 14,003
- - AMR Corp. 203,341 13,878
Interpublic Group of Cos., Inc. 159,249 13,795
- - CMGI Inc 115,392 13,162
Rockwell International Corp. 215,698 13,104
BB&T Corp. 356,198 13,068
- - Compuware Corp. 409,989 13,043
United Healthcare Corp. 207,725 13,009
Texas Utilities Co. 315,005 12,994
Norfolk Southern Corp. 431,217 12,990
The Chubb Corp. 181,430 12,609
- - AES Corp. 216,586 12,589
Mattel, Inc. 472,893 12,502
- - Computer Sciences Corp. 180,252 12,471
Capital One Financial Corp. 223,826 12,464
Baker Hughes, Inc. 371,633 12,450
- - Federated Department
Stores, Inc. 233,490 12,360
Northern Trust Corp. 126,563 12,277
Ingersoll-Rand Co. 188,046 12,152
The McGraw-Hill Cos., Inc. 224,115 12,088
Vodafone AirTouch PLC ADR 61,143 12,045
TJX Cos., Inc. 359,757 11,984
Aon Corp. 290,262 11,973
Delphi Automotive
Systems Corp. 641,252 11,903
Southwest Airlines Co. 382,152 11,894
Wrigley, (Wm.) Jr. Co. 131,979 11,878
Progressive Corp. of Ohio 81,833 11,866
- - Unisys Corp. 304,353 11,851
Tribune Co. 135,701 11,823
Lincoln National Corp. 225,449 11,794
Linear Technology Corp. 175,092 11,775
Consolidated Edison Inc. 259,597 11,747
PPG Industries, Inc. 196,337 11,596
- - Immunex Corp. 90,900 11,584
Frontier Corp. 196,182 11,575
Franklin Resources Corp. 281,864 11,451
USX-Marathon Group 350,280 11,406
- - Micron Technology, Inc. 282,609 11,393
IMS Health, Inc. 358,747 11,211
CSX Corp. 246,781 11,182
Ralston-Ralston Purina Group 367,354 11,181
Unocal Corp. 281,830 11,167
Conseco Inc. 366,522 11,156
The Limited, Inc. 245,828 11,154
</TABLE>
9
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Sysco Corp. 371,387 $ 11,072
FPL Group, Inc. 202,386 11,055
- - Biogen, Inc. 170,400 10,959
- - 3Com Corp. 409,953 10,941
Masco Corp. 378,421 10,927
Tandy Corp. 220,962 10,799
- - E*TRADE Group, Inc. 267,400 10,679
Pioneer Hi-Bred
International, Inc. 271,794 10,583
Comerica, Inc. 177,919 10,575
Deere & Co. 266,814 10,572
Marriott International, Inc.
Class A 282,736 10,567
Edison International 393,491 10,526
- - Gateway, Inc. 177,632 10,480
Transamerica Corp. 139,557 10,467
PECO Energy Corp. 249,332 10,441
The Goodyear Tire & Rubber Co. 177,032 10,412
Circuit City Stores, Inc. 111,867 10,404
Air Products & Chemicals, Inc. 256,517 10,325
- - Maxim Integrated Products, Inc. 155,000 10,307
Rohm & Haas Co. 240,346 10,305
Mercantile Bancorp, Inc. 178,946 10,222
Archer-Daniels-Midland Co. 660,473 10,196
Public Service Enterprise
Group, Inc. 248,946 10,176
McKesson HBOC, Inc. 314,371 10,099
The Quaker Oats Co. 152,018 10,090
- - Lexmark International
Group, Inc. Class A 151,600 10,015
- - Novell, Inc. 374,939 9,936
General Dynamics Corp. 144,559 9,902
Loews Corp. 124,238 9,830
Regions Financial Corp. 253,898 9,759
Coastal Corp. 241,974 9,679
Harley-Davidson, Inc. 177,292 9,640
- - Xilinx, Inc. 167,400 9,584
Unicom Corp. 246,502 9,506
Hershey Foods Corp. 160,008 9,500
Fort James Corp. 250,535 9,489
- - Office Depot, Inc. 428,437 9,452
Dominion Resources, Inc. 217,951 9,440
- - Tricon Global Restaurants, Inc. 174,298 9,434
- - Analog Devices, Inc. 186,005 9,335
Georgia Pacific Group 196,834 9,325
- - Kmart Corp. 563,818 9,268
- - AutoNation, Inc. 519,958 9,262
Reliant Energy, Inc. 334,502 9,241
Delta Air Lines, Inc. 158,017 9,106
- - Veritas Software Corp. 95,325 9,050
- - Chancellor Media Corp. 162,356 8,950
Paychex, Inc. 273,784 8,727
Dover Corp. 248,862 8,710
Entergy Corp. 278,002 8,687
Danaher Corp. 149,200 8,672
UNUM Corp. 157,880 8,644
Cintas Corp. 128,400 8,627
Praxair, Inc. 175,672 8,597
Dana Corp. 185,657 8,552
Burlington Resources, Inc. 197,529 8,543
Becton, Dickinson & Co. 284,412 8,532
Donaldson, Lufkin &
Jenrette, Inc. 140,200 8,447
Allergan, Inc. 75,912 8,426
- - Cablevision Systems Corp.
Class B 120,300 8,421
SLM Holding Corp. 183,720 8,417
St. Paul Cos., Inc. 262,926 8,364
Occidental Petroleum Corp. 395,001 8,344
Royal Caribbean Cruises, Ltd. 190,000 8,312
Lehman Brothers Holdings, Inc. 133,288 8,297
- - Altera Corp. 225,240 8,292
- - General Instrument Corp. 193,668 8,231
Huntington Bancshares Inc. 235,135 8,230
- - Apple Computer, Inc. 177,549 8,223
American Electric
Power Co., Inc. 218,385 8,203
FirstEnergy Corp. 263,906 8,181
Republic New York Corp. 119,496 8,148
- - CNA Financial Corp. 201,684 8,130
Summit Bancorp 193,693 8,099
Kansas City Southern
Industries, Inc. 125,247 7,992
Marshall & Ilsley Corp. 123,291 7,937
Jefferson-Pilot Corp. 119,296 7,896
Fortune Brands, Inc. 190,802 7,894
- - Starbucks Corp. 209,300 7,862
Avery Dennison Corp. 129,676 7,829
- - General Motors Corp. Class H 137,594 7,740
PaineWebber Group, Inc. 165,492 7,737
- - VISIX Inc. 96,884 7,672
Browning-Ferris Industries, Inc. 176,041 7,570
- - LSI Logic Corp. 162,391 7,490
Eaton Corp. 81,364 7,485
- - Uniphase Corp. 45,000 7,470
- - Outdoor Systems, Inc. 203,903 7,442
New York Times Co. Class A 202,007 7,436
Equity Office Properties
Trust REIT 289,511 7,419
TRW, Inc. 133,321 7,316
SouthTrust Corp. 189,622 7,277
- - Global TeleSystems Group, Inc. 89,500 7,249
Carolina Power & Light Co. 168,516 7,214
Union Carbide Corp. 147,937 7,212
Nabisco Group Holdings Corp. 368,653 7,212
Union Planters Corp. 161,054 7,197
Dollar General Corp. 246,991 7,163
MBIA, Inc. 110,605 7,162
- - ADC Telecommunications, Inc. 156,800 7,144
Rite Aid Corp. 288,688 7,109
- - Inktomi Corp. 53,800 7,075
- - Knight/Trimark Group, Inc. 117,200 7,069
UnionBanCal Corp. 195,200 7,052
- - HEALTHSOUTH Corp. 469,871 7,019
Genuine Parts Co. 200,292 7,010
- - NTL Inc. 81,300 7,007
Cincinnati Financial Corp. 186,301 6,998
Maytag Corp. 100,220 6,984
- - Teradyne, Inc. 97,129 6,969
- - Seagate Technology Inc. 271,405 6,955
Estee Lauder Cos. Class A 137,642 6,899
- - AmeriTrade Holding Corp. 64,900 6,879
- - Siebel Systems, Inc. 102,733 6,819
</TABLE>
10
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Univision Communications Inc. 102,800 $ 6,785
Johnson Controls, Inc. 96,701 6,702
Stryker Corp. 111,100 6,680
SAFECO Corp. 151,346 6,678
Molex, Inc. 179,287 6,634
PE Corp. PE Biosystems Group 57,230 6,567
Dun & Bradstreet Corp. 183,958 6,519
DTE Energy Co. 162,291 6,492
Consolidated Natural Gas Co. 106,207 6,452
ServiceMaster Co. 343,650 6,443
- - Tenet Healthcare Corp. 345,293 6,409
- - Wellpoint Health Networks Inc.
Class A 75,493 6,407
- - KLA-Tencor Corp. 97,624 6,333
Leggett & Platt, Inc. 227,200 6,319
Ecolab, Inc. 144,351 6,297
Whirlpool Corp. 84,995 6,290
CenturyTel, Inc. 158,104 6,285
- - Concord EFS, Inc. 148,037 6,264
- - Intuit, Inc. 69,500 6,264
Food Lion Inc. Class A 526,200 6,249
- - Conexant Systems, Inc. 107,583 6,246
- - Metromedia Fiber Network, Inc. 173,700 6,242
Washington Post Co. Class B 11,600 6,238
Galileo International, Inc. 116,500 6,225
- - Bed Bath & Beyond, Inc. 160,704 6,187
Black & Decker Corp. 97,622 6,162
Equity Residential Properties
Trust REIT 135,513 6,106
Golden West Financial Corp. 62,244 6,100
PacifiCorp 330,994 6,082
- - Healtheon Corp. 78,900 6,075
Hasbro, Inc. 217,385 6,073
UST, Inc. 207,031 6,056
Sempra Energy 266,648 6,033
GPU, Inc. 142,781 6,023
Winn-Dixie Stores, Inc. 162,660 6,008
Starwood Hotels & Resorts
Worldwide, Inc. 196,551 6,007
Tyson Foods, Inc. 266,289 5,991
Amerada Hess Corp. 100,614 5,986
Ameren Corp. 155,802 5,979
First Security Corp. 219,282 5,975
Bear Stearns Co., Inc. 127,566 5,964
Provident Cos., Inc. 147,753 5,910
Conoco Inc. 211,700 5,901
Equifax, Inc. 164,741 5,879
- - Comverse Technology, Inc. 77,625 5,861
Synovus Financial Corp. 294,413 5,851
Service Corp. International 303,580 5,844
Columbia Energy Group 92,985 5,829
MGIC Investment Corp. 119,682 5,819
- - USA Networks, Inc. 144,824 5,811
- - Broadcom Corp. 40,100 5,797
- - Vitesse Semiconductor Corp. 85,800 5,786
- - Quintiles Transnational Corp. 137,668 5,782
- - Toys R Us, Inc. 278,090 5,753
Zions Bancorp 90,488 5,746
VF Corp. 134,002 5,728
- - Abercrombie & Fitch Co. 119,236 5,723
- - Jones Apparel Group, Inc. 166,662 5,719
- - Gulfstream Aerospace Corp. 84,600 5,716
- - NCR Corp. 117,032 5,713
First American Corp. (Tenn.) 137,360 5,709
Willamette Industries, Inc. 123,526 5,690
Cooper Industries, Inc. 109,305 5,684
First Tennessee National Corp. 148,100 5,674
- - ALZA Corp. 111,361 5,665
W.W. Grainger, Inc. 105,184 5,660
Cinergy Corp. 175,743 5,624
- - Owens-Illinois, Inc. 171,954 5,621
Adobe Systems, Inc. 67,983 5,585
- - Citrix Systems, Inc. 98,500 5,565
- - The Goldman Sachs Group, Inc. 77,000 5,563
Central & South West Corp. 236,686 5,532
Parker Hannifin Corp. 120,764 5,525
R.R. Donnelley & Sons Co. 148,772 5,514
Vulcan Materials Co. 114,070 5,504
- - Broadcast.com, Inc. 41,000 5,476
CMS Energy Corp. 130,260 5,455
H & R Block, Inc. 108,926 5,446
PP&L Resources Inc. 176,895 5,439
- - Exodus Communications, Inc. 45,200 5,421
Dow Jones & Co., Inc. 102,148 5,420
Charter One Financial 193,591 5,384
Vastar Resources, Inc. 102,600 5,380
Countrywide Credit
Industries, Inc. 125,388 5,360
Torchmark Corp. 156,916 5,355
T. Rowe Price 138,800 5,326
Sherwin-Williams Co. 191,480 5,313
Nordstrom, Inc. 157,396 5,273
International Flavors &
Fragrances, Inc. 118,406 5,254
Old Kent Financial Corp. 125,155 5,241
- - Infinity Broadcasting Corp. 175,900 5,233
The CIT Group, Inc. 180,800 5,221
- - Ceridian Corp. 158,417 5,178
Anadarko Petroleum Corp. 140,240 5,162
Champion International Corp. 106,490 5,098
Northrop Grumman Corp. 76,635 5,082
- - RealNetworks, Inc. 73,400 5,055
- - AutoZone Inc. 167,027 5,032
- - NorthPoint Communications
Group, Inc. 137,600 5,022
Weatherford International, Inc. 137,129 5,022
- - Sanmina Corp. 66,079 5,014
- - U.S. Cellular Corp. 93,700 5,013
The Times Mirror Co. Class A 84,246 4,991
Telephone & Data Systems, Inc. 68,000 4,968
Biomet, Inc. 124,816 4,961
Allegheny Teledyne Inc. 218,875 4,952
New Century Energies, Inc. 127,527 4,950
Constellation Energy Group 165,653 4,907
El Paso Energy Corp. 139,436 4,906
- - Loral Space & Communications 271,484 4,887
- - Smurfit-Stone Container Corp. 237,623 4,886
- - Sealed Air Corp. 75,288 4,884
Brown-Forman Corp. Class B 74,659 4,867
Reader's Digest Assn., Inc.
Class A 122,406 4,866
- - Republic Services, Inc. Class A 195,900 4,848
Kerr-McGee Corp. 96,386 4,837
Knight Ridder 87,594 4,812
</TABLE>
11
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Saks Inc. 166,556 $ 4,809
Family Dollar Stores, Inc. 200,200 4,805
Apache Corp. 123,031 4,798
Bausch & Lomb, Inc. 62,138 4,753
The Mead Corp. 113,446 4,736
- - Quantum Corp. 195,600 4,719
- - PeopleSoft, Inc. 273,206 4,713
- - VeriSign, Inc. 54,600 4,709
- - National Semiconductor Corp. 185,065 4,684
Florida Progress Corp. 112,879 4,663
Simon Property Group, Inc. REIT 183,672 4,661
PACCAR, Inc. 87,177 4,653
Reliastar Financial Corp. 106,192 4,646
- - eToys Inc. 113,500 4,625
Tosco Corp. 178,058 4,618
AmSouth Bancorp 198,612 4,605
Nucor Corp. 97,001 4,601
Allegheny Energy, Inc. 142,600 4,572
Union Pacific Resources
Group, Inc. 280,056 4,568
Popular, Inc. 150,056 4,548
- - Genzyme Corp. 93,478 4,534
Comdisco, Inc. 176,750 4,529
- - McLeodUSA, Inc. Class A 82,100 4,515
Tenneco, Inc. 189,049 4,513
AMBAC Financial Group Inc. 78,944 4,510
- - SunGard Data Systems, Inc. 130,700 4,509
- - Synopsys, Inc. 81,586 4,502
KeySpan Corp. 170,535 4,498
Eastman Chemical Co. 86,649 4,484
Montana Power Co. 63,600 4,484
- - Network Appliance, Inc. 80,100 4,475
- - CNET, Inc. 77,400 4,460
- - FISERV, INC. 142,439 4,460
- - American Power
Conversion Corp. 221,000 4,448
- - Forest Laboratories, Inc. 96,084 4,444
- - Rhythms NetConnections Inc. 75,800 4,425
Dial Corp. 118,663 4,413
Hercules, Inc. 111,980 4,402
- - Lycos, Inc. 47,902 4,401
M & T Bank Corp. 7,956 4,376
Case Corp. 90,767 4,368
- - American Eagle Outfitters, Inc. 95,800 4,359
- - Covad Communications
Group, Inc. 81,250 4,332
Raytheon Co. Class A 62,770 4,323
- - Chiron Corp. 207,632 4,308
Diamond Offshore Drilling, Inc. 151,200 4,290
- - Jabil Circuit, Inc. 94,800 4,278
Reynolds Metals Co. 71,958 4,245
- - Adaptec, Inc. 120,000 4,238
Federal-Mogul Corp. 81,200 4,222
- - US Airways Group, Inc. 96,852 4,219
Temple-Inland Inc. 61,658 4,208
- - MedImmune Inc. 62,100 4,207
- - Allied Waste Industries, Inc. 212,390 4,195
- - DST Systems, Inc. 66,700 4,194
- - Hispanic Broadcasting Corp. 55,100 4,181
ITT Industries, Inc. 108,808 4,148
Dillard's Inc. 117,873 4,140
- - Parametric Technology Corp. 298,350 4,140
Northern States Power Co. 170,199 4,117
Hilton Hotels Corp. 288,845 4,098
- - Cadence Design Systems, Inc. 321,362 4,097
- - Litton Industries, Inc. 57,069 4,095
- - Sterling Commerce, Inc. 110,885 4,047
Potomac Electric Power Co. 136,900 4,030
Allmerica Financial Corp. 66,215 4,027
Harcourt General, Inc. 77,935 4,019
Sonat, Inc. 121,215 4,015
- - DoubleClick Inc. 43,600 4,000
Green Point Financial Corp. 121,700 3,993
Phelps Dodge Corp. 64,449 3,992
- - SCI Systems, Inc. 83,916 3,986
E.W. Scripps Co. Class A 83,676 3,980
The Pepsi Bottling Group, Inc. 171,700 3,960
- - R.J. Reynolds Tobacco
Holdings, Inc. 125,597 3,956
- - Portal Software, Inc. 85,300 3,950
Mylan Laboratories, Inc. 148,950 3,947
Pinnacle West Capital Corp. 97,800 3,936
Cincinnati Bell, Inc. 157,500 3,928
Public Storage, Inc. REIT 139,602 3,909
Wendy's International, Inc. 137,736 3,900
Crown Cork & Seal Co., Inc. 136,468 3,889
- - American Standard Cos., Inc. 80,700 3,874
- - Andrx Corp. 50,200 3,872
Sigma-Aldrich Corp. 112,253 3,866
- - Electronic Arts Inc. 71,100 3,857
- - American Tower Corp. Class A 160,400 3,850
NiSource, Inc. 148,860 3,842
- - Century Communications Corp.
Class A 83,100 3,823
- - Pacificare Health Systems, Inc. 53,036 3,815
Tiffany & Co. 39,468 3,809
- - Allegiance Telecom, Inc. 69,300 3,803
- - Centocor, Inc. 81,548 3,802
- - QLogic Corp. 28,654 3,782
- - Lear Corp. 76,000 3,781
FINOVA Group, Inc. 71,729 3,775
- - UAL Corp. 57,980 3,769
Energy East Corp. 143,400 3,728
Nalco Chemical Co. 71,812 3,725
Symbol Technologies, Inc. 100,713 3,714
- - Watson Pharmaceuticals, Inc. 105,896 3,713
- - Fox Entertainment Group, Inc.
Class A 137,200 3,696
- - Mirage Resorts, Inc. 219,976 3,685
- - Navistar International Corp. 73,411 3,671
Newmont Mining Corp. 184,127 3,660
- - Convergys Corp. 188,200 3,623
Total System Services, Inc. 189,386 3,598
Engelhard Corp. 158,669 3,590
- - Waters Corp. 67,000 3,559
- - United International Holdings,
Inc. Class A 52,600 3,557
ProLogis Trust REIT 175,117 3,546
North Fork Bancorp, Inc. 165,930 3,536
A.G. Edwards & Sons, Inc. 109,449 3,530
- - i2 Technologies, Inc. 81,800 3,517
- - Thermo Electron Corp. 175,006 3,511
New England Electric System 69,800 3,499
Viad Corp. 112,863 3,492
</TABLE>
12
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
The BFGoodrich Co. 82,003 $ 3,485
Enron Oil & Gas Co. 171,124 3,465
TECO Energy, Inc. 152,300 3,465
Starwood Financial Trust REIT 55,600 3,447
Sonoco Products Co. 115,036 3,444
Compass Bancshares Inc. 126,274 3,441
DPL Inc. 186,775 3,432
- - CIENA Corp. 113,600 3,429
Deluxe Corp. 87,905 3,423
SuperValu Inc. 133,011 3,417
Harris Corp. 86,618 3,394
Fluor Corp. 83,618 3,387
- - SFX Entertainment, Inc. 50,788 3,381
- - Silicon Graphics, Inc. 206,358 3,379
- - SPX Corp. 40,403 3,374
Crescent Real Estate, Inc. REIT 141,400 3,358
Young & Rubicam Inc. 73,900 3,358
Unitrin, Inc. 81,810 3,354
Hormel Foods Corp. 83,300 3,353
Darden Restaurants Inc. 153,705 3,353
- - RCN Corp. 80,500 3,351
Dynegy,Inc. 164,200 3,346
- - Outback Steakhouse 84,500 3,322
- - St. Jude Medical, Inc. 93,144 3,318
Wisconsin Energy Corp. 132,323 3,316
- - Niagara Mohawk Holdings Inc. 206,418 3,316
- - Consolidated Stores, Inc. 121,913 3,292
Hillenbrand Industries, Inc. 76,100 3,291
- - Golden State Bancorp Inc. 149,443 3,288
- - MGM Grand, Inc. 66,995 3,283
- - Health Management Associates
Class A 291,532 3,280
Archstone Communities Trust
REIT 149,368 3,277
DQE Inc. 81,507 3,270
- - Infoseek Corp. 68,100 3,265
Vornado Realty Trust REIT 92,300 3,259
- - E-Tek Dynamics, Inc. 68,400 3,253
- - Rational Software Corp. 98,763 3,253
- - BroadVision, Inc. 44,100 3,252
- - Sybron International Corp. 117,692 3,244
Ashland, Inc. 80,414 3,227
- - RF Micro Devices, Inc. 43,100 3,216
- - TV Guide, Inc. 87,300 3,197
- - Citizens Utilities Co. Class B 286,451 3,187
Westvaco Corp. 109,644 3,180
- - Extreme Networks, Inc. 54,700 3,176
USG Corp. 56,700 3,175
ENSCO International, Inc. 159,024 3,171
TCA Cable TV, Inc. 57,000 3,164
- - Ariba, Inc. 32,500 3,161
Martin Marietta Materials, Inc. 53,526 3,158
Raychem Corp. 85,291 3,156
Sunoco, Inc. 103,964 3,138
- - Premier Parks Inc. 84,800 3,116
- - CustomTracks Corp. 55,675 3,114
The Stanley Works 96,691 3,112
- - Global Marine, Inc. 201,100 3,104
LG&E Energy Corp. 147,757 3,103
BHC Communications, Inc.
Class A 24,085 3,098
Freeport-McMoRan Copper &
Gold Inc. Class B 172,432 3,093
- - Promus Hotel Corp. 99,430 3,082
- - Harrah's Entertainment, Inc. 139,871 3,077
Cummins Engine Co., Inc. 53,602 3,062
- - Crown Castle International Corp. 146,400 3,047
- - Nabors Industries, Inc. 124,300 3,038
Great Lakes Chemical Corp. 65,929 3,037
Hubbell Inc. Class B 66,900 3,036
Pall Corp. 136,699 3,033
Scientific-Atlanta, Inc. 84,240 3,033
- - Electronics for Imaging, Inc. 59,000 3,031
- - MindSpring Enterprises, Inc. 68,400 3,031
- - Sepracor Inc. 37,200 3,023
Transocean Offshore, Inc. 115,100 3,021
Associated Banc-Corp. 72,708 3,017
- - Atmel Corp. 115,000 3,012
- - VoiceStream Wireless Corp. 105,900 3,012
- - Dollar Tree Stores, Inc. 68,312 3,006
Thomas & Betts Corp. 63,365 2,994
- - HCR Manor Care, Inc. 123,651 2,991
Host Marriott Corp. REIT 251,244 2,984
Bowater Inc. 62,700 2,963
- - Noble Drilling Corp. 150,300 2,959
- - Redback Networks Inc. 23,500 2,951
- - Metro-Goldwyn-Mayer Inc. 161,084 2,940
Santa Fe International Corp. 127,800 2,939
- - Applied Micro Circuits Corp. 35,700 2,936
- - Adelphia Communications
Corp. Class A 46,100 2,933
Mercantile Bankshares Corp. 82,500 2,918
- - Advanced Micro Devices, Inc. 161,177 2,911
- - Novellus Systems, Inc. 42,500 2,901
- - Northwest Airlines Corp.
Class A 89,100 2,896
Apartment Investment &
Management Co. Class A REIT 67,496 2,885
- - Emulex Corp. 25,850 2,874
C.R. Bard, Inc. 59,795 2,859
ICN Pharmaceuticals, Inc. 88,691 2,855
- - Legato Systems, Inc. 49,400 2,853
Hibernia Corp. Class A 181,783 2,852
Mallinckrodt, Inc. 78,315 2,849
Southdown, Inc. 44,236 2,842
Louisiana-Pacific Corp. 119,409 2,836
Solutia, Inc. 132,913 2,833
FirstMerit Corp. 100,941 2,833
First Virginia Banks, Inc. 57,560 2,828
Lafarge Corp. 79,600 2,821
- - Verio Inc. 40,300 2,801
- - Perot Systems Corp. 94,800 2,797
Transatlantic Holdings, Inc. 37,300 2,795
- - Microchip Technology, Inc. 58,950 2,793
- - Snyder Communications, Inc. 85,249 2,792
- - PSINet, Inc. 63,500 2,778
Astoria Financial Corp. 63,195 2,777
- - Park Place Entertainment 286,598 2,776
- - Keebler Foods Co. 91,300 2,773
Brunswick Corp. 99,145 2,764
TCF Financial Corp. 99,062 2,761
Travelers Property Casualty
Corp. 70,500 2,758
SCANA Corp. 118,000 2,758
</TABLE>
13
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - MiniMed, Inc. 35,800 $ 2,754
- - PRIMEDIA Inc. 162,000 2,744
Hertz Corp. Class A 44,200 2,740
- - Robert Half International, Inc. 105,400 2,740
Consolidated Papers 102,200 2,734
- - King World Productions, Inc. 77,996 2,715
- - Affiliated Computer Services,
Inc. Class A 53,581 2,713
Old Republic International Corp. 156,550 2,710
- - Omnipoint Corp. 93,500 2,706
Boise Cascade Corp. 62,891 2,704
American Water Works Co., Inc. 87,700 2,697
- - Shaw Industries, Inc. 163,200 2,693
Commerce Bancshares, Inc. 66,812 2,689
Ross Stores, Inc. 53,312 2,686
Bergen Brunswig Corp. Class A 154,281 2,661
Premark International, Inc. 70,867 2,658
- - Continental Airlines, Inc.
Class B 70,500 2,653
USX-U.S. Steel Group 97,913 2,644
A. H. Belo Corp. Class A 134,112 2,640
Lyondell Chemical Co. 127,946 2,639
Dime Bancorp, Inc. 131,060 2,638
- - Northeast Utilities 148,700 2,630
- - EchoStar Communications Corp. 17,100 2,624
The St. Joe Co. 96,700 2,611
American Bankers Insurance
Group 47,900 2,608
- - Storage Technology Corp. 114,610 2,607
Conectiv, Inc. 106,475 2,602
- - Cree Research, Inc. 33,748 2,596
- - Go2Net, Inc. 28,200 2,591
Liz Claiborne, Inc. 70,868 2,587
McCormick & Co., Inc. 81,517 2,573
Kimco Realty Corp. REIT 65,550 2,565
Spieker Properties, Inc. REIT 65,800 2,558
- - NEXTLINK Communications, Inc. 34,300 2,551
Armstrong World Industries Inc. 44,059 2,547
- - Verity, Inc. 47,000 2,547
National Community Bancorp 116,308 2,544
Avalonbay Communities, Inc.REIT 68,763 2,544
- - International Network Services 62,800 2,536
- - Winstar Communications, Inc. 52,000 2,535
- - BJ's Wholesale Club, Inc. 84,300 2,534
- - Express Scripts 42,100 2,534
The Timber Co. 100,298 2,533
- - Sterling Software, Inc. 94,800 2,530
IBP, Inc. 106,100 2,520
Flowers Industries, Inc. 116,025 2,516
Hannaford Brothers Co. 46,800 2,504
UtiliCorp United, Inc. 102,750 2,498
- - BEA Systems, Inc. 87,200 2,491
- - FMC Corp. 36,430 2,489
Boston Properties, Inc. REIT 69,300 2,486
Murphy Oil Corp. 50,900 2,485
Nabisco Holdings Corp. Class A 57,400 2,483
- - Cabletron Systems, Inc. 190,733 2,480
Alliant Energy Corp. 87,282 2,477
Sotheby's Holdings Class A 64,800 2,471
IKON Office Solutions, Inc. 164,465 2,467
- - Associated Group, Inc. 37,492 2,442
- - Smith International, Inc. 56,000 2,433
Protective Life Corp. 73,400 2,422
- - Humana, Inc. 186,778 2,416
- - InfoSpace.com, Inc. 51,300 2,411
Waddell & Reed Financial, Inc.
Class B 89,001 2,403
- - Apollo Group, Inc. Class A 90,312 2,399
Centex Corp. 63,812 2,397
- - BJ Services Co. 81,184 2,390
Cordant Technologies, Inc. 52,800 2,386
- - Network Associates, Inc. 160,939 2,364
Comair Holdings, Inc. 113,019 2,352
- - MidAmerican Energy
Holdings Co. 67,800 2,348
- - Rambus Inc. 25,400 2,342
- - Valassis Communications, Inc. 63,850 2,339
Homestake Mining Co. 285,042 2,334
Legg Mason Inc. 60,600 2,333
- - Mandalay Resort Group 110,041 2,325
- - TMP Worldwide, Inc. 36,600 2,324
American Greetings Corp.
Class A 77,019 2,320
Fastenal Co. 44,200 2,318
- - U.S. Foodservice 54,300 2,315
CCB Financial Corp. 43,766 2,314
Crane Co. 73,590 2,313
IMC Global Inc. 131,206 2,313
Puget Sound Energy Inc. 96,263 2,310
Snap-On Inc. 63,709 2,305
- - United Rentals, Inc. 77,807 2,295
- - Gartner Group, Inc. Class A 111,300 2,282
Diebold, Inc. 79,196 2,277
Johns Manville Corp. 175,100 2,276
Metris Cos., Inc. 55,646 2,268
International Game Technology 122,502 2,266
American Financial Group, Inc. 66,400 2,262
- - Sanchez Computer
Associates, Inc. 65,320 2,262
Wesco Financial Corp. 7,212 2,236
Sovereign Bancorp, Inc. 184,027 2,231
- - Gentex Corp. 79,548 2,227
- - Tech Data Corp. 58,222 2,227
Illinova Corp. 81,700 2,226
- - Macromedia 63,123 2,225
- - Safeguard Scientifics, Inc. 35,594 2,207
Ultramar Diamond Shamrock
Corp. 101,168 2,207
OGE Energy Corp. 92,800 2,204
AVX Corp. 90,100 2,196
Peoples Bank Bridgeport 71,950 2,190
Cornerstone Properties, Inc.
REIT 137,900 2,189
- - Cooper Cameron Corp. 58,900 2,183
- - Barnes & Noble, Inc. 79,552 2,178
HRPT Properties Trust REIT 141,800 2,171
Peoples Heritage Financial
Group Inc. 115,382 2,171
- - Vignette Corp. 28,900 2,168
- - AnnTaylor Stores Corp. 48,100 2,165
Meditrust Corp. 165,539 2,162
AMB Property Corp. REIT 91,900 2,160
Pentair, Inc. 47,050 2,153
Bemis Co., Inc. 54,141 2,152
</TABLE>
14
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - EarthLink Network, Inc. 35,000 $ 2,150
Provident Financial Group, Inc. 49,150 2,150
The PMI Group Inc. 34,200 2,148
- - Pixar, Inc. 49,800 2,148
- - Acxiom Corp. 85,878 2,142
Duke Realty Investments, Inc.
REIT 94,892 2,141
- - Proxim, Inc. 36,900 2,140
- - J.D. Edwards & Co. 115,600 2,139
Erie Indemnity Co. Class A 74,600 2,126
National Fuel Gas Co. 43,800 2,124
- - Critical Path, Inc. 38,300 2,118
IPALCO Enterprises, Inc. 99,900 2,117
- - Arrow Electronics, Inc. 111,198 2,113
- - CDW Computer Centers, Inc. 48,000 2,112
BEC Energy 51,100 2,108
Wilmington Trust Corp. 36,700 2,106
- - Mohawk Industries, Inc. 69,100 2,099
- - Foundation Health Systems
Class A 139,878 2,098
- - Williams Sonoma, Inc. 60,216 2,096
CNF Transportation, Inc. 54,599 2,095
Harte-Hanks, Inc. 77,200 2,094
- - USWeb Corp. 94,350 2,093
- - Level One Communications 42,750 2,092
- - Nova Corp. (Georgia) 83,609 2,090
BancWest Corp. 56,300 2,090
- - Jones Intercable Inc. 42,300 2,073
- - MMC Networks, Inc. 46,300 2,072
CNB Bancshares, Inc. 36,348 2,072
- - SDL, Inc. 40,500 2,068
Ryder System, Inc. 79,391 2,064
Herman Miller, Inc. 98,216 2,063
Whitman Corp. 114,525 2,061
American National
Insurance Co. 28,900 2,059
Optical Coating Laboratory, Inc. 24,481 2,047
Meritor Automotive, Inc. 80,166 2,044
- - Brinker International, Inc. 75,129 2,043
Millennium Chemicals, Inc. 86,682 2,042
Owens Corning 59,305 2,039
Reynolds & Reynolds Class A 87,400 2,038
- - hi/fn, inc. 26,643 2,028
- - Thermo Instrument Systems, Inc. 119,972 2,025
- - Vishay Intertechnology, Inc. 96,300 2,022
Manpower Inc. 89,300 2,020
- - Payless ShoeSource, Inc. 37,744 2,019
GATX Corp. 53,000 2,017
U.S. Industries, Inc. 118,350 2,012
Shared Medical Systems Corp. 30,721 2,005
Centura Banks, Inc. 35,418 1,997
- - R & B Falcon Corp. 212,763 1,995
- - Security First Technologies Corp. 44,128 1,991
- - LAM Research Corp. 42,539 1,986
- - MIPS Technologies, Inc. 41,400 1,985
Mack-Cali Realty Corp. REIT 64,100 1,983
Dole Food Co. 67,500 1,983
Western Resources, Inc. 74,143 1,974
York International Corp. 46,100 1,974
- - DSP Communications, Inc. 68,200 1,969
Meredith Corp. 56,810 1,967
Mercury General Corp. 57,800 1,965
NICOR, Inc. 51,535 1,962
- - VerticalNet, Inc. 18,700 1,961
Adolph Coors Co. Class B 39,554 1,958
Millipore Corp. 48,251 1,957
- - Lamar Advertising Co. Class A 47,800 1,957
- - ISS Group, Inc. 51,800 1,955
- - LHS Group, Inc. 59,000 1,954
Devon Energy Corp. 54,633 1,953
- - ACNielson Corp. 64,255 1,944
Cooper Tire & Rubber Co. 81,907 1,935
Hudson United Bancorp 63,166 1,934
- - Advanced Fibre
Communications, Inc. 123,800 1,934
- - Ingram Micro, Inc. 75,100 1,934
Westpoint Stevens, Inc. 64,786 1,931
- - Copper Mountain Networks, Inc. 25,000 1,931
Autodesk, Inc. 65,295 1,930
CarrAmerica Realty Corp. REIT 77,200 1,930
Pacific Century Financial Corp. 89,500 1,930
HON Industries, Inc. 65,900 1,923
- - Sawtek Inc. 41,900 1,922
City National Corp. 51,287 1,920
Tidewater Inc. 62,900 1,918
- - Summit Technology, Inc. 87,100 1,916
Radian Group, Inc. 39,226 1,915
Clayton Homes Inc. 166,795 1,908
- - Ames Department Stores, Inc. 41,700 1,903
- - ICOS Corp. 46,600 1,902
Rouse Co. REIT 74,800 1,898
- - Linens 'n Things, Inc. 43,100 1,886
- - Unitrode Corp. 65,622 1,883
Dean Foods Corp. 45,267 1,881
Everest Reinsurance
Holdings, Inc. 57,600 1,879
COMSAT Corp. 57,700 1,875
Aliant Communications, Inc. 40,600 1,875
MCN Energy Group Inc. 90,300 1,874
- - Gilead Sciences, Inc. 35,700 1,865
- - Scient Corp. 39,200 1,864
- - Catalina Marketing Corp. 20,260 1,864
Stewart Enterprises, Inc.
Class A 127,300 1,854
- - Global Industries Ltd. 144,500 1,851
- - CommScope, Inc. 60,206 1,851
One Valley Bancorp of
West Virginia Inc. 49,250 1,847
Noble Affiliates, Inc. 65,464 1,845
- - Blyth Industries, Inc. 53,600 1,843
- - Keane, Inc. 81,300 1,839
McDermott International, Inc. 64,960 1,835
Avnet, Inc. 39,458 1,835
Kansas City Power & Light Co. 71,900 1,833
SEI Corp. 20,700 1,827
- - Ocean Energy, Inc. 189,386 1,823
- - Medical Manager Corp. 41,110 1,819
Trustmark Corp. 79,500 1,819
The Warnaco Group, Inc.
Class A 67,892 1,816
Cabot Corp. 74,968 1,813
U.S. Trust Corp. 19,602 1,813
Teleflex Inc. 41,726 1,812
- - General Nutrition Cos., Inc. 77,700 1,811
</TABLE>
15
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Cypress Semiconductor Corp. 109,700 $ 1,810
- - Whittman-Hart, Inc. 57,000 1,810
Interstate Bakeries Corp. 80,600 1,808
- - Informix Corp. 211,600 1,805
Highwood Properties, Inc. REIT 65,400 1,794
Questar Corp. 93,770 1,793
- - O'Reilly Automotive, Inc. 35,600 1,793
- - ImClone Systems, Inc. 70,500 1,789
20th Century Industries of CA 94,700 1,787
- - IVAX Corp. 126,400 1,785
- - USinternetworking, Inc. 42,400 1,781
- - Howmet International Inc. 103,600 1,781
Investment Technology
Group, Inc. 54,975 1,780
- - Modis Professional
Services Inc. 129,153 1,776
- - Nielsen Media Research 60,549 1,771
- - Mercury Interactive Corp. 50,000 1,769
- - ITC DeltaCom, Inc. 63,100 1,767
Liberty Property Trust REIT 71,000 1,766
RPM Inc. (Ohio) 124,462 1,766
- - Catellus Development Corp. 113,900 1,765
Financial Security Assurance
Holdings Ltd. 33,900 1,763
- - Sapient Corp. 31,100 1,761
- - Hearst-Argyle Television Inc. 72,956 1,751
Keystone Financial, Inc. 58,943 1,743
- - Ziff-Davis Inc. 112,800 1,741
Valspar Corp. 45,600 1,733
DENTSPLY International Inc. 59,900 1,730
- - Prodigy Communications
Corp. 66,700 1,726
Valley National Bancorp 59,961 1,724
- - Trigon Healthcare, Inc. 47,300 1,721
- - BISYS Group, Inc. 29,400 1,720
New Plan Excel Realty Trust REIT 95,454 1,718
C.H. Robinson Worldwide, Inc. 46,700 1,716
- - Safety-Kleen Corp. 94,629 1,715
- - Andrew Corp. 90,537 1,715
- - Apria Healthcare 100,400 1,707
EG&G, Inc. 47,903 1,707
- - Speedway Motorsports, Inc. 43,400 1,706
- - Dendrite International, Inc. 47,200 1,705
- - OfficeMax, Inc. 141,850 1,702
Chittenden Corp. 54,371 1,699
- - Rowan Cos., Inc. 92,070 1,698
- - Leap Wireless International, Inc. 83,803 1,697
- - Chris-Craft Industries, Inc. 35,964 1,695
- - The Liposome Co., Inc. 88,361 1,690
Florida East Coast Railway Co. 38,100 1,686
- - Knoll, Inc. 63,200 1,683
Ethan Allen Interiors, Inc. 44,540 1,681
- - L-3 Communications
Holdings, Inc. 34,800 1,681
- - Universal Health Services
Class B 35,200 1,681
- - NextCard, Inc. 49,500 1,680
Lubrizol Corp. 61,567 1,678
- - Devry, Inc. 74,900 1,676
- - Lincare Holdings, Inc. 66,900 1,673
- - IDEC Pharmaceuticals Corp. 21,700 1,672
- - The SABRE Group
Holdings, Inc. 24,300 1,671
- - Nationwide Financial
Services, Inc. 36,900 1,670
- - MedPartners, Inc. 220,148 1,665
Post Properties, Inc. REIT 40,600 1,665
Colonial BancGroup, Inc. 119,160 1,661
Worthington Industries, Inc. 100,738 1,656
Borg-Warner Automotive, Inc. 30,089 1,655
Lancaster Colony Corp. 47,882 1,652
Federated Investors, Inc. 91,900 1,648
- - Furniture Brands
International Inc. 59,100 1,647
WestAmerica Bancorporation 45,100 1,646
The MONY Group Inc. 50,400 1,644
Leucadia National Corp. 65,700 1,643
- - Hambrecht & Quist Group 44,200 1,641
Weis Markets, Inc. 41,900 1,639
- - Suiza Foods Corp. 39,100 1,637
- - Micrel, Inc. 22,100 1,635
Alberto-Culver Co. Class B 61,384 1,634
Carlisle Co., Inc. 33,954 1,634
- - Lands' End, Inc. 33,600 1,630
Crompton & Knowles Corp. 83,251 1,629
Houghton Mifflin Co. 34,600 1,628
Executive Risk, Inc. 19,133 1,628
Trinity Industries, Inc. 48,450 1,623
- - Intermedia Communications Inc. 53,900 1,617
USEC Inc. 108,600 1,615
The Times Mirror Co. PEPS 17,900 1,613
- - Symantec Corp. 62,988 1,606
Minnesota Power, Inc. 80,700 1,604
- - KEMET Corp. 69,900 1,603
- - Sylvan Learning Systems, Inc. 58,800 1,599
- - Adtran, Inc. 43,900 1,597
- - Lattice Semiconductor Corp. 25,650 1,597
Arden Realty Group, Inc. REIT 64,800 1,596
- - Covance, Inc. 66,613 1,595
- - IXC Communications, Inc. 40,500 1,592
UST Corp. 52,594 1,591
- - Primus Telecommunications
Group, Inc. 70,800 1,589
- - TriQuint Semiconductor, Inc. 27,900 1,585
- - Newfield Exploration Co. 55,700 1,584
- - HNC Software, Inc. 51,400 1,584
- - SLI, Inc. 58,650 1,584
- - Calpine Corp. 29,300 1,582
Cullen/Frost Bankers, Inc. 57,400 1,582
- - Venator Group, Inc. 151,292 1,579
Beckman Coulter, Inc. 32,468 1,579
Spartech Corp. 49,900 1,578
Allied Capital Corp. 65,700 1,577
Harsco Corp. 49,268 1,577
- - Synetic, Inc. 22,900 1,574
- - Azurix Corp. 78,700 1,574
FelCor Lodging Trust, Inc. REIT 75,829 1,573
Media General, Inc. Class A 30,800 1,571
Tupperware Corp. 61,425 1,566
- - Sykes Enterprises, Inc. 46,900 1,565
Florida Rock Industries, Inc. 34,400 1,565
- - Pacific Sunwear of California 64,125 1,563
Fulton Financial Corp. 75,456 1,561
</TABLE>
16
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - CheckFree Holdings Corp. 56,500 $ 1,557
National Service Industries, Inc. 43,238 1,557
- - Smithfield Foods, Inc. 46,500 1,555
The McClatchy Co. Class A 46,875 1,553
Universal Corp. 54,600 1,553
- - Zale Corp. 38,800 1,552
National Data Corp. 36,211 1,548
- - MedQuist, Inc. 35,300 1,544
Cyprus Amax Minerals Co. 101,492 1,541
Dallas Semiconductor Corp. 30,500 1,540
- - Swift Transportation Co., Inc. 69,900 1,538
- - Semtech Corp. 29,500 1,538
Airborne Freight Corp. 55,480 1,536
Rayonier Inc. 30,775 1,533
Commercial Federal Corp. 65,983 1,530
Sealed Air Corp. $ 2.00 Cvt. Pfd.
Series A 24,451 1,528
- - Abacus Direct Corp. 16,700 1,528
General Growth Properties Inc.
REIT 43,000 1,527
- - Papa John's International, Inc. 34,100 1,524
- - Lason Holdings, Inc. 30,700 1,523
Lennar Corp. 63,400 1,522
- - SanDisk Corp. 33,800 1,521
Central Newspapers, Inc. 40,400 1,520
Old National Bancorp 50,489 1,518
Tektronix, Inc. 50,259 1,517
Hospitality Properties Trust REIT 55,900 1,516
- - Footstar Inc. 40,770 1,516
- - Burr-Brown Corp. 41,375 1,515
AK Steel Corp. 67,300 1,514
- - American Management
Systems, Inc. 47,200 1,513
- - Revlon, Inc. Class A 50,000 1,513
Lee Enterprises, Inc. 49,300 1,504
- - STERIS Corp. 77,598 1,503
Eaton Vance Corp. 43,600 1,501
JLG Industries, Inc. 73,600 1,500
- - W.R. Grace & Co. 81,482 1,497
Brady Corp. Class A 46,000 1,495
- - New Era of Networks, Inc. 34,000 1,494
- - Cytec Industries, Inc. 46,754 1,490
Expeditors International of
Washington, Inc. 54,500 1,485
Briggs & Stratton Corp. 25,694 1,484
- - Coltec Inc. 68,300 1,481
United Asset Management
Corp. 65,100 1,481
Tecumseh Products Co.
Class A 24,413 1,479
- - CSG Systems International, Inc. 56,300 1,474
- - National Instruments Corp. 36,500 1,474
Reinsurance Group of
America, Inc. 41,775 1,473
Hartford Life, Inc. 27,900 1,468
- - First Health Group Corp. 68,066 1,468
- - Fairfield Communities, Inc. 90,900 1,466
Peoples Energy Corp. 38,824 1,463
- - International Home Foods, Inc. 79,200 1,460
- - Black Box Corp. 29,100 1,459
- - CapRock Communications Corp. 36,000 1,458
Claire's Stores, Inc. 56,800 1,456
- - Hanover Compressor Co. 45,300 1,455
True North Communications 48,500 1,455
Roslyn Bancorp, Inc. 84,595 1,454
E.W. Blanch Holdings, Inc. 21,300 1,452
Fremont General Corp. 76,894 1,451
Ogden Corp. 53,645 1,445
- - Oxford Health Plan 92,800 1,444
Equitable Resources, Inc. 38,200 1,442
Forest City Enterprise Class A 51,500 1,442
- - Whole Foods Market, Inc. 30,000 1,442
Longs Drug Stores, Inc. 41,623 1,439
Texas Industries, Inc. 37,100 1,438
Pitt Des Moines, Inc. 23,000 1,438
- - Total Renal Care Holdings, Inc. 92,269 1,436
- - Iomega Corp. 290,500 1,434
- - Labor Ready, Inc. 44,100 1,433
- - Affymetrix, Inc. 29,000 1,432
Nevada Power Co. 57,048 1,426
John Nuveen Co. Class A 33,400 1,426
Bank North Group 43,170 1,425
- - Millennium Pharmaceuticals, Inc. 39,500 1,422
- - Viatel, Inc. 25,300 1,420
- - Borders Group, Inc. 89,700 1,418
- - Spiegel, Inc. Class A 159,800 1,418
- - Atlas Air, Inc. 43,950 1,417
Alpharma, Inc. Class A 39,800 1,415
Minerals Technologies, Inc. 25,300 1,412
Ball Corp. 33,384 1,410
Fidelity National Financial, Inc. 66,990 1,407
Cousins Properties, Inc. REIT 41,583 1,406
Liberty Financial Cos., Inc. 48,200 1,404
Hollinger International, Inc. 118,100 1,402
Elcor Corp. 32,100 1,402
- - AboveNet Communications Inc. 34,700 1,401
- - SkyTel Communications, Inc. 66,900 1,401
IndyMac Mortgage Holdings, Inc. 87,500 1,400
- - Sunglass Hut International, Inc. 81,426 1,400
Washington Federal Inc. 62,314 1,398
- - Henry Schein, Inc. 43,879 1,390
Great Atlantic & Pacific
Tea Co., Inc. 41,029 1,387
Valero Energy Corp. 64,700 1,387
- - Alleghany Corp. 7,495 1,387
- - Cognex Corp. 43,900 1,386
- - American Freightways 70,704 1,383
- - Neiman Marcus Group Inc. 53,845 1,383
- - Louis Dreyfus Natural Gas Corp. 63,960 1,379
Pilgrim's Pride Corp. 45,900 1,377
- - The Profit Recovery Group
International, Inc. 29,100 1,377
USFreightways Corp. 29,700 1,375
- - Metamor Worldwide, Inc. 57,125 1,375
- - Coach USA, Inc. 32,700 1,371
Washington Gas Light Corp. 52,598 1,368
- - UICI 49,500 1,367
- - Quiksilver, Inc. 52,350 1,364
Potlatch Corp. 30,968 1,361
Sky Financial Group, Inc. 49,824 1,358
- - Plantronics, Inc. 20,800 1,355
- - US Oncology, Inc. 112,876 1,355
IDACORP, Inc. 43,000 1,355
- - Amphenol Corp. 34,000 1,352
</TABLE>
17
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Digital Microwave Corp. 105,954 $ 1,351
- - Digital River, Inc. 40,600 1,350
Tootsie Roll Industries, Inc. 34,938 1,349
- - Kelly Services, Inc. Class A 41,937 1,347
Franchise Finance Corp. of
America REIT 61,200 1,346
- - TSI International Software Ltd. 47,400 1,345
- - Dycom Industries, Inc. 23,900 1,338
- - Eagle USA Airfreight, Inc. 31,500 1,337
- - Paymentech, Inc. 52,633 1,336
- - Delphi Financial Group, Inc. 37,226 1,335
- - CEC Entertainment Inc. 31,600 1,335
- - TeleBanc Financial Corp. 34,400 1,333
- - Concentric Network Corp. 33,500 1,332
- - Hollywood Entertainment Corp. 68,029 1,331
Witco Chemical Corp. 66,500 1,330
Pultizer, Inc. 27,366 1,329
- - C-Cube Microsystems, Inc. 41,900 1,328
- - HS Resources Inc. 90,001 1,328
- - 99 Cents Only Stores 26,575 1,327
Pennzoil-Quaker State Co. 88,414 1,326
Wausau-Mosinee Paper Corp. 73,524 1,323
Church & Dwight, Inc. 30,400 1,322
- - Transaction Systems
Architects, Inc. 33,900 1,322
- - Peregrine Systems, Inc. 51,300 1,318
Advanta Corp. Class A 72,939 1,317
- - Amkor Technology, Inc. 128,500 1,317
- - bebe stores, inc. 38,700 1,316
United Bankshares, Inc. 49,650 1,316
Polaroid Corp. 47,520 1,313
- - Marimba, Inc. 24,900 1,312
Granite Construction Co. 44,750 1,312
- - Zebra Technologies Corp.
Class A 34,100 1,311
Horace Mann Educators Corp. 48,100 1,308
HSB Group Inc. 31,735 1,307
Donaldson Co., Inc. 53,300 1,306
The Timken Co. 66,859 1,304
- - InterVU Inc. 34,000 1,303
- - Nautica Enterprises, Inc. 77,049 1,300
Delta & Pine Land Co. 41,273 1,300
- - iVillage Inc. 25,800 1,296
- - AmeriSource Health Corp. 50,792 1,295
La-Z-Boy Inc. 56,300 1,295
Healthcare Realty Trust Inc.
REIT 61,620 1,294
- - Universal Electronics, Inc. 46,100 1,294
Santa Fe Snyder Corp. 169,662 1,294
MDU Resources Group, Inc. 56,700 1,293
- - Mueller Industries Inc. 38,068 1,292
Omnicare, Inc. 102,300 1,292
- - Laser Vision Centers, Inc. 20,500 1,292
Pittway Corp. Class A 37,768 1,291
- - Visio Corp. 33,900 1,290
- - PETsMART, Inc. 125,752 1,289
- - Kaiser Aluminum &
Chemical Corp. 145,000 1,287
- - Barrett Resources Corp. 33,500 1,286
Helmerich & Payne, Inc. 53,980 1,285
- - CD Radio Inc. 42,100 1,283
- - Tower Automotive, Inc. 50,400 1,282
United Dominion Realty Trust
REIT 109,000 1,281
- - Western Wireless Corp.
Class A 47,400 1,280
J.B. Hunt Transport Services, Inc. 78,747 1,280
- - DII Group, Inc. 34,214 1,277
- - Ampex Corp. Class A 252,100 1,276
- - Century Business Services, Inc. 88,000 1,276
Kaufman & Broad Home Corp. 51,227 1,274
- - Ionics, Inc. 34,900 1,274
- - AmeriCredit Corp. 79,600 1,274
Hawaiian Electric Industries Inc. 35,865 1,273
- - UCAR International, Inc. 50,300 1,270
- - Sonic Corp. 38,925 1,270
- - Bell & Howell Co. 33,500 1,267
- - High Speed Access Corp. 49,300 1,263
- - Advance Paradigm, Inc. 20,700 1,263
- - Dal-Tile International Inc. 110,800 1,260
- - Renal Care Group, Inc. 48,700 1,260
- - BOK Financial Corp. 49,896 1,260
- - Patterson Dental Co. 36,250 1,260
- - Sodexho Marriott Services, Inc. 65,546 1,258
Camden Property Trust REIT 45,300 1,257
- - Rayovac Corp. 55,400 1,257
Pioneer Natural Resources Co. 114,200 1,256
Community First Bankshares 52,600 1,256
- - 24/7 Media, Inc. 32,600 1,255
- - Antec Corp. 39,100 1,254
- - Unifi, Inc. 58,950 1,253
Mark IV Industries, Inc. 59,289 1,252
Jones Pharma, Inc. 31,800 1,252
Callaway Golf Co. 85,600 1,252
- - Alaska Air Group, Inc. 29,900 1,248
- - Scotts Co. 26,200 1,248
- - Ciber, Inc. 65,200 1,247
- - Anchor Gaming 25,899 1,245
Life USA Holding, Inc. 61,300 1,241
Commerce Bancorp, Inc. 29,027 1,241
MacDermid, Inc. 26,661 1,240
- - Dave & Busters 42,732 1,239
- - Metzler Group, Inc. 44,850 1,239
First Midwest Bancorp 31,160 1,239
- - ESS Technology, Inc. 92,060 1,237
Sierra Pacific Resources 34,000 1,237
- - Polycom, Inc. 31,700 1,236
- - Detroit Diesel Corp. 50,200 1,236
- - Integrated Device
Technology Inc. 113,600 1,235
Talbots Inc. 32,400 1,235
Bank United Corp. Class A 30,700 1,234
Dover Downs Entertainment, Inc. 69,700 1,233
- - ITT Educational Services, Inc. 47,300 1,233
- - Extended Stay America, Inc. 102,678 1,232
CMP Group Inc. 47,000 1,231
Raymond James Financial, Inc. 51,412 1,231
Valhi, Inc. 110,500 1,229
Block Drug Co. Class A 29,469 1,228
- - Excel Switching Corp. 41,000 1,227
- - Playboy Enterprises, Inc.
Class B 46,200 1,227
Prison Realty Trust, Inc. 124,988 1,226
Ohio Casualty Corp. 33,944 1,226
</TABLE>
18
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Centennial Cellular Corp.
Class A 34,400 $ 1,226
- - Wyman-Gordon Corp. 63,400 1,224
- - Insituform Technologies Class A 56,600 1,224
Arthur J. Gallagher & Co. 24,700 1,223
- - Argosy Gaming Co. 138,600 1,221
John Wiley & Sons Class A 69,200 1,220
Trustco Bank 45,354 1,219
AGL Resources Inc. 66,100 1,219
Earthgrains Co. 47,172 1,218
BRE Properties Inc. Class A REIT 46,940 1,218
- - QRS Corp. 15,600 1,217
- - Policy Management
Systems Corp. 40,540 1,216
- - Armco, Inc. 183,300 1,214
Kaydon Corp. 36,100 1,214
Investors Financial Services Corp. 30,300 1,212
Pittston Brink's Group 45,300 1,212
- - Perclose, Inc. 25,200 1,211
- - Safeskin Corp. 100,900 1,211
Polaris Industries, Inc. 27,800 1,209
- - Aurora Foods Inc. 69,000 1,208
- - GoTo.com, Inc. 43,100 1,207
Regency Realty Corp. REIT 55,000 1,207
- - Duramed Pharmaceuticals, Inc. 77,200 1,206
- - Cerner Corp. 57,470 1,205
General Cable Corp. 75,250 1,204
- - Quest Diagnostics, Inc. 43,956 1,203
Albemarle Corp. 51,969 1,202
- - ChoicePoint Inc. 17,887 1,201
Graco, Inc. 40,847 1,200
Belden, Inc. 50,100 1,199
CBRL Group, Inc. 69,254 1,199
- - Cambridge Technology Partners 68,200 1,198
First American Financial Corp. 66,900 1,196
- - MarketWatch.com, Inc. 20,300 1,195
- - Stillwater Mining Co. 36,450 1,191
HCC Insurance Holdings, Inc. 52,500 1,191
Aptargroup Inc. 39,700 1,191
- - Dollar Thrifty Automotive
Group, Inc. 51,200 1,190
Universal Foods Corp. 56,314 1,190
GenCorp, Inc. 47,100 1,189
AAR Corp. 52,400 1,189
Westfield America, Inc. REIT 78,800 1,187
- - Primark Corp. 42,269 1,186
- - The Topps Co., Inc. 162,797 1,185
- - ThermoQuest Corp. 89,000 1,185
Newport News Shipbuilding Inc. 40,157 1,185
- - American Italian Pasta Co. 39,000 1,185
- - Sipex Corp. 57,700 1,183
- - Big Flower Holdings, Inc. 37,100 1,183
Heller Financial, Inc. 42,400 1,179
- - Sensormatic Electronics Corp. 84,538 1,178
K-Swiss, Inc. 25,300 1,176
Precision Castparts Corp. 27,650 1,175
- - Hollywood Park, Inc. 69,100 1,175
- - Banyan Systems, Inc. 107,300 1,174
G & K Services, Inc. 22,400 1,173
- - Bally Total Fitness Holding Corp. 41,300 1,172
Battle Mountain Gold Co.
Class A 479,769 1,169
- - PanAmSat Corp. 30,030 1,169
- - Pegasystems Inc. 114,000 1,169
- - Powertel Inc. 39,100 1,168
John H. Harland Co. 58,587 1,168
Corn Products International, Inc. 38,365 1,168
St. Paul Bancorp, Inc. 45,656 1,164
- - Education Management Corp. 56,100 1,164
A. Schulman Inc. 67,693 1,163
- - MICROS Systems, Inc. 34,200 1,163
Westbanco Inc. 38,750 1,163
- - Hyperion Solutions Corp. 65,130 1,160
- - WorldGate Communications, Inc. 22,600 1,158
- - Stone Energy Corp. 27,300 1,157
WFS Financial, Inc. 83,250 1,155
- - Choice Hotel International, Inc. 58,441 1,154
Nordson Corp. 18,800 1,152
- - Asyst Technologies, Inc. 38,444 1,151
EVEREN Capital Corp. 38,600 1,151
- - CDI Corp. 33,700 1,148
R.H. Donnelley Corp. 58,442 1,143
National Computer Systems, Inc. 33,800 1,141
- - Hutchinson Technology, Inc. 41,100 1,141
NACCO Industries, Inc. Class A 15,513 1,140
Alexander & Baldwin, Inc. 51,200 1,139
- - World Access, Inc. 80,561 1,138
- - Dialogic Corp. 25,900 1,136
Weingarten Realty Investors REIT 27,200 1,136
- - NeXstar Pharmaceuticals Inc. 56,941 1,135
- - Reebok International Ltd. 60,943 1,135
- - Carrier Access Corp. 25,900 1,135
Blount International, Inc. 41,700 1,134
P.H. Glatfelter Co. 77,400 1,132
- - PRI Automation, Inc. 31,200 1,131
The Pep Boys (Manny,
Moe & Jack) 52,283 1,131
- - Terayon Communications
Systems, Inc. 20,200 1,129
MeriStar Hospitality Corp. REIT 50,300 1,129
- - NCO Group, Inc. 29,700 1,129
- - Triarc Cos., Inc. Class A 53,100 1,128
- - World Color Press, Inc. 41,000 1,128
- - Foodmaker, Inc. 39,700 1,126
- - Affiliated Managers Group, Inc. 37,300 1,126
- - URS Corp. 38,400 1,126
- - Mail-Well, Inc. 69,500 1,125
- - Shorewood Packaging Corp. 61,000 1,125
- - Entercom Communications Corp. 26,300 1,124
- - Techne 44,300 1,124
Wallace Computer Services, Inc. 44,900 1,123
- - Rare Hospitality International Inc. 44,000 1,122
Chelsea GCA Realty, Inc. REIT 30,200 1,121
American Health Properties, Inc.
REIT 55,700 1,121
- - InterVoice, Inc. 77,626 1,121
F.N.B. Corp. 41,493 1,120
D. R. Horton, Inc. 67,380 1,120
Kansas City Life Insurance Co. 26,000 1,118
- - Men's Wearhouse, Inc. 43,825 1,118
Arvin Industries, Inc. 29,500 1,117
Liberty Corp. 20,500 1,117
Wabash National Corp. 57,650 1,117
UMB Financial Corp. 26,048 1,117
</TABLE>
19
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
Downey Financial Corp. 50,900 $ 1,117
Central Parking Corp. 32,600 1,117
- - Emmis Communications, Inc. 22,600 1,116
- - Teletech Holdings Inc. 110,200 1,116
Modine Manufacturing Co. 34,262 1,116
- - The Buckle, Inc. 38,800 1,116
Rollins, Inc. 69,950 1,115
Applied Power, Inc. 40,805 1,114
Diagnostic Products Corp. 40,123 1,108
- - Catalytica, Inc. 79,100 1,107
- - Electro Scientific Industries, Inc. 26,500 1,107
- - Spyglass, Inc. 55,000 1,107
Carolina First Corp. 45,400 1,107
The Toro Co. 28,100 1,106
First Industrial Realty Trust REIT 40,200 1,103
- - Gaylord Container Corp. 138,800 1,102
- - Wisconsin Central
Transportation Corp. 58,300 1,100
- - Royal Appliance
Manufacturing Co. 158,586 1,100
- - Jacobs Engineering Group Inc. 28,900 1,098
Energen Corp. 58,900 1,097
Werner Enterprises, Inc. 52,850 1,097
- - Gadzooks, Inc. 68,500 1,096
Wicor, Inc. 39,200 1,095
Jefferies Group, Inc. 36,500 1,095
- - Unilab Corp. 181,400 1,088
H.B. Fuller Co. 15,900 1,087
- - Beyond.com Corp. 37,800 1,084
Webster Financial Corp. 39,968 1,084
- - Bethlehem Steel Corp. 140,871 1,083
- - ICG Communications, Inc. 50,594 1,081
- - The Children's Place
Retail Stores, Inc. 26,700 1,081
- - Westwood One, Inc. 30,300 1,081
- - Comfort Systems USA, Inc. 60,000 1,080
Rochester Gas & Electric Corp. 40,652 1,080
- - Net.B@nk, Inc. 28,400 1,079
Developers Diversified
Realty Corp. REIT 64,900 1,079
- - Scholastic Corp. 21,300 1,078
Pulte Corp. 46,673 1,076
- - IDT Corp. 48,300 1,075
Manitowac Co., Inc. 25,800 1,074
Olsten Corp. 169,425 1,069
- - Protein Design Labs 48,200 1,069
Pogo Producing Co. 57,400 1,069
- - Varco International, Inc. 97,644 1,068
- - Micron Electronics, Inc. 105,700 1,064
Piedmont Natural Gas, Inc. 34,097 1,061
- - Aware, Inc. 23,000 1,061
Gaylord Entertainment Co.
Class A 35,353 1,061
- - Coventry Health Care Inc. 96,955 1,060
Independence Community
Bank Corp. 78,500 1,060
- - MAXIMUS, Inc. 36,800 1,058
ONEOK, Inc. 33,294 1,057
- - ParkerVision, Inc. 30,200 1,057
- - CONSOL Energy, Inc. 88,000 1,056
White Mountains Insurance
Group, Inc. 7,485 1,055
Federal Signal Corp. 49,762 1,054
Kimball International, Inc.
Class B 62,300 1,051
Ferro Corp. 38,100 1,048
- - Quorum Health Group, Inc. 83,400 1,048
- - Pharmaceutical Product
Development, Inc. 38,270 1,048
- - Sbarro, Inc. 38,709 1,048
- - Markel Corp. 5,600 1,047
- - Crescent Operating, Inc. REIT 153,520 1,046
- - PEC Israel Economic Corp. 33,200 1,046
KN Energy, Inc. 78,159 1,045
- - The IT Group, Inc. 64,985 1,044
- - Hadco Corp. 26,249 1,043
- - Xircom, Inc. 34,700 1,043
Western Bancorp 23,975 1,043
- - Patterson Energy, Inc. 105,600 1,043
- - Cybex Computer Products Corp. 37,350 1,041
Dexter Corp. 25,500 1,041
- - Walter Industries, Inc. 80,400 1,040
- - Cymer, Inc. 41,600 1,040
- - Sabratek Corp. 47,500 1,039
Michael Foods Group, Inc. 44,200 1,039
- - Canandaigua Brands, Inc. Class A 19,808 1,039
United Television, Inc. 9,900 1,038
- - Oakley, Inc. 145,400 1,036
American Annuity Group Inc. 42,717 1,036
- - Closure Medical Corp. 34,500 1,035
Eastern Utilities Associates 35,471 1,033
Foremost Corp. of America 46,900 1,032
- - Chirex, Inc. 32,100 1,031
- - Vicor Corp. 48,619 1,030
- - Michaels Stores, Inc. 33,600 1,029
- - Electroglas, Inc. 51,400 1,028
Libbey, Inc. 35,400 1,027
Koger Equity, Inc. REIT 55,600 1,025
Strayer Education, Inc. 33,400 1,025
- - Barr Labs Inc. 25,700 1,025
- - Playtex Products, Inc. 65,800 1,024
- - Bush Boake Allen, Inc. 35,000 1,024
- - Clarify, Inc. 24,800 1,023
- - GTech Holdings Corp. 43,400 1,023
Lincoln Electric Holdings 49,848 1,022
- - Concord Communications, Inc. 22,700 1,022
Cleco Corp. 33,608 1,021
- - Syncor International Corp. 28,300 1,019
Roper Industries Inc. 31,828 1,018
- - SPS Technologies, Inc. 27,152 1,018
- - Aerial Communications Inc. 75,200 1,015
Essex Property Trust, Inc. REIT 28,634 1,013
Chemed Corp. 30,400 1,011
First Citizens BancShares
Class A 12,500 1,009
United Dominion Industries Ltd. 41,600 1,009
Applebee's International, Inc. 33,482 1,009
Reckson Associates Realty
Corp. REIT 42,900 1,008
JSB Financial 19,801 1,007
Brown & Brown, Inc. 26,450 1,005
- - Genrad, Inc. 48,288 1,005
The Stride Rite Corp. 97,426 1,005
Orion Capital Corp. 28,000 1,005
</TABLE>
20
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Hot Topic, Inc. 37,200 $ 1,004
Georgia Gulf Corp. 59,468 1,004
- - Riggs National Corp. 48,800 1,003
- - Human Genome Sciences, Inc. 25,400 1,003
Pier 1 Imports Inc. 89,150 1,003
- - Micro Warehouse Inc. 56,100 1,003
Mills Corp. REIT 46,200 1,002
- - Avis Rent A Car, Inc. 34,400 1,002
Regis Corp. 52,191 1,001
Vintage Petroleum, Inc. 93,100 1,001
Whitney Holdings 25,170 1,001
Chesapeake Corp. of Virginia 26,617 996
Westinghouse Air Brake Co. 38,400 996
- - Young Broadcasting Inc. 23,400 996
Commonwealth Energy Systems 23,700 995
- - Shopko Stores, Inc. 27,445 995
- - DSP Group Inc. 27,600 994
AmerUs Life Holdings, Inc. 36,703 991
Federal Realty Investment
Trust REIT 43,200 991
- - IDEXX Laboratories Corp. 42,500 991
- - Maverick Tube Corp. 71,000 990
R.L.I. Corp. 25,525 989
- - Dionex Corp. 24,400 988
Superior Telecom Inc. 39,525 988
Health Care Properties
Investors REIT 34,200 988
- - Paging Network, Inc. 205,100 987
- - Maxxam Inc. 15,300 987
- - Southern Union Co. 45,232 984
Citizens Banking Corp. 32,700 983
- - Trammell Crow Co. 59,800 983
- - Commonwealth Telephone
Enterprises, Inc. 24,300 983
- - Conmed Corp. 32,068 982
Ruddick Corp. 49,100 982
Philadelphia Suburban Corp. 42,500 980
Park National Corp. 9,800 980
- - SMART Modular
Technologies, Inc. 56,400 980
- - Southwest Bancorporation of
Texas, Inc. 54,400 979
- - Ryan's Family Steak Houses, Inc. 84,115 978
- - Alliant Techsystems, Inc. 11,300 977
- - AnswerThink Consulting
Group, Inc. 38,700 977
Norrell Corp. 51,900 976
Hussman International, Inc. 58,862 975
- - Tut Systems, Inc. 19,900 974
- - Trimble Navigation Ltd. 75,600 973
Chateau Communities, Inc. REIT 32,500 973
- - Visual Networks, Inc. 30,400 973
Longview Fibre Co. 62,230 972
- - Capstar Broadcasting Corp. 35,500 972
Harman International
Industries, Inc. 22,081 972
Stewart & Stevenson
Services, Inc. 63,618 970
- - McMoRan Exploration Co. 43,651 969
- - Ralcorp Holdings, Inc. 60,257 968
- - Shoe Carnival, Inc. 56,900 967
Westcorp, Inc. 85,807 965
- - Action Performance Cos., Inc. 29,193 963
- - Healthcare Financial
Partners, Inc. 28,100 962
Wyndham International Inc. 207,976 962
- - Progress Software Corp. 33,950 959
- - Citadel Communications Corp. 26,500 959
- - Genesys Telecommunications
Laboratories, Inc. 38,300 958
- - Plains Resources 50,383 957
- - Interim Services, Inc. 46,390 957
- - Digene Corp. 86,600 957
State Auto Financial Corp. 70,700 954
- - The Boyds Collection, Ltd. 55,000 952
- - Open Market, Inc. 67,100 952
- - Data Broadcasting Corp. 90,000 951
Fleetwood Enterprises, Inc. 35,866 948
- - Acclaim Entertainment Inc. 148,700 948
- - Kenneth Cole Productions, Inc. 34,000 948
St. John Knits, Inc. 32,300 945
Roadway Express Inc. 48,758 945
- - The Good Guys, Inc. 125,900 944
- - Casella Waste Systems, Inc. 36,300 944
Capitol Federal Financial 90,400 944
Storage USA, Inc. REIT 29,600 944
- - Vail Resorts Inc. 53,900 943
Omega Healthcare
Investors, Inc. REIT 36,500 942
Gerber Scientific, Inc. 42,700 942
- - Security Dynamics
Technologies, Inc. 44,300 941
- - Tyler Technologies, Inc. 136,900 941
- - Haemonetics Corp. 46,900 941
- - Hyperion Telecommunications,
Inc. Class A 50,000 941
- - Forte Software, Inc. 96,900 939
- - Champion Enterprises, Inc. 50,369 938
SL Green Realty Corp. REIT 45,900 938
Reliance Group Holdings 126,086 938
- - Journal Register Co. 41,600 936
Nationwide Health
Properties, Inc. REIT 49,100 936
Doral Financial Corp. 54,200 935
- - Wesco International, Inc. 45,600 935
- - Advanced Communications
Group, Inc. 94,000 934
- - Agribrands International, Inc. 23,611 934
Arrow International, Inc. 36,100 934
CNA Surety Corp. 60,990 934
CBL & Associates
Properties, Inc. REIT 35,400 934
Hancock Holding Co. 20,800 933
Southwest Gas Corp. 32,600 933
- - Jones Lang Lasalle Inc. 31,300 933
- - America West Holdings
Corp. Class B 49,400 932
Avista Corp. 57,300 931
Regal-Beloit Corp. 39,400 931
First Source Corp. 29,082 931
The Trust Co. of New Jersey 39,600 931
- - LTX Corp. 69,888 930
- - Forest Oil Corp. 74,000 930
Prentiss Properties Trust REIT 39,500 928
</TABLE>
21
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
Eastern Enterprises 23,349 $ 928
- - ESSEF Corp. 45,821 928
Guarantee Life Cos., Inc. 36,900 927
- - Proxymed Pharmacy, Inc. 58,050 925
- - Ascent Entertainment Group, Inc. 65,477 925
- - Mapics Inc. 87,500 924
JP Realty Inc. REIT 44,900 923
Charles E. Smith Residential
Realty, Inc. REIT 27,200 923
- - U.S. Home Corp. 26,000 923
Clarcor Inc. 48,000 921
- - Midway Games Inc. 71,066 919
- - American Classic Voyager Co. 38,300 919
- - OneMain.com, Inc. 38,800 917
- - Project Software &
Development, Inc. 29,300 916
Watsco, Inc. 55,900 915
Home Properties of
New York, Inc. REIT 33,100 914
- - SCM Microsystems, Inc. 19,700 914
Irwin Financial Corp. 46,800 913
- - Imation Corp. 36,767 912
Bowne & Co., Inc. 70,100 911
Commercial Metals Co. 31,900 909
- - Photronics Labs Inc. 37,104 909
- - Pharmacopeia, Inc. 80,800 909
- - ADVO, Inc. 43,800 909
- - Columbia Sportswear Co. 59,100 909
- - UNOVA, Inc. 57,238 909
- - The Kroll-O'Gara Co. 41,100 907
- - VWR Scientific Products Corp. 24,700 906
- - Mentor Graphics Corp. 70,700 906
- - SpeedFam-IPEC, Inc. 56,392 906
The Macerich Co. REIT 34,400 903
- - Orbital Sciences Corp. 38,200 902
- - Structural Dynamics
Research Corp. 48,600 902
Sun Communities, Inc. REIT 25,400 902
- - Ardent Software, Inc. 42,414 901
- - Silicon Valley Bancshares 36,400 901
- - United Payors & United
Providers, Inc. 38,850 901
- - King Pharmaceuticals, Inc. 34,800 900
- - Sequa Corp. Class A 12,844 899
- - Xoom, Inc. 17,100 898
- - Cadiz Inc. 95,100 898
- - Unit Corp. 110,400 897
- - Razorfish Inc. 24,200 897
- - Pioneer Group, Inc. 51,700 892
Primex Technologies, Inc. 41,360 892
Washington REIT 52,600 891
- - Vlasic Foods International, Inc. 121,769 890
- - Media Metrix, Inc. 16,700 889
- - Handleman Co. 75,261 889
National Bankcorp of
Alaska Inc. 33,500 888
Hilb, Rogal and Hamilton Co. 39,600 886
The Standard Register Co. 28,747 884
Queens County Bancorp, Inc. 27,300 884
Prime Bancorp Inc. 31,960 883
EastGroup Properties, Inc. REIT 44,000 883
CVB Financial Corp. 33,920 882
- - Meridian Gold Co. 190,100 879
Ruby Tuesday, Inc. 46,274 879
- - SportsLine USA, Inc. 24,500 879
- - Triad Guaranty, Inc. 48,900 877
- - Value America, Inc. 46,100 876
- - Insurance Auto Auctions, Inc. 54,300 876
- - Metro Networks, Inc. 16,400 875
- - DBT Online Inc. 26,700 874
- - Phone.com, Inc. 15,600 874
- - Romac International, Inc. 98,283 872
- - Coldwater Creek Inc. 44,700 872
- - Billing Concepts Corp. 77,828 871
- - Imperial Bancorp 43,886 869
CKE Restaurants Inc. 53,498 869
IDEX Corp. 26,425 869
- - Aspen Technologies, Inc. 73,900 868
Morrison Health Care Inc. 34,725 868
- - Rexall Sundown, Inc. 71,206 868
First Bancorp/Puerto Rico 38,450 868
- - Sunterra Corp. 62,150 866
MAF Bancorp, Inc. 35,683 865
LSI Industries Inc. 35,818 864
- - Sonic Automotive, Inc. 62,800 864
- - Gulf Island Fabrication, Inc. 72,300 863
- - ABC-NACO, INC. 42,100 863
- - Mastech Corp. 46,200 860
- - Atwood Oceanics, Inc. 27,534 860
- - PairGain Technologies, Inc. 74,800 860
Tredegar Corp. 39,500 859
OM Group, Inc. 24,900 859
- - Il Fornaio (America) Corp. 57,500 859
Bob Evans Farms, Inc. 43,200 859
- - Yellow Corp. 48,347 858
- - NFO Worldwide, Inc. 61,278 858
Urban Shopping Centers, Inc.
REIT 27,200 857
Parkway Properties Inc. REIT 25,850 856
CPB, Inc. 32,300 856
- - TransMontaigne Inc. 68,100 856
- - PFF Bancorp, Inc. 45,600 855
Midas Inc. 30,120 855
Western Gas Resources, Inc. 53,400 854
City Holding Co. 29,400 853
Arnold Industries, Inc. 55,200 852
Cabot Oil & Gas Corp. Class A 45,600 849
- - Integrated Electrical
Services,Inc. 52,500 847
BancorpSouth, Inc. 46,700 846
Collins & Aikman Corp. 110,900 846
- - Medco Research, Inc. 32,200 845
- - Group 1 Automotive, Inc. 40,000 845
Brown Shoe Company, Inc. 38,815 844
Alliance Bancorp Inc. 36,299 844
- - Cygnus Inc. 64,912 844
- - First Union Real Estate REIT 187,320 843
LNR Property Corp. 39,400 842
Coachmen Industries, Inc. 36,196 842
Pinnacle Bancorp Group Inc. 26,450 841
Authentic Fitness Corp. 48,000 840
- - Inacom Corp. 66,480 839
Taubman Co. REIT 63,600 839
</TABLE>
22
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
Burlington Coat Factory
Warehouse Corp. 43,410 $ 838
Connecticut Energy Corp. 21,700 837
- - LandAmerica Financial
Group, Inc. 29,100 837
- - Biomatrix, Inc. 38,666 836
- - Cellstar Corp. 105,900 834
Mine Safety Appliances Co. 13,000 832
Cilcorp, Inc. 13,300 831
- - IDX Systems Corp. 36,800 830
- - 7-Eleven, Inc. 374,100 830
- - Advantage Learning Systems, Inc. 37,500 830
- - IHOP Corp. 34,400 828
Student Loan Corp. 18,600 828
- - Ben & Jerry's Homemade, Inc.
Class A 29,800 827
First Western Bancorp 24,683 827
- - Scientific Games Holdings Corp. 42,400 827
Air Express International Corp. 32,500 825
Carter-Wallace, Inc. 45,300 824
First Commonwealth
Financial Corp. 34,500 824
Philadelphia Consolidated
Holding Corp. 33,600 823
- - Sunrise Assisted Living, Inc. 23,600 823
- - Iron Mountain, Inc. 28,750 823
Richfood Holdings, Inc. 46,650 822
- - ONSALE, Inc. 43,400 822
- - Aavid Thermal Technologies 36,300 821
Omega Financial Corp. 23,612 821
- - Marshall Industries 22,828 820
Jack Henry & Associates 20,900 820
Health Care REIT, Inc. 35,200 818
Aquarion Co. 23,550 818
- - Microwave Power Devices, Inc. 53,200 818
- - Hayes Lemmerz
International, Inc. 27,840 818
- - Veterinary Centers of
America, Inc. 60,260 817
Sterling Bancshares, Inc. 61,100 817
- - Transkaryotic Therapies, Inc. 24,700 815
- - General Semiconductor, Inc. 89,289 815
- - Rogers Corp. 27,600 814
Commerce Group, Inc. 33,400 814
- - Drug Emporium, Inc. 112,242 814
- - Chico's Fas, Inc. 34,614 813
- - HA-LO Industries, Inc. 82,350 813
SJW Corp. 10,200 812
Crown American Realty
Trust REIT 111,000 812
- - CHS Electronics, Inc. 185,500 812
Corus Bankshares Inc. 25,500 811
The Ackerley Group, Inc. 44,600 811
- - International Specialty
Products, Inc. 79,600 811
- - UniCapital Corp. 128,400 811
Farmer Brothers, Inc. 4,000 810
- - National Western Life
Insurance Co. Class A 8,400 809
- - Mosaix Inc. 63,095 808
- - Friede Goldman
International, Inc. 58,200 808
First Financial Bancorp 35,659 807
First Sentinel Bancorp Inc. 90,645 804
Bush Industries, Inc. 48,383 804
- - Sybase, Inc. 73,120 804
St. Francis Capital Corp. 37,400 804
Timberline Software Corp. 51,053 804
US Bancorp, Inc. 51,000 803
- - Airgas, Inc. 65,400 801
- - Littelfuse, Inc. 41,600 801
- - Recovery Engineering, Inc. 47,100 801
Independent Bank Corp. 50,700 799
Sovran Self Storage, Inc. REIT 29,600 797
Thor Industries, Inc. 28,100 797
- - Thermo Ecotek Corp. 99,550 796
Great Southern Bancorp, Inc. 29,900 796
J. Baker, Inc. 92,291 796
Tanger Factory Outlet Centers,
Inc. REIT 30,611 796
WPS Resources Corp. 26,521 796
- - Learning Tree International, Inc. 72,700 795
Blair Corp. 29,500 795
Standard Products Co. 31,000 794
CFSB Bancorp, Inc. 32,258 794
- - Acuson Corp. 46,212 794
- - Landstar System 22,000 794
Fair Issac & Co. 22,600 792
- - IGEN International, Inc. 27,200 792
Haven Bancorp, Inc. 49,500 792
- - TheStreet.com, Inc. 22,000 792
NYMAGIC, Inc. 50,600 791
Inter-Tel, Inc. 43,300 790
- - Global Industrial
Technologies, Inc. 65,391 789
- - Castle & Cooke Inc. 44,700 788
NBT Bancorp, Inc. 38,375 787
- - PSS World Medical, Inc. 70,300 786
Republic Security
Financial Corp. 93,868 786
Anchor Bancorp Wisconsin Inc. 44,100 786
Wellman, Inc. 49,245 785
Colonial Gas Co. 21,200 784
BSB Bancorp, Inc. 29,049 784
- - Halter Marine Group, Inc. 118,202 783
- - CDNOW Inc. 44,400 783
- - Caliber Learning Network, Inc. 164,600 782
Andover Bancorp, Inc. 24,900 781
Kennametal, Inc. 25,200 781
- - EntreMed, Inc. 34,600 779
- - Technology Solutions Co. 71,975 778
Ethyl Corp. 129,130 775
Invacare Corp. 28,957 775
- - Alliance Semiconductor Corp. 77,900 774
- - Mastec Inc. 27,367 773
- - Vertex Pharmaceuticals, Inc. 32,000 772
- - Diamond Technology
Partners Inc. 34,489 772
Weeks Corp. REIT 25,300 772
Manufactured Home
Communities, Inc. REIT 29,600 770
JDN Realty Corp. REIT 34,350 769
Ocean Financial Corp. 42,400 769
TNP Enterprises, Inc. 21,200 769
</TABLE>
23
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
Milacron Inc. 41,509 $ 768
- - VTEL Corp. 180,538 767
- - CSK Auto Corp. 28,400 767
- - Steel Dynamics, Inc. 49,500 766
- - Marine Drilling Co., Inc. 55,900 765
Realty Income Corp. REIT 32,200 765
- - CompuCredit Corp. 40,200 764
- - Earthshell Corp. 109,100 764
Sauer Inc. 71,000 763
- - Valence Technology 103,400 763
Reliance Bancorp, Inc. 27,600 762
- - Catherines Stores 61,600 762
- - Aspect Development, Inc. 41,200 762
Harbor Florida Bancshares, Inc. 62,179 762
- - Credit Acceptance Corp. 126,900 761
- - ProBusiness Services, Inc. 21,200 761
Orange & Rockland Utilities, Inc. 13,000 760
Public Service Co. of
New Mexico 38,180 759
- - WMS Industries, Inc. 44,600 758
- - Creative Biomolecules, Inc. 208,900 757
- - ArthroCare Corp. 36,900 756
Wackenhut Corp. 25,392 755
North Carolina Natural
Gas Corp. 22,050 755
- - FileNet Corp. 66,000 755
- - Wackenhut Corrections Corp. 38,100 755
- - Renaissance Worldwide, Inc. 94,700 755
Cross Timbers Oil Co. 50,725 755
Giant Industries, Inc. 75,900 754
L. S. Starrett Co. Class A 28,000 753
- - Priority Healthcare Corp.
Class B 21,800 752
First Financial Holdings, Inc. 40,100 752
- - Uniroyal Technology Corp. 63,700 748
PXRE Corp. 41,288 748
Alfa Corp. 37,400 748
- - Innotrac Corp. 36,900 747
- - AirTran Holdings, Inc. 129,900 747
- - Epicor Software Corp. 100,422 747
- - Vistana, Inc. 47,400 747
- - NetGravity, Inc. 32,800 746
- - Buckeye Technology, Inc. 49,100 746
- - Evergreen Resources, Inc. 29,600 746
Churchill Downs, Inc. 21,600 745
Coca-Cola Bottling Co. 13,300 745
- - PICO Holdings, Inc. 29,420 745
Staten Island Bancorp, Inc. 41,300 743
- - S3, Inc. 81,700 743
Apogee Enterprises, Inc. 55,200 742
World Fuel Services Corp. 50,261 741
- - Value City Department
Stores, Inc. 60,500 741
- - Ultratech Stepper, Inc. 49,200 741
- - Bristol Hotels & Resorts, Inc. 98,775 741
- - Matria Healthcare, Inc. 102,100 740
- - NCI Building Systems, Inc. 34,600 740
- - Centennial Bancorp 53,500 739
Justin Industries, Inc. 52,960 738
- - Acceptance Insurance Cos. Inc. 49,000 738
Computer Task Group, Inc. 43,392 738
- - DuPont Photomasks, Inc. 15,400 737
- - Sinclair Broadcast Group, Inc. 45,000 737
- - Medicis Pharmaceutical Corp. 28,962 735
- - Boise Cascade Office
Products Corp. 62,424 733
Del Webb Corp. 30,700 733
Empire District Electric Co. 28,100 732
- - Giant Cement Holding, Inc. 32,000 732
National Presto Industries, Inc. 19,137 732
Mentor Corp. 39,281 732
Black Hills Corp. 31,600 731
Arch Chemicals, Inc. 30,050 731
- - U.S. Can Corp. 32,809 730
- - Varian Medical Systems, Inc. 28,900 730
- - Station Casinos, Inc. 35,800 729
- - Beverly Enterprises, Inc. 90,379 729
- - Superior Consultant
Holdings Corp. 29,500 728
- - Mesa Air Group Inc. 96,700 727
AREA Bancshares Corp. 26,745 725
- - Consolidated Graphics, Inc. 14,500 725
- - Toll Brothers, Inc. 33,800 725
- - Corporate Express, Inc. 103,500 725
- - Thermo Fibertek, Inc. 101,525 723
Jostens Inc. 34,249 721
- - Kulicke & Soffa Industries, Inc. 26,900 721
Chicago Title Corp. 20,192 721
- - Cort Business Services Corp. 30,100 721
- - Phoenix Technologies LTD. 40,302 720
- - Rent-A-Center, Inc. 30,000 720
- - First Federal Financial Corp. 37,368 719
- - Sicor, Inc. 169,214 719
Texas Regional
Bancshares, Inc. 26,450 719
Harleysville National Corp. 20,109 719
- - ISIS Pharmaceuticals, Inc. 70,526 718
- - CUNO Inc. 37,500 717
- - United Stationers, Inc. 32,500 715
- - GelTex Pharmaceuticals, Inc. 39,700 715
Enesco Group, Inc. 30,800 712
Ottawa Financial Corp. 33,088 711
- - Oak Technology, Inc. 196,200 711
- - Todd Shipyards Corp. 103,447 711
Northwest Bancorp, Inc. 70,900 709
- - Charming Shoppes, Inc. 116,079 707
Enhance Financial
Services Group, Inc. 35,800 707
Caraustar Industries, Inc. 28,500 704
Amcore Financial 30,500 703
- - Material Sciences Corp. 46,850 703
Bandag, Inc. 20,238 702
Peoples Bancorp, Inc. 70,383 702
United Wisconsin Services, Inc. 87,700 702
- - Advanced Polymer Systems 100,200 701
- - Florida Panthers Holdings, Inc. 65,500 700
- - Del Monte Foods Co. 41,700 698
PennzEnergy Co. 41,814 698
- - Multex.com Inc. 26,700 698
- - Anixter International Inc. 38,200 697
Atmos Energy Corp. 27,885 697
International Multifoods Corp. 30,881 697
MascoTech Inc. 41,115 696
Fedders Corp. 103,845 694
</TABLE>
24
<PAGE> 153
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Heartland Express, Inc. 42,392 $ 694
- - XTRA Corp. 15,100 694
Brandywine Realty Trust REIT 35,000 693
- - Boston Beer Co., Inc. Class A 86,000 693
Technitrol, Inc. 21,500 693
- - Egghead.com, Inc. 61,931 693
- - Stein Mart, Inc. 73,900 693
Simmons First National 21,550 692
- - TenFold Corp. 21,800 692
Flowserve Corp. 36,542 692
- - Nortek, Inc. 22,100 692
- - CompUSA, Inc. 92,900 691
F & M Bancorp 20,565 690
Analysts International Corp. 48,000 690
- - GC Cos. 19,291 690
Standard Pacific Corp. 53,300 690
United National Bancorp 29,013 689
A.O. Smith Corp. 24,600 689
Konover Property Trust, Inc. REIT 74,900 688
Springs Industries Inc. Class A 15,772 688
ChemFirst Inc. 28,300 688
- - Avatar Holding, Inc. 36,300 687
- - Syntel, Inc. 76,350 687
- - Orthodontic Centers of
America, Inc. 48,600 686
Watkins-Johnson Co. 23,200 684
- - K-V Pharmaceutical Co.
Class A 44,150 684
- - Musicland Stores Corp. 77,100 684
- - Tekelec 56,000 683
Chemical Finance 19,601 682
- - Basin Exploration Inc. 34,000 682
Dime Community Bancorp, Inc. 29,300 681
- - Respironics, Inc. 44,966 680
- - Danielson Holdings Corp. 118,100 679
FFY Financial Corp. 36,200 679
- - ETEC Systems, Inc. 20,400 678
- - Administaff, Inc. 42,300 677
- - Windmere-Durable Holdings Inc. 40,099 677
- - Hexcel Corp. 66,800 676
Mitchell Energy &
Development Corp. Class A 35,000 676
Myers Industries, Inc. 33,780 676
- - International Telecommunication
Data Systems, Inc. 42,200 675
- - TALK.com, Inc. 60,000 675
Baldor Electric Co. 33,940 675
- - Department 56 Inc. 25,095 674
- - Ladd Furniture Inc. 32,100 674
- - On Assignment, Inc. 25,800 674
CTG Resources Inc. 18,515 673
- - Algos Pharmaceutical Corp. 30,500 673
- - SuperGen, Inc. 43,900 672
- - StanCorp Financial Group, Inc. 22,400 672
- - Data General Corp. 46,126 672
United Illuminating Co. 15,800 671
Titan International, Inc. 56,450 670
- - Jo-Ann Stores, Inc. Class A 44,600 669
- - Datastream Systems, Inc. 41,800 669
- - Stoneridge,Inc. 49,500 668
ASARCO, Inc. 35,438 667
First International Bancorp, Inc. 51,200 666
M.A. Hanna Co. 40,450 665
- - Network Solutions, Inc. Class A 8,400 665
Franklin Electric, Inc. 10,200 663
- - Aviall Inc. 35,219 663
- - CorVel Corp. 30,800 662
- - Cirrus Logic 74,500 661
- - U.S. Bioscience 67,787 661
- - Ampal-American Israel Corp. 122,800 660
- - Cannondale Corp. 58,000 660
- - Fresh Del Monte Produce Inc. 46,700 660
- - STAR Telecommunications, Inc. 84,415 659
Owens & Minor, Inc. Holding Co. 59,950 659
- - Echelon International Corp., Inc. 29,463 659
- - Alexander's, Inc. 8,923 659
Riviana Foods, Inc. 35,100 658
- - Pediatrix Medical Group, Inc. 30,900 657
National Golf Properties, Inc.
REIT 27,000 656
Shurgard Storage Centers, Inc.
Class A REIT 24,200 656
- - Beringer Wine Estates
Holdings, Inc. 15,700 656
- - INCYTE Pharmaceuticals, Inc. 24,800 656
- - Energy Conversion Devices, Inc. 65,975 656
- - WetSeal, Inc. Class A 22,900 656
LTC Properties, Inc. REIT 50,400 655
- - National-Oilwell, Inc. 46,800 655
- - NPC International Class A 42,600 655
Lilly Industries Inc. Class A 35,268 655
- - Volt Information Sciences Inc. 28,600 654
Winston Hotels, Inc. REIT 62,300 654
- - O'Sullivan Industries
Holdings, Inc. 38,400 653
- - Pride International Inc. 61,700 652
- - Central Sprinkler Corp. 23,118 652
Walden Residential
Properties, Inc. REIT 30,300 651
CPI Corp. 19,700 650
Harmon Industries, Inc. 32,800 650
- - Hain Food Group, Inc. 31,500 650
- - Avid Technology, Inc. 40,200 648
Resource Bancshares
Mortgage Group, Inc. 63,100 647
- - Eclipsys Corp. 27,000 646
- - MeriStar Hotels &
Resorts, Inc. REIT 187,900 646
- - WebTrends Corp. 14,000 646
Curtiss-Wright Corp. 16,600 645
- - Workflow Management, Inc. 45,267 645
Litchfield Financial Corp. 38,030 644
- - Credence Systems Corp. 17,300 642
W.R. Berkley Corp. 25,650 641
Wolverine World Wide, Inc. 45,770 641
- - Insignia Financial Group, Inc. 61,000 641
- - Twinlab Corp. 74,400 639
- - Tractor Supply Co. 23,400 639
State Financial Services Corp.
Class A 41,869 639
- - CareInsite, Inc. 13,500 638
- - Service Experts, Inc. 29,000 636
- - GST Telecommunications Inc. 48,100 634
- - Province Heathcare Co. 32,500 634
</TABLE>
25
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Pre-Paid Legal Services, Inc. 23,300 $ 633
U.S.B. Holding Co., Inc. 41,300 632
McGrath Rent Corp. 31,600 632
FBL Financial Group, Inc. Class A 32,400 632
- - Engineering Animation, Inc. 29,800 631
Penton Media, Inc. Class A 26,034 631
- - Enzo Biochem, Inc. 63,900 631
- - Harbinger Corp. 50,475 631
- - e.spire Communications, Inc. 59,700 631
AMCOL International Corp. 43,850 630
- - ONYX Software Corp. 29,100 629
- - Melita International Corp. 46,600 629
Granite State Bankshares, Inc. 27,200 629
- - Headway Corporate
Resources, Inc. 136,000 629
Medford Bancorp, Inc. 34,198 628
- - Strattec Security Corp. 18,605 628
Centex Construction
Products, Inc. 18,400 628
- - Sunbeam Corp. 79,100 628
- - Complete Business
Solutions, Inc. 35,000 628
- - Lazare Kaplan International, Inc. 62,000 628
- - Data Transmission
Network Corp. 22,300 627
Casey's General Stores 41,800 627
- - AppliedTheory Corp. 49,100 626
- - Protection One, Inc. 116,400 626
- - Source Media, Inc. 36,800 626
Landauer, Inc. 21,200 625
- - Symmetricom Inc. 76,900 625
- - Sequent Computer
Systems, Inc. 35,200 625
- - Checkpoint Systems, Inc. 69,874 624
- - National Processing, Inc. 61,600 624
NCH Corp. 12,600 624
- - Transportation Technologies
Industries, Inc. 47,000 623
- - Software.com, Inc. 26,800 621
Skaneateles Bancorp, Inc. 23,900 621
- - Theragenics Corp. 89,484 621
- - Pilgrim Capital Corp. 32,000 620
- - Auspex Systems, Inc. 57,000 620
Frontier Insurance Group, Inc. 40,280 619
National City Bancorporation 29,640 619
Phoenix Investment
Partners Ltd. 71,700 618
Capital Re Corp. 38,500 618
- - HCIA, Inc. 69,100 618
- - AmeriPath, Inc. 71,600 618
Jefferson Savings Bancorp, Inc. 44,500 617
Berkshire Realty Co., Inc. REIT 53,300 616
- - York Research Corp. 99,600 616
- - Alterra Healthcare Corp. 44,800 616
MMI Cos., Inc. 36,500 616
- - Right Management Consultants 39,700 615
G & L Realty Corp. 53,496 615
Massbank Corp. 16,400 615
- - School Specialty, Inc. 38,155 613
MTS Systems Corp. 50,280 613
- - Mortons Restaurant Group 32,144 613
- - Ceres Group, Inc. 66,600 612
Russell Corp. 31,361 612
- - Wind River Systems Inc. 38,032 611
Bindly Western Industries, Inc. 26,488 611
- - Navigators Group, Inc. 40,700 611
- - Performance Food Group Co. 22,450 610
Tejon Ranch Co. 23,200 609
- - Consolidated Freightways Corp. 47,399 609
- - Aphton Corp. 43,439 608
- - Cidco, Inc. 82,100 608
Dreyer's Grand Ice Cream, Inc. 40,200 608
Peoples Holding Co. 18,700 608
- - Atlantic Coast Airlines Holdings 31,900 606
- - Advanced Tissue Sciences Inc. 186,458 606
- - Garden Fresh Restaurant Corp. 32,300 606
- - Ortel Corp. 57,000 606
Central Hudson Gas &
Electric Corp. 14,400 605
Value Line, Inc. 15,500 605
- - PJ America Inc. 28,500 604
Prime Retail, Inc. REIT 69,400 603
Carpenter Technology Corp. 21,100 603
- - CFI ProServices, Inc. 53,469 602
Crawford & Co. Class B 37,000 601
- - Banctec, Inc. 33,500 601
- - Alpine Group, Inc. 37,400 601
- - Hoenig Group, Inc. 60,400 600
Ametek Aerospace Products Inc. 26,000 598
- - About.Com, Inc. 11,500 597
Pennsylvania Enterprises Inc. 19,434 596
Redwood Trust, Inc. REIT 36,000 596
Olin Corp. 45,200 596
Seacoast Banking Corp. of
Florida Class A 19,500 595
- - Aztar Corp. 64,700 594
- - Aetrium, Inc. 65,100 594
- - Concentra Managed Care 40,100 594
- - SpaceLabs Medical, Inc. 31,439 593
- - Norstan, Inc. 47,700 593
Standard Motor Products, Inc. 24,200 593
- - Arcadia Financial Ltd. 76,500 593
Gainsco, Inc. 100,846 592
Worthington Foods 35,888 592
WSFS Financial Corp. 40,300 592
New Jersey Resources Corp. 15,800 592
S & T Bancorp, Inc. 23,400 591
- - Eco Soil Systems, Inc. 109,900 591
Associated Estates Realty Corp.
REIT 50,000 591
- - Palm Harbor Homes, Inc. 23,500 589
N L Industries, Inc. 52,900 589
- - National Dentex Corp. 34,100 588
Met-Pro Corp. 47,045 588
- - American Axle & Manufacturing
Holdings, Inc. 42,000 588
- - Input/Output, Inc. 77,500 586
Flagstar Bancorp, Inc. 23,200 586
Trinet Corporate Realty Trust,
Inc. REIT 21,100 584
National Steel Corp. Class B 69,600 583
Arrow Financial Corp. 22,077 582
- - Benihana Inc. Class A 40,100 581
Greif Brothers Corp. Class A 22,800 581
</TABLE>
26
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - GRC International, Inc. 68,300 $ 581
SIG Corp. 20,300 580
Banta Corp. 27,600 580
- - Rainforest Cafe, Inc. 114,475 580
Atlanta Sosnoff Capital 61,200 579
- - Martek Biosciences Corp. 68,100 579
Commercial Intertech Corp. 36,300 579
Community Trust Bancorp Inc. 24,750 579
Town & Country Trust REIT 32,300 577
Oil-Dri Corp. of America 36,075 577
- - Deltek Systems, Inc. 58,400 577
- - Digi International, Inc. 55,200 576
American States Water Co. 20,300 576
Indiana Energy, Inc. 27,000 575
- - Medialink Worldwide, Inc. 35,900 574
- - Coinstar, Inc. 20,000 574
- - Interdigital Communications
Corp. 123,700 572
- - Dril-Quip, Inc. 24,900 571
- - Tech-Sym Corp. 24,002 570
- - Stratus Properties, Inc. 123,000 569
Barnes Group, Inc. 26,100 568
- - Esterline Technologies Corp. 39,490 568
- - Syms Corp. 69,800 567
Katy Industries, Inc. 43,600 567
- - NetManage, Inc. 262,863 567
- - Allaire Corp. 8,300 566
- - Satcon Technology Corp. 73,093 566
- - Intraware, Inc. 23,600 566
- - Fairchild Corp. 44,401 566
Skywest, Inc. 22,700 566
- - Hovnanian Enterprises Class A 64,650 566
- - Integrated Systems, Inc. 48,000 564
Interface, Inc. 65,300 563
- - Annaly Mortgage
Management Inc. REIT 50,000 563
- - Florida Banks, Inc. 72,000 563
AGCO Corp. 49,700 562
- - Pacific Gateway Exchange, Inc. 19,300 562
CB Bancshares Inc./Hawaii 17,700 562
Virco Manufacturing Corp. 34,850 562
- - Penwest Pharmaceuticals Co. 70,236 562
- - Davox Corp. 47,000 561
- - Western Digital Corp. 86,300 561
Getty Realty Holding Corp. 39,000 561
Middlesex Water Co. 22,300 560
Lance, Inc. 35,821 560
Cabot Industrial Trust REIT 26,300 559
J.M. Smucker Co. Class A 25,100 558
- - Micrion Corp. 49,600 558
- - Bio-Rad Laboratories, Inc.
Class A 21,353 558
- - Microtouch Systems, Inc. 37,499 558
- - Gardner Denver Inc. 34,554 557
UGI Corp. Holding Co. 27,600 557
- - Shoney's Inc. 254,406 557
Bel Fuse, Inc.-Class A 19,850 556
- - Optical Cable Corp. 50,400 554
Zenith National Insurance Corp. 22,500 554
- - PAREXEL International Corp. 41,500 552
- - Cunningham Graphics
International, Inc. 33,200 552
- - MemberWorks, Inc. 19,000 551
Corporate Office Properties
Trust, Inc. REIT 66,600 545
- - RailTex, Inc. 39,206 544
Amcast Industrial Corp. 33,296 543
Green Street Financial Corp. 46,700 543
- - Polo Ralph Lauren Corp. 28,500 542
- - Manugistics Group, Inc. 37,300 541
Sizzlers Property Investors, Inc. 61,800 541
- - Newpark Resources, Inc. 60,800 540
Spartan Motors, Inc. 93,500 538
Pioneer Standard Electronics Inc. 44,800 538
Meridian Diagnostics, Inc. 75,429 537
- - Clayton Williams Energy, Inc. 90,500 537
- - Impath, Inc. 19,900 537
Madison Gas & Electric Co. 26,200 537
Enterprise Products
Partners L.P. 29,000 537
- - Shuffle Master, Inc. 64,017 536
IRT Property Co. REIT 54,100 534
- - Daisytek International Corp. 32,700 533
- - Immucor Inc. 39,146 533
- - barnesandnoble.com inc. 29,600 533
- - DVI, Inc. 31,100 533
- - Integrated Silicon Solution, Inc. 91,600 532
General Binding Corp. 22,572 530
- - Oceaneering International, Inc. 32,890 530
Gorman-Rupp Co. 32,125 530
Ampco-Pittsburgh Corp. 41,335 530
- - Applix, Inc. 60,521 530
American Residential
Investment Trust, Inc. REIT 71,800 530
- - Juno Online Services, Inc. 23,000 529
Flushing Financial Corp. 34,300 527
- - Security Capital Group Inc.
REIT Class B 36,200 527
Hughes Supply, Inc. 17,739 527
- - Software Spectrum, Inc. 32,400 527
Lindsay Manufacturing Co. 29,937 526
- - Clintrials Research, Inc. 105,100 526
- - American Access
Technologies Inc. 28,400 525
- - Kaneb Services, Inc. 123,616 525
HEICO Corp. 21,108 525
Summit Bancshares, Inc. 30,200 525
- - CompX International Inc. 29,300 524
- - Digital Generation Systems 107,000 522
- - Proxicom, Inc. 20,300 521
Susquehanna Bancshares, Inc. 29,475 521
- - Vicorp Restaurants, Inc. 30,000 521
- - Cellnet Data Systems 57,900 521
Oakwood Homes Corp. 39,700 521
- - Ace Cash Express, Inc. 36,750 519
Ballard Medical Products 22,266 519
- - Fisher Scientific International Inc. 23,200 518
Century Bancorp, Inc. Class A 26,900 516
Tech/Ops Sevcon, Inc. 41,600 515
- - Cal Dive International, Inc. 17,200 514
- - autobytel.com inc. 24,600 514
Lillian Vernon Corp. 39,500 514
- - Rochester Medical Corp. 51,350 514
- - I-Link, Inc. 109,300 512
</TABLE>
27
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
Burnham Pacific
Properties, Inc. REIT 41,600 $ 512
Bassett Furniture Industries, Inc. 22,363 512
Gentek, Inc. 36,800 511
- - Petrocorp, Inc. 83,278 510
- - Avant! Corp. 40,400 510
- - P-Com, Inc. 97,300 509
CFW Communications Co. 21,000 509
- - Oxigene, Inc. 53,839 508
- - Barra, Inc. 20,100 508
- - Ventana Medical Systems, Inc. 26,500 507
Public Service Co. of
North Carolina, Inc. 17,300 506
- - Carmike Cinemas, Inc. Class A 31,689 505
Stepan Co. 19,900 505
Mid Atlantic Realty Trust REIT 45,350 505
Ryerson Tull, Inc. 22,341 504
Imperial Credit Commercial
Mortgage Investment Corp.
REIT 46,600 504
- - West TeleServices Corp. 53,700 503
Connecticut Water Services, Inc. 18,300 503
- - Strategic Distribution, Inc. 217,478 503
- - World Acceptance Corp. 99,800 502
Bradley Real Estate, Inc.
8.40% Cvt. Pfd. 21,672 501
Imperial Sugar Co. 72,206 501
- - VideoServer, Inc. 52,600 500
DT Industries, Inc. 54,300 499
- - Acmat Corp. Class A 33,500 498
Oxford Industries, Inc. 17,600 498
Correctional Properties Trust
REIT 31,600 498
- - Carriage Services, Inc. 26,500 497
- - Premisys Communications, Inc. 67,800 496
- - Novoste Corp. 23,600 496
- - Lechters Corp. 198,200 496
- - Perry Ellis International Corp. 37,000 495
Newmil Bancorp, Inc. 44,900 494
- - Orange-Co, Inc. 90,800 494
Angelica Corp. 28,000 494
Glenborough Realty Trust, Inc.
REIT 28,200 494
- - Silgan Holdings, Inc. 24,800 493
- - Netmoves, Corp. 89,600 493
Presidential Life Corp. 25,100 493
- - Level 8 Systems Inc. 41,900 492
- - Thermedics Detection Inc. 48,895 492
- - Lone Star Technologies, Inc. 27,700 492
- - Varian Semiconductor
Equipment Associates, Inc. 28,900 491
- - International Rectifier Corp. 36,900 491
Bryn Mawr Bank Corp. 19,100 491
- - INSpire Insurance Solutions, Inc. 33,800 490
- - Ocwen Financial Corp. 55,200 490
- - Prime Hospitality Corp. 40,800 490
- - Itron, Inc. 57,100 489
- - Triad Hospitals, Inc. 36,194 489
Horizon Financial Corp. 35,698 489
- - NBTY, Inc. 75,100 488
- - LifePoint Hospitals, Inc. 36,194 486
- - Rightchoice Managed Care, Inc. 42,500 486
National Health Investors REIT 21,300 486
Oregon Steel Mills, Inc. 36,500 486
- - Sizzler International 215,925 486
Arch Coal, Inc. 35,000 486
Lawrence Savings Bank 51,800 486
- - Staff Leasing,Inc. 37,700 485
Southwestern Energy Co. 45,900 485
- - U.S. Franchise Systems, Inc.
Class A 20,900 485
RPC Inc. 55,300 484
- - Salient 3 Communications
Class A 59,500 483
- - Epitope Inc. 82,200 483
- - I-STAT Corp. 52,900 483
United Mobile Homes, Inc. 51,100 482
- - Comdial Corp. 68,266 482
- - Amerco, Inc. 21,400 482
- - Styling Technology Corp. 37,000 481
- - FSI International, Inc. 57,800 480
LTV Corp. 71,700 479
- - Organogenesis, Inc. 51,108 479
- - Dura Automotive Systems, Inc. 14,379 478
- - Priority Healthcare Corp. Class A 13,848 478
- - Bright Horizons Family
Solutions, Inc. 25,300 478
- - Andrea Radio Corp. 73,300 476
- - Presstek, Inc 66,000 476
Commercial Net Lease Realty
REIT 37,000 476
- - Mid Atlantic Medical
Services, Inc. 48,100 475
- - Aftermarket Technology Corp. 41,700 474
- - Friendly Ice Cream Corp. 59,200 474
- - Standard Microsystem 62,500 473
- - Vantive Corp. 41,300 472
- - Zoll Medical Corp. 39,300 472
- - Rainbow Technologies, Inc. 39,900 471
- - Zebra Technologies Corp.
Class B 12,240 470
Boddie-Noell Properties Inc. 40,900 470
- - TCSI Corp. 183,521 470
- - Physicians' Specialty Corp. 49,100 470
- - Total-Tel USA
Communications, Inc. 26,580 468
Berry Petroleum Class A 33,600 468
- - Remedy Corp. 17,400 468
EZCORP, Inc. 68,000 468
- - Quaker City Bancorp, Inc. 28,272 466
- - SEACOR SMIT Inc. 8,700 465
- - Laboratory Corp. of America 161,648 465
Grove Property Trust REIT 35,600 463
- - Precision Response Corp. 82,700 463
NUI Corp. 18,500 463
- - Converse Inc. 127,500 462
- - Aspect Telecommunications Corp. 47,300 461
- - Goody's Family Clothing 40,300 461
Comcast Corp. Class A 12,860 461
- - Marvel Enterprises Inc. 62,400 460
- - EEX Corp. 66,213 459
Western Investment Real Estate
Trust REIT 39,500 459
</TABLE>
28
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
Ameron International Corp. 10,400 $ 459
- - S&K Famous Brands Inc. 48,100 458
- - UniSource Energy Corp. 38,380 458
Bangor Hydro-Electric Co. 28,400 458
- - iXL Enterprises, Inc. 17,000 457
- - Able Telcom Holding Corp. 63,000 457
- - The Sports Authority, Inc. 102,800 456
- - Nuevo Energy Co. 34,400 456
- - Crescendo Pharmaceuticals
Corp. 26,379 455
- - Dura Pharmaceuticals, Inc. 38,086 455
Thomas Nelson, Inc. 40,850 454
M/A/R/C, Inc. 31,200 452
Allen Organ Co. 12,300 450
- - Tuboscope Inc. 32,900 450
- - Inprise Corp. 92,200 449
- - Jackpot Enterprises, Inc. 52,800 449
- - Wit Capital Group, Inc. 13,200 449
- - Zoltek Cos., Inc. 56,400 448
- - Preview Travel, Inc. 20,300 445
Merrill Corp. 30,700 445
Heritage Financial Corp. 51,900 444
Northwest Natural Gas Co. 18,400 444
Merchants Bancshares, Inc. 19,500 444
- - SITEL Corp. 151,000 444
- - Diametrics Medical, Inc. 73,700 442
- - Immune Response 81,917 440
- - Sunburst Hospitality Corp. 74,713 439
- - Cameron Ashley Building
Products 42,008 438
- - Kent Electronics Corp. 22,100 438
- - Nashua Corp. 44,314 438
- - Viacom Inc. Class A 9,906 437
- - Perrigo Co. 57,300 437
- - EMS Technologies, Inc. 30,086 436
- - Globe Business Resources, Inc. 33,500 436
- - Applied Innovation Inc. 92,900 435
CV REIT, Inc. 33,800 435
- - Curative Health Services Inc. 78,800 433
EDO Corp. 59,700 433
Consolidated-Tomoka Land Co. 29,700 433
A.M. Castle & Co. 25,431 432
- - Diacrin, Inc. 76,000 432
OEA, Inc. 48,700 432
- - Maxicare Health Plans Inc. 90,878 432
Cubic Corp. 17,600 431
- - Belco Oil & Gas Corp. 62,100 431
- - Park-Ohio Holdings Corp. 25,400 430
- - ADAC Laboratories 59,300 430
Cascade Bancorp 26,650 430
- - Burlington Industries, Inc. 47,397 430
- - Kendle International Inc. 26,800 429
Exide Corp. 29,000 428
- - XOMA Ltd. 70,556 428
- - Correctional Services Corp. 56,085 428
- - Cable Design Technologies 27,678 427
Hopfed Bancorp, Inc. 19,400 427
- - RWD Technologies, Inc. 40,800 426
- - PE Corp.-Celera Genomics
Group 26,265 425
- - California Amplifier, Inc. 65,360 425
Tremont Corp. 19,746 425
- - BankUnited Financial Corp. 44,100 424
- - Scott Technologies, Inc. 22,000 424
- - Jan Bell Marketing Inc. 120,500 422
Varian, Inc. 31,200 421
Apex Mortgage Capital, Inc.
REIT 31,600 421
Asset Investors Corp. 28,100 420
UniFirst Corp. 22,800 419
- - Chalone Wine Group Ltd. 42,940 419
- - Parker Drilling Co. 126,300 418
Central Vermont Public
Service Corp. 32,800 418
Foster Wheeler Corp. 29,596 418
- - MessageMedia Inc. 22,000 418
- - Health Management
Systems, Inc. 75,997 418
Hunt Corp. 50,300 415
RFS Hotel Investors, Inc. REIT 33,000 415
- - Sonosite, Inc. 24,379 414
- - Personnel Group of America, Inc. 41,404 414
- - IMRglobal Corp. 21,500 414
- - Autoweb.com, Inc. 27,700 414
- - Thermo TerraTech, Inc. 73,500 413
InterWest Bancorp Inc. 16,500 413
- - Boron, LePore & Associates, Inc. 49,200 412
St. Mary Land & Exploration Co. 20,028 412
- - Lifecore Biomedical Inc. 35,800 412
- - Schuler Homes Inc. 63,300 411
- - @Entertainment, Inc. 21,900 411
Quaker Chemical Corp. 25,200 410
TF Financial Corp. 21,200 409
BankAtlantic Bancorp, Inc.
Class A 56,400 409
First Charter Corp. 16,484 408
- - Trans World Airlines 82,497 407
Trenwick Group Inc. 16,500 407
Donnelly Corp. 25,725 407
- - Acacia Research Corp. 50,800 406
Crown Crafts, Inc. 92,700 406
- - Manhattan Associates, Inc. 49,000 404
- - Baldwin Technology Class A 137,600 404
- - M&F Worldwide Corp. 50,779 403
- - Drexler Technology Corp. 42,389 403
HF Financial Corp. 29,950 401
- - General DataComm
Industries, Inc. 152,500 400
Superior Uniform Group, Inc. 31,900 399
- - Caribiner International, Inc. 64,400 398
OmniQuip International, Inc. 50,400 397
- - Cyberian Outpost, Inc. 39,900 397
- - Centigram Communications 42,500 396
- - Invision Technologies, Inc. 77,200 396
- - Cole National Corp. Class A 49,800 395
Southern Peru Copper Corp. 27,300 394
- - Mansur Industries, Inc. 39,400 394
- - Magellan Health Services, Inc. 39,300 393
Wolohan Lumber Co. 32,078 393
Vesta Insurance Group, Inc. 84,900 393
- - Premiere Technologies, Inc. 34,100 392
Phillips-Van Heusen Corp. 39,700 392
- - LINC Capital, Inc. 44,100 391
- - Chemical Fabrics Corp. 21,511 391
</TABLE>
29
<PAGE> 158
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Lancer Corp. 46,685 $ 391
- - Information Resources, Inc. 44,635 391
- - United Capital Corp. 24,900 389
- - MRV Communications Inc. 29,486 387
- - American Bank Note
Holographics, Inc. 140,700 387
NewSouth Bancorp, Inc. 21,750 386
- - Atrix Laboratories, Inc. 39,989 385
- - Echo Bay Mines Ltd. 267,384 384
- - StaffMark, Inc. 38,300 384
- - FLIR Systems, Inc. 25,400 384
- - uBid, Inc. 12,000 384
- - Fritz Cos., Inc. 35,500 382
- - Read Rite Corp. 61,431 381
- - Brightpoint, Inc. 62,800 381
- - Wall Data Inc. 39,796 381
- - infoUSA, Inc. Class B 44,616 379
- - Biotechnology General 58,300 379
Puerto Rican Cement Co., Inc. 11,400 378
- - Cone Mills Corp. 63,000 378
- - Factory 2-U Stores Inc. 20,400 377
- - Hartmarx Corp. 90,100 377
- - Artesyn Technologies, Inc. 17,000 377
- - SteriGenics International, Inc. 14,300 377
- - Time Warner Telecom Inc. 13,000 377
- - SpecTran Corp. 33,500 377
Pittston BAX Group 39,650 377
- - NS Group Inc. 40,600 376
- - PhyCor, Inc. 50,700 375
Schnitzer Steel Industries, Inc.
Class A 16,700 375
Ziegler Cos., Inc. 21,300 374
- - BE Avionics Inc. 20,000 374
Alico, Inc. 24,100 374
- - Metromedia International
Group, Inc. 49,700 373
- - Schein Pharmaceutical, Inc. 30,900 373
- - Identix, Inc. 37,900 372
- - Miller Industries, Inc. 94,300 371
- - Daily Journal Corp. 10,000 371
Davel Communications, Inc. 68,943 371
- - AMF Bowling, Inc. 43,900 370
- - Coeur D'Alene Mines Corp. 79,600 368
Standard Commercial
Tobacco Co. 62,571 368
- - Coleman Inc. 39,032 366
- - Neurogen Corp. 25,020 366
- - Integrated Health Services, Inc. 45,600 365
- - Berlitz International, Inc. 19,827 364
- - New Mexico & Arizona Land Co. 50,141 364
- - Old Dominion Freight Line, Inc. 30,515 362
- - Protocol Systems, Inc. 41,600 361
- - PathoGenesis Corp. 25,400 360
Watts Industries Class A 18,700 359
Alamo Group, Inc. 40,800 357
First Commerce
Bancshares Inc. Class A 14,400 356
Greater Bay Bancorp 10,700 356
- - Mossimo, Inc. 39,700 355
- - Host Marriott Services Corp. 43,584 354
Petroleum Helicopters, Inc. 28,800 353
Superior Industries
International, Inc. 12,850 351
- - Computer Learning Centers, Inc. 71,000 351
Penford Corp. 21,491 349
- - Highlands Insurance Group 33,154 348
Calgon Carbon Corp. 58,600 348
- - Gilman & Ciocia, Inc. 37,800 347
Thornburg Mortgage Asset Corp.
REIT 34,700 347
- - Applied Digital Access, Inc. 77,100 347
- - Coherent, Inc. 18,600 346
Penn Virginia Corp. 17,500 346
Holly Corp. 25,800 345
- - Computer Horizons Corp. 24,944 345
- - Sola International Inc. 17,700 344
- - Cytoclonal Pharmaceutics Inc. 54,400 343
Guilford Mills, Inc. 33,050 343
- - Juniper Networks INC 2,300 343
Mueller (Paul) Co. 11,000 342
- - American Skiing Co. 84,200 342
- - Fresh America Corp. 24,400 342
- - Western Water Co. 97,600 342
- - Metrocall, Inc. 124,200 342
- - FARO Technologies, Inc. 68,000 340
- - LeukoSite, Inc. 28,300 340
Hancock Fabrics, Inc. 77,600 340
- - Global Payment Tech Inc. 42,500 339
Rollins Truck Leasing 30,400 338
- - Lynx Therapeutics Inc. 29,826 337
- - MEMC Electronic
Materials, Inc. 27,600 336
Big Dog Holdings, Inc. 63,900 335
First Savings Bancorp, Inc. 16,700 334
- - First Consulting Group, Inc. 31,416 334
- - Activision, Inc. 22,900 333
Oregon Trail Financial Corp. 26,100 333
- - Provident Financial Holdings, Inc. 16,600 332
F & M National Corp. 10,000 332
- - Digital Island Inc. 18,400 330
- - Lone Star Steakhouse &
Saloon, Inc. 33,900 329
- - Swift Energy Co. 30,500 326
Circle International Group, Inc. 14,900 326
- - Nu Horizons Electronics Corp. 46,100 326
- - Systemax Inc. 26,200 324
Chiquita Brands
International, Inc. 35,935 323
- - Merisel, Inc. 141,700 323
- - MSC Industrial Direct Co., Inc.
Class A 31,500 323
- - Lydall, Inc. 28,000 322
- - Intergraph Corp. 41,440 321
- - SM&A Corp. 42,000 320
Fleming Cos., Inc. 27,539 320
- - Layne Christensen Co. 50,200 320
Overseas Shipholding Group Inc. 24,800 319
- - Global Vacation Group, Inc. 70,700 318
- - Hawthorne Financial Corp. 19,500 317
Cadmus Communications 22,900 315
Ventas, Inc. 58,563 315
- - AT&T Corp.-Liberty Media Group 8,438 314
- - GT Interactive Software Corp. 89,800 314
</TABLE>
30
<PAGE> 159
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Weirton Steel 134,900 $ 312
- - The Cherry Corp. 22,200 311
- - Silicon Valley Group, Inc. 18,400 309
- - Seattle FilmWorks, Inc. 100,900 309
- - Hologic, Inc. 54,900 309
- - Brocade Communications
Systems, Inc. 3,200 309
- - MLC Holdings, Inc. 39,800 308
Schweitzer-Mauduit
International, Inc. 20,537 308
- - Kensey Nash Corp. 38,500 308
- - LMI Aerospace, Inc. 71,400 308
- - 3Dfx Interactive, Inc. 19,700 308
- - Crestline Capital Corp. 18,233 307
Atlantic Tele-Network, Inc. 29,120 306
- - Filene's Basement Corp. 212,205 305
- - Marcam Solutions, Inc. 40,750 304
ABM Industries 9,900 304
General Chemical Group, Inc. 97,200 304
Hubbell Inc. Class A 7,600 303
Marion Capital Holdings 14,600 303
Intermet Corp. 19,900 301
- - NCS HealthCare, Inc. 55,300 301
- - Chesapeake Energy Corp. 102,300 301
- - Veritas DGC Inc. 16,400 300
Stephan Co. 71,550 300
- - Harken Energy Corp. 184,300 299
HMN Financial, Inc. 25,550 297
- - Coram Healthcare Corp. 169,475 297
- - Allied Holdings, Inc. 36,500 297
- - Sensory Science Corp. 83,100 296
- - SpeedUs.com, Inc. 50,200 295
- - Spectranetics Corp. 104,500 294
- - Chic By H.I.S., Inc. 110,580 294
- - System Software
Associates, Inc. 176,500 292
- - Toymax International, Inc. 58,800 292
Pan Pacific Retail
Properties, Inc. REIT 15,000 292
Cavalier Homes, Inc. 35,600 291
- - Allen Telecom Inc. 27,000 290
Universal Health Realty Income 14,700 289
- - Midwest Express Holdings, Inc. 8,500 289
- - Molecular Biosystems, Inc. 118,200 288
- - Meritage Corp. 26,300 288
- - Thermotrex Corp. 37,500 286
- - Encore Wire Corp. 31,550 286
Birmingham Steel Corp. 69,300 286
- - McWorter Technologies Inc. 19,800 286
Waddell & Reed Financial, Inc. 10,402 285
- - Medaphis Corp. 49,416 284
- - Franklin Electronic
Publishers, Inc. 77,000 284
- - The Gymboree Corp. 27,040 284
- - Jacobson Stores Inc. 39,100 283
- - Information Management
Associates, Inc. 80,800 283
- - HMT Technology Corp. 112,900 282
- - Micrografx, Inc. 46,500 282
Prime Group Realty Trust REIT 16,400 282
- - Periphonics Corp. 17,200 282
Rouge Industries Inc. 29,200 281
- - Diamond Multimedia
Systems, Inc. 67,900 280
- - HomeBase, Inc. 43,800 276
BeautiControl Cosmetics 59,700 276
FirstSpartan Financial Corp. 11,800 274
- - Urocor, Inc. 55,600 273
- - AXENT Technologies, Inc. 24,500 273
- - Thermo Cardiosystems Inc. 25,050 272
- - TBC Corp. 38,450 272
- - Navigant International, Inc. 34,450 271
- - Travel Services International, Inc. 22,600 271
- - TRO Learning, Inc. 44,100 270
Ambanc Holding Co., Inc. 16,200 269
- - Jenny Craig Inc. 76,900 269
- - Foamex International, Inc. 48,100 268
- - Korn/Ferry International 15,700 267
Bel Fuse, Inc.- Class B 10,250 267
Cato Corp. Class A 22,900 266
- - DLJdirect 9,000 266
- - Scios, Inc. 81,500 265
Fidelity Bancorp, Inc. 12,300 264
- - Object Design, Inc. 68,000 264
- - Imperial Credit 37,126 263
- - Griffin Land & Nurseries, Inc. 22,100 262
Argonaut Group, Inc. 10,881 261
- - Advanced Lighting
Technologies, Inc. 29,000 261
- - Associated Group, Inc. Class B 4,000 261
Heilig-Meyers Co. 38,057 259
- - Invitrogen Corp. 10,500 259
- - NVIDIA Corp. 13,500 258
- - TSR, Inc. 30,200 257
HEICO Corp. Class A 10,554 256
- - Building One Services Corp. 18,442 256
- - Omega Worldwide, Inc. 62,943 256
- - Hie Inc. 107,600 256
Green Mountain Power Corp. 22,700 255
- - Samsonite Corp. 50,778 254
- - Family Golf Centers, Inc. 32,900 253
- - The Dress Barn, Inc. 15,800 253
- - Grey Wolf, Inc. 100,500 251
- - Exabyte Corp. 64,800 251
- - Synagro Technologies Inc. 39,346 251
Nash-Finch Co. 24,700 249
- - General Cigar Holdings, Inc. 31,700 248
- - Berkshire Hathaway Inc. Class B 110 247
- - Sterile Recoveries, Inc. 21,200 247
- - TCI Satellite Entertainment, Inc.
Class A 84,106 247
Otter Tail Power Co. 6,402 247
- - Sunrise Medical, Inc. 34,600 247
- - Syntroleum Corp. 27,500 246
- - Applied Graphics
Technologies, Inc. 19,360 244
- - Immunomedics Inc. 166,100 244
Banco Santander Puerto Rico 13,500 244
- - Capital Corp. of the West 19,500 244
Avado Brands, Inc. 29,074 243
- - Landry's Seafood
Restaurants, Inc. 30,400 243
Capstead Mortgage Corp. REIT 44,550 242
First Liberty Financial Corp. 7,700 242
</TABLE>
31
<PAGE> 160
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
Terra Industries, Inc. 60,250 $ 241
- - Geoworks 80,300 241
- - Amresco, Inc. 37,200 239
- - Stac Software, Inc. 42,982 239
X-Rite Inc. 36,500 235
- - COMFORCE Corp. 77,873 234
K2 Inc. 26,062 233
- - Group Maintenance
America Corp. 18,000 233
- - Budget Group, Inc. 18,900 233
Titanium Metals Corp. 20,900 233
- - Kitty Hawk, Inc. 29,400 232
- - Mechanical Technology Inc. 8,550 231
- - Comptek Research, Inc. 28,600 231
Methode Electronics, Inc.
Class A 10,051 230
Telxon Corp. 28,900 229
Aames Financial Corp. 174,750 229
- - Intelidata Technologies Corp. 91,700 229
- - Signal Technology Corp. 41,653 229
- - Navarre Corp. 23,200 228
- - Novavax, Inc. 65,190 228
- - dELiA*s Inc. 16,900 228
Bridge View Bancorp 12,880 228
- - MetaCreations Corp. 39,325 226
- - Forcenergy Inc. 241,127 226
- - infoUSA, Inc. Class A 25,416 226
- - Merix Corp. 29,500 225
- - V-One Corp. 82,600 225
- - Loronix Information Systems 27,100 224
- - Premier Research
Worldwide, Ltd. 35,000 223
ISCO, Inc. 35,685 223
Patriot Bank Corp. 23,475 223
- - Cheap Tickets, Inc. 6,100 223
- - Vivus, Inc. 84,400 222
FNB Financial Services Corp. 14,500 221
Greater Delaware Valley
Savings Bank 23,400 221
- - Impco Technologies Inc. 17,200 219
- - SeaMED Corp. 18,600 219
- - Frontline Communications Corp. 25,900 219
- - Artisoft, Inc. 42,904 217
- - US SEARCH.com Inc. 27,000 216
- - Ocular Sciences, Inc. 12,400 215
Maine Public Service Co. 12,000 213
- - Response Oncology, Inc. 72,500 213
- - Delphi Information Systems, Inc. 21,280 213
- - Kevco, Inc. 25,800 211
- - Hecla Mining Co. 102,200 211
- - Waste Systems International, Inc. 30,400 210
- - Phoenix International Ltd., Inc. 32,900 210
Laser Mortgage
Management, Inc. 61,000 210
- - INSO Corp. 38,900 209
- - BroadBand Technologies, Inc. 84,400 208
- - Transworld Healthcare Inc. 61,726 208
Synalloy Corp. 25,500 207
Continental Mortgage &
Equity Trust 13,350 207
- - Genesis Direct, Inc. 109,700 206
- - Walker Interactive Systems, Inc. 78,300 206
Huntco Inc. Class A 68,200 205
- - Keystone Consolidated
Industries, Inc. 30,690 203
- - Darling International, Inc. 104,900 203
- - Sagent Technology, Inc. 23,300 201
- - Omtool, Ltd. 60,600 201
Innkeepers USA Trust REIT 20,000 200
Psychemedics, Inc. 40,000 200
International Shipholding Corp. 13,900 200
- - Advanced Magnetics, Inc. 47,700 200
- - Mesaba Holdings, Inc. 15,600 199
Gables Residential Trust REIT 8,100 195
- - Gibson Greetings, Inc. 30,800 195
- - Numerex Corp. 45,900 195
- - PlayCore, Inc. 33,911 195
- - Objective Systems Integrators, Inc. 70,800 195
- - Compass International
Services Corp. 27,800 195
- - Avigen, Inc. 32,400 194
- - Renex Corp. 35,700 194
Southwest Bancorp, Inc. 8,600 194
- - AXYS Pharmaceuticals, Inc. 57,245 193
Bell Industries, Inc. 43,503 193
Freeport-McMoRan Copper &
Gold, Inc. Class A 11,512 193
- - Lumisys, Inc. 58,700 193
BankAtlantic Bancorp, Inc.
Class B 23,501 191
- - Holophane Corp. 5,000 191
- - Profile Technologies, Inc. 23,700 190
Harnischfeger Industries Inc. 94,406 189
- - PictureTel Corp. 23,600 189
F & M Bancorporation, Inc. 5,000 189
Dimon Inc. 36,250 188
- - MTR Gaming Group Inc. 66,800 188
- - Boyd Gaming Corp. 26,700 187
- - OpenROUTE Networks, Inc. 43,900 187
- - Alliance Pharmaceutical Corp. 70,602 185
Astro-Med, Inc. 26,800 184
Urstadt Biddle Properties
REIT Class A 23,100 182
- - Vertel Corp. 96,909 182
- - LCA-Vision, Inc. 19,495 182
Investors Title Co. 10,600 180
- - Data Race, Inc. 54,122 179
- - Fourth Shift Corp. 48,400 178
SJNB Financial Corp. 5,900 178
Herbalife International Class B 20,600 178
BMC Industries, Inc. 17,163 177
- - Vestcom International, Inc. 50,500 177
- - Genesis Health Ventures Inc. 58,900 177
- - International Microcomputer
Software, Inc. 36,100 176
- - ContiFinancial Corp. 49,300 176
- - Momentum Business
Applications, Inc. 24,688 174
Republic Banking Corp. of Florida 9,000 173
Urstadt Biddle Properties REIT 23,100 173
American Medical Security
Group, Inc. 19,900 172
Oak Hill Financial, Inc. 9,400 172
- - Starter Corp. 135,800 170
</TABLE>
32
<PAGE> 161
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Employee Solutions, Inc. 142,900 $ 170
- - Adams Golf, Inc. 66,100 169
- - Health Systems Design Corp. 39,800 169
- - Aqua Alliance Inc. 168,800 169
- - National Bancshares Corp.
of Texas 10,600 168
Wiser Oil Co. 50,600 168
- - Titan Exploration, Inc. 33,522 168
Thermoretec Corp. 39,400 167
- - Interneuron Pharmaceutical, Inc. 60,600 167
First Financial Corp.-Indiana 4,400 166
- - ImmuLogic Pharmaceutical
Corp. 88,500 166
- - Glenayre Technologies, Inc. 45,825 165
- - Electric Fuel Corp. 99,100 164
Luby's, Inc. 10,859 163
- - Todhunter International, Inc. 19,300 162
- - Stage Stores, Inc. 24,800 161
- - Lakes Gaming, Inc. 14,725 161
- - Input Software Inc. 26,800 160
- - Capital Trust Class A 35,500 160
- - Morgan Products Ltd. 41,600 159
United Water Resources, Inc. 6,900 157
Peekskill Financial Corp. 11,800 156
BCSB Bankcorp, Inc. 18,300 156
- - Celtrix Pharmaceuticals 123,500 154
- - United PanAm Financial Corp. 47,200 153
- - WHX Corp. 23,300 153
- - The TesseracT Group, Inc. 58,200 153
Wackenhut Corp. Class B 6,350 152
- - Interleaf, Inc. 25,533 150
- - Craig Corp. 21,077 149
- - Thermedics, Inc. 15,950 149
- - Hollywood Casino Corp. 98,500 148
- - Seven Seas Petroleum Inc. 53,600 147
Cooper Cos., Inc. 5,900 147
- - Network Access Solutions Corp. 11,000 146
Kilroy Realty Corp. REIT 6,000 146
KCS Energy, Inc. 231,500 145
- - NeoPharm, Inc. 9,700 143
- - Craig Corp. Pfd. 20,077 142
- - Arch Communications Group, Inc 16,533 141
Columbia Bancorp 10,600 140
- - Brite Voice Systems, Inc. 9,991 139
- - Destia Communications, Inc. 11,200 139
- - Consumer Portfolio Services, Inc. 82,900 139
Silknet Software, Inc. 3,400 138
- - IEC Electronics Corp. 38,218 136
Covest Bankshares, Inc. 9,100 135
- - Astea International, Inc. 46,000 135
TransPro Inc. 25,725 135
- - Docucorp International 32,559 134
- - Capital Pacific Holdings, Inc. 37,000 134
- - Professional Detailing, Inc. 5,700 134
- - Homestead Village, Inc. 54,787 134
- - TST Impreso, Inc. 32,800 133
Anthracite Capital Inc. 20,000 131
- - Sirco International Corp. 74,600 131
- - Redhook Ale Brewery, Inc. 33,900 130
Carey Diversified LLC 7,500 130
- - Carrington Labs Inc. 45,128 130
- - AgriBioTech, Inc. 21,300 129
- - Visual Data Corp. 7,000 128
- - Zomax Inc. 2,900 128
- - ThermoLase Corp. 97,200 128
- - Aztec Technology Partners, Inc. 67,800 127
- - Capital Title Group, Inc. 50,800 127
Mississippi Chemical Corp. 12,941 127
- - Quintel Communications, Inc. 84,200 126
- - U.S. Energy Corp. 33,460 125
- - Alyn Corp. 40,100 125
- - Breed Technological Inc. 55,600 125
- - Secure Computing Corp. 51,100 125
- - AFC Cable Systems, Inc. 3,500 124
Carolina Southern Bank 8,045 123
Glimcher Realty Trust REIT 7,500 122
- - Benihana Inc. 8,400 122
- - Noven Pharmaceuticals, Inc. 19,800 120
- - Rohn Industries Inc. 85,900 118
- - ATEC Group, Inc. 30,400 118
- - Trans World Entertainment Corp. 10,400 117
CRIIMI MAE, Inc. REIT 51,300 115
- - TD Waterhouse Group, Inc. 4,600 115
- - Excel Legacy Corp. 24,200 115
- - Amylin Pharmaceuticals, Inc. 102,000 115
- - CD Warehouse, Inc. 13,400 115
- - Microwave Systems Corp. 73,100 114
- - Crown Vantage, Inc. 51,424 112
- - Service Merchandise Co., Inc. 299,650 112
- - Technisource, Inc. 21,400 111
- - Unigene 117,700 110
Ziff-Davis Inc.- ZDNet 4,200 109
- - Webco Industries, Inc. 21,300 109
- - SMC Corp. 21,200 109
- - Trump Hotels & Casino
Resorts, Inc. 23,800 109
- - North American Vaccine, Inc. 22,061 108
- - Medar, Inc. 49,058 107
- - Designs, Inc. 70,900 106
Coastal Bancorp, Inc. 6,300 106
- - Komag, Inc. 32,000 106
- - QCF Bancorp, Inc. 3,900 104
- - Quality Systems, Inc. 16,300 104
The Marcus Corp. 8,400 103
- - UroQuest Medical Corp. 57,700 103
- - TransTexas Gas Corp. 172,200 102
Bank of Commerce/San Diego 5,000 102
- - Black Hawk Gaming &
Development Co., Inc. 13,300 101
- - Just for Feet, Inc. 15,576 100
- - Sciclone Pharmaceuticals 80,100 100
- - Miravant Medical Technology 14,000 100
Greater Community Bancorp 9,700 99
- - Metra Biosystems, Inc. 57,800 99
Colonial Properties Trust REIT 3,500 99
- - Calypte Biomedical Corp. 56,100 98
Allied Products Corp. 33,898 97
- - U.S. Office Products Co. 18,125 97
Merit Holding Corp. 4,200 95
- - Hauser, Inc. 17,225 95
- - Telular Corp. 32,050 94
Fedders Corp. Class A 15,226 93
- - PRT Group Inc. 32,300 93
- - Fresh Choice, Inc. 44,800 92
- - Rocky Mountain Chocolate
Factory, Inc. 15,400 92
</TABLE>
33
<PAGE> 162
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - AMBI, Inc. 37,900 $ 92
- - C2, Inc. 14,700 92
- - Systems & Computer
Technology Corp. 6,300 92
- - Versant Corp. 36,300 91
- - Larscom, Inc. Class A 39,500 90
- - Federal Agricultural
Mortgage Corp. Class A 5,400 89
Food Lion Inc. Class B 7,694 89
- - Today's Man Inc. 79,025 89
- - Axiohm Transaction
Solutions, Inc. 22,189 89
- - Film Roman, Inc. 30,200 89
- - Viasoft, Inc. 25,048 88
- - JPS Packaging Co. 18,800 88
- - Applied Microsystems Corp. 28,000 88
- - Careerbuilder, Inc. 6,600 87
- - Nastech Pharmaceutical Co., Inc. 25,900 86
- - Com21, Inc. 5,000 85
Pulaski Financial Corp. 7,648 85
- - Fortress Group, Inc. 57,700 85
- - USDATA Corp., Inc. 21,803 84
- - Hovnanian Enterprises
Class B 9,650 84
- - Dataware Technologies, Inc. 35,500 84
- - Comshare 27,300 84
- - CAIS Internet, Inc. 4,500 83
- - OAO Technology Solutions, Inc. 22,019 83
- - Nord Resources Corp. 144,900 82
- - Viant Corp. 2,300 81
- - Pericom Semiconductor Corp. 7,100 80
- - Mobius Management
Systems, Inc. 9,600 79
- - Innovasive Devices, Inc. 24,200 79
Interpool, Inc. 6,000 78
- - Provant, Inc. 5,000 78
- - Ramtron International Corp. 124,000 78
- - DA Consulting Group, Inc. 12,900 77
- - Candie's, Inc. 25,000 77
- - APAC Teleservices, Inc. 23,511 76
- - The A Consulting Team, Inc. 9,500 76
- - V.I. Technologies, Inc. 15,200 76
York Financial Corp. 5,155 75
Blimpie International, Inc. 27,400 75
- - Genzyme Surgical Products 16,733 74
- - Electronic Retailing Systems
International, Inc. 48,900 73
- - Safeguard Health
Enterprises, Inc. 16,035 72
- - Gallery of History, Inc. 13,700 72
- - Lifeline Systems, Inc. 3,700 71
- - Gulf West Banks, Inc. 8,300 71
- - SkyePharma PLC ADR 9,219 71
- - StarMedia Network, Inc. 1,100 71
- - Wellsford Real Properties Inc.
REIT 6,400 69
- - Badger Paper Mills, Inc. 9,300 67
- - Colonial Downs Holdings, Inc. 34,500 67
- - Neoprobe Corp. 105,700 66
- - Information Architects Corp. 27,700 66
- - Maker Communications, Inc. 2,100 65
- - Fresh Foods Inc. 7,500 65
- - SEEC, Inc. 15,200 65
- - Dispatch Management
Services Corp. 23,000 64
- - Zamba Corp. 31,800 62
- - Response USA, Inc. 33,400 62
- - Life Financial Corp. 14,000 60
- - Latitude Communications, Inc. 4,500 59
- - Cyberguard Corp. 57,755 58
Reader's Digest Assn., Inc.
Class B 1,500 56
Terra Nitrogen Co., LP 5,800 56
- - Barnett, Inc. 7,400 56
- - Graham-Field Health
Products Inc. 36,684 55
- - SeraCare, Inc. 11,000 55
- - Digital Origin, Inc. 16,700 55
- - Credit Management
Solutions, Inc. 11,400 54
- - NovaCare, Inc. 35,688 54
- - PriceSmart, Inc. 1,500 53
Codorus Valley Bancorp, Inc. 2,877 52
California Independent Bancorp 2,500 52
- - Radio One, Inc. 1,100 51
Oneida Ltd. 1,800 51
- - Catalina Lighting, Inc. 10,000 50
Steelcase Inc. 2,500 50
- - Finet Holdings Corp. 8,900 50
- - Cardima, Inc. 24,300 49
- - Network Plus Corp. 2,300 48
- - Coastal Physician Group, Inc. 90,000 48
J.M. Smucker Co. Class B 2,500 48
- - Centura Software Corp. 47,388 47
- - Heartland Technology, Inc 7,700 46
- - American Banknote Corp. 144,200 45
- - Planet Hollywood International,
Inc. Class A 65,500 45
- - Checkers Drive-In Restaurant 119,550 45
- - Industri-Matematik
International Corp. 17,700 43
Community Banks, Inc. 2,000 43
- - Gold Reserve Inc. Class A 36,900 42
- - Whittaker Corp. 1,500 42
- - Aura Systems, Inc. 191,781 42
- - Technical Chemicals and
Products, Inc. 37,200 42
Kaye Group Inc. 5,300 42
- - Einstein/Noah Bagel Corp. 42,500 41
- - Cogeneration Corp. of America 2,838 41
- - Continucare Corp. 65,000 41
- - Applied Magnetics Corp. 13,200 40
- - IA Corp. 20,100 40
- - PowerCerv Corp. 14,600 40
- - Intelligent Medical Imaging, Inc. 53,500 40
- - Heartport Inc. 16,500 39
- - Informatica Corp. 1,100 39
- - Lexington Global Asset
Managers, Inc. 11,000 39
- - Star Buffet, Inc. 7,600 39
- - Geneva Steel Class A 155,300 39
- - Geron Corp. 3,700 39
- - Central Financial
Acceptance Corp. 10,500 38
</TABLE>
34
<PAGE> 163
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Trailer Bridge, Inc. 18,400 $ 38
- - Helen of Troy Corp. 2,100 38
- - Multigraphics Inc. 17,600 37
Wainwright Bank & Trust Co. 4,600 37
Chester Valley Bancorp 2,151 37
- - Base Ten Systems Class A 39,300 37
- - DecisionOne Holdings Corp. 19,614 37
- - Bone Care International, Inc. 3,700 37
- - Vornado Operating Inc. REIT 4,515 36
- - Aviation General Inc. 28,600 36
- - Cylink Corp. 9,400 35
- - 800-JR CIGAR, Inc. 2,800 35
- - Integra, Inc. 25,900 34
- - Agritope, Inc. 9,660 34
- - Ascent Pediatrics, Inc. 16,700 33
- - Medplus, Inc. 20,900 33
- - Embrex, Inc. 3,800 32
- - Reckson Associates Realty
Corp. Class B 1,338 32
Equity Inns, Inc. REIT 3,300 31
- - IGI, Inc. 17,090 30
- - NewStar Media, Inc. 19,000 30
- - A.C. Moore Arts & Crafts, Inc. 5,200 29
- - Interstate Hotels Corp. 6,932 29
- - Cellular Technical Services 8,045 28
Unity Bancorp, Inc. 2,310 27
- - 4Health, Inc. 14,400 27
Movado Group, Inc. 1,000 26
- - Labtec, Inc. 5,966 25
Bedford Bancshares, Inc. 1,800 25
- - Northwest Pipe Co. 1,500 25
- - Tom Brown, Inc. 1,600 25
Pittsburgh & West Virginia
Railroad 3,000 24
- - Allergan Specialty
Therapeutics, Inc. 2,131 23
- - Clarus Corp. 4,500 23
- - Vencor, Inc. 148,363 22
- - All American Semiconductor, Inc. 7,440 22
- - Mariner Post-Acute Network, Inc. 39,048 22
- - Penncorp Financial Group Inc. 43,500 22
- - Sun Healthcare Group, Inc. 57,896 22
- - Waste Connections, Inc. 700 21
- - Network Peripherals, Inc. 1,100 21
Hudson River Bancorp, Inc. 1,900 21
Herbalife International Cl A 1,900 21
- - Genzyme Molecular Oncology 7,431 20
- - Euroweb International Corp. 12,000 20
PS Business Parks, Inc. REIT 800 20
- - Altiva Financial Corp. 4,240 19
- - Specialty Chemical
Resources, Inc. 29,400 18
- - AER Energy Resources, Inc. 83,400 18
- - Innovative Gaming Corp. 10,050 18
- - Tandycrafts, Inc. 5,000 18
Howell Corp. 3,500 18
- - Offshore Logistics, Inc. 1,600 18
- - Bridgeport Machines, Inc. 1,700 17
- - Colorado Casino Resorts, Inc. 95,500 16
- - ObjectShare, Inc. 22,600 16
- - Lanvision Systems, Inc. 13,400 15
- - Prime Energy Corp. 3,000 15
Bandag, Inc. Class A 538 15
- - Uranium Resources, Inc. 64,132 15
- - QAD Inc. 4,800 15
- - Aqua Care Systems, Inc. 10,000 15
- - Royal Precision Inc. 5,800 15
- - LecTec Corp. 3,500 14
- - Alliance Gaming Corp. 3,700 14
- - CardioDynamics
International Corp. 5,000 14
Clarion Commercial Holdings, Inc. 2,000 14
- - OneWorld Systems, Inc. 15,900 13
- - International Lottery &
Totalizator Systems, Inc. 18,300 13
- - Microfield Graphics, Inc. 13,700 12
- - Wellcare Management
Group, Inc. 16,100 12
- - Cytrx Corp. 5,900 12
IXYS Corp. 2,825 11
- - Avatex Corp. 10,000 11
- - BJ Services Co. Warrants
Exp. 4/13/2000 353 11
- - Merry Land Properties, Inc. REIT 2,105 10
- - Dunn Computer Corp. 5,000 10
- - Medical Alliance, Inc. 5,000 10
- - Magellan Petroleum Corp. 4,000 10
- - Corvas International, Inc. 3,200 10
- - Insilco Holding Corp. 401 9
- - FIRSTPLUS Financial Group, Inc. 29,800 9
Mitchell Energy & Development
Corp. Class B 500 9
Habersham Bancorp 600 9
- - Candela Corp. 600 9
- - LTC Healthcare, Inc. 4,310 8
- - Golden Genesis Co. 3,700 8
- - Horizon Group Properties, Inc. REIT 2,510 8
- - JMC Group Inc. 5,200 8
- - JumboSports Inc. 79,750 8
- - The Penn Traffic Co. 44,700 7
- - Gradco Systems, Inc. 2,550 7
- - Solv-Ex Corp. 32,466 6
- - IntegraMed America, Inc. 1,400 6
United Cos. Finance Corp. 48,417 6
- - Alteon, Inc. 7,400 6
- - Inland Resources Inc. 5,000 5
- - Software Publishing Corp.
Holdings, Inc. 2,117 5
- - Today's Man, Inc.
Warrants Exp. 12/31/1999 19,150 5
- - Hawaii Land & Farming Co., Inc. 10,000 4
- - Empire of Carolina, Inc. 8,900 4
- - HumaScan, Inc. 36,500 4
- - Cygne Designs, Inc. 25,000 4
- - Storage Computer Corp. 2,000 4
- - Birman Managed Care, Inc. 5,400 3
- - ProcureNet, Inc. 22,500 3
- - World Corp. 36,600 3
- - Edison Brothers Stores, Inc. 57,371 3
- - CML Group, Inc. 122,400 3
- - Harry's Farmers Market, Inc. 3,000 3
- - Home Health Corp. of America 41,600 3
- - Pluma, Inc. 16,000 3
- - NewCom, Inc. 19,500 2
- - ILX Resorts Inc. 1,200 2
- - Data Systems Network Corp. 2,400 2
</TABLE>
35
<PAGE> 164
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------
<S> <C> <C>
- - Alanco Environmental
Resources Corp. 1,728 $ 2
- - PHP Healthcare Corp. 31,900 2
- - ONCOR Inc. 92,131 2
- - OIS Optical Imaging Systems, Inc. 75,300 2
- - Greka Energy Corp. 164 1
- - IMC Mortgage Co. 12,200 1
- - TCI Satellite Entertainment, Inc.
Class B 420 1
- - Wilshire Financial Services
Group Inc. 5,000 1
- - CAM Designs, Inc. 11,600 1
- - News Communications, Inc. 501 1
- - AES Corp.
Warrants Exp. 7/31/2000 9 1
- - Rose's Stores Holdings Inc.
Warrants Exp 4/28/2002 1,508 1
- - Costilla Energy, Inc. 4,000 1
- - Ross Technology, Inc. 118,600 1
- ------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $10,971,038) 15,982,051
- ------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
- ------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (3.7%)(1)
- ------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 4.77%, 7/28/1999 $ 17,000 16,934
U.S. TREASURY BILL
(2) 4.72%, 10/21/1999 450 444
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.87%, 7/1/1999 359,018 359,018
4.96%, 7/1/1999--Note G 224,732 224,732
- ------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $601,133) 601,128
- ------------------------------------------------------------------------
TOTAL INVESTMENTS (101.6%)
(COST $11,572,171) 16,583,179
- ------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.6%)
Other Assets--Note B 117,572
Liabilities--Note G (374,560)
--------------
(256,988)
- ------------------------------------------------------------------------
NET ASSETS (100.0%) $16,326,191
========================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment
positions represent 100.0% and 1.6%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2)Securities with an aggregate value of $17,378,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
PEPS--Premium Equity Participating Securities.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
AMOUNT
(000)
- ------------------------------------------------------------------------
AT JUNE 30, 1999, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------
<S> <C>
Paid in Capital $11,228,831
Undistributed Net Investment Income 5,602
Accumulated Net Realized Gains 68,559
Unrealized Appreciation--Note F
Investment Securities 5,011,008
Futures Contracts 12,191
- ------------------------------------------------------------------------
NET ASSETS $16,326,191
========================================================================
Investor Shares--Net Assets
Applicable to 429,717,115 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $13,042,889
- ------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $30.35
========================================================================
Institutional Shares--Net Assets
Applicable to 108,160,208 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,283,302
- ------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $30.36
========================================================================
</TABLE>
36
F402-08/19/1999
