<PAGE> 1
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]
ANNUAL
REPORT
DECEMBER 31, 1998
[THE VANGUARD GROUP LOGO]
<PAGE> 2
AT VANGUARD, WE BELIEVE THAT TRADITION MATTERS.
Our 8,000 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.
This year, 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, 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.
- - The 70th anniversary, on December 28, 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
7
PERFORMANCE SUMMARIES
9
FUND PROFILES
16
FINANCIAL STATEMENTS
21
REPORT OF
INDEPENDENT ACCOUNTANTS
39
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
Large-capitalization U.S. stocks continued their astounding surge during
1998--despite encountering a severe, yet brief, downturn in the summer. During
the twelve months ended December 31, 1998, the four Vanguard large-cap stock
index funds earned returns ranging from +14.6% to a spectacular +42.2%. Each
provided a close or exact match with its respective unmanaged benchmark index.
The returns of three of the four funds outpaced those of comparable mutual funds
by wide margins, while our Value Index Fund fell modestly short of its average
peer.
<TABLE>
<CAPTION>
- ---------------------------------------------------------
TOTAL RETURNS
YEAR ENDED
DECEMBER 31, 1998
- ---------------------------------------------------------
<S> <C>
500 INDEX FUND +28.6%
S&P 500 Index +28.6
- ---------------------------------------------------------
GROWTH INDEX FUND +42.2%
S&P/BARRA Growth Index +42.2
- ---------------------------------------------------------
VALUE INDEX FUND +14.6%
S&P/BARRA Value Index +14.7
- ---------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND +23.3%
Wilshire 5000 Equity Index +23.4
- ---------------------------------------------------------
</TABLE>
The +28.6% return of our flagship 500 Index Fund in 1998 equaled the return
of the Standard & Poor's 500 Composite Stock Price Index and topped the returns
of more than 83% of all general equity mutual funds during the year, further
burnishing the fund's terrific long-term record versus actively managed funds.
The +23.3% return of our Total Stock Market Index Fund, which provides exposure
to the entire U.S. stock market, surpassed the returns of about seven out of ten
general equity funds.
The adjacent table shows the twelve-month total returns (capital change plus
reinvested dividends) achieved by our four large-cap index funds, compared with
the returns of their respective unmanaged index benchmarks. Per-share figures
for each fund, including net asset values, income dividends, and capital gains
distributions, are presented in the table that follows this letter.
During 1998, we introduced Institutional Shares for our Growth and Value
Index Funds. These shares are available for minimum investments of $10 million.
(Institutional shares for our Total Stock Market Fund were introduced in July
1997.) From their May 14, 1998, inception through December 31, 1998, the
Institutional Shares of our Growth Index Fund returned +20.8%, slightly
outpacing the +20.6% gain of the S&P/BARRA Growth Index. The +0.7% return of the
Value Index Fund's Institutional Shares from inception on July 2, 1998, through
year-end was a hair higher than that of its unmanaged benchmark. The
Institutional Shares of the Total Stock Market Index Fund returned +23.4% for
the year, exactly matching the return of the Wilshire 5000 Equity Index.
FINANCIAL MARKETS IN REVIEW
The U.S. economy grew at a robust pace--more than 3%--during 1998 as it shrugged
off the effects of serious financial problems in Asia, Russia, and Latin
America. Troubles abroad slowed demand for American exports and boosted demand
for imported goods, widening the U.S. trade deficit. But the domestic economy
got a powerful push from higher consumer spending, which was encouraged by low
unemployment (4.3% at year-end) and higher wages (up about 4%, well above the
1.6% inflation rate).
1
<PAGE> 4
The optimism that kept shopping malls and automobile showrooms busy was also
a factor in the financial markets. Stock prices shot up during the first half of
the year, despite news that corporate earnings actually dipped slightly, and by
July 17 the S&P 500 Index had gained 23.3%. But fears that Asia's financial
troubles were spreading worldwide touched off a sharp decline: Over the
following six weeks, the S&P 500 Index fell -19.2%. Declines were much steeper
for smaller stocks: The Russell 2000 Index of small-cap stocks fell nearly -40%
from its mid-April peak to its low in October.
The stock market then revived with remarkable speed and vigor. By year-end,
the S&P 500 Index was again in record territory, having gained +28.6% for the
year. This result, however, masked weakness elsewhere in the market. The
Wilshire 4500 Equity Index, which comprises stocks not included in the S&P 500,
gained just +8.6%, while the small-cap Russell 2000 Index declined -2.5%. In the
entire market, more stocks declined in price than rose. Among large-cap stocks,
there was a huge gap between returns on growth and value stocks: The S&P 500's
growth component gained +42.2% during the year, nearly three times the +14.7%
return on its value stocks.
Interest rates declined on balance during 1998. Bond prices, which move in
the opposite direction from interest rates, generally rose. Price appreciation
accounted for 2 percentage points of the 8.7% total return of the Lehman
Brothers Aggregate Bond Index. Rates fell furthest--roughly 1 percentage
point--for U.S. Treasury securities, whose prices benefited from a "flight to
quality" as many investors shunned riskier securities.
1998 PERFORMANCE OVERVIEW
During 1998, the returns of our 500, Growth, and Total Stock Market Index Funds
were far better than those of their average peers, while the Value Index Fund
fell about 2 percentage points short of its average peer.
The VANGUARD 500 INDEX FUND continued its dominance over actively managed
equity mutual funds in 1998, earning a total return that was nearly double the
+14.5% return of the average general equity mutual fund, which holds a larger
share of mid- and small-cap stocks. Within the S&P 500 Index, stocks of big
technology companies were, by far, the market leaders during 1998, gaining +83%.
Other sectors also notched excellent results, notably health-care and utilities,
both of which were up more than +40% for the year. The story was different for
companies in the materials & processing sector (-1%) and the producer-durables
groups (+2%). By far the worst return came from the "other energy" sector
(-36%), which includes drilling and mining companies that were hurt by lower oil
prices.
The companies in the S&P 500 Index account for more than 75% of the market
capitalization of our TOTAL STOCK MARKET INDEX FUND, which accordingly also had
a strong year. It earned a total return of +23.3% and outpaced the average
general equity mutual fund by 8.8 percentage points.
We'll take this opportunity to stress that the S&P 500 Index is not the
ideal measure of the performance of the entire U.S. stock market. The
extraordinary returns achieved by the biggest U.S. stocks may have tempted
investors to devote an ever larger share of their portfolios to the S&P 500. But
while it is a good proxy for large stocks, the S&P 500 excludes some 6,700
companies whose stocks account for about 25% of the market's total
capitalization. As such, investors seeking to build a well-diversified
investment program should venture beyond the S&P 500 and consider rounding out
their portfolios with smaller stocks, international stocks, and bonds in
proportions suitable to their objectives, investing time horizon, and
temperament for risk.
2
<PAGE> 5
The striking disparity between the returns of value and growth stocks during
1998 played an important role in both the absolute and relative returns of our
Growth and Value Index Funds. The +42.2% return of the GROWTH INDEX FUND
exceeded that of the average growth mutual fund by 19.3 percentage points.
Meanwhile, the +14.6% return of the Value Index Fund fell short of the average
value mutual fund by 2.4 percentage points. In both cases, our performance
relative to similar funds can be explained by the tremendous strength of growth
stocks. Simply, our Growth Index Fund holds a bigger share of very large, growth
stocks than its average competitor, and the VALUE INDEX FUND holds a smaller
stake in large growth stocks than its average peer.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED DECEMBER 31, 1998
---------------------------------------
AVERAGE
VANGUARD COMPARABLE
U.S. STOCK INDEX FUND FUND FUND* DIFFERENCE
- ------------------------------------------------------------------
<S> <C> <C> <C>
500 +28.6% +14.5% +14.1%
Growth +42.2 +22.9 +19.3
Value +14.6 +17.0 - 2.4
Total Stock Market +23.3 +14.5 + 8.8
- ------------------------------------------------------------------
</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.
As we have explained in previous reports, the returns of value stocks and
growth stocks often diverge, although the difference in returns is rarely so
large as the value shortfall of nearly 28 percentage points during the past
twelve months. We note that it wasn't too many years ago when growth was the
laggard. During 1993, the S&P 500 Index's value stocks gained +18.6%, versus
+1.7% for the index's growth stocks. There's no reason to expect that the
market's favor has tilted permanently to growth stocks, though we wouldn't
hazard to guess when value stocks might take the market lead. A prudent investor
should expect that, despite the year-to-year divergences, long-term returns of
growth stocks and value stocks will probably be similar. The table above
presents the 1998 returns of each of our large-cap index funds and compares them
with those of their average peers.
Vanguard Core Management Group deserves credit for the fine job of keeping
our funds so closely in line with their respective unmanaged benchmark indexes.
Our funds incur the transaction costs of investing substantial amounts of cash,
and also must pay operating expenses (albeit at an extremely low level) that the
index does not. These costs are hurdles that we must overcome for our funds to
accurately track the performance of their respective indexes. In 1998, Vanguard
Core Management's trading efficiencies and strategies actually negated most of
these costs. For the year, our 500 and Growth Index Funds exactly matched their
targets while our Value and Total Stock Market Index Funds fell a tiny bit short
(0.1 percentage point).
Our low expenses also aid us in the quest to provide returns that surpass
those of similar funds. For 1998, the 500 Index Fund had an expense ratio
(annual expenses as a percentage of average net assets) of 0.18%, a fraction of
the 1.45% charged by the average general equity mutual fund. The expense ratio
of our Growth Index Fund was 0.22%; Value Index, 0.22%; and Total Stock Market
Index, 0.20%. For mutual fund shareholders, the cost equation is a simple one:
the lower the expenses, the less that is deducted from a fund's gross return.
Returns, of course, are not predictable, but costs are. Therefore, we believe
that our cost advantage is sustainable, regardless of the direction of the
financial markets.
A review of 1998 would not be complete without a reminder that as far as
large-cap stocks are concerned, it doesn't get much better than this. Such
outstanding returns for a single year are remarkable enough. But for large-cap
stocks to register a fourth straight
3
<PAGE> 6
year of 20%-plus returns is unprecedented. It's important to remember that
different segments of the financial markets outperform from time to time.
Smaller stocks, which have been outshone by large stocks over the past several
years, have had their day in the past and certainly will in the future.
LONG-TERM PERFORMANCE OVERVIEW
The table below presents a longer-term look at the performance of Vanguard 500
Index Fund. It provides annualized returns for our fund, the average actively
managed stock mutual fund, and the S&P 500 Index over the past decade. It also
compares the growth of hypothetical $10,000 investments made in each at the
beginning of 1989, assuming that income dividends and capital gains
distributions were reinvested. The difference between our 500 Index Fund and its
average peer is astounding. Over the past decade, a $10,000 investment in the
500 Fund would have grown to $57,147, compared with $42,342 in the average
general equity fund. This advantage is equal to $14,805--nearly 11/2 times the
initial investment! Our tiny shortfall versus the S&P 500 Index is accounted for
entirely by our expense ratio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
TOTAL RETURNS
10 YEARS ENDED
DECEMBER 31, 1998
--------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RATE INITIAL INVESTMENT
- ---------------------------------------------------------------------
<S> <C> <C>
VANGUARD 500 INDEX FUND +19.0% $57,147
Average General Equity Fund +15.5 42,342
S&P 500 Index +19.2 57,963
- ---------------------------------------------------------------------
</TABLE>
The table below presents a similar comparison for our other large-cap stock
index funds. Since their inceptions in 1992, each fund has built a considerable
edge over its average peer and has matched up well with its benchmark index.
Indeed, the annualized total return of the Growth Index Fund during the period
surpassed that of the average growth mutual fund by an impressive 5.3 percentage
points, amassing an advantage of $8,546 on an initial $10,000 investment.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION THROUGH
DECEMBER 31, 1998*
--------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RATE INITIAL INVESTMENT
- -------------------------------------------------------------------
<S> <C> <C>
GROWTH INDEX FUND +22.9% $35,706
Average Growth Fund +17.6 27,160
S&P/BARRA Growth Index +23.1 36,061
- -------------------------------------------------------------------
VALUE INDEX FUND +19.7% 30,245
Average Value Fund +17.6 27,089
S&P/BARRA Value Index +19.8 30,475
- -------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND +19.2% $32,338
Average General Equity Fund +16.3 27,417
Wilshire 5000 Equity Index +19.6 32,978
- -------------------------------------------------------------------
</TABLE>
*For the Growth and Value Index Funds, inception is November 2, 1992; for the
Total Stock Market Index Fund, inception is April 27, 1992.
Just as the returns provided by stocks--particularly large-cap stocks--were
well above average in 1998, so too were the returns over the past decade. That
is sure to change. We are not forecasting a sharp pullback, though one may well
occur. Rather, we are suggesting that a wise investor always be aware that the
chance of a stock market decline--whether a sharp, quick plunge or an extended
slump--is ever-present. That's why it's imperative for investors to build an
investment program upon realistic expectations of future returns rather than an
extrapolation of the extraordinary returns of the recent past.
4
<PAGE> 7
This is especially true when it comes to expectations for the S&P 500 Index.
At year-end the index stood at a historically high price level relative to
earnings and several other important measures. However, it cannot--and will
not--continue to rise forever. Investors who ignore this truism of investing do
so at their own peril.
IN SUMMARY
Though large-cap stocks achieved solid gains in 1998, the summer's tumult
provided a painful lesson about the risks of investing in equities. It also
amply demonstrated the advantages of a balanced investment approach. Investors
who held a mix of stock funds, bond funds, and money market funds participated
in the market's bounty but were spared some measure of the anxiety felt during
the midyear downturn in stocks.
We have always believed that investors are well served by selecting a
balanced mix of assets appropriate to their investment time horizon, goals, and
risk tolerance, and then sticking with their plan. The events of 1998 further
reinforced our belief in balanced investing and in the worth of investing in
low-cost index funds as a means of gaining exposure to the markets.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Senior Chairman Chairman and
Chief Executive Officer
January 14, 1999
NOTE: You'll observe that we've made minor changes in the names of the 500 Index
Fund, Growth Index Fund, Value Index Fund, and Total Stock Market Index Fund. We
replaced the word "portfolio" with "fund" and added "index" as part of a broader
effort to simplify the names in our fund lineup.
<TABLE>
<CAPTION>
PORTFOLIO STATISTICS
- -----------------------------------------------------------------------------------------------------------------------
PERIOD ENDED DECEMBER 31, 1998
NET ASSET VALUE PER SHARE --------------------------------------------
DECEMBER 31, DISTRIBUTIONS FROM DIVIDENDS PER
--------------------------- NET REALIZED SHARE FROM NET
U.S. STOCK INDEX FUND 1997 1998 CAPITAL GAINS INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
500 $90.07 $113.95 $0.420 $1.330
Growth 22.53 31.67 0.115 0.219
Value 20.85 22.51 0.990 0.363
Total Stock Market 22.64 27.42 0.125 0.329
- -----------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
- -----------------------------------------------------------------------------------------------------------------------
Growth $26.49* $31.67 $0.115 $0.187
Value 23.22** 22.51 0.610 0.236
Total Stock Market 22.64 27.42 0.125 0.352
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
*Net asset value as of May 14, 1998.
**Net asset value as of July 2, 1998.
5
<PAGE> 8
NOTICE TO SHAREHOLDERS
At a special meeting on July 24, 1998, shareholders of Vanguard 500 Index Fund,
Vanguard Growth Index Fund, Vanguard Value Index Fund, and Vanguard Total Stock
Market Index Fund overwhelmingly approved three proposals. The proposals and
voting results were:
1. REORGANIZATION INTO A DELAWARE BUSINESS TRUST. This change will reduce the
amount of state taxes paid each year by some Vanguard funds. The Vanguard U.S.
Stock Index Funds--which include the 500, Growth, Value, and Total Stock Market
Index Funds--will not realize any tax savings as a result of the change, but the
funds will benefit from the efficiency of being organized the same way as all
other Vanguard funds. Approved by 96.35% of the shares voted, as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
FOR AGAINST ABSTAIN
- -----------------------------------------------------------------------
<S> <C> <C>
799,176,287 16,745,818 13,498,959
- -----------------------------------------------------------------------
</TABLE>
2a. INVESTMENT LIMITATION CHANGES--INTERFUND LENDING PROGRAM. This change
permits the Stock Index Funds to participate in Vanguard's interfund lending
program, which allows funds to loan money to each other if--and only if--it
makes good financial sense to do so on both sides of the transaction. The
interfund lending program won't be an integral part of the funds' investment
programs; it is a contingency arrangement for managing unusual cash flows.
Approved as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------
INDEX FUND FOR AGAINST ABSTAIN APPROVED BY
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 306,696,420 10,094,333 8,372,469 94.32%
- ------------------------------------------------------------------------------------
Growth 72,894,056 2,601,317 2,362,185 93.62%
- ------------------------------------------------------------------------------------
Value 56,307,839 1,340,822 1,217,958 95.65%
- ------------------------------------------------------------------------------------
Total Stock Market 221,971,887 8,721,285 4,762,897 94.27%
- ------------------------------------------------------------------------------------
</TABLE>
2b. INVESTMENT LIMITATION CHANGES--BORROWING MONEY AND PLEDGING ASSETS. This
change sets standard limits of 15% of net assets on the amount of money
Vanguard funds can borrow from all sources and on the amount of assets that
can be pledged to secure any loans. Approved as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------
INDEX FUND FOR AGAINST ABSTAIN APPROVED BY
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 301,269,265 14,889,541 9,004,416 92.65%
- ---------------------------------------------------------------------------------
Growth 71,742,353 3,553,835 2,561,370 92.15%
- ---------------------------------------------------------------------------------
Value 55,529,402 2,024,451 1,312,765 94.33%
- ---------------------------------------------------------------------------------
Total Stock Market 221,217,021 9,572,455 4,666,593 93.95%
- ---------------------------------------------------------------------------------
</TABLE>
6
<PAGE> 9
THE MARKETS IN PERSPECTIVE
YEAR ENDED DECEMBER 31, 1998
[PHOTO]
Financial markets continued to produce solid overall gains during 1998. After
overcoming a sharp, six-week setback in July and August, the S&P 500 Index
gained 28.6% for the year, marking the first time the index had produced returns
of 20% or more in four consecutive years. Bond prices rose as interest rates
generally declined over the year. Returns from overseas stock markets varied
widely, with big gains in Europe, small gains in the Pacific, and losses in most
emerging markets.
U.S. STOCK MARKETS
Large-capitalization stocks--especially those of large growth companies--were
the best performers during 1998. The 50 largest stocks within the S&P 500 Index
earned more than 40%, while the return of the other 450 stocks was less than
17%. The stock market as a whole, as measured by the Wilshire 5000 Equity Index,
earned 23.4%. Small-cap stocks, represented by the Russell 2000 Index, declined
2.5% for the year.
The huge gap between returns of large and small stocks was not the only
oddity during the year. Among large stocks there also was a large disparity in
performance between growth and value stocks. Within the S&P 500 Index, growth
stocks rose 42.2%, while value stocks were up 14.7%. The gap of 27.5 percentage
points is the largest in the 23 years that the growth and value components have
been tracked.
Stocks rose strongly during the first half of the year. But after hitting a
then-record high on July 17, the S&P 500 Index fell by 19.2% during the
following six weeks. Declines were steeper for most smaller stocks. The Russell
2000 Index fell nearly 40% from its peak in April before climbing back during
the fourth quarter.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
AVERAGE ANNUALIZED RETURNS
PERIODS ENDED DECEMBER 31, 1998
-----------------------------------
1 YEAR 3 YEARS 5 YEARS
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index 28.6% 28.2% 24.1%
Russell 2000 Index -2.5 11.6 11.9
MSCI EAFE Index 20.3 9.3 9.5
- ----------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 8.7% 7.3% 7.3%
Lehman 10 Year Municipal Bond Index 6.8 6.8 6.4
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 5.1 5.2 5.1
- ----------------------------------------------------------------------------
OTHER
Consumer Price Index 1.6% 2.2% 2.4%
- ----------------------------------------------------------------------------
</TABLE>
The summer slump in stock prices reflected several factors that raised
anxiety among investors and prompted a reconsideration of risk that extended
past stocks to bonds. Among these factors were deteriorating corporate earnings;
Russia's default on its debts; sharp swings in currency exchange rates; and
lingering economic weakness in Asia.
Although these sources of uncertainty remained as the year went on, many
investors reacted not by abandoning stocks, but by selecting large, well-known
stocks they perceived as reliable vehicles for long-term growth. The strong
rebound in prices during the fourth quarter was due in large part to the calming
influence on jittery markets of the Federal Reserve Board's decision to cut
short-term interest rates by 0.75 percentage point.
7
<PAGE> 10
Technology stocks led the market's advance during 1998, rising 83%.
Investors were attracted by rapid revenue growth and a belief that consumers and
businesses will keep spending freely on computers, software, and computer
services. Speculation also played a role in the surge. Burgeoning activity on
the Internet sent many stocks, even those with no hint of profitability,
skyrocketing. The bulge in Internet stock prices prompted comparisons with such
historic asset "bubbles" as Japan's stock market in the late 1980s and the
tulip-bulb mania in Holland in the 1630s.
Health care and utilities, especially telecommunications providers, also
soared, achieving returns of more than 43%. Both sectors benefited from rising
demand for their products and a perception that they are somewhat protected from
foreign economic troubles and foreign competition. Consumer-related stocks such
as retailers also did well, reflecting strength in consumer spending. Americans
spent almost every after-tax dollar they earned during 1998. Jobs were abundant;
unemployment fell to 4.3% by year-end.
The worst-performing groups were two directly harmed by falling commodity
prices: oil drilling and services firms in the "other energy" category (-36%)
and materials & processing firms (-1%), such as paper, steel, and chemical
makers. Producer-durables companies, such as machinery and aircraft makers, eked
out a 2% return as companies saw falling sales abroad and rising competition at
home from foreign firms.
U.S. BOND MARKETS
The fall in interest rates during 1998 was steepest for U.S. Treasury
securities, which benefited from heightened aversion to risk among investors and
from a slight decrease in supply, thanks to a $70 billion federal budget
surplus. The low inflation rate--consumer prices were up just 1.6%--gave the
Federal Reserve the flexibility to cut short-term rates even though economic
growth was strong.
Yields on long-term Treasury issues fell by roughly 1 percentage point, and
the 30-year Treasury bond's yield was 5.09% on December 31. Lower rates mean
higher bond prices, and the Lehman Brothers Long U.S. Treasury Index earned a
total return of 13.5%, an astounding margin of nearly 12 percentage points over
the inflation rate.
Bonds lacking the unquestioned credit quality of Treasuries did not fare as
well, reflecting a repricing of risk and a "flight to quality" by investors who
began to feel they had been underestimating risk. One result was price declines
that nearly offset the interest earned on high-yield "junk" bonds. However,
high-quality corporate bonds and mortgage-backed securities generally held up
well. The Lehman Aggregate Bond Index, which encompasses Treasury, mortgage, and
high-quality corporate securities and has an intermediate-term average maturity,
earned a solid 8.7%.
Yields on long-term municipal bonds declined only slightly during the year,
and by December 31 were only a tad lower than yields on long-term Treasuries.
This was striking because the interest on municipals is exempt from federal
income tax.
INTERNATIONAL STOCK MARKETS
Europe's stock markets beat even the S&P 500 Index's gaudy return, gaining
28.7% in U.S.-dollar terms, with about 5% of the gain due to a fall in the
dollar versus most European currencies. Pacific-region stocks rose 2.6%,
although it took a fall in the dollar's value versus the Japanese yen to
overcome losses in local-currency terms. Overall, developed international
markets, as measured by the MSCI EAFE Index, earned 20.3%.
Investors' confidence in emerging markets continued to evaporate in 1998,
and stocks in these markets fell about 25% as a group. The few bright spots
included South Korea (+141%) and the Philippines (+13%), which had suffered big
declines in 1997.
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<PAGE> 11
PERFORMANCE SUMMARY
500 INDEX FUND
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 INVESTMENT RETURNS: DECEMBER 31, 1978-DECEMBER 31, 1998
- ---------------------------------------------------------------
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
- ---------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 31 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: DECEMBER 31, 1988-DECEMBER 31, 1998
- ----------------------------------------------------------------------
Average
500 Index General S&P 500
Fund* Equity Fund Index
<S> <C> <C> <C>
1988 12 10000 10000 10000
1989 03 10702 10657 10709
1989 06 11642 11446 11654
1989 09 12872 12536 12902
1989 12 13130 12399 13169
1990 03 12726 12078 12772
1990 06 13516 12792 13576
1990 09 11654 10819 11710
1990 12 12688 11622 12760
1991 03 14522 13572 14613
1991 06 14479 13453 14580
1991 09 15242 14552 15359
1991 12 16515 15760 16647
1992 03 16088 15615 16227
1992 06 16387 15204 16535
1992 09 16890 15751 17057
1992 12 17732 17161 17916
1993 03 18497 17610 18698
1993 06 18575 17852 18789
1993 09 19042 18922 19275
1993 12 19477 19308 19721
1994 03 18726 18566 18973
1994 06 18798 18122 19053
1994 09 19709 19261 19985
1994 12 19697 18984 19982
1995 03 21607 20229 21927
1995 06 23654 22087 24020
1995 09 25530 24170 25929
1995 12 27061 24884 27490
1996 03 28505 26047 28966
1996 06 29771 27374 30266
1996 09 30678 28255 31202
1996 12 33241 29731 33802
1997 03 34111 28868 34708
1997 06 40048 33397 40768
1997 09 43042 37466 43821
1997 12 44261 36973 45080
1998 03 50416 40987 51368
1998 06 52070 40951 53064
1998 09 46886 35083 47786
1998 12 56943 42342 57963
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
--------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 Index Fund* 28.62% 23.96% 19.04% $57,147
Average General Equity Fund 14.52 17.01 15.53 42,342
S&P 500 Index 28.58 24.06 19.21 57,963
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
- -----------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION ----------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
500 Index Fund* 8/31/1976 28.62% 23.96% 16.04% 3.00% 19.04%
- -----------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
9
<PAGE> 12
PERFORMANCE SUMMARY
GROWTH INDEX FUND
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 INVESTMENT RETURNS: NOVEMBER 2, 1992-DECEMBER 31, 1998
- -------------------------------------------------------------
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
- -------------------------------------------------------------
</TABLE>
*S&P/BARRA Growth Index.
See Financial Highlights table on page 32 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: NOVEMBER 2, 1992-DECEMBER 31, 1998
- ----------------------------------------------------------------------
Growth Average S&P/BARRA
Index Fund Growth Fund Growth Index
<S> <C> <C> <C>
Nov 2, 92 10000 10000 10000
1992 12 10319 10440 10348
1993 03 10257 10707 10297
1993 06 10043 10776 10084
1993 09 10031 11293 10080
1993 12 10466 11561 10521
1994 03 10000 11112 10067
1994 06 9986 10880 10058
1994 09 10698 11453 10776
1994 12 10758 11312 10850
1995 03 11802 12091 11916
1995 06 13019 13301 13148
1995 09 14051 14416 14191
1995 12 14843 14796 14988
1996 03 15477 15515 15637
1996 06 16535 16254 16732
1996 09 17112 16707 17322
1996 12 18357 17643 18580
1997 03 19004 17337 19244
1997 06 22846 20148 23147
1997 09 24175 22308 24506
1997 12 25017 22107 25367
1998 03 29068 24775 29492
1998 06 30756 25262 31219
1998 09 28534 21986 28958
1998 12 35580 27160 36061
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
---------------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth Index Fund* 42.21% 27.79% 22.95% $35,706
Average Growth Fund 22.86 18.63 17.61 27,160
S&P/BARRA Growth Index 42.16 27.94 23.14 36,061
- --------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
- --------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ---------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Growth Index Fund* 11/2/1992 42.21% 27.79% 21.04% 1.91% 22.95%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
10
<PAGE> 13
PERFORMANCE SUMMARY
GROWTH INDEX FUND INSTITUTIONAL SHARES
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 INVESTMENT RETURNS:
MAY 14, 1998-DECEMBER 31, 1998
- ----------------------------------------------------------
GROWTH INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN RETURN
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
1998** 20.0% 0.8% 20.8% 20.6%
- ----------------------------------------------------------
</TABLE>
*S&P/BARRA Growth Index.
**Since inception.
See Financial Highlights table on page 32 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: MAY 14, 1998-DECEMBER 31, 1998
- -------------------------------------------------------------------------
Growth Index Fund Average Growth S&P/BARRA
Institutional Fund Growth Index
Shares
<S> <C> <C> <C>
May 14, 98 10000000 10000000 10000000
1998 06 10441710 10169845 10440920
1998 09 9690504 8803018 9684695
1998 12 12078723 10793380 12060213
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIOD ENDED DECEMBER 31, 1998
---------------------------------- FINAL VALUE OF A
SINCE INCEPTION $10,000,000 INVESTMENT
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Growth Index Fund Institutional Shares 20.79% $12,078,723
Average Growth Fund 7.93 10,793,380
S&P/BARRA Growth Index 20.60 12,060,213
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1998
- --------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ---------------------------------
DATE CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth Index Fund Institutional Shares 5/14/1998 20.00% 0.79% 20.79%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
11
<PAGE> 14
PERFORMANCE SUMMARY
VALUE INDEX FUND
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 INVESTMENT RETURNS: NOVEMBER 2, 1992-DECEMBER 31, 1998
- ------------------------------------------------------------
VALUE INDEX FUND 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
</TABLE>
*S&P/BARRA Value Index.
See Financial Highlights table on page 33 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: NOVEMBER 2, 1992-DECEMBER 31, 1998
- ----------------------------------------------------------------------
Value Index Average Value S&P/BARRA
Fund Fund Value Index
<S> <C> <C> <C>
Nov 2, 92 10000 10000 10000
1992 12 10370 10339 10381
1993 03 11315 10804 11340
1993 06 11628 10889 11657
1993 09 12218 11264 12260
1993 12 12265 11511 12311
1994 03 11856 11135 11909
1994 06 11969 11098 12019
1994 09 12266 11591 12327
1994 12 12168 11422 12233
1995 03 13339 12339 13412
1995 06 14492 13351 14580
1995 09 15653 14333 15740
1995 12 16654 15000 16759
1996 03 17707 15799 17830
1996 06 18073 16342 18195
1996 09 18532 16833 18676
1996 12 20286 18136 20445
1997 03 20624 18296 20805
1997 06 23606 21022 23816
1997 09 25756 22918 25999
1997 12 26315 23155 26575
1998 03 29343 25767 29646
1998 06 29495 25969 29799
1998 09 25669 22897 25951
1998 12 30170 27089 30475
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
------------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Value Index Fund* 14.64% 19.77% 19.68% $30,245
Average Value Fund 16.99 18.67 17.56 27,089
S&P/BARRA Value Index 14.67 19.88 19.82 30,475
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
- ----------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Value Index Fund* 11/2/1992 14.64% 19.77% 16.62% 3.06% 19.68%
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
12
<PAGE> 15
PERFORMANCE SUMMARY
VALUE INDEX FUND INSTITUTIONAL SHARES
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 INVESTMENT RETURNS:
JULY 2, 1998-DECEMBER 31, 1998
- ----------------------------------------------------------
VALUE INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN RETURN
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
1998** -0.4% 1.1% 0.7% 0.6%
- ----------------------------------------------------------
</TABLE>
*S&P/BARRA Value Index.
**Since inception.
See Financial Highlights table on page 33 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: JULY 2, 1998-DECEMBER 31, 1998
- ------------------------------------------------------------------
Value Index Fund
Institutional Average Value S&P/BARRA
Shares Fund Value Index
<S> <C> <C> <C>
Jul 2, 98 10000000 10000000 10000000
1998 09 8569356 8670633 8569430
1998 12 10069366 10243487 10063489
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIOD ENDED DECEMBER 31, 1998
---------------------------------- FINAL VALUE OF A
SINCE INCEPTION $10,000,000 INVESTMENT
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Value Index Fund Institutional Shares 0.69% $10,069,366
Average Value Fund 2.43 10,243,487
S&P/BARRA Value Index 0.63 10,063,489
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1998
- ---------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -----------------------------------
DATE CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Value Index Fund Institutional Shares 7/2/1998 -0.38% 1.07% 0.69%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE> 16
PERFORMANCE SUMMARY
TOTAL STOCK MARKET INDEX FUND
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 INVESTMENT RETURNS: APRIL 27, 1992-DECEMBER 31, 1998
- ------------------------------------------------------------
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
</TABLE>
See Financial Highlights table on page 34 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: APRIL 27, 1992-DECEMBER 31, 1998
- ---------------------------------------------------------------------------
Total Stock
Market Equity Average General Willshire 5000
Fund Equity Fund Equity Index
<S> <C> <C> <C>
Apr 27, 92 10000 10000 10000
1992 06 10010 9928 10012
1992 09 10307 10209 10315
1992 12 11037 11112 11069
1993 03 11474 11477 11531
1993 06 11555 11658 11628
1993 09 11976 12264 12093
1993 12 12202 12502 12312
1994 03 11748 12101 11852
1994 06 11641 11834 11757
1994 09 12294 12483 12397
1994 12 12176 12292 12300
1995 03 13289 13185 13409
1995 06 14515 14423 14664
1995 09 15811 15665 16003
1995 12 16528 16112 16780
1996 03 17439 16977 17732
1996 06 18179 17876 18520
1996 09 18688 18313 19035
1996 12 19989 19251 20349
1997 03 20119 18815 20464
1997 06 23499 21808 23921
1997 09 25789 24283 26271
1997 12 26180 23940 26728
1998 03 29655 26714 30283
1998 06 30199 26741 30850
1998 09 26553 22738 27151
1998 12 32272 27417 32978
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
--------------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Stock Market Index Fund* 23.26% 21.50% 19.22% $32,338
Average General Equity Fund 14.52 17.01 16.30 27,417
Wilshire 5000 Equity Index 23.39 21.78 19.57 32,978
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
- --------------------------------------------------------------------------------------------------------------------------
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 23.26% 21.50% 16.87% 2.35% 19.22%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
14
<PAGE> 17
PERFORMANCE SUMMARY
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
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 INVESTMENT RETURNS: JULY 7, 1997-DECEMBER 31, 1998
- --------------------------------------------------------------
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%
</TABLE>
See Financial Highlights table on page 34 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: JULY 7, 1997-DECEMBER 31, 1998
- -------------------------------------------------------------------------------
Total Stock Market
Index Fund Average General Willshire 5000
Institutional Index Equity Fund Equity Index
<S> <C> <C> <C>
Jul 7, 97 10000000 10000000 10000000
1997 09 10691227 10909750 10698798
1997 12 10859588 10748130 10884894
1998 03 12306072 12028232 12332732
1998 06 12532590 12011035 12563955
1998 09 11022639 10215890 11057291
1998 12 13398011 12308759 13430560
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
------------------------------------ FINAL VALUE OF A
SINCE $10,000,000
1 YEAR INCEPTION INVESTMENT
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Total Stock Market Index Fund Institutional Shares 23.37% 21.77% $13,398,011
Average General Equity Fund 14.52 15.01 12,308,759
Wilshire 5000 Equity Index 23.39 21.97 13,430,560
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
- --------------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ----------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Total Stock Market Index Fund Institutional Shares 7/7/1997 23.37% 19.88% 1.89% 21.77%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 18
FUND PROFILE
500 INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to its unmanaged target index. Key
elements of this Profile are defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------
500 INDEX S&P 500
- -----------------------------------------------------------
<S> <C> <C>
Number of Stocks 513 500
Median Market Cap $60.3B $60.3B
Price/Earnings Ratio 28.0x 28.0x
Price/Book Ratio 4.9x 4.9x
Yield 1.2% 1.3%
Return on Equity 22.5% 22.5%
Earnings Growth Rate 17.2% 17.2%
Foreign Holdings 1.6% 1.6%
Turnover Rate 6% --
Expense Ratio 0.18% --
Cash Reserves 0.1% --
</TABLE>
INVESTMENT FOCUS
- ------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Microsoft Corp. 3.4%
General Electric Co. 3.3
Intel Corp. 2.0
Wal-Mart Stores, Inc. 1.8
Exxon Corp. 1.8
Merck & Co., Inc. 1.8
International Business Machines Corp. 1.7
The Coca-Cola Co. 1.6
Pfizer, Inc. 1.6
Cisco Systems, Inc. 1.5
- -------------------------------------------------------
Top Ten 20.5%
</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>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1997 DECEMBER 31, 1998
--------------------------------------------------------
500 INDEX 500 INDEX S&P 500
--------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.5% 2.5% 2.5%
Consumer Discretionary 9.8 12.0 12.0
Consumer Staples 11.5 9.8 9.8
Financial Services 17.7 16.2 16.2
Health Care 11.4 12.5 12.5
Integrated Oils 7.2 5.2 5.2
Other Energy 1.4 0.9 0.9
Materials & Processing 6.1 3.7 3.7
Producer Durables 4.0 3.2 3.2
Technology 11.2 16.6 16.6
Utilities 10.6 11.7 11.7
Other 5.6 5.7 5.7
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 19
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 past year. 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.
17
<PAGE> 20
FUND PROFILE
GROWTH INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
GROWTH INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 129 500
Median Market Cap $112.8B $60.3B
Price/Earnings Ratio 38.7x 28.0x
Price/Book Ratio 11.1x 4.9x
Yield 0.8% 1.3%
Yield--Institutional Shares 0.9% 1.3%
Return on Equity 27.3% 22.5%
Earnings Growth Rate 21.0% 17.2%
Foreign Holdings 1.0% 1.6%
Turnover Rate 29% --
Expense Ratio 0.22% --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 0.1% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -----------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Microsoft Corp. 6.5%
General Electric Co. 6.4
Intel Corp. 3.6
Wal-Mart Stores, Inc. 3.5
Merck & Co., Inc. 3.4
International Business Machines Corp. 3.3
The Coca-Cola Co. 3.2
Pfizer, Inc. 3.1
Cisco Systems, Inc. 2.8
Lucent Technologies, Inc. 2.8
- -------------------------------------------------------
Top Ten 38.6%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -----------------------------------------------------
GROWTH INDEX S&P 500
- -----------------------------------------------------
<S> <C> <C>
R-Squared 0.96 1.00
Beta 1.02 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1997 DECEMBER 31, 1998
----------------------------------------------------------------
GROWTH INDEX GROWTH INDEX S&P 500
----------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 0.3% 0.1% 2.5%
Consumer Discretionary 7.8 11.5 12.0
Consumer Staples 21.1 16.9 9.8
Financial Services 10.5 7.8 16.2
Health Care 20.0 22.0 12.5
Integrated Oils 0.0 0.0 5.2
Other Energy 1.6 0.0 0.9
Materials & Processing 5.1 0.7 3.7
Producer Durables 2.4 1.6 3.2
Technology 16.8 24.6 16.6
Utilities 7.2 7.2 11.7
Other 7.2 7.6 5.7
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE> 21
FUND PROFILE
VALUE INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
VALUE INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 389 500
Median Market Cap $25.3B $60.3B
Price/Earnings Ratio 21.4x 28.0x
Price/Book Ratio 3.0x 4.9x
Yield 1.6% 1.3%
Yield--Institutional Shares 1.7% 1.3%
Return on Equity 17.4% 22.5%
Earnings Growth Rate 12.9% 17.2%
Foreign Holdings 2.2% 1.6%
Turnover Rate 33% --
Expense Ratio 0.22% --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -----------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Exxon Corp. 3.7%
AT&T Corp. 3.0
Citigroup, Inc. 2.4
Royal Dutch Petroleum Co. ADR 2.2
BankAmerica Corp. 2.2
BellSouth Corp. 2.0
Bell Atlantic Corp. 1.7
Time Warner, Inc. 1.7
Fannie Mae 1.6
Compaq Computer Corp. 1.5
- -------------------------------------------------------
Top Ten 22.0%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------------------
VALUE INDEX S&P 500
- -------------------------------------------------------
<S> <C> <C>
R-Squared 0.95 1.00
Beta 0.98 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- -----------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1997 DECEMBER 31, 1998
--------------------------------------------------------------
VALUE INDEX VALUE INDEX S&P 500
--------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 6.8% 5.2% 2.5%
Consumer Discretionary 12.0 12.9 12.0
Consumer Staples 1.5 2.2 9.8
Financial Services 25.3 25.3 16.2
Health Care 2.6 2.2 12.5
Integrated Oils 14.6 11.0 5.2
Other Energy 1.2 1.9 0.9
Materials & Processing 7.1 7.0 3.7
Producer Durables 5.7 5.0 3.2
Technology 5.4 7.5 16.6
Utilities 14.2 16.2 11.7
Other 3.6 3.6 5.7
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE> 22
FUND PROFILE
TOTAL STOCK MARKET INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 17.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
TOTAL STOCK WILSHIRE
MARKET INDEX 5000
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 3,135 7,234
Median Market Cap $29.2B $29.2B
Price/Earnings Ratio 26.1x 26.1x
Price/Book Ratio 4.3x 4.3x
Yield 1.3% 1.3%
Yield--Institutional Shares 1.4% 1.3%
Return on Equity 21.2% 21.2%
Earnings Growth Rate 17.5% 17.5%
Foreign Holdings 0.0% 0.0%
Turnover Rate 3% --
Expense Ratio 0.20% --
Expense Ratio--
Institutional Shares 0.10% --
Cash Reserves 0.3% --
</TABLE>
INVESTMENT FOCUS
- ----------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Microsoft Corp. 2.6%
General Electric Co. 2.5
Intel Corp. 1.5
Wal-Mart Stores, Inc. 1.4
Exxon Corp. 1.4
Merck & Co., Inc. 1.3
International Business Machines Corp. 1.3
The Coca-Cola Co. 1.3
Pfizer, Inc. 1.2
Lucent Technologies, Inc. 1.1
- -------------------------------------------------------
Top Ten 15.6%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------------
TOTAL STOCK
MARKET INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
R-Squared 0.97 1.00
Beta 1.01 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- -----------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1997 DECEMBER 31, 1998
---------------------------------------------------------------
TOTAL STOCK TOTAL STOCK WILSHIRE
MARKET INDEX MARKET INDEX 5000
---------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.5% 2.8% 2.8%
Consumer Discretionary 12.1 14.0 14.0
Consumer Staples 9.1 8.0 8.0
Financial Services 20.2 17.9 17.9
Health Care 10.6 11.8 11.8
Integrated Oils 4.3 3.5 3.5
Other Energy 2.5 1.3 1.3
Materials & Processing 6.1 4.2 4.2
Producer Durables 4.5 3.7 3.7
Technology 11.9 16.6 16.6
Utilities 10.2 11.2 11.2
Other 5.0 5.0 5.0
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE> 23
FINANCIAL STATEMENTS
DECEMBER 31, 1998
[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 (99.4%)(1)
- ------------------------------------------------------------
<S> <C> <C>
- - Microsoft Corp. 18,451,523 $ 2,558,996
General Electric Co. 24,244,671 2,474,472
Intel Corp. 12,330,944 1,461,988
Wal-Mart Stores, Inc. 16,666,144 1,357,249
Exxon Corp. 18,028,936 1,318,366
Merck & Co., Inc. 8,812,465 1,301,491
International Business
Machines Corp. 6,903,565 1,275,434
The Coca-Cola Co. 18,238,884 1,219,725
Pfizer, Inc. 9,604,512 1,204,766
- - Cisco Systems, Inc. 11,672,217 1,083,328
Lucent Technologies, Inc. 9,724,477 1,069,692
AT&T Corp. 13,364,806 1,005,702
Bristol-Myers Squibb Co. 7,347,641 983,206
MCI WorldCom, Inc. 13,544,529 971,820
Philip Morris Cos., Inc. 18,004,620 963,247
Procter & Gamble Co. 9,821,950 896,867
Johnson & Johnson 9,942,479 833,925
Citigroup, Inc. 16,831,601 833,164
SBC Communications Inc. 14,472,292 776,077
BankAmerica Corp. 12,843,296 772,203
Royal Dutch Petroleum
Co. ADR 15,854,863 759,052
American International
Group, Inc. 7,768,486 750,630
Eli Lilly & Co. 8,132,407 722,768
BellSouth Corp. 14,489,600 722,669
Home Depot, Inc. 11,557,682 707,186
- - Dell Computer Corp. 9,420,698 689,477
Bell Atlantic Corp. 11,479,208 608,398
Schering-Plough Corp. 10,873,435 600,757
Fannie Mae 7,687,777 568,896
Time Warner, Inc. 9,078,202 563,416
Abbott Laboratories 11,236,543 550,591
American Home
Products Corp. 9,746,887 548,872
Compaq Computer Corp. 12,578,013 527,490
Ford Motor Co. 8,970,605 526,462
Hewlett-Packard Co. 7,688,141 525,196
Ameritech Corp. 8,162,791 517,317
Mobil Corp. 5,779,488 503,538
Wells Fargo Co. 11,965,053 477,854
GTE Corp. 7,139,773 464,085
Warner-Lambert Co. 6,073,597 456,659
The Walt Disney Co. 15,184,472 455,534
First Union Corp. 7,342,993 446,546
- - America Online, Inc. 2,788,025 446,084
PepsiCo, Inc. 10,864,402 444,761
E.I. du Pont de Nemours & Co. 8,347,688 442,949
Bank One Corp. 8,659,684 442,185
The Chase Manhattan Corp. 6,257,699 425,915
Chevron Corp. 4,836,219 401,104
Gillette Co. 8,203,388 396,326
Unilever NV ADR 4,734,153 392,639
McDonald's Corp. 5,005,005 383,509
</TABLE>
21
<PAGE> 24
<TABLE>
<CAPTION>
- ------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- ------------------------------------------------------------
<S> <C> <C>
Tyco International Ltd. 4,764,824 $ 359,446
General Motors Corp. 4,849,957 347,075
American Express Co. 3,343,258 341,848
Freddie Mac 5,018,523 323,381
- - EMC Corp. 3,710,706 315,410
- - Oracle Corp. 7,179,927 309,634
- - AirTouch Communications, Inc. 4,233,071 305,310
Morgan Stanley
Dean Witter & Co. 4,285,453 304,267
Xerox Corp. 2,423,915 286,022
Motorola, Inc. 4,446,739 271,529
Medtronic, Inc. 3,626,008 269,231
Sprint Corp. 3,194,203 268,712
Texas Instruments, Inc. 2,891,660 247,418
The Gap, Inc. 4,307,443 242,294
Northern Telecom Ltd. 4,825,173 241,862
The Boeing Co. 7,403,988 241,555
U S West, Inc. 3,725,902 240,786
- - Sun Microsystems, Inc. 2,811,305 240,718
Allstate Corp. 6,092,714 235,331
Anheuser-Busch Cos., Inc. 3,537,851 232,171
The Bank of New York Co., Inc. 5,641,594 227,074
Associates First Capital Corp. 5,346,810 226,571
- - Tele-Communications-
TCI Group A 3,980,076 220,148
Monsanto Co. 4,630,728 219,960
- - Safeway, Inc. 3,597,346 219,213
Kimberly-Clark Corp. 4,017,984 218,980
Walgreen Co. 3,689,984 216,095
Pharmacia & Upjohn, Inc. 3,759,074 212,858
Minnesota Mining &
Manufacturing Co. 2,979,316 211,904
- - MediaOne Group, Inc. 4,505,286 211,748
Texaco Inc. 3,959,665 209,367
Colgate-Palmolive Co. 2,167,580 201,314
Waste Management, Inc. 4,238,898 197,639
Emerson Electric Co. 3,251,602 196,722
- - Amgen, Inc. 1,877,639 196,331
U.S. Bancorp 5,372,183 190,713
Sara Lee Corp. 6,761,846 190,600
Fleet Financial Group, Inc. 4,215,256 188,369
- - Viacom Inc. Class B 2,518,387 186,361
Schlumberger Ltd. 4,031,471 185,952
AlliedSignal Inc. 4,151,538 183,965
Electronic Data Systems Corp. 3,653,710 183,599
United Technologies Corp. 1,680,830 182,790
Campbell Soup Co. 3,312,642 182,195
Automatic Data
Processing, Inc. 2,227,832 178,644
National City Corp. 2,445,954 177,332
Carnival Corp. 3,679,908 176,636
Dayton Hudson Corp. 3,251,034 176,369
Merrill Lynch & Co., Inc. 2,625,373 175,244
Eastman Kodak Co. 2,399,677 172,777
CBS Corp. 5,251,699 171,993
Duke Energy Corp. 2,679,788 171,674
Computer Associates
International, Inc. 4,015,693 171,169
Washington Mutual, Inc. 4,384,027 167,415
Charles Schwab Corp. 2,966,465 166,678
CVS Corp. 2,882,190 158,520
Atlantic Richfield Co. 2,369,000 154,577
H.J. Heinz Co. 2,670,799 151,234
Dow Chemical Co. 1,652,733 150,295
Southern Co. 5,147,500 149,599
American General Corp. 1,874,303 146,196
Household International, Inc. 3,605,439 142,866
Fifth Third Bancorp 1,976,274 140,933
SunTrust Banks, Inc. 1,836,887 140,522
Enron Corp. 2,453,183 139,985
MBNA Corp. 5,545,584 138,293
J.P. Morgan & Co., Inc. 1,309,183 137,546
Baxter International, Inc. 2,116,057 136,089
Gannett Co., Inc. 2,099,456 135,415
Pitney Bowes, Inc. 2,024,471 133,742
Lowe's Cos., Inc. 2,608,331 133,514
Mellon Bank Corp. 1,937,043 133,172
Firstar Corp. 1,426,311 133,004
Wachovia Corp. 1,506,976 131,766
SunAmerica Inc. 1,600,532 129,843
Lockheed Martin Corp. 1,457,146 123,493
Guidant Corp. 1,112,308 122,632
Caterpillar, Inc. 2,655,259 122,142
ALLTEL Corp. 2,022,435 120,967
Sears, Roebuck & Co. 2,843,671 120,856
- - Cendant Corp. 6,332,835 120,720
PNC Bank Corp. 2,227,805 120,580
- - 3Com Corp. 2,647,329 118,633
CIGNA Corp. 1,532,771 118,502
Columbia/HCA
Healthcare Corp. 4,772,604 118,122
Burlington Northern
Santa Fe Corp. 3,494,075 117,925
- - Applied Materials, Inc. 2,729,069 116,497
Albertson's, Inc. 1,819,684 115,891
- - Costco Cos., Inc. 1,597,046 115,287
Comcast Corp. Class A Special 1,962,809 115,192
- - The Kroger Co. 1,892,407 114,491
ConAgra, Inc. 3,614,283 113,850
Bestfoods 2,120,360 112,909
Cardinal Health, Inc. 1,477,635 112,116
Marsh & McLennan Cos., Inc. 1,906,319 111,401
The Seagram Co. Ltd. 2,916,706 110,835
KeyCorp 3,372,500 107,920
Illinois Tool Works, Inc. 1,843,955 106,949
- - Clear Channel
Communications, Inc. 1,954,333 106,511
- - Ascend Communications, Inc. 1,608,325 105,747
First Data Corp. 3,304,034 104,697
May Department Stores Co. 1,733,334 104,650
Coca-Cola Enterprises, Inc. 2,913,076 104,142
Raytheon Co. Class B 1,949,900 103,832
Aluminum Co. of America 1,375,074 102,529
Kellogg Co. 3,002,865 102,473
International Paper Co. 2,266,527 101,569
- - Staples, Inc. 2,297,676 100,380
Williams Cos., Inc. 3,173,045 98,959
HBO & Co. 3,429,090 98,372
- - Tellabs, Inc. 1,429,092 97,982
Texas Utilities Co. 2,093,168 97,725
- - FDX Corp. 1,091,799 97,170
Halliburton Co. 3,238,101 95,929
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
- -------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- -------------------------------------------------------------
<S> <C> <C>
The Hartford Financial
Services Group Inc. 1,728,122 $ 94,831
Rite Aid Corp. 1,912,992 94,813
Consolidated Edison Inc. 1,730,936 91,523
Progressive Corp. of Ohio 538,623 91,229
Textron, Inc. 1,181,324 89,707
The Clorox Co. 765,821 89,457
IMS Health, Inc. 1,185,614 89,440
Norfolk Southern Corp. 2,802,029 88,789
General Mills, Inc. 1,141,118 88,722
PG&E Corp. 2,815,855 88,699
BB&T Corp. 2,177,711 87,789
J.C. Penney Co., Inc. 1,871,891 87,745
NIKE, Inc. Class B 2,122,701 86,102
Avon Products, Inc. 1,942,952 85,976
BankBoston Corp. 2,171,383 84,548
AMP, Inc. 1,618,637 84,270
Aetna Inc. 1,069,564 84,094
Loews Corp. 850,333 83,545
State Street Corp. 1,191,344 82,873
FPL Group, Inc. 1,342,099 82,707
Union Pacific Corp. 1,824,908 82,235
Interpublic Group of Cos., Inc. 1,028,434 82,018
Phillips Petroleum Co. 1,910,984 81,456
- - AMR Corp. 1,350,900 80,210
The Chubb Corp. 1,226,282 79,555
- - Micron Technology, Inc. 1,572,018 79,485
Providian Financial Corp. 1,050,748 78,806
Comerica, Inc. 1,152,512 78,587
Becton, Dickinson & Co. 1,823,855 77,856
- - Boston Scientific Corp. 2,887,377 77,418
Corning, Inc. 1,709,562 76,930
Wrigley, (Wm.) Jr. Co. 856,611 76,720
PPG Industries, Inc. 1,312,305 76,442
Archer-Daniels-Midland Co. 4,429,328 76,129
Computer Sciences Corp. 1,165,122 75,078
Weyerhaeuser Co. 1,473,962 74,896
American Stores Co. 2,025,151 74,804
The McGraw-Hill Cos., Inc. 733,820 74,758
Ralston-Ralston Purina Group 2,303,128 74,564
Edison International 2,608,797 72,720
Service Corp. International 1,907,272 72,596
Omnicom Group Inc. 1,250,972 72,556
Masco Corp. 2,514,367 72,288
- - Sprint PCS 3,107,357 71,858
Northern Trust Corp. 821,064 71,689
- - Kohls Corp. 1,164,671 71,554
Conseco Inc. 2,332,264 71,280
RJR Nabisco Holdings Corp. 2,400,377 71,261
- - BMC Software, Inc. 1,585,950 70,674
Honeywell, Inc. 935,370 70,445
Aon Corp. 1,254,852 69,487
TJX Cos., Inc. 2,378,583 68,979
Rockwell International Corp. 1,417,636 68,844
- - Fred Meyer Inc. 1,141,568 68,779
PECO Energy Corp. 1,652,252 68,775
Public Service Enterprise
Group, Inc. 1,714,861 68,594
USX-Marathon Group 2,273,443 68,487
Air Products & Chemicals, Inc. 1,708,480 68,339
Houston Industries, Inc. 2,126,110 68,301
Sysco Corp. 2,488,521 68,279
Dominion Resources, Inc. 1,448,635 67,724
CSX Corp. 1,621,055 67,274
- - Federated Department
Stores, Inc. 1,542,481 67,194
American Electric
Power Co., Inc. 1,415,381 66,611
Hershey Foods Corp. 1,055,773 65,656
Fort James Corp. 1,626,024 65,041
Regions Financial Corp. 1,612,813 65,017
- - Unisys Corp. 1,873,979 64,535
- - AES Corp. 1,340,591 63,511
- - Solectron Corp. 681,800 63,365
Unicom Corp. 1,607,807 62,001
Paychex, Inc. 1,202,969 61,878
Lincoln National Corp. 744,970 60,948
Bankers Trust Corp. 712,131 60,843
St. Paul Cos., Inc. 1,743,934 60,602
Dover Corp. 1,644,179 60,218
- - Tenet Healthcare Corp. 2,278,037 59,798
The Quaker Oats Co. 1,004,961 59,795
Franklin Resources Corp. 1,866,580 59,731
UNUM Corp. 1,022,805 59,706
United Healthcare Corp. 1,377,256 59,308
SLM Holding Corp. 1,234,582 59,260
Deere & Co. 1,781,286 59,005
Tribune Co. 893,538 58,974
- - Gateway 2000, Inc. 1,148,348 58,781
Jefferson-Pilot Corp. 781,772 58,633
The Goodyear Tire & Rubber Co. 1,158,268 58,420
Ingersoll-Rand Co. 1,222,341 57,374
FirstEnergy Corp. 1,750,301 56,994
Entergy Corp. 1,823,274 56,749
- - Tricon Global Restaurants, Inc. 1,124,024 56,342
Summit Bancorp. 1,287,218 56,235
Delta Air Lines, Inc. 1,080,501 56,186
Capital One Financial Corp. 487,515 56,064
- - Kmart Corp. 3,636,406 55,682
Southwest Airlines Co. 2,474,285 55,517
Coastal Corp. 1,576,292 55,072
General Dynamics Corp. 937,940 54,987
- - Seagate Technology 1,807,886 54,689
Mercantile Bancorp, Inc. 1,169,341 53,936
Barrick Gold Corp. 2,758,019 53,781
Transamerica Corp. 463,509 53,535
Marriott International, Inc.
Class A 1,843,928 53,474
Carolina Power & Light Co. 1,120,680 52,742
Unocal Corp. 1,790,356 52,256
TRW, Inc. 903,945 50,790
Dana Corp. 1,221,715 49,938
- - NEXTEL Communications, Inc. 2,106,261 49,760
Newell Co. 1,198,782 49,450
Winn-Dixie Stores, Inc. 1,100,445 49,382
Mattel, Inc. 2,157,406 49,216
The Limited, Inc. 1,687,865 49,159
- - HEALTHSOUTH Corp. 3,125,003 48,242
MBIA, Inc. 734,058 48,127
Pioneer Hi-Bred
International, Inc. 1,780,954 48,086
UST, Inc. 1,369,375 47,757
</TABLE>
23
<PAGE> 26
<TABLE>
<CAPTION>
- ------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- ------------------------------------------------------------
<S> <C> <C>
Synovus Financial Corp. 1,955,570 $ 47,667
- - Novell, Inc. 2,605,548 47,226
Burlington Resources, Inc. 1,313,698 47,047
Huntington Bancshares Inc. 1,560,644 46,917
New York Times Co. Class A 1,350,136 46,833
Danaher Corp. 858,659 46,636
PacifiCorp 2,196,992 46,274
DTE Energy Co. 1,075,628 46,118
Union Planters Corp. 1,009,215 45,730
Alcan Aluminium Ltd. 1,680,301 45,473
Sempra Energy 1,781,095 45,195
Cincinnati Financial Corp. 1,232,400 45,137
R.R. Donnelley & Sons Co. 1,027,381 45,012
SAFECO Corp. 1,041,569 44,722
Genuine Parts Co. 1,322,283 44,214
Occidental Petroleum Corp. 2,602,593 43,919
Comcast Corp. Class A 760,722 43,694
Ameren Corp. 1,017,431 43,432
Frontier Corp. 1,264,386 42,989
Central & South West Corp. 1,566,178 42,972
Tenneco, Inc. 1,256,592 42,803
Baker Hughes, Inc. 2,409,682 42,621
Union Carbide Corp. 998,031 42,416
VF Corp. 900,227 42,198
Maytag Corp. 674,680 41,999
- - General Instrument Corp. 1,234,878 41,909
GPU, Inc. 947,910 41,886
Provident Cos., Inc. 1,002,216 41,592
Praxair, Inc. 1,172,431 41,328
Countrywide Credit
Industries, Inc. 821,857 41,247
New Century Energies, Inc. 840,646 40,981
- - Apple Computer, Inc. 991,431 40,587
Fortune Brands, Inc. 1,280,502 40,496
Cinergy Corp. 1,173,928 40,354
- - Compuware Corp. 509,889 39,835
Dun & Bradstreet Corp. 1,260,581 39,787
Golden West Financial Corp. 426,951 39,146
Avery Dennison Corp. 863,266 38,901
Lehman Brothers Holdings, Inc. 876,412 38,617
Consolidated Natural Gas Co. 711,012 38,395
Brown-Forman Corp. Class B 506,796 38,358
Georgia Pacific Group 651,410 38,148
Nordstrom, Inc. 1,097,630 38,074
Rohm & Haas Co. 1,253,820 37,771
Sherwin-Williams Co. 1,280,264 37,608
Cooper Industries, Inc. 787,078 37,534
Eaton Corp. 529,727 37,445
Equifax, Inc. 1,090,946 37,297
Northrop Grumman Corp. 510,000 37,294
- - Ceridian Corp. 534,163 37,291
- - AutoZone Inc. 1,124,731 37,046
Circuit City Stores, Inc. 740,049 36,956
Johnson Controls, Inc. 624,809 36,864
Hilton Hotels Corp. 1,922,310 36,764
Torchmark Corp. 1,034,754 36,540
Black & Decker Corp. 650,462 36,467
Republic New York Corp. 800,065 36,453
Browning-Ferris Industries, Inc. 1,279,969 36,399
Perkin-Elmer Corp. 368,541 35,956
Columbia Energy Group 616,674 35,613
- - Owens-Illinois, Inc. 1,161,909 35,583
Hasbro, Inc. 973,530 35,169
International Flavors &
Fragrances, Inc. 789,246 34,875
Rubbermaid, Inc. 1,108,146 34,837
H & R Block, Inc. 772,669 34,770
Union Camp Corp. 513,044 34,630
Ecolab, Inc. 954,620 34,545
- - US Airways Group, Inc. 663,888 34,522
Baltimore Gas & Electric Co. 1,100,337 33,973
The Times Mirror Co. Class A 605,914 33,931
Amerada Hess Corp. 673,783 33,521
MGIC Investment Corp. 837,814 33,355
Dow Jones & Co., Inc. 692,826 33,342
- - ALZA Corp. 637,049 33,286
Biomet, Inc. 825,113 33,211
- - Toys R Us, Inc. 1,967,089 33,195
- - Parametric Technology Corp. 2,006,629 32,608
Dollar General Corp. 1,359,647 32,122
- - PeopleSoft, Inc. 1,695,534 32,109
Bear Stearns Co., Inc. 838,510 31,339
Allergan, Inc. 483,264 31,291
- - Sealed Air Corp. 612,623 31,282
Whirlpool Corp. 562,001 31,121
ITT Industries, Inc. 781,990 31,084
Northern States Power Co. 1,119,435 31,064
PP&L Resources Inc. 1,112,964 31,024
- - Advanced Micro Devices, Inc. 1,061,046 30,704
Tandy Corp. 742,894 30,598
W.W. Grainger, Inc. 722,437 30,071
Knight Ridder 582,724 29,792
Allegheny Teledyne Inc. 1,449,693 29,628
Champion International Corp. 706,813 28,626
Raytheon Co. Class A 549,469 28,401
Crown Cork & Seal Co., Inc. 918,099 28,289
Nucor Corp. 651,221 28,165
Harcourt General, Inc. 524,518 27,898
- - KLA-Tencor Corp. 639,179 27,724
Willamette Industries, Inc. 823,786 27,597
Anadarko Petroleum Corp. 888,025 27,418
Ashland, Inc. 562,410 27,207
Parker Hannifin Corp. 817,843 26,784
Eastman Chemical Co. 585,587 26,205
Reynolds Metals Co. 484,965 25,552
SuperValu Inc. 894,420 25,044
Sunoco, Inc. 689,478 24,864
Fluor Corp. 583,735 24,845
Bausch & Lomb, Inc. 413,284 24,797
Laidlaw, Inc. 2,431,916 24,471
Temple-Inland Inc. 409,891 24,312
- - HCR Manor Care, Inc. 814,386 23,923
PACCAR, Inc. 574,765 23,637
Dillard's Inc. 817,663 23,201
Pall Corp. 912,939 23,109
Adobe Systems, Inc. 493,809 23,086
The Mead Corp. 767,942 22,510
Morton International, Inc. 918,219 22,496
- - Niagara Mohawk Power Corp. 1,384,877 22,331
Newmont Mining Corp. 1,236,002 22,325
Phelps Dodge Corp. 433,920 22,076
Sonat, Inc. 811,048 21,949
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- ------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------
<S> <C> <C>
- - Humana, Inc. 1,228,351 $ 21,880
Deluxe Corp. 595,568 21,775
Sigma-Aldrich Corp. 740,199 21,743
Harris Corp. 588,598 21,557
American Greetings Corp.
Class A 519,587 21,336
Placer Dome, Inc. 1,843,270 21,198
Engelhard Corp. 1,067,202 20,810
- - Thermo Electron Corp. 1,221,791 20,694
Wendy's International, Inc. 939,706 20,497
C.R. Bard, Inc. 414,086 20,497
Westvaco Corp. 745,526 19,989
Raychem Corp. 616,096 19,908
- - Mirage Resorts, Inc. 1,326,985 19,822
Centex Corp. 439,811 19,819
Hercules, Inc. 723,980 19,819
The BFGoodrich Co. 547,331 19,636
Apache Corp. 730,636 18,494
Darden Restaurants Inc. 1,022,795 18,410
The Stanley Works 653,206 18,126
Brunswick Corp. 731,485 18,104
Thomas & Betts Corp. 417,238 18,072
- - Silicon Graphics, Inc. 1,398,605 18,007
Armstrong World
Industries Inc. 296,387 17,876
Amoco Corp. 301,514 17,789
Great Lakes Chemical Corp. 435,892 17,436
- - St. Jude Medical, Inc. 620,462 17,179
Union Pacific Resources
Group, Inc. 1,844,024 16,711
- - LSI Logic Corp. 1,035,673 16,700
Mallinckrodt, Inc. 541,459 16,684
- - National Semiconductor Corp. 1,206,837 16,292
- - Consolidated Stores, Inc. 804,521 16,241
Homestake Mining Co. 1,764,131 16,208
- - King World Productions, Inc. 539,306 15,876
Liz Claiborne, Inc. 487,717 15,394
Crane Co. 506,014 15,275
Snap-On Inc. 434,683 15,132
Adolph Coors Co. Class B 266,874 15,062
Nalco Chemical Co. 484,398 15,016
USX-U.S. Steel Group 647,392 14,890
Bemis Co., Inc. 392,216 14,880
NICOR, Inc. 350,906 14,826
Louisiana-Pacific Corp. 807,173 14,781
Autodesk, Inc. 345,257 14,738
Meredith Corp. 387,678 14,683
- - FMC Corp. 255,587 14,313
- - Navistar International Corp. 494,231 14,086
Owens Corning 396,877 14,064
Ryder System, Inc. 540,353 14,049
Kerr-McGee Corp. 350,522 13,407
Scientific-Atlanta, Inc. 577,441 13,173
Inco Ltd. 1,223,974 12,928
Boise Cascade Corp. 414,292 12,843
- - Harrah's Entertainment, Inc. 815,520 12,793
Case Corp. 550,845 12,015
Freeport-McMoRan Copper &
Gold Inc. Class B 1,145,744 11,959
Cooper Tire & Rubber Co. 569,570 11,640
National Service Industries, Inc. 304,214 11,560
Tektronix, Inc. 367,068 11,035
Longs Drug Stores, Inc. 288,045 10,802
Alberto-Culver Co. Class B 404,231 10,788
McDermott International, Inc. 436,414 10,774
Cummins Engine Co., Inc. 302,506 10,739
- - Oryx Energy Co. 781,014 10,495
- - Andrew Corp. 633,447 10,452
Peoples Energy Corp. 261,304 10,420
Ball Corp. 224,265 10,260
- - Cabletron Systems, Inc. 1,208,614 10,122
Shared Medical Systems Corp. 195,143 9,733
EG&G, Inc. 338,715 9,421
Millipore Corp. 322,413 9,169
Briggs & Stratton Corp. 178,533 8,904
Worthington Industries, Inc. 710,580 8,882
Fleetwood Enterprises, Inc. 254,919 8,858
Pulte Corp. 317,732 8,837
- - W.R. Grace & Co. 556,869 8,736
The Timken Co. 458,641 8,657
Crestar Financial Corp. 120,067 8,645
IKON Office Solutions, Inc. 994,575 8,516
Kaufman & Broad Home Corp. 294,285 8,461
ONEOK, Inc. 232,872 8,413
Great Atlantic & Pacific
Tea Co., Inc. 280,894 8,321
- - Bethlehem Steel Corp. 955,680 8,004
Potlatch Corp. 214,183 7,898
The Pep Boys
(Manny, Moe & Jack) 471,084 7,390
- - Fruit of the Loom, Inc. 528,912 7,306
Eastern Enterprises 166,705 7,293
Helmerich & Payne, Inc. 372,085 7,209
Moore Corp. Ltd. 652,581 7,178
Jostens Inc. 269,444 7,056
Battle Mountain Gold Co.
Class A 1,695,380 6,993
Tupperware Corp. 423,567 6,962
Cyprus Amax Minerals Co. 689,002 6,890
- - Rowan Cos., Inc. 625,364 6,254
Aeroquip-Vickers Inc. 207,794 6,221
- - Reebok International Ltd. 415,212 6,176
Polaroid Corp. 323,934 6,054
- - Data General Corp. 364,086 5,985
Springs Industries Inc. Class A 135,765 5,626
Milacron Inc. 288,006 5,544
NACCO Industries, Inc. Class A 59,889 5,510
Russell Corp. 266,302 5,409
- - Viacom Inc. Class A 71,693 5,274
ASARCO, Inc. 291,550 4,391
Foster Wheeler Corp. 299,508 3,950
Harnischfeger Industries Inc. 351,122 3,577
PennzEnergy Co. 215,296 3,512
- - Pennzoil-Quaker State Co. 215,296 3,189
- - Venator Group, Inc. 476,740 3,069
Freeport-McMoRan Copper
& Gold, Inc. Class A 175,183 1,697
- - Equity Corp. International 47,000 1,248
- - Rio Hotel and Casino, Inc. 38,300 608
Alberto-Culver Co. Class A 1,000 25
- -------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $42,823,979) 73,813,849
- -------------------------------------------------------------
</TABLE>
25
<PAGE> 28
<TABLE>
<CAPTION>
- ---------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
500 INDEX FUND (000) (000)
- ---------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.7%)(1)
- ---------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS
(2) 4.046%, 1/14/1999 $ 20,000 $ 19,981
(2) 4.353-4.538%, 1/21/1999 18,300 18,262
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 442,934 442,934
4.77%, 1/4/1999--Note G 26,880 26,880
- ----------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $508,041) 508,057
- ----------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(COST $43,332,020) 74,321,906
- ----------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
- ----------------------------------------------------------
Other Assets--Note B 837,098
Liabilities--Note G (930,478)
------------
(93,380)
- ----------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------
Applicable to 651,398,134 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $74,228,526
==========================================================
NET ASSET VALUE PER SHARE $113.95
==========================================================
</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 0.2%, respectively, of net assets. See
Note F in Notes to Financial Statements.
(2) Securities with an aggregate value of $38,243,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- -------------------------------------------------------
AMOUNT PER
(000) SHARE
- -------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- -------------------------------------------------------
<S> <C> <C>
Paid in Capital--Note E $42,935,110 $ 65.91
Overdistributed Net
Investment Income (6,151) (.01)
Accumulated Net
Realized Gains--Note E 296,685 .46
Unrealized Appreciation--
Note F
Investment Securities 30,989,886 47.57
Futures Contracts 12,996 .02
- -------------------------------------------------------
NET ASSETS $74,228,526 $113.95
=======================================================
</TABLE>
26
<PAGE> 29
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
YEAR ENDED DECEMBER 31, 1998
(000)
- ---------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
<S> <C>
Dividends $ 898,388
Interest 32,484
Security Lending 995
--------------
Total Income 931,867
--------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 80
Management and Administrative 92,928
Marketing and Distribution 15,206
Custodian Fees 151
Auditing Fees 45
Shareholders' Reports 1,608
Annual Meeting and Proxy Costs 180
Trustees' Fees and Expenses 105
--------------
Total Expenses 110,303
Expenses Paid Indirectly--Note C --
--------------
Net Expenses 110,303
- ---------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 821,564
- ---------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 1,392,485
Futures Contracts 126,726
- ---------------------------------------------------------------------------------------------------
REALIZED NET GAIN 1,519,211
- ---------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 13,026,345
Futures Contracts 13,116
- ---------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 13,039,461
- ---------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $15,380,236
===================================================================================================
</TABLE>
27
<PAGE> 30
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS (continued)
- ------------------------------------------------------------------------------------------------------------------------
GROWTH VALUE TOTAL STOCK
INDEX INDEX MARKET INDEX
FUND FUND FUND
--------------------------------------------------
YEAR ENDED DECEMBER 31, 1998
--------------------------------------------------
(000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
<S> <C> <C> <C>
Dividends $ 45,207 $ 41,768 $ 118,554
Interest 1,732 398 23,390
Security Lending 14 54 3,182
---------------------------------------------------
Total Income 46,953 42,220 145,126
---------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 37 37 82
Management and Administrative 3,216 1,617 5,836
Shareholder Account Maintenance--Investor Shares 4,475 2,353 7,037
Shareholder Account Maintenance--Institutional Shares 24 12 257
Marketing and Distribution--Investor Shares 1,070 580 1,885
Marketing and Distribution--Institutional Shares -- -- 315
Custodian Fees 34 76 292
Auditing Fees 10 9 13
Shareholders' Reports--Investor Shares 105 66 108
Shareholders' Reports--Institutional Shares -- -- --
Annual Meeting and Proxy Costs--Investor Shares 15 9 17
Annual Meeting and Proxy Costs--Institutional Shares -- -- --
Trustees' Fees and Expenses 7 4 15
---------------------------------------------------
Total Expenses 8,993 4,763 15,857
Expenses Paid Indirectly--Note C -- -- (37)
---------------------------------------------------
Net Expenses 8,993 4,763 15,820
- --------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 37,960 37,457 129,306
- --------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 70,879 147,380 35,553
Futures Contracts 2,007 659 41,642
- --------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 72,886 148,039 77,195
- --------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 1,403,772 109,923 1,729,828
Futures Contracts 373 131 28,548
- --------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 1,404,145 110,054 1,758,376
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,514,991 $295,550 $ 1,964,877
==========================================================================================================================
</TABLE>
28
<PAGE> 31
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
-------------------------------- --------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------
1998 1997 1998 1997
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 821,564 $ 674,692 $ 37,960 $ 19,480
Realized Net Gain 1,519,211 1,041,603 72,886 18,793
Change in Unrealized Appreciation (Depreciation) 13,039,461 9,507,985 1,404,145 403,381
-------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 15,380,236 11,224,280 1,514,991 441,654
-------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (822,586) (679,820) (36,372) (20,049)
Institutional Shares* -- -- (693) --
Realized Capital Gain
Investor Shares (262,081) (315,842) (23,155) (25,678)
Institutional Shares* -- -- (813) --
-------------------------------------------------------------------------
Total Distributions (1,084,667) (995,662) (61,033) (45,727)
-------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 20,785,658 15,607,963 3,805,024 1,584,042
Issued in Lieu of Cash Distributions 999,651 918,542 54,919 42,674
Redeemed (11,209,975) (7,729,352) (991,663) (444,214)
-------------------------------------------------------------------------
Net Increase--Investor Shares 10,575,334 8,797,153 2,868,280 1,182,502
-------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- -- 205,585 --
Issued in Lieu of Cash Distributions -- -- 1,506 --
Redeemed -- -- (26,162) --
-------------------------------------------------------------------------
Net Increase--Institutional Shares* -- -- 180,929 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Increase 24,870,903 19,025,771 4,503,167 1,578,429
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 49,357,623 30,331,852 2,365,333 786,904
-------------------------------------------------------------------------
End of Year $ 74,228,526 $ 49,357,623 $ 6,868,500 $ 2,365,333
===================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 205,796 193,975 140,735 77,631
Issued in Lieu of Cash Distributions 9,433 10,883 1,885 1,992
Redeemed (111,820) (95,387) (37,803) (21,190)
-------------------------------------------------------------------------
Net Increase in Shares Outstanding 103,409 109,471 104,817 58,433
===================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- -- 7,955 --
Issued in Lieu of Cash Distributions -- -- 49 --
Redeemed -- -- (925) --
-------------------------------------------------------------------------
Net Increase in Shares Outstanding -- -- 7,079 --
===================================================================================================================================
</TABLE>
*The 500 Index Fund does not offer Institutional Shares
29
<PAGE> 32
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (continued)
- ----------------------------------------------------------------------------------------------------------------------------------
VALUE INDEX TOTAL STOCK MARKET
FUND INDEX FUND
------------------------------- ----------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------
1998 1997 1998 1997
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
OPERATIONS
<S> <C> <C> <C> <C>
Net Investment Income $ 37,457 $ 28,968 $ 129,306 $ 82,476
Realized Net Gain 148,039 70,507 77,195 77,515
Change in Unrealized Appreciation (Depreciation) 110,054 258,841 1,758,376 1,115,640
-------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 295,550 358,316 1,964,877 1,275,631
-------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (36,542) (28,623) (100,035) (69,922)
Institutional Shares (1,280) -- (28,557) (13,602)
Realized Capital Gain
Investor Shares (98,153) (57,217) (38,015) (58,866)
Institutional Shares (4,565) -- (10,094) (15,029)
-------------------------------------------------------------------------
Total Distributions (140,540) (85,840) (176,701) (157,419)
-------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 872,207 699,054 3,915,057 2,180,759
Issued in Lieu of Cash Distributions 123,840 79,396 128,569 119,225
Redeemed (516,494) (271,112) (1,246,506) (1,825,752)
-------------------------------------------------------------------------
Net Increase--Investor Shares 479,553 507,338 2,797,120 474,232
-------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 171,548 -- 831,150 1,491,188
Issued in Lieu of Cash Distributions 5,121 -- 35,644 27,855
Redeemed (60) -- (295,428) (45,886)
-------------------------------------------------------------------------
Net Increase--Institutional Shares 176,609 -- 571,366 1,473,157
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase 811,172 779,814 5,156,662 3,065,601
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 1,795,541 1,015,727 6,596,457 3,530,856
-------------------------------------------------------------------------
End of Year $ 2,606,713 $ 1,795,541 $ 11,753,119 $ 6,596,457
=================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 39,652 36,479 160,242 104,873
Issued in Lieu of Cash Distributions 5,572 4,104 4,991 5,629
Redeemed (23,806) (14,119) (50,676) (84,266)
-------------------------------------------------------------------------
Net Increase in Shares Outstanding 21,418 26,464 114,557 26,236
=================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 8,040 -- 33,554 67,190
Issued in Lieu of Cash Distributions 232 -- 1,385 1,268
Redeemed (3) -- (12,173) (2,045)
-------------------------------------------------------------------------
Net Increase in Shares Outstanding 8,269 -- 22,766 66,413
=================================================================================================================================
</TABLE>
30
<PAGE> 33
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 THROUGHOUT EACH YEAR 1998 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $ 90.07 $69.17 $57.60 $42.97 $43.83
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.33 1.31 1.28 1.22 1.18
Net Realized and Unrealized Gain (Loss) on Investments 24.30 21.50 11.82 14.76 (.67)
-------------------------------------------------------------
Total from Investment Operations 25.63 22.81 13.10 15.98 .51
-------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.33) (1.32) (1.28) (1.22) (1.17)
Distributions from Realized Capital Gains (.42) (.59) (.25) (.13) (.20)
-------------------------------------------------------------
Total Distributions (1.75) (1.91) (1.53) (1.35) (1.37)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $113.95 $90.07 $69.17 $57.60 $42.97
=========================================================================================================================
TOTAL RETURN* 28.62% 33.19% 22.88% 37.45% 1.18%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $74,229 $49,358 $30,332 $17,372 $9,356
Ratio of Total Expenses to Average Net Assets 0.18% 0.19% 0.20% 0.20% 0.19%
Ratio of Net Investment Income to Average Net Assets 1.35% 1.66% 2.04% 2.38% 2.72%
Portfolio Turnover Rate** 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%, 2%, 2%,
and 4%, respectively.
31
<PAGE> 34
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------------------------------------------------
GROWTH INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $22.53 $16.90 $13.97 $10.28 $10.20
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .230 .23 .22 .21 .21
Net Realized and Unrealized Gain (Loss) on Investments 9.244 5.88 3.07 3.68 .08
------------------------------------------------------------
Total from Investment Operations 9.474 6.11 3.29 3.89 .29
------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.219) (.23) (.22) (.20) (.21)
Distributions from Realized Capital Gains (.115) (.25) (.14) -- --
------------------------------------------------------------
Total Distributions (.334) (.48) (.36) (.20) (.21)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $31.67 $22.53 $16.90 $13.97 $10.28
==========================================================================================================================
TOTAL RETURN* 42.21% 36.34% 23.74% 38.06% 2.89%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $6,644 $2,365 $787 $271 $86
Ratio of Total Expenses to Average Net Assets 0.22% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 0.92% 1.19% 1.57% 1.71% 2.08%
Portfolio Turnover Rate 29% 26% 29% 24% 28%
==========================================================================================================================
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROWTH INDEX FUND INSTITUTIONAL SHARES
MAY 14* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1998
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $26.49
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .167
Net Realized and Unrealized Gain (Loss) on Investments 5.315
-------------
Total from Investment Operations 5.482
-------------
DISTRIBUTIONS
Dividends from Net Investment Income (.187)
Distributions from Realized Capital Gains (.115)
-------------
Total Distributions (.302)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $31.67
=====================================================================================================================
TOTAL RETURN 20.79%
=====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $224
Ratio of Total Expenses to Average Net Assets 0.12%**
Ratio of Net Investment Income to Average Net Assets 0.97%**
Portfolio Turnover Rate 29%
=====================================================================================================================
</TABLE>
*Inception.
**Annualized.
32
<PAGE> 35
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
VALUE INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $20.85 $17.02 $14.79 $11.12 $11.74
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .366 .38 .37 .41 .38
Net Realized and Unrealized Gain (Loss) on Investments 2.647 4.57 2.81 3.66 (.46)
-----------------------------------------------------------------
Total from Investment Operations 3.013 4.95 3.18 4.07 (.08)
-----------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.363) (.37) (.38) (.40) (.38)
Distributions from Realized Capital Gains (.990) (.75) (.57) -- (.16)
-----------------------------------------------------------------
Total Distributions (1.353) (1.12) (.95) (.40) (.54)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $22.51 $20.85 $17.02 $14.79 $11.12
===========================================================================================================================
TOTAL RETURN* 14.64% 29.77% 21.86% 36.94% -0.73%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $2,421 $1,796 $1,016 $496 $297
Ratio of Total Expenses to Average Net Assets 0.22% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.72% 2.05% 2.54% 3.06% 3.37%
Portfolio Turnover Rate 33% 25% 29% 27% 32%
===========================================================================================================================
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
VALUE INDEX FUND INSTITUTIONAL SHARES
JUL. 2* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1998
- -----------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $23.22
- -----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .196
Net Realized and Unrealized Gain (Loss) on Investments (.060)
-----------------
Total from Investment Operations .136
-----------------
DISTRIBUTIONS
Dividends from Net Investment Income (.236)
Distributions from Realized Capital Gains (.610)
-----------------
Total Distributions (.846)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.51
=======================================================================================================================
TOTAL RETURN 0.69%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $186
Ratio of Total Expenses to Average Net Assets 0.12%**
Ratio of Net Investment Income to Average Net Assets 1.90%**
Portfolio Turnover Rate 33%
=======================================================================================================================
</TABLE>
*Inception.
**Annualized.
33
<PAGE> 36
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $22.64 $17.77 $15.04 $11.37 $11.69
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .336 .319 .29 .29 .27
Net Realized and Unrealized Gain (Loss) on Investments 4.898 5.143 2.84 3.75 (.29)
-------------------------------------------------------------
Total from Investment Operations 5.234 5.462 3.13 4.04 (.02)
-------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.329) (.322) (.29) (.28) (.27)
Distributions from Realized Capital Gains (.125) (.270) (.11) (.09) (.03)
-------------------------------------------------------------
Total Distributions (.454) (.592) (.40) (.37) (.30)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $27.42 $22.64 $17.77 $15.04 $11.37
==========================================================================================================================
TOTAL RETURN* 23.26% 30.99% 20.96% 35.79% -0.17%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $9,308 $5,092 $3,531 $1,571 $786
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.22% 0.25% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.44% 1.65% 1.86% 2.14% 2.35%
Portfolio Turnover Rate 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.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 1998 DEC. 31, 1997
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $22.64 $21.27
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .359 .172
Net Realized and Unrealized Gain (Loss) on Investments 4.898 1.642
-----------------------
Total from Investment Operations 5.257 1.814
-----------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.352) (.214)
Distributions from Realized Capital Gains (.125) (.230)
-----------------------
Total Distributions (.477) (.444)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $27.42 $22.64
==========================================================================================================================
TOTAL RETURN 23.37% 8.60%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,445 $1,504
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%**
Ratio of Net Investment Income to Average Net Assets 1.53% 1.70%**
Portfolio Turnover Rate 3% 2%
==========================================================================================================================
</TABLE>
*Inception.
**Annualized.
34
<PAGE> 37
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 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.
35
<PAGE> 38
NOTES TO FINANCIAL STATEMENTS (continued)
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 December 31, 1998, 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 $12,451 0.02% 17.8%
Growth 1,057 0.02 1.5
Value 441 0.02 0.6
Total Stock Market 1,925 0.02 2.7
- ------------------------------------------------------------------------------------------------
</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 the non-interest bearing custody account. For the
year ended December 31, 1998, custodian fee offset arrangements reduced expenses
of the Total Stock Market Index Fund by $37,000.
D. The Total Stock Market Index Fund and, effective in 1998, the Growth Index
and Value Index Funds each offer two classes of shares, Investor Shares and
Institutional Shares. The Growth Index Fund issued its first Institutional
Shares on May 14, 1998, and the Value Index Fund issued its first Institutional
Shares on July 2, 1998. 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 period ended
December 31, 1998, 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.
E. During the year ended December 31, 1998, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
(000)
------------------------------------
INDEX FUND PURCHASES SALES
- ----------------------------------------------------------------------------------------------
<C> <C> <C>
500 $14,014,047 $3,349,516
Growth 4,222,787 1,192,518
Value 1,277,847 706,182
Total Stock Market 3,535,598 213,399
- ----------------------------------------------------------------------------------------------
</TABLE>
36
<PAGE> 39
During the year ended December 31, 1998, the 500 Index Fund realized
$987,611,000 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.
The 500 Index and Growth Index Funds applied $17,574,000 and $1,318,000,
respectively, of the price of capital shares redeemed to reduce capital gain
distribution requirements for tax purposes for the fiscal year ended December
31, 1997. Capital gains that were so offset have been reclassified from
accumulated net realized gains to paid in capital.
F. At December 31, 1998, 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 $32,064,715 $(1,074,829) $30,989,886
Growth 1,971,687 (20,556) 1,951,131
Value 617,413 (72,626) 544,787
Total Stock Market 3,994,526 (404,949) 3,589,577
- ----------------------------------------------------------------------------------------------
</TABLE>
At December 31, 1998, the aggregate settlement value of open futures
contracts expiring in March 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 1,039 $323,519 $12,996
Growth/
S&P/BARRA Growth Index 25 4,419 334
Value/
S&P/BARRA Value Index 20 2,793 117
Total Stock Market/
S&P 500 Index 1,081 336,596 15,609
S&P MidCap 400 Index 541 105,968 10,018
Russell 2000 Index 307 65,276 3,921
- ------------------------------------------------------------------------------------------------
</TABLE>
Net unrealized appreciation on open futures contracts is required to be treated
as realized gain for tax purposes.
37
<PAGE> 40
NOTES TO FINANCIAL STATEMENTS (continued)
G. The market value of securities on loan to broker/dealers at December 31,
1998, 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>
500 $ 26,200 $ 26,880
Value 1,638 1,680
Total Stock Market 208,011 225,871
- ---------------------------------------------------------------------------------------------
</TABLE>
Cash collateral received is invested in repurchase agreements.
38
<PAGE> 41
REPORT OF INDEPENDENT
ACCOUNTANTS
[PHOTO]
To the Shareholders and Trustees of
Vanguard U.S. Stock Index Funds
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Vanguard 500 Index Fund (a separate fund of Vanguard U.S. Stock Index Funds,
hereafter referred to as the "Fund") at December 31, 1998, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the financial highlights for each of
the five years in the period then ended, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Fund's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1998 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
We have also audited the financial statements of Vanguard Growth
Index Fund, Vanguard Value Index Fund and Vanguard Total Stock Market Index Fund
at December 31, 1998, and have issued our report thereon. An insert to this
Annual Report containing our report on the financial statements of these funds
is available from the Fund.
PricewaterhouseCoopers LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 2, 1999
39
<PAGE> 42
SPECIAL 1998 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS
(LARGE-CAPITALIZATION PORTFOLIOS)
This information for the fiscal year ended December 31, 1998, is included
pursuant to provisions of the Internal Revenue Code.
The funds distributed capital gain dividends (from net long-term capital
gains) to shareholders during the fiscal year ended December 31, 1998, all of
which are designated as 20% rate gain distributions, as follows:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
TOTAL CAPITAL GAINS
DISTRIBUTION
INDEX FUND (000)
- --------------------------------------------------------------------------
<C> <C>
500 $209,087
Growth 21,884
Value 72,650
Total Stock Market 30,673
- --------------------------------------------------------------------------
</TABLE>
For corporate shareholders, the percentage of investment income (dividend
income plus short-term gains, if any) that qualifies for the dividends-received
deduction is as follows:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
INDEX FUND PERCENTAGE
- ----------------------------------------------------------------------
<C> <C>
500 97.7%
Growth 100.0
Value 58.6
Total Stock Market 70.8
- ----------------------------------------------------------------------
</TABLE>
"STANDARD & POOR'S(R)," "S&P(R)," "S&P 500(R)," "STANDARD & POOR'S 500," AND
"500" ARE TRADEMARKS OF THE MCGRAW-HILL COMPANIES, INC., AND HAVE BEEN
LICENSED FOR USE BY 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.
40
<PAGE> 43
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.
BARBARA BARNES HAUPTFUHRER
Director of The Great Atlantic and Pacific Tea Co., IKON Office Solutions, Inc.,
Raytheon Co., Knight-Ridder, Inc., Massachusetts Mutual Life Insurance Co., and
Ladies Professional Golf Association; Trustee Emerita of Wellesley College.
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.
KAREN E. WEST
Controller; Principal of The Vanguard Group, Inc.; Controller 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> 44
VANGUARD
MILESTONES
[PHOTO]
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."
[PHOTO]
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.
[PHOTO]
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
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
www.vanguard.com
[email protected]
All Vanguard funds are offered by prospectus only. Prospectuses contain more
complete information on advisory fees, distribution charges, and other expenses
and should be read carefully before you invest or send money. Prospectuses can
be obtained directly from The Vanguard Group.
Q400-02/22/1999
(C) 1999 Vanguard Marketing Corporation, Distributor. All rights reserved.
<PAGE> 45
VANGUARD U.S. STOCK INDEX FUNDS
LARGE-CAPITALIZATION PORTFOLIOS
[PHOTO]
FINANCIAL STATEMENTS
DECEMBER 31, 1998
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 27 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.
<TABLE>
<CAPTION>
- -------------------------------------------------
CONTENTS
<S> <C>
Growth Index Fund . . . . . . . . . . . . 1
Value Index Fund . . . . . . . . . . . . . 4
Total Stock Market Index Fund . . . . . . 8
Report of Independent Accountants . . . . 37
- -------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
COMMON STOCKS (99.8%)(1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Microsoft Corp. 3,223,374 $ 447,042
General Electric Co. 4,334,914 442,432
Intel Corp. 2,083,828 247,064
Wal-Mart Stores, Inc. 2,980,267 242,705
Merck & Co., Inc. 1,575,669 232,707
International Business
Machines Corp. 1,234,300 228,037
The Coca-Cola Co. 3,261,051 218,083
Pfizer, Inc. 1,716,833 215,355
- - Cisco Systems, Inc. 2,073,407 192,438
Lucent Technologies, Inc. 1,739,550 191,350
Bristol-Myers Squibb Co. 1,314,346 175,876
Philip Morris Cos., Inc. 3,220,821 172,314
Procter & Gamble Co. 1,755,214 160,273
Johnson & Johnson 1,778,850 149,201
- - MCI WorldCom, Inc. 1,977,338 141,874
SBC Communications Inc. 2,587,596 138,760
American International
Group, Inc. 1,388,958 134,208
Eli Lilly & Co. 1,454,774 129,293
Home Depot, Inc. 2,067,800 126,523
- - Dell Computer Corp. 1,684,524 123,286
Schering-Plough Corp. 1,944,160 107,415
Abbott Laboratories 2,007,670 98,376
American Home Products
Corp. 1,743,574 98,185
Ameritech Corp. 1,459,500 92,496
Wells Fargo Co. 2,136,732 85,336
Warner-Lambert Co. 1,086,628 81,701
- - America Online, Inc. 502,300 80,368
PepsiCo, Inc. 1,941,015 79,460
Gillette Co. 1,467,456 70,896
Unilever NV ADR 846,868 70,237
Tyco International Ltd. 852,342 64,299
American Express Co. 598,022 61,148
Freddie Mac 897,700 57,846
- - EMC Corp. 663,898 56,431
- - Oracle Corp. 1,285,758 55,448
- - AirTouch
Communications, Inc. 756,820 54,586
Medtronic, Inc. 648,672 48,164
</TABLE>
1
<PAGE> 46
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Northern Telecom Ltd. 862,674 $ 43,242
The Gap, Inc. 766,606 43,122
Anheuser-Busch Cos., Inc. 632,237 41,491
- - Safeway, Inc. 643,200 39,195
Kimberly-Clark Corp. 716,846 39,068
- - Tele-Communications-TCI
Group A 701,623 38,809
Walgreen Co. 659,766 38,638
Colgate-Palmolive Co. 387,386 35,978
Waste Management, Inc. 759,785 35,425
- - Amgen, Inc. 336,681 35,204
U.S. Bancorp 960,038 34,081
Sara Lee Corp. 1,208,342 34,060
Campbell Soup Co. 592,700 32,599
Automatic Data Processing, Inc. 399,602 32,043
Dayton Hudson Corp. 582,004 31,574
Computer Associates
International, Inc. 712,066 30,352
Charles Schwab Corp. 530,400 29,802
CVS Corp. 515,840 28,371
- - Sun Microsystems, Inc. 330,600 28,308
H.J. Heinz Co. 478,990 27,123
Comcast Corp. Class A Special 460,549 27,028
MBNA Corp. 994,479 24,800
Baxter International, Inc. 378,342 24,332
Pitney Bowes, Inc. 360,700 23,829
Guidant Corp. 199,300 21,973
- - The Kroger Co. 338,972 20,508
Cardinal Health, Inc. 265,525 20,147
Bestfoods 377,980 20,127
- - Ascend Communications, Inc. 287,000 18,870
Coca-Cola Enterprises, Inc. 518,500 18,536
Kellogg Co. 536,222 18,299
- - Staples, Inc. 412,300 18,012
HBO & Co. 615,415 17,655
- - Tellabs, Inc. 256,984 17,619
The Clorox Co. 136,970 16,000
IMS Health, Inc. 211,877 15,983
General Mills, Inc. 202,358 15,733
Avon Products, Inc. 347,548 15,379
Interpublic Group of Cos., Inc. 183,897 14,666
Providian Financial Corp. 187,300 14,048
Becton, Dickinson & Co. 327,100 13,963
- - Boston Scientific Corp. 519,774 13,936
Wrigley, (Wm.) Jr. Co. 153,709 13,767
Corning, Inc. 305,804 13,761
Ralston-Ralston Purina Group 413,043 13,372
Omnicom Group Inc. 223,200 12,946
- - Kohl's Corp. 209,300 12,859
- - BMC Software, Inc. 285,100 12,705
TJX Cos., Inc. 426,192 12,360
Sysco Corp. 441,930 12,125
Hershey Foods Corp. 189,368 11,776
Fort James Corp. 291,700 11,668
- - Solectron Corp. 123,800 11,506
Paychex, Inc. 216,300 11,126
Dover Corp. 295,176 10,811
The Quaker Oats Co. 180,256 10,725
- - Gateway 2000, Inc. 206,800 10,586
SLM Holding Corp. 219,200 10,522
- - Tricon Global Restaurants, Inc. 201,800 10,115
Southwest Airlines Co. 444,950 9,984
Danaher Corp. 176,800 9,602
SunAmerica Inc. 117,600 9,540
Fifth Third Bancorp 124,719 8,894
Newell Co. 215,175 8,876
Synovus Financial Corp. 353,600 8,619
UST, Inc. 245,976 8,578
- - General Instrument Corp. 221,426 7,515
- - Compuware Corp. 93,700 7,320
Dun & Bradstreet Corp. 221,100 6,978
Avery Dennison Corp. 153,838 6,932
Equifax, Inc. 195,100 6,670
- - Ceridian Corp. 94,663 6,609
Perkin-Elmer Corp. 65,925 6,432
Ecolab, Inc. 171,128 6,193
- - ALZA Corp. 115,300 6,024
The Times Mirror Co. Class A 105,300 5,897
- - Parametric Technology Corp. 360,100 5,852
- - PeopleSoft, Inc. 308,300 5,838
Dollar General Corp. 244,450 5,775
- - Sealed Air Corp. 110,316 5,633
- - HCR Manor Care, Inc. 146,500 4,303
Owens Corning 71,759 2,543
Freeport-McMoRan Copper &
Gold Inc. Class B 215,024 2,244
- - Oryx Energy Co. 140,538 1,888
Millipore Corp. 58,150 1,654
Comcast Corp. Class A 27,755 1,594
Biomet, Inc. 30,960 1,246
Jostens Inc. 46,700 1,223
Autodesk, Inc. 14,300 610
Freeport-McMoRan Copper &
Gold, Inc. Class A 4,000 39
- ------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $4,903,845) 6,854,976
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- ------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.6%)(1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL
(2) 4.046%, 1/14/1999 $ 600 599
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 42,743 42,743
- ------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $43,342) 43,342
- ------------------------------------------------------------------------------------------------
</TABLE>
2
<PAGE> 47
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- ------------------------------------------------------------------------------------------------
<S> <C>
TOTAL INVESTMENTS (100.4%)
(COST $4,947,187) $6,898,318
- ------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-0.4%) (29,818)
- ------------------------------------------------------------------------------------------------
NET ASSETS (100%) $6,868,500
================================================================================================
</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 0.5%, 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 6,898,318
Receivables for Investment Securities Sold 777,496
Other Assets--Note B 59,384
-----------
Total Assets 7,735,198
-----------
LIABILITIES
Payables for Investment Securities
Purchased 856,779
Other Liabilities 9,919
-----------
Total Liabilities 866,698
- ------------------------------------------------------------------------------------------------
NET ASSETS $6,868,500
================================================================================================
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
AMOUNT
(000)
- ------------------------------------------------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------------------------------
<S> <C>
Paid in Capital--Note E $4,877,998
Undistributed Net Investment Income 374
Accumulated Net Realized Gains--Note E 38,663
Unrealized Appreciation--Note F
Investment Securities 1,951,131
Futures Contracts 334
- ------------------------------------------------------------------------------------------------
NET ASSETS $6,868,500
================================================================================================
Investor Shares--Net Assets
Applicable to 209,801,746 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $6,644,305
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $31.67
================================================================================================
Institutional Shares--Net Assets
Applicable to 7,078,921 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $224,195
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $31.67
================================================================================================
</TABLE>
3
<PAGE> 48
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
COMMON STOCKS (100.3%)(1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Exxon Corp. 1,317,312 $ 96,328
AT&T Corp. 1,023,804 77,041
Citigroup, Inc. 1,247,285 61,741
Royal Dutch Petroleum Co.
ADR 1,218,732 58,347
BankAmerica Corp. 943,682 56,739
BellSouth Corp. 1,059,564 52,846
Bell Atlantic Corp. 840,400 44,541
Time Warner, Inc. 700,942 43,502
Fannie Mae 563,800 41,721
Compaq Computer Corp. 961,600 40,327
Hewlett-Packard Co. 567,500 38,767
Ford Motor Co. 657,664 38,597
Mobil Corp. 422,582 36,817
Bank One Corp. 668,859 34,154
GTE Corp. 522,500 33,962
The Walt Disney Co. 1,113,829 33,415
First Union Corp. 538,844 32,768
E.I. du Pont de Nemours & Co. 609,500 32,341
The Chase Manhattan Corp. 457,900 31,166
Chevron Corp. 358,480 29,731
McDonald's Corp. 383,200 29,363
General Motors Corp. 354,567 25,374
Morgan Stanley Dean
Witter & Co. 327,700 23,267
Xerox Corp. 177,500 20,945
Motorola, Inc. 327,612 20,005
Sprint Corp. 233,400 19,635
The Boeing Co. 556,055 18,141
Texas Instruments, Inc. 211,300 18,079
Associates First Capital Corp. 420,880 17,835
U S West, Inc. 274,320 17,728
Allstate Corp. 447,614 17,289
The Bank of New York Co., Inc. 412,152 16,589
Pharmacia & Upjohn, Inc. 290,423 16,445
Monsanto Co. 339,200 16,112
Texaco Inc. 292,686 15,476
- MediaOne Group, Inc. 328,871 15,457
Minnesota Mining &
Manufacturing Co. 217,300 15,455
- Viacom Inc. Class B 206,283 15,265
Emerson Electric Co. 238,500 14,429
Fleet Financial Group, Inc. 309,980 13,852
Schlumberger Ltd. 295,600 13,634
AlliedSignal Inc. 303,500 13,449
Electronic Data Systems Corp. 267,000 13,417
United Technologies Corp. 122,300 13,300
National City Corp. 179,100 12,985
Eastman Kodak Co. 180,200 12,974
Merrill Lynch & Co., Inc. 192,170 12,827
Carnival Corp. 263,700 12,658
Duke Energy Corp. 196,117 12,564
CBS Corp. 382,641 12,531
Washington Mutual, Inc. 323,415 12,350
Atlantic Richfield Co. 182,612 11,915
Southern Co. 393,499 11,436
Dow Chemical Co. 121,976 11,092
American General Corp. 139,137 10,853
SunTrust Banks, Inc. 140,476 10,746
Household International, Inc. 261,546 10,364
Fifth Third Bancorp 144,400 10,297
Lowe's Cos., Inc. 200,440 10,260
Enron Corp. 179,200 10,226
J.P. Morgan & Co., Inc. 94,739 9,953
Gannett Co., Inc. 152,500 9,836
Wachovia Corp. 111,854 9,780
Mellon Bank Corp. 141,484 9,727
- 3Com Corp. 213,500 9,567
Caterpillar, Inc. 206,876 9,516
- Applied Materials, Inc. 219,200 9,357
ALLTEL Corp. 156,030 9,332
- Costco Cos., Inc. 128,900 9,305
- Cendant Corp. 482,900 9,205
Lockheed Martin Corp. 106,361 9,014
PNC Bank Corp. 166,166 8,994
Raytheon Co. Class B 168,577 8,977
CIGNA Corp. 114,514 8,853
Burlington Northern
Santa Fe Corp. 261,580 8,828
Sears, Roebuck & Co. 207,600 8,823
Columbia/HCA Healthcare Corp. 349,774 8,657
Albertson's, Inc. 133,053 8,474
ConAgra, Inc. 264,900 8,344
Marsh & McLennan Cos., Inc. 141,400 8,263
Firstar Corp. 87,500 8,159
The Seagram Co. Ltd. 213,631 8,118
KeyCorp 246,598 7,891
Illinois Tool Works, Inc. 135,400 7,853
International Paper Co. 174,994 7,842
- Clear Channel
Communications, Inc. 142,800 7,783
May Department Stores Co. 126,618 7,644
First Data Corp. 239,800 7,599
Aluminum Co. of America 99,425 7,413
- FDX Corp. 81,943 7,293
Williams Cos., Inc. 231,771 7,228
Texas Utilities Co. 152,967 7,142
Halliburton Co. 238,000 7,051
Rite Aid Corp. 140,100 6,944
The Hartford Financial
Services Group Inc. 126,470 6,940
PG&E Corp. 219,583 6,917
Textron, Inc. 90,230 6,852
Consolidated Edison Inc. 126,309 6,678
Progressive Corp. of Ohio 39,300 6,656
NIKE, Inc. Class B 162,400 6,587
J.C. Penney Co., Inc. 139,869 6,556
Norfolk Southern Corp. 205,425 6,509
BankBoston Corp. 166,368 6,478
Union Pacific Corp. 142,700 6,430
BB&T Corp. 159,400 6,426
- Micron Technology, Inc. 124,130 6,276
AMP, Inc. 118,535 6,171
FPL Group, Inc. 99,992 6,162
Aetna Inc. 77,415 6,087
Loews Corp. 61,575 6,050
State Street Corp. 86,900 6,045
Phillips Petroleum Co. 140,428 5,986
The Chubb Corp. 91,099 5,910
</TABLE>
4
<PAGE> 49
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - AMR Corp. 98,768 $ 5,864
The McGraw-Hill Cos., Inc. 56,827 5,789
Northern Trust Corp. 66,100 5,771
American Stores Co. 155,898 5,758
Comerica, Inc. 84,312 5,749
Service Corp. International 148,030 5,634
PPG Industries, Inc. 96,030 5,594
Edison International 200,297 5,583
Weyerhaeuser Co. 109,810 5,580
Computer Sciences Corp. 85,800 5,529
Archer-Daniels-Midland Co. 321,437 5,525
Dominion Resources, Inc. 116,148 5,430
Masco Corp. 185,814 5,342
Air Products & Chemicals, Inc. 130,700 5,228
RJR Nabisco Holdings Corp. 176,000 5,225
Conseco Inc. 170,396 5,208
- - Sprint PCS 225,050 5,204
Houston Industries, Inc. 161,513 5,189
Honeywell, Inc. 68,200 5,136
Aon Corp. 92,153 5,103
Public Service Enterprise
Group, Inc. 126,816 5,073
PECO Energy Corp. 121,358 5,051
- - Fred Meyer Inc. 83,700 5,043
Rockwell International Corp. 103,568 5,029
USX-Marathon Group 166,660 5,021
CSX Corp. 118,319 4,910
American Electric Power
Co., Inc. 103,644 4,878
Regions Financial Corp. 120,900 4,874
- - Federated Department
Stores, Inc. 111,033 4,837
United Healthcare Corp. 110,921 4,777
- - Unisys Corp. 138,200 4,759
Jefferson-Pilot Corp. 63,153 4,736
The Goodyear Tire & Rubber Co. 92,817 4,681
Tribune Co. 70,700 4,666
- - AES Corp. 97,700 4,629
St. Paul Cos., Inc. 131,704 4,577
Unicom Corp. 117,708 4,539
Summit Bancorp. 102,997 4,500
UNUM Corp. 76,958 4,492
Lincoln National Corp. 54,715 4,476
Delta Air Lines, Inc. 85,064 4,423
Bankers Trust Corp. 51,627 4,411
- - Tenet Healthcare Corp. 167,723 4,403
Franklin Resources Corp. 137,000 4,384
FirstEnergy Corp. 132,531 4,316
Deere & Co. 129,278 4,282
Ingersoll-Rand Co. 91,089 4,275
Entergy Corp. 133,645 4,160
- - Kmart Corp. 267,093 4,090
Capital One Financial Corp. 35,500 4,083
Coastal Corp. 115,228 4,026
- - NEXTEL Communications, Inc. 170,300 4,023
General Dynamics Corp. 68,622 4,023
- - Seagate Technology 132,900 4,020
Barrick Gold Corp. 202,100 3,941
Mercantile Bancorp, Inc. 85,300 3,934
Marriott International, Inc.
Class A 135,400 3,927
Transamerica Corp. 33,785 3,902
Carolina Power & Light Co. 82,001 3,859
Unocal Corp. 130,800 3,818
- - Novell, Inc. 208,807 3,785
New York Times Co. Class A 108,616 3,768
Huntington Bancshares Inc. 125,048 3,759
Dana Corp. 89,658 3,665
MBIA, Inc. 55,800 3,658
The Limited, Inc. 125,500 3,655
TRW, Inc. 64,864 3,645
Cincinnati Financial Corp. 99,500 3,644
Winn-Dixie Stores, Inc. 80,500 3,612
- - HEALTHSOUTH Corp. 232,300 3,586
Mattel, Inc. 155,700 3,552
Pioneer Hi-Bred
International, Inc. 130,800 3,532
Burlington Resources, Inc. 98,039 3,511
Union Planters Corp. 77,300 3,503
SAFECO Corp. 81,155 3,485
Central & South West Corp. 126,686 3,476
Alcan Aluminium Ltd. 127,698 3,456
R.R. Donnelley & Sons Co. 78,702 3,448
PacifiCorp 161,126 3,394
DTE Energy Co. 78,560 3,368
Union Carbide Corp. 79,128 3,363
Genuine Parts Co. 99,428 3,325
Occidental Petroleum Corp. 196,730 3,320
Sempra Energy 130,053 3,300
- - Apple Computer, Inc. 79,716 3,263
Tenneco, Inc. 94,169 3,208
Ameren Corp. 74,329 3,173
Frontier Corp. 92,900 3,159
Countrywide Credit
Industries, Inc. 62,600 3,142
Baker Hughes, Inc. 177,178 3,134
Nordstrom, Inc. 89,400 3,101
Brown-Forman Corp. Class B 40,962 3,100
GPU, Inc. 69,355 3,065
VF Corp. 65,016 3,048
Provident Cos., Inc. 73,300 3,042
Cinergy Corp. 88,281 3,035
Maytag Corp. 48,700 3,032
Georgia Pacific Group 51,663 3,026
New Century Energies, Inc. 61,900 3,018
Praxair, Inc. 85,500 3,014
- - AutoZone Inc. 90,550 2,982
Johnson Controls, Inc. 50,128 2,958
Torchmark Corp. 83,564 2,951
Browning-Ferris Industries, Inc. 103,515 2,944
Black & Decker Corp. 52,300 2,932
Fortune Brands, Inc. 92,644 2,930
Cooper Industries, Inc. 59,716 2,848
Golden West Financial Corp. 30,845 2,828
Consolidated Natural Gas Co. 51,933 2,804
Sherwin-Williams Co. 95,160 2,795
Lehman Brothers Holdings, Inc. 62,800 2,767
Eaton Corp. 38,713 2,737
Northrop Grumman Corp. 37,302 2,728
Columbia Energy Group 47,213 2,727
Rohm & Haas Co. 90,180 2,717
Circuit City Stores, Inc. 54,339 2,714
</TABLE>
5
<PAGE> 50
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Hilton Hotels Corp. 141,200 $ 2,700
Republic New York Corp. 58,092 2,647
- - Owens-Illinois, Inc. 86,200 2,640
Rubbermaid, Inc. 83,900 2,638
Hasbro, Inc. 70,891 2,561
International Flavors &
Fragrances, Inc. 57,400 2,536
Union Camp Corp. 37,503 2,531
Baltimore Gas & Electric Co. 80,872 2,497
PP&L Resources Inc. 89,434 2,493
- - US Airways Group, Inc. 47,300 2,460
H & R Block, Inc. 54,500 2,453
Dow Jones & Co., Inc. 50,882 2,449
Biomet, Inc. 60,700 2,443
Amerada Hess Corp. 48,934 2,434
- - Toys R Us, Inc. 144,190 2,433
ITT Industries, Inc. 61,083 2,428
Bear Stearns Co., Inc. 64,900 2,426
- - Advanced Micro Devices, Inc. 82,390 2,384
Allegheny Teledyne Inc. 116,400 2,379
MGIC Investment Corp. 59,300 2,361
Allergan, Inc. 35,800 2,318
Northern States Power Co. 82,664 2,294
Whirlpool Corp. 41,178 2,280
- - KLA-Tencor Corp. 52,100 2,260
Tandy Corp. 53,584 2,207
Ashland, Inc. 45,168 2,185
Knight Ridder 42,494 2,173
Amoco Corp. 36,436 2,150
W.W. Grainger, Inc. 51,424 2,141
Crown Cork & Seal Co., Inc. 69,431 2,139
Champion International Corp. 51,816 2,099
Nucor Corp. 47,476 2,053
Harcourt General, Inc. 38,523 2,049
Eastman Chemical Co. 45,011 2,014
Willamette Industries, Inc. 60,092 2,013
Anadarko Petroleum Corp. 65,200 2,013
Parker Hannifin Corp. 59,057 1,934
Temple-Inland Inc. 32,089 1,903
PACCAR, Inc. 46,200 1,900
Sunoco, Inc. 52,680 1,900
Adobe Systems, Inc. 39,700 1,856
Reynolds Metals Co. 34,968 1,842
Pall Corp. 72,600 1,838
SuperValu Inc. 65,248 1,827
Bausch & Lomb, Inc. 30,387 1,823
Laidlaw, Inc. 178,645 1,798
Morton International, Inc. 72,774 1,783
- - Humana, Inc. 99,800 1,778
Fluor Corp. 41,095 1,749
Sigma-Aldrich Corp. 59,390 1,745
American Greetings Corp.
Class A 42,210 1,733
Harris Corp. 47,288 1,732
Deluxe Corp. 47,100 1,722
Dillard's Inc. 59,949 1,701
Sonat, Inc. 62,856 1,701
Raytheon Co. Class A 32,092 1,659
- - Niagara Mohawk Power Corp. 101,496 1,637
Newmont Mining Corp. 90,600 1,636
The Mead Corp. 55,640 1,631
Westvaco Corp. 59,841 1,604
Phelps Dodge Corp. 31,416 1,598
- - Thermo Electron Corp. 93,620 1,586
Placer Dome, Inc. 137,835 1,585
Raychem Corp. 47,900 1,548
Hercules, Inc. 56,500 1,547
The BFGoodrich Co. 42,298 1,517
Engelhard Corp. 77,600 1,513
- - Mirage Resorts, Inc. 99,500 1,486
Darden Restaurants Inc. 82,218 1,480
Wendy's International, Inc. 67,470 1,472
Centex Corp. 32,198 1,451
C.R. Bard, Inc. 29,090 1,440
Thomas & Betts Corp. 33,151 1,436
- - St. Jude Medical, Inc. 49,780 1,378
- - LSI Logic Corp. 83,300 1,343
Apache Corp. 53,000 1,342
Brunswick Corp. 54,037 1,337
- - National Semiconductor Corp. 99,060 1,337
The Stanley Works 48,100 1,335
Union Pacific Resources
Group, Inc. 144,700 1,311
- - Silicon Graphics, Inc. 101,564 1,308
Armstrong World Industries Inc. 21,665 1,307
- - Consolidated Stores, Inc. 64,600 1,304
Great Lakes Chemical Corp. 32,065 1,283
Adolph Coors Co. Class B 22,416 1,265
Crane Co. 40,674 1,228
- - King World Productions, Inc. 41,622 1,225
Snap-On Inc. 34,729 1,209
Nalco Chemical Co. 38,820 1,203
USX-U.S. Steel Group 52,080 1,198
Bemis Co., Inc. 31,506 1,195
NICOR, Inc. 28,237 1,193
Mallinckrodt, Inc. 38,626 1,190
Homestake Mining Co. 129,500 1,190
Louisiana-Pacific Corp. 64,899 1,188
Liz Claiborne, Inc. 35,007 1,105
Kerr-McGee Corp. 28,462 1,089
Meredith Corp. 28,300 1,072
Autodesk, Inc. 25,100 1,071
Ryder System, Inc. 41,050 1,067
- - Navistar International Corp. 36,322 1,035
Boise Cascade Corp. 33,382 1,035
- - FMC Corp. 17,963 1,006
Inco Ltd. 94,759 1,001
Cooper Tire & Rubber Co. 45,791 936
National Service Industries, Inc. 24,439 929
Scientific-Atlanta, Inc. 40,617 927
- - Harrah's Entertainment, Inc. 58,500 918
Cummins Engine Co., Inc. 24,853 882
Alberto-Culver Co. Class B 32,694 873
Case Corp. 39,432 860
- - Andrew Corp. 51,000 842
Ball Corp. 17,981 823
- - Cabletron Systems, Inc. 94,400 791
Longs Drug Stores, Inc. 21,052 789
McDermott International, Inc. 31,932 788
Tektronix, Inc. 25,600 770
Peoples Energy Corp. 19,169 764
EG&G, Inc. 26,225 729
</TABLE>
6
<PAGE> 51
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Shared Medical Systems Corp. 14,400 $ 718
Worthington Industries, Inc. 57,156 714
- - W.R. Grace & Co. 44,800 703
IKON Office Solutions, Inc. 80,135 686
Great Atlantic & Pacific
Tea Co., Inc. 22,877 678
The Timken Co. 35,644 673
Crestar Financial Corp. 9,200 662
Fleetwood Enterprises, Inc. 18,822 654
Pulte Corp. 23,382 650
Briggs & Stratton Corp. 12,650 631
Kaufman & Broad Home Corp. 21,657 623
ONEOK, Inc. 17,100 618
- - Bethlehem Steel Corp. 70,390 590
Potlatch Corp. 15,758 581
The Pep Boys
(Manny, Moe & Jack) 34,600 543
- - Fruit of the Loom, Inc. 39,000 539
Eastern Enterprises 12,225 535
Moore Corp. Ltd. 47,959 528
Helmerich & Payne, Inc. 27,216 527
Battle Mountain Gold Co.
Class A 124,480 513
Tupperware Corp. 31,200 513
Cyprus Amax Minerals Co. 49,288 493
- - Reebok International Ltd. 32,800 488
- - Rowan Cos., Inc. 48,700 487
- - Data General Corp. 29,055 478
Polaroid Corp. 25,184 471
NACCO Industries, Inc. Class A 4,930 454
Aeroquip-Vickers Inc. 15,000 449
Russell Corp. 21,690 441
Milacron Inc. 22,453 432
Springs Industries Inc. Class A 10,326 428
ASARCO, Inc. 23,765 358
Foster Wheeler Corp. 23,000 303
Harnischfeger Industries Inc. 28,320 289
PennzEnergy Co. 17,546 286
- - Pennzoil-Quaker State Co. 17,546 260
- - Venator Group, Inc. 39,820 256
- - Viacom Inc. Class A 766 56
- - Rio Hotel and Casino, Inc. 3,000 48
- ------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $2,069,884) 2,614,671
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- ------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.3%)(1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL
(2) 3.887%, 1/21/1999 $ 400 399
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 5,453 5,453
4.77%, 1/4/1999--Note G 1,680 1,680
- ------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $7,532) 7,532
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.6%)
(COST $2,077,416) $2,622,203
- ------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-0.6%) (15,490)
- ------------------------------------------------------------------------------------------------
NET ASSETS (100%) $2,606,713
================================================================================================
</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 100.4% 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 $2,622,203
Receivables for Investment Securities Sold 345,827
Other Assets--Note B 10,477
-----------
TOTAL ASSETS 2,978,507
-----------
LIABILITIES
Payables for Investment Securities
Purchased 359,770
Other Liabilities--Note G 12,024
-----------
Total Liabilities 371,794
-----------
NET ASSETS $2,606,713
================================================================================================
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------------------------------
AMOUNT
(000)
- ------------------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $1,982,252
Overdistributed Net Investment Income (551)
Accumulated Net Realized Gains 80,108
Unrealized Appreciation--Note F
Investment Securities 544,787
Futures Contracts 117
- ------------------------------------------------------------------------------------------------
NET ASSETS $2,606,713
================================================================================================
Investor Shares--Net Assets
Applicable to 107,548,460 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,420,609
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $22.51
================================================================================================
Institutional Shares--Net Assets
Applicable to 8,269,249 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $186,104
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $22.51
================================================================================================
</TABLE>
7
<PAGE> 52
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
COMMON STOCKS (95.4%)(1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Microsoft Corp. 2,206,188 $ 305,971
General Electric Co. 2,913,141 297,322
Intel Corp. 1,504,226 178,345
Wal-Mart Stores, Inc. 2,001,684 163,012
Exxon Corp. 2,195,380 160,537
Merck & Co., Inc. 1,066,317 157,482
International Business
Machines Corp. 835,432 154,346
The Coca-Cola Co. 2,207,444 147,623
Pfizer, Inc. 1,169,898 146,749
Lucent Technologies, Inc. 1,177,384 129,512
- - Cisco Systems, Inc. 1,392,092 129,203
AT&T Corp. 1,617,327 121,704
Bristol-Myers Squibb Co. 890,624 119,177
Philip Morris Cos., Inc. 2,177,513 116,497
- - MCI WorldCom, Inc. 1,590,194 114,096
Procter & Gamble Co. 1,200,608 109,630
Johnson & Johnson 1,204,182 101,001
Citigroup, Inc. 2,017,581 99,870
BankAmerica Corp. 1,563,477 94,004
SBC Communications Inc. 1,752,441 93,975
- - Berkshire Hathaway Class A 1,337 93,607
American International
Group, Inc. 940,156 90,842
BellSouth Corp. 1,769,616 88,259
Eli Lilly & Co. 986,070 87,637
- - Dell Computer Corp. 1,133,456 82,955
Home Depot, Inc. 1,315,786 80,510
Bell Atlantic Corp. 1,390,888 73,717
Schering-Plough Corp. 1,314,324 72,616
Fannie Mae 934,538 69,156
Abbott Laboratories 1,378,730 67,558
Time Warner, Inc. 1,073,206 66,606
American Home Products
Corp. 1,178,082 66,341
Hewlett-Packard Co. 936,700 63,988
Ford Motor Co. 1,090,072 63,974
- - America Online, Inc. 393,500 62,960
Compaq Computer Corp. 1,496,168 62,745
Ameritech Corp. 987,038 62,553
Mobil Corp. 703,808 61,319
Wells Fargo Co. 1,447,886 57,825
GTE Corp. 863,170 56,106
The Walt Disney Co. 1,844,747 55,342
Warner-Lambert Co. 735,051 55,267
PepsiCo, Inc. 1,318,672 53,983
E.I. du Pont de Nemours & Co. 1,013,248 53,765
Bank One Corp. 1,048,427 53,535
First Union Corp. 872,785 53,076
The Chase Manhattan Corp. 766,872 52,195
Chevron Corp. 588,450 48,804
Gillette Co. 1,005,368 48,572
McDonald's Corp. 613,019 46,972
General Motors Corp. 588,641 42,125
American Express Co. 408,675 41,787
Freddie Mac 607,604 39,152
- - EMC Corp. 447,244 38,016
Morgan Stanley Dean
Witter & Co. 530,301 37,651
- - Oracle Corp. 871,475 37,582
- - AirTouch Communications, Inc. 513,868 37,063
Xerox Corp. 294,233 34,719
Motorola, Inc. 537,992 32,851
Sprint Corp. 387,646 32,611
Medtronic, Inc. 420,316 31,208
Texas Instruments, Inc. 351,802 30,101
The Gap, Inc. 527,597 29,677
The Boeing Co. 907,278 29,600
U S West, Inc. 451,961 29,208
- - Sun Microsystems, Inc. 338,704 29,001
Allstate Corp. 747,382 28,868
Anheuser-Busch Cos., Inc. 431,740 28,333
The Bank of New York Co., Inc. 673,044 27,090
Kimberly-Clark Corp. 490,156 26,713
- - Safeway, Inc. 435,328 26,528
Associates First Capital Corp. 620,144 26,279
Walgreen Co. 445,460 26,087
- - Tele-Communications-TCI
Group A 467,755 25,873
- - MediaOne Group, Inc. 548,564 25,782
Carnival Corp. 536,354 25,745
Minnesota Mining &
Manufacturing Co. 361,679 25,724
Monsanto Co. 538,082 25,559
Texaco Inc. 481,840 25,477
Colgate-Palmolive Co. 264,816 24,595
Waste Management, Inc. 512,028 23,873
Emerson Electric Co. 394,394 23,861
- - Amgen, Inc. 226,848 23,720
U.S. Bancorp 665,219 23,615
Sara Lee Corp. 836,394 23,576
- - Viacom Inc. Class B 314,518 23,274
Fleet Financial Group, Inc. 511,420 22,854
Schlumberger Ltd. 487,278 22,476
AlliedSignal Inc. 505,884 22,417
Electronic Data Systems Corp. 443,555 22,289
United Technologies Corp. 204,218 22,209
Campbell Soup Co. 402,148 22,118
- - Yahoo!, Inc. 92,700 21,964
Automatic Data Processing, Inc. 269,521 21,612
Computer Associates
International, Inc. 502,581 21,422
National City Corp. 295,229 21,404
Dayton Hudson Corp. 393,106 21,326
CBS Corp. 644,097 21,094
Merrill Lynch & Co., Inc. 314,296 20,979
Duke Energy Corp. 325,792 20,871
Eastman Kodak Co. 289,812 20,866
Washington Mutual, Inc. 533,949 20,390
Charles Schwab Corp. 357,456 20,084
CVS Corp. 348,650 19,176
Atlantic Richfield Co. 287,570 18,764
Comcast Corp. Class A Special 316,929 18,600
Dow Chemical Co. 202,186 18,386
H.J. Heinz Co. 324,205 18,358
Southern Co. 624,823 18,159
Firstar Corp. 194,661 18,152
American General Corp. 228,715 17,840
Household International, Inc. 442,002 17,514
Fifth Third Bancorp 239,863 17,105
Enron Corp. 296,027 16,892
</TABLE>
8
<PAGE> 53
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MBNA Corp. 673,126 $ 16,786
J.P. Morgan & Co., Inc. 159,636 16,772
Baxter International, Inc. 254,835 16,389
Gannett Co., Inc. 254,100 16,389
Wachovia Corp. 186,320 16,291
Pitney Bowes, Inc. 245,770 16,236
Mellon Bank Corp. 234,906 16,150
Lowe's Cos., Inc. 314,074 16,077
- - Cox Communications Class A 229,935 15,894
SunAmerica Inc. 184,900 15,000
Lockheed Martin Corp. 176,857 14,989
Caterpillar, Inc. 325,616 14,978
Sears, Roebuck & Co. 352,187 14,968
Albertson's, Inc. 233,698 14,884
Guidant Corp. 134,656 14,846
CIGNA Corp. 191,328 14,792
- - Qwest Communications
International Inc. 295,662 14,783
ALLTEL Corp. 244,777 14,641
PNC Bank Corp. 270,190 14,624
- - Cendant Corp. 765,976 14,601
Columbia/HCA Healthcare Corp. 581,303 14,387
- - 3Com Corp. 320,409 14,358
- - Amazon.com, Inc. 44,600 14,328
Burlington Northern
Santa Fe Corp. 423,610 14,297
SunTrust Banks, Inc. 186,539 14,270
- - Applied Materials, Inc. 331,038 14,131
- - Costco Cos., Inc. 193,361 13,958
- - The Kroger Co. 228,994 13,854
ConAgra, Inc. 435,568 13,720
Bestfoods 256,626 13,665
Cardinal Health, Inc. 178,551 13,547
Marsh & McLennan Cos., Inc. 229,256 13,397
Illinois Tool Works, Inc. 223,106 12,940
Coca-Cola Enterprises, Inc. 361,135 12,910
- - Compuware Corp. 163,400 12,766
Raytheon Co. Class B 239,622 12,760
First Data Corp. 401,858 12,734
- - Clear Channel
Communications, Inc. 233,502 12,726
- - Ascend Communications, Inc. 192,966 12,687
KeyCorp 395,380 12,652
May Department Stores Co. 208,598 12,594
Aluminum Co. of America 168,806 12,586
Kellogg Co. 363,386 12,400
International Paper Co. 274,346 12,294
HBO & Co. 422,409 12,118
- - Tellabs, Inc. 175,388 12,025
Williams Cos., Inc. 382,020 11,914
- - FDX Corp. 133,312 11,865
- - Level 3 Communications, Inc. 273,600 11,799
Texas Utilities Co. 251,027 11,720
Halliburton Co. 391,843 11,608
Rite Aid Corp. 233,346 11,565
The Equitable Cos. 199,691 11,557
The Hartford Financial
Services Group Inc. 210,108 11,530
IMS Health, Inc. 148,777 11,223
Textron, Inc. 147,712 11,217
- - Staples, Inc. 256,415 11,202
Consolidated Edison Inc. 211,122 11,163
Progressive Corp. of Ohio 65,900 11,162
The Clorox Co. 93,076 10,872
Norfolk Southern Corp. 341,257 10,813
General Mills, Inc. 138,283 10,751
PG&E Corp. 340,951 10,740
J.C. Penney Co., Inc. 227,387 10,659
AFLAC, Inc. 239,092 10,520
NIKE, Inc. Class B 257,632 10,450
Avon Products, Inc. 235,812 10,435
BB&T Corp. 257,892 10,396
AMP, Inc. 197,431 10,279
Aetna Inc. 130,441 10,256
BankBoston Corp. 263,392 10,256
Loews Corp. 103,971 10,215
FPL Group, Inc. 163,811 10,095
State Street Corp. 144,184 10,030
Union Pacific Corp. 221,497 9,981
Phillips Petroleum Co. 232,803 9,923
- - AMR Corp. 165,222 9,810
- - Solectron Corp. 104,900 9,749
Interpublic Group of Cos., Inc. 122,018 9,731
The Chubb Corp. 149,162 9,677
- - Micron Technology, Inc. 190,827 9,649
Comerica, Inc. 140,891 9,607
Providian Financial Corp. 127,649 9,574
Becton, Dickinson & Co. 221,428 9,452
- - Boston Scientific Corp. 350,726 9,404
Corning, Inc. 207,654 9,344
Wrigley, (Wm.) Jr. Co. 104,088 9,322
PPG Industries, Inc. 159,894 9,314
Archer-Daniels-Midland Co. 539,256 9,268
Weyerhaeuser Co. 179,885 9,140
Computer Sciences Corp. 141,406 9,112
American Stores Co. 245,854 9,081
The McGraw-Hill Cos., Inc. 88,970 9,064
Ralston-Ralston Purina Group 279,605 9,052
- - Genentech, Inc. Special
Common Stock 112,883 8,995
Edison International 316,703 8,828
Omnicom Group Inc. 152,000 8,816
Masco Corp. 306,006 8,798
Service Corp. International 230,356 8,768
Northern Trust Corp. 99,700 8,705
- - Sprint PCS 376,131 8,698
- - Kohl's Corp. 141,500 8,693
RJR Nabisco Holdings Corp. 292,519 8,684
Honeywell, Inc. 114,379 8,614
Conseco Inc. 281,407 8,600
- - eBay Inc. 35,400 8,540
Houston Industries, Inc. 265,080 8,516
Aon Corp. 153,027 8,474
- - Fred Meyer Inc. 139,795 8,423
Rockwell International Corp. 173,367 8,419
PECO Energy Corp. 201,874 8,403
Public Service Enterprise
Group, Inc. 208,825 8,353
- - Federated Department
Stores, Inc. 191,044 8,322
</TABLE>
9
<PAGE> 54
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
USX-Marathon Group 276,146 $ 8,319
Air Products & Chemicals, Inc. 207,952 8,318
Sysco Corp. 302,308 8,294
TJX Cos., Inc. 284,036 8,237
Dominion Resources, Inc. 175,995 8,228
CSX Corp. 198,088 8,221
- - BMC Software, Inc. 184,200 8,208
- - Office Depot, Inc. 219,325 8,101
American Electric
Power Co., Inc. 172,042 8,097
- - At Home Corp. Series A 108,700 8,071
Hershey Foods Corp. 128,164 7,970
Fort James Corp. 197,522 7,901
- - Unisys Corp. 227,780 7,844
- - Tele-Communications
TCI Ventures Group Series A 327,330 7,713
Regions Financial Corp. 190,574 7,682
- - Network Associates, Inc. 115,639 7,661
Unicom Corp. 196,609 7,582
- - AES Corp. 159,452 7,554
UNUM Corp. 128,354 7,493
Paychex, Inc. 145,614 7,490
United Healthcare Corp. 173,846 7,486
Bankers Trust Corp. 87,181 7,448
Lincoln National Corp. 90,625 7,414
St. Paul Cos., Inc. 211,144 7,337
- - Tenet Healthcare Corp. 277,745 7,291
Crestar Financial Corp. 101,051 7,276
Deere & Co. 219,609 7,274
Dover Corp. 198,456 7,268
Franklin Resources Corp. 226,560 7,250
The Quaker Oats Co. 121,310 7,218
SLM Holding Corp. 150,039 7,202
Tribune Co. 108,494 7,161
- - Gateway 2000, Inc. 139,500 7,141
Jefferson-Pilot Corp. 94,365 7,077
Delta Air Lines, Inc. 135,976 7,071
The Goodyear Tire & Rubber Co. 139,703 7,046
Ingersoll-Rand Co. 148,463 6,968
Entergy Corp. 222,633 6,929
FirstEnergy Corp. 211,900 6,900
- - Tricon Global Restaurants, Inc. 136,587 6,846
Coastal Corp. 195,006 6,813
Summit Bancorp. 155,665 6,801
Capital One Financial Corp. 58,784 6,760
- - Kmart Corp. 440,377 6,743
Southwest Airlines Co. 298,651 6,701
McKesson Corp. 84,594 6,688
General Dynamics Corp. 114,002 6,683
Intimate Brands, Inc. 221,900 6,629
- - CNA Financial Corp. 164,684 6,628
- - Seagate Technology 218,102 6,597
Transamerica Corp. 56,207 6,492
Marriott International, Inc.
Class A 222,574 6,455
Carolina Power & Light Co. 137,114 6,453
Danaher Corp. 118,800 6,452
Harley-Davidson, Inc. 135,592 6,424
Unocal Corp. 217,873 6,359
Mercantile Bancorp, Inc. 136,908 6,315
- - Republic Industries, Inc. 418,958 6,180
TRW, Inc. 109,606 6,158
Cintas Corp. 87,300 6,149
Linear Technology Corp. 68,396 6,126
Dana Corp. 148,468 6,069
- - Chancellor Media Corp. 126,456 6,054
Winn-Dixie Stores, Inc. 133,775 6,003
- - NEXTEL Communications, Inc. 253,845 5,997
Newell Co. 144,708 5,969
The Limited, Inc. 204,791 5,964
Mattel, Inc. 260,484 5,942
- - Lexmark International
Group, Inc. Class A 59,100 5,939
New York Times Co. Class A 168,734 5,853
Pioneer Hi-Bred
International, Inc. 216,368 5,842
MBIA, Inc. 89,012 5,836
- - HEALTHSOUTH Corp. 377,371 5,826
UST, Inc. 166,346 5,801
ServiceMaster Co. 261,850 5,777
Burlington Resources, Inc. 160,472 5,747
Synovus Financial Corp. 234,412 5,714
- - Novell, Inc. 314,032 5,692
Huntington Bancshares Inc. 188,282 5,660
- - Cadence Design Systems, Inc. 188,638 5,612
DTE Energy Co. 130,727 5,605
PacifiCorp 266,123 5,605
Equity Office Properties
Trust REIT 231,011 5,544
Century Telephone
Enterprises, Inc. 81,720 5,516
Marshall & Ilsley Corp. 94,391 5,516
- - Best Buy Co., Inc. 89,200 5,475
Sempra Energy 215,618 5,471
Cincinnati Financial Corp. 148,711 5,446
- - Biogen, Inc. 65,600 5,445
R.R. Donnelley & Sons Co. 124,280 5,445
Royal Caribbean Cruises, Ltd. 147,100 5,443
SouthTrust Corp. 146,533 5,412
SAFECO Corp. 125,635 5,394
Genuine Parts Co. 160,422 5,364
- - Wellpoint Health
Networks Inc. Class A 61,635 5,362
Molex, Inc. 139,187 5,306
Occidental Petroleum Corp. 313,636 5,293
Ameren Corp. 123,684 5,280
- - Altera Corp. 86,620 5,273
Washington Post Co. Class B 9,100 5,259
Frontier Corp. 152,656 5,190
Tenneco, Inc. 152,335 5,189
Central & South West Corp. 188,620 5,175
Union Planters Corp. 113,677 5,151
VF Corp. 109,288 5,123
Union Carbide Corp. 120,446 5,119
- - Maxim Integrated Products, Inc. 116,600 5,094
GPU, Inc. 115,224 5,091
Maytag Corp. 81,288 5,060
Provident Cos., Inc. 121,446 5,040
Baker Hughes, Inc. 283,685 5,018
Praxair, Inc. 142,033 5,007
UnionBanCal Corp. 146,600 4,993
- - Watson Pharmaceuticals, Inc. 79,328 4,988
</TABLE>
10
<PAGE> 55
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Countrywide Credit
Industries, Inc. 99,217 $ 4,979
Cooper Industries, Inc. 103,643 4,942
Fortune Brands, Inc. 155,693 4,924
- - Outdoor Systems, Inc. 163,803 4,914
- - Apple Computer, Inc. 119,783 4,904
AmSouth Bancorp 107,371 4,899
New Century Energies, Inc. 100,345 4,892
- - Health Management
Associates Class A 225,932 4,886
Cinergy Corp. 142,098 4,885
Georgia Pacific Group 82,898 4,855
PaineWebber Group, Inc. 125,050 4,830
Rohm & Haas Co. 160,274 4,828
- - Cablevision Systems Corp.
Class B 95,500 4,793
Kansas City Southern
Industries, Inc. 97,392 4,790
Dun & Bradstreet Corp. 151,677 4,787
Golden West Financial Corp. 51,807 4,750
Stryker Corp. 85,400 4,702
Estee Lauder Cos. Class A 54,871 4,691
Avery Dennison Corp. 104,090 4,690
Allegiance Corp. 100,504 4,686
Lehman Brothers Holdings, Inc. 106,299 4,684
Consolidated Natural Gas Co. 86,337 4,662
Brown-Forman Corp. Class B 61,451 4,651
Black & Decker Corp. 82,501 4,625
Nordstrom, Inc. 132,350 4,591
Cincinnati Bell, Inc. 121,000 4,575
Eaton Corp. 64,438 4,555
Sherwin-Williams Co. 154,860 4,549
- - General Instrument Corp. 133,858 4,543
Equifax, Inc. 132,570 4,532
- - Analog Devices, Inc. 144,405 4,531
Northrop Grumman Corp. 61,825 4,521
- - Ceridian Corp. 64,631 4,512
Food Lion Inc. Class A 422,200 4,486
Circuit City Stores, Inc. 89,769 4,483
- - AutoZone Inc. 135,634 4,467
- - Immunex Corp. 35,500 4,466
Donaldson, Lufkin &
Jenrette, Inc. 108,800 4,461
- - Netscape Communications Corp. 73,375 4,457
The CIT Group, Inc. 139,800 4,447
Johnson Controls, Inc. 75,294 4,442
- - Starbucks Corp. 79,100 4,439
Tyson Foods, Inc. 208,589 4,432
Hilton Hotels Corp. 231,198 4,422
Republic New York Corp. 96,962 4,418
Old Kent Financial Corp. 94,595 4,399
Torchmark Corp. 124,496 4,396
Browning-Ferris Industries, Inc. 154,202 4,385
KeySpan Energy Corp. 140,835 4,366
- - Owens-Illinois, Inc. 142,528 4,365
CMS Energy Corp. 90,061 4,362
- - US Airways Group, Inc. 83,563 4,345
The Times Mirror Co. Class A 77,116 4,319
Columbia Energy Group 74,690 4,313
- - Gulfstream Aerospace Corp. 81,000 4,313
First Tennessee National Corp. 113,300 4,312
Charter One Financial 155,291 4,309
Hasbro, Inc. 118,179 4,269
Equity Residential
Properties Trust REIT 105,313 4,258
Perkin-Elmer Corp. 43,630 4,257
- - Infinity Broadcasting Corp. 155,000 4,243
- - Bed Bath & Beyond, Inc. 123,704 4,221
First American Corp. (Tenn.) 95,060 4,218
Union Camp Corp. 62,429 4,214
Rubbermaid, Inc. 133,967 4,211
International Flavors &
Fragrances, Inc. 95,074 4,201
ITT Industries, Inc. 105,173 4,181
- - Xilinx, Inc. 64,200 4,181
H & R Block, Inc. 92,545 4,164
Ecolab, Inc. 115,080 4,164
- - ADC Telecommunications, Inc. 119,800 4,163
Zions Bancorp 66,588 4,153
Simon Property Group, Inc. 145,272 4,140
- - Chiron Corp. 157,632 4,128
- - American Power
Conversion Corp. 85,200 4,127
Baltimore Gas & Electric Co. 133,464 4,121
Popular, Inc. 120,156 4,085
Amerada Hess Corp. 82,076 4,083
Total System Services, Inc. 172,986 4,065
Dow Jones & Co., Inc. 84,197 4,052
MGIC Investment Corp. 101,730 4,050
Galileo International, Inc. 93,000 4,045
- - ALZA Corp. 77,184 4,033
- - Toys R Us, Inc. 239,001 4,033
Biomet, Inc. 99,947 4,023
Vulcan Materials Co. 30,190 3,972
- - Saks Inc. 125,756 3,969
- - Parametric Technology Corp. 241,350 3,922
First Security Corp. 167,582 3,917
Dollar General Corp. 164,260 3,881
- - PeopleSoft, Inc. 204,400 3,871
Florida Progress Corp. 86,150 3,860
Leggett & Platt, Inc. 174,900 3,848
- - Loral Space &
Communications 215,484 3,838
- - Forest Laboratories, Inc. 71,884 3,823
Allergan, Inc. 59,018 3,821
Bear Stearns Co., Inc. 101,559 3,796
Whirlpool Corp. 68,544 3,796
Northern States Power Co. 136,588 3,790
- - Intuit, Inc. 52,200 3,784
AMBAC Financial Group Inc. 62,744 3,776
Allegheny Energy, Inc. 109,100 3,764
- - General Motors Corp. Class H 94,753 3,761
- - NCR Corp. 90,032 3,759
- - Conoco Inc. 180,000 3,758
- - Fiserv, Inc. 72,893 3,749
Reliastar Financial Corp. 81,192 3,745
- - Robert Half International, Inc. 83,800 3,745
Vastar Resources, Inc. 86,600 3,740
PP&L Resources Inc. 134,079 3,737
- - Advanced Micro Devices, Inc. 129,110 3,736
El Paso Energy Corp. 106,936 3,723
</TABLE>
11
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Tandy Corp. 90,096 $ 3,711
- - SunGard Data Systems, Inc. 93,300 3,703
Starwood Hotels & Resorts REIT 163,151 3,701
- - Allied Waste Industries, Inc. 156,390 3,695
- - Concord EFS, Inc. 87,137 3,692
- - Sterling Commerce, Inc. 81,185 3,653
W.W. Grainger, Inc. 87,722 3,651
T. Rowe Price 106,500 3,648
- - USA Networks, Inc. 110,124 3,648
M & T Bank Corp. 7,016 3,641
Knight Ridder 71,026 3,631
- - Citrix Systems, Inc. 37,400 3,630
Federal-Mogul Corp. 60,300 3,588
Tosco Corp. 138,658 3,588
- - Quintiles Transnational Corp. 67,100 3,581
E.W. Scripps Co. Class A 71,976 3,581
- - Litton Industries, Inc. 54,869 3,580
Allegheny Teledyne Inc. 174,914 3,575
- - CMGI Inc 33,248 3,541
- - Sanmina Corp. 56,279 3,517
Mylan Laboratories, Inc. 110,250 3,473
Champion International Corp. 85,721 3,472
- - Genzyme Corp. 69,678 3,466
Crown Cork & Seal Co., Inc. 112,239 3,458
Nucor Corp. 79,781 3,451
Hillenbrand Industries, Inc. 60,500 3,441
Reynolds Metals Co. 65,274 3,439
- - Abercrombie & Fitch Co. 48,518 3,433
Harcourt General, Inc. 63,711 3,389
Anadarko Petroleum Corp. 109,700 3,387
Symbol Technologies, Inc. 52,675 3,368
Willamette Industries, Inc. 100,464 3,366
Family Dollar Stores, Inc. 152,600 3,357
- - KLA-Tencor Corp. 77,100 3,344
- - U.S. Filter Corp. 145,215 3,322
Ashland, Inc. 68,474 3,312
TECO Energy, Inc. 117,500 3,312
LG&E Energy Corp. 116,157 3,289
NIPSCO Industries, Inc. 107,660 3,277
Parker Hannifin Corp. 99,818 3,269
Raytheon Co. Class A 62,770 3,244
Pinnacle West Capital Corp. 75,900 3,216
- - Synopsys, Inc. 59,286 3,216
- - Quantum Corp. 151,100 3,211
- - QUALCOMM, Inc. 61,800 3,202
Energy East Corp. 56,600 3,198
Eastman Chemical Co. 71,380 3,194
- - Storage Technology Corp. 89,810 3,194
- - Teradyne, Inc. 74,329 3,150
Wisconsin Energy Corp. 99,623 3,132
- - Legato Systems, Inc. 47,400 3,125
A.G. Edwards & Sons, Inc. 83,849 3,123
- - Sealed Air Corp. 61,091 3,119
- - UAL Corp. 52,080 3,109
Bergen Brunswig Corp. Class A 89,102 3,107
Allmerica Financial Corp. 53,215 3,080
- - SCI Systems, Inc. 53,216 3,073
DPL Inc. 141,875 3,068
SCANA Corp. 94,700 3,054
- - Smurfit-Stone Container Corp. 192,423 3,043
North Fork Bancorp, Inc. 127,030 3,041
DQE Inc. 68,907 3,028
- - NTL Inc. 53,600 3,025
Bausch & Lomb, Inc. 50,401 3,024
SuperValu Inc. 107,998 3,024
- - Convergys Corp. 135,000 3,021
- - Electronic Arts Inc. 53,700 3,014
Fluor Corp. 70,667 3,008
Sunoco, Inc. 83,214 3,001
Green Point Financial Corp. 85,000 2,986
- - Arterial Vascular Engineering, Inc. 56,800 2,982
- - Vitesse Semiconductor Corp. 64,900 2,961
- - Global TeleSystems Group, Inc. 53,100 2,960
Newmont Mining Corp. 163,530 2,954
- - U.S. Cellular Corp. 77,100 2,930
- - Jacor Communications, Inc. 45,300 2,916
Temple-Inland Inc. 48,926 2,902
- - Sofamor Danek Group, Inc. 23,800 2,898
Diamond Offshore Drilling, Inc. 122,000 2,890
PACCAR, Inc. 68,912 2,834
- - HCR Manor Care, Inc. 96,191 2,826
Morton International, Inc. 115,008 2,818
- - Keebler Foods Co. 74,800 2,814
Dillard's Inc. 99,136 2,813
- - Centocor, Inc. 62,148 2,804
Dime Bancorp, Inc. 105,760 2,796
Pall Corp. 109,858 2,781
- - PacifiCare Health Systems, Inc.
Class B 34,962 2,779
Starwood Financial Trust REIT 46,300 2,778
Montana Power Co. 49,000 2,772
Adobe Systems, Inc. 59,220 2,769
Public Storage, Inc. REIT 102,300 2,768
Potomac Electric Power Co. 105,000 2,763
- - Comverse Technology, Inc. 38,750 2,751
Old Republic International Corp. 122,150 2,748
Omnicare, Inc. 78,900 2,742
The Mead Corp. 93,240 2,733
- - Network Appliance, Inc. 60,400 2,709
- - Niagara Mohawk Power Corp. 167,502 2,701
FINOVA Group, Inc. 49,904 2,692
Phelps Dodge Corp. 52,804 2,686
New England Electric System 55,800 2,685
Sonoco Products Co. 90,236 2,673
Amoco Corp. 45,248 2,670
Viad Corp. 87,463 2,657
Dial Corp. 91,863 2,653
Sonat, Inc. 97,960 2,651
- - Humana, Inc. 147,680 2,631
- - Siebel Systems, Inc. 77,533 2,631
Deluxe Corp. 71,931 2,630
Shaw Industries, Inc. 108,000 2,619
Sigma-Aldrich Corp. 89,154 2,619
Unitrin, Inc. 36,405 2,612
- - SPX Corp. 38,903 2,607
International Game Technology 107,102 2,604
Sundstrand Corp. 50,000 2,594
Harris Corp. 70,646 2,587
Archstone Communities
Trust REIT 127,068 2,573
- - Barnes & Noble, Inc. 60,452 2,569
American Greetings Corp.
Class A 62,508 2,567
</TABLE>
12
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - J.D. Edwards & Co. 89,900 $ 2,551
Martin Marietta Materials, Inc. 41,026 2,551
Engelhard Corp. 129,723 2,530
Host Marriott Corp. 182,334 2,518
Vornado Realty Trust REIT 74,600 2,518
- - Veritas Software Corp. 41,825 2,507
- - USWeb Corp. 94,350 2,488
C.R. Bard, Inc. 50,181 2,484
- - Promus Hotel Corp. 76,730 2,484
- - Jabil Circuit, Inc. 33,200 2,478
Wendy's International, Inc. 113,597 2,478
- - Thermo Electron Corp. 146,262 2,477
Crescent Real Estate, Inc. REIT 107,600 2,475
- - Tele-Communications Liberty
Media Group Class A 53,716 2,474
- - American Tower Corp. Class A 83,400 2,466
- - DST Systems, Inc. 43,200 2,465
- - Keane, Inc. 61,700 2,464
Mercantile Bankshares Corp. 63,900 2,460
- - Inktomi Corp. 19,000 2,458
Westvaco Corp. 90,747 2,433
BHC Communications, Inc.
Class A 19,885 2,426
American Water Works Co., Inc. 71,800 2,423
- - Sybron International Corp. 88,992 2,419
Telephone & Data Systems, Inc. 53,800 2,418
Centex Corp. 53,458 2,409
Lafarge Corp. 59,400 2,406
- - LHS Group, Inc. 46,500 2,401
- - Mirage Resorts, Inc. 160,500 2,397
Solutia, Inc. 107,013 2,394
Hibernia Corp. Class A 137,583 2,391
Raychem Corp. 73,930 2,389
IBP, Inc. 82,000 2,388
American Financial Group, Inc. 54,300 2,382
Transocean Offshore, Inc. 88,700 2,378
- - Uniphase Corp. 34,200 2,373
Pulitzer Publishing Co. 27,366 2,371
Sovereign Bancorp, Inc. 166,027 2,366
Reader's Digest Assn., Inc.
Class A 93,506 2,355
Compass Bancshares Inc. 61,816 2,353
Enron Oil & Gas Co. 136,324 2,352
- - Lear Corp. 61,000 2,349
- - MedImmune Inc. 23,600 2,347
- - Lycos, Inc. 42,202 2,345
The BFGoodrich Co. 65,260 2,341
- - Waters Corp. 26,700 2,330
- - American Standard Cos., Inc. 64,800 2,329
- - Total Renal Care Holdings, Inc. 78,369 2,317
Johns Manville Corp. 140,900 2,316
Transatlantic Holdings, Inc. 30,600 2,312
Conectiv, Inc. 94,100 2,305
Hercules, Inc. 84,081 2,302
Commerce Bancshares, Inc. 54,012 2,296
- - Apollo Group, Inc. Class A 67,712 2,294
- - Metromedia Fiber Network, Inc. 68,300 2,288
- - Dollar Tree Stores, Inc. 52,212 2,281
ProLogis Trust REIT 109,817 2,279
Whitman Corp. 89,625 2,274
- - Continental Airlines, Inc. Class B 67,700 2,268
Wesco Financial Corp. 6,392 2,268
Comdisco, Inc. 134,150 2,264
- - E*TRADE Group, Inc. 48,000 2,246
- - Arrow Electronics, Inc. 83,998 2,242
MidAmerican Energy Co. 83,400 2,241
USG Corp. 44,000 2,241
Darden Restaurants Inc. 123,293 2,219
Apache Corp. 87,469 2,214
Consolidated Papers 80,300 2,208
Brunswick Corp. 89,098 2,205
IPALCO Enterprises, Inc. 39,750 2,204
A. H. Belo Corp. Class A 110,412 2,201
Hormel Foods Corp. 67,200 2,201
Astoria Financial Corp. 47,995 2,196
McCormick & Co., Inc. 64,917 2,195
IMC Global Inc. 102,406 2,189
- - Sepracor Inc. 25,000 2,189
- - Silicon Graphics, Inc. 169,138 2,178
Interstate Energy Corp. 67,482 2,176
- - Northwest Airlines Corp. Class A 85,100 2,175
Thomas & Betts Corp. 50,027 2,167
Diebold, Inc. 60,696 2,166
Protective Life Corp. 54,400 2,166
The Stanley Works 77,862 2,161
First Virginia Banks, Inc. 45,760 2,151
- - Mohawk Industries, Inc. 50,900 2,141
Mercury General Corp. 48,700 2,134
- - Macromedia 63,123 2,126
Armstrong World Industries Inc. 35,220 2,124
- - CalEnergy Co. 61,100 2,119
Flowers Industries, Inc. 88,125 2,109
- - Nova Corp. (Georgia) 60,809 2,109
Great Lakes Chemical Corp. 52,479 2,099
- - Century Communications Corp.
Class A 66,100 2,097
Puget Sound Energy Inc. 74,863 2,087
- - Lincare Holdings, Inc. 51,100 2,073
- - Waddell & Reed Financial, Inc.
Class B 89,001 2,069
OGE Energy Corp. 71,300 2,068
CCB Financial Corp. 36,166 2,061
Herman Miller, Inc. 76,616 2,059
SEI Corp. 20,700 2,057
Avnet, Inc. 33,958 2,054
- - St. Jude Medical, Inc. 74,143 2,053
Meditrust Corp. 135,539 2,050
Southdown, Inc. 34,336 2,032
Kimco Realty Corp. REIT 50,950 2,022
Mallinckrodt, Inc. 65,592 2,021
- - LSI Logic Corp. 124,845 2,013
Hannaford Brothers Co. 37,900 2,009
- - Rational Software Corp. 75,763 2,008
Union Pacific Resources
Group, Inc. 221,458 2,007
- - Acxiom Corp. 64,678 2,005
- - U.S. Foodservice 40,800 1,999
- - Premier Parks Inc. 65,900 1,993
Comair Holdings, Inc. 58,813 1,985
- - Williams Sonoma, Inc. 49,016 1,976
</TABLE>
13
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Express Scripts 29,400 $ 1,973
Case Corp. 90,326 1,970
- - Jones Apparel Group, Inc. 89,000 1,964
- - National Semiconductor Corp. 145,468 1,964
The Timber Co. 82,398 1,962
- - International Network Services 29,500 1,962
American National Insurance Co. 23,700 1,961
- - Learning Co., Inc. 75,507 1,958
The St. Joe Co. 83,400 1,955
- - Consolidated Stores, Inc. 96,760 1,953
Bowater Inc. 47,100 1,952
Avalonbay Communities, Inc.REIT 56,763 1,944
- - Rambus Inc. 20,200 1,944
Homestake Mining Co. 211,493 1,943
Hubbell Inc. Class B 51,000 1,938
Stewart Enterprises, Inc. Class A 86,900 1,934
Western Resources, Inc. 57,978 1,928
Ultramar Diamond
Shamrock Corp. 79,368 1,925
- - King World Productions, Inc. 65,072 1,916
Cordant Technologies, Inc. 51,000 1,913
Premark International, Inc. 55,167 1,910
Nationwide Financial
Services, Inc. 36,900 1,907
Associated Banc-Corp. 55,708 1,905
- - Excite, Inc. 45,300 1,905
- - PRIMEDIA Inc. 162,000 1,904
- - VISIX Inc. 21,771 1,904
TCF Financial Corp. 78,662 1,903
- - Gartner Group, Inc. Class A 89,300 1,898
- - AnnTaylor Stores Corp. 48,100 1,897
Cummins Engine Co., Inc. 53,352 1,894
- - Electronics for Imaging, Inc. 47,200 1,888
- - Sterling Software, Inc. 69,700 1,886
- - Snyder Communications, Inc. 55,749 1,882
- - Fox Entertainment Group, Inc.
Class A 74,500 1,876
Nabisco Holdings Corp. Class A 45,200 1,876
- - MiniMed, Inc. 17,900 1,875
- - QLogic Corp. 14,327 1,875
- - Knoll, Inc. 63,200 1,872
- - Young & Rubicam Inc. 57,800 1,871
- - Citizens Utilities Co. Class B 230,152 1,870
- - Devry, Inc. 61,000 1,868
Spieker Properties, Inc. REIT 53,900 1,866
- - i2 Technologies, Inc. 61,400 1,865
Liz Claiborne, Inc. 58,887 1,859
- - Hollywood Entertainment Corp. 68,029 1,854
American Bankers Insurance
Group 38,300 1,853
- - Northeast Utilities 115,300 1,845
- - Micro Warehouse Inc. 54,400 1,839
Wilmington Trust Corp. 29,700 1,830
- - CDW Computer Centers, Inc. 19,050 1,828
Crane Co. 60,483 1,826
- - BroadVision, Inc. 56,800 1,818
Bemis Co., Inc. 47,829 1,815
Harte-Hanks, Inc. 63,700 1,815
Adolph Coors Co. Class B 32,136 1,814
Snap-On Inc. 52,018 1,811
NICOR, Inc. 42,552 1,798
20th Century Industries 77,300 1,792
Meredith Corp. 47,300 1,791
USX-U.S. Steel Group 77,887 1,791
- - Valassis Communications, Inc. 34,700 1,791
Clayton Homes Inc. 129,595 1,790
- - Plantronics, Inc. 20,800 1,789
Nalco Chemical Co. 57,621 1,786
- - CSG Systems International, Inc. 22,600 1,785
Manpower Inc. 70,700 1,781
- - FMC Corp. 31,737 1,777
Travelers Property Casualty Corp. 57,100 1,770
Louisiana-Pacific Corp. 96,564 1,768
- - Adaptec, Inc. 100,200 1,760
- - Affiliated Computer Services, Inc.
Class A 39,081 1,759
- - Leucadia National Corp. 55,800 1,758
Autodesk, Inc. 41,043 1,752
BEC Energy 42,400 1,746
- - Tech Data Corp. 43,322 1,744
Duke Realty Investments, Inc.
REIT 74,869 1,741
New Plan Excel Realty Trust 78,329 1,738
UtiliCorp United, Inc. 47,300 1,735
- - McLeodUSA, Inc. Class A 55,300 1,728
FirstMerit Corp. 64,100 1,723
- - Iomega Corp. 235,100 1,719
- - Outback Steakhouse, Inc. 43,100 1,719
Centura Banks, Inc. 23,100 1,718
Everest Reinsurance
Holdings, Inc. 44,100 1,717
Interstate Bakeries Corp. 64,700 1,711
Pacific Century Financial Corp. 70,200 1,711
Boston Properties, Inc. REIT 56,000 1,708
City National Corp. 40,987 1,706
- - STERIS Corp. 59,798 1,701
- - Brinker International, Inc. 58,429 1,687
Cabot Corp. 60,368 1,687
Owens Corning 47,581 1,686
Ryder System, Inc. 64,766 1,684
- - Navistar International Corp. 59,017 1,682
- - Crown Castle International Corp. 71,400 1,678
John Wiley & Sons Class A 34,600 1,672
- - Borders Group, Inc. 66,900 1,668
Keystone Financial, Inc. 45,043 1,667
- - Microchip Technology, Inc. 45,050 1,667
AMB Property Corp. 75,500 1,661
Rouse Co. REIT 60,400 1,661
COMSAT Corp. 46,000 1,656
- - Cree Research, Inc. 34,548 1,654
- - Weatherford International, Inc. 85,361 1,654
- - FORE Systems, Inc. 89,700 1,643
National Community Bancorp 87,108 1,639
Hertz Corp. Class A 35,900 1,638
- - Policy Management
Systems Corp. 32,440 1,638
Kerr-McGee Corp. 42,753 1,635
Murphy Oil Corp. 39,600 1,634
GATX Corp. 43,100 1,632
- - Metro-Goldwyn-Mayer Inc. 123,784 1,632
Ross Stores, Inc. 41,412 1,631
Kansas City Power & Light Co. 55,000 1,629
</TABLE>
14
<PAGE> 59
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
HRPT Properties Trust REIT 115,600 $ 1,626
- - Thermo Instrument Systems, Inc. 107,772 1,623
- - United Rentals, Inc. 48,907 1,620
First American Financial Corp. 50,400 1,619
One Valley Bancorp of
West Virginia Inc. 49,250 1,619
U.S. Industries, Inc. 86,850 1,618
Illinova Corp. 64,300 1,608
Sotheby's Holdings Class A 50,200 1,606
Scientific-Atlanta, Inc. 70,292 1,604
Tiffany & Co. 30,768 1,596
- - Westpoint Stevens, Inc. 50,486 1,593
- - Agouron Pharmaceuticals, Inc. 27,100 1,592
Erie Indemnity Co. Class A 50,800 1,588
- - Data Broadcasting Corp. 88,800 1,587
Reinsurance Group of
America, Inc. 22,650 1,586
- - Mercury Interactive Corp. 25,000 1,581
Airborne Freight Corp. 43,680 1,575
Dole Food Co. 52,500 1,575
Mack-Cali Realty Corp. REIT 50,800 1,568
- - SMART Modular
Technologies, Inc. 56,400 1,565
TCA Cable TV, Inc. 43,800 1,563
Peoples Bank Bridgeport 56,550 1,562
- - Henry Schein, Inc. 34,879 1,561
Peoples Heritage Financial
Group Inc. 77,982 1,560
CNF Transportation, Inc. 41,499 1,559
National Fuel Gas Co. 34,500 1,559
Apartment Investment &
Management Co. Class A REIT 41,900 1,558
- - Excel Switching Corp. 41,000 1,558
- - ONSALE, Inc. 38,900 1,558
Legg Mason Inc. 49,300 1,556
Reynolds & Reynolds Class A 67,700 1,553
- - Suiza Foods Corp. 30,400 1,549
RPM Inc. (Ohio) 96,662 1,547
- - Metzler Group, Inc. 31,750 1,546
HUBCO, Inc. 51,119 1,540
- - Noble Drilling Corp. 118,800 1,537
- - Heftel Broadcasting Corp. 31,100 1,532
- - R & B Falcon Corp. 200,963 1,532
Freeport-McMoRan Copper &
Gold Inc. Class B 146,651 1,531
- - BJ's Wholesale Club, Inc. 33,000 1,528
Boise Cascade Corp. 49,156 1,524
Fremont General Corp. 61,594 1,524
Shared Medical Systems Corp. 30,563 1,524
- - Vlasic Foods International, Inc. 63,669 1,516
CarrAmerica Realty Corp. REIT 63,100 1,514
- - American Management
Systems, Inc. 37,700 1,508
- - Payless ShoeSource, Inc. 31,744 1,504
- - Universal Health Services Class B 28,900 1,499
- - Sodexho Marriott Services, Inc. 54,046 1,496
Teleflex Inc. 32,726 1,493
Financial Security Assurance
Holdings Ltd. 27,500 1,492
- - Novellus Systems, Inc. 30,000 1,485
- - Covance, Inc. 50,813 1,480
Universal Foods Corp. 53,814 1,477
- - Vanguard Cellular Systems, Inc.
Class A 57,213 1,477
Dynegy,Inc. 134,800 1,474
ICN Pharmaceuticals, Inc. 65,091 1,473
- - Informix Corp. 149,200 1,473
Trinity Industries, Inc. 38,250 1,473
Applied Power, Inc. 38,905 1,469
CNB Bancshares, Inc. 31,448 1,466
United Asset Management Corp. 56,400 1,466
Fastenal Co. 33,300 1,465
Valspar Corp. 39,200 1,463
- - Micron Electronics, Inc. 84,400 1,461
York International Corp. 35,800 1,461
Santa Fe International Corp. 99,800 1,460
Granite Construction Co. 43,350 1,455
Weis Markets, Inc. 37,400 1,454
Trustmark Corp. 63,900 1,446
- - ACNielson Corp. 51,155 1,445
- - Envoy Corp. 24,800 1,445
National Data Corp. 29,611 1,442
Provident Financial Group, Inc. 38,150 1,440
KN Energy, Inc. 39,506 1,437
- - Atlas Air, Inc. 29,300 1,434
Dean Foods Corp. 35,067 1,431
- - PLATINUM technology, Inc. 74,800 1,431
- - Orbital Sciences Corp. 32,300 1,429
- - ISS Group, Inc. 25,900 1,425
- - Acclaim Entertainment Inc. 116,000 1,421
Liberty Property Trust REIT 57,700 1,421
Minnesota Power, Inc. 32,300 1,421
- - PathoGenesis Corp. 24,500 1,421
- - Howmet International Inc. 88,000 1,419
- - EarthLink Network, Inc. 24,800 1,414
The McClatchy Co. Class A 39,975 1,414
- - O'Reilly Automotive, Inc. 29,900 1,413
- - Harrah's Entertainment, Inc. 89,916 1,411
Cornerstone Properties, Inc. REIT 90,200 1,409
- - Modis Professional Services Inc. 97,153 1,409
Alpharma, Inc. Class A 39,800 1,405
- - PSS World Medical, Inc. 61,100 1,405
- - MindSpring Enterprises, Inc. 23,000 1,404
- - VeriSign, Inc. 23,700 1,401
Metris Cos., Inc. 27,823 1,400
- - SCM Microsystems,Inc. 19,700 1,400
- - SFX Entertainment, Inc. 25,500 1,399
The Warnaco Group, Inc. Class A 55,392 1,399
- - Trigon Healthcare, Inc. 37,400 1,395
Regis Corp. 34,794 1,392
Questar Corp. 71,770 1,391
- - Global Marine, Inc. 150,700 1,385
- - Pediatrix Medical Group, Inc. 23,100 1,385
- - MGM Grand, Inc. 50,878 1,380
- - Ziff-Davis Inc. 87,300 1,380
Federated Investors, Inc. 76,100 1,379
National Service Industries, Inc. 36,293 1,379
- - Verity, Inc. 52,000 1,378
- - Chris-Craft Industries, Inc. 28,577 1,377
Healthcare Realty Trust Inc. 61,620 1,375
WestAmerica Bancorporation 37,300 1,371
</TABLE>
15
<PAGE> 60
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cooper Tire & Rubber Co. 66,955 $ 1,368
Beckman Coulter, Inc. 25,168 1,365
First Brands Corp. 34,600 1,365
Central Newspapers Inc. 19,050 1,361
FelCor Lodging Trust, Inc. 59,029 1,361
- - Pixar, Inc. 38,800 1,358
Commercial Federal Corp. 58,483 1,356
Carlisle Co., Inc. 26,254 1,355
- - Advanced Fibre
Communications, Inc. 123,800 1,354
The PMI Group Inc. 27,400 1,353
- - SLI, Inc. 48,650 1,350
- - Infoseek Corp. 27,300 1,348
Valley National Bancorp 47,782 1,347
Hartford Life, Inc. 23,100 1,346
- - Blyth Industries, Inc. 43,000 1,344
- - Ciber, Inc. 48,100 1,344
Millennium Chemicals, Inc. 67,582 1,343
Pentair, Inc. 33,700 1,342
- - DSP Communications, Inc. 87,600 1,341
- - Liposome Co., Inc. 86,861 1,341
Crompton & Knowles Corp. 64,751 1,340
BancWest Corp. 27,900 1,339
- - InterVoice, Inc. 38,813 1,339
- - Winstar Communications, Inc. 34,300 1,338
- - NCO Group, Inc. 29,700 1,337
- - Catellus Development Corp. 93,300 1,335
- - Atmel Corp. 87,100 1,334
- - American Eagle Outfitters, Inc. 20,000 1,333
Old National Bancorp 23,899 1,332
- - Linens 'n Things, Inc. 33,600 1,331
Tektronix, Inc. 44,280 1,331
- - CIENA Corp. 90,900 1,329
ENSCO International, Inc. 124,024 1,326
Highwood Properties, Inc. REIT 51,500 1,326
- - PSINet, Inc. 63,500 1,326
Cousins Properties, Inc. REIT 40,986 1,322
Alberto-Culver Co. Class B 49,446 1,320
MCN Energy Group Inc. 69,100 1,317
United Bankshares, Inc. 49,650 1,316
- - Security First Technologies Corp. 42,964 1,310
AVX Corp. 76,900 1,302
CKE Restaurants Inc. 44,198 1,301
HON Industries, Inc. 54,300 1,300
- - OfficeMax, Inc. 107,250 1,300
Reliance Group Holdings 100,986 1,300
- - Republic Services, Inc. Class A 70,400 1,298
Lennar Corp. 51,300 1,295
McDermott International, Inc. 52,307 1,291
Pulte Corp. 46,416 1,291
- - Jones Intercable Inc. 36,200 1,290
- - SEQUUS Pharmaceuticals, Inc. 63,700 1,290
- - Sylvan Learning Systems, Inc. 42,300 1,290
Hollinger International, Inc. 92,500 1,289
- - IVAX Corp. 103,600 1,289
- - Concord Communications, Inc. 22,700 1,288
- - Andrx Corp. 25,100 1,286
Aliant Communications, Inc. 31,400 1,283
Noble Affiliates, Inc. 52,064 1,282
Longs Drug Stores, Inc. 33,990 1,275
Cracker Barrel Old Country
Stores, Inc. 54,554 1,272
- - Patterson Dental Co. 29,150 1,268
Sealed Air Corp. $ 2.00 Cvt. Pfd.
Series A 24,451 1,268
- - Bell & Howell Co. 33,500 1,267
Arden Realty Group, Inc. REIT 54,600 1,266
Houghton Mifflin Co. 26,800 1,266
Meritor Automotive, Inc. 59,766 1,266
- - Egghead.com, Inc. 60,731 1,264
- - Associated Group, Inc. 29,292 1,260
- - Sapient Corp. 22,500 1,260
- - Foundation Health Systems
Class A 105,178 1,256
- - Gentex Corp. 62,748 1,255
- - Oryx Energy Co. 93,329 1,254
U.S. Trust Corp. 16,502 1,254
- - Corrections Corp. of America 71,072 1,253
Delta & Pine Land Co. 33,873 1,253
Post Properties, Inc. REIT 32,600 1,253
Wausau-Mosinee Paper Corp. 70,824 1,253
Lubrizol Corp. 48,567 1,248
- - Whittman-Hart, Inc. 45,100 1,246
Peoples Energy Corp. 31,213 1,245
- - Andrew Corp. 75,345 1,243
- - The MONY Group Inc. 39,700 1,243
USEC Inc. 89,600 1,243
- - Ingram Micro, Inc. 35,600 1,242
UST Corp. 52,594 1,239
- - Furniture Brands International Inc. 45,400 1,237
- - Alternate Living Services, Inc. 36,100 1,236
Fulton Financial Corp. 54,933 1,236
Lyondell Chemical Co. 68,646 1,236
- - Mastech Corp. 43,100 1,234
- - ITT Educational Services, Inc. 36,200 1,231
- - Walter Industries, Inc. 80,400 1,231
- - Cabletron Systems, Inc. 146,608 1,228
MDU Resources Group, Inc. 46,600 1,226
- - Sunrise Assisted Living, Inc. 23,600 1,224
Ball Corp. 26,701 1,222
Lee Enterprises, Inc. 38,800 1,222
Lancaster Colony Corp. 37,982 1,220
- - BISYS Group, Inc. 23,600 1,218
- - Emulex Corp. 30,450 1,218
AK Steel Corp. 51,700 1,215
- - Hutchinson Technology, Inc. 34,100 1,215
- - Applied Micro Circuits Corp. 35,700 1,213
Washington Federal Inc. 45,468 1,213
C.H. Robinson Worldwide, Inc. 46,700 1,211
Harsco Corp. 39,668 1,207
- - Rayovac Corp. 45,200 1,206
DENTSPLY International Inc. 46,800 1,205
Doral Financial Corp. 54,200 1,199
Superior Telecom Inc. 25,300 1,195
- - Transaction Systems
Architects, Inc. 23,900 1,195
- - Nabors Industries, Inc. 88,000 1,194
General Growth
Properties Inc. REIT 31,500 1,193
- - Lason Holdings, Inc. 20,500 1,193
</TABLE>
16
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Aspect Development, Inc. 26,900 $ 1,192
First Midwest Bancorp 31,160 1,186
- - AmeriSource Health Corp. 18,196 1,183
- - Alleghany Corp. 6,264 1,177
- - Lamar Advertising Co. Class A 31,600 1,177
IDACORP, Inc. 32,500 1,176
- - Univision Communications Inc. 32,400 1,172
Media General, Inc. Class A 22,100 1,171
- - SkyTel Communications, Inc. 52,900 1,170
AGL Resources Inc. 50,700 1,169
Nevada Power Co. 44,948 1,169
Tidewater Inc. 50,400 1,169
- - Hanover Compressor Co. 45,300 1,164
Olin Corp. 41,100 1,164
Ohio Casualty Corp. 28,244 1,162
First Bancorp/Puerto Rico 38,450 1,161
- - Western Digital Corp. 77,000 1,160
Earthgrains Co. 37,372 1,156
- - ChoicePoint Inc. 17,887 1,154
- - Musicland Stores Corp. 77,100 1,152
- - Pharmaceutical Product
Development, Inc. 38,270 1,150
Valhi, Inc. 101,000 1,149
- - Adelphia Communications Corp.
Class A 25,100 1,148
- - International Home Foods, Inc. 67,700 1,142
- - Aurora Foods Inc. 57,600 1,141
- - Champion Enterprises, Inc. 41,669 1,141
- - Safeskin Corp. 47,300 1,141
Tootsie Roll Industries, Inc. 29,164 1,141
- - Broadcast.com, Inc. 14,900 1,140
Hussman International, Inc. 58,862 1,140
- - Cooper Cameron Corp. 46,500 1,139
- - Wang Laboratories, Inc. 40,900 1,135
Hawaiian Electric Industries Inc. 28,165 1,134
- - PETsMART, Inc. 103,052 1,134
- - RealNetworks, Inc. 31,600 1,134
Borg-Warner Automotive, Inc. 20,300 1,133
- - Spyglass, Inc. 51,500 1,133
Pittston Brink's Group 35,500 1,132
- - Papa John's International, Inc. 25,600 1,130
Rayonier Inc. 24,575 1,129
- - Ames Department Stores, Inc. 41,700 1,126
- - Biomatrix, Inc. 19,333 1,126
EG&G, Inc. 40,436 1,125
Mainstreet Financial Corp. 24,200 1,124
Ethan Allen Interiors, Inc. 27,360 1,122
- - BOK Financial Corp. 23,798 1,121
- - Newfield Exploration Co. 53,700 1,121
- - CheckFree Holdings Corp. 47,900 1,120
- - Eagle Hardware & Garden, Inc. 34,400 1,118
Kaydon Corp. 27,900 1,118
Liberty Financial Cos., Inc. 41,400 1,118
- - Whole Foods Market, Inc. 23,100 1,117
Kuhlman Corp. 29,476 1,116
Cleco Corp. 32,508 1,115
- - Smithfield Foods, Inc. 32,900 1,114
Westfield America, Inc. REIT 64,600 1,114
- - Unitrode Corp. 63,622 1,113
D. R. Horton, Inc. 48,280 1,110
- - RELTEC Corp. 50,000 1,109
- - United Payors & United
Providers, Inc. 38,850 1,107
- - Catalina Marketing Corp. 16,160 1,105
- - Black Box Corp. 29,100 1,102
Commerce Group, Inc. 31,100 1,102
- - Level One Communications 31,050 1,102
Ogden Corp. 43,945 1,101
- - Scholastic Corp. 20,500 1,099
Florida East Coast Railway Co. 31,200 1,098
- - Cambridge Technology Partners 49,600 1,097
- - Coltec Inc. 56,200 1,096
Universal Corp. 31,200 1,096
- - Consolidated Cigar Holdings Inc. 61,900 1,095
- - Barr Labs Inc. 22,800 1,094
Fleetwood Enterprises, Inc. 31,358 1,090
Arthur J. Gallagher & Co. 24,700 1,090
Polaris Industries, Inc. 27,800 1,089
- - ICG Communications, Inc. 50,594 1,088
- - Symantec Corp. 49,988 1,087
- - Wind River Systems 23,088 1,085
- - Gilead Sciences, Inc. 26,400 1,084
- - General Nutrition Cos., Inc. 66,600 1,082
- - Sonic Automotive, Inc. 31,400 1,081
- - International Specialty
Products, Inc. 79,600 1,080
- - Dendrite International, Inc. 43,200 1,079
Federal Signal Corp. 39,362 1,078
Independence Community
Bank Corp. 67,300 1,073
- - Safety-Kleen Corp. 75,929 1,073
- - Neiman Marcus Group Inc. 42,945 1,071
Millipore Corp. 37,589 1,069
Newport News Shipbuilding Inc. 31,957 1,069
Weingarten Realty
Investors REIT 23,900 1,067
Briggs & Stratton Corp. 21,354 1,065
- - ICOS Corp. 35,800 1,065
- - Quiksilver, Inc. 35,500 1,065
- - L-3 Communications
Holdings, Inc. 22,800 1,062
Worthington Industries, Inc. 84,989 1,062
Church & Dwight, Inc. 29,500 1,060
Valero Energy Corp. 49,900 1,060
- - Handleman Co. 75,261 1,058
- - W.R. Grace & Co. 67,354 1,057
Horace Mann Educators Corp. 37,100 1,057
- - Playtex Products, Inc. 65,800 1,057
Bowne & Co., Inc. 59,100 1,056
Kaufman & Broad Home Corp. 36,742 1,056
- - ThermoQuest Corp. 81,600 1,056
Cullen/Frost Bankers, Inc. 19,200 1,054
- - 99 Cents Only Stores 21,375 1,050
Unifi, Inc. 53,650 1,050
Rochester Gas and Electric Corp. 33,552 1,049
Fund American Enterprise
Holding Co. 7,485 1,048
- - Earthshell Corp. 87,700 1,047
Washington Gas Light Corp. 38,598 1,047
- - MIPS Technologies, Inc. 32,700 1,046
- - Cybex Computer Products Corp. 35,550 1,044
Kelly Services, Inc. Class A 32,837 1,043
- - Speedway Motorsports, Inc. 36,600 1,043
- - IXC Communications, Inc. 31,000 1,042
The Timken Co. 55,190 1,042
</TABLE>
17
<PAGE> 62
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Smith International, Inc. 41,300 $ 1,040
Tecumseh Products Co. Class A 22,313 1,040
Sierra Pacific Resources 27,300 1,037
- - Sykes Enterprises, Inc. 34,000 1,037
True North Communications 38,600 1,037
- - Oxford Health Plan 69,600 1,035
Franchise Finance Corp. of
America REIT 43,100 1,034
- - World Access, Inc. 48,361 1,034
St. Paul Bancorp, Inc. 37,956 1,033
HSB Group Inc. 25,135 1,032
- - Swift Transportation Co., Inc. 36,800 1,032
IKON Office Solutions, Inc. 120,183 1,029
Commerce Bancorp, Inc. 19,550 1,026
- - Investment Technology
Group, Inc. 16,500 1,024
- - Zale Corp. 31,700 1,022
- - Getchell Gold Corp. 37,416 1,020
- - Footstar Inc. 40,770 1,019
- - Medical Manager Corp. 32,410 1,017
- - CD Radio Inc. 29,600 1,014
- - CompUSA, Inc. 77,600 1,014
- - Markel Corp. 5,600 1,014
- - Renal Care Group, Inc. 35,200 1,014
- - Trammell Crow Co. 36,200 1,014
- - RCN Corp. 57,300 1,013
- - United International Holdings, Inc.
Class A 52,600 1,013
- - CommScope, Inc. 60,206 1,012
- - IDX Systems Corp. 23,000 1,012
Wallace Computer Services, Inc. 38,300 1,010
- - Alaska Air Group, Inc. 22,800 1,009
Colonial BancGroup, Inc. 84,060 1,009
- - Complete Business Solutions, Inc. 29,800 1,009
ONEOK, Inc. 27,906 1,008
- - Scotts Co. 26,200 1,007
Camden Property Trust REIT 38,700 1,006
John Nuveen Co. Class A 27,100 1,006
- - Conmed Corp. 30,468 1,005
- - United Video Satellite Group, Inc. 42,500 1,004
- - Hambrecht & Quist Group 44,200 1,003
Fair Issac & Co. 21,700 1,002
- - Tower Automotive, Inc. 40,200 1,002
E.W. Blanch Holdings, Inc. 21,100 1,001
- - World Color Press, Inc. 32,900 1,001
AAR Corp. 41,900 1,000
The Times Mirror Co. 17,900 998
Albemarle Corp. 41,769 992
- - Eastern Environmental
Services, Inc. 33,500 992
- - Romac International, Inc. 44,583 992
- - UICI 40,500 992
Dallas Semiconductor Corp. 24,300 990
- - Southern Union Co. 40,632 990
Bank United Corp. Class A 25,200 989
National Computer Systems, Inc. 26,700 988
- - Wackenhut Corrections Corp. 34,500 988
Executive Risk, Inc. 17,933 985
Irvine Apartment
Communities, Inc. REIT 30,900 985
- - American Bank Note
Holographics, Inc. 56,000 980
- - Bally Total Fitness Holding Corp. 39,400 980
- - Emmis Communications, Inc. 22,600 980
Washington REIT 52,600 980
Bindly Western Industries, Inc. 19,866 978
Heller Financial, Inc. 33,300 978
Florida Rock Industries, Inc. 31,500 977
- - Ardent Software, Inc. 42,414 976
- - BJ Services Co. 62,484 976
- - Medicis Pharmaceutical Corp. 16,375 976
Piedmont Natural Gas, Inc. 27,000 975
- - Paymentech, Inc. 52,633 974
- - INSO Corp. 38,900 973
Varian Associates, Inc. 25,700 973
- - Action Performance Cos., Inc. 27,468 972
- - Cellular Communications
International Inc. 14,300 972
Michael Foods Group, Inc. 32,400 972
- - Coach USA, Inc. 28,000 971
Ruby Tuesday, Inc. 45,674 971
Inter-Tel, Inc. 41,500 970
BRE Properties Inc.
Class A REIT 39,140 969
Great Atlantic & Pacific
Tea Co., Inc. 32,701 969
- - Advantage Learning
Systems, Inc. 14,700 967
Myers Industries, Inc. 33,780 967
Enhance Financial Services
Group, Inc. 32,200 966
Foremost Corp. of America 45,800 962
- - National Instruments Corp. 28,200 962
CNA Surety Corp. 60,990 961
Pittway Corp. Class A 29,068 961
- - Proxim, Inc. 36,000 961
Lincoln Electric Holdings 43,148 960
Gerber Scientific, Inc. 40,200 957
- - Delphi Financial Group, Inc. 18,238 956
- - PEC Israel Economic Corp. 33,200 955
- - Secure Computing Corp. 50,100 955
G & K Services, Inc. 17,900 953
Hospitality Properties Trust REIT 39,500 953
- - Renters Choice, Inc. 30,000 953
Trustco Bank 31,754 953
- - Vertex Pharmaceuticals, Inc. 32,000 952
- - Visio Corp. 26,000 951
- - Interim Services, Inc. 40,590 949
Orion Capital Corp. 23,800 948
- - VideoServer, Inc. 51,600 948
- - Bethlehem Steel Corp. 113,096 947
MAF Bancorp, Inc. 35,683 946
- - Micrel, Inc. 17,200 946
Owens & Minor, Inc. Holding Co. 59,950 944
- - Department 56 Inc. 25,095 943
Chesapeake Corp. of Virginia 25,517 941
- - Avid Technology, Inc. 40,200 940
- - Tel-Save.com, Inc. 56,100 940
Bob Evans Farms, Inc. 36,000 938
- - SPS Technologies, Inc. 16,552 937
- - IDEXX Laboratories Corp. 34,800 936
Potlatch Corp. 25,396 936
Equitable Resources, Inc. 32,100 935
NACCO Industries, Inc. Class A 10,165 935
</TABLE>
18
<PAGE> 63
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
WPS Resources Corp. 26,521 $ 935
- - Circus Circus Enterprises Inc. 81,641 934
Corn Products International, Inc. 30,765 934
- - Lattice Semiconductor Corp. 20,350 934
Modine Manufacturing Co. 25,762 934
- - Meridian Gold Co. 164,100 933
- - Alliant Techsystems, Inc. 11,300 932
- - Canandaigua Brands, Inc.
Class A 16,108 931
Eastern Utilities Associates 32,971 931
- - Protection One, Inc. 108,700 931
- - GTech Holdings Corp. 36,300 930
- - Structural Dynamics
Research Corp. 46,800 930
- - Shorewood Packaging Corp. 45,300 929
- - Wall Data Inc. 38,696 929
Washington Water Power Co. 48,200 928
- - Sbarro, Inc. 35,409 927
Ruddick Corp. 40,200 925
- - Physician Reliance Network, Inc. 70,400 924
- - AmeriCredit Corp. 66,800 923
Jones Pharma, Inc. 25,300 923
- - NCI Building Systems, Inc. 32,800 923
United Dominion Realty Trust REIT 89,500 923
- - Dal-Tile International Inc. 88,900 922
- - Jacobs Engineering Group Inc. 22,600 921
Mentor Corp. 39,281 921
First Financial Bancorp 31,759 919
Elcor Corp. 28,400 918
GenCorp, Inc. 36,800 918
MacDermid, Inc. 23,461 918
- - Men's Wearhouse, Inc. 28,925 918
Precision Castparts Corp. 20,750 918
CBL & Associates
Properties, Inc. REIT 35,400 914
- - MedPartners, Inc. 173,848 913
Health Care REIT, Inc. 35,200 911
- - Louis Dreyfus Natural Gas Corp. 63,960 911
- - Ryan's Family Steak Houses, Inc. 73,615 911
- - Fresh Del Monte Produce Inc. 42,000 911
Eaton Vance Corp. 43,600 910
- - Peregrine Systems, Inc. 19,600 909
- - Sanchez Computer
Associates, Inc. 31,060 909
Westinghouse Air Brake Co. 37,200 909
- - Read Rite Corp. 61,431 908
- - Iron Mountain, Inc. 25,150 907
Claire's Stores, Inc. 44,200 906
Jack Henry & Associates 18,200 905
Webster Financial Corp. 32,968 905
Bank North Group 24,000 903
Expeditors International of
Washington, Inc. 21,500 903
- - HA-LO Industries, Inc. 24,000 903
Jefferies Group, Inc. 18,200 903
CMAC Investment Corp. 19,626 902
Chicago Title Corp. 19,192 901
- - Respironics, Inc. 44,966 901
- - Closure Medical Corp. 30,200 900
- - First Health Group Corp. 54,366 900
- - ADVO, Inc. 34,100 899
- - GeoCities 26,700 898
- - Landstar System 22,000 897
- - The Buckle, Inc. 37,300 895
- - HNC Software, Inc. 22,100 894
- - Ralcorp Holdings, Inc. 48,957 893
Alexander & Baldwin, Inc. 38,300 890
- - The SABRE Group Holdings, Inc. 20,000 890
- - Boole & Babbage Inc. 30,200 889
National Bankcorp of Alaska Inc. 26,300 888
- - Extended Stay America, Inc. 84,378 886
- - INCYTE Pharmaceuticals, Inc. 23,700 886
First Industrial Realty Trust REIT 33,000 885
- - Global Industries Ltd. 144,500 885
- - Healthcare Financial
Partners, Inc. 22,200 885
Block Drug Co. Class A 20,369 884
Eastern Enterprises 20,215 884
Sun Communities, Inc. REIT 25,400 884
Allied Capital Corp. 51,000 883
Graco, Inc. 29,947 883
- - C-Cube Microsystems, Inc. 32,500 882
- - Westwood One, Inc. 28,900 881
Community First Bankshares 41,800 880
- - LaSalle Partners Inc. 29,800 877
Raymond James Financial, Inc. 41,512 877
Clarcor Inc. 43,800 876
- - CustomTracks Corp. 81,975 876
Donaldson Co., Inc. 42,200 876
- - Foodmaker, Inc. 39,700 876
Arvin Industries, Inc. 21,000 875
Developers Diversified
Realty Corp. REIT 49,300 875
Taubman Co. REIT 63,600 875
- - Golden State Bancorp Inc. 52,543 874
Charles E. Smith Residential
Realty, Inc. REIT 27,200 874
- - Detroit Diesel Corp. 42,200 873
- - Banyan Systems, Inc. 98,200 872
Midas Inc. 28,020 872
Nielsen Media Research 48,449 872
Talbots Inc. 27,800 872
- - HMT Technology Corp. 68,000 871
Nationwide Health
Properties, Inc. 40,400 871
- - Omnipoint Corp. 93,500 871
The Pep Boys
(Manny, Moe & Jack) 55,473 870
Gaylord Entertainment Co.
Class A 28,853 869
- - Labor Ready, Inc. 44,100 868
Irwin Financial Corp. 31,900 867
- - Rexall Sundown, Inc. 61,906 867
- - Fairfield Communities, Inc. 78,300 866
John H. Harland Co. 54,687 865
Anchor Bancorp Wisconsin Inc. 36,000 864
Aptargroup Inc. 30,800 864
- - CNET, Inc. 16,200 863
- - UNOVA, Inc. 47,638 863
Alfa Corp. 35,500 861
Richfood Holdings, Inc. 41,450 860
- - Esterline Technologies Corp. 39,490 859
</TABLE>
19
<PAGE> 64
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Theragenics Corp. 51,084 $ 859
Urban Shopping Centers, Inc.
REIT 26,200 858
- - J. Ray McDermott SA 35,100 858
- - StaffMark, Inc. 38,300 857
- - Sunterra Corp. 57,150 857
American Annuity Group Inc. 37,217 856
- - Progress Software Corp. 25,350 856
Devon Energy Corp. 27,833 854
JSB Financial 15,701 854
Essex Property Trust, Inc. REIT 28,634 852
- - Fruit of the Loom, Inc. 61,666 852
Tupperware Corp. 51,682 850
- - Service Experts, Inc. 29,000 848
Jostens Inc. 32,340 847
- - Quorum Health Group, Inc. 65,500 847
First Citizens BancShares Class A 9,400 846
Del Webb Corp. 30,700 846
Park National Corp. 8,200 845
- - United Stationers, Inc. 32,500 845
Atmos Energy Corp. 26,150 843
- - Value City Department
Stores, Inc. 60,500 843
- - Engineering Animation, Inc. 15,600 842
Harman International
Industries, Inc. 22,081 842
General Binding Corp. 22,572 841
Helmerich & Payne, Inc. 43,386 841
- - Hyperion Solutions Corp. 46,730 841
- - The Petersen Cos., Inc. 24,800 840
Blount International, Inc. 33,600 838
- - CEC Entertainment Inc. 30,200 838
- - Gaylord Container Corp. 136,800 838
LTC Properties, Inc. 50,400 838
- - Medco Research, Inc. 32,200 837
Optical Coating Laboratory, Inc. 32,181 837
- - Cytec Industries, Inc. 39,354 836
Harnischfeger Industries Inc. 81,935 835
Student Loan Corp. 18,600 835
Citizens Banking Corp. 24,700 834
First Commonwealth
Financial Corp. 34,000 833
- - NEXTLINK Communications, Inc. 29,300 831
W.R. Berkley Corp. 24,350 829
- - Young Broadcasting Inc. 19,800 829
Wabash National Corp. 40,750 828
Central Parking Corp. 25,500 827
Signal Corp. 24,122 826
- - Century Business Services, Inc. 57,400 825
First Source Corp. 24,620 825
La-Z-Boy Inc. 46,300 825
- - U.S. Home Corp. 24,800 825
Chelsea GCA Realty, Inc. REIT 23,100 823
Ferro Corp. 31,600 822
AmerUs Life Holdings, Inc. 36,703 821
Health Care Properties Investors 26,700 821
Federal Realty Investment
Trust REIT 34,700 820
Pier 1 Imports Inc. 84,650 820
Battle Mountain Gold Co.
Class A 198,600 819
- - Perclose, Inc. 24,700 818
- - AnswerThink Consulting
Group, Inc. 30,400 817
- - Curative Health Services Inc. 24,400 817
JLG Industries, Inc. 52,300 817
- - American Freightways 70,704 815
Caraustar Industries, Inc. 28,500 814
Cilcorp, Inc. 13,300 814
- - Commonwealth Telephone
Enterprises, Inc. 24,300 814
Regal-Beloit Corp. 35,400 814
- - The Topps Co., Inc. 162,797 814
UMB Financial Corp. 17,748 814
United Illuminating Co. 15,800 814
- - Brightpoint, Inc. 59,100 813
Resource Bancshares
Mortgage Group, Inc. 49,100 813
Queens County Bancorp, Inc. 27,300 812
Cyprus Amax Minerals Co. 81,052 811
Investors Financial Services
Corp. 13,600 811
- - Pacific Sunwear of California 49,550 811
The Trust Co. of New Jersey 33,100 811
- - Vishay Intertechnology, Inc. 55,940 811
Witco Chemical Corp. 50,900 811
- - MICROS Systems, Inc. 24,600 809
- - Electro Scientific
Industries, Inc. 17,800 807
- - Pacific Gateway Exchange, Inc. 16,800 807
Vermont Financial Services Corp. 24,258 807
- - BA Merchant Services, Inc.
Class A 40,000 805
TNP Enterprises, Inc. 21,200 804
- - Orthodontic Centers of
America, Inc. 41,300 803
- - Rowan Cos., Inc. 80,272 803
Minerals Technologies, Inc. 19,600 802
- - SDL, Inc. 20,250 802
- - ProBusiness Services, Inc. 17,600 801
The Toro Co. 28,100 801
- - Atlantic Coast Airlines Holdings 31,900 798
- - Hayes Lemmerz International, Inc. 26,440 798
F.N.B. Corp. 28,156 795
- - Mail-Well, Inc. 69,500 795
- - Amphenol Corp. 26,300 794
United Television, Inc. 6,900 794
ASA Holdings Inc. 26,000 793
- - Chico's Fas, Inc. 33,914 793
Liberty Corp. 16,100 793
Chittenden Corp. 24,715 791
Poe & Brown, Inc. 22,650 791
Arnold Industries, Inc. 49,000 790
- - The Profit Recovery Group
International, Inc. 21,100 790
- - Xylan Corp. 43,600 790
The Standard Register Co. 25,447 787
LNR Property Corp. 39,400 786
Staten Island Bancorp, Inc. 39,300 784
Carter-Wallace, Inc. 39,900 783
- - ESSEF Corp. 40,656 783
- - On Assignment, Inc. 22,700 783
</TABLE>
20
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Quest Diagnostics, Inc. 43,956 $ 783
- - Yellow Corp. 40,947 783
- - Midway Games Inc. 71,066 782
- - Zebra Technologies Class A 27,200 782
- - Littelfuse, Inc. 40,500 780
Patriot American
Hospitality, Inc. REIT 129,947 780
- - Shopko Stores, Inc. 23,445 780
- - Wisconsin Central
Transportation Corp. 45,400 780
- - STAR Telecommunications, Inc. 63,915 779
Storage USA, Inc. REIT 24,100 779
- - MedQuist, Inc. 19,700 778
Republic Security Financial Corp. 64,168 778
- - Twinlab Corp. 59,300 778
- - Anixter International Inc. 38,200 776
- - ETEC Systems, Inc. 19,400 776
- - Jan Bell Marketing Inc. 120,500 776
The Macerich Co. REIT 30,300 776
International Multifoods Corp. 29,981 774
Reckson Associates Realty
Corp. REIT 34,900 774
- - Sinclair Broadcast Group, Inc. 39,500 773
Sky Financial Group, Inc. 29,224 773
- - Syntel, Inc. 68,350 773
Capital Re Corp. 38,500 772
- - Eagle USA Airfreight, Inc. 31,500 772
- - Photronics Labs Inc. 32,204 772
- - Syncor International Corp. 28,300 771
- - Cerner Corp. 28,770 770
- - DoubleClick Inc. 17,300 770
Barnes Group, Inc. 26,100 767
- - CHS Electronics, Inc. 45,300 767
- - Aspect Telecommunications
Corp. 44,400 766
Coca-Cola Bottling Co. 13,300 765
Commonwealth Energy Systems 18,900 765
- - Safeguard Scientifics, Inc. 27,894 765
Bandag, Inc. 19,138 764
Prentiss Properties Trust REIT 34,200 763
St. John Knits, Inc. 29,300 762
- - Abacus Direct Corp. 16,700 760
Pioneer Natural Resources Co.86,700 759
- - Pilgrim America Cap Corp. 30,300 758
- - Hyperion Telecommunications,
Inc. Class A 50,000 756
Whitney Holdings 20,170 756
Southwest Gas Corp. 28,100 755
- - Tekelec 45,600 755
- - Burr-Brown Corp. 32,175 754
- - Carriage Services, Inc. 26,500 754
- - 24/7 Media, Inc. 26,900 753
OM Group, Inc. 20,600 752
- - Sonic Corp. 30,225 752
Coachmen Industries, Inc. 28,596 751
- - SM&A Corp. 39,500 751
- - Valence Technology 103,400 750
Centex Construction
Products,Inc. 18,400 748
R.H. Donnelley Corp. 51,342 748
- - Venator Group, Inc. 116,092 747
Pogo Producing Co. 57,400 746
First Western Bancorp 23,283 745
- - ArthroCare Corp. 34,200 744
- - Santa Fe Energy Resources, Inc. 100,862 744
Manufactured Home Communities, Inc. REIT 29,600 742
JDN Realty Corp. REIT 34,350 741
Juno Lighting, Inc. 31,700 741
Orange & Rockland Utilities, Inc. 13,000 741
Realty Income Corp. REIT 29,800 741
- - Scios, Inc. 71,400 741
Nordson Corp. 14,400 740
Comcast Corp. Class A 12,860 739
MeriStar Hospitality Corp. 39,800 739
PXRE Corp. 29,488 739
Parkway Properties Inc. REIT 23,650 739
Public Service Co. of
New Mexico 36,180 739
- - Sawtek Inc. 42,200 739
- - Sequa Corp. Class A 12,344 739
- - Big Flower Holdings, Inc. 33,400 737
NAC Re Corp. 15,700 737
- - Building One Services Corp. 35,200 735
Fidelity National Financial, Inc. 24,090 735
- - Veterinary Centers of
America, Inc. 36,860 735
Werner Enterprises, Inc. 41,550 735
- - FileNet Corp. 63,900 733
- - PanAmSat Corp. 18,830 733
- - Insituform Technologies Class A 50,500 732
North Carolina Natural Gas Corp. 22,050 732
- - Varco International, Inc. 94,444 732
Aeroquip-Vickers Inc. 24,433 731
LandAmerica Financial Group, Inc. 13,100 731
HCC Insurance Holdings, Inc. 41,400 730
Farmer Brothers, Inc. 3,400 728
- - Columbia Sportswear Co. 43,100 727
Ethyl Corp. 125,030 727
Pioneer Group, Inc. 36,800 727
- - Stone Energy Corp. 25,300 727
- - Metamor Worldwide, Inc. 29,025 726
- - Reebok International Ltd. 48,808 726
- - Advance Paradigm, Inc. 20,700 725
- - Personnel Group of
America, Inc. 41,404 725
Chemed Corp. 21,600 724
- - Consolidated Freightways
Corp. 45,599 724
- - Playboy Enterprises Inc. Class B 34,600 724
SIG Corp. 20,300 724
- - Affiliated Managers Group, Inc. 24,200 723
- - IT Group, Inc. 64,985 723
- - SpaceLabs Medical, Inc. 31,439 723
- - Toll Brothers, Inc. 32,000 722
- - Cellstar Corp. 105,900 721
Excel Industries, Inc. 41,200 721
- - Catalytica, Inc. 39,900 718
</TABLE>
21
<PAGE> 66
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Storage Trust Realty REIT 30,700 $ 718
Banta Corp. 26,200 717
Thor Industries, Inc. 28,100 717
United Dominion Industries Ltd. 35,200 717
- - Aetrium, Inc. 65,100 716
Home Properties of New York, Inc. REIT 27,800 716
Tredegar Industries Inc. 31,800 716
Chateau Communities, Inc. REIT 24,400 715
- - Data General Corp. 43,526 715
The Stride Rite Corp. 81,726 715
- - Western Wireless Corp. Class A 32,500 715
- - Ventas, Inc. 58,563 714
- - Greyhound Lines, Inc. 120,100 713
- - Synetic, Inc. 16,200 713
Weeks Corp. REIT 25,300 713
Alliance Bancorp Inc. 36,299 710
- - Boise Cascade Office Products Corp. 52,624 710
- - ParkerVision, Inc. 30,200 710
- - BEA Systems, Inc. 57,900 709
Burlington Coat Factory
Warehouse Corp. 43,410 708
- - Affymetrix, Inc. 29,000 707
State Auto Financial Corp. 57,100 707
- - Credit Acceptance Corp. 96,500 706
- - URS Corp. 30,200 706
- - Acceptance Insurance Cos. Inc. 34,800 705
EVEREN Capital Corp. 31,000 705
- - NFO Worldwide, Inc. 61,278 705
National Presto Industries, Inc. 16,537 705
- - Dave & Busters, Inc. 30,532 704
Dexter Corp. 22,400 704
MascoTech Inc. 41,115 704
Polaroid Corp. 37,658 704
Lilly Industries Inc. Class A 35,268 703
AREA Bancshares Corp. 26,745 702
- - Beringer Wine Estates Holdings, Inc. 15,700 702
Standard Pacific Corp. 49,700 702
Timberline Software Corp. 51,053 702
BancorpSouth, Inc. 38,800 701
- - Maxxam Inc. 12,200 700
- - Fairchild Corp. 44,401 699
- - Global Industrial Technologies, Inc. 65,391 699
Philadelphia Suburban Corp. 23,600 698
- - Intermedia Communications Inc. 40,400 697
Harbor Florida Bancshares, Inc. 62,179 696
Hilb, Rogal and Hamilton Co. 35,000 696
NCH Corp. 11,700 696
- - QRS Corp. 14,500 696
- - UCAR International, Inc. 39,100 696
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 50,600 696
Wicor, Inc. 31,900 696
Empire District Electric Co. 28,100 695
- - General Semiconductor, Inc. 84,889 695
Invacare Corp. 28,957 695
Koger Equity, Inc. REIT 40,400 694
Colonial Gas Co. 19,800 691
Longview Fibre Co. 59,730 691
Northwest Bancorp, Inc. 70,900 691
- - WetSeal, Inc. Class A 22,900 691
- - Human Genome Sciences, Inc. 19,400 690
Watsco, Inc. 41,200 690
- - Choice Hotel International, Inc. 50,341 689
- - Dionex Corp. 18,800 689
Black Hills Corp. 26,100 688
- - Mapics Inc. 41,700 688
Baldor Electric Co. 33,940 687
- - IHOP Corp. 17,200 687
- - Andrea Radio Corp. 69,500 686
- - Bel Fuse, Inc.-Class A 17,150 686
- - Chirex, Inc. 32,100 686
P.H. Glatfelter Co. 55,400 686
- - ITC DeltaCom, Inc. 45,000 686
- - ISIS Pharmaceuticals, Inc. 53,026 686
Diagnostic Products Corp. 22,023 685
Cabot Oil & Gas Corp. Class A 45,600 684
- - Hearst-Argyle Television Inc. 20,700 683
PennzEnergy Co. 41,814 682
- - Pharmaceutical Markets 47,400 681
Prime Retail, Inc. REIT 69,400 681
- - American Oncology
Resources, Inc. 46,700 680
Corus Bankshares Inc. 21,100 680
Forest City Enterprise Class A 25,900 680
Kimball International, Inc.
Class B 35,800 680
Carpenter Technology Corp. 20,000 679
- - Insignia Financial Group, Inc. 56,000 679
CFSB Bancorp, Inc. 27,780 677
- - KEMET Corp. 60,000 675
- - Thermo Fibertek, Inc. 94,725 675
FBL Financial Group, Inc.
Class A 27,800 674
CVB Financial Corp. 29,920 673
- - Haemonetics Corp. 29,600 673
Commercial Metals Co. 24,200 672
Sterling Bancshares, Inc. 45,200 672
Churchill Downs, Inc. 20,400 671
Roslyn Bancorp, Inc. 31,200 671
- - Mueller Industries Inc. 32,968 670
- - Acuson Corp. 44,912 668
- - Algos Pharmaceutical Corp. 25,700 668
Authentic Fitness Corp. 36,600 668
- - Avis Rent A Car, Inc. 27,600 668
- - First Federal Financial Corp. 37,368 668
- - Vencor, Inc. 148,363 668
- - Ben & Jerry's Homemade,
Inc. Class A 29,800 667
Computer Task Group, Inc. 24,592 667
- - Quickturn Design Systems, Inc. 46,600 667
- - Agribrands International, Inc. 22,211 666
Air Express International Corp. 30,600 666
HEICO Corp. 21,108 666
Life USA Holding, Inc. 51,700 666
- - Bright Horizons Family
Solutions, Inc. 24,600 664
- - Computer Horizons Corp. 24,944 664
</TABLE>
22
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<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Vistana, Inc. 47,400 $ 664
- - Southland Corp. 347,600 663
- - The Marquee Group, Inc. 147,100 662
US Bancorp, Inc. 33,300 662
- - American Classic Voyager Co. 37,500 661
- - Dollar Thrifty Automotive
Group, Inc. 51,200 659
Roadway Express Inc. 45,658 659
Texas Regional Bancshares, Inc. 26,250 658
- - Cirrus Logic 67,000 657
Chemical Finance 19,301 656
UGI Corp. Holding Co. 27,600 656
Franklin Electric, Inc. 9,700 655
Kansas City Life Insurance Co. 8,000 654
Primex Technologies, Inc. 15,380 654
Callaway Golf Co. 63,700 653
- - ImClone Systems, Inc. 72,000 653
First Coastal Bankshares, Inc. 27,700 651
Mark IV Industries, Inc. 50,089 651
American Health Properties, Inc. 31,500 650
- - Family Golf Centers, Inc. 32,900 650
Springs Industries Inc. Class A 15,665 649
Harveys Casino Resorts 23,400 648
- - Asyst Technologies, Inc. 31,744 647
Brown Group, Inc. 36,815 647
- - Avant! Corp. 40,400 646
- - Cypress Semiconductor Corp. 77,600 645
S & T Bancorp, Inc. 23,400 645
- - Vincam Group, Inc. 36,700 645
Aquarion Co. 15,700 644
Central Hudson Gas &
Electric Corp. 14,400 644
- - Integrated Health Services, Inc. 45,600 644
BSB Bancorp, Inc. 19,549 643
- - Philadelphia Consolidated
Holding Corp. 28,400 643
- - Billing Concepts Corp. 58,228 641
CCA Prison Realty Trust REIT 31,200 640
- - Mesa Air Group Inc. 81,900 640
- - Primus Telecommunications
Group, Inc. 38,800 640
- - America West Holdings Corp.
Class B 37,600 639
- - Techne 30,200 638
General Cable Corp. 31,050 637
- - PAREXEL International Corp. 25,400 635
- - ADAC Laboratories 31,700 633
Russell Corp. 31,150 633
- - Casella Waste Systems, Inc. 17,000 631
- - Precision Response Corp. 82,700 631
The Ackerley Group, Inc. 34,500 630
- - AmeriTrade Holding Corp. 20,000 630
- - hi/fn, Inc. 26,646 630
N L Industries, Inc. 44,400 630
- - Forest Oil Corp. 74,000 629
J.B. Hunt Transport
Services, Inc. 27,347 629
- - Friede Goldman
International, Inc. 55,200 628
Indiana Energy, Inc. 25,500 628
Brandywine Realty Trust REIT 35,000 626
- - Open Market, Inc. 53,600 626
TIG Holdings, Inc. 40,200 626
Shurgard Storage Centers, Inc.
Class A REIT 24,200 625
- - Adtran, Inc. 34,100 624
- - Journal Register Co. 41,600 624
New Jersey Resources Corp. 15,800 624
Enesco Group, Inc. 26,800 623
- - RWD Technologies, Inc. 28,800 623
IndyMac Mortgage Holdings, Inc. 58,900 622
- - Lands' End, Inc. 23,100 622
- - Castle & Cooke Inc. 42,000 620
Justin Industries, Inc. 47,260 620
- - Logan's Roadhouse, Inc. 26,332 619
- - Oakley, Inc. 65,200 619
- - Pennzoil-Quaker State Co. 41,814 619
- - Johnstown America Industries 47,000 617
Reliance Bancorp, Inc. 22,200 617
Harmon Industries, Inc. 26,700 616
Milacron Inc. 31,983 616
- - Rare Hospitality International Inc. 44,000 616
- - Security Dynamics
Technologies, Inc. 26,800 616
- - Data Transmission Network Corp. 21,300 615
- - Ocwen Financial Corp. 49,900 614
- - MMC Networks, Inc. 46,300 613
- - Global DirectMail Corp. 26,200 612
MMI Cos., Inc. 36,500 611
- - Optical Cable Corp. 50,400 611
- - Administaff, Inc. 24,400 610
- - DII Group, Inc. 26,514 610
- - Global Vacation Group, Inc. 70,700 610
- - Imation Corp. 34,867 610
Value Line, Inc. 15,500 610
- - CUNO Inc. 37,500 609
- - Immunomedics Inc. 147,600 609
Landauer, Inc. 18,800 609
- - Protein Design Labs 26,200 609
- - Triad Guaranty, Inc. 27,600 609
- - Michaels Stores, Inc. 33,600 608
- - American Italian Pasta Co. 23,000 607
- - Clarify, Inc. 24,800 606
Norrell Corp. 41,100 606
- - PFF Bancorp, Inc. 37,900 606
Sovran Self Storage, Inc. REIT 24,100 606
- - Verio Inc. 27,100 606
- - Bristol Hotels & Resorts, Inc. 98,775 605
Wackenhut Corp. 23,792 605
- - Rainbow Technologies, Inc. 32,100 604
A.O. Smith Corp. 24,600 604
- - Hain Food Group, Inc. 24,100 603
IDEX Corp. 24,625 603
Susquehanna Bancshares, Inc. 29,475 603
Andover Bancorp, Inc. 17,400 602
Harleysville National Corp. 15,409 601
- - S3, Inc. 81,700 601
- - Project Software &
Development, Inc. 17,900 600
- - Barrett Resources Corp. 24,900 598
Worthington Foods 31,488 598
- - Armco, Inc. 136,500 597
</TABLE>
23
<PAGE> 68
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Heartland Express, Inc. 34,092 $ 597
LSI Industries Inc. 26,618 597
Lillian Vernon Corp. 36,200 597
- - Vanstar Corp. 64,500 597
Madison Gas & Electric Co. 26,200 596
- - First Consulting Group, Inc. 29,016 595
Foamex International, Inc. 48,100 595
- - Integrated Systems, Inc. 39,800 595
- - McMoRan Exploration Co. 43,651 595
Texas Industries, Inc. 22,000 593
Connecticut Energy Corp. 19,400 592
St. Francis Capital Corp. 14,000 592
Associated Estates Realty
Corp. REIT 50,000 591
USFreightways Corp. 20,300 591
Wolverine World Wide, Inc. 44,570 591
- - Caribiner International, Inc. 64,400 588
Dreyer's Grand Ice Cream, Inc. 38,900 588
J.M. Smucker Co. Class A 23,700 587
Standard Motor Products, Inc. 24,200 587
- - MSC Industrial Direct Co., Inc.
Class A 25,900 586
- - U.S. Can Corp. 32,809 586
Apogee Enterprises, Inc. 51,900 584
- - Cadiz Inc. 76,400 583
Lance, Inc. 29,221 583
Westbanco Inc. 19,750 583
Mine Safety Appliances Co. 8,200 582
- - Diamond Technology
Partners Inc. 30,389 581
First Sentinel Bancorp, Inc. 71,545 581
Western Bancorp 19,875 581
- - Renaissance Worldwide, Inc. 94,700 580
- - Uniroyal Technology Corp. 57,300 580
- - Deltek Systems, Inc. 34,300 579
Energen Corp. 29,700 579
Peoples Bancorp, Inc. 53,283 579
- - Dura Pharmaceuticals, Inc. 38,086 578
Fingerhut Co. 37,454 578
Omega Financial Corp. 19,112 578
- - PRI Automation, Inc. 22,200 577
WSFS Financial Corp. 34,200 577
- - Beverly Enterprises, Inc. 85,379 576
- - DSP Group Inc. 27,600 576
OEA, Inc. 48,700 575
- - Volt Information Sciences Inc. 25,500 575
Flowserve Corp. 34,642 574
- - The Good Guys, Inc. 89,100 574
- - Cymer, Inc. 39,200 573
- - Ventana Medical Systems, Inc. 26,500 573
Libbey, Inc. 19,700 570
- - Aavid Thermal Technologies 33,700 569
- - LAM Research Corp. 31,939 569
- - Collins & Aikman Corp. 110,900 568
- - Input/Output, Inc. 77,500 567
- - DBT Online Inc. 22,700 566
Riggs National Corp. 27,800 566
- - DVI, Inc. 31,100 564
- - Performance Food Group Co. 20,050 564
Trinet Corporate Realty
Trust, Inc. REIT 21,100 564
Granite State Bankshares, Inc. 23,900 562
- - Health Management Systems, Inc. 71,397 562
- - Proxymed Pharmacy, Inc. 49,650 562
- - Tractor Supply Co. 23,400 562
- - Alpine Group, Inc. 37,400 561
Blair Corp. 25,300 561
- - MemberWorks, Inc. 19,000 561
- - K-V Pharmaceutical Co. Class A 27,050 560
Ocean Financial Corp. 33,700 560
- - Powerhouse Technologies, Inc. 38,600 560
ChemFirst Inc. 28,300 559
First Financial Holdings, Inc. 29,400 559
- - Marshall Industries 22,828 559
- - Sunglass Hut International, Inc. 79,826 559
- - Amkor Technology, Inc. 51,600 558
Arch Coal, Inc. 32,600 558
- - Immune Response Corp. 51,317 558
- - Strattec Security Corp. 18,605 558
Downey Financial Corp. 21,800 555
- - Cognex Corp. 27,700 554
Sunbeam Corp. 79,100 554
- - Airgas, Inc. 61,900 553
American States Water Co. 20,300 553
- - Nortek, Inc. 20,000 553
Roper Industries Inc. 27,128 553
United Wisconsin Services, Inc. 63,700 553
Guilford Mills, Inc. 33,050 552
- - Insurance Auto Auctions, Inc. 46,500 552
- - Organogenesis, Inc. 49,108 552
Pitt Des Moines, Inc. 23,000 552
- - Shoe Carnival, Inc. 49,600 552
- - Ace Cash Express, Inc. 36,750 551
- - Healthdyne Information
Enterprises, Inc. 107,600 551
Thomas Nelson, Inc. 40,850 551
Merrill Corp. 28,500 550
Oakwood Homes Corp. 36,200 550
- - DuPont Photomasks, Inc. 12,900 547
- - Polo Ralph Lauren Corp. 28,500 547
SL Green Realty Corp. REIT 25,300 547
- - Ocean Energy, Inc. 86,530 546
Casey's General Stores 41,800 545
- - GelTex Pharmaceuticals, Inc. 24,100 545
- - Giant Cement Holding, Inc. 22,000 545
- - CorVel Corp. 15,400 543
- - Silicon Valley Bancshares 31,900 543
- - Sybase, Inc. 73,120 542
United National Bancorp 23,299 542
- - Alexander's, Inc. 6,923 541
Ballard Medical Products 22,266 541
Flushing Financial Corp. 34,200 541
- - GC Cos. 12,991 541
Gainsco, Inc. 88,346 541
- - Revlon, Inc. Class A 32,900 541
- - Florida Panthers Holdings, Inc. 58,000 540
World Fuel Services Corp. 50,261 540
Ametek Aerospace
Products Inc. 24,100 538
- - Corporate Express, Inc. 103,500 537
- - Anchor Gaming 9,499 536
Brady Corp. Class A 19,900 536
</TABLE>
24
<PAGE> 69
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
IRT Property Co. REIT 53,500 $ 535
- - INSpire Insurance Solutions, Inc. 29,100 535
- - NBTY, Inc. 75,100 535
- - Tech-Sym Corp. 24,002 534
- - World Acceptance Corp. 81,800 532
ASARCO, Inc. 35,202 530
Standard Products Co. 26,000 530
Stepan Co. 19,900 530
- - Triarc Cos., Inc. Class A 33,100 530
Pinnacle Bancorp Group Inc. 18,550 529
- - American Media Class A 95,000 528
FFY Financial Corp. 15,100 527
- - Clayton Williams Energy, Inc. 52,700 527
Curtiss-Wright Corp. 13,800 526
- - Drug Emporium, Inc. 102,542 526
- - National City Bancorporation 20,040 526
National Health Investors REIT 21,300 526
- - EntreMed, Inc. 25,000 525
- - Evergreen Resources, Inc. 29,600 525
L. S. Starrett Co. Class A 15,300 525
Advanta Corp. Class A 39,539 524
- - West TeleServices Corp. 53,700 524
- - Mentor Graphics Corp. 61,500 523
CPI Corp. 19,700 522
- - Echelon International Corp., Inc. 23,363 521
McGrath RentCorp 23,700 521
XTRA Corp. 12,600 521
UniFirst Corp. 22,800 520
- - WFS Financial, Inc. 83,250 520
Frontier Insurance Group, Inc. 40,280 519
Hughes Supply, Inc. 17,739 519
- - Imperial Bancorp 31,191 519
- - IMRglobal Corp. 17,600 518
- - Microwave Power Devices, Inc. 49,900 518
- - Nautica Enterprises, Inc. 34,549 518
- - UniSource Energy Corp. 38,380 518
- - Capstar Broadcasting Corp. 22,600 517
Correctional Properties Trust
REIT 28,600 517
Olsten Corp. 70,125 517
- - PharMerica, Inc. 86,108 517
- - Mastec Inc. 24,567 516
- - Allied Holdings, Inc. 35,800 515
- - Genesis Health Ventures Inc. 58,900 515
- - Stein Mart, Inc. 73,900 515
Crown American Realty Trust
REIT 66,300 514
Greif Brothers Corp. Class A 17,600 514
- - NPC International Class A 42,600 514
- - National-Oilwell, Inc. 45,900 514
- - Symmetricom Inc. 76,900 514
Tyler Corp. 83,800 513
Bradley Real Estate, Inc.
8.40% Cvt. Pfd. 21,672 512
- - Cable Design Technologies 27,678 512
- - FLIR Systems, Inc. 22,000 512
- - Micrografx, Inc. 46,500 512
- - M&F Worldwide Corp. 50,779 511
- - Gardner Denver Inc. 34,554 510
- - Silgan Holdings, Inc. 18,300 509
- - Kaiser Aluminum &
Chemical Corp. 104,100 507
Bassett Furniture Industries, Inc. 20,963 506
Berkshire Realty Co., Inc. REIT 53,300 506
- - Interdigital Communications
Corp. 110,900 506
Morrison Health Care Inc. 26,525 506
- - Plains Resources, Inc. 35,983 506
U.S.B. Holding Co., Inc. 30,000 506
Bryn Mawr Bank Corp. 18,400 505
Crawford & Co. Class B 32,700 505
Arrow Financial Corp. 19,377 504
- - Filene's Basement Corp. 212,205 504
Kennametal, Inc. 23,700 504
- - Platinum Software Co. 39,300 504
Burnham Pacific Properties,
Inc. REIT 41,600 502
- - HF Bancorp, Inc. 30,100 502
- - Kaneb Services, Inc. 123,616 502
- - Charming Shoppes, Inc. 116,079 501
- - Coldwater Creek Inc. 36,400 501
Hancock Holding Co. 11,000 501
Litchfield Financial Corp. 26,330 500
- - Spelling Entertainment 66,700 500
Oil-Dri Corp. of America 33,275 499
- - Ortel Corp. 57,000 499
- - Right Management Consultants 33,800 499
JP Realty Inc. REIT 25,400 498
- - PJ America Inc. 27,500 498
- - Primark Corp. 18,369 498
- - Gensia Sicor Inc. 109,414 496
NUI Corp. 18,500 496
National Steel Corp. Class B 69,600 496
Pennsylvania Enterprises Inc. 19,434 496
- - Bell Industries, Inc. 43,503 495
- - TriQuint Semiconductor, Inc. 25,700 495
Connecticut Water Services, Inc. 18,300 494
- - International Telecommunication
Data Systems, Inc. 33,500 494
- - Steel Dynamics, Inc. 42,000 494
- - Comdial Corp. 55,966 493
- - Oceaneering International, Inc. 32,890 493
- - American Skiing Co. 64,000 492
Middlesex Water Co. 20,300 492
- - Burlington Industries, Inc. 44,597 491
- - Security Capital Group Inc.
Class B 36,200 491
Commercial Net Lease Realty
REIT 37,000 490
MTS Systems Corp. 36,280 490
Titan International, Inc. 51,550 490
- - Dialogic Corp. 24,900 489
- - Gulf Island Fabrication, Inc. 63,100 489
Intercargo Corp. 43,000 489
- - Mosaix Inc. 63,095 489
- - Aphton Corp. 38,239 488
General Chemical Group, Inc. 35,200 488
- - Maxicare Health Plans Inc. 90,878 488
- - Boston Beer Co., Inc. Class A 57,300 487
- - U.S. Bioscience 67,787 487
Interface, Inc. 52,400 486
- - InterVU Inc. 38,100 486
Wellman, Inc. 47,745 486
</TABLE>
25
<PAGE> 70
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Berlitz International, Inc. 16,727 $ 485
- - MeriStar Hotels & Resorts, Inc. 184,900 485
Angelica Corp. 26,000 484
Simmons First National 13,050 484
- - Rochester Medical Corp. 31,650 483
- - Digene Corp. 86,600 482
- - Hot Topic, Inc. 37,200 479
- - Ladd Furniture Inc. 29,600 479
- - NetManage, Inc. 259,963 479
EDO Corp. 57,100 478
- - Energy Conversion Devices, Inc. 65,975 478
- - Hadco Corp. 13,649 478
Berry Petroleum Class A 33,600 477
- - SanDisk Corp. 33,800 477
- - Gradall Industries, Inc. 33,100 476
- - Baldwin Technology Class A 84,200 474
F & M Bancorp 14,465 474
- - ABR Information Services, Inc. 24,100 473
- - Davel Communications, Inc. 25,943 473
- - Perrigo Co. 53,700 473
Watkins-Johnson Co. 23,200 473
Exide Corp. 29,000 471
Town & Country Trust REIT 29,300 471
R.L.I. Corp. 14,125 470
SJW Corp. 8,000 470
- - Impath, Inc. 17,700 469
- - Medialink Worldwide, Inc. 27,600 469
- - Echo Bay Mines Ltd. 267,384 468
M.A. Hanna Co. 38,050 468
Spartan Motors, Inc. 81,400 468
CPB, Inc. 26,700 467
- - Cunningham Graphics
International, Inc. 30,600 467
- - Hollywood Park, Inc. 56,200 467
- - Nashua Corp. 35,114 467
- - Standard Microsystem 59,800 467
- - Vicorp Restaurants, Inc. 30,000 465
- - Hovnanian Enterprises Class A 53,750 464
- - Palm Harbor Homes, Inc. 18,400 463
- - ABC Rail Products Corp. 37,900 462
Medford Bancorp, Inc. 27,598 462
Spartech Corp. 21,000 462
- - Phoenix International Ltd., Inc. 31,200 460
A. Schulman Inc. 20,293 460
- - Semtech Corp. 12,700 456
- - Breed Technological Inc. 55,600 455
Quaker Chemical Corp. 25,200 454
- - McWorter Technologies Inc. 19,800 453
- - Quaker City Bancorp, Inc. 28,272 452
- - System Software Associates, Inc. 64,300 452
- - Object Design, Inc. 68,000 451
- - Schuler Homes Inc. 63,300 451
Seacoast Banking Corp. of
Florida Class A 15,900 451
- - Advanced Polymer Systems 83,800 450
- - Amerco, Inc. 16,100 450
Ampco-Pittsburgh Corp. 41,335 450
Katy Industries, Inc. 25,600 450
- - Lechters Corp. 182,300 450
- - Presstek, Inc 66,000 450
Public Service Co. of
North Carolina, Inc. 17,300 450
State Financial Services Corp.
Class A 29,969 450
- - Fisher Scientific
International Inc. 22,500 449
- - GT Interactive Software Corp. 89,800 449
Oxford Industries, Inc. 15,900 449
- - Bio-Rad Laboratories, Inc.
Class A 21,353 448
- - Correctional Services Corp. 36,200 448
- - Epitope Inc. 76,100 447
- - Stillwater Mining Co. 10,900 447
Tremont Corp. 13,446 447
- - Host Marriott Services Corp. 42,984 446
- - Chemical Fabrics Corp. 21,511 445
- - NeXstar Pharmaceuticals Inc. 48,141 445
- - Microtouch Systems, Inc. 33,799 444
- - Oxigene, Inc. 41,239 443
- - ThermoLase Corp. 97,200 443
United Mobile Homes, Inc. 41,700 443
CB Bancshares Inc./Hawaii 14,300 442
- - Jenny Craig Inc. 73,600 442
- - Dril-Quip, Inc. 24,900 442
- - TransTexas Gas Corp. 168,200 442
- - Cort Business Services Corp. 18,200 441
Pittston BAX Group 39,650 441
- - Summit Technology, Inc. 100,800 441
- - Unit Corp. 105,400 441
Calgon Carbon Corp. 58,600 440
- - Information Resources, Inc. 43,235 440
- - Rio Hotel and Casino, Inc. 27,700 440
- - Daisytek International Corp. 23,100 439
- - Total Control Products, Inc. 38,400 439
- - Neurogen Corp. 25,020 438
Imperial Credit Commercial
Mortgage Investment
Corp. REIT 46,600 437
- - Pride International Inc. 61,700 436
CTG Resources Inc. 16,515 434
NYMAGIC, Inc. 20,900 434
OmniQuip International, Inc. 28,900 434
- - FSI International, Inc. 41,700 433
- - Integrated Process
Equipment Corp. 40,324 433
- - Lancer Corp. 39,285 432
- - VLSI Technology, Inc. 39,500 432
Enterprise Products
Partners L.P. 29,000 431
- - GRC International, Inc. 68,300 431
- - IDT Corp. 28,000 431
- - Prime Hospitality Corp. 40,800 431
Western Investment
Real Estate Trust REIT 36,500 431
- - NCS HealthCare, Inc. 18,100 430
- - Staff Leasing,Inc. 37,000 430
- - Sunrise Medical, Inc. 34,600 430
Applebee's International, Inc. 20,782 429
- - VWR Scientific Products Corp. 24,700 429
- - Cole National Corp. Class A 25,000 428
- - Genrad, Inc. 27,188 428
- - Basin Exploration Inc. 34,000 427
- - Franklin Electronic
Publishers, Inc. 36,300 427
</TABLE>
26
<PAGE> 71
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Cameron Ashley Building
Products 32,608 $ 426
Commercial Intertech Corp. 32,900 426
Winston Hotels, Inc. REIT 52,000 426
- - Manugistics Group, Inc. 34,000 425
- - Thermo VolTek 63,550 425
- - Miller Industries, Inc. 94,300 424
- - Pairgain Technologies, Inc. 55,100 424
- - Ascent Entertainment Group, Inc. 57,377 423
CMP Group Inc. 22,400 423
- - Catherines Stores 38,900 423
- - Navigators Group, Inc. 27,300 423
- - United Capital Corp. 24,900 423
- - Mortons Restaurant Group 22,344 422
- - Circon Corp. 27,941 419
- - New Mexico & Arizona Land Co. 29,161 419
Westcorp, Inc. 60,407 419
Atlanta Sosnoff Capital 49,700 418
Oregon Steel Mills, Inc. 35,200 418
- - Rogers Corp. 14,000 418
Belden, Inc. 19,700 417
- - ESS Technology, Inc. 83,400 417
LTV Corp. 71,700 417
Prime Bancorp Inc. 26,460 417
Sizzlers Property Investors, Inc. 47,600 417
- - Sizzler International 185,325 417
- - Forte Software, Inc. 70,800 416
- - Atwood Oceanics, Inc. 24,434 415
G & L Realty Corp. 32,196 415
Superior Uniform Group, Inc. 28,600 415
- - Aviall Inc. 35,219 414
- - Diamond Multimedia
Systems, Inc. 64,900 414
- - Newpark Resources, Inc. 60,800 414
- - Supreme International Corp. 34,500 414
Annaly Mortgage
Management Inc. REIT 50,000 413
- - Pacificare Health Systems Inc.
Class A 5,674 413
Cadmus Communications 21,800 411
- - Drexler Technology Corp. 34,189 410
- - Software Spectrum, Inc. 25,800 410
- - Checkpoint Systems, Inc. 33,074 409
- - Total-Tel USA
Communications, Inc. 24,080 409
Glenborough Realty Trust, Inc.
REIT 20,000 408
- - Nine West Group, Inc. 26,200 408
RPC Inc. 55,300 408
Gorman-Rupp Co. 24,325 407
- - Level 8 Systems Inc. 41,900 406
Cavalier Homes, Inc. 35,600 405
- - Coventry Health Care Inc. 45,955 405
- - SEACOR SMIT Inc. 8,200 405
Zenith National Insurance Corp. 17,500 405
AMCOL International Corp. 40,950 404
- - Biotechnology General 58,300 404
- - Concentra Managed Care 37,800 404
- - Goody's Family Clothing, Inc. 40,300 404
RFS Hotel Investors, Inc. REIT 33,000 404
Horizon Financial Corp. 31,898 403
- - O'Sullivan Industries
Holdings, Inc. 38,400 403
- - Parker Drilling Co. 126,300 403
- - Speedfam International, Inc. 23,500 402
- - Syms Corp. 44,700 402
- - Electroglas, Inc. 34,100 401
- - Technology Solutions Co. 37,375 401
Telxon Corp. 28,900 401
- - Integrated Device Technology Inc. 65,300 400
- - Kendle International Inc. 17,100 400
Mitchell Energy &
Development Corp. Class A 35,000 400
Virco Manufacturing Corp. 21,750 400
- - Rightchoice Managed Care, Inc. 34,700 399
- - Material Sciences Corp. 46,850 398
Puerto Rican Cement Co., Inc. 11,400 398
- - Premisys Communications, Inc. 43,200 397
- - Trans World Airlines 82,497 397
- - Electromagnetic Sciences, Inc. 28,286 396
- - Nuevo Energy Co. 34,400 396
- - Shuffle Master, Inc. 54,417 395
- - Genesys Telecommunications
Laboratories, Inc. 17,700 394
- - Sensormatic Electronics Corp. 56,838 394
Walden Residential Properties,
Inc. REIT 19,300 394
- - Ampal-American Israel Corp. 91,200 393
NBT Bancorp, Inc. 16,775 392
NewSouth Bancorp, Inc. 21,750 392
Wolohan Lumber Co. 30,178 392
Daniel Industries, Inc. 32,128 390
- - Globe Business Resources, Inc. 31,200 390
Foster Wheeler Corp. 29,354 387
Boddie-Noell Properties Inc. 37,000 386
- - Brite Voice Systems, Inc. 49,786 386
- - Marvel Enterprises Inc. 62,400 386
Ameron International Corp. 10,400 385
- - Genesis Direct, Inc. 49,300 385
- - Fritz Cos., Inc. 35,500 384
- - Park-Ohio Holdings Corp. 25,400 384
- - Clintrials Research, Inc. 97,300 383
- - Fresh America Corp. 22,800 382
- - Jackpot Enterprises, Inc. 40,500 382
A.M. Castle & Co. 25,431 381
Corporate Office Properties
Trust, Inc. 53,500 381
Mid Atlantic Realty Trust REIT 30,950 381
Cross Timbers Oil Co. 50,725 380
- - Headway Corporate
Resources, Inc. 62,100 380
Pioneer Standard
Electronics Inc. 40,500 380
- - Sun Healthcare Group, Inc. 57,896 380
- - Chalone Wine Group Ltd. 36,340 379
- - Martek Biosciences Corp. 47,400 379
Century Bancorp, Inc. Class A 20,700 378
- - Walker Interactive Systems, Inc. 56,000 378
- - Advanced Communications
Group, Inc. 90,000 377
</TABLE>
27
<PAGE> 72
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Omega Healthcare Investors,
Inc. REIT 12,500 $ 377
- - Schein Pharmaceutical, Inc. 25,900 377
Grove Property Trust REIT 31,900 375
- - Inacom Corp. 25,200 375
Rollins Truck Leasing 25,400 375
- - Argosy Gaming Co. 139,000 374
- - Carmike Cinemas, Inc. Class A 18,389 374
Hunt Corp. 35,200 374
Lindsay Manufacturing Co. 25,237 374
- - Paging Network, Inc. 79,800 374
HF Financial Corp. 20,450 373
- - Royal Appliance
Manufacturing Co. 101,286 373
Terra Industries, Inc. 60,250 373
First Savings Bancorp, Inc. 16,700 372
Trenwick Group Inc. 11,400 372
St. Mary Land & Exploration Co. 20,028 371
Tanger Factory Outlet Centers,
Inc. REIT 17,511 371
- - Hecla Mining Co. 102,200 370
AGCO Corp. 46,800 369
- - Norstan, Inc. 20,800 369
Overseas Shipholding Group Inc. 23,000 369
- - Coeur D'Alene Mines Corp. 79,600 368
Redwood Trust, Inc. 26,300 368
- - Gibson Greetings, Inc. 30,800 366
- - Bangor Hydro-Electric Co. 28,400 364
- - Scott Technologies, Inc. 22,000 364
- - Viacom Inc. Class A 4,953 364
- - Danielson Holdings Corp. 102,000 363
Met-Pro Corp. 29,045 363
- - Able Telcom Holding Corp. 63,000 362
J. Baker, Inc. 62,991 362
Fedders Corp. 62,245 362
- - Grand Casinos, Inc. 44,900 362
- - International Rectifier Corp. 36,900 360
Georgia Gulf Corp. 22,368 359
- - Konover Property Trust, Inc. REIT 50,800 359
- - Seven Seas Petroleum Inc. 53,600 358
EZCORP, Inc. 42,600 357
- - Harken Energy Corp. 184,300 357
- - Coleman Inc. 39,032 356
- - Diacrin, Inc. 59,900 356
- - Jo-Ann Stores, Inc. Class A 22,100 356
Heritage Financial Corp. 36,400 355
- - Cone Mills Corp. 63,000 354
Vintage Petroleum, Inc. 41,100 354
- - BankUnited Financial Corp. 44,100 353
- - IDEC Pharmaceuticals Corp. 7,500 353
- - Bel Fuse, Inc.- Class B 10,250 352
Nash-Finch Co. 24,700 352
- - Orange-Co, Inc. 53,100 352
- - Zebra Technologies Corp. Class B 12,240 352
- - Centigram Communications 35,500 351
- - Aqua Alliance Inc. 168,800 348
- - Banctec, Inc. 27,700 348
- - Phoenix Technologies LTD. 40,302 348
Skaneateles Bancorp, Inc. 22,200 348
Haven Bancorp, Inc. 23,100 347
- - Old Dominion Freight Line, Inc. 30,515 347
Amcast Industrial Corp. 18,096 346
- - Digi International, Inc. 31,100 346
- - Sabratek Corp. 21,100 346
Belco Oil & Gas Corp. 62,100 345
- - PhyCor, Inc. 50,700 345
- - CSK Auto Corp. 12,900 344
Chiquita Brands International, Inc. 35,935 344
- - I-STAT Corp. 45,800 344
- - SITEL Corp. 141,000 344
ABM Industries 9,900 343
First Commerce Bancshares Inc.
Class A 12,600 343
- - Immucor Inc. 39,146 343
- - Eco Soil Systems, Inc. 39,100 342
- - Powertel Inc. 25,200 342
Apartment Investment
Management Co. 9,196 340
Central Vermont Public
Service Corp. 32,800 340
- - Trimble Navigation Ltd. 46,900 340
- - National Processing, Inc. 61,600 339
- - Sequent Computer Systems, Inc. 28,100 339
- - Urocor, Inc. 53,100 339
- - Micrion Corp. 28,700 337
Donnelly Corp. 25,725 334
Giant Industries, Inc. 35,600 334
- - Lydall, Inc. 28,000 333
- - MLC Holdings, Inc. 37,300 333
Southwestern Energy Co. 44,400 333
- - Komag, Inc. 32,000 332
Laser Mortgage
Management, Inc. 61,000 332
- - Ocular Sciences, Inc. 12,400 332
- - Datastream Systems, Inc. 28,800 331
- - Rainforest Cafe, Inc. 54,475 330
- - Magellan Health Services, Inc. 39,300 329
- - Aftermarket Technology Corp. 41,700 328
- - Aztar Corp. 64,700 328
Holly Corp. 19,400 327
- - Objective Systems
Integrators, Inc. 70,800 327
- - Amresco, Inc. 37,200 326
Dames & Moore Group 25,300 326
- - Thermedics Detection Inc. 42,395 326
- - Metrocall, Inc. 74,200 325
- - Teletech Holdings Inc. 31,700 325
- - Mossimo, Inc. 32,200 324
- - The Cherry Corp. Class A 21,200 323
- - HS Resources Inc. 42,601 322
- - Mesaba Holdings, Inc. 15,600 322
Penn Virginia Corp. 17,500 322
Green Street Financial Corp. 22,700 321
- - Highlands Insurance Group 24,554 321
- - Microdyne Corp. 66,300 321
Superior Industries
International, Inc. 11,550 321
- - Itron, Inc. 44,500 320
- - Zoll Medical Corp. 36,000 320
- - Applied Graphics
Technologies, Inc. 19,360 319
- - Employee Solutions, Inc. 124,400 319
- - Halter Marine Group, Inc. 65,402 319
</TABLE>
28
<PAGE> 73
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Paul Mueller Co. 7,900 $ 319
- - Coram Healthcare Corp. 169,475 318
- - Kitty Hawk, Inc. 28,800 317
Schweitzer-Mauduit
International, Inc. 20,537 317
- - Cygnus Inc. 64,912 316
- - GST Telecommunications Inc. 48,100 316
- - Identix, Inc. 37,900 315
- - AirTran Holdings, Inc. 119,700 314
- - Invision Technologies, Inc. 50,500 312
- - RailTex, Inc. 27,606 312
- - CFI ProServices, Inc. 26,769 311
- - General DataComm
Industries, Inc. 134,400 311
- - Imperial Credit 37,126 311
Jefferson Savings Bancorp, Inc. 23,600 310
- - Lifecore Biomedical Inc. 30,200 310
Unisource Worldwide, Inc. 42,741 310
- - Cannondale Corp. 34,200 308
Tejon Ranch Co. 15,500 308
- - Lazare Kaplan International, Inc. 43,800 307
Meridian Diagnostics, Inc. 45,429 307
Alico, Inc. 17,000 306
Circle International Group, Inc. 14,900 305
- - Learning Tree International, Inc. 33,600 305
- - Sola International Inc. 17,700 305
DT Industries, Inc. 19,300 304
Hancock Fabrics, Inc. 36,300 304
- - Spiegel, Inc. Class A 52,700 303
- - SteriGenics International, Inc. 11,600 302
- - Aerial Communications Inc. 51,200 301
- - Budget Group, Inc. 18,900 300
HMN Financial, Inc. 25,550 300
- - Superior Consultant
Holdings Corp. 6,900 300
BankAtlantic Bancorp, Inc.
Class A 46,400 299
First Mutual Bancorp, Inc. 16,700 299
- - Garden Fresh Restaurant Corp. 20,800 299
Pan Pacific Retail Properties, Inc.
REIT 15,000 299
- - Daily Journal Corp. 7,800 297
- - IGEN International, Inc. 9,700 297
First International Bancorp, Inc. 34,300 296
First Union Real Estate REIT 50,300 296
- - Lone Star Steakhouse &
Saloon, Inc. 32,100 295
M/A/R/C, Inc. 27,800 295
- - Strategic Distribution, Inc. 121,078 295
Penton Media, Inc. Class A 14,534 294
Inland Steel Industries, Inc. 17,341 293
- - Station Casinos, Inc. 35,800 293
- - UniCapital Corp. 39,700 293
- - Encore Wire Corp. 31,550 292
- - Mid Atlantic Medical
Services, Inc. 29,800 292
- - Marine Drilling Co., Inc. 37,900 291
- - Wyman-Gordon Corp. 28,400 291
Birmingham Steel Corp. 69,300 290
Bush Industries, Inc. 23,283 290
- - SuperGen, Inc. 31,400 290
Guarantee Life Cos., Inc. 15,600 289
Hubbell Inc. Class A 7,600 289
- - Protocol Systems, Inc. 40,500 289
- - Transworld Healthcare Inc. 61,726 289
Alamo Group, Inc. 25,200 288
- - Seagull Energy Corp. 45,456 287
- - Brylane, Inc. 12,300 286
Fleming Cos., Inc. 27,539 286
- - Merisel, Inc. 120,400 286
American Medical
Security Group, Inc. 19,900 285
- - PICO Holdings, Inc. 21,520 285
Phillips-Van Heusen Corp. 39,700 285
- - Harbinger Corp. 35,475 284
- - Windmere-Durable Holdings Inc. 36,599 284
- - Advanced Lighting
Technologies, Inc. 29,000 283
- - Advanced Magnetics, Inc. 38,700 283
- - Christiana Cos., Inc. 14,700 283
Penford Corp. 17,691 283
- - Ultratech Stepper, Inc. 17,700 283
Watts Industries Class A 17,000 283
X-Rite Inc. 36,500 283
- - Kent Electronics Corp. 22,100 282
- - Pharmacopeia, Inc. 29,700 282
Cascade Bancorp 16,050 281
- - Kensey Nash Corp. 34,700 280
- - Lone Star Technologies, Inc. 27,700 280
- - HomeBase, Inc. 43,800 279
- - Thermotrex Corp. 32,500 278
- - Arcadia Financial Ltd. 76,500 277
Consolidated-Tomoka Land Co. 19,600 277
Hopfed Bancorp, Inc. 15,800 277
Standard Commercial
Tobacco Co. 32,371 277
- - AgriBioTech, Inc. 21,300 276
- - AXYS Pharmaceuticals, Inc. 46,845 275
- - CDI Corp. 13,600 275
- - General Cigar Holdings, Inc. 31,700 275
Greater Delaware Valley
Savings Bank 23,400 275
- - Layne Christensen Co. 37,300 275
- - Rohn Industries Inc. 80,100 275
- - Universal Electronics, Inc. 25,600 275
- - Ampex Corp. Class A 243,400 274
- - Gilman & Ciocia, Inc. 27,900 274
- - TBC Corp. 38,450 274
Crown Crafts, Inc. 44,000 272
- - Information Management
Associates, Inc. 46,300 272
- - York Research Corp. 80,600 272
- - Atrix Laboratories, Inc. 30,489 271
- - Just for Feet, Inc. 15,576 271
- - Vicor Corp. 30,119 271
- - Comfort Systems USA, Inc. 15,100 270
- - ContiFinancial Corp. 37,900 270
Dimon Inc. 36,250 270
- - Metromedia International
Group, Inc. 49,700 270
Salient 3 Communications
Class A 29,600 270
</TABLE>
29
<PAGE> 74
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - BE Avionics Inc. 12,800 $ 269
K2 Inc. 26,062 269
- - ReSound Corp. 71,800 269
- - Vantive Corp. 33,600 269
- - Exabyte Corp. 48,700 268
FirstSpartan Financial Corp. 8,900 268
Argonaut Group, Inc. 10,881 267
- - Crestline Capital Corp. 18,233 267
- - Tuboscope Inc. 32,900 267
- - S&K Famous Brands Inc. 28,700 266
Thornburg Mortgage Asset Corp. 34,700 265
- - WMS Industries, Inc. 35,900 265
- - Consolidated Graphics, Inc. 3,900 263
- - Patterson Energy, Inc. 64,800 263
- - Big Dog Holdings, Inc. 55,200 262
- - Applied Innovation Inc. 75,900 261
- - Thermo Cardiosystems Inc. 25,050 261
- - Hexcel Corp. 31,100 260
Intermet Corp. 19,900 260
Presidential Life Corp. 13,100 260
- - Todd Shipyards Corp. 54,747 260
- - Leap Wireless International, Inc. 35,703 259
- - Hologic, Inc. 21,300 258
- - National Dentex Corp. 15,400 258
Southern Peru Copper Corp. 27,300 258
- - Aspen Technologies, Inc. 17,700 257
Rouge Industries Inc. 29,200 256
- - Transkaryotic Therapies, Inc. 10,100 256
- - Activision, Inc. 22,900 255
Stewart & Stevenson
Services, Inc. 26,118 255
- - Inprise Corp. 46,200 254
- - Avatar Holding, Inc. 15,800 253
Vesta Insurance Group, Inc. 42,100 253
- - Boron, LePore & Associates, Inc. 7,300 252
- - Premiere Technologies, Inc. 34,100 251
American Residential Investment
Trust, Inc. REIT 46,500 250
- - Alliance Semiconductor Corp. 61,200 249
- - Go Video, Inc. 83,100 249
- - Physicians' Specialty Corp. 29,700 249
- - 3Dfx Interactive, Inc. 19,700 249
- - Vail Resorts Inc. 11,300 249
- - BroadBand Technologies, Inc. 84,400 248
Prime Group Realty Trust REIT 16,400 248
- - VTEL Corp. 96,938 248
EastGroup Properties, Inc. REIT 13,400 247
- - Homestead Village, Inc. 54,787 247
- - Aztec Technology Partners, Inc. 67,800 246
Waddell & Reed Financial, Inc. 10,402 246
- - Apria Healthcare 27,400 245
- - e.spire Communications, Inc. 38,500 245
HEICO Corp. Class A 10,554 244
- - Matria Healthcare, Inc. 84,700 244
- - Acmat Corp. Class A 15,700 243
- - Concentric Network Corp. 7,300 243
- - Remedy Corp. 17,400 243
Avado Brands, Inc. 29,074 242
- - FaxSav Inc. 38,900 241
H.B. Fuller Co. 5,000 241
- - Response Oncology, Inc. 59,200 241
- - Converse Inc. 101,000 240
- - The Dress Barn, Inc. 15,800 240
- - Credence Systems Corp. 12,900 239
- - Artesyn Technologies, Inc. 17,000 238
- - Intergraph Corp. 41,440 238
- - Scientific Games Holdings Corp. 12,600 238
- - Thermo TerraTech, Inc. 54,400 238
- - Hauser, Inc. 53,500 237
Patriot Bank Corp. 20,175 237
Rollins, Inc. 13,550 237
Summit Bancshares, Inc. 12,800 237
Innkeepers USA Trust REIT 20,000 236
- - Kulicke & Soffa Industries, Inc. 13,300 236
- - Petrocorp, Inc. 40,978 236
Heilig-Meyers Co. 35,157 235
- - Silicon Valley Group, Inc. 18,400 235
- - Spectranetics Corp. 83,700 235
- - infoUSA, Inc. Class B 44,616 234
- - Shiva Corp. 41,400 234
- - WHX Corp. 23,300 234
- - Mansur Industries, Inc. 22,100 232
TR Financial Corp. 5,900 232
- - Coherent, Inc. 18,600 231
- - Computer Learning Centers, Inc. 34,600 231
- - Recovery Engineering, Inc. 34,900 231
- - Seattle FilmWorks, Inc. 49,900 231
- - Alydaar Software Corp. 27,700 229
- - CDnow, Inc. 12,700 229
Ottawa Financial Corp. 10,780 229
- - Thermo Ecotek Corp. 21,650 229
- - Landry's Seafood
Restaurants, Inc. 30,400 228
Schnitzer Steel Industries, Inc.
Class A 15,800 227
Green Mountain Power Corp. 21,500 226
- - Impco Technologies Inc. 17,200 226
- - Satcon Technology Corp. 39,793 226
- - AMF Bowling, Inc. 43,900 225
- - Ionics, Inc. 7,500 225
- - Central Sprinkler Corp. 23,118 224
- - Keystone Consolidated
Industries, Inc. 27,590 224
- - Midwest Express Holdings, Inc. 8,500 224
BeautiControl Cosmetics 39,600 223
- - Laboratory Corp. of America 161,648 222
- - Consumer Portfolio Services, Inc. 57,100 221
- - Titan Exploration, Inc. 33,522 220
Otter Tail Power Co. 5,502 219
- - Crescent Operating, Inc. REIT 45,920 218
- - EEX Corp. 31,213 218
International Shipholding Corp. 13,900 218
- - Nu Horizons Electronics Corp. 42,500 218
Oregon Trail Financial Corp. 17,700 217
- - Marcam Solutions, Inc. 34,550 216
- - Darling International, Inc. 70,300 215
- - Oak Technology, Inc. 61,400 215
- - Digital Microwave Corp. 31,254 214
- - Lumisys, Inc. 45,000 214
- - Lynx Therapeutics Inc. 18,626 214
TF Financial Corp. 12,400 214
- - Workflow Management, Inc. 32,367 214
</TABLE>
30
<PAGE> 75
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Capital Trust Class A 35,500 $ 213
- - Veritas DGC Inc. 16,400 213
- - Xoma Corp. 66,556 212
- - Advanced Tissue Sciences Inc. 81,158 211
- - MetaCreations Corp. 39,325 211
- - Weirton Steel 134,900 211
- - Starter Corp. 78,000 210
- - Styling Technology Corp. 22,700 210
- - TCSI Corp. 100,421 210
Bridge View Bancorp 11,600 209
- - Celtrix Pharmaceuticals 123,500 208
First Charter Corp. 12,084 208
- - Gadzooks, Inc. 26,900 208
- - American Banknote Corp. 144,200 207
- - MEMC Electronic Materials, Inc. 24,300 207
Psychemedics, Inc. 40,000 205
- - Walbro Corp. 32,000 204
- - Davox Corp. 26,600 203
- - Glenayre Technologies, Inc. 45,825 203
- - Applied Digital Access, Inc. 77,100 202
- - Cidco, Inc. 70,300 202
- - Health Systems Design Corp. 29,800 201
Community Trust Bancorp Inc. 8,500 200
- - HCIA, Inc. 47,000 200
- - Integrated Electrical Services,Inc. 9,000 200
- - Integrated Silicon Solution, Inc. 63,900 200
- - LMI Aerospace, Inc. 32,000 200
- - Auspex Systems, Inc. 46,000 199
- - California Federal Bank Goodwill
Participation Certificates 16,040 199
- - Barra, Inc. 8,400 198
- - Trans World Entertainment Corp. 10,400 198
- - DA Consulting Group, Inc. 9,000 197
- - Hawthorne Financial Corp. 12,300 197
- - Toymax International, Inc. 39,000 197
- - North American Vaccine, Inc. 22,061 196
- - Penwest Pharmaceuticals Co. 31,436 196
- - Zoltek Cos., Inc. 21,200 195
- - Adams Golf, Inc. 47,300 194
- - Swift Energy Co. 26,300 194
- - Aura Systems, Inc. 191,781 192
- - Chic By H.I.S., Inc. 60,280 192
Lawter International Inc. 16,534 192
- - Microwave Systems Corp. 73,100 192
Flagstar Bancorp, Inc. 7,300 191
- - LINC Capital, Inc. 23,100 191
- - Stratus Properties, Inc. 50,900 191
Urstadt Biddle Properties REIT
Class A 23,100 191
- - Enzo Biochem, Inc. 18,400 190
Herbalife International Class B 16,600 190
- - Il Fornaio (America) Corp. 25,700 190
- - Technisource, Inc. 19,200 190
- - Tele-Communications TCI
Ventures Group Series B 8,114 189
Gables Residential Trust REIT 8,100 188
Huntco Inc. Class A 48,400 188
- - Stage Stores, Inc. 19,900 187
Stephan Co. 18,250 187
Urstadt Biddle Properties REIT 23,100 186
CFW Communications Co. 7,900 185
- - Primadonna Resorts, Inc. 20,962 185
Capstead Mortgage Corp. 44,550 184
- - FARO Technologies, Inc. 46,100 184
Maine Public Service Co. 12,000 183
- - Shoney's Inc. 139,406 183
- - MRV Communications Inc. 29,486 182
- - Allen Telecom Inc. 27,000 181
Ambanc Holding Co., Inc. 10,200 181
- - Electric Fuel Corp. 65,900 181
Mississippi Chemical Corp. 12,941 181
- - United PanAm Financial Corp. 43,200 181
CRIIMI MAE, Inc. REIT 51,300 180
- - Miravant Medical Technology 14,000 180
- - NS Group Inc. 40,600 180
- - InfoSpace.com, Inc. 4,700 179
- - Lawrence Savings Bank 14,000 179
- - TRO Learning, Inc. 22,400 179
- - Mariner Post-Acute Network, Inc. 39,048 178
- - Molecular Biosystems, Inc. 60,600 178
Titanium Metals Corp. 20,900 178
- - Merix Corp. 29,500 177
Toastmaster, Inc. 25,300 177
- - Viasoft, Inc. 25,048 175
- - I-Link, Inc. 82,100 174
- - Manhattan Associates, Inc. 6,400 174
Asset Investors Corp. 13,800 173
- - Cellnet Data Systems 34,600 173
- - Pegasystems Inc. 41,300 172
- - School Specialty, Inc. 8,055 172
- - Thermedics, Inc. 15,950 172
- - Alyn Corp. 40,100 170
- - Associated Group, Inc. Class B 4,000 170
- - Craig Corp. 21,077 170
- - Maverick Tube Corp. 30,500 170
- - Syntroleum Corp. 27,500 170
- - Global Payment Tech Inc. 20,800 169
Phoenix Investment Partners Ltd. 20,000 169
Luby's Cafeterias, Inc. 10,859 168
BankAtlantic Bancorp, Inc.
Class B 23,501 167
- - Kevco, Inc. 23,000 167
Conectiv, Inc. Class A 4,200 166
- - International Microcomputer
Software, Inc. 19,800 165
- - Geoworks 45,200 164
- - Vertel Corp. 96,909 164
United Cos. Finance Corp. 48,417 163
Aames Financial Corp. 50,850 162
- - Medaphis Corp. 49,416 162
Peoples Holding Co. 5,000 162
- - Calypte Biomedical Corp. 56,100 161
- - Periphonics Corp. 12,200 161
Fidelity Bancorp, Inc. 6,600 160
- - Craig Corp. Pfd. 20,077 158
- - Hartmarx Corp. 28,100 158
- - IEC Electronics Corp. 38,218 158
- - Quintel Communications, Inc. 84,200 158
- - LeukoSite, Inc. 15,600 157
- - Todhunter International, Inc. 19,300 157
Anthracite Capital Inc. 20,000 156
- - Cohr, Inc. 30,500 156
- - Applix, Inc. 40,021 155
- - Ceres Group, Inc. 14,900 155
</TABLE>
31
<PAGE> 76
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Input Software Inc. 26,800 $ 154
Apex Mortgage Capital, Inc. REIT 15,800 152
CV REIT, Inc. 12,100 152
- - Docucorp International 25,059 152
Arrow International, Inc. 4,800 151
- - LTX Corp. 58,888 151
- - Planet Hollywood International,
Inc. Class A 65,500 151
- - Province Heathcare Co. 4,200 151
Cubic Corp. 8,000 150
Little Falls Bancorp, Inc. 7,500 150
- - V-One Corp. 50,300 149
- - Spaghetti Warehouse, Inc. 19,400 148
Star Gas Partners, L.P. 9,800 148
- - AmeriPath, Inc. 16,300 146
Astro-Med, Inc. 26,800 146
- - Morgan Products Ltd. 41,600 146
- - PlayCore, Inc. 31,911 146
- - Nord Resources Corp. 144,900 145
- - Stac, Inc. 105,130 145
Western Gas Resources, Inc. 25,200 145
Fortress Group, Inc. 57,700 144
- - Trak Auto Corp. 19,800 144
- - Vestcom International, Inc. 16,000 144
Columbia Bancorp 8,400 143
- - Mobius Management
Systems, Inc. 9,600 143
Pulaski Financial Corp. 14,449 143
- - Today's Man Inc. 67,025 142
- - Alliance Pharmaceutical Corp. 43,102 141
- - Axiohm Transaction
Solutions, Inc. 21,689 141
- - Unigene 117,700 140
- - Omtool, Ltd. 47,400 139
- - Stoneridge,Inc. 6,100 139
Wackenhut Corp. Class B 6,350 139
Kilroy Realty Corp. REIT 6,000 138
- - SpecTran Corp. 33,500 138
- - Designs, Inc. 70,900 137
The Marcus Corp. 8,400 137
- - Sunburst Hospitality Corp. 32,313 137
- - DataWorks Corp. 13,000 136
- - Fourth Shift Corp. 30,000 135
Northwest Natural Gas Co. 5,000 129
- - Numerex Corp. 45,900 129
- - Base Ten Systems Class A 39,300 128
ISCO, Inc. 22,485 128
- - BRC Holdings Inc. 6,767 127
Allied Products Corp. 19,898 126
- - California Amplifier, Inc. 64,860 126
SJNB Financial Corp. 4,500 126
- - Sirco International Corp. 74,600 126
- - Unilab Corp. 52,900 126
- - Creative Biomolecules, Inc. 34,000 125
- - Data Race, Inc. 37,022 125
- - Rutherford-Moran Oil Corp. 44,400 125
TransPro Inc. 25,725 125
- - Webco Industries, Inc. 18,800 125
- - infoUSA, Inc. Class A 25,416 124
Investors Title Co. 5,900 124
- - Broadcom Corp. 1,000 121
- - Cyberguard Corp. 57,755 121
Methode Electronics, Inc. Class A 7,751 121
- - TCI Satellite Entertainment, Inc.
Class A 84,106 121
- - TransMontaigne Inc. 8,000 121
Imperial Holly Corp. 14,806 120
- - Novavax, Inc. 60,190 120
Glimcher Realty Trust REIT 7,500 118
- - Graham-Field Health
Products Inc. 34,684 117
- - TSR, Inc. 11,300 117
- - The TesseracT Group, Inc. 44,400 117
Cabot Industrial Trust 5,700 116
Carey Diversified LLC 5,900 116
- - Crown Vantage, Inc. 51,424 116
- - Diametrics Medical, Inc. 23,500 116
- - Continucare Corp. 65,000 114
- - Response USA, Inc. 33,400 113
Freeport-McMoRan Copper &
Gold, Inc. Class A 11,512 112
- - CompX International Inc. 4,200 111
Covest Bankshares, Inc. 9,100 111
Atlantic Tele-Network, Inc. 12,120 110
- - Florida Banks, Inc. 14,200 110
- - Applied Microsystems Corp. 28,000 109
- - Intelidata Technologies Corp. 83,400 109
- - Redhook Ale Brewery, Inc. 24,200 109
- - Signal Technology Corp. 41,653 109
- - ImmuLogic Pharmaceutical
Corp. 88,500 108
BMC Industries, Inc. 17,163 107
- - Black Hawk Gaming &
Development Co., Inc. 13,300 105
- - COMFORCE Corp. 19,473 105
Synalloy Corp. 12,000 105
Tech/Ops Sevcon, Inc. 7,500 105
- - Barnett, Inc. 7,400 102
- - Cytoclonal Pharmaceutics Inc. 14,900 102
- - Hollywood Casino Corp. 98,500 102
City Holding Co. 3,100 101
Interpool, Inc. 6,000 101
Wiser Oil Co. 50,600 101
- - Nastech Pharmaceutical Co., Inc. 25,900 100
Greater Bay Bancorp 2,900 98
- - SEEC, Inc. 15,200 98
- - SMC Corp. 21,200 98
- - Excel Legacy Corp. 24,200 97
- - Heartport Inc. 16,500 97
- - PictureTel Corp. 14,600 97
- - Carrington Labs Inc. 45,128 96
- - Colorado Casino Resorts, Inc. 95,500 96
- - Navigant International, Inc. 12,450 96
- - OmniAmerica Inc. 3,000 96
Republic Banking Corp. of Florida 9,000 96
- - Gymboree Corp. 14,940 95
- - P-Com, Inc. 23,900 95
The Seagram Co. Ltd. 2,500 95
FNB Financial Services Corp. 5,600 94
- - Federal Agricultural Mortgage
Corp. Class A 5,400 94
Colonial Properties Trust REIT 3,500 93
- - Vivus, Inc. 35,800 93
- - Capital Pacific Holdings, Inc. 35,900 92
</TABLE>
32
<PAGE> 77
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Marion Capital Holdings 4,600 $ 92
- - Dataware Technologies, Inc. 35,500 91
- - The Sports Authority, Inc. 17,400 91
Chesapeake Energy Corp. 102,300 90
- - National Bancshares Corp.
of Texas 5,400 90
- - APAC Teleservices, Inc. 23,511 89
- - MTR Gaming Group Inc. 36,700 89
- - NovaCare, Inc. 35,688 89
Technitrol, Inc. 2,800 89
- - Trump Hotels & Casino
Resorts, Inc. 23,800 89
- - Boyd Gaming Corp. 26,700 88
- - Cal Dive International, Inc. 4,200 87
- - Systems & Computer
Technology Corp. 6,300 87
- - Aviation General Inc. 28,600 86
- - Sciclone Pharmaceuticals 80,100 85
Southwest Bancorp, Inc. 3,200 85
Herbalife International Cl A 5,900 84
- - Service Merchandise Co., Inc. 299,650 84
- - Forcenergy Inc. 31,527 83
- - Griffin Land & Nurseries, Inc. 6,500 83
- - Hovnanian Enterprises Class B 9,650 83
- - Interneuron Pharmaceutical, Inc. 25,300 83
- - Applied Magnetics Corp. 13,200 82
- - FIRSTPLUS Financial Group, Inc. 29,800 82
- - Grey Wolf, Inc. 100,500 82
- - Petroleum Heat & Power Co. 108,900 82
- - Artisoft, Inc. 30,804 81
- - Rocky Mountain Chocolate
Factory, Inc. 15,400 81
Torch Energy Royalty Trust 18,300 81
Fedders Corp. Class A 15,226 80
- - Samsonite Corp. 14,378 80
- - Telular Corp. 128,200 80
- - Versant Corporation 36,300 79
- - Geneva Steel Class A 155,300 78
- - Industri-Matematik
International Corp. 15,600 78
- - TST Impreso, Inc. 32,800 78
Food Lion Inc. Class B 7,694 77
- - NewCom, Inc. 19,500 77
- - Neoprobe Corp. 105,700 76
- - Edison Brothers Stores, Inc. 57,371 75
- - Omega Worldwide, Inc. 17,043 75
- - Badger Paper Mills, Inc. 9,300 74
Merit Holding Corp. 4,000 74
- - SeaMED Corp. 6,600 74
- - DepoTech Corp. 31,600 73
- - Ascent Pediatrics, Inc. 16,700 72
Greater Community Bancorp 6,000 72
Thermoretec Corp. 38,400 72
- - Acacia Research Corp. 16,300 71
- - JPSP 18,800 71
Ziegler Cos., Inc. 3,800 71
- - U.S. Office Products Co. 18,125 70
- - Fresh Choice, Inc. 44,800 69
- - Western Water Co. 13,400 69
Merchants Bancshares, Inc. 2,700 68
- - Silicon Gaming, Inc. 49,200 68
- - Synagro Technologies Inc. 18,146 68
- - Quality Systems, Inc. 16,300 67
- - Capital Title Group, Inc. 19,300 66
- - Meritage Corp. 5,300 66
- - 800-JR CIGAR, Inc. 2,800 65
- - U.S. Energy Corp. 32,460 65
- - Wellsford Real Properties Inc.
REIT 6,300 65
- - E-Tek Dynamics, Inc. 2,400 64
- - Loronix Information Systems 27,100 64
- - AER Energy Resources, Inc. 83,400 63
- - Credit Management
Solutions, Inc. 11,400 63
- - OpenROUTE Networks, Inc. 36,100 62
- - Ramtron International Corp. 124,000 62
- - V.I. Technologies, Inc. 6,000 62
- - Delphi Information Systems, Inc. 7,180 61
- - Astea International, Inc. 35,700 60
Blimpie International, Inc. 27,400 60
- - Larscom, Inc. Class A 39,500 60
- - PRT Group Inc. 20,000 60
Terra Nitrogen Co., L.P. 5,800 60
- - Comshare 17,300 59
- - U.S Franchise Systems, Inc.
Class A 6,000 59
- - Metra Biosystems, Inc. 57,800 58
- - UroQuest Medical Corp. 57,700 58
- - Zamba Corp. 29,800 58
- - DecisionOne Holdings Corp. 12,014 57
- - SonoSight, Inc. 5,479 57
Industrial Scientific Corp. 2,400 56
- - QCF Bancorp, Inc. 2,200 56
- - Telegroup, Inc. 42,700 56
- - @Entertainment, Inc. 8,200 55
- - Medar, Inc. 49,058 55
J.M. Smucker Co. Class B 2,500 55
- - Technical Chemicals and
Products, Inc. 37,200 55
Independent Bank Corp. 3,100 54
- - Innotrac Corp. 3,000 54
- - Einstein/Noah Bagel Corp. 42,500 53
- - Interleaf, Inc. 25,533 53
- - Multigraphics Inc. 17,600 53
- - Safeguard Health
Enterprises, Inc. 16,035 53
- - Youth Services
International, Inc. 13,700 52
- - Amylin Pharmaceuticals, Inc. 102,000 51
Getty Realty Holding Corp. 3,500 51
California Independent Bancorp 2,500 50
- - Centura Software Corp. 47,388 50
Codorus Valley Bancorp, Inc. 2,740 50
- - Factory 2-U Stores Inc. 6,000 50
- - OAO Technology
Solutions, Inc. 16,519 50
- - Star Buffet, Inc. 7,600 50
First Financial Corp.-Indiana 1,000 49
- - Electronic Retailing Systems
International, Inc. 17,200 48
Barrick Gold Corp. 2,400 47
- - Cardima, Inc. 17,500 47
- - Central Financial
Acceptance Corp. 10,500 46
</TABLE>
33
<PAGE> 78
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
- - Compass International
Services Corp. 4,300 $ 46
- - Kenneth Cole Productions, Inc. 2,400 45
- - Duramed Pharmaceuticals, Inc. 12,100 45
- - 4Health, Inc. 9,500 45
- - Navarre Corp. 4,500 45
- - Sterile Recoveries, Inc. 3,800 45
Broughton Foods Co. 2,500 44
- - Gold Reserve Corp. 36,900 44
Penncorp Financial Group Inc. 43,500 44
- - Lexington Global Asset
Managers, Inc. 11,000 43
- - Medplus, Inc. 20,900 43
- - MessageMedia Inc. 8,000 43
- - Pericom Semiconductor Corp. 4,000 43
- - Heartland Technology, Inc 7,700 42
Raritan Bancorp, Inc. 1,200 42
- - Checkers Drive-In Restaurant 119,550 41
Chester Valley Bancorp 2,151 41
- - Knight/Trimark Group, Inc. 1,700 41
Steelcase Inc. 2,500 41
- - USDATA Corp., Inc. 21,803 41
- - AMBI, Inc. 37,900 40
- - BCSB Bankcorp, Inc. 4,600 40
Continental Mortgage &
Equity Trust 2,650 40
Analysts International Corp. 2,000 39
Great Southern Bancorp, Inc. 1,600 39
- - Provident Financial Holdings, Inc. 2,300 39
- - Caliber Learning Network, Inc. 8,600 37
- - Fresh Foods Inc. 7,500 36
- - Life Financial Corp. 7,800 36
Oak Hill Financial, Inc. 2,000 36
Reader's Digest Assn., Inc.
Class B 1,500 36
- - Coastal Physician Group, Inc. 98,500 34
Wainwright Bank & Trust Co. 4,600 34
Cato Corp. Class A 3,400 33
- - IGI, Inc. 17,090 33
- - Crescendo Pharmaceuticals
Corp. 2,379 32
Equity Inns, Inc. REIT 3,300 32
- - Group Maintenance
America Corp. 2,600 32
- - Integra, Inc. 25,900 32
Peekskill Financial Corp. 2,000 32
Sauer Inc. 4,200 32
Tower Realty Trust, Inc. REIT 1,600 32
- - Uranium Resources, Inc. 64,132 32
- - All American Semiconductor, Inc. 37,200 30
- - Microfield Graphics, Inc. 13,700 30
- - Pluma, Inc. 16,000 30
- - Gulf West Banks, Inc. 3,300 29
- - Buckeye Technology, Inc. 1,900 28
- - Cellular Technical Services Co. 80,454 28
- - Spacetec IMC Corp. 17,900 28
- - Trailer Bridge, Inc. 18,400 28
- - Vornado Operating Inc. 3,515 28
Carolina Southern Bank 1,545 27
- - Clarus Corp. 4,500 27
First Liberty Financial Corp. 1,300 27
- - Intelligent Medical Imaging, Inc. 53,500 27
- - LCA-Vision, Inc. 19,495 27
Movado Group, Inc. 1,000 27
Oneida Ltd. 1,800 27
Coastal Bancorp, Inc. 1,500 26
- - Cogeneration Corp. of America 2,838 26
KCS Energy, Inc. 8,400 26
- - PriceSmart, Inc. 1,500 26
- - ObjectShare, Inc. 22,600 25
- - The Penn Traffic Co. 44,700 25
Unity Bancorp, Inc. 2,310 25
- - Benihana Inc. Class A 2,300 24
Dover Downs Entertainment, Inc. 2,000 24
- - Genzyme Molecular Oncology 7,431 24
- - National Western Life
Insurance Co. Class A 200 24
- - Northwest Pipe Co. 1,500 24
Pittsburgh & West Virginia
Railroad 3,000 24
- - Catalina Lighting, Inc. 10,000 23
Alcan Aluminium Ltd. 800 22
- - Hoenig Group, Inc. 3,000 22
- - Raster Graphics, Inc. 43,400 22
- - Renex Corp. 3,000 22
- - Dunn Computer Corp. 5,000 21
- - Euroweb International Corp. 12,000 21
- - Mego Mortgage Corp. 42,400 21
- - Waste Systems
International, Inc. 3,800 21
- - The A Consulting Team, Inc. 2,800 20
- - Allergan Specialty
Therapeutics, Inc. 2,131 20
InterWest Bancorp Inc. 900 20
Bandag, Inc. Class A 538 19
- - Offshore Logistics, Inc. 1,600 19
PS Business Parks, Inc. REIT 800 19
- - Lanvision Systems, Inc. 13,400 18
York Financial Corp. 1,155 18
- - Colonial Downs Holdings, Inc. 34,500 17
- - Digital Generation Systems 3,000 17
- - QAD Inc. 4,800 17
- - Radius Inc. 12,200 17
Riviana Foods, Inc. 700 17
- - Tom Brown, Inc. 1,600 16
Laidlaw, Inc. 1,600 16
- - NewStar Media, Inc. 19,000 15
- - Prime Energy Corp. 3,000 15
- - Noven Pharmaceuticals, Inc. 2,500 14
Placer Dome, Inc. 1,200 14
- - Agritope, Inc. 9,660 13
- - Avatex Corp. 13,062 13
- - Film Roman, Inc. 8,300 13
- - GateField Corp. 18,612 13
- - Home Health Corp. of America 41,600 13
- - IA Corp. 20,100 13
- - JumboSports Inc. 104,750 13
- - Aqua Care Systems, Inc. 10,000 12
- - Boston Chicken, Inc. 38,900 12
- - Wellcare Management
Group, Inc. 16,100 12
- - Bridgeport Machines, Inc. 1,700 11
Kaye Group Inc. 1,500 11
- - LTC Healthcare, Inc. 4,310 11
</TABLE>
34
<PAGE> 79
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
- - Royal Precision Inc. 5,800 $ 11
- - Specialty Chemical
Resources, Inc. 29,400 11
- - Today's Man, Inc.
Warrants Exp. 12/31/1999 19,150 11
- - CardioDynamics
International Corp. 5,000 10
Evergreen Bancorp, Inc. 300 10
- - Horizon Group Properties, Inc.
REIT 2,510 10
- - Innovative Gaming Corp. 10,050 10
- - Innovasive Devices, Inc. 3,000 10
- - Medical Alliance, Inc. 5,000 10
Moore Corp. Ltd. 900 10
Universal Health Realty Income 500 10
Clarion Commercial Holdings, Inc. 2,000 9
- - Corvas International, Inc. 3,200 9
Habersham Bancorp 600 9
- - Insilco Holding Corp. 401 9
- - LecTec Corp. 3,500 9
- - PowerCerv Corp. 4,600 9
- - Tele-Communications, Inc.
Class B 143 9
- - Marvel Entertainment Group 53,774 8
- - Merry Land Properties, Inc. 2,105 8
- - NeoPharm, Inc. 700 8
- - Solv-Ex Corp. 32,466 8
- - Gradco Systems, Inc. 2,550 7
Howell Corp. 3,500 7
Inco Ltd. 700 7
- - Inland Resources Inc. 5,000 7
- - IntegraMed America, Inc. 1,400 7
- - Storage Computer Corp. 2,000 7
- - Zenith Electronics Corp. 25,382 7
- - Alteon, Inc. 7,400 6
- - Cryomedical Sciences 68,700 6
- - Cytrx Corp. 5,900 6
- - Empire of Carolina, Inc. 8,900 6
- - International Lottery & Totalizator
Systems, Inc. 18,300 6
Mitchell Energy & Development
Corp. Class B 500 6
- - Gargoyles, Inc. 20,000 5
- - JMC Group Inc. 5,200 5
- - Magellan Petroleum Corp. 4,000 5
- - Stratosphere Corp. 75,400 5
- - World Corp. 36,600 5
- - Arch Communications Group, Inc. 3,000 4
- - Biofield Corp. 16,600 4
- - Cygne Designs, Inc. 40,000 4
- - Harry's Farmers Market, Inc. 3,000 4
- - Silicon Valley Research, Inc. 12,100 4
- - BJ Services Co.
Warrants Exp. 4/13/2000 353 3
- - Data Systems Network Corp. 2,400 3
- - IMC Mortgage Co. 12,200 3
- - Medical Device Technologies, Inc. 3,000 3
- - ONCOR Inc. 92,131 3
- - Wilshire Financial Services
Group Inc. 5,000 3
- - Horizontal Ventures, Inc. 164 2
- - HumaScan, Inc. 36,500 2
- - ILX Resorts Inc. 1,200 2
- - JTS Corp. 79,144 2
- - NSC Corp. 2,381 2
- - OneWorld Systems, Inc. 15,900 2
- - Software Publishing Corp.
Holdings, Inc. 2,117 2
- - USTMAN Technologies Inc. 3,100 2
- - AES Corp.
Warrants Exp. 7/31/2000 9 1
- - Alanco Environmental
Resources Corp. 1,728 1
- - Edison Brothers Stores, Inc.
Warrants Exp. 9/26/2005 5,788 1
- - Foreland Corp. 900 1
- - Hawaii Land & Farming Co., Inc. 10,000 1
- - Legal Research Center, Inc. 6,100 1
- - PHP Healthcare Corp. 31,900 1
- - Reliance Acceptance Group Inc. 36,500 1
- - Ross Technology, Inc. 118,600 1
- - TCI Satellite Entertainment, Inc.
Class B 420 1
- ------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $7,620,935) 11,210,503
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- ------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (6.3%)(1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS
(2) 3.735-4.429%, 1/7/1999 $ 12,500 12,498
(2) 3.887-4.538%, 1/21/1999 9,500 9,481
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 496,294 496,294
4.77%, 1/4/1999--Note G 225,871 225,871
- ------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $744,135) 744,144
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.7%)
(COST $8,365,070) 11,954,647
- ------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.7%)
- ------------------------------------------------------------------------------------------------
Other Assets--Note B 87,840
Liabilities--Note G (289,368)
-----------
(201,528)
- ------------------------------------------------------------------------------------------------
NET ASSETS (100%) $11,753,119
================================================================================================
</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 99.7% and 2.0%, respectively, of net assets.
See Note F in Notes to Financial Statements
(2)Securities with an aggregate value of $21,979,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
35
<PAGE> 80
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET AMOUNT
INDEX FUND (000)
- ------------------------------------------------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------------------------------
<S> <C>
Paid in Capital $ 8,092,915
Overdistributed Net Investment Income (242)
Accumulated Net Realized Gains 41,321
Unrealized Appreciation--Note F
Investment Securities 3,589,577
Futures Contracts 29,548
- ------------------------------------------------------------------------------------------------
NET ASSETS $11,753,119
================================================================================================
Investor Shares--Net Assets
Applicable to 339,456,001 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $9,307,762
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $27.42
================================================================================================
Institutional Shares--Net Assets
Applicable to 89,179,202 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,445,357
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $27.42
================================================================================================
</TABLE>
36
<PAGE> 81
REPORT OF INDEPENDENT
ACCOUNTANTS
[PHOTO]
To the Shareholders and Trustees of
Vanguard U.S. Stock Index Funds
In our opinion, the accompanying statements of net assets (and statements of
assets and liabilities for Vanguard Growth Index Fund and Vanguard Value Index
Fund) and the related statements of operations and of changes in net assets and
the financial highlights appearing in the Annual Report to Shareholders present
fairly, in all material respects, the financial position of Vanguard Growth
Index Fund, Vanguard Value Index Fund and Vanguard Total Stock Market Index
Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to
as the "Funds") at December 31, 1998, the results of each of their operations
for the year then ended, the changes in each of their net assets for each of
the two years in the period then ended and the financial highlights for each of
the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1998 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 2, 1999
37
<PAGE> 82
F400-02/22/1999
<PAGE> 83
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]
ANNUAL
REPORT
DECEMBER 31, 1998
[THE VANGUARD GROUP LOGO]
<PAGE> 84
AT VANGUARD, WE BELIEVE THAT TRADITION MATTERS
Our 8,000 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.
This year, 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, 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.
- - The 70th anniversary, on December 28, 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
7
PERFORMANCE SUMMARIES
9
FUND PROFILES
17
FINANCIAL STATEMENTS
23
All comparative mutual fund data
are from Lipper or Morningstar,
unless otherwise noted.
<PAGE> 85
FELLOW SHAREHOLDER,
[PHOTO] [PHOTO]
John J. Brennan John C. Bogle
Chairman & CEO Senior Chairman
Large-capitalization U.S. stocks soared on balance during 1998, but mid- and
small-cap stocks were left in their wake. The highest returns were reserved for
the largest U.S. stocks, which gained almost +29% for the year, while returns of
smaller stock indexes ranged from small declines to moderate advances.
The performance of the five Vanguard mid- and small-cap index funds
during 1998 reflected the lackluster returns from the market segments in which
they invest. The two funds that were in existence for the entire year, Vanguard
Extended Market Index Fund and Vanguard Small-Cap Index Fund, earned total
returns of +8.3% and -2.6%, respectively. Overall, our funds did an excellent
job of tracking the returns of their unmanaged benchmark indexes.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED
DECEMBER 31, 1998
-----------------
<S> <C>
EXTENDED MARKET INDEX FUND + 8.3%
Wilshire 4500 Equity Index + 8.6
- -----------------------------------------------------------------
SMALL-CAP INDEX FUND - 2.6%
Russell 2000 Index - 2.5
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURNS
MAY 21, 1998, TO
DECEMBER 31, 1998
-----------------
<S> <C>
MID-CAP INDEX FUND + 8.6%
S&P MidCap 400 Index + 7.9
- ------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND - 4.8%
S&P SmallCap 600/BARRA Growth Index - 5.0
- ------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND - 12.5%
S&P SmallCap 600/BARRA Value Index - 13.3
- ------------------------------------------------------------------
</TABLE>
The table at right shows the twelve-month total returns (capital change
plus reinvested dividends) achieved by our Extended Market and Small-Cap Index
Funds, compared with the returns of their respective unmanaged index
benchmarks. Total Returns It also presents the returns of our three new mid-
and small-cap equity funds (Vanguard Mid-Cap Index Fund, Vanguard Small-Cap
Growth Index Fund, and Vanguard Small-Cap Value Index Fund) from their
inception in May through December 31. Per-share figures for each fund,
including net asset values, income dividends, and capital gains distributions,
are presented in the table that follows this letter.
On May 21, 1998, when we began equity investments for our Mid-Cap,
Small-Cap Growth, and Small-Cap Value Index Funds, we also introduced
Institutional Shares for each, which are available for minimum investments of
$10 million. (We introduced Institutional Shares for our Extended Market and
Small-Cap Index Funds in July 1997.) From inception through December 31, 1998,
the Institutional Shares of our Mid-Cap Index Fund returned +8.6%, outpacing the
+7.9% return of the Standard & Poor's MidCap 400 Index during the same period.
For the full year, the Institutional Shares of our Extended Market Index Fund
earned +8.5%, just shy of the +8.6% return of the Wilshire 4500 Equity Index,
while the -2.5% decline of the Institutional Shares of our Small-Cap Index Fund
matched that of the Russell 2000 Index. No Institutional Shares have been
purchased so far for the Small-Cap Growth and Small-Cap Value Index Funds.
FINANCIAL MARKETS IN REVIEW
The U.S. economy grew at a robust pace--more than 3%--during 1998 as it shrugged
off the effects of serious financial problems in Asia, Russia, and Latin
America. Troubles
1
<PAGE> 86
abroad slowed demand for American exports and boosted demand for imported goods,
widening the U.S. trade deficit. But the domestic economy got a powerful push
from higher consumer spending, which was encouraged by low unemployment (4.3% at
year-end) and higher wages (up about 4%, well above the 1.6% inflation rate).
The optimism that kept shopping malls and automobile showrooms busy was also
a factor in the financial markets. Stock prices shot up during the first half of
the year, despite news that corporate earnings actually declined slightly, and
by July 17 the S&P 500 Composite Stock Price Index had gained +23.3%. But fears
that Asia's financial troubles were spreading worldwide touched off a sharp
decline: Over the following six weeks, the S&P 500 Index fell -19.2%. Declines
were much steeper for smaller stocks: The Russell 2000 Index of small-cap stocks
declined nearly -40% from its mid-April peak to its low in October.
The stock market then revived with remarkable speed and vigor. By year-end,
the S&P 500 Index was again in record territory, having gained +28.6% for the
year. This result, however, masked weakness elsewhere in the market. The
Wilshire 4500 Index, which comprises all U.S. common stocks not included in the
S&P 500, gained just +8.6%, while the small-cap Russell 2000 Index declined
- -2.5%. In the entire market, more stocks declined in price than rose. Among
large-cap stocks, there was a huge gap between returns on growth and value
stocks: The S&P 500's growth component gained +42.2% during the year, nearly
three times the +14.7% return on its value stocks. Growth stocks also performed
better in the small-cap arena. The growth stocks of the Russell 2000 Index
gained +1.2% for the year, while the index's value component declined -6.5%.
Interest rates declined on balance during 1998. Bond prices, which move in
the opposite direction from interest rates, generally rose. Price appreciation
accounted for 2 percentage points of the 8.7% total return of the Lehman
Brothers Aggregate Bond Index. Rates fell furthest--roughly 1 percentage
point--for U.S. Treasury securities, whose prices benefited from a "flight to
quality" as many investors shunned riskier securities.
1998 PERFORMANCE OVERVIEW
Never have returns of small-cap stocks been so much lower than those of
large-cap stocks as during 1998. In fact, over the past 20 years, the
next-largest gap between small stocks and large stocks was about 25 percentage
points (compared with 1998's gap of about 31 percentage points), and that was in
favor of small caps. During 1998, returns from a select number of large-cap
stocks were sky-high, but performance generally descended as stocks moved down
the market-capitalization ladder.
Vanguard Extended Market Index Fund, which through its target index tracks
the entire U.S. stock market except for the S&P 500, earned a return of +8.3%
for the twelve months, just shy of the +8.6% return of the Wilshire 4500. This
result, while quite respectable in absolute terms, was 14.6 percentage points
lower than the +22.9% return of the average growth fund, which has a much higher
stake in larger companies. Vanguard Small-Cap Index Fund, which tracks the
Russell 2000 Index--a measure of even smaller stocks--had a negative return of
- -2.6% for 1998, a tiny bit behind the -2.5% decline for the index, but further
behind the decline of -0.2% for the average small-cap mutual fund.
For the record, our Mid-Cap, Small-Cap Growth, and Small-Cap Value Index
Funds closely tracked their respective indexes in the first seven months of
operation though their records versus their peers varied. Performance, whether
absolute or relative, over such a brief period is hardly meaningful.
2
<PAGE> 87
The adjacent table presents the returns of each of our mid- and small-cap
index funds and those of their average peers. As we have explained in previous
reports, the returns of large-cap and small-cap stocks often differ from one
year to another, although the gap is rarely so large as the small-cap shortfall
during the past twelve months. We note that not long ago small-cap stocks
handily outpaced large caps for two consecutive years. During 1991, small-cap
stocks earned a total return of +46.1%, versus 30.5% for large-cap stocks, a
margin of 15.6 percentage points. And the following year, in 1992, small-caps
did it again, with the +18.4% return of the Russell 2000 Index more than twice
the +7.6% return of the S&P 500 Index. There's no reason to expect that the
market will permanently favor large-cap stocks, though we wouldn't hazard a
guess as to when small caps might take the market lead. A prudent investor
should recognize that year-to-year divergences between large and small stocks
are part and parcel of equity investing.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED DECEMBER 31, 1998
---------------------------------------------
AVERAGE
VANGUARD COMPARABLE
INDEX FUND FUND* DIFFERENCE
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market + 8.3% +22.9% -14.6%
Mid-Cap** + 8.6 + 2.0 + 6.6
Small-Cap - 2.6 - 0.2 - 2.4
Small-Cap Growth** - 4.8 - 7.8 + 3.0
Small-Cap Value** -12.5 - 7.8 - 4.7
- ---------------------------------------------------------------------------
</TABLE>
*Figures for the average comparable funds are compiled by Lipper, Inc. The
Lipper fund groups are: for Extended Market Index Fund, growth funds; for
Mid-Cap Index Fund, mid-cap funds; for the Small-Cap, Small-Cap Growth, and
Small-Cap Value Index Funds, small-cap funds.
**Since May 21, 1998.
Vanguard Core Management Group deserves credit for a fine job of keeping our
funds so closely in line with their respective unmanaged benchmark indexes. Our
funds incur the costs of investing substantial amounts of cash almost every day,
and we incur operating expenses (albeit at an extremely low level) that an index
does not. These costs are hurdles that we must overcome for our funds to track
the performance of their respective indexes. During 1998, our Extended Market
Index Fund fell short of its benchmark index by 0.3 percentage point and the
return of the Small-Cap Index Fund was just 0.1 percentage point shy of the
Russell 2000 Index. Our Mid-Cap, Small-Cap Growth, and Small-Cap Value funds
managed to do a bit better than their respective indexes during their initial
seven months of operation.
Our low expenses, which help us to closely track our target indexes, also
aid us in our quest to provide returns that surpass those of similar funds.
Vanguard Extended Market Index Fund has an expense ratio (annual expenses as a
percentage of average net assets) of 0.23%, a fraction of the 1.53% charged by
the average growth equity fund, while the 0.24% expense ratio of our Small-Cap
Index Fund is far lower than the 1.50% expense ratio of its average peer. Our
Mid-Cap, Small-Cap Value, and Small-Cap Growth funds all have expense ratios of
0.25%, also about 1.25% lower than their peers. For mutual fund shareholders,
the cost equation is a simple one: The lower the expenses, the less is deducted
from a fund's gross return; therefore, with other factors held constant, the
higher the net return. Returns, of course, are not predictable, but costs are.
We believe that our cost advantage is sustainable, regardless of the direction
of the financial markets.
LONG-TERM PERFORMANCE OVERVIEW
The table at the top of page 4 presents the longer-term returns of our Extended
Market and Small-Cap Index Funds. It provides annualized returns for our funds,
their average peer mutual funds, and their benchmark indexes. For the Extended
Market fund, the table covers the past decade; for the Small-Cap fund, it shows
returns since the fund adopted
3
<PAGE> 88
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
TOTAL RETURNS
10 YEARS ENDED
DECEMBER 31, 1998*
-------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RATE INITIAL INVESTMENT
- ---------------------------------------------------------------------------
<S> <C> <C>
EXTENDED MARKET INDEX FUND +15.3% $41,354
Average Growth Fund +16.3 45,189
Wilshire 4500 Equity Index +15.1 40,947
- ----------------------------------------------------------------------------
SMALL-CAP INDEX FUND +11.9% $28,351
Average Small-Cap Fund +13.6 32,839
Russell 2000 Index +11.4 27,258
- ----------------------------------------------------------------------------
</TABLE>
*For the Small-Cap Index Fund and its benchmarks, the returns are annualized
since the fund adopted an indexing strategy on September 11, 1989.
an indexing strategy in September 1989. As you can see, while the funds have
closely matched their indexes--and even outpaced it in the case of the Extended
Market and Small-Cap funds--our returns have trailed those of our average
peers. In both cases, our lagging performance is explained by the simple fact
that competing funds have invested in larger stocks than those in the indexes
we track. In fact, for the ten years ended December 31, 1998, the S&P 500
Index's annualized return of +19.2% far outpaced both the +15.1% return of the
Wilshire 4500 Index and the +12.9% return of the Russell 2000 Index. While our
performance versus these competitive groups is disappointing, we remain
confident in the indexing strategy. We believe our low costs and skillful
management will help us closely track our target indexes, and we expect to
provide long-term performance that is fully competitive with comparable mutual
funds.
Returns from the financial markets have been well above average over the
past decade, particularly for large-cap stocks. We believe that these higher
returns may have dulled investors' sensitivity to the ever-present risks of
investing. A wise investor must realize that stock markets will decline,
sometimes with a sharp, quick plunge, sometimes with an extended slump. That's
why it's imperative for investors to build an investment program upon realistic
expectations of future returns rather than an extrapolation of the extraordinary
returns of the recent past.
IN SUMMARY
Despite the gains available from some segments of the stock market during 1998,
it was a trying year for investors in mid- and small-cap stocks. The year
provided a painful, but valuable, lesson about the risks of investing in
equities, especially for those whose investing experience came primarily during
the bullish 1990s. But 1998 also provided a lesson about the advantages of a
balanced investment approach. Investors who held a mix of stock funds, bond
funds, and money market funds participated in the market's bounty, but were
spared some measure of the anxiety felt during the midyear downturn in stocks.
We have always believed that investors are well served by selecting a
balanced mix of assets appropriate to their investment time horizon, goals, and
risk tolerance, and then sticking with their plan. The events of 1998 further
reinforced our belief in balanced investing and in the worth of investing in
low-cost index funds as a means of gaining exposure to the markets.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
Senior Chairman Chairman and
Chief Executive Officer
January 14, 1999
4
<PAGE> 89
Note: You'll observe that we've made minor changes in the names of the Vanguard
mid- and small-cap index funds. For example, we replaced the word "portfolio"
with "fund" and added "index." These changes are part of a broader effort to
simplify the names in Vanguard's fund lineup.
PURCHASE TRANSACTION FEES REDUCED
As of March 1, 1999, the transaction fee on purchases of shares in the
Mid-Cap Index Fund will be eliminated and the fees for purchases of shares
in the Small-Cap Value Index Fund and Small-Cap Growth Index Fund will be
reduced from 1.0% to 0.5%.
<TABLE>
<CAPTION>
PORTFOLIO STATISTICS
- -------------------------------------------------------------------------------------------------------------------
PERIOD ENDED DECEMBER 31, 1998
NET ASSET VALUE PER SHARE ---------------------------------------------
---------------------------- DISTRIBUTIONS FROM DIVIDENDS PER
DEC. 31, DEC. 31, NET REALIZED SHARE FROM NET
VANGUARD INDEX FUND 1997 1998 CAPITAL GAINS INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market $30.76 $30.63 $2.170 $0.373
Mid-Cap 10.04* 10.79 0.050 0.053
Small-Cap 23.75 21.20 1.550 0.304
Small-Cap Growth 10.04* 9.53 -- 0.030
Small-Cap Value 10.05* 8.74 -- 0.055
- ------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
- ------------------------------------------------------------------------------------------------------------------
Extended Market $30.76 $30.63 $ 2.17 $0.412
Mid-Cap 10.04* 10.79 0.05 0.059
Small-Cap 23.75 21.20 1.55 0.329
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
*Net asset value as of May 21, 1998.
5
<PAGE> 90
NOTICE TO SHAREHOLDERS
At a special meeting on July 24, 1998, shareholders of Vanguard Extended Market
Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Small-Cap Index Fund,
Vanguard Small-Cap Growth Index Fund, and Vanguard Small-Cap Value Index Fund
overwhelmingly approved three proposals. The proposals and voting results were:
1. REORGANIZATION INTO A DELAWARE BUSINESS TRUST. This change will reduce the
amount of state taxes paid each year by some Vanguard funds. The Vanguard U.S.
Stock Index Funds--which include the Extended Market, Mid-Cap, Small-Cap,
Small-Cap Growth, and Small-Cap Value Index Funds--will not realize any tax
savings as a result of the change, but the funds will benefit from the
efficiency of being organized the same way as all other Vanguard funds. Approved
as follows:
<TABLE>
<CAPTION>
-----------------------------------------------------------------
FOR AGAINST ABSTAIN APPROVED BY
-----------------------------------------------------------------
<S> <C> <C> <C>
65,953,169 2,928,192 1,004,423 94.37%
-----------------------------------------------------------------
</TABLE>
2A. INVESTMENT LIMITATION CHANGES--INTERFUND LENDING PROGRAM. This change
permits the Extended Market and Small-Cap Index Funds to participate in
Vanguard's interfund lending program, which allows funds to loan money to each
other if--and only if--it makes good financial sense to do so on both sides of
the transaction. The interfund lending program won't be an integral part of the
funds' investment programs; it is a contingency arrangement for managing unusual
cash flows. Approved as follows:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
VANGUARD INDEX FUND FOR AGAINST ABSTAIN APPROVED BY
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market 59,065,606 993,433 1,177,721 96.45%
- -------------------------------------------------------------------------------------
Small-Cap 66,945,919 1,371,546 1,568,320 95.79%
- -------------------------------------------------------------------------------------
</TABLE>
2B. INVESTMENT LIMITATION CHANGES--BORROWING MONEY AND PLEDGING ASSETS. This
change sets standard limits of 15% of net assets on the amount of money Vanguard
funds can borrow from all sources and on the amount of assets that can be
pledged to secure any loans. Approved as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
VANGUARD INDEX FUND FOR AGAINST ABSTAIN APPROVED BY
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market 58,574,569 1,479,534 1,182,657 95.65%
- -----------------------------------------------------------------------------------------
Mid-Cap 331,465 8,109 8,278 95.29%
- -----------------------------------------------------------------------------------------
Small-Cap 66,114,900 2,258,614 1,512,271 94.60%
- -----------------------------------------------------------------------------------------
Small-Cap Growth 236,334 2,010 5 99.16%
- -----------------------------------------------------------------------------------------
Small-Cap Value 359,752 5,122 3,979 97.53%
- -----------------------------------------------------------------------------------------
</TABLE>
6
<PAGE> 91
THE MARKETS IN PERSPECTIVE
YEAR ENDED DECEMBER 31, 1998
[PHOTO]
Financial markets continued to produce solid overall gains during 1998. After
overcoming a sharp, six-week setback in July and August, the S&P 500 Index
gained 28.6% for the year, marking the first time the index had produced returns
of 20% or more in four consecutive years. Bond prices rose as interest rates
generally declined over the year. Returns from overseas stock markets varied
widely, with big gains in Europe, small gains in the Pacific, and losses in most
emerging markets.
U.S. STOCK MARKETS
Large-capitalization stocks--especially those of large growth companies--were
the best performers during 1998. The 50 largest stocks within the S&P 500 Index
earned more than 40%, while the return of the other 450 stocks was less than
17%. The stock market as a whole, as measured by the Wilshire 5000 Equity Index,
earned 23.4%. Small-cap stocks, represented by the Russell 2000 Index, declined
2.5% for the year.
The huge gap between returns of large and small stocks was not the only
oddity during the year. Among large stocks there also was a large disparity in
performance between growth and value stocks. Within the S&P 500 Index, growth
stocks rose 42.2%, while value stocks were up 14.7%. The gap of 27.5 percentage
points is the largest in the 23 years that the growth and value components have
been tracked.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
AVERAGE ANNUALIZED RETURNS
PERIODS ENDED DECEMBER 31, 1998
-----------------------------------------
1 YEAR 3 YEARS 5 YEARS
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index 28.6% 28.2% 24.1%
Russell 2000 Index -2.5 11.6 11.9
MSCI EAFE Index 20.3 9.3 9.5
- ---------------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 8.7% 7.3% 7.3%
Lehman 10 Year Municipal Bond Index 6.8 6.8 6.4
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 5.1 5.2 5.1
- ---------------------------------------------------------------------------------------
OTHER
Consumer Price Index 1.6% 2.2% 2.4%
- ---------------------------------------------------------------------------------------
</TABLE>
Stocks rose strongly during the first half of the year. But after hitting
a then-record high on July 17, the S&P 500 index fell by 19.2% During the
following six weeks. Declines were steeper for most smaller stocks. The Russell
2000 Index fell nearly 40% from its peak in April before climbing back during
the fourth quarter.
The summer slump in stock prices reflected several factors that raised
anxiety among investors and prompted a reconsideration of risk that extended
past stocks to bonds. Among these factors were deteriorating corporate earnings;
Russia's default on its debts; sharp swings in currency exchange rates; and
lingering economic weakness in Asia.
Although these sources of uncertainty remained as the year went on, many
investors reacted not by abandoning stocks, but by selecting large, well-known
stocks they perceived as reliable vehicles for long-term growth. The strong
rebound in prices during the fourth quarter was due in large part to the calming
influence on jittery markets of the Federal Reserve Board's decision to cut
short-term interest rates by 0.75 percentage point.
7
<PAGE> 92
Technology stocks led the market's advance during 1998, rising 83%.
Investors were attracted by rapid revenue growth and a belief that consumers and
businesses will keep spending freely on computers, software, and computer
services. Speculation also played a role in the surge. Burgeoning activity on
the Internet sent many stocks, even those with no hint of profitability,
skyrocketing. The bulge in Internet stock prices prompted comparisons with such
historic asset "bubbles" as Japan's stock market in the late 1980s and the
tulip-bulb mania in Holland in the 1630s.
Health care and utilities, especially telecommunications providers, also
soared, achieving returns of more than 43%. Both sectors benefited from rising
demand for their products and a perception that they are somewhat protected from
foreign economic troubles and foreign competition. Consumer-related stocks such
as retailers also did well, reflecting strength in consumer spending. Americans
spent almost every after-tax dollar they earned during 1998. Jobs were abundant;
unemployment fell to 4.3% by year-end.
The worst-performing groups were two directly harmed by falling commodity
prices: oil drilling and services firms in the "other energy" category (-36%)
and materials & processing firms (-1%), such as paper, steel, and chemical
makers. Producer-durables companies, such as machinery and aircraft makers, eked
out a 2% return as companies saw falling sales abroad and rising competition at
home from foreign firms.
U.S. BOND MARKETS
The fall in interest rates during 1998 was steepest for U.S. Treasury
securities, which benefited from heightened aversion to risk among investors and
from a slight decrease in supply, thanks to a $70 billion federal budget
surplus. The low inflation rate--consumer prices were up just 1.6%--gave the
Federal Reserve the flexibility to cut short-term rates even though economic
growth was strong.
Yields on long-term Treasury issues fell by roughly 1 percentage point,
and the 30-year Treasury bond's yield was 5.09% on December 31. Lower rates mean
higher bond prices, and the Lehman Brothers Long U.S. Treasury Index earned a
total return of 13.5%, an astounding margin of nearly 12 percentage points over
the inflation rate.
Bonds lacking the unquestioned credit quality of Treasuries did not fare
as well, reflecting a repricing of risk and a "flight to quality" by investors
who began to feel they had been underestimating risk. One result was price
declines that nearly offset the interest earned on high-yield "junk" bonds.
However, high-quality corporate bonds and mortgage-backed securities generally
held up well. The Lehman Aggregate Bond Index, which encompasses Treasury,
mortgage, and high-quality corporate securities and has an intermediate-term
average maturity, earned a solid 8.7%.
Yields on long-term municipal bonds declined only slightly during the
year, and by December 31 were only a tad lower than yields on long-term
Treasuries. This was striking because the interest on municipals is exempt from
federal income tax.
INTERNATIONAL STOCK MARKETS
Europe's stock markets beat even the S&P 500 Index's gaudy return, gaining 28.7%
in U.S.-dollar terms, with about 5% of the gain due to a fall in the dollar
versus most European currencies. Pacific-region stocks rose 2.6%, although it
took a fall in the dollar's value versus the Japanese yen to overcome losses in
local-currency terms. Overall, developed international markets, as measured by
the MSCI EAFE Index, earned 20.3%.
Investors' confidence in emerging markets continued to evaporate in 1998,
and stocks in these markets fell about 25% as a group. The few bright spots
included South Korea (+141%) and the Philippines (+13%), which had suffered big
declines in 1997.
8
<PAGE> 93
PERFORMANCE SUMMARY
EXTENDED MARKET INDEX FUND
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 INVESTMENT RETURNS: DECEMBER 21, 1987-DECEMBER 31, 1998
- ---------------------------------------------------------------
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
- ---------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 28 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: DECEMBER 31, 1988-DECEMBER 31, 1998
- -----------------------------------------------------------
Extended Mkt Average Wilshire
Index Fund Growth Fund 4500 Index
<S> <C> <C> <C>
1988 12 9975 10000 10000
1989 03 10808 10687 10824
1989 06 11671 11529 11660
1989 09 12715 12706 12699
1990 06 12173 13108 12207
1990 09 9874 11011 9982
1990 12 10625 11857 10714
1991 03 12817 13902 12934
1991 06 12732 13772 12871
1991 09 13804 14833 14036
1991 12 15063 16136 15369
1992 03 15288 15907 15568
1992 06 14750 15427 14933
1992 09 15178 15938 15378
1992 12 16931 17393 17193
1993 03 17611 17795 17886
1993 06 17843 17906 18162
1993 09 19090 18800 19487
1993 12 19374 19234 19698
1994 03 18764 18469 18984
1994 06 18260 18080 18402
1994 09 19463 19067 19666
1994 12 19024 18821 19174
1995 03 20429 20096 20626
1995 06 22265 22103 22386
1995 09 24831 24000 24914
1995 12 25444 24618 25594
1996 03 27009 25786 27106
1996 06 28099 27010 28342
1996 09 28824 27814 28947
1996 12 29924 29354 29992
1997 03 28880 28815 28722
1997 06 33421 33481 33158
1997 09 38459 37137 38241
1997 12 37911 36781 37695
1998 03 42272 41177 42073
1998 06 41348 41979 41244
1998 09 33613 36602 33632
1998 12 41072 45189 40947
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
--------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market Index Fund* 8.05% 16.19% 15.22% $41,251
Average Growth Fund 22.86 18.63 16.28 45,189
Wilshire 4500 Index 8.63 15.76 15.14 40,947
- -------------------------------------------------------------------------------------------------------
</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.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
- ---------------------------------------------------------------------------------------------------------------
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 8.05% 16.19% 13.51% 1.71% 15.22%
- ---------------------------------------------------------------------------------------------------------------
</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.
9
<PAGE> 94
PERFORMANCE SUMMARY
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
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 INVESTMENT RETURNS: JULY 7, 1997-DECEMBER 31, 1998
- -------------------------------------------------------------
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%
- -------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 29 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: JULY 7, 1997-DECEMBER 31, 1998
- --------------------------------------------------------------
Extended Market Average Growth Wilshire
Index Fund Fund 4500 Index
Institutional
Shares*
<S> <C> <C> <C>
7/7/97 9950000 10000000 10000000
1997 09 11467199 11570433 11496645
1997 12 11086068 10991685 11111590
1998 03 12211596 12200770 12229234
1998 06 11605480 11709442 11658986
1998 09 9270288 9164940 9310252
1998 12 10808753 10967503 10828605
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
----------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000,000 INVESTMENT
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market Index Fund Institutional Shares* 8.18% 13.68% $12,097,200
Average Growth Fund 22.86 19.91 13,095,322
Wilshire 4500 Index 8.63 14.15 12,171,448
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Extended Market Index Fund Institutional Shares* 7/7/1997 8.18% 11.76% 1.92% 13.68%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
10
<PAGE> 95
PERFORMANCE SUMMARY
MID-CAP INDEX FUND
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 INVESTMENT RETURNS: MAY 21, 1998-DECEMBER 31, 1998
- --------------------------------------------------------------------
MID-CAP INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN** RETURN
- --------------------------------------------------------------------
<S> <C> <C> <C> <C>
1998 8.0% 0.6% 8.6% 7.9%
- --------------------------------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
**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.
See Financial Highlights table on page 29 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: MAY 21, 1998-DECEMBER 31, 1998
- ----------------------------------------------------------
Mid-Cap Average MidCap S&P MidCap
Index Fund* Fund 400 Index
<S> <C> <C> <C>
5/21/98 9900 10000 10000
1998 06 9634 9840 9758
1998 09 7709 7718 7789
1998 12 9428 9221 9504
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIOD ENDED DECEMBER 31, 1998
------------------------------ FINAL VALUE OF A
SINCE INCEPTION $10,000 INVESTMENT
- ------------------------------------------------------------------------------
<S> <C> <C>
Mid-Cap Index Fund* 8.28% $10,828
Average MidCap Fund 1.97 10,197
S&P MidCap 400 Index 7.87 10,787
- ------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
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 on May 21, 1998.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1998
- ---------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------------------
DATE** CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Mid-Cap Index Fund* 5/21/1998 7.72% 0.56% 8.28%
- ---------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
**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.
11
<PAGE> 96
PERFORMANCE SUMMARY
MID-CAP INDEX FUND INSTITUTIONAL SHARES
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 INVESTMENT RETURNS: MAY 21, 1998-DECEMBER 31, 1998
- -------------------------------------------------------------------
MID-CAP INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN** RETURN
- -------------------------------------------------------------------
<S> <C> <C> <C> <C>
1998 8.0% 0.6% 8.6% 7.9%
- -------------------------------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
**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.
See Financial Highlights table on page 30 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: MAY 21, 1998-DECEMBER 31, 1998
- ---------------------------------------------------------------------
Mid-Cap Index Average MidCap S&P MidCap
Fund Insitutional Fund 400 Index
Shares*
<S> <C> <C> <C>
5/21/98 9975000 10000000 10000000
1998 06 9825971 10023983 9837687
1998 09 8425100 8258047 8414517
1998 12 $10,834,144 10197320 10786696
- ---------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIOD ENDED DECEMBER 31, 1998
------------------------------- FINAL VALUE OF A
SINCE INCEPTION $10,000,000 INVESTMENT
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Mid-Cap Index Fund Institutional Shares* 8.34% $10,834,144
Average MidCap Fund 1.97 10,197,320
S&P MidCap 400 Index 7.87 10,786,696
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
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 on May 21, 1998.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1998
- --------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------------------
DATE** CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Mid-Cap Index Fund Institutional Shares* 5/21/1998 7.72% 0.62% 8.34%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
**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.
12
<PAGE> 97
PERFORMANCE SUMMARY
SMALL-CAP INDEX FUND
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 INVESTMENT RETURNS: DECEMBER 31, 1978-DECEMBER 31, 1998
- -------------------------------------------------------------
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
</TABLE>
See Financial Highlights table on page 30 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: DECEMBER 31, 1988-DECEMBER 31, 1998
- --------------------------------------------------------------
Small-Cap Average Russell 2000
Index Fund Small-Cap Fund Index
<S> <C> <C> <C>
1988 12 9950 10000 10000
1989 03 10546 10766 10770
1989 06 11061 11535 11456
1989 09 11745 12671 12230
1989 12 10988 12297 11624
1990 03 10767 12070 11367
1990 06 11161 12993 11806
1990 09 8480 10062 8909
1990 12 8987 11081 9357
1991 03 11617 13866 12139
1991 06 11409 13623 11951
1991 09 12362 15054 12925
1991 12 13044 16801 13666
1992 03 14080 17020 14691
1992 06 13146 15537 13688
1992 09 13508 16032 14081
1992 12 15408 18909 16182
1993 03 16172 19076 16873
1993 06 16421 19501 17242
1993 09 17764 21121 18749
1993 12 18278 22120 19241
1994 03 17913 21199 18731
1994 06 17304 20004 18001
1994 09 18514 21560 19251
1994 12 18174 21961 18891
1995 03 19044 22830 19762
1995 06 20811 24963 21614
1995 09 22881 27798 23749
1995 12 23385 28900 24263
1996 03 24678 29964 25501
1996 06 26055 32379 26777
1996 09 26217 32912 26867
1996 12 27611 34738 28265
1997 03 26234 31429 26803
1997 06 30777 36812 31148
1997 09 35580 42915 35784
1997 12 34388 42158 34586
1998 03 37876 45343 38064
1998 06 35963 43475 36289
1998 09 28718 33993 28979
1998 12 33496 42066 33705
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
-------------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small-Cap Index Fund* -3.10% 12.80% 12.92% $33,692
Average Small-Cap Fund -0.22 13.72 15.45 42,066
Russell 2000 Index -2.55 11.86 12.92 33,705
- --------------------------------------------------------------------------------------------------------------------
</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.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
- -----------------------------------------------------------------------------------------------------------------------
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 -3.10% 12.80% 11.41% 1.51% 12.92%
- -----------------------------------------------------------------------------------------------------------------------
</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.
13
<PAGE> 98
PERFORMANCE SUMMARY
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
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 INVESTMENT RETURNS: JULY 7, 1997-DECEMBER 31, 1998
- -------------------------------------------------------------
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%
- -------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 31 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: JULY 7, 1997-DECEMBER 31, 1998
- ---------------------------------------------------------------------
Small-Cap Index Average Small-Cap Russell 2000
Index Fund Fund Index
Institutional Shares*
<S> <C> <C> <C>
7/7/97 9950000 10000000 10000000
1997 09 11467199 11570433 11496645
1997 12 11086068 10991685 11111590
1998 03 12211596 12200770 12229234
1998 06 11605480 11709442 11658986
1998 09 9270288 9164940 9310252
1998 12 10808753 10967503 10828605
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1998
------------------------------------ FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000,000 INVESTMENT
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Small-Cap Index Fund Institutional Shares* -2.99% 5.38% $10,808,753
Average Small-Cap Fund -0.22 6.42 10,967,503
Russell 2000 Index -2.55 5.51 10,828,605
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1998
- -----------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ----------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Small-Cap Index Fund Institutional Shares* 7/7/1997 -2.99% 3.47% 1.91% 5.38%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
14
<PAGE> 99
PERFORMANCE SUMMARY
SMALL-CAP GROWTH INDEX FUND
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 INVESTMENT RETURNS: MAY 21, 1998-DECEMBER 31, 1998
- -------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN** RETURN
- -------------------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -5.1% 0.3% -4.8% -5.0%
- -------------------------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Growth Index.
**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.
See Financial Highlights table on page 31 for dividend information since the
fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: MAY 21, 1998-DECEMBER 31, 1998
- ------------------------------------------------------------
Small-Cap Average S&P SmallCap
Growth Index Small-Cap 600/BARRA
Fund* Fund Growth Index
<S> <C> <C> <C>
5/21/98 9900 10000 10000
1998 06 9634 9840 9758
1998 09 7709 7718 7789
1998 12 9428 9221 9504
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIOD ENDED DECEMBER 31, 1998
------------------------------ FINAL VALUE OF A
SINCE INCEPTION $10,000 INVESTMENT
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
Small-Cap Growth Index Fund* -5.72% $9,428
Average Small-Cap Fund -7.79 9,221
S&P SmallCap 600/BARRA Growth Index -4.96 9,504
- ------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 1% transaction fee on purchases.
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 on May 21, 1998.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1998
- -----------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -----------------------------------
DATE** CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small-Cap Growth Index Fund* 5/21/1998 -6.03% 0.31% -5.72%
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 1% transaction fee on purchases.
**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.
15
<PAGE> 100
PERFORMANCE SUMMARY
SMALL-CAP VALUE INDEX FUND
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 INVESTMENT RETURNS: MAY 21, 1998-DECEMBER 31, 1998
- --------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN** RETURN
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -13.0% 0.5% -12.5% -13.3%
- --------------------------------------------------------------
</TABLE>
*S&p SmallCap 600/BARRA Value Index.
**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.
See Financial Highlights table on page 32 for dividend information since the
fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE:MAY 21, 1998-DECEMBER 31, 1998
- -----------------------------------------------------------
Small-Cap Average S&P SmallCap
Value Index Small-Cap 600/BARRA
Fund* Fund Value Index
<S> <C> <C> <C>
5/21/98 9900 10000 10000
1998 06 9693 9840 9790
1998 09 7623 7718 7669
1998 12 8665 9221 8673
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIOD ENDED DECEMBER 31, 1998
------------------------------ FINAL VALUE OF A
SINCE INCEPTION $10,000 INVESTMENT
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Small-Cap Value Index Fund* -13.35% $8,665
Average Small-Cap Fund -7.79 9,221
S&P SmallCap 600/BARRA Value Index -13.27 8,673
- -------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 1% transaction fee on purchases.
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 on May 21, 1998.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1998
- ----------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -----------------------------------
DATE** CAPITAL INCOME TOTAL
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small-Cap Value Index Fund* 5/21/1998 -13.90% 0.55% -13.35%
- ----------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 1% transaction fee on purchases.
**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.
16
<PAGE> 101
FUND PROFILE
EXTENDED MARKET INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to its unmanaged target index. Key
elements of this Profile are defined on page 18.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------------------
EXTENDED WILSHIRE
MARKET 4500
- ----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 2,519 6,746
Median Market Cap $1.7B $1.7B
Price/Earnings Ratio 20.1x 20.1x
Price/Book Ratio 2.8x 2.8x
Yield 1.1% 1.1%
Yield--Institutional Shares 1.3% 1.1%
Return on Equity 14.5% 14.5%
Earnings Growth Rate 18.4% 18.4%
Foreign Holdings 0.0% 0.0%
Turnover Rate 27% --
Expense Ratio 0.23% --
Expense Ratio--
Institutional Shares 0.10% --
Cash Reserves 0.4% --
</TABLE>
INVESTMENT FOCUS
- -----------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ------------------------------------------------------------------
<S> <C>
Berkshire Hathaway Class A 3.5%
Yahoo!, Inc. 0.8
Cox Communications Class A 0.6
Qwest Communications International Inc. 0.6
Amazon.com, Inc. 0.6
Level 3 Communications, Inc. 0.5
The Equitable Cos. 0.4
AFLAC, Inc. 0.4
Genentech, Inc. Special Common Stock 0.4
eBay Inc. 0.4
- ------------------------------------------------------------------
Top Ten 8.2%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- --------------------------------------------------------
EXTENDED
MARKET S&P 500
- --------------------------------------------------------
<S> <C> <C>
R-Squared 0.77 1.00
Beta 1.07 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------
DECEMBER 31, 1997 DECEMBER 31, 1998
-------------------------------------------------------
EXTENDED EXTENDED WILSHIRE
MARKET MARKET 4500
-------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 3.1% 3.3% 3.3%
Consumer Discretionary 16.7 19.2 19.2
Consumer Staples 3.9 3.1 3.1
Financial Services 24.6 21.6 21.6
Health Care 7.9 9.3 9.3
Integrated Oils 0.5 0.5 0.5
Other Energy 5.0 2.4 2.4
Materials & Processing 7.7 6.4 6.4
Producer Durables 6.2 5.9 5.9
Technology 12.5 14.8 14.8
Utilities 8.3 8.4 8.4
Other 3.6 5.1 5.1
- ---------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE> 102
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 past year. 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.
18
<PAGE> 103
FUND PROFILE
MID-CAP INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to its unmanaged target index. Key
elements of this Profile are defined on page 18.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------------------
S&P
MID-CAP MIDCAP 400
- ----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 402 400
Median Market Cap $3.1B $3.1B
Price/Earnings Ratio 21.7x 21.7x
Price/Book Ratio 3.1x 3.1x
Yield 1.0% 1.1%
Yield--Institutional Shares 1.1% 1.1%
Return on Equity 16.6% 16.6%
Earnings Growth Rate 18.0% 18.0%
Foreign Holdings 0.0% 0.0%
Turnover Rate 44% --
Expense Ratio 0.25%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Reserves 2.8% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -----------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ------------------------------------------------------------------
<S> <C>
AFLAC, Inc. 1.3%
Office Depot, Inc. 1.0
Network Associates, Inc. 0.9
McKesson Corp. 0.9
Cintas Corp. 0.8
Harley-Davidson, Inc. 0.8
Linear Technology Corp. 0.7
Cadence Design Systems, Inc. 0.7
Lexmark International Group, Inc. Class A 0.7
Century Telephone Enterprises, Inc. 0.7
- ------------------------------------------------------------------
Top Ten 8.5%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ----------------------------------------------------------------------------
DECEMBER 31, 1998
-------------------------------------
S&P MIDCAP
MID-CAP 400
-------------------------------------
<S> <C> <C>
Auto & Transportation 4.2% 3.8%
Consumer Discretionary 16.9 22.6
Consumer Staples 4.4 4.1
Financial Services 16.1 15.0
Health Care 11.4 10.3
Integrated Oils 0.5 0.6
Other Energy 3.4 3.1
Materials & Processing 7.2 6.7
Producer Durables 6.0 5.5
Technology 13.5 14.0
Utilities 14.0 12.7
Other 2.4 1.6
- ----------------------------------------------------------------------------
</TABLE>
19
<PAGE> 104
FUND PROFILE
SMALL-CAP INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to its unmanaged target index. Key
elements of this Profile are defined on page 18.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------------------
RUSSELL
SMALL-CAP 2000
- ----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 1,763 1,932
Median Market Cap $0.8B $0.8B
Price/Earnings Ratio 18.9x 18.9x
Price/Book Ratio 2.5x 2.5x
Yield 1.4% 1.3%
Yield--Institutional Shares 1.5% 1.3%
Return on Equity 14.6% 14.6%
Earnings Growth Rate 16.7% 16.6%
Foreign Holdings 0.0% 0.0%
Turnover Rate 35% --
Expense Ratio 0.24% --
Expense Ratio--
Institutional Shares 0.12% --
Cash Reserves 0.0% --
</TABLE>
INVESTMENT FOCUS
- ---------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ------------------------------------------------------------------
<S> <C>
American Tower Corp. Class A 0.3%
Network Appliance, Inc. 0.3
Legato Systems, Inc. 0.3
Nova Corp. (Georgia) 0.3
Lycos, Inc. 0.3
MedImmune Inc. 0.3
Sepracor Inc. 0.3
Rational Software Corp. 0.3
NTL Inc. 0.3
Express Scripts 0.3
- ------------------------------------------------------------------
Top Ten 3.0%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ---------------------------------------------------------
SMALL-CAP S&P 500
- ---------------------------------------------------------
<S> <C> <C>
R-Squared 0.67 1.00
Beta 1.02 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ------------------------------------------------------------------------------------------------------
DECEMBER 31, 1997 DECEMBER 31, 1998
--------------------------------------------------------------
RUSSELL
SMALL-CAP SMALL-CAP 2000
--------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 4.2% 4.6% 4.4%
Consumer Discretionary 16.2 17.5 18.1
Consumer Staples 3.0 2.9 2.9
Financial Services 25.5 22.8 23.3
Health Care 9.7 10.3 10.2
Integrated Oils 0.5 0.4 0.3
Other Energy 3.5 2.0 2.1
Materials & Processing 9.5 8.8 9.1
Producer Durables 7.5 6.7 6.9
Technology 11.3 14.9 14.2
Utilities 7.6 7.6 7.7
Other 1.5 1.5 0.8
- -----------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE> 105
FUND PROFILE
SMALL-CAP GROWTH INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to an unmanaged index. Key elements of
this Profile are defined on page 18.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------------------
S&P
SMALL-CAP SMALLCAP
GROWTH 600
- ----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 204 600
Median Market Cap $1.0B $0.8B
Price/Earnings Ratio 25.4x 19.3x
Price/Book Ratio 4.8x 2.6x
Yield 0.4% 0.8%
Return on Equity 18.2% 15.6%
Earnings Growth Rate 19.3% 16.6%
Foreign Holdings 0.0% 0.5%
Turnover Rate 77% --
Expense Ratio 0.25%* --
Cash Reserves 1.6% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -----------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ------------------------------------------------------------------
<S> <C>
Vitesse Semiconductor Corp. 1.9%
Sanmina Corp. 1.7
MedImmune Inc. 1.5
Astoria Financial Corp. 1.4
Mohawk Industries, Inc. 1.3
Acxiom Corp. 1.3
Express Scripts 1.2
Williams Sonoma, Inc. 1.2
Comair Holdings, Inc. 1.2
Devry, Inc. 1.2
- ------------------------------------------------------------------
Top Ten 13.9%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ----------------------------------------------------------------------------------------
DECEMBER 31, 1998
-----------------------------------------------
SMALL-CAP S&P SMALLCAP
GROWTH 600
-----------------------------------------------
<S> <C> <C>
Auto & Transportation 4.7% 5.3%
Consumer Discretionary 17.8 19.4
Consumer Staples 1.6 3.2
Financial Services 21.1 18.2
Health Care 17.8 12.7
Integrated Oils 0.2 0.2
Other Energy 0.9 2.1
Materials & Processing 7.5 10.3
Producer Durables 8.6 9.1
Technology 18.4 14.2
Utilities 0.9 5.0
Other 0.5 0.3
- ----------------------------------------------------------------------------------------
</TABLE>
21
<PAGE> 106
FUND PROFILE
SMALL-CAP VALUE INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1998, compared where appropriate to an unmanaged index. Key elements of
this Profile are defined on page 18.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------------------
S&P
SMALL-CAP SMALLCAP
VALUE 600
- -----------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 398 600
Median Market Cap $0.6B $0.8B
Price/Earnings Ratio 15.2x 19.3x
Price/Book Ratio 1.7x 2.6x
Yield 1.0% 0.8%
Return on Equity 13.3% 15.6%
Earnings Growth Rate 14.0% 16.6%
Foreign Holdings 0.0% 0.5%
Turnover Rate 53% --
Expense Ratio 0.25%* --
Cash Reserves 0.0% --
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------
[GRAPH]
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
- ------------------------------------------------------------------
<S> <C>
E*TRADE Group, Inc. 1.6%
Fremont General Corp. 1.1
CKE Restaurants Inc. 0.9
Commercial Federal Corp. 0.9
Earthgrains Co. 0.8
Champion Enterprises, Inc. 0.8
D. R. Horton, Inc. 0.8
Smithfield Foods, Inc. 0.8
Sierra Pacific Resources 0.7
World Color Press, Inc. 0.7
- ------------------------------------------------------------------
Top Ten 9.1%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------
DECEMBER 31, 1998
- ---------------------------------------------------------------------------------
SMALL-CAP S&P SMALLCAP
VALUE 600
- ---------------------------------------------------------------------------------
<S> <C> <C>
Auto & Transportation 6.6% 5.3%
Consumer Discretionary 21.0 19.4
Consumer Staples 5.2 3.2
Financial Services 14.5 18.2
Health Care 7.3 12.7
Integrated Oils 0.3 0.2
Other Energy 3.5 2.1
Materials & Processing 13.2 10.3
Producer Durables 8.4 9.1
Technology 9.8 14.2
Utilities 9.3 5.0
Other 0.9 0.3
- ---------------------------------------------------------------------------------
</TABLE>
22
<PAGE> 107
FINANCIAL STATEMENTS
DECEMBER 31, 1998
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--and the Report of Independent Accountants 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
----------------------------------------------------------
YEAR ENDED APR. 20* TO YEAR ENDED
DEC.31, 1998 DEC.31, 1998 DEC.31, 1998
(000) (000) (000)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 37,381 $ 1,184 $ 38,503
Interest 4,750 165 5,515
Security Lending 4,539 9 2,866
---------------------------------------------------------
Total Income 46,670 1,358 46,884
---------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 73 20 100
Management and Administrative 2,265 44 2,399
Shareholder Account Maintenance--Investor Shares 3,444 115 3,142
Shareholder Account Maintenance--Institutional Shares 2 5 26
Marketing and Distribution--Investor Shares 718 10 769
Marketing and Distribution--Institutional Shares 105 -- 33
Custodian Fees 175 21 86
Auditing Fees 10 -- 10
Shareholders' Reports--Investor Shares 88 -- 102
Shareholders' Reports--Institutional Shares -- -- --
Annual Meeting and Proxy Costs--Investor Shares 11 -- 13
Annual Meeting and Proxy Costs--Institutional Shares -- -- --
Trustees' Fees and Expenses 6 -- 6
---------------------------------------------------------
Total Expenses 6,897 215 6,686
Expenses Paid Indirectly--Note C (34) -- (4)
---------------------------------------------------------
Net Expenses 6,863 215 6,682
- --------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 39,807 1,143 40,202
- --------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 372,375 15,447 214,448
Futures Contracts (5,293) 398 (14,904)
- --------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 367,082 15,845 199,544
- --------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (156,908) 8,812 (325,432)
Futures Contracts 2,415 238 6,575
- --------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (154,493) 9,050 (318,857)
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 252,396 $26,038 $ (79,111)
================================================================================================================================
</TABLE>
*Commencement of subscription period.
23
<PAGE> 108
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS (continued)
- ---------------------------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP
GROWTH VALUE
INDEX FUND INDEX FUND
----------------------------------------
APR. 20* TO APR. 20* TO
DEC. 31, 1998 DEC. 31, 1998
(000) (000)
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 226 $ 642
Interest 88 103
Security Lending 38 33
----------------------------------------
Total Income 352 778
----------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 20 20
Management and Administrative 1 13
Shareholder Account Maintenance--Investor Shares 60 84
Shareholder Account Maintenance--Institutional Shares -- --
Marketing and Distribution--Investor Shares 4 5
Marketing and Distribution--Institutional Shares -- --
Custodian Fees 14 17
Auditing Fees -- --
Shareholders' Reports--Investor Shares -- --
Shareholders' Reports--Institutional Shares -- --
Annual Meeting and Proxy Costs--Investor Shares -- --
Annual Meeting and Proxy Costs--Institutional Shares -- --
Trustees' Fees and Expenses -- --
----------------------------------------
Total Expenses 99 139
Expenses Paid Indirectly--Note C -- --
----------------------------------------
Net Expenses 99 139
- ---------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 253 639
- ---------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (5,763) 277
Futures Contracts 196 205
- ---------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (5,567) 482
- ---------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 5,558 (11,368)
Futures Contracts -- --
- ---------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 5,558 (11,368)
- ---------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 244 $(10,247)
===================================================================================================
</TABLE>
*Commencement of subscription period.
24
<PAGE> 109
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
---------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------ APR. 20* TO
1998 1997 DEC. 31, 1998
(000) (000) (000)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 39,807 $ 33,818 $ 1,143
Realized Net Gain (Loss) 367,082 194,324 15,845
Change in Unrealized Appreciation (Depreciation) (154,493) 379,945 9,050
---------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 252,396 608,087 26,038
---------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (33,806) (30,699) (962)
Institutional Shares (5,556) (3,960) (210)
Realized Capital Gain
Investor Shares (195,606) (162,387) (907)
Institutional Shares (30,314) (16,436) (178)
---------------------------------------------------------------
Total Distributions (265,282) (213,482) (2,257)
---------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 661,516 760,022 202,429
Issued in Lieu of Cash Distributions 210,315 178,435 1,588
Redeemed (641,617) (709,687) (18,534)
---------------------------------------------------------------
Net Increase--Investor Shares 230,214 228,770 185,483
---------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 242,869 414,169 34,802
Issued in Lieu of Cash Distributions 30,471 16,714 279
Redeemed (232,988) (15,617) --
---------------------------------------------------------------
Net Increase--Institutional Shares 40,352 415,266 35,081
- --------------------------------------------------------------------------------------------------------------------------------
Total Increase 257,680 1,038,641 244,345
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,137,479 2,098,838 --
---------------------------------------------------------------
End of Period $3,395,159 $3,137,479 $244,345
================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 21,213 26,118 20,969
Issued in Lieu of Cash Distributions 7,196 6,168 155
Redeemed (21,009) (23,876) (2,058)
---------------------------------------------------------------
Net Increase in Shares Outstanding 7,400 8,410 19,066
================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 7,627 13,413 3,559
Issued in Lieu of Cash Distributions 1,037 563 27
Redeemed (7,244) (494) --
---------------------------------------------------------------
Net Increase in Shares Outstanding 1,420 13,482 3,586
================================================================================================================================
</TABLE>
*Commencement of subscription period.
25
<PAGE> 110
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP GROWTH
INDEX FUND INDEX FUND
------------------------------------- ----------------------
YEAR ENDED DECEMBER 31,
------------------------------------- APR. 20* TO
1998 1997 DEC. 31, 1998
(000) (000) (000)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 40,202 $ 30,776 $ 253
Realized Net Gain (Loss) 199,544 135,764 (5,567)
Change in Unrealized Appreciation (Depreciation) (318,857) 300,788 5,558
---------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (79,111) 467,328 244
---------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (37,309) (29,087) (281)
Institutional Shares (3,153) (1,576) --
Realized Capital Gain
Investor Shares (188,747) (117,255) --
Institutional Shares (14,670) (5,745) --
---------------------------------------------------------------
Total Distributions (243,879) (153,663) (281)
---------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 970,360 1,116,438 101,722
Issued in Lieu of Cash Distributions 207,350 134,803 232
Redeemed (765,726) (624,747) (11,799)
---------------------------------------------------------------
Net Increase--Investor Shares 411,984 626,494 90,155
---------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 149,717 153,934 --
Issued in Lieu of Cash Distributions 12,572 6,664 --
Redeemed (8,221) (24,817) --
---------------------------------------------------------------
Net Increase--Institutional Shares 154,068 135,781 --
- --------------------------------------------------------------------------------------------------------------------------------
Total Increase 243,062 1,075,940 90,118
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 2,789,294 1,713,354 --
---------------------------------------------------------------
End of Period $3,032,356 $2,789,294 $90,118
================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 42,704 48,530 10,819
Issued in Lieu of Cash Distributions 10,127 5,919 25
Redeemed (33,911) (27,476) (1,393)
---------------------------------------------------------------
Net Increase in Shares Outstanding 18,920 26,973 9,451
================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 6,477 6,462 --
Issued in Lieu of Cash Distributions 613 291 --
Redeemed (385) (991) --
---------------------------------------------------------------
Net Increase in Shares Outstanding 6,705 5,762 --
================================================================================================================================
</TABLE>
*Commencement of subscription period.
26
<PAGE> 111
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE
INDEX FUND
-------------------------------
APR. 20* TO
DEC. 31, 1998
(000)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 639
Realized Net Gain (Loss) 482
Change in Unrealized Appreciation (Depreciation) (11,368)
-------------------------------
Net Increase (Decrease) in Net Assets Resulting from Operations (10,247)
-------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (705)
Institutional Shares --
Realized Capital Gain
Investor Shares --
Institutional Shares --
-------------------------------
Total Distributions (705)
-------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 143,483
Issued in Lieu of Cash Distributions 627
Redeemed (20,593)
-------------------------------
Net Increase--Investor Shares 123,517
-------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued --
Issued in Lieu of Cash Distributions --
Redeemed --
-------------------------------
Net Increase--Institutional Shares --
- ---------------------------------------------------------------------------------------------------------------------------
Total Increase 112,565
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period --
-------------------------------
End of Period $112,565
===========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 15,327
Issued in Lieu of Cash Distributions 74
Redeemed (2,516)
-------------------------------
Net Increase in Shares Outstanding 12,885
===========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued --
Issued in Lieu of Cash Distributions --
Redeemed --
-------------------------------
Net Increase in Shares Outstanding --
===========================================================================================================================
</TABLE>
*Commencement of subscription period.
27
<PAGE> 112
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 portfolio for one year.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $30.76 $26.20 $24.07 $18.52 $19.43
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .388 .351 .34 .30 .28
Net Realized and Unrealized Gain (Loss) on Investments 2.025 6.479 3.85 5.95 (.62)
--------------------------------------------------------------
Total from Investment Operations 2.413 6.830 4.19 6.25 (.34)
--------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.373) (.360) (.34) (.30) (.28)
Distributions from Realized Capital Gains (2.170) (1.910) (1.72) (.40) (.29)
--------------------------------------------------------------
Total Distributions (2.543) (2.270) (2.06) (.70) (.57)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $30.63 $30.76 $26.20 $24.07 $18.52
================================================================================================================================
TOTAL RETURN* 8.32% 26.73% 17.65% 33.80% -1.76%
================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $2,939 $2,723 $2,099 $1,523 $967
Ratio of Total Expenses to Average Net Assets 0.23% 0.23% 0.25% 0.25% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.21% 1.30% 1.42% 1.51% 1.51%
Portfolio Turnover Rate 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.
28
<PAGE> 113
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 1998 DEC. 31, 1997
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $30.76 $29.28
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .427 .200
Net Realized and Unrealized Gain (Loss) on Investments 2.025 3.191
------------------------------
Total from Investment Operations 2.452 3.391
------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.412) (.371)
Distributions from Realized Capital Gains (2.170) (1.540)
------------------------------
Total Distributions (2.582) (1.911)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $30.63 $30.76
======================================================================================================================
TOTAL RETURN** 8.45% 11.82%
======================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $456 $415
Ratio of Total Expenses to Average Net Assets 0.10% 0.10%+
Ratio of Net Investment Income to Average Net Assets 1.34% 1.43%+
Portfolio Turnover Rate 27% 15%
======================================================================================================================
</TABLE>
*Inception.
**Total return does 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
APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1998
- ----------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00
- ----------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .053
Net Realized and Unrealized Gain (Loss) on Investments .840
--------------
Total from Investment Operations .893
--------------
DISTRIBUTIONS
Dividends from Net Investment Income (.053)
Distributions from Realized Capital Gains (.050)
--------------
Total Distributions (.103)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.79
==========================================================================================================
TOTAL RETURN** 8.55%
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $206
Ratio of Total Expenses to Average Net Assets 0.25%+
Ratio of Net Investment Income to Average Net Assets 1.19%+
Portfolio Turnover Rate 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 does not reflect the 0.25% transaction fee on purchases.
+Annualized.
29
<PAGE> 114
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (continued)
- -------------------------------------------------------------------------------------------------------------
MID-CAP INDEX FUND INSTITUTIONAL SHARES
MAY 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1998
- --------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.03
- --------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .055
Net Realized and Unrealized Gain (Loss) on Investments .814
--------------
Total from Investment Operations .869
--------------
DISTRIBUTIONS
Dividends from Net Investment Income (.059)
Distributions from Realized Capital Gains (.050)
--------------
Total Distributions (.109)
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.79
==============================================================================================================
TOTAL RETURN** 8.61%
==============================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $39
Ratio of Total Expenses to Average Net Assets 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.30%+
Portfolio Turnover Rate 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 does not reflect the 0.25% transaction fee on purchases.
+Annualized.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP INDEX FUND
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING ---------------------------------------------- FEB. 1* TO OCT. 1, 1993, TO
THROUGHOUT EACH PERIOD 1998 1997 1996 1995 DEC. 31, 1994 JAN. 31, 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $23.75 $20.23 $18.61 $14.99 $16.24 $16.23
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .311 .277 .26 .24 .20 .05
Net Realized and Unrealized Gain (Loss)
on Investments (1.007) 4.632 3.07 4.06 (.86) .96
----------------------------------------------------------------------------------
Total from Investment Operations (.696) 4.909 3.33 4.30 (.66) 1.01
----------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.304) (.274) (.27) (.23) (.22) (.18)
Distributions from Realized Capital Gains (1.550) (1.115) (1.44) (.45) (.37) (.82)
----------------------------------------------------------------------------------
Total Distributions (1.854) (1.389) (1.71) (.68) (.59) (1.00)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.20 $23.75 $20.23 $18.61 $14.99 $16.24
====================================================================================================================================
TOTAL RETURN** -2.61% 24.59% 18.12% 28.74% -4.00% 6.65%
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,768 $2,652 $1,713 $971 $605 $533
Ratio of Total Expenses to
Average Net Assets 0.24% 0.23% 0.25% 0.25% 0.17%+ 0.18%+
Ratio of Net Investment Income to
Average Net Assets 1.39% 1.38% 1.51% 1.58% 1.50%+ 1.16%+
Portfolio Turnover Rate 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.
30
<PAGE> 115
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 1998 DEC. 31, 1997
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $23.75 $22.56
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .336 .158
Net Realized and Unrealized Gain (Loss) on Investments (1.007) 2.370
-------------------------------
Total from Investment Operations (.671) 2.528
-------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.329) (.288)
Distributions from Realized Capital Gains (1.550) (1.050)
-------------------------------
Total Distributions (1.879) (1.338)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.20 $23.75
========================================================================================================================
TOTAL RETURN** -2.50% 11.42%
========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $264 $137
Ratio of Total Expenses to Average Net Assets 0.12% 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.53% 1.52%+
Portfolio Turnover Rate 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
APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1998
- --------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .03
Net Realized and Unrealized Gain (Loss) on Investments (.47)
----------------
Total from Investment Operations (.44)
----------------
DISTRIBUTIONS
Dividends from Net Investment Income (.03)
Distributions from Realized Capital Gains --
----------------
Total Distributions (.03)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.53
====================================================================================================================
TOTAL RETURN** -4.77%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $90
Ratio of Total Expenses to Average Net Assets 0.25%+
Ratio of Net Investment Income to Average Net Assets 0.63%+
Portfolio Turnover Rate 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 does not reflect the 1.0% transaction fee on purchases.
+Annualized.
31
<PAGE> 116
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (continued)
- ----------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND
APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1998
- ----------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00
- ----------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .045
Net Realized and Unrealized Gain (Loss) on Investments (1.250)
----------------
Total from Investment Operations (1.205)
----------------
DISTRIBUTIONS
Dividends from Net Investment Income (.055)
Distributions from Realized Capital Gains --
----------------
Total Distributions (.055)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.74
==========================================================================================================
TOTAL RETURN** -12.47%
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $113
Ratio of Total Expenses to Average Net Assets 0.25%+
Ratio of Net Investment Income to Average Net Assets 1.13%+
Portfolio Turnover Rate 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 does not reflect the 1.0% transaction fee on purchases.
+Annualized.
32
<PAGE> 117
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, Mid-Cap Index, Small-Cap Index, Small-Cap Growth
Index, and Small-Cap Value Index Funds), New York Stock Exchange Composite
Index (Extended Market Index Fund), S&P MidCap 400 Index (Extended Market
Index, Mid-Cap Index, Small-Cap Index, Small-Cap Growth Index, and Small-Cap
Value 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.
33
<PAGE> 118
NOTES TO FINANCIAL STATEMENTS (continued)
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 December 31, 1998, 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 0.02% 0.8%
Mid-Cap 42 0.02 0.1
Small-Cap 504 0.02 0.7
Small-Cap Growth 14 0.02 --
Small-Cap Value 21 0.02 --
-----------------------------------------------------------------------------------------------
</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 the non-interest-bearing custody account. For
the year ended December 31, 1998, custodian fee offset arrangements reduced
expenses of the Extended Market Index and Small-Cap Index Funds by $34,000 and
$4,000, 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
December 31, 1998. 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 period ended
December 31, 1998, represented the following percentages of average net assets:
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
INDEX FUND INVESTOR SHARES INSTITUTIONAL SHARES
---------------------------------------------------------------------------------------
<S> <C> <C>
Extended Market 0.15% 0.02%
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.
34
<PAGE> 119
E. During the period ended December 31, 1998, purchases and sales of
investment securities other than temporary cash investments were:
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
(000)
--------------------------------------------
INDEX FUND PURCHASES SALES
-----------------------------------------------------------------------------------------------
<S> <C> <C>
Extended Market $ 923,733 $860,026
Mid-Cap 275,842 64,873
Small-Cap 1,298,866 961,558
Small-Cap Growth 134,005 45,145
Small-Cap Value 175,041 46,669
-----------------------------------------------------------------------------------------------
</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 December 31, 1998, 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 $1,151,864 $(393,997) $757,867
Mid-Cap 24,130 (15,318) 8,812
Small-Cap 675,218 (433,455) 241,763
Small-Cap Growth 11,428 (5,870) 5,558
Small-Cap Value 6,782 (18,150) (11,368)
------------------------------------------------------------------------------------------------
</TABLE>
At December 31, 1998, the aggregate settlement value of open futures
contracts expiring in March 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 500 Index 47 $14,635 $ 20
S&P MidCap 400 Index 98 19,196 1,149
Russell 2000 Index 149 31,681 1,825
Mid-Cap/
S&P MidCap 400 Index 12 2,351 238
Small-Cap/
S&P MidCap 400 Index 80 15,670 1,588
Russell 2000 Index 430 91,429 5,628
-----------------------------------------------------------------------------------------------------
</TABLE>
Net unrealized appreciation on open futures contracts is required to be treated
as realized gain for tax purposes.
35
<PAGE> 120
NOTES TO FINANCIAL STATEMENTS (continued)
G. The market value of securities on loan to broker/dealers at December
31, 1998, 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 $262,496 $285,098
Mid-Cap 395 423
Small-Cap 167,490 183,114
Small-Cap Growth 1,510 2,097
Small-Cap Value 1,903 2,373
---------------------------------------------------------------------------------------
</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.
36
<PAGE> 121
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.
BARBARA BARNES HAUPTFUHRER
Director of The Great Atlantic and Pacific Tea Co., IKON Office Solutions, Inc.,
Raytheon Co., Knight-Ridder, Inc., Massachusetts Mutual Life Insurance Co., and
Ladies Professional Golf Association; Trustee Emerita of Wellesley College.
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.
KAREN E. WEST
Controller; Principal of The Vanguard Group, Inc.; Controller 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> 122
VANGUARD
MILESTONES
[PHOTO]
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."
[PHOTO]
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.
[PHOTO]
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
Fund Information
1-800-662-7447
Individual Account Services
1-800-662-2739
Institutional Investor Services
1-800-523-1036
www.vanguard.com
[email protected]
All Vanguard funds are offered by prospectus only. Prospectuses contain more
complete information on advisory fees, distribution charges, and other expenses
and should be read carefully before you invest or send money. Prospectuses can
be obtained directly from The Vanguard Group.
Q980-02/23/1999
(C) 1999 Vanguard Marketing Corporation, Distributor. All rights reserved.
<PAGE> 123
VANGUARD U.S. STOCK INDEX FUNDS
MID- AND SMALL-CAPITALIZATION PORTFOLIOS
FINANCIAL STATEMENTS
DECEMBER 31, 1998
[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 23 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.
- ----------------------------------------------------------------------
<TABLE>
<S> <C>
CONTENTS
Extended Market Index Fund..........................................1
Mid-Cap Index Fund................................................ 25
Small-Cap Index Fund.............................................. 30
Small-Cap Growth Index Fund........................................47
Small-Cap Value Index Fund........................................ 50
Report of Independent Accountants..................................54
</TABLE>
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
COMMON STOCKS (97.7%)(1)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Berkshire Hathaway Class A 1,709 $ 119,609
- - Yahoo!, Inc. 115,300 27,319
- - Cox Communications Class A 295,754 20,444
- - Qwest Communications
International Inc. 406,728 20,336
- - Amazon.com, Inc. 63,200 20,303
- - Level 3 Communications, Inc. 354,900 15,305
The Equitable Cos. 263,009 15,222
AFLAC, Inc. 311,730 13,716
- - Genentech, Inc. Special
Common Stock 153,373 12,222
- - eBay Inc. 50,400 12,159
- - Office Depot, Inc. 288,225 10,646
- - Network Associates, Inc. 159,757 10,584
- - At Home Corp. Series A 141,400 10,499
- - Tele-Communications TCI
Ventures Group Series A 432,500 10,191
Intimate Brands, Inc. 306,300 9,151
- - CNA Financial Corp. 217,615 8,759
McKesson Corp. 109,812 8,682
Linear Technology Corp. 93,704 8,392
- - Chancellor Media Corp. 174,870 8,372
Harley-Davidson, Inc. 173,408 8,215
- - Lexmark International Group,
Inc. Class A 80,700 8,110
- - Republic Industries, Inc. 547,858 8,081
Cintas Corp. 110,100 7,755
Century Telephone
Enterprises, Inc. 112,815 7,615
ServiceMaster Co. 340,550 7,513
- - Best Buy Co., Inc. 120,300 7,383
- - Netscape Communications Corp. 120,685 7,332
Molex, Inc. 189,291 7,217
- - Cadence Design Systems, Inc. 241,332 7,180
Royal Caribbean Cruises, Ltd. 193,300 7,152
Equity Office Properties Trust
REIT 296,300 7,111
- - Wellpoint Health Networks Inc.
Class A 81,301 7,073
Marshall & Ilsley Corp. 120,409 7,036
SouthTrust Corp. 189,725 7,008
- - Biogen, Inc. 83,738 6,950
- - Altera Corp. 112,380 6,841
</TABLE>
1
<PAGE> 124
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Washington Post Co. Class B 11,800 $ 6,820
AmSouth Bancorp 148,602 6,780
- - Outdoor Systems, Inc. 225,218 6,757
- - Maxim Integrated Products, Inc. 153,060 6,687
Kansas City Southern
Industries, Inc. 134,608 6,621
- - Health Management Associates
Class A 303,398 6,561
PaineWebber Group, Inc. 169,012 6,528
Stryker Corp. 118,400 6,519
- - Watson Pharmaceuticals, Inc. 103,004 6,476
Cincinnati Bell, Inc. 167,600 6,337
UnionBanCal Corp. 185,982 6,335
- - Infinity Broadcasting Corp. 230,000 6,296
- - Cablevision Systems Corp.
Class B 124,600 6,253
Donaldson, Lufkin &
Jenrette, Inc. 150,600 6,175
Estee Lauder Cos. Class A 72,029 6,158
Allegiance Corp. 131,400 6,127
Old Kent Financial Corp. 131,047 6,094
CMS Energy Corp. 124,539 6,032
- - Starbucks Corp. 107,100 6,011
First Tennessee National Corp. 157,000 5,976
- - Analog Devices, Inc. 188,658 5,919
- - Immunex Corp. 46,600 5,863
The CIT Group, Inc. 182,400 5,803
- - Xilinx, Inc. 89,000 5,796
Equity Residential Properties
Trust REIT 142,289 5,754
KeySpan Energy Corp. 183,447 5,687
Tyson Foods, Inc. 267,010 5,674
Charter One Financial 202,295 5,614
- - Chiron Corp. 212,140 5,555
- - Bed Bath & Beyond, Inc. 161,200 5,501
First American Corp. (Tenn.) 121,991 5,413
Zions Bancorp 86,512 5,396
First Security Corp. 229,902 5,374
- - Saks Inc. 170,159 5,371
- - ADC Telecommunications, Inc. 154,100 5,355
- - American Power
Conversion Corp. 110,300 5,343
Galileo International, Inc. 122,600 5,333
Simon Property Group, Inc. 187,112 5,333
Food Lion Inc. Class A 499,850 5,311
- - NCR Corp. 124,600 5,202
Popular, Inc. 152,788 5,195
Reliastar Financial Corp. 112,324 5,181
- - Forest Laboratories, Inc. 96,216 5,117
Total System Services, Inc. 217,564 5,113
- - Loral Space & Communications 286,300 5,100
- - Concord EFS, Inc. 120,012 5,086
- - Sterling Commerce, Inc. 112,562 5,065
Vulcan Materials Co. 38,310 5,040
El Paso Energy Corp. 143,764 5,005
- - General Motors Corp. Class H 125,252 4,971
Tosco Corp. 192,074 4,970
Leggett & Platt, Inc. 225,200 4,954
Florida Progress Corp. 110,100 4,934
E.W. Scripps Co. Class A 98,769 4,914
- - Citrix Systems, Inc. 50,400 4,892
AMBAC Financial Group Inc. 80,856 4,867
Vastar Resources, Inc. 112,500 4,859
- - Intuit, Inc. 66,700 4,836
M & T Bank Corp. 9,316 4,834
- - Conoco Inc. 231,000 4,822
Allegheny Energy, Inc. 139,200 4,802
Starwood Hotels & Resorts REIT 211,517 4,799
- - Abercrombie & Fitch Co. 67,300 4,761
- - USA Networks, Inc. 143,607 4,757
- - Gulfstream Aerospace Corp. 89,100 4,745
- - Quintiles Transnational Corp. 88,800 4,740
T. Rowe Price 138,300 4,737
- - FIserv, Inc. 91,425 4,703
- - Robert Half International, Inc. 105,100 4,697
- - Allied Waste Industries, Inc. 197,250 4,660
- - SunGard Data Systems, Inc. 117,236 4,653
Family Dollar Stores, Inc. 210,700 4,635
TECO Energy, Inc. 161,900 4,564
Federal-Mogul Corp. 76,500 4,552
- - Genzyme Corp. 91,176 4,536
NIPSCO Industries, Inc. 147,640 4,494
Mylan Laboratories, Inc. 142,400 4,486
- - Synopsys, Inc. 82,108 4,454
Hillenbrand Industries, Inc. 78,250 4,450
Symbol Technologies, Inc. 69,375 4,436
- - Storage Technology Corp. 123,382 4,388
- - QUALCOMM, Inc. 84,300 4,368
Bergen Brunswig Corp. Class A 124,232 4,333
LG&E Energy Corp. 152,028 4,304
- - U.S. Filter Corp. 187,086 4,280
- - Quantum Corp. 200,000 4,250
Energy East Corp. 74,900 4,232
North Fork Bancorp, Inc. 176,002 4,213
- - Teradyne, Inc. 99,289 4,207
- - Convergys Corp. 187,300 4,191
Green Point Financial Corp. 118,500 4,162
Pinnacle West Capital Corp. 98,200 4,161
- - Global TeleSystems Group, Inc. 73,800 4,114
Wisconsin Energy Corp. 130,361 4,098
- - Network Appliance, Inc. 91,200 4,090
SCANA Corp. 126,100 4,067
- - Arterial Vascular
Engineering, Inc. 77,400 4,063
- - UAL Corp. 67,800 4,047
- - Sofamor Danek Group, Inc. 33,100 4,030
A.G. Edwards & Sons, Inc. 108,122 4,028
- - Smurfit-Stone Container Corp. 253,068 4,002
- - DST Systems, Inc. 69,300 3,954
Diamond Offshore Drilling, Inc. 166,900 3,953
DQE Inc. 89,843 3,947
Allmerica Financial Corp. 68,110 3,942
- - U.S. Cellular Corp. 103,550 3,935
- - SCI Systems, Inc. 68,084 3,932
DPL Inc. 180,812 3,910
- - Comverse Technology, Inc. 54,800 3,891
- - Electronic Arts Inc. 68,600 3,850
Public Storage, Inc. REIT 142,200 3,848
Potomac Electric Power Co. 145,600 3,831
- - Vitesse Semiconductor Corp. 83,300 3,801
Omnicare, Inc. 108,900 3,784
New England Electric System 77,300 3,720
Viad Corp. 122,245 3,713
Dime Bancorp, Inc. 140,346 3,710
</TABLE>
2
<PAGE> 125
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Keebler Foods Co. 96,900 $ 3,646
- - Sanmina Corp. 57,600 3,600
Sundstrand Corp. 69,400 3,600
Montana Power Co. 63,600 3,597
- - Centocor, Inc. 79,300 3,578
- - Jacor Communications, Inc. 55,500 3,573
- - Barnes & Noble, Inc. 83,900 3,566
- - Litton Industries, Inc. 54,600 3,563
- - J.D. Edwards & Co. 125,350 3,557
Shaw Industries, Inc. 143,300 3,475
FINOVA Group, Inc. 64,196 3,463
Old Republic International Corp. 153,341 3,450
- - NTL Inc. 61,100 3,448
Mercantile Bankshares Corp. 89,425 3,443
- - MedImmune Inc. 34,600 3,441
- - Jabil Circuit, Inc. 45,700 3,410
- - Veritas Software Corp. 56,787 3,404
- - Siebel Systems, Inc. 100,100 3,397
Dial Corp. 117,000 3,378
- - Promus Hotel Corp. 104,288 3,376
Sonoco Products Co. 113,393 3,359
Martin Marietta Materials, Inc. 53,800 3,346
- - CMGI Inc 31,052 3,307
Transocean Offshore, Inc. 123,300 3,306
- - Nova Corp. (Georgia) 95,136 3,300
Unitrin, Inc. 45,870 3,291
Enron Oil & Gas Co. 189,876 3,275
Host Marriott Corp. 236,650 3,269
- - Inktomi Corp. 25,200 3,260
Whitman Corp. 128,200 3,253
Archstone Communities Trust
REIT 160,221 3,244
Solutia, Inc. 144,800 3,240
Crescent Real Estate, Inc. REIT 140,100 3,222
Transatlantic Holdings, Inc. 42,600 3,219
Telephone & Data Systems, Inc. 70,828 3,183
- - Uniphase Corp. 45,500 3,157
Vornado Realty Trust REIT 93,196 3,145
Reader's Digest Assn., Inc.
Class A 124,200 3,128
- - Sybron International Corp. 114,600 3,116
IBP, Inc. 106,900 3,113
Compass Bancshares Inc. 81,498 3,102
Lafarge Corp. 76,600 3,102
BHC Communications, Inc.
Class A 25,415 3,101
- - American Standard Cos., Inc. 86,200 3,098
- - Metromedia Fiber Network, Inc. 92,300 3,092
- - American Tower Corp. Class A 104,500 3,089
- - Keane, Inc. 76,700 3,063
Hibernia Corp. Class A 176,028 3,058
- - Apollo Group, Inc. Class A 90,062 3,051
American Water Works Co., Inc. 90,174 3,043
- - E*TRADE Group, Inc. 65,000 3,041
International Game Technology 124,998 3,039
- - PacifiCare Health Systems, Inc.
Class B 38,221 3,039
- - Lear Corp. 78,500 3,022
- - Legato Systems, Inc. 45,800 3,020
- - Waters Corp. 34,600 3,019
MidAmerican Energy Co. 112,094 3,013
Hormel Foods Corp. 91,900 3,010
- - Express Scripts 44,600 2,994
- - Century Communications Corp.
Class A 93,781 2,975
Comdisco, Inc. 175,976 2,970
Hubbell Inc. Class B 78,006 2,964
- - LHS Group, Inc. 57,100 2,948
- - Sepracor Inc. 33,600 2,942
- - Learning Co., Inc. 113,323 2,939
Flowers Industries, Inc. 122,700 2,937
USG Corp. 57,600 2,934
Astoria Financial Corp. 63,753 2,917
CCB Financial Corp. 50,944 2,904
Consolidated Papers 105,600 2,904
Johns Manville Corp. 175,800 2,890
Conectiv, Inc. 117,575 2,881
- - Total Renal Care Holdings, Inc. 97,394 2,879
American Financial Group, Inc. 65,500 2,874
- - International Network Services 42,900 2,853
Diebold, Inc. 79,826 2,849
- - Lycos, Inc. 51,272 2,849
- - Rational Software Corp. 107,092 2,838
- - Mohawk Industries, Inc. 67,300 2,831
Mercury General Corp. 64,600 2,830
IPALCO Enterprises, Inc. 51,000 2,827
- - Dollar Tree Stores, Inc. 64,612 2,823
Herman Miller, Inc. 104,884 2,819
First Virginia Banks, Inc. 59,963 2,818
IMC Global Inc. 131,744 2,816
- - Premier Parks Inc. 92,700 2,804
A. H. Belo Corp. Class A 140,506 2,801
- - Acxiom Corp. 90,222 2,797
- - Northwest Airlines Corp. Class A 109,100 2,789
Meditrust Corp. 184,169 2,786
Commerce Bancshares, Inc. 65,420 2,780
ProLogis Trust REIT 133,937 2,779
- - Arrow Electronics, Inc. 104,000 2,775
Protective Life Corp. 69,300 2,759
Wesco Financial Corp. 7,708 2,734
McCormick & Co., Inc. 80,283 2,715
Interstate Energy Corp. 83,499 2,693
Bowater Inc. 64,949 2,691
TCF Financial Corp. 110,042 2,662
- - Valassis Communications, Inc. 51,500 2,659
- - Rambus Inc. 27,600 2,657
Avnet, Inc. 43,842 2,652
- - Gartner Group, Inc. Class A 124,800 2,652
Sovereign Bancorp, Inc. 185,116 2,638
- - Excite, Inc. 62,600 2,633
Nabisco Holdings Corp. Class A 63,200 2,623
The Timber Co. 110,000 2,619
Southdown, Inc. 44,228 2,618
- - Lincare Holdings, Inc. 64,000 2,596
Hannaford Brothers Co. 48,900 2,592
Ultramar Diamond
Shamrock Corp. 106,826 2,591
- - Snyder Communications, Inc. 76,500 2,582
The St. Joe Co. 109,997 2,578
- - CalEnergy Co. 74,092 2,570
Puget Sound Energy Inc. 92,141 2,568
- - Sterling Software, Inc. 94,774 2,565
</TABLE>
3
<PAGE> 126
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
OGE Energy Corp. 88,000 $ 2,552
Stewart Enterprises, Inc. Class A 114,200 2,541
- - Affiliated Computer Services, Inc.
Class A 56,325 2,535
- - Jones Apparel Group, Inc. 114,800 2,533
- - Devry, Inc. 82,500 2,527
- - SPX Corp. 37,691 2,525
Avalonbay Communities, Inc.REIT 73,421 2,515
Premark International, Inc. 72,523 2,511
- - Young & Rubicam Inc. 77,400 2,506
- - Fox Entertainment Group, Inc.
Class A 99,400 2,504
Manpower Inc. 99,200 2,499
Western Resources, Inc. 75,058 2,496
- - Williams Sonoma, Inc. 61,800 2,491
- - Continental Airlines, Inc. Class B 74,300 2,489
- - United Rentals, Inc. 74,952 2,483
Comair Holdings, Inc. 73,424 2,478
Associated Banc-Corp. 72,173 2,467
- - Citizens Utilities Co. Class B 303,575 2,467
Kimco Realty Corp. REIT 62,150 2,467
Spieker Properties, Inc. REIT 70,900 2,455
- - Northeast Utilities 153,400 2,454
- - Policy Management
Systems Corp. 48,528 2,451
- - U.S. Foodservice 49,996 2,450
American Bankers
Insurance Group 50,400 2,438
Peoples Heritage Financial
Group Inc. 120,234 2,405
Wilmington Trust Corp. 39,000 2,403
Everest Reinsurance
Holdings, Inc. 61,600 2,399
- - CDW Computer Centers, Inc. 25,000 2,398
20th Century Industries of CA 103,200 2,393
Duke Realty Investments, Inc.
REIT 102,898 2,392
- - Metzler Group, Inc. 48,940 2,383
Travelers Property Casualty Corp. 76,800 2,381
City National Corp. 57,188 2,380
- - Outback Steakhouse 59,354 2,367
- - Tech Data Corp. 58,578 2,358
- - Brinker International, Inc. 81,463 2,352
- - Macromedia 69,477 2,341
- - Data Broadcasting Corp. 130,456 2,332
American National Insurance Co. 28,150 2,329
COMSAT Corp. 64,400 2,318
Pulitzer Publishing Co. 26,682 2,311
CNB Bancshares, Inc. 49,550 2,310
Clayton Homes Inc. 167,096 2,308
Erie Indemnity Co. Class A 73,817 2,307
BEC Energy 55,900 2,302
- - Metro-Goldwyn-Mayer Inc. 174,130 2,296
- - FORE Systems, Inc. 124,900 2,287
UtiliCorp United, Inc. 62,286 2,285
Centura Banks, Inc. 30,700 2,283
Ross Stores, Inc. 57,988 2,283
Harte-Hanks, Inc. 80,082 2,282
- - McLeodUSA, Inc. Class A 72,900 2,278
- - Microchip Technology, Inc. 61,575 2,278
Murphy Oil Corp. 55,230 2,278
Boston Properties, Inc. REIT 74,300 2,266
- - VeriSign, Inc. 38,300 2,264
- - Electronics for Imaging, Inc. 56,500 2,260
Interstate Bakeries Corp. 85,000 2,247
- - i2 Technologies, Inc. 73,900 2,245
- - Westpoint Stevens, Inc. 70,714 2,232
FirstMerit Corp. 82,900 2,228
U.S. Industries, Inc. 119,390 2,224
- - Excel Switching Corp. 58,500 2,223
New Plan Excel Realty Trust 99,380 2,205
CNF Transportation, Inc. 58,600 2,201
National Community Bancorp 116,792 2,197
- - Borders Group, Inc. 87,800 2,190
- - Adaptec, Inc. 124,600 2,188
- - Henry Schein, Inc. 48,900 2,188
Reinsurance Group of
America, Inc. 31,200 2,184
- - Gilead Sciences, Inc. 52,900 2,172
- - Iomega Corp. 296,500 2,168
- - STERIS Corp. 75,516 2,147
- - Leucadia National Corp. 68,076 2,144
- - CSG Systems International, Inc. 27,100 2,141
GATX Corp. 56,400 2,136
Pacific Century Financial Corp. 87,602 2,135
First American Financial Corp. 66,200 2,127
Kansas City Power & Light Co. 71,800 2,127
Brooke Group Ltd. 87,100 2,123
HUBCO, Inc. 70,437 2,122
CarrAmerica Realty Corp. REIT 88,200 2,117
- - Investment Technology
Group, Inc. 34,100 2,116
TCA Cable TV, Inc. 59,000 2,106
Financial Security Assurance
Holdings Ltd. 38,800 2,105
AMB Property Corp. 95,600 2,103
Teleflex Inc. 46,000 2,099
- - Agouron Pharmaceuticals, Inc. 35,700 2,097
Dole Food Co. 69,900 2,097
Illinova Corp. 83,876 2,097
Sotheby's Holdings Class A 65,500 2,096
- - Liposome Co., Inc. 134,839 2,082
- - Weatherford International, Inc. 107,452 2,082
Apartment Investment &
Management Co. Class A REIT 55,901 2,079
Airborne Freight Corp. 57,620 2,078
Keystone Financial, Inc. 56,000 2,072
- - BJ's Wholesale Club, Inc. 44,500 2,061
HRPT Properties Trust REIT 145,900 2,052
Rouse Co. REIT 74,500 2,049
- - Suiza Foods Corp. 40,200 2,048
- - Sykes Enterprises, Inc. 67,050 2,045
Aliant Communications, Inc. 49,900 2,040
RPM Inc. (Ohio) 127,480 2,040
- - Atlas Air, Inc. 41,600 2,036
- - Covance, Inc. 69,860 2,035
Bindly Western Industries, Inc. 41,300 2,034
Legg Mason Inc. 64,398 2,033
- - QLogic Corp. 15,500 2,029
United Asset Management Corp. 78,000 2,028
National Data Corp. 41,639 2,027
Dean Foods Corp. 49,633 2,026
</TABLE>
4
<PAGE> 127
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Heftel Broadcasting Corp. 41,100 $ 2,024
- - Orbital Sciences Corp. 45,700 2,022
Cabot Corp. 72,132 2,015
National Fuel Gas Co. 44,600 2,015
- - Complete Business Solutions, Inc. 59,444 2,014
KN Energy, Inc. 55,350 2,013
National Computer Systems, Inc. 54,400 2,013
U.S. Trust Corp. 26,300 1,999
- - EarthLink Network, Inc. 34,900 1,989
- - Noble Drilling Corp. 153,400 1,985
- - PRIMEDIA Inc. 168,400 1,979
Hertz Corp. Class A 43,300 1,976
- - Hollywood Entertainment Corp. 72,271 1,969
- - ICOS Corp. 66,200 1,969
- - Sodexho Marriott Services, Inc. 71,100 1,969
- - American Management
Systems, Inc. 49,125 1,965
Peoples Bank Bridgeport 70,650 1,952
- - Novellus Systems, Inc. 39,400 1,950
- - Jones Intercable Inc. 54,700 1,949
Reynolds & Reynolds Class A 84,900 1,947
- - Universal Health Services Class B 37,500 1,945
- - Pixar, Inc. 55,500 1,943
- - Thermo Instrument Systems, Inc. 128,858 1,941
Santa Fe International Corp. 132,600 1,939
- - Mastech Corp. 67,500 1,932
ICN Pharmaceuticals, Inc. 85,127 1,926
Hartford Life, Inc. 33,000 1,922
Fremont General Corp. 77,574 1,920
The Warnaco Group, Inc. Class A 76,037 1,920
- - Payless ShoeSource, Inc. 40,400 1,914
- - Informix Corp. 193,500 1,911
Houghton Mifflin Co. 40,400 1,909
SEI Corp. 19,200 1,908
Provident Financial Group, Inc. 50,525 1,907
- - Micron Electronics, Inc. 110,100 1,906
- - Patterson Dental Co. 43,800 1,905
- - PLATINUM technology, Inc. 99,577 1,904
- - Barr Labs Inc. 39,600 1,901
Tiffany & Co. 36,532 1,895
Crompton & Knowles Corp. 91,500 1,893
Dynegy,Inc. 172,800 1,890
- - Blyth Industries, Inc. 60,450 1,889
Liberty Property Trust REIT 76,700 1,889
- - Gentex Corp. 94,000 1,880
Mack-Cali Realty Corp. REIT 60,900 1,880
- - Medicis Pharmaceutical Corp. 31,525 1,880
- - MindSpring Enterprises, Inc. 30,700 1,875
- - Security Dynamics
Technologies, Inc. 81,200 1,868
- - ACNielson Corp. 66,100 1,867
Post Properties, Inc. REIT 48,357 1,859
- - Furniture Brands International Inc. 68,200 1,858
Newport News Shipbuilding Inc. 55,400 1,852
MCN Energy Group Inc. 97,100 1,851
- - ISS Group, Inc. 33,600 1,848
Metris Cos., Inc. 36,654 1,844
Valspar Corp. 49,400 1,843
- - Chris-Craft Industries, Inc. 38,232 1,842
Cornerstone Properties, Inc.
REIT 117,600 1,837
FelCor Lodging Trust, Inc. 79,637 1,837
- - Infoseek Corp. 37,200 1,837
- - SFX Entertainment, Inc. 33,400 1,833
- - Trigon Healthcare, Inc. 49,000 1,828
- - Modis Professional Services Inc. 125,800 1,824
York International Corp. 44,600 1,820
- - Micro Warehouse Inc. 53,700 1,816
- - Lattice Semiconductor Corp. 39,200 1,800
Hollinger International, Inc. 129,000 1,798
- - MGM Grand, Inc. 66,087 1,793
- - AnnTaylor Stores Corp. 45,400 1,790
First Brands Corp. 45,300 1,787
- - Winstar Communications, Inc. 45,800 1,786
Tootsie Roll Industries, Inc. 45,470 1,779
- - Andrx Corp. 34,500 1,768
- - OfficeMax, Inc. 145,700 1,767
Trinity Industries, Inc. 45,900 1,767
- - CIENA Corp. 120,700 1,765
- - Sapient Corp. 31,500 1,764
Beckman Coulter, Inc. 32,500 1,763
CKE Restaurants Inc. 59,774 1,760
Lubrizol Corp. 68,533 1,760
Lennar Corp. 69,639 1,758
Starwood Financial Trust REIT 29,280 1,757
Fastenal Co. 39,900 1,756
- - Howmet International Inc. 108,900 1,756
- - Atmel Corp. 114,600 1,755
- - Linens 'n Things, Inc. 44,300 1,755
- - Plantronics, Inc. 20,400 1,754
- - American Eagle Outfitters, Inc. 26,300 1,752
- - AmeriTrade Holding Corp. 55,500 1,748
- - ChoicePoint Inc. 27,100 1,748
- - Ziff-Davis Inc. 110,500 1,747
- - SMART Modular
Technologies, Inc. 62,900 1,745
- - Waddell & Reed Financial, Inc.
Class B 75,000 1,744
Polaris Industries, Inc. 44,250 1,734
- - Ciber, Inc. 62,000 1,732
- - Scholastic Corp. 32,300 1,732
- - Ingram Micro, Inc. 49,600 1,730
Kaydon Corp. 43,100 1,727
HON Industries, Inc. 72,100 1,726
The McClatchy Co. Class A 48,550 1,717
- - Global Marine, Inc. 186,800 1,716
- - Alliant Techsystems, Inc. 20,800 1,715
- - USWeb Corp. 64,850 1,710
The PMI Group Inc. 34,600 1,708
Alpharma, Inc. Class A 48,234 1,703
- - Sylvan Learning Systems, Inc. 55,800 1,702
ENSCO International, Inc. 159,200 1,701
John Wiley & Sons Class A 35,200 1,701
Trustco Bank 56,676 1,700
- - PSINet, Inc. 81,200 1,695
Delta & Pine Land Co. 45,776 1,694
- - BISYS Group, Inc. 32,800 1,693
Reliance Group Holdings 131,314 1,691
Weis Markets, Inc. 43,400 1,687
- - Westwood One, Inc. 55,300 1,687
TR Financial Corp. 42,800 1,685
Pentair, Inc. 42,208 1,680
</TABLE>
5
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Trustmark Corp. 74,200 $ 1,679
- - HA-LO Industries, Inc. 44,600 1,678
IDACORP, Inc. 46,300 1,675
- - PSS World Medical, Inc. 72,600 1,670
AVX Corp. 98,400 1,667
- - Catellus Development Corp. 116,401 1,666
- - Network Solutions, Inc. Class A 12,700 1,662
- - Corrections Corp. of America 94,128 1,659
- - Associated Group, Inc. 38,556 1,658
Bob Evans Farms, Inc. 63,616 1,658
Questar Corp. 85,430 1,655
Applied Power, Inc. 43,815 1,654
Millennium Chemicals, Inc. 83,100 1,652
- - Republic Services, Inc. Class A 89,600 1,652
- - SkyTel Communications, Inc. 74,400 1,646
Federated Investors, Inc. 90,600 1,642
MAF Bancorp, Inc. 61,971 1,642
- - Wind River Systems 34,861 1,638
Earthgrains Co. 52,800 1,634
- - MiniMed, Inc. 15,600 1,634
- - AnswerThink Consulting
Group, Inc. 60,700 1,631
D. R. Horton, Inc. 70,600 1,624
Minnesota Power, Inc. 36,900 1,624
AGL Resources Inc. 70,300 1,621
Harsco Corp. 53,232 1,620
Ruby Tuesday, Inc. 76,124 1,618
- - Pennzoil-Quaker State Co. 109,064 1,616
Valley National Bancorp 57,342 1,616
Pittston Brink's Group 50,600 1,613
Central Newspapers Inc. 22,550 1,611
MDU Resources Group, Inc. 61,225 1,611
Borg-Warner Automotive, Inc. 28,800 1,607
Nationwide Financial
Services, Inc. 31,100 1,607
WestAmerica Bancorporation 43,696 1,606
Carlisle Co., Inc. 31,046 1,603
- - ITT Educational Services, Inc. 47,100 1,601
- - Jacobs Engineering Group Inc. 39,300 1,601
Universal Foods Corp. 58,324 1,600
Noble Affiliates, Inc. 64,936 1,599
- - Whittman-Hart, Inc. 57,900 1,599
- - Cooper Cameron Corp. 65,200 1,597
Cordant Technologies, Inc. 42,600 1,597
Commerce Bancorp, Inc. 30,272 1,589
Meritor Automotive, Inc. 75,000 1,589
- - R & B Falcon Corp. 208,237 1,588
- - Knoll, Inc. 53,400 1,582
Lyondell Chemical Co. 87,454 1,574
- - Southern Union Co. 64,541 1,573
Old National Bancorp 28,174 1,571
Commercial Federal Corp. 67,597 1,567
- - Transaction Systems
Architects, Inc. 31,300 1,565
Arden Realty Group, Inc. REIT 67,400 1,563
- - Foundation Health Systems
Class A 130,732 1,561
Cracker Barrel Old Country
Stores, Inc. 66,933 1,560
- - Catalina Marketing Corp. 22,800 1,559
- - Cognex Corp. 77,950 1,559
Rollins Truck Leasing 105,462 1,556
Highwood Properties, Inc. REIT 60,400 1,555
- - Oxford Health Plan 104,400 1,553
BancWest Corp. 32,300 1,550
- - AmeriSource Health Corp. 23,704 1,541
- - Serologicals Corp. 51,300 1,539
- - Western Digital Corp. 102,200 1,539
- - RELTEC Corp. 69,300 1,538
- - Aurora Foods Inc. 77,600 1,537
- - Champion Enterprises, Inc. 56,114 1,536
- - Vertex Pharmaceuticals, Inc. 51,600 1,535
- - Nabors Industries, Inc. 113,100 1,534
- - Safeskin Corp. 63,600 1,534
Camden Property Trust REIT 58,861 1,530
Cullen/Frost Bankers, Inc. 27,860 1,529
Olin Corp. 54,000 1,529
Horace Mann Educators Corp. 53,600 1,528
- - IDEXX Laboratories Corp. 56,800 1,528
- - IVAX Corp. 122,800 1,527
Media General, Inc. Class A 28,800 1,526
- - Neiman Marcus Group Inc. 61,155 1,525
- - Papa John's International, Inc. 34,550 1,525
- - ETEC Systems, Inc. 38,100 1,524
- - MAXIMUS, Inc. 41,200 1,524
Universal Corp. 43,400 1,524
- - Level One Communications 42,600 1,512
Washington Federal Inc. 56,657 1,512
AK Steel Corp. 64,100 1,506
- - C-Cube Microsystems, Inc. 55,500 1,505
- - IDX Systems Corp. 34,182 1,504
Lancaster Colony Corp. 46,715 1,501
- - Swift Transportation Co., Inc. 53,550 1,501
- - Crown Castle International Corp. 63,700 1,497
- - CommScope, Inc. 89,000 1,496
- - Alleghany Corp. 7,958 1,495
Hawaiian Electric Industries Inc. 37,135 1,495
- - VISIX Inc. 17,100 1,495
- - Alternate Living Services, Inc. 43,600 1,493
G & K Services, Inc. 28,025 1,492
CalMat Co. 48,300 1,491
USEC Inc. 107,300 1,489
- - Education Management Corp. 63,000 1,488
- - Advantage Learning Systems, Inc. 22,600 1,486
Jones Pharma, Inc. 40,650 1,484
United Television, Inc. 12,900 1,484
Unifi, Inc. 75,725 1,481
Arvin Industries, Inc. 35,500 1,480
Ogden Corp. 59,051 1,480
Lee Enterprises, Inc. 46,900 1,477
- - Symantec Corp. 67,912 1,477
Cousins Properties, Inc. REIT 45,754 1,476
Expeditors International of
Washington, Inc. 35,100 1,474
C.H. Robinson Worldwide, Inc. 56,800 1,473
- - Dionex Corp. 40,100 1,469
- - O'Reilly Automotive, Inc. 31,100 1,469
- - World Color Press, Inc. 48,200 1,467
- - Burr-Brown Corp. 62,500 1,465
DENTSPLY International Inc. 56,800 1,463
- - Smithfield Foods, Inc. 43,200 1,463
Tidewater Inc. 63,100 1,463
</TABLE>
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Conmed Corp. 44,300 $ 1,462
Talbots Inc. 46,600 1,462
- - Adelphia Communications Corp.
Class A 31,900 1,459
Rochester Gas and Electric Corp. 46,648 1,458
Fulton Financial Corp. 64,763 1,457
- - SLI, Inc. 52,500 1,457
- - PETsMART, Inc. 132,400 1,456
- - Aspect Development, Inc. 32,800 1,453
Ethan Allen Interiors, Inc. 35,400 1,451
Commonwealth Energy Systems 35,800 1,450
Ruddick Corp. 63,000 1,449
- - Earthshell Corp. 121,100 1,446
Forest City Enterprise Class A 55,100 1,446
- - INCYTE Pharmaceuticals, Inc. 38,700 1,446
- - Biomatrix, Inc. 24,767 1,443
- - Capstar Broadcasting Corp. 63,000 1,441
Ohio Casualty Corp. 34,956 1,438
Church & Dwight, Inc. 39,900 1,434
- - ONSALE, Inc. 35,800 1,434
- - Men's Wearhouse, Inc. 45,125 1,433
- - Whole Foods Market, Inc. 29,600 1,432
- - L-3 Communications
Holdings, Inc. 30,700 1,429
- - Vlasic Foods International, Inc. 60,000 1,429
Wausau-Mosinee Paper Corp. 80,628 1,426
- - Alaska Air Group, Inc. 32,200 1,425
- - Spyglass, Inc. 64,700 1,423
Genovese Drug Stores, Inc.
Class A 49,889 1,422
Alfa Corp. 58,600 1,421
General Growth Properties Inc.
REIT 37,500 1,420
Webster Financial Corp. 51,762 1,420
- - 99 Cents Only Stores 28,850 1,417
- - PEC Israel Economic Corp. 49,300 1,417
Superior Industries
International, Inc. 50,919 1,416
- - Physician Reliance Network, Inc. 107,800 1,415
- - Wang Laboratories, Inc. 51,000 1,415
Arrow International, Inc. 45,000 1,412
- - The MONY Group Inc. 45,100 1,412
Pittway Corp. Class A 42,632 1,410
- - Anixter International Inc. 69,300 1,408
Wallace Computer Services, Inc. 53,400 1,408
Deb Shops, Inc. 93,800 1,407
- - Eagle Hardware & Garden, Inc. 43,300 1,407
Washington REIT 75,500 1,406
- - Read Rite Corp. 95,069 1,405
Valhi, Inc. 123,400 1,404
- - General Nutrition Cos., Inc. 86,300 1,402
- - United Video Satellite Group, Inc. 59,300 1,401
Liberty Corp. 28,400 1,399
- - IXC Communications, Inc. 41,500 1,395
MeriStar Hospitality Corp. 75,031 1,393
Meridian Industrial Trust, Inc. REIT 59,200 1,391
- - Pharmaceutical Product
Development, Inc. 46,283 1,391
- - International Home Foods, Inc. 82,400 1,390
- - Lamar Advertising Co. Class A 37,250 1,388
- - Cellular Communications
International Inc. 20,400 1,387
- - TeleBanc Financial Corp. 40,800 1,387
- - Vanguard Cellular Systems, Inc.
Class A 53,637 1,385
American Annuity Group Inc. 60,178 1,384
Chesapeake Corp. of Virginia 37,483 1,382
Aptargroup Inc. 49,200 1,381
Valero Energy Corp. 65,000 1,381
Enhance Financial Services
Group, Inc. 46,000 1,380
Cleco Corp. 40,092 1,376
St. Paul Bancorp, Inc. 50,555 1,376
- - Toll Brothers, Inc. 60,900 1,374
Ballard Medical Products 56,266 1,368
- - Safety-Kleen Corp. 96,825 1,368
- - Brightpoint, Inc. 99,100 1,363
Arthur J. Gallagher & Co. 30,900 1,363
- - Pre-Paid Legal Services, Inc. 41,300 1,363
- - Action Performance Cos., Inc. 38,500 1,362
- - Broadcast.com, Inc. 17,800 1,362
Taubman Co. REIT 98,800 1,359
- - Haemonetics Corp. 59,700 1,358
- - Security First Technologies Corp. 44,488 1,357
- - CustomTracks Corp. 126,850 1,356
CMAC Investment Corp. 29,500 1,355
Nevada Power Co. 52,052 1,353
- - Shorewood Packaging Corp. 65,850 1,350
- - Structural Dynamics
Research Corp. 67,855 1,349
- - CSK Auto Corp. 50,500 1,348
- - CheckFree Holdings Corp. 57,500 1,344
- - InfoCure Corp. 41,000 1,343
- - Orthodontic Centers of
America, Inc. 69,000 1,341
E.W. Blanch Holdings, Inc. 28,200 1,338
- - BroadVision, Inc. 41,800 1,338
Health Care REIT, Inc. 51,700 1,338
Orion Capital Corp. 33,600 1,338
- - Roberts Pharmaceuticals 61,500 1,338
Federal Realty Investment Trust
REIT 56,600 1,337
- - Cambridge Technology Partners 60,400 1,336
- - Handleman Co. 95,000 1,336
- - Smith International, Inc. 53,000 1,335
- - Paymentech, Inc. 72,067 1,333
- - AmeriCredit Corp. 96,400 1,332
Irvine Apartment Communities,
Inc. REIT 41,700 1,329
Crawford & Co. Class B 86,000 1,328
New England Business
Service, Inc. 33,900 1,326
Hussman International, Inc. 68,400 1,325
Student Loan Corp. 29,500 1,324
Washington Water Power Co. 68,700 1,322
- - NCO Group, Inc. 29,300 1,319
- - Cerner Corp. 49,230 1,317
Nordson Corp. 25,640 1,317
USFreightways Corp. 45,200 1,316
Commerce Group, Inc. 37,100 1,315
</TABLE>
7
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Chateau Communities, Inc. REIT 44,812 $ 1,314
- - Coltec Inc. 67,400 1,314
- - Delphi Financial Group, Inc. 25,018 1,312
- - Envoy Corp. 22,500 1,311
- - ADVO, Inc. 49,675 1,310
- - Hanover Compressor Co. 51,000 1,310
- - International Specialty
Products, Inc. 96,500 1,309
- - AXENT Technologies, Inc. 42,800 1,308
- - TMP Worldwide, Inc. 31,100 1,306
- - Univision Communications Inc. 36,000 1,303
- - Wall Data Inc. 54,200 1,301
Kelly Services, Inc. Class A 40,937 1,300
Coachmen Industries, Inc. 49,500 1,299
Bank North Group 34,500 1,298
- - Visio Corp. 35,500 1,298
JDN Realty Corp. REIT 60,150 1,297
Liberty Financial Cos., Inc. 48,000 1,296
Carter-Wallace, Inc. 66,000 1,295
Rayonier Inc. 28,200 1,295
- - National Instruments Corp. 37,850 1,292
Sun Communities, Inc. REIT 37,100 1,292
La-Z-Boy Inc. 72,500 1,291
Westfield America, Inc. REIT 74,700 1,289
Jefferies Group, Inc. 25,900 1,285
First Midwest Bancorp 33,700 1,283
True North Communications 47,700 1,282
- - Getchell Gold Corp. 46,919 1,279
- - Mercury Interactive Corp. 20,200 1,278
- - Western Wireless Corp. Class A 58,000 1,276
- - BJ Services Co. 81,500 1,273
Blount International, Inc. 51,000 1,272
- - CompUSA, Inc. 97,200 1,270
- - UNOVA, Inc. 70,000 1,269
Michael Foods Group, Inc. 42,255 1,268
Florida East Coast Railway Co. 36,000 1,267
Reckson Associates Realty
Corp. REIT 57,100 1,267
Federal Signal Corp. 46,237 1,266
- - Superior Consultant
Holdings Corp. 29,100 1,266
Colonial BancGroup, Inc. 105,300 1,264
Hospitality Properties Trust REIT 52,400 1,264
Queens County Bancorp, Inc. 42,497 1,264
JLG Industries, Inc. 80,800 1,263
Weingarten Realty Investors REIT 28,300 1,263
Precision Castparts Corp. 28,500 1,261
Caraustar Industries, Inc. 44,000 1,257
Provident Bankshares Corp. 50,552 1,257
- - Tower Automotive, Inc. 50,400 1,257
- - Sanchez Computer
Associates, Inc. 42,950 1,256
Franchise Finance Corp. of
America REIT 52,300 1,255
- - Shopko Stores, Inc. 37,755 1,255
- - First Health Group Corp. 75,630 1,253
Baldor Electric Co. 61,806 1,252
- - CNET, Inc. 23,500 1,251
- - Zale Corp. 38,800 1,251
John Nuveen Co. Class A 33,643 1,249
CenterPoint Properties Corp. REIT 36,900 1,248
One Valley Bancorp of
West Virginia Inc. 37,968 1,248
GenCorp, Inc. 50,000 1,247
- - RCN Corp. 70,500 1,247
J.M. Smucker Co. Class A 50,300 1,245
- - Yellow Corp. 65,100 1,245
- - Scios, Inc. 119,868 1,244
HSB Group Inc. 30,214 1,241
Pier 1 Imports Inc. 128,008 1,240
Elcor Corp. 38,300 1,238
- - Knight/Trimark Group, Inc. 51,700 1,238
- - Optical Cable Corp. 102,000 1,237
UST Corp. 52,200 1,230
- - Consolidated Products Inc. 59,495 1,227
- - Speedway Motorsports, Inc. 43,000 1,226
Washington Gas Light Corp. 45,202 1,226
- - Apria Healthcare 137,080 1,225
- - Mesaba Holdings, Inc. 59,400 1,225
Nationwide Health Properties, Inc. 56,800 1,225
General Binding Corp. 32,800 1,222
Mentor Corp. 52,115 1,221
- - ABR Information Services, Inc. 62,100 1,219
Independence Community
Bank Corp. 76,300 1,216
- - United Stationers, Inc. 46,688 1,214
- - Genesis Direct, Inc. 155,100 1,212
Presidential Life Corp. 61,000 1,212
- - Bally Total Fitness Holding Corp. 48,689 1,211
- - LAM Research Corp. 67,935 1,210
- - Safeguard Scientifics, Inc. 44,100 1,210
Corn Products International, Inc. 39,800 1,209
- - M.S. Carriers, Inc. 36,700 1,209
- - Mastec Inc. 57,583 1,209
Donaldson Co., Inc. 58,200 1,208
LandAmerica Financial Group, Inc. 21,650 1,208
- - American Oncology
Resources, Inc. 82,900 1,207
Raymond James Financial, Inc. 57,137 1,207
Claire's Stores, Inc. 58,800 1,205
United Illuminating Co. 23,400 1,205
- - GTech Holdings Corp. 47,000 1,204
- - IT Group, Inc. 108,208 1,204
Florida Rock Industries, Inc. 38,800 1,203
Greif Brothers Corp. Class A 41,200 1,203
Fund American Enterprise
Holding Co. 8,585 1,202
Bank United Corp. Class A 30,600 1,201
Hughes Supply, Inc. 41,061 1,201
United Water Resources, Inc. 50,044 1,198
- - NEXTLINK Communications, Inc. 42,200 1,197
- - Tekelec 72,200 1,196
Citizens Banking Corp. 35,400 1,195
Midas Inc. 38,333 1,193
NAC Re Corp. 25,425 1,193
- - RealNetworks, Inc. 33,200 1,191
- - Kronos, Inc. 26,850 1,190
- - Applied Analytical Industries, Inc. 68,300 1,187
- - Interim Services, Inc. 50,800 1,187
- - Hanover Direct, Inc. 344,876 1,186
- - Pacificare Health Systems Inc.
Class A 16,295 1,185
</TABLE>
8
<PAGE> 131
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Roper Industries Inc. 58,100 $ 1,184
Ametek Aerospace Products Inc. 52,900 1,180
Glenborough Realty Trust, Inc.
REIT 57,900 1,180
- - Teletech Holdings Inc. 115,000 1,179
Equitable Resources, Inc. 40,450 1,178
- - Mid Atlantic Medical
Services, Inc. 120,000 1,178
- - MIPS Technologies, Inc. 36,800 1,178
Sierra Pacific Resources 31,000 1,178
United Dominion Realty Trust
REIT 114,200 1,178
- - Amerco, Inc. 42,100 1,176
Developers Diversified Realty
Corp. REIT 66,200 1,175
Ryland Group, Inc. 40,700 1,175
- - Sequent Computer Systems, Inc. 97,300 1,174
Werner Enterprises, Inc. 66,375 1,174
N L Industries, Inc. 82,700 1,173
- - Sierra Health Services 55,603 1,171
Foremost Corp. of America 55,700 1,170
- - Extended Stay America, Inc. 111,300 1,169
- - Continental Materials Corp. 32,000 1,168
- - S3, Inc. 158,700 1,168
- - Micrel, Inc. 21,200 1,166
Nielsen Media Research 64,800 1,166
- - Dal-Tile International Inc. 112,200 1,164
Modine Manufacturing Co. 32,100 1,164
- - DuPont Photomasks, Inc. 27,400 1,163
The Macerich Co. REIT 45,400 1,163
United Bankshares, Inc. 43,900 1,163
BRE Properties Inc. Class A REIT 46,900 1,161
Bradley Real Estate Inc. REIT 56,637 1,161
CMP Group Inc. 61,467 1,160
The Standard Register Co. 37,487 1,160
- - RF Micro Devices, Inc. 25,000 1,159
Aquarion Co. 28,249 1,158
- - DBT Online Inc. 46,354 1,156
Gaylord Entertainment Co.
Class A 38,357 1,156
- - Newfield Exploration Co. 55,400 1,156
- - GeoTel Communications Corp. 31,000 1,155
- - Peregrine Systems, Inc. 24,900 1,155
Varian Associates, Inc. 30,500 1,155
- - Cree Research, Inc. 24,100 1,154
Charles E. Smith Residential
Realty, Inc. REIT 35,900 1,153
Devon Energy Corp. 37,500 1,151
- - Secure Computing Corp. 60,400 1,151
- - Boston Communications
Group, Inc. 88,400 1,149
- - Circus Circus Enterprises Inc. 100,259 1,147
- - UICI 46,800 1,147
Heller Financial, Inc. 39,000 1,146
- - Protection One, Inc. 133,800 1,146
- - Advanced Fibre
Communications, Inc. 104,700 1,145
Omega Healthcare Investors,
Inc. REIT 37,941 1,145
Overseas Shipholding Group Inc. 71,300 1,145
UMB Financial Corp. 24,962 1,145
Community First Bankshares 54,316 1,144
Graco, Inc. 38,765 1,144
- - Sequa Corp. Class A 19,100 1,144
- - Ryan's Family Steak Houses, Inc. 92,400 1,143
- - Copley Pharmaceutical, Inc. 110,117 1,142
Eastern Utilities Associates 40,381 1,141
W.R. Berkley Corp. 33,450 1,139
Staten Island Bancorp, Inc. 57,100 1,138
Dallas Semiconductor Corp. 27,900 1,137
Albemarle Corp. 47,782 1,135
- - Bush Boake Allen, Inc. 32,200 1,135
Orange & Rockland Utilities, Inc. 19,900 1,134
- - Scott Technologies, Inc. 68,600 1,134
- - Affymetrix, Inc. 46,500 1,133
Selective Insurance Group 56,300 1,133
- - Primark Corp. 41,731 1,132
Piedmont Natural Gas, Inc. 31,214 1,128
- - Human Genome Sciences, Inc. 31,700 1,127
- - ThermoQuest Corp. 86,900 1,124
- - Antec Corp. 55,800 1,123
- - Avondale Industries, Inc. 38,700 1,122
- - Vail Resorts Inc. 51,000 1,122
Chicago Title Corp. 23,874 1,121
Downey Financial Corp. 44,020 1,120
- - Hayes Lemmerz International, Inc. 37,100 1,120
Lincoln Electric Holdings 50,352 1,120
- - Clarify, Inc. 45,800 1,119
SIG Corp. 31,281 1,116
- - Cirrus Logic 113,600 1,115
- - IHOP Corp. 27,900 1,114
- - Tel-Save.com, Inc. 66,500 1,114
- - WetSeal, Inc. Class A 36,900 1,114
Block Drug Co. Class A 25,639 1,112
Chelsea GCA Realty, Inc. REIT 31,200 1,112
Burlington Coat Factory
Warehouse Corp. 68,100 1,111
- - United International Holdings, Inc.
Class A 57,739 1,111
ASA Holdings Inc. 36,400 1,110
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 80,700 1,110
MascoTech Inc. 64,685 1,108
First Citizens BancShares Class A 12,300 1,107
- - Komag, Inc. 106,700 1,107
A.O. Smith Corp. 45,050 1,107
Clarcor Inc. 55,300 1,106
- - Sunrise Assisted Living, Inc. 21,300 1,105
Computer Task Group, Inc. 40,708 1,104
- - Markel Corp. 6,100 1,104
- - The SABRE Group Holdings, Inc. 24,800 1,104
- - Renal Care Group, Inc. 38,200 1,101
Alexander & Baldwin, Inc. 47,200 1,097
- - GeoCities 32,600 1,096
- - Theragenics Corp. 65,200 1,096
- - Computer Horizons Corp. 41,138 1,095
- - URS Corp. 46,658 1,091
- - Maxxam Inc. 19,000 1,090
Lance, Inc. 54,641 1,089
NBT Bancorp, Inc. 46,525 1,088
- - Commonwealth Telephone
Enterprises, Inc. 32,400 1,085
</TABLE>
9
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Digital Microwave Corp. 158,596 $ 1,085
Atmos Energy Corp. 33,600 1,084
Albany International Corp. 57,179 1,083
- - Building One Services Corp. 51,900 1,083
Cilcorp, Inc. 17,700 1,083
- - K-V Pharmaceutical Co. Class A 52,350 1,083
- - Barrett Resources Corp. 45,050 1,081
Gerber Scientific, Inc. 45,300 1,079
TJ International, Inc. 42,000 1,079
Argonaut Group, Inc. 44,019 1,078
- - Consolidated Freightways Corp. 67,850 1,077
- - Coventry Health Care Inc. 122,000 1,075
- - Integrated Electrical Services, Inc. 48,300 1,075
Granite Construction Co. 32,000 1,074
Invacare Corp. 44,743 1,074
- - Metro Networks, Inc. 25,200 1,074
Patriot American Hospitality, Inc.
REIT 179,007 1,074
- - Photronics Labs Inc. 44,796 1,074
Richfood Holdings, Inc. 51,700 1,073
- - WMS Industries, Inc. 145,550 1,073
- - Whittaker Corp. 63,600 1,073
- - Gaylord Container Corp. 175,000 1,072
- - American Freightways 92,800 1,070
Jack Henry & Associates 21,500 1,070
International Multifoods Corp. 41,469 1,070
- - Rexall Sundown, Inc. 76,394 1,070
- - Unitrode Corp. 61,100 1,069
- - PathoGenesis Corp. 18,400 1,067
- - Personnel Group of America, Inc. 60,996 1,067
Central Hudson Gas &
Electric Corp. 23,800 1,065
- - MedPartners, Inc. 202,917 1,065
- - Detroit Diesel Corp. 51,422 1,064
- - Bright Horizons Family
Solutions, Inc. 39,380 1,063
- - Cypress Semiconductor Corp. 127,700 1,062
Diagnostic Products Corp. 34,077 1,061
AAR Corp. 44,400 1,060
Rollins, Inc. 60,600 1,060
- - Golden State Bancorp Inc. 63,705 1,059
Myers Industries, Inc. 36,971 1,058
Ferro Corp. 40,662 1,057
Harman International
Industries, Inc. 27,714 1,057
- - International Rectifier Corp. 108,400 1,057
- - Cable Design Technologies 57,072 1,056
- - Houston Exploration Co. 53,100 1,055
- - Hyperion Telecommunications,
Inc. Class A 69,700 1,054
- - Playtex Products, Inc. 65,600 1,054
Kimball International, Inc. Class B 55,400 1,053
The Trust Co. of New Jersey 42,900 1,051
- - Hambrecht & Quist Group 46,300 1,050
Sanderson Farms, Inc. 68,250 1,049
- - Spelling Entertainment 139,800 1,049
- - Xylan Corp. 57,900 1,049
- - InterVoice, Inc. 30,387 1,048
- - Romac International, Inc. 47,100 1,048
- - Inhale Therapeutic Systems 31,700 1,046
Lawter International Inc. 89,954 1,046
- - American Bank Note
Holographics, Inc. 59,700 1,045
- - Quorum Health Group, Inc. 80,800 1,045
Dexter Corp. 33,200 1,044
- - Trammell Crow Co. 37,300 1,044
Casey's General Stores 80,000 1,043
- - J. Ray McDermott SA 42,700 1,043
- - QRS Corp. 21,700 1,042
- - The Topps Co., Inc. 208,440 1,042
- - Ralcorp Holdings, Inc. 57,000 1,040
Skyline Corp. 32,000 1,040
- - Fairfield Communities, Inc. 93,900 1,039
JSB Financial 19,099 1,039
First Industrial Realty Trust REIT 38,700 1,038
Cash America International Inc. 68,310 1,037
- - Eastern Environmental
Services, Inc. 35,000 1,037
- - The Petersen Cos., Inc. 30,600 1,037
- - Mail-Well, Inc. 90,600 1,036
- - Canandaigua Brands, Inc. Class A 17,900 1,035
First Coastal Bankshares, Inc. 44,050 1,035
- - DSP Communications, Inc. 67,500 1,034
Doral Financial Corp. 46,700 1,033
National Bankcorp of Alaska Inc. 30,600 1,033
- - Fresh Del Monte Produce Inc. 47,600 1,032
- - Consolidated Cigar Holdings Inc. 58,300 1,031
- - Pediatrix Medical Group, Inc. 17,200 1,031
Alexandria Real Estate Equities,
Inc. REIT 33,300 1,030
- - Coach USA, Inc. 29,700 1,030
- - Avis Rent A Car, Inc. 42,500 1,028
H.B. Fuller Co. 21,350 1,027
Southwest Gas Corp. 38,200 1,027
- - HMT Technology Corp. 80,100 1,026
John H. Harland Co. 64,900 1,026
- - Zebra Technologies Class A 35,700 1,026
- - Bell & Howell Co. 27,100 1,025
Central Parking Corp. 31,600 1,025
LeaRonal Inc. 30,250 1,025
LNR Property Corp. 51,350 1,024
- - HNC Software, Inc. 25,300 1,023
- - Esterline Technologies Corp. 47,010 1,022
R.H. Donnelley Corp. 70,100 1,021
- - Sinclair Broadcast Group, Inc. 52,200 1,021
- - Anchor Gaming 18,101 1,020
- - Cytec Industries, Inc. 48,000 1,020
Del Webb Corp. 37,000 1,020
Hancock Holding Co. 22,385 1,019
- - ICG Communications, Inc. 47,400 1,019
- - MGI Pharma, Inc. 104,500 1,019
Regal-Beloit Corp. 44,300 1,019
West Co., Inc. 28,562 1,019
Northwestern Corp. 38,500 1,018
- - Healthcare Financial
Partners, Inc. 25,500 1,017
National Presto Industries, Inc. 23,863 1,017
- - Alexander's, Inc. 13,000 1,016
Centex Construction Products, Inc. 25,000 1,016
Summit Properties, Inc. REIT 58,900 1,016
</TABLE>
10
<PAGE> 133
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - El Paso Electric Co. 115,966 $ 1,015
- - The Profit Recovery Group
International, Inc. 27,100 1,015
- - Pacific Gateway Exchange, Inc. 21,100 1,014
- - STAR Telecommunications, Inc. 83,200 1,014
- - Consolidated Graphics, Inc. 15,000 1,013
MacDermid, Inc. 25,900 1,013
- - CEC Entertainment Inc. 36,475 1,012
- - Buffets Inc. 84,693 1,011
- - On Assignment, Inc. 29,300 1,011
- - Venator Group, Inc. 157,100 1,011
Arnold Industries, Inc. 62,600 1,009
- - CHS Electronics, Inc. 59,600 1,009
Republic Security Financial Corp. 83,041 1,007
- - Plexus Corp. 29,700 1,006
Prentiss Properties Trust REIT 45,100 1,006
- - Young Broadcasting Inc. 24,000 1,005
BSB Bancorp, Inc. 30,544 1,004
- - Comfort Systems USA, Inc. 56,100 1,003
Geon Co. 43,600 1,003
Koger Equity, Inc. REIT 58,300 1,002
- - Lason Holdings, Inc. 17,200 1,001
P.H. Glatfelter Co. 80,800 1,000
Sky Financial Group, Inc. 37,840 1,000
- - Documentum, Inc. 18,700 999
New Jersey Resources Corp. 25,300 999
Pacific Gulf Properties, Inc. REIT 49,800 999
- - J & J Snack Foods Corp. 44,500 996
Primex Technologies, Inc. 23,410 995
- - Gensia Sicor Inc. 218,607 991
- - Broadcom Corp. 8,200 990
- - Diamond Technology Partners Inc. 51,790 990
Allied Capital Corp. 57,120 989
- - Fritz Cos., Inc. 91,500 989
Frontier Insurance Group, Inc. 76,850 989
Park National Corp. 9,600 989
- - Armco, Inc. 225,900 988
Healthcare Realty Trust Inc. 44,300 988
Lilly Industries Inc. Class A 49,488 987
- - Value City Department Stores, Inc. 70,800 987
Storage USA, Inc. REIT 30,500 986
Belden, Inc. 46,500 985
- - Calpine Corp. 39,000 985
Curtiss-Wright Corp. 25,800 984
Minerals Technologies, Inc. 24,000 983
Republic Bancorp, Inc. 72,135 983
- - Vishay Intertechnology, Inc. 67,783 983
- - Mentor Graphics Corp. 115,500 982
- - Emmis Communications, Inc. 22,600 980
Zenith National Insurance Corp. 42,360 980
Brenton Banks, Inc. 58,425 979
- - Lands' End, Inc. 36,300 978
- - Acuson Corp. 65,638 976
Bedford Property Investors, Inc.
REIT 57,800 975
Indiana Energy, Inc. 39,600 975
Dreyer's Grand Ice Cream, Inc. 64,400 974
- - IMRglobal Corp. 33,100 974
Baldwin & Lyons, Inc. Class B 39,300 973
- - McMoRan Exploration Co. 71,390 973
- - Coleman Inc. 106,400 971
- - Egghead.com, Inc. 46,669 971
HCC Insurance Holdings, Inc. 55,100 971
Fidelity National Financial, Inc. 31,790 970
- - Oceaneering International, Inc. 64,700 970
- - Avid Technology, Inc. 41,400 968
Commercial Metals Co. 34,866 968
- - Meridian Gold Co. 170,100 967
- - Oakley, Inc. 101,800 967
- - Image Entertainment, Inc. 92,000 966
- - ISIS Pharmaceuticals, Inc. 74,574 965
TNP Enterprises, Inc. 25,400 964
Public Service Co. of New Mexico 47,120 963
Walden Residential Properties,
Inc. REIT 47,100 963
OM Group, Inc. 26,300 960
Merchants New York
Bancorporation 26,500 959
Terra Industries, Inc. 154,942 959
- - EntreMed, Inc. 45,600 958
Flowserve Corp. 57,794 957
- - Kulicke & Soffa Industries, Inc. 53,900 957
- - Hyperion Solutions Corp. 53,085 956
- - MedQuist, Inc. 24,200 956
First Federal Capital Corp. 58,300 955
First Bancorp/Puerto Rico 31,600 954
Mid-America Bancorp 35,184 954
Wabash National Corp. 46,900 953
- - Cymer, Inc. 65,120 952
Kellwood Co. 38,100 952
- - Brylane, Inc. 40,900 951
- - LaSalle Partners Inc. 32,300 951
Mid-America Apartment
Communities, Inc. REIT 41,900 951
Stewart Information
Services Corp. 16,400 951
Kilroy Realty Corp. REIT 41,300 950
- - Berlitz International, Inc. 32,726 949
- - Triarc Cos., Inc. Class A 59,300 949
WPS Resources Corp. 26,900 948
Witco Chemical Corp. 59,500 948
- - Avant! Corp. 59,190 947
- - Stillwater Mining Co. 23,100 947
Callaway Golf Co. 92,300 946
Pioneer Group, Inc. 47,900 946
Roslyn Bancorp, Inc. 44,000 946
- - SCM Microsystems,Inc. 13,300 945
- - America West Holdings Corp.
Class B 55,500 944
Berry Petroleum Class A 66,500 943
Brady Corp. Class A 35,000 943
Regis Corp. 23,540 942
Sovran Self Storage, Inc. REIT 37,500 942
Anchor Bancorp Wisconsin Inc. 39,200 941
- - Midway Games Inc. 85,581 941
- - Amphenol Corp. 31,100 939
- - MSC Industrial Direct Co., Inc.
Class A 41,400 937
- - Protein Design Labs 40,300 937
- - KEMET Corp. 83,000 934
AmerUs Life Holdings, Inc. 41,700 933
CPI Corp. 35,200 933
</TABLE>
11
<PAGE> 134
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - VLSI Technology, Inc. 85,300 $ 933
- - Wisconsin Central
Transportation Corp. 54,200 932
IDEX Corp. 38,000 931
- - Boole & Babbage Inc. 31,600 930
- - Sola International Inc. 53,800 928
EastGroup Properties, Inc. REIT 50,300 927
Health Care Properties Investors 30,100 926
- - Metamor Worldwide, Inc. 37,050 926
Riggs National Corp. 45,400 925
Innkeepers USA Trust REIT 78,100 923
Pilgrim's Pride Corp. 46,200 921
Evergreen Bancorp, Inc. 28,600 919
Philadelphia Suburban Corp. 31,100 919
Russ Berrie and Co., Inc. 39,100 919
- - Varco International, Inc. 118,556 919
Pioneer Natural Resources Co. 104,856 917
CCA Prison Realty Trust REIT 44,700 916
IRT Property Co. REIT 91,300 913
- - ITC DeltaCom, Inc. 59,900 913
Northwest Bancorp, Inc. 93,600 913
- - Paxar Corp. 102,100 913
Badger Meter, Inc. 25,600 912
- - Cephalon, Inc. 101,300 912
Skywest, Inc. 27,900 912
Town & Country Trust REIT 56,800 912
- - Acclaim Entertainment Inc. 74,400 911
- - First Consulting Group, Inc. 44,442 911
Stone & Webster, Inc. 27,400 911
Justin Industries, Inc. 69,300 910
- - Silicon Valley Group, Inc. 71,400 910
- - The Source Information
Management Co. 78,200 909
- - Credence Systems Corp. 49,000 906
- - Amkor Technology, Inc. 83,600 904
- - Applied Micro Circuits Corp. 26,600 904
- - Ventas, Inc. 74,165 904
- - Players International, Inc. 146,000 903
- - Aspect
Telecommunications Corp. 52,300 902
AREA Bancshares Corp. 34,325 901
- - Hadco Corp. 25,751 901
Berkshire Realty Co., Inc. REIT 94,600 899
National Health Investors REIT 36,400 899
- - Renters Choice, Inc. 28,300 899
- - Remedy Corp. 64,400 898
- - Intermedia Communications Inc. 52,000 897
PennzEnergy 55,000 897
- - Genrad, Inc. 56,912 896
- - Host Marriott Services Corp. 86,390 896
- - Imperial Bancorp 53,875 896
- - System Software
Associates, Inc. 127,150 894
US Bancorp, Inc. 45,000 894
Longview Fibre Co. 77,270 893
- - Synetic, Inc. 20,300 893
Dames & Moore Group 69,300 892
The Toro Co. 31,300 892
- - Century Business Services, Inc. 62,000 891
Western Bancorp 30,461 891
- - hi/fn, Inc. 37,668 890
- - INSO Corp. 35,600 890
- - Integrated Systems, Inc. 59,600 890
Merrill Corp. 46,100 890
Watts Industries Class A 53,500 889
Wicor, Inc. 40,700 888
- - Coherent, Inc. 71,346 887
- - Franklin Covey Co. 52,900 886
- - NeXstar Pharmaceuticals Inc. 95,791 886
Bandag, Inc. 22,162 885
- - Object Design, Inc. 133,400 884
United Dominion Industries Ltd. 43,385 884
- - Datascope Corp. 38,400 883
- - Nortek, Inc. 31,952 883
HEICO Corp. 27,929 882
- - Littelfuse, Inc. 45,800 882
BancorpSouth, Inc. 48,800 881
NCH Corp. 14,800 881
- - Newpark Resources, Inc. 129,300 881
- - Sybase, Inc. 118,840 880
- - Jan Bell Marketing Inc. 136,600 879
- - Pinnacle Systems, Inc. 24,600 879
St. Francis Capital Corp. 20,800 879
- - Thermedics, Inc. 81,300 879
- - AFC Cable Systems, Inc. 26,100 878
- - Mueller Industries Inc. 43,232 878
Prime Retail, Inc. REIT 89,500 878
Banta Corp. 32,025 877
A. Schulman Inc. 38,662 877
- - Vincam Group, Inc. 49,900 876
- - Checkpoint Systems, Inc. 70,726 875
Tredegar Industries Inc. 38,900 875
Rock-Tenn Co. 51,550 873
- - NPC International Class A 72,300 872
- - ResortQuest International, Inc. 59,600 872
- - Biotechnology General 125,600 871
IndyMac Mortgage Holdings, Inc. 82,500 871
- - Insight Enterprises, Inc. 17,100 870
- - Perrigo Co. 98,600 869
- - Mark VII, Inc. 46,600 868
- - Identix, Inc. 104,200 866
City Holding Co. 26,616 865
Shurgard Storage Centers, Inc.
Class A REIT 33,500 865
TIG Holdings, Inc. 55,600 865
- - Technology Solutions Co. 80,596 864
- - World Acceptance Corp. 133,000 864
Exide Corp. 53,100 863
FBL Financial Group, Inc. Class A 35,600 863
- - National R. V. Holdings, Inc. 33,473 862
- - Specialty Equipment Cos., Inc. 31,800 861
- - Ardent Software, Inc. 37,400 860
Empire District Electric Co. 34,755 860
MECH Financial, Inc. 31,000 860
Oriental Financial Group 27,466 860
- - ProBusiness Services, Inc. 18,900 860
- - UniSource Energy Corp. 63,700 860
Cabot Oil & Gas Corp. Class A 57,264 859
Capital Re Corp. 42,800 859
- - Thermo Fibertek, Inc. 120,500 859
- - TransMontaigne Inc. 56,800 859
Mississippi Chemical Corp. 61,255 858
</TABLE>
12
<PAGE> 135
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Unisource Worldwide, Inc. 118,300 $ 858
Apogee Enterprises, Inc. 76,200 857
- - MMC Networks, Inc. 64,700 857
J.B. Hunt Transport Services, Inc. 37,203 856
EVEREN Capital Corp. 37,600 855
- - Boise Cascade Office
Products Corp. 63,276 854
- - Diamond Multimedia
Systems, Inc. 133,900 854
- - Southwest Bancorporation of
Texas, Inc. 47,800 854
- - Walter Industries, Inc. 55,800 854
- - BEA Systems, Inc. 69,600 853
- - Department 56 Inc. 22,700 853
Mark IV Industries, Inc. 65,632 853
Standex International Corp. 32,500 853
WSFS Financial Corp. 50,500 852
- - Peapod, Inc. 124,900 851
Norrell Corp. 57,600 850
- - Immune Response 77,983 848
R.L.I. Corp. 25,450 846
- - Beringer Wine Estates
Holdings, Inc. 18,900 845
Circle International Group, Inc. 41,200 845
- - Mesa Air Group Inc. 108,200 845
Optical Coating Laboratory, Inc. 32,485 845
- - Volt Information Sciences Inc. 37,400 844
Superior Telecom Inc. 17,800 841
- - Telescan, Inc. 92,200 841
Alliance Bancorp Inc. 42,942 840
- - Xircom, Inc. 24,700 840
ChemFirst Inc. 42,500 839
Air Express International Corp. 38,550 838
Carpenter Technology Corp. 24,600 835
- - Ocwen Financial Corp. 67,800 835
- - OmniAmerica Inc. 26,100 835
- - First Federal Financial Corp. 46,650 834
- - Precision Response Corp. 109,000 831
- - Right Management Consultants 56,300 830
South Jersey Industries, Inc. 31,684 830
- - Apex PC Solutions, Inc. 28,700 829
United National Bancorp 35,665 829
- - Bombay Co. 148,862 828
FFY Financial Corp. 23,700 827
- - Hutchinson Technology, Inc. 23,200 826
- - Dave & Busters 35,760 825
Northwest Natural Gas Co. 31,900 825
- - UCAR International, Inc. 46,200 823
- - Avecor Cardiovascular, Inc. 66,900 820
Universal Health Realty Income 41,800 820
- - Vanstar Corp. 88,600 820
Vital Signs, Inc. 46,864 820
- - Bluegreen Corp. 108,240 819
Bassett Furniture Industries, Inc. 33,900 818
Energy North, Inc. 28,511 816
Standard Products Co. 40,050 816
UGI Corp. Holding Co. 34,346 816
- - Aerial Communications Inc. 138,800 815
- - Breed Technological Inc. 99,500 815
Lawson Products, Inc. 35,350 813
General Cable Corp. 39,600 812
- - Billing Concepts Corp. 73,772 811
- - Chico's Fas, Inc. 34,686 811
- - Aphton Corp. 63,561 810
Enesco Group, Inc. 34,800 809
Flushing Financial Corp. 51,150 809
- - Choice Hotel International, Inc. 59,000 808
- - Sunglass Hut International, Inc. 115,474 808
Harris Financial, Inc. 59,200 807
Duff & Phelps Credit Rating 14,700 806
- - FSI International, Inc. 77,700 806
- - Cellstar Corp. 118,200 805
- - Insurance Auto Auctions, Inc. 67,800 805
- - Marshall Industries 32,872 805
- - Syntel, Inc. 71,005 803
Yankee Energy Systems 27,577 803
Quanex Corp. 35,500 801
- - BOK Financial Corp. 16,983 800
Klamath First Bancorp 41,300 800
Independent Bank Corp. 46,000 799
- - MEMC Electronic Materials, Inc. 94,000 799
- - Phoenix International Ltd., Inc. 54,200 799
- - DVI, Inc. 43,900 796
- - Kent Electronics Corp. 62,400 796
- - Credit Acceptance Corp. 108,700 795
- - Spiegel, Inc. Class A 138,200 795
Texas Industries, Inc. 29,514 795
- - bebe stores, inc. 22,400 792
- - Acceptance Insurance Cos. Inc. 39,000 790
- - Alliance Semiconductor Corp. 194,450 790
Luby's Cafeterias, Inc. 51,200 790
- - West TeleServices Corp. 80,900 789
Ethyl Corp. 135,604 788
- - Franklin Electronic
Publishers, Inc. 67,100 788
Peoples Bancorp, Inc. 72,499 788
Saul Centers, Inc. REIT 50,800 787
- - Magnatek 68,000 786
Kaman Corp. Class A 48,900 785
- - Sbarro, Inc. 29,991 785
- - Automobile Protection Corp. 66,700 784
Delta Woodside 130,600 784
- - Fairchild Corp. 49,700 783
- - GelTex Pharmaceuticals, Inc. 34,500 781
Oshkosh B Gosh, Inc. Class A 38,700 781
CNA Surety Corp. 49,500 780
- - Integrated Health Services, Inc. 55,213 780
- - Vicor Corp. 86,581 779
- - PriceSmart, Inc. 44,400 777
- - Sunrise Medical, Inc. 62,500 777
UNITILI Corp. 30,500 776
- - Hexcel Corp. 92,500 775
Advanta Corp. Class A 58,402 774
Chemed Corp. 23,100 774
Omega Financial Corp. 25,600 774
- - Castle & Cooke Inc. 52,433 773
Colonial Gas Co. 22,176 773
- - Applied Magnetics Corp. 124,700 772
- - Bio-Rad Laboratories, Inc.
Class A 36,747 772
Realty Income Corp. REIT 31,000 771
Whitney Holdings 20,500 769
</TABLE>
13
<PAGE> 136
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Global DirectMail Corp. 32,846 $ 768
- - uBid, Inc. 7,200 768
- - CUNO Inc. 47,200 767
- - Collins & Aikman Corp. 149,200 765
Tejon Ranch Co. 38,500 765
Colonial Properties Trust REIT 28,700 764
- - Beverly Enterprises, Inc. 113,000 763
International Bancshares Corp. 15,013 760
- - ITI Technologies, Inc. 24,500 759
- - InterVU Inc. 59,500 759
Reliance Bancorp, Inc. 27,200 756
BancFirst Corp. 21,050 755
L. S. Starrett Co. Class A 22,000 755
- - Santa Fe Energy Resources, Inc. 102,268 754
- - Zoran Corp. 43,100 754
IMCO Recycling, Inc. 48,800 753
- - LoJack Corp. 63,400 753
- - FileNet Corp. 65,600 752
Lone Star Industries, Inc. 20,400 751
- - PanAmSat Corp. 19,300 751
Roadway Express Inc. 52,000 751
Brown Group, Inc. 42,706 750
- - PJ America Inc. 41,400 750
Fingerhut Co. 48,546 749
- - Immunomedics Inc. 181,600 749
Fleming Cos., Inc. 72,100 748
- - Aviall Inc. 63,600 747
Chiquita Brands International, Inc. 78,065 747
- - General Semiconductor, Inc. 91,150 746
- - Southland Corp. 391,500 746
- - Chemical Fabrics Corp. 35,914 743
- - Corporate Express, Inc. 143,200 743
- - Wyman-Gordon Corp. 72,500 743
Community Trust Bancorp Inc. 31,560 742
Pennsylvania Enterprises Inc. 29,100 742
Chartwell Re Corp. 31,210 741
- - Research Frontiers, Inc. 70,600 741
- - CMP Media, Inc. 40,500 739
- - Information Resources, Inc. 72,434 738
- - Journal Register Co. 49,200 738
- - New Mexico & Arizona Land Co. 51,270 737
- - PharMerica, Inc. 122,626 736
Psychemedics, Inc. 143,556 736
- - Vencor, Inc. 163,465 736
Westinghouse Air Brake Co. 30,100 736
Brandywine Realty Trust REIT 41,100 735
- - Kaiser Aluminum &
Chemical Corp. 150,700 735
- - Michaels Stores, Inc. 40,600 735
OmniQuip International, Inc. 49,000 735
- - Vicorp Restaurants, Inc. 47,439 735
Brush Wellman, Inc. 42,100 734
The Stride Rite Corp. 83,900 734
- - Trans World Entertainment Corp. 38,500 734
F & M National Corp. 24,500 733
- - Healthcare Services Group, Inc. 80,214 732
- - Rogers Corp. 24,500 732
Premier National Bancorp, Inc. 39,310 730
F & M Bancorp 22,244 728
- - Carmike Cinemas, Inc. Class A 35,800 727
First Financial Bancorp 25,080 726
Granite State Bankshares, Inc. 30,850 725
- - Intergraph Corp. 126,100 725
Pillowtex Designs 27,111 725
- - SPS Technologies, Inc. 12,800 725
- - SPSS, Inc. 38,400 725
- - Analytical Surveys, Inc. 23,500 724
- - Engineering Animation, Inc. 13,400 724
Susquehanna Bancshares, Inc. 35,350 724
NYMAGIC, Inc. 34,800 722
- - Marine Drilling Co., Inc. 93,800 721
Simmons First National 19,400 720
- - Playboy Enterprises Inc. Class B 34,350 719
Suffolk Bancorp 25,900 719
- - Tesoro Petroleum Corp. 59,300 719
Applied Industrial
Technology, Inc. 51,750 718
- - BioCryst Pharmaceuticals, Inc. 102,500 718
- - National City Bancorporation 27,366 718
- - Epitope Inc. 122,000 717
- - Florida Panthers Holdings, Inc. 77,000 717
- - Foodarama Supermarkets, Inc. 22,400 717
- - Omnipoint Corp. 77,000 717
- - GT Interactive Software Corp. 143,200 716
- - Procom Technology, Inc. 73,000 716
Arch Coal, Inc. 41,700 714
Virco Manufacturing Corp. 38,830 714
- - DataWorks Corp. 68,278 713
Puerto Rican Cement Co., Inc. 20,400 713
- - Cadiz Inc. 93,200 711
- - Nashua Corp. 53,400 711
- - North American Vaccine, Inc. 80,000 710
St. John Knits, Inc. 27,300 710
- - First Republic Bank 28,300 709
Manufactured Home
Communities, Inc. REIT 28,300 709
Bowne & Co., Inc. 39,600 708
- - Sangstat Medical Corp. 33,300 708
Morgan Keegan, Inc. 37,600 707
Eaton Vance Corp. 33,800 706
Oakwood Homes Corp. 46,500 706
S & T Bancorp, Inc. 25,600 706
Trinet Corporate Realty Trust, Inc.
REIT 26,400 706
- - Dialogic Corp. 35,800 704
- - 800-JR CIGAR, Inc. 30,300 704
Medford Bancorp, Inc. 42,002 704
Interface, Inc. 75,600 702
- - Vistana, Inc. 50,125 702
CBL & Associates Properties, Inc.
REIT 27,100 700
- - Rainbow Technologies, Inc. 37,200 700
- - Circon Corp. 46,573 699
- - Genlyte Group, Inc. 37,200 698
Cato Corp. Class A 70,800 697
R & G Financial Corp. Cl B 33,200 697
- - WavePhore, Inc. 86,800 697
- - Friede Goldman International, Inc. 61,200 696
- - Iron Mountain, Inc. 19,300 696
- - Just for Feet, Inc. 39,924 694
- - PictureTel Corp. 104,800 694
Pioneer Standard Electronics Inc. 74,025 694
Pittston BAX Group 62,400 694
</TABLE>
14
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - U.S. Bioscience 96,555 $ 694
- - Burlington Industries, Inc. 62,900 692
Amcore Financial 30,200 691
- - Forte Software, Inc. 117,600 691
Morrison Health Care Inc. 36,241 691
- - Bristol Hotels & Resorts, Inc. 112,725 690
- - Dura Pharmaceuticals, Inc. 45,414 690
- - Adtran, Inc. 37,600 689
- - ESS Technology, Inc. 137,800 689
- - Heartport Inc. 117,200 689
Pennfed Financial Services, Inc. 53,000 689
- - Natrol, Inc. 62,500 688
RFS Hotel Investors, Inc. REIT 56,200 688
Wolverine World Wide, Inc. 51,904 688
- - The Dress Barn, Inc. 45,100 685
- - Footstar Inc. 27,400 685
- - Midwest Grain Products 50,250 685
Tremont Corp. 20,609 685
- - Ascent Entertainment Group, Inc. 92,763 684
LabOne Inc. 52,500 683
- - Offshore Logistics, Inc. 57,500 683
Andover Bancorp, Inc. 19,675 681
Cascade Bancorp 38,895 681
- - Evergreen Resources, Inc. 38,300 680
Prime Bancorp Inc. 43,164 680
- - Summit Technology, Inc. 155,450 680
Getty Realty Holding Corp. 46,432 679
Kennametal, Inc. 31,955 679
First Charter Corp. 39,273 677
Irwin Financial Corp. 24,900 677
- - Nine West Group, Inc. 43,500 677
- - Scotts Co. 17,500 673
Cambrex Corp. 28,000 672
Capstead Mortgage Corp. 163,000 672
Dimon Inc. 90,350 672
- - Datastream Systems, Inc. 58,300 670
- - Imation Corp. 38,280 670
- - M&F Worldwide Corp. 66,600 670
- - CDI Corp. 33,100 668
- - Midwest Express Holdings, Inc. 25,400 668
- - CTC Communications Corp. 79,600 667
XTRA Corp. 16,100 666
- - Prime Hospitality Corp. 63,000 665
- - American Safety Razor Co. 55,300 664
- - Citizens, Inc. 117,800 663
O'Sullivan Corp. 67,175 663
- - Bel Fuse, Inc.- Class B 19,250 662
Cleveland-Cliffs Iron Co. 16,400 661
- - TBC Corp. 92,675 660
- - C-COR Electronics, Inc. 47,900 659
- - McWorter Technologies Inc. 28,800 659
- - Ocean Energy, Inc. 104,442 659
Guilford Mills, Inc. 39,425 658
- - Park-Ohio Holdings Corp. 43,509 658
Blair Corp. 29,600 657
- - Airgas, Inc. 73,300 655
- - Echo Bay Mines Ltd. 374,500 655
- - DM Management Co. 34,400 654
- - Ultratech Stepper, Inc. 40,900 654
- - Chalone Wine Group Ltd. 62,600 653
Shelby Williams Industries, Inc. 54,400 653
Knape & Vogt Manufacturing Co. 38,062 652
- - Insignia Financial Group, Inc. 53,666 651
A.M. Castle & Co. 43,325 650
Olsten Corp. 87,930 648
- - Echelon International Corp., Inc. 29,000 647
- - Basin Exploration Inc. 51,398 646
Gables Residential Trust REIT 27,800 645
TCBY Enterprises, Inc. 92,100 645
- - Activision, Inc. 57,900 644
Angelica Corp. 34,600 644
- - Konover Property Trust, Inc. REIT 91,200 644
Merchants Bancshares, Inc. 25,500 644
- - Metromedia International
Group, Inc. 118,500 644
Pacific Crest Capital Inc. 43,645 644
Southwestern Energy Co. 85,800 644
Sunbeam Corp. 92,000 644
- - Atwood Oceanics, Inc. 37,800 643
- - Casella Waste Systems, Inc. 17,300 642
- - Grand Casinos, Inc. 79,600 642
- - Pharmaceutical Resources, Inc. 134,688 640
- - Duane Reade Inc. 16,600 639
Calgon Carbon Corp. 85,100 638
- - Guess ?, Inc. 132,600 638
- - Aztar Corp. 125,900 637
Engineered Support
Systems, Inc. 42,850 637
- - Hecla Mining Co. 175,800 637
- - Metrocall, Inc. 145,600 637
Lexford Residential Trust REIT 34,300 635
- - Manugistics Group, Inc. 50,800 635
- - Network Equipment
Technologies, Inc. 61,547 635
- - Polymer Group, Inc. 63,900 635
- - Station Casinos, Inc. 77,600 635
- - Goody's Family Clothing 63,200 634
- - Software AG Systems, Inc. 35,000 634
- - Polo Ralph Lauren Corp. 33,000 633
- - ADE Corp. 48,600 632
Stewart & Stevenson
Services, Inc. 64,682 631
- - ACX Technologies Inc. 47,400 628
M.A. Hanna Co. 50,975 628
- - PAREXEL International Corp. 25,100 628
RPC Inc. 85,200 628
- - Security Capital Group Inc.
Class B 46,300 628
- - Genesis Health Ventures Inc. 71,650 627
- - Computer Outsourcing
Services, Inc. 57,600 626
- - Mapics Inc. 37,800 624
- - Cameron Ashley
Building Products 47,700 623
First Bell Bancorp, Inc. 40,200 623
- - Global Industrial
Technologies, Inc. 58,300 623
- - Software Spectrum, Inc. 39,200 622
Lab Holdings, Inc. 35,500 621
- - Verio Inc. 27,700 620
- - EMCOR Group, Inc. 38,400 619
Imperial Holly Corp. 76,202 619
</TABLE>
15
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - National Processing, Inc. 112,500 $ 619
- - US LEC Corp. Class A 41,700 618
Weeks Corp. REIT 21,900 617
HealthPlan Services Corp. 53,600 616
- - PageMart Wireless, Inc. 110,500 615
Penn Engineering &
Manufacturing Corp. 27,500 615
Tecumseh Products Co. Class A 13,200 615
Enterprise Products Partners L.P. 41,300 614
- - National Beverage Corp. 65,540 614
National Steel Corp. Class B 86,200 614
- - MetaCreations Corp. 113,962 613
Michigan Financial Corp. 18,037 613
- - Spectrian Corp. 47,600 613
- - National-Oilwell, Inc. 54,700 612
- - Vantive Corp. 76,500 612
- - Highlands Insurance Group 46,800 611
- - Nautica Enterprises, Inc. 40,737 611
- - Aspen Technologies, Inc. 42,100 610
Aceto Corp. 45,962 609
- - Andrea Radio Corp. 61,700 609
Flexsteel Industry 47,300 609
- - Pacific Sunwear of California 37,200 609
BostonFed Bancorp, Inc. 34,500 608
Harleysville Group, Inc. 23,500 607
- - Miravant Medical Technology 47,000 605
- - Jenny Craig Inc. 100,600 604
- - N2K Inc. 46,200 603
- - Advanced Digital
Information Corp. 37,600 602
- - HomeBase, Inc. 94,300 601
- - Advanced Communication
Systems, Inc. 48,000 600
CTS Corp. 13,800 600
Intermet Corp. 45,900 600
- - Buckeye Technology, Inc. 40,000 598
TransTechnology Corp. 28,800 598
- - Ben & Jerry's Homemade, Inc.
Class A 26,700 597
- - Interneuron Pharmaceutical, Inc. 182,000 597
LTV Corp. 102,723 597
- - Primadonna Resorts, Inc. 67,738 597
- - SPR Inc. 34,600 597
- - MPW Industrial Services
Group, Inc. 52,900 595
- - Long Beach Financial Corp. 79,100 593
SJW Corp. 10,100 593
Metrowest Bank 97,638 592
Correctional Properties Trust REIT 32,700 591
- - Drexler Technology Corp. 49,211 591
- - Parker Drilling Co. 185,500 591
Tyler Corp. 96,400 590
- - American Mobile Satellite
Corp., Inc. 112,200 589
Associated Estates Realty Corp.
REIT 49,900 589
- - Hagler Bailly, Inc. 29,400 588
- - Calumet Bancorp, Inc. 21,600 586
- - Premiere Technologies, Inc. 79,500 586
- - Imperial Credit 69,874 585
Boykin Lodging Co. REIT 47,200 584
- - ThermoLase Corp. 128,000 584
Wellman, Inc. 57,355 584
- - Mosaix Inc. 75,268 583
- - Davel Communications, Inc. 31,900 582
- - Garden Fresh Restaurant Corp. 40,500 582
Oneida Ltd. 39,233 581
- - P-Com, Inc. 145,700 581
- - Pilgrim America Cap Corp. 23,200 580
- - Oak Technology, Inc. 165,500 579
- - Avatar Holding, Inc. 36,000 576
BHA Group Holdings Inc. 41,437 575
Donnelly Corp. 44,212 575
- - Global Industries Ltd. 93,900 575
Reliance Steel & Aluminum Co. 20,800 575
- - Xoma Corp. 180,544 575
Applebee's International, Inc. 27,818 574
- - Pairgain Technologies, Inc. 74,700 574
- - Integrated Device Technology Inc. 93,600 573
- - Presstek, Inc 83,900 572
- - Glenayre Technologies, Inc. 128,712 571
- - Mobius Management
Systems, Inc. 38,300 570
- - Timberland Co. 12,500 570
- - Matria Healthcare, Inc. 197,778 569
- - Medaphis Corp. 173,200 568
Ameron International Corp. 15,300 566
Gainsco, Inc. 92,461 566
- - Harbinger Corp. 70,730 566
Spartan Motors, Inc. 98,400 566
- - Sun Healthcare Group, Inc. 86,300 566
- - SEACOR SMIT Inc. 11,400 564
- - Steel Dynamics, Inc. 48,000 564
- - APAC Teleservices, Inc. 148,589 562
Communications Systems, Inc. 47,600 562
Mitchell Energy & Development
Corp. Class A 49,100 562
Hancock Fabrics, Inc. 66,900 560
- - Jackpot Enterprises, Inc. 59,327 560
- - Rush Enterprises, Inc. 50,900 560
- - Digi International, Inc. 50,250 559
Holly Corp. 33,100 559
- - Allen Telecom Inc. 83,440 558
- - Premisys Communications, Inc. 60,500 556
Warren Bancorp, Inc. 61,400 556
- - E. Gottschalk & Co., Inc. 72,800 555
- - Sensormatic Electronics Corp. 80,061 555
- - Transworld Healthcare Inc. 118,445 555
Carolina First Corp. 21,900 554
People's Bancshares, Inc. 27,000 554
Scope Industries 8,400 554
- - Allou Health & Beauty, Inc. 51,400 553
- - Shiva Corp. 97,800 553
- - Chock Full O'Nuts Corp. 88,260 552
Commercial Assets 91,100 552
- - Network Peripherals, Inc. 122,600 552
- - Carrier Access Corp. 16,000 551
- - Aavid Thermal Technologies 32,600 550
- - Sabratek Corp. 33,600 550
- - Workflow Management, Inc. 83,045 550
- - Microdyne Corp. 113,300 549
- - Columbia Sportswear Co. 32,400 547
</TABLE>
16
<PAGE> 139
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
American Insured Mortgage
Investors-Series 86 70,500 $ 546
- - The MacNeal-Schwendler Corp. 78,000 546
Met-Pro Corp. 43,679 546
- - PCD, Inc. 42,000 546
- - Drug Emporium, Inc. 106,330 545
Vermont Financial Services Corp. 16,400 545
- - Superior Services Inc. 27,100 544
- - MicroStrategy Inc. 17,200 542
AGCO Corp. 68,600 540
- - GST Telecommunications Inc. 82,000 538
- - Invision Technologies, Inc. 87,000 538
Tecumseh Products Co. Class B 11,900 538
ABM Industries 15,500 537
HMN Financial, Inc. 45,600 536
United Wisconsin Services, Inc. 61,700 536
Phillips-Van Heusen Corp. 74,393 535
- - ABT Building Products Corp. 52,000 533
- - Catalytica, Inc. 29,600 533
- - Laboratory Corp. of America 387,844 533
- - Barrett Business Services, Inc. 62,300 530
Gold Banc Corp., Inc. 34,500 530
- - e.spire Communications, Inc. 82,600 527
Georgia Gulf Corp. 32,782 527
Pogo Producing Co. 40,500 527
- - Trans World Airlines 109,203 526
Yardville National Bancorp 37,385 526
- - Callon Petroleum Co. 45,200 525
- - Gundle/SLT Environmental, Inc. 131,300 525
- - Magellan Health Services, Inc. 62,700 525
- - Lone Star Technologies, Inc. 51,800 524
- - Boyd Gaming Corp. 158,000 523
- - SeaMED Corp. 46,500 523
- - NetManage, Inc. 282,956 522
- - Paging Network, Inc. 111,400 522
Penford Corp. 32,609 522
- - Learning Tree International, Inc. 57,500 521
- - Ace Cash Express, Inc. 34,650 520
Advanced Marketing Services 27,000 520
- - Digital Generation Systems 93,495 520
- - Unique Mobility, Inc. 99,000 520
- - Concentra Managed Care 48,600 519
- - Inacom Corp. 34,896 519
- - International Telecommunication
Data Systems, Inc. 35,200 519
Sauer Inc. 68,600 519
- - WFS Financial, Inc. 82,960 519
World Fuel Services Corp. 48,313 519
- - National Techteam, Inc. 79,700 518
- - American Buildings Co. 21,100 517
- - Sunterra Corp. 34,450 517
- - Caribiner International, Inc. 56,600 516
- - PS Group Holdings Inc. 43,900 516
Central Cooperative Bank 27,100 515
- - Bel Fuse, Inc.-Class A 12,850 514
- - Home Products International Inc. 51,620 513
- - Waste Industries, Inc. 29,750 513
Haven Bancorp, Inc. 34,100 512
- - SITEL Corp. 209,600 511
- - Meta Group, Inc. 17,100 509
- - Xomed Surgical Products Inc. 15,900 509
- - Clayton Williams Energy, Inc. 50,700 507
- - Winslow Furniture Co. 19,100 506
- - Objective Systems
Integrators, Inc. 109,100 505
- - Pool Energy Service Co. 46,667 505
- - Alliance Pharmaceutical Corp. 153,700 504
Jefferson Savings Bancorp, Inc. 38,400 504
- - Thermedics Detection Inc. 65,610 504
Food Lion Inc. Class B 50,005 503
Frisch's Restaurants, Inc. 47,634 503
PMC Capital, Inc. 58,800 503
- - Frontier Oil Corp. 101,600 502
- - Province Heathcare Co. 14,000 502
- - Evans & Sutherland
Computer Corp. 28,397 501
- - MLC Holdings, Inc. 56,000 501
- - Atrix Laboratories, Inc. 56,334 500
Bairnco Corp. 70,200 500
- - Kensey Nash Corp. 62,000 500
- - Royal Appliance
Manufacturing Co. 135,500 500
- - Exabyte Corp. 90,500 498
LaSalle Hotel Properties REIT 48,000 498
- - Microtouch Systems, Inc. 37,901 497
- - Dollar Thrifty Automotive
Group, Inc. 38,500 496
- - Oxigene, Inc. 46,161 496
Pope & Talbot, Inc. 59,200 496
- - Willis Lease Finance Corp. 31,500 496
- - Interpore International 83,400 495
- - Thermo VolTek 73,900 494
- - KTI, Inc. 22,800 493
- - Arcadia Financial Ltd. 135,800 492
- - Associated Group, Inc. Class B 11,550 491
- - BTG Inc. 79,400 491
Resource Bancshares
Mortgage Group, Inc. 29,600 490
- - HORIZON Pharmacies, Inc. 45,000 487
Abington Bancorp Inc. 35,000 486
Amcast Industrial Corp. 25,400 486
- - Aydin Corp. 47,700 486
- - National Record Mart, Inc. 53,000 484
- - ContiFinancial Corp. 67,800 483
- - Myriad Genetics, Inc. 48,300 483
J. Baker, Inc. 83,909 482
Titanium Metals Corp. 56,600 481
Wackenhut Corp. 18,900 481
Oregon Trail Financial Corp. 39,100 479
Vintage Petroleum, Inc. 55,500 479
- - WHX Corp. 47,564 479
Western Gas Resources, Inc. 83,300 479
- - Artesyn Technologies, Inc. 34,000 476
- - Budget Group, Inc. 30,000 476
- - Gibson Greetings, Inc. 40,100 476
- - Globe Business Resources, Inc. 38,100 476
SierraWest Bancorp 19,100 475
- - Christiana Cos., Inc. 24,600 474
- - Ambassadors International, Inc. 32,100 473
- - Mariner Post-Acute
Network, Inc. 103,285 471
- - Silicon Valley Bancshares 27,600 470
</TABLE>
17
<PAGE> 140
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Thermotrex Corp. 54,900 $ 470
WesterFed Financial Corp. 25,853 469
- - Arkansas Best Corp. 80,100 468
G & L Realty Corp. 36,200 466
OEA, Inc. 39,300 464
Pacific Capital Bancorp 18,000 464
- - Advanced Polymer Systems 85,800 461
- - Graham-Field Health
Products Inc. 136,416 460
Steelcase Inc. 27,900 459
K2 Inc. 44,345 457
- - Raytel Medical Corp. 98,200 457
- - Cygnus Inc. 93,600 456
- - LTX Corp. 177,912 456
- - Renaissance Worldwide, Inc. 74,100 454
- - Swift Energy Co. 61,279 452
- - Vertex Communications Corp. 28,500 452
- - Stage Stores, Inc. 48,100 451
- - American Science &
Engineering, Inc. 39,100 450
Main Street Bancorp, Inc. 24,182 450
- - Energy Conversion Devices, Inc. 61,825 448
Ampco-Pittsburgh Corp. 41,065 447
- - Orthologic Corp. 133,600 447
Telxon Corp. 32,200 447
Oregon Steel Mills, Inc. 37,500 445
GBC Bancorp 17,200 443
- - UniCapital Corp. 60,000 443
- - Advanced Tissue Sciences Inc. 170,242 442
- - CTB International Corp. 57,500 442
- - PhyCor, Inc. 64,825 442
- - Advanced Magnetics, Inc. 60,200 440
First Mutual Savings Bank 33,222 440
Bush Industries, Inc. 35,310 439
- - Civic Bancorp 33,001 437
- - Playboy Enterprises Inc. Class A 22,850 437
- - Schein Pharmaceutical, Inc. 30,000 437
- - Viasoft, Inc. 62,452 437
HEICO Corp. Class A 18,864 436
Schweitzer-Mauduit
International, Inc. 28,200 435
- - Able Telcom Holding Corp. 75,400 434
- - Electromagnetic Sciences, Inc. 30,914 433
Penton Media, Inc. Class A 21,316 432
- - PMR Corp. 56,500 431
- - AirTran Holdings, Inc. 163,600 429
- - FactSet Research Systems Inc. 6,900 426
Laser Mortgage
Management, Inc. 78,200 425
- - Mansur Industries, Inc. 40,500 425
- - Aftermarket Technology Corp. 53,900 424
Progress Financial Corp. 34,230 424
Vesta Insurance Group, Inc. 70,500 423
- - ExecuStay Corp. 32,400 421
- - Harmonic Lightwaves, Inc. 22,400 420
- - Twinlab Corp. 32,000 420
- - VWR Scientific Products Corp. 24,200 420
- - General Scanning, Inc. 69,100 419
Home Bancorp 14,700 419
- - Thermo Cardiosystems Inc. 40,050 418
- - Global Imaging Systems, Inc. 17,200 417
Herbalife International Class B 36,400 416
- - Party City Corp. 28,800 416
- - Coeur D'Alene Mines Corp. 89,500 414
- - AMREP Corp. 64,700 412
- - Exodus Communications, Inc. 6,400 411
Collagen Aesthetics, Inc. 45,603 410
- - Homestead Village, Inc. 90,770 408
- - Windmere-Durable Holdings Inc. 52,698 408
- - Applied Graphics
Technologies, Inc. 24,600 406
- - Cypros Pharmaceuticals Corp. 124,900 406
Sterling Bancshares, Inc. 27,300 406
- - Tetra Tech, Inc. 15,000 406
- - Schick Technologies, Inc. 40,000 405
- - Crown Central Petroleum Corp.
Class B 57,500 403
- - Rental Service Corp. 25,700 403
- - Alliance Gaming Corp. 194,700 402
Landmark Bancshare, Inc. 17,000 402
- - Republic Bank/Clearwater Fla. 30,600 402
Sterling Bancorp 17,600 402
TF Financial Corp. 23,312 402
- - Seagull Energy Corp. 63,600 401
- - Trimble Navigation Ltd. 55,300 401
- - Cunningham Graphics
International, Inc. 26,200 400
- - JLK Direct Distribution Inc.
Class A 39,300 400
A.T. Cross Co. Class A 74,300 399
- - PICO Holdings, Inc. 29,846 395
- - Lynx Therapeutics Inc. 34,225 394
- - BioTime, Inc. 22,600 393
- - Response Oncology, Inc. 96,603 392
- - Compuware Corp. 5,000 391
- - Hospitality Worldwide Services 78,000 390
- - Input/Output, Inc. 53,300 390
- - Nuevo Energy Co. 33,900 390
Texas Regional Bancshares, Inc. 15,500 388
- - Advanced Communications
Group, Inc. 92,300 387
- - General DataComm
Industries, Inc. 166,800 386
- - NBTY, Inc. 54,100 385
- - Information Management
Associates, Inc. 65,400 384
- - Lone Star Steakhouse &
Saloon, Inc. 41,763 384
- - Worldtex Inc. 105,744 383
- - Cholestech Corp. 100,300 382
- - Metrika Systems Corp. 44,200 381
- - Saga Communications, Inc. 18,575 381
- - Clarus Corp. 63,100 379
- - Aqua Alliance Inc. 183,398 378
- - Hauser, Inc. 85,200 378
- - PVF Capital Corp. 32,490 378
- - Piercing Pagoda, Inc. 38,750 378
- - Simula, Inc. 52,200 378
- - Sizzler International 167,650 377
Libbey, Inc. 13,000 376
- - Coram Healthcare Corp. 199,929 375
- - Friendly Ice Cream Corp. 61,300 375
</TABLE>
18
<PAGE> 141
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Golden Enterprises Inc. 69,500 $ 374
- - ResMed Inc. 8,200 372
- - Delta Financial Corp. 62,300 370
- - EEX Corp. 52,833 370
- - Gymboree Corp. 57,960 370
- - Restoration Hardware, Inc. 13,700 368
- - Telcom Semiconductor, Inc. 101,600 368
- - BankUnited Financial Corp. 45,500 364
- - Merisel, Inc. 153,310 364
- - Canandaigua Brands, Inc.
Class B 6,375 362
- - CyberShop International, Inc. 31,800 362
- - Danielson Holdings Corp. 101,500 362
- - Labor Ready, Inc. 18,400 362
- - Strategic Distribution, Inc. 148,700 362
- - Amresco, Inc. 41,300 361
- - Socrates Technologies Corp. 107,100 361
- - Nobility Homes, Inc. 28,000 359
Southern Financial Bancorp, Inc. 17,100 359
- - Trico Marine Services, Inc. 73,700 359
First Source Corp. 10,700 358
Home Properties of New York,
Inc. REIT 13,900 358
- - Tuboscope Inc. 44,100 358
American Heritage Life
Investment Corp. 14,600 357
Avado Brands, Inc. 42,976 357
- - Drypers Corp. 109,500 356
- - Getty Petroleum Marketing Inc. 121,032 356
- - Hyseq, Inc. 67,700 355
- - Landstar System 8,700 355
- - Lechters Corp. 143,700 355
- - Landmark Systems Corp. 31,700 353
Poe & Brown, Inc. 10,100 353
Crown Crafts, Inc. 56,740 351
- - QAD Inc. 98,600 351
- - American Dental Partners, Inc. 30,200 349
Wackenhut Corp. Class B 15,862 348
- - MRV Communications Inc. 56,114 347
- - Todd Shipyards Corp. 73,100 347
- - Crestline Capital Corp. 23,665 346
Westernbank Puerto Rico 21,800 346
- - Barnett, Inc. 25,000 344
- - Plasma-Therm, Inc. 87,000 343
- - Keystone Consolidated
Industries, Inc. 41,919 341
- - Central Sprinkler Corp. 35,107 340
Modern Controls, Inc. 59,062 340
- - AMF Bowling, Inc. 66,200 339
Heilig-Meyers Co. 50,618 339
Inland Steel Industries, Inc. 19,977 337
- - Penwest Pharmaceuticals Co. 53,363 334
- - Metal Management, Inc. 95,000 333
- - Pride International Inc. 47,100 333
- - SOS Staffing Services, Inc. 45,800 332
- - IGEN International, Inc. 10,800 331
Belco Oil & Gas Corp. 59,200 329
- - Revlon, Inc. Class A 20,000 329
- - The Sports Authority, Inc. 62,700 329
Central Vermont Public
Service Corp. 31,500 327
- - Halter Marine Group, Inc. 67,093 327
- - Impath, Inc. 12,200 323
- - Filene's Basement Corp. 135,650 322
- - Industrial Distribution Group, Inc. 42,000 320
- - Aztec Technology Partners, Inc. 88,068 319
- - Fisher Scientific International Inc. 16,000 319
- - Systems & Computer
Technology Corp. 23,200 319
- - United Road Services, Inc. 17,300 318
- - Converse Inc. 133,433 317
- - Mortons Restaurant Group 16,800 317
- - Zoltek Cos., Inc. 34,400 316
CRIIMI MAE, Inc. REIT 90,000 315
- - Gilman & Ciocia, Inc. 31,800 312
- - Veritas DGC Inc. 24,000 312
Merchants Group, Inc. 15,100 311
- - Capital Corp. of the West 31,300 309
Cross Timbers Oil Co. 41,000 308
- - Argosy Gaming Co. 114,400 307
- - Global Vacation Group, Inc. 35,200 304
- - Landry's Seafood
Restaurants, Inc. 40,500 304
- - CRW Financial, Inc. 44,700 302
- - Ultralife Batteries, Inc. 58,300 302
- - Merix Corp. 49,800 299
- - Integrated Silicon Solution, Inc. 95,500 298
- - Mitcham Industries, Inc. 64,800 298
- - Professional Detailing, Inc. 10,500 297
- - Digital Lightwave, Inc. 128,150 296
- - ITLA Capital Corp. 19,500 295
- - Unify Corp. 34,200 295
- - Hector Communications Corp. 35,350 294
- - NovaCare, Inc. 117,100 293
Apex Mortgage Capital, Inc. REIT 30,300 292
- - @Entertainment, Inc. 43,100 291
- - Binks Sames Corp. 17,650 291
- - Molecular Biosystems, Inc. 98,934 291
- - Grey Wolf, Inc. 357,100 290
- - Caliber Learning Network, Inc. 68,100 289
- - Genome Therapeutics Corp. 104,930 289
- - North American Scientific, Inc. 31,700 289
- - Vivus, Inc. 111,500 289
- - Morrison Knudsen Corp. 29,200 285
- - Crescent Operating, Inc. REIT 59,880 284
Newmil Bancorp, Inc. 23,900 284
- - Craig Corp. 35,023 282
- - Foodmaker, Inc. 12,800 282
BeautiControl Cosmetics 49,950 281
- - K & G Men's Center, Inc. 31,700 281
- - Eagle Food 86,200 280
- - Natural Alternatives
International, Inc. 25,400 279
Community Bank System, Inc. 9,500 278
- - Consumer Portfolio Services, Inc. 71,600 277
- - School Specialty, Inc. 12,938 277
Ohio Art Co. 14,800 276
- - OAO Technology Solutions, Inc. 91,520 275
- - Vertel Corp. 163,091 275
Barnes Group, Inc. 9,200 270
- - DecisionOne Holdings Corp. 56,929 270
- - Accelr8 Technology Corp. 52,400 269
</TABLE>
19
<PAGE> 142
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Western Beef 37,160 $ 267
Allied Products Corp. 42,101 266
- - Zygo Corp. 30,800 266
- - Chic By H.I.S., Inc. 83,000 265
- - Ivex Packaging Corp. 11,400 265
BMC Industries, Inc. 42,204 264
- - Res-Care, Inc. 10,700 264
- - Key Tronic Corp. 68,900 263
- - Lifeline Systems, Inc. 10,500 263
Patina Oil & Gas Corp. 89,668 263
- - TCSI Corp. 125,629 263
FirstSpartan Financial Corp. 8,700 262
- - QMS, Inc. 82,100 262
Village Bancorp, Inc. 10,900 262
- - Artisoft, Inc. 99,500 261
- - Recovery Engineering, Inc. 39,400 261
- - Seven Seas Petroleum Inc. 39,000 261
- - Hot Topic, Inc. 20,100 259
Alabama National
BanCorporation 9,600 256
TransPro Inc. 52,510 256
Conectiv, Inc. Class A 6,450 255
Bank of Granite Corp. 9,200 254
CFS Bancorp, Inc. 25,000 252
- - Florsheim Group Inc. 53,015 252
Huntco Inc. Class A 64,700 251
- - American Banknote Corp. 174,000 250
Marion Capital Holdings 12,500 250
United Cos. Finance Corp. 74,209 250
- - Bay State Bancorp, Inc. 10,400 248
Black Hills Corp. 9,400 248
Churchill Downs, Inc. 7,500 247
- - Shoney's Inc. 188,300 247
- - US Physical Therapy, Inc. 27,400 247
Aames Financial Corp. 77,100 246
- - Pegasystems Inc. 59,200 246
- - Applix, Inc. 63,279 245
Enterprise Federal Bancorp, Inc. 5,100 245
- - Starter Corp. 89,800 241
- - Darling International, Inc. 77,900 239
- - Equivest Finance, Inc. 51,675 239
- - I-Link, Inc. 112,400 239
U.S.B. Holding Co., Inc. 14,080 238
East Texas Financial Services, Inc. 24,000 237
- - JLM Industries, Inc. 46,300 237
- - Autotote Corp. 121,167 235
JeffBanks, Inc. 11,900 235
- - Peerless Systems Corp. 27,600 235
- - Commonwealth Telephone
Enterprises Class B 7,400 233
- - Omega Worldwide, Inc. 53,215 233
- - Rentrak Corp. 84,900 233
- - Universal Stainless & Alloy
Products, Inc. 31,000 233
Community Federal Bancorp, Inc. 16,300 232
- - Applied Microsystems Corp. 59,600 231
Maine Public Service Co. 15,000 229
Birmingham Steel Corp. 54,550 228
- - Competitive Technologies, Inc. 48,500 227
- - American Software, Inc. Class A 106,450 226
- - Einstein/Noah Bagel Corp. 180,700 226
Brookline Bancorp, Inc. 19,575 225
- - InfoSpace.com, Inc. 5,900 225
MFB Corp. 10,000 224
- - TransTexas Gas Corp. 84,800 223
United Community Financial Corp. 15,000 223
- - Navigant International, Inc. 28,869 222
- - TCI Satellite Entertainment, Inc.
Class A 154,777 222
- - Planet Hollywood International,
Inc. Class A 95,400 221
- - ShoLodge, Inc. 39,333 221
- - Visual Networks, Inc. 5,900 221
- - Startec Global
Communications Corp. 22,700 218
- - Stac, Inc. 157,300 216
- - Tultex Corp. 246,900 216
- - E-Tek Dynamics, Inc. 8,000 214
- - Collateral Therapeutics, Inc. 30,400 213
- - Concentric Network Corp. 6,400 213
- - KFX, Inc. 140,350 211
- - Onyx Acceptance Corp. 36,700 211
Westcorp, Inc. 30,000 208
Astro-Med, Inc. 38,150 207
American Woodmark Corp. 6,000 206
- - The Buckle, Inc. 8,600 206
- - Matrix Capital Corp. 15,200 205
- - The TesseracT Group, Inc. 78,000 205
Vulcan International Corp. 5,900 205
- - Inference Corp. Class A 27,600 204
- - Wave Technologies International 40,800 204
- - Javelin Systems, Inc. 13,500 203
- - LCA-Vision, Inc. 147,537 203
- - Nastech Pharmaceutical Co., Inc. 52,300 203
Phillips International Realty
Corp. REIT 13,200 203
Harmon Industries, Inc. 8,700 201
- - The Rottlund Co. 50,300 201
- - Spaghetti Warehouse, Inc. 26,300 201
- - Paul-Son Gaming Corp. 28,100 198
- - Perini Corp. 38,400 197
- - Acme Electric Corp. 40,700 193
- - Frontier Financial Corp. 4,200 192
- - SEEC, Inc. 29,500 190
- - Universal Display Corp. 47,700 188
- - Adams Golf, Inc. 45,600 187
First Bancorp North Carolina 6,400 186
- - Atlantic Coast Airlines Holdings 7,400 185
- - Medical Assurance, Inc. 5,610 185
Bayonne Bancshares, Inc. 11,000 184
Cavalry Bancorp, Inc. 8,600 183
- - High Plains Corp. 107,997 182
Mainstreet Financial Corp. 3,900 181
Summit Bancshares, Inc. 9,800 181
Boddie-Noell Properties Inc. 17,200 180
- - BroadBand Technologies, Inc. 61,000 179
- - MeriStar Hotels & Resorts, Inc. 68,000 179
Green Mountain Power Corp. 16,907 178
- - Roy F. Weston, Inc. 64,600 178
- - American Italian Pasta Co. 6,700 177
Greater Delaware Valley
Savings Bank 15,100 177
</TABLE>
20
<PAGE> 143
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Artisan Components, Inc. 32,600 $ 173
- - AstroPower, Inc. 18,000 173
- - Cooper Cos., Inc. 8,300 172
- - Cellegy Pharmaceuticals, Inc. 48,600 170
- - Osteotech, Inc. 3,600 167
- - Syntroleum Corp. 27,000 167
- - Beyond.com Corp. 8,000 166
- - Interlink Electronics Inc. 36,800 166
Redwood Empire Bancorp 9,700 166
- - Blue Rhino Corp. 7,400 165
- - Broadway & Seymour, Inc. 73,500 165
Penn Engineering &
Manufacturing Corp. Class A 8,300 164
- - BioSpecifics Technology 40,800 163
- - Cohesion Technologies, Inc. 45,003 163
- - Leap Wireless International, Inc. 22,300 162
- - MAI Systems Corp. 60,275 162
Newcor, Inc. 41,580 161
- - USDATA Corp., Inc. 85,150 160
- - New Era of Networks, Inc. 3,600 158
- - Telegroup, Inc. 120,500 158
- - Docucorp International 25,940 157
- - Enstar Inc. 21,266 157
- - Barnwell Industries, Inc. 13,400 156
- - 4Front Technologies, Inc. 14,100 156
- - Little Switzerland, Inc. 67,000 155
Waddell & Reed Financial, Inc. 6,500 154
- - A.S.V., Inc. 8,500 152
- - Kevco, Inc. 21,000 152
- - Cytogen Corp. 178,469 151
Wiser Oil Co. 75,000 150
- - Bank Plus Corp. 34,100 149
- - Carson Inc. 37,300 149
Kentucky First Bancorp, Inc. 11,600 149
Resource Asset Investment
Trust REIT 13,500 149
- - ImmuLogic
Pharmaceutical Corp. 121,000 147
- - Koala Corp. 8,400 146
Raritan Bancorp, Inc. 4,200 146
- - Medical Dynamics, Inc. 63,700 145
Unity Bancorp, Inc. 13,125 144
Mid-Iowa Financial Corp. 10,560 143
United Guardian, Inc. 31,800 143
Harrodsburg First
Financial Bancorp 9,800 142
- - Hawk Corp.-Class A 17,000 142
- - PSW Technologies. Inc. 47,300 142
- - Versant Corporation 65,100 142
- - American Classic Voyager Co. 8,000 141
- - H.T.E., Inc. 27,900 140
Corus Bankshares Inc. 4,300 139
- - Carrington Labs Inc. 64,872 138
- - Arch Communications Group, Inc. 94,100 135
- - LINC Capital, Inc. 16,400 135
- - Catalina Lighting, Inc. 59,400 134
- - Data Systems & Software, Inc. 50,600 133
- - Forcenergy Inc. 50,726 133
Guaranty Federal
Bancshares, Inc. 11,400 133
- - IGI, Inc. 68,500 133
- - Capital Trust Class A 22,000 132
- - Fresh Foods Inc. 27,600 131
- - Seacoast Financial Services Corp. 12,770 131
Craftmade International, Inc. 7,800 130
- - Precision Systems, Inc. 109,300 130
- - Celtrix Pharmaceuticals 75,300 127
- - International Microcomputer
Software, Inc. 14,900 124
- - FIRSTPLUS Financial Group, Inc. 44,200 122
- - Four Media Co. 14,900 121
- - Dataware Technologies, Inc. 46,600 119
S.Y. Bancorp, Inc. 2,500 119
- - Abacus Direct Corp. 2,600 118
Chesapeake Energy Corp. 134,300 118
- - Eclipsys Corp. 4,000 116
- - U.S. Energy Corp. 56,870 114
- - XETA Corp. 6,500 113
- - Energy Research Corp. 8,000 112
- - Samsonite Corp. 20,064 112
- - U.S. Office Products Co. 29,011 112
- - Safeguard Health Enterprises, Inc. 33,565 111
Urban Shopping Centers, Inc.
REIT 3,400 111
- - VitalCom Inc. 42,200 111
- - Strouds, Inc. 69,100 108
- - Lexington Global Asset
Managers, Inc. 27,600 107
- - Hollywood Casino Corp. 102,600 106
- - Novavax, Inc. 52,900 106
Molex, Inc. Class A 3,241 103
- - Hibbett Sporting Goods, Inc. 4,200 102
Peoples BancTrust Co., Inc. 4,800 102
- - SonoSight, Inc. 9,879 102
Heritage Financial Corp. 10,400 101
- - Monarch Dental Corp. 25,000 101
- - Cellularvision USA, Inc. 110,700 100
- - Central Financial
Acceptance Corp. 22,900 100
First of Long Island Corp. 2,250 99
- - Gliatech Inc. 3,300 99
Nutrition for Life International, Inc. 43,900 99
- - Steinway Musical
Instruments Inc. 3,800 99
- - Applied Biometrics, Inc. 11,900 98
Peoples Holding Co. 3,000 97
- - Petco Animal Supplies, Inc. 9,630 97
- - Integral Systems, Inc. 4,900 95
- - Interface Systems Inc. 30,300 95
- - Geron Corp. 8,600 94
- - Safety First Inc. 26,900 94
- - Great Plains Software, Inc. 1,900 92
- - Amylin Pharmaceuticals, Inc. 181,200 91
- - Central Garden and Pet Co. 6,300 91
Penncorp Financial Group Inc. 91,400 91
- - Salton/Maxim Housewares, Inc. 3,500 90
- - Spacetec IMC Corp. 57,600 90
- - Nitches Inc. 30,128 89
- - CD Warehouse, Inc. 6,800 88
- - Kelly Oil Corp. 148,000 88
- - Bolle Inc. 43,590 87
</TABLE>
21
<PAGE> 144
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Horizon Medical Products, Inc. 19,200 $ 84
- - Modtech, Inc. 5,500 84
- - Sunburst Hospitality Corp. 19,666 84
- - Community Capital Corp. 8,700 83
- - Princeton Video Image, Inc. 27,300 82
- - Technisource, Inc. 8,300 82
- - Hitox Corp. of America 40,700 81
LSB Bancshares, Inc. 4,200 81
- - Rainbow Rentals, Inc. 8,200 81
- - Holophane Corp. 3,100 80
- - ATEC Group, Inc. 9,900 78
- - Telular Corp. 121,300 76
- - Ariel Corp. 21,800 75
- - Gold Reserve Corp. 63,400 75
- - Computron Software, Inc. 76,500 72
- - Petroleum Heat & Power Co. 96,500 72
- - Capital Title Group, Inc. 20,400 70
- - Alpine Group, Inc. 4,600 69
- - NeoPharm, Inc. 5,700 69
- - Service Merchandise Co., Inc. 241,499 68
- - Truevision Inc. 77,400 68
Worthington Foods 3,600 68
- - Coda Music Technology, Inc. 51,100 67
Price Enterprises, Inc. 12,668 67
- - Clean Harbors Inc. 43,500 65
- - Donnkenny, Inc. 34,600 65
- - Expert Software Inc. 31,800 65
- - Cytoclonal Pharmaceutics Inc. 9,300 64
- - Dental Care Alliance, Inc. 5,300 64
Ecology and Environment, Inc. 6,925 64
- - Mattson Technology, Inc. 11,000 64
Great Southern
Bancorp, Inc. 2,600 63
- - SCB Computer Technology, Inc. 6,400 63
- - Technical Communications Corp. 14,000 63
- - Viisage Technology, Inc. 50,000 63
Coast Bancorp 1,900 62
Belmont Bancorp. 2,900 61
Cabot Industrial Trust 3,000 61
- - Forrester Research, Inc. 1,400 61
- - Kendle International Inc. 2,600 61
America First Mortgage
Investments, Inc. REIT 13,100 60
FNB Financial Services Corp. 3,600 60
- - Avatex Corp. 58,402 58
- - Data Transmission Network Corp. 2,000 58
- - SCC Communications Corp. 12,300 58
- - Coulter Pharmaceutical, Inc. 1,900 57
- - Ecogen, Inc. 32,940 56
- - Hanger Orthopedic Group, Inc. 2,500 56
The Ackerley Group, Inc. 3,000 55
- - Chase Industries, Inc. 5,200 54
The First Years Inc. 3,400 54
- - Florida Banks, Inc. 7,000 54
Liberte Investors, Inc. 16,000 54
- - Mediware Information
Systems, Inc. 5,400 54
- - Trimedyne, Inc. 60,000 54
- - Rimage Corp. 4,200 53
California Independent Bancorp 2,578 52
- - EA Engineering Sciences and
Technology Inc. 41,700 52
- - Female Health Co. 37,600 52
Little Falls Bancorp, Inc. 2,600 52
Wainwright Bank & Trust Co. 7,000 52
- - AML Communications, Inc. 38,600 51
- - Golden Books Family
Entertainment, Inc. 162,600 51
- - Mego Financial Corp. 52,500 51
- - Royal Gold, Inc. 14,000 51
- - Display Technologies, Inc. 6,785 50
- - Comstock Bancorp 5,000 49
- - Koo Koo Roo Enterprises, Inc. 87,300 49
- - Shoe Pavilion, Inc. 6,400 48
Timberland Bancorp, Inc. 3,900 48
- - CDnow, Inc. 2,600 47
- - Cellular Technical Services Co. 135,650 47
- - Oriole Homes Corp. Class B 19,300 46
F.N.B. Corp. 1,600 45
- - Quanta Services, Inc. 2,000 44
- - American Wagering, Inc. 5,300 43
- - Coastal Physician Group, Inc. 124,200 43
- - Digital Link Corp. 8,200 43
- - e-Net, Inc. 8,100 43
- - Intelligent Medical Imaging, Inc. 86,700 43
Liberty Homes, Inc. 4,000 43
- - Uranium Resources, Inc. 85,568 43
- - Abgenix, Inc. 2,600 42
- - Metrologic Instruments, Inc. 3,400 40
- - National Discount Brokers
Group, Inc. 2,000 40
- - Dispatch Management
Services Corp. 9,500 39
- - OnHealth Network Co. 7,700 39
- - American Coin Merchandising, Inc. 6,500 38
- - 1-800 CONTACTS, INC. 2,100 38
- - Segue Software, Inc. 1,900 38
- - Decora Industries, Inc. 4,800 37
Lindsay Manufacturing Co. 2,500 37
- - Vornado Operating Inc. 4,529 37
- - Checkers Drive-In Restaurant 104,400 36
- - Geneva Steel Class A 70,900 35
Independent Bank Corp. 1,700 34
- - Mysoftware Co. 3,000 34
- - Outlook Group Corp. 8,000 34
- - Zenith Electronics Corp. 131,973 34
- - Genzyme Molecular Oncology 9,851 32
- - President Casinos 26,213 31
Harbor Federal Bancorp, Inc. 1,500 30
- - Progress Software Corp. 900 30
- - Q-Med, Inc. 9,800 30
- - TSR, Inc. 2,900 30
- - Agri-Nutrition Group Ltd. 27,100 29
- - Acadia Realty Trust REIT 5,300 28
- - Monaco Coach Corp. 1,050 28
Washington Trust Bancorp, Inc. 1,300 28
Commercial Net Lease Realty REIT 2,000 27
- - NetGravity, Inc. 1,600 27
- - Puma Technology, Inc. 8,100 27
J.M. Smucker Co. Class B 1,200 27
</TABLE>
22
<PAGE> 145
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Ceres Group, Inc. 2,500 $ 26
- - Energy Biosystems Corp 12,414 26
- - Let's Talk Cellular & Wireless, Inc. 7,900 26
- - Showpower, Inc. 3,000 26
- - United Payors & United
Providers, Inc. 900 26
- - Agritope, Inc. 19,220 25
- - Miami Computer Supply Corp. 1,000 25
- - Navarre Corp. 2,500 25
Peoples Bank 1,007 25
- - Solv-Ex Corp. 94,134 24
- - BWC Financial Corp. 1,100 23
First Southern Bancshares 1,600 23
- - Orphan Medical, Inc. 3,000 23
- - Paracelsus Healthcare Corp. 15,000 23
- - Electronic Processing, Inc. 2,200 22
Ramapo Financial Corp. 2,000 22
Bandag, Inc. Class A 600 21
- - Boston Chicken, Inc. 66,900 21
Bowl America, Inc. Class A 3,000 21
- - Carleton Corp. 18,100 21
Ohio Valley Banc Corp. 500 21
- - The Right Start, Inc. 5,100 21
- - V.I. Technologies, Inc. 2,000 21
Niagara Bancorp, Inc. 1,900 20
- - Allied Devices Corp. 11,200 19
Carolina Southern Bank 1,100 19
- - Fourth Shift Corp. 4,300 19
Hubbell Inc. Class A 500 19
- - NewStar Media, Inc. 24,500 19
- - Onix Systems Inc. 3,000 19
- - BioLase Technology, Inc. 8,500 18
- - Cardinal Financial Corp. 2,800 18
- - GateField Corp. 25,388 18
- - PacificAmerica Money
Center, Inc. 40,900 18
Republic Banking Corp. of Florida 1,700 18
FNB CORP. 600 17
Prime Bancshares, Inc. 1,000 17
First Midwest Financial, Inc. 1,050 16
- - Heartland Express, Inc. 900 16
- - Information Holdings Inc. 1,000 16
- - Caprius, Inc. 53,380 15
- - Horizon Group Properties, Inc.
REIT 3,865 15
- - NSC Corp. 14,815 15
- - Europa Cruises Corp. 48,700 14
- - Famous Dave's of America, Inc. 4,900 14
- - Food Technology Service, Inc. 6,000 14
L. S. Starrett Co. Class B 400 14
- - Heartland Technology, Inc 2,300 13
- - Marvel Entertainment Group 87,034 13
Mobile America Corp. 3,400 13
- - American Aircarriers Support, Inc. 1,200 12
- - Advance Paradigm, Inc. 300 11
- - Astronics Corp. 1,100 11
- - Cosmetic Center, Inc. Class C 8,019 11
- - Gradco Systems, Inc. 4,000 11
- - Merry Land Properties, Inc. 3,065 11
- - Success Bancshares, Inc. 1,000 11
- - Excalibur Technologies Corp. 1,700 10
- - Netsmart Technologies, Inc. 3,733 10
Reader's Digest Assn., Inc. Class B 400 10
- - America Service Group Inc. 700 9
- - American Homestar Corp. 600 9
- - Kaiser Ventures Inc. 1,000 9
- - Santa Barbara Restaurant Group 2,300 9
- - Software Publishing Corp.
Holdings, Inc. 7,992 9
- - Superconductor Technologies Inc. 2,300 9
- - Waterlink, Inc. 2,500 9
- - Glacier Water Services, Inc. 300 8
- - Hoenig Group, Inc. 1,100 8
- - Hudson Technology, Inc. 5,600 8
- - Matthews Studio Equipment Group 2,500 8
- - The Middleby Corp. 2,300 8
- - nVIEW Corp. 25,049 7
- - V-One Corp. 2,500 7
- - World Corp. 49,900 7
- - Applied Digital Access, Inc. 2,300 6
- - Biospherics, Inc. 900 6
- - Globecomm Systems, Inc. 1,000 6
- - International Lottery & Totalizator
Systems, Inc. 17,200 6
- - OMNI Energy Services Corp. 1,400 6
- - Patina Oil & Gas Corp. Warrants
Exp. 5/1/2001 18,484 6
- - SMC Corp. 1,400 6
- - WPI Group, Inc. 1,500 6
- - Continucare Corp. 3,000 5
- - Cytel Corp. 2,200 5
- - Salant Corp. 99,500 5
- - Aquila Biopharmaceuticals, Inc. 920 4
- - Charles River Associates Inc. 200 4
1st Bancorp (Indiana) 100 4
- - Prolong International Corp. 2,500 4
- - Zamba Corp. 2,300 4
- - E-Z-EM, Inc. Class A 500 3
- - Purus, Inc. 3,000 3
- - TEI, Inc. 1,900 3
- - Medtox Scientific Inc. 8,400 2
- - Westmark Group Holdings, Inc. 800 2
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $2,558,487) 3,316,354
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (9.8%)(1)
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
Face
Amount
(000)
- ----------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury Bill
(2) 3.887%, 1/21/1999 $ 2,500 2,495
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 45,315 45,315
4.77%, 1/4/1999--Note G 285,098 285,098
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $332,908) 332,908
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (107.5%)
(COST $2,891,395) 3,649,262
- ----------------------------------------------------------------------
</TABLE>
23
<PAGE> 146
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND (000)
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-7.5%)
- ----------------------------------------------------------------------
<S> <C>
Receivables for Investment Securities Sold $ 143,690
Other Assets--Note B 19,021
Security Lending Collateral Payable to
Brokers--Note G (285,098)
Other Liabilities (131,716)
------------
(254,103)
- ----------------------------------------------------------------------
NET ASSETS (100%) $3,395,159
======================================================================
</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 99.6% and 7.9%, 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>
- ----------------------------------------------------------------------
AMOUNT
(000)
- ----------------------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
<S> <C>
Paid in Capital $2,458,296
Overdistributed Net Investment Income (133)
Accumulated Net Realized Gains 176,135
Unrealized Appreciation--Note F
Investment Securities 757,867
Futures Contracts 2,994
- ----------------------------------------------------------------------
NET ASSETS $3,395,159
======================================================================
Investor Shares--Net Assets
Applicable to 95,929,215 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,938,675
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $30.63
======================================================================
Institutional Shares--Net Assets
Applicable to 14,901,131 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $456,484
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $30.63
======================================================================
</TABLE>
24
<PAGE> 147
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
COMMON STOCKS (96.3%)(1)
- ----------------------------------------------------------------------
<S> <C> <C>
AFLAC, Inc. 70,500 $ 3,102
- - Office Depot, Inc. 65,200 2,408
- - Network Associates, Inc. 34,600 2,292
McKesson Corp. 26,400 2,087
Cintas Corp. 28,000 1,972
Harley-Davidson, Inc. 40,700 1,928
Linear Technology Corp. 20,000 1,791
- - Cadence Design Systems, Inc. 59,100 1,758
- - Lexmark International Group, Inc.
Class A 17,400 1,749
Century Telephone
Enterprises, Inc. 24,500 1,654
Marshall & Ilsley Corp. 28,200 1,648
- - Best Buy Co., Inc. 26,800 1,645
- - Biogen, Inc. 19,600 1,627
SouthTrust Corp. 44,000 1,625
- - Altera Corp. 25,900 1,577
Molex, Inc. 41,300 1,575
Washington Post Co. Class B 2,700 1,560
- - Maxim Integrated Products, Inc. 34,800 1,520
- - Watson Pharmaceuticals, Inc. 23,800 1,496
PaineWebber Group, Inc. 38,100 1,472
- - Health Management Associates
Class A 66,900 1,447
Kansas City Southern
Industries, Inc. 29,200 1,436
Stryker Corp. 25,700 1,415
Allegiance Corp. 30,000 1,399
Cincinnati Bell, Inc. 36,400 1,376
- - Analog Devices, Inc. 43,400 1,362
CMS Energy Corp. 27,600 1,337
KeySpan Energy Corp. 42,300 1,311
Tyson Foods, Inc. 61,600 1,309
Old Kent Financial Corp. 28,045 1,304
- - Starbucks Corp. 23,200 1,302
- - Bed Bath & Beyond, Inc. 36,900 1,259
- - ADC Telecommunications, Inc. 36,000 1,251
- - Chiron Corp. 47,700 1,249
- - Xilinx, Inc. 19,100 1,244
Charter One Financial 44,775 1,243
Zions Bancorp 19,900 1,241
First Tennessee National Corp. 32,500 1,237
- - American Power
Conversion Corp. 25,500 1,235
- - Saks Inc. 37,922 1,197
Vulcan Materials Co. 8,900 1,171
Florida Progress Corp. 25,900 1,161
- - Forest Laboratories, Inc. 21,800 1,159
Leggett & Platt, Inc. 52,500 1,155
- - Allied Waste Industries, Inc. 48,800 1,153
First Security Corp. 49,000 1,145
- - Intuit, Inc. 15,800 1,145
Allegheny Energy, Inc. 32,700 1,128
- - Fiserv, Inc. 21,900 1,126
Reliastar Financial Corp. 24,300 1,121
AMBAC Financial Group Inc. 18,600 1,119
El Paso Energy Corp. 32,100 1,117
- - SunGard Data Systems, Inc. 28,100 1,115
- - Quintiles Transnational Corp. 20,800 1,110
- - Citrix Systems, Inc. 11,400 1,107
- - Sterling Commerce, Inc. 24,500 1,102
- - NCR Corp. 26,200 1,094
T. Rowe Price 31,900 1,093
- - Robert Half International, Inc. 24,400 1,090
Mylan Laboratories, Inc. 34,400 1,084
- - Genzyme Corp. 21,600 1,075
Federal-Mogul Corp. 18,000 1,071
Tosco Corp. 40,800 1,056
- - U.S. Filter Corp. 45,837 1,049
Hillenbrand Industries, Inc. 17,900 1,018
Family Dollar Stores, Inc. 46,000 1,012
Symbol Technologies, Inc. 15,700 1,004
TECO Energy, Inc. 35,300 995
LG&E Energy Corp. 34,700 982
- - Abercrombie & Fitch Co. 13,800 976
- - PacifiCare Health Systems, Inc.
Class B 12,200 970
Wisconsin Energy Corp. 30,800 968
- - Synopsys, Inc. 17,800 966
- - QUALCOMM, Inc. 18,600 964
Pinnacle West Capital Corp. 22,700 962
- - Quantum Corp. 45,000 956
Energy East Corp. 16,900 955
NIPSCO Industries, Inc. 31,300 953
- - Teradyne, Inc. 22,500 953
- - Storage Technology Corp. 26,700 950
Bergen Brunswig Corp. Class A 27,000 942
A.G. Edwards & Sons, Inc. 25,200 939
DPL Inc. 43,100 932
- - SCI Systems, Inc. 16,100 930
- - Electronic Arts Inc. 16,300 915
Shaw Industries, Inc. 37,700 914
North Fork Bancorp, Inc. 38,100 912
SCANA Corp. 27,600 890
Green Point Financial Corp. 25,300 889
- - Gulfstream Aerospace Corp. 16,600 884
- - Centocor, Inc. 18,900 853
- - Comverse Technology, Inc. 11,900 845
Omnicare, Inc. 24,000 834
Potomac Electric Power Co. 31,700 834
Montana Power Co. 14,700 831
Old Republic International Corp. 36,500 821
Dime Bancorp, Inc. 30,600 809
- - Siebel Systems, Inc. 23,800 808
Viad Corp. 26,600 808
Sonoco Products Co. 27,200 806
- - Concord EFS, Inc. 19,000 805
FINOVA Group, Inc. 14,900 804
- - Litton Industries, Inc. 12,200 796
Dial Corp. 27,500 794
- - Barnes & Noble, Inc. 18,400 782
Martin Marietta Materials, Inc. 12,500 777
New England Electric System 16,000 770
Sundstrand Corp. 14,700 763
- - Keane, Inc. 18,900 755
- - Promus Hotel Corp. 22,900 741
- - Sybron International Corp. 27,100 737
Telephone & Data Systems, Inc. 16,400 737
International Game Technology 30,100 732
American Water Works Co., Inc. 21,600 729
Hibernia Corp. Class A 41,900 728
</TABLE>
25
<PAGE> 148
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Solutia, Inc. 32,500 $ 727
IBP, Inc. 24,900 725
Transocean Offshore, Inc. 27,000 724
American Financial Group, Inc. 16,400 720
Conectiv, Inc. 28,800 706
- - Lear Corp. 17,900 689
Protective Life Corp. 17,300 689
Comdisco, Inc. 40,700 687
- - Arrow Electronics, Inc. 25,700 686
Mercantile Bankshares Corp. 17,800 685
Whitman Corp. 27,000 685
MidAmerican Energy Co. 25,300 680
- - American Standard Cos., Inc. 18,900 679
Hubbell Inc. Class B 17,700 673
IPALCO Enterprises, Inc. 12,100 671
Consolidated Papers 24,300 668
Interstate Energy Corp. 20,700 668
- - Nova Corp. (Georgia) 19,256 668
Diebold, Inc. 18,500 660
IMC Global Inc. 30,700 656
Hormel Foods Corp. 19,800 648
A. H. Belo Corp. Class A 32,400 646
- - Total Renal Care Holdings, Inc. 21,800 644
Flowers Industries, Inc. 26,800 642
- - Dollar Tree Stores, Inc. 14,600 638
First Virginia Banks, Inc. 13,500 634
- - Lincare Holdings, Inc. 15,600 633
Puget Sound Energy Inc. 22,700 633
OGE Energy Corp. 21,700 629
- - Snyder Communications, Inc. 18,500 624
- - Jones Apparel Group, Inc. 28,200 622
- - U.S. Foodservice 12,700 622
CCB Financial Corp. 10,900 621
McCormick & Co., Inc. 18,200 615
Southdown, Inc. 10,336 612
Sovereign Bancorp, Inc. 42,900 611
Hannaford Brothers Co. 11,400 604
Bowater Inc. 14,500 601
UtiliCorp United, Inc. 16,200 594
The Timber Co. 24,900 593
Stewart Enterprises, Inc. Class A 26,400 587
Associated Banc-Corp. 17,050 583
- - Sterling Software, Inc. 21,400 579
Herman Miller, Inc. 21,500 578
Premark International, Inc. 16,600 575
Ultramar Diamond
Shamrock Corp. 23,600 572
TCF Financial Corp. 23,400 566
Avnet, Inc. 9,300 563
- - Northeast Utilities 35,100 562
Wilmington Trust Corp. 9,000 555
- - Tech Data Corp. 13,700 551
- - SPX Corp. 8,200 549
- - CalEnergy Co. 15,400 534
- - STERIS Corp. 18,400 523
- - FORE Systems, Inc. 28,500 522
Clayton Homes Inc. 37,500 518
- - Borders Group, Inc. 20,700 516
Manpower Inc. 20,400 514
- - Outback Steakhouse 12,700 506
Pacific Century Financial Corp. 20,700 505
Cabot Corp. 17,800 497
GATX Corp. 13,100 496
Interstate Bakeries Corp. 18,600 492
Keystone Financial, Inc. 13,300 492
City National Corp. 11,800 491
COMSAT Corp. 13,600 490
- - Brinker International, Inc. 16,900 488
- - Weatherford International, Inc. 25,195 488
Everest Reinsurance
Holdings, Inc. 12,300 479
Murphy Oil Corp. 11,600 478
- - Agouron Pharmaceuticals, Inc. 8,100 476
Kansas City Power & Light Co. 16,000 474
Tiffany & Co. 9,100 472
- - Microchip Technology, Inc. 12,700 470
- - Policy Management
Systems Corp. 9,300 470
Sotheby's Holdings Class A 14,700 470
Ross Stores, Inc. 11,800 465
CNF Transportation, Inc. 12,300 462
Illinova Corp. 18,500 462
Reynolds & Reynolds Class A 20,100 461
- - Westpoint Stevens, Inc. 14,600 461
TCA Cable TV, Inc. 12,900 460
Dole Food Co. 15,300 459
RPM Inc. (Ohio) 28,600 458
Airborne Freight Corp. 12,500 451
- - BJ's Wholesale Club, Inc. 9,700 449
ICN Pharmaceuticals, Inc. 19,800 448
National Fuel Gas Co. 9,900 447
Teleflex Inc. 9,700 443
- - Informix Corp. 44,500 439
- - Covance, Inc. 15,000 437
- - Noble Drilling Corp. 33,800 437
Fastenal Co. 9,800 431
Trinity Industries, Inc. 11,200 431
KN Energy, Inc. 11,800 429
- - PLATINUM technology, Inc. 22,300 426
- - Suiza Foods Corp. 8,300 423
York International Corp. 10,300 420
- - Modis Professional Services Inc. 28,900 419
Provident Financial Group, Inc. 11,100 419
Dean Foods Corp. 10,200 416
- - ACNielson Corp. 14,700 415
Questar Corp. 21,300 413
- - Global Marine, Inc. 44,800 412
- - Payless ShoeSource, Inc. 8,700 412
Minnesota Power, Inc. 9,300 409
- - Trigon Healthcare, Inc. 10,900 407
- - Chris-Craft Industries, Inc. 8,400 405
Carlisle Co., Inc. 7,800 403
- - Sepracor Inc. 4,600 403
Beckman Coulter, Inc. 7,400 401
First Brands Corp. 10,100 398
- - Atmel Corp. 25,700 394
Pentair, Inc. 9,900 394
- - OfficeMax, Inc. 32,300 392
MCN Energy Group Inc. 20,500 391
The Warnaco Group, Inc. Class A 15,400 389
Crompton & Knowles Corp. 18,600 385
The PMI Group Inc. 7,800 385
</TABLE>
26
<PAGE> 149
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
HON Industries, Inc. 15,900 $ 381
ENSCO International, Inc. 35,500 379
Meritor Automotive, Inc. 17,800 377
- - PSS World Medical, Inc. 16,400 377
Aliant Communications, Inc. 9,200 376
- - Foundation Health Systems
Class A 31,500 376
- - IVAX Corp. 30,200 376
- - Apollo Group, Inc. Class A 10,900 369
Houghton Mifflin Co. 7,800 369
Cracker Barrel Old Country
Stores, Inc. 15,800 368
Media General, Inc. Class A 6,900 366
- - Furniture Brands International Inc. 13,400 365
Lubrizol Corp. 14,200 365
Lee Enterprises, Inc. 11,500 362
Noble Affiliates, Inc. 14,700 362
Universal Foods Corp. 13,200 362
Lyondell Chemical Co. 19,900 358
AK Steel Corp. 15,200 357
- - Nabors Industries, Inc. 26,000 353
Cordant Technologies, Inc. 9,400 352
IDACORP, Inc. 9,700 351
DENTSPLY International Inc. 13,600 350
Harsco Corp. 11,500 350
Nevada Power Co. 13,200 343
Olin Corp. 12,100 343
AGL Resources Inc. 14,800 341
Tidewater Inc. 14,600 339
Pittston Brink's Group 10,600 338
Borg-Warner Automotive, Inc. 6,000 335
- - Corrections Corp. of America 19,000 335
- - Cambridge Technology Partners 15,100 334
Hawaiian Electric Industries Inc. 8,300 334
Kaydon Corp. 8,300 333
Rayonier Inc. 7,200 331
Federal Signal Corp. 11,700 320
Washington Gas Light Corp. 11,800 320
Ogden Corp. 12,700 318
- - CompUSA, Inc. 24,200 316
HSB Group Inc. 7,600 312
Lancaster Colony Corp. 9,700 312
- - Pennzoil-Quaker State Co. 21,095 312
- - Smith International, Inc. 12,400 312
- - Symantec Corp. 14,300 311
- - Oxford Health Plan 20,800 309
Unifi, Inc. 15,800 309
Universal Corp. 8,700 306
Valero Energy Corp. 14,400 306
- - Micro Warehouse Inc. 9,000 304
Newport News Shipbuilding Inc. 9,100 304
Kelly Services, Inc. Class A 9,500 302
- - Alaska Air Group, Inc. 6,800 301
Wallace Computer Services, Inc. 11,200 295
- - BJ Services Co. 18,700 292
Varian Associates, Inc. 7,700 292
Albemarle Corp. 12,120 288
- - General Nutrition Cos., Inc. 17,600 286
- - Circus Circus Enterprises Inc. 24,600 281
Precision Castparts Corp. 6,300 279
- - Vlasic Foods International, Inc. 11,700 279
Bob Evans Farms, Inc. 10,600 276
Ruddick Corp. 12,000 276
Modine Manufacturing Co. 7,600 275
- - GTech Holdings Corp. 10,700 274
Claire's Stores, Inc. 13,100 269
- - Jacobs Engineering Group Inc. 6,600 269
GenCorp, Inc. 10,700 267
Arvin Industries, Inc. 6,300 263
Alexander & Baldwin, Inc. 11,200 260
Donaldson Co., Inc. 12,500 259
- - Vishay Intertechnology, Inc. 17,475 253
- - First Health Group Corp. 15,200 252
Tecumseh Products Co. Class A 5,400 252
Wausau-Mosinee Paper Corp. 14,000 248
- - Vanguard Cellular Systems, Inc.
Class A 9,500 245
- - Quorum Health Group, Inc. 18,600 241
Granite Construction Co. 7,150 240
Ferro Corp. 9,200 239
- - Cytec Industries, Inc. 11,200 238
Witco Chemical Corp. 14,900 237
Minerals Technologies, Inc. 5,700 233
Carter-Wallace, Inc. 11,700 230
Bandag, Inc. 5,700 228
Pioneer Natural Resources Co. 25,900 227
- - Wisconsin Central
Transportation Corp. 13,200 227
Public Service Co. of New Mexico 10,900 223
The Standard Register Co. 7,100 220
ASA Holdings Inc. 7,100 217
- - Lands' End, Inc. 7,900 213
J.B. Hunt Transport Services, Inc. 9,100 209
- - Scholastic Corp. 3,900 209
- - UCAR International, Inc. 11,600 207
Banta Corp. 7,500 205
Chesapeake Corp. of Virginia 5,500 203
Nordson Corp. 3,900 200
Cleco Corp. 5,800 199
Callaway Golf Co. 19,400 199
Superior Industries
International, Inc. 7,100 197
Carpenter Technology Corp. 5,700 193
Indiana Energy, Inc. 7,766 191
Ametek Aerospace Products Inc. 8,500 190
Dexter Corp. 6,000 189
A. Schulman Inc. 8,300 188
J.M. Smucker Co. Class A 7,600 188
- - Cypress Semiconductor Corp. 22,200 185
- - Imation Corp. 10,500 184
Mark IV Industries, Inc. 14,100 183
Church & Dwight, Inc. 5,000 180
- - Beverly Enterprises, Inc. 26,400 178
H.B. Fuller Co. 3,700 178
- - Burlington Industries, Inc. 16,000 176
CalMat Co. 5,600 173
- - Structural Dynamics
Research Corp. 8,700 173
- - Perrigo Co. 19,200 169
- - Ocean Energy, Inc. 26,100 165
Flowserve Corp. 9,900 164
M.A. Hanna Co. 13,300 164
</TABLE>
27
<PAGE> 150
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Kennametal, Inc. 7,700 $ 164
- - Airgas, Inc. 18,200 163
- - Cirrus Logic 16,500 162
- - Sequa Corp. Class A 2,700 162
CMP Group Inc. 8,400 159
Olsten Corp. 21,000 155
Lance, Inc. 7,700 154
Longview Fibre Co. 13,300 154
Overseas Shipholding Group Inc. 9,500 153
Albany International Corp. 7,988 151
Black Hills Corp. 5,600 148
- - Nine West Group, Inc. 9,300 145
- - Ranger Oil Ltd. 32,500 144
- - Sequent Computer Systems, Inc. 11,900 144
- - Sbarro, Inc. 5,300 139
Rollins, Inc. 7,900 138
P.H. Glatfelter Co. 10,900 135
- - Sensormatic Electronics Corp. 19,300 134
- - Mentor Graphics Corp. 15,700 133
Unisource Worldwide, Inc. 18,100 131
- - Concentra Managed Care 12,200 130
- - Integrated Device Technology Inc. 21,200 130
- - Varco International, Inc. 16,700 129
Georgia Gulf Corp. 8,000 128
- - Apria Healthcare 14,100 126
Ethyl Corp. 21,600 126
International Multifoods Corp. 4,800 124
AGCO Corp. 15,400 121
- - Buffets Inc. 10,100 121
Cleveland-Cliffs Iron Co. 2,900 117
- - Maxxam Inc. 2,000 115
Watts Industries Class A 6,900 115
- - Convergys Corp. 4,900 110
- - Acuson Corp. 7,200 107
Dreyer's Grand Ice Cream, Inc. 7,100 107
Arnold Industries, Inc. 6,500 105
- - Seagull Energy Corp. 16,400 104
Heilig-Meyers Co. 15,400 103
Lawter International Inc. 8,600 100
Enesco Group, Inc. 4,100 95
- - Magnatek 8,200 95
Inland Steel Industries, Inc. 5,585 94
- - Lone Star Steakhouse &
Saloon, Inc. 10,100 93
NCH Corp. 1,500 89
Wellman, Inc. 8,100 83
Oregon Steel Mills, Inc. 6,700 80
Calgon Carbon Corp. 10,100 76
- - Information Resources, Inc. 7,300 74
OEA, Inc. 6,000 71
Stewart & Stevenson
Services, Inc. 7,200 70
- - Parker Drilling Co. 19,800 63
- - Legato Systems, Inc. 400 26
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $226,416) 235,228
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.6%)(1)
- ----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL
(2) 3.887%-4.582%, 1/21/1999 $ 200 200
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 5,840 5,840
4.77%, 1/4/1999--Note G 423 423
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $6,463) 6,463
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (98.9%)
(COST $232,879) 241,691
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (1.1%) 2,654
- ----------------------------------------------------------------------
NET ASSETS (100%) $244,345
======================================================================
</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 97.2% and 1.7%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2)Security segregated as initial margin for open futures contracts.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- ----------------------------------------------------------------------
<S> <C>
ASSETS
Investments in Securities, at Value $241,691
Receivables for Investment Securities Sold 27,072
Other Assets--Note B 6,828
-----------
Total Assets 275,591
-----------
LIABILITIES
Payables for Investment Securities Purchased 30,190
Other Liabilities--Note G 1,056
-----------
Total Liabilities 31,246
- ----------------------------------------------------------------------
NET ASSETS (100%) $244,345
======================================================================
</TABLE>
28
<PAGE> 151
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AMOUNT
(000)
- ----------------------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
<S> <C>
Paid in Capital $220,564
Overdistributed Net Investment Income (29)
Accumulated Net Realized Gains 14,760
Unrealized Appreciation--Note F
Investment Securities 8,812
Futures Contracts 238
- ----------------------------------------------------------------------
NET ASSETS $244,345
======================================================================
Investor Shares--Net Assets
Applicable to 19,066,068 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $205,657
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $10.79
======================================================================
Institutional Shares--Net Assets
Applicable to 3,585,767 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $38,688
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $10.79
======================================================================
</TABLE>
29
<PAGE> 152
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
COMMON STOCKS (96.6%)(1)
- ----------------------------------------------------------------------
<S> <C> <C>
- - American Tower Corp. Class A 322,160 $ 9,524
- - Network Appliance, Inc. 210,100 9,422
- - Legato Systems, Inc. 128,200 8,453
- - Nova Corp. (Georgia) 239,837 8,319
- - Lycos, Inc. 146,800 8,157
- - MedImmune Inc. 81,700 8,124
- - Sepracor Inc. 92,600 8,108
- - Rational Software Corp. 299,479 7,936
- - NTL Inc. 140,067 7,905
- - Express Scripts 117,200 7,867
- - Electronics for Imaging, Inc. 183,700 7,348
- - CSG Systems International, Inc. 88,300 6,976
New Plan Excel Realty Trust REIT 309,100 6,858
- - PMC Sierra Inc. 106,200 6,704
Adolph Coors Co. Class B 118,600 6,693
- - Microchip Technology, Inc. 177,700 6,575
- - Premier Parks Inc. 215,800 6,528
- - Valassis Communications, Inc. 125,800 6,494
- - CMGI Inc 60,500 6,443
- - Devry, Inc. 208,600 6,388
- - Agouron Pharmaceuticals, Inc. 107,706 6,328
Reinsurance Group of
America, Inc. 86,300 6,041
- - Novellus Systems, Inc. 118,200 5,851
- - Covance, Inc. 199,500 5,810
- - Winstar Communications, Inc. 148,500 5,791
- - USWeb Corp. 218,600 5,766
National Data Corp. 118,200 5,755
- - Western Wireless Corp. Class A 261,400 5,751
- - E*TRADE Group, Inc. 122,900 5,749
First American Financial Corp. 178,900 5,747
- - American Management
Systems, Inc. 143,000 5,720
- - SPX Corp. 85,200 5,708
- - Acxiom Corp. 182,930 5,671
- - PSS World Medical, Inc. 236,762 5,446
Minnesota Power, Inc. 122,000 5,368
First Brands Corp. 136,100 5,367
- - Jabil Circuit, Inc. 71,200 5,313
- - Linens 'n Things, Inc. 133,200 5,278
- - Informix Corp. 530,100 5,235
WestAmerica Bancorporation 141,900 5,215
Old National Bancorp 92,572 5,161
FelCor Lodging Trust, Inc. REIT 221,122 5,100
Aliant Communications, Inc. 124,500 5,089
- - Gentex Corp. 251,400 5,028
CNB Bancshares, Inc. 107,745 5,024
Cullen/Frost Bankers, Inc. 90,780 4,982
Applied Power, Inc. 130,195 4,915
Ball Corp. 106,800 4,886
MDU Resources Group, Inc. 184,887 4,865
- - Rambus Inc. 50,200 4,832
Universal Foods Corp. 175,700 4,821
Lee Enterprises, Inc. 152,900 4,816
Commercial Federal Corp. 206,751 4,794
- - Plantronics, Inc. 55,600 4,782
IDACORP, Inc. 131,200 4,748
Peoples Energy Corp. 118,625 4,730
- - Transaction Systems
Architects, Inc. 94,200 4,710
General Growth Properties Inc.
REIT 122,700 4,647
Earthgrains Co. 149,844 4,636
- - AmeriSource Health Corp. 71,000 4,615
- - SkyTel Communications, Inc. 207,500 4,591
Nevada Power Co. 176,400 4,586
Washington Gas Light Corp. 165,900 4,500
AGL Resources Inc. 194,700 4,490
- - International Network Services 67,500 4,489
Sotheby's Holdings Class A 139,500 4,464
Kaydon Corp. 111,400 4,463
- - PETsMART, Inc. 404,950 4,454
Hawaiian Electric Industries Inc. 109,700 4,415
Rayonier Inc. 96,100 4,415
- - Wang Laboratories, Inc. 159,075 4,414
SEI Corp. 44,100 4,382
- - SFX Entertainment, Inc. 79,200 4,346
- - Level One Communications 122,275 4,341
- - Catalina Marketing Corp. 63,300 4,328
- - Gilead Sciences, Inc. 105,000 4,312
- - Envoy Corp. 73,800 4,299
John Wiley & Sons Class A 88,300 4,266
Media General, Inc. Class A 80,400 4,261
Federal Signal Corp. 155,400 4,254
Independence Community
Bank Corp. 263,300 4,196
- - IVAX Corp. 335,400 4,172
- - BISYS Group, Inc. 80,600 4,161
Rochester Gas and Electric Corp. 132,900 4,153
- - Infoseek Corp. 83,800 4,138
Borg-Warner Automotive, Inc. 73,700 4,113
- - Symantec Corp. 187,040 4,068
Briggs & Stratton Corp. 81,425 4,061
- - QLogic Corp. 31,000 4,057
HSB Group Inc. 98,650 4,051
Weingarten Realty Investors REIT 90,775 4,051
- - Oxford Health Plan 272,200 4,049
Sierra Pacific Resources 106,500 4,047
- - Associated Group, Inc. 93,948 4,040
Universal Corp. 115,000 4,039
- - Micro Warehouse Inc. 119,300 4,034
- - World Color Press, Inc. 132,500 4,033
Commerce Bancorp, Inc. 76,752 4,029
- - Zale Corp. 124,000 3,999
Newport News Shipbuilding Inc. 119,500 3,996
- - VISIX Inc. 45,500 3,978
- - Alaska Air Group, Inc. 89,800 3,974
Franchise Finance Corp. of
America REIT 165,500 3,972
Camden Property Trust REIT 152,387 3,962
Kaufman & Broad Home Corp. 137,600 3,956
Houghton Mifflin Co. 83,700 3,955
One Valley Bancorp of
West Virginia Inc. 120,144 3,950
- - Macromedia 117,100 3,945
- - Tower Automotive, Inc. 157,700 3,933
- - Renal Care Group, Inc. 136,450 3,931
- - Smithfield Foods, Inc. 116,000 3,929
Dallas Semiconductor Corp. 96,300 3,924
- - Sylvan Learning Systems, Inc. 128,600 3,922
Wallace Computer Services, Inc. 148,300 3,911
</TABLE>
30
<PAGE> 153
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Excite, Inc. 92,900 $ 3,908
ONEOK, Inc. 108,100 3,905
Longs Drug Stores, Inc. 103,200 3,870
Bob Evans Farms, Inc. 147,900 3,855
- - Champion Enterprises, Inc. 140,748 3,853
- - Medicis Pharmaceutical Corp. 63,700 3,798
- - Interim Services, Inc. 161,806 3,782
AK Steel Corp. 160,400 3,769
- - Cellular Communications
International Inc. 55,250 3,757
BRE Properties Inc. Class A REIT 150,048 3,714
- - Bethlehem Steel Corp. 443,291 3,713
- - Mettler-Toledo International Inc. 132,100 3,707
C.H. Robinson Worldwide, Inc. 142,800 3,704
Piedmont Natural Gas, Inc. 102,444 3,701
Equitable Resources, Inc. 126,600 3,687
Potlatch Corp. 99,800 3,680
Precision Castparts Corp. 83,100 3,677
Washington Water Power Co. 191,000 3,677
United Dominion Realty Trust
REIT 356,150 3,673
St. Paul Bancorp, Inc. 134,705 3,667
Lincoln Electric Holdings 163,800 3,645
United Bankshares, Inc. 136,900 3,628
Corn Products International, Inc. 119,200 3,621
Webster Financial Corp. 130,300 3,575
CMAC Investment Corp. 77,500 3,560
Metris Cos., Inc. 70,571 3,551
- - HNC Software, Inc. 87,800 3,550
- - GTech Holdings Corp. 138,500 3,549
Developers Diversified Realty
Corp. REIT 199,800 3,546
National Computer Systems, Inc. 95,500 3,533
Sky Financial Group, Inc. 133,110 3,519
First Midwest Bancorp 92,414 3,517
UST Corp. 149,100 3,513
- - Wind River Systems 74,700 3,511
Community First Bankshares 166,400 3,505
BancWest Corp. 73,000 3,504
Expeditors International of
Washington, Inc. 83,400 3,503
- - Lattice Semiconductor Corp. 76,175 3,497
- - Henry Schein, Inc. 78,100 3,495
- - ICOS Corp. 117,400 3,493
Hussman International, Inc. 177,775 3,444
First Industrial Realty Trust REIT 127,500 3,419
Wausau-Mosinee Paper Corp. 193,110 3,416
Eastern Enterprises 77,800 3,404
- - Century Communications Corp.
Class A 107,116 3,398
Richfood Holdings, Inc. 163,000 3,382
Atmos Energy Corp. 104,741 3,378
G & K Services, Inc. 63,150 3,363
- - CheckFree Holdings Corp. 143,100 3,345
WPS Resources Corp. 94,800 3,342
Helmerich & Payne, Inc. 171,600 3,325
- - ICG Communications, Inc. 154,600 3,324
- - IDEXX Laboratories Corp. 123,400 3,320
Arvin Industries, Inc. 79,300 3,306
- - Mercury Interactive Corp. 51,700 3,270
Nationwide Health Properties,
Inc. REIT 151,300 3,262
- - Patterson Dental Co. 74,950 3,260
Battle Mountain Gold Co. Class A 787,600 3,249
- - MindSpring Enterprises, Inc. 53,200 3,249
La-Z-Boy Inc. 182,300 3,247
HUBCO, Inc. 107,477 3,238
- - ChoicePoint Inc. 50,100 3,231
- - PathoGenesis Corp. 55,700 3,231
Jostens Inc. 123,300 3,229
Ferro Corp. 124,100 3,227
Health Care Properties Investors
REIT 104,300 3,207
Federal Realty Investment Trust
REIT 135,700 3,206
- - United Stationers, Inc. 123,100 3,201
Commerce Group, Inc. 89,900 3,186
Alexander & Baldwin, Inc. 135,800 3,157
- - C-Cube Microsystems, Inc. 116,100 3,149
- - MedQuist, Inc. 79,700 3,148
- - Wisconsin Central
Transportation Corp. 180,300 3,099
- - HA-LO Industries, Inc. 82,350 3,098
- - Eastern Environmental
Services, Inc. 104,400 3,093
- - Visio Corp. 84,600 3,093
- - Pediatrix Medical Group, Inc. 51,500 3,087
Storage USA, Inc. REIT 95,300 3,079
- - United Rentals, Inc. 92,900 3,077
Aptargroup Inc. 109,600 3,076
- - Network Solutions, Inc. Class A 23,500 3,076
Healthcare Realty Trust Inc. REIT 137,607 3,070
Hospitality Properties Trust REIT 127,200 3,069
- - UICI 125,000 3,062
Prentiss Properties Trust REIT 136,900 3,055
- - IXC Communications, Inc. 90,600 3,046
Roslyn Bancorp, Inc. 141,556 3,043
Reckson Associates Realty Corp.
REIT 136,800 3,035
Tecumseh Products Co. Class A 65,100 3,035
- - PSINet, Inc. 145,100 3,029
Polaris Industries, Inc. 77,200 3,025
- - Jacobs Engineering Group Inc. 74,200 3,024
Staten Island Bancorp, Inc. 151,500 3,021
- - American Eagle Outfitters, Inc. 45,300 3,018
- - Papa John's International, Inc. 68,050 3,003
- - Aspect
Telecommunications Corp. 173,600 2,995
- - IDEC Pharmaceuticals Corp. 63,500 2,984
- - Shopko Stores, Inc. 88,800 2,953
- - Security Dynamics
Technologies, Inc. 128,060 2,945
- - Metromedia Fiber Network, Inc. 87,828 2,942
SIG Corp. 82,399 2,941
OM Group, Inc. 80,500 2,938
- - AmeriCredit Corp. 212,500 2,935
LandAmerica Financial
Group, Inc. 52,500 2,930
Public Service Co. of
New Mexico 142,700 2,916
</TABLE>
31
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - ETEC Systems, Inc. 72,800 $ 2,912
Cilcorp, Inc. 47,500 2,906
Whitney Holdings 77,450 2,904
Jones Pharma, Inc. 79,500 2,902
MeriStar Hospitality Corp. REIT 156,234 2,900
- - Catalytica, Inc. 160,800 2,894
- - Getchell Gold Corp. 106,013 2,889
Park National Corp. 28,000 2,884
GenCorp, Inc. 115,400 2,878
Claire's Stores, Inc. 140,250 2,875
- - Adelphia Communications Corp.
Class A 62,700 2,869
- - Metzler Group, Inc. 58,700 2,858
- - INCYTE Pharmaceuticals, Inc. 76,400 2,855
- - Insight Enterprises, Inc. 56,100 2,854
First Financial Bancorp 98,569 2,852
- - Exodus Communications, Inc. 44,300 2,846
- - Computer Horizons Corp. 106,200 2,828
- - Dionex Corp. 77,200 2,827
- - Coach USA, Inc. 81,400 2,824
Citizens Banking Corp. 83,600 2,821
- - Beringer Wine Estates
Holdings, Inc. 63,100 2,820
- - Eagle Hardware & Garden, Inc. 86,400 2,808
- - Boole & Babbage Inc. 95,343 2,807
Cousins Properties, Inc. REIT 86,943 2,804
- - Data General Corp. 169,900 2,793
Southwest Gas Corp. 103,900 2,792
- - Stillwater Mining Co. 68,100 2,792
- - SCM Microsystems,Inc. 39,255 2,790
D. R. Horton, Inc. 120,744 2,777
Wicor, Inc. 126,900 2,768
Banta Corp. 101,000 2,765
BancorpSouth, Inc. 152,900 2,762
- - Millennium Pharmaceuticals, Inc. 106,500 2,756
- - Consolidated Graphics, Inc. 40,700 2,750
MAF Bancorp, Inc. 103,651 2,747
- - Hollywood Entertainment Corp. 100,700 2,744
- - Applied Micro Circuits Corp. 80,300 2,728
- - Synetic, Inc. 61,900 2,724
Donaldson Co., Inc. 130,900 2,716
- - Fisher Scientific International Inc. 136,100 2,713
Minerals Technologies, Inc. 66,200 2,710
- - Trammell Crow Co. 96,750 2,709
A. Schulman Inc. 119,100 2,702
Bindly Western Industries, Inc. 54,700 2,694
- - Building One Services Corp. 129,000 2,693
- - Xircom, Inc. 79,200 2,693
The McClatchy Co. Class A 76,100 2,692
- - EarthLink Network, Inc. 47,200 2,690
- - Whittman-Hart, Inc. 97,300 2,688
- - AXENT Technologies, Inc. 87,180 2,664
Modine Manufacturing Co. 73,400 2,661
- - Human Genome Sciences, Inc. 74,400 2,646
UGI Corp. Holding Co. 111,300 2,643
- - Romac International, Inc. 118,610 2,639
Trustco Bank 87,949 2,638
- - Delphi Financial Group, Inc. 50,296 2,637
- - Vishay Intertechnology, Inc. 181,818 2,636
FBL Financial Group, Inc. Class A 108,600 2,634
- - Medical Assurance, Inc. 79,517 2,629
- - MiniMed, Inc. 25,100 2,629
- - Foodmaker, Inc. 119,000 2,625
- - ITC DeltaCom, Inc. 172,000 2,623
Fingerhut Co. 169,800 2,621
- - AnnTaylor Stores Corp. 66,400 2,619
The Macerich Co. REIT 102,200 2,619
Indiana Energy, Inc. 106,266 2,617
Arthur J. Gallagher & Co. 59,100 2,608
Manitowac Co., Inc. 58,700 2,605
USFreightways Corp. 89,400 2,604
Meridian Industrial Trust, Inc.
REIT 110,500 2,597
First Bancorp/Puerto Rico 85,700 2,587
- - Barrett Resources Corp. 107,400 2,578
W.R. Berkley Corp. 75,575 2,574
Cleco Corp. 75,000 2,573
- - Santa Fe Energy Resources, Inc. 348,900 2,573
- - Tetra Tech, Inc. 95,022 2,572
- - Visual Networks, Inc. 68,534 2,570
Central Hudson Gas &
Electric Corp. 57,400 2,569
- - Aspect Development, Inc. 57,600 2,552
Ballard Medical Products 104,966 2,552
Milacron Inc. 131,877 2,539
Orange & Rockland Utilities, Inc. 44,500 2,537
- - Safeguard Scientifics, Inc. 92,400 2,535
- - Century Business Services, Inc. 176,000 2,530
S & T Bancorp, Inc. 91,800 2,530
- - SMART Modular
Technologies, Inc. 91,100 2,528
United Illuminating Co. 49,050 2,526
General Cable Corp. 123,050 2,523
Shurgard Storage Centers, Inc.
Class A REIT 97,500 2,517
- - Markel Corp. 13,900 2,516
- - Micrel, Inc. 45,700 2,513
Chesapeake Corp. of Virginia 68,000 2,507
- - Extended Stay America, Inc. 238,200 2,501
- - Newfield Exploration Co. 119,700 2,499
Air Express International Corp. 114,800 2,497
Dexter Corp. 79,400 2,496
- - Brightpoint, Inc. 181,325 2,493
- - Vertex Pharmaceuticals, Inc. 83,800 2,493
- - Alliant Techsystems, Inc. 30,200 2,490
- - Scholastic Corp. 46,400 2,488
- - Serologicals Corp. 82,750 2,482
- - Metamor Worldwide, Inc. 99,200 2,480
Rollins Truck Leasing 168,037 2,479
Mark IV Industries, Inc. 190,575 2,477
- - Hanover Compressor Co. 96,400 2,476
NAC Re Corp. 52,750 2,476
- - Cypress Semiconductor Corp. 297,625 2,474
- - Mueller Industries Inc. 121,700 2,472
- - Scotts Co. 64,300 2,472
- - Sunrise Assisted Living, Inc. 47,600 2,469
Enhance Financial Services
Group, Inc. 82,200 2,466
Colonial Properties Trust REIT 92,600 2,465
Mainstreet Financial Corp. 52,900 2,457
Commonwealth Energy Systems 60,600 2,454
- - Rayovac Corp. 91,900 2,453
</TABLE>
32
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Ametek Aerospace Products Inc. 109,700 $ 2,448
Fidelity National Financial, Inc. 80,163 2,445
Fund American Enterprise
Holding Co. 17,453 2,445
Harman International
Industries, Inc. 64,125 2,445
Regis Corp. 61,100 2,444
IDEX Corp. 99,600 2,440
- - Concord Communications, Inc. 42,900 2,435
New Jersey Resources Corp. 61,400 2,425
- - Dura Pharmaceuticals, Inc. 159,500 2,422
Caraustar Industries, Inc. 84,500 2,414
Philadelphia Suburban Corp. 81,600 2,412
- - United International Holdings,
Inc. Class A 125,300 2,412
- - Priority Healthcare Corp. 46,400 2,407
International Speedway Corp. 59,300 2,402
Nordson Corp. 46,600 2,394
- - America West Holdings Corp.
Class B 140,000 2,380
JDN Realty Corp. REIT 110,150 2,375
- - Structural Dynamics
Research Corp. 119,506 2,375
- - GeoTel Communications Corp. 63,700 2,373
- - Department 56 Inc. 63,100 2,370
Jefferies Group, Inc. 47,632 2,364
- - Orthodontic Centers of
America, Inc. 121,600 2,364
- - Imation Corp. 135,000 2,362
Pulte Corp. 84,800 2,358
Health Care REIT, Inc. 91,000 2,355
Casey's General Stores 180,500 2,352
Oakwood Homes Corp. 154,700 2,350
Devon Energy Corp. 76,500 2,348
- - Dycom Industries, Inc. 41,100 2,348
Kimball International, Inc.
Class B 123,400 2,345
- - Liposome Co., Inc. 151,800 2,343
- - Hutchinson Technology, Inc. 65,700 2,341
- - Zebra Technologies Class A 81,400 2,340
- - Lason Holdings, Inc. 40,200 2,339
Westernbank Puerto Rico 146,800 2,330
Doral Financial Corp. 105,100 2,325
- - Vanguard Cellular Systems, Inc.
Class A 89,950 2,322
- - Cerner Corp. 86,700 2,319
- - LAM Research Corp. 130,000 2,316
Amcore Financial 101,020 2,312
UMB Financial Corp. 50,238 2,305
HCC Insurance Holdings, Inc. 130,350 2,297
TIG Holdings, Inc. 147,525 2,296
Alpharma, Inc. Class A 64,934 2,293
- - Comfort Systems USA, Inc. 128,200 2,292
Baldor Electric Co. 112,927 2,287
- - Documentum, Inc. 42,700 2,282
Realty Income Corp. REIT 91,700 2,281
- - Avis Rent A Car, Inc. 94,200 2,278
- - Burlington Industries, Inc. 206,900 2,276
- - Cognex Corp. 113,800 2,276
Susquehanna Bancshares, Inc. 111,075 2,274
- - Swift Transportation Co., Inc. 81,100 2,273
ASA Holdings Inc. 74,500 2,272
- - Men's Wearhouse, Inc. 71,350 2,265
- - CDW Computer Centers, Inc. 23,600 2,264
Carpenter Technology Corp. 66,600 2,260
AAR Corp. 94,600 2,259
- - UNOVA, Inc. 124,500 2,257
- - Duane Reade Inc. 58,600 2,256
Lone Star Industries, Inc. 61,200 2,253
- - Black Box Corp. 59,400 2,250
- - EchoStar Communications Corp. 46,400 2,245
Chicago Title Corp. 47,600 2,234
XTRA Corp. 53,900 2,230
Church & Dwight, Inc. 61,900 2,225
- - Read Rite Corp. 150,500 2,225
Flowserve Corp. 134,306 2,224
- - ResMed Inc. 49,000 2,223
- - Ventas, Inc. 181,700 2,214
United Water Resources, Inc. 92,268 2,209
- - Walter Industries, Inc. 144,200 2,208
Kuhlman Corp. 58,000 2,197
- - Micron Electronics, Inc. 126,900 2,197
- - Cirrus Logic 223,300 2,191
Skywest, Inc. 67,000 2,190
- - Oak Industries, Inc. 62,500 2,188
Mentor Corp. 93,300 2,187
- - AmeriTrade Holding Corp. 69,400 2,186
- - Tel-Save.com, Inc. 130,500 2,186
H.B. Fuller Co. 45,350 2,182
- - Centennial Cellular Corp. 53,200 2,181
Bowne & Co., Inc. 121,900 2,179
Ruddick Corp. 94,700 2,178
Hughes Supply, Inc. 74,350 2,175
MascoTech Inc. 127,000 2,175
Kilroy Realty Corp. REIT 94,500 2,174
Washington REIT 116,650 2,173
Chateau Communities, Inc. REIT 74,100 2,172
- - Westwood One, Inc. 71,200 2,172
E.W. Blanch Holdings, Inc. 45,700 2,168
- - SEACOR SMIT Inc. 43,800 2,165
- - Sipex Corp. 61,600 2,164
- - Pre-Paid Legal Services, Inc. 65,500 2,161
- - DoubleClick Inc. 48,500 2,158
- - CommScope, Inc. 128,308 2,157
F & M National Corp. 71,941 2,154
Glenborough Realty Trust, Inc.
REIT 105,400 2,148
JLG Industries, Inc. 137,500 2,148
- - O'Reilly Automotive, Inc. 45,400 2,145
- - Plexus Corp. 63,300 2,144
- - Xylan Corp. 117,961 2,138
- - Progress Software Corp. 63,300 2,136
J.M. Smucker Co. Class A 86,300 2,136
- - Iron Mountain, Inc. 59,200 2,135
CalMat Co. 69,000 2,130
First Citizens BancShares Class A 23,600 2,124
Northwest Natural Gas Co. 81,850 2,118
Gables Residential Trust REIT 91,300 2,117
MacDermid, Inc. 54,000 2,113
- - Primark Corp. 77,900 2,113
- - BEA Systems, Inc. 172,300 2,111
- - Komag, Inc. 203,300 2,109
</TABLE>
33
<PAGE> 156
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - SEQUUS Pharmaceuticals, Inc. 103,900 $ 2,104
- - Ames Department Stores, Inc. 77,600 2,095
Roper Industries Inc. 102,800 2,095
Granite Construction Co. 62,400 2,094
Jack Henry & Associates 42,100 2,094
Bank North Group 55,600 2,092
- - Sonic Corp. 84,100 2,092
Blount International, Inc. 83,800 2,090
Russell Corp. 102,825 2,089
Provident Bankshares Corp. 83,940 2,088
Omega Healthcare Investors, Inc.
REIT 69,100 2,086
Trinet Corporate Realty Trust, Inc.
REIT 77,900 2,084
Alfa Corp. 85,800 2,081
- - Burr-Brown Corp. 88,700 2,079
Ruby Tuesday, Inc. 97,750 2,077
Northwestern Corp. 78,500 2,075
Gaylord Entertainment Co. Class A 68,375 2,060
- - New Era of Networks, Inc. 46,700 2,055
Fair Issac & Co. 44,400 2,051
- - PAREXEL International Corp. 82,000 2,050
Brandywine Realty Trust REIT 114,600 2,048
- - Footstar Inc. 81,900 2,048
CMP Group Inc. 108,414 2,046
Eaton Vance Corp. 97,600 2,037
- - DSP Communications, Inc. 132,900 2,035
Sun Communities, Inc. REIT 58,400 2,033
- - TMP Worldwide, Inc. 48,400 2,033
TR Financial Corp. 51,600 2,032
Westbanco Inc. 68,879 2,032
- - Vlasic Foods International, Inc. 85,300 2,031
CenterPoint Properties Corp. REIT 59,900 2,025
- - Bally Total Fitness Holding Corp. 81,300 2,022
- - Choice Hotel International, Inc. 147,400 2,018
- - Sybase, Inc. 272,200 2,016
- - Clarify, Inc. 82,300 2,011
- - BE Avionics Inc. 95,700 2,010
- - The Cheesecake Factory 67,653 2,006
Invacare Corp. 83,500 2,004
Eastern Utilities Associates 70,889 2,003
Liberty Corp. 40,600 2,000
- - The Petersen Cos., Inc. 59,000 1,999
- - Investment Technology Group, Inc. 32,100 1,992
Irvine Apartment Communities,
Inc. REIT 62,400 1,989
- - DII Group, Inc. 86,446 1,988
- - DST Systems, Inc. 34,744 1,983
Block Drug Co. Class A 45,648 1,980
NACCO Industries, Inc. Class A 21,495 1,978
- - ADVO, Inc. 74,950 1,977
- - MotivePower Industries Inc. 61,400 1,976
- - SPS Technologies, Inc. 34,900 1,976
Longview Fibre Co. 170,700 1,974
- - ABR Information Services, Inc. 100,550 1,973
- - RCN Corp. 111,400 1,970
CBL & Associates Properties, Inc.
REIT 76,200 1,967
- - Avid Technology, Inc. 84,000 1,964
Republic Security Financial Corp. 161,519 1,958
- - ITT Educational Services, Inc. 57,500 1,955
- - Ralcorp Holdings, Inc. 107,000 1,953
- - Vail Resorts Inc. 88,700 1,951
Executive Risk, Inc. 35,500 1,950
Selective Insurance Group 96,900 1,950
- - Apria Healthcare 218,100 1,949
- - BroadVision, Inc. 60,800 1,946
Brady Corp. Class A 72,000 1,939
- - Conmed Corp. 58,750 1,939
- - Tekelec 117,100 1,939
- - Veeco Instruments, Inc. 36,400 1,934
- - Perrigo Co. 219,300 1,933
Charles E. Smith Residential
Realty, Inc. REIT 60,100 1,931
Queens County Bancorp, Inc. 64,872 1,930
- - Anixter International Inc. 94,800 1,926
- - Mastech Corp. 67,300 1,926
LTV Corp. 329,900 1,918
Black Hills Corp. 72,650 1,916
Hollinger International, Inc. 137,500 1,916
- - Handleman Co. 136,200 1,915
- - Security Capital Group Inc. REIT
Class B 141,200 1,915
- - Roberts Pharmaceuticals 87,900 1,912
ABM Industries 55,200 1,911
- - Personnel Group of America, Inc. 109,000 1,907
National Health Investors REIT 77,100 1,903
- - Hayes Lemmerz
International, Inc. 63,000 1,902
- - Cable Design Technologies 102,750 1,901
- - Superior Services Inc. 94,700 1,900
Chelsea GCA Realty, Inc. REIT 53,300 1,899
- - Imperial Bancorp 113,996 1,895
Cambrex Corp. 78,900 1,894
Matthews International Corp. 60,000 1,890
- - World Access, Inc. 88,400 1,890
Applebee's International, Inc. 91,600 1,889
Superior Industries
International, Inc. 67,900 1,888
Texas Industries, Inc. 69,920 1,883
- - Prime Hospitality Corp. 178,200 1,882
International Bancshares Corp. 37,150 1,881
- - Advantage Learning Systems, Inc. 28,600 1,880
Geon Co. 81,500 1,874
- - Software AG Systems, Inc. 103,400 1,874
Weeks Corp. REIT 66,400 1,872
Belden, Inc. 88,300 1,871
- - Alternate Living Services, Inc. 54,600 1,870
- - Biomatrix, Inc. 32,100 1,870
Methode Electronics, Inc.
Class A 119,500 1,867
- - Respironics, Inc. 93,191 1,867
- - Airgas, Inc. 208,200 1,861
- - Bell & Howell Co. 49,100 1,857
- - Hyperion Solutions Corp. 103,119 1,856
Kellwood Co. 74,150 1,854
- - Amerin Corp. 78,300 1,850
Wolverine World Wide, Inc. 139,640 1,850
- - Corporate Express, Inc. 356,092 1,847
ASARCO, Inc. 122,575 1,846
- - Curative Health Services Inc. 55,000 1,842
- - Pairgain Technologies, Inc. 239,200 1,839
</TABLE>
34
<PAGE> 157
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Bay State Gas Co. 46,076 $ 1,834
- - Musicland Stores Corp. 122,700 1,833
ARM Financial Group, Inc. 82,400 1,828
- - Quest Diagnostics, Inc. 102,600 1,828
Florida Rock Industries, Inc. 58,900 1,826
- - American Oncology
Resources, Inc. 125,100 1,822
- - Toll Brothers, Inc. 80,700 1,821
- - Buffets Inc. 152,449 1,820
- - Sapient Corp. 32,500 1,820
CTS Corp. 41,800 1,818
- - Journal Register Co. 121,200 1,818
M.A. Hanna Co. 147,400 1,815
Manufactured Home
Communities, Inc. REIT 72,400 1,815
- - Sequent Computer Systems, Inc. 150,200 1,812
- - MICROS Systems, Inc. 55,100 1,811
National Bankcorp of Alaska Inc. 53,600 1,809
First Commonwealth
Financial Corp. 73,800 1,808
Foster Wheeler Corp. 136,700 1,803
- - FactSet Research Systems Inc. 29,100 1,797
Investors Financial Services Corp. 30,076 1,793
Vermont Financial Services Corp. 53,900 1,792
- - Action Performance Cos., Inc. 50,600 1,790
- - CEC Entertainment Inc. 64,500 1,790
Crawford & Co. Class B 115,850 1,788
- - Mentor Graphics Corp. 210,000 1,785
- - Playtex Products, Inc. 111,100 1,785
Midas Inc. 57,200 1,780
- - Nautica Enterprises, Inc. 118,614 1,779
Premier Bancshares, Inc. 67,800 1,776
- - CHS Electronics, Inc. 104,700 1,773
- - SDL, Inc. 44,600 1,767
Public Service Co. of
North Carolina, Inc. 67,900 1,765
- - Affiliated Managers Group, Inc. 59,000 1,763
- - Canandaigua Brands, Inc. Class A 30,500 1,763
- - Consolidated Products Inc. 85,390 1,761
Westfield America, Inc. REIT 101,900 1,758
SL Green Realty Corp. REIT 81,000 1,752
Bandag, Inc. 43,800 1,749
Western Bancorp 59,800 1,749
- - Calpine Corp. 69,200 1,747
Great Atlantic & Pacific Tea
Co., Inc. 58,700 1,739
Taubman Co. REIT 126,500 1,739
Graco, Inc. 58,925 1,738
- - Concentra Managed Care 162,450 1,736
- - SLI, Inc. 62,575 1,736
New England Business
Service, Inc. 44,300 1,733
- - The Maxim Group, Inc. 72,100 1,730
- - Concentric Network Corp. 52,000 1,729
- - Amphenol Corp. 57,200 1,727
- - Sykes Enterprises, Inc. 56,600 1,726
- - Pharmaceutical Product
Development, Inc. 57,371 1,725
- - Acclaim Entertainment Inc. 140,400 1,720
- - Xomed Surgical Products Inc. 53,750 1,720
- - PhyCor, Inc. 252,200 1,718
Georgia Gulf Corp. 106,900 1,717
Downey Financial Corp. 67,446 1,716
Libbey, Inc. 59,300 1,716
Florida East Coast Railway Co. 48,700 1,714
- - International Rectifier Corp. 175,500 1,711
Springs Industries Inc. Class A 41,300 1,711
- - NCI Building Systems, Inc. 60,800 1,710
LNR Property Corp. 85,550 1,706
Regal-Beloit Corp. 74,100 1,704
Clarcor Inc. 85,125 1,702
Inter-Tel, Inc. 72,800 1,702
Albemarle Corp. 71,420 1,696
- - El Paso Electric Co. 193,800 1,696
Olsten Corp. 229,950 1,696
- - Photronics Labs Inc. 70,700 1,695
- - Ryan's Family Steak Houses, Inc. 136,700 1,692
- - AgriBioTech, Inc. 130,700 1,691
Morgan Keegan, Inc. 89,800 1,689
- - Inhale Therapeutic Systems 51,100 1,686
Unisource Worldwide, Inc. 232,100 1,683
- - Coventry Health Care Inc. 190,900 1,682
- - NCO Group, Inc. 37,350 1,681
- - Haemonetics Corp. 73,750 1,678
Myers Industries, Inc. 58,597 1,677
- - ProBusiness Services, Inc. 36,800 1,674
- - ISS Group, Inc. 30,400 1,672
- - Yellow Corp. 87,450 1,672
- - Andrx Corp. 32,600 1,671
Energen Corp. 85,700 1,671
- - Cytyc Corp. 64,800 1,669
Juno Lighting, Inc. 71,400 1,669
- - National Instruments Corp. 48,900 1,669
- - Project Software &
Development, Inc. 49,800 1,668
- - 99 Cents Only Stores 33,875 1,664
Pogo Producing Co. 127,900 1,663
- - Terex Corp. 58,200 1,662
Empire District Electric Co. 67,070 1,660
Tredegar Industries Inc. 73,800 1,660
- - Antec Corp. 82,400 1,658
- - Guitar Center, Inc. 67,200 1,655
PS Business Parks, Inc. REIT 69,300 1,655
- - VeriSign, Inc. 28,000 1,655
J.B. Hunt Transport Services, Inc. 71,900 1,654
- - Sierra Health Services 78,500 1,653
- - Emmis Communications, Inc. 38,000 1,648
Diagnostic Products Corp. 52,900 1,647
Werner Enterprises, Inc. 93,088 1,646
Carolina First Corp. 65,000 1,645
- - Credence Systems Corp. 88,900 1,645
TNP Enterprises, Inc. 43,300 1,643
- - Fairfield Communities, Inc. 148,400 1,642
Presidential Life Corp. 82,500 1,640
CNA Surety Corp. 104,000 1,638
- - CSK Auto Corp. 61,200 1,633
- - VLSI Technology, Inc. 149,325 1,633
- - Integrated Device
Technology Inc. 266,500 1,632
- - HMT Technology Corp. 127,300 1,631
John H. Harland Co. 103,100 1,630
- - OEC Medical Systems, Inc. 51,800 1,628
</TABLE>
35
<PAGE> 158
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - American Italian Pasta Co. 61,700 $ 1,627
F.N.B. Corp. 57,568 1,626
- - Red Roof Inns, Inc. 96,200 1,623
- - Electro Scientific Industries, Inc. 35,800 1,622
California Water Service Group 51,626 1,617
- - Veterinary Centers of
America, Inc. 81,100 1,617
- - Artesyn Technologies, Inc. 115,456 1,616
Bradley Real Estate Inc. REIT 78,836 1,616
- - Pacific Gateway Exchange, Inc. 33,600 1,615
- - Hadco Corp. 46,100 1,613
Lawter International Inc. 138,566 1,611
Chittenden Corp. 50,218 1,607
National Penn Bancshares Inc. 58,857 1,604
American Health Properties, Inc.
REIT 77,700 1,603
- - Healthcare Financial
Partners, Inc. 40,200 1,603
Phoenix Investment Partners Ltd. 189,500 1,599
- - Southern Union Co. 65,461 1,596
- - Ionics, Inc. 53,200 1,593
Cash America International Inc. 104,812 1,592
- - Hanover Direct, Inc. 462,900 1,591
West Co., Inc. 44,594 1,591
- - Knoll, Inc. 53,600 1,588
- - Chattem, Inc. 33,100 1,585
Computer Task Group, Inc. 58,300 1,581
Laclede Gas Co. 59,000 1,578
- - Sensormatic Electronics Corp. 227,250 1,577
- - Mid Atlantic Medical
Services, Inc. 160,600 1,576
- - Alkermes, Inc. 70,900 1,573
- - Monaco Coach Corp. 59,100 1,566
Talbots Inc. 49,900 1,566
Technitrol, Inc. 49,100 1,565
Gerber Scientific, Inc. 65,700 1,564
- - CNET, Inc. 29,300 1,560
Wabash National Corp. 76,700 1,558
- - Genrad, Inc. 98,800 1,556
Anchor Bancorp Wisconsin Inc. 64,800 1,555
- - Transkaryotic Therapies, Inc. 61,200 1,553
- - Avant! Corp. 96,938 1,551
Prime Retail, Inc. REIT 157,899 1,549
- - The Kroll-O'Gara Co. 39,200 1,546
- - Newpark Resources, Inc. 226,900 1,546
National Golf Properties, Inc.
REIT 53,400 1,545
- - Dendrite International, Inc. 61,800 1,543
Winnebago Industries, Inc. 101,900 1,541
- - Consolidated Freightways Corp. 96,900 1,538
- - Shorewood Packaging Corp. 75,000 1,538
- - Wesley Jessen VisionCare, Inc. 55,400 1,537
Coachmen Industries, Inc. 58,500 1,536
Argonaut Group, Inc. 62,600 1,534
Lilly Industries Inc. Class A 76,950 1,534
- - Systems & Computer
Technology Corp. 111,500 1,533
- - Techne 72,528 1,532
- - Palm Harbor Homes, Inc. 60,729 1,530
Foremost Corp. of America 72,800 1,529
Koger Equity, Inc. REIT 88,900 1,528
- - Atlas Air, Inc. 31,200 1,527
Chemical Finance 44,812 1,524
Otter Tail Power Co. 38,200 1,523
American Heritage Life
Investment Corp. 62,264 1,522
- - Affymetrix, Inc. 62,300 1,519
- - On Assignment, Inc. 44,000 1,518
Oriental Financial Group 48,466 1,518
- - Renters Choice, Inc. 47,800 1,518
- - Ligand Pharmaceuticals Inc.
Class B 130,000 1,511
- - LaSalle Partners Inc. REIT 51,300 1,510
- - U.S. Home Corp. 45,400 1,510
Landauer, Inc. 46,600 1,509
Richmond County Financial Corp. 93,500 1,502
- - Transition Systems, Inc. 100,100 1,502
- - Digital Microwave Corp. 219,000 1,499
- - Barr Labs Inc. 31,200 1,498
First Western Bancorp 46,800 1,498
- - Great Plains Software, Inc. 31,000 1,496
LTC Properties, Inc. REIT 90,000 1,496
Barnes Group, Inc. 50,800 1,492
Pioneer Group, Inc. 75,500 1,491
- - Semtech Corp. 41,551 1,491
- - Aviron 57,600 1,490
JSB Financial 27,400 1,490
International Multifoods Corp. 57,700 1,489
- - NVR, Inc. 31,200 1,488
Cornerstone Realty Income
Trust, Inc. REIT 141,400 1,485
- - NeoMagic Corp. 67,100 1,485
CCA Prison Realty Trust REIT 72,400 1,484
- - Labor Ready, Inc. 75,357 1,484
Snyder Oil Corp. 111,400 1,483
- - Charming Shoppes, Inc. 343,400 1,481
- - NCS HealthCare, Inc. 62,300 1,480
Michael Foods Group, Inc. 49,300 1,479
- - Mesaba Holdings, Inc. 71,650 1,478
- - Scios, Inc. 142,335 1,477
Ryland Group, Inc. 51,100 1,476
Life Technologies, Inc. 37,950 1,475
- - Michaels Stores, Inc. 81,518 1,475
United Television, Inc. 12,829 1,475
- - Astec Industries, Inc. 26,500 1,474
- - Sequa Corp. Class A 24,600 1,473
Bay View Capital Corp. 67,806 1,471
- - Ivex Packaging Corp. 63,200 1,469
- - Budget Group, Inc. 92,400 1,467
- - Res-Care, Inc. 59,400 1,466
Cleveland-Cliffs Iron Co. 36,300 1,463
- - Excel Switching Corp. 38,500 1,463
- - Robert Mondavi Corp. Class A 35,800 1,463
- - Anchor Gaming 25,900 1,460
- - Education Management Corp. 61,800 1,460
Interface, Inc. 157,300 1,460
- - Central Garden and Pet Co. 101,500 1,459
- - Sunglass Hut International, Inc. 208,100 1,457
- - UniSource Energy Corp. 107,860 1,456
Essex Property Trust, Inc. REIT 48,900 1,455
- - Aviation Sales Co. 35,800 1,454
Arrow International, Inc. 46,300 1,453
</TABLE>
36
<PAGE> 159
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
MGI Properties, Inc. REIT 51,900 $ 1,450
Overseas Shipholding Group Inc. 90,300 1,450
- - Pennzoil-Quaker State Co. 97,792 1,449
- - PRI Automation, Inc. 55,600 1,446
St. John Knits, Inc. 55,600 1,446
- - QRS Corp. 30,100 1,445
- - Service Experts, Inc. 49,400 1,445
Capital Re Corp. 72,000 1,444
Authentic Fitness Corp. 79,000 1,442
- - Oceaneering International, Inc. 96,000 1,440
- - IHOP Corp. 36,000 1,438
- - Landstar System 35,300 1,438
- - Gensia Sicor Inc. 317,060 1,437
Lance, Inc. 72,000 1,436
Analysts International Corp. 74,500 1,434
Hancock Holding Co. 31,507 1,434
- - The Profit Recovery Group
International, Inc. 38,300 1,434
- - Speedway Motorsports, Inc. 50,300 1,434
- - Complete Business Solutions, Inc. 42,300 1,433
Mid-America Apartment
Communities, Inc. REIT 63,100 1,432
NUI Corp. 53,400 1,432
- - Nine West Group, Inc. 91,900 1,430
- - Headlands Mortgage Co. 68,200 1,428
- - Steel Dynamics, Inc. 121,500 1,428
Aquarion Co. 34,806 1,427
- - Scott Technologies, Inc. 86,300 1,427
- - Theragenics Corp. 84,900 1,427
Standex International Corp. 54,200 1,423
WD-40 Co. 49,700 1,423
Del Webb Corp. 51,596 1,422
- - Technology Solutions Co. 132,525 1,421
SCPIE Holdings Inc. 46,800 1,419
- - Protein Design Labs 61,000 1,418
- - ATMI, Inc. 56,100 1,417
- - Zila, Inc. 143,400 1,416
- - Sunterra Corp. 94,350 1,415
Elcor Corp. 43,750 1,414
- - Checkpoint Systems, Inc. 113,900 1,410
- - Hain Food Group, Inc. 56,400 1,410
Hooper Holmes, Inc. 48,500 1,407
- - Maxxim Medical, Inc. 47,200 1,404
Burlington Coat Factory
Warehouse Corp. 85,940 1,402
- - KEMET Corp. 124,600 1,402
- - CCC Information Services Group 81,000 1,397
Centex Construction Products, Inc. 34,400 1,397
- - Sola International Inc. 80,800 1,394
- - Cymer, Inc. 95,200 1,392
- - Financial Federal Corp. 56,250 1,392
Furon Co. 81,600 1,392
- - Unitrode Corp. 79,500 1,391
TJ International, Inc. 54,100 1,390
The Stride Rite Corp. 158,800 1,389
- - Chirex, Inc. 64,900 1,387
- - Quiksilver, Inc. 46,200 1,386
- - Greyhound Lines, Inc. 233,300 1,385
- - Holophane Corp. 53,900 1,385
- - Kulicke & Soffa Industries, Inc. 78,000 1,385
Poe & Brown, Inc. 39,550 1,382
- - Advent Software, Inc. 29,300 1,381
- - IDX Systems Corp. 31,380 1,381
Carter-Wallace, Inc. 70,300 1,380
Wynn's International Inc. 62,350 1,379
- - Cor Therapeutics, Inc. 104,000 1,378
- - Just for Feet, Inc. 79,250 1,377
- - Keystone Automotive
Industries, Inc. 65,700 1,376
Frontier Insurance Group, Inc. 106,832 1,375
- - Fuisz Technologies Ltd. 106,600 1,372
- - Kirby Corp. 68,800 1,372
Owens & Minor, Inc. Holding Co. 87,037 1,371
Greif Brothers Corp. Class A 46,900 1,369
LeaRonal Inc. 40,400 1,369
Home Properties of New York,
Inc. REIT 53,100 1,367
Heilig-Meyers Co. 204,200 1,366
First Source Corp. 40,759 1,365
- - CD Radio Inc. 39,800 1,363
SIS Bancorp, Inc. 30,100 1,362
- - Ventana Medical Systems, Inc. 62,900 1,360
Rock-Tenn Co. 80,260 1,359
- - United Payors & United
Providers, Inc. 47,600 1,357
- - Amerco, Inc. 48,420 1,353
Pacific Capital Bancorp 52,500 1,352
- - RealNetworks, Inc. 37,700 1,352
Tennant Co. 33,600 1,348
- - Group 1 Automotive, Inc. 51,800 1,347
The Trust Co. of New Jersey 54,970 1,347
Interpool, Inc. 80,350 1,346
Quanex Corp. 59,600 1,345
First Financial Corp.-Indiana 27,200 1,343
- - WetSeal, Inc. Class A 44,500 1,343
- - Armco, Inc. 306,400 1,340
- - Marshall Industries 54,700 1,340
- - ADAC Laboratories 67,033 1,339
InterWest Bancorp Inc. 60,500 1,339
- - Vanstar Corp. 144,800 1,339
- - Coulter Pharmaceutical, Inc. 44,600 1,338
Urban Shopping Centers, Inc. REIT 40,800 1,336
- - Safety-Kleen Corp. 94,534 1,335
Enesco Group, Inc. 57,300 1,332
- - Silicon Valley Group, Inc. 104,500 1,332
Varlen Corp. 57,750 1,332
- - Family Golf Centers, Inc. 67,300 1,329
- - Marine Drilling Co., Inc. 172,700 1,328
Riggs National Corp. 65,200 1,328
- - Cost Plus, Inc. 42,300 1,327
- - Young Broadcasting Inc. 31,700 1,327
- - Seagull Energy Corp. 209,900 1,325
Westinghouse Air Brake Co. 54,200 1,325
Apogee Enterprises, Inc. 117,600 1,323
- - Big Flower Holdings, Inc. 59,900 1,322
Elizabethtown Corp. 27,900 1,322
- - Kellstrom Industries, Inc. 46,000 1,322
- - Peregrine Systems, Inc. 28,500 1,322
- - Stone Energy Corp. 46,000 1,322
- - Hambrecht & Quist Group 58,200 1,320
MDC Holdings, Inc. 61,700 1,319
- - Mail-Well, Inc. 115,300 1,319
</TABLE>
37
<PAGE> 160
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Midwest Express Holdings, Inc. 50,100 $ 1,318
Wackenhut Corp. 51,800 1,318
- - Timberland Co. 28,900 1,317
- - ISIS Pharmaceuticals, Inc. 101,600 1,314
- - Maxxam Inc. 22,900 1,314
Rollins, Inc. 75,100 1,314
- - Superior Consultant
Holdings Corp. 30,200 1,314
- - Wackenhut Corrections Corp. 45,900 1,314
Ocean Financial Corp. 79,000 1,313
Cabot Industrial Trust REIT 64,100 1,310
N L Industries, Inc. 92,300 1,310
ChemFirst Inc. 66,300 1,309
West Coast Bancorp 62,355 1,309
- - Kronos, Inc. 29,500 1,307
Peoples Bancorp, Inc. 120,100 1,306
- - Hanger Orthopedic Group, Inc. 57,900 1,303
Town & Country Trust REIT 81,100 1,303
- - LoJack Corp. 109,600 1,302
Republic Bancorp, Inc. 95,525 1,302
- - Triumph Group, Inc. 40,700 1,302
EVEREN Capital Corp. 57,200 1,301
- - Lands' End, Inc. 48,300 1,301
North Carolina Natural Gas Corp. 39,202 1,301
- - PFF Bancorp, Inc. 81,200 1,299
- - Dal-Tile International Inc. 124,800 1,295
- - Oakley, Inc. 136,300 1,295
Duff & Phelps Credit Rating 23,600 1,294
Storage Trust Realty REIT 55,300 1,293
- - TransMontaigne Inc. 85,400 1,292
- - FPIC Insurance Group, Inc. 27,000 1,291
Fleming Cos., Inc. 124,400 1,291
- - Alexander's, Inc. 16,500 1,290
- - Algos Pharmaceutical Corp. 49,600 1,290
Arch Coal, Inc. 75,300 1,290
- - NBTY, Inc. 181,100 1,290
- - MMC Networks, Inc. 97,300 1,289
BSB Bancorp, Inc. 39,150 1,287
Luby's Cafeterias, Inc. 83,300 1,286
Watsco, Inc. 76,750 1,286
A.O. Smith Corp. 52,200 1,282
The Standard Register Co. 41,400 1,281
National Presto Industries, Inc. 30,000 1,279
Superior Telecom Inc. 27,075 1,279
National City Bancshares, Inc. 34,206 1,276
Brenton Banks, Inc. 76,135 1,275
- - Integrated Systems, Inc. 85,300 1,274
- - Borg-Warner Security Corp. 67,900 1,273
- - BA Merchant Services, Inc.
Class A 63,200 1,272
- - Tesoro Petroleum Corp. 104,900 1,272
- - Playboy Enterprises Inc. Class B 60,700 1,271
- - Cooper Cos., Inc. 61,400 1,270
Merrill Corp. 65,700 1,269
- - Buckeye Technology, Inc. 84,900 1,268
- - Franklin Covey Co. 75,700 1,268
Mississippi Chemical Corp. 90,465 1,267
Trenwick Group Inc. 38,850 1,267
Chemed Corp. 37,800 1,266
- - Dollar Thrifty Automotive
Group, Inc. 98,100 1,263
- - Physician Reliance Network, Inc. 96,200 1,263
- - Tuboscope Inc. 155,200 1,261
- - American Media Class A 226,500 1,260
Commercial Net Lease Realty
REIT 95,100 1,260
L. S. Starrett Co. Class A 36,700 1,259
- - Datascope Corp. 54,700 1,258
- - Engineering Animation, Inc. 23,300 1,258
Burnham Pacific Properties, Inc.
REIT 104,200 1,257
- - Cox Radio, Inc. 29,700 1,255
- - Canandaigua Brands, Inc. Class B 22,100 1,254
- - Electro Rent Corp. 77,558 1,251
- - Paxar Corp. 139,956 1,251
Thomas Industries, Inc. 63,750 1,251
Central Parking Corp. 38,500 1,249
GBC Bancorp 48,400 1,246
CPI Corp. 47,000 1,245
- - Mastec Inc. 59,300 1,245
AmerUs Life Holdings, Inc. 55,592 1,244
Omega Financial Corp. 41,100 1,243
Excel Industries, Inc. 71,000 1,242
- - Aqua Alliance Inc. 601,100 1,240
Standard Pacific Corp. 87,800 1,240
Bedford Property Investors, Inc.
REIT 73,400 1,239
Inland Steel Industries, Inc. 73,339 1,238
Ethyl Corp. 212,900 1,237
The Toro Co. 43,400 1,237
F & M Bancorporation, Inc. 40,854 1,236
- - Performance Food Group Co. 43,950 1,236
- - StaffMark, Inc. 55,200 1,235
- - Actel Corp. 61,700 1,234
Chiquita Brands
International, Inc. 129,000 1,234
- - Integrated Electrical Services, Inc. 55,300 1,230
Merchants New York
Bancorporation 34,000 1,230
- - PharMerica, Inc. 205,000 1,230
Berry Petroleum Class A 86,600 1,229
Reliance Bancorp, Inc. 44,200 1,229
- - Abacus Direct Corp. 27,000 1,228
Albany International Corp. 64,800 1,227
Entertainment Properties Trust
REIT 72,200 1,227
- - Sbarro, Inc. 46,800 1,226
- - Southwest Bancorporation of
Texas, Inc. 68,600 1,226
Stewart Information
Services Corp. 21,100 1,224
Mills Corp. REIT 61,536 1,223
Bank of Granite Corp. 44,218 1,222
- - Esterline Technologies Corp. 56,200 1,222
- - Trans World Entertainment Corp. 64,050 1,221
Kaman Corp. Class A 75,800 1,218
- - ONSALE, Inc. 30,400 1,218
- - Getty Images, Inc. 70,800 1,217
Glimcher Realty Trust REIT 77,600 1,217
- - Closure Medical Corp. 40,800 1,216
- - First Federal Financial Corp. 68,050 1,216
Dain Rauscher Corp. 41,200 1,215
</TABLE>
38
<PAGE> 161
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Louis Dreyfus Natural Gas Corp. 85,096 $ 1,213
The Marcus Corp. 74,500 1,211
Sunstone Hotel Investors, Inc.
REIT 128,300 1,211
US Bancorp, Inc. 60,899 1,210
- - Cephalon, Inc. 134,300 1,209
- - Kent Electronics Corp. 94,800 1,209
- - Littelfuse, Inc. 62,800 1,209
Guilford Mills, Inc. 72,300 1,207
- - Aspen Technologies, Inc. 83,100 1,205
Standard Products Co. 59,025 1,203
AMLI Residential Properties Trust
REIT 54,000 1,202
Bassett Furniture Industries, Inc. 49,825 1,202
- - Billing Concepts Corp. 109,300 1,202
Deltic Timber Corp. 59,000 1,202
Pacific Gulf Properties, Inc. REIT 59,900 1,202
Commercial Metals Co. 43,266 1,201
- - Diamond Multimedia
Systems, Inc. 188,463 1,201
- - CUNO Inc. 73,850 1,200
- - Cort Business Services Corp. 49,500 1,200
Innkeepers USA Trust REIT 101,500 1,199
- - Rental Service Corp. 76,400 1,199
American Business Products, Inc. 51,000 1,198
Summit Properties, Inc. REIT 69,400 1,197
Community Bank System, Inc. 40,800 1,196
Life USA Holding, Inc. 92,800 1,195
- - Carriage Services, Inc. 42,000 1,194
Analogic Corp. 31,700 1,193
Madison Gas & Electric Co. 52,275 1,189
- - Pride International Inc. 168,300 1,189
Regency Realty Corp. REIT 53,400 1,188
- - Boron, LePore & Associates, Inc. 34,400 1,187
- - National Western Life Insurance
Co. Class A 10,100 1,187
- - Plains Resources 84,400 1,187
- - QuadraMed Corp. 57,900 1,187
Roadway Express Inc. 82,100 1,185
Texas Regional Bancshares, Inc. 47,300 1,185
- - Sunrise Medical, Inc. 95,200 1,184
PXRE Corp. 47,133 1,181
Commonwealth Bancorp 75,800 1,180
Brush Wellman, Inc. 67,600 1,179
- - K-V Pharmaceutical Co. Class B 56,750 1,174
- - IGEN International, Inc. 38,300 1,173
- - Risk Capital Holdings, Inc. 53,900 1,172
Pittston BAX Group 105,200 1,170
- - Province Heathcare Co. 32,600 1,170
Sterling Bancshares, Inc. 78,500 1,168
Farmer Brothers, Inc. 5,450 1,166
Independent Bank Corp. 67,100 1,166
- - Ocular Sciences, Inc. 43,600 1,166
- - F.Y.I. Inc. 36,400 1,165
- - Pacific Sunwear of California 71,175 1,165
- - Group Maintenance
America Corp. 96,000 1,164
JP Realty Inc. REIT 59,300 1,164
Dreyer's Grand Ice Cream, Inc. 76,900 1,163
- - Adtran, Inc. 63,400 1,161
- - Microage, Inc. 75,300 1,158
CFW Communications Co. 49,500 1,157
- - Enzo Biochem, Inc. 112,203 1,157
Triangle Bancorp, Inc. 73,200 1,157
- - Steinway Musical
Instruments Inc. 44,400 1,154
Walden Residential Properties,
Inc. REIT 56,400 1,153
- - Sun Healthcare Group, Inc. 175,600 1,152
- - Insituform Technologies Class A 79,400 1,151
- - Earthshell Corp. 96,300 1,150
Skyline Corp. 35,400 1,150
UniFirst Corp. 50,400 1,150
- - Seitel, Inc. 92,400 1,149
- - Interdigital
Communications Corp. 251,500 1,147
Russ Berrie and Co., Inc. 48,800 1,147
Equity Inns, Inc. REIT 119,100 1,146
- - Perclose, Inc. 34,600 1,146
Berkshire Realty Co., Inc. REIT 120,500 1,145
C & D Technology Inc. 41,600 1,144
First United Bancshares, Inc. 64,400 1,143
Kansas City Life Insurance Co. 13,930 1,139
BT Financial Corp. 41,560 1,138
Wellman, Inc. 111,700 1,138
- - CB Richard Ellis Services, Inc. 62,729 1,137
Tower Realty Trust, Inc. REIT 56,500 1,137
CVB Financial Corp. 50,490 1,136
Mine Safety Appliances Co. 16,000 1,136
- - Organogenesis, Inc. 100,892 1,135
- - Silicon Valley Bancshares 66,600 1,134
- - Wild Oats Markets Inc. 36,000 1,134
- - HomeBase, Inc. 177,200 1,130
- - S3, Inc. 153,500 1,130
- - STAR Telecommunications, Inc. 92,700 1,130
Golf Trust of America, Inc. REIT 40,700 1,129
- - Lone Star Steakhouse &
Saloon, Inc. 122,900 1,129
Curtiss-Wright Corp. 29,600 1,128
Corus Bankshares Inc. 34,900 1,126
Signal Corp. 32,875 1,126
John Nuveen Co. Class A 30,300 1,125
- - Siliconix, Inc. 54,200 1,125
Arnold Industries, Inc. 69,700 1,124
Calgon Carbon Corp. 149,700 1,123
Dames & Moore Group 87,200 1,123
- - Midway Games Inc. 102,011 1,122
Western Investment Real Estate
Trust REIT 95,000 1,122
- - First Republic Bank 44,700 1,120
- - Host Marriott Services Corp. 107,940 1,120
- - Griffon Corp. 105,300 1,119
- - Integrated Process
Equipment Corp. 104,100 1,119
Strayer Education, Inc. 31,650 1,116
- - Silgan Holdings, Inc. 40,100 1,115
- - Kopin Corp. 52,900 1,111
- - Ultratech Stepper, Inc. 69,400 1,110
Cabot Oil & Gas Corp. Class A 73,826 1,107
Alexandria Real Estate Equities,
Inc. REIT 35,700 1,104
</TABLE>
39
<PAGE> 162
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Valmont Industries, Inc. 79,600 $ 1,104
- - Acuson Corp. 74,150 1,103
- - Sangstat Medical Corp. 51,900 1,103
- - Commonwealth Telephone
Enterprises, Inc. 32,899 1,102
- - AFC Cable Systems, Inc. 32,700 1,100
- - DuPont Photomasks, Inc. 25,900 1,099
- - FileNet Corp. 95,800 1,099
Community Trust Bancorp Inc. 46,660 1,097
Parkway Properties Inc. REIT 35,100 1,097
Dimon Inc. 147,300 1,096
- - Grand Casinos, Inc. 135,900 1,096
- - DataWorks Corp. 104,900 1,095
General Binding Corp. 29,400 1,095
First Financial Holdings, Inc. 57,500 1,092
Grey Advertising, Inc. 3,000 1,092
Harleysville National Corp. 27,998 1,092
- - Knight Transportation, Inc. 40,900 1,092
- - Mariner Post-Acute
Network, Inc. 239,049 1,091
- - Remec, Inc. 60,600 1,091
- - Triarc Cos., Inc. Class A 68,200 1,091
- - DBT Online Inc. 43,700 1,090
Imperial Credit Commercial
Mortgage Investment Corp.
REIT 115,800 1,086
- - Morrison Knudsen Corp. 111,200 1,084
- - Coherent, Inc. 87,000 1,082
- - Remedy Corp. 77,600 1,082
- - Agribrands International, Inc. 36,000 1,080
- - GC Cos. 25,950 1,080
- - Stoneridge,Inc. 47,000 1,069
Brown Group, Inc. 60,800 1,068
- - Primus Telecommunications
Group, Inc. 64,700 1,068
- - Biotechnology General 153,700 1,066
- - Magnatek 92,100 1,065
- - Cellular Communications of
Puerto Rico 57,500 1,064
Irwin Financial Corp. 39,100 1,063
Sterling Bancorp 46,600 1,063
IRT Property Co. REIT 106,198 1,062
- - Pinkerton's, Inc. 49,800 1,061
- - Wolverine Tube, Inc. 50,500 1,061
- - Network Equipment
Technologies, Inc. 102,700 1,059
- - Global Industrial
Technologies, Inc. 98,900 1,057
- - Information Resources, Inc. 103,800 1,057
- - UniCapital Corp. 143,000 1,055
- - Gaylord Container Corp. 171,900 1,053
Standard Motor Products, Inc. 43,400 1,052
- - Scientific Games Holdings Corp. 55,700 1,051
Sturm, Ruger & Co., Inc. 87,800 1,048
Great Lakes, Inc. REIT 66,700 1,046
Yankee Energy Systems 35,900 1,046
Vintage Petroleum, Inc. 121,200 1,045
Chartwell Re Corp. 43,900 1,043
- - Columbia Banking System, Inc. 56,300 1,042
- - Forrester Research, Inc. 23,800 1,041
Sovran Self Storage, Inc. REIT 41,200 1,035
- - TAVA Technologies, Inc. 135,700 1,035
- - Collins & Aikman Corp. 201,700 1,034
- - OmniAmerica Inc. 32,300 1,034
Stone & Webster, Inc. 31,100 1,034
- - Capital Senior Living Corp. 73,800 1,029
First Financial Bankshares, Inc. 29,370 1,028
- - Impath, Inc. 38,800 1,028
- - Eagle USA Airfreight, Inc. 41,900 1,027
- - U.S. Satellite Broadcasting Co.,
Inc. Class A 74,600 1,026
P.H. Glatfelter Co. 82,800 1,025
- - Rogers Corp. 34,300 1,025
MTS Systems Corp. 75,800 1,023
Simmons First National 27,500 1,021
- - Daisytek International Corp. 53,700 1,020
- - Brookdale Living
Communites, Inc. 52,200 1,018
- - Mesa Air Group Inc. 130,300 1,018
- - U.S. Bioscience 141,300 1,016
- - Protection One, Inc. 118,500 1,015
Crown American Realty Trust
REIT 130,800 1,014
- - Global DirectMail Corp. 43,300 1,012
The Ackerley Group, Inc. 55,400 1,011
- - Fairchild Corp. 64,200 1,011
Stewart & Stevenson
Services, Inc. 103,610 1,010
- - Data Processing Resources Corp. 34,500 1,009
- - GelTex Pharmaceuticals, Inc. 44,600 1,009
OEA, Inc. 85,300 1,008
- - Electroglas, Inc. 85,200 1,001
Scotsman Industries, Inc. 48,700 1,001
Pioneer Standard
Electronics Inc. 106,550 999
- - Hamilton Bancorp, Inc. 37,400 998
- - Jones Intercable Inc. 28,400 998
- - FSI International, Inc. 96,100 997
Exide Corp. 61,100 993
NBT Bancorp, Inc. 42,469 993
Applied Industrial Technology, Inc. 71,500 992
- - Value City Department Stores, Inc. 71,200 992
WSFS Financial Corp. 58,800 992
- - Friedman, Billings, Ramsey
Group, Inc. 152,400 991
- - National R. V. Holdings, Inc. 38,500 991
Nature's Sunshine Inc. 64,982 991
- - Cotelligent, Inc. 46,400 989
Cross Timbers Oil Co. 131,425 986
- - CDI Corp. 48,800 985
American Annuity Group Inc. 42,800 984
- - Castle & Cooke Inc. 66,700 984
Watts Industries Class A 59,200 984
- - Aavid Thermal Technologies 58,100 980
Park Electrochemical Corp. 34,200 979
- - e.spire Communications, Inc. 153,400 978
- - Genesis Health Ventures Inc. 111,825 978
- - Input/Output, Inc. 133,800 978
- - Triad Guaranty, Inc. 44,200 975
- - Veritas DGC Inc. 74,700 971
- - Teletech Holdings Inc. 94,500 969
- - IDT Corp. 62,900 967
</TABLE>
40
<PAGE> 163
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Boise Cascade Office
Products Corp. 71,500 $ 965
Oneida Ltd. 65,135 965
South Jersey Industries, Inc. 36,836 965
- - CSS Industries, Inc. 31,800 964
Flagstar Bancorp, Inc. 36,900 964
- - Florida Panthers Holdings, Inc. 103,500 964
Tejon Ranch Co. 48,500 964
Reliance Steel & Aluminum Co. 34,800 961
- - EEX Corp. 136,966 959
First Union Real Estate REIT 163,200 959
- - Verio Inc. 42,800 958
Telxon Corp. 68,900 956
EastGroup Properties, Inc. REIT 51,800 955
- - Rural/Metro Corp. 87,300 955
- - Vincam Group, Inc. 54,400 955
- - NPC International Class A 79,000 953
- - PEC Israel Economic Corp. 33,100 952
- - PJ America Inc. 52,500 952
- - Tom Brown, Inc. 94,700 950
- - Stein Mart, Inc. 136,300 950
- - Vicor Corp. 105,500 949
Simpson Industries, Inc. 97,800 947
- - Benchmark Electronics, Inc. 25,800 945
AMCOL International Corp. 95,550 944
- - DVI, Inc. 51,800 939
U.S. Restaurant Properties, Inc.
REIT 38,600 938
Circle International Group, Inc. 45,700 937
- - Twinlab Corp. 71,400 937
United Fire & Casualty Co. 27,825 936
- - Columbia Sportswear Co. 55,400 935
- - Long Beach Financial Corp. 124,600 934
- - Heartland Express, Inc. 53,308 933
- - Copart, Inc. 28,800 932
Guarantee Life Cos., Inc. 50,400 932
PMA Capital Corp. Class A 47,600 931
- - Data Transmission Network Corp. 32,200 930
- - Inprise Corp. 169,100 930
- - American Classic Voyager Co. 52,700 929
Coca-Cola Bottling Co. 16,122 927
- - American Homestar Corp. 61,500 923
- - Fritz Cos., Inc. 85,300 922
OmniQuip International, Inc. 61,400 921
Southwestern Energy Co. 122,100 916
- - Merisel, Inc. 384,900 914
- - Omnipoint Corp. 98,200 914
- - Station Casinos, Inc. 111,500 913
- - The Dress Barn, Inc. 59,800 908
Advanta Corp. Class A 68,480 907
- - Alpine Group, Inc. 60,500 907
- - Forest Oil Corp. 106,700 907
- - Highlands Insurance Group 69,430 907
- - McWorter Technologies Inc. 39,650 907
- - RTI International Metals 64,600 904
Justin Industries, Inc. 68,750 902
- - Sabratek Corp. 55,000 901
Oregon Steel Mills, Inc. 75,800 900
- - Southland Corp. 472,100 900
- - Genesys Telecommunications
Laboratories, Inc. 40,400 899
RFS Hotel Investors, Inc. REIT 73,400 899
- - Advanced Energy Industries, Inc. 35,900 898
- - Hologic, Inc. 74,100 898
BMC Industries, Inc. 143,300 896
- - Goody's Family Clothing 88,900 892
- - The Buckle, Inc. 37,100 890
Daniel Industries, Inc. 73,400 890
- - Banctec, Inc. 70,728 889
- - SanDisk Corp. 62,700 886
St. Mary Land & Exploration Co. 47,840 885
- - Aviall Inc. 74,875 880
First Sentinel Bancorp, Inc. 108,340 880
- - Glenayre Technologies, Inc. 198,125 879
- - Lydall, Inc. 74,000 879
Commonwealth Industries Inc. 93,700 878
Evergreen Bancorp, Inc. 27,300 877
Commercial Intertech Corp. 67,650 875
- - Metromedia International
Group, Inc. 160,800 874
- - Kenneth Cole Productions, Inc. 46,500 872
- - Platinum Software Co. 68,000 871
- - NeXstar Pharmaceuticals Inc. 93,900 869
- - Volt Information Sciences Inc. 38,500 869
Colonial Gas Co. 24,900 868
- - Discount Auto Parts Inc. 39,300 862
Student Loan Corp. 19,100 857
- - Open Market, Inc. 73,200 856
- - Coinmach Laundry Corp. 65,800 855
Gleason Corp. 47,100 854
Ameron International Corp. 23,000 851
Intermet Corp. 65,100 850
- - Stage Stores, Inc. 90,600 849
- - Alternative Resources Corp. 79,400 844
- - Metals USA, Inc. 86,575 844
Northwest Bancorp, Inc. 86,600 844
- - Oak Technology, Inc. 241,100 844
- - Transaction Network
Services, Inc. 42,050 844
- - VWR Scientific Products Corp. 48,600 844
Redwood Trust, Inc REIT. 60,200 843
- - Urban Outfitters, Inc. 49,900 842
- - Penske Motorsports, Inc. 31,600 841
Genovese Drug Stores, Inc.
Class A 29,470 840
Pennsylvania REIT 43,200 840
LaSalle Hotel Properties REIT 80,900 839
- - CareMatrix Corp. 27,300 836
Valhi, Inc. 73,500 836
Foamex International, Inc. 67,400 834
- - The North Face, Inc. 64,100 833
Anthracite Capital Inc. 106,200 830
Lindsay Manufacturing Co. 55,995 829
- - National City Bancorporation 31,500 827
- - Harken Energy Corp. 425,700 825
Terra Industries, Inc. 133,200 824
Arctic Cat, Inc. 80,800 823
- - Boston Beer Co., Inc. Class A 96,800 823
Capstead Mortgage Corp. REIT 199,400 823
- - Evans & Sutherland
Computer Corp. 46,700 823
- - West TeleServices Corp. 84,100 820
</TABLE>
41
<PAGE> 164
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - AirNet Systems, Inc. 57,000 $ 819
- - Aztar Corp. 161,600 818
Schweitzer-Mauduit
International, Inc. 53,000 818
- - Offshore Logistics, Inc. 68,700 816
- - Simpson Manufacturing Co. 21,800 816
- - American Freightways 70,600 814
- - General Cigar Holdings, Inc. 93,600 813
- - NFO Worldwide, Inc. 70,700 813
- - Imperial Credit 96,664 810
- - Garden Ridge Corp. 89,300 809
Robbins & Myers, Inc. 36,478 807
- - Cole National Corp. Class A 47,000 805
- - Vical, Inc. 56,700 804
Oshkosh B Gosh, Inc. Class A 39,800 803
- - Polymer Group, Inc. 80,700 802
- - Vencor, Inc. 178,285 802
- - Magellan Health Services, Inc. 95,700 801
- - Administaff, Inc. 32,000 800
- - Trans World Airlines 165,600 797
- - System Software
Associates, Inc. 113,200 796
- - Carmike Cinemas, Inc. Class A 39,100 794
BankAtlantic Bancorp, Inc.
Class B 111,100 792
- - Championship Auto Racing
Teams, Inc. 26,700 791
Getty Realty Holding Corp. 54,100 791
- - Diamond Technology
Partners Inc. 41,300 790
- - Medaphis Corp. 240,750 790
- - Sanchez Computer
Associates, Inc. 27,000 790
- - Neurogen Corp. 45,100 789
- - Digi International, Inc. 70,800 788
BancFirst Corp. 21,900 786
- - Premisys Communications, Inc. 85,600 786
- - Intergraph Corp. 136,600 785
- - Mapics Inc. 47,600 785
Dime Community Bancorp. Inc. 38,000 784
- - Hecla Mining Co. 216,200 784
- - Paxson Communications Corp. 85,300 784
- - O'Sullivan Industries Holdings, Inc. 74,600 783
Lawson Products, Inc. 34,000 782
- - Barnett, Inc. 56,800 781
A.M. Castle & Co. 52,025 780
- - Harbinger Corp. 97,250 778
- - U.S. Xpress Enterprises, Inc. 51,400 771
R.L.I. Corp. 23,150 770
- - Immune Response 70,600 768
- - N2K Inc. 58,700 767
- - Ascent Entertainment Group, Inc. 103,829 766
Tanger Factory Outlet Centers,
Inc. REIT 36,100 765
- - U.S.A. Floral Products, Inc. 66,500 765
- - CommNet Cellular Inc. 62,400 764
Helix Technology Corp. 58,800 764
Cohu, Inc. 34,700 763
- - Cone Mills Corp. 135,500 762
- - Petco Animal Supplies, Inc. 75,700 762
Avado Brands, Inc. 91,550 761
- - Cellnet Data Systems 152,200 761
- - Gibraltar Steel 33,350 759
- - Ducommun, Inc. 54,750 756
- - Lone Star Technologies, Inc. 74,700 756
- - The Carbide/Graphite Group, Inc. 51,100 754
- - Nuevo Energy Co. 65,600 754
MMI Cos., Inc. 44,900 752
- - Hartmarx Corp. 133,100 749
- - Triangle Pharmaceuticals, Inc. 55,000 749
- - Syntel, Inc. 65,875 745
Southern Peru Copper Corp. 78,800 744
- - Lifecore Biomedical Inc. 71,900 737
F & M Bancorp 22,480 736
Franklin Electric, Inc. 10,900 736
Grand Premier Financial, Inc. 59,905 734
Tremont Corp. 22,065 734
- - Advanced Tissue Sciences Inc. 281,900 731
- - Hollywood Park, Inc. 87,600 728
NYMAGIC, Inc. 35,100 728
- - Guilford Pharmaceuticals, Inc. 50,900 725
First Federal Capital Corp. 44,200 724
- - Parker Drilling Co. 227,200 724
- - ACX Technologies Inc. 54,600 723
- - Regeneron Pharmaceuticals, Inc. 97,700 721
JeffBanks, Inc. 36,433 720
Zenith National Insurance Corp. 31,100 719
- - American Skiing Co. 93,000 715
Associated Estates Realty Corp.
REIT 60,500 715
General Chemical Group, Inc. 51,200 710
- - Pool Energy Service Co. 65,400 707
- - 3Dfx Interactive, Inc. 55,900 706
- - PictureTel Corp. 106,400 705
Brookline Bancorp, Inc. 61,200 704
Capital Transamerica Corp. 37,650 704
- - Caribiner International, Inc. 77,100 704
- - Wellsford Real Properties Inc.
REIT 68,200 703
- - Barra, Inc. 29,700 702
- - Cal Dive International, Inc. 33,800 701
- - WHX Corp. 69,700 701
- - Manugistics Group, Inc. 55,400 692
RPC Inc. 93,600 690
- - General Communication, Inc. 168,600 685
HealthPlan Services Corp. 59,600 685
- - Industri-Matematik
International Corp. 137,000 685
- - Arcadia Financial Ltd. 188,800 684
- - Staff Leasing,Inc. 58,800 684
- - Powertel Inc. 50,000 678
- - Schein Pharmaceutical, Inc. 46,500 677
- - Bio-Rad Laboratories, Inc.
Class A 32,200 676
Dynex Capital, Inc. REIT 146,000 675
- - Mobius Management
Systems, Inc. 45,300 674
- - California Microwave, Inc. 71,700 672
- - Genesco, Inc. 118,100 672
- - Paymentech, Inc. 36,300 672
Hancock Fabrics, Inc. 80,100 671
- - Vantive Corp. 83,800 670
</TABLE>
42
<PAGE> 165
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - International Telecommunication
Data Systems, Inc. 45,200 $ 667
- - Jones Intercable Inc. 18,700 666
- - Metro Information Services, Inc. 22,200 666
- - Natural Microsystems Corp. 91,400 666
- - SportsLine USA, Inc. 42,800 666
- - Shiva Corp. 117,100 662
- - Trimble Navigation Ltd. 91,200 661
- - INSpire Insurance Solutions, Inc. 35,900 660
- - Advanced Lighting
Technologies, Inc. 67,600 659
- - TETRA Technologies, Inc. 59,800 654
- - WavePhore, Inc. 81,400 654
- - Cellstar Corp. 95,800 653
- - Local Financial Corp. 72,400 652
- - Centennial Bancorp 34,745 651
- - ThermoQuest Corp. 50,200 649
Harleysville Group, Inc. 25,100 648
Oxford Industries, Inc. 22,800 644
- - US LEC Corp. Class A 43,500 644
- - Gulfmark Offshore, Inc. 40,800 643
- - Thermo Cardiosystems Inc. 61,600 643
- - Chase Industries, Inc. 61,550 642
- - Kaiser Aluminum &
Chemical Corp. 131,600 642
Thornburg Mortgage Asset Corp.
REIT 84,100 641
- - MemberWorks, Inc. 21,600 637
- - Landry's Seafood
Restaurants, Inc. 84,800 636
Freedom Securities Corp. 41,900 634
- - Kendle International Inc. 27,115 634
- - Philadelphia Consolidated
Holding Corp. 28,000 634
- - Wyman-Gordon Corp. 61,900 634
- - Electric Lightwave, Inc. Class A 77,300 633
First Charter Corp. 36,700 633
- - Acceptance Insurance Cos. Inc. 31,200 632
Holly Corp. 37,300 629
Cubic Corp. 33,500 628
Titanium Metals Corp. 73,200 622
- - The Meridian Resource Corp. 194,844 621
Norrell Corp. 42,100 621
Fedders Corp. 106,700 620
Phillips-Van Heusen Corp. 86,300 620
Rouge Industries Inc. 70,800 620
- - Media Arts Group, Inc. 43,900 617
- - Pegasus Communications Corp.
Class A 24,500 614
- - Insignia Financial Group, Inc. 50,200 609
- - Maverick Tube Corp. 109,400 609
- - Intelligroup, Inc. 34,000 608
National Steel Corp. Class B 85,000 606
Harbor Florida Bancshares, Inc. 54,084 605
- - Inacom Corp. 40,600 604
- - Nichols Research Corp. 28,900 603
- - Brylane, Inc. 25,900 602
- - Avatar Holding, Inc. 37,400 598
- - Essex International, Inc. 17,230 597
- - Radiant Systems, Inc. 80,900 597
IMCO Recycling, Inc. 38,600 596
Mitchell Energy & Development
Corp. Class A 51,900 594
Titan International, Inc. 62,500 594
- - Deltek Systems, Inc. 35,100 592
- - Gadzooks, Inc. 76,200 591
Hunt Corp. 55,600 591
- - Hagler Bailly, Inc. 29,300 586
- - LCC International, Inc. Class A 156,100 585
- - Friede Goldman
International, Inc. 51,100 581
- - Sawtek Inc. 33,200 581
- - Atwood Oceanics, Inc. 34,000 578
Prime Bancshares, Inc. 33,400 576
- - MTI Technology Corp. 126,700 570
- - Applied Graphics
Technologies, Inc. 34,500 569
- - Davox Corp. 74,300 567
Boykin Lodging Co. REIT 45,700 566
- - Dril-Quip, Inc. 31,900 566
- - Galey & Lord 65,600 566
Innovex, Inc. 41,100 564
Republic Group Inc. 28,000 562
- - Kitty Hawk, Inc. 50,800 559
- - Boyd Gaming Corp. 168,200 557
- - P-Com, Inc. 139,600 556
Value Line, Inc. 14,100 555
Vital Signs, Inc. 31,600 553
- - Party City Corp. 37,900 547
Haven Bancorp, Inc. 36,300 544
- - Norstan, Inc. 30,400 540
Meadowbrook Insurance
Group, Inc. 32,800 539
- - Coleman Inc. 58,600 535
CRIIMI MAE, Inc. REIT 152,900 535
- - dELiA*s Inc. 42,800 535
- - Premiere Technologies, Inc. 72,600 535
- - Gibson Greetings, Inc. 44,700 531
- - Rainforest Cafe, Inc. 87,450 530
- - Hexcel Corp. 63,000 528
- - Aura Systems, Inc. 527,200 527
Resource America, Inc. 57,900 525
Schnitzer Steel Industries, Inc.
Class A 36,500 525
- - Westell Technologies, Inc. 107,100 522
- - Aftermarket Technology Corp. 66,000 520
- - The Sports Authority, Inc. 99,100 520
- - Windmere-Durable Holdings Inc. 66,767 517
- - RemedyTemp, Inc. 34,100 516
- - Gymboree Corp. 80,800 515
- - Columbia Laboratories Inc. 166,700 511
- - Allen Telecom Inc. 76,260 510
- - Berlitz International, Inc. 17,500 507
- - Itron, Inc. 70,600 507
- - Consolidated Cigar Holdings Inc. 28,600 506
- - Swift Energy Co. 68,420 505
- - NovaCare, Inc. 201,000 502
- - JLK Direct Distribution Inc.
Class A 49,100 500
- - Dialogic Corp. 25,400 499
- - Computer Management
Sciences, Inc. 28,625 497
</TABLE>
43
<PAGE> 166
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Laser Mortgage
Management, Inc. 89,900 $ 489
Westcorp, Inc. 70,100 486
- - SITEL Corp. 198,300 483
- - AXYS Pharmaceuticals, Inc. 82,100 482
- - JDA Software Group, Inc. 49,750 482
- - Zoltek Cos., Inc. 52,400 481
- - General Semiconductor, Inc. 58,150 476
X-Rite Inc. 61,400 476
- - Quaker Fabric Corp. 75,500 472
Bush Industries, Inc. 37,800 470
- - Jo-Ann Stores, Inc. Class B 33,900 470
- - Comstock Resources, Inc. 153,100 469
- - Horizon Offshore, Inc. 84,900 467
- - Jo-Ann Stores, Inc. Class A 28,900 466
- - @Entertainment, Inc. 68,700 464
- - Bank Plus Corp. 105,800 463
- - Silverleaf Resorts, Inc. 49,300 459
- - NovaCare Employee Services, Inc. 84,800 456
- - Speedfam International, Inc. 26,500 454
- - BankUnited Financial Corp. 56,100 449
Range Resources Corp. 130,500 449
- - Vivus, Inc. 173,200 449
Washington Trust Bancorp, Inc. 20,850 448
- - Franchise Mortgage Acceptance
Co. LLC 57,600 446
- - Viasoft, Inc. 63,400 444
K2 Inc. 42,910 443
American Medical Security
Group, Inc. 30,900 442
- - Miller Industries, Inc. 98,250 442
- - TriStar Aerospace Co. 63,100 442
- - Heska Corp. 99,200 440
- - Friedman's, Inc. Class A 42,700 438
- - Rohn Industries Inc. 126,500 435
Ocwen Asset Investment Corp. 89,500 431
- - American Mobile Satellite
Corp., Inc. 81,800 429
- - SOS Staffing Services, Inc. 59,100 428
- - ImClone Systems, Inc. 47,100 427
- - Breed Technological Inc. 51,900 425
First Commerce Bancshares Inc.
Class B 15,172 425
- - AirTran Holdings, Inc. 161,000 423
- - Marvel Enterprises Inc. 68,400 423
- - Hvide Marine, Inc. Class A 84,300 422
Vesta Insurance Group, Inc. 69,850 419
- - Ryerson Tull, Inc. Class A 42,800 417
- - Halter Marine Group, Inc. 85,300 416
Birmingham Steel Corp. 98,900 414
- - MRV Communications Inc. 66,600 412
Impac Mortgage Holdings, Inc.
REIT 89,300 407
- - Finish Line, Inc. 50,800 406
Primex Technologies, Inc. 9,500 404
Weider Nutritional
International, Inc. 63,100 402
- - Amtran, Inc. 14,700 399
- - West Marine, Inc. 40,100 396
- - Coldwater Creek Inc. 28,590 393
- - Credit Acceptance Corp. 53,200 389
- - Miravant Medical Technology 30,250 389
- - SPR Inc. 22,200 383
- - Superior Energy Services, Inc. 134,600 383
Advest Group, Inc. 20,500 379
- - Key Energy Services, Inc. 80,100 375
Allied Products Corp. 58,950 372
Herbalife International Class B 32,134 368
Western Gas Resources, Inc. 64,000 368
Aames Financial Corp. 115,250 367
- - Republic Bank/Clearwater Fla. 27,800 365
- - Thermotrex Corp. 42,600 365
- - Suburban Lodges Of America, Inc. 44,500 364
City Holding Co. 11,110 361
- - Pinnacle Systems, Inc. 10,000 358
- - Guess ?, Inc. 74,200 357
- - Delta Financial Corp. 59,900 356
- - Shaw Group, Inc. 44,500 356
- - CompuCom Systems, Inc. 101,400 355
Fedders Corp. Class A 67,612 355
- - Bacou USA Inc. 16,300 350
- - Computer Learning Centers, Inc. 51,800 346
- - ParkerVision, Inc. 14,700 345
- - Grey Wolf, Inc. 422,300 343
Century Aluminum Co. 36,200 342
- - Spiegel, Inc. Class A 59,100 340
- - H.T.E., Inc. 67,600 338
- - Centennial HealthCare Corp. 21,400 332
- - Planet Hollywood International,
Inc. Class A 143,500 332
- - Encore Wire Corp. 35,800 331
- - Artisan Components, Inc. 62,200 330
- - Lodgian, Inc. 67,600 330
First Indiana Corp. 16,420 328
- - Learning Tree International, Inc. 36,000 326
- - Primadonna Resorts, Inc. 36,800 324
- - UTI Energy Corp. 44,500 323
- - Patterson Energy, Inc. 78,800 320
- - SM&A Corp. 16,600 315
- - Splash Technology Holdings, Inc. 42,259 314
- - Crescent Operating, Inc. REIT 64,263 305
- - Trico Marine Services, Inc. 62,400 304
- - Benton Oil & Gas Co. 100,800 302
- - IRI International Corp. 75,000 300
- - Renaissance Worldwide, Inc. 48,100 295
- - TCI Satellite Entertainment, Inc.
Class A 204,890 295
Culp, Inc. 37,300 294
- - Meadowcraft, Inc. 25,900 290
Chart Industries, Inc. 37,950 289
United Cos. Finance Corp. 84,602 286
- - Ambassadors International, Inc. 19,100 282
- - General Magic, Inc. 55,900 281
- - First Sierra Financial, Inc. 22,700 278
- - ITEQ, Inc. 130,000 276
- - Grubb & Ellis Co. 34,000 274
- - Samsonite Corp. 48,669 271
- - Laboratory Corp. of America 196,352 270
- - Forcenergy Inc. 102,100 268
Hilb, Rogal and Hamilton Co. 13,300 264
KCS Energy, Inc. 81,600 250
- - ContiFinancial Corp. 34,300 244
</TABLE>
44
<PAGE> 167
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
First Commerce Bancshares Inc.
Class A 8,900 $ 243
Prime Group Realty Trust REIT 16,000 242
- - Homestead Village, Inc. 53,600 241
Herbalife International Cl A 16,066 229
Harris Financial, Inc. 16,400 223
Sandy Spring Bancorp, Inc. 7,400 223
Conectiv, Inc. Class A 5,612 222
- - American Retirement Corp. 14,100 221
Capital City Bank Group, Inc. 8,000 221
- - ThermoLase Corp. 48,400 221
- - HS Resources Inc. 29,100 220
- - American HomePatient, Inc. 120,700 219
- - SS&C Technologies, Inc. 17,600 218
- - Westaff Inc. 33,100 207
Columbus McKinnon Corp. 11,100 200
Semco Energy Inc. 12,285 200
- - Panavision, Inc. 15,772 195
Gray Communications
Systems, Inc. 10,250 188
- - EduTrek International, Inc. 31,400 181
- - Pegasystems Inc. 43,300 180
- - TransTexas Gas Corp. 68,600 180
- - ViroPharma Inc. 19,100 178
Chesapeake Energy Corp. 201,480 176
Amplicon, Inc. 11,600 175
- - PageMart Wireless, Inc. 31,500 175
- - Banner Aerospace 18,400 174
Medallion Financial Corp. 12,000 172
- - Kelly Oil Corp. 280,700 167
Mahoning National Bancorp. Inc. 5,400 167
Prime Bancorp Inc. 10,600 167
Belco Oil & Gas Corp. 29,800 166
- - Aspec Technology, Inc. 125,000 164
- - Objective Systems
Integrators, Inc. 34,700 160
- - Bristol Hotels & Resorts, Inc. 23,925 147
- - BWAY Corp. 9,600 145
- - Donna Karan International Inc. 18,900 144
- - Rutherford-Moran Oil Corp. 49,000 138
CFSB Bancorp, Inc. 5,600 136
- - Federal Agricultural
Mortgage Corp. 3,550 132
- - Trex Medical Corp. 15,000 128
BankAtlantic Bancorp, Inc.
Class A 18,375 118
- - Advantica Restaurant Group, Inc. 18,500 114
- - Frontier Financial Corp. 2,500 114
- - MGC Communications, Inc. 16,300 114
- - Titan Exploration, Inc. 17,000 112
- - BRC Holdings Inc. 5,731 107
- - Icon CMT Corp. 6,600 106
- - Aerial Communications Inc. 17,600 103
- - K-V Pharmaceutical Co. Class A 5,000 103
- - SCB Computer Technology, Inc. 10,300 102
- - Alydaar Software Corp. 12,200 101
- - Alaris Medical, Inc. 17,000 100
- - Cylink Corp. 27,700 100
- - Phymatrix Corp. 43,500 95
Penncorp Financial Group Inc. 90,100 90
- - MacroChem Corp. 9,700 82
Wackenhut Corp. Class B 3,656 80
- - DecisionOne Holdings Corp. 16,200 77
- - SmarTalk Teleservices, Inc. 29,100 77
- - Telegroup, Inc. 58,400 77
- - United Natural Foods, Inc. 3,100 75
Price Enterprises, Inc. 13,925 74
BancFirst Ohio Corp. 2,300 70
Baldwin & Lyons, Inc. Class B 2,800 69
Michigan Financial Corp. 1,975 67
North Pittsburgh Systems, Inc. 4,700 63
- - Metal Management, Inc. 16,700 58
- - Thermo Optek Corp. 6,700 58
- - French Fragrances, Inc. 7,400 54
- - APAC Teleservices, Inc. 14,100 53
- - Equity Corp. International 2,000 53
Gold Banc Corp., Inc. 3,300 51
Century South Banks, Inc. 1,500 42
- - USN Communications, Inc. 176,600 33
- - Wilshire Financial Services
Group Inc. 52,700 33
- - Associated Group, Inc. Class B 750 32
- - IMC Mortgage Co. 94,600 27
- - MEMC Electronic Materials, Inc. 2,800 24
- - LTC Healthcare, Inc. 8,220 22
J.M. Smucker Co. Class B 1,000 22
Seaboard Corp. 50 21
- - Recoton Corp. 1,000 18
- - CSF Holdings Inc. Contingent
Litigation Rights 29,125 15
- - Insilco Holding Corp. 239 6
- - Southern Pacific Funding Corp. 47,600 4
- - Octel Corp. 75 1
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $2,687,474) 2,929,234
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (9.8%)(1)
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
FACE
AMOUNT
(000)
- ----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS
(2) 4.046%, 1/14/1999 $ 4,400 4,396
(2) 4.027%-4.429%, 1/7/1999 1,500 1,500
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 109,812 109,812
4.77%, 1/4/1999--Note G 183,114 183,114
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $298,819) 298,822
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (106.4%)
(COST $2,986,293) 3,228,056
- ----------------------------------------------------------------------
</TABLE>
45
<PAGE> 168
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND (000)
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.4%)
- ----------------------------------------------------------------------
<S> <C>
Other Assets--Note B $ 33,675
Security Lending Collateral Payable to
Brokers--Note G (183,114)
Other Liabilities (46,261)
------------
(195,700)
- ----------------------------------------------------------------------
NET ASSETS (100%) $3,032,356
======================================================================
</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 6.3%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2)Securities with an aggregate value of $5,896,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
<S> <C>
Paid in Capital $2,769,161
Overdistributed Net Investment Income (641)
Accumulated Net Realized Gains 14,857
Unrealized Appreciation--Note F
Investment Securities 241,763
Futures Contracts 7,216
- ----------------------------------------------------------------------
NET ASSETS $3,032,356
======================================================================
Investor Shares--Net Assets
Applicable to 130,587,758 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,768,079
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $21.20
======================================================================
Institutional Shares--Net Assets
Applicable to 12,467,472 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $264,277
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $21.20
======================================================================
</TABLE>
46
<PAGE> 169
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
COMMON STOCKS (98.4%)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Vitesse Semiconductor Corp. 38,300 $ 1,747
- - Sanmina Corp. 24,400 1,525
- - MedImmune Inc. 13,600 1,352
Astoria Financial Corp. 27,400 1,254
- - Mohawk Industries, Inc. 28,400 1,195
- - Acxiom Corp. 38,500 1,193
- - Express Scripts 16,600 1,114
- - Williams Sonoma, Inc. 27,600 1,113
Comair Holdings, Inc. 32,600 1,100
- - Devry, Inc. 34,200 1,047
American Bankers
Insurance Group 21,400 1,035
- - Valassis Communications, Inc. 19,100 986
FirstMerit Corp. 36,500 981
Centura Banks, Inc. 13,100 974
First American Financial Corp. 29,600 951
Legg Mason Inc. 27,500 868
SEI Corp. 8,700 865
- - Universal Health Services Class B 16,400 851
- - American Management
Systems, Inc. 21,100 844
- - Novellus Systems, Inc. 16,900 837
National Data Corp. 16,700 813
- - Orbital Sciences Corp. 18,200 805
Mutual Risk Management Ltd. 19,900 779
- - Linens 'n Things, Inc. 19,300 765
- - Ciber, Inc. 26,600 743
Cullen/Frost Bankers, Inc. 13,400 735
Applied Power, Inc. 19,040 719
- - Patterson Dental Co. 16,500 718
- - Gentex Corp. 35,500 710
U.S. Trust Corp. 9,300 707
Delta & Pine Land Co. 19,000 703
- - Whittman-Hart, Inc. 25,400 702
- - BISYS Group, Inc. 13,100 676
- - Macromedia 19,600 660
- - VISIX Inc. 7,500 656
HUBCO, Inc. 21,621 651
- - Safeskin Corp. 27,000 651
- - Whole Foods Market, Inc. 13,100 634
- - Catalina Marketing Corp. 9,200 629
- - MedQuist, Inc. 15,800 624
- - Envoy Corp. 10,700 623
Commerce Bancorp, Inc. 11,375 597
True North Communications 22,100 594
- - Renal Care Group, Inc. 20,200 582
National Computer Systems, Inc. 15,400 570
United Bankshares, Inc. 21,400 567
Ethan Allen Interiors, Inc. 13,600 558
First Midwest Bancorp 14,600 556
- - National Instruments Corp. 16,300 556
- - HA-LO Industries, Inc. 14,700 553
- - Mercury Interactive Corp. 8,700 550
- - Micrel, Inc. 10,000 550
G & K Services, Inc. 10,100 538
- - Barr Labs Inc. 11,100 533
- - IDEXX Laboratories Corp. 19,400 522
Jefferies Group, Inc. 10,500 521
- - Men's Wearhouse, Inc. 16,300 517
- - INCYTE Pharmaceuticals, Inc. 13,800 516
Jones Pharma, Inc. 14,100 515
CMAC Investment Corp. 11,200 514
- - HNC Software, Inc. 12,700 514
Expeditors International of
Washington, Inc. 12,200 512
- - O'Reilly Automotive, Inc. 10,700 506
Polaris Industries, Inc. 12,700 498
- - C-Cube Microsystems, Inc. 18,300 496
UST Corp. 20,800 490
MacDermid, Inc. 12,400 485
Central Parking Corp. 14,900 483
Regis Corp. 12,000 480
Jack Henry & Associates 9,400 468
- - Orthodontic Centers of
America, Inc. 24,100 468
- - Consolidated Graphics, Inc. 6,900 466
- - Pediatrix Medical Group, Inc. 7,700 461
- - Lason Holdings, Inc. 7,900 460
- - Aspect Telecommunications Corp. 26,500 457
- - Stillwater Mining Co. 11,000 451
Blount International, Inc. 18,000 449
First Bancorp/Puerto Rico 14,800 447
- - Alliant Techsystems, Inc. 5,400 445
- - Zebra Technologies Class A 15,300 440
- - Foodmaker, Inc. 19,800 437
- - Westwood One, Inc. 14,300 436
- - Burr-Brown Corp. 18,400 431
- - Cerner Corp. 16,000 428
Whitney Holdings 11,400 427
- - Newfield Exploration Co. 20,200 422
- - Dionex Corp. 11,400 418
- - Insight Enterprises, Inc. 8,100 412
Philadelphia Suburban Corp. 13,900 411
Fidelity National Financial, Inc. 13,420 409
Trustco Bank 13,570 407
- - Boole & Babbage Inc. 13,800 406
- - Tel-Save.com, Inc. 24,100 404
- - CommScope, Inc. 24,000 403
Skywest, Inc. 12,200 399
Tredegar Industries Inc. 17,600 396
- - Cognex Corp. 19,700 394
- - Xircom, Inc. 11,500 391
- - Pre-Paid Legal Services, Inc. 11,700 386
Arthur J. Gallagher & Co. 8,700 384
- - Xylan Corp. 21,200 384
- - Tetra Tech, Inc. 14,100 382
- - Dycom Industries, Inc. 6,600 377
Ballard Medical Products 15,400 374
Manitowac Co., Inc. 8,400 373
ABM Industries 10,700 370
Baldor Electric Co. 18,200 369
Eaton Vance Corp. 17,600 367
Invacare Corp. 15,200 365
- - Brightpoint, Inc. 26,400 363
- - Read Rite Corp. 24,400 361
- - Scotts Co. 9,400 361
- - Metro Networks, Inc. 8,400 358
- - Pharmaceutical Product
Development, Inc. 11,800 355
- - Mueller Industries Inc. 17,400 353
- - SPS Technologies, Inc. 6,200 351
</TABLE>
47
<PAGE> 170
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
JLG Industries, Inc. 22,300 $ 348
Caraustar Industries, Inc. 12,100 346
- - Anchor Gaming 6,100 344
Casey's General Stores 26,400 344
Premier Bancshares, Inc. 12,600 330
- - Biomatrix, Inc. 5,600 326
- - SEQUUS Pharmaceuticals, Inc. 16,100 326
Queens County Bancorp, Inc. 10,850 323
AAR Corp. 13,500 322
- - Respironics, Inc. 15,900 319
Fair Issac & Co. 6,800 314
Roper Industries Inc. 15,300 312
Inter-Tel, Inc. 13,200 309
- - PAREXEL International Corp. 12,000 300
- - The Cheesecake Factory 10,000 297
- - ADVO, Inc. 11,000 290
- - Liposome Co., Inc. 18,800 290
Graco, Inc. 9,800 289
- - Progress Software Corp. 8,550 289
- - Avid Technology, Inc. 12,300 288
- - Nautica Enterprises, Inc. 18,900 283
New England Business
Service, Inc. 7,200 282
- - Unitrode Corp. 15,800 276
Computer Task Group, Inc. 10,100 274
- - Shorewood Packaging Corp. 13,300 273
- - MICROS Systems, Inc. 8,200 270
- - Buckeye Technology, Inc. 17,900 267
Owens & Minor, Inc. Holding Co. 16,600 261
- - Astec Industries, Inc. 4,700 261
Pogo Producing Co. 20,000 260
- - Hyperion Solutions Corp. 14,370 259
- - Family Golf Centers, Inc. 13,000 257
- - Heartland Express, Inc. 14,700 257
- - Consolidated Products Inc. 12,375 255
- - CEC Entertainment Inc. 9,100 253
Libbey, Inc. 8,700 252
- - Plexus Corp. 7,400 251
- - Service Experts, Inc. 8,500 249
- - BE Avionics Inc. 11,800 248
- - Triarc Cos., Inc. Class A 15,200 243
Technitrol, Inc. 7,600 242
- - NBTY, Inc. 33,800 241
- - InterVoice, Inc. 6,900 238
Coca-Cola Bottling Co. 4,100 236
- - Sonic Corp. 9,500 236
Analysts International Corp. 11,500 221
- - Curative Health Services Inc. 6,300 211
WD-40 Co. 7,300 209
- - ADAC Laboratories 10,000 200
- - Billing Concepts Corp. 17,900 197
- - Kronos, Inc. 4,200 186
Oshkosh B Gosh, Inc. Class A 9,100 184
- - Pacific Sunwear of California 10,600 174
- - Biotechnology General 24,800 172
- - Organogenesis, Inc. 15,100 170
Cross Timbers Oil Co. 22,500 169
- - Platinum Software Co. 13,100 168
- - System Software Associates, Inc. 23,900 168
- - TheraTech, Inc. 10,100 164
- - Mariner Post-Acute Network, Inc. 35,600 162
Apogee Enterprises, Inc. 13,900 156
- - Cor Therapeutics, Inc. 11,500 152
- - Scott Technologies, Inc. 9,000 149
- - General Semiconductor, Inc. 18,100 148
Nature's Sunshine Inc. 9,400 143
- - Breed Technological Inc. 17,200 141
Helix Technology Corp. 10,600 138
- - North American Vaccine, Inc. 14,800 131
- - Immune Response 11,900 129
- - Cephalon, Inc. 13,600 122
- - Enzo Biochem, Inc. 11,700 121
- - Plains Resources 8,500 120
Harmon Industries, Inc. 4,800 111
Hilb, Rogal and Hamilton Co. 5,500 109
A.M. Castle & Co. 7,200 108
- - Vantive Corp. 12,100 97
- - Whittaker Corp. 5,400 91
- - Valence Technology 12,300 89
- - U.S. Bioscience 11,100 80
- - Plantronics, Inc. 800 69
- - Noven Pharmaceuticals, Inc. 10,600 58
- - Advanced Tissue Sciences Inc. 19,100 49
- - Cygnus Inc. 10,000 49
- - USA Detergents, Inc. 6,800 49
- - ReSound Corp. 10,100 38
- - Shoney's Inc. 18,800 25
LSB Industries, Inc. 4,100 14
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $83,097) 88,655
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.9%)
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- ----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 $ 572 572
4.77%, 1/4/1999--Note G 2,097 2,097
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $2,669) 2,669
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (101.3%)
(COST $85,766) 91,324
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-1.3%) (1,206)
- ----------------------------------------------------------------------
NET ASSETS (100%) $90,118
======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
-Non-Income-Producing Security.
48
<PAGE> 171
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
(000)
- ----------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- ----------------------------------------------------------------------
<S> <C>
ASSETS
Investments in Securities, at Value $ 91,324
Receivables for Investment Securities Sold 11,817
Other Assets--Note B 815
-----------
Total Assets 103,956
-----------
LIABILITIES
Payables for Investment Securities Purchased 11,177
Other Liabilities--Note G 2,661
-----------
Total Liabilities 13,838
- ----------------------------------------------------------------------
NET ASSETS (100%) $ 90,118
======================================================================
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
AMOUNT
(000)
- ----------------------------------------------------------------------
<S> <C>
Paid in Capital $90,155
Overdistributed Net Investment Income (28)
Accumulated Net Realized Losses--Note E (5,567)
Unrealized Appreciation--Note F 5,558
- ----------------------------------------------------------------------
NET ASSETS $90,118
======================================================================
Investor Shares--Net Assets
Applicable to 9,451,455 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $90,118
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $9.53
======================================================================
</TABLE>
49
<PAGE> 172
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
COMMON STOCKS (104.2%)
- ----------------------------------------------------------------------
<S> <C> <C>
- - E*TRADE Group, Inc. 38,300 $ 1,792
Fremont General Corp. 48,800 1,208
CKE Restaurants Inc. 36,200 1,066
Commercial Federal Corp. 42,300 981
Earthgrains Co. 30,000 928
- - Champion Enterprises, Inc. 33,600 920
D. R. Horton, Inc. 38,800 892
- - Smithfield Foods, Inc. 26,200 888
Sierra Pacific Resources 21,600 821
- - World Color Press, Inc. 26,900 819
- - Zale Corp. 25,000 806
Dallas Semiconductor Corp. 19,700 803
St. Paul Bancorp, Inc. 29,012 790
Enhance Financial Services
Group, Inc. 26,100 783
Piedmont Natural Gas, Inc. 21,400 773
- - Interim Services, Inc. 33,000 771
Corn Products International, Inc. 25,000 759
Bindly Western Industries, Inc. 15,400 758
Orion Capital Corp. 19,000 756
- - Lattice Semiconductor Corp. 16,400 753
- - Delphi Financial Group, Inc. 14,266 748
- - Canandaigua Brands, Inc. Class A 12,500 723
Raymond James Financial, Inc. 33,800 714
Aptargroup Inc. 25,200 707
- - AnnTaylor Stores Corp. 17,900 706
Devon Energy Corp. 22,600 694
Richfood Holdings, Inc. 33,300 691
Atmos Energy Corp. 21,100 680
La-Z-Boy Inc. 37,200 663
Alpharma, Inc. Class A 18,700 660
- - Eagle Hardware & Garden, Inc. 20,300 660
Pier 1 Imports Inc. 67,900 658
United Water Resources, Inc. 26,200 627
- - ETEC Systems, Inc. 15,300 612
Bank North Group 16,200 610
Commonwealth Energy Systems 15,000 607
- - Shopko Stores, Inc. 18,200 605
- - AmeriCredit Corp. 43,700 604
OM Group, Inc. 16,500 602
Rollins Truck Leasing 40,800 602
NAC Re Corp. 12,800 601
- - Anixter International Inc. 29,200 593
Cilcorp, Inc. 9,600 587
- - Toll Brothers, Inc. 26,000 587
Werner Enterprises, Inc. 33,100 585
- - Getchell Gold Corp. 21,300 580
Southwest Gas Corp. 21,300 572
Wicor, Inc. 26,200 571
Orange & Rockland Utilities, Inc. 9,500 541
USFreightways Corp. 18,400 536
- - Barrett Resources Corp. 22,300 535
- - Vertex Pharmaceuticals, Inc. 17,800 530
- - Santa Fe Energy Resources, Inc. 71,320 526
- - Integrated Health Services, Inc. 37,200 525
Central Hudson Gas &
Electric Corp. 11,700 524
United Illuminating Co. 10,100 520
Susquehanna Bancshares, Inc. 25,100 514
Air Express International Corp. 23,500 511
Downey Financial Corp. 19,600 499
Oakwood Homes Corp. 32,600 495
Hughes Supply, Inc. 16,900 494
Lone Star Industries, Inc. 13,400 493
- - Hutchinson Technology, Inc. 13,700 488
New Jersey Resources Corp. 12,300 486
- - Roberts Pharmaceuticals 22,100 481
Ruby Tuesday, Inc. 22,400 476
Harman International
Industries, Inc. 12,400 473
MAF Bancorp, Inc. 17,700 469
- - Superior Services Inc. 22,800 457
Bowne & Co., Inc. 25,400 454
Northwest Natural Gas Co. 17,400 450
Kuhlman Corp. 11,800 447
Capital Re Corp. 22,200 445
Chiquita Brands International, Inc. 46,000 440
Riggs National Corp. 21,600 440
- - Oak Industries, Inc. 12,300 430
Applebee's International, Inc. 20,800 429
Executive Risk, Inc. 7,800 429
Brady Corp. Class A 15,900 428
- - Footstar Inc. 17,100 427
Provident Bankshares Corp. 16,800 418
CTS Corp. 9,500 413
Cambrex Corp. 17,100 410
Barnes Group, Inc. 13,900 408
- - Photronics Labs Inc. 17,000 407
Florida Rock Industries, Inc. 13,100 406
- - Ralcorp Holdings, Inc. 22,200 405
Wolverine World Wide, Inc. 30,600 405
Texas Industries, Inc. 15,000 404
Eastern Utilities Associates 14,200 401
- - Primark Corp. 14,800 401
Carolina First Corp. 15,800 400
- - Sierra Health Services 19,000 400
A.O. Smith Corp. 16,300 400
Energen Corp. 20,400 398
Selective Insurance Group 19,800 398
Mentor Corp. 16,900 396
- - Cable Design Technologies 21,300 394
- - Komag, Inc. 37,500 389
- - Prime Hospitality Corp. 36,500 386
Methode Electronics, Inc. Class A 24,600 384
Kellwood Co. 15,200 380
Geon Co. 16,400 377
- - Michaels Stores, Inc. 20,800 376
Gerber Scientific, Inc. 15,700 374
- - Just for Feet, Inc. 21,400 372
Myers Industries, Inc. 12,900 369
Public Service Co. of
North Carolina, Inc. 14,000 364
Russ Berrie and Co., Inc. 15,500 364
- - Timberland Co. 8,000 364
- - Coventry Health Care Inc. 41,100 362
- - Electro Scientific Industries, Inc. 8,000 362
- - Morrison Knudsen Corp. 37,000 361
Belden, Inc. 17,000 360
JSB Financial 6,600 359
The Marcus Corp. 22,100 359
- - PhyCor, Inc. 52,500 358
</TABLE>
50
<PAGE> 173
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Pioneer Group, Inc. 18,100 $ 357
TNP Enterprises, Inc. 9,300 353
- - International Rectifier Corp. 36,100 352
Reliance Steel & Aluminum Co. 12,700 351
- - Ryan's Family Steak Houses, Inc. 28,100 348
- - VLSI Technology, Inc. 31,800 348
Interface, Inc. 36,800 342
Clarcor Inc. 17,000 340
John H. Harland Co. 21,500 340
- - Yellow Corp. 17,800 340
Frontier Insurance Group, Inc. 26,090 336
Regal-Beloit Corp. 14,600 336
Analogic Corp. 8,900 335
- - Ionics, Inc. 11,200 335
Michael Foods Group, Inc. 11,000 330
- - NCS HealthCare, Inc. 13,900 330
Wabash National Corp. 16,200 329
- - American Oncology
Resources, Inc. 22,500 328
Lilly Industries Inc. Class A 16,200 323
- - Hadco Corp. 9,200 322
- - U.S. Home Corp. 9,500 316
Vintage Petroleum, Inc. 36,500 315
- - KEMET Corp. 27,200 306
Stone & Webster, Inc. 9,200 306
- - Technology Solutions Co. 28,550 306
Diagnostic Products Corp. 9,800 305
Snyder Oil Corp. 22,900 305
St. John Knits, Inc. 11,700 304
- - Paxar Corp. 33,900 303
Juno Lighting, Inc. 12,900 302
Ryland Group, Inc. 10,400 300
- - Sola International Inc. 17,400 300
Guilford Mills, Inc. 17,900 299
- - Protein Design Labs 12,800 298
- - Benchmark Electronics, Inc. 8,100 297
- - Landstar System 7,300 297
- - Digital Microwave Corp. 43,200 296
Authentic Fitness Corp. 16,100 294
- - Kirby Corp. 14,700 293
Standard Pacific Corp. 20,500 290
- - Vanstar Corp. 31,300 290
Wynn's International Inc. 13,100 290
Commercial Metals Co. 10,400 289
- - Kulicke & Soffa Industries, Inc. 16,200 288
- - Midway Games Inc. 26,100 287
Universal Forest Products, Inc. 14,300 287
Watsco, Inc. 17,150 287
Anchor Bancorp Wisconsin Inc. 11,900 286
Norrell Corp. 19,400 286
TJ International, Inc. 11,100 285
The Stride Rite Corp. 32,500 284
- - M.S. Carriers, Inc. 8,600 283
- - IHOP Corp. 7,000 280
- - Marshall Industries 11,400 279
- - Fritz Cos., Inc. 25,500 276
- - CDI Corp. 13,600 275
Zenith National Insurance Corp. 11,900 275
MDC Holdings, Inc. 12,800 274
Fleming Cos., Inc. 26,300 273
- - Amresco, Inc. 31,000 271
Cash America International Inc. 17,600 267
Kaman Corp. Class A 16,600 267
Pillowtex Designs 10,000 267
- - Checkpoint Systems, Inc. 21,400 265
- - S3, Inc. 36,000 265
- - Insituform Technologies Class A 18,200 264
- - Vicor Corp. 29,300 264
ChemFirst Inc. 13,300 263
- - Franklin Covey Co. 15,700 263
Cabot Oil & Gas Corp. Class A 17,300 259
Mississippi Chemical Corp. 18,400 258
Trenwick Group Inc. 7,900 258
- - Tuboscope Inc. 31,700 258
- - FileNet Corp. 22,300 256
- - American Freightways 22,100 255
Dain Rauscher Corp. 8,600 254
The Toro Co. 8,900 254
- - Input/Output, Inc. 34,600 253
Luby's Cafeterias, Inc. 16,300 252
- - Discount Auto Parts Inc. 11,400 250
- - Pride International Inc. 35,190 249
- - Silicon Valley Bancshares 14,500 247
Valmont Industries, Inc. 17,800 247
- - The Dress Barn, Inc. 16,200 246
- - Kent Electronics Corp. 19,200 245
Justin Industries, Inc. 18,500 243
Winnebago Industries, Inc. 16,000 242
- - Datascope Corp. 10,500 241
Intermet Corp. 18,300 239
- - Goody's Family Clothing 23,600 237
- - Oceaneering International, Inc. 15,800 237
Standex International Corp. 9,000 236
Dimon Inc. 31,600 235
- - Harbinger Corp. 29,200 234
- - Ultratech Stepper, Inc. 14,600 234
Standard Products Co. 11,300 230
- - Volt Information Sciences Inc. 10,200 230
Sturm, Ruger & Co., Inc. 19,100 228
- - Dialogic Corp. 11,500 226
- - GC Cos. 5,400 225
- - Griffon Corp. 21,100 224
Merrill Corp. 11,600 224
- - Stein Mart, Inc. 32,100 224
Quanex Corp. 9,900 223
Standard Motor Products, Inc. 9,200 223
National Presto Industries, Inc. 5,200 222
Brown Group, Inc. 12,600 221
- - Cooper Cos., Inc. 10,600 219
Chemed Corp. 6,500 218
Bassett Furniture Industries, Inc. 9,000 217
Thor Industries, Inc. 8,500 217
Applied Industrial Technology, Inc. 15,400 214
- - Microage, Inc. 13,900 214
Thomas Industries, Inc. 10,900 214
Connecticut Energy Corp. 7,000 213
- - Syncor International Corp. 7,800 213
- - Genesis Health Ventures Inc. 24,200 212
Skyline Corp. 6,500 211
AMCOL International Corp. 21,300 210
- - Jo-Ann Stores, Inc. Class A 13,000 210
- - Wolverine Tube, Inc. 10,000 210
</TABLE>
51
<PAGE> 174
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
Aquarion Co. 5,100 $ 209
Park Electrochemical Corp. 7,200 206
Consumers Water Co. 6,400 201
- - Coherent, Inc. 16,100 200
- - Seitel, Inc. 16,100 200
Brush Wellman, Inc. 11,400 199
- - RTI International Metals 14,200 199
- - Sunrise Medical, Inc. 15,700 195
Arctic Cat, Inc. 19,000 194
Cato Corp. Class A 19,400 191
- - Magellan Health Services, Inc. 22,600 189
- - Speedfam International, Inc. 11,000 188
Pennsylvania Enterprises Inc. 7,100 181
CPI Corp. 6,800 180
- - Banctec, Inc. 14,200 178
- - NFO Worldwide, Inc. 15,300 176
- - PictureTel Corp. 26,500 176
- - Offshore Logistics, Inc. 14,700 175
IMCO Recycling, Inc. 11,300 174
- - Primadonna Resorts, Inc. 19,700 174
Schweitzer-Mauduit
International, Inc. 11,200 173
Lawson Products, Inc. 7,500 172
Dames & Moore Group 13,100 169
Pioneer Standard Electronics Inc. 17,900 168
- - Wall Data Inc. 7,000 168
Oxford Industries, Inc. 5,900 167
American States Water Co. 6,100 166
Robbins & Myers, Inc. 7,500 166
- - Global Industrial Technologies, Inc. 15,400 165
Republic Group Inc. 8,200 165
- - Landry's Seafood Restaurants, Inc. 21,800 163
- - Pool Energy Service Co. 15,100 163
- - Carmike Cinemas, Inc. Class A 8,000 162
- - McWorter Technologies Inc. 7,100 162
- - Gardner Denver Inc. 10,900 161
Vital Signs, Inc. 9,200 161
- - Electroglas, Inc. 13,600 160
Pittston BAX Group 14,400 160
Fedders Corp. 27,300 159
- - Mesa Air Group Inc. 20,400 159
- - Aztar Corp. 31,000 157
- - Priority Healthcare Corp. 3,002 156
- - Books-a-Million Inc. 11,900 155
- - Network Equipment
Technologies, Inc. 14,900 154
- - Regeneron Pharmaceuticals, Inc. 20,900 154
- - SpaceLabs Medical, Inc. 6,700 154
Daniel Industries, Inc. 12,500 152
Telxon Corp. 10,900 151
- - Bombay Co. 26,700 148
- - Integrated Circuit Systems, Inc. 8,400 148
Cascade Natural Gas Corp. 8,000 145
- - Hollywood Park, Inc. 17,500 145
- - Hecla Mining Co. 39,700 144
- - General Communication, Inc. 35,200 143
Thomas Nelson, Inc. 10,600 143
Titan International, Inc. 15,100 143
- - J & J Snack Foods Corp. 6,300 141
- - Circon Corp. 9,300 139
Huffy Corp. 8,400 139
St. Mary Land & Exploration Co. 7,500 139
- - Players International, Inc. 22,300 138
Innovex, Inc. 10,000 137
- - Gibson Greetings, Inc. 11,300 134
- - Hartmarx Corp. 23,900 134
Southwestern Energy Co. 17,700 133
Lindsay Manufacturing Co. 8,900 132
Phillips-Van Heusen Corp. 18,300 132
- - Allen Telecom Inc. 19,600 131
- - Jan Bell Marketing Inc. 20,300 131
- - Lydall, Inc. 10,700 127
Simpson Industries, Inc. 13,100 127
- - WHX Corp. 12,300 124
K2 Inc. 11,900 123
Amcast Industrial Corp. 6,300 120
- - Pharmaceutical Markets 8,300 119
- - P-Com, Inc. 29,500 118
Hancock Fabrics, Inc. 13,800 116
Angelica Corp. 6,200 115
BMC Industries, Inc. 18,400 115
- - Trimble Navigation Ltd. 15,800 115
- - Hologic, Inc. 9,400 114
- - Rural/Metro Corp. 10,400 114
TCBY Enterprises, Inc. 16,230 114
Butler Manufacturing Co. 5,000 112
Quaker Chemical Corp. 6,200 112
Nash-Finch Co. 7,800 111
O'Sullivan Corp. 11,210 111
- - The Sports Authority, Inc. 21,110 111
Commonwealth Industries Inc. 11,700 110
- - Gymboree Corp. 17,300 110
X-Rite Inc. 14,200 110
- - CustomTracks Corp. 10,000 107
- - California Microwave, Inc. 11,300 106
- - Building Materials Holding Corp. 8,700 105
- - Cone Mills Corp. 18,700 105
- - TETRA Technologies, Inc. 9,600 105
- - Flow International Corp. 10,700 104
- - TBC Corp. 14,600 104
- - Digi International, Inc. 9,300 103
Lillian Vernon Corp. 6,100 101
- - HS Resources Inc. 13,200 100
- - Applied Magnetics Corp. 16,070 99
- - Summit Technology, Inc. 22,700 99
Delta Woodside 16,200 97
- - Insurance Auto Auctions, Inc. 8,200 97
K-Swiss, Inc. 3,600 97
Frozen Food Express
Industries, Inc. 12,100 95
- - Halter Marine Group, Inc. 19,500 95
- - Material Sciences Corp. 11,200 95
Watkins-Johnson Co. 4,500 92
The Rival Co. 6,700 90
Central Vermont Public
Service Corp. 8,400 87
- - Arkansas Best Corp. 14,500 85
- - C-COR Electronics, Inc. 6,200 85
- - Standard Microsystem 10,700 84
Birmingham Steel Corp. 19,900 83
- - Auspex Systems, Inc. 18,900 82
- - Exabyte Corp. 14,900 82
</TABLE>
52
<PAGE> 175
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ----------------------------------------------------------------------
<S> <C> <C>
- - Cyrk International, Inc. 10,500 $ 79
Penford Corp. 4,900 78
- - Compdent Corp. 7,400 77
Pope & Talbot, Inc. 9,200 77
- - Alliance Pharmaceutical Corp. 22,700 74
- - Three-Five Systems, Inc. 5,400 74
- - Bell Industries, Inc. 6,400 73
- - Symmetricom Inc. 10,800 72
- - Itron, Inc. 9,900 71
- - Taco Cabana 9,100 71
- - RailTex, Inc. 6,100 69
- - Coeur D'Alene Mines Corp. 14,460 67
- - Galey & Lord 7,800 67
Haggar Corp. 5,900 67
The Dixie Group, Inc. 8,100 66
- - E. Gottschalk & Co., Inc. 8,500 65
- - Bangor Hydro-Electric Co. 4,900 63
A.T. Cross Co. Class A 11,110 60
- - Nashua Corp. 4,500 60
KCS Energy, Inc. 19,400 59
- - Benton Oil & Gas Co. 19,500 58
- - Au Bon Pain Co., Inc. 8,400 57
- - Intermagnetics General Corp. 9,324 57
Steel Technologies, Inc. 8,400 57
J. Baker, Inc. 9,500 55
- - Ashworth, Inc. 9,500 53
- - Centigram Communications 5,400 53
- - Southern Energy Homes, Inc. 8,700 53
- - Royal Appliance
Manufacturing Co. 14,100 52
- - Swiss Army Brands, Inc. 5,200 50
- - Glamis Gold, Ltd. 25,500 48
Spartan Motors, Inc. 8,300 48
- - Remington Oil & Gas Corp. 14,800 47
- - DAMARK International, Inc. 5,700 46
Green Mountain Power Corp. 3,500 37
- - Hauser, Inc. 8,300 37
- - Molecular Biosystems, Inc. 12,600 37
- - Walbro Corp. 5,500 35
- - TCSI Corp. 14,700 31
- - Lechters Corp. 12,300 30
Insteel Industries, Inc. 5,800 28
- - Johnston Industries, Inc. 8,300 26
- ----------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $128,650) 117,282
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ----------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.3%)
- ----------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILL
4.046%, 1/14/1999 $ 100 $ 100
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 158 158
4.77%, 1/4/1999--Note G 2,373 2,373
- ----------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $2,631) 2,631
- ----------------------------------------------------------------------
TOTAL INVESTMENTS (106.5%)
(COST $131,281) 119,913
- ----------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-6.5%) (7,348)
- ----------------------------------------------------------------------
NET ASSETS (100%) $112,565
======================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
- -Non-Income-Producing Security.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- ----------------------------------------------------------------------
<S> <C>
ASSETS
Investments in Securities, at Value $119,913
Receivables for Investment Securities Sold 14,524
Other Assets--Note B 718
----------
Total Assets 135,155
----------
LIABILITIES
Payables for Investment Securities Purchased 19,053
Other Liabilities--Note G 3,537
----------
Total Liabilities 22,590
- ----------------------------------------------------------------------
NET ASSETS (100%) $112,565
======================================================================
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------
AMOUNT
(000)
- ----------------------------------------------------------------------
<S> <C>
Paid in Capital $123,517
Overdistributed Net Investment Income (66)
Accumulated Net Realized Gains 482
Unrealized Depreciation--Note F (11,368)
- ----------------------------------------------------------------------
NET ASSETS $112,565
======================================================================
Investor Shares--Net Assets
Applicable to 12,885,489 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $112,565
- ----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $8.74
======================================================================
</TABLE>
53
<PAGE> 176
REPORT OF INDEPENDENT
ACCOUNTANTS
[PHOTO]
To the Shareholders and Trustees of
Vanguard U.S. Stock Index Funds
In our opinion, the accompanying statements of net assets (and statements of
assets and liabilities for Vanguard Mid-Cap Index Fund, Vanguard Small-Cap
Growth Index Fund, and Vanguard Small-Cap Value Index Fund) and the related
statements of operations and of changes in net assets and the financial
highlights appearing in the Annual Report to Shareholders present fairly, in
all material respects, the financial position of Vanguard Extended Market Index
Fund, Vanguard Mid-Cap Index Fund, Vanguard Small-Cap Index Fund, Vanguard
Small-Cap Growth Index Fund, and Vanguard Small-Cap Value Index Fund (separate
funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds")
at December 31, 1998, and the results of each of their operations, the changes
in each of their net assets and the financial highlights for each of the
periods indicated, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at December 31, 1998 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 2, 1999
54
<PAGE> 177
SPECIAL 1998 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS
(MID- AND SMALL-CAPITALIZATION PORTFOLIOS)
This information for the fiscal year ended December 31, 1998, is included
pursuant to provisions of the Internal Revenue Code.
The funds distributed capital gain dividends (from net long-term capital
gains) to shareholders during the fiscal year ended December 31, 1998, all of
which are designated as a 20% rate gain distribution, as follows:
<TABLE>
<CAPTION>
------------------------------------------------------
TOTAL
CAPITAL GAINS
INDEX FUND DIVIDENDS
------------------------------------------------------
<S> <C>
Extended Market $205,619
Mid-Cap 217
Small-Cap 181,512
------------------------------------------------------
</TABLE>
For corporate shareholders, the percentage of investment income (dividend
income plus short-term gains, if any) that qualifies for the dividends-received
deduction is as follows:
<TABLE>
<CAPTION>
------------------------------------------------------
INDEX FUND PERCENTAGE
------------------------------------------------------
<S> <C>
Extended Market 46.7%
Mid-Cap 7.0
Small-Cap 59.0
Small-Cap Growth 84.4
Small-Cap Value 62.2
------------------------------------------------------
</TABLE>
55
<PAGE> 178
F980-02/23/1999
