<PAGE> 1
VANGUARD(R)
U.S. STOCK INDEX FUNDS
LARGE-CAPITALIZATION PORTFOLIOS
June 30, 2000
VANGUARD 500 INDEX FUND
VANGUARD GROWTH
INDEX FUND
VANGUARD VALUE INDEX FUND
VANGUARD TOTAL STOCK MARKET
INDEX FUND
semiannual
[PHOTO]
[THE VANGUARD GROUP LOGO]
<PAGE> 2
HAVE THE PRINCIPLES OF INVESTING CHANGED?
In a world of frenetic change in business, technology, and the financial
markets, it is natural to wonder whether the basic principles of investing have
changed.
We don't think so.
The most successful investors over the coming decade will be those who
began the new century with a fundamental understanding of risk and who had the
discipline to stick with long-term investment programs.
Certainly, investors today confront a challenging, even unprecedented,
environment. Valuations of market indexes are at or near historic highs. the
strength and duration of the bull market in u.s. stocks have inflated people's
expectations and diminished their recognition of the market's considerable
risks. And the incredible divergence in stock returns--many technology-related
stocks gained 100% or more in 1999, yet prices fell for more than half of all
stocks--has made some investors question the idea of diversification.
And then there is the Internet. Undeniably, it is a powerful medium for
communications and transacting business. For investors, the Internet is a vast
source of information about investments, and online trading has made it
inexpensive and convenient to trade stocks and invest in mutual funds.
However, new tools do not guarantee good workmanship. Information is not
the same as wisdom. Indeed, much of the information, opinion, and rumor that
swirl about financial markets each day amounts to "noise" of no lasting
significance. And the fact that rapid-fire trading is easy does not make it
beneficial. Frequent trading is almost always counterpro-ductive because
costs--even at low commission rates--and taxes detract from the returns that the
markets provide. Sadly, many investors jump into a "hot" mutual fund just in
time to see it cool off. Meanwhile, long-term fund investors are hurt by
speculative trading activity because they bear part of the costs involved in
accommodating purchases and redemptions.
Vanguard believes that intelligent investors should resist short-term
thinking and focus instead on a few time-tested principles:
- Invest for the long term. Pursuing your long-term investment goals is
more like a marathon than a sprint.
- Diversify your investments with holdings in stocks, bonds, and cash
investments. Remember that, at any moment, some part of a diversified portfolio
will lag other parts, and be wary of taking on more risk by "piling onto" the
best-performing part of your holdings. Today's leader could well be tomorrow's
laggard.
- Step back from the daily frenzy of the markets; focus on your overall
asset allocation.
- Capture as much of the market's return as possible by minimizing costs
and taxes. Costs and taxes diminish long-term returns while doing nothing to
reduce the risks you incur as an investor.
<TABLE>
<CAPTION>
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CONTENTS
<S> <C>
REPORT FROM THE CHAIRMAN......... 1
THE MARKETS IN PERSPECTIVE....... 5
PERFORMANCE SUMMARIES............ 7
FUND PROFILES.................... 11
FINANCIAL STATEMENTS............. 16
------------------------------------------------------------------------------
</TABLE>
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted. "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. Frank Russell Company is the owner of trademarks and copyrights relating to
the Russell Indexes. "Wilshire 5000(R)" and "Wilshire 4500" are trademarks of
Wilshire Associates Incorporated.
<PAGE> 3
REPORT FROM THE CHAIRMAN
[JOHN J. BRENNAN PHOTO]
The U.S. stock market endured a choppy six months during the first half of 2000,
as many investors struggled to sort out the implications of rising interest
rates, strong economic growth, and the sky-high valuations of some technology
companies.
In this challenging environment, three of our four large-capitalization
stock index funds registered negative total returns for the six months ended
June 30. And while the return of each exactly matched the return of its
unmanaged benchmark index, our results fell short of those of our average peer
mutual funds.
The adjacent table presents the six-month total returns (capital change
plus reinvested dividends) achieved by our large-cap index funds, compared with
the returns of their respective indexes. The performance of the Institutional
Shares of our Growth, Value, and Total Stock Market Index Funds, which are
available for minimum investments of $10 million, is presented at the bottom of
the table.
Per-share figures for each fund, including net asset values, income
dividends, and capital gains distributions, are presented in the table that
follows this letter.
<TABLE>
<CAPTION>
------------------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 2000
------------------------------------------------------------------
<S> <C>
500 INDEX FUND -0.4%
S&P 500 Index -0.4
------------------------------------------------------------------
GROWTH INDEX FUND 2.6%
S&P 500/BARRA Growth Index 2.6
------------------------------------------------------------------
VALUE INDEX FUND -4.1%
S&P 500/BARRA Value Index -4.1
------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND -0.7%
Wilshire 5000 Index -0.7
------------------------------------------------------------------
INSTITUTIONAL SHARES
------------------------------------------------------------------
Growth Index Fund 2.6%
Value Index Fund -4.1
Total Stock Market Index Fund -0.6
------------------------------------------------------------------
</TABLE>
THE PERIOD IN REVIEW
The first half of 2000 was a tumultuous time in the financial markets, which
were buffeted by a complex set of crosscurrents. The domestic economy continued
to grow at a strong pace--the production of goods and services during the second
quarter of 2000 was about 6% higher than in the same period last year, even
after adjusting for inflation. Unemployment remained low, hovering around 4% of
the workforce. Elsewhere in the world, growth was picking up from more subdued
levels.
Economic growth is generally good for corporate earnings and, thus, for
stock prices. But investors and economic policymakers have worried that the
combination of rapid economic growth and low unemployment would trigger sharply
higher wages and inflation. The Federal Reserve Board, in an effort to slow the
economy's momentum and forestall an inflationary outburst, continued to raise
short-term interest rates during the half-year. The Fed boosted its target for
the federal funds rate three times by a total of 1.0 percentage point (100 basis
points). In all, the Fed has raised its target rate by 175 basis points in the
past 12 months.
For most of the first quarter of 2000, a continuing boom in technology
stocks kept the market averages rising, despite the threat of higher interest
rates. But during the second quarter, tech stocks in particular cooled off. The
market may have reacted to evidence that the ideal combination of rapid growth
and low inflation was coming to an end. If the Fed
1
<PAGE> 4
succeeds in slowing the economy, corporate earnings growth might slow, too. And
if earnings growth slowed, some investors reasoned, technology and
telecommunications stocks would have a tough time maintaining their lofty
price/earnings multiples. The split between the two quarters was evident in the
results for the tech-dominated Nasdaq Composite Index, which rose 12.7% in the
first quarter, only to slide -14.7% in the second. End result? A -3.9% return
for the half-year.
The overall U.S. stock market, as measured by the Wilshire 5000 Total
Market Index, posted a -0.7% return for the six months. The small-cap Russell
2000 Index gained 3.0%, outpacing the large-cap Standard & Poor's 500 Index,
which posted a negative return of -0.4%. Leadership within the market during the
period switched back and forth between growth stocks--those whose prices reflect
high expectations for future profitability--and value stocks, whose low prices
in relation to earnings, book value, and dividends reflect lower expectations by
the market. Growth stocks were in front early on, but value stocks performed
best in late March and April. Growth issues bounced back in June, however, and
for the full six months, growth generally outpaced value. For example, the
growth stocks within the Russell 1000 Index (comprising the 1,000 largest U.S.
stocks) earned 4.2%, while the value stocks declined by an equal amount.
The Fed's efforts succeeded in pushing up short-term interest rates: The
yield of 3-month U.S. Treasury bills climbed 52 basis points (from 5.33% to
5.85%) during the half-year. But after rising early in the year, yields for
longer-term Treasuries began to fall after the Treasury announced that it would
use rising federal budget surpluses to buy back billions of dollars' worth of
long-term bonds. A shrinking supply of long-term Treasuries caused their prices
to rise and their yields to fall. By June 30, the 30-year Treasury bond's yield
had fallen 58 basis points, from 6.48% to 5.90%. Yields on high-quality
corporate bonds were flat to slightly higher. But for low-quality corporate
("junk") bonds, prices fell and yields rose as investors worried about increased
defaults.
PERFORMANCE OVERVIEW
As you should expect, our 500, Growth, Value, and Total Stock Market Index Funds
earned returns that were in line with the markets in which they invest. However,
as you can see in the table below, our large-cap index funds did not keep pace
with their average peers.
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED JUNE 30, 2000
----------------------------------
AVERAGE
VANGUARD COMPARABLE
U.S. STOCK INDEX FUND FUND FUND* DIFFERENCE
--------------------------------------------------------------------------------
<S> <C> <C> <C>
500 -0.4% 1.3% -1.7%
Growth 2.6 3.0 -0.4
Value -4.1 -1.7 -2.4
Total Stock Market -0.7 2.5 -3.2
--------------------------------------------------------------------------------
</TABLE>
*Figures for the average comparable funds are derived from data provided by
Lipper Inc. The fund groups are: for the 500 Index Fund, large-cap core funds;
for the Growth Index Fund, large-cap growth funds; for the Value Index Fund,
large-cap value funds; for the Total Stock Market Index Fund, multi-cap core
funds.
Our flagship VANGUARD 500 INDEX FUND registered a return of -0.4% during
the half-year, an exact match with its target index but short of the average
return of 1.3% earned by large-cap core mutual funds. Our shortfall versus our
average peer owed largely to the generally lackluster performance of several of
the large companies that dominate the index but whose returns were generally
outpaced by companies that are further down the capitalization ladder. The
index's relatively heavy weighting in larger companies can work in our fund's
favor in relation to our actively managed competitors when the largest companies
are powering the S&P 500's performance--as they did for the past several years.
However, it
2
<PAGE> 5
can also work to our detriment when smaller-cap stocks lead the market, as they
did in the past six months.
Over the past several years, technology companies have played an
increasingly large role in the S&P 500 Index, and their performance has set the
pace for the index. During the half-year, much of the volatility in the S&P 500
Index was attributed to tech shares, which constituted an average of nearly 28%
of the index in the period. The technology sector posted a return of 4.6% for
the six months, while the overall index returned -0.4%. Two of the other largest
sectors within the S&P 500, registered negative returns: financial services
shares declined -0.1% and consumer discretionary companies--a category composed
mainly of retailers--returned -15.9%. Among the bright spots were health care
stocks, which gained 23.4%, and "other energy" companies, which benefited from
higher oil prices and rose 34.4% as a group.
We again point out that the S&P 500 Index is a good measure of large-cap
stocks but does not represent the entire U.S. stock market. In fact, the S&P 500
excludes about 6,400 stocks that total about 21% of the value of the U.S. equity
market. To gain exposure to mid- and small-cap stocks that the S&P 500 excludes,
an investor must look to an index that captures the entire market or to those
that specifically target smaller companies.
VANGUARD TOTAL STOCK MARKET INDEX FUND, which tracks the performance of the
Wilshire 5000 Index, the broadest measure of U.S. stocks, returned -0.7% for the
half-year, in line with its target index but behind the 2.5% return of the
average multi-cap core mutual fund.
As noted earlier, large-cap value-oriented shares--those with below-average
prices in relation to such measures as earnings and book value--enjoyed a
terrific stretch during the middle portion of the half-year. However, the strong
start and solid finish of large-cap growth stocks created a sizable gap between
the six-month returns of growth and value stocks. VANGUARD GROWTH INDEX FUND
returned 2.6% for the half-year while VANGUARD VALUE INDEX FUND returned -4.1%.
In both cases, these returns matched those of their target indexes--the S&P
500/BARRA Growth Index and the S&P 500/BARRA Value Index--but trailed those of
their average mutual fund peers, which generally hold securities with
capitalizations that are smaller than those held by our funds.
It's worth noting that matching the return of an unmanaged index is no
small feat. All mutual funds incur operating expenses and administrative costs
that indexes, which are theoretical constructs, do not bear. Our low expense
ratio--just 0.18% of average net assets for the 500 Index Fund, or $1.80 for
every $1,000 invested--helps keep our returns closely in line with those of our
target indexes. And Vanguard Quantitative Equity Group, which provides
investment management for all of Vanguard's index funds, has offset the effects
of our costs through skillful portfolio management. (By way of comparison, the
average large-cap core mutual fund levies an expense ratio of 1.31%, or $13.10
per $1,000 invested.) When reviewing our performance, keep in mind that our low
costs provide our funds, and thus, our shareholders, with a powerful advantage
over long periods, but they do not guarantee superior performance during all
periods.
IN SUMMARY
During the first half of 2000, we witnessed very sharp day-to-day price
fluctuations in the stock market, significant swings in investor sentiment, and
sudden shifts in market leadership. All of this volatility, squeezed into a mere
six months, underscored the fact that unpredictability is par for the course in
financial markets. The timing, extent, and duration of such episodes are
impossible to foretell with precision, but investors must be willing to endure
them to reap the long-term rewards of investing.
3
<PAGE> 6
At Vanguard, we reiterate our long-standing recommendation for navigating
stormy seas toward long-term financial goals. First, create an investment plan
with a balance of stock funds, bond funds, and money market funds suited to your
time horizon, investment objectives, and tolerance for market fluctuations.
Then, once you have such a diversified plan in place, stick with it. Avoid the
impulse to alter it based on short-term events--whether those be unsettling
turbulence in the market or glittery returns from some particular corner of the
market. "Stay the course" is timeless investment wisdom.
/s/ JOHN J. BRENNAN
John J. Brennan
Chairman and Chief Executive Officer
July 18, 2000
-------------------------------------------------------------------------------
IN MEMORY
-------------------------------------------------------------------------------
It is with great sadness that I report the death of John C. Sawhill, an
independent trustee of the funds and a member of The Vanguard Group's board of
directors since 1991. John, an economist who was president and chief executive
officer of The Nature Conservancy, died on May 18 at age 63. He was a senior
lecturer at the Harvard Business School and had formerly served as president of
New York University and as deputy secretary of the U.S. Department of Energy
under President Jimmy Carter. John was a remarkable man who was full of energy,
vigor, and life. His experience and wisdom added a great deal to Vanguard, and
his death is a blow to everyone who knew and loved him. Though John's work on
behalf of our funds was often carried on behind the scenes, he was a dedicated
advocate for the best interests of our shareholders. He will be missed.
<TABLE>
<CAPTION>
FUND STATISTICS
----------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 2000
------------------------------------
NET ASSET VALUE PER SHARE DISTRIBUTIONS FROM DIVIDENDS PER
------------------------------ NET REALIZED SHARE FROM NET
U.S. STOCK INDEX FUND DEC. 31, 1999 JUNE 30, 2000 CAPITAL GAINS INVESTMENT INCOME
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 $135.33 $134.16 -- $0.610
Growth 39.43 40.37 -- 0.070
Value 22.89 21.39 $0.410 0.170
Total Stock Market 33.22 32.78 0.060 0.150
----------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
----------------------------------------------------------------------------------------------------------------
Growth $39.44 $40.37 -- $0.089
Value 22.89 21.39 $0.410 0.180
Total Stock Market 33.22 32.79 0.060 0.165
----------------------------------------------------------------------------------------------------------------
</TABLE>
4
<PAGE> 7
THE MARKETS IN PERSPECTIVE
SIX MONTHS ENDED JUNE 30, 2000
The perpetual tug-of-war in the financial markets ended in a near stalemate
during the first half of 2000, despite lots of back-and-forth movement. On
average, neither stock nor bond prices ended the period far from where they
began it. However, bonds, thanks to their superior income, outpaced stocks in
total return.
Economic signals were conflicting. Growth continued at a rapid pace, and
corporate profits rose smartly. On the other hand, stock prices as the year
began already reflected high levels of optimism, and the market administered
severe punishment to companies that failed to live up to earnings expectations.
Also weighing on the market were concerns that the economy's vigor at a time of
low unemployment would inevitably push labor costs and other prices higher.
Indeed, higher costs for oil and natural gas pushed broad gauges of inflation
higher (the Consumer Price Index gained 2.4% for the six months and 3.7% for the
twelve months ended June 30). Yet core inflation, which excludes energy and food
items, registered a moderate 2.4% gain during the 12 months ended June 30.
The Federal Reserve Board raised short-term interest rates by 0.25
percentage point in February and again in March, before adding a half-point
boost in May. These steps, which followed three quarter- percentage-point
increases in 1999, took the Fed's target for short-term rates to 6.5%.
Thereafter, signs of a slowing in economic activity cropped up, although it was
not certain that the Fed was done trying to throttle down the economic engine.
<TABLE>
<CAPTION>
---------------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 2000
--------------------------------
6 MONTHS 1 YEAR 5 YEARS*
---------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index -0.4% 7.2% 23.8%
Russell 2000 Index 3.0 14.3 14.3
Wilshire 5000 Index -0.7 10.0 22.6
MSCI EAFE Index -4.0 17.4 11.6
---------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 4.0% 4.6% 6.3%
Lehman 10 Year Municipal Bond Index 4.0 4.5 6.0
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 2.8 5.3 5.2
---------------------------------------------------------------------
OTHER
Consumer Price Index 2.4% 3.7% 2.5%
---------------------------------------------------------------------
</TABLE>
*Annualized.
U.S. STOCK MARKETS
Stock prices were quite volatile during the half-year, and large day-to-day
price fluctuations in market averages were commonplace. There also were two
swift shifts in market leadership. The year began with a continuance in the
rapid rise for the "TMT" stocks (technology, media, telecommunications) that
were the market's darlings during 1999. Through mid-March, the surge in these
"new economy" groups left "old economy" stocks far behind. For example, the
Nasdaq Composite Index, which is dominated by tech-related stocks, gained 15.6%
and the Russell 1000 Value Index fell -10.4% during January and February. But in
mid-March, value stocks took charge and TMT stocks slumped. The Russell 1000
Value Index returned 12.1% while the Nasdaq plummeted to a -27.4% return in the
March-May period. But June brought another flip-flop: The value index declined
-4.6%, while the Nasdaq rebounded with a 14.5% return.
5
<PAGE> 8
When the half-year was over, most broad market indexes had modest declines.
The all-market Wilshire 5000 Index returned -0.7%, the large-capitalization S&P
500 Index slipped -0.4%, and the Nasdaq fell -3.9%. Small- and mid-cap stocks
did better: The small-cap Russell 2000 Index gained 3.0% and the Wilshire 4500
Completion Index, comprising virtually all the U.S. stocks outside of the S&P
500, eked out a 0.3% return.
U.S. BOND MARKETS
The Federal Reserve most directly influences interest rates of short-term
securities. The Fed pushed up its target federal funds rate (charged on
overnight loans between banks) by 1 percentage point to 6.5%. But yields of
3-month U.S. Treasury bills rose only half as far (0.52 percentage point, or 52
basis points to 5.85%). And yields actually declined on long-term Treasury
securities, whose prices rose. Big federal budget surpluses are causing a
shrinking supply of Treasury bonds. The 10-year Treasury note's yield fell 41
basis points to 6.03% as of June 30, and the yield of the 30-year Treasury
declined 58 basis points--from 6.48% to 5.90%--during the half-year.
The upshot was an unusual "inversion" in the yield curve. Instead of
sloping upward--with yields increasing along with the maturity of Treasury
securities--the curve descended. The 5.90% yield of 30-year Treasuries on June
30 was 49 basis points below the 6.39% yield on 3-year Treasury notes.
Corporate bonds did not perform as well as Treasuries for two main reasons:
a record level of new offerings and investors' concern that credit quality might
be declining. The rise in yields (and fall in prices) was slight for
higher-quality corporate bonds but more severe for high-yield "junk" bonds.
Investors grew wary of riskier bonds due to an increase in defaults. The Lehman
High Yield Bond Index saw a price decline of -5.7% during the first half of
2000, more than offsetting its six-month income of 4.5%. Tax-exempt municipal
bonds generally outperformed corporates but did not do as well as Treasury
securities. The overall taxable bond market, as measured by the Lehman Aggregate
Bond Index, returned 4.0%, as a price gain of 0.4% augmented a 3.6% income
return.
INTERNATIONAL STOCK MARKETS
International stock markets were generally unprofitable for U.S. investors due
to lack- luster local market performances and a stronger U.S. dollar during the
half-year. Although economic growth in most of Europe appeared to be
strengthening, stocks were hurt by continued economic weakness in Japan and from
expectations of higher interest rates. On the other hand, European stock prices
got some support from an increase in corporate takeovers.
In local currencies, European stocks posted a 1.7% return in the aggregate
and stocks from the Pacific region recorded a modest decline of -2.6%. However,
the dollar's strength diminished those results for U.S. investors, for whom the
Morgan Stanley Capital International (MSCI) Europe Index returned -3.0% and the
MSCI Pacific Free Index returned -5.9%. The MSCI Europe, Australasia, Far East
(EAFE) Index of developed foreign markets registered a -4.0% return for U.S.
investors.
The Select Emerging Markets Free Index fell -9.6% in U.S. dollars, having
declined -3.5% in local currencies. The index was hit by weakness in South
Africa (-15%) and several emerging Asian markets, including Indonesia (-44%),
Thailand (-36%), and the Philippines (-36%). The biggest gains among emerging
markets were in Israel (+27%) and Venezuela (+19%).
6
<PAGE> 9
PERFORMANCE SUMMARIES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
500 INDEX FUND
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1979-JUNE 30, 2000
----------------------------------------------------------
500 INDEX FUND S&P 500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
----------------------------------------------------------
<S> <C> <C> <C> <C>
1980 25.5% 6.4% 31.9% 32.4%
1981 -9.8 4.6 -5.2 -4.9
1982 14.8 6.2 21.0 21.5
1983 16.2 5.1 21.3 22.5
1984 1.5 4.7 6.2 6.3
1985 26.1 5.1 31.2 31.8
1986 14.0 4.1 18.1 18.7
1987 2.3 2.4 4.7 5.3
1988 11.6 4.6 16.2 16.6
1989 26.7 4.7 31.4 31.7
1990 -6.8 3.5 -3.3 -3.1
1991 26.3 3.9 30.2 30.5
1992 4.4 3.0 7.4 7.6
1993 7.1 2.8 9.9 10.1
1994 -1.5 2.7 1.2 1.3
1995 34.4 3.0 37.4 37.6
1996 20.5 2.4 22.9 23.0
1997 31.1 2.1 33.2 33.4
1998 27.0 1.6 28.6 28.6
1999 19.7 1.4 21.1 21.0
2000* -0.9 0.5 -0.4 -0.4
----------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 26 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
-------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
500 Index Fund* 8/31/1976 7.32% 23.76% 15.07% 2.61% 17.68%
-------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
7
<PAGE> 10
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
GROWTH INDEX FUND
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-JUNE 30, 2000
--------------------------------------------------------
GROWTH INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
--------------------------------------------------------
<S> <C> <C> <C> <C>
1992 2.6% 0.6% 3.2% 3.5%
1993 -0.6 2.1 1.5 1.7
1994 0.8 2.1 2.9 3.1
1995 35.9 2.2 38.1 38.1
1996 22.0 1.7 23.7 24.0
1997 34.8 1.5 36.3 36.5
1998 41.1 1.1 42.2 42.2
1999 27.9 0.9 28.8 28.2
2000** 2.4 0.2 2.6 2.6
--------------------------------------------------------
</TABLE>
* S&P 500/BARRA Growth Index.
** Six months ended June 30, 2000.
See Financial Highlights table on page 27 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
GROWTH INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: MAY 14, 1998-JUNE 30, 2000
-----------------------------------------------------
GROWTH INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
-----------------------------------------------------
<S> <C> <C> <C> <C>
1998 20.0% 0.8% 20.8% 20.6%
1999 28.0 0.9 28.9 28.2
2000** 2.4 0.2 2.6 2.6
-----------------------------------------------------
</TABLE>
* S&P 500/BARRA Growth Index.
** Six months ended June 30, 2000.
See Financial Highlights table on page 27 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
-------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------
Growth Index Fund* 11/2/1992 18.89% 29.29% 20.79% 1.66% 22.45%
Growth Index Fund Institutional Shares 5/14/1998 18.97 -- 23.65 0.94 24.59
-------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
8
<PAGE> 11
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
VALUE INDEX FUND
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-JUNE 30, 2000
---------------------------------------------------------
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
1999 10.8 1.8 12.6 12.7
2000** -4.9 0.8 -4.1 -4.1
---------------------------------------------------------
</TABLE>
* S&P 500/BARRA Value Index.
** Six months ended June 30, 2000.
See Financial Highlights table on page 28 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
VALUE INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 2, 1998-JUNE 30, 2000
-----------------------------------------------------
VALUE INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
-----------------------------------------------------
<S> <C> <C> <C> <C>
1998 -0.4% 1.1% 0.7% 0.6%
1999 10.8 1.9 12.7 12.7
2000** -4.9 0.8 -4.1 -4.1
-----------------------------------------------------
</TABLE>
* S&P 500/BARRA Value Index.
** Six months ended June 30, 2000.
See Financial Highlights table on page 28 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
----------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Value Index Fund* 11/2/1992 -5.19% 17.60% 13.95% 2.75% 16.70%
Value Index Fund Institutional Shares 7/2/1998 -5.10 -- 2.50 1.83 4.33
----------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
9
<PAGE> 12
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TOTAL STOCK MARKET INDEX FUND
TOTAL INVESTMENT RETURNS:
APRIL 27, 1992-JUNE 30, 2000
---------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND WILSHIRE
5000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
---------------------------------------------------------
<S> <C> <C> <C> <C>
1992 8.1% 2.3% 10.4% 10.7%
1993 8.1 2.5 10.6 11.2
1994 -2.5 2.3 -0.2 -0.1
1995 33.1 2.7 35.8 36.4
1996 18.9 2.1 21.0 21.3
1997 29.0 2.0 31.0 31.3
1998 21.7 1.6 23.3 23.4
1999 22.4 1.4 23.8 23.8
2000* -1.2 0.5 -0.7 -0.7
---------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 29 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 7, 1997-JUNE 30, 2000
------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND WILSHIRE
INSTITUTIONAL SHARES 5000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
------------------------------------------------------------
<S> <C> <C> <C> <C>
1997 7.6% 1.0% 8.6% 8.8%
1998 21.7 1.7 23.4 23.4
1999 22.4 1.5 23.9 23.8
2000* -1.1 0.5 -0.6 -0.7
------------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 29 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
---------------------------------------------------------------------------------------------
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 9.87% 22.28% 16.26% 2.13% 18.39%
Total Stock Market Index Fund
Institutional Shares 7/7/1997 9.97 -- 16.69 1.59 18.28
---------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
10
<PAGE> 13
FUND PROFILE
500 INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
-------------------------------------------
500 INDEX S&P 500
-------------------------------------------
<S> <C> <C>
Number of Stocks 516 500
Median Market Cap $94.9B $94.9B
Price/Earnings Ratio 28.7x 28.7x
Price/Book Ratio 5.2x 5.2x
Yield 1.0% 1.1%
Return on Equity 24.5% 24.5%
Earnings Growth Rate 17.3% 17.3%
Foreign Holdings 1.2% 1.2%
Turnover Rate 9%* --
Expense Ratio 0.18%* --
Cash Investments 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
-------------------------------------------
<S> <C>
STYLE Blend
MARKET CAP Large
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
-------------------------------------------
500 INDEX S&P 500
-------------------------------------------
<S> <C> <C>
R-Squared 1.00 1.00
Beta 1.00 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
-------------------------------------------
<S> <C>
General Electric Co. 4.2%
Intel Corp. 3.6
Cisco Systems, Inc. 3.5
Microsoft Corp. 3.3
Pfizer, Inc. 2.4
Exxon Mobil Corp. 2.2
Wal-Mart Stores, Inc. 2.0
Oracle Corp. 1.9
Citigroup, Inc. 1.6
Nortel Networks Corp. 1.6
-------------------------------------------
Top Ten 26.3%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
---------------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
-------------------------------------------
500 INDEX 500 INDEX S&P 500
---------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation...................... 2.5% 1.6% 1.6%
Consumer Discretionary..................... 12.8 11.8 11.8
Consumer Staples........................... 7.8 5.7 5.7
Financial Services......................... 16.5 13.4 13.4
Health Care................................ 11.1 11.7 11.7
Integrated Oils............................ 5.4 4.5 4.5
Other Energy............................... 1.1 1.8 1.8
Materials & Processing..................... 3.7 2.2 2.2
Producer Durables.......................... 4.1 2.9 2.9
Technology................................. 18.4 29.9 29.9
Utilities.................................. 11.3 8.6 8.6
Other...................................... 5.3 5.9 5.9
---------------------------------------------------------------------------------------
</TABLE>
11
<PAGE> 14
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 INVESTMENTS. 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 35%.) As
this percentage rises, a fund's returns are likely to be more volatile because
they are more dependent on the fortunes of a few companies.
TURNOVER RATE. An indication of trading activity during the period. Funds with
high turnover rates incur higher transaction costs and are more likely to
distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
12
<PAGE> 15
FUND PROFILE
GROWTH INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
-------------------------------------------------------
GROWTH INDEX S&P 500
-------------------------------------------------------
<S> <C> <C>
Number of Stocks 120 500
Median Market Cap $167.1B $94.9B
Price/Earnings Ratio 53.9x 28.7x
Price/Book Ratio 14.6x 5.2x
Yield 0.4% 1.1%
Yield--Institutional Shares 0.5% 1.1%
Return on Equity 30.0% 24.5%
Earnings Growth Rate 23.7% 17.3%
Foreign Holdings 0.0% 1.2%
Turnover Rate 27%* --
Expense Ratio 0.22%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Investments 0.1% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
-------------------------------------------------------
<S> <C>
STYLE Growth
MARKET CAP Large
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
-------------------------------------------------------
GROWTH INDEX S&P 500
-------------------------------------------------------
<S> <C> <C>
R-Squared 0.90 1.00
Beta 1.03 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
-------------------------------------------------------
<S> <C>
General Electric Co. 7.6%
Intel Corp. 6.5
Cisco Systems, Inc. 6.4
Microsoft Corp. 6.1
Pfizer, Inc. 4.4
Wal-Mart Stores, Inc. 3.7
Oracle Corp. 3.4
Nortel Networks Corp. 2.9
International Business Machines Corp. 2.8
Lucent Technologies, Inc. 2.8
-------------------------------------------------------
Top Ten 46.6%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
-----------------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
---------------------------------------------
GROWTH INDEX GROWTH INDEX S&P 500
-----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation.................. 0.2% 0.2% 1.6%
Consumer Discretionary................. 14.1 13.5 11.8
Consumer Staples....................... 11.5 6.3 5.7
Financial Services..................... 2.1 1.9 13.4
Health Care............................ 18.8 18.2 11.7
Integrated Oils........................ 0.0 0.0 4.5
Other Energy........................... 0.0 0.0 1.8
Materials & Processing................. 1.1 0.2 2.2
Producer Durables...................... 2.5 2.0 2.9
Technology............................. 29.8 47.5 29.9
Utilities.............................. 12.2 2.4 8.6
Other.................................. 7.7 7.8 5.9
------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE> 16
FUND PROFILE
VALUE INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
-------------------------------------------------------
VALUE INDEX S&P 500
-------------------------------------------------------
<S> <C> <C>
Number of Stocks 401 500
Median Market Cap $36.7B $94.9B
Price/Earnings Ratio 18.3x 28.7x
Price/Book Ratio 2.9x 5.2x
Yield 1.7% 1.1%
Yield--Institutional Shares 1.8% 1.1%
Return on Equity 18.4% 24.5%
Earnings Growth Rate 9.9% 17.3%
Foreign Holdings 2.8% 1.2%
Turnover Rate 32%* --
Expense Ratio 0.22%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Investments 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
-------------------------------------------------------
<S> <C>
STYLE Value
MARKET CAP Large
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
VALUE INDEX S&P 500
-------------------------------------------------------
<S> <C> <C>
R-Squared 0.86 1.00
Beta 0.97 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
-------------------------------------------------------
<S> <C>
Exxon Mobil Corp. 4.8%
Citigroup, Inc. 3.6
American International Group, Inc. 3.2
SBC Communications Inc. 2.6
Royal Dutch Petroleum Co. ADR 2.3
WorldCom, Inc. 2.3
Hewlett-Packard Co. 2.2
AT&T Corp. 1.8
Morgan Stanley Dean Witter & Co. 1.7
Tyco International Ltd. 1.4
-------------------------------------------------------
Top Ten 25.9%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
-----------------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
----------------------------------------------
VALUE INDEX VALUE INDEX S&P 500
-----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation.................. 4.9% 3.3% 1.6%
Consumer Discretionary................. 11.2 9.2 11.8
Consumer Staples....................... 3.7 5.2 5.7
Financial Services..................... 31.9 27.1 13.4
Health Care............................ 2.6 3.7 11.7
Integrated Oils........................ 11.3 10.0 4.5
Other Energy........................... 2.4 4.0 1.8
Materials & Processing................. 6.5 4.6 2.2
Producer Durables...................... 5.9 3.9 2.9
Technology............................. 6.2 8.2 29.9
Utilities.............................. 10.5 16.9 8.6
Other.................................. 2.9 3.9 5.9
-----------------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 17
FUND PROFILE
TOTAL STOCK MARKET INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 12.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
------------------------------------------------
TOTAL STOCK WILSHIRE
MARKET INDEX 5000
------------------------------------------------
<S> <C> <C>
Number of Stocks 3,440 6,875
Median Market Cap $45.7B $45.7B
Price/Earnings Ratio 32.0x 32.0x
Price/Book Ratio 4.7x 4.7x
Yield 1.0% 1.1%
Yield--Institutional Shares 1.1% 1.1%
Return on Equity 23.2% 23.2%
Earnings Growth Rate 17.3% 17.3%
Foreign Holdings 0.0% 0.0%
Turnover Rate 8%* --
Expense Ratio 0.20%* --
Expense Ratio--
Institutional Shares 0.10%* --
Cash Investments 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
-------------------------------------------------
<S> <C>
STYLE Blend
MARKET CAP Large
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
-------------------------------------------------
TOTAL STOCK
MARKET INDEX S&P 500
-------------------------------------------------
<S> <C> <C>
R-Squared 0.93 1.00
Beta 0.99 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
------------------------------------------------
<S> <C>
General Electric Co. 3.2%
Intel Corp. 2.7
Cisco Systems, Inc. 2.7
Microsoft Corp. 2.6
Pfizer, Inc. 1.9
Exxon Mobil Corp. 1.7
Wal-Mart Stores, Inc. 1.6
Oracle Corp. 1.5
Citigroup, Inc. 1.2
International Business Machines Corp. 1.2
------------------------------------------------
Top Ten 20.3%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
------------------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
-----------------------------------------------
TOTAL STOCK TOTAL STOCK WILSHIRE
MARKET INDEX MARKET INDEX 5000
------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation..................... 2.6% 1.7% 1.7%
Consumer Discretionary.................... 14.7 13.3 13.3
Consumer Staples.......................... 6.6 4.8 4.8
Financial Services........................ 17.7 13.9 13.9
Health Care............................... 10.3 11.7 11.7
Integrated Oils........................... 3.6 2.8 2.8
Other Energy.............................. 1.6 2.4 2.4
Materials & Processing.................... 4.0 2.5 2.5
Producer Durables......................... 4.2 3.6 3.6
Technology................................ 18.9 29.9 29.9
Utilities................................. 11.1 8.8 8.8
Other..................................... 4.7 4.6 4.6
------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 18
FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
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)
---------------------------------------------------
<S> <C> <C>
COMMON STOCKS (99.7%)(1)
---------------------------------------------------
General Electric Co. 82,993,588 $ 4,398,660
Intel Corp. 28,093,802 3,755,790
- Cisco Systems, Inc. 58,353,435 3,709,090
- Microsoft Corp. 44,147,457 3,531,797
Pfizer, Inc. 52,803,474 2,534,567
Exxon Mobil Corp. 29,202,481 2,292,395
Wal-Mart Stores, Inc. 37,388,967 2,154,539
- Oracle Corp. 23,810,835 2,001,598
Citigroup, Inc. 28,309,558 1,705,651
Nortel Networks Corp. 24,849,924 1,696,007
International Business
Machines Corp. 14,872,292 1,629,445
Lucent Technologies, Inc. 27,317,121 1,618,539
American International
Group, Inc. 12,936,711 1,520,064
Merck & Co., Inc. 19,289,441 1,478,053
- EMC Corp. 18,201,976 1,400,415
SBC Communications Inc. 28,547,507 1,234,680
- Sun Microsystems, Inc. 13,307,831 1,210,181
The Coca-Cola Co. 20,763,119 1,192,582
Johnson & Johnson 11,668,095 1,188,687
Royal Dutch Petroleum
Co. ADR 17,988,015 1,107,387
- WorldCom, Inc. 24,017,565 1,101,806
- Dell Computer Corp. 21,601,270 1,065,213
Hewlett-Packard Co. 8,389,765 1,047,672
- America Online, Inc. 19,272,450 1,016,622
Home Depot, Inc. 19,407,820 969,178
Bristol-Myers Squibb Co. 16,547,670 963,902
Eli Lilly & Co. 9,473,917 946,208
Texas Instruments, Inc. 13,727,288 942,893
- Viacom Inc. Class B 12,649,463 862,535
AT&T Corp. 26,527,766 838,941
Time Warner, Inc. 11,037,663 838,862
Morgan Stanley Dean
Witter & Co. 9,494,659 790,430
The Walt Disney Co. 17,430,543 676,523
BellSouth Corp. 15,783,823 672,785
Tyco International Ltd. 14,160,531 670,855
Bell Atlantic Corp. 12,966,263 658,848
American Home
Products Corp. 10,940,740 642,768
Procter & Gamble Co. 10,971,746 628,132
Corning, Inc. 2,313,969 624,482
Schering-Plough Corp. 12,282,124 620,247
- Applied Materials, Inc. 6,774,476 613,937
- Amgen, Inc. 8,613,280 605,083
Bank of America Corp. 13,908,572 598,069
American Express Co. 11,206,822 584,156
Abbott Laboratories 12,997,617 579,206
- Yahoo!, Inc. 4,557,478 564,558
Pharmacia Corp. 10,648,208 550,379
PepsiCo, Inc. 12,088,340 537,176
Motorola, Inc. 18,054,757 524,716
Wells Fargo Co. 13,516,212 523,753
</TABLE>
16
<PAGE> 19
<TABLE>
<CAPTION>
---------------------------------------------------------
MARKET
VALUE*
SHARES (000)
---------------------------------------------------------
<S> <C> <C>
Philip Morris Cos., Inc. 19,182,681 $ 509,540
GTE Corp. 8,080,499 503,011
Medtronic, Inc. 10,040,757 500,155
The Chase Manhattan Corp. 10,377,328 478,006
Chevron Corp. 5,469,301 463,865
- Sprint PCS 7,677,646 456,820
U S WEST, Inc. 5,318,950 456,100
Fannie Mae 8,450,858 441,029
Ford Motor Co. 10,111,214 434,782
- Micron Technology, Inc. 4,654,253 409,865
Enron Corp. 6,140,956 396,092
- NEXTEL Communications, Inc. 6,362,358 389,297
Charles Schwab Corp. 11,431,249 384,376
E.I. du Pont de Nemours & Co. 8,785,590 384,370
Sprint Corp. 7,353,889 375,048
Merrill Lynch & Co., Inc. 3,253,955 374,205
- QUALCOMM, Inc. 6,217,224 373,033
McDonald's Corp. 11,209,334 369,207
Compaq Computer Corp. 14,244,246 364,119
Schlumberger Ltd. 4,773,973 356,258
- MediaOne Group, Inc. 5,211,613 345,602
The Boeing Co. 7,610,043 318,195
- Veritas Software Corp. 2,803,079 316,792
- Broadcom Corp. 1,442,605 315,840
Gillette Co. 8,758,377 305,996
Colgate-Palmolive Co. 4,838,464 289,703
The Bank of New York Co., Inc. 6,187,924 287,738
Anheuser-Busch Cos., Inc. 3,789,941 283,061
Automatic Data
Processing, Inc. 5,262,497 281,873
- Agilent Technologies, Inc. 3,791,734 279,640
Minnesota Mining &
Manufacturing Co. 3,321,849 274,053
- Siebel Systems, Inc. 1,674,604 273,902
Walgreen Co. 8,454,864 272,141
- Comcast Corp.-Special Class A 6,716,960 272,037
Kimberly-Clark Corp. 4,660,762 267,411
General Motors Corp. 4,488,742 260,628
FleetBoston Financial Corp. 7,566,280 257,254
Bank One Corp. 9,620,982 255,557
Computer Associates
International, Inc. 4,936,762 252,701
Texaco Inc. 4,631,009 246,601
Marsh & McLennan Cos., Inc. 2,262,806 236,322
Freddie Mac 5,832,992 236,236
- ADC Telecommunications, Inc. 2,815,250 236,129
- Tellabs, Inc. 3,435,260 235,101
United Technologies Corp. 3,947,302 232,397
Honeywell International Inc. 6,697,159 225,611
- Analog Devices, Inc. 2,968,383 225,597
The Gap, Inc. 7,139,351 223,105
- Xilinx, Inc. 2,695,781 222,570
Target Corp. 3,826,428 221,933
Emerson Electric Co. 3,582,282 216,280
- Clear Channel
Communications, Inc. 2,843,217 213,241
The Seagram Co. Ltd. 3,661,744 212,381
Alcoa Inc. 7,248,792 210,215
- Solectron Corp. 5,001,738 209,448
Unilever NV ADR 4,795,853 206,222
- Network Appliance, Inc. 2,555,223 205,695
First Union Corp. 8,225,695 204,100
- Global Crossing Ltd. 7,398,973 194,686
- Safeway, Inc. 4,164,456 187,921
MBNA Corp. 6,727,302 182,478
Halliburton Co. 3,725,042 175,775
Duke Energy Corp. 3,085,378 173,938
First Data Corp. 3,459,559 171,681
Firstar Corp. 8,138,965 171,427
Baxter International, Inc. 2,435,351 171,236
Dow Chemical Co. 5,671,330 171,203
Cardinal Health, Inc. 2,309,774 170,923
- Altera Corp. 1,669,906 170,226
- 3Com Corp. 2,943,338 169,610
Linear Technology Corp. 2,609,892 166,870
Household International, Inc. 3,970,309 165,016
Fifth Third Bancorp 2,598,914 164,381
ALLTEL Corp. 2,644,914 163,819
- AES Corp. 3,575,674 163,140
Electronic Data Systems Corp. 3,907,824 161,198
- Seagate Technology Inc. 2,929,241 161,108
Bestfoods 2,303,361 159,508
- Maxim Integrated
Products, Inc. 2,346,449 159,412
Eastman Kodak Co. 2,598,764 154,626
- The Kroger Co. 7,004,580 154,539
Williams Cos., Inc. 3,706,894 154,531
- Gateway, Inc. 2,701,038 153,284
- Kohl's Corp. 2,736,401 152,212
Mellon Financial Corp. 4,121,107 150,163
J.P. Morgan & Co., Inc. 1,362,128 150,004
Illinois Tool Works, Inc. 2,529,694 144,193
State Street Corp. 1,349,630 143,145
- Apple Computer, Inc. 2,730,021 142,985
HCA-The Healthcare Co. 4,678,075 142,097
Sara Lee Corp. 7,296,889 140,921
- LSI Logic Corp. 2,575,115 139,378
Allstate Corp. 6,246,615 138,987
Associates First Capital Corp. 6,111,924 136,372
Gannett Co., Inc. 2,235,744 133,725
Omnicom Group Inc. 1,491,017 132,794
Washington Mutual, Inc. 4,595,187 132,686
Lowe's Cos., Inc. 3,207,520 131,709
CVS Corp. 3,274,458 130,978
Paychex, Inc. 3,116,089 130,876
Adobe Systems, Inc. 1,004,551 130,592
H.J. Heinz Co. 2,955,955 129,323
Conoco Inc. Class B 5,239,255 128,689
CIGNA Corp. 1,366,912 127,806
- Guidant Corp. 2,571,965 127,312
American General Corp. 2,084,220 127,137
Southern Co. 5,442,442 126,877
- Costco Wholesale Corp. 3,748,096 123,687
U.S. Bancorp 6,307,170 121,413
Northern Trust Corp. 1,865,179 121,353
International Paper Co. 4,053,659 120,850
- Comverse Technology, Inc. 1,281,503 119,180
Albertson's, Inc. 3,555,114 118,208
Sysco Corp. 2,795,276 117,751
UnitedHealth Group Inc. 1,362,860 116,865
SunTrust Banks, Inc. 2,539,863 116,040
Xerox Corp. 5,590,313 115,999
PE Corp.-PE Biosystems Group 1,745,838 115,007
PNC Financial Services Group 2,438,634 114,311
</TABLE>
17
<PAGE> 20
<TABLE>
<CAPTION>
-----------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
-----------------------------------------------------------
<S> <C> <C>
- MedImmune Inc. 1,494,583 $ 110,599
Coastal Corp. 1,795,364 109,293
Interpublic Group of Cos., Inc. 2,531,332 108,847
- Best Buy Co., Inc. 1,715,566 108,510
Phillips Petroleum Co. 2,130,271 107,978
Providian Financial Corp. 1,195,396 107,586
- Teradyne, Inc. 1,454,414 106,899
- Computer Sciences Corp. 1,404,488 104,898
Campbell Soup Co. 3,546,751 103,299
AFLAC, Inc. 2,228,246 102,360
- Sanmina Corp. 1,195,286 102,197
Kellogg Co. 3,404,603 101,287
The Hartford Financial
Services Group Inc. 1,803,163 100,865
Scientific-Atlanta, Inc. 1,335,132 99,467
- Advanced Micro Devices, Inc. 1,285,239 99,285
Caterpillar, Inc. 2,925,509 99,102
Waste Management, Inc. 5,210,073 98,991
Carnival Corp. 5,073,224 98,928
El Paso Energy Corp. 1,938,148 98,724
Harley-Davidson, Inc. 2,548,200 98,106
Sears, Roebuck & Co. 2,957,653 96,493
Lehman Brothers Holdings, Inc. 1,013,216 95,812
Transocean Sedco Forex Inc. 1,764,473 94,289
General Mills, Inc. 2,447,421 93,614
- FedEx Corp. 2,433,169 92,460
Wachovia Corp. 1,699,057 92,174
NIKE, Inc. Class B 2,294,731 91,359
- KLA-Tencor Corp. 1,559,977 91,356
The Chubb Corp. 1,469,286 90,361
Tribune Co. 2,553,474 89,372
Avon Products, Inc. 1,992,491 88,666
Baker Hughes, Inc. 2,770,158 88,645
- Conexant Systems, Inc. 1,822,918 88,639
The Clorox Co. 1,969,930 88,278
The McGraw-Hill Cos., Inc. 1,632,204 88,139
General Dynamics Corp. 1,684,086 87,993
National City Corp. 5,092,991 86,899
Pitney Bowes, Inc. 2,163,194 86,528
Dominion Resources, Inc. 1,997,309 85,635
- Cendant Corp. 6,052,334 84,733
Weyerhaeuser Co. 1,954,932 84,062
- National Semiconductor Corp. 1,481,026 84,048
Lockheed Martin Corp. 3,358,090 83,323
Kansas City Southern
Industries, Inc. 933,634 82,802
The Quaker Oats Co. 1,098,677 82,538
Burlington Northern
Santa Fe Corp. 3,594,346 82,445
Allergan, Inc. 1,087,545 81,022
- Biogen, Inc. 1,245,804 80,354
American Electric
Power Co., Inc. 2,702,206 80,053
PG&E Corp. 3,235,458 79,673
Molex, Inc. 1,641,721 79,008
Southwest Airlines Co. 4,164,440 78,864
ConAgra, Inc. 4,130,715 78,742
The Limited, Inc. 3,605,547 77,970
Union Pacific Corp. 2,081,304 77,399
Wrigley, (Wm.) Jr. Co. 957,754 76,800
Aetna Inc. 1,182,978 75,932
- Boston Scientific Corp. 3,421,237 75,053
- BMC Software, Inc. 2,048,610 74,742
RadioShack Corp. 1,566,309 74,204
FPL Group, Inc. 1,495,571 74,031
Reliant Energy, Inc. 2,483,068 73,406
Capital One Financial Corp. 1,643,390 73,336
- Lexmark International
Group, Inc. Class A 1,085,214 72,981
Deere & Co. 1,963,859 72,663
Marriott International, Inc.
Class A 2,011,298 72,532
Nabisco Group Holdings Corp. 2,739,544 71,057
Tenet Healthcare Corp. 2,623,643 70,838
BB&T Corp. 2,927,810 69,901
Burlington Resources, Inc. 1,806,873 69,113
Dover Corp. 1,703,653 69,104
Delphi Automotive
Systems Corp. 4,724,699 68,804
Masco Corp. 3,765,550 68,015
Unocal Corp. 2,038,107 67,512
May Department Stores Co. 2,790,304 66,967
Aon Corp. 2,148,707 66,744
Textron, Inc. 1,210,002 65,718
USX-Marathon Group 2,616,982 65,588
TXU Corp. 2,214,506 65,328
Occidental Petroleum Corp. 3,094,361 65,175
PPG Industries, Inc. 1,461,092 64,745
KeyCorp 3,649,159 64,316
Avery Dennison Corp. 941,273 63,183
Rohm & Haas Co. 1,825,728 62,988
Public Service Enterprise
Group, Inc. 1,815,572 62,864
- Staples, Inc. 4,065,023 62,500
Franklin Resources Corp. 2,043,838 62,082
Becton, Dickinson & Co. 2,118,617 60,778
St. Paul Cos., Inc. 1,780,091 60,746
- Federated Department
Stores, Inc. 1,796,404 60,629
Barrick Gold Corp. 3,320,907 60,399
Air Products & Chemicals, Inc. 1,925,585 59,332
Comerica, Inc. 1,313,543 58,945
Danaher Corp. 1,188,830 58,773
Lincoln National Corp. 1,608,690 58,114
Unicom Corp. 1,492,877 57,756
Newell Rubbermaid, Inc. 2,236,039 57,578
Coca-Cola Enterprises, Inc. 3,528,192 57,554
PECO Energy Corp. 1,422,614 57,349
Edison International 2,788,593 57,166
Alcan Aluminium Ltd. 1,836,116 56,920
Circuit City Stores, Inc. 1,706,442 56,633
New York Times Co. Class A 1,426,244 56,337
Apache Corp. 954,459 56,134
Union Carbide Corp. 1,129,842 55,927
- Convergys Corp. 1,077,689 55,905
Hershey Foods Corp. 1,151,204 55,833
PaineWebber Group, Inc. 1,222,528 55,625
- Novellus Systems, Inc. 969,498 54,837
Ingersoll-Rand Co. 1,358,307 54,672
- American Power
Conversion Corp. 1,338,022 54,608
Dow Jones & Co., Inc. 744,104 54,506
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
------------------------------------------------------------
<S> <C> <C>
Golden West Financial Corp. 1,326,432 $ 54,135
Dollar General Corp. 2,761,879 53,857
Anadarko Petroleum Corp. 1,074,946 53,008
- Sapient Corp. 492,971 52,717
Consolidated Edison Inc. 1,778,983 52,702
Entergy Corp. 1,930,609 52,488
Delta Air Lines, Inc. 1,027,826 51,970
AmSouth Bancorp 3,296,789 51,924
Ralston-Ralston Purina Group 2,574,964 51,338
- ALZA Corp. 861,254 50,922
Rockwell International Corp. 1,578,954 49,737
Loews Corp. 827,972 49,678
Archer-Daniels-Midland Co. 5,054,131 49,594
Praxair, Inc. 1,323,588 49,552
McKesson HBOC, Inc. 2,364,650 49,510
SLM Holding Corp. 1,314,209 49,201
Jefferson-Pilot Corp. 865,487 48,846
Norfolk Southern Corp. 3,215,898 47,836
TJX Cos., Inc. 2,517,652 47,206
Amerada Hess Corp. 760,417 46,956
Mattel, Inc. 3,555,346 46,886
Kerr-McGee Corp. 790,168 46,571
Union Pacific Resources
Group, Inc. 2,115,279 46,536
- Starbucks Corp. 1,197,796 45,741
Progressive Corp. of Ohio 613,128 45,371
FirstEnergy Corp. 1,939,484 45,335
IMS Health, Inc. 2,494,637 44,904
TRW, Inc. 1,027,550 44,570
Columbia Energy Group 677,518 44,462
Raytheon Co. Class B 2,298,175 44,240
- Watson Pharmaceuticals, Inc. 810,110 43,543
T. Rowe Price 1,011,067 42,970
CP&L, INC. 1,341,380 42,840
- Bed Bath & Beyond, Inc. 1,177,698 42,692
Ecolab, Inc. 1,089,306 42,551
Cincinnati Financial Corp. 1,350,136 42,445
Synovus Financial Corp. 2,369,731 41,767
Tiffany & Co. 608,265 41,058
Eaton Corp. 610,958 40,934
Constellation Energy Group 1,257,028 40,932
UnumProvident Corp. 2,019,672 40,520
Charter One Financial 1,759,696 40,473
MGIC Investment Corp. 889,190 40,458
J.C. Penney Co., Inc. 2,191,440 40,405
Fort James Corp. 1,727,135 39,940
MBIA, Inc. 826,399 39,822
CSX Corp. 1,834,819 38,875
Ameren Corp. 1,151,629 38,868
Northrop Grumman Corp. 586,527 38,857
Dun & Bradstreet Corp. 1,357,424 38,856
- PeopleSoft, Inc. 2,316,591 38,803
Florida Progress Corp. 827,574 38,793
- Cabletron Systems, Inc. 1,532,539 38,697
Bear Stearns Co., Inc. 928,190 38,636
Biomet, Inc. 993,044 38,170
- Unisys Corp. 2,616,443 38,102
- Wellpoint Health
Networks Inc. Class A 522,326 37,836
- Mercury Interactive Corp. 388,898 37,626
Georgia Pacific Group 1,431,580 37,579
Johnson Controls, Inc. 720,002 36,945
Regions Financial Corp. 1,852,904 36,826
- Sealed Air Corp. 702,548 36,796
DTE Energy Co. 1,199,712 36,666
Summit Bancorp 1,475,713 36,339
Vulcan Materials Co. 844,936 36,068
- Tricon Global Restaurants, Inc. 1,238,287 34,982
Knight Ridder 652,530 34,706
Young & Rubicam Inc. 606,308 34,673
Bausch & Lomb, Inc. 445,992 34,509
Tosco Corp. 1,212,887 34,340
Cinergy Corp. 1,335,374 33,969
CenturyTel, Inc. 1,177,098 33,842
- AMR Corp. 1,251,384 33,083
Harcourt General, Inc. 600,901 32,674
- St. Jude Medical, Inc. 703,410 32,269
Parker Hannifin Corp. 939,760 32,187
SouthTrust Corp. 1,411,073 31,926
Union Planters Corp. 1,136,443 31,749
- Comcast Corp. Class A 813,477 31,624
- Compuware Corp. 3,027,443 31,410
- NCR Corp. 799,426 31,128
Equifax, Inc. 1,185,747 31,126
Brown-Forman Corp. Class B 575,854 30,952
Sabre Holdings Corp. 1,083,198 30,871
Old Kent Financial Corp. 1,153,764 30,863
Eastman Chemical Co. 644,528 30,776
The BFGoodrich Co. 901,428 30,705
Fortune Brands, Inc. 1,329,913 30,671
Newmont Mining Corp. 1,409,863 30,488
Genuine Parts Co. 1,486,350 29,727
Tektronix, Inc. 399,044 29,529
Huntington Bancshares Inc. 1,863,405 29,465
- Citrix Systems, Inc. 1,553,647 29,422
- Ceridian Corp. 1,216,685 29,277
New Century Energies, Inc. 975,581 29,267
Sempra Energy 1,717,691 29,201
Sherwin-Williams Co. 1,375,408 29,141
Hilton Hotels Corp. 3,094,959 29,015
Countrywide Credit
Industries, Inc. 951,091 28,830
Millipore Corp. 382,179 28,807
Whirlpool Corp. 613,068 28,584
Black & Decker Corp. 715,004 28,109
GPU, Inc. 1,019,034 27,578
- Thermo Electron Corp. 1,308,213 27,554
- Kmart Corp. 4,036,595 27,499
PerkinElmer, Inc. 412,624 27,285
Nordstrom, Inc. 1,130,182 27,266
Leggett & Platt, Inc. 1,651,075 27,243
Dana Corp. 1,278,699 27,092
H & R Block, Inc. 827,514 26,791
Conseco Inc. 2,735,646 26,673
Torchmark Corp. 1,077,777 26,608
PPL Corp. 1,211,341 26,574
- Toys R Us, Inc. 1,814,768 26,428
Northern States Power Co. 1,306,956 26,384
The Goodyear Tire &
Rubber Co. 1,314,315 26,286
Placer Dome, Inc. 2,746,511 26,264
International Flavors &
Fragrances, Inc. 863,253 26,059
PACCAR, Inc. 643,097 25,523
</TABLE>
19
<PAGE> 22
<TABLE>
<CAPTION>
---------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
---------------------------------------------------------------
<S> <C> <C>
- Novell, Inc. 2,757,736 $ 25,509
- Parametric Technology Corp. 2,317,941 25,497
Cooper Industries, Inc. 782,751 25,488
Willamette Industries, Inc. 931,142 25,374
- AutoZone Inc. 1,123,535 24,718
Phelps Dodge Corp. 661,006 24,581
Mallinckrodt, Inc. 564,741 24,531
W.W. Grainger, Inc. 788,177 24,286
Maytag Corp. 658,223 24,272
Pinnacle West Capital Corp. 712,828 24,147
Nucor Corp. 715,568 23,748
- Rowan Cos., Inc. 779,667 23,682
- Inco Ltd. 1,525,821 23,459
- HEALTHSOUTH Corp. 3,238,777 23,279
R.R. Donnelley & Sons Co. 1,024,109 23,106
VF Corp. 959,075 22,838
- Andrew Corp. 676,935 22,720
ITT Industries, Inc. 738,399 22,429
Sunoco, Inc. 744,270 21,909
- US Airways Group, Inc. 559,489 21,820
The Mead Corp. 863,232 21,797
Hasbro, Inc. 1,445,865 21,778
- Harrah's Entertainment, Inc. 1,026,699 21,497
SAFECO Corp. 1,071,856 21,303
SuperValu Inc. 1,105,865 21,081
Westvaco Corp. 844,009 20,942
Sigma-Aldrich Corp. 715,862 20,939
Ashland, Inc. 592,199 20,764
C.R. Bard, Inc. 423,963 20,403
CMS Energy Corp. 921,811 20,395
Fluor Corp. 642,029 20,304
- Niagara Mohawk Holdings Inc. 1,448,459 20,188
UST, Inc. 1,362,473 20,011
- Adaptec, Inc. 872,767 19,855
Pall Corp. 1,039,362 19,228
Adolph Coors Co. Class B 308,836 18,685
Temple-Inland Inc. 440,319 18,493
Engelhard Corp. 1,062,695 18,132
The Stanley Works 736,092 17,482
Winn-Dixie Stores, Inc. 1,213,326 17,366
Wendy's International, Inc. 955,217 17,015
Autodesk, Inc. 489,605 16,983
Darden Restaurants Inc. 1,039,324 16,889
- Office Depot, Inc. 2,660,105 16,626
Shared Medical Systems Corp. 227,111 16,565
Liz Claiborne, Inc. 459,008 16,180
- Navistar International Corp. 519,849 16,148
Crown Cork & Seal Co., Inc. 1,074,975 16,125
- Visteon Corp. 1,326,125 16,079
- Allied Waste Industries, Inc. 1,586,910 15,869
Homestake Mining Co. 2,187,324 15,038
Bemis Co., Inc. 441,801 14,856
- FMC Corp. 255,692 14,830
Great Lakes Chemical Corp. 456,963 14,394
- Owens-Illinois, Inc. 1,231,505 14,393
Eastern Enterprises 228,083 14,369
Meredith Corp. 425,453 14,359
Deluxe Corp. 607,278 14,309
Alberto-Culver Co. Class B 467,433 14,286
Rite Aid Corp. 2,175,293 14,275
USX-U.S. Steel Group 742,714 13,787
- Quintiles Transnational Corp. 968,507 13,680
Snap-On Inc. 492,825 13,121
NICOR, Inc. 390,227 12,731
Hercules, Inc. 898,347 12,633
Allegheny Technologies Inc. 700,492 12,609
Boise Cascade Corp. 481,258 12,453
Crane Co. 510,040 12,400
Brunswick Corp. 739,208 12,243
Centex Corp. 499,358 11,735
- Consolidated Stores, Inc. 931,422 11,177
- Pactiv Corp. 1,418,255 11,169
- Freeport-McMoRan Copper &
Gold Inc. Class B 1,167,796 10,802
Raytheon Co. Class A 553,726 10,763
Tupperware Corp. 486,652 10,706
American Greetings Corp.
Class A 542,116 10,300
- Viacom Inc. Class A 143,386 9,804
Dillard's Inc. 788,018 9,653
Peoples Energy Corp. 298,151 9,653
The Timken Co. 511,608 9,529
Louisiana-Pacific Corp. 874,623 9,512
Cummins Engine Co., Inc. 348,812 9,505
Ryder System, Inc. 499,999 9,469
Thomas & Betts Corp. 487,432 9,322
Ball Corp. 251,730 8,103
Potlatch Corp. 241,285 7,993
Kaufman & Broad Home Corp. 390,796 7,743
Worthington Industries, Inc. 723,590 7,598
- Reebok International Ltd. 475,045 7,571
Pulte Corp. 345,918 7,480
Longs Drug Stores, Inc. 331,356 7,207
Cooper Tire & Rubber Co. 619,367 6,890
- Humana, Inc. 1,410,191 6,875
- W.R. Grace & Co. 566,728 6,872
Polaroid Corp. 375,997 6,791
National Service Industries, Inc. 342,685 6,682
Briggs & Stratton Corp. 187,962 6,438
ONEOK, Inc. 245,529 6,368
- Manor Care, Inc. 862,592 6,038
Russell Corp. 273,993 5,480
Great Atlantic & Pacific
Tea Co., Inc. 322,485 5,361
Armstrong Holdings, Inc. 337,936 5,175
Springs Industries Inc. Class A 150,505 4,816
McDermott International, Inc. 501,723 4,421
Owens Corning 462,940 4,282
- MIPS Technologies, Inc. Class B 107,341 4,133
- Bethlehem Steel Corp. 1,107,282 3,945
IKON Office Solutions, Inc. 509,639 1,975
- Silicon Graphics, Inc. 514,665 1,930
NACCO Industries, Inc. Class A 53,016 1,862
- Freeport-McMoRan Copper &
Gold, Inc. Class A 176,683 1,612
- Qwest Communications
International Inc. 31,780 1,579
Milacron Inc. 23,285 338
Molex, Inc. Class A 4,051 142
Alberto-Culver Co. Class A 1,000 26
---------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $61,124,041) 105,344,547
---------------------------------------------------------------
</TABLE>
20
<PAGE> 23
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
-------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (0.2%)(1)
-------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 6.08%, 8/17/2000 $ 9,450 $ 9,374
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 6.06%, 7/13/2000 10,200 10,182
(2) 6.454%, 8/3/2000 3,700 3,678
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000 127,800 127,800
6.71%, 7/3/2000--Note G 31,154 31,154
-------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $182,187) 182,188
-------------------------------------------------------------------------
TOTAL INVESTMENTS (99.9%)
(COST $61,306,228) 105,526,735
-------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.1%)
-------------------------------------------------------------------------
Other Assets--Note B 639,002
Liabilities--Note G (582,474)
-----------
56,528
-------------------------------------------------------------------------
NET ASSETS (100%)
-------------------------------------------------------------------------
Applicable to 786,999,997 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $105,583,263
=========================================================================
NET ASSET VALUE PER SHARE $134.16
=========================================================================
</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 100.2% and -0.3%, respectively, of net assets.
See Note F in Notes to Financial Statements.
(2)Securities with an aggregate value of $23,234,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
-------------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Note E $ 62,155,539 $ 78.98
Overdistributed Net
Investment Income (13,040) (.01)
Accumulated Net
Realized Losses--Note E (775,241) (.99)
Unrealized Appreciation
(Depreciation)--Note F
Investment Securities 44,220,507 56.19
Futures Contracts (4,502) (.01)
-------------------------------------------------------------------------------
NET ASSETS $105,583,263 $134.16
===============================================================================
</TABLE>
21
<PAGE> 24
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by each fund during the
reporting period, and details the operating expenses charged to each class of
its shares. These expenses directly reduce the amount of investment income
available to pay to shareholders as dividends. This Statement also shows any Net
Gain (Loss) realized on the sale of investments, and the increase or decrease in
the Unrealized Appreciation (Depreciation) on investments during the period. If
a fund invested in futures contracts during the period, the results of these
investments are shown separately.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
500 INDEX FUND
SIX MONTHS ENDED JUNE 30, 2000
(000)
-----------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 587,751
Interest 6,211
Security Lending 1,345
----------
Total Income 595,307
----------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 84
Management and Administrative 82,525
Marketing and Distribution 7,707
Custodian Fees 86
Auditing Fees 22
Shareholders' Reports 1,521
Trustees' Fees and Expenses 60
----------
Total Expenses 92,005
Expenses Paid Indirectly--Note C --
----------
Net Expenses 92,005
-----------------------------------------------------------------------------------------
NET INVESTMENT INCOME 503,302
-----------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 3,370
Futures Contracts 17,184
-----------------------------------------------------------------------------------------
REALIZED NET GAIN 20,554
-----------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (921,488)
Futures Contracts (7,716)
-----------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (929,204)
-----------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(405,348)
=========================================================================================
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------
GROWTH VALUE TOTAL STOCK
INDEX INDEX MARKET INDEX
FUND FUND FUND
------------------------------------------
SIX MONTHS ENDED JUNE 30, 2000
------------------------------------------
(000) (000) (000)
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 44,047 $ 35,586 $ 119,172
Interest 702 298 13,470
Security Lending 130 52 6,144
------------------------------------------
Total Income 44,879 35,936 138,786
------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 84 25 84
Management and Administrative--Investor Shares 15,200 3,218 16,767
Management and Administrative--Institutional Shares 295 276 1,868
Marketing and Distribution--Investor Shares 1,303 291 1,456
Marketing and Distribution--Institutional Shares 46 45 340
Custodian Fees 143 61 162
Auditing Fees 7 5 7
Shareholders' Reports--Investor Shares 289 71 244
Shareholders' Reports--Institutional Shares 1 1 6
Trustees' Fees and Expenses 10 2 13
------------------------------------------
Total Expenses 17,378 3,995 20,947
Expenses Paid Indirectly--Note C -- -- (101)
------------------------------------------
Net Expenses 17,378 3,995 20,846
------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 27,501 31,941 117,940
------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (291,506) 67,048 363,893
Futures Contracts 1,286 130 20,506
------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (290,220) 67,178 384,399
------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 706,531 (275,910) (600,718)
Futures Contracts (125) (545) (27,780)
------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 706,406 (276,455) (628,498)
------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $443,687 $(177,336) $(126,159)
==================================================================================================================
</TABLE>
23
<PAGE> 26
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in the
fund, either by purchasing shares or by reinvesting distributions, as well as
the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed
are shown at the end of the Statement. Distributions, Capital Share
Transactions, and Shares Issued and Redeemed are shown separately for each class
of shares.
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------------
500 INDEX FUND GROWTH INDEX FUND
----------------------------------- --------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 2000 DEC. 31, 1999 JUN. 30, 2000 DEC. 31, 1999
(000) (000) (000) (000)
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 503,302 $ 1,004,335 $ 27,501 $ 72,273
Realized Net Gain (Loss) 20,554 2,175,427 (290,220) 104,632
Change in Unrealized Appreciation (Depreciation) (929,204) 14,142,327 706,406 2,882,417
----------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (405,348) 17,322,089 443,687 3,059,322
----------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (476,393) (1,038,133) (28,141) (76,040)
Institutional Shares* -- -- (1,419) (2,471)
Realized Capital Gain
Investor Shares -- (727,534) -- (373,720)
Institutional Shares* -- -- -- (11,135)
----------------------------------------------------------------------------
Total Distributions (476,393) (1,765,667) (29,560) (463,366)
----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 12,900,820 28,777,842 3,243,905 7,925,668
Issued in Lieu of Cash Distributions 436,498 1,639,704 25,184 423,140
Redeemed (11,524,640) (15,550,168) (2,419,512) (2,284,468)
----------------------------------------------------------------------------
Net Increase--Investor Shares 1,812,678 14,867,378 849,577 6,064,340
----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- -- 302,021 270,291
Issued in Lieu of Cash Distributions -- -- 1,340 13,312
Redeemed -- -- (80,047) (127,849)
----------------------------------------------------------------------------
Net Increase--Institutional Shares* -- -- 223,314 155,754
--------------------------------------------------------------------------------------------------------------------------------
Total Increase 930,937 30,423,800 1,487,018 8,816,050
--------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 104,652,326 74,228,526 15,684,550 6,868,500
----------------------------------------------------------------------------
End of Period $ 105,583,263 $104,652,326 $17,171,568 $15,684,550
================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 98,035 235,513 84,178 231,428
Issued in Lieu of Cash Distributions 3,195 13,117 615 11,261
Redeemed (87,532) (126,726) (62,934) (66,190)
----------------------------------------------------------------------------
Net Increase in Shares Outstanding 13,698 121,904 21,859 176,499
================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- -- 7,807 7,793
Issued in Lieu of Cash Distributions -- -- 33 355
Redeemed -- -- (2,078) (3,764)
----------------------------------------------------------------------------
Net Increase in Shares Outstanding* -- -- 5,762 4,384
================================================================================================================================
</TABLE>
*The 500 Index Fund does not offer Institutional Shares.
24
<PAGE> 27
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
VALUE INDEX TOTAL STOCK MARKET
FUND INDEX FUND
------------------------------ ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 2000 DEC. 31, 1999 JUN. 30, 2000 DEC. 31, 1999
(000) (000) (000) (000)
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 31,941 $ 52,835 $ 117,940 $ 186,580
Realized Net Gain (Loss) 67,178 262,524 384,399 163,334
Change in Unrealized Appreciation (Depreciation) (276,455) 32,919 (628,498) 3,397,221
---------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (177,336) 348,278 (126,159) 3,747,135
---------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (25,796) (47,397) (87,688) (152,264)
Institutional Shares (4,646) (5,820) (22,638) (39,726)
Realized Capital Gain
Investor Shares (60,724) (252,170) (34,049) (146,187)
Institutional Shares (7,526) (28,139) (8,363) (33,928)
---------------------------------------------------------------------
Total Distributions (98,692) (333,526) (152,738) (372,105)
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 714,047 1,491,460 4,185,311 7,632,493
Issued in Lieu of Cash Distributions 78,184 274,281 113,646 280,965
Redeemed (607,440) (827,565) (2,367,768) (1,864,274)
---------------------------------------------------------------------
Net Increase--Investor Shares 184,791 938,176 1,931,189 6,049,184
CAPITAL SHARE TRANSACTIONS---INSTITUTIONAL SHARES(2)
Issued 385,146 292,008 1,349,276 1,911,352
Issued in Lieu of Cash Distributions 11,210 31,500 27,477 66,739
Redeemed (117,977) (45,585) (834,553) (1,015,832)
---------------------------------------------------------------------
Net Increase--Institutional Shares 278,379 277,923 542,200 962,259
--------------------------------------------------------------------------------------------------------------------------
Total Increase 187,142 1,230,851 2,194,492 10,386,473
--------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,837,564 2,606,713 22,139,592 11,753,119
---------------------------------------------------------------------
End of Period $4,024,706 $3,837,564 $24,334,084 $22,139,592
==========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 32,349 63,232 128,083 260,202
Issued in Lieu of Cash Distributions 3,494 12,325 3,323 9,337
Redeemed (27,734) (35,536) (72,433) (63,119)
---------------------------------------------------------------------
Net Increase in Shares Outstanding 8,109 40,021 58,973 206,420
==========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 17,195 12,359 41,232 64,164
Issued in Lieu of Cash Distributions 502 1,417 802 2,226
Redeemed (5,336) (1,958) (25,234) (34,966)
---------------------------------------------------------------------
Net Increase in Shares Outstanding 12,361 11,818 16,800 31,424
==========================================================================================================================
</TABLE>
25
<PAGE> 28
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------
500 INDEX FUND
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2000 1999 1998 1997 1996 1995
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $135.33 $113.95 $ 90.07 $69.17 $57.60 $42.97
----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .65 1.370 1.33 1.31 1.28 1.22
Net Realized and Unrealized Gain (Loss)
on Investments (1.21) 22.415 24.30 21.50 11.82 14.76
---------------------------------------------------------------
Total from Investment Operations (.56) 23.785 25.63 22.81 13.10 15.98
---------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.61) (1.410) (1.33) (1.32) (1.28) (1.22)
Distributions from Realized Capital Gains -- (.995) (.42) (.59) (.25) (.13)
---------------------------------------------------------------
Total Distributions (.61) (2.405) (1.75) (1.91) (1.53) (1.35)
----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $134.16 $135.33 $113.95 $90.07 $69.17 $57.60
======================================================================================================================
TOTAL RETURN* -0.42% 21.07% 28.62% 33.19% 22.88% 37.45%
======================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $105,583 $104,652 $74,229 $49,358 $30,332 $17,372
Ratio of Total Expenses to
Average Net Assets 0.18%** 0.18% 0.18% 0.19% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 0.97%** 1.13% 1.35% 1.66% 2.04% 2.38%
Portfolio Turnover Rate+ 9%** 6% 6% 5% 5% 4%
======================================================================================================================
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Annualized.
+Portfolio turnover rates excluding in-kind redemptions were 7%, 3%, 3%, 3%,
2%, and 2%, respectively.
26
<PAGE> 29
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------
GROWTH INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2000 1999 1998 1997 1996 1995
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $39.43 $31.67 $22.53 $16.90 $13.97 $10.28
----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .07 .207 .230 .23 .22 .21
Net Realized and Unrealized Gain (Loss)
on Investments .94 8.821 9.244 5.88 3.07 3.68
---------------------------------------------------------------
Total from Investment Operations 1.01 9.028 9.474 6.11 3.29 3.89
---------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.07) (.228) (.219) (.23) (.22) (.20)
Distributions from Realized Capital Gains -- (1.040) (.115) (.25) (.14) --
---------------------------------------------------------------
Total Distributions (.07) (1.268) (.334) (.48) (.36) (.20)
----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $40.37 $39.43 $31.67 $22.53 $16.90 $13.97
======================================================================================================================
TOTAL RETURN* 2.56% 28.76% 42.21% 36.34% 23.74% 38.06%
======================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $16,476 $15,232 $6,644 $2,365 $787 $271
Ratio of Total Expenses to
Average Net Assets 0.22%** 0.22% 0.22% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 0.34%** 0.64% 0.92% 1.19% 1.57% 1.71%
Portfolio Turnover Rate 27%** 33% 29% 26% 29% 24%
======================================================================================================================
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Annualized.
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
GROWTH INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED YEAR ENDED MAY 14* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2000 DEC. 31, 1999 DEC. 31, 1998
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $39.44 $31.67 $26.49
----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .086 .249 .167
Net Realized and Unrealized Gain (Loss) on Investments .933 8.821 5.315
------------------------------------------------------
Total from Investment Operations 1.019 9.070 5.482
------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.089) (.260) (.187)
Distributions from Realized Capital Gains -- (1.040) (.115)
------------------------------------------------------
Total Distributions (.089) (1.300) (.302)
---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $40.37 $39.44 $31.67
=====================================================================================================================
TOTAL RETURN 2.58% 28.91% 20.79%
=====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $695 $452 $224
Ratio of Total Expenses to Average Net Assets 0.12%** 0.12% 0.12%**
Ratio of Net Investment Income to Average Net Assets 0.43%** 0.74% 0.97%**
Portfolio Turnover Rate 27%** 33% 29%
=====================================================================================================================
</TABLE>
*Inception.
**Annualized.
27
<PAGE> 30
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------
VALUE INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2000 1999 1998 1997 1996 1995
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $22.89 $22.51 $20.85 $17.02 $14.79 $11.12
----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .18 .355 .366 .38 .37 .41
Net Realized and Unrealized Gain (Loss)
on Investments (1.10) 2.342 2.647 4.57 2.81 3.66
-----------------------------------------------------------------
Total from Investment Operations (.92) 2.697 3.013 4.95 3.18 4.07
-----------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.17) (.362) (.363) (.37) (.38) (.40)
Distributions from Realized Capital Gains (.41) (1.955) (.990) (.75) (.57) --
-----------------------------------------------------------------
Total Distributions (.58) (2.317) (1.353) (1.12) (.95) (.40)
----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.39 $22.89 $22.51 $20.85 $17.02 $14.79
======================================================================================================================
TOTAL RETURN* -4.12% 12.57% 14.64% 29.77% 21.86% 36.94%
======================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $3,330 $3,378 $2,421 $1,796 $1,016 $496
Ratio of Total Expenses to
Average Net Assets 0.22%** 0.22% 0.22% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.63%** 1.59% 1.72% 2.05% 2.54% 3.06%
Portfolio Turnover Rate 32%** 41% 33% 25% 29% 27%
======================================================================================================================
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Annualized.
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
VALUE INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED YEAR ENDED JUL. 2* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2000 DEC. 31, 1999 DEC. 31, 1998
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $22.89 $22.51 $23.22
----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .19 .377 .196
Net Realized and Unrealized Gain (Loss) on Investments (1.10) 2.342 (.060)
------------------------------------------------
Total from Investment Operations (.91) 2.719 .136
------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.18) (.384) (.236)
Distributions from Realized Capital Gains (.41) (1.955) (.610)
------------------------------------------------
Total Distributions (.59) (2.339) (.846)
---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $21.39 $22.89 $22.51
=====================================================================================================================
TOTAL RETURN -4.08% 12.67% 0.69%
=====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $694 $460 $186
Ratio of Total Expenses to Average Net Assets 0.12%** 0.12% 0.12%**
Ratio of Net Investment Income to Average Net Assets 1.74%** 1.68% 1.90%**
Portfolio Turnover Rate 32%** 41% 33%
=====================================================================================================================
</TABLE>
*Inception.
**Annualized.
28
<PAGE> 31
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2000 1999 1998 1997 1996 1995
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $33.22 $27.42 $22.64 $17.77 $15.04 $11.37
----------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .16 .317 .336 .319 .29 .29
Net Realized and Unrealized Gain (Loss)
on Investments (.39) 6.133 4.898 5.143 2.84 3.75
----------------------------------------------------------------
Total from Investment Operations (.23) 6.450 5.234 5.462 3.13 4.04
----------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.15) (.330) (.329) (.322) (.29) (.28)
Distributions from Realized Capital Gains (.06) (.320) (.125) (.270) (.11) (.09)
----------------------------------------------------------------
Total Distributions (.21) (.650) (.454) (.592) (.40) (.37)
----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $32.78 $33.22 $27.42 $22.64 $17.77 $15.04
======================================================================================================================
TOTAL RETURN* -0.72% 23.81% 23.26% 30.99% 20.96% 35.79%
======================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $19,829 $18,133 $9,308 $5,092 $3,531 $1,571
Ratio of Total Expenses to
Average Net Assets 0.20%** 0.20% 0.20% 0.20% 0.22% 0.25%
Ratio of Net Investment Income to
Average Net Assets 1.00%** 1.15% 1.44% 1.65% 1.86% 2.14%
Portfolio Turnover Rate 8%**+ 3% 3% 2% 3% 3%
======================================================================================================================
</TABLE>
*Total return figures do not reflect the 0.25% transaction fee on purchases
through 1995 or the $10 annual account maintenance fee applied on balances
under $10,000.
**Annualized.
+The portfolio turnover rate excluding in-kind redemptions was 4%.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED
SIX MONTHS ENDED DECEMBER 31, JUL. 7* TO
------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2000 1999 1998 DEC. 31, 1997
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $33.22 $27.42 $22.64 $21.27
-------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .177 .344 .359 .172
Net Realized and Unrealized Gain (Loss) on Investments (.382) 6.133 4.898 1.642
------------------------------------------------------------
Total from Investment Operations (.205) 6.477 5.257 1.814
------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.165) (.357) (.352) (.214)
Distributions from Realized Capital Gains (.060) (.320) (.125) (.230)
------------------------------------------------------------
Total Distributions (.225) (.677) (.477) (.444)
-------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $32.79 $33.22 $27.42 $22.64
=========================================================================================================================
TOTAL RETURN -0.64% 23.93% 23.37% 8.60%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $4,505 $4,006 $2,445 $1,504
Ratio of Total Expenses to Average Net Assets 0.10%** 0.10% 0.10% 0.10%**
Ratio of Net Investment Income to Average Net Assets 1.10%** 1.26% 1.53% 1.70%**
Portfolio Turnover Rate 8%**+ 3% 3% 2%
=========================================================================================================================
</TABLE>
*Inception.
**Annualized.
+The portfolio turnover rate excluding in-kind redemptions was 4%.
29
<PAGE> 32
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 open-end
investment companies, or mutual funds.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The funds consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Equity securities are valued at the latest quoted
sales prices as of the close of trading on the New York Stock Exchange
(generally 4:00 p.m. Eastern time) on the valuation date; such securities not
traded on the valuation date are valued at the mean of the latest quoted bid and
asked prices. Prices are taken from the primary market in which each security
trades. Temporary cash investments acquired over 60 days to maturity are valued
using the latest bid prices or using valuations based on a matrix system (which
considers such factors as security prices, yields, maturities, and ratings),
both as furnished by independent pricing services. Other temporary cash
investments are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued by
methods deemed by the board of trustees to represent fair value.
2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The funds, along with other members of The
Vanguard Group, transfer uninvested cash balances to a pooled cash account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
4. FUTURES CONTRACTS: The funds use index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity, and minimizing transaction costs. A
fund may purchase futures contracts to immediately invest incoming cash in the
market, or sell futures in response to cash outflows, thereby simulating a fully
invested position in the underlying index while maintaining a cash balance for
liquidity. A fund may seek to enhance returns by using futures contracts instead
of the underlying securities when futures are believed to be priced more
attractively than the underlying securities. The primary risks associated with
the use of futures contracts are imperfect correlation between changes in market
values of stocks held by the fund and the prices of futures contracts, and the
possibility of an illiquid market.
Futures contracts based upon the following indexes are used: S&P 500 Index
(500 Index, Growth Index, and Total Stock Market Index Funds), S&P MidCap 400
Index (Total Stock Market Index Fund), S&P 500/BARRA Growth Index (Growth Index
Fund), S&P 500/BARRA Value Index (Value Index Fund), and Russell 2000 Index
(Total Stock Market Index Fund).
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date. Distributions are determined on a tax basis and may differ
from net investment income and realized capital gains for financial reporting
purposes.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold.
30
<PAGE> 33
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to each fund under methods approved by the board of
trustees. Each fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At June 30, 2000, 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 $20,114 0.02% 20.1%
Growth 2,975 0.02 3.0
Value 677 0.02 0.7
Total Stock Market 3,681 0.02 3.7
--------------------------------------------------------------------------------
</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 their non-interest-bearing custody accounts. For the
six months ended June 30, 2000, custodian fee offset arrangements reduced
expenses by:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
EXPENSE REDUCTION
INDEX FUND (000)
--------------------------------------------------------------------------
<S> <C>
Total Stock Market $101
--------------------------------------------------------------------------
</TABLE>
D. The Growth Index, Value Index, and Total Stock Market Index Funds each offer
two classes of shares, Investor Shares and Institutional Shares. Institutional
Shares are designed primarily for institutional investors that meet certain
administrative and servicing criteria and have a minimum investment of $10
million. Investor Shares are offered to all other investors. Both classes of
shares have equal rights to assets and earnings, except that each class bears
certain class-specific expenses related to maintenance of shareholder accounts
(included in Management and Administrative expense), marketing and distribution,
and shareholder reporting. Class-specific expenses for the six months ended June
30, 2000, 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>
Income, expenses not attributable to a specific class, and realized and
unrealized gains and losses on investments are allocated to each class of shares
based on its relative net assets.
31
<PAGE> 34
NOTES TO FINANCIAL STATEMENTS (continued)
E. During the six months ended June 30, 2000, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
(000)
----------------------------------------
INDEX FUND PURCHASES SALES
----------------------------------------------------------------------------
<S> <C> <C>
500 $6,487,937 $4,750,596
Growth 3,242,294 2,194,196
Value 1,035,143 616,103
Total Stock Market 3,236,848 937,758
----------------------------------------------------------------------------
</TABLE>
During the six months ended June 30, 2000, the 500 Index, Value Index, and
Total Stock Market Index Funds realized $731,598,000, $2,443,000, and
$338,907,000, respectively, 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.
Capital gain distributions are determined on a tax basis and may differ
from realized capital gains for financial reporting purposes due to differences
in the timing of realization of gains. For federal income tax purposes, the 500
Index and Growth Index Funds' capital gains required to be distributed in
December 1999 included net gains realized through October 31, 1999. In
November-December 1999, the funds realized capital losses of $27,237,000 and
$238,786,000, respectively, which are available to offset future net capital
gains.
F. At June 30, 2000, 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 $48,304,889 $(4,084,382) $44,220,507
Growth 5,772,049 (231,908) 5,540,141
Value 690,114 (388,366) 301,748
Total Stock Market 8,041,220 (1,644,543) 6,396,677
-------------------------------------------------------------------------
</TABLE>
32
<PAGE> 35
At June 30, 2000, the aggregate settlement value of open futures contracts
expiring in September 2000 and the related unrealized appreciation were:
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
(000)
---------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
-----------------------------------------------------------------------------------------
<S> <C> <C> <C>
500/
S&P 500 Index 1,170 $429,419 $(4,502)
Growth/
S&P 500/BARRA Growth Index 37 8,466 147
Value/
S&P 500/BARRA Value Index 40 5,865 (380)
Total Stock Market/
S&P 500 Index 1,523 558,979 (7,728)
S&P MidCap 400 Index 207 50,539 (951)
Russell 2000 Index 267 69,767 (150)
-----------------------------------------------------------------------------------------
</TABLE>
G. The market value of securities on loan to broker/dealers at June 30, 2000,
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 $ 30,572 $ 31,154
Growth 119,000 122,000
Value 656 700
Total Stock Market 248,988 266,267
------------------------------------------------------------------------
</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 The Vanguard Group, Inc.
Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard
& Poor's, and Standard & Poor's makes no representation regarding the
advisability of investing in the funds. Frank Russell Company is the owner of
trademarks and copyrights relating to the Russell Indexes. "Wilshire 4500" and
"Wilshire 5000" are trademarks of Wilshire Associates.
33
<PAGE> 36
THE VANGUARD(R) FAMILY OF FUNDS
STOCK FUNDS
-------------------------------------
500 Index Fund
Calvert Social Index(TM) Fund*
Capital Opportunity Fund
Convertible Securities Fund
Developed Markets Index Fund
Emerging Markets Stock Index Fund*
Energy Fund
Equity Income Fund
European Stock Index Fund*
Explorer(TM) Fund
Extended Market Index Fund*
Global Equity Fund
Gold and Precious Metals Fund
Growth and Income Fund
Growth Equity Fund
Growth Index Fund*
Health Care Fund
Institutional Developed Markets Index Fund
Institutional Index Fund*
International Growth Fund
International Value Fund
Mid-Cap Index Fund*
Morgan(TM) Growth Fund
Pacific Stock Index Fund*
PRIMECAP Fund
REIT Index Fund
Selected Value Fund
Small-Cap Growth Index Fund*
Small-Cap Index Fund*
Small-Cap Value Index Fund*
Strategic Equity Fund
Tax-Managed Capital Appreciation Fund*
Tax-Managed Growth and Income Fund*
Tax-Managed International Fund*
Tax-Managed Small-Cap Fund*
Total International Stock Index Fund
Total Stock Market Index Fund*
U.S. Growth Fund
U.S. Value Fund
Utilities Income Fund
Value Index Fund*
Windsor(TM) Fund
Windsor(TM) II Fund
BALANCED FUNDS
-------------------------------------------
Asset Allocation Fund
Balanced Index Fund
Global Asset Allocation Fund
LifeStrategy(R) Conservative Growth Fund
LifeStrategy(R) Growth Fund
LifeStrategy(R) Income Fund
LifeStrategy(R) Moderate Growth Fund
STAR(TM) Fund
Tax-Managed Balanced Fund
Wellesley(R) Income Fund
Wellington(TM) Fund
BOND FUNDS
-------------------------------------------
Admiral(TM) Intermediate-Term Treasury Fund
Admiral(TM) Long-Term Treasury Fund
Admiral(TM) Short-Term Treasury Fund
GNMA Fund
High-Yield Corporate Fund
High-Yield Tax-Exempt Fund
Inflation-Protected Securities Fund
Insured Long-Term Tax-Exempt Fund
Intermediate-Term Bond Index Fund
Intermediate-Term Corporate Fund
Intermediate-Term Tax-Exempt Fund
Intermediate-Term Treasury Fund
Limited-Term Tax-Exempt Fund
Long-Term Bond Index Fund
Long-Term Corporate Fund
Long-Term Tax-Exempt Fund
Long-Term Treasury Fund
Preferred Stock Fund
Short-Term Bond Index Fund
Short-Term Corporate Fund*
Short-Term Federal Fund
Short-Term Tax-Exempt Fund
Short-Term Treasury Fund
State Tax-Exempt Bond Funds (California, Florida,
Massachusetts, New Jersey, New York, Ohio,
Pennsylvania)
Total Bond Market Index Fund*
MONEY MARKET FUNDS
-------------------------------------------
Admiral(TM) Treasury Money Market Fund
Federal Money Market Fund
Prime Money Market Fund*
State Tax-Exempt Money Market Funds (California,
New Jersey, New York, Ohio, Pennsylvania)
Tax-Exempt Money Market Fund
Treasury Money Market Fund
VARIABLE ANNUITY PLAN
-------------------------------------------
Balanced Portfolio
Diversified Value Portfolio
Equity Income Portfolio
Equity Index Portfolio
Growth Portfolio
High-Grade Bond Portfolio
High Yield Bond Portfolio
International Portfolio
Mid-Cap Index Portfolio
Money Market Portfolio
REIT Index Portfolio
Short-Term Corporate Portfolio
Small Company Growth Portfolio
*Offers Institutional Shares.
For information about Vanguard funds and our variable annuity plan, including
charges and expenses, obtain a prospectus from The Vanguard Group,
P.O. Box 2600, Valley Forge, PA 19482-2600.
Read it carefully before you invest or send money.
34
<PAGE> 37
THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated
and managed in your best interests since, as a shareholder, you are part owner
of the fund. Your fund trustees also serve on the board of directors of The
Vanguard Group, which is owned by the funds and exists solely to provide
services to them on an at-cost basis.
Six of Vanguard's seven board members are independent, meaning that they
have no affiliation with Vanguard or the funds they oversee, apart from the
sizable personal investments they have made as private individuals. They bring
distinguished backgrounds in business, academia, and public service to their
task of working with Vanguard officers to establish the policies and oversee the
activities of the funds.
Among board members' responsibilities are selecting investment advisers for
the funds; monitoring fund operations, performance, and costs; reviewing
contracts; nominating and selecting new trustees/directors; and electing
Vanguard officers.
The list below provides a brief description of each trustee's professional
affiliations. Noted in parentheses is the year in which the trustee joined the
Vanguard board.
TRUSTEES
JOHN J. BRENNAN - (1987) Chairman of the Board, Chief Executive Officer, and
Director/Trustee of The Vanguard Group, Inc., and each of the investment
companies in The Vanguard Group.
JOANN HEFFERNAN HEISEN - (1998) Vice President, Chief Information Officer, and a
member of the Executive Committee of Johnson & Johnson; Director of Johnson &
JohnsonoMerck Consumer Pharmaceuticals Co., The Medical Center at Princeton, and
Women's Research and Education Institute.
BRUCE K. MACLAURY - (1990) President Emeritus of The Brookings Institution;
Director of American Express Bank Ltd., The St. Paul Companies, Inc., and
National Steel Corp.
BURTON G. MALKIEL - (1977) 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 Select Sector SPDR
Trust.
ALFRED M. RANKIN, JR. - (1993) Chairman, President, Chief Executive Officer, and
Director of NACCO Industries, Inc.; Director of The BFGoodrich Co.
JAMES O. WELCH, JR. - (1971) 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 - (1985) Retired Chairman of Rohm & Haas Co.; Director of
AmeriSource Health Corporation, 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.
VANGUARD MANAGING DIRECTORS
R. GREGORY BARTON - Legal Department.
ROBERT A. DISTEFANO - Information Technology.
JAMES H. GATELY - Individual Investor Group.
KATHLEEN C. GUBANICH - Human Resources.
IAN A. MACKINNON - Fixed Income Group.
F. WILLIAM MCNABB, III - Institutional Investor Group.
MICHAEL S. MILLER - Planning and Development.
RALPH K. PACKARD - Chief Financial Officer.
GEORGE U. SAUTER - Quantitative Equity Group.
<PAGE> 38
ABOUT OUR COVER
Our cover art, depicting HMS Vanguard at sea, is a reproduction of Leading the
Way, a 1984 work created and copyrighted by noted naval artist Tom Freeman, of
Forest Hill, Maryland.
[THE VANGUARD GROUP LOGO]
Post Office Box 2600
Valley Forge, pennsylvania 19482-2600
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
This report is intended for the funds' shareholders. It may not be distributed
to prospective investors unless it is preceded or accompanied by the current
fund prospectus.
Q402 082000
(C) 2000 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
<PAGE> 39
VANGUARD U.S. STOCK INDEX FUNDS
LARGE-CAPITALIZATION PORTFOLIOS
STATEMENT OF NET ASSETS - JUNE 30, 2000 (UNAUDITED)
The Statement of Net Assets should be read in conjunction with the Statement of
Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes
to Financial Statements, which begin on page 16 of the accompanying report.
This Statement provides a detailed list of each fund's holdings,
including each security's market value on the last day of the reporting period.
Common stocks are listed in descending market value order. Temporary cash
investments and other assets are added to, and liabilities are subtracted from,
the value of Total Common Stocks to calculate the fund's Net Assets. Finally,
Net Assets are divided by the outstanding shares of the fund to arrive at its
share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each fund, you will find a
table displaying the composition of the fund's net assets. Because all income
and any realized gains must be distributed to shareholders each year, the bulk
of net assets consists of Paid in Capital (money invested by shareholders). The
amounts shown for Undistributed Net Investment Income and Accumulated Net
Realized Gains usually approximate the sums the fund had available to distribute
to shareholders as income dividends or capital gains as of the statement date.
Any Accumulated Net Realized Losses, and any cumulative excess of distributions
over net income or net realized gains, will appear as negative balances.
Unrealized Appreciation (Depreciation) is the difference between the market
value of the fund's investments and their cost, and reflects the gains (losses)
that would be realized if the fund were to sell all of its investments at their
statement-date values.
-------------------------------------------------------------------------------
CONTENTS
<TABLE>
<S> <C>
Growth Index Fund ...................................................... 1
Value Index Fund ....................................................... 4
Total Stock Market Index Fund .......................................... 9
</TABLE>
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (99.9%)(1)
---------------------------------------------------------------------------------------
General Electric Co. 24,521,482 $ 1,299,639
Intel Corp. 8,297,356 1,109,253
- Cisco Systems, Inc. 17,233,528 1,095,406
- Microsoft Corp. 13,037,193 1,042,975
Pfizer, Inc. 15,601,423 748,868
Wal-Mart Stores, Inc. 11,046,934 636,580
- Oracle Corp. 7,032,314 591,154
Nortel Networks Corp. 7,342,180 501,104
International Business Machines Corp. 4,394,080 481,426
Lucent Technologies, Inc. 8,071,175 478,217
Merck & Co., Inc. 5,699,258 436,706
- EMC Corp. 5,378,246 413,789
- Sun Microsystems, Inc. 3,930,780 357,455
The Coca-Cola Co. 6,134,691 352,361
Johnson & Johnson 3,447,390 351,203
- Dell Computer Corp. 6,380,328 314,630
- America Online, Inc. 5,694,260 300,372
Home Depot, Inc. 5,734,225 286,353
Bristol-Myers Squibb Co. 4,889,232 284,798
Eli Lilly & Co. 2,799,204 279,571
Texas Instruments, Inc. 4,055,914 278,591
- Viacom Inc. Class B 3,830,601 261,199
Time Warner, Inc. 3,261,162 247,848
American Home Products Corp. 3,282,797 192,864
Corning, Inc. 683,642 184,498
Schering-Plough Corp. 3,628,910 183,260
- Applied Materials, Inc. 2,001,000 181,341
- Amgen, Inc. 2,543,724 178,697
Abbott Laboratories 3,840,360 171,136
- Yahoo!, Inc. 1,346,100 166,748
PepsiCo, Inc. 3,571,645 158,715
Medtronic, Inc. 2,966,597 147,774
- Sprint PCS 2,268,420 134,971
U S WEST, Inc. 1,536,800 131,781
- Micron Technology, Inc. 1,392,228 122,603
- NEXTEL Communications, Inc. 1,879,100 114,977
Charles Schwab Corp. 3,375,010 113,485
- QUALCOMM, Inc. 1,835,840 110,150
- Veritas Software Corp. 811,100 91,667
Gillette Co. 2,587,336 90,395
- Broadcom Corp. 406,100 88,911
Colgate-Palmolive Co. 1,429,252 85,576
Anheuser-Busch Cos., Inc. 1,119,737 83,630
Automatic Data Processing, Inc. 1,554,544 83,265
</TABLE>
1
<PAGE> 40
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Agilent Technologies, Inc. 1,120,320 $ 82,624
- Siebel Systems, Inc. 494,400 80,865
Walgreen Co. 2,495,942 80,338
Computer Associates
International, Inc. 1,457,992 74,631
- ADC Telecommunications, Inc. 835,000 70,036
- Tellabs, Inc. 1,013,868 69,387
- Analog Devices, Inc. 887,838 67,476
The Gap, Inc. 2,107,199 65,850
- Xilinx, Inc. 795,600 65,687
- Network Appliance, Inc. 753,800 60,681
- Altera Corp. 493,100 50,265
Linear Technology Corp. 770,700 49,277
Bestfoods 679,880 47,082
- Maxim Integrated
Products, Inc. 676,200 45,939
- Kohl's Corp. 807,840 44,936
- LSI Logic Corp. 770,938 41,727
Sara Lee Corp. 2,153,442 41,588
Omnicom Group Inc. 439,950 39,183
Paychex, Inc. 919,350 38,613
Adobe Systems, Inc. 296,600 38,558
H.J. Heinz Co. 872,290 38,163
Tyco International Ltd. 802,590 38,023
- Guidant Corp. 758,950 37,568
- Comverse Technology, Inc. 377,900 35,145
Sysco Corp. 825,410 34,770
PE Corp.-PE Biosystems Group 515,880 33,984
Interpublic Group of Cos., Inc. 746,614 32,104
- Best Buy Co., Inc. 506,380 32,028
- Teradyne, Inc. 434,854 31,962
SBC Communications Inc. 734,882 31,784
Providian Financial Corp. 352,970 31,767
- MedImmune Inc. 423,709 31,354
Campbell Soup Co. 1,046,630 30,483
Kellogg Co. 1,004,662 29,889
Scientific-Atlanta, Inc. 399,839 29,788
Harley-Davidson, Inc. 752,080 28,955
General Mills, Inc. 722,036 27,618
Avon Products, Inc. 588,168 26,173
- Conexant Systems, Inc. 537,600 26,141
The Quaker Oats Co. 324,316 24,364
Allergan, Inc. 320,940 23,910
- Biogen, Inc. 367,800 23,723
Wrigley, (Wm.) Jr. Co. 278,459 22,329
RadioShack Corp. 452,800 21,451
- Lexmark International
Group, Inc. Class A 313,100 21,056
- Convergys Corp. 367,980 19,089
- Seagate Technology Inc. 338,400 18,612
Avery Dennison Corp. 272,038 18,261
Dow Jones & Co., Inc. 215,100 15,756
- ALZA Corp. 257,591 15,230
- Sapient Corp. 141,400 15,121
- American Power Conversion
Corp. 366,600 14,962
SLM Holding Corp. 379,350 14,202
IMS Health, Inc. 719,954 12,959
- Bed Bath & Beyond, Inc. 340,303 12,336
- Comcast Corp.-Special Class A 303,700 12,300
Dun & Bradstreet Corp. 392,350 11,231
- Sealed Air Corp. 203,076 10,636
- Tricon Global Restaurants, Inc. 358,380 10,124
- Mercury Interactive Corp. 102,600 9,927
Young & Rubicam Inc. 171,200 9,790
Equifax, Inc. 342,780 8,998
Millipore Corp. 111,330 8,391
- Citrix Systems, Inc. 440,438 8,341
Procter & Gamble Co. 137,954 7,898
- The Kroger Co. 345,404 7,620
- US Airways Group, Inc. 162,200 6,326
UST, Inc. 395,766 5,813
Freeport-McMoRan
Copper & Gold Inc. Class B 388,384 3,593
Tupperware Corp. 141,700 3,117
Owens Corning 134,809 1,247
Biomet, Inc. 4,300 165
Freeport-McMoRan
Copper & Gold, Inc. Class A 4,000 36
---------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $11,607,157) 17,147,298
---------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
---------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.8%)(1)
---------------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 6.09%, 7/20/2000 $ 500 498
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000 14,358 14,358
6.71%, 7/3/2000--Note G 122,000 122,000
---------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $136,856) 136,856
---------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.7%)
(COST $11,744,013) 17,284,154
---------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-0.7%) (112,586)
---------------------------------------------------------------------------------------
NET ASSETS (100%) $ 17,171,568
=======================================================================================
</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 positionsrepresent 99.9% and 0.8%, respectively, of net assets.
See Note F in Notes to Financial Statements.
(2) Security segregated as initial margin for open futures contracts.
2
<PAGE> 41
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
(000)
<S> <C>
---------------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
---------------------------------------------------------------------------------------
ASSETS
Investments in Securities, at Value $17,284,154
Receivables for Investment Securities Sold 1,225,235
Other Assets--Note B 31,550
------------
Total Assets 18,540,939
------------
LIABILITIES
Payables for Investment Securities Purchased 1,219,127
Other Liabilities--Note G 150,244
------------
Total Liabilities 1,369,371
---------------------------------------------------------------------------------------
NET ASSETS $17,171,568
=======================================================================================
---------------------------------------------------------------------------------------
AMOUNT
(000)
---------------------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
---------------------------------------------------------------------------------------
Paid in Capital $12,170,983
Overdistributed Net Investment Income (7,923)
Accumulated Net Realized Losses (531,780)
Unrealized Appreciation--Note F
Investment Securities 5,540,141
Futures Contracts 147
---------------------------------------------------------------------------------------
NET ASSETS $17,171,568
=======================================================================================
Investor Shares--Net Assets
Applicable to 408,159,750 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $16,476,106
---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $40.37
=======================================================================================
Institutional Shares--Net Assets
Applicable to 17,225,484 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $695,462
---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $40.37
=======================================================================================
</TABLE>
3
<PAGE> 42
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (100.5%) (1)
---------------------------------------------------------------------------------------
Exxon Mobil Corp. 2,476,050 $ 194,370
Citigroup, Inc. 2,400,329 144,620
American International
Group, Inc. 1,096,325 128,818
SBC Communications Inc. 2,444,700 105,733
Royal Dutch Petroleum
Co. ADR 1,525,237 93,897
- WorldCom, Inc. 2,036,411 93,420
Hewlett-Packard Co. 711,346 88,829
AT&T Corp. 2,240,627 70,860
Morgan Stanley Dean
Witter & Co. 805,060 67,021
Tyco International Ltd. 1,213,100 57,471
The Walt Disney Co. 1,477,850 57,359
BellSouth Corp. 1,338,303 57,045
Bell Atlantic Corp. 1,099,442 55,865
Procter & Gamble Co. 940,000 53,815
Bank of America Corp. 1,178,751 50,686
American Express Co. 950,239 49,531
Pharmacia Corp. 902,829 46,665
Motorola, Inc. 1,530,857 44,491
Wells Fargo Co. 1,146,017 44,408
Philip Morris Cos., Inc. 1,626,454 43,203
GTE Corp. 684,819 42,630
The Chase Manhattan Corp. 879,634 40,518
Chevron Corp. 463,691 39,327
Fannie Mae 716,522 37,393
Ford Motor Co. 857,286 36,863
Enron Corp. 520,738 33,588
E.I. du Pont de Nemours & Co. 744,939 32,591
Sprint Corp. 623,535 31,800
Merrill Lynch & Co., Inc. 275,860 31,724
McDonald's Corp. 950,481 31,306
Compaq Computer Corp. 1,207,782 30,874
Schlumberger Ltd. 404,804 30,208
- MediaOne Group, Inc. 451,013 29,908
The Boeing Co. 645,279 26,981
- Comcast Corp.-Special Class A 645,100 26,127
The Bank of New York Co., Inc. 524,586 24,393
Minnesota Mining &
Manufacturing Co. 281,527 23,226
Kimberly-Clark Corp. 399,300 22,910
General Motors Corp. 380,531 22,095
FleetBoston Financial Corp. 640,989 21,794
Bank One Corp. 815,748 21,668
Texaco Inc. 392,702 20,911
Freddie Mac 494,460 20,026
Marsh & McLennan Cos., Inc. 191,712 20,022
United Technologies Corp. 334,721 19,707
Honeywell International Inc. 567,729 19,125
Target Corp. 324,377 18,814
Emerson Electric Co. 303,550 18,327
- Clear Channel
Communications, Inc. 241,061 18,080
The Seagram Co. Ltd. 310,390 18,003
- Solectron Corp. 428,500 17,943
Alcoa Inc. 614,584 17,823
Unilever NV ADR 410,800 17,664
First Union Corp. 697,444 17,305
- Global Crossing Ltd. 627,250 16,504
- Safeway, Inc. 353,047 15,931
MBNA Corp. 576,200 15,629
Halliburton Co. 315,790 14,901
Dow Chemical Co. 492,845 14,878
Duke Energy Corp. 261,360 14,734
First Data Corp. 293,204 14,550
Firstar Corp. 690,006 14,533
Baxter International, Inc. 206,513 14,520
Cardinal Health, Inc. 195,876 14,495
- 3Com Corp. 249,510 14,378
Household International, Inc. 336,545 13,988
Fifth Third Bancorp 220,287 13,933
ALLTEL Corp. 224,205 13,887
- AES Corp. 303,180 13,833
Electronic Data Systems Corp. 331,301 13,666
- The Kroger Co. 600,100 13,240
- Gateway, Inc. 231,300 13,126
Eastman Kodak Co. 220,308 13,108
Williams Cos., Inc. 314,265 13,101
Mellon Financial Corp. 349,414 12,732
J.P. Morgan & Co., Inc. 115,502 12,720
Illinois Tool Works, Inc. 214,440 12,223
State Street Corp. 114,412 12,135
- Apple Computer, Inc. 231,470 12,123
HCA-The Healthcare Co. 396,629 12,048
Allstate Corp. 529,596 11,783
Associates First Capital Corp. 518,067 11,559
Gannett Co., Inc. 189,567 11,338
Washington Mutual, Inc. 389,624 11,250
Lowe's Cos., Inc. 271,899 11,165
CVS Corp. 277,500 11,100
Conoco Inc. Class B 444,047 10,907
CIGNA Corp. 115,859 10,833
American General Corp. 176,683 10,778
Southern Co. 461,375 10,756
- Costco Wholesale Corp. 317,801 10,487
U.S. Bancorp 534,783 10,295
Northern Trust Corp. 158,152 10,290
International Paper Co. 343,568 10,243
Albertson's, Inc. 301,365 10,020
UnitedHealth Group Inc. 115,471 9,902
Xerox Corp. 473,942 9,834
SunTrust Banks, Inc. 215,132 9,829
PNC Financial Services Group 206,591 9,684
Coastal Corp. 152,146 9,262
Phillips Petroleum Co. 180,597 9,154
- Sanmina Corp. 106,600 9,114
- Computer Sciences Corp. 119,040 8,891
- Seagate Technology Inc. 157,926 8,686
AFLAC, Inc. 188,818 8,674
The Hartford Financial
Services Group Inc. 152,818 8,548
- Advanced Micro Devices, Inc. 108,953 8,417
Caterpillar, Inc. 247,937 8,399
Waste Management, Inc. 441,771 8,394
Carnival Corp. 429,961 8,384
El Paso Energy Corp. 164,536 8,381
Sears, Roebuck & Co. 250,746 8,181
Lehman Brothers Holdings, Inc. 85,959 8,128
</TABLE>
4
<PAGE> 43
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
Transocean Sedco Forex Inc. 149,700 $ 8,000
- FedEx Corp. 206,196 7,835
Wachovia Corp. 144,030 7,814
Tribune Co. 222,131 7,775
- KLA-Tencor Corp. 132,303 7,748
NIKE, Inc. Class B 194,456 7,742
The Chubb Corp. 124,404 7,651
Baker Hughes, Inc. 234,878 7,516
The Clorox Co. 166,905 7,479
The McGraw-Hill Cos., Inc. 138,350 7,471
General Dynamics Corp. 142,714 7,457
Pitney Bowes, Inc. 185,200 7,408
National City Corp. 431,159 7,357
Dominion Resources, Inc. 169,299 7,259
- Cendant Corp. 512,902 7,181
- National Semiconductor Corp. 125,616 7,129
Weyerhaeuser Co. 165,653 7,123
Lockheed Martin Corp. 284,737 7,065
Kansas City Southern
Industries, Inc. 79,223 7,026
Burlington Northern
Santa Fe Corp. 304,629 6,987
American Electric
Power Co., Inc. 228,847 6,780
PG&E Corp. 274,098 6,750
Molex, Inc. 139,500 6,713
Southwest Airlines Co. 352,980 6,685
ConAgra, Inc. 350,084 6,673
The Limited, Inc. 305,550 6,608
Union Pacific Corp. 176,251 6,554
Aetna Inc. 100,262 6,436
- BMC Software, Inc. 175,500 6,403
- Boston Scientific Corp. 289,987 6,362
FPL Group, Inc. 126,678 6,271
Reliant Energy, Inc. 210,344 6,218
Capital One Financial Corp. 139,255 6,214
Deere & Co. 166,473 6,160
Marriott International, Inc.
Class A 170,452 6,147
Nabisco Group Holdings Corp. 232,171 6,022
Tenet Healthcare Corp. 222,417 6,005
BB&T Corp. 247,958 5,920
Burlington Resources, Inc. 153,171 5,859
Dover Corp. 144,379 5,856
Delphi Automotive Systems
Corp. 400,404 5,831
Masco Corp. 319,124 5,764
Unocal Corp. 172,719 5,721
May Department Stores Co. 236,499 5,676
Aon Corp. 181,945 5,652
Textron, Inc. 102,599 5,572
USX-Marathon Group 221,749 5,558
TXU Corp. 187,625 5,535
Occidental Petroleum Corp. 262,237 5,523
PPG Industries, Inc. 123,895 5,490
KeyCorp 309,210 5,450
Rohm & Haas Co. 154,715 5,338
Public Service Enterprise
Group, Inc. 153,852 5,327
- Staples, Inc. 344,498 5,297
Franklin Resources Corp. 173,251 5,262
Becton, Dickinson & Co. 179,563 5,151
St. Paul Cos., Inc. 150,874 5,149
- Federated Department Stores, Inc. 152,236 5,138
Barrick Gold Corp. 281,409 5,118
- Starbucks Corp. 131,900 5,037
Air Products & Chemicals, Inc. 163,077 5,025
Comerica, Inc. 111,310 4,995
Danaher Corp. 100,745 4,981
Lincoln National Corp. 136,378 4,927
Unicom Corp. 126,440 4,892
Newell Rubbermaid, Inc. 189,579 4,882
Coca-Cola Enterprises, Inc. 299,128 4,880
PECO Energy Corp. 120,569 4,860
Edison International 236,326 4,845
Alcan Aluminium Ltd. 155,637 4,825
Circuit City Stores, Inc. 144,656 4,801
New York Times Co. Class A 120,871 4,774
Apache Corp. 80,837 4,754
Union Carbide Corp. 95,840 4,744
Hershey Foods Corp. 97,529 4,730
PaineWebber Group, Inc. 103,546 4,711
Ingersoll-Rand Co. 115,115 4,633
Golden West Financial Corp. 112,453 4,589
Dollar General Corp. 234,114 4,565
Anadarko Petroleum Corp. 91,088 4,492
Consolidated Edison Inc. 150,755 4,466
Entergy Corp. 163,590 4,448
Delta Air Lines, Inc. 87,158 4,407
AmSouth Bancorp 279,448 4,401
Ralston-Ralston Purina Group 220,500 4,396
Rockwell International Corp. 133,694 4,211
Loews Corp. 70,181 4,211
Archer-Daniels-Midland Co. 428,271 4,202
Praxair, Inc. 112,108 4,197
McKesson HBOC, Inc. 200,378 4,195
Jefferson-Pilot Corp. 73,353 4,140
Norfolk Southern Corp. 272,514 4,054
Raytheon Co. Class B 209,672 4,036
TJX Cos., Inc. 213,387 4,001
Mattel, Inc. 302,810 3,993
Amerada Hess Corp. 64,481 3,982
Kerr-McGee Corp. 67,005 3,949
Union Pacific Resources
Group, Inc. 179,264 3,944
Progressive Corp. of Ohio 51,980 3,847
FirstEnergy Corp. 164,223 3,839
TRW, Inc. 87,709 3,804
Columbia Energy Group 57,424 3,768
- Watson Pharmaceuticals, Inc. 68,667 3,691
T. Rowe Price 85,858 3,649
CP&L, INC. 113,584 3,628
Ecolab, Inc. 92,196 3,601
Cincinnati Financial Corp. 114,328 3,594
Synovus Financial Corp. 200,871 3,540
Tiffany & Co. 51,600 3,483
Constellation Energy Group 106,444 3,466
Eaton Corp. 51,706 3,464
UnumProvident Corp. 171,008 3,431
Charter One Financial 149,028 3,428
MGIC Investment Corp. 75,304 3,426
J.C. Penney Co., Inc. 185,666 3,423
</TABLE>
5
<PAGE> 44
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
Fort James Corp. 146,328 $ 3,384
MBIA, Inc. 69,981 3,372
- PeopleSoft, Inc. 198,300 3,322
- Novellus Systems, Inc. 58,600 3,315
Ameren Corp. 97,554 3,292
CSX Corp. 155,354 3,292
Northrop Grumman Corp. 49,668 3,290
Florida Progress Corp. 70,176 3,288
Bear Stearns Co., Inc. 78,625 3,273
- Cabletron Systems, Inc. 129,597 3,272
Biomet, Inc. 84,132 3,234
- Unisys Corp. 221,789 3,230
- Wellpoint Health Networks Inc.
Class A 44,144 3,198
Georgia Pacific Group 121,280 3,184
Johnson Controls, Inc. 60,955 3,128
Regions Financial Corp. 156,937 3,119
DTE Energy Co. 101,515 3,103
Summit Bancorp 125,166 3,082
Vulcan Materials Co. 71,683 3,060
Knight Ridder 55,284 2,940
Bausch & Lomb, Inc. 37,708 2,918
Tosco Corp. 102,751 2,909
Cinergy Corp. 112,989 2,874
CenturyTel, Inc. 99,784 2,869
- AMR Corp. 106,435 2,814
Harcourt General, Inc. 50,995 2,773
- St. Jude Medical, Inc. 59,602 2,734
Parker Hannifin Corp. 79,586 2,726
SouthTrust Corp. 119,542 2,705
Union Planters Corp. 96,240 2,689
- Compuware Corp. 259,100 2,688
- NCR Corp. 67,669 2,635
Brown-Forman Corp. Class B 48,724 2,619
Sabre Holdings Corp. 91,824 2,617
Tektronix, Inc. 35,281 2,611
Eastman Chemical Co. 54,510 2,603
The BFGoodrich Co. 76,319 2,600
Fortune Brands, Inc. 112,572 2,596
Newmont Mining Corp. 119,441 2,583
Genuine Parts Co. 125,808 2,516
Huntington Bancshares Inc. 157,858 2,496
Old Kent Financial Corp. 92,987 2,487
New Century Energies, Inc. 82,842 2,485
Hilton Hotels Corp. 264,700 2,482
- Ceridian Corp. 103,053 2,480
Sempra Energy 145,335 2,471
Sherwin-Williams Co. 116,495 2,468
Countrywide Credit
Industries, Inc. 80,576 2,442
Whirlpool Corp. 51,963 2,423
Black & Decker Corp. 60,532 2,380
PerkinElmer, Inc. 35,808 2,368
GPU, Inc. 86,327 2,336
- Thermo Electron Corp. 110,826 2,334
- Kmart Corp. 342,156 2,331
Northern States Power Co. 114,556 2,313
Nordstrom, Inc. 95,715 2,309
Leggett & Platt, Inc. 139,751 2,306
Dana Corp. 108,388 2,296
H & R Block, Inc. 70,023 2,267
Conseco Inc. 231,348 2,256
Torchmark Corp. 91,167 2,251
PPL Corp. 102,584 2,250
- Toys R Us, Inc. 153,808 2,240
Placer Dome, Inc. 232,916 2,227
The Goodyear Tire & Rubber Co. 111,215 2,224
International Flavors &
Fragrances, Inc. 73,102 2,207
- Parametric Technology Corp. 198,400 2,182
- Novell, Inc. 234,357 2,168
PACCAR, Inc. 54,400 2,159
Cooper Industries, Inc. 66,276 2,158
Willamette Industries, Inc. 78,819 2,148
- AutoZone Inc. 95,179 2,094
- Rowan Cos., Inc. 68,853 2,091
Phelps Dodge Corp. 56,016 2,083
Maytag Corp. 56,300 2,076
Mallinckrodt, Inc. 47,788 2,076
W.W. Grainger, Inc. 66,781 2,058
Pinnacle West Capital Corp. 60,224 2,040
Nucor Corp. 60,510 2,008
- Andrew Corp. 59,308 1,991
- Inco Ltd. 129,194 1,986
- HEALTHSOUTH Corp. 274,178 1,971
R.R. Donnelley & Sons Co. 86,686 1,956
VF Corp. 81,268 1,935
ITT Industries, Inc. 63,519 1,929
The Mead Corp. 75,633 1,910
Sunoco, Inc. 62,929 1,852
Hasbro, Inc. 122,459 1,845
Westvaco Corp. 73,825 1,832
- Harrah's Entertainment, Inc. 86,892 1,819
SAFECO Corp. 90,752 1,804
SuperValu Inc. 93,482 1,782
Fluor Corp. 56,286 1,780
Sigma-Aldrich Corp. 60,676 1,775
Ashland, Inc. 50,240 1,762
- Adaptec, Inc. 76,598 1,743
C.R. Bard, Inc. 35,886 1,727
CMS Energy Corp. 78,043 1,727
- Niagara Mohawk Holdings Inc. 122,613 1,709
Pall Corp. 91,375 1,690
Adolph Coors Co. Class B 27,157 1,643
Engelhard Corp. 93,682 1,598
Temple-Inland Inc. 37,303 1,567
Winn-Dixie Stores, Inc. 107,659 1,541
Autodesk, Inc. 43,036 1,493
The Stanley Works 62,342 1,481
Shared Medical Systems Corp. 19,803 1,444
Wendy's International, Inc. 81,028 1,443
Darden Restaurants Inc. 88,008 1,430
Crown Cork & Seal Co., Inc. 95,326 1,430
- Visteon Corp. 116,908 1,418
- Office Depot, Inc. 224,860 1,405
- Allied Waste Industries, Inc. 139,123 1,391
Liz Claiborne, Inc. 38,833 1,369
- Navistar International Corp. 44,064 1,369
Homestake Mining Co. 191,296 1,315
Bemis Co., Inc. 39,006 1,312
- FMC Corp. 22,580 1,310
Meredith Corp. 37,897 1,279
</TABLE>
6
<PAGE> 45
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
Deluxe Corp. 53,881 $ 1,270
Great Lakes Chemical Corp. 40,285 1,269
Alberto-Culver Co. Class B 41,007 1,253
Rite Aid Corp. 190,691 1,251
Eastern Enterprises 19,828 1,249
- Owens-Illinois, Inc. 104,274 1,219
USX-U.S. Steel Group 65,118 1,209
- Quintiles Transnational Corp. 84,640 1,196
Snap-On Inc. 43,053 1,146
NICOR, Inc. 34,617 1,129
Crane Co. 45,426 1,104
Allegheny Technologies Inc. 61,258 1,103
Hercules, Inc. 78,307 1,101
Boise Cascade Corp. 42,101 1,089
Brunswick Corp. 62,488 1,035
Centex Corp. 43,725 1,028
- Pactiv Corp. 126,025 992
- Consolidated Stores, Inc. 81,624 979
American Greetings Corp. Class A 47,557 904
Louisiana-Pacific Corp. 78,306 852
The Timken Co. 45,581 849
Peoples Energy Corp. 26,205 848
Cummins Engine Co., Inc. 30,511 831
Ryder System, Inc. 43,777 829
Dillard's Inc. 66,550 815
Thomas & Betts Corp. 42,495 813
Ball Corp. 22,397 721
Potlatch Corp. 21,369 708
Kaufman & Broad Home Corp. 35,339 700
Worthington Industries, Inc. 65,897 692
Pulte Corp. 31,847 689
- Reebok International Ltd. 41,115 655
Longs Drug Stores, Inc. 29,003 631
Raytheon Co. Class A 32,092 624
Cooper Tire & Rubber Co. 55,881 622
- Humana, Inc. 123,941 604
Polaroid Corp. 32,954 595
ONEOK, Inc. 22,818 592
- W.R. Grace & Co. 48,500 588
National Service Industries, Inc. 29,995 585
Briggs & Stratton Corp. 16,938 580
- Manor Care, Inc. 75,494 528
Russell Corp. 24,416 488
Great Atlantic & Pacific
Tea Co., Inc. 28,324 471
Armstrong Holdings, Inc. 29,618 454
Springs Industries Inc. Class A 13,194 422
McDermott International, Inc. 43,460 383
- Bethlehem Steel Corp. 97,692 348
- MIPS Technologies, Inc. Class B 6,841 263
IKON Office Solutions, Inc. 45,509 176
- Viacom Inc. Class A 1,532 105
- Silicon Graphics, Inc. 13,169 49
---------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $3,741,409) 4,043,157
---------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (1)
---------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 6.09%, 7/20/2000 $ 400 $ 399
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000--Note G 700 700
---------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $1,099) 1,099
---------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.5%)
(COST $3,742,508) 4,044,256
---------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-0.5%) (19,550)
---------------------------------------------------------------------------------------
NET ASSETS (100%) $4,024,706
=======================================================================================
</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 positionsrepresent 100.6% and -0.1%, 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 $4,044,256
Receivables for Investment Securities Sold 378,434
Other Assets--Note B 13,724
-----------
Total Assets 4,436,414
-----------
LIABILITIES
Payables for Investment Securities Purchased 394,981
Other Liabilities--Note G 16,727
-----------
Total Liabilities 411,708
-----------
NET ASSETS $4,024,706
=======================================================================================
</TABLE>
7
<PAGE> 46
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
AMOUNT
VALUE INDEX FUND (000)
---------------------------------------------------------------------------------------
<S> <C>
---------------------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
---------------------------------------------------------------------------------------
Paid in Capital--Note E $3,663,964
Undistributed Net Investment Income 566
Accumulated Net Realized Gains--Note E 58,808
Unrealized Appreciation (Depreciation)--
Note F
Investment Securities 301,748
Futures Contracts (380)
---------------------------------------------------------------------------------------
NET ASSETS $4,024,706
=======================================================================================
Investor Shares--Net Assets
Applicable to 155,678,162 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,330,493
---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $21.39
=======================================================================================
Institutional Shares--Net Assets
Applicable to 32,448,726 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $694,213
---------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $21.39
=======================================================================================
</TABLE>
8
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<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
--------------------------------------------------------------------------------------
COMMON STOCKS (97.3%)(1)
--------------------------------------------------------------------------------------
<S> <C> <C>
General Electric Co. 14,736,350 $ 781,027
Intel Corp. 4,990,230 667,131
- Cisco Systems, Inc. 10,370,018 659,144
- Microsoft Corp. 7,841,305 627,304
Pfizer, Inc. 9,408,864 451,625
Exxon Mobil Corp. 5,187,080 407,186
Wal-Mart Stores, Inc. 6,641,147 382,696
- Oracle Corp. 4,229,460 355,539
Citigroup, Inc. 5,028,462 302,965
International Business
Machines Corp. 2,641,643 289,425
Lucent Technologies, Inc. 4,852,233 287,495
American International
Group, Inc. 2,296,801 269,874
Merck & Co., Inc. 3,426,251 262,536
- EMC Corp. 3,252,703 250,255
SBC Communications Inc. 5,068,810 219,226
- Sun Microsystems, Inc. 2,363,841 214,962
The Coca-Cola Co. 3,688,016 211,830
Johnson & Johnson 2,072,557 211,142
- WorldCom, Inc. 4,266,130 195,709
- Dell Computer Corp. 3,836,922 189,208
Hewlett-Packard Co. 1,490,252 186,095
- America Online, Inc. 3,409,764 179,865
Home Depot, Inc. 3,447,329 172,151
Bristol-Myers Squibb Co. 2,939,277 171,213
Eli Lilly & Co. 1,682,829 168,073
Texas Instruments, Inc. 2,438,379 167,486
- Viacom Inc. Class B 2,262,473 154,272
Time Warner, Inc. 1,960,568 149,003
AT&T Corp. 4,685,747 148,187
Morgan Stanley Dean
Witter & Co. 1,686,506 140,402
- Berkshire Hathaway Inc.
Class A 2,279 122,610
The Walt Disney Co. 3,096,056 120,166
BellSouth Corp. 2,803,600 119,503
Bell Atlantic Corp. 2,303,106 117,027
American Home Products
Corp. 1,943,403 114,175
Procter & Gamble Co. 1,948,852 111,572
Corning, Inc. 411,047 110,931
Schering-Plough Corp. 2,181,600 110,171
- Applied Materials, Inc. 1,203,380 109,056
- Amgen, Inc. 1,530,030 107,485
Bank of America Corp. 2,469,459 106,187
American Express Co. 1,990,644 103,762
Abbott Laboratories 2,308,810 102,886
- Yahoo!, Inc. 809,503 100,277
- JDS Uniphase Corp. 829,404 99,425
Pharmacia Corp. 1,891,372 97,760
PepsiCo, Inc. 2,147,189 95,416
Motorola, Inc. 3,207,021 93,204
Wells Fargo Co. 2,399,330 92,974
Philip Morris Cos., Inc. 3,407,319 90,507
GTE Corp. 1,434,560 89,301
Medtronic, Inc. 1,783,491 88,840
The Chase Manhattan Corp. 1,842,860 84,887
Chevron Corp. 971,539 82,399
- Sprint PCS 1,363,783 81,145
Fannie Mae 1,501,136 78,341
Ford Motor Co. 1,795,980 77,227
- Micron Technology, Inc. 826,743 72,805
Enron Corp. 1,090,878 70,362
- NEXTEL Communications, Inc. 1,129,966 69,140
E.I. du Pont de Nemours & Co. 1,560,641 68,278
Charles Schwab Corp. 2,026,769 68,150
- Juniper Networks, Inc. 468,180 68,149
Sprint Corp. 1,306,247 66,619
Merrill Lynch & Co., Inc. 578,024 66,473
- QUALCOMM, Inc. 1,104,246 66,255
- Veritas Software Corp. 582,524 65,834
McDonald's Corp. 1,988,315 65,490
U S WEST, Inc. 756,552 64,874
Compaq Computer Corp. 2,530,133 64,677
- Broadcom Corp. 288,800 63,229
Schlumberger Ltd. 846,757 63,189
- MediaOne Group, Inc. 929,620 61,647
The Boeing Co. 1,349,926 56,444
- Qwest Communications
International Inc. 1,123,914 55,845
- Comcast Corp.-
Special Class A 1,350,098 54,679
Gillette Co. 1,561,549 54,557
Colgate-Palmolive Co. 858,129 51,380
The Bank of New York Co., Inc. 1,099,038 51,105
- VeriSign, Inc. 288,230 50,873
Anheuser-Busch Cos., Inc. 672,315 50,214
Automatic Data Processing, Inc. 933,332 49,992
- Agilent Technologies, Inc. 672,605 49,605
- Siebel Systems, Inc. 297,512 48,662
Minnesota Mining &
Manufacturing Co. 588,979 48,591
Walgreen Co. 1,499,712 48,272
- Level 3 Communications, Inc. 544,820 47,944
Kimberly-Clark Corp. 826,771 47,436
General Motors Corp. 797,240 46,290
FleetBoston Financial Corp. 1,340,988 45,594
Bank One Corp. 1,706,596 45,331
Computer Associates
International, Inc. 875,622 44,821
Texaco Inc. 821,487 43,744
- ADC Telecommunications, Inc. 505,206 42,374
Marsh & McLennan Cos., Inc. 401,229 41,903
Freddie Mac 1,034,487 41,897
- Tellabs, Inc. 609,403 41,706
United Technologies Corp. 700,204 41,224
- Sycamore Networks, Inc. 364,780 40,263
- Analog Devices, Inc. 526,512 40,015
Honeywell International Inc. 1,187,704 40,011
The Gap, Inc. 1,266,212 39,569
- Xilinx, Inc. 478,149 39,477
Target Corp. 678,538 39,355
- Cox Communications, Inc.
Class A 859,943 39,181
- Redback Networks Inc. 218,336 38,864
Emerson Electric Co. 635,042 38,341
- Clear Channel
Communications, Inc. 504,309 37,823
</TABLE>
9
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<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
Alcoa Inc. 1,285,763 $ 37,287
- Solectron Corp. 887,238 37,153
- Immunex Corp. 746,100 36,885
- Network Appliance, Inc. 453,215 36,484
First Union Corp. 1,459,057 36,203
- CIENA Corp. 210,500 35,088
- Safeway, Inc. 738,722 33,335
- SDL, Inc. 114,100 32,540
MBNA Corp. 1,193,145 32,364
Halliburton Co. 660,632 31,174
Baxter International, Inc. 443,084 31,154
Duke Energy Corp. 546,811 30,826
First Data Corp. 613,236 30,432
Dow Chemical Co. 1,007,413 30,411
Firstar Corp. 1,443,396 30,402
Cardinal Health, Inc. 409,752 30,322
- Altera Corp. 296,631 30,238
- TIBCO Software Inc. 281,600 30,197
- 3Com Corp. 522,057 30,084
- i2 Technologies, Inc. 288,460 30,076
- General Motors Corp. Class H 342,364 30,042
- Brocade Communications
Systems, Inc. 161,700 29,669
Linear Technology Corp. 462,983 29,602
Household International, Inc. 704,083 29,263
Fifth Third Bancorp 461,003 29,158
ALLTEL Corp. 469,170 29,059
- AES Corp. 633,990 28,926
- Maxim Integrated Products, Inc. 421,244 28,618
Electronic Data Systems Corp. 693,144 28,592
Bestfoods 409,134 28,332
- Ariba, Inc. 288,900 28,326
- Metromedia Fiber Network, Inc. 712,814 28,290
- VoiceStream Wireless Corp. 240,959 28,023
- The Kroger Co. 1,244,220 27,451
Williams Cos., Inc. 658,274 27,442
Eastman Kodak Co. 461,056 27,433
- Gateway, Inc. 479,514 27,212
- Kohl's Corp. 486,099 27,039
- E-Tek Dynamics, Inc. 101,500 26,777
Mellon Financial Corp. 731,992 26,672
J.P. Morgan & Co., Inc. 241,955 26,645
Sara Lee Corp. 1,333,898 25,761
Illinois Tool Works, Inc. 449,305 25,610
- Exodus Communications, Inc. 551,900 25,422
State Street Corp. 239,433 25,395
- Apple Computer, Inc. 484,619 25,382
HCA-The Healthcare Co. 830,946 25,240
- LSI Logic Corp. 457,459 24,760
Allstate Corp. 1,109,586 24,688
Gannett Co., Inc. 409,025 24,465
Associates First Capital Corp. 1,085,341 24,217
Washington Mutual, Inc. 822,069 23,737
Omnicom Group Inc. 264,422 23,550
Lowe's Cos., Inc. 569,730 23,395
CVS Corp. 581,487 23,259
Paychex, Inc. 553,334 23,240
Adobe Systems, Inc. 178,490 23,204
H.J. Heinz Co. 524,896 22,964
CIGNA Corp. 243,304 22,749
- Guidant Corp. 456,661 22,605
American General Corp. 370,141 22,579
Conoco Inc. Class B 917,564 22,538
Southern Co. 964,440 22,484
- AMFM Inc. 323,546 22,325
- MedImmune Inc. 301,377 22,302
- Costco Wholesale Corp. 665,699 21,968
AXA Financial, Inc. 644,782 21,923
U.S. Bancorp 1,120,348 21,567
Northern Trust Corp. 331,251 21,552
- Genentech, Inc. 125,010 21,502
International Paper Co. 716,502 21,361
- Comverse Technology, Inc. 227,553 21,162
- eBay Inc. 388,600 21,106
- Infinity Broadcasting Corp. 578,728 21,087
Albertson's, Inc. 631,248 20,989
Sysco Corp. 496,551 20,917
SunTrust Banks, Inc. 455,193 20,797
UnitedHealth Group Inc. 241,483 20,707
Xerox Corp. 992,824 20,601
PE Corp.-PE Biosystems Group 310,472 20,452
PNC Financial Services Group 432,771 20,286
- Vitesse Semiconductor Corp. 271,000 19,935
- Inktomi Corp. 164,600 19,464
Coastal Corp. 318,855 19,410
- CMGI Inc 422,971 19,377
Interpublic Group of Cos., Inc. 449,590 19,332
- Best Buy Co., Inc. 304,660 19,270
Phillips Petroleum Co. 377,794 19,149
Providian Financial Corp. 212,038 19,083
- BroadVision, Inc. 375,551 19,083
- Amazon.com, Inc. 524,300 19,039
- Foundry Networks, Inc. 172,200 19,028
- Teradyne, Inc. 258,148 18,974
- InfoSpace, Inc. 341,880 18,889
- Sanmina Corp. 220,668 18,867
- Seagate Technology Inc. 338,653 18,626
- Computer Sciences Corp. 249,344 18,623
Campbell Soup Co. 629,615 18,338
AFLAC, Inc. 395,543 18,170
- BEA Systems, Inc. 366,200 18,104
The Hartford Financial
Services Group Inc. 323,425 18,092
- Applied Micro Circuits Corp. 182,406 18,013
Kellogg Co. 604,397 17,981
- McLeodUSA, Inc. Class A 862,515 17,843
- Advanced Micro Devices, Inc. 228,351 17,640
Scientific-Atlanta, Inc. 236,683 17,633
Caterpillar, Inc. 519,496 17,598
Carnival Corp. 900,749 17,565
El Paso Energy Corp. 344,606 17,553
Waste Management, Inc. 922,650 17,530
Harley-Davidson, Inc. 452,394 17,417
Sears, Roebuck & Co. 525,423 17,142
Lehman Brothers
Holdings, Inc. 180,132 17,034
Transocean Sedco Forex Inc. 311,881 16,666
General Mills, Inc. 433,055 16,564
- FedEx Corp. 432,137 16,421
Wachovia Corp. 301,724 16,369
- KLA-Tencor Corp. 277,153 16,231
</TABLE>
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MARKET
VALUE*
SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
Tribune Co. 462,196 $ 16,177
NIKE, Inc. Class B 406,295 16,176
The Chubb Corp. 259,910 15,984
- Univision
Communications Inc. 152,795 15,814
- Conexant Systems, Inc. 323,620 15,736
Baker Hughes, Inc. 490,500 15,696
Avon Products, Inc. 352,709 15,696
The McGraw-Hill Cos., Inc. 289,822 15,650
The Clorox Co. 348,660 15,624
General Dynamics Corp. 299,004 15,623
Dynegy, Inc. 226,723 15,488
- Portal Software, Inc. 240,900 15,387
National City Corp. 898,460 15,330
Pitney Bowes, Inc. 382,011 15,280
- Millennium
Pharmaceuticals, Inc. 136,534 15,275
Dominion Resources, Inc. 352,639 15,119
- Cendant Corp. 1,074,428 15,042
- Vignette Corp. 286,868 14,922
- National Semiconductor Corp. 262,335 14,888
Weyerhaeuser Co. 345,305 14,848
Lockheed Martin Corp. 594,530 14,752
Burlington Northern
Santa Fe Corp. 642,412 14,735
- Rambus Inc. 142,700 14,698
Kansas City Southern
Industries, Inc. 165,571 14,684
Intimate Brands, Inc. 743,250 14,679
The Quaker Oats Co. 194,490 14,611
Allergan, Inc. 192,541 14,344
- Biogen, Inc. 221,136 14,263
American Electric
Power Co., Inc. 477,956 14,159
PG&E Corp. 571,169 14,065
Molex, Inc. 292,124 14,058
- Jabil Circuit, Inc. 283,100 14,049
Southwest Airlines Co. 737,245 13,962
ConAgra, Inc. 731,274 13,940
The Limited, Inc. 638,153 13,800
Union Pacific Corp. 368,188 13,692
Wrigley, (Wm.) Jr. Co. 169,110 13,561
Aetna Inc. 209,406 13,441
- BMC Software, Inc. 363,562 13,264
- Boston Scientific Corp. 604,154 13,254
- Cablevision Systems Corp.
Class B 193,800 13,154
RadioShack Corp. 277,371 13,140
- Sepracor Inc. 108,828 13,127
FPL Group, Inc. 264,068 13,071
Reliant Energy, Inc. 440,620 13,026
Capital One Financial Corp. 290,947 12,983
- NEXTLINK Communications, Inc. 341,130 12,942
- Lexmark International
Group, Inc. Class A 191,601 12,885
Deere & Co. 347,693 12,865
Marriott International, Inc.
Class A 356,347 12,851
- Forest Laboratories, Inc. 125,884 12,714
- Chiron Corp. 266,607 12,664
Stryker Corp. 289,100 12,648
- NTL Inc. 210,091 12,579
Nabisco Group Holdings Corp. 483,894 12,551
Tenet Healthcare Corp. 463,631 12,518
- Calpine Corp. 189,700 12,473
- Intuit, Inc. 300,600 12,437
Equity Office Properties
Trust REIT 450,339 12,412
BB&T Corp. 517,820 12,363
- Rational Software Corp. 132,433 12,308
Burlington Resources, Inc. 319,810 12,233
Dover Corp. 301,418 12,226
- Atmel Corp. 330,600 12,191
Delphi Automotive
Systems Corp. 834,432 12,151
- CDW Computer Centers, Inc. 192,800 12,050
Masco Corp. 664,955 12,011
- GlobeSpan, Inc. 97,888 11,950
Unocal Corp. 360,003 11,925
Vastar Resources, Inc. 144,900 11,900
May Department Stores Co. 493,465 11,843
- Convergys Corp. 227,258 11,789
Aon Corp. 379,066 11,775
- Waters Corp. 93,950 11,726
- American Power
Conversion Corp. 287,287 11,725
- RealNetworks, Inc. 231,390 11,700
Textron, Inc. 213,785 11,611
- Aether Systems, Inc. 56,585 11,600
USX-Marathon Group 462,155 11,583
TXU Corp. 390,901 11,532
- Vitria Technology, Inc. 188,500 11,522
Occidental Petroleum Corp. 546,328 11,507
- Mercury Interactive Corp. 118,272 11,443
PPG Industries, Inc. 258,107 11,437
KeyCorp 648,424 11,428
- EchoStar Communications
Corp. 343,060 11,359
- At Home Corp. Series A 541,644 11,239
Avery Dennison Corp. 166,089 11,149
Rohm & Haas Co. 323,121 11,148
Public Service Enterprise
Group, Inc. 320,643 11,102
- Staples, Inc. 720,784 11,082
- John Hancock Financial
Services, Inc. 467,600 11,076
Symbol Technologies, Inc. 203,618 10,995
Franklin Resources Corp. 361,021 10,966
- Human Genome Sciences, Inc. 81,200 10,830
Becton, Dickinson & Co. 374,002 10,729
St. Paul Cos., Inc. 314,402 10,729
- Federated Department
Stores, Inc. 317,499 10,716
- Novellus Systems, Inc. 186,389 10,543
- Next Level
Communications, Inc. 122,400 10,496
Air Products &
Chemicals, Inc. 339,870 10,472
- Commerce One, Inc. 230,500 10,463
- RF Micro Devices, Inc. 119,100 10,436
Comerica, Inc. 231,772 10,401
- Starbucks Corp. 272,004 10,387
Danaher Corp. 209,702 10,367
- Allegiance Telecom, Inc. 160,466 10,270
Lincoln National Corp. 284,130 10,264
</TABLE>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
- USA Networks, Inc. 474,004 $ 10,250
PECO Energy Corp. 253,753 10,229
Edison International 497,454 10,198
Unicom Corp. 263,487 10,194
Newell Rubbermaid, Inc. 395,006 10,171
Coca-Cola Enterprises, Inc. 623,366 10,169
The Goldman Sachs Group, Inc. 106,000 10,057
- American Tower Corp. Class A 240,800 10,038
Circuit City Stores, Inc. 301,080 9,992
New York Times Co. Class A 251,919 9,951
- Art Technology Group, Inc. 98,500 9,942
Apache Corp. 168,653 9,919
Union Carbide Corp. 199,567 9,879
Hershey Foods Corp. 203,368 9,863
PaineWebber Group, Inc. 215,757 9,817
Ingersoll-Rand Co. 239,821 9,653
Dow Jones & Co., Inc. 131,372 9,623
- IVAX Corp. 231,350 9,601
- Priceline.com Inc. 252,400 9,587
United Parcel Service, Inc. 162,300 9,576
Golden West Financial Corp. 234,332 9,564
Dollar General Corp. 487,731 9,511
Consolidated Edison Inc. 319,146 9,455
Entergy Corp. 344,800 9,374
Anadarko Petroleum Corp. 189,885 9,364
Starwood Hotels & Resorts
Worldwide, Inc. REIT 289,472 9,354
- Sapient Corp. 87,268 9,332
- Software.com, Inc. 71,000 9,221
- CNA Financial Corp. 271,184 9,220
Delta Air Lines, Inc. 181,483 9,176
AmSouth Bancorp 582,240 9,170
- TMP Worldwide, Inc. 124,000 9,153
Cintas Corp. 248,450 9,115
Estee Lauder Cos. Class A 184,242 9,108
Ralston-Ralston Purina Group 454,705 9,066
- Nabors Industries, Inc. 217,000 9,019
Telephone & Data Systems, Inc. 89,800 9,002
- ALZA Corp. 152,187 8,998
- Lycos, Inc. 162,704 8,786
Rockwell International Corp. 278,681 8,778
Loews Corp. 146,189 8,771
Archer-Daniels-Midland Co. 892,463 8,757
Equity Residential Properties
Trust REIT 190,213 8,750
Praxair, Inc. 233,708 8,749
McKesson HBOC, Inc. 417,512 8,742
SLM Holding Corp. 232,160 8,691
Jefferson-Pilot Corp. 152,850 8,626
Raytheon Co. Class B 441,705 8,503
- Crown Castle International Corp. 231,500 8,450
Norfolk Southern Corp. 567,833 8,446
- SCI Systems, Inc. 214,932 8,423
TJX Cos., Inc. 444,591 8,336
- Integrated Device
Technology Inc. 138,800 8,311
Amerada Hess Corp. 134,283 8,292
Mattel, Inc. 628,730 8,291
- Micromuse Inc. 49,968 8,269
- Kana Communications, Inc. 133,614 8,267
- Thermo Electron 384,850 8,259
- Internap Network Services Corp. 198,900 8,257
- Extreme Networks, Inc. 78,133 8,243
Kerr-McGee Corp. 139,558 8,225
- Concord EFS, Inc. 316,305 8,224
Union Pacific Resources
Group, Inc. 373,610 8,219
BroadWing Inc. 316,865 8,219
- U.S. Cellular Corp. 129,800 8,177
- Noble Drilling Corp. 198,300 8,167
Donaldson, Lufkin & Jenrette, Inc. 188,900 8,016
Progressive Corp. of Ohio 108,126 8,001
FirstEnergy Corp. 342,229 8,000
- Fox Entertainment Group, Inc.
Class A 261,300 7,937
TRW, Inc. 182,824 7,930
IMS Health, Inc. 440,417 7,928
- Fiserv, Inc. 182,327 7,886
- TV Guide, Inc. 229,700 7,867
- Adelphia Communications
Corp. Class A 167,704 7,861
- Metro-Goldwyn-Mayer Inc. 299,020 7,812
Columbia Energy Group 118,907 7,803
- PE Corp.-Celera Genomics
Group 83,330 7,791
- Vishay Intertechnology, Inc. 203,950 7,737
- BJ Services Co. 123,589 7,724
- Watson Pharmaceuticals, Inc. 143,097 7,691
T. Rowe Price 179,060 7,610
MGM Grand, Inc. 236,378 7,594
CP&L, INC. 236,683 7,559
- Bed Bath & Beyond, Inc. 208,072 7,543
- Robert Half International, Inc. 263,524 7,510
- Cypress Semiconductor Corp. 177,694 7,508
Ecolab, Inc. 192,187 7,507
- King Pharmaceuticals, Inc. 170,928 7,499
Cincinnati Financial Corp. 238,269 7,491
- Genzyme Corp. 125,778 7,476
- Cadence Design Systems, Inc. 366,462 7,467
Synovus Financial Corp. 418,536 7,377
- IDEC Pharmaceuticals Corp. 62,800 7,367
ENSCO International, Inc. 204,624 7,328
- Global Marine, Inc. 259,800 7,323
- Burr-Brown Corp. 83,612 7,248
Constellation Energy Group 221,768 7,221
Devon Energy Corp. 128,509 7,221
Eaton Corp. 107,731 7,218
Tiffany & Co. 106,919 7,217
- QLogic Corp. 109,016 7,202
- Abgenix, Inc. 59,700 7,156
UnumProvident Corp. 356,418 7,151
Charter One Financial 310,594 7,144
- E*TRADE Group, Inc. 432,915 7,143
MGIC Investment Corp. 156,849 7,137
J.C. Penney Co., Inc. 386,811 7,132
- Peregrine Systems, Inc. 204,756 7,102
- DST Systems, Inc. 93,100 7,087
- Macromedia, Inc. 73,223 7,080
Diamond Offshore Drilling, Inc. 201,100 7,064
Fort James Corp. 304,889 7,051
- Quest Software, Inc. 126,578 7,009
MBIA, Inc. 145,354 7,004
</TABLE>
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MARKET
VALUE*
SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
Reliastar Financial Corp. 132,841 $ 6,966
- Electronic Arts Inc. 95,332 6,953
- webMethods, Inc. 44,220 6,951
- PSINet, Inc. 275,852 6,931
- LAM Research Corp. 184,503 6,919
- Amkor Technology, Inc. 194,600 6,872
- PeopleSoft, Inc. 410,199 6,871
Ameren Corp. 203,285 6,861
CSX Corp. 323,814 6,861
Dun & Bradstreet Corp. 239,669 6,861
- Phone.com, Inc. 105,067 6,842
Florida Progress Corp. 145,667 6,828
Bear Stearns Co., Inc. 163,948 6,824
- Cabletron Systems, Inc. 270,220 6,823
Northrop Grumman Corp. 102,796 6,810
- R & B Falcon Corp. 287,913 6,784
Biomet, Inc. 176,320 6,777
- Microchip Technology, Inc. 116,025 6,760
Washington Post Co. Class B 14,100 6,740
- Affymetrix, Inc. 40,800 6,737
- Citizens Communications Co. 390,351 6,734
- Unisys Corp. 462,144 6,730
- DoubleClick Inc. 175,398 6,687
- Wellpoint Health Networks Inc.
Class A 92,048 6,668
Georgia Pacific Group 252,729 6,634
- Copper Mountain Networks, Inc. 75,200 6,627
- Entrust Technologies, Inc. 79,300 6,562
- Cree, Inc. 49,096 6,554
- Verio Inc. 118,100 6,553
Johnson Controls, Inc. 127,031 6,518
Regions Financial Corp. 327,075 6,501
DTE Energy Co. 211,349 6,459
Summit Bancorp 260,774 6,422
The Pepsi Bottling Group, Inc. 219,600 6,410
- Weatherford International, Inc. 160,929 6,407
Marshall & Ilsley Corp. 153,991 6,391
Vulcan Materials Co. 149,308 6,374
- Metropolitan Life Insurance Co. 301,400 6,348
- NVIDIA Corp. 99,800 6,344
The CIT Group, Inc. 389,800 6,334
- MRV Communications Inc. 93,772 6,306
- Tricon Global Restaurants, Inc. 218,452 6,171
- ISS Group, Inc. 62,400 6,161
Reader's Digest Assn., Inc. Class A 154,606 6,146
Young & Rubicam Inc. 107,397 6,142
Knight Ridder 115,160 6,125
KeySpan Corp. 198,735 6,111
- Red Hat, Inc. 225,100 6,092
- SunGard Data Systems, Inc. 196,300 6,085
Bausch & Lomb, Inc. 78,581 6,080
Tosco Corp. 214,198 6,064
- Efficient Networks, Inc. 82,300 6,054
- SanDisk Corp. 98,700 6,039
- Dollar Tree Stores, Inc. 152,368 6,028
- Andrx Corp. 94,300 6,028
- Alteon Websystems, Inc. 60,000 6,004
Cinergy Corp. 235,588 5,993
- Finisar Corp. 228,206 5,976
CenturyTel, Inc. 207,759 5,973
Santa Fe International Corp. 170,300 5,950
AVX Corp. 258,700 5,934
- AMR Corp. 221,818 5,864
EOG Resources, Inc. 174,924 5,860
Kinder Morgan, Inc. 169,359 5,853
Zions Bancorp 126,588 5,809
Harcourt General, Inc. 106,760 5,805
- Protein Design Labs, Inc. 34,900 5,757
- Western Wireless Corp.
Class A 104,922 5,718
- St. Jude Medical, Inc. 124,047 5,691
- Westwood One, Inc. 166,600 5,685
Parker Hannifin Corp. 165,967 5,684
E.W. Scripps Co. Class A 115,176 5,672
- SPX Corp. 46,903 5,672
AMBAC Financial Group Inc. 103,444 5,670
- Safeguard Scientifics, Inc. 176,282 5,652
SouthTrust Corp. 249,173 5,638
- Celgene Corp. 95,300 5,611
Simon Property Group, Inc.
REIT 252,872 5,611
Union Planters Corp. 200,635 5,605
- Power-One, Inc. 49,150 5,600
Montana Power Co. 157,300 5,555
- MiniMed, Inc. 47,000 5,546
- Compuware Corp. 534,323 5,544
- Terayon Communications
Systems, Inc. 85,700 5,505
- Park Place Entertainment 450,898 5,495
Equifax, Inc. 209,251 5,493
- NCR Corp. 141,013 5,491
- Smith International, Inc. 75,200 5,475
Sabre Holdings Corp. 191,199 5,449
- TriQuint Semiconductor, Inc. 56,900 5,445
Old Kent Financial Corp. 203,500 5,444
- Micrel, Inc. 125,100 5,434
- Knight Trading Group, Inc. 182,200 5,432
The BFGoodrich Co. 159,093 5,419
Fortune Brands, Inc. 234,663 5,412
Eastman Chemical Co. 113,330 5,412
Brown-Forman Corp. Class B 100,593 5,407
Newmont Mining Corp. 248,779 5,380
- Sealed Air Corp. 102,458 5,366
- Infonet Services Corp. 449,100 5,361
- Advanced Fibre
Communications, Inc. 117,400 5,320
- UnitedGlobalCom Inc. Class A 113,200 5,292
Huntington Bancshares Inc. 333,003 5,266
Tektronix, Inc. 71,025 5,256
Genuine Parts Co. 262,103 5,242
ServiceMaster Co. 455,650 5,183
New Century Energies, Inc. 172,618 5,179
- Ceridian Corp. 214,855 5,170
- Citrix Systems, Inc. 272,408 5,159
A.G. Edwards & Sons, Inc. 132,249 5,158
- E.Piphany Inc. 48,100 5,156
- PRIMEDIA Inc. 226,500 5,153
Sempra Energy 302,855 5,149
- Spectrasite Holdings, Inc. 181,310 5,145
Sherwin-Williams Co. 242,699 5,142
- Cooper Cameron Corp. 77,900 5,141
</TABLE>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
- International Rectifier Corp. 91,600 $ 5,130
ProLogis Trust REIT 240,517 5,126
Hilton Hotels Corp. 545,920 5,118
Millipore Corp. 67,339 5,076
M & T Bank Corp. 11,256 5,065
Countrywide Credit
Industries, Inc. 166,989 5,062
Whirlpool Corp. 108,322 5,051
- Lattice Semiconductor Corp. 73,000 5,046
Comdisco, Inc. 225,285 5,027
- TeleCorp PCS, Inc. 123,800 4,991
- Polycom, Inc. 52,800 4,968
Black & Decker Corp. 126,149 4,959
Family Dollar Stores, Inc. 253,500 4,959
- Critical Path, Inc. 84,900 4,951
Consolidated Papers 135,300 4,947
Royal Caribbean Cruises, Ltd. 266,400 4,928
- Varco International, Inc. 211,043 4,907
- Agile Software Corp. 68,950 4,874
GPU, Inc. 179,798 4,866
BHC Communications, Inc.
Class A 32,385 4,862
- Kmart Corp. 712,969 4,857
- Health Management
Associates Class A 371,432 4,852
- Digital Island Inc. 99,700 4,848
PerkinElmer, Inc. 73,127 4,836
Nordstrom, Inc. 200,288 4,832
- Continental Airlines, Inc.
Class B 102,800 4,832
Northeast Utilities 221,300 4,813
Leggett & Platt, Inc. 291,279 4,806
Dana Corp. 226,666 4,802
- Toys R Us, Inc. 328,816 4,788
- Hispanic Broadcasting Corp. 144,200 4,777
- Fairchild Semiconductor Corp. 117,619 4,764
- Symantec Corp. 87,988 4,746
- Quest Diagnostics, Inc. 66,256 4,741
- Quanta Services, Inc. 85,950 4,727
- Gilead Sciences, Inc. 66,458 4,727
H & R Block, Inc. 145,762 4,719
Conseco Inc. 482,201 4,701
Northern States Power Co. 232,869 4,701
PPL Corp. 213,857 4,691
Torchmark Corp. 189,949 4,689
The Goodyear Tire & Rubber Co. 231,782 4,636
Keebler Foods Co. 124,800 4,633
- Scient Corp. 104,790 4,624
International Flavors &
Fragrances, Inc. 152,476 4,603
- Lamar Advertising Co. Class A 106,200 4,600
LG&E Energy Corp. 192,457 4,595
Hannaford Brothers Co. 63,900 4,593
- TranSwitch Corp. 59,350 4,581
Legg Mason Inc. 90,020 4,501
Cooper Industries, Inc. 138,207 4,500
PACCAR, Inc. 113,310 4,497
- Novell, Inc. 485,732 4,493
Allegheny Energy, Inc. 163,900 4,487
- Virata Corp. 75,200 4,484
Willamette Industries, Inc. 164,188 4,474
UnionBanCal Corp. 241,011 4,474
- Parametric Technology Corp. 406,651 4,473
- AutoZone Inc. 203,202 4,470
- ImClone Systems, Inc. 58,400 4,464
North Fork Bancorp, Inc. 295,133 4,464
Vornado Realty Trust REIT 128,400 4,462
- Arrow Electronics, Inc. 143,298 4,442
- CheckFree Holdings Corp. 85,900 4,429
- Winstar Communications, Inc. 130,600 4,424
Newport Corp. 41,200 4,424
- Macrovision Corp. 69,100 4,417
Spieker Properties, Inc. REIT 95,600 4,398
Potomac Electric Power Co. 175,900 4,397
Total System Services, Inc. 276,686 4,392
- Silicon Valley Bancshares 102,600 4,373
Public Storage, Inc. REIT 186,002 4,359
- Digital Lightwave, Inc. 43,200 4,342
Phelps Dodge Corp. 116,650 4,338
Archstone Communities
Trust REIT 205,668 4,332
Mallinckrodt, Inc. 99,634 4,328
- SFX Entertainment, Inc. 95,382 4,322
UAL Corp. 74,180 4,316
- CSG Systems International, Inc. 76,900 4,311
DPL Inc. 195,977 4,299
R.J. Reynolds Tobacco
Holdings, Inc. 153,398 4,286
Maytag Corp. 116,188 4,284
W.W. Grainger, Inc. 138,903 4,280
Apartment Investment &
Management Co. Class A REIT 98,696 4,269
- American Standard Cos., Inc. 103,900 4,260
Transatlantic Holdings, Inc. 50,800 4,255
Pinnacle West Capital Corp. 125,564 4,253
- Netro Corp. 74,100 4,251
- Triton PCS, Inc. 73,600 4,250
- Medarex, Inc. 50,050 4,229
- AutoNation, Inc. 597,158 4,217
- Rowan Cos., Inc. 138,649 4,211
- Network Associates, Inc. 205,839 4,194
Duke Realty Investments, Inc. REIT 187,406 4,193
Nucor Corp. 126,143 4,186
DQE Inc. 105,707 4,182
- Smurfit-Stone Container Corp. 323,823 4,169
- Republic Services, Inc. Class A 260,500 4,168
Allmerica Financial Corp. 79,515 4,165
Federated Investors, Inc. 118,600 4,158
- Tritel, Inc. 139,982 4,156
- Charter Communications, Inc. 251,800 4,139
- Jones Apparel Group, Inc. 175,762 4,130
Sigma-Aldrich Corp. 140,661 4,114
- HEALTHSOUTH Corp. 571,432 4,107
- Vertex Pharmaceuticals, Inc. 38,900 4,099
- Amphenol Corp. 61,800 4,090
- Tekelec 84,800 4,086
- RSA Security Inc. 59,000 4,086
R.R. Donnelley & Sons Co. 180,742 4,078
- VerticalNet, Inc. 110,400 4,078
- Credence Systems Corp. 73,700 4,067
- Sawtek Inc. 70,600 4,064
</TABLE>
14
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
- Techne 31,100 $ 4,043
VF Corp. 169,343 4,032
- Informatica Corp. 49,100 4,023
Delhaize America, Inc. Class A 227,400 4,022
- Grant Prideco, Inc. 160,829 4,021
Avalonbay Communities, Inc. REIT 96,263 4,019
- Plug Power, Inc. 64,100 4,006
- Powerwave Technologies, Inc. 91,000 4,004
- Healtheon/WebMD Corp. 270,200 4,002
- MarchFirst, Inc. 219,091 3,998
- Andrew Corp. 118,867 3,989
Nabisco Holdings Corp. Class A 75,800 3,980
- Wind River Systems Inc. 104,652 3,964
- Interwoven, Inc. 36,000 3,959
ITT Industries, Inc. 130,333 3,959
- Digital Microwave Corp. 103,354 3,940
First Security Corp. 290,182 3,936
- Liberate Technologies, Inc. 133,800 3,922
- Ditech Communications Corp. 41,460 3,921
Murphy Oil Corp. 65,700 3,905
- Silicon Storage Technology, Inc. 44,100 3,895
- Diamond Technology Partners Inc. 44,233 3,892
Boston Properties, Inc. REIT 100,600 3,886
Waddell & Reed Financial, Inc. Class B 133,501 3,880
Avnet, Inc. 65,382 3,874
- Incyte Genomics, Inc. 47,100 3,871
Jones Pharma, Inc. 96,612 3,858
- US Airways Group, Inc. 98,732 3,851
The Mead Corp. 152,284 3,845
Hasbro, Inc. 255,064 3,842
Sunoco, Inc. 130,481 3,841
- Pinnacle Holdings Inc. REIT 71,100 3,839
- Northwest Airlines Corp. Class A 125,300 3,814
- Alkermes, Inc. 80,800 3,808
- Proxicom, Inc. 79,400 3,801
- Harrah's Entertainment, Inc. 181,234 3,795
The St. Joe Co. 126,100 3,783
Viad Corp. 138,763 3,781
SAFECO Corp. 189,181 3,760
SCANA Corp. 155,464 3,751
- Niagara Mohawk Holdings Inc. 268,255 3,739
TECO Energy, Inc. 185,900 3,730
Financial Security Assurance
Holdings Ltd. 49,100 3,725
Popular, Inc. 195,156 3,720
- NetIQ Corp. 62,310 3,715
SuperValu Inc. 194,883 3,715
- Semtech Corp. 48,500 3,709
Kimco Realty Corp. REIT 90,350 3,704
Westvaco Corp. 149,003 3,697
- Enzo Biochem, Inc. 53,300 3,678
Ashland, Inc. 104,589 3,667
- Cor Therapeutics, Inc. 42,900 3,660
Dallas Semiconductor Corp. 89,600 3,651
- Inet Technologies, Inc. 66,500 3,608
CMS Energy Corp. 162,749 3,601
C.R. Bard, Inc. 74,819 3,601
Manpower Inc. 112,500 3,600
- BJ's Wholesale Club, Inc. 108,525 3,581
Fluor Corp. 112,812 3,568
- Synopsys, Inc. 103,186 3,566
Wisconsin Energy Corp. 179,523 3,557
- AmeriSource Health Corp. 114,592 3,552
Expeditors International of
Washington, Inc. 74,600 3,544
UST, Inc. 240,549 3,533
American Water Works Co., Inc. 141,200 3,530
- Ocean Energy, Inc. 248,586 3,527
- Emulex Corp. 53,600 3,521
Crescent Real Estate, Inc. REIT 171,600 3,518
- Adaptec, Inc. 154,069 3,505
- Acxiom Corp. 128,578 3,504
Hormel Foods Corp. 208,400 3,504
Energy East Corp. 183,794 3,504
Mylan Laboratories, Inc. 191,950 3,503
- Mercator Software, Inc. 50,900 3,499
- Express Scripts 56,200 3,491
Global TeleSystems, Inc. 289,100 3,487
- NaviSite, Inc. 82,900 3,466
- Clarent Corp. 48,100 3,439
- Adtran, Inc. 57,400 3,437
- Covad Communications Group, Inc. 213,025 3,435
- Chris-Craft Industries, Inc. 51,827 3,424
- Outback Steakhouse 116,200 3,399
Neuberger Berman Inc. 73,000 3,395
Pall Corp. 183,315 3,391
NSTAR 83,142 3,383
Harris Corp. 102,614 3,361
Bowater Inc. 76,100 3,358
Banknorth Group, Inc. 218,657 3,348
- Tech Data Corp. 76,822 3,347
NiSource, Inc. 179,660 3,346
- Nuance Communications Inc. 40,100 3,341
- Williams Communications Group, Inc. 100,500 3,335
- The Titan Corp. 74,400 3,329
- Cognex Corp. 64,100 3,317
McCormick & Co., Inc. 101,917 3,312
- CacheFlow Inc. 53,203 3,275
- HomeStore.com, Inc. 112,000 3,269
ICN Pharmaceuticals, Inc. 117,491 3,268
- SonicWALL, Inc. 37,100 3,267
Temple-Inland Inc. 77,737 3,265
- Golden State Bancorp Inc. 181,343 3,264
Adolph Coors Co. Class B 53,864 3,259
- Hanover Compressor Co. 85,700 3,257
Tidewater Inc. 90,300 3,251
- Invitrogen Corp. 43,200 3,249
- Informix Corp. 434,749 3,233
- KEMET Corp. 128,900 3,231
True North Communications 73,100 3,216
International Speedway Corp. 77,700 3,215
Alpharma, Inc. Class A 51,600 3,212
- Teletech Holdings Inc. 103,000 3,199
- Powertel Inc. 45,100 3,199
First Tennessee National Corp. 193,000 3,197
</TABLE>
15
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<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
Ultramar Diamond Shamrock
Corp. 128,768 $ 3,195
- National Instruments Corp. 73,100 3,189
- National-Oilwell, Inc. 96,900 3,186
- Kopin Corp. 45,700 3,165
- Time Warner Telecom Inc. 49,000 3,154
- Pacificare Health Systems, Inc. 52,236 3,144
Engelhard Corp. 184,231 3,143
- Focal Communications Corp. 87,900 3,142
- Apollo Group, Inc. Class A 111,812 3,131
- CommScope, Inc. 76,232 3,126
- Plexus Corp. 27,540 3,112
The PMI Group Inc. 65,449 3,109
- Valassis Communications, Inc. 81,350 3,101
- Coherent, Inc. 36,900 3,095
- CNET Networks, Inc. 125,600 3,085
TCF Financial Corp. 119,962 3,082
Central Newspapers, Inc. 48,700 3,080
The Stanley Works 129,653 3,079
C.H. Robinson Worldwide, Inc. 62,200 3,079
- Sybase, Inc. 133,420 3,069
Compass Bancshares Inc. 179,774 3,067
Winn-Dixie Stores, Inc. 214,237 3,066
- Santa Fe Snyder Corp. 269,462 3,065
- Sybron International Corp. 154,321 3,057
Noble Affiliates, Inc. 82,064 3,057
- Inhale Therapeutic Systems 30,100 3,054
Host Marriott Corp. REIT 325,513 3,052
- RCN Corp. 120,127 3,048
- Priority Healthcare Corp. Class B 40,900 3,039
Southdown, Inc. 52,536 3,034
Alliant Energy Corp. 116,582 3,031
- Learning Tree International, Inc. 49,300 3,020
SEI Corp. 75,800 3,018
Sonoco Products Co. 146,636 3,015
- AmeriTrade Holding Corp. 259,200 3,013
Lennar Corp. 148,776 3,013
Herman Miller, Inc. 116,416 3,012
- Aspect Communications Corp. 76,600 3,011
Unitrin, Inc. 102,510 3,011
- Centillium Communications, Inc. 43,580 3,007
- Wireless Facilities, Inc. 59,000 3,005
Wendy's International, Inc. 168,681 3,005
- United Therapeutics Corp. 27,700 3,002
A. H. Belo Corp. Class A 173,112 2,997
Autodesk, Inc. 86,358 2,996
Eastern Enterprises 47,494 2,992
- Siliconix, Inc. 44,300 2,990
Jack Henry & Associates 59,500 2,982
Darden Restaurants Inc. 183,468 2,981
- Echelon Corp. 51,400 2,978
- ICOS Corp. 67,500 2,970
- Office Depot, Inc. 474,237 2,964
Flowers Industries, Inc. 148,325 2,957
- Cephalon, Inc. 49,300 2,952
- Loral Space & Communications 424,784 2,947
- USinternetworking, Inc. 142,950 2,922
Tyson Foods, Inc. 333,889 2,922
- LHS Group, Inc. 84,500 2,915
Hillenbrand Industries, Inc. 93,100 2,915
- Timberland Co. 41,100 2,910
Mercantile Bankshares Corp. 97,600 2,910
Lyondell Chemical Co. 173,550 2,907
Old Republic International Corp. 175,846 2,901
Johns Manville Corp. 219,900 2,900
- Cytyc Corp. 54,100 2,888
- Nova Corp. (Georgia) 103,309 2,886
- Varian Semiconductor
Equipment Associates, Inc. 45,900 2,883
- Trigon Healthcare, Inc. 55,900 2,882
- Universal Health Services Class B 44,000 2,882
Shared Medical Systems Corp. 39,513 2,882
- Oxford Health Plan 120,900 2,879
Green Point Financial Corp. 153,100 2,871
- Kulicke & Soffa Industries, Inc. 48,100 2,856
- VA Linux Systems, Inc. 66,364 2,854
- Navistar International Corp. 91,855 2,853
Liz Claiborne, Inc. 80,873 2,851
Crown Cork & Seal Co., Inc. 189,937 2,849
- Visteon Corp. 234,871 2,848
Galileo International, Inc. 136,300 2,845
Fastenal Co. 56,200 2,845
- International Game Technology 107,146 2,839
AMB Property Corp. REIT 124,400 2,838
- Brinker International, Inc. 96,829 2,832
Sodexho Marriott Services, Inc. 162,846 2,829
Valero Energy Corp. 89,100 2,829
- Manugistics Group, Inc. 60,400 2,824
- Alexion Pharmaceuticals, Inc. 39,400 2,817
- Software Technologies Corp. 91,600 2,811
Diebold, Inc. 100,796 2,810
Martin Marietta Materials, Inc. 69,426 2,807
Radian Group, Inc. 54,226 2,806
FirstMerit Corp. 131,241 2,805
- Caremark Rx, Inc. 410,948 2,800
- Litton Industries, Inc. 66,569 2,796
- Akamai Technologies, Inc. 23,503 2,791
Erie Indemnity Co. Class A 88,300 2,781
- DSP Group Inc. 49,600 2,778
National Fuel Gas Co. 56,700 2,764
- Allied Waste Industries, Inc. 275,766 2,758
- Natural Microsystems Corp. 24,500 2,755
- L-3 Communications Holdings, Inc. 47,900 2,733
- Gentex Corp. 108,648 2,730
- Energizer Holdings, Inc.-W/I 149,413 2,727
- Plantronics, Inc. 23,600 2,726
- Stone Energy Corp. 45,600 2,725
- Devry, Inc. 102,900 2,720
MCN Energy Group Inc. 127,200 2,719
Helmerich & Payne, Inc. 72,595 2,713
- EMCORE Corp. 22,600 2,712
- NorthEast Optic Network, Inc. 43,900 2,705
- Trimble Navigation Ltd. 55,400 2,704
- Advent Software, Inc. 41,900 2,703
UtiliCorp United, Inc. 135,750 2,698
Hudson City Bancorp, Inc. 157,600 2,689
- Dobson Communications Corp. 139,400 2,683
- Maxygen Inc. 47,239 2,682
- Iron Mountain, Inc. 78,750 2,677
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
Puget Sound Energy Inc. 125,563 $ 2,676
- Earthlink, Inc. 173,283 2,675
- Williams Sonoma, Inc. 82,416 2,673
Cabot Corp. 97,868 2,667
- Active Software, Inc. 34,300 2,665
- SERENA Software, Inc. 58,650 2,663
- Pharmacopeia, Inc. 57,300 2,657
- MGC Communications, Inc. 44,300 2,655
- ChoicePoint Inc. 59,604 2,652
- Mandalay Resort Group 132,541 2,651
Vectren Corp. 153,646 2,650
- Catalina Marketing Corp. 25,960 2,648
- Mastec Inc. 69,251 2,645
- Sirius Satellite Radio, Inc. 59,600 2,641
- Premier Parks Inc. 116,000 2,639
- Dycom Industries, Inc. 57,350 2,638
- Novoste Corp. 43,200 2,635
CarrAmerica Realty Corp. REIT 99,200 2,629
Investors Financial Services Corp. 66,200 2,627
- FreeMarkets, Inc. 55,325 2,624
Homestake Mining Co. 381,391 2,622
- Keynote Systems Inc. 37,130 2,620
- ONYX Software Corp. 88,200 2,618
- ADAC Laboratories 108,900 2,614
- Getty Images, Inc. 70,500 2,613
Commerce Bancshares, Inc. 87,597 2,606
- MMC Networks, Inc. 48,700 2,602
- FMC Corp. 44,857 2,602
- Barr Labs Inc. 58,050 2,601
- Alamosa PCS Holdings, Inc. 124,398 2,597
- Remedy Corp. 46,500 2,592
Penton Media, Inc. Class A 74,034 2,591
Dime Bancorp, Inc. 164,260 2,587
The Timber Co. 119,598 2,586
- Creative Biomolecules, Inc. 184,700 2,586
- Alpha Industries, Inc. 58,600 2,582
Liberty Property Trust REIT 99,300 2,576
Hibernia Corp. Class A 236,345 2,570
Post Properties, Inc. REIT 58,400 2,570
Rouse Co. REIT 103,700 2,567
- Veeco Instruments, Inc. 35,000 2,564
- Global Industries Ltd. 135,800 2,563
Fidelity National Financial, Inc. 139,960 2,563
- Immunomedics Inc. 104,600 2,563
- Patterson Dental Co. 50,050 2,553
Protective Life Corp. 95,800 2,551
Great Lakes Chemical Corp. 80,709 2,542
National Community Bancorp 158,208 2,541
- Owens-Illinois, Inc. 217,380 2,541
- IXYS Corp. 47,525 2,537
Bemis Co., Inc. 75,298 2,532
- VISIX Inc. 90,184 2,531
- Enzon, Inc. 59,500 2,529
Alberto-Culver Co. Class B 82,674 2,527
IPALCO Enterprises, Inc. 125,500 2,526
- Snyder Communications, Inc. 106,249 2,523
- Oak Technology, Inc. 116,700 2,516
- Lone Star Technologies, Inc. 54,400 2,516
- Emmis Communications, Inc. 60,800 2,516
Talbots Inc. 45,600 2,505
iStar FInancial Inc. REIT 119,636 2,505
Whitman Corp. 202,325 2,504
City National Corp. 70,523 2,504
- Intertrust Technologies Corp. 121,460 2,498
Harte-Hanks, Inc. 99,500 2,487
- Advanced Energy Industries, Inc. 42,200 2,487
Pentair, Inc. 69,950 2,483
Beckman Coulter, Inc. 42,529 2,483
Deluxe Corp. 105,322 2,482
Technitrol, Inc. 25,600 2,480
- SBA Communications Corp. 47,600 2,472
- Patterson Energy, Inc. 86,600 2,468
- HNC Software, Inc. 39,900 2,464
- Clayton Williams Energy, Inc. 77,100 2,462
Meredith Corp. 72,954 2,462
Rite Aid Corp. 374,504 2,458
First Virginia Banks, Inc. 70,460 2,453
- Electro Scientific Industries, Inc. 55,700 2,453
General Growth Properties
Inc. REIT 77,200 2,451
- Cymer, Inc. 51,100 2,440
- LTX Corp. 69,688 2,435
- Entercom Communications Corp. 49,900 2,433
- Medicis Pharmaceutical Corp. 42,662 2,432
- Affiliated Computer
Services, Inc. Class A 73,481 2,429
IBP, Inc. 157,200 2,427
- LookSmart, Ltd. 130,900 2,422
- Aspen Technologies, Inc. 62,800 2,418
- J.D. Edwards & Co. 160,300 2,415
- OnDisplay, Inc. 29,627 2,413
- Quintiles Transnational Corp. 170,750 2,412
GATX Corp. 70,801 2,407
- Pride International Inc. 97,100 2,403
- BISYS Group, Inc. 39,000 2,399
- Digex, Inc. 35,300 2,398
Delta & Pine Land Co. 95,473 2,393
USX-U.S. Steel Group 128,853 2,392
- Cable Design Technologies 71,378 2,391
Shaw Industries, Inc. 191,100 2,389
DENTSPLY International Inc. 77,400 2,385
- Newfield Exploration Co. 60,800 2,379
NICOR, Inc. 72,715 2,372
- Exar Corp. 27,200 2,372
- iBEAM Broadcasting Corp. 131,497 2,367
- Pixar, Inc. 67,000 2,362
- Foundation Health Systems Class A 180,978 2,353
Eaton Vance Corp. 50,800 2,350
- Insight Enterprises, Inc. 39,600 2,349
- RadiSys Corp. 41,250 2,341
- Marine Drilling Co., Inc. 83,600 2,341
- Go2Net, Inc. 46,500 2,340
- Genuity Inc. 255,000 2,335
- Aclara Biosciences, Inc. 45,830 2,334
- Catellus Development Corp. 155,400 2,331
- Antec Corp. 55,900 2,323
Equitable Resources, Inc. 48,100 2,321
Arthur J. Gallagher & Co. 55,200 2,318
</TABLE>
17
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<TABLE>
<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
- California Amplifier, Inc. 50,560 $ 2,313
- Quantum Corp.-Hard Disk Drive 209,000 2,312
Sovereign Bancorp, Inc. 328,807 2,312
National Computer Systems, Inc. 46,900 2,310
- Quantum Corp.-DLT & Storage Systems 238,400 2,309
- International Home Foods, Inc. 110,200 2,307
- Pericom Semiconductor Corp. 33,900 2,305
- First Health Group Corp. 70,166 2,302
Questar Corp. 118,770 2,301
- iBasis, Inc. 53,400 2,300
The MONY Group Inc. 68,000 2,299
- Cybex Computer Products Corp. 53,425 2,297
Snap-On Inc. 86,219 2,296
- Integrated Silicon Solution, Inc. 60,400 2,295
- Metasolv Software, Inc. 52,000 2,288
- Noven Pharmaceuticals, Inc. 76,100 2,288
- Intermedia Communications Inc. 76,800 2,285
- ZixIt Corp. 49,475 2,279
- HS Resources Inc. 75,901 2,277
- Pegasus Communications Corp. Class A 46,400 2,277
- Keane, Inc. 104,300 2,255
- Extended Stay America, Inc. 242,678 2,245
Ross Stores, Inc. 131,524 2,244
- Cobalt Networks, Inc. 38,738 2,242
- Black Box Corp. 28,300 2,241
- Proxim, Inc. 22,600 2,237
- Tanox, Inc. 47,193 2,233
- Razorfish Inc. 138,800 2,229
- Extended Systems Inc. 23,200 2,227
- New Era of Networks, Inc. 52,400 2,227
- Interliant Inc. 95,500 2,226
- Cerner Corp. 81,670 2,226
Solutia, Inc. 161,813 2,225
- Merix Corp. 47,300 2,223
Allegheny Technologies Inc. 123,448 2,222
- Verity, Inc. 58,400 2,219
Hercules, Inc. 157,708 2,218
Skywest, Inc. 59,800 2,216
- Administaff, Inc. 34,900 2,216
- West TeleServices Corp. 87,500 2,215
- Journal Register Co. 121,200 2,212
Mack-Cali Realty Corp. REIT 86,100 2,212
IMC Global Inc. 170,006 2,210
- Varian, Inc. 47,900 2,209
Arden Realty Group, Inc. REIT 94,000 2,209
- Saks Inc. 210,156 2,207
- Aware, Inc. 43,100 2,203
- Amylin Pharmaceuticals, Inc. 144,800 2,199
Old National Bancorp 74,973 2,198
- Vicor Corp. 63,019 2,194
- Myriad Genetics, Inc. 14,800 2,192
- TiVo Inc. 62,600 2,191
Crane Co. 89,803 2,183
Hubbell Inc. Class B 85,300 2,175
- Retek Inc. 67,900 2,173
- Edwards Lifesciences Corp. 113,412 2,169
- Syncor International Corp. 30,100 2,167
Boise Cascade Corp. 83,713 2,166
- Lynx Therapeutics Inc. 45,526 2,165
- PRI Automation, Inc. 33,100 2,164
Florida East Coast Railway Co. 54,100 2,164
- Barnes & Noble, Inc. 97,252 2,164
American Financial Group, Inc. 87,100 2,161
Brunswick Corp. 130,390 2,160
- Sequenom, Inc. 47,530 2,157
Reckson Associates Realty Corp. REIT 90,800 2,157
- Actuate Software Corp. 40,400 2,156
- Quantum Effect Devices, Inc. 37,800 2,155
Valspar Corp. 63,800 2,153
- SuperGen, Inc. 59,400 2,153
- Netegrity, Inc. 28,500 2,146
- Documentum, Inc. 24,000 2,145
OGE Energy Corp. 115,600 2,139
Metris Cos., Inc. 85,069 2,137
- Leap Wireless International, Inc. 45,303 2,129
- NorthPoint Communications Group, Inc. 190,100 2,127
CCB Financial Corp. 57,466 2,126
Lafarge Corp. 101,200 2,125
- Broadbase Software Inc. 69,300 2,122
Wesco Financial Corp. 10,352 2,122
- Viatel, Inc. 74,230 2,120
Block Drug Co. Class A 50,010 2,116
- Suiza Foods Corp. 43,200 2,111
USG Corp. 69,500 2,111
- Kent Electronics Corp. 70,800 2,111
- Management Network Group Inc. 60,300 2,111
- Louis Dreyfus Natural Gas Corp. 67,260 2,106
The McClatchy Co. Class A 63,575 2,106
- Digene Corp. 52,100 2,104
- Electronics for Imaging, Inc. 83,100 2,103
- Tularik, Inc. 71,200 2,100
- Xircom, Inc. 44,200 2,100
- Smithfield Foods, Inc. 74,800 2,099
- Harmonic, Inc. 84,754 2,098
Vintage Petroleum, Inc. 92,800 2,094
- Luminex Corp. 50,292 2,093
Conectiv, Inc. 134,275 2,090
- Freeport-McMoRan Copper &
Gold Inc. Class B 225,746 2,088
- Transkaryotic Therapies, Inc. 56,700 2,084
- FEI Co. 68,300 2,083
Reynolds & Reynolds Class A 113,800 2,077
- Viant Corp. 70,000 2,074
- Packeteer, Inc. 71,200 2,074
Associated Banc-Corp. 95,058 2,073
- ParkerVision, Inc. 41,100 2,073
- Michaels Stores, Inc. 45,200 2,071
Crompton Corp. 169,010 2,070
Kansas City Power & Light Co. 92,000 2,070
Hollinger International, Inc. 151,900 2,070
Health Care Properties
Investors REIT 75,828 2,066
Highwood Properties, Inc. REIT 86,000 2,064
- CuraGen Corp. 54,200 2,063
- Venator Group, Inc. 200,892 2,059
- Engage, Inc. 159,100 2,058
Reinsurance Group of
America, Inc. 68,275 2,057
</TABLE>
18
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<CAPTION>
--------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
Houghton Mifflin Co. 44,000 $ 2,054
Blyth, Inc. 69,600 2,053
Wilmington Trust Corp. 47,900 2,048
Valley National Bancorp 84,119 2,045
- Adaptive Broadband Corp. 55,600 2,043
Centex Corp. 86,927 2,043
HON Industries, Inc. 86,900 2,042
Methode Electronics, Inc. Class A 52,851 2,041
Teleflex Inc. 55,026 2,039
- IDT Corp. 59,800 2,029
- Procom Technology, Inc. 39,200 2,026
Overseas Shipholding Group Inc. 82,200 2,024
- Silicon Valley Group, Inc. 78,100 2,021
Cullen/Frost Bankers, Inc. 76,800 2,021
- AsiaInfo Holdings, Inc. 45,207 2,020
- Rogers Corp. 57,500 2,013
- S3, Inc. 135,608 2,000
- Tut Systems, Inc. 34,800 1,997
Carter-Wallace, Inc. 99,000 1,992
- American Management
Systems, Inc. 60,600 1,989
- Rainbow Technologies, Inc. 40,900 1,989
- Illuminet Holdings, Inc. 39,000 1,984
- Jacobs Engineering Group Inc. 60,500 1,978
Carlisle Co., Inc. 43,854 1,973
- ITC DeltaCom, Inc. 88,300 1,970
United Asset Management Corp. 84,200 1,968
Centura Banks, Inc. 57,918 1,966
Astoria Financial Corp. 76,305 1,965
- ITXC Corp. 55,480 1,964
- Lear Corp. 98,156 1,963
John Wiley & Sons Class A 87,000 1,958
- CompuCredit Corp. 65,100 1,953
- Littelfuse, Inc. 39,800 1,950
- CareInsite, Inc. 109,100 1,950
- Lincare Holdings, Inc. 79,100 1,948
Essex Property Trust, Inc. REIT 46,334 1,946
- LCC International, Inc. Class A 71,200 1,945
21st Century Insurance Group 123,400 1,944
- Consolidated Stores, Inc. 161,819 1,942
- Pactiv Corp. 246,405 1,940
Commerce Bancorp, Inc. 42,159 1,939
Ruby Tuesday, Inc. 153,948 1,934
- Optical Cable Corp. 63,900 1,933
- Kenneth Cole Productions, Inc. 48,300 1,932
- Dendrite International, Inc. 57,900 1,929
- FSI International, Inc. 88,900 1,928
Lee Enterprises, Inc. 82,526 1,924
- Pioneer Group, Inc. 45,200 1,915
Regency Realty Corp. REIT 80,500 1,912
- Cal Dive International, Inc. 35,200 1,907
- Price Communications Corp. 80,900 1,906
Minnesota Power, Inc. 109,900 1,903
- ATMI, Inc. 40,900 1,902
- Avigen, Inc. 43,300 1,900
Mercury General Corp. 80,400 1,899
- Photon Dynamics, Inc. 25,400 1,897
- Centennial Communications Corp. Class A 137,900 1,896
- MIPS Technologies, Inc. 44,600 1,896
- Choice One Communications Inc. 46,432 1,895
- Pioneer Natural Resources Co. 148,400 1,892
Brady Corp. Class A 58,200 1,892
- AmeriCredit Corp. 111,200 1,890
Franchise Finance Corp. of America REIT 82,000 1,886
- S1 Corp. 80,828 1,884
Tupperware Corp. 85,573 1,883
Charles E. Smith Residential
Realty, Inc. REIT 49,400 1,877
- Mentor Graphics Corp. 94,400 1,876
Citizens Banking Corp. 115,472 1,875
- Legato Systems, Inc. 123,900 1,874
Leucadia National Corp. 82,100 1,873
- Zale Corp. 51,300 1,872
Forest City Enterprise Class A 56,100 1,872
BRE Properties Inc. Class A REIT 64,840 1,872
CTS Corp. 41,600 1,872
Bindly Western Industries, Inc. 70,788 1,871
- Glenayre Technologies, Inc. 176,825 1,868
- Tumbleweed Communications Corp. 36,700 1,867
- Three-Five Systems, Inc. 31,600 1,864
Precision Castparts Corp. 41,150 1,862
- Primark Corp. 49,969 1,861
- Carrier Access Corp. 35,200 1,861
- Ingram Micro, Inc. 106,700 1,861
- 99 Cents Only Stores 46,633 1,859
COMSAT Corp. 79,094 1,859
- Citadel Communications Corp. 53,200 1,859
- Barra, Inc. 37,500 1,859
- Symmetricom Inc. 73,300 1,851
- SilverStream Software, Inc. 32,000 1,848
- Cygnus Inc. 129,612 1,847
American National Insurance Co. 36,200 1,846
Applied Power, Inc. 55,105 1,846
Cousins Properties, Inc. REIT 47,783 1,840
John Nuveen Co. Class A 43,800 1,837
- Teledyne Technologies, Inc. 109,617 1,836
One Valley Bancorp of
West Virginia Inc. 58,750 1,836
- LifePoint Hospitals, Inc. 82,494 1,835
- Hyseq, Inc. 40,300 1,831
Sotheby's Holdings Class A 104,600 1,831
- Abercrombie & Fitch Co. 149,936 1,827
- ACNielson Corp. 82,793 1,821
- On Assignment, Inc. 59,700 1,821
- Silicon Image, Inc. 36,450 1,818
- Investment Technology
Group, Inc. 45,975 1,816
- Varian Medical Systems, Inc. 46,400 1,815
- Reebok International Ltd. 113,835 1,814
Callaway Golf Co. 111,200 1,814
WPS Resources Corp. 60,321 1,813
- Photronics Labs Inc. 63,904 1,813
- MEMC Electronic Materials, Inc. 100,600 1,811
- United Rentals, Inc. 105,707 1,810
- Remec, Inc. 43,200 1,809
- MSC Industrial Direct Co., Inc. Class A 86,400 1,809
- Geron Corp. 56,400 1,805
</TABLE>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
--------------------------------------------------------------------------------------
<S> <C> <C>
Helix Technology Corp. 46,200 $ 1,802
- StarMedia Network, Inc. 95,400 1,801
- Electric Fuel Corp. 117,500 1,799
- Sensormatic Electronics Corp. 113,738 1,798
- ADVO, Inc. 42,800 1,798
American Greetings Corp. Class A 94,605 1,797
- Miravant Medical Technology 80,500 1,796
- Hot Topic, Inc. 56,100 1,795
- Numerical Technologies, Inc. 36,903 1,794
- Maxtor Corp. 169,800 1,793
- Affiliated Managers Group, Inc. 39,400 1,793
- ResMed Inc. 67,000 1,792
- Biotechnology General 135,800 1,791
- PurchasePro.com, Inc. 43,650 1,790
Weis Markets, Inc. 54,600 1,788
- EGL, Inc. 58,150 1,788
- Medical Manager Corp. 52,493 1,788
- Nanogen, Inc. 42,100 1,787
- Spectra-Physics Lasers, Inc. 25,500 1,783
- The Topps Co., Inc. 154,397 1,776
- Maverick Tube Corp. 60,900 1,774
Hospitality Properties Trust REIT 78,600 1,773
- Mechanical Technology Inc. 117,635 1,765
- Primus Telecommunications Group, Inc. 70,800 1,761
IDACORP, Inc. 54,600 1,761
- AnnTaylor Stores Corp. 53,100 1,759
- Micron Electronics, Inc. 140,700 1,759
- Atlas Air, Inc. 48,950 1,756
- The Neiman Marcus Group, Inc. Class A 59,345 1,754
- DigitalThink, Inc. 48,900 1,754
Mitchell Energy &
Development Corp. 54,600 1,754
Media General, Inc. Class A 36,100 1,753
Fulton Financial Corp. 98,968 1,750
- Mohawk Industries, Inc. 80,400 1,749
- Chesapeake Energy Corp. 225,600 1,748
Allied Capital Corp. 102,800 1,748
Arrow International, Inc. 52,100 1,745
- Alliance Semiconductor Corp. 71,000 1,744
- AppNet, Inc. 48,300 1,739
- ISIS Pharmaceuticals, Inc. 119,826 1,737
- Syntellect Inc. 267,300 1,737
Chittenden Corp. 70,971 1,734
MDU Resources Group, Inc. 80,200 1,734
- Province Healthcare Co. 47,800 1,727
- Payless ShoeSource, Inc. 33,004 1,722
- Interdigital Communications Corp. 103,700 1,718
- Vertel Corp. 98,109 1,717
Energen Corp. 78,700 1,717
- Borders Group, Inc. 110,200 1,715
- Too Inc. 67,391 1,714
- Forest Oil Corp. 107,400 1,712
BancWest Corp. 104,000 1,709
- WatchGuard Technologies, Inc. 31,100 1,709
- Presstek, Inc 104,700 1,708
- Centigram Communications 66,800 1,708
Sky Financial Group, Inc. 107,096 1,707
- Regeneron Pharmaceuticals, Inc. 57,200 1,705
Bank United Corp. Class A 48,400 1,703
Dillard's Inc. 138,785 1,700
- Coldwater Creek Inc. 56,400 1,699
- SAVVIS Communications Corp. 130,020 1,698
Pacific Century Financial Corp. 115,900 1,695
Graco, Inc. 52,147 1,695
Newport News Shipbuilding Inc. 46,057 1,693
- Aurora Biosciences Corp. 24,800 1,691
Applebee's International, Inc. 55,782 1,691
- Footstar Inc. 50,770 1,688
- R.H. Donnelley Corp. 87,042 1,686
- Oakley, Inc. 146,600 1,686
- Intermune Pharmaceuticals 40,800 1,686
Fair Issac & Co. 38,300 1,685
Trustmark Corp. 96,600 1,684
Florida Rock Industries, Inc. 47,200 1,682
- Dril-Quip, Inc. 35,900 1,678
- Pinnacle Systems, Inc. 74,600 1,677
- Alleghany Corp. 9,984 1,677
- Intersil Holding Corp. 31,000 1,676
Lubrizol Corp. 79,767 1,675
Millennium Chemicals, Inc. 98,482 1,674
- Buckeye Technology, Inc. 76,300 1,674
- Hyperion Solutions Corp. 51,530 1,672
Ryder System, Inc. 88,153 1,669
- Scholastic Corp. 27,300 1,669
Louisiana-Pacific Corp. 153,425 1,668
- Friede Goldman Halter, Inc. 186,675 1,668
Hertz Corp. Class A 59,400 1,667
- Motient Corp. 106,200 1,666
Federal Signal Corp. 100,862 1,664
- Sciclone Pharmaceuticals 128,400 1,661
- Asyst Technologies, Inc. 48,488 1,661
- FirePond, Inc. 46,100 1,660
- Sicor, Inc. 207,414 1,659
- Concurrent Computer Corp. 126,400 1,659
Cummins Engine Co., Inc. 60,693 1,654
- Power Integrations, Inc. 70,100 1,652
Dexter Corp. 34,400 1,651
Roslyn Bancorp, Inc. 99,095 1,646
- Renal Care Group, Inc. 67,300 1,646
CBL & Associates Properties, Inc. REIT 65,700 1,638
- Security Capital Group Inc. REIT Class B 96,200 1,635
- Korn/Ferry International 51,600 1,635
The Timken Co. 87,561 1,631
- UCAR International, Inc. 124,800 1,630
- Southern Union Co. 102,838 1,626
Valhi, Inc. 156,700 1,626
- Interim Services, Inc. 91,590 1,626
- Canandaigua Brands, Inc.
Class A 32,208 1,624
- Orthodontic Centers of
America, Inc. 71,800 1,624
- Turnstone Systems, Inc. 9,800 1,624
Provident Financial Group, Inc. 68,150 1,623
Peoples Energy Corp. 50,085 1,622
Thomas & Betts Corp. 84,717 1,620
- Landstar System 27,200 1,620
- Global Crossing Ltd. 61,550 1,620
- Whole Foods Market, Inc. 39,200 1,619
</TABLE>
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MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- JNI Corp. 51,200 $ 1,619
- Exchange Applications, Inc. 60,800 1,619
Dean Foods Corp. 51,067 1,618
- United Stationers, Inc. 49,900 1,616
First Industrial Realty Trust REIT 54,800 1,617
- F5 Networks, Inc. 29,600 1,615
- Metrocall, Inc. 179,400 1,615
New Plan Excel Realty Trust REIT 124,132 1,614
- Imperial Bancorp 103,176 1,612
- K-V Pharmaceutical Co. Class A 60,750 1,610
CNF Transportation, Inc. 70,699 1,608
Washington Gas Light Corp. 66,798 1,607
Peoples Bank Bridgeport 87,350 1,605
- Storage Technology Corp. 146,410 1,601
- Apria Healthcare 130,700 1,601
White Mountains Insurance
Group Inc. 9,985 1,598
Clayton Homes Inc. 199,695 1,598
Georgia Gulf Corp. 76,668 1,596
- Intelidata Technologies Corp. 154,600 1,594
CONSOL Energy, Inc. 105,400 1,594
- iXL Enterprises, Inc. 109,800 1,592
Western Resources, Inc. 102,339 1,586
- Puma Technology, Inc. 59,100 1,585
- Perot Systems Corp. 143,500 1,579
- Energy Conversion Devices, Inc. 62,175 1,578
Camden Property Trust REIT 53,700 1,577
- ESS Technology, Inc. 108,660 1,576
Mentor Corp. 57,881 1,574
- Rare Hospitality International Inc. 55,700 1,574
- Advanced Tissue Sciences Inc. 195,858 1,573
Tootsie Roll Industries, Inc. 44,911 1,572
- The Yankee Candle Company, Inc. 72,550 1,569
- Linens 'n Things, Inc. 57,700 1,565
- Zoll Medical Corp. 31,900 1,563
Hudson United Bancorp 69,656 1,563
- Packaging Corp. of America 154,300 1,562
- Atwood Oceanics, Inc. 35,034 1,559
- Universal Electronics, Inc. 63,400 1,557
- Imation Corp. 53,000 1,557
- Internet Capital Group, Inc. 42,002 1,555
- TD Waterhouse Group, Inc. 89,400 1,548
- Brooks Automation, Inc. 24,200 1,547
Weingarten Realty Investors
REIT 38,300 1,546
Downey Financial Corp. 53,300 1,546
- Acacia Research Corp. 64,400 1,546
United Dominion Realty Trust REIT 140,400 1,544
- Stillwater Mining Co. 55,350 1,543
- Startek, Inc. 30,600 1,541
- Bone Care International, Inc. 65,300 1,539
- W.R. Grace & Co. 126,894 1,539
- GelTex Pharmaceuticals, Inc. 75,200 1,537
- ICG Communications, Inc. 69,494 1,533
- Pre-Paid Legal Services, Inc. 51,300 1,533
- Zebra Technologies Corp. Class A 34,585 1,533
- Bush Boake Allen, Inc. 35,000 1,531
- Satcon Technology Corp. 59,893 1,531
CFW Communications Co. 40,800 1,530
Cabot Oil & Gas Corp. Class A 72,200 1,530
- hi/fn, inc. 34,443 1,528
- PC-Tel, Inc. 40,200 1,528
- Ramtron International Corp. 77,800 1,527
- Cirrus Logic 95,400 1,526
- Neurogen Corp. 52,820 1,525
- Spyglass, Inc. 48,700 1,525
- Radio One, Inc. Class D 69,100 1,525
ONEOK, Inc. 58,719 1,523
Spiegel, Inc. Class A 179,000 1,521
- Allaire Corp. 41,400 1,521
United Bankshares, Inc. 83,650 1,521
Webster Financial Corp. 68,568 1,521
Cross Timbers Oil Co. 68,725 1,521
- SEACOR SMIT Inc. 39,300 1,520
- Cabot Microelectronics Corp. 33,227 1,520
- Valence Technology 82,400 1,519
- CEC Entertainment Inc. 59,200 1,517
- Bally Total Fitness Holding Corp. 59,700 1,515
- Cytec Industries, Inc. 61,354 1,515
RPM Inc. (Ohio) 149,562 1,514
- Biomatrix, Inc. 66,866 1,513
Hawaiian Electric Industries Inc. 46,065 1,512
Harman International Industries, Inc. 24,777 1,511
- Veritas DGC Inc. 58,100 1,511
FelCor Lodging Trust, Inc. REIT 81,629 1,510
- 7-Eleven, Inc. 109,820 1,510
- Exelixis, Inc. 45,166 1,507
- ANADIGICS, Inc. 44,250 1,507
- Osicom Technologies, Inc. 17,800 1,506
- Telxon Corp. 84,200 1,505
Pogo Producing Co. 68,000 1,505
IndyMac Mortgage
Holdings, Inc. REIT 110,900 1,504
- AirGate PCS, Inc. 28,600 1,503
- Newpark Resources, Inc. 159,000 1,501
- Insituform Technologies Class A 55,300 1,500
Nordson Corp. 29,600 1,499
- Columbia Sportswear Co. 55,700 1,497
- ePlus Inc. 56,600 1,496
- Sipex Corp. 54,000 1,495
Developers Diversified
Realty Corp. REIT 100,000 1,494
- Lands' End, Inc. 44,700 1,492
- Martek Biosciences Corp. 79,400 1,489
OM Group, Inc. 33,800 1,487
Cambrex Corp. 33,000 1,485
- Corvas International, Inc. 123,600 1,483
- Intergraph Corp. 196,040 1,483
York International Corp. 56,700 1,481
Shurgard Storage Centers, Inc.
Class A REIT 65,800 1,481
- Delphi Financial Group, Inc. 43,598 1,480
UGI Corp. Holding Co. 72,100 1,478
The Times Mirror Co. PEPS 17,900 1,477
- Closure Medical Corp. 64,200 1,477
Stewart & Stevenson
Services, Inc. 97,918 1,475
</TABLE>
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<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
Brandywine Realty Trust REIT 76,900 $ 1,471
Claire's Stores, Inc. 76,400 1,471
- General Semiconductor, Inc. 99,689 1,470
- Station Casinos, Inc. 58,800 1,470
- Toll Brothers, Inc. 71,700 1,470
- Aphton Corp. 57,039 1,469
- Concord Communications, Inc. 36,800 1,467
- O'Reilly Automotive, Inc. 105,400 1,462
Dial Corp. 140,863 1,461
Manufactured Home
Communities, Inc. REIT 61,000 1,460
SL Green Realty Corp. REIT 54,500 1,458
- MatrixOne, Inc. 35,837 1,456
- Progress Software Corp. 81,100 1,455
- Paradyne Networks, Inc. 44,600 1,452
- MKS Instruments, Inc. 37,100 1,452
- Scotts Co. 39,700 1,449
- Cubist Pharmaceuticals, Inc. 29,400 1,448
U.S. Industries, Inc. 119,414 1,448
WFS Financial, Inc. 83,750 1,445
Washington REIT 80,700 1,443
- Palm, Inc. 43,166 1,441
- Airnet Communications Corp. 55,130 1,440
- MIPS Technologies, Inc. Class B 37,409 1,440
Harsco Corp. 56,468 1,440
Colonial BancGroup, Inc. 149,560 1,440
- Rhythms NetConnections Inc. 114,525 1,439
- Data Return Corp. 49,600 1,438
- FileNet Corp. 77,900 1,431
- Nu Horizons Electronics Corp. 53,735 1,431
Liberty Financial Cos., Inc. 65,200 1,430
- Anixter International Inc. 53,900 1,428
- PanAmSat Corp. 32,630 1,426
- Mueller Industries Inc. 50,868 1,424
- American Eagle Outfitters, Inc. 101,700 1,424
- Hearst-Argyle Television Inc. 72,956 1,423
- Ancor Communications, Inc. 39,700 1,420
Rayonier Inc. 39,571 1,420
- Barrett Resources Corp. 46,600 1,418
Chateau Communities, Inc. REIT 50,100 1,415
Urban Shopping Centers, Inc. REIT 42,000 1,415
- Cysive, Inc. 59,200 1,413
Greif Brothers Corp. Class A 45,900 1,411
- Allscripts, Inc. 61,100 1,405
Potlatch Corp. 42,396 1,404
- XM Satellite Radio Holdings, Inc. 37,500 1,404
- Unit Corp. 103,900 1,403
- Commonwealth Telephone Enterprises, Inc. 29,800 1,402
- Argosy Gaming Co. 97,400 1,400
- Witness Systems, Inc. 57,300 1,397
- Dionex Corp. 52,200 1,396
- WebTrends Corp. 36,000 1,393
- Globix Corp. 47,500 1,392
- ProBusiness Services, Inc. 52,400 1,392
- Accrue Software, Inc. 39,200 1,392
StanCorp Financial Group, Inc. 43,300 1,391
- Iomega Corp. 347,400 1,390
Ethan Allen Interiors, Inc. 57,840 1,388
Universal Corp. 65,700 1,388
- Sanchez Computer Associates, Inc. 58,420 1,387
- Chirex, Inc. 69,200 1,384
- NeoPharm, Inc. 70,400 1,380
- Valuevision International, Inc. Class A 57,500 1,380
- ArthroCare Corp. 25,900 1,379
CMP Group Inc. 47,000 1,378
Keystone Financial, Inc. 64,743 1,376
Brown & Brown, Inc. 26,450 1,375
Pier 1 Imports Inc. 140,950 1,374
Belden, Inc. 53,600 1,374
Gartner Group, Inc. Class A 114,400 1,373
- School Specialty, Inc. 73,855 1,371
- Chico's Fas, Inc. 68,528 1,371
- Men's Wearhouse, Inc. 61,325 1,368
Sierra Pacific Resources 108,908 1,368
Western Gas Resources, Inc. 65,000 1,365
FactSet Research Systems Inc. 48,300 1,364
- Alliant Techsystems, Inc. 20,200 1,362
- Media 100 Inc. 52,892 1,362
- Fisher Scientific International Inc. 55,000 1,361
- SpeedFam-IPEC, Inc. 74,792 1,360
Westfield America, Inc. REIT 100,100 1,358
- Saba Software, Inc. 64,614 1,357
- MicroStrategy Inc. 45,200 1,356
Park National Corp. 14,910 1,353
BorgWarner, Inc. 38,489 1,352
- Caliper Technologies Corp. 29,380 1,351
Whitney Holdings 39,470 1,349
Interstate Bakeries Corp. 96,335 1,349
- C-COR Electronics, Inc. 49,900 1,347
Spartech Corp. 49,900 1,347
Airborne Freight Corp. 71,080 1,346
- Breakaway Solutions, Inc. 49,800 1,345
- Teligent, Inc. 56,900 1,344
- Dura Pharmaceuticals, Inc. 93,486 1,344
Worthington Industries, Inc. 127,799 1,342
- Standard Microsystem 87,200 1,341
- e.spire Communications, Inc. 198,400 1,339
Washington Federal Inc. 73,371 1,339
- National Discount Brokers Group, Inc. 42,000 1,339
- Symyx Technologies 31,400 1,338
Capitol Federal Financial 120,900 1,337
Penn Virginia Corp. 54,100 1,332
- Ziff-Davis Inc. 148,000 1,332
- Rayovac Corp. 59,400 1,329
- Identix, Inc. 84,600 1,327
Corn Products International, Inc. 49,961 1,324
- MP3.com, Inc. 97,500 1,322
Granite Construction Co. 53,850 1,319
- Phoenix Technologies LTD. 80,802 1,318
Northwest Natural Gas Co. 58,900 1,318
- Haemonetics Corp. 62,600 1,315
- Com21, Inc. 52,500 1,313
Raymond James Financial, Inc. 58,312 1,312
WestAmerica Bancorporation 50,200 1,311
National Bankcorp of Alaska Inc. 36,500 1,309
Mark IV Industries, Inc. 62,689 1,309
</TABLE>
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MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- MemberWorks, Inc. 38,800 $ 1,305
- Swift Transportation Co., Inc. 93,100 1,303
- NCO Group, Inc. 56,099 1,297
AK Steel Corp. 162,129 1,297
- Alliance Pharmaceutical Corp. 115,202 1,296
- Evergreen Resources, Inc. 43,700 1,295
- Organogenesis, Inc. 113,008 1,293
- Coventry Health Care Inc. 96,955 1,292
Heller Financial, Inc. 62,940 1,290
- SPS Technologies, Inc. 31,352 1,287
Hilb, Rogal and Hamilton Co. 37,100 1,287
Chelsea GCA Realty, Inc. REIT 37,200 1,286
Summit Properties, Inc. REIT 61,200 1,285
- PathoGenesis Corp. 49,400 1,284
Ferro Corp. 61,100 1,283
Owens Corning 138,553 1,282
- Wink Communications, Inc. 42,000 1,281
Banta Corp. 67,600 1,280
Cooper Cos., Inc. 35,100 1,277
JLG Industries, Inc. 107,500 1,277
La-Z-Boy Inc. 91,078 1,275
- Manhattan Associates, Inc. 51,000 1,275
United Television, Inc. 9,900 1,275
- Digitas Inc. 78,089 1,274
- ACTV, Inc. 85,200 1,273
- SCM Microsystems,Inc. 21,000 1,272
Minerals Technologies, Inc. 27,600 1,270
- Speedway Motorsports, Inc. 55,200 1,270
Glenborough Realty Trust, Inc. REIT 72,700 1,268
Community First Bankshares 77,700 1,267
G & K Services, Inc. 50,500 1,266
Pioneer Standard Electronics Inc. 85,800 1,266
Kaufman & Broad Home Corp. 63,829 1,265
Trustco Bank 101,008 1,263
Church & Dwight, Inc. 70,000 1,260
- AnswerThink Consulting Group, Inc. 75,700 1,259
- Novavax, Inc. 171,990 1,258
- Pinnacle Entertainment, Inc. 64,700 1,258
Wellman, Inc. 77,545 1,255
- Pharmaceutical Product Development, Inc. 59,770 1,255
- Secure Computing Corp. 66,700 1,255
Inter-Tel, Inc. 77,900 1,251
- Immune Response 114,917 1,250
- Laboratory Corp. of America Holdings 16,164 1,247
- Anchor Gaming 25,899 1,242
HCC Insurance Holdings, Inc. 65,700 1,240
Ametek Aerospace Products Inc. 70,800 1,239
- Jack in the Box Inc. 50,300 1,239
- About.Com, Inc. 39,300 1,238
Sealed Air Corp. 24,451 1,238
First American Corp. 86,400 1,237
Central Parking Corp. 52,200 1,236
- GTech Holdings Corp. 54,500 1,236
- Salient 3 Communications Class A 102,500 1,236
Donaldson Co., Inc. 62,600 1,236
- Covance, Inc. 140,213 1,236
UMB Financial Corp. 37,652 1,235
- Modis Professional Services Inc. 139,153 1,235
Ball Corp. 38,368 1,235
- Gene Logic Inc. 34,600 1,235
- Ventro Corp. 65,400 1,234
- CapRock Communications Corp. 63,300 1,234
Aptargroup Inc. 45,700 1,234
- EntreMed, Inc. 41,200 1,233
- Impath, Inc. 22,700 1,231
- Quintus Corp. 61,980 1,231
First Midwest Bancorp 52,890 1,230
Roadway Express Inc. 52,458 1,229
- Therma-Wave Inc. 55,000 1,227
Service Corp. International 384,661 1,226
Raytheon Co. Class A 62,770 1,220
Franklin Electric, Inc. 18,000 1,220
First Financial Bancorp 61,884 1,218
- Advanced Digital Information Corp. 76,300 1,216
J.B. Hunt Transport Services, Inc. 78,747 1,216
Pulte Corp. 56,214 1,216
- Epitope Inc. 88,400 1,216
Nationwide Financial Services, Inc. 36,900 1,213
- Sylvan Learning Systems, Inc. 88,200 1,213
- Digital Insight Corp. 35,600 1,210
Alexander & Baldwin, Inc. 54,800 1,209
Dole Food Co. 73,800 1,208
- LifeMinders, Inc. 40,800 1,206
Commercial Federal Corp. 77,383 1,204
- Pacific Sunwear of California 64,125 1,202
- Azurix Corp. 153,800 1,202
- Clarus Corp. 30,900 1,201
Omnicare, Inc. 132,400 1,200
Avista Corp. 68,800 1,200
- Electroglas, Inc. 55,700 1,198
- Adelphia Business Solutions, Inc. 51,600 1,196
Diagnostic Products Corp. 37,323 1,194
- Humana, Inc. 244,332 1,191
- Southwest Bancorporation of Texas, Inc. 57,400 1,191
- Bright Horizons Family Solutions, Inc. 55,700 1,191
Libbey, Inc. 36,900 1,185
- Gulf Island Fabrication, Inc. 69,700 1,185
- Education Management Corp. 65,600 1,185
Universal Foods Corp. 63,914 1,182
- Telaxis Communications Corp. 37,814 1,182
- Ultratech Stepper, Inc. 79,400 1,181
Michael Foods Group, Inc. 48,200 1,181
Tecumseh Products Co. Class A 30,913 1,180
- Quiksilver, Inc. 75,850 1,180
- Forrester Research, Inc. 16,200 1,180
- Pixelworks, Inc. 51,800 1,178
Westcorp, Inc. 98,697 1,178
Justin Industries, Inc. 53,860 1,178
Value Line, Inc. 30,600 1,178
IDEX Corp. 37,225 1,175
United National Bancorp 63,933 1,175
- PICO Holdings, Inc. 83,520 1,175
Pennzoil-Quaker State Co. 97,314 1,174
</TABLE>
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<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- ClickAction, Inc. 73,300 $ 1,173
- Triarc Cos., Inc. Class A 57,200 1,173
- Caminus Corp. 47,790 1,171
- SmartDisk Corp. 42,500 1,169
- Insurance Auto Auctions, Inc. 55,300 1,168
- Loronix Information Systems 32,500 1,168
- Metricom 41,900 1,168
- Polo Ralph Lauren Corp. 81,900 1,167
S & T Bancorp, Inc. 63,800 1,164
- Spanish Broadcasting System, Inc. 56,600 1,164
- ViroPharma Inc. 74,400 1,163
- McAfee.com Corp. 44,600 1,162
- Algos Pharmaceutical Corp. 76,200 1,162
- Schein Pharmaceutical, Inc. 53,700 1,161
Kelly Services, Inc. Class A 50,137 1,159
Werner Enterprises, Inc. 100,250 1,159
Carpenter Technology Corp. 54,800 1,158
- Allied Riser Communications Corp. 81,900 1,157
- Atlantic Coast Airlines Holdings Inc. 36,400 1,156
- Hain Celestial Group, Inc. 31,500 1,156
Black Hills Corp. 51,200 1,155
- C-Cube Microsystems Inc. 58,800 1,154
Arch Chemicals, Inc. 52,750 1,154
SJW Corp. 9,700 1,153
Ruddick Corp. 97,600 1,153
- McMoRan Exploration Co. 69,551 1,148
American National Can Group, Inc. 68,000 1,148
- Sonic Automotive, Inc. 107,100 1,145
- VIA NET.WORKS, Inc. 74,078 1,144
- Sonic Corp. 38,925 1,143
Doral Financial Corp. 99,600 1,139
- NS Group Inc. 54,400 1,139
- eSPEED, Inc. 26,200 1,138
Gables Residential Trust REIT 44,000 1,136
Liberty Corp. 27,000 1,134
Cooper Tire & Rubber Co. 101,905 1,134
- STERIS Corp. 127,698 1,133
AGL Resources Inc. 70,800 1,128
D. R. Horton, Inc. 83,180 1,128
HSB Group Inc. 36,235 1,128
- Young Broadcasting Inc. 43,900 1,128
- Juno Online Services, Inc. 104,900 1,128
- PAREXEL International Corp. 117,900 1,127
- NetManage, Inc. 252,063 1,126
Cleco Corp. 33,608 1,126
Alfa Corp. 64,300 1,125
- Cell Genesys, Inc. 40,100 1,123
- OTG Software, Inc. 39,300 1,122
- Liberty Digital, Inc. 37,400 1,122
- America West Holdings Corp. Class B 65,500 1,122
Elcor Corp. 48,750 1,121
- Acuson Corp. 83,012 1,121
- Geoworks 71,100 1,120
- Quorum Health Group, Inc. 108,400 1,118
- BOK Financial Corp. 63,587 1,117
Great American Financial Resources, Inc. 63,117 1,116
- Meridian Gold Co. 182,200 1,116
Texas Industries, Inc. 38,500 1,112
- Impco Technologies Inc. 26,200 1,110
Invacare Corp. 42,257 1,109
- Frontline Capital Group 52,000 1,108
- Alexander's, Inc. REIT 15,123 1,108
- Viasystems Group, Inc. 68,400 1,107
- Primus Knowledge Solutions, Inc. 24,600 1,107
- Rent-A-Center, Inc. 49,200 1,107
- Network Plus Corp. 77,900 1,105
- Dollar Thrifty Automotive Group, Inc. 59,900 1,104
- The Profit Recovery Group International, Inc. 66,400 1,104
- IDEXX Laboratories Corp. 48,200 1,103
Kaydon Corp. 52,500 1,103
Enterprise Products Partners L.P. 49,000 1,103
National Data Corp. 47,811 1,100
Thomas Nelson, Inc. 128,350 1,099
Healthcare Realty Trust Inc. REIT 64,320 1,097
- Lante Corp. 53,660 1,097
- NetRatings, Inc. 42,790 1,096
- Ciber, Inc. 82,700 1,096
Morrison Management Specialists, Inc. 38,857 1,095
- GoTo.com, Inc. 71,500 1,095
- Ask Jeeves, Inc. 60,600 1,095
Simmons First National 48,850 1,093
- Ampal-American Israel Corp. 72,800 1,092
Churchill Downs, Inc. 46,700 1,092
- Agribrands International, Inc. 26,011 1,091
CBRL Group, Inc. 74,254 1,091
- Papa John's International, Inc. 44,500 1,090
- Shuffle Master, Inc. 75,817 1,090
- Predictive Systems, Inc. 30,300 1,089
FINOVA Group, Inc. 83,629 1,087
Realty Income Corp. REIT 46,100 1,086
- Applied Innovation Inc. 102,200 1,086
- Handleman Co. 86,761 1,085
- Rare Medium Group, Inc. 68,500 1,083
New Jersey Resources Corp. 28,400 1,081
- Advanced Lighting Technologies, Inc. 58,400 1,080
Bel Fuse, Inc.-Class B 40,350 1,079
- CenterSpan Communications Corp. 57,500 1,078
- Theragenics Corp. 125,784 1,077
- ITT Educational Services, Inc. 61,200 1,075
Polaroid Corp. 59,431 1,073
- Plains Resources 67,083 1,069
- Organic, Inc. 109,634 1,069
- Ionics, Inc. 34,900 1,069
Polaris Industries, Inc. 33,400 1,069
- Hutchinson Technology, Inc. 75,000 1,069
- Sinclair Broadcast Group, Inc. 97,100 1,068
- Objective Systems Integrators, Inc. 99,900 1,068
- Bottomline Technologies, Inc. 31,200 1,067
Longs Drug Stores, Inc. 49,019 1,066
Pultizer, Inc. 25,266 1,066
Piedmont Natural Gas, Inc. 40,080 1,065
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Sensory Science Corp. 347,400 $ 1,064
F.N.B. Corp. 51,547 1,063
- TenFold Corp. 64,663 1,063
- Aspect Medical Systems, Inc. 39,364 1,063
- PRAECIS Pharmaceuticals Inc. 38,121 1,063
Lilly Industries Inc. Class A 35,268 1,060
Lancaster Colony Corp. 55,182 1,059
Albemarle Corp. 53,569 1,058
- Silgan Holdings, Inc. 107,800 1,058
- HomeGrocer.com 175,168 1,056
MeriStar Hospitality Corp. REIT 50,300 1,056
- DuPont Photomasks, Inc. 15,400 1,055
Meritor Automotive, Inc. 95,866 1,055
Clarcor Inc. 53,000 1,053
- Conmed Corp. 40,668 1,052
- Manor Care, Inc. 150,297 1,052
Jefferies Group, Inc. 52,100 1,052
- Avant! Corp. 56,100 1,051
- Capital Corp. of the West 101,200 1,050
- Markel Corp. 7,400 1,048
Federal-Mogul Corp. 109,500 1,047
- ORATEC Interventions, Inc. 31,362 1,047
- Zomax Inc. 79,700 1,046
BancorpSouth, Inc. 74,300 1,045
- Thermo Cardiosystems Inc. 104,450 1,044
- QuickLogic Corp. 46,900 1,044
Philadelphia Suburban Corp. 50,900 1,043
- Visual Networks, Inc. 36,600 1,043
- American Freightways 71,904 1,043
Earthgrains Co. 53,572 1,041
Roper Industries Inc. 40,628 1,041
- Engineering Animation, Inc. 111,400 1,041
Rollins, Inc. 69,950 1,041
Independence Community Bank Corp. 78,500 1,040
- Fossil, Inc. 53,350 1,037
- Wave Systems Corp. 65,500 1,036
- First Federal Financial Corp. 73,268 1,035
- EMS Technologies, Inc. 57,386 1,033
- InterWorld Corp. 50,350 1,032
- Net2Phone, Inc. 28,918 1,032
Hooper Holmes, Inc. 129,000 1,032
HRPT Properties Trust REIT 168,400 1,031
Owens & Minor, Inc. Holding Co. 59,950 1,030
- Triad Guaranty, Inc. 44,900 1,030
- Westell Technologies, Inc. 68,600 1,029
NUI Corp. 38,100 1,029
- Insight Communications Co., Inc. 65,800 1,028
Haven Bancorp, Inc. 55,300 1,027
- eToys Inc. 161,600 1,025
- Genzyme Molecular Oncology 73,831 1,024
- Level 8 Systems Inc. 48,600 1,024
- Sonosite, Inc. 35,479 1,022
Staten Island Bancorp, Inc. 57,900 1,020
Briggs & Stratton Corp. 29,722 1,018
RGS Energy Group Inc. 45,652 1,016
- Mobile Mini, Inc. 46,000 1,015
- Vail Resorts Inc. 62,200 1,015
Pittston Brink's Group 74,122 1,015
National Service Industries, Inc. 51,980 1,014
- IKOS Systems, Inc. 93,700 1,013
- Silicon Graphics, Inc. 269,950 1,012
- Signal Technology Corp. 40,453 1,011
The South Financial Group, Inc. 69,600 1,009
- Artisoft, Inc. 83,204 1,009
- Furniture Brands International Inc. 66,700 1,009
- iManage, Inc. 101,501 1,009
- Advance Paradigm, Inc. 49,200 1,009
- Stein Mart, Inc. 98,400 1,009
Chemical Finance 38,781 1,008
Dover Downs Entertainment, Inc. 71,800 1,005
- Aztar Corp. 64,700 1,003
- Sonus Networks, Inc. 6,350 1,003
- Grey Wolf, Inc. 200,500 1,003
- ABC-NACO, Inc. 125,300 1,002
- Avanex Corp. 10,466 1,000
- Hollywood Casino Corp. 142,700 999
- Syntel, Inc. 99,850 998
Trinity Industries, Inc. 53,850 996
Home Properties of New York, Inc. REIT 33,100 993
- iGATE Capital Corp. 72,200 993
- I-STAT Corp. 56,900 992
- Priority Healthcare Corp. Class A 13,348 992
- Playboy Enterprises, Inc. Class B 76,800 989
Longview Fibre Co. 89,330 988
Westbanco Inc. 40,750 988
- BSQUARE Corp. 44,000 987
MacDermid, Inc. 41,961 986
- Centra Software, Inc. 103,762 986
Commerce Group, Inc. 33,400 985
- Sagent Technology, Inc. 69,100 985
Modine Manufacturing Co. 36,462 984
- Ralcorp Holdings, Inc. 80,357 984
First Charter Corp. 62,484 984
Federal Realty Investment Trust REIT 49,200 984
Bergen Brunswig Corp. Class A 178,881 984
- Net.B@nk, Inc. 78,900 981
- Radio One, Inc. 33,150 980
Ohio Casualty Corp. 92,188 979
- Crossroads Systems, Inc. 38,696 977
- NCI Building Systems, Inc. 48,200 976
- Basin Exploration Inc. 54,600 976
National Presto Industries, Inc. 31,737 976
- Friendly Ice Cream Corp. 192,100 973
- V-One Corp. 194,362 972
- Loudeye Technologies, Inc. 55,703 971
- Scios, Inc. 172,500 970
Dreyer's Grand Ice Cream, Inc. 46,200 970
- TriPath Imaging, Inc. 157,200 968
- Battle Mountain Gold Co. Class A 441,999 967
H.B. Fuller Co. 21,200 966
- AGENCY.COM Inc. 54,120 964
AGCO Corp. 78,600 963
- WorldGate Communications, Inc. 54,100 960
- Unifi, Inc. 77,550 960
Superior Telecom Inc. 96,510 959
- Volt Information Sciences Inc. 29,100 958
Lennox International Inc. 72,330 958
- FirstCom Corp. 63,600 958
- Scientific Games Holdings Corp. 39,000 958
</TABLE>
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<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Coinstar, Inc. 95,000 $ 956
Kimball International, Inc. Class B 64,800 956
Analysts International Corp. 102,600 955
- BUY.COM, Inc. 189,900 955
- Triad Hospitals, Inc. 39,494 955
Mine Safety Appliances Co. 39,800 955
Walter Industries, Inc. 83,500 955
- Mid Atlantic Medical Services, Inc. 70,700 954
- Network Access Solutions Corp. 99,800 954
Fremont General Corp. 241,994 953
- AXYS Pharmaceuticals, Inc. 159,945 950
Student Loan Corp. 22,600 949
X-Rite Inc. 104,000 949
Prentiss Properties Trust REIT 39,500 948
- Brightpoint, Inc. 109,500 948
- MetaCreations Corp. 78,925 947
- Thermo Ecotek Corp. 100,850 945
- Playtex Products, Inc. 83,400 943
- Dal-Tile International Inc. 114,300 943
- Precision Optics Corp. 56,500 943
- Netopia, Inc. 23,400 942
State Auto Financial Corp. 79,300 942
- Webvan Group Inc. 129,100 940
Koger Equity, Inc. REIT 55,600 938
- Multex.com Inc. 37,200 937
- Metawave Communications Corp. 35,106 937
- Nuevo Energy Co. 49,600 936
- Gadzooks, Inc. 80,600 936
- Diacrin, Inc. 118,700 935
Bowne & Co., Inc. 92,800 934
OceanFirst Financial Corp. 50,600 933
- NETRIX Corp. 75,700 932
- Vicinity Corp. 47,400 930
- Xpedior Inc. 67,280 929
- Netpliance, Inc. 101,625 927
- Open Market, Inc. 67,100 927
EastGroup Properties, Inc. REIT 44,000 927
- Extensity, Inc. 27,045 926
Standard Pacific Corp. 92,600 926
The Toro Co. 28,100 926
- Alaska Air Group, Inc. 34,100 925
Watts Industries Class A 73,200 924
- infoUSA Inc. 142,032 923
St. Mary Land & Exploration Co. 21,928 922
- eXcelon Corp. 116,100 922
- Veterinary Centers of America, Inc. 66,760 918
- eLoyalty Corp. 71,975 918
Kansas City Life Insurance Co. 34,100 916
- Data Broadcasting Corp. 145,100 916
R.L.I. Corp. 26,325 915
- Wisconsin Central Transportation Corp. 70,300 914
- NPS Pharmaceuticals, Inc. 34,100 912
- Specialty Equipment Cos., Inc. 33,600 911
- CAIS Internet, Inc. 64,700 910
BSB Bancorp, Inc. 45,332 909
- Prodigy Communications Corp. Class A 86,600 909
- Bio-Rad Laboratories, Inc. Class A 36,353 909
USFreightways Corp. 37,000 909
- Antigenics, Inc. 54,488 906
Gaylord Entertainment Co. Class A 42,119 906
CPI Corp. 42,800 904
- Mediaplex, Inc. 46,798 904
- Swift Energy Co. 31,800 902
- Nautica Enterprises, Inc. 84,149 899
- Foamex International, Inc. 148,200 898
- Belco Oil & Gas Corp. 105,700 898
Russell Corp. 44,797 896
- Cadiz Inc. 111,700 894
Glimcher Realty Trust REIT 62,100 893
- World Access, Inc. 80,561 891
Sterling Bancshares, Inc. 82,400 891
First Financial Holdings, Inc. 64,700 890
South Jersey Financial Corp. Inc. 45,400 890
- SeaChange International, Inc. 30,800 889
Advanta Corp. Class A 72,939 889
- Factory 2-U Stores Inc. 23,500 889
- Andrea Radio Corp. 124,500 887
- Internet Pictures Corp. 58,638 887
Petroleum Helicopters, Inc. 92,000 885
- Syntroleum Corp. 51,700 885
- Royal Appliance Manufacturing Co. 155,586 885
N L Industries, Inc. 58,000 885
MAF Bancorp, Inc. 48,583 884
- CUNO Inc. 38,200 883
- Catalytica, Inc. 80,100 881
First Citizens BancShares Class A 14,800 881
Manitowac Co., Inc. 32,900 880
- Telular Corp. 73,250 879
Kennametal, Inc. 41,000 879
- MessageMedia Inc. 250,900 878
Commercial Metals Co. 31,900 877
- Network Peripherals, Inc. 52,360 877
- DSL.Net, Inc. 85,000 877
- Fairfield Communities, Inc. 111,200 876
John H. Harland Co. 58,587 875
- BindView Development Corp. 72,900 875
Baldor Electric Co. 46,940 874
Chemed Corp. 31,000 874
Storage USA, Inc. REIT 29,600 873
Anchor Bancorp Wisconsin Inc. 57,000 873
Lincoln Electric Holdings 61,248 873
Harbor Florida Bancshares, Inc. 83,479 871
The Macerich Co. REIT 39,400 869
Mills Corp. REIT 46,200 869
SLI, Inc. 71,650 869
Harleysville National Corp. 26,514 868
Primex Technologies, Inc. 39,460 868
- UNOVA, Inc. 118,238 865
- AppliedTheory Corp. 57,600 864
Foster Wheeler Corp. 100,126 864
- Castle & Cooke Inc. 44,700 863
JP Realty Inc. REIT 48,400 862
CPB, Inc. 34,400 860
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
Chesapeake Corp. of Virginia 29,017 $ 860
- eShare Communications, Inc. 122,600 858
- Mail-Well, Inc. 99,500 858
- Revlon, Inc. Class A 135,700 857
- American Classic Voyager Co. 41,500 856
- Kronos, Inc. 32,900 855
- kforce.com, Inc. 123,283 855
- Genrad, Inc. 94,988 855
- Caldera Systems, Inc. 65,400 854
Regal-Beloit Corp. 53,600 854
National Golf Properties, Inc. REIT 40,400 853
Burlington Coat Factory Warehouse Corp. 78,810 852
Sun Communities, Inc. REIT 25,400 849
- The InterCept Group, Inc. 49,900 848
- General DataComm Industries, Inc. 139,400 845
- Structural Dynamics Research Corp. 56,100 845
American States Water Co. 28,400 845
- National Information Consortium, Inc. 74,200 844
Centex Construction Products,Inc. 37,200 844
Harmon Industries, Inc. 63,400 840
- Avatar Holding, Inc. 36,500 840
Taubman Co. REIT 76,200 838
- Troy Group, Inc. 56,200 836
- Policy Management Systems Corp. 54,340 835
- Sunglass Hut International, Inc. 101,626 835
- Software Spectrum, Inc. 48,200 834
- Project Software & Development, Inc. 46,300 833
- Switchboard Inc. 83,291 833
- Netcentives Inc. 44,700 833
PFF Bancorp, Inc. 45,600 832
- Uniroyal Technology Corp. 75,186 832
- Water Pik Technologies, Inc. 132,874 830
A. Schulman Inc. 68,693 829
Olin Corp. 50,200 828
- Radiant Systems, Inc. 34,500 828
- Esterline Technologies Corp. 55,590 827
Armstrong Holdings, Inc. 53,971 826
- IDX Systems Corp. 58,500 826
- Chordiant Software, Inc. 49,700 826
- Laser Vision Centers, Inc. 133,400 825
- Labor Ready, Inc. 124,150 822
CH Energy Group, Inc. 24,200 821
Omega Financial Corp. 32,512 821
First International Bancorp, Inc. 100,900 820
- WMS Industries, Inc. 53,100 820
- Henry Schein, Inc. 47,479 819
- Jackpot Enterprises, Inc. 64,800 818
Brown Shoe Company, Inc. 62,715 815
Thor Industries, Inc. 38,800 815
Midas Inc. 40,720 814
- American Axle & Manufacturing Holdings, Inc. 57,400 814
- MAXIMUS, Inc. 36,800 814
- ebix.com Inc. 159,780 814
- GetThere.com, Inc. 77,003 813
- Billing Concepts Corp. 183,228 813
- Bell & Howell Co. 33,500 812
- PLATO Learning, Inc. 58,900 810
- Ogden Corp. 89,945 810
- Respironics, Inc. 44,966 809
Detroit Diesel Corp. 54,700 807
- American Italian Pasta Co. 39,000 807
- Vicorp Restaurants, Inc. 44,148 806
- Guess ?, Inc. 57,500 805
E.W. Blanch Holdings, Inc. 39,600 804
- Boston Beer Co., Inc. Class A 93,800 803
Strayer Education, Inc. 33,400 802
Great Atlantic & Pacific
Tea Co., Inc. 48,191 801
- Technisource, Inc. 206,600 801
- Numerex Corp. 64,600 799
- OSI Pharmaceticals, Inc. 27,700 798
Tredegar Corp. 42,000 798
Horace Mann Educators Corp. 53,200 798
- Ventana Medical Systems, Inc. 33,900 797
- Franklin Electronic Publishers, Inc. 89,700 796
Atmos Energy Corp. 45,476 796
St. Francis Capital Corp. 52,500 794
Westpoint Stevens, Inc. 71,086 791
- GraphOn Corp. 93,000 791
Andover Bancorp, Inc. 27,400 789
- DT Industries, Inc. 84,200 789
P.H. Glatfelter Co. 77,400 789
Parkway Properties Inc. REIT 25,850 788
- Digital Generation Systems 116,800 788
- IGEN International, Inc. 47,600 788
- Yellow Corp. 53,447 788
AMCOL International Corp. 47,650 786
- Kendle International Inc. 99,700 785
- Cyberonics, Inc. 65,300 784
- Professional Detailing, Inc. 23,000 783
- Palm Harbor Homes, Inc. 53,900 782
- Parker Drilling Co. 126,300 781
- Ulticom, Inc. 32,517 781
- GenesisIntermedia.com, Inc. 48,500 779
- Curative Health Services Inc. 128,800 777
- Pac-West Telecom, Inc. 38,720 774
- Sunbeam Corp. 224,678 772
CompX International Inc. 38,000 772
- Expedia Inc. 52,040 771
United Dominion Industries Ltd. 45,300 770
- National Processing, Inc. 61,600 770
- The Neiman Marcus Group, Inc. Class B 27,740 770
LNR Property Corp. 39,400 768
- Western Digital Corp. 153,600 768
Phoenix Investment Partners Ltd. 73,000 767
- Value City Department Stores, Inc. 80,500 765
Coachmen Industries, Inc. 66,496 765
Tanger Factory Outlet Centers, Inc. REIT 32,411 762
- Be Free, Inc. 84,600 761
- GC Cos 33,991 761
</TABLE>
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<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
Riggs National Corp. 60,100 $ 759
- NetZero Inc. 145,300 758
AmerUs Life Holdings, Inc. 36,703 757
- Artesyn Technologies, Inc. 27,200 757
- Tower Automotive, Inc. 60,500 756
- Autotote Corp. 172,200 753
- Heartland Express, Inc. 45,092 752
- CSK Auto Corp. 99,500 752
- Tom Brown, Inc. 32,600 752
IKON Office Solutions, Inc. 193,753 751
Lindsay Manufacturing Co. 38,137 748
- RMH Teleservices, Inc. 50,700 748
- Mortons Restaurant Group 34,744 747
- SITEL Corp. 151,000 746
- Cylink Corp. 44,500 745
First Sentinel Bancorp Inc. 90,645 745
- Strattec Security Corp. 22,905 744
- National Dentex Corp. 44,100 744
- Todd Shipyards Corp. 94,447 744
Southwest Gas Corp. 42,400 742
Sovran Self Storage, Inc. REIT 34,600 742
- Catalina Lighting, Inc. 156,000 741
The Trust Co. of New Jersey 40,600 741
First Source Corp. 47,182 740
First Bancorp/Puerto Rico 39,850 740
- Boca Resorts, Inc. Class A 74,800 739
California Independent Bancorp 32,825 739
- Charles River Associates Inc. 41,900 738
- Oxigene, Inc. 73,839 738
- Credit Acceptance Corp. 132,600 738
- Calico Commerce Inc. 45,300 736
MascoTech Inc. 68,015 735
- Datastream Systems, Inc. 58,700 734
- Rightchoice Managed Care, Inc. 43,000 734
- Braun Consulting, Inc. 34,700 733
- Marimba, Inc. 52,500 732
- TCI Satellite Entertainment, Inc. Class A 84,106 731
- XOMA Ltd. 170,656 731
- Cambridge Technology Partners 83,600 729
- Wesco International, Inc. 76,200 729
CNA Surety Corp. 60,990 728
Middlesex Water Co. 25,400 727
- Penwest Pharmaceuticals Co. 72,236 727
- Candela Corp. 79,650 727
Irwin Financial Corp. 50,300 726
- Gardner Denver Inc. 40,554 725
- Centennial Bancorp 83,412 725
McDermott International, Inc. 82,165 724
JDN Realty Corp. REIT 71,050 724
F & M Bancorp 36,593 723
- Transaction Systems Architects, Inc. 42,200 723
- Davox Corp. 55,800 722
Bangor Hydro-Electric Co. 30,800 722
- Launch Media, Inc. 78,000 721
- APAC Teleservices, Inc. 65,111 720
- Sykes Enterprises, Inc. 55,900 720
- Performance Food Group Co. 22,450 718
Community Trust Bancorp Inc. 40,605 718
United Illuminating Co. 16,400 718
- Data Race, Inc. 108,222 717
U.S.B. Holding Co., Inc. 50,715 716
- Checkpoint Systems, Inc. 95,474 716
- SCG Holding Corp. 32,700 715
- TALK.com, Inc. 123,005 715
- AXENT Technologies, Inc. 28,800 715
- XTRA Corp. 18,100 714
- Aetrium, Inc. 123,800 712
- Atlanta Sosnoff Capital 71,100 711
Bush Industries, Inc. 44,383 710
- Ryan's Family Steak Houses, Inc. 84,115 710
- OfficeMax, Inc. 141,850 709
- Zoltek Cos., Inc. 83,400 709
Watsco, Inc. 56,700 709
- CorVel Corp. 28,700 709
- Dura Automotive Systems, Inc. 65,479 708
Hancock Holding Co. 20,800 707
Redwood Trust, Inc. REIT 50,500 707
- LendingTree, Inc. 94,000 705
- 3Dfx Interactive, Inc. 90,500 704
Meridian Diagnostics, Inc. 90,129 704
- QRS Corp. 28,600 702
- Aurora Foods Inc. 175,600 702
Sauer-Danfoss, Inc. 71,000 701
Independent Bank Corp. 61,900 700
Farmer Brothers, Inc. 4,000 700
- Cytoclonal Pharmaceutics Inc. 69,100 700
Rollins Truck Leasing 100,800 699
Nationwide Health Properties, Inc. REIT 49,900 695
PXRE Group Ltd. 51,488 695
- Wyndham International, Inc. Class A 277,976 695
- Stoneridge,Inc. 79,400 695
- Clark/Bardes Holdings, Inc. 42,100 695
- Crescendo Pharmaceuticals Corp. 34,479 694
- Bluestone Software Inc. 27,000 694
- NRG Energy, Inc. 38,000 694
- MyPoints.com, Inc. 36,500 692
- MarketWatch.com, Inc. 36,700 690
Wabash National Corp. 57,650 688
- DVI, Inc. 43,000 688
- Aerosonic Corp. 66,300 688
- CDI Corp. 33,700 687
Meditrust Corp. REIT 183,039 686
- Hollywood Entertainment Corp. 87,129 686
- Applied Graphics Technologies, Inc. 161,360 686
- Per-Se Technologies, Inc. 73,105 685
- 800-JR CIGAR, Inc. 69,400 685
- Insignia Financial Group, Inc. 68,500 685
Amcore Financial 37,400 685
- Ventas, Inc. REIT 214,363 683
ChemFirst Inc. 28,300 683
Mid Atlantic Realty Trust REIT 68,250 683
- Florida Banks, Inc. 125,500 682
- New Frontier Media, Inc. 93,300 682
Ottawa Financial Corp. 40,027 680
- USDATA Corp., Inc. 76,616 680
TF Financial Corp. 49,900 680
</TABLE>
28
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- eMerge Interactive, Inc. 37,892 $ 680
CB Bancshares Inc./Hawaii 27,600 680
CTG Resources Inc. 18,515 679
- Media Metrix, Inc. 26,700 679
LandAmerica Financial Group, Inc. 29,600 679
- NBTY, Inc. 106,300 678
- Viacom Inc. Class A 9,906 677
Allen Organ Co. 11,600 677
Flowserve Corp. 44,942 677
- SpeedUs.com, Inc. 113,900 676
FBL Financial Group, Inc. Class A 42,900 676
Bob Evans Farms, Inc. 45,200 675
- Tech-Sym Corp. 24,002 675
Seacoast Banking Corp. of Florida Class A 25,000 675
Corus Bankshares Inc. 25,500 674
- The Boyds Collection, Ltd. 79,300 674
- MICROS Systems, Inc. 36,300 674
- StaffMark, Inc. 100,500 672
Texas Regional Bancshares, Inc. 26,450 671
- Drexler Technology Corp. 51,589 671
- Perficient, Inc. 47,900 671
CVB Financial Corp. 42,400 670
- Choice Hotel International, Inc. 67,441 670
Wausau-Mosinee Paper Corp. 78,244 670
Movado Group, Inc. 55,800 670
NYMAGIC, Inc. 46,900 668
Wabtec Corp. 64,338 668
United Wisconsin Services, Inc. 120,400 666
Arnold Industries, Inc. 55,200 666
Associated Estates Realty Corp. REIT 94,900 664
J.M. Smucker Co. Class A 34,500 664
- Protocol Systems, Inc. 41,600 663
- Inprise Corp. 108,200 663
- Advantage Learning Systems, Inc. 43,100 663
- Material Sciences Corp. 66,250 663
- Gadzoox Networks, Inc. 48,400 662
- Atrix Laboratories, Inc. 70,589 662
Fedders Corp. 113,845 662
- Boron, LePore & Associates, Inc. 71,500 661
Bandag, Inc. 27,238 661
Annaly Mortgage Management Inc. REIT 74,200 659
Quaker Chemical Corp. 37,900 658
Enhance Financial Services Group, Inc. 45,800 658
- IMRglobal Corp. 50,400 658
- Giant Industries, Inc. 83,600 658
Medford Bancorp, Inc. 46,598 658
Berry Petroleum Class A 38,600 656
- MedQuist, Inc. 19,299 656
- Input/Output, Inc. 77,500 654
Regis Corp. 52,191 652
- Kensey Nash Corp. 58,600 652
AREA Bancshares Corp. 29,145 650
Presidential Life Corp. 46,700 648
- Musicland Stores Corp. 87,100 648
Landauer, Inc. 41,600 647
- Scott Technologies, Inc. 37,600 646
- MeriStar Hotels & Resorts, Inc. REIT 224,600 646
- Caliber Learning Network, Inc. 158,900 646
- WorldPages.com, Inc. 107,500 645
- Avis Group Holdings, Inc. 34,400 645
- Internet.com Corp. 32,700 644
- Sequa Corp. Class A 16,844 643
- Trammell Crow Co. 59,800 643
- Beasley Broadcast Group, Inc. 47,100 642
MTS Systems Corp. 102,580 641
- Latitude Communications, Inc. 57,300 641
- The Children's Place Retail Stores, Inc. 31,200 640
- URS Corp. 45,500 637
- Travelocity.com Inc. 38,900 637
NCH Corp. 17,600 637
General Cable Corp. 78,350 637
Consolidated-Tomoka Land Co. 52,500 637
M.A. Hanna Co. 70,650 636
- AmeriPath, Inc. 71,600 635
- Hexcel Corp. 66,800 635
- PSS World Medical, Inc. 94,400 634
- Ocwen Financial Corp. 113,700 632
- Mediacom Communications Corp. 41,120 632
- Hoenig Group, Inc. 64,400 632
NBT Bancorp, Inc. 59,093 632
- World Acceptance Corp. 120,100 631
- Benihana Inc. Class A 47,100 630
- Intraware, Inc. 39,200 630
- Duramed Pharmaceuticals, Inc. 115,700 629
- OneMain.com, Inc. 55,900 629
AAR Corp. 52,400 629
Empire District Electric Co. 28,500 629
- Beringer Wine Estates Holdings, Inc. 17,800 629
- Kaiser Aluminum & Chemical Corp. 157,000 628
- Diametrics Medical, Inc. 111,000 628
Riviana Foods, Inc. 36,000 628
Cato Corp. Class A 53,900 627
- AirTran Holdings, Inc. 150,700 626
First Commonwealth Financial Corp. 69,000 625
Crown American Realty Trust REIT 116,300 625
- Thermotrex Corp. 56,500 625
- Oceaneering International, Inc. 32,890 625
Hunt Corp. 60,100 624
- ShopKo Stores, Inc. 40,545 623
Milacron Inc. 42,885 622
Alico, Inc. 39,100 621
Tenneco Automotive, Inc. 118,192 621
- eMachines, Inc. 230,634 620
- Orbital Sciences Corp. 50,800 619
- Net2000 Communications, Inc. 37,742 618
Connecticut Water Services, Inc. 23,100 618
- Thermo TerraTech, Inc. 77,200 618
Curtiss-Wright Corp. 16,600 617
Fleetwood Enterprises, Inc. 43,274 617
</TABLE>
29
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<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Complete Business Solutions, Inc. 35,000 $ 615
- Preview Systems, Inc. 47,280 615
- NextCard, Inc. 72,115 613
- Department 56 Inc. 55,695 613
Caraustar Industries, Inc. 40,500 613
Arrow Financial Corp. 40,796 612
Corporate Office Properties Trust, Inc. REIT 66,600 612
Alliance Bancorp Inc. 37,199 611
- Midway Games Inc. 75,466 608
Southwestern Energy Co. 97,300 608
- Vivus, Inc. 87,400 606
J. Baker, Inc. 104,291 606
- Ampex Corp. Class A 358,900 606
- XCare.net, Inc. 112,600 605
Coca-Cola Bottling Co. 13,300 605
- VTEL Corp. 161,338 605
- National Western Life Insurance Co. Class A 8,400 605
- P-Com, Inc. 106,300 605
- Charming Shoppes, Inc. 118,079 601
- Collins & Aikman Corp. 115,900 601
- All American Semiconductor, Inc. 32,440 600
Grove Property Trust REIT 36,900 600
- Quaker City Bancorp, Inc. 38,972 599
- American Bank Note Holographics, Inc. 266,100 599
- Pegasus Solutions Inc. 54,950 598
USEC Inc. 129,200 598
- LightPath Technologies, Inc. 15,000 597
The Stride Rite Corp. 97,426 597
- Del Webb Corp. 38,900 596
- Credit Management Solutions, Inc. 99,400 593
Heritage Financial Corp. 68,200 592
- TransMontaigne Inc. 96,700 592
The Standard Register Co. 41,547 592
- I-Link, Inc. 110,100 592
Gentek, Inc. 52,857 591
- Jones Lang Lasalle Inc. 44,200 591
- Right Management Consultants 56,300 591
Pitt Des Moines, Inc. 31,100 591
- Inforte Corp. 16,411 591
- Daisytek International Corp. 62,500 590
Tremont Corp. 26,346 589
Public Service Co. of New Mexico 38,180 589
Vesta Insurance Group, Inc. 95,100 588
- Matria Healthcare, Inc. 128,000 588
- Bethlehem Steel Corp. 165,015 588
- Vyyo Inc. 21,700 586
- HotJobs.com Ltd. 42,400 586
Flushing Financial Corp. 38,400 586
BeautiControl Cosmetics 145,200 585
Massbank Corp. 20,900 585
- Lifecore Biomedical Inc. 74,300 585
- Audiovox Corp. 26,500 585
RPC Inc. 55,300 584
- High Speed Access Corp. 89,000 584
- New Focus, Inc. 7,100 583
Gerber Scientific, Inc. 50,700 583
- AVT Corp. 79,000 583
- Read Rite Corp. 262,131 582
- net.Genesis Corp. 32,181 581
- Globe Business Resources, Inc. 44,700 581
- Jacobson Stores Inc. 116,200 581
- Samsonite Corp. 128,990 580
- SoftNet Systems, Inc. 60,200 579
- Petrocorp, Inc. 82,478 577
- IHOP Corp. 34,400 576
- Danielson Holdings Corp. 118,100 576
UniSource Energy Corp. 38,380 576
- PRWW, Ltd. 41,400 574
- Navidec, Inc. 64,700 574
Lawrence Savings Bank 82,000 574
- Aftermarket Technology Corp. 67,500 574
Atlantic Tele-Network, Inc. 60,720 573
- Applica Inc. 50,599 572
- Neoforma.com, Inc. 81,400 572
- InterVoice-Brite, Inc. 87,188 572
Health Care REIT, Inc. 35,200 572
Spartan Motors, Inc. 136,500 572
- U.S. Can Corp. 32,809 570
- Eprise Corp. 34,660 570
Blockbuster Inc. Class A 58,800 570
- Il Fornaio (America) Corp. 66,000 569
- Advanced Polymer Systems 150,500 569
- Tanning Technology Corp. 29,500 568
- Insmed Inc. 174,700 568
- Griffin Land & Nurseries, Inc. 46,100 568
Dime Community Bancshares 34,900 567
- Lazare Kaplan International, Inc. 69,800 567
- Action Performance Cos., Inc. 78,193 567
- United Capital Corp. 41,900 566
- Philadelphia Consolidated Holding Corp. 33,600 565
- US Oncology, Inc. 112,876 564
Sizzlers Property Investors, Inc. REIT 75,000 563
- Digital Impact, Inc. 39,800 562
- Applix, Inc. 72,321 560
Northwest Bancorp, Inc. 81,500 560
Newmil Bancorp, Inc. 55,400 559
- Pegasystems Inc. 111,600 558
FFY Financial Corp. 50,600 557
- Cone Mills Corp. 89,800 556
NACCO Industries, Inc. Class A 15,816 556
- Spectranetics Corp. 112,500 555
Town & Country Trust REIT 32,300 555
Queens County Bancorp, Inc. 30,100 555
- Mapics Inc. 96,400 554
- Total Renal Care Holdings, Inc. 92,269 554
Stepan Co. 23,800 553
- Sizzler International 215,925 553
Gorman-Rupp Co. 35,125 553
- Hayes Lemmerz International, Inc. 45,840 553
Standard Commercial Tobacco Co. 120,971 552
- Packard BioScience Co. 32,400 551
- Photoworks, Inc. 183,479 550
First Union Real Estate REIT 187,320 550
</TABLE>
30
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<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- S&K Famous Brands Inc. 76,600 $ 549
- Wit Soundview Group, Inc. 51,100 549
- AT&T Corp.-Liberty Media Group 16,876 548
The Warnaco Group, Inc. Class A 70,692 548
Kilroy Realty Corp. REIT 21,100 547
- Total-Tel USA Communications, Inc. 54,680 547
- Consolidated Graphics, Inc. 58,300 547
First Financial Corp.-Indiana 17,900 546
Blair Corp. 29,500 546
- Garden Fresh Restaurant Corp. 52,200 545
- SportsLine.com, Inc. 31,900 544
LSI Industries Inc. 35,818 544
- AMBI, Inc. 177,600 544
- I.D. Systems, Inc. 127,900 544
InterWest Bancorp Inc. 38,800 543
- Zebra Technologies Corp. Class B 12,240 542
Stewart Enterprises, Inc. Class A 153,500 542
McGrath Rent Corp. 31,700 539
Great Southern Bancorp, Inc. 31,000 539
- Workflow Management, Inc. 45,267 538
- Sterile Recoveries, Inc. 69,300 537
Fidelity Bancorp, Inc. 30,800 537
- Liquid Audio, Inc. 56,700 537
- BioMarin Pharmaceutical Inc. 31,500 536
- Avid Technology, Inc. 44,600 535
- Mesa Air Group Inc. 96,700 535
International Multifoods Corp. 30,881 535
- Z-Tel Technologies, Inc. 44,455 533
State Financial Services Corp. Class A 55,769 533
Marion Capital Holdings 25,700 533
- First Consulting Group, Inc. 95,516 531
Katy Industries, Inc. 45,100 530
- Pliant Systems, Inc. 84,400 527
- Jupiter Communications, Inc. 22,900 527
- MGI Pharma, Inc. 18,300 526
- International Specialty Products, Inc. 92,400 526
Springs Industries Inc. Class A 16,406 525
Granite State Bankshares, Inc. 34,700 525
The Ackerley Group, Inc. 44,600 524
Tejon Ranch Co. 23,200 523
- Stratus Properties, Inc. 123,000 523
Summit Bancshares, Inc. 30,300 523
- Provident Financial Holdings, Inc. 37,500 523
Arvin Industries, Inc. 30,000 521
Bassett Furniture Industries, Inc. 41,263 521
ABM Industries 22,600 520
- American Skiing Co. 188,500 518
- Tyler Technologies, Inc. 202,100 518
Cabot Industrial Trust REIT 26,300 518
Madison Gas & Electric Co. 26,200 517
- Marketing Specialists Corp. 295,500 517
- Xicor, Inc. 77,200 516
- Casella Waste Systems, Inc. 48,000 516
- Sequoia Software Corp. 31,500 516
Ampco-Pittsburgh Corp. 46,335 515
A.O. Smith Corp. 24,600 515
- Versant Corp. 105,492 514
- Quokka Sports, Inc. 64,000 514
Schweitzer-Mauduit International, Inc. 41,037 513
- Trans World Entertainment Corp. 42,300 513
- PJ America Inc. 52,600 513
- Baldwin Technology Class A 241,300 513
- Kaneb Services, Inc. 127,716 511
Timberline Software Corp. 69,804 510
- Carmike Cinemas, Inc. Class A 131,689 510
Alamo Group, Inc. 40,800 510
- ePresence, Inc. 70,300 510
- 24/7 Media, Inc. 32,600 509
- Berlitz International, Inc. 56,427 508
- Comptek Research, Inc. 28,600 508
- Headway Corporate Resources, Inc. 156,200 508
- Nortek, Inc. 25,700 508
- Centura Software Corp. 92,188 507
Virco Manufacturing Corp. 38,935 506
- U.S. Interactive, Inc. 38,986 504
- Vlasic Foods International, Inc. 310,369 504
Gainsco, Inc. 100,846 504
- Microwave Systems Corp. 195,500 501
Greater Bay Bancorp 10,700 500
Mueller (Paul) Co. 20,000 500
- Comcast Corp. Class A 12,860 500
- ActionPoint, Inc. 64,500 500
HEICO Corp. 35,008 499
- Acclaim Entertainment Inc. 346,500 498
- Walker Interactive Systems, Inc. 137,300 498
Jefferson Savings Bancorp, Inc. 45,500 498
- Tuesday Morning Corp. 47,200 496
Wallace Computer Services, Inc. 50,100 495
- Net Perceptions, Inc. 31,100 494
- ABIOMED, Inc. 16,000 492
- Deltek Systems, Inc. 83,200 491
World Fuel Services Corp. 56,961 491
United Mobile Homes, Inc. REIT 59,400 490
L. S. Starrett Co. Class A 28,000 490
- Interneuron Pharmaceutical, Inc. 261,200 490
Columbia Bancorp 54,400 490
- Voyager.net, Inc. 61,000 488
Met-Pro Corp. 54,145 487
First South Bancorp, Inc. 24,750 486
Republic Security Financial Corp. 96,968 485
- FirstWorld Communications Inc. 46,000 483
- Thermo Fibertek, Inc. 101,525 482
- U.S. Vision, Inc. 175,300 482
- Itron, Inc. 58,300 481
W.R. Berkley Corp. 25,650 481
- Twinlab Corp. 75,400 481
- UTStarcom, Inc. 15,810 480
- McWorter Technologies Inc. 24,700 480
- Group 1 Automotive, Inc. 40,000 480
Tech/Ops Sevcon, Inc. 54,800 479
- Perry Ellis International Corp. 59,800 478
Zenith National Insurance Corp. 22,500 478
- Hovnanian Enterprises Class A 79,650 478
- Pure Resources, Inc. 26,729 478
</TABLE>
31
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<TABLE>
<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Allen Telecom Inc. 27,000 $ 478
- Quintel Communications, Inc. 155,800 477
Bryn Mawr Bank Corp. 23,700 477
- Embrex, Inc. 34,600 476
- PETsMART, Inc. 140,952 476
Prison Realty Trust, Inc. REIT 155,288 476
Nashua Corp. 57,514 474
Calgon Carbon Corp. 61,200 474
National City Bancorporation 32,640 473
- Systems & Computer Technology Corp. 23,600 472
National Health Investors REIT 42,900 472
Bradley Real Estate, Inc. 8.40% Cvt. Pfd. 21,672 471
- eGain Communications Corp. 38,800 470
- Immucor Inc. 83,446 469
Western Properties Trust REIT 39,500 469
- E-LOAN, Inc. 98,700 469
- PriceSmart, Inc. 12,300 467
Winston Hotels, Inc. REIT 62,300 467
IRT Property Co. REIT 54,700 465
- HA-LO Industries, Inc. 82,350 463
Penford Corp. 21,491 462
- Strategic Distribution, Inc. 238,278 462
Arch Coal, Inc. 59,950 461
United Water Resources, Inc. 13,200 460
- Global Payment Tech Inc. 68,200 460
- Shoe Carnival, Inc. 73,100 457
Crawford & Co. Class B 41,500 456
- The Good Guys, Inc. 125,900 456
- Rainforest Cafe, Inc. 153,625 456
- The Buckle, Inc. 38,800 456
- Tractor Supply Co. 27,400 454
Wolverine World Wide, Inc. 45,770 452
Oil-Dri Corp. of America 50,175 452
- Technology Solutions Co. 72,975 452
- Acmat Corp. Class A 55,100 451
- Steel Dynamics, Inc. 49,500 449
HF Financial Corp. 49,450 448
- CyberSource Corp. 32,400 448
- Bel Fuse, Inc.-Class A 16,550 447
- Convergent Communications, Inc. 55,800 446
- American Access Technologies Inc. 72,000 446
- Cellstar Corp. 159,600 444
- Somera Communications, Inc. 32,500 443
- Previo, Inc. 55,982 441
- On2.com Inc. 86,000 441
Humphrey Hospitality Trust, Inc. REIT 55,500 441
- barnesandnoble.com inc 67,400 440
Mississippi Chemical Corp. 92,341 439
- Creative Host Services, Inc. 35,800 439
- Weirton Steel 134,900 438
- Encompass Services Corp. 76,040 437
- Sunrise Assisted Living, Inc. 23,600 437
- Ace Cash Express, Inc. 36,750 436
- Shoney's Inc. 347,406 434
Casey's General Stores 41,800 434
- CardioDynamics International Corp. 69,000 433
Merchants Bancshares, Inc. 21,900 433
- STAR Telecommunications, Inc. 170,715 432
- Rochester Medical Corp. 51,550 432
- Ceres Group, Inc. 72,600 431
- i3 Mobile, Inc. 23,410 430
- Orapharma Inc. 43,000 430
- Information Resources, Inc. 108,935 429
- Rohn Industries Inc. 101,500 428
- Amerco, Inc. 21,400 428
- Hector Communications Corp. 32,500 427
- Drugstore.com, Inc. 56,600 426
- Integrated Electrical Services,Inc. 83,100 426
Barnes Group, Inc. 26,100 426
Fleming Cos., Inc. 32,539 425
Oregon Trail Financial Corp. 38,200 425
Phillips-Van Heusen Corp. 44,700 425
Getty Realty Holding Corp. 39,000 424
- Great Plains Software, Inc. 21,600 424
Horizon Financial Corp. 46,998 423
Ameron International Corp. 11,800 422
- Cannondale Corp. 64,800 421
WSFS Financial Corp. 40,300 421
Susquehanna Bancshares, Inc. 29,475 420
- Alcide Corp. 24,000 420
- Ventiv Health, Inc. 37,549 418
- Cypress Communications, Inc. 57,420 416
- WetSeal, Inc. Class A 31,700 416
- The Dress Barn, Inc. 18,800 416
- Hologic, Inc. 61,600 416
- Epicor Software Corp. 166,022 415
Lillian Vernon Corp. 39,500 415
Otter Tail Power Co. 19,604 412
- Auspex Systems, Inc. 83,200 411
- Cyberian Outpost, Inc. 85,300 410
- Lifeline Systems, Inc. 29,300 410
- InVision Technologies, Inc. 93,600 410
GenCorp, Inc. 51,100 409
- LCA-Vision, Inc. 167,695 409
- Wackenhut Corp. 31,592 409
- Waste Systems International, Inc. 233,500 409
- Stamps.Com Inc. 55,800 408
The Marcus Corp. 33,500 406
Ambanc Holding Co., Inc. 26,600 406
- Huntco Inc. Class A 150,900 406
- The TriZetto Group, Inc. 25,000 405
K-Swiss, Inc. 25,300 403
- Arch Communications Group, Inc 61,933 403
- Digital River, Inc. 52,300 402
Myers Industries, Inc. 37,378 402
- Healthcare.com Corp. 141,800 399
- Correctional Services Corp. 100,785 397
- Lanier Worldwide, Inc. 395,114 395
- Gaylord Container Corp. 146,800 395
- Perrigo Co. 62,300 393
- Information Management Associates, Inc. 89,700 392
- MedicaLogic/Medscape, Inc. 42,388 392
CIRCOR International, Inc. 47,650 390
Peoples Holding Co. 19,500 390
</TABLE>
32
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<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
BNP Residential Properties, Inc. REIT 46,500 $ 389
- UICI 59,300 389
Commercial Net Lease Realty REIT 37,000 389
RFS Hotel Investors, Inc. REIT 33,000 388
- Schuler Homes Inc. 63,300 388
- SciQuest.com, Inc. 33,800 387
- Marvel Enterprises Inc. 62,400 386
- Prime Hospitality Corp. 40,800 385
- EEX Corp. 66,213 385
- Microtouch Systems, Inc. 44,499 384
- NPC International Class A 42,600 382
Century Bancorp, Inc. Class A 30,500 381
- Larscom, Inc. Class A 68,300 380
Cubic Corp. 20,200 379
- Clintrials Research, Inc. 108,100 378
- Navigators Group, Inc. 42,000 378
- Cumulus Media Inc. 41,400 378
The Pep Boys (Manny,
Moe & Jack) 62,901 377
EDO Corp. 59,700 377
Circle International Group, Inc. 14,900 374
LTC Properties, Inc. REIT 63,000 374
- TCSI Corp. 184,021 374
- Comshare 78,600 373
- Lydall, Inc. 35,100 373
- TheStreet.com, Inc. 64,100 373
- Airgas, Inc. 65,400 372
TransPro Inc. 73,425 372
- Old Dominion Freight Line, Inc. 37,915 370
- Fritz Cos., Inc. 35,600 367
- Hanover Direct, Inc. 234,700 367
American Residential
Investment Trust, Inc. REIT 88,900 367
- On Command Corp. 25,700 366
- SpaceLabs Medical, Inc. 32,539 366
- C-bridge Internet Solutions, Inc. 21,036 366
EZCORP, Inc. 208,800 365
- MTR Gaming Group Inc. 73,500 365
Luby's, Inc. 45,559 364
Konover Property Trust, Inc. REIT 76,400 363
- Chalone Wine Group Ltd. 45,340 363
Pilgrim's Pride Corp. 50,900 363
- Cidco, Inc. 107,300 362
- Viador, Inc. 22,800 362
- Momentum Business Applications, Inc. 48,988 361
- Diversa Corp. 10,904 361
- Cyberguard Corp. 57,755 361
Central Vermont Public
Service Corp. 32,800 361
- Jo-Ann Stores, Inc. Class A 51,400 360
- Pediatrix Medical Group, Inc. 30,900 359
- Digi International, Inc. 55,200 359
- Tandycrafts, Inc. 127,500 359
- Luminant Worldwide Corp. 40,100 358
- Interactive Intelligence Inc. 9,500 356
- COMARCO, Inc. 10,900 354
- World Wrestling Federation
Entertainment, Inc. 17,000 354
Superior Uniform Group, Inc. 40,600 353
Hughes Supply, Inc. 17,739 350
Ethyl Corp. 140,130 350
- Genome Therapeutics Corp. 11,500 350
- Microwave Power Devices, Inc. 66,600 350
Howell Corp. 36,800 350
- Computer Horizons Corp. 25,944 349
Cole National Corp. Class A 49,800 349
- Source Media, Inc. 89,100 348
- Integrated Circut Syetems, Inc. 20,200 346
Puerto Rican Cement Co., Inc. 12,400 345
Lone Star Steakhouse &
Saloon, Inc. 33,900 343
- RWD Technologies, Inc. 59,000 343
- Layne Christensen Co. 76,200 343
- Mail.Com, Inc. 60,262 343
Computer Task Group, Inc. 67,392 341
- MTI Technology Corp. 42,600 341
- U.S. Franchise Systems, Inc.
Class A 70,700 340
- Earthshell Corp. 112,100 340
Pulaski Financial Corp. 27,948 339
Asset Investors Corp. REIT 28,600 338
- THQ Inc. 27,600 336
Ziegler Cos., Inc. 21,500 336
- bebe stores, inc. 40,100 336
Flagstar Bancorp, Inc. 41,300 336
Donnelly Corp. 25,725 334
- Loislaw.com, Inc. 39,000 334
F & M National Corp. 15,900 334
Team Financial, Inc. 41,000 333
Southern Peru Copper Corp. 27,300 333
Correctional Properties Trust
REIT 31,600 332
- Navigant International, Inc. 34,450 332
- Sunburst Hospitality Corp. 74,713 332
Superior Industries
International, Inc. 12,850 331
Wolohan Lumber Co. 32,178 330
Hancock Fabrics, Inc. 77,600 330
- Dave & Busters 53,232 329
Cascade Bancorp 29,315 328
Titan International, Inc. 61,150 325
- InKine Pharmaceutical
Company, Inc. 66,500 324
- Wackenhut Corrections Corp. 43,100 323
- Ames Department Stores, Inc. 41,700 323
Lance, Inc. 35,821 322
- SONUS Pharmaceuticals, Inc. 92,000 322
Stephan Co. 71,550 322
Amcast Industrial Corp. 36,796 322
- 1-800-FLOWERS.COM, Inc. 62,700 321
- Fresh Del Monte Produce Inc. 46,700 321
SJNB Financial Corp. 11,400 321
- Sangamo BioSciences, Inc. 11,600 320
- BankUnited Financial Corp. 44,100 320
- Crestline Capital Corp. 18,733 320
- Cell Pathways, Inc. 13,600 320
Omnova Solutions Inc. 51,100 319
- The Kroll-O'Gara Co. 47,600 318
- KCS Energy, Inc. 231,500 318
</TABLE>
33
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<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Circle.com 86,312 $ 318
Kramont Realty Trust REIT 33,800 317
Oxford Industries, Inc. 17,600 317
- VCampus Corp. 36,100 316
- dELiA*s Inc. 132,800 315
- Information Architects Corp. 45,200 314
- Medialink Worldwide, Inc. 45,200 314
Trenwick Group Inc. 21,500 313
- Urocor, Inc. 65,900 313
Synalloy Corp. 44,000 313
Patriot Bank Corp. 44,875 311
- Pacific Gateway Exchange, Inc. 91,300 311
- Highlands Insurance Group 33,154 311
- OAO Technology Solutions, Inc. 92,919 311
- Fourth Shift Corp. 103,500 310
- FairMarket, Inc. 43,960 310
- Daily Journal Corp. 10,600 310
Southwest Bancorp, Inc. 19,200 310
First Keystone Financial, Inc. 30,600 309
Schnitzer Steel Industries, Inc.
Class A 19,300 306
Holly Corp. 25,800 306
- Gartner Group, Inc. Class B 31,000 306
- Zamba Corp. 55,600 306
- Comdial Corp. 68,766 305
Birmingham Steel Corp. 78,700 305
- Applied Microsystems Corp. 41,100 304
- Dataware Technologies, Inc. 65,800 304
- JFAX.COM, Inc. 190,800 304
- Gilman & Ciocia, Inc. 65,700 304
Pan Pacific Retail Properties, Inc.
REIT 15,000 302
- Cheap Tickets, Inc. 25,100 301
Landry's Seafood
Restaurants, Inc. 35,400 301
- Jenny Craig Inc. 86,900 299
- Fairchild Corp. 61,101 298
Universal Health Realty Income
REIT 15,700 297
LTV Corp. 103,000 296
- NZ Corp. 60,741 296
- Exabyte Corp. 65,800 296
- Aviall Inc. 59,819 295
- Eclipsys Corp. 39,300 295
- eLEC Communications Corp. 106,900 294
- billserv.com, Inc. 31,900 293
- ONI Systems Corp. 2,500 293
- Innotrac Corp. 57,100 293
Standard Motor Products, Inc. 34,400 292
- Advanced Magnetics, Inc. 47,700 292
HMN Financial, Inc. 26,550 292
- The IT Group, Inc. 59,885 292
Prime Group Realty Trust REIT 19,200 292
National Steel Corp. Class B 69,600 291
- Marvell Technology Group Ltd. 5,100 291
Intermet Corp. 42,200 290
Provident Bankshares Corp. 21,490 290
- Visual Data Corp. 80,000 290
FNB Financial Services Corp. 22,200 289
- Jan Bell Marketing Inc. 120,500 286
Burnham Pacific
Properties, Inc. REIT 41,600 286
- M&F Worldwide Corp. 50,779 286
- iVillage Inc. 33,800 285
- Stratos Lightwave, Inc. 10,200 284
- Del Monte Foods Co. 41,700 284
Ryerson Tull, Inc. 27,341 284
Resource Bancshares
Mortgage Group, Inc. 67,600 283
- TSR, Inc. 51,400 283
- Berkshire Hathaway Inc.
Class B 160 282
- Meritage Corp. 26,300 281
- insci-statements.com corp. 84,600 280
- Roy F. Weston, Inc. 91,500 280
- Comfort Systems USA, Inc. 70,000 280
- INSO Corp. 53,900 280
Conoco Inc. Class A 12,700 279
Oregon Steel Mills, Inc. 143,800 279
Covest Bankshares, Inc. 26,500 278
- Maxxam Inc. 15,600 277
Big Dog Holdings, Inc. 66,700 275
- Syms Corp. 69,800 275
Transcontinental Realty
Investors, Inc. REIT 22,525 275
- ThermoLase Corp. 97,200 273
- Success Bancshares, Inc. 25,000 272
First Savings Bancorp, Inc. 16,700 271
- Alpine Group, Inc. 40,000 270
Apex Mortgage Capital, Inc.
REIT 31,600 269
- Track Data Corp. 209,600 269
- Egghead.com, Inc. 91,293 268
- Echo Bay Mines Ltd. 267,384 267
Coastal Bancorp, Inc. 18,600 267
- Lumisys, Inc. 89,000 267
- autobytel.com inc. 43,300 267
- Park-Ohio Holdings Corp. 30,600 264
- FARO Technologies, Inc. 82,400 258
Peekskill Financial Corp. 11,800 257
BankAtlantic Bancorp, Inc.
Class A 68,385 256
- Ezenia!, Inc. 57,600 256
- NeoMedia Technologies, Inc. 43,500 256
- Chemical Fabrics Corp. 21,511 255
- Protection One, Inc. 116,400 255
- Beverly Enterprises, Inc. 90,379 254
- Lechters Corp. 198,200 254
- Consolidated Freightways Corp. 62,199 253
- Tickets.com, Inc. 73,600 251
Oak Hill Financial, Inc. 17,900 251
Thornburg Mortgage, Inc. REIT 34,700 249
Interface, Inc. 65,300 249
- Todhunter International, Inc. 31,600 249
- Careerbuilder, Inc. 74,700 247
Cadmus Communications 25,300 247
Bridge View Bancorp 18,249 246
- Life Financial Corp. 62,536 246
- Champion Enterprises, Inc. 50,369 246
Maine Public Service Co. 12,200 246
</TABLE>
34
<PAGE> 73
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Acceptance Insurance Cos. Inc. 49,000 $ 245
- Concentrex, Inc. 60,869 243
BancFirst Ohio Corp. 14,830 243
- Norstan, Inc. 60,400 242
- Federal Agricultural
Mortgage Corp. Class A 14,100 241
- Allied Holdings, Inc. 40,000 240
- Crescent Operating, Inc. REIT 166,920 240
- American Medical Security
Group, Inc. 34,900 240
Santander BanCorp 18,810 240
Comm Bancorp, Inc. 8,800 240
- Laser Mortgage
Management, Inc. REIT 62,800 239
City Holding Co. 40,700 239
- INSpire Insurance Solutions, Inc. 79,400 238
- Nextel Partners, Inc. 7,300 238
- Health Management Systems, Inc. 75,997 237
- Metromedia International
Group, Inc. 49,700 236
Hopfed Bancorp, Inc. 24,500 234
- Omni Nutraceuticals Inc. 61,300 234
- K2 Inc. 27,962 232
- US SEARCH.com Inc. 116,000 232
Exide Corp. 29,000 232
Greater Delaware Valley
Savings Bank 29,800 232
- Omega Worldwide, Inc. 63,943 232
- HealthAxis, Inc. 60,600 231
- Hartmarx Corp. 90,100 231
- Navigant Consulting, Inc. 54,150 230
- Eco Soil Systems, Inc. 126,900 230
- Capstone Turbine Corp. 5,100 230
- Astea International, Inc. 67,900 229
- RailAmerica, Inc. 35,802 228
Innkeepers USA Trust REIT 25,000 228
- Synagro Technologies Inc. 61,846 228
- Activision, Inc. 34,900 227
Investors Title Co. 21,400 225
Angelica Corp. 28,000 224
- Wellsford Real Properties Inc.
REIT 14,800 224
- Century Business Services, Inc. 115,500 224
- Audible, Inc. 53,600 223
- The Gymboree Corp. 74,240 223
- Superior Consultant Holdings
Corp. 46,700 222
- Goody's Family Clothing 40,300 222
- Health Systems Design Corp. 55,600 222
- IntraBiotics Pharmaceuticals, Inc. 8,300 222
- Aztec Technology Partners, Inc. 101,200 221
- Lexington Global Asset
Managers, Inc. 21,300 221
- Provant, Inc. 39,100 220
- Miller Industries, Inc. 120,900 219
- Lakes Gaming, Inc. 24,425 217
- Coeur D'Alene Mines Corp. 88,600 216
FirstSpartan Financial Corp. 12,500 216
- Global Vacation Group, Inc. 73,000 214
- Optika Inc. 35,600 214
G & L Realty Corp. REIT 29,444 213
Psychemedics, Inc. 41,100 213
- U.S. Energy Corp. 85,257 213
- Lancer Corp. 48,485 212
Community Banks, Inc. 10,280 212
A.M. Castle & Co. 25,431 211
- Forcenergy Inc. 10,500 211
- Regent Communications, Inc. 24,500 211
- DA Consulting Group, Inc. 104,600 209
- Vornado Operating Inc. REIT 26,915 209
US Bancorp, Inc. 58,400 208
Green Mountain Power Corp. 25,000 206
- BE Avionics Inc. 29,800 205
Nash-Finch Co. 24,700 204
- Waste Connections, Inc. 10,300 203
- William Lyon Homes, Inc. 30,000 199
- Medplus, Inc. 30,900 198
- Kevco, Inc. 140,400 197
- MyTurn.com, Inc. 11,000 197
- Mobius Management
Systems, Inc. 43,200 197
- Able Telcom Holding Corp. 95,500 197
- Wiser Oil Co. 63,000 197
- Docucorp International 52,459 197
Hubbell Inc. Class A 7,600 197
Apogee Enterprises, Inc. 55,200 195
- LMI Aerospace, Inc. 77,800 194
- Capital Trust Class A 48,500 194
- Personnel Group of
America, Inc. 65,904 194
- Hotel Reservations Network, Inc. 6,500 193
- Vestcom International, Inc. 54,000 192
- InfoCure Corp. 34,100 192
Three Rivers Bancorp, Inc. 29,200 192
Capstead Mortage Corp. REIT 22,775 191
- Sunrise Medical, Inc. 38,400 187
Argonaut Group, Inc. 10,881 186
- Toymax International, Inc. 72,600 186
- Imperial Credit 43,126 183
Urstadt Biddle Properties REIT 26,900 183
- Midwest Express Holdings, Inc. 8,500 183
- Phoenix International Ltd., Inc. 60,500 182
- Accelerated Networks, Inc. 4,300 181
- Alliance Gaming Corp. 74,200 181
- Trans World Airlines 82,497 180
UniFirst Corp. 22,800 180
- iTurf Inc. 62,100 179
- Capital Pacific Holdings, Inc. 68,688 178
- TBC Corp. 38,450 178
Enesco Group, Inc. 37,400 178
- Paging Network, Inc. 246,000 177
Anthracite Capital Inc. REIT 24,700 176
- Calypte Biomedical Corp. 74,000 176
- Staff Leasing,Inc. 49,300 176
- Heartport Inc. 60,900 175
- Greka Energy Corp. 19,164 175
- HMT Technology Corp. 112,900 173
- Handspring, Inc. 6,400 173
- Gentiva Health Services, Inc. 21,178 172
- Black Hawk Gaming &
Development Co., Inc. 27,500 172
- Euroweb International Corp. 61,100 172
</TABLE>
35
<PAGE> 74
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Encore Wire Corp. 31,550 170
- Nastech Pharmaceutical Co., Inc. 37,400 169
- GST Telecommunications Inc. 177,300 169
- onlinetradinginc.com 32,900 169
- Cornerstone Internet
Solutions Co. 95,900 168
- Drug Emporium, Inc. 122,042 168
Greater Community Bancorp 20,335 168
Imperial Sugar Co. 127,006 167
- Genzyme Surgical Products 16,733 166
- UniView Technologies Corp. 94,900 166
- YouthStream Media
Networks, Inc. 29,500 166
- Onvia.com, Inc. 19,200 166
- Beyond.com Corp. 123,200 166
- FLIR Systems, Inc. 25,400 165
Urstadt Biddle Properties
REIT Class A 23,100 165
- ISCO, Inc. 38,685 164
Omega Healthcare
Investors, Inc. REIT 36,500 164
- Mesaba Holdings, Inc. 17,000 163
- Storage Computer Corp. 20,000 163
Herbalife International Class B 20,600 162
- Selectica, Inc. 2,300 161
- Interleukin Genetics, Inc. 35,300 161
CKE Restaurants Inc. 53,498 160
- Mansur Industries, Inc. 59,700 160
- SeraCare, Inc. 64,100 160
- Fresh America Corp. 75,200 160
- Transworld Healthcare Inc. 79,726 159
- Silicon Laboratories Inc. 3,000 159
- Integral Vision, Inc. 63,458 159
- 724 Solutions, Inc. 3,600 158
- Gulf West Banks, Inc. 19,500 156
Bedford Bancshares, Inc. 17,300 156
- Profile Technologies, Inc. 64,700 156
- V.I. Technologies, Inc. 22,200 155
- Niku Corp. 4,600 155
PS Business Parks, Inc. REIT 6,400 154
- Renaissance Worldwide, Inc. 98,300 154
- Micrografx, Inc. 66,300 153
- SMC Corp. 48,900 153
- York Research Corp. 105,700 152
- Hawthorne Financial Corp. 19,500 151
General Binding Corp. 22,572 151
- Progenics Pharmaceuticals, Inc. 10,500 150
- Boyd Gaming Corp. 26,700 149
Astro-Med, Inc. 26,800 147
Titanium Metals Corp. 31,300 147
- Infogrames, Inc. 17,960 146
- Ocular Sciences, Inc. 12,400 146
- The A Consulting Team, Inc. 19,000 145
- National Bancshares Corp.
of Texas 10,600 144
Chiquita Brands
International, Inc. 35,935 141
Guilford Mills, Inc. 33,050 140
- Sheffield Pharmaceuticals, Inc. 24,100 140
- Budget Group, Inc. 33,900 140
- Autoweb.com, Inc. 65,700 140
Bell Industries, Inc. 53,003 139
- CyBear, Inc. 51,500 138
Crown Crafts, Inc. 116,300 138
BankAtlantic Bancorp, Inc.
Class B 23,501 138
- CDnow Inc. 44,400 137
- Quality Systems, Inc. 18,300 137
- Emergent Information
Technologies, Inc. 63,900 136
Chester Valley Bancorp 7,958 135
BCSB Bankcorp, Inc. 22,500 135
- Systemax Inc. 34,800 135
- Fresh Choice, Inc. 44,800 134
Wainwright Bank & Trust Co. 18,300 134
Senior Housing Properties
Trust REIT 16,840 134
- COMFORCE Corp. 85,373 133
- I-Link Inc. Series N Pfd. 69 133
- ZeroPlus.com, Inc. 42,200 132
- Vysis, Inc. 11,800 131
- Impreso.com, Inc. 32,800 131
- Darling International, Inc. 104,900 131
- Omtool, Ltd. 83,900 131
- Keystone Consolidated
Industries, Inc. 34,590 130
Oneida Ltd. 7,300 130
HEICO Corp. Class A 10,554 129
German American Bancorp 8,875 129
- WHX Corp. 23,300 128
- Labtec, Inc. 13,083 128
- Women.com Networks, Inc. 61,300 126
- Proxymed Pharmacy, Inc. 74,250 125
- Allergan Specialty
Therapeutics, Inc. 6,931 125
Pilgrim's Pride Corp. Class A 22,950 125
- Paragon Technologies, Inc. 16,600 125
- InsWeb Corp. 58,550 124
W.P. Carey & Co. LLC REIT 7,500 123
- Aksys, Ltd. 14,300 122
- IMPSAT Fiber Networks, Inc. 7,300 122
International Shipholding Corp. 13,900 122
- PcOrder.com, Inc. 15,600 121
- Official Payments Corp. 28,000 121
- QCF Bancorp, Inc. 4,900 120
- Industri-Matematik International
Corp. 22,200 119
- H.D. Vest, Inc. 17,800 119
- Group 1 Software, Inc. 6,900 119
- Benihana Inc. 8,400 118
- Designs, Inc. 70,900 117
- Excel Legacy Corp. 43,400 117
- The Sports Authority, Inc. 102,800 116
- LINC Capital, Inc. 168,000 115
- Harken Energy Corp. 184,300 115
- Hecla Mining Co. 102,200 115
Skylands Financial Corp. 7,900 115
- SkillSoft Corp. 8,100 114
- A.C. Moore Arts & Crafts, Inc. 17,900 114
Public Storage, Inc. REIT-
Depositary Shares A 5,466 113
- Charles River Laboratories, Inc. 5,100 113
</TABLE>
36
<PAGE> 75
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Universal Access, Inc. 4,600 $ 113
Allied Products Corp. 72,098 113
Reliance Group Holdings 149,986 112
Carolina Southern Bank 9,182 112
- Fidelity Holdings, Inc. 89,150 111
- PTEK Holdings, Inc. 34,100 111
- Maxicare Health Plans Inc. 126,378 111
- Carrington Labs Inc. 51,128 110
First Mariner Bancorp, Inc. 20,000 110
- Martha Stewart Living
Omnimedia, Inc. 4,900 108
Blimpie International, Inc. 59,400 108
Dimon Inc. 50,650 108
- Capital Title Group, Inc. 75,800 107
- Merisel, Inc. 141,700 106
- Trump Hotels & Casino
Resorts, Inc. 37,600 106
- Freeport-McMoRan Copper &
Gold, Inc. Class A 11,512 105
- Manufacturers' Services Limited 5,100 105
- PlanetRx.com, Inc. 69,900 105
- Rainmaker Systems, Inc. 38,600 104
Unity Bancorp, Inc. 26,710 103
- Huttig Building Products, Inc. 24,556 101
BMC Industries, Inc. 24,663 100
- Mossimo, Inc. 128,200 100
- Muse Technologies, Inc. 33,300 100
- ZapMe! Corp. 36,000 99
- SEEC, Inc. 22,600 99
- Anthony & Sylvan Pools Corp. 12,600 98
- Adams Golf, Inc. 71,200 98
Oakwood Homes Corp. 53,100 96
Colonial Properties Trust REIT 3,500 96
- Leapnet, Inc. 30,500 95
- Geerlings & Wade Inc. 31,400 95
- Seven Seas Petroleum Inc. 79,700 95
- Alysis Technologies Inc. 29,900 94
- Egreetings Network, Inc. 68,300 94
- ebookers.com PLC 10,600 93
- Virage, Inc. 5,100 92
- Hycor Biomedical Inc. 13,900 92
Hudson River Bancorp. Inc. 7,700 91
- Alterra Healthcare Corp. 44,800 90
- Carriage Services, Inc. 26,500 89
- Lason Holdings, Inc. 35,300 88
- Juno Lighting, Inc. 14,672 88
Rouge Industries Inc. 29,200 88
- Netivation.com, Inc. 63,700 88
Prime Retail, Inc. REIT 69,400 87
- Sola International Inc. 17,700 86
- Navarre Corp. 65,300 86
- Consumer Portfolio Services, Inc. 82,900 85
Equity Inns, Inc. REIT 13,900 85
- General Chemical Group, Inc. 123,600 85
- E-Stamp Corp. 45,200 85
- Frontline Communications Corp. 54,000 84
- Network-1 Security Solutions, Inc. 14,000 84
- Gallery of History, Inc. 19,100 84
- Ostex International, Inc. 38,100 83
- Response Oncology, Inc. 91,200 83
- EChapman.com, Inc. 11,597 83
- Craig Corp. 21,077 82
- Lightspan Inc. 14,700 81
- iPrint.com, Inc. 16,400 80
- Aviation General Inc. 28,600 80
- SIGA Technologies, Inc. 16,900 80
- Capital Bank Corp. 8,900 80
- Burlington Industries, Inc. 47,397 80
- Crown Media Holdings, Inc. 5,100 78
- Audio Visual Services Corp. 113,500 78
- 360networks Inc. 5,100 78
- Craig Corp. Pfd. 20,077 77
- Barnett, Inc. 7,400 76
- ReSourcePhoenix.com, Inc. 46,500 76
Herbalife International Class A 8,300 73
- Webco Industries, Inc. 23,700 73
- Checkers Drive-In
Restaurants, Inc. 16,362 72
- JLM Industries, Inc. 20,300 71
- Computer Learning Centers, Inc. 81,200 71
- F.Y.I. Inc. 2,100 71
- Sonic Innovations, Inc. 3,800 71
- CRIIMI MAE, Inc. REIT 51,300 71
Fedders Corp. Class A 15,226 70
- HomeBase, Inc. 43,800 68
- Dynamics Research Corp. 7,800 67
- International Smart Sourcing, Inc. 9,000 66
York Financial Corp. 5,412 66
- Cellular Technical Services 8,045 65
- ZEVEX International, Inc. 12,200 65
- ATEC Group, Inc. 30,400 65
- UniCapital Corp. 128,400 64
- BigStar Entertainment, Inc. 60,400 64
- Terra Industries, Inc. 60,250 64
- Komag, Inc. 36,400 64
- BTU International, Inc. 5,200 62
- PictureTel Corp. 23,600 62
- Agritope, Inc. 9,660 62
- IEC Electronics Corp. 38,218 60
- Wackenhut Corp. Class B 6,350 60
Cavalier Homes, Inc. 36,322 59
Interpool, Inc. 6,000 59
- Redhook Ale Brewery, Inc. 33,900 58
- Hovnanian Enterprises Class B 9,650 58
- Click Commerce, Inc. 2,500 57
- Odwalla, Inc. 7,900 56
- Hauser, Inc. 31,925 56
Reader's Digest Assn., Inc.
Class B 1,500 55
- Artisan Components, Inc. 5,000 54
- Coram Healthcare Corp. 150,998 54
- ValueClick, Inc. 5,300 54
- Zonagen, Inc. 16,500 54
- Popmail.com, Inc. 53,400 53
- United PanAm Financial Corp. 50,900 52
- Value America, Inc. 46,100 50
- QAD Inc. 13,300 50
- CD Warehouse, Inc. 30,400 49
- Elan Corp. Contingent Value
Rights 98,661 49
Codorus Valley Bancorp, Inc. 4,386 49
- Trailer Bridge, Inc. 18,400 49
</TABLE>
37
<PAGE> 76
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
---------------------------------------------------------------------------------------
<S> <C> <C>
- Dispatch Management
Services Corp. 37,000 $ 49
- Radio Unica Corp. 6,900 48
- Magellan Health Services, Inc. 38,400 48
- USABancShares.com, Inc. 12,000 48
J.M. Smucker Co. Class B 2,500 47
Habersham Bancorp 4,500 46
- Starcraft Corp. 5,500 45
Heilig-Meyers Co. 38,057 45
- Film Roman, Inc. 45,000 45
- Viasoft, Inc. 5,400 45
- Continucare Corp. 65,000 45
- Belmont Bancorp. 16,060 44
Avado Brands, Inc. 29,074 44
- ImproveNet, Inc. 17,200 43
- eCollege.com Inc. 9,800 43
- Electronic Retailing Systems
International, Inc. 48,900 43
- Western Water Co. 97,600 43
- Central Financial Acceptance
Corp. 10,500 43
Steelcase Inc. 2,500 43
- NCS HealthCare, Inc. 55,300 41
- Jos. A. Bank Clothiers, Inc. 10,500 41
- Avenue A, Inc. 4,600 41
- Cardima, Inc. 33,500 40
Delhaize America, Inc. Class B 2,564 39
- Davel Communications, Inc. 112,543 39
- PowerCerv Corp. 25,600 38
- Badger Paper Mills, Inc. 9,300 38
- Conrad Industries, Inc. 5,800 38
- Styling Technology Corp. 62,100 37
- PRT Group Inc. 32,300 36
- Axsys Technologies, Inc. 2,200 36
Reckson Associates Realty
Corp. Class B REIT 1,338 34
- Alphanet Solutions, Inc. 7,900 33
- Vixel Corp. 4,000 33
- K-tel International, Inc. 15,500 33
- Fortress Group, Inc. 57,700 32
- Colonial Downs Holdings, Inc. 34,500 32
- Vizacom Inc. 12,517 32
- PhyCor, Inc. 50,700 32
- Skechers U.S.A., Inc. 2,000 32
- Candie's, Inc. 25,000 31
Kaye Group Inc. 5,300 31
- Aames Financial Corp. 34,950 31
- Technical Chemicals and
Products, Inc. 37,200 30
Frontier Insurance Group, Inc. 40,280 30
- Worldwide Entertainment & Sports Corp. 31,000 30
- Aerovox, Inc. 7,200 30
- International Microcomputer
Software, Inc. 37,100 30
- Today's Man Inc. 79,025 30
- ARTISTdirect, Inc. 9,400 29
- Magellan Petroleum Corp. 22,000 28
- Hathaway Corp. 5,100 27
- Lanvision Systems, Inc. 13,400 27
- U.S. Energy Systems, Inc. 6,000 27
- Star Buffet, Inc. 7,600 27
- Fogdog, Inc. 20,300 26
- Pacific Softworks, Inc. 9,000 25
- Alyn Corp. 65,800 25
- IGI, Inc. 17,090 23
- Terra Nitrogen Co., LP 5,800 23
- Offshore Logistics, Inc. 1,600 23
- Air Methods Corp. 7,100 22
- Rocky Mountain Chocolate Factory, Inc. 4,668 22
- Pets.com 9,800 22
- Gensym Corp. 6,000 22
Clarion Commercial Holdings, Inc. REIT 4,000 22
- Fresh Foods Inc. 8,500 21
- Medical Alliance, Inc. 5,000 21
- Amresco, Inc. 37,200 21
Pittsburgh & West Virginia Railroad 3,000 21
- Interstate Hotels Corp. REIT 6,932 20
- adam.com Inc. 5,000 20
- Ashford.com, Inc. 6,700 19
- Ascent Pediatrics, Inc. 16,700 19
- Gold Reserve Inc. Class A 26,900 18
- Sunterra Corp. 63,750 18
- Northwest Pipe Co. 1,500 18
- Perceptron, Inc. 5,000 17
- Integra, Inc. 25,900 17
- Integral Systems, Inc. 1,000 17
- Lifeway Foods, Inc. 2,400 16
- Alteon, Inc. 7,400 16
- First Priority Group,Inc. 9,500 16
- Aqua Care Systems, Inc. 10,000 16
- Royal Precision Inc. 5,800 15
- Prime Energy Corp. 3,000 15
- Response USA, Inc. 33,400 15
- Sunbeam Corp. Warrants
Exp. 8/24/2003 19,549 13
- Blount International, Inc. 1,733 13
- The TesseracT Group, Inc. 33,400 13
Jacksonville Bancorp, Inc. 1,000 13
- Datawatch Corp. 6,000 13
- New World Coffee-Manhattan Bagel, Inc. 6,000 13
- Harnischfeger Industries Inc. 36,506 12
Bandag, Inc. Class A 538 12
- AMF Bowling, Inc. 64,524 12
- Aquila Biopharmaceuticals, Inc. 4,000 12
- Helen of Troy Corp. 2,100 12
- Genesis Health Ventures Inc. 65,200 12
- b2bstores.com, Inc. 4,500 12
- Insilco Holding Corp. 401 11
- Total Entertainment Restaurant Corp. 5,000 11
- Frisby Technologies, Inc. 2,300 11
- Safeguard Health Enterprises, Inc. 16,035 10
- The Knot, Inc. 2,700 10
- Cardinal Financial Corp. 2,000 10
- Dunn Computer Corp. 5,000 10
- Innovative Gaming Corp. 10,050 9
</TABLE>
38
<PAGE> 77
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-----------------------------------------------------------------------------------
<S> <C> <C>
- Merry Land Properties, Inc. REIT 1,748 $ 9
- Safety-Kleen Corp. 129,529 9
- FiNet.com, Inc. 12,500 9
- CRIIMIMAE, Inc. 12% Cvt. Pfd. 1,539 8
- LecTec Corp. 3,500 8
- Base Ten Systems, Inc. Class A 7,860 8
- Family Golf Centers, Inc. 32,900 8
- SkyePharma PLC ADR 514 7
- U.S. Office Products Co. 18,125 7
- Heartland Technology, Inc 7,700 7
- Horizon Group Properties, Inc. REIT 2,000 7
- Cytrx Corp. 5,900 6
- Fusion Networks Holdings, Inc. 3,000 6
- Florsheim Group Inc. 3,000 6
- T & W Financial Corp. 92,600 6
- FirstCity Financial Corp. 3,000 6
- CTI Industries Corp. 2,500 5
- IntegraMed America, Inc. 1,400 4
- Fechtor, Detwiler, Mitchell & Co. 5,200 4
- Gradco Systems, Inc. 2,550 4
- TCI Satellite Entertainment, Inc.
Class B 420 4
- LTC Healthcare, Inc. 4,310 4
- Inacom Corp. 66,480 4
- Stage Stores, Inc. 24,800 4
- Alanco Technologies, Inc. 1,728 4
- ProcureNet, Inc. 22,500 3
- Crown Vantage, Inc. 17,104 3
- Aronex Pharmaceuticals, Inc. 1,000 3
- The Penn Traffic Co. 447 3
- Empire of Carolina, Inc. 8,900 3
- Inland Resources Inc. 500 3
- ILX Resorts Inc. 1,200 3
- Filene's Basement Corp. 212,205 2
- Marvel Enterprises, Inc. Class C
Warrants Exp. 10/2/2002 2,555 2
- Einstein/Noah Bagel Corp. 19,300 2
- System Software
Associates, Inc. 44,125 2
- AES Corp. Warrants
Exp. 7/31/2000 9 1
- Precision Auto Care, Inc. 1,600 1
- Marvel Enterprises, Inc. Class A
Warrants Exp. 10/2/2001 1,508 1
- Centennial Technologies, Inc. 122 1
- Specialty Chemical
Resources, Inc. 29,400 1
- News Communications, Inc. 501 1
-----------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $17,291,592) 23,688,272
-----------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
-----------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (3.7%)(1)
-----------------------------------------------------------------------------------
FEDERAL HOME LOAN BANK
(2) 6.00%, 8/9/2000 $ 10,000 $ 9,929
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 6.08%, 8/17/2000 5,000 4,960
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 6.454%, 8/3/2000 5,000 4,971
(2) 6.45%, 8/10/2000 2,000 1,986
(2) 6.06%, 7/13/2000 15,000 14,973
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000 601,248 601,248
6.71%, 7/3/2000--Note G 266,267 266,267
-----------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $904,337) 904,334
-----------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.0%)
(COST $18,195,929) 24,592,606
-----------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.0%)
-----------------------------------------------------------------------------------
Other Assets--Note B 156,453
Liabilities--Note G (414,975)
--------
(258,522)
-----------------------------------------------------------------------------------
NET ASSETS (100%) $24,334,084
===================================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
(1) The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash
investment positions represent 100.1% and 0.9%, respectively, of net
assets. See Note F in Notes to Financial Statements.
(2) Securities with an aggregate value of $36,819,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
PEPS--Premium Equity Participating Securities.
REIT--Real Estate Investment Trust.
39
<PAGE> 78
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------
TOTAL STOCK MARKET AMOUNT
INDEX FUND (000)
--------------------------------------------------------------------------------------
<S> <C>
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
--------------------------------------------------------------------------------------
Paid in Capital--Note E $17,916,654
Undistributed Net Investment Income 1,962
Accumulated Net Realized Gains--Note E 27,620
Unrealized Appreciation (Depreciation)--
Note F
Investment Securities 6,396,677
Futures Contracts (8,829)
--------------------------------------------------------------------------------------
NET ASSETS $24,334,084
======================================================================================
Investor Shares--Net Assets
Applicable to 604,848,206 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $19,829,048
--------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $32.78
======================================================================================
Institutional Shares--Net Assets
Applicable to 137,402,967 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $4,505,036
--------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $32.79
======================================================================================
</TABLE>
(C) 2000 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor. F402 082000
40
<PAGE> 79
VANGUARD(R)
U.S. STOCK INDEX FUNDS
MID- AND SMALL-CAPITALIZATION
PORTFOLIOS
semiannual
June 30, 2000
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
[THE VANGUARD GROUP LOGO]
<PAGE> 80
HAVE THE PRINCIPLES OF INVESTING CHANGED?
In a world of frenetic change in business, technology, and the financial
markets, it is natural to wonder whether the basic principles of investing have
changed.
We don't think so.
The most successful investors over the coming decade will be those who
began the new century with a fundamental understanding of risk and who had the
discipline to stick with long-term investment programs.
Certainly, investors today confront a challenging, even unprecedented,
environment. Valuations of market indexes are at or near historic highs. The
strength and duration of the bull market in U.S. stocks have inflated people's
expectations and diminished their recognition of the market's considerable
risks. And the incredible divergence in stock returns--many technology-related
stocks gained 100% or more in 1999, yet prices fell for more than half of all
stocks--has made some investors question the idea of diversification.
And then there is the Internet. Undeniably, it is a powerful medium for
communications and transacting business. For investors, the Internet is a vast
source of information about investments, and online trading has made it
inexpensive and convenient to trade stocks and invest in mutual funds.
However, new tools do not guarantee good workmanship. Information is not
the same as wisdom. Indeed, much of the information, opinion, and rumor that
swirl about financial markets each day amounts to "noise" of no lasting
significance. And the fact that rapid-fire trading is easy does not make it
beneficial. Frequent trading is almost always counterproductive because
costs--even at low commission rates--and taxes detract from the returns that the
markets provide. Sadly, many investors jump into a "hot" mutual fund just in
time to see it cool off. Meanwhile, long-term fund investors are hurt by
speculative trading activity because they bear part of the costs involved in
accommodating purchases and redemptions.
Vanguard believes that intelligent investors should resist short-term
thinking and focus instead on a few time-tested principles:
- Invest for the long term. Pursuing your long-term investment goals is
more like a marathon than a sprint.
- Diversify your investments with holdings in stocks, bonds, and cash
investments. Remember that, at any moment, some part of a diversified portfolio
will lag other parts, and be wary of taking on more risk by "piling onto" the
best-performing part of your holdings. Today's leader could well be tomorrow's
laggard.
- Step back from the daily frenzy of the markets; focus on your overall
asset allocation.
- Capture as much of the market's return as possible by minimizing costs
and taxes. Costs and taxes diminish long-term returns while doing nothing to
reduce the risks you incur as an investor.
<TABLE>
<CAPTION>
CONTENTS
<S> <C>
REPORT FROM THE CHAIRMAN................................1
THE MARKETS IN PERSPECTIVE..............................5
PERFORMANCE SUMMARIES...................................7
FUND PROFILES..........................................12
FINANCIAL STATEMENTS...................................18
</TABLE>
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted.
"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.
Frank Russell Company is the owner of trademarks and copyrights relating to the
Russell Indexes.
"Wilshire 5000(R)" and "Wilshire 4500" are trademarks of Wilshire Associates
Incorporated.
<PAGE> 81
[PHOTO]
John J. Brennan
REPORT FROM THE CHAIRMAN
The U.S. stock market endured a choppy six months during the first half of 2000,
as many investors struggled to sort out the implications of rising interest
rates, strong economic growth, and the sky-high valuations of some technology
companies. Yet despite extreme volatility, the half-year ended June 30 was a
generally rewarding period for investors in small- and mid-capitalization
stocks.
<TABLE>
<CAPTION>
---------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 2000
---------------------------------------------------
<S> <C>
EXTENDED MARKET INDEX FUND 0.2%
Wilshire 4500 Index 0.3
---------------------------------------------------
MID-CAP INDEX FUND 9.3%
S&P MidCap 400 Index 9.0
---------------------------------------------------
SMALL-CAP INDEX FUND 3.5%
Russell 2000 Index 3.0
---------------------------------------------------
SMALL-CAP GROWTH INDEX FUND 9.5%
S&P SmallCap 600/BARRA Growth Index 8.8
---------------------------------------------------
SMALL-CAP VALUE INDEX FUND 5.1%
S&P SmallCap 600/BARRA Value Index 4.8
---------------------------------------------------
INSTITUTIONAL SHARES
---------------------------------------------------
Extended Market Index Fund 0.2%
Mid-Cap Index Fund 9.4
Small-Cap Index Fund 3.5
Small-Cap Growth Index Fund* 13.0
Small-Cap Value Index Fund 5.2
---------------------------------------------------
</TABLE>
*Since inception, May 24, 2000.
In this environment, Vanguard Small-Cap Growth Index Fund earned the
highest six-month total return of the five Vanguard mid- and small-cap stock
index funds, advancing 9.5%. Total returns of our other funds ranged from 0.2%
for the Extended Market Index Fund to 9.3% for the Mid-Cap Index Fund.
For your reference, the Standard & Poor's 500 Index, which is dominated by
large-cap stocks, returned -0.4% for the period. The adjacent table shows the
six-month total returns (capital change plus reinvested dividends) achieved by
our funds, compared with the returns of their respective unmanaged index
benchmarks. As you can see, the returns of four of our five funds exceeded those
of their target indexes, a notable achievement. Also presented here is the
performance of the Institutional Shares for our funds, which are available for
minimum investments of $10 million. The return of the Institutional Shares of
our Small-Cap Growth Index Fund, which were launched in late May, is included in
the table. These shares returned 13.0%, compared with the 12.7% return for the
Standard & Poor's SmallCap 600/BARRA Growth Index during the same period.
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.
THE PERIOD IN REVIEW
The first half of 2000 was a tumultuous time in the financial markets, which
were buffeted by a complex set of crosscurrents. The domestic economy continued
to grow at a strong pace--the production of goods and services during the second
quarter of 2000 was about 6% higher than in the same period last year, even
after adjusting for inflation. Unemployment remained low, hovering around 4% of
the workforce. Elsewhere in the world, growth was picking up from more subdued
levels.
Economic growth is generally good for corporate earnings and, thus, for
stock prices. But investors and economic policymakers have worried that the
combination of rapid
1
<PAGE> 82
economic growth and low unemployment would trigger sharply higher wages and
inflation. The Federal Reserve Board, in an effort to slow the economy's
momentum and forestall an inflationary outburst, continued to raise short-term
interest rates during the half-year. The Fed boosted its target for the federal
funds rate three times by a total of 1.0 percentage point (100 basis points). In
all, the Fed has raised its target rate by 175 basis points in the past 12
months.
For most of the first quarter of 2000, a continuing boom in technology
stocks kept the market averages rising, despite the threat of higher interest
rates. But during the second quarter, tech stocks in particular cooled off. The
market may have reacted to evidence that the ideal combination of rapid growth
and low inflation was coming to an end. If the Fed succeeds in slowing the
economy, corporate earnings growth might slow, too. And if earnings growth
slowed, some investors reasoned, technology and telecommunications stocks would
have a tough time maintaining their lofty price/earnings multiples. The split
between the two quarters was evident in the results for the tech-dominated
Nasdaq Composite Index, which rose 12.7% in the first quarter, only to slide
-14.7% in the second. End result? A -3.9% return for the half-year.
The overall U.S. stock market, as measured by the Wilshire 5000 Total
Market Index, posted a -0.7% return for the six months. The small-cap Russell
2000 Index gained 3.0%, outpacing the large-cap S&P 500 Index, which, as
mentioned previously, posted a negative return of -0.4%. Leadership within the
market during the period switched back and forth between growth stocks--those
whose prices reflect high expectations for future profitability--and value
stocks, whose low prices in relation to earnings, book value, and dividends
reflect lower expectations by the market. Growth stocks were in front early on,
but value stocks performed best in late March and April. Growth issues bounced
back in June, however, and for the full six months, growth generally outpaced
value. For example, the growth stocks within the Russell 1000 Index (comprising
the 1,000 largest U.S. stocks) earned 4.2%, while the value stocks declined by
an equal amount. A similar pattern was evident among small- and mid-cap stocks.
Mid-cap growth stocks, as measured by the S&P MidCap 400/BARRA Growth Index,
returned 15.0% for the six months, while the index's value component returned
3.4%; the S&P SmallCap 600/BARRA Growth Index, a measure of small growth stocks,
returned 8.8% for the period, 4 full percentage points above the return of
small-cap value stocks.
The Fed's efforts succeeded in pushing up short-term interest rates: The
yield of 3-month U.S. Treasury bills climbed 52 basis points (from 5.33% to
5.85%) during the half-year. But after rising early in the year, yields for
longer-term Treasuries began to fall after the Treasury announced that it would
use rising federal budget surpluses to buy back billions of dollars' worth of
long-term bonds. A shrinking supply of long-term Treasuries caused their prices
to rise and their yields to fall. By June 30, the 30-year Treasury bond's yield
had fallen 58 basis points, from 6.48% to 5.90%. Yields on high-quality
corporate bonds were flat to slightly higher. But for low-quality corporate
("junk") bonds, prices fell and yields rose as investors worried about increased
defaults.
PERFORMANCE OVERVIEW
The half-year returns of our mid- and small-cap index funds were generally solid
on an absolute basis, with the exception of the Extended Market Index Fund,
which provided a total return of 0.2%. However, our results relative to similar
mutual funds were somewhat disappointing. The table on page 3 presents the
six-month total returns of our funds, compared with those of their average
mutual fund peers. As you can see, only the Vanguard Small-Cap Growth Index Fund
kept pace with its average peer.
2
<PAGE> 83
VANGUARD EXTENDED MARKET INDEX FUND returned a scant 0.2% during the
period, a hair behind the return of the Wilshire 4500 Completion Index, which
includes essentially all U.S. stocks outside of the S&P 500 Index. However, the
fund's return was far behind the average return of mid-cap core mutual funds,
which was 11.1%. As a group, these funds invest in stocks that are smaller than
those held by our fund, a distinction that worked to our disadvantage during a
six-month period when returns of smaller stocks outshone those of large stocks.
<TABLE>
<CAPTION>
--------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED JUNE 30, 2000
---------------------------------------
VANGUARD AVERAGE
INDEX COMPARABLE
FUND FUND* DIFFERENCE
--------------------------------------------------------
<S> <C> <C> <C>
Extended Market 0.2% 11.1% -10.9%
Mid-Cap 9.3 11.1 -1.8
Small-Cap 3.5 9.2 -5.7
Small-Cap Growth 9.5 9.5 0.0
Small-Cap Value 5.1 6.5 -1.4
--------------------------------------------------------
</TABLE>
*Figures for the average comparable funds are derived from data provided by
Lipper Inc. The Lipper fund groups are: for the Extended Market and Mid-Cap
Index Funds, mid-cap core funds; for the Small-Cap Index Fund, small-cap core
funds; for the Small-Cap Growth Index Fund, small-cap growth funds; for the
Small-Cap Value Index Fund, small-cap value funds.
VANGUARD MID-CAP INDEX FUND returned 9.3% during the period, ahead of the
9.0% return of its benchmark index, but behind the 11.1% return of its average
peer. The shortfall of our fund, which invests in both growth and value stocks,
was primarily the result of its somewhat lighter stake in mid-cap growth stocks,
which earned a return that was nearly five times that of value stocks.
Among our small-cap index funds, the divergence in returns between growth
and value stocks explained our relative performance. VANGUARD SMALL-CAP INDEX
FUND, which also includes a mix of growth and value stocks, posted a six-month
return of 3.5%, a bit above that of its target, the Russell 2000 Index, but far
short of the 9.2% return of the average small-cap core fund.
VANGUARD SMALL-CAP GROWTH INDEX FUND provided the highest return of our
funds, earning 9.5% for the six months. The fund's return was 0.7 percentage
point above that of its target index, the S&P SmallCap 600/BARRA Growth Index,
and was even with that of its average mutual fund peer. VANGUARD SMALL-CAP VALUE
INDEX FUND also turned in a solid six months on an absolute basis, but failed to
keep up with its average peer--or its growth counterpart. The fund returned 5.1%
for the period, just ahead of the 4.8% return of its benchmark index but 1.4
percentage points behind its average peer, which is slightly more
growth-oriented than our fund.
We salute the skillful management of Vanguard Quantitative Equity Group,
which provides investment management for all of Vanguard's stock index funds.
All mutual funds incur operating expenses and administrative costs that indexes,
which are theoretical constructs, do not bear. Our low expense ratios--about
0.25% of average net assets for each of our funds, or $2.50 for every $1,000
invested--help keep our returns closely in line with those of our target
indexes. (By way of comparison, the average small-cap growth mutual fund levies
an expense ratio of 1.64%, or $16.40 per $1,000 invested.) During the half-year,
the Quantitative Equity Group offset the effect of our costs--and then
some--through skillful portfolio management. When reviewing our performance,
keep in mind that our low costs provide our funds, and thus our shareholders,
with a powerful advantage over long periods, but they do not guarantee superior
performance during all periods.
IN SUMMARY
During the first half of 2000, we witnessed very sharp day-to-day price
fluctuations in the stock market, significant swings in investor sentiment, and
sudden shifts in market leadership. All of this volatility, squeezed into a mere
six months, underscored the fact
3
<PAGE> 84
that unpredictability is par for the course in financial markets. The timing,
extent, and duration of such episodes are impossible to foretell with precision,
but investors must be willing to endure them to reap the long-term rewards of
investing.
At Vanguard, we reiterate our long-standing recommendation for navigating
stormy seas toward long-term financial goals. First, create an investment plan
with a balance of stock funds, bond funds, and money market funds suited to your
time horizon, investment objectives, and tolerance for market fluctuations.
Then, once you have such a diversified plan in place, stick with it. Avoid the
impulse to alter it based on short-term events--whether those be unsettling
turbulence in the market or glittery returns from some particular corner of the
market. "Stay the course" is timeless investment wisdom.
/s/ JOHN J. BRENNAN
John J. Brennan
Chairman and Chief Executive Officer July 18, 2000
-------------------------------------------------------------------------------
IN MEMORY
-------------------------------------------------------------------------------
It is with great sadness that I report the death of John C. Sawhill, an
independent trustee of the funds and a member of The Vanguard Group's board of
directors since 1991. John, an economist who was president and chief executive
officer of The Nature Conservancy, died on May 18 at age 63. He was a senior
lecturer at the Harvard Business School and had formerly served as president of
New York University and as deputy secretary of the U.S. Department of Energy
under President Jimmy Carter. John was a remarkable man who was full of energy,
vigor, and life. His experience and wisdom added a great deal to Vanguard, and
his death is a blow to everyone who knew and loved him. Though John's work on
behalf of our funds was often carried on behind the scenes, he was a dedicated
advocate for the best interests of our shareholders. He will be missed.
<TABLE>
<CAPTION>
FUND STATISTICS
-------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 2000
---------------------------------------------
NET ASSET VALUE PER SHARE DISTRIBUTIONS FROM DIVIDENDS PER
----------------------------- NET REALIZED SHARE FROM NET
VANGUARD INDEX FUND DEC. 31, 1999 JUN. 30, 2000 CAPITAL GAINS INVESTMENT INCOME
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market $37.07 $36.18 $1.110 --
Mid-Cap 11.30 12.21 0.150 --
Small-Cap 23.60 24.23 0.215 --
Small-Cap Growth 11.38 12.46 -- --
Small-Cap Value 8.45 8.63 0.250 --
-------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
-------------------------------------------------------------------------------------------------------
Extended Market $37.09 $36.22 $1.110 --
Mid-Cap 11.30 12.22 0.150 --
Small-Cap 23.61 24.25 0.215 --
Small-Cap Growth 11.03* 12.46 -- --
Small-Cap Value 8.45 8.64 0.250 --
-------------------------------------------------------------------------------------------------------
</TABLE>
*Net asset value as of inception, May 24, 2000.
4
<PAGE> 85
THE MARKETS IN PERSPECTIVE
SIX MONTHS ENDED JUNE 30, 2000
The perpetual tug-of-war in the financial markets ended in a near stalemate
during the first half of 2000, despite lots of back-and-forth movement. On
average, neither stock nor bond prices ended the period far from where they
began it. However, bonds, thanks to their superior income, outpaced stocks in
total return.
Economic signals were conflicting. Growth continued at a rapid pace, and
corporate profits rose smartly. On the other hand, stock prices as the year
began already reflected high levels of optimism, and the market administered
severe punishment to companies that failed to live up to earnings expectations.
Also weighing on the market were concerns that the economy's vigor at a time of
low unemployment would inevitably push labor costs and other prices higher.
Indeed, higher costs for oil and natural gas pushed broad gauges of inflation
higher (the Consumer Price Index gained 2.4% for the six months and 3.7% for the
twelve months ended June 30). Yet core inflation, which excludes energy and food
items, registered a moderate 2.4% gain during the 12 months ended June 30.
<TABLE>
<CAPTION>
------------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 2000
-----------------------------
6 MONTHS 1 YEAR 5 YEARS*
------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index -0.4% 7.2% 23.8%
Russell 2000 Index 3.0 14.3 14.3
Wilshire 5000 Index -0.7 10.0 22.6
MSCI EAFE Index -4.0 17.4 11.6
------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 4.0% 4.6% 6.3%
Lehman 10 Year Municipal Bond Index 4.0 4.5 6.0
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 2.8 5.3 5.2
------------------------------------------------------------------
OTHER
Consumer Price Index 2.4% 3.7% 2.5%
------------------------------------------------------------------
</TABLE>
*Annualized.
The Federal Reserve Board raised short-term interest rates by 0.25
percentage point in February and again in March, before adding a half-point
boost in May. These steps, which followed three quarter- percentage-point
increases in 1999, took the Fed's target for short-term rates to 6.5%.
Thereafter, signs of a slowing in economic activity cropped up, although it was
not certain that the Fed was done trying to throttle down the economic engine.
U.S. STOCK MARKETS
Stock prices were quite volatile during the half-year, and large day-to-day
price fluctuations in market averages were commonplace. There also were two
swift shifts in market leadership. The year began with a continuance in the
rapid rise for the "TMT" stocks (technology, media, telecommunications) that
were the market's darlings during 1999. Through mid-March, the surge in these
"new economy" groups left "old economy" stocks far behind. For example, the
Nasdaq Composite Index, which is dominated by tech-related stocks, gained 15.6%
and the Russell 1000 Value Index fell -10.4% during January and February. But in
mid-March, value stocks took charge and TMT stocks slumped. The Russell 1000
Value Index returned 12.1% while the Nasdaq plummeted to a -27.4% return in the
March-May period. But June brought another flip-flop: The value index declined
-4.6%, while the Nasdaq rebounded with a 14.5% return.
5
<PAGE> 86
When the half-year was over, most broad market indexes had modest declines.
The all-market Wilshire 5000 Index returned -0.7%, the large-capitalization S&P
500 Index slipped -0.4%, and the Nasdaq fell -3.9%. Small- and mid-cap stocks
did better: The small-cap Russell 2000 Index gained 3.0% and the Wilshire 4500
Completion Index, comprising virtually all the U.S. stocks outside of the S&P
500, eked out a 0.3% return.
U.S. BOND MARKETS
The Federal Reserve most directly influences interest rates of short-term
securities. The Fed pushed up its target federal funds rate (charged on
overnight loans between banks) by 1 percentage point to 6.5%. But yields of
3-month U.S. Treasury bills rose only half as far (0.52 percentage point, or 52
basis points to 5.85%). And yields actually declined on long-term Treasury
securities, whose prices rose. Big federal budget surpluses are causing a
shrinking supply of Treasury bonds. The 10-year Treasury note's yield fell 41
basis points to 6.03% as of June 30, and the yield of the 30-year Treasury
declined 58 basis points--from 6.48% to 5.90%--during the half-year.
The upshot was an unusual "inversion" in the yield curve. Instead of
sloping upward--with yields increasing along with the maturity of Treasury
securities--the curve descended. The 5.90% yield of 30-year Treasuries on June
30 was 49 basis points below the 6.39% yield on 3-year Treasury notes.
Corporate bonds did not perform as well as Treasuries for two main reasons:
a record level of new offerings and investors' concern that credit quality might
be declining. The rise in yields (and fall in prices) was slight for
higher-quality corporate bonds but more severe for high-yield "junk" bonds.
Investors grew wary of riskier bonds due to an increase in defaults. The Lehman
High Yield Bond Index saw a price decline of -5.7% during the first half of
2000, more than offsetting its six-month income of 4.5%. Tax-exempt municipal
bonds generally outperformed corporates but did not do as well as Treasury
securities. The overall taxable bond market, as measured by the Lehman Aggregate
Bond Index, returned 4.0%, as a price gain of 0.4% augmented a 3.6% income
return.
INTERNATIONAL STOCK MARKETS
International stock markets were generally unprofitable for U.S. investors due
to lack- luster local market performances and a stronger U.S. dollar during the
half-year. Although economic growth in most of Europe appeared to be
strengthening, stocks were hurt by continued economic weakness in Japan and from
expectations of higher interest rates. On the other hand, European stock prices
got some support from an increase in corporate takeovers.
In local currencies, European stocks posted a 1.7% return in the aggregate
and stocks from the Pacific region recorded a modest decline of -2.6%. However,
the dollar's strength diminished those results for U.S. investors, for whom the
Morgan Stanley Capital International (MSCI) Europe Index returned -3.0% and the
MSCI Pacific Free Index returned -5.9%. The MSCI Europe, Australasia, Far East
(EAFE) Index of developed foreign markets registered a -4.0% return for U.S.
investors.
The Select Emerging Markets Free Index fell -9.6% in U.S. dollars, having
declined -3.5% in local currencies. The index was hit by weakness in South
Africa (-15%) and several emerging Asian markets, including Indonesia (-44%),
Thailand (-36%), and the Philippines (-36%). The biggest gains among emerging
markets were in Israel (+27%) and Venezuela (+19%).
6
<PAGE> 87
PERFORMANCE SUMMARIES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
EXTENDED MARKET INDEX FUND
TOTAL INVESTMENT RETURNS: DECEMBER 21, 1987-JUNE 30, 2000
--------------------------------------------
EXTENDED MARKET INDEX FUND WILSHIRE
4500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
--------------------------------------------
<S> <C> <C> <C> <C>
1987 -0.1% 0.0% -0.1% 0.5%
1988 17.7 2.0 19.7 20.5
1989 22.1 2.0 24.1 23.9
1990 -16.4 2.4 -14.0 -13.6
1991 39.6 2.2 41.8 43.5
1992 10.9 1.6 12.5 11.9
1993 13.2 1.3 14.5 14.6
1994 -3.2 1.4 -1.8 -2.7
1995 32.2 1.6 33.8 33.5
1996 16.2 1.4 17.6 17.2
1997 25.3 1.4 26.7 25.7
1998 7.0 1.3 8.3 8.6
1999 35.1 1.1 36.2 35.4
2000* 0.2 0.0 0.2 0.3
--------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 23 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 7, 1997-JUNE 30, 2000
--------------------------------------------
EXTENDED MARKET INDEX FUND WILSHIRE
INSTITUTIONAL SHARES 4500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
--------------------------------------------
<S> <C> <C> <C> <C>
1997 10.5% 1.3% 11.8% 12.0%
1998 7.0 1.5 8.5 8.6
1999 35.1 1.3 36.4 35.4
2000* 0.2 0.0 0.2 0.3
--------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 24 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
--------------------------------------------------------------------------------------------
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 22.17% 20.29% 14.91% 1.62% 16.53%
Extended Market Index Fund
Institutional Shares 7/7/1997 22.36 -- 17.11** 1.37** 18.48**
--------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Since inception.
7
<PAGE> 88
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
MID-CAP INDEX FUND
TOTAL INVESTMENT RETURNS: MAY 21, 1998-JUNE 30, 2000
-------------------------------------------
MID-CAP INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
-------------------------------------------
<S> <C> <C> <C> <C>
1998 8.0% 0.6% 8.6% 7.9%
1999 14.6 0.7 15.3 14.7
2000** 9.3 0.0 9.3 9.0
-------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
**Six months ended June 30, 2000.
See Financial Highlights table on page 24 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
MID-CAP INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: MAY 21, 1998-JUNE 30, 2000
-------------------------------------------
MID-CAP INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
-------------------------------------------
<S> <C> <C> <C> <C>
1998 8.0% 0.6% 8.6% 7.9%
1999 14.6 0.8 15.4 14.7
2000** 9.4 0.0 9.4 9.0
-------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
**Six months ended June 30, 2000.
See Financial Highlights table on page 25 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
-----------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Mid-Cap Index Fund* 5/21/1998 17.71% 15.39% 0.64% 16.03%
Mid-Cap Index Fund Institutional Shares 5/21/1998 17.80 15.43 0.72 16.15
-----------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
8
<PAGE> 89
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. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
SMALL-CAP INDEX FUND
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1979-JUNE 30, 2000
-------------------------------------------------------------------------------
SMALL-CAP INDEX FUND RUSSELL
2000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1980 42.9% 1.1% 44.0% 38.6%
1981 -2.9 0.0 -2.9 2.0
1982 43.5 2.9 46.4 24.9
1983 18.2 0.0 18.2 29.1
1984 -25.2 0.0 -25.2 -7.3
1985 21.5 1.5 23.0 31.1
1986 0.2 0.0 0.2 5.7
1987 -7.0 0.0 -7.0 -8.8
1988 24.0 0.6 24.6 24.9
1989 9.4 1.1 10.5 16.2
1990 -19.8 1.7 -18.1 -19.5
1991 43.0 2.3 45.3 46.1
1992 16.7 1.5 18.2 18.4
1993 17.4 1.3 18.7 18.9
1994 -1.9 1.4 -0.5 -1.8
1995 27.2 1.5 28.7 28.4
1996 16.6 1.5 18.1 16.5
1997 23.2 1.4 24.6 22.4
1998 -4.0 1.4 -2.6 -2.5
1999 21.8 1.3 23.1 21.3
2000* 3.5 0.0 3.5 3.0
-------------------------------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 25 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: JULY 7, 1997-JUNE 30, 2000
-------------------------------------------------------------------------------
SMALL-CAP INDEX FUND RUSSELL
INSTITUTIONAL SHARES 2000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1997 10.1% 1.3% 11.4% 11.1%
1998 -4.0 1.5 -2.5 -2.5
1999 21.8% 1.5% 23.3% 21.3%
2000* 3.5 0.0 3.5 3.0
-------------------------------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 26 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
--------------------------------------------------------------------------------------------
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 15.26% 15.47% 12.87% 1.54% 14.41%
Small-Cap Index Fund
Institutional Shares 7/7/1997 15.44 -- 10.14** 1.46** 11.60**
--------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Since inception.
9
<PAGE> 90
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
SMALL-CAP GROWTH INDEX FUND
TOTAL INVESTMENT RETURNS: MAY 21, 1998-JUNE 30, 2000
-----------------------------------------------------
SMALL-CAP GROWTH INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
-----------------------------------------------------
<S> <C> <C> <C> <C>
1998 -5.1% 0.3% -4.8% -5.0%
1999 19.4 0.4 19.8 19.6
2000** 9.5 0.0 9.5 8.8
-----------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Growth Index.
**Six months ended June 30, 2000.
See Financial Highlights table on page 26 for dividend information since
inception.
<TABLE>
<CAPTION>
SMALL-CAP GROWTH INDEX FUND
INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS:
MAY 24, 2000-JUNE 30, 2000
-----------------------------------------------------
SMALL-CAP GROWTH INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN RETURN
-----------------------------------------------------
<S> <C> <C> <C> <C>
2000 13.0% 0.0% 13.0% 12.7%
-----------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Growth Index.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
-------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Small-Cap Growth Index Fund* 5/21/1998 28.36% 10.51% 0.34% 10.85%
Small-Cap Growth Index Fund Institutional Shares** 5/24/2000 -- 12.40 0.00 12.40
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Performance figures are adjusted for the 0.5% transaction fee on purchase. The
figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Performance figures are adjusted for the 0.5% transaction fee on purchases.
10
<PAGE> 91
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. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
SMALL-CAP VALUE INDEX FUND
TOTAL INVESTMENT RETURNS: MAY 21, 1998-JUNE 30, 2000
----------------------------------------------------
SMALL-CAP VALUE INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
----------------------------------------------------
<S> <C> <C> <C> <C>
1998 -13.0% 0.5% -12.5% -13.3%
1999 2.5 0.8 3.3 3.0
2000** 5.1 0.0 5.1 4.8
----------------------------------------------------
</TABLE>
* S&P SmallCap 600/BARRA Value Index.
**Six months ended June 30, 2000.
See Financial Highlights table on page 27 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: DECEMBER 7, 1999-JUNE 30, 2000
----------------------------------------------------
SMALL-CAP VALUE INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
----------------------------------------------------
<S> <C> <C> <C> <C>
1999 2.0% 0.8% 2.8% 2.7%
2000** 5.2 0.0 5.2 4.8
----------------------------------------------------
</TABLE>
* S&P SmallCap 600/BARRA Value Index.
**Six months ended June 30, 2000.
See Financial Highlights table on page 28 for dividend and capital gains
information since inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
-------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ---------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Small-Cap Value Index Fund* 5/21/1998 -0.52% -3.25% 0.67% -2.58%
Small-Cap Value Index Fund Institutional Shares** 12/7/1999 -- 6.82 0.86 7.68
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Performance figures are adjusted for the 0.5% transaction fee on purchases.
11
<PAGE> 92
FUND PROFILE
EXTENDED MARKET INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
-------------------------------------------------
EXTENDED WILSHIRE
MARKET 4500
-------------------------------------------------
<S> <C> <C>
Number of Stocks 3,008 6,386
Median Market Cap $2.8B $2.8B
Price/Earnings Ratio 54.9x 54.9x
Price/Book Ratio 3.5x 3.5x
Yield 0.8% 0.8%
Yield--Institutional Shares 0.9% 0.8%
Return on Equity 12.8% 12.8%
Earnings Growth Rate 14.1% 14.1%
Foreign Holdings 0.0% 0.0%
Turnover Rate 30%* --
Expense Ratio 0.25%* --
Expense Ratio--
Institutional Shares 0.10%* --
Cash Investments 0.0% --
</TABLE>
* Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
-------------------------------------------------
<S> <C>
STYLE BLEND
MARKET CAP MEDIUM
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
-------------------------------------------------
EXTENDED S&P
MARKET 500
-------------------------------------------------
<S> <C> <C>
R-Squared 0.47 1.00
Beta 0.97 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
-------------------------------------------------
<S> <C>
Berkshire Hathaway Inc. Class A 2.0%
JDS Uniphase Corp. 1.7
Juniper Networks, Inc. 1.2
Qwest Communications International Inc. 0.9
VeriSign, Inc. 0.9
Level 3 Communications, Inc. 0.8
Sycamore Networks, Inc. 0.7
Cox Communications, Inc. Class A 0.7
Redback Networks Inc. 0.7
Immunex Corp. 0.6
-------------------------------------------------
Top Ten 10.2%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
---------------------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
--------------------------------------------------
EXTENDED EXTENDED WILSHIRE
MARKET MARKET 4500
--------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation.................... 2.9% 1.7% 1.7%
Consumer Discretionary................... 19.6 16.3 16.3
Consumer Staples......................... 2.8 1.8 1.8
Financial Services....................... 20.1 14.0 14.0
Health Care.............................. 7.2 10.0 10.0
Integrated Oils.......................... 0.6 0.1 0.1
Other Energy............................. 2.8 4.1 4.1
Materials & Processing................... 5.5 3.5 3.5
Producer Durables........................ 6.2 5.3 5.3
Technology............................... 18.3 31.3 31.3
Utilities................................ 9.0 9.3 9.3
Other.................................... 5.0 2.6 2.6
---------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE> 93
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 INVESTMENTS. 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 35%.) As
this percentage rises, a fund's returns are likely to be more volatile because
they are more dependent on the fortunes of a few companies.
TURNOVER RATE. An indication of trading activity during the period. Funds with
high turnover rates incur higher transaction costs and are more likely to
distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
13
<PAGE> 94
FUND PROFILE
MID-CAP INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
---------------------------------------------------------
S&P
MID-CAP MIDCAP 400
---------------------------------------------------------
<S> <C> <C>
Number of Stocks 405 400
Median Market Cap $2.9B $2.9B
Price/Earnings Ratio 23.9x 23.9x
Price/Book Ratio 2.9x 2.9x
Yield 1.0% 1.2%
Yield--Institutional Shares 1.1% 1.2%
Return on Equity 15.1% 15.1%
Earnings Growth Rate 13.2% 13.2%
Foreign Holdings 0.0% 0.0%
Turnover Rate 59%* --
Expense Ratio 0.25%* --
Expense Ratio--
Institutional Shares 0.12%* --
Cash Investments 0.1% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
---------------------------------------------------------
<S> <C>
STYLE BLEND
MARKET CAP MEDIUM
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
---------------------------------------------------------
<S> <C>
Vitesse Semiconductor Corp. 1.6%
Univision Communications Inc. 1.2
Dynegy, Inc. 1.2
Millennium Pharmaceuticals, Inc. 1.2
Jabil Circuit, Inc. 1.1
Sepracor Inc. 1.0
Forest Laboratories,Inc. 1.0
Stryker Corp. 1.0
Chiron Corp. 1.0
Calpine Corp. 1.0
---------------------------------------------------------
Top Ten 11.3%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
----------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
----------------------------------------------
S&P MIDCAP
MID-CAP MID-CAP 400
----------------------------------------------
<S> <C> <C> <C>
Auto & Transportation........ 3.9% 2.3% 2.4%
Consumer Discretionary....... 17.3 16.4 16.4
Consumer Staples............. 4.4 3.2 3.2
Financial Services........... 15.5 14.2 14.3
Health Care.................. 9.5 12.6 12.6
Integrated Oils.............. 0.8 0.3 0.3
Other Energy................. 4.1 9.2 8.9
Materials & Processing....... 6.9 5.8 6.4
Producer Durables............ 5.9 4.2 3.8
Technology................... 16.9 20.5 20.5
Utilities.................... 12.7 10.1 10.1
Other........................ 2.1 1.2 1.1
----------------------------------------------------------------------------
</TABLE>
14
<PAGE> 95
FUND PROFILE
SMALL-CAP INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to its unmanaged target index. Key elements of
this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
------------------------------------------------------
RUSSELL
SMALL-CAP 2000
------------------------------------------------------
<S> <C> <C>
Number of Stocks 2,029 2,000
Median Market Cap $0.9B $0.9B
Price/Earnings Ratio 27.0x 26.9x
Price/Book Ratio 2.5x 2.4x
Yield 1.0% 1.5%
Yield--Institutional Shares 1.1% 1.5%
Return on Equity 13.7% 13.9%
Earnings Growth Rate 13.0% 13.1%
Foreign Holdings 0.0% 0.0%
Turnover Rate 70%* --
Expense Ratio 0.27%* --
Expense Ratio--
Institutional Shares 0.13%* --
Cash Investments 0.2% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
------------------------------------------------------
<S> <C>
STYLE BLEND
MARKET CAP SMALL
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
------------------------------------------------------
SMALL-CAP S&P 500
------------------------------------------------------
<S> <C> <C>
R-Squared 0.38 1.00
Beta 0.83 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
------------------------------------------------------
<S> <C>
MRV Communications Inc. 0.3%
BroadVision, Inc. 0.3
Integrated Device Technology Inc. 0.2
Coherent, Inc. 0.2
Plexus Corp. 0.2
Varian Semiconductor
Equipment Associates, Inc. 0.2
Plantronics, Inc. 0.2
Netro Corp. 0.2
Informatica Corp. 0.2
Millennium Pharmaceuticals, Inc. 0.2
------------------------------------------------------
Top Ten 2.2%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
----------------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
-----------------------------------------------
RUSSELL
SMALL-CAP SMALL-CAP 2000
-----------------------------------------------
<S> <C> <C> <C>
Auto & Transportation.................... 4.4% 2.9% 2.9%
Consumer Discretionary................... 18.1 16.2 16.2
Consumer Staples......................... 2.8 2.2 2.3
Financial Services....................... 21.6 16.9 17.8
Health Care.............................. 9.0 12.8 12.4
Integrated Oils.......................... 0.5 0.1 0.0
Other Energy............................. 2.6 2.8 3.0
Materials & Processing................... 10.0 8.2 8.4
Producer Durables........................ 8.0 9.2 9.0
Technology............................... 15.1 21.4 20.2
Utilities................................ 6.1 6.2 6.8
Other.................................... 1.8 1.1 1.0
----------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 96
FUND PROFILE
SMALL-CAP GROWTH INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
-------------------------------------------------
S&P
SMALL-CAP SMALLCAP
GROWTH 600
-------------------------------------------------
<S> <C> <C>
Number of Stocks 185 600
Median Market Cap $1.4B $0.9B
Price/Earnings Ratio 37.5x 21.1x
Price/Book Ratio 6.4x 2.6x
Yield 0.1% 0.7%
Yield--Institutional Shares 0.2% 0.7%
Return on Equity 17.5% 15.7%
Earnings Growth Rate 17.8% 15.4%
Foreign Holdings 0.0% 0.2%
Turnover Rate 103%* --
Expense Ratio 0.27%* --
Expense Ratio--
Institutional Shares 0.13%* --
Cash Investments 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
-------------------------------------------------
<S> <C>
STYLE GROWTH
MARKET CAP SMALL
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
-------------------------------------------------
<S> <C>
Lattice Semiconductor Corp. 1.8%
Protein Design Labs, Inc. 1.7
Vertex Pharmaceuticals, Inc. 1.5
RSA Security Inc. 1.4
Techne 1.4
Digital Microwave Corp. 1.4
Jones Pharma, Inc. 1.4
Dallas Semiconductor Corp. 1.3
Expeditors International of Washington, Inc. 1.3
Cor Therapeutics, Inc. 1.2
-------------------------------------------------
Top Ten 14.4%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
--------------------------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
--------------------------------------------------
SMALL-CAP SMALL-CAP S&P SMALLCAP
GROWTH GROWTH 600
--------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation........................... 4.1% 4.4% 5.0%
Consumer Discretionary.......................... 24.0 14.0 17.7
Consumer Staples................................ 1.1 1.6 2.9
Financial Services.............................. 17.2 9.6 13.4
Health Care..................................... 12.7 21.7 13.7
Integrated Oils................................. 0.4 0.0 0.0
Other Energy.................................... 2.3 4.9 4.6
Materials & Processing.......................... 6.7 3.7 8.8
Producer Durables............................... 10.6 11.7 11.0
Technology...................................... 19.4 28.2 19.3
Utilities....................................... 1.2 0.2 3.1
Other........................................... 0.3 0.0 0.5
--------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 97
FUND PROFILE
SMALL-CAP VALUE INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
---------------------------------------------------
S&P
SMALL-CAP SMALLCAP
VALUE 600
---------------------------------------------------
<S> <C> <C>
Number of Stocks 427 600
Median Market Cap $0.6B $0.9B
Price/Earnings Ratio 14.3x 21.1x
Price/Book Ratio 1.6x 2.6x
Yield 0.9% 0.7%
Yield--Institutional Shares 1.0% 0.7%
Return on Equity 14.2% 15.7%
Earnings Growth Rate 13.8% 15.4%
Foreign Holdings 0.0% 0.2%
Turnover Rate 73%* --
Expense Ratio 0.27%* --
Expense Ratio--
Institutional Shares 0.13%* --
Cash Investments 0.0% --
</TABLE>
* Annualized.
<TABLE>
<CAPTION>
INVESTMENT FOCUS
--------------------
<S> <C>
STYLE VALUE
MARKET CAP SMALL
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
--------------------------------------------
<S> <C>
International Rectifier Corp. 1.8%
Universal Health Services Class B 1.0
Radian Group, Inc. 1.0
HNC Software, Inc. 0.9
Pride International Inc. 0.9
Smithfield Foods, Inc. 0.8
Xircom, Inc. 0.8
Michaels Stores, Inc. 0.8
Vintage Petroleum, Inc. 0.8
Cullen/Frost Bankers, Inc. 0.7
--------------------------------------------
Top Ten 9.5%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
----------------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
--------------------------------------------
SMALL-CAP SMALL-CAP S&P SMALLCAP
VALUE VALUE 600
--------------------------------------------
<S> <C> <C> <C>
Auto & Transportation...................... 7.8% 5.7% 5.0%
Consumer Discretionary..................... 17.8 21.1 17.7
Consumer Staples........................... 5.2 4.2 2.9
Financial Services......................... 16.8 17.1 13.4
Health Care................................ 8.0 7.0 13.7
Integrated Oils............................ 0.3 0.0 0.0
Other Energy............................... 3.6 4.3 4.6
Materials & Processing..................... 14.1 13.2 8.8
Producer Durables.......................... 8.0 10.2 11.0
Technology................................. 9.1 10.0 19.3
Utilities.................................. 8.5 5.9 3.1
Other...................................... 0.8 1.3 0.5
----------------------------------------------------------------------------------------
</TABLE>
17
<PAGE> 98
FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
The Statements of Net Assets--integral parts of the Financial Statements for
the Vanguard Extended Market Index, Mid-Cap Index, Small-Cap Index, Small-Cap
Growth Index, and Small-Cap Value Index Funds of the Vanguard U.S. Stock Index
Funds--are included as an insert to this report.
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by each fund during
the reporting period, and details the operating expenses charged to each class
of its shares. These expenses directly reduce the amount of investment income
available to pay to shareholders as dividends. This Statement also shows any
Net Gain (Loss) realized on the sale of investments, and the increase or
decrease in the Unrealized Appreciation (Depreciation) on investments during
the period. If a fund invested in futures contracts during the period, the
results of these investments are shown separately.
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
EXTENDED
MARKET MID-CAP SMALL-CAP
INDEX FUND INDEX FUND INDEX FUND
----------------------------------------
SIX MONTHS ENDED JUNE 30, 2000
----------------------------------------
(000) (000) (000)
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 22,009 $ 5,671 $ 24,899
Interest 2,960 196 985
Security Lending 5,839 12 2,304
----------------------------------------
Total Income 30,808 5,879 28,188
----------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 22 25 84
Management and Administrative--Investor Shares 5,384 790 4,704
Management and Administrative--Institutional Shares 392 98 236
Marketing and Distribution--Investor Shares 283 61 290
Marketing and Distribution--Institutional Shares 75 16 29
Custodian Fees 185 66 86
Auditing Fees 5 4 5
Shareholders' Reports--Investor Shares 74 13 108
Shareholders' Reports--Institutional Shares 1 1 3
Trustees' Fees and Expenses 3 1 3
----------------------------------------
Total Expenses 6,424 1,075 5,548
Expenses Paid Indirectly--Note C (39) -- --
----------------------------------------
Net Expenses 6,385 1,075 5,548
----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 24,423 4,804 22,640
----------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 380,869 103,738 340,561
Futures Contracts 3,374 406 (2,171)
----------------------------------------------------------------------------------------------------
REALIZED NET GAIN 384,243 104,144 338,390
----------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (456,997) (21,407) (238,475)
Futures Contracts (2,886) (178) (347)
----------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (459,883) (21,585) (238,822)
----------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (51,217) $ 87,363 $ 122,208
====================================================================================================
</TABLE>
18
<PAGE> 99
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP
GROWTH VALUE
INDEX FUND INDEX FUND
-------------------------------
SIX MONTHS ENDED JUNE 30, 2000
-------------------------------
(000) (000)
---------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
INCOME
Dividends $ 419 $ 1,344
Interest 93 18
Security Lending 66 43
-------------------------------
Total Income 578 1,405
-------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 25 25
Management and Administrative--Investor Shares 298 203
Management and Administrative--Institutional Shares 1 10
Marketing and Distribution--Investor Shares 18 20
Marketing and Distribution--Institutional Shares -- --
Custodian Fees 43 27
Auditing Fees 4 4
Shareholders' Reports--Investor Shares 6 7
Shareholders' Reports--Institutional Shares -- --
Trustees' Fees and Expenses -- --
-------------------------------
Total Expenses 395 296
Expenses Paid Indirectly--Note C -- --
-------------------------------
Net Expenses 395 296
---------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 183 1,109
---------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 1,889 11,027
Futures Contracts -- --
---------------------------------------------------------------------------------------------
REALIZED NET GAIN 1,889 11,027
---------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 7,873 239
Futures Contracts -- --
---------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 7,873 239
---------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $9,945 $12,375
=============================================================================================
</TABLE>
19
<PAGE> 100
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined
on a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in
the fund, either by purchasing shares or by reinvesting distributions, as well
as the amounts redeemed. The corresponding numbers of Shares Issued and
Redeemed are shown at the end of the Statement. Distributions, Capital Share
Transactions, and Shares Issued and Redeemed are shown separately for each
class of shares.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET MID-CAP
INDEX FUND INDEX FUND
------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 2000 DEC. 31, 1999 JUN. 30, 2000 DEC. 31, 1999
(000) (000) (000) (000)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 24,423 $ 40,147 $ 4,804 $ 4,565
Realized Net Gain (Loss) 384,243 432,266 104,144 37,911
Change in Unrealized Appreciation (Depreciation) (459,883) 840,344 (21,585) 47,590
---------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (51,217) 1,312,757 87,363 90,066
---------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (33,913) -- (3,777)
Institutional Shares -- (7,913) -- (953)
Realized Capital Gain
Investor Shares (142,667) (370,554) (9,383) (34,102)
Institutional Shares (29,513) (67,729) (2,964) (7,021)
---------------------------------------------------------------------
Total Distributions (172,180) (480,109) (12,347) (45,853)
---------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 1,265,352 818,381 323,100 428,102
Issued in Lieu of Cash Distributions 133,338 373,018 8,598 35,109
Redeemed (411,143) (603,514) (87,133) (100,927)
---------------------------------------------------------------------
Net Increase--Investor Shares 987,547 587,885 244,565 362,284
---------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 293,887 301,323 93,463 110,927
Issued in Lieu of Cash Distributions 23,615 60,118 2,649 6,870
Redeemed (75,266) (86,591) (18,751) (21,523)
---------------------------------------------------------------------
Net Increase--Institutional Shares 242,236 274,850 77,361 96,274
-------------------------------------------------------------------------------------------------------------------------
Total Increase 1,006,386 1,695,383 396,942 502,771
-------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 5,090,542 3,395,159 747,116 244,345
---------------------------------------------------------------------
End of Period $6,096,928 $5,090,542 $1,144,058 $747,116
=========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 33,049 25,760 27,292 40,719
Issued in Lieu of Cash Distributions 3,154 11,413 684 3,344
Redeemed (11,095) (19,243) (7,320) (9,610)
---------------------------------------------------------------------
Net Increase in Shares Outstanding 25,108 17,930 20,656 34,453
=========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 7,538 9,512 8,208 10,371
Issued in Lieu of Cash Distributions 558 1,810 211 645
Redeemed (2,032) (2,776) (1,513) (1,986)
---------------------------------------------------------------------
Net Increase in Shares Outstanding 6,064 8,546 6,906 9,030
=========================================================================================================================
</TABLE>
20
<PAGE> 101
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP GROWTH
INDEX FUND INDEX FUND
------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUN. 30, 2000 DEC. 31, 1999 JUN. 30, 2000 DEC. 31, 1999
(000) (000) (000) (000)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 22,640 $ 40,462 $ 183 $ 379
Realized Net Gain (Loss) 338,390 339,380 1,889 (4,846)
Change in Unrealized Appreciation (Depreciation) (238,822) 339,726 7,873 31,923
---------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 122,208 719,568 9,945 27,456
---------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (36,613) -- (507)
Institutional Shares -- (4,721) -- --
Realized Capital Gain
Investor Shares (34,923) (284,560) -- --
Institutional Shares (3,669) (32,660) -- --
---------------------------------------------------------------------
Total Distributions (38,592) (358,554) -- (507)
---------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 929,774 1,052,299 241,481 80,888
Issued in Lieu of Cash Distributions 32,434 294,319 -- 406
Redeemed (492,565) (884,294) (56,278) (31,106)
---------------------------------------------------------------------
Net Increase--Investor Shares 469,643 462,324 185,203 50,188
---------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 178,568 193,691 23,827 --
Issued in Lieu of Cash Distributions 3,142 34,239 -- --
Redeemed (114,602) (115,831) -- --
---------------------------------------------------------------------
Net Increase--Institutional Shares 67,108 112,099 23,827 --
-------------------------------------------------------------------------------------------------------------------------
Total Increase 620,367 935,437 218,975 77,137
-------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,967,793 3,032,356 167,255 90,118
---------------------------------------------------------------------
End of Period $4,588,160 $3,967,793 $386,230 $167,255
=========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 37,559 47,908 18,717 8,565
Issued in Lieu of Cash Distributions 1,217 13,196 -- 38
Redeemed (20,284) (41,158) (4,604) (3,363)
---------------------------------------------------------------------
Net Increase in Shares Outstanding 18,492 19,946 14,113 5,240
=========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 7,590 8,971 2,187 --
Issued in Lieu of Cash Distributions 118 1,530 -- --
Redeemed (4,997) (5,401) -- --
---------------------------------------------------------------------
Net Increase in Shares Outstanding 2,711 5,100 2,187 --
=========================================================================================================================
</TABLE>
21
<PAGE> 102
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE
INDEX FUND
-------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUN. 30, 2000 DEC. 31, 1999
(000) (000)
---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 1,109 $ 1,580
Realized Net Gain (Loss) 11,027 13,634
Change in Unrealized Appreciation (Depreciation) 239 (10,887)
-------------------------------
Net Increase (Decrease) in Net Assets Resulting from Operations 12,375 4,327
-------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (1,549)
Institutional Shares -- (85)
Realized Capital Gain
Investor Shares (6,140) (10,654)
Institutional Shares (330) (551)
-------------------------------
Total Distributions (6,470) (12,839)
-------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 56,452 150,557
Issued in Lieu of Cash Distributions 5,740 11,455
Redeemed (41,452) (61,979)
-------------------------------
Net Increase--Investor Shares 20,740 100,033
-------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 39,152 10,922
Issued in Lieu of Cash Distributions 65 81
Redeemed (1,041) (800)
-------------------------------
Net Increase--Institutional Shares 38,176 10,203
---------------------------------------------------------------------------------------------------------------
Total Increase 64,821 101,724
---------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 214,289 112,565
-------------------------------
End of Period $279,110 $214,289
===============================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 6,700 17,096
Issued in Lieu of Cash Distributions 675 1,390
Redeemed (4,984) (7,174)
-------------------------------
Net Increase in Shares Outstanding 2,391 11,312
===============================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 4,698 1,249
Issued in Lieu of Cash Distributions 8 10
Redeemed (125) (95)
-------------------------------
Net Increase in Shares Outstanding 4,581 1,164
===============================================================================================================
</TABLE>
22
<PAGE> 103
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------------------
THROUGHOUT EACH PERIOD JUN. 30, 2000 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $37.07 $30.63 $30.76 $26.20 $24.07 $18.52
-------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .143 .297 .388 .351 .34 .30
Net Realized and Unrealized Gain (Loss)
on Investments .077 10.101 2.025 6.479 3.85 5.95
------------------------------------------------------------------------
Total from Investment Operations .220 10.398 2.413 6.830 4.19 6.25
------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.318) (.373) (.360) (.34) (.30)
Distributions from Realized Capital Gains (1.110) (3.640) (2.170) (1.910) (1.72) (.40)
------------------------------------------------------------------------
Total Distributions (1.110) (3.958) (2.543) (2.270) (2.06) (.70)
-------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $36.18 $37.07 $30.63 $30.76 $26.20 $24.07
=========================================================================================================================
TOTAL RETURN* 0.16% 36.22% 8.32% 26.73% 17.65% 33.80%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $6,097 $4,221 $2,939 $2,723 $2,099 $1,523
Ratio of Total Expenses to
Average Net Assets 0.25%** 0.25% 0.23% 0.23% 0.25% 0.25%
Ratio of Net Investment Income to
Average Net Assets 0.82%** 1.04% 1.21% 1.30% 1.42% 1.51%
Portfolio Turnover Rate 30%** 26% 27% 15% 22% 15%
=========================================================================================================================
</TABLE>
* Total return figures do not reflect transaction fees on purchases (0.25%
beginning October 31, 1997, through March 31, 2000; 0.5% in 1995 through
October 31, 1997) or the $10 annual account maintenance fee applied on
balances under $10,000.
** Annualized.
23
<PAGE> 104
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (continued)
---------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED DECEMBER 31,
SIX MONTHS ENDED ---------------------- JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 2000 1999 1998 DEC. 31, 1997
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $37.09 $30.63 $30.76 $29.28
---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .163 .363 .427 .200
Net Realized and Unrealized Gain (Loss) on Investments .077 10.101 2.025 3.191
-------------------------------------------------------
Total from Investment Operations .240 10.464 2.452 3.391
-------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.364) (.412) (.371)
Distributions from Realized Capital Gains (1.110) (3.640) (2.170) (1.540)
-------------------------------------------------------
Total Distributions (1.110) (4.004) (2.582) (1.911)
---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $36.22 $37.09 $30.63 $30.76
===========================================================================================================================
TOTAL RETURN** 0.22% 36.45% 8.45% 11.82%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,069 $870 $456 $415
Ratio of Total Expenses to Average Net Assets 0.10%+ 0.10% 0.10% 0.10%+
Ratio of Net Investment Income to Average Net Assets 0.96%+ 1.18% 1.34% 1.43%+
Portfolio Turnover Rate 30%+ 26% 27% 15%
===========================================================================================================================
</TABLE>
*Inception.
**Total return figures do not reflect transaction fees on purchases (0.25%
beginning October 31, 1997, through March 31, 2000; 0.5% from inception
through October 31, 1997).
+Annualized.
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
MID-CAP INDEX FUND INVESTOR SHARES
SIX MONTHS ENDED YEAR ENDED APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 2000 DEC. 31, 1999 DEC. 31, 1998
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.30 $10.79 $10.00
---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .051 .073 .053
Net Realized and Unrealized Gain (Loss) on Investments 1.009 1.448 .840
-------------------------------------------------------
Total from Investment Operations 1.060 1.521 .893
-------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.076) (.053)
Distributions from Realized Capital Gains (0.150) (.935) (.050)
-------------------------------------------------------
Total Distributions (0.150) (1.011) (.103)
---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.21 $11.30 $10.79
===========================================================================================================================
TOTAL RETURN** 9.34% 15.32% 8.55%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $905 $605 $206
Ratio of Total Expenses to Average Net Assets 0.25%+ 0.25% 0.25%+
Ratio of Net Investment Income to Average Net Assets 0.96%+ 0.99% 1.19%+
Portfolio Turnover Rate 59%+ 38% 44%
===========================================================================================================================
</TABLE>
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
**Total return figures do not reflect the 0.25% transaction fee on purchases
from inception through February 28, 1999, or the $10 annual account
maintenance fee applied on balances under $10,000.
+Annualized.
24
<PAGE> 105
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
MID-CAP INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED YEAR ENDED MAY 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 2000 DEC. 31, 1999 DEC. 31, 1998
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.30 $10.79 $10.03
---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .061 .083 .055
Net Realized and Unrealized Gain (Loss) on Investments 1.009 1.448 .814
-------------------------------------------------------
Total from Investment Operations 1.070 1.531 .869
-------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.086) (.059)
Distributions from Realized Capital Gains (0.150) (.935) (.050)
-------------------------------------------------------
Total Distributions (0.150) (1.021) (.109)
---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.22 $11.30 $10.79
===========================================================================================================================
TOTAL RETURN** 9.43% 15.41% 8.61%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $239 $143 $39
Ratio of Total Expenses to Average Net Assets 0.12%+ 0.12% 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.08%+ 1.11% 1.30%+
Portfolio Turnover Rate 59%+ 38% 44%
===========================================================================================================================
</TABLE>
*Initial share purchase date. Subscription period for the fund was April 20,
1998, to May 20, 1998, during which time all assets were held in money market
instruments. Performance measurement begins May 21, 1998.
**Total return figures do not reflect the 0.25% transaction fee on purchases
from inception through February 28, 1999.
+Annualized.
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
SMALL-CAP INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED -------------------------------------------------------------
THROUGHOUT EACH PERIOD JUN. 30, 2000 1999 1998 1997 1996 1995
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $23.60 $21.20 $23.75 $20.23 $18.61 $14.99
--------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .119 .256 .311 .277 .26 .24
Net Realized and Unrealized
Gain (Loss) on Investments .726 4.491 (1.007) 4.632 3.07 4.06
--------------------------------------------------------------------------
Total from Investment Operations .845 4.747 (.696) 4.909 3.33 4.30
--------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.267) (.304) (.274) (.27) (.23)
Distributions from Realized Capital Gains (.215) (2.080) (1.550) (1.115) (1.44) (.45)
--------------------------------------------------------------------------
Total Distributions (.215) (2.347) (1.854) (1.389) (1.71) (.68)
--------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.23 $23.60 $21.20 $23.75 $20.23 $18.61
==========================================================================================================================
TOTAL RETURN* 3.50% 23.13% -2.61% 24.59% 18.12% 28.74%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $4,096 $3,553 $2,768 $2,652 $1,713 $971
Ratio of Total Expenses to
Average Net Assets 0.27%+ 0.25% 0.24% 0.23% 0.25% 0.25%
Ratio of Net Investment Income to
Average Net Assets 1.03%+ 1.25% 1.39% 1.38% 1.51% 1.58%
Portfolio Turnover Rate 70%+ 42% 35% 29% 28% 28%
==========================================================================================================================
</TABLE>
*Total return figures do not reflect transaction fees on purchases (0.5%
beginning 1996 through March 31, 2000; 1.0% in 1995 through 1996) or the $10
annual account maintenance fee applied on balances under $10,000.
+Annualized.
25
<PAGE> 106
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED DECEMBER 31,
SIX MONTHS ENDED ---------------------- JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 2000 1999 1998 DEC. 31, 1997
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $23.61 $21.20 $23.75 $22.56
==============================================================================================================================
INVESTMENT OPERATIONS
Net Investment Income .129 .295 .336 .158
Net Realized and Unrealized Gain (Loss) on Investments .726 4.491 (1.007) 2.370
----------------------------------------------------------
Total from Investment Operations .855 4.786 (.671) 2.528
---------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.296) (.329) (.288)
Distributions from Realized Capital Gains (.215) (2.080) (1.550) (1.050)
---------------------------------------------------------
Total Distributions (.215) (2.376) (1.879) (1.338)
------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.25 $23.61 $21.20 $23.75
==============================================================================================================================
TOTAL RETURN** 3.54% 23.33% -2.50% 11.42%
==============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $492 $415 $264 $137
Ratio of Total Expenses to Average Net Assets 0.13%+ 0.12% 0.12% 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.17%+ 1.37% 1.53% 1.52%+
Portfolio Turnover Rate 70%+ 42% 35% 29%
==============================================================================================================================
</TABLE>
*Inception.
**Total return figures do not reflect the 0.5% transaction fee on purchases
through March 31, 2000.
+Annualized.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES
SIX MONTHS ENDED YEAR ENDED APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 2000 DEC. 31, 1999 DEC. 31, 1998
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.38 $ 9.53 $10.00
------------------------------------------------------------------------------------------------------------------------------=
INVESTMENT OPERATIONS
NET INVESTMENT INCOME .012 .025 .03
Net Realized and Unrealized Gain (Loss) on Investments 1.068 1.860 (.47)
------------------------------------------------
Total from Investment Operations 1.080 1.885 (.44)
------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.035) (.03)
Distributions from Realized Capital Gains -- -- --
------------------------------------------------
Total Distributions -- (.035) (.03)
------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.46 $ 11.38 $ 9.53
==============================================================================================================================
TOTAL RETURN** 9.49% 19.80% -4.77%
==============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $359 $167 $90
Ratio of Total Expenses to Average Net Assets 0.27%+ 0.25% 0.25%+
Ratio of Net Investment Income to Average Net Assets 0.12%+ 0.33% 0.63%+
Portfolio Turnover Rate 103%+ 82% 77%
==============================================================================================================================
</TABLE>
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
**Total return figures do not reflect transaction fees on purchases (0.5% after
February 28, 1999; 1.0% from inception through February 28, 1999) or the
$10 annual account maintenance fee applied on balances under $10,000.
+Annualized.
26
<PAGE> 107
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND INSTITUTIONAL SHARES
MAY 24* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD JUNE 30, 2000
------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.03
------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .002
Net Realized and Unrealized Gain (Loss) on Investments 1.428
---------------
Total from Investment Operations 1.430
---------------
DISTRIBUTIONS
Dividends from Net Investment Income --
Distributions from Realized Capital Gains --
---------------
TOTAL DISTRIBUTIONS --
------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.46
==============================================================================================================================
TOTAL RETURN** 12.96%
==============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $27
Ratio of Total Expenses to Average Net Assets 0.13%+
Ratio of Net Investment Income to Average Net Assets 0.25%+
Portfolio Turnover Rate 103%+
==============================================================================================================================
</TABLE>
*Inception.
**Total return figures do not reflect the 0.5% transaction fee on purchases.
+Annualized.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND INVESTOR SHARES
SIX MONTHS ENDED YEAR ENDED APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 2000 DEC. 31, 1999 DEC. 31, 1998
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $8.45 $8.74 $10.00
------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .034 .065 .045
Net Realized and Unrealized Gain (Loss) on Investments .396 .210 (1.250)
---------------------------------------
TOTAL FROM INVESTMENT OPERATIONS .430 .275 (1.205)
---------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.070) (.055)
Distributions from Realized Capital Gains (.250) (.495) --
--------------------------------------
Total Distributions (.250) (.565) (.055)
------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $8.63 $8.45 $ 8.74
==============================================================================================================================
TOTAL RETURN** 5.13% 3.35% -12.47%
==============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $229 $204 $113
Ratio of Total Expenses to Average Net Assets 0.27%+ 0.25% 0.25%+
Ratio of Net Investment Income to Average Net Assets 0.95%+ 0.96% 1.13%+
Portfolio Turnover Rate 73%+ 80% 53%
==============================================================================================================================
</TABLE>
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
**Total return figures do not reflect transaction fees on purchases (0.5% after
February 28, 1999; 1.0% from inception through February 28, 1999)
or the $10 annual account maintenance fee applied on balances under $10,000.
+Annualized.
27
<PAGE> 108
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES
SIX MONTHS ENDED DEC. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUN. 30, 2000 DEC. 31, 1999
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $8.45 $8.74
------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .044 .009
Net Realized and Unrealized Gain (Loss) on Investments .396 .226
-------------------------------
Total from Investment Operations .440 .235
DISTRIBUTIONS
Dividends from Net Investment Income -- (.070)
Distributions from Realized Capital Gains (.250) (.455)
-------------------------------
Total Distributions (.250) (.525)
------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $8.64 $8.45
==============================================================================================================================
TOTAL RETURN** 5.25% 2.83%
==============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $50 $10
Ratio of Total Expenses to Average Net Assets 0.13%+ 0.13%+
Ratio of Net Investment Income to Average Net Assets 1.15%+ 1.37%+
Portfolio Turnover Rate 73%+ 80%
==============================================================================================================================
</TABLE>
*Inception.
**Total return figures do not reflect the 0.5% transaction fee on purchases.
+Annualized.
28
<PAGE> 109
NOTES TO FINANCIAL STATEMENTS
Vanguard Extended Market Index, Mid-Cap Index, Small-Cap Index, Small-Cap Growth
Index, and Small-Cap Value Index Funds are registered under the Investment
Company Act of 1940 as diversified open-end investment companies, or mutual
funds.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The funds consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Equity securities are valued at the latest quoted
sales prices as of the close of trading on the New York Stock Exchange
(generally 4:00 p.m. Eastern time) on the valuation date; such securities not
traded on the valuation date are valued at the mean of the latest quoted bid and
asked prices. Prices are taken from the primary market in which each security
trades. Temporary cash investments acquired over 60 days to maturity are valued
using the latest bid prices or using valuations based on a matrix system (which
considers such factors as security prices, yields, maturities, and ratings),
both as furnished by independent pricing services. Other temporary cash
investments are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued by
methods deemed by the board of trustees to represent fair value.
2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The funds, along with other members of The
Vanguard Group, transfer uninvested cash balances to a pooled cash account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
4. FUTURES CONTRACTS: The funds use index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity, and minimizing transaction costs. A
fund may purchase futures contracts to immediately invest incoming cash in the
market, or sell futures in response to cash outflows, thereby simulating a
fully invested position in the underlying index while maintaining a cash
balance for liquidity. A fund may seek to enhance returns by using futures
contracts instead of the underlying securities when futures are believed to be
priced more attractively than the underlying securities. The primary risks
associated with the use of futures contracts are imperfect correlation between
changes in market values of stocks held by the fund and the prices of futures
contracts, and the possibility of an illiquid market.
Futures contracts based upon the following indexes are used: S&P 500
Index (Extended Market Index and Small-Cap Index Funds), S&P MidCap 400
Index (Extended Market Index, Mid-Cap Index, and Small-Cap Index Funds), and
Russell 2000 Index (Extended Market Index and Small-Cap Index Funds).
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date. Distributions are determined on a tax basis and may differ
from net investment income and realized capital gains for financial reporting
purposes.
29
<PAGE> 110
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 June 30, 2000, 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 $1,057 0.02% 1.1%
Mid-Cap 212 0.02 0.2
Small-Cap 807 0.02 0.8
Small-Cap Growth 68 0.02 0.1
Small-Cap Value 52 0.02 0.1
------------------------------------------------------------------------------------------------------------
</TABLE>
The funds' trustees and officers are also directors and officers of Vanguard.
C. The funds' custodian banks have agreed to reduce their fees when the funds
maintain cash on deposit in their non-interest-bearing custody accounts. For the
six months ended June 30, 2000, custodian fee offset arrangements reduced
expenses of the Extended Market Index Fund by $39,000.
D. Each fund offers two classes of shares, Investor Shares and Institutional
Shares. Institutional Shares are designed primarily for institutional investors
that meet certain administrative and servicing criteria and have a minimum
investment of $10 million. Investor Shares are offered to all other investors.
Both classes of shares have equal rights to assets and earnings, except that
each class bears certain class-specific expenses related to maintenance of
shareholder accounts (included in Management and Administrative expense),
marketing and distribution, and shareholder reporting. Class-specific expenses
for the six months ended June 30, 2000, represented the following percentages of
average net assets:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
<S> <C> <C>
INDEX FUND INVESTOR SHARES* INSTITUTIONAL SHARES*
--------------------------------------------------------------------------------
Extended Market 0.18% 0.03%
Mid-Cap 0.17 0.04
Small-Cap 0.18 0.04
Small-Cap Growth 0.19 0.05
Small-Cap Value 0.19 0.05
--------------------------------------------------------------------------------
</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.
30
<PAGE> 111
E. During the six months ended June 30, 2000, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
(000)
--------------------------------------
INDEX FUND PURCHASES SALES
---------------------------------------------------------------------------------------------
<S> <C> <C>
Extended Market $1,862,259 $ 857,677
Mid-Cap 597,831 287,605
Small-Cap 2,036,511 1,511,848
Small-Cap Growth 366,776 152,176
Small-Cap Value 139,770 85,895
---------------------------------------------------------------------------------------------
</TABLE>
At December 31, 1999, the Small-Cap Growth Index Fund had available
realized losses of $10,413,000 to offset future net capital gains of $1,034,000
through December 31, 2006, $2,478,000 through December 31, 2007, and $6,901,000
through December 31, 2008.
F. At June 30, 2000, 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 $2,041,539 $(898,530) $1,143,009
Mid-Cap 157,737 (122,522) 35,215
Small-Cap 865,383 (515,565) 349,818
Small-Cap Growth 63,666 (18,312) 45,354
Small-Cap Value 23,872 (45,888) (22,016)
--------------------------------------------------------------------------------------------------
</TABLE>
At June 30, 2000, the aggregate settlement value of open futures contracts
expiring in September 2000 and the related unrealized appreciation
(depreciation) were:
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
(000)
-------------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market/
S&P MidCap 400 Index 286 $69,827 $(1,549)
Russell 2000 Index 156 40,763 (138)
Mid-Cap/
S&P MidCap 400 Index 25 6,104 (160)
Small-Cap/
Russell 2000 Index 35 9,146 65
------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE> 112
NOTES TO FINANCIAL STATEMENTS (continued)
G. The market value of securities on loan to broker/dealers at June 30, 2000,
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 $331,797 $352,682
Mid-Cap 1,918 2,137
Small-Cap 122,450 130,780
Small-Cap Growth 3,470 3,613
Small-Cap Value 1,739 2,123
-------------------------------------------------------------------------------------------------
</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.
32
<PAGE> 113
-------------------------------------------------------------------------------
THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated and
managed in your best interests since, as a shareholder, you are part owner of
the fund. Your fund trustees also serve on the board of directors of The
Vanguard Group, which is owned by the funds and exists solely to provide
services to them on an at-cost basis.
Six of Vanguard's seven board members are independent, meaning that they have
no affiliation with Vanguard or the funds they oversee, apart from the sizable
personal investments they have made as private individuals. They bring
distinguished backgrounds in business, academia, and public service to their
task of working with Vanguard officers to establish the policies and oversee the
activities of the funds.
Among board members' responsibilities are selecting investment advisers for
the funds; monitoring fund operations, performance, and costs; reviewing
contracts; nominating and selecting new trustees/directors; and electing
Vanguard officers.
The list below provides a brief description of each trustee's professional
affiliations. Noted in parentheses is the year in which the trustee joined the
Vanguard board.
TRUSTEES
JOHN J. BRENNAN - (1987) Chairman of the Board, Chief Executive Officer, and
Director/Trustee of The Vanguard Group, Inc., and each of the investment
companies in The Vanguard Group.
JOANN HEFFERNAN HEISEN - (1998) Vice President, Chief Information Officer, and a
member of the Executive Committee of Johnson & Johnson; Director of Johnson &
JohnsonoMerck Consumer Pharmaceuticals Co., The Medical Center at Princeton, and
Women's Research and Education Institute.
BRUCE K. MACLAURY - (1990) President Emeritus of The Brookings Institution;
Director of American Express Bank Ltd., The St. Paul Companies, Inc., and
National Steel Corp.
BURTON G. MALKIEL - (1977) 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 Select Sector SPDR
Trust.
ALFRED M. RANKIN, JR. - (1993) Chairman, President, Chief Executive Officer, and
Director of NACCO Industries, Inc.; Director of The BFGoodrich Co.
JAMES O. WELCH, JR. - (1971) 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 - (1985) Retired Chairman of Rohm & Haas Co.; Director of
AmeriSource Health Corporation, 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.
VANGUARD MANAGING DIRECTORS
R. GREGORY BARTON - Legal Department.
ROBERT A. DISTEFANO - Information Technology.
JAMES H. GATELY - Individual Investor Group.
KATHLEEN C. GUBANICH - Human Resources.
IAN A. MACKINNON - Fixed Income Group.
F. WILLIAM MCNABB, III - Institutional Investor Group.
MICHAEL S. MILLER - Planning and Development.
RALPH K. PACKARD - Chief Financial Officer.
GEORGE U. SAUTER - Quantitative Equity Group.
<PAGE> 114
ABOUT OUR COVER
Our cover art, depicting HMS Vanguard at sea, is a reproduction of Leading the
Way, a 1984 work created and copyrighted by noted naval artist Tom Freeman, of
Forest Hill, Maryland.
[THE VANGUARD GROUP LOGO]
Post Office Box 2600
Valley Forge, Pennsylvania 19482-2600
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
This report is intended for the funds' shareholders. It may not be distributed
to prospective investors unless it is preceded or accompanied by the current
fund prospectus.
Q982 082000
(C) 2000 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
<PAGE> 115
VANGUARD U.S. STOCK INDEX FUNDS
MID- AND SMALL-CAPITALIZATION PORTFOLIOS
STATEMENT OF NET ASSETS - JUNE 30, 2000
The Statement of Net Assets should be read in conjunction with the Statement of
Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes
to Financial Statements, which begin on page 18 of the accompanying report.
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>
Extended Market Index Fund .................. 1
Mid-Cap Index Fund .......................... 29
Small-Cap Index Fund ........................ 33
Small-Cap Growth Index Fund ................. 52
Small-Cap Value Index Fund .................. 55
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (98.2%)(1)
-------------------------------------------------------------------------------
- Berkshire Hathaway Inc. Class A 2,290 $ 123,202
- JDS Uniphase Corp. 886,238 106,238
- Juniper Networks, Inc. 488,400 71,093
- Qwest Communications
International Inc. 1,162,280 57,751
- VeriSign, Inc. 300,035 52,956
- Level 3 Communications, Inc. 569,500 50,116
- Sycamore Networks, Inc. 379,700 41,909
- Cox Communications, Inc.
Class A 895,859 40,818
- Redback Networks Inc. 226,300 40,281
- Immunex Corp. 778,700 38,497
- CIENA Corp. 219,500 36,588
- SDL, Inc. 117,800 33,595
- TIBCO Software Inc. 294,100 31,538
- General Motors Corp. Class H 356,113 31,249
- Ariba, Inc. 312,600 30,649
- Brocade Communications
Systems, Inc. 167,000 30,642
- i2 Technologies, Inc. 292,020 30,448
- Metromedia Fiber Network, Inc. 744,920 29,564
- VoiceStream Wireless Corp. 250,274 29,106
- E-Tek Dynamics, Inc. 105,800 27,911
- Exodus Communications, Inc. 603,600 27,803
- AMFM Inc. 336,208 23,198
AXA Financial, Inc. 672,018 22,849
- Genentech, Inc. 130,100 22,377
- eBay Inc. 405,700 22,035
- Infinity Broadcasting Corp. 601,872 21,931
- Vitesse Semiconductor Corp. 288,800 21,245
- CMGI Inc 441,776 20,239
- Inktomi Corp. 171,100 20,233
- Foundry Networks, Inc. 179,200 19,802
- Amazon.com, Inc. 545,000 19,790
- BroadVision, Inc. 389,442 19,789
- InfoSpace, Inc. 357,600 19,757
- BEA Systems, Inc. 382,600 18,915
- Applied Micro Circuits Corp. 190,300 18,792
- McLeodUSA, Inc. Class A 896,965 18,556
- Univision Communications Inc. 159,400 16,498
Dynegy, Inc. 235,284 16,073
- Millennium Pharmaceuticals, Inc. 142,400 15,931
- Portal Software, Inc. 248,000 15,841
- Vignette Corp. 300,700 15,641
- Rambus Inc. 149,100 15,357
Intimate Brands, Inc. 769,500 15,198
- Jabil Circuit, Inc. 291,100 14,446
</TABLE>
1
<PAGE> 116
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Cablevision Systems Corp.
Class B 202,800 $ 13,765
- Sepracor Inc. 113,400 13,679
- NEXTLINK Communications, Inc. 352,013 13,354
- Chiron Corp. 279,540 13,278
- Forest Laboratories, Inc. 131,416 13,273
Stryker Corp. 301,600 13,195
- NTL Inc. 220,281 13,189
- Calpine Corp. 198,100 13,025
- Intuit, Inc. 313,113 12,955
Equity Office Properties
Trust REIT 467,419 12,883
- Rational Software Corp. 138,071 12,832
- Atmel Corp. 345,496 12,740
Vastar Resources, Inc. 151,300 12,426
- Waters Corp. 98,600 12,307
- GlobeSpan, Inc. 99,800 12,183
- RealNetworks, Inc. 240,752 12,173
- Aether Systems, Inc. 58,900 12,075
- Vitria Technology, Inc. 197,500 12,072
- EchoStar Communications Corp. 359,500 11,903
- At Home Corp. 563,754 11,698
- John Hancock Financial
Services, Inc. 491,400 11,640
Symbol Technologies, Inc. 212,343 11,467
- Human Genome Sciences, Inc. 84,500 11,270
- Commerce One, Inc. 239,900 10,889
- RF Micro Devices, Inc. 124,100 10,874
- Next Level Communications, Inc. 125,700 10,779
- Allegiance Telecom, Inc. 167,150 10,698
- Art Technology Group, Inc. 103,000 10,397
The Goldman Sachs Group, Inc. 109,500 10,389
- American Tower Corp. Class A 247,240 10,307
- Priceline.com Inc. 265,800 10,096
- IVAX Corp. 240,900 9,997
United Parcel Service, Inc. 169,400 9,995
Starwood Hotels & Resorts
Worldwide, Inc. 299,510 9,678
- TMP Worldwide, Inc. 131,000 9,669
- CNA Financial Corp. 282,815 9,616
Cintas Corp. 260,250 9,548
- Software.com, Inc. 73,500 9,546
Estee Lauder Cos. Class A 191,958 9,490
- USA Networks, Inc. 437,518 9,461
Telephone & Data Systems, Inc. 93,928 9,416
- Nabors Industries, Inc. 226,133 9,399
- Lycos, Inc. 171,144 9,242
Equity Residential Properties
Trust REIT 198,569 9,134
- Crown Castle International Corp. 248,200 9,059
- Micromuse Inc. 53,500 8,853
- SCI Systems, Inc. 224,068 8,781
- Integrated Device
Technology Inc. 145,469 8,710
- Internap Network Services Corp. 208,000 8,635
- Extreme Networks, Inc. 81,600 8,609
- Kana Communications, Inc. 139,034 8,603
- Concord EFS, Inc. 330,418 8,591
BroadWing Inc. 330,106 8,562
- U.S. Cellular Corp. 135,650 8,546
- Noble Drilling Corp. 207,100 8,530
- CDW Computer Centers, Inc. 134,938 8,434
Donaldson, Lufkin & Jenrette, Inc. 197,200 8,369
- Fox Entertainment Group, Inc.
Class A 273,600 8,311
- Fiserv, Inc. 190,687 8,247
- Adelphia Communications Corp.
Class A 175,558 8,229
- TV Guide, Inc. 240,000 8,220
- BJ Services Co. 130,900 8,181
- Metro-Goldwyn-Mayer Inc. 313,135 8,181
- PE Corp.-Celera Genomics Group 87,000 8,135
- Vishay Intertechnology, Inc. 212,722 8,070
- IDEC Pharmaceuticals Corp. 68,000 7,977
MGM Grand, Inc. 245,910 7,900
- Phone.com, Inc. 120,800 7,867
- Amkor Technology, Inc. 222,768 7,866
- Robert Half International, Inc. 274,000 7,809
- Genzyme Corp. 131,376 7,809
- Cypress Semiconductor Corp. 184,500 7,795
- Cadence Design Systems, Inc. 379,832 7,739
- Global Marine, Inc. 271,800 7,661
- Peregrine Systems, Inc. 219,936 7,629
ENSCO International, Inc. 212,800 7,621
- Burr-Brown Corp. 87,038 7,545
- QLogic Corp. 113,924 7,526
- E*Trade Group, Inc. 453,415 7,481
- Abgenix, Inc. 62,400 7,479
Devon Energy Corp. 132,759 7,459
Diamond Offshore Drilling, Inc. 210,300 7,387
- DST Systems, Inc. 97,000 7,384
- Macromedia, Inc. 76,077 7,356
- Quest Software, Inc. 132,600 7,343
- webMethods, Inc. 46,600 7,325
- Electronic Arts Inc. 99,600 7,265
- LAM Research Corp. 193,405 7,253
Reliastar Financial Corp. 137,948 7,234
- PSINet, Inc. 283,349 7,119
- R & B Falcon Corp. 300,737 7,086
- Microchip Technology, Inc. 121,444 7,076
Washington Post Co. Class B 14,720 7,036
- Affymetrix, Inc. 42,500 7,018
- Citizens Communications Co. 406,274 7,008
- DoubleClick Inc. 183,230 6,986
- Cree, Inc. 51,700 6,902
- Verio Inc. 123,700 6,863
- Copper Mountain Networks, Inc. 77,800 6,856
- Entrust Technologies, Inc. 82,500 6,827
The Pepsi Bottling Group, Inc. 230,000 6,713
Marshall & Ilsley Corp. 161,609 6,707
- Weatherford International, Inc. 167,970 6,687
The CIT Group, Inc. 405,200 6,585
- Metropolitan Life Insurance Co. 312,100 6,574
- Power-One, Inc. 57,000 6,494
Reader's Digest Assn., Inc.
Class A 162,800 6,471
- Red Hat, Inc. 238,200 6,446
KeySpan Corp. 207,547 6,382
- ISS Group, Inc. 64,600 6,378
- NVIDIA Corp. 100,000 6,356
- SanDisk Corp. 103,500 6,333
- SunGard Data Systems, Inc. 203,009 6,293
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- Dollar Tree Stores, Inc. 159,018 $ 6,291
- Andrx Corp. 98,100 6,271
- Efficient Networks, Inc. 85,200 6,268
- Finisar Corp. 238,994 6,259
- Alteon Websystems, Inc. 62,400 6,244
Santa Fe International Corp. 177,900 6,215
AVX Corp. 268,600 6,161
EOG Resources, Inc. 183,176 6,136
Zions Bancorp 133,412 6,122
- Terayon Communications
Systems, Inc. 94,800 6,089
Kinder Morgan, Inc. 176,125 6,087
- King Pharmaceuticals, Inc. 137,710 6,042
- MRV Communications Inc. 88,988 5,984
- Western Wireless Corp. Class A 109,300 5,957
Montana Power Co. 168,000 5,933
AMBAC Financial Group Inc. 107,956 5,917
E.W. Scripps Co. Class A 119,869 5,904
- Westwood One, Inc. 172,900 5,900
- SPX Corp. 48,491 5,864
- Safeguard Scientifics, Inc. 182,800 5,861
- Celgene Corp. 99,500 5,858
Simon Property Group, Inc. REIT 262,112 5,816
- MiniMed, Inc. 49,100 5,794
- Park Place Entertainment 469,300 5,720
- TriQuint Semiconductor, Inc. 59,266 5,671
- Smith International, Inc. 77,800 5,665
- Micrel, Inc. 130,300 5,660
- Knight Trading Group, Inc. 189,500 5,649
- Infonet Services Corp. 468,100 5,588
- UnitedGlobalCom Inc. Class A 118,878 5,558
- Advanced Fibre
Communications, Inc. 122,600 5,555
- PRIMEDIA Inc. 241,700 5,499
- Hispanic Broadcasting Corp. 165,800 5,492
- TeleCorp PCS, Inc. 135,300 5,454
- Spectrasite Holdings, Inc. 189,850 5,387
- Critical Path, Inc. 92,100 5,371
- International Rectifier Corp. 95,900 5,370
ServiceMaster Co. 471,850 5,367
- E.Piphany Inc. 50,050 5,365
A.G. Edwards & Sons, Inc. 137,422 5,359
- Cooper Cameron Corp. 81,000 5,346
M & T Bank Corp. 11,863 5,338
ProLogis Trust REIT 248,557 5,297
- Lattice Semiconductor Corp. 76,200 5,267
Comdisco, Inc. 235,276 5,250
BHC Communications, Inc.
Class A 34,815 5,227
- Polycom, Inc. 54,800 5,156
Family Dollar Stores, Inc. 263,500 5,155
Consolidated Papers 140,800 5,148
Royal Caribbean Cruises, Ltd. 276,600 5,117
Northeast Utilities 235,002 5,111
- Health Management Associates
Class A 384,298 5,020
- Continental Airlines, Inc. Class B 106,800 5,020
- Agile Software Corp. 70,500 4,983
- Protein Design Labs, Inc. 30,200 4,982
- Digital Island Inc. 101,800 4,950
- Symantec Corp. 91,739 4,948
- Quanta Services, Inc. 89,600 4,928
- Fairchild Semiconductor Corp. 121,500 4,921
- Gilead Sciences, Inc. 69,016 4,909
- Quest Diagnostics, Inc. 68,500 4,902
Legg Mason Inc. 97,198 4,860
- Scient Corp. 108,800 4,801
Keebler Foods Co. 129,000 4,789
- Triton PCS, Inc. 82,800 4,782
- TranSwitch Corp. 61,900 4,778
Hannaford Brothers Co. 66,465 4,777
Total System Services, Inc. 300,064 4,764
LG&E Energy Corp. 199,428 4,761
- Lamar Advertising Co. Class A 109,450 4,741
- CheckFree Holdings Corp. 91,209 4,703
Allegheny Energy, Inc. 170,100 4,656
Vornado Realty Trust REIT 133,696 4,646
UnionBanCal Corp. 250,253 4,645
Newport Corp. 43,200 4,639
- Arrow Electronics, Inc. 149,400 4,631
- VerticalNet, Inc. 125,200 4,625
Spieker Properties, Inc. REIT 100,400 4,618
- Winstar Communications, Inc. 136,100 4,610
R.J. Reynolds Tobacco
Holdings, Inc. 164,900 4,607
Potomac Electric Power Co. 182,800 4,570
- Medarex, Inc. 53,650 4,533
DQE Inc. 114,043 4,512
Public Storage, Inc. REIT 192,400 4,509
Archstone Communities
Trust REIT 214,021 4,508
- CSG Systems International, Inc. 80,300 4,502
- Digital Lightwave, Inc. 44,750 4,497
- Tritel, Inc. 151,446 4,496
- SFX Entertainment, Inc. 99,200 4,495
UAL Corp. 77,000 4,480
- Vertex Pharmaceuticals, Inc. 42,400 4,468
Apartment Investment &
Management Co. Class A REIT 103,301 4,468
DPL Inc. 202,992 4,453
Transatlantic Holdings, Inc. 53,000 4,439
- American Standard Cos., Inc. 107,800 4,420
- Netro Corp. 77,000 4,418
Duke Realty Investments,
Inc. REIT 195,762 4,380
- Network Associates, Inc. 213,757 4,355
Allmerica Financial Corp. 82,897 4,342
- Jones Apparel Group, Inc. 184,345 4,332
- Smurfit-Stone Container Corp. 335,968 4,326
Federated Investors, Inc. 122,800 4,306
- Charter Communications, Inc. 260,900 4,289
- Republic Services, Inc. Class A 267,773 4,284
North Fork Bancorp, Inc. 283,234 4,284
- Tekelec 88,900 4,284
- Virata Corp. 71,800 4,281
Avalonbay Communities,
Inc. REIT 102,121 4,264
- Thermo Electron Corp. 191,884 4,234
- Amphenol Corp. 64,100 4,243
- RSA Security Inc. 61,000 4,224
- Credence Systems Corp. 76,392 4,216
- Powerwave Technologies, Inc. 95,300 4,193
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- Informatica Corp. 51,000 $ 4,179
- AutoNation, Inc. 590,858 4,173
- Wind River Systems Inc. 109,903 4,163
Nabisco Holdings Corp. Class A 79,200 4,158
- Plug Power, Inc. 66,500 4,156
- Grant Prideco, Inc. 166,170 4,154
- Healtheon/WebMD Corp. 280,100 4,149
- MarchFirst, Inc. 226,886 4,141
Murphy Oil Corp. 69,530 4,133
- Techne 31,700 4,121
- Digital Microwave Corp. 107,896 4,114
- Interwoven, Inc. 37,400 4,113
- Ditech Communications Corp. 43,400 4,104
First Security Corp. 302,427 4,102
- Liberate Technologies, Inc. 138,800 4,069
Jones Pharma, Inc. 100,900 4,030
Boston Properties, Inc. REIT 104,300 4,029
Avnet, Inc. 67,976 4,028
- Incyte Genomics, Inc. 49,000 4,027
Popular, Inc. 210,788 4,018
- Pinnacle Holdings Inc. REIT 74,400 4,018
- Proxicom, Inc. 83,600 4,002
- Silicon Storage Technology, Inc. 45,300 4,001
- Alkermes, Inc. 84,400 3,977
- Macrovision Corp. 62,200 3,976
- The Titan Corp. 88,551 3,963
- Northwest Airlines Corp. Class A 130,100 3,960
- Pacificare Health Systems, Inc. 65,716 3,955
TECO Energy, Inc. 196,800 3,948
Delhaize America, Inc. Class A 222,316 3,932
Financial Security Assurance
Holdings Ltd. 51,800 3,930
The St. Joe Co. 130,997 3,930
Viad Corp. 144,184 3,929
SCANA Corp. 161,304 3,891
Kimco Realty Corp. REIT 93,450 3,831
- Semtech Corp. 50,019 3,826
American Water Works Co., Inc. 150,974 3,774
- Sawtek Inc. 65,500 3,770
Dallas Semiconductor Corp. 92,400 3,765
- BJ's Wholesale Club, Inc. 113,218 3,736
Crescent Real Estate, Inc. REIT 181,900 3,729
- Inet Technologies, Inc. 68,700 3,727
Expeditors International of
Washington, Inc. 78,400 3,724
- Synopsys, Inc. 107,608 3,719
Manpower Inc. 116,000 3,712
NSTAR 90,860 3,697
- Nuance Communications Inc. 44,300 3,691
Wisconsin Energy Corp. 185,961 3,684
- ImClone Systems, Inc. 48,200 3,684
- Ocean Energy, Inc. 258,642 3,669
Hormel Foods Corp. 217,900 3,663
- Emulex Corp. 55,700 3,659
Global TeleSystems, Inc. 302,900 3,654
- Express Scripts 58,800 3,653
- Acxiom Corp. 133,422 3,636
- NaviSite, Inc. 86,600 3,621
Energy East Corp. 189,800 3,618
Mylan Laboratories, Inc. 197,700 3,608
- Covad Communications
Group, Inc. 223,650 3,606
Harris Corp. 109,900 3,599
- Clarent Corp. 50,300 3,596
- Adtran, Inc. 59,800 3,581
- HomeStore.com, Inc. 121,300 3,540
- Chris-Craft Industries, Inc. 53,396 3,527
NiSource, Inc. 189,340 3,526
Neuberger Berman Inc. 75,400 3,506
Bowater Inc. 79,449 3,506
- Tech Data Corp. 80,378 3,501
- Outback Steakhouse 119,631 3,499
- Williams Communications
Group, Inc. 105,300 3,495
- SonicWALL, Inc. 39,400 3,470
Banknorth Group, Inc. 226,074 3,462
- Cor Therapeutics, Inc. 40,400 3,447
McCormick & Co., Inc. 105,683 3,435
- Intersil Holding Corp. 63,300 3,422
- Powertel Inc. 48,200 3,419
- Cognex Corp. 65,950 3,413
- VA Linux Systems, Inc. 79,352 3,412
- Centillium Communications, Inc. 49,300 3,402
ICN Pharmaceuticals, Inc. 121,927 3,391
- Varco International, Inc. 145,652 3,386
International Speedway Corp. 81,727 3,381
- Golden State Bancorp Inc. 187,805 3,380
- National Instruments Corp. 77,475 3,380
- CacheFlow Inc. 54,600 3,361
- National-Oilwell, Inc. 102,100 3,357
- Hanover Compressor Co. 88,300 3,355
- Kopin Corp. 48,400 3,352
- KEMET Corp. 133,600 3,348
Tidewater Inc. 93,000 3,348
True North Communications 75,900 3,340
- Focal Communications Corp. 93,000 3,325
- Coherent, Inc. 39,546 3,317
Alpharma, Inc. Class A 53,183 3,311
- SERENA Software, Inc. 72,900 3,310
First Tennessee National Corp. 199,700 3,308
Ultramar Diamond
Shamrock Corp. 133,026 3,301
- Time Warner Telecom Inc. 50,900 3,277
- Inhale Therapeutic Systems 32,100 3,257
- Apollo Group, Inc. Class A 116,062 3,250
SEI Corp. 81,589 3,248
Noble Affiliates, Inc. 87,036 3,242
- Valassis Communications, Inc. 85,000 3,241
- CommScope, Inc. 78,600 3,223
C.H. Robinson Worldwide, Inc. 64,900 3,213
- CNET Networks, Inc. 130,600 3,208
The PMI Group Inc. 67,450 3,204
Southdown, Inc. 55,328 3,195
- RCN Corp. 125,900 3,195
Central Newspapers, Inc. 50,500 3,194
- Wireless Facilities, Inc. 62,700 3,194
TCF Financial Corp. 124,142 3,189
Compass Bancshares Inc. 186,447 3,181
- Tollgrade Communications, Inc. 24,000 3,180
- Informix Corp. 427,554 3,180
- Cephalon, Inc. 53,100 3,179
- Sybron International Corp. 160,400 3,178
- Sybase, Inc. 138,140 3,177
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- Plexus Corp. 28,100 $ 3,175
Old Republic International Corp. 192,441 3,175
- Software Technologies Corp. 103,400 3,173
- Santa Fe Snyder Corp. 278,668 3,170
Alliant Energy Corp. 121,499 3,159
Host Marriott Corp. REIT 336,438 3,154
A. H. Belo Corp. Class A 181,906 3,149
Jack Henry & Associates 62,800 3,148
- LHS Group, Inc. 91,200 3,146
Herman Miller, Inc. 121,584 3,146
Sonoco Products Co. 152,693 3,140
Unitrin, Inc. 106,840 3,138
Mercantile Bankshares Corp. 105,125 3,134
- ChoicePoint Inc. 70,105 3,120
- United Therapeutics Corp. 28,600 3,100
- Siliconix, Inc. 45,900 3,098
- Tanox, Inc. 65,483 3,098
- Nova Corp. (Georgia) 110,888 3,098
- ICOS Corp. 70,400 3,098
- AmeriTrade Holding Corp. 266,200 3,095
- Loral Space & Communications 445,900 3,093
- Active Software, Inc. 39,800 3,092
Erie Indemnity Co. Class A 98,117 3,091
- Mercator Software, Inc. 44,764 3,078
- Aspect Communications Corp. 78,000 3,066
Flowers Industries, Inc. 153,000 3,050
Diebold, Inc. 109,426 3,050
Hudson City Bancorp, Inc. 178,500 3,046
Shared Medical Systems Corp. 41,700 3,041
- Universal Health Services Class B 46,373 3,037
- Trigon Healthcare, Inc. 58,862 3,035
- USinternetworking, Inc. 148,425 3,033
- International Game Technology 114,442 3,033
Hillenbrand Industries, Inc. 96,650 3,026
Tyson Foods, Inc. 345,510 3,023
- Varian Semiconductor
Equipment Associates, Inc. 48,100 3,021
Lyondell Chemical Co. 180,154 3,018
Green Point Financial Corp. 160,900 3,017
- Silicon Valley Bancshares 70,700 3,014
- Oxford Health Plan 126,500 3,012
- Teletech Holdings Inc. 96,700 3,004
- Echelon Corp. 51,800 3,001
Radian Group, Inc. 57,899 2,996
- Cytyc Corp. 56,100 2,994
- AmeriSource Health Corp. 96,208 2,982
Fastenal Co. 58,700 2,972
Johns Manville Corp. 224,500 2,961
- iBEAM Broadcasting Corp. 164,149 2,955
- Litton Industries, Inc. 70,098 2,944
AMB Property Corp. REIT 128,900 2,941
- Advent Software, Inc. 45,500 2,935
- EMCORE Corp. 24,400 2,928
National Fuel Gas Co. 59,800 2,915
- Brinker International, Inc. 99,663 2,915
Galileo International, Inc. 139,400 2,910
Valero Energy Corp. 91,000 2,889
- MIPS Technologies, Inc. Class B 74,833 2,881
Martin Marietta Materials, Inc. 71,199 2,879
FirstMerit Corp. 134,500 2,875
Helmerich & Payne, Inc. 76,800 2,870
- Zygo Corp. 31,600 2,870
- L-3 Communications Holdings, Inc. 50,200 2,865
- Gentex Corp. 113,700 2,857
- Natural Microsystems Corp. 25,400 2,856
- Forrester Research, Inc. 39,200 2,854
- Plantronics, Inc. 24,700 2,853
- Catalina Marketing Corp. 27,900 2,846
- Keynote Systems Inc. 40,200 2,837
UtiliCorp United, Inc. 142,429 2,831
- Devry, Inc. 107,000 2,829
- Energizer Holdings, Inc.-W/I 154,400 2,818
- Iron Mountain, Inc. 82,800 2,815
- Getty Images, Inc. 75,900 2,813
- Maxygen 49,517 2,811
- Earthlink, Inc. 182,075 2,811
- Diamond Technology Partners Inc. 31,935 2,810
MCN Energy Group Inc. 130,600 2,792
Puget Sound Energy Inc. 130,841 2,789
Cabot Corp. 102,332 2,789
- Williams Sonoma, Inc. 85,800 2,783
Commerce Bancshares, Inc. 93,421 2,779
- Dobson Communications Corp. 144,300 2,778
- Mandalay Resort Group 138,259 2,765
- Dycom Industries, Inc. 60,050 2,762
- Premier Parks Inc. 120,500 2,741
- Documentum, Inc. 30,600 2,735
- MMC Networks, Inc. 51,164 2,734
- Myriad Genetics, Inc. 18,400 2,725
- Invitrogen Corp. 36,200 2,722
CarrAmerica Realty Corp. REIT 102,600 2,719
- VISIX Inc. 96,800 2,716
- Sirius Satellite Radio, Inc. 61,300 2,716
- Mastec Inc. 71,074 2,714
Dime Bancorp, Inc. 172,046 2,710
- Pegasus Communications Corp.
Class A 55,200 2,708
- Alpha Industries, Inc. 61,300 2,701
The Timber Co. 124,900 2,701
- MGC Communications, Inc. 45,000 2,697
Liberty Property Trust REIT 103,900 2,695
- FreeMarkets, Inc. 56,800 2,694
iStar FInancial Inc. 128,194 2,684
National Community Bancorp 166,592 2,676
- Remedy Corp. 47,863 2,668
- Enzo Biochem, Inc. 38,600 2,663
Rouse Co. REIT 107,400 2,658
- Patterson Dental Co. 52,000 2,652
- Veeco Instruments, Inc. 36,200 2,652
Hibernia Corp. Class A 243,811 2,651
- Enzon, Inc. 62,300 2,648
Post Properties, Inc. REIT 59,957 2,638
Whitman Corp. 212,500 2,630
- BISYS Group, Inc. 42,700 2,626
- Canandaigua Brands, Inc. Class A 52,000 2,623
IPALCO Enterprises, Inc. 130,200 2,620
Pentair, Inc. 73,807 2,620
Protective Life Corp. 98,300 2,617
Harte-Hanks, Inc. 104,682 2,617
- Go2Net, Inc. 51,900 2,611
Beckman Coulter, Inc. 44,700 2,609
- Global Industries Ltd. 138,200 2,609
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- Intertrust Technologies Corp. 126,640 $ 2,604
- Emmis Communications, Inc. 62,900 2,602
- Snyder Communications, Inc. 109,500 2,601
- SBA Communications Corp. 49,900 2,592
- Aclara Biosciences, Inc. 50,850 2,590
- Advanced Energy Industries, Inc. 43,900 2,587
First Virginia Banks, Inc. 74,163 2,582
- LTX Corp. 73,799 2,578
City National Corp. 72,288 2,566
Talbots Inc. 46,700 2,566
- OnDisplay, Inc. 31,481 2,564
- MatrixOne, Inc. 63,085 2,563
- Actuate Software Corp. 48,000 2,562
GATX Corp. 74,999 2,550
- AsiaInfo Holdings, Inc. 56,965 2,546
- Medicis Pharmaceutical Corp. 44,624 2,544
- Newfield Exploration Co. 65,000 2,543
- Affiliated Computer Services, Inc.
Class A 76,463 2,528
- Digex, Inc. 37,200 2,527
- LookSmart, Ltd. 136,300 2,522
General Growth Properties
Inc. REIT 79,300 2,518
- J.D. Edwards & Co. 167,050 2,516
- Pixar, Inc. 71,300 2,513
Shaw Industries, Inc. 201,018 2,513
- HNC Software, Inc. 40,600 2,507
- Cobalt Networks, Inc. 43,262 2,504
Fidelity National Financial, Inc. 136,488 2,499
IBP, Inc. 161,900 2,499
- Pride International Inc. 100,600 2,490
- Marine Drilling Co., Inc. 88,900 2,489
- West TeleServices Corp. 98,300 2,488
- Engage, Inc. 192,300 2,488
- Entercom Communications Corp. 50,800 2,477
- Exar Corp. 28,400 2,476
Old National Bancorp 83,986 2,462
DENTSPLY International Inc. 79,700 2,456
Sovereign Bancorp, Inc. 349,095 2,455
Eaton Vance Corp. 53,000 2,451
Technitrol, Inc. 25,300 2,451
Hubbell Inc. Class B 95,906 2,446
- Catellus Development Corp. 162,701 2,441
- Learning Tree International, Inc. 39,800 2,438
National Computer Systems, Inc. 49,300 2,428
- First Health Group Corp. 73,930 2,426
- Foundation Health Systems
Class A 186,432 2,424
Waddell & Reed Financial, Inc.
Class B 83,350 2,422
- Insight Enterprises, Inc. 40,782 2,419
Questar Corp. 124,630 2,415
- Intermedia Communications Inc. 81,100 2,413
Equitable Resources, Inc. 49,950 2,410
Mitchell Energy & Development
Corp. 74,900 2,406
- Smithfield Foods, Inc. 85,700 2,405
- Kulicke & Soffa Industries, Inc. 40,500 2,405
- Antec Corp. 57,800 2,402
Arthur J. Gallagher & Co. 57,100 2,398
- PC Connection, Inc. 42,000 2,394
- Black Box Corp. 30,200 2,391
The MONY Group Inc. 70,600 2,387
- Quantum Corp.-DLT &
Storage Systems 246,131 2,384
- Akamai Technologies, Inc. 20,011 2,376
- International Home Foods, Inc. 112,800 2,362
- Metasolv Software, Inc. 53,600 2,358
- Keane, Inc. 108,600 2,348
- Barr Labs Inc. 52,350 2,346
- NetIQ Corp. 39,309 2,344
- Illuminet Holdings, Inc. 45,900 2,335
Vintage Petroleum, Inc. 103,200 2,328
- Quantum Effect Devices, Inc. 40,800 2,326
Associated Banc-Corp. 106,120 2,315
- Razorfish Inc. 143,950 2,312
Ross Stores, Inc. 135,176 2,306
- Suiza Foods Corp. 47,100 2,302
IMC Global Inc. 176,144 2,290
Mack-Cali Realty Corp. REIT 89,100 2,289
- PRI Automation, Inc. 35,000 2,289
- Saks Inc. 217,659 2,285
- DSP Group Inc. 40,800 2,285
Reinsurance Group of
America, Inc. 75,600 2,277
- Barnes & Noble, Inc. 102,200 2,274
Houghton Mifflin Co. 48,700 2,274
The McClatchy Co. Class A 68,550 2,271
Solutia, Inc. 164,900 2,267
USG Corp. 74,600 2,266
- Trimble Navigation Ltd. 46,400 2,265
- Oak Technology, Inc. 104,800 2,260
- CV Therapeutics, Inc. 32,600 2,260
Valley National Bancorp 92,809 2,256
Arden Realty Group, Inc. REIT 95,900 2,254
Wesco Financial Corp. 10,988 2,253
- Vicor Corp. 64,681 2,252
- Varian, Inc. 48,800 2,251
- Novoste Corp. 36,700 2,239
American Financial Group, Inc. 90,200 2,238
- Timberland Co. 31,600 2,238
C & D Technology Inc. 39,600 2,237
- New Era of Networks, Inc. 52,600 2,236
Metris Cos., Inc. 88,671 2,228
- iBasis, Inc. 51,700 2,226
CCB Financial Corp. 60,144 2,225
- Retek Inc. 69,500 2,224
- Netegrity, Inc. 29,500 2,222
Webster Financial Corp. 100,064 2,220
- Anaren Microwave, Inc. 16,900 2,218
Lafarge Corp. 105,399 2,213
Penton Media, Inc. Class A 63,116 2,209
- The Neiman Marcus Group, Inc.
Class A 74,655 2,207
- NYFIX, Inc. 52,575 2,205
- Electronics for Imaging, Inc. 87,100 2,205
Florida East Coast Railway Co. 55,100 2,204
Valspar Corp. 65,300 2,204
- Numerical Technologies, Inc. 45,315 2,203
Conectiv, Inc. 141,484 2,202
Crompton Corp. 179,409 2,198
- Broadbase Software Inc. 71,700 2,196
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VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
OGE Energy Corp. 118,600 $ 2,194
- Chesapeake Energy Corp. 282,600 2,190
- Xircom, Inc. 46,000 2,185
Highwood Properties, Inc. REIT 91,000 2,184
- Viatel, Inc. 76,390 2,182
- Manugistics Group, Inc. 46,600 2,179
Weis Markets, Inc. 66,400 2,175
- NorthPoint Communications
Group, Inc. 193,800 2,168
Commerce Bancorp, Inc. 47,064 2,165
Blyth, Inc. 73,350 2,164
- Tularik, Inc. 73,300 2,162
- Exelixis, Inc. 64,730 2,160
- Michaels Stores, Inc. 47,100 2,158
- Viant Corp. 72,800 2,157
- Harmonic, Inc. 87,107 2,156
- Zebra Technologies Corp. Class A 48,600 2,154
Teleflex Inc. 58,100 2,153
- Venator Group, Inc. 209,900 2,151
Hollinger International, Inc. 157,600 2,147
HON Industries, Inc. 91,200 2,143
Bindly Western Industries, Inc. 80,666 2,133
Cullen/Frost Bankers, Inc. 80,980 2,131
Reynolds & Reynolds Class A 116,500 2,126
Kansas City Power & Light Co. 94,400 2,124
Health Care Properties
Investors REIT 77,900 2,123
- Immunomedics Inc. 86,600 2,122
Methode Electronics, Inc. Class A 54,900 2,121
- CuraGen Corp. 55,700 2,120
- CompuCredit Corp. 70,500 2,115
- Cymer, Inc. 44,020 2,102
- American Management
Systems, Inc. 64,025 2,102
- Littelfuse, Inc. 42,800 2,097
- Aurora Biosciences Corp. 30,700 2,093
Wilmington Trust Corp. 48,900 2,090
- Artesyn Technologies, Inc. 75,000 2,086
Astoria Financial Corp. 80,953 2,085
- Elantec Semiconductor, Inc. 29,900 2,082
- Medical Manager Corp. 61,025 2,079
- S3, Inc. 140,632 2,074
United Water Resources, Inc. 59,444 2,073
- Adaptive Broadband Corp. 56,400 2,073
Carlisle Co., Inc. 46,046 2,072
- ITC DeltaCom, Inc. 92,600 2,066
John Wiley & Sons Class A 91,800 2,066
Keithley Instruments Inc. 23,700 2,065
United Asset Management Corp. 88,300 2,064
- AnnTaylor Stores Corp. 62,300 2,064
American National Insurance Co. 40,450 2,063
- Priority Healthcare Corp. Class A 27,753 2,062
- Aware, Inc. 40,300 2,060
- Genuity Inc. 225,000 2,060
- Pioneer Group, Inc. 48,600 2,059
- ITXC Corp. 58,000 2,054
- Caremark Rx, Inc. 301,172 2,052
- PLX Technology, Inc. 49,200 2,042
- ATMI, Inc. 43,900 2,041
- Choice One Communications Inc. 49,800 2,032
21st Century Insurance Group 129,000 2,032
MDU Resources Group, Inc. 93,825 2,029
- CareInsite, Inc. 113,000 2,020
- TiVo Inc. 57,700 2,020
Regency Realty Corp. REIT 85,000 2,019
- 99 Cents Only Stores 50,570 2,016
- Lincare Holdings, Inc. 81,800 2,014
- Lear Corp. 100,700 2,014
Centura Banks, Inc. 59,339 2,014
- Tumbleweed Communications
Corp. 39,500 2,010
- Cubist Pharmaceuticals, Inc. 40,800 2,009
- Alliance Semiconductor Corp. 81,750 2,008
- ADVO, Inc. 47,575 1,998
- Price Communications Corp. 84,500 1,991
Applied Power, Inc. 59,415 1,990
- Centennial Communications
Corp. Class A 144,700 1,990
- ONYX Software Corp. 66,800 1,983
- Silicon Image, Inc. 39,750 1,983
- AmeriCredit Corp. 116,333 1,978
- PurchasePro.com, Inc. 48,050 1,970
Franchise Finance Corp. of
America REIT 85,500 1,967
BRE Properties Inc. Class A REIT 68,100 1,966
- Dendrite International, Inc. 58,900 1,962
- Louis Dreyfus Natural Gas Corp. 62,600 1,960
- Forest Oil Corp. 122,900 1,959
- Zale Corp. 53,500 1,953
- Lone Star Technologies, Inc. 42,200 1,952
- Symyx Technologies 45,800 1,952
- Legato Systems, Inc. 128,700 1,947
- Citadel Communications Corp. 55,700 1,946
- Carrier Access Corp. 36,803 1,946
Mercury General Corp. 82,200 1,942
Minnesota Power, Inc. 111,900 1,937
Hospitality Properties Trust REIT 85,800 1,936
- Alleghany Corp. 11,519 1,935
- Pioneer Natural Resources Co. 151,656 1,934
- Zoran Corp. 29,300 1,932
- Mentor Graphics Corp. 97,000 1,928
- Alamosa PCS Holdings, Inc. 92,350 1,928
- ACNielson Corp. 87,600 1,927
- Mohawk Industries, Inc. 88,600 1,927
- Cable Design Technologies 57,472 1,925
Leucadia National Corp. 84,376 1,925
Forest City Enterprise Class A 57,600 1,922
- RadiSys Corp. 33,850 1,921
- Proxim, Inc. 19,400 1,920
- Apex Inc. 43,850 1,918
John Nuveen Co. Class A 45,743 1,918
- Three-Five Systems, Inc. 32,450 1,915
- Laboratory Corp. of
America Holdings 24,764 1,910
Media General, Inc. Class A 39,300 1,909
Fulton Financial Corp. 107,809 1,907
- Integrated Silicon Solution, Inc. 50,100 1,904
- Syncor International Corp. 26,400 1,901
CTS Corp. 42,179 1,898
- Atlas Air, Inc. 52,787 1,894
United Television, Inc. 14,700 1,893
- Abercrombie & Fitch Co. 154,900 1,888
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Cousins Properties, Inc. REIT 49,020 $ 1,887
COMSAT Corp. 80,252 1,886
Callaway Golf Co. 115,300 1,881
- DuPont Photomasks, Inc. 27,400 1,877
- United Rentals, Inc. 109,452 1,874
- MEMC Electronic Materials, Inc. 104,000 1,872
- Ingram Micro, Inc. 107,200 1,869
- Heidrick & Struggles
International, Inc. 29,600 1,869
- Optical Cable Corp. 61,700 1,866
- Triad Hospitals, Inc. 77,100 1,865
- Investment Technology
Group, Inc. 47,211 1,865
Sky Financial Group, Inc. 116,844 1,862
- Aztar Corp. 120,100 1,862
Nationwide Financial
Services, Inc. 56,600 1,861
- Remec, Inc. 44,400 1,859
- Micron Electronics, Inc. 148,700 1,859
- AppNet, Inc. 51,600 1,858
- Superconductor Technologies Inc. 47,200 1,856
- StarMedia Network, Inc. 98,300 1,855
- Schein Pharmaceutical, Inc. 85,600 1,851
- Sensormatic Electronics Corp. 117,061 1,851
BancWest Corp. 112,328 1,846
- S1 Corp. 79,195 1,846
- Amylin Pharmaceuticals, Inc. 121,500 1,845
Ruby Tuesday, Inc. 146,848 1,845
- Varian Medical Systems, Inc. 47,100 1,843
- Bush Boake Allen, Inc. 42,100 1,842
- Verity, Inc. 48,200 1,832
Trustmark Corp. 105,000 1,831
- XM Satellite Radio Holdings, Inc. 48,900 1,831
- SAVVIS Communications Corp. 140,100 1,830
IDACORP, Inc. 56,700 1,829
- Grey Wolf, Inc. 365,100 1,826
- Borders Group, Inc. 117,200 1,824
Newport News Shipbuilding Inc. 49,495 1,819
- Cirrus Logic 113,600 1,818
Lennox International Inc. 137,025 1,816
Allied Capital Corp. 106,620 1,813
- American Xtal Technology, Inc. 41,900 1,812
- Cal Dive International, Inc. 33,400 1,810
- Maxtor Corp. 171,200 1,808
- Extended Systems Inc. 18,800 1,805
Lennar Corp. 89,039 1,803
- FirePond, Inc. 50,000 1,800
- The Yankee Candle Company, Inc. 83,200 1,799
- SuperGen, Inc. 49,600 1,798
- Payless ShoeSource, Inc. 34,446 1,798
- WatchGuard Technologies, Inc. 32,700 1,796
Hudson United Bancorp 80,053 1,796
Roslyn Bancorp, Inc. 108,131 1,796
FelCor Lodging Trust, Inc. REIT 96,837 1,791
Provident Financial Group, Inc. 75,225 1,791
Overseas Shipholding Group Inc. 72,700 1,790
- Tetra Tech, Inc. 78,150 1,788
- Leap Wireless International, Inc. 38,000 1,786
Investors Financial Services Corp. 45,000 1,786
Pacific Century Financial Corp. 122,102 1,786
Valhi, Inc. 171,900 1,783
- Spectra-Physics Lasers, Inc. 25,500 1,783
CONSOL Energy, Inc. 117,800 1,782
- Tut Systems, Inc. 31,000 1,779
- ZixIt Corp. 38,450 1,771
- Nanogen, Inc. 41,700 1,770
Peoples Bank Bridgeport 96,150 1,767
- Electro Scientific Industries, Inc. 40,100 1,766
- Cerner Corp. 64,730 1,764
Tootsie Roll Industries, Inc. 50,370 1,763
- ICG Communications, Inc. 79,900 1,763
- Korn/Ferry International 55,600 1,762
- Pharmacyclics, Inc. 28,877 1,761
- SilverStream Software, Inc. 30,500 1,761
- DigitalThink, Inc. 49,000 1,758
- F5 Networks, Inc. 32,200 1,757
Dean Foods Corp. 54,933 1,741
- Turnstone Systems, Inc. 10,500 1,740
Millennium Chemicals, Inc. 102,300 1,739
Lubrizol Corp. 82,733 1,737
- Cybex Computer Products Corp. 40,300 1,733
- Brooks Automation, Inc. 27,100 1,733
- Aspen Technologies, Inc. 45,000 1,733
- NorthEast Optic Network, Inc. 28,100 1,732
First Industrial Realty Trust REIT 58,700 1,732
New Plan Excel Realty Trust REIT 133,114 1,730
- Pinnacle Systems, Inc. 76,908 1,729
- Anixter International Inc. 65,000 1,723
- Luminex Corp. 41,360 1,722
- Telcom Semiconductor, Inc. 42,600 1,720
Hertz Corp. Class A 61,200 1,717
- Kent Electronics Corp. 57,600 1,717
Bank United Corp. Class A 48,800 1,717
United Dominion Realty Trust REIT 155,300 1,708
Washington Gas Light Corp. 70,902 1,706
- Interim Services, Inc. 96,000 1,704
- Station Casinos, Inc. 68,000 1,700
- Puma Technology, Inc. 63,400 1,700
Kilroy Realty Corp. REIT 65,400 1,696
- CTC Communications Group, Inc. 47,100 1,696
- On Assignment, Inc. 55,500 1,693
- Primark Corp. 45,431 1,692
- 7-Eleven, Inc. 123,000 1,691
- Edwards Lifesciences Corp. 88,400 1,691
Brady Corp. Class A 52,000 1,690
Cross Timbers Oil Co. 76,300 1,688
- Silicon Valley Group, Inc. 65,200 1,687
- Trimeris, Inc. 24,100 1,685
- Stone Energy Corp. 28,200 1,685
- Globix Corp. 57,400 1,683
Camden Property Trust REIT 57,261 1,682
- Lynx Therapeutics Inc. 35,325 1,680
- Photronics Labs Inc. 59,196 1,680
CNF Transportation, Inc. 73,800 1,679
Spiegel, Inc. Class A 197,400 1,678
Clayton Homes Inc. 209,496 1,676
Dexter Corp. 34,900 1,675
Precision Castparts Corp. 37,000 1,674
- Interliant Inc. 71,700 1,672
- Orthodontic Centers of
America, Inc. 73,800 1,670
Cambrex Corp. 37,100 1,670
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- Internet Capital Group, Inc. 45,080 $ 1,669
- Rainbow Technologies, Inc. 34,300 1,668
- Storage Technology Corp. 152,182 1,664
- Whole Foods Market, Inc. 40,200 1,661
- Titan Pharmaceuticals, Inc. 38,600 1,660
- Unifi, Inc. 134,025 1,659
- United Stationers, Inc. 51,088 1,654
- Renal Care Group, Inc. 67,415 1,649
- Quantum Corp.- Hard Disk Drive 149,000 1,648
- Hyperion Solutions Corp. 50,785 1,647
- AXENT Technologies, Inc. 66,300 1,645
- Alexion Pharmaceuticals, Inc. 23,000 1,645
Sodexho Marriott Services, Inc. 94,600 1,644
- Avant! Corp. 87,690 1,643
- Aeroflex, Inc. 33,000 1,640
Greater Bay Bancorp 35,043 1,638
- Excalibur Technologies Corp. 41,000 1,637
National Bankcorp of Alaska Inc. 45,600 1,636
- PRAECIS Pharmaceuticals Inc. 58,605 1,634
Weingarten Realty Investors REIT 40,400 1,631
- Cytogen Corp. 161,069 1,631
White Mountains Insurance
Group Inc. 10,185 1,630
Western Gas Resources, Inc. 77,500 1,628
- iXL Enterprises, Inc. 112,200 1,627
- Sequenom, Inc. 35,850 1,627
Dial Corp. 156,700 1,626
- Linens 'n Things, Inc. 59,800 1,622
- Packaging Corp. of America 160,200 1,622
- Cabot Microelectronics Corp. 35,435 1,621
- Stillwater Mining Co. 57,750 1,610
- Scholastic Corp. 26,300 1,608
- Imation Corp. 54,580 1,603
- Swift Energy Co. 56,479 1,603
- Markel Corp. 11,300 1,600
Western Resources, Inc. 103,209 1,600
Colonial BancGroup, Inc. 166,100 1,599
- Regeneron Pharmaceuticals, Inc. 53,600 1,598
Hawaiian Electric Industries Inc. 48,635 1,596
- Perot Systems Corp. 144,900 1,594
- Mid Atlantic Medical
Services, Inc. 118,000 1,593
- Asyst Technologies, Inc. 46,500 1,593
- Maxim Pharmaceuticals, Inc. 31,000 1,593
Keystone Financial, Inc. 74,900 1,592
- Ancor Communications, Inc. 44,500 1,592
CMP Group Inc. 54,267 1,591
- Hyseq, Inc. 35,000 1,590
One Valley Bancorp of
West Virginia Inc. 50,868 1,590
IndyMac Mortgage Holdings, Inc. 117,200 1,590
RPM Inc. (Ohio) 156,980 1,589
Downey Financial Corp. 54,720 1,587
Harman International
Industries, Inc. 26,014 1,587
- Procom Technology, Inc. 30,700 1,587
OM Group, Inc. 36,000 1,584
Liberty Financial Cos., Inc. 72,100 1,582
Vectren Corp. 91,597 1,580
- FuelCell Energy, Inc. 22,850 1,578
- Iomega Corp. 394,300 1,577
Baldor Electric Co. 84,606 1,576
- Too Inc. 61,600 1,567
- Genome Therapeutics Corp. 51,430 1,565
- Pre-Paid Legal Services, Inc. 52,200 1,559
- Information Holdings Inc. 42,100 1,558
Sotheby's Holdings Class A 89,000 1,558
- Southern Union Co. 98,441 1,557
Staten Island Bancorp, Inc. 88,100 1,553
- Columbia Sportswear Co. 57,700 1,551
Raymond James Financial, Inc. 68,837 1,549
- FSI International, Inc. 71,400 1,548
- Newpark Resources, Inc. 164,000 1,548
Lee Enterprises, Inc. 66,200 1,543
- LifePoint Hospitals, Inc. 69,320 1,542
Enterprise Products Partners L.P. 68,500 1,541
Harsco Corp. 60,432 1,541
- Cytec Industries, Inc. 62,300 1,538
- WebTrends Corp. 39,700 1,536
U.S. Industries, Inc. 126,590 1,535
StanCorp Financial Group, Inc. 47,700 1,532
- Allaire Corp. 41,600 1,529
- Microvision, Inc. 31,200 1,529
- Affiliated Managers Group, Inc. 33,600 1,529
- WebLink Wireless, Inc. 115,300 1,528
- Paradyne Networks, Inc. 46,900 1,527
- Rogers Corp. 43,600 1,526
- Scotts Co. 41,800 1,526
Block Drug Co. Class A 35,973 1,522
- TD Waterhouse Group, Inc. 87,700 1,518
Washington REIT 84,900 1,518
- Barrett Resources Corp. 49,850 1,517
- Coventry Health Care Inc. 113,500 1,513
- Data Return Corp. 52,100 1,511
- ANADIGICS, Inc. 44,350 1,511
Lilly Industries Inc. Class A 50,188 1,509
Arrow International, Inc. 45,000 1,508
- The Topps Co., Inc. 131,040 1,507
Westfield America, Inc. REIT 111,100 1,507
- Alliant Techsystems, Inc. 22,300 1,504
Rayonier Inc. 41,900 1,503
- Radio One, Inc. Class D 68,100 1,502
Commerce Group, Inc. 50,900 1,502
- Clayton Williams Energy, Inc. 47,000 1,501
- Biotechnology General 113,800 1,501
York International Corp. 57,400 1,500
- Universal Display Corp. 50,500 1,499
- Lands' End, Inc. 44,900 1,499
- AirGate PCS, Inc. 28,500 1,498
Gartner Group, Inc. Class A 124,800 1,498
- Actel Corp. 32,800 1,497
- Hearst-Argyle Television Inc. 76,735 1,496
- Mueller Industries Inc. 53,332 1,493
Sierra Pacific Resources 118,328 1,486
- Interlink Electronics Inc. 35,450 1,484
- Sicor, Inc. 185,407 1,483
- Power Integrations, Inc. 62,900 1,482
- Advanced Tissue Sciences Inc. 184,342 1,480
Claire's Stores, Inc. 76,900 1,480
- Fisher Scientific International Inc. 59,800 1,480
Mentor Corp. 54,438 1,480
- Allen Telecom Inc. 83,440 1,476
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- WMS Industries, Inc. 95,550 $ 1,475
Capitol Federal Financial 133,200 1,474
- Rhythms NetConnections Inc. 117,200 1,472
- Metawave Communications Corp. 55,130 1,471
- Accrue Software, Inc. 41,400 1,470
Washington Federal Inc. 80,522 1,470
- SEACOR SMIT Inc. 37,950 1,468
- MKS Instruments, Inc. 37,400 1,463
- Somera Communications, Inc. 106,900 1,457
Universal Corp. 68,900 1,456
- Dura Pharmaceuticals, Inc. 101,208 1,455
CBL & Associates Properties,
Inc. REIT 58,300 1,454
MeriStar Hospitality Corp. REIT 69,231 1,454
- Primus Telecommunications
Group, Inc. 58,400 1,453
Aptargroup Inc. 53,800 1,453
- Caliper Technologies Corp. 31,540 1,451
Corn Products International, Inc. 54,700 1,450
- Policy Management
Systems Corp. 94,228 1,449
- R.H. Donnelley Corp. 74,600 1,445
- Pharmacopeia, Inc. 31,100 1,442
Reckson Associates Realty
Corp. REIT 60,700 1,442
First Midwest Bancorp 62,000 1,442
BorgWarner, Inc. 41,031 1,441
Alexander & Baldwin, Inc. 65,300 1,441
Summit Properties, Inc. REIT 68,600 1,441
Ethan Allen Interiors, Inc. 60,000 1,440
- Alliance Pharmaceutical Corp. 127,900 1,439
- Rehabcare Corp. 52,800 1,439
Delta & Pine Land Co. 57,376 1,438
- Veritas DGC Inc. 55,300 1,438
WestAmerica Bancorporation 54,996 1,437
- Mattson Technology, Inc. 44,200 1,437
- FOSSIL, INC. 73,900 1,436
- Breakaway Solutions, Inc. 53,100 1,434
- Wink Communications, Inc. 47,000 1,434
Pier 1 Imports Inc. 147,008 1,433
- Hain Celestial Group, Inc. 39,000 1,431
- APAC Teleservices, Inc. 129,189 1,429
- C-COR Electronics, Inc. 52,900 1,428
Interstate Bakeries Corp. 102,000 1,428
Minerals Technologies, Inc. 31,000 1,426
- Molecular Devices Corp. 20,600 1,425
- The Corporate Executive
Board Co. 23,800 1,425
American National Can Group, Inc. 84,400 1,424
- Digitas Inc. 87,255 1,423
- Impath, Inc. 26,200 1,421
Waddell & Reed Financial, Inc. 43,300 1,421
- MP3.com, Inc. 104,700 1,420
Cabot Oil & Gas Corp. Class A 66,964 1,419
- Speedway Motorsports, Inc. 61,500 1,415
- Jack in the Box Inc. 57,400 1,413
- Research Frontiers, Inc. 47,100 1,413
- Mediacom Communications Corp. 91,900 1,413
- Bally Total Fitness Holding Corp. 55,596 1,411
- National Processing, Inc. 112,500 1,406
HCC Insurance Holdings, Inc. 74,500 1,406
Albemarle Corp. 71,182 1,406
- Landstar System 23,600 1,406
- Cell Genesys, Inc. 50,200 1,406
- Province Healthcare Co. 38,900 1,405
- Professional Detailing, Inc. 41,200 1,403
- Cox Radio, Inc. 50,100 1,403
- Patterson Energy, Inc. 49,200 1,402
- Men's Wearhouse, Inc. 62,804 1,401
- Ziff-Davis Inc. 155,600 1,400
Independence Community
Bank Corp. 105,600 1,399
- Tricord Systems, Inc. 77,400 1,398
- Predictive Systems, Inc. 38,900 1,398
- eGain Communications Corp. 115,283 1,398
Graco, Inc. 42,965 1,396
Pennzoil-Quaker State Co. 115,755 1,396
CBRL Group, Inc. 95,033 1,396
Patina Oil & Gas Corp. 67,168 1,394
- ESS Technology, Inc. 96,100 1,393
- Benchmark Electronics, Inc. 38,100 1,393
- Valuevision International, Inc.
Class A 58,000 1,392
- Paxar Corp. 116,600 1,392
Universal Foods Corp. 75,224 1,392
- Palm, Inc. 41,670 1,391
Southwest Securities Group, Inc. 37,300 1,389
New Jersey Resources Corp. 36,500 1,389
- Teligent, Inc. 58,800 1,389
Airborne Freight Corp. 73,320 1,388
Mark IV Industries, Inc. 66,432 1,387
- Azurix Corp. 177,500 1,387
Home Properties of New York,
Inc. REIT 46,200 1,386
Sun Communities, Inc. REIT 41,400 1,384
IDEX Corp. 43,800 1,382
Datascope Corp. 38,400 1,382
- Security Capital Group Inc. REIT
Class B 81,300 1,382
Carter-Wallace, Inc. 68,600 1,381
Heller Financial, Inc. 67,253 1,379
- Transkaryotic Therapies, Inc. 37,500 1,378
Developers Diversified Realty
Corp. REIT 92,200 1,377
- Edison Schools Inc. 59,300 1,375
- Vyyo Inc. 50,900 1,374
Colonial Properties Trust REIT 50,100 1,371
Richmond County Financial Corp. 71,550 1,368
Dole Food Co. 83,500 1,367
Justin Industries, Inc. 62,500 1,367
- Metrocall, Inc. 151,900 1,367
First American Corp. 95,500 1,367
HSB Group Inc. 43,914 1,367
- SmartDisk Corp. 49,700 1,367
Charles E. Smith Residential
Realty, Inc. REIT 35,900 1,364
Skywest, Inc. 36,800 1,364
- Cygnus Inc. 95,700 1,364
FactSet Research Systems Inc. 48,200 1,362
- Vertel Corp. 77,691 1,360
- Saba Software, Inc. 64,630 1,357
- Gene Logic Inc. 38,000 1,356
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- EGL, Inc. 44,100 $ 1,356
Belden, Inc. 52,900 1,356
Commercial Federal Corp. 87,097 1,355
- Journal Register Co. 74,100 1,352
First Financial Bancorp 68,638 1,351
- SCM Microsystems,Inc. 22,300 1,351
Donaldson Co., Inc. 68,200 1,347
- K-V Pharmaceutical Co. Class A 50,750 1,345
- TCI Satellite Entertainment, Inc.
Class A 154,777 1,345
- Ulticom, Inc. 55,915 1,343
Dreyer's Grand Ice Cream, Inc. 63,900 1,342
- LightPath Technologies, Inc. 33,700 1,342
- Houston Exploration Co. 53,400 1,342
- Evergreen Resources, Inc. 45,200 1,339
- Liberty Digital, Inc. 44,600 1,338
- Rudolph Technologies, Inc. 34,500 1,337
- Energy Conversion Devices, Inc. 52,525 1,333
AGL Resources Inc. 83,600 1,332
Pogo Producing Co. 60,200 1,332
- Concord Communications, Inc. 33,400 1,332
Central Parking Corp. 56,200 1,331
- Osicom Technologies, Inc. 15,700 1,329
J.M. Smucker Co. Class A 69,000 1,328
- Swift Transportation Co., Inc. 94,825 1,328
AK Steel Corp. 165,932 1,327
- American Superconductor Corp. 27,500 1,327
Helix Technology Corp. 34,000 1,326
- Geron Corp. 41,400 1,325
- Photon Dynamics, Inc. 17,700 1,322
- Interdigital Communications Corp. 79,700 1,320
Greif Brothers Corp. Class A 42,900 1,319
- ISIS Pharmaceuticals, Inc. 90,974 1,319
- Barra, Inc. 26,600 1,318
- Metricom 47,200 1,316
- Witness Systems, Inc. 53,800 1,311
Service Corp. International 411,000 1,310
- Advanced Lighting
Technologies, Inc. 70,800 1,310
- Corixa Corp. 30,500 1,310
- General Semiconductor, Inc. 88,650 1,308
- Anchor Gaming 27,201 1,304
Prentiss Properties Trust REIT 54,300 1,303
- Ventro Corp. 68,900 1,300
- BOK Financial Corp. 74,044 1,300
- El Paso Electric Co. 115,966 1,297
- Miravant Medical Technology 58,100 1,296
- Extended Stay America, Inc. 140,000 1,295
- Epitope Inc. 93,900 1,291
Park National Corp. 14,200 1,289
- Secure Computing Corp. 68,400 1,287
- Organic, Inc. 131,750 1,285
- PanAmSat Corp. 29,400 1,284
- Copart, Inc. 80,200 1,283
- Electric Fuel Corp. 83,800 1,283
- Sangstat Medical Corp. 44,400 1,282
- Pharmaceutical Product
Development, Inc. 60,783 1,276
La-Z-Boy Inc. 91,100 1,275
- Structural Dynamics
Research Corp. 84,655 1,275
- Modis Professional Services Inc. 143,600 1,274
Kellwood Co. 60,300 1,274
- Teledyne Technologies, Inc. 76,000 1,273
- ProBusiness Services, Inc. 47,900 1,272
- Southwest Bancorporation of
Texas, Inc. 61,300 1,272
- Extensity, Inc. 37,135 1,272
- IDEXX Laboratories Corp. 55,600 1,272
Brown & Brown, Inc. 24,400 1,269
Northwest Natural Gas Co. 56,700 1,269
- Jacobs Engineering Group Inc. 38,800 1,268
D. R. Horton, Inc. 93,400 1,267
Enhance Financial Services
Group, Inc. 88,100 1,266
Earthgrains Co. 65,100 1,265
Bandag, Inc. 52,162 1,265
- Airnet Communications Corp. 48,390 1,264
N L Industries, Inc. 82,700 1,261
Dain Rauscher Corp. 19,100 1,261
- ResMed Inc. 47,100 1,260
- Advanced Digital
Information Corp. 79,000 1,259
- MGI Pharma, Inc. 43,700 1,257
Omnicare, Inc. 138,700 1,257
- Commonwealth Telephone
Enterprises, Inc. 26,700 1,257
- Rural Cellular Corp. Class A 16,400 1,256
CenterPoint Properties Corp. REIT 30,800 1,255
- Merix Corp. 26,700 1,255
- EntreMed, Inc. 41,900 1,254
- The Cheesecake Factory 45,600 1,254
- Haemonetics Corp. 59,700 1,254
- Identix, Inc. 79,900 1,253
- The Profit Recovery Group
International, Inc. 75,350 1,253
Liberty Corp. 29,800 1,252
Philadelphia Suburban Corp. 61,000 1,251
- Syntroleum Corp. 73,000 1,250
Piedmont Natural Gas, Inc. 47,046 1,250
Pacific Gulf Properties, Inc. REIT 49,800 1,248
- e.spire Communications, Inc. 184,900 1,248
- Parker Drilling Co. 201,200 1,245
- Forward Air Corp. 31,100 1,244
- Key Energy Services, Inc. 129,200 1,244
Avista Corp. 71,300 1,243
Community First Bankshares 76,216 1,243
- Biomatrix, Inc. 54,948 1,243
Invacare Corp. 47,343 1,243
A.O. Smith Corp. 59,250 1,241
- Adelphia Business Solutions, Inc. 53,458 1,240
- Dril-Quip, Inc. 26,500 1,239
- Oceaneering International, Inc. 65,200 1,239
- Friede Goldman Halter, Inc. 138,443 1,237
Applebee's International, Inc. 40,818 1,237
Storage USA, Inc. REIT 41,900 1,236
- MicroStrategy Inc. 41,200 1,236
Student Loan Corp. 29,400 1,235
- BioCryst Pharmaceuticals, Inc. 43,000 1,234
- PathoGenesis Corp. 47,400 1,232
- WIT Soundview Group, Inc. 114,800 1,232
- Kenneth Cole Productions, Inc. 30,800 1,232
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- Volt Information Sciences Inc. 37,400 $ 1,232
- Avigen, Inc. 28,000 1,229
- Oakley, Inc. 106,800 1,228
- NCO Group, Inc. 53,100 1,228
- hi/fn, inc. 27,667 1,228
Chateau Communities, Inc. REIT 43,412 1,226
Northwestern Corp. 53,000 1,226
- IDT Corp. 36,100 1,225
Nordson Corp. 24,140 1,222
Kelly Services, Inc. Class A 52,737 1,220
Roadway Express Inc. 52,000 1,219
- Triarc Cos., Inc. Class A 59,300 1,216
- Advantage Learning Systems, Inc. 79,000 1,215
- Aphton Corp. 47,161 1,214
- VIA NET.WORKS, Inc. 78,650 1,214
- Administaff, Inc. 19,100 1,213
- Atwood Oceanics, Inc. 27,200 1,210
- Cell Pathways, Inc. 51,500 1,210
- Tom Brown, Inc. 52,400 1,208
HRPT Properties Trust REIT 197,300 1,208
- National Discount Brokers
Group, Inc. 37,900 1,208
- Lante Corp. 59,100 1,208
- FEI Co. 39,600 1,208
Bradley Real Estate Inc. REIT 56,637 1,207
- NetRatings, Inc. 47,070 1,206
- Astec Industries, Inc. 47,500 1,205
- Albany Molecular Research, Inc. 22,100 1,203
SJW Corp. 10,100 1,201
- Digital Insight Corp. 35,300 1,200
- Stericycle, Inc. 50,000 1,200
- Dollar Thrifty Automotive
Group, Inc. 65,060 1,200
- Digene Corp. 29,700 1,199
Selective Insurance Group 63,100 1,199
- 1-800 CONTACTS, Inc. 25,500 1,199
- Krispy Kreme Doughnuts, Inc. 16,300 1,198
- Rare Medium Group, Inc. 75,700 1,197
Stewart & Stevenson
Services, Inc. 79,382 1,196
FINOVA Group, Inc. 91,896 1,195
- Allied Riser Communications Corp. 84,400 1,192
- XTRA Corp. 30,200 1,191
Citizens Banking Corp. 73,238 1,189
- Castle & Cooke Inc. 61,533 1,188
S & T Bancorp, Inc. 65,000 1,186
WPS Resources Corp. 39,400 1,184
- GTech Holdings Corp. 52,200 1,184
- Hot Topic, Inc. 37,000 1,184
Cabot Industrial Trust REIT 59,900 1,179
- PSS World Medical, Inc. 175,500 1,179
- Glenayre Technologies, Inc. 111,512 1,178
- Network Plus Corp. 82,900 1,176
- C-Cube Microsystems Inc. 59,900 1,176
Chelsea GCA Realty, Inc. REIT 34,000 1,175
- Westell Technologies, Inc. 78,340 1,175
- Insight Communications Co., Inc. 75,200 1,175
- Basin Exploration Inc. 65,698 1,174
- Texas Biotechnology Corp. 61,800 1,174
- Buffets Inc. 92,493 1,174
BancorpSouth, Inc. 83,400 1,173
- Chico's Fas, Inc. 58,572 1,171
- Trico Marine Services, Inc. 91,800 1,170
- Sinclair Broadcast Group, Inc. 106,400 1,170
Federal Realty Investment
Trust REIT 58,500 1,170
RGS Energy Group Inc. 52,548 1,169
Casey's General Stores 112,600 1,168
- Ciber, Inc. 88,100 1,167
- Eprise Corp. 71,000 1,167
- ViaSat, Inc. 21,500 1,166
- Tower Automotive, Inc. 93,100 1,164
- Telxon Corp. 65,100 1,164
- Electroglas, Inc. 54,100 1,163
- Avis Group Holdings, Inc. 62,000 1,163
- Ribozyme Pharmaceuticals, Inc. 45,000 1,162
Glenborough Realty Trust,
Inc. REIT 66,600 1,161
- Intergraph Corp. 153,300 1,159
- Ebenx Inc. 54,700 1,159
- Progress Software Corp. 64,600 1,159
- Argosy Gaming Co. 80,500 1,157
- ILEX Oncology, Inc. 32,800 1,156
Whitney Holdings 33,800 1,156
LNR Property Corp. 59,250 1,155
- Therma-Wave Inc. 51,700 1,154
- Acacia Research Corp. 48,000 1,152
- GelTex Pharmaceuticals, Inc. 56,300 1,151
Roper Industries Inc. 44,900 1,151
- AnswerThink Consulting
Group, Inc. 69,100 1,149
W.R. Berkley Corp. 61,250 1,148
Polaris Industries, Inc. 35,850 1,147
United Bankshares, Inc. 63,000 1,146
- Packeteer, Inc. 39,300 1,145
- Immune Response 105,183 1,144
- Persistence Software, Inc. 63,100 1,144
Alexandria Real Estate Equities,
Inc. REIT 33,300 1,143
- Specialty Equipment Cos., Inc. 42,100 1,142
- Toll Brothers, Inc. 55,600 1,140
- Primus Knowledge Solutions, Inc. 25,300 1,139
Diagnostic Products Corp. 35,577 1,138
The Macerich Co. REIT 51,500 1,136
- Meade Instruments Corp. 45,200 1,136
- America Online, Inc. 21,523 1,135
Elcor Corp. 49,250 1,133
Lancaster Colony Corp. 59,015 1,132
- UTI Energy Corp. 28,200 1,132
Ferro Corp. 53,862 1,131
Berry Petroleum Class A 66,500 1,131
- Infocus Corp. 35,100 1,130
GBC Bancorp 38,500 1,126
Pultizer, Inc. 26,682 1,126
- Silicon Graphics, Inc. 300,000 1,125
Wellman, Inc. 69,455 1,124
Morrison Management
Specialists, Inc. 39,865 1,124
- Dionex Corp. 42,000 1,124
- Emisphere Technologies, Inc. 26,300 1,121
WFS Financial, Inc. 64,860 1,119
- SPSS, Inc. 38,400 1,118
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Jefferies Group, Inc. 55,400 $ 1,118
Olin Corp. 67,700 1,117
- O'Reilly Automotive, Inc. 80,400 1,116
Cleco Corp. 33,292 1,115
- Boston Communications
Group, Inc. 79,600 1,114
Fleming Cos., Inc. 85,300 1,114
- Sonus Networks, Inc. 7,050 1,113
- eToys Inc. 175,400 1,113
- Papa John's International, Inc. 45,393 1,112
Bergen Brunswig Corp. Class A 202,154 1,112
- Rayovac Corp. 49,600 1,110
- INAMED Corp. 30,300 1,110
National Data Corp. 48,239 1,109
Federal Signal Corp. 67,237 1,109
- Guess ?, Inc. 79,200 1,109
Trinity Industries, Inc. 59,900 1,108
- Buckeye Technology, Inc. 50,500 1,108
Pittston Brink's Group 80,851 1,107
- HomeGrocer.com 183,160 1,105
- Hutchinson Technology, Inc. 77,500 1,104
Michael Foods Group, Inc. 45,055 1,104
- Motient Corp. 70,300 1,103
- FirstCom Corp. 73,200 1,103
- Management Network Group Inc. 31,500 1,103
- GoTo.com, Inc. 72,000 1,103
Spartech Corp. 40,800 1,102
AGCO Corp. 89,900 1,101
- AstroPower, Inc. 40,600 1,101
- Presstek, Inc 67,500 1,101
- CEC Entertainment Inc. 42,961 1,101
- Furniture Brands International Inc. 72,700 1,100
MascoTech Inc. 101,685 1,099
- ACTV, Inc. 73,600 1,099
- ORATEC Interventions, Inc. 32,910 1,098
- IntraNet Solutions, Inc. 28,600 1,098
- Collateral Therapeutics, Inc. 43,200 1,096
- MSC Industrial Direct Co., Inc.
Class A 52,300 1,095
- Biopure Corp. 58,200 1,095
- Visual Networks, Inc. 38,400 1,094
Great American Financial
Resources, Inc. 61,778 1,093
Pioneer Standard Electronics Inc. 74,025 1,092
- CUNO Inc. 47,200 1,092
International Bancshares Corp. 33,382 1,089
- Meridian Gold Co. 177,800 1,089
- Chordiant Software, Inc. 65,500 1,089
- FileNet Corp. 59,219 1,088
- CapRock Communications Corp. 55,800 1,088
- Alaska Air Group, Inc. 40,100 1,088
Circle International Group, Inc. 43,200 1,085
Tredegar Corp. 57,100 1,085
- Bluestone Software Inc. 42,200 1,084
- Quorum Health Group, Inc. 105,000 1,083
- Henry Schein, Inc. 62,700 1,082
- Media 100 Inc. 41,989 1,081
- Orbital Sciences Corp. 88,700 1,081
- Sagent Technology, Inc. 75,800 1,080
- Western Digital Corp. 215,600 1,078
First Charter Corp. 68,373 1,077
Bedford Property Investors,
Inc. REIT 58,000 1,077
- Per-Se Technologies, Inc. 114,734 1,076
- Shaw Group, Inc. 22,800 1,074
- NetManage, Inc. 239,757 1,071
- Concurrent Computer Corp. 81,500 1,070
- MAXIMUS, Inc. 48,294 1,069
- Fritz Cos., Inc. 103,500 1,067
MacDermid, Inc. 45,400 1,067
- Xpedior Inc. 77,040 1,064
- Mercury Computer Systems, Inc. 32,800 1,060
- SITEL Corp. 214,600 1,060
EastGroup Properties, Inc. REIT 50,300 1,059
UniSource Energy Corp. 70,500 1,058
- Footstar Inc. 31,800 1,057
- Imperial Bancorp 67,639 1,057
- Vical, Inc. 54,800 1,055
Gaylord Entertainment Co. Class A 49,057 1,055
- Education Management Corp. 58,300 1,053
- Brightpoint, Inc. 121,600 1,053
Coca-Cola Bottling Co. 23,100 1,051
- i3 Mobile, Inc. 57,150 1,050
- Beringer Wine Estates
Holdings, Inc. 29,700 1,049
Bel Fuse, Inc.-Class B 39,200 1,049
Gables Residential Trust REIT 40,600 1,048
- OTG Software, Inc. 36,600 1,045
LandAmerica Financial Group, Inc. 45,550 1,045
- Pixelworks, Inc. 45,900 1,044
- Lifeminders, Inc. 35,300 1,044
- Internet Pictures Corp. 68,938 1,043
- ARIAD Pharmaceuticals, Inc. 78,200 1,041
Advanced Marketing Services 56,450 1,041
- Wave Systems Corp. 65,800 1,040
- Pac-West Telecom, Inc. 51,970 1,039
- BSQUARE Corp. 46,300 1,039
UMB Financial Corp. 31,658 1,039
- IMRglobal Corp. 79,400 1,037
- Guilford Pharmaceuticals, Inc. 68,800 1,036
- Boyd Gaming Corp. 186,300 1,036
- CoorsTek, Inc. 22,500 1,035
- Salton, Inc. 28,050 1,034
Federal-Mogul Corp. 108,042 1,033
- Startek, Inc. 20,500 1,033
- Sylvan Learning Systems, Inc. 75,100 1,033
Manitowac Co., Inc. 38,600 1,033
The Toro Co. 31,300 1,031
- IHOP Corp. 61,500 1,030
- MCSI, Inc. 39,700 1,027
- Playtex Products, Inc. 90,800 1,027
- Insurance Auto Auctions, Inc. 48,600 1,027
- Avanex Corp. 10,750 1,027
Alfa Corp. 58,600 1,026
ChemFirst Inc. 42,500 1,025
- Frontline Capital Group 48,100 1,025
- Nuevo Energy Co. 54,300 1,025
International Multifoods Corp. 59,169 1,024
United Illuminating Co. 23,400 1,024
United Dominion Industries Ltd. 60,085 1,021
Chittenden Corp. 41,753 1,020
- iGATE Capital Corp. 74,200 1,020
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<S> <C> <C>
Energy North, Inc. 17,211 $ 1,020
- Hollywood Casino Corp. 145,600 1,019
Healthcare Realty Trust Inc. REIT 59,700 1,019
Meritor Automotive, Inc. 92,600 1,019
- PriceSmart, Inc. 26,800 1,018
- Wesley Jessen VisionCare, Inc. 27,100 1,018
- Prodigy Communications Corp.
Class A 96,900 1,017
Presidential Life Corp. 73,300 1,017
- American Axle & Manufacturing
Holdings, Inc. 71,600 1,016
- Bright Horizons Family
Solutions, Inc. 47,480 1,015
- MetaCreations Corp. 84,562 1,015
Church & Dwight, Inc. 56,300 1,013
- Delphi Financial Group, Inc. 29,842 1,013
- Spyglass, Inc. 32,300 1,011
- Coulter Pharmaceutical, Inc. 49,300 1,011
- Cysive, Inc. 42,300 1,010
AREA Bancshares Corp. 45,225 1,009
- American Freightways 69,500 1,008
- Radio One, Inc. 34,050 1,007
- Insituform Technologies Class A 37,100 1,006
- JNI Corp. 31,800 1,006
Mid-America Apartment
Communities, Inc. REIT 41,900 1,006
- Quintus Corp. 50,600 1,005
AmerUs Life Holdings, Inc. 48,700 1,004
- Spanish Broadcasting
System, Inc. 48,800 1,003
- Crossroads Systems, Inc. 39,700 1,002
Crawford & Co. Class B 91,100 1,002
- America West Holdings Corp.
Class B 58,500 1,002
Koger Equity, Inc. REIT 59,300 1,001
- Vail Resorts Inc. 61,200 998
- The Dress Barn, Inc. 45,100 998
Superior Industries
International, Inc. 38,719 997
- Jupiter Communications, Inc. 43,300 996
- Ultratech Stepper, Inc. 66,900 995
First Citizens BancShares Class A 16,700 994
- Complete Business Solutions, Inc. 56,444 991
- Viasystems Group, Inc. 61,200 991
- Ask Jeeves, Inc. 54,700 988
- 4 Kids Entertainment Inc. 37,900 988
- Com21, Inc. 39,500 988
Clarcor Inc. 49,600 986
Shurgard Storage Centers, Inc.
Class A REIT 43,800 986
Empire District Electric Co. 44,655 985
- Handleman Co. 78,700 984
Black Hills Corp. 43,600 984
F & M National Corp. 46,835 984
USFreightways Corp. 40,000 983
- World Access, Inc. 88,500 979
UGI Corp. Holding Co. 47,746 979
- ChromaVision Medical
Systems, Inc. 74,100 977
- Kronos, Inc. 37,575 977
- Saga Communications, Inc. 44,393 977
- Duane Reade Inc. 37,900 976
Modine Manufacturing Co. 36,100 975
- DSL.Net, Inc. 94,400 974
John H. Harland Co. 64,900 969
BancFirst Corp. 30,774 969
- Bio-Rad Laboratories, Inc. Class A 38,747 969
RPC Inc. 91,700 969
Granite Construction Co. 39,500 968
Merchants New York
Bancorporation 56,300 968
- Multex.com Inc. 38,400 967
- Wisconsin Central
Transportation Corp. 74,400 967
- Hexcel Corp. 101,700 966
- PETCO Animal Supplies, Inc. 49,230 966
- Zomax Inc. 73,600 966
- Offshore Logistics, Inc. 67,200 966
- Input/Output, Inc. 114,400 965
- NetCreations, Inc. 21,000 962
Florida Rock Industries, Inc. 27,000 962
- BUY.COM, Inc. 191,100 961
- Tesoro Petroleum Corp. 94,900 961
- American Eagle Outfitters, Inc. 68,602 960
Curtiss-Wright Corp. 25,800 959
Rollins, Inc. 64,500 959
Taubman Co. REIT 87,200 959
Commercial Metals Co. 34,866 959
- Algos Pharmaceutical Corp. 62,800 958
- Unique Mobility, Inc. 118,700 957
- BioMarin Pharmaceutical Inc. 56,200 955
- Daleen Technologies, Inc. 61,800 954
- Alexander's, Inc. 13,000 952
- Universal Electronics, Inc. 38,700 951
- Data Broadcasting Corp. 150,456 950
- Trans World Entertainment Corp. 78,300 949
Kennametal, Inc. 44,255 949
Georgia Gulf Corp. 45,582 949
Trustco Bank 75,752 947
- Midway Games Inc. 117,381 946
- Netopia, Inc. 23,500 946
- Exchange Applications, Inc. 35,500 945
- Apria Healthcare 77,080 944
- Yellow Corp. 63,900 943
Horace Mann Educators Corp. 62,800 942
- Cellegy Pharmaceuticals, Inc. 114,100 941
Sovran Self Storage, Inc. REIT 43,900 941
- Allscripts, Inc. 40,900 941
- Ligand Pharmaceuticals Inc.
Class B 71,200 939
Kaydon Corp. 44,700 939
- SeaChange International, Inc. 32,500 938
- Genrad, Inc. 104,211 938
- The Source Information
Management Co. 61,300 935
- AGENCY.COM Ltd. 52,460 934
- UICI 142,300 934
South Jersey Industries, Inc. 34,984 934
The Warnaco Group, Inc. Class A 120,278 932
Town & Country Trust REIT 54,200 932
- Mediaplex, Inc. 48,202 931
- National Information
Consortium, Inc. 81,800 930
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SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Systems & Computer
Technology Corp. 46,500 $ 930
- ADE Corp. 48,600 929
- Terex Corp. 65,800 929
- AppliedTheory Corp. 61,900 929
- Net2Phone, Inc. 26,000 928
Ohio Casualty Corp. 87,312 928
Lincoln Electric Holdings 65,052 927
Primex Technologies, Inc. 42,120 927
JDN Realty Corp. REIT 90,950 927
- Geoworks 58,800 926
- Dal-Tile International Inc. 112,200 926
- Datastream Systems, Inc. 74,000 925
- Objective Systems
Integrators, Inc. 86,500 924
Nationwide Health Properties,
Inc. REIT 66,300 924
- NVR, Inc. 16,200 923
- UCAR International, Inc. 70,600 922
- American Classic Voyager Co. 44,700 922
- US Oncology, Inc. 184,232 921
- Valence Technology 49,900 920
- click2learn.com, inc. 52,200 920
- Young Broadcasting Inc. 35,800 920
- Bone Care International, Inc. 39,000 919
Vector Group Ltd. 62,200 917
- Expedia Inc. 61,860 916
- NeoPharm, Inc. 46,700 916
- eLoyalty Corp. 71,796 915
United National Bancorp 49,808 915
- Cadiz Inc. 114,300 914
Kaman Corp. Class A 85,500 914
- World Wrestling Federation
Entertainment, Inc. 43,900 914
Innkeepers USA Trust REIT 100,100 913
Foster Wheeler Corp. 105,900 913
- Sonosite, Inc. 31,679 913
- Belco Oil & Gas Corp. 107,200 911
- McMoRan Exploration Co. 55,190 911
Pacific Capital Bancorp 36,300 910
- Del Webb Corp. 59,400 910
- Precision Optics Corp. 54,500 909
- Gliatech Inc. 44,900 909
Chesapeake Corp. of Virginia 30,683 909
- Tuesday Morning Corp. 86,400 907
Amcore Financial 49,500 906
Mid-America Bancorp 36,239 906
- Sunglass Hut International, Inc. 110,174 905
- PC-Tel, Inc. 23,800 904
Brenton Banks, Inc. 65,067 903
Penn Engineering &
Manufacturing Corp. 25,600 902
- Acuson Corp. 66,838 902
- Information Resources
Engineering, Inc. 35,700 901
- TALK.com, Inc. 155,025 901
- Pacific Sunwear of California 47,969 899
- Antigenics, Inc. 54,100 899
Public Service Co. of New Mexico 58,220 899
Arnold Industries, Inc. 74,400 897
- Immersion Corp. 29,900 897
- Technology Solutions Co. 144,696 895
R.L.I. Corp. 25,750 895
First Bancorp/Puerto Rico 48,200 895
- Avatar Holding, Inc. 38,900 895
- SkillSoft Corp. 63,300 894
- Communication Intelligence Corp. 199,200 893
Cleveland-Cliffs Iron Co. 34,600 893
Sterling Bancshares, Inc. 82,500 892
- Avid Technology, Inc. 74,200 890
- EMCOR Group, Inc. 38,400 890
- Scott Technologies, Inc. 51,800 890
RFS Hotel Investors, Inc. REIT 75,700 889
- Credit Acceptance Corp. 159,700 888
- Callon Petroleum Co. 59,700 888
Tejon Ranch Co. 39,300 887
- Tanning Technology Corp. 46,000 886
- Total Renal Care Holdings, Inc. 147,394 884
- Troy Group, Inc. 59,400 884
- ITT Educational Services, Inc. 50,300 883
MAF Bancorp, Inc. 48,571 883
- Novavax, Inc. 120,800 883
Boykin Lodging Co. REIT 65,400 883
- Bottomline Technologies, Inc. 25,800 882
Westpoint Stevens, Inc. 79,214 881
- Genlyte Group, Inc. 41,800 880
- Ventiv Health, Inc. 79,133 880
- Manhattan Associates, Inc. 35,200 880
- Frontier Oil Corp. 110,000 880
Reliance Steel & Aluminum Co. 46,000 880
- Loudeye Technologies, Inc. 50,385 879
- Open Market, Inc. 63,600 878
- McAfee.com Corp. 33,700 878
- Conmed Corp. 33,900 877
- ClickAction, Inc. 54,800 877
LaSalle Hotel Properties REIT 60,900 875
- Inforte Corp. 24,305 875
Ryland Group, Inc. 39,500 874
H.B. Fuller Co. 19,150 873
- SurModics, Inc. 33,500 871
Lawson Products, Inc. 35,350 870
- Radiant Systems, Inc. 36,250 870
OceanFirst Financial Corp. 47,100 868
Chemed Corp. 30,800 868
- Genzyme Transgenics Corp. 32,000 868
- School Specialty, Inc. 46,738 868
- Digital Impact, Inc. 61,400 867
- WorldPages.com, Inc. 144,300 866
- Ticketmaster
Online-CitySearch, Inc. 54,300 865
General Cable Corp. 106,500 865
Pope & Talbot, Inc. 54,000 864
- XOMA Ltd. 201,644 863
- ePlus Inc. 32,600 862
- Perrigo Co. 136,400 861
- Autotote Corp. 196,767 861
- Brio Technology, Inc. 40,600 860
- Esterline Technologies Corp. 57,810 860
Kimball International, Inc. Class B 58,100 857
Wabtec Corp. 82,600 857
- ViroPharma Inc. 54,800 856
Applied Industrial Technology, Inc. 52,250 856
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EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Health Care REIT, Inc. 52,600 $ 855
Oneida Ltd. 48,033 853
Texas Industries, Inc. 29,514 852
- ABIOMED, Inc. 27,700 852
Bob Evans Farms, Inc. 57,016 852
Flowserve Corp. 56,494 851
- Factory 2-U Stores Inc. 22,500 851
Fleetwood Enterprises, Inc. 59,700 851
- Cytoclonal Pharmaceutics Inc. 84,000 851
Ametek Aerospace Products Inc. 48,500 849
Barnes Group, Inc. 51,900 847
- PICO Holdings, Inc. 60,145 846
Brown Shoe Company, Inc. 64,906 844
- TenFold Corp. 51,300 843
Arvin Industries, Inc. 48,500 843
- PAREXEL International Corp. 88,100 842
- Amerco, Inc. 42,100 842
- Wesco International, Inc. 88,050 842
- Scios, Inc. 149,668 842
Northwest Bancorp, Inc. 122,400 842
- Collins & Aikman Corp. 162,200 841
- ArthroCare Corp. 15,800 841
Realty Income Corp. REIT 35,700 841
- Syntel, Inc. 83,905 839
- Thermotrex Corp. 75,800 839
- Network Equipment
Technologies, Inc. 83,247 838
- Drexler Technology Corp. 64,411 837
- Net2000 Communications, Inc. 51,090 837
- Clarus Corp. 21,500 836
- eMerge Interactive, Inc. 46,550 835
Brandywine Realty Trust REIT 43,600 834
- Interpore International 86,000 833
Irwin Financial Corp. 57,700 833
- Netcentives Inc. 44,700 833
- North American Scientific, Inc. 46,400 832
- Net.B@nk, Inc. 66,900 832
- Sanchez Computer
Associates, Inc. 35,000 831
IRT Property Co. REIT 97,700 830
- EMS Technologies, Inc. 46,114 830
Seacoast Financial Services Corp. 87,370 830
Lone Star Steakhouse &
Saloon, Inc. 81,963 830
- Theragenics Corp. 96,900 830
- American Italian Pasta Co. 40,100 830
Hancock Holding Co. 24,285 826
Phillips-Van Heusen Corp. 86,893 825
- About.Com, Inc. 26,200 825
Lance, Inc. 91,641 825
- Datum Inc. 36,400 824
- Mechanical Technology Inc. 54,900 824
- Hollywood Entertainment Corp. 104,571 823
Detroit Diesel Corp. 55,822 823
P.H. Glatfelter Co. 80,800 823
Cato Corp. Class A 70,800 823
- MICROS Systems, Inc. 44,252 821
A. Schulman Inc. 68,062 821
Zenith National Insurance Corp. 38,560 819
- Vivus, Inc. 118,100 819
- DVI, Inc. 51,200 819
Saul Centers, Inc. REIT 50,800 819
Advanta Corp. Class A 67,202 819
- Conductus, Inc. 41,400 818
Churchill Downs, Inc. 34,900 816
Essex Property Trust, Inc. REIT 19,400 815
The Trust Co. of New Jersey 44,600 814
- Pivotal Corp. 34,600 813
Omega Financial Corp. 32,200 813
- Regent Communications, Inc. 94,600 813
National Health Investors REIT 73,900 813
- AirTran Holdings, Inc. 195,500 813
- Fairfield Communities, Inc. 103,000 811
Hughes Supply, Inc. 41,061 811
Universal Health Realty
Income REIT 42,800 811
- Boca Resorts, Inc. Class A 82,000 810
- Transaction Systems
Architects, Inc. 47,174 808
CH Energy Group, Inc. 23,800 808
- NetZero Inc. 154,200 805
- BindView Development Corp. 67,000 804
- Be Free, Inc. 89,300 804
- Caldera Systems, Inc. 61,500 803
- Insignia Financial Group, Inc. 80,266 803
- InterWorld Corp. 39,150 803
- CAIS Internet, Inc. 57,000 802
Pennsylvania REIT 46,800 801
- IGEN International, Inc. 48,300 800
Riggs National Corp. 63,300 799
- Checkpoint Systems, Inc. 106,526 799
Longview Fibre Co. 72,170 798
- Rimage Corp. 51,500 798
- Calico Commerce Inc. 49,100 798
- Network Peripherals, Inc. 47,600 797
- Netpliance, Inc. 87,375 797
- Artisan Components, Inc. 73,300 797
- Newgen Results Corp. 48,300 797
Werner Enterprises, Inc. 68,875 796
- Sykes Enterprises, Inc. 61,800 796
- Citizens, Inc. 126,046 796
- Priority Healthcare Corp. Class B 10,700 795
- Medical Assurance, Inc. 70,555 794
Penford Corp. 36,909 794
Cohu, Inc. 29,400 793
Vital Signs, Inc. 43,664 791
- Hotel Reservations Network, Inc. 26,600 791
- Triangle Pharmaceuticals, Inc. 87,200 790
Brush Engineered Materials Inc. 50,500 789
- M.S. Carriers, Inc. 44,700 788
- Artisoft, Inc. 64,900 787
- Arch Communications Group, Inc 121,033 787
F.N.B. Corp. 38,130 786
- Ryan's Family Steak Houses, Inc. 93,200 786
- Cheap Tickets, Inc. 65,500 786
- Ralcorp Holdings, Inc. 64,000 784
- Metro One
Telecommunications, Inc. 62,400 784
- First Federal Financial Corp. 55,450 783
- Digital Generation Systems 115,995 783
- MyPoints.com, Inc. 41,200 781
Flushing Financial Corp. 51,150 780
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-------------------------------------------------------------------------------
<S> <C> <C>
Community Trust Bancorp Inc. 44,087 $ 780
First Federal Capital Corp. 70,400 779
- SCG Holding Corp. 35,600 779
Watts Industries Class A 61,600 778
- Vicinity Corp. 39,500 775
G & K Services, Inc. 30,925 775
Hooper Holmes, Inc. 96,800 774
- Telular Corp. 64,525 774
- Ogden Corp. 85,951 774
- eSPEED, Inc. 17,800 773
- Latitude Communications, Inc. 69,100 773
- Consolidated Products Inc. 85,884 773
- iManage, Inc. 77,700 772
- WorldGate Communications, Inc. 43,400 770
- USDATA Corp., Inc. 86,750 770
Meditrust Corp. 204,869 768
- General DataComm
Industries, Inc. 126,700 768
- Applica Inc. 67,898 768
- Spectrian Corp. 46,200 768
- Applied Analytical Industries, Inc. 80,000 768
Schweitzer-Mauduit
International, Inc. 61,300 766
- STERIS Corp. 86,316 766
- Cambridge Technology Partners 87,800 766
- Cholestech Corp. 100,300 765
- Choice Hotel International, Inc. 76,900 764
- Coinstar, Inc. 75,900 764
- CCC Information Services Group 71,800 763
- Advance Paradigm, Inc. 37,200 763
- Arkansas Best Corp. 76,700 762
- Cognizant Technology
Solutions Corp. 22,906 760
- First Republic Bank 38,100 760
UNITILI Corp. 28,400 758
Baldwin & Lyons, Inc. Class B 44,400 758
Argonaut Group, Inc. 44,219 757
Energen Corp. 34,700 757
- Heartland Express, Inc. 45,300 756
- Saga Systems, Inc. 60,700 755
- Genzyme Molecular Oncology 54,351 754
Rollins Truck Leasing 108,562 753
- Media Metrix, Inc. 29,600 753
Russ Berrie and Co., Inc. 39,100 753
- A.S.V., Inc. 52,300 752
Superior Telecom Inc. 75,616 751
Andover Bancorp, Inc. 26,075 751
- Meta Group, Inc. 39,000 751
- Laser Vision Centers, Inc. 121,200 750
- PETsMART, Inc. 222,000 749
- Jackpot Enterprises, Inc. 59,327 749
- Magnatek 93,600 749
Oshkosh B Gosh, Inc. Class A 45,600 747
- eXcelon Corp. 93,900 745
Republic Security Financial Corp. 148,941 745
Psychemedics, Inc. 143,556 745
Ruddick Corp. 63,000 744
- CardioDynamics
International Corp. 118,400 744
- Interact Commerce Corp. 62,900 743
- Switchboard Inc. 74,245 742
CPI Corp. 35,100 741
- CenterSpan
Communications Corp. 39,500 741
- Charles River Associates Inc. 42,000 740
- Twinlab Corp. 115,900 739
- Hibbett Sporting Goods, Inc. 31,400 738
Regal-Beloit Corp. 46,200 736
- Centra Software, Inc. 77,450 736
Blockbuster Inc. Class A 75,900 735
National Presto Industries, Inc. 23,863 734
- Metrologic Instruments, Inc. 49,300 733
Morgan Keegan, Inc. 49,700 733
- Polo Ralph Lauren Corp. 51,400 732
- Sunbeam Corp. 212,903 732
JLG Industries, Inc. 61,600 732
- Ventas, Inc. REIT 229,465 731
Haven Bancorp, Inc. 39,400 731
- TriPath Imaging, Inc. 118,700 731
- Sequa Corp. Class A 19,100 729
- OfficeMax, Inc. 145,700 729
- Thermo Cardiosystems Inc. 72,750 728
- MSC.Software Corp. 78,000 726
- Osteotech, Inc. 69,150 726
- Martha Stewart Living
Omnimedia, Inc. 33,000 726
Communications Systems, Inc. 47,600 726
- Aftermarket Technology Corp. 85,300 725
Calgon Carbon Corp. 93,300 723
- Hamilton Bancorp, Inc. 41,300 723
- Continental Materials Corp. 43,000 720
Sauer-Danfoss, Inc. 72,900 720
Libbey, Inc. 22,400 720
J.B. Hunt Transport Services, Inc. 46,503 718
Midas Inc. 35,733 715
- Philadelphia Consolidated
Holding Corp. 42,500 715
- Penwest Pharmaceuticals Co. 70,963 714
- Royal Appliance
Manufacturing Co. 125,500 714
The Ackerley Group, Inc. 60,700 713
- Wyndham International, Inc.
Class A 285,290 713
Burlington Coat Factory
Warehouse Corp. 65,900 713
- Crown Central Petroleum Corp.
Class B 78,600 712
- Ultralife Batteries, Inc. 63,300 712
- COMARCO, Inc. 21,900 712
- Centennial Bancorp 81,908 712
- Barnett, Inc. 69,400 711
Republic Bancorp, Inc. 79,348 709
Atmos Energy Corp. 40,500 709
- HA-LO Industries, Inc. 125,700 707
- Value City Department Stores, Inc. 74,400 707
- GenesisIntermedia.com, Inc. 44,000 707
- Convergent Communications, Inc. 88,300 706
- Audiovox Corp. 32,000 706
Alliance Bancorp Inc. 42,942 706
- Koala Corp. 49,900 705
- Steel Dynamics, Inc. 77,500 702
- Global Imaging Systems, Inc. 66,800 701
</TABLE>
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- Repligen Corp. 111,600 $ 701
Tremont Corp. 31,309 701
Tecumseh Products Co. Class A 18,300 699
New England Business
Service, Inc. 43,000 699
Centex Construction Products, Inc. 30,700 697
- MemberWorks, Inc. 20,700 696
- Atrix Laboratories, Inc. 74,234 696
- Blount International, Inc. 90,514 696
Premier National Bancorp, Inc. 53,365 694
- FVC.COM, Inc. 89,500 694
Exide Corp. 86,700 694
- Bell & Howell Co. 28,600 694
- BankUnited Financial Corp. 95,600 693
- Rent-A-Center, Inc. 30,800 693
Capstead Mortage Corp. 82,600 692
Stewart Information
Services Corp. 47,300 692
- Imperial Credit 162,674 691
- Todd Shipyards Corp. 87,600 690
- Telaxis Communications Corp. 22,050 689
Skyline Corp. 32,000 688
First Commonwealth
Financial Corp. 75,800 687
- 4Front Technologies, Inc. 57,000 684
- P-Com, Inc. 120,100 683
Westcorp, Inc. 57,220 683
- Applied Microsystems Corp. 92,000 681
- Internet.com Corp. 34,600 681
- Intraware, Inc. 42,400 681
- bebe stores, inc. 81,300 681
Holly Corp. 57,300 680
- US LEC Corp. Class A 40,000 680
- Jones Lang Lasalle Inc. 50,800 679
- Software Spectrum, Inc. 39,200 679
GenCorp, Inc. 84,800 678
- GRIC Communications, Inc. 37,800 678
- Aspect Medical Systems, Inc. 25,100 678
Manufactured Home
Communities, Inc. REIT 28,300 677
Suffolk Bancorp 25,900 677
M.A. Hanna Co. 74,975 675
- CDI Corp. 33,100 674
- The Middleby Corp. 91,800 673
- Globecomm Systems, Inc. 48,900 672
PMC Capital, Inc. 68,800 671
- EEX Corp. 115,333 670
- Viador, Inc. 42,200 670
Southwest Gas Corp. 38,200 669
Integra Bank Corp. 39,300 668
- LoJack Corp. 96,200 667
Cash America International Inc. 90,310 666
Caraustar Industries, Inc. 44,000 666
Deb Shops, Inc. 53,200 665
- Piercing Pagoda, Inc. 45,850 665
- Orthologic Corp. 134,500 664
- Matria Healthcare, Inc. 144,078 662
- Unify Corp. 77,274 662
- J & J Snack Foods Corp. 37,000 661
- Rainbow Rentals, Inc. 57,800 661
Quanex Corp. 44,400 660
- AVT Corp. 89,500 660
- Horizon Organic Holding Corp. 62,100 660
- Webvan Group Inc. 90,400 658
- Trident Microsystems, Inc. 73,000 657
BSB Bancorp, Inc. 32,744 657
- Kensey Nash Corp. 59,000 656
- SpeedUs.com, Inc. 110,500 656
- Santa Cruz Operation, Inc. 102,800 655
- HotJobs.com Ltd. 47,400 655
- Pharmaceutical Resources, Inc. 124,688 655
- Startec Global
Communications Corp. 61,200 654
- Tristar Corp. 113,000 653
- URS Corp. 46,658 653
- Waste Industries, Inc. 60,750 653
- Orphan Medical, Inc. 67,400 653
- MedQuist, Inc. 19,181 652
- Sharper Image Corp. 52,100 651
- Network Access Solutions Corp. 67,900 649
- NHancement Technologies Inc. 48,700 648
Phillips International Realty
Corp. REIT 37,300 648
Badger Meter, Inc. 25,600 646
- BTG Inc. 79,400 645
- Mortons Restaurant Group 30,000 645
- Alloy Online, Inc. 57,200 644
Anchor Bancorp Wisconsin Inc. 42,000 643
- DAMARK International, Inc. 29,900 643
- Ambassadors International, Inc. 40,700 641
- Kaiser Aluminum &
Chemical Corp. 160,100 640
- The Boyds Collection, Ltd. 75,300 640
- Mesa Air Group Inc. 115,700 640
Bay State Bancorp, Inc. 29,400 639
West Pharmaceutical
Services, Inc. 29,562 639
- Cohesion Technologies, Inc. 54,103 639
Knape & Vogt Manufacturing Co. 41,868 638
Walter Industries, Inc. 55,800 638
- Level 8 Systems Inc. 30,300 638
- Exabyte Corp. 141,800 638
- Concero, Inc. 52,000 637
- STAR Telecommunications, Inc. 251,500 637
The South Financial Group, Inc. 43,900 637
Engineered Support Systems, Inc. 46,250 636
Arch Coal, Inc. 82,600 635
- Micronetics Wireless, Inc. 57,300 634
- Franklin Electronic Publishers, Inc. 71,400 634
- New Focus, Inc. 7,700 632
- National Beverage Corp. 76,640 632
- Albany International Corp. 43,532 631
- Serologicals Corp. 126,200 631
Medford Bancorp, Inc. 44,602 630
- Civic Bancorp 43,733 629
- Ace Cash Express, Inc. 52,850 628
- NBTY, Inc. 98,400 627
- NPC International Class A 69,800 626
Southwestern Energy Co. 100,100 626
- Nortek, Inc. 31,652 625
- Workflow Management, Inc. 52,545 624
- NextCard, Inc. 73,400 624
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-------------------------------------------------------------------------------
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Blair Corp. 33,700 $ 623
HEICO Corp. Class A 50,764 622
- TransMontaigne Inc. 101,500 622
- World Acceptance Corp. 118,400 622
- Evercel, Inc. 45,164 621
Bush Industries, Inc. 38,810 621
- WetSeal, Inc. Class A 47,300 621
- SPS Technologies, Inc. 15,100 620
- U S Liquids Inc. 112,700 620
Pennfed Financial Services, Inc. 43,600 616
- Covance, Inc. 69,860 616
- Republic Bancshares, Inc. 51,300 616
- Interface Systems Inc. 49,200 615
First Bell Bancorp, Inc. 40,200 613
- MCK Communications, Inc. 26,400 611
Geon Co. 33,000 611
- JAKKS Pacific, Inc. 41,350 610
Brookline Bancorp, Inc. 53,275 609
- Mail-Well, Inc. 70,600 609
- MarketWatch.com, Inc. 32,300 608
Banta Corp. 32,025 606
FBL Financial Group, Inc. Class A 38,400 605
Wausau-Mosinee Paper Corp. 70,628 605
- The Children's Place Retail
Stores, Inc. 29,500 605
- NRG Energy, Inc. 33,000 602
- Getty Petroleum Marketing Inc. 141,632 602
- ShopKo Stores, Inc. 39,055 600
- Packard BioScience Co. 35,300 600
Susquehanna Bancshares, Inc. 42,050 599
- Engineering Animation, Inc. 64,100 599
- Oxigene, Inc. 59,861 599
- FirstWorld Communications Inc. 57,000 599
Analogic Corp. 14,900 596
- Advanced Radio Telecom Corp. 40,700 595
Corus Bankshares Inc. 22,500 595
- Prime Hospitality Corp. 63,000 595
Gerber Scientific, Inc. 51,700 595
- Net Perceptions, Inc. 37,400 594
Ampco-Pittsburgh Corp. 53,365 594
Steelcase Inc. 34,900 593
CFS Bancorp, Inc. 64,700 592
- AVANT Immunotherapeutics, Inc 56,000 592
A.M. Castle & Co. 71,125 591
Polymer Group, Inc. 63,900 591
CNA Surety Corp. 49,500 591
- McWorter Technologies Inc. 30,400 591
- UNOVA, Inc. 80,800 591
Arch Chemicals, Inc. 27,000 591
Santander BanCorp 46,320 591
- Mesaba Holdings, Inc. 61,700 590
- Segue Software, Inc. 70,300 589
- Competitive Technologies, Inc. 58,800 588
- Litronic Inc. 66,700 588
Donnelly Corp. 45,212 588
- ITLA Capital Corp. 40,400 586
- Casella Waste Systems, Inc. 54,484 586
- Central Garden and Pet Co. 65,300 586
- Hanover Direct, Inc. 374,676 585
- Andrea Radio Corp. 82,100 585
- Neoforma.com, Inc. 82,800 582
- Applix, Inc. 74,779 580
Flexsteel Industry 47,300 579
Ameron International Corp. 16,200 579
The Stride Rite Corp. 94,300 578
- Candela Corp. 63,200 577
- XETA Technologies Inc. 18,400 574
Standex International Corp. 36,100 573
Pacific Crest Capital Inc. 43,645 573
Coachmen Industries, Inc. 49,800 573
- Thermo Fibertek, Inc. 120,500 572
World Fuel Services Corp. 66,213 571
- eMachines, Inc. 212,030 570
- U.S. Interactive, Inc. 43,995 569
- Goody's Family Clothing 103,400 569
Puerto Rican Cement Co., Inc. 20,400 567
- Z-Tel Technologies, Inc. 47,265 567
- Sequoia Software Corp. 34,600 567
Central Vermont Public
Service Corp. 51,500 567
Inter-Tel, Inc. 35,200 565
- Project Software &
Development, Inc. 31,400 565
Regis Corp. 45,210 565
Ohio Valley Banc Corp. 21,725 565
- Zamba Corp. 102,600 564
AAR Corp. 47,000 564
- Juno Online Services, Inc. 52,400 563
- Benihana Inc. Class A 42,100 563
- Metromedia International
Group, Inc. 118,500 563
- V.I. Technologies, Inc. 80,400 563
- Crestline Capital Corp. 32,965 562
Queens County Bancorp, Inc. 30,497 562
Nature's Sunshine Inc. 80,000 560
Wabash National Corp. 46,900 560
Scope Industries 12,500 559
- Ocwen Financial Corp. 100,400 558
WSFS Financial Corp. 53,500 558
USEC Inc. 120,600 558
- Great Plains Software, Inc. 28,400 557
- InfoCure Corp. 99,038 557
- Travelocity.com Inc. 34,000 557
- kforce.com, Inc. 80,200 556
- SportsLine.com, Inc. 32,600 556
- Cyber-Care, Inc. 55,800 555
Mississippi Valley Bancshares, Inc. 22,900 555
Virco Manufacturing Corp. 42,713 555
- Sunrise Assisted Living, Inc. 30,000 555
- Alcide Corp. 31,700 555
Interface, Inc. 145,100 553
- Computer Horizons Corp. 41,138 553
- Marimba, Inc. 39,600 552
- Paxson Communications Corp. 64,900 552
- Digi International, Inc. 84,850 552
Carpenter Technology Corp. 26,100 551
The Standard Register Co. 38,687 551
Associated Estates Realty
Corp. REIT 78,700 551
- Gaylord Container Corp. 204,700 550
- Landmark Systems Corp. 91,600 550
- International Specialty
Products, Inc. 96,500 549
Intermet Corp. 79,700 548
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<S> <C> <C>
- QRS Corp. 22,300 $ 548
- Billing Concepts Corp. 123,372 547
Aceto Corp. 49,662 546
- Midwest Express Holdings, Inc. 25,400 546
- Integral Systems, Inc. 32,600 546
Wolverine World Wide, Inc. 55,204 545
E.W. Blanch Holdings, Inc. 26,800 544
Harmon Industries, Inc. 41,000 543
- Sunburst Hospitality Corp. 122,166 542
- Danielson Holdings Corp. 111,000 541
MOCON, Inc. 95,962 540
Klamath First Bancorp 45,800 537
Metrowest Bank 97,638 537
SLI, Inc. 44,278 537
- IDX Systems Corp. 37,982 536
Granite State Bankshares, Inc. 35,450 536
- LifeCell Corp. 84,100 536
- Revlon, Inc. Class A 84,800 535
American Woodmark Corp. 26,100 535
- Huttig Building Products, Inc. 129,626 535
- InterVoice-Brite, Inc. 81,474 535
Doral Financial Corp. 46,700 534
- Hoenig Group, Inc. 54,300 533
- 24/7 Media, Inc. 34,100 533
Trenwick Group Inc. 36,523 532
- Alpine Group, Inc. 78,700 531
- MedicaLogic/Medscape, Inc. 57,210 529
ABM Industries 23,000 529
Getty Realty Holding Corp. 48,632 529
- Drugstore.com, Inc. 70,200 529
- Advanced Polymer Systems 139,800 529
- Hector Communications Corp. 40,250 528
Wallace Computer Services, Inc. 53,400 527
Prison Realty Trust, Inc. REIT 172,161 527
NBT Bancorp, Inc. 49,326 527
- Restoration Hardware, Inc. 95,800 527
- I-Link, Inc. 97,400 524
General Binding Corp. 78,200 523
- Vicorp Restaurants, Inc. 28,600 522
- Tyler Technologies, Inc. 203,500 521
- Del Monte Foods Co. 76,500 521
Independent Bank Corp. 46,000 520
St. Francis Capital Corp. 34,400 520
- Park-Ohio Holdings Corp. 60,309 520
- MessageMedia Inc. 148,400 519
Luby's, Inc. 64,900 519
- Mitcham Industries, Inc. 97,700 519
- Aronex Pharmaceuticals, Inc. 169,400 519
Frisch's Restaurants, Inc. 49,334 518
Bairnco Corp. 70,200 518
Liberty Homes, Inc. Class A 84,500 518
- Globe Business Resources, Inc. 39,800 517
- Maxwell Technologies, Inc. 38,300 517
FFY Financial Corp. 47,000 517
- Stamps.Com Inc. 70,400 515
- Gadzoox Networks, Inc. 37,600 515
- Zoltek Cos., Inc. 60,500 514
Oregon Trail Financial Corp. 46,200 514
Apogee Enterprises, Inc. 145,400 513
- net.Genesis Corp. 28,395 513
Simmons First National 22,900 512
- Right Management Consultants 48,700 511
Provident Bankshares Corp. 37,872 511
- Friendly Ice Cream Corp. 100,900 511
NYMAGIC, Inc. 35,800 510
- Elite Information Group, Inc. 73,500 510
Merchants Bancshares, Inc. 25,800 510
- MTI Technology Corp. 63,600 509
- Ivex Packaging Corp. 45,700 508
- Information Resources, Inc. 129,034 508
Oriental Financial Group 35,166 508
Frontier Financial Corp. 27,600 507
CT Communications, Inc. 17,800 506
- Maxxam Inc. 28,500 506
- Water Pik Technologies, Inc. 80,900 506
- Infocrossing, Inc. 26,700 504
- Franklin Covey Co. 72,500 503
- Infogrames, Inc. 61,800 502
HMN Financial, Inc. 45,600 502
BostonFed Bancorp, Inc. 35,500 501
- Eclipsys Corp. 66,800 501
NCH Corp. 13,800 499
Bank of Granite Corp. 21,800 499
Wintrust Financial Corp. 32,300 499
- Nautica Enterprises, Inc. 46,637 498
- BioTime, Inc. 70,500 498
- Previo, Inc. 62,825 495
- Midwest Grain Products 59,450 494
- V-One Corp. 98,800 494
- Genzyme Surgical Products 49,674 494
- Gundle/SLT Environmental, Inc. 131,600 494
- Read Rite Corp. 222,269 493
- Techniclone Corp. 127,000 492
- Chromatics Color Sciences
International, Inc. 100,800 491
Gainsco, Inc. 98,261 491
- Cypress Communications, Inc. 67,700 491
Tecumseh Products Co. Class B 11,900 490
- MPW Industrial Services
Group, Inc. 63,200 490
- Airgas, Inc. 86,000 489
- High Speed Access Corp. 74,500 489
- LCA-Vision, Inc. 200,237 488
People's Bancshares, Inc. 32,000 488
- Chalone Wine Group Ltd. 61,000 488
J. Baker, Inc. 83,909 488
- Labor Ready, Inc. 73,550 487
- InVision Technologies, Inc. 110,800 485
- American Access
Technologies Inc. 78,000 483
Sanderson Farms, Inc. 60,250 482
Urban Shopping Centers,
Inc. REIT 14,300 482
F & M Bancorp 24,356 481
- E-LOAN, Inc. 101,200 481
- RMI.NET, Inc. 156,900 481
- The Gymboree Corp. 160,160 480
- Pacific Gateway Exchange, Inc. 140,900 480
- Key Tronic Corp. 159,900 480
- Consolidated Freightways Corp. 117,950 479
Cascade Bancorp 42,784 479
- CyberSource Corp. 34,600 478
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- Foodarama Supermarkets, Inc. 19,700 $ 476
- Trammell Crow Co. 44,300 476
- Aurora Foods Inc. 119,000 476
L. S. Starrett Co. Class A 27,200 476
- The TriZetto Group, Inc. 29,400 476
- @plan.Inc. 72,500 476
- Dave & Busters 76,860 476
- Mapics Inc. 82,700 476
- KFX, Inc. 181,150 476
Commercial Assets, Inc. 95,100 476
- Interleukin Genetics, Inc. 104,200 475
Timberline Software Corp. 64,933 475
Stewart Enterprises, Inc. Class A 134,400 475
- Hagler Bailly, Inc. 94,800 474
- TBC Corp. 102,375 473
S.Y. Bancorp, Inc. 22,900 472
- GetThere.com, Inc. 44,700 472
- On2.com Inc. 92,000 472
- American Software, Inc. Class A 91,850 471
- SoftNet Systems, Inc. 48,800 470
Progress Financial Corp. 37,941 470
- OneSource Information
Services, Inc. 62,500 469
W Holding Co., Inc. 56,700 468
Maine Public Service Co. 23,200 467
- K2 Inc. 56,145 467
Nashua Corp. 56,400 465
- Radio Unica Corp. 66,400 465
- Voyager.net, Inc. 57,742 462
Myers Industries, Inc. 42,968 462
- Mobius Management
Systems, Inc. 101,200 462
- PTEK Holdings, Inc. 141,500 460
Fremont General Corp. 116,774 460
- Hayes Lemmerz International, Inc. 38,100 460
- E. Gottschalk & Co., Inc. 72,800 460
- ACT Teleconferencing, Inc. 78,900 459
- Bombay Co. 156,062 458
- Lightspan Inc. 83,300 458
- THCG, Inc. 63,500 456
Bowne & Co., Inc. 45,300 456
Konover Property Trust, Inc. REIT 95,900 456
Harris Financial, Inc. 73,400 454
Pilgrim's Pride Corp. 63,700 454
- ThermoLase Corp. 161,300 454
- Activision, Inc. 69,700 453
- Sames Corp. 28,750 453
- Braun Consulting, Inc. 21,400 452
Bassett Furniture Industries, Inc. 35,800 452
- Fresh Del Monte Produce Inc. 65,600 451
- Pegasystems Inc. 90,100 451
- Laser Mortgage
Management, Inc. 117,900 449
- Earthshell Corp. 148,100 449
- PictureTel Corp. 170,800 448
CIRCOR International, Inc. 54,750 448
- Pliant Systems, Inc. 71,200 445
- C-bridge Internet Solutions, Inc. 25,608 445
- Playboy Enterprises, Inc. Class B 34,450 444
- Preview Systems, Inc. 34,040 443
Humphrey Hospitality Trust,
Inc. REIT 55,700 442
Rock-Tenn Co. 51,550 441
- Lexington Global Asset
Managers, Inc. 42,500 441
- QAD Inc. 117,500 441
- Pediatrix Medical Group, Inc. 37,900 441
- Highlands Insurance Group 46,800 439
Warren Bancorp, Inc. 61,400 437
- Liquid Audio, Inc. 46,200 437
Resource Bancshares
Mortgage Group, Inc. 104,400 437
Vesta Insurance Group, Inc. 70,500 436
Community Bank System, Inc. 19,600 435
- Capital Corp. of the West 41,800 434
- Hoover's, Inc. 64,200 433
- Action Performance Cos., Inc. 59,700 433
- M&F Worldwide Corp. 76,800 432
- Ocular Sciences, Inc. 36,600 430
- Florida Banks, Inc. 79,000 430
Central Bancorp, Inc. 27,700 429
Yardville National Bancorp 40,385 429
Texas Regional Bancshares, Inc. 16,900 429
- Telescan, Inc. 58,500 428
- Fatbrain.com Inc. 64,800 427
- Chemical Fabrics Corp. 35,914 426
- First Consulting Group, Inc. 76,442 425
- Berlitz International, Inc. 47,226 425
- CTB International Corp. 62,900 425
- Interneuron Pharmaceutical, Inc. 226,400 425
- Lifeline Systems, Inc. 30,300 424
- TeleSpectrum Worldwide Inc. 92,892 424
- UTStarcom, Inc. 13,950 424
- EarthWeb Inc. 30,200 423
- Garden Fresh Restaurant Corp. 40,500 423
Correctional Properties Trust REIT 40,200 422
- Winfield Capital Corp. 34,400 421
- Fairchild Corp. 86,400 421
- Q-Med, Inc. 52,600 421
Met-Pro Corp. 46,679 420
Jefferson Savings Bancorp, Inc. 38,400 420
The Pep Boys
(Manny, Moe & Jack) 70,000 420
- barnesandnoble.com inc. 64,200 419
- Marketing Specialists Corp. 239,400 419
- American Bank Note
Holographics, Inc. 186,000 419
- Blue Rhino Corp. 51,900 418
- HyperFeed Technologies, Inc. 115,300 418
- Styleclick.com Inc. 41,700 417
Mississippi Chemical Corp. 87,455 415
Amcast Industrial Corp. 47,400 415
National City Bancorporation 28,566 414
- Kaiser Ventures Inc. 29,800 413
- Kellstrom Industries, Inc. 88,800 411
- Perficient, Inc. 29,331 411
- FPIC Insurance Group, Inc. 26,000 408
- Network Commerce Inc. 74,000 407
- Acclaim Entertainment Inc. 283,100 407
- Elcom International, Inc. 59,000 406
- Neff Corp. 106,100 405
- SCC Communications Corp. 59,900 404
BHA Group Holdings Inc. 41,437 404
</TABLE>
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<S> <C> <C>
- A.T. Cross Co. Class A 81,800 $ 404
- Be Inc. 80,500 403
- CSK Auto Corp. 53,138 402
- Gentiva Health Services, Inc. 49,391 401
- Microtouch Systems, Inc. 46,401 400
- Image Entertainment, Inc. 108,400 400
Spartan Motors, Inc. 95,200 399
- Strategic Distribution, Inc. 205,300 398
- Luminant Worldwide Corp. 44,500 398
PVF Capital Corp. 40,239 395
- Chase Industries, Inc. 42,350 394
First Niagra Financial Group, Inc. 42,000 394
Harleysville Group, Inc. 23,500 394
- Microwave Power Devices, Inc. 74,900 393
- Cellstar Corp. 141,005 392
- Audible, Inc. 94,300 392
- NZ Corp. 80,305 391
- PCD, Inc. 50,400 391
- 800-JR CIGAR, Inc. 39,600 391
- Huntco Inc. Class A 145,500 391
- SciQuest.com, Inc. 33,800 387
- The Kroll-O'Gara Co. 57,700 386
- FreeShop.com, Inc. 64,960 386
- Credit Management Solutions, Inc. 64,400 384
- Hollywood.com, Inc. 49,500 384
IMCO Recycling, Inc. 70,500 383
- Acme Electric Corp. 44,000 380
- Digital River, Inc. 49,300 379
National Steel Corp. Class B 90,100 377
WesterFed Financial Corp. 25,853 376
- National R. V. Holdings, Inc. 35,773 376
- Echo Bay Mines Ltd. 374,500 375
- Leapnet, Inc. 119,685 374
- VISTA Information Solutions, Inc. 175,900 374
- Careerbuilder, Inc. 112,400 372
- Trans World Airlines 170,203 372
- Catalytica, Inc. 33,800 372
- Advanced Magnetics, Inc. 60,700 372
- BWC Financial Corp. 19,100 371
- Biospherics, Inc. 73,900 370
- Allou Health & Beauty, Inc. 51,400 369
Birmingham Steel Corp. 95,050 368
HEICO Corp. 25,829 368
- Barrett Business Services, Inc. 62,300 368
- Tweeter Home Entertainment
Group, Inc. 12,100 368
- Res-Care, Inc. 68,200 367
- Columbia Laboratories Inc. 63,600 366
- Penn Octane Corp. 51,300 366
First Mutual Bancshares, Inc. 36,544 365
- Amplidyne, Inc. 112,300 365
CPB, Inc. 14,500 363
- Capital Crossing Bank 35,300 362
- Navigant International, Inc. 37,469 361
- The Buckle, Inc. 30,600 360
- Omega Worldwide, Inc. 99,115 359
United Community Financial Corp. 53,900 359
- America Service Group Inc. 17,500 359
Summit Bancshares, Inc. 20,600 355
LabOne, Inc. 63,100 355
- SONUS Pharmaceuticals, Inc. 101,400 355
- High Plains Corp. 140,997 352
- Commonwealth Telephone
Enterprises Class B 7,400 352
NACCO Industries, Inc. Class A 10,000 351
- Evans & Sutherland
Computer Corp. 55,097 351
- Diversa Corp. 10,600 351
Sterling Bancorp 22,260 351
TransPro Inc. 69,110 350
- NetObjects Inc. 38,300 349
- Beverly Enterprises, Inc. 124,200 349
- Sizzler International 136,050 349
- Monaco Coach Corp. 25,575 348
- HearMe 77,100 347
- Versant Corp. 71,100 347
- OAO Technology Solutions, Inc. 103,620 346
- Heartport Inc. 120,500 346
- Jenny Craig Inc. 100,600 346
The First Years Inc. 31,000 345
- HMT Technology Corp. 224,900 344
Landry's Seafood Restaurants, Inc. 40,500 344
- Sunrise Medical, Inc. 70,500 344
- Insmed Inc. 105,700 344
- ValueClick, Inc. 33,500 343
- Abaxis, Inc. 51,300 343
United Wisconsin Services, Inc. 61,700 341
Abington Bancorp Inc. 37,900 341
- FairMarket, Inc. 48,200 340
Ethyl Corp. 136,104 340
- Protection One, Inc. 155,300 340
LTV Corp. 117,723 338
- SOS Staffing Services, Inc. 110,500 338
- Integrated Circut Syetems, Inc. 19,700 337
- Onyx Acceptance Corp. 71,000 337
- Dataware Technologies, Inc. 72,800 337
- Internet America, Inc. 66,200 335
Chiquita Brands International, Inc. 85,065 335
- Caliber Learning Network, Inc. 82,200 334
Herbalife International Class B 42,400 334
- Beasley Broadcast Group, Inc. 24,400 332
- Samsonite Corp. 73,807 332
Hudson River Bancorp. Inc. 27,900 331
- Vornado Operating Inc. REIT 42,729 331
- Bluegreen Corp. 119,940 330
Computer Task Group, Inc. 65,108 330
- Jan Bell Marketing Inc. 138,600 329
- Loislaw.com, Inc. 38,400 329
- Trimedyne, Inc. 137,800 327
Redwood Empire Bancorp 18,100 326
- Rentrak Corp. 88,000 325
- Information Management
Associates, Inc. 74,100 324
- Modtech Holdings, Inc. 35,879 323
- Personnel Group of America, Inc. 109,896 323
Resource Asset Investment
Trust REIT 29,300 322
- Century Business Services, Inc. 166,300 322
- Cumulus Media Inc. 35,300 322
- Progenics Pharmaceuticals, Inc. 22,600 322
- Questcor Pharmaceuticals, Inc. 171,500 322
- Metretek Technologies, Inc. 47,600 321
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<S> <C> <C>
TransTechnology Corp. 29,200 $ 321
Angelica Corp. 40,100 321
- JLM Industries, Inc. 91,500 320
- Multiple Zones International, Inc. 79,800 319
R & G Financial Corp. Class B 40,200 319
- Canandaigua Brands, Inc. Class B 6,375 319
TF Financial Corp. 23,312 318
BankFirst Corp. 38,500 318
Washington Trust Bancorp, Inc. 21,500 317
Great Southern Bancorp, Inc. 18,200 316
- TheStreet.com, Inc. 54,350 316
- Department 56 Inc. 28,700 316
- Shoney's Inc. 252,400 316
- Viisage Technology, Inc. 107,400 315
Apex Mortgage Capital, Inc. REIT 37,100 315
- US Physical Therapy, Inc. 29,300 315
Titanium Metals Corp. 67,100 315
- Drypers Corp. 201,108 314
- Mediware Information
Systems, Inc. 48,300 314
- Epicor Software Corp. 125,512 314
- Wackenhut Corp. 24,200 313
Omnova Solutions Inc. 50,000 313
- The IT Group, Inc. 64,008 312
- Champion Enterprises, Inc. 63,914 312
- Ideamall, Inc. 64,600 311
- TCSI Corp. 152,829 310
- Kendle International Inc. 39,400 310
- Zonagen, Inc. 94,900 310
- National Techteam, Inc. 87,700 310
- Comfort Systems USA, Inc. 77,400 310
- Vlasic Foods International, Inc. 189,800 308
- Gilman & Ciocia, Inc. 66,500 308
State Financial Services Corp.
Class A 32,100 307
- Sola International Inc. 62,600 305
- Coda Music Technology, Inc. 72,400 304
- Cypress Bioscience, Inc. 152,100 304
- Healthcare Services Group, Inc. 67,514 304
- Sierra Health Services 95,303 304
Cooper Cos., Inc. 8,300 302
- Catalina Lighting, Inc. 63,500 302
Home Bancorp 17,000 300
- INSO Corp. 57,400 298
- J. Jill Group, Inc. 45,700 297
Main Street Bancorp, Inc. 33,182 294
- Komag, Inc. 167,000 292
- Princeton Video Image, Inc. 50,700 292
- ResortQuest International, Inc. 56,700 291
- autobytel.com inc. 46,800 288
- Computron Software, Inc. 107,000 288
U.S.B. Holding Co., Inc. 20,334 287
- CoStar Group, Inc. 11,459 287
- Price Enterprises, Inc. 42,668 287
- Ursus Telecom Corp. 44,100 287
- Colorado MEDtech, Inc. 45,300 286
First of Long Island Corp. 8,350 284
Hancock Fabrics, Inc. 66,900 284
- PJ America Inc. 29,100 284
- Rush Enterprises, Inc. 50,900 283
Landmark Bancshare, Inc. 18,700 283
- Wiser Oil Co. 90,400 283
- Donna Karan International Inc. 44,300 282
Commercial Net Lease Realty REIT 26,700 280
- Boron, LePore & Associates, Inc. 30,100 278
- Global Vacation Group, Inc. 94,700 278
- Aspeon Inc. 56,800 277
- Aviall Inc. 56,000 277
- Caminus Corp. 11,270 276
- En Pointe Technologies, Inc. 31,500 276
- Concur Technologies, Inc. 65,700 275
- Ames Department Stores, Inc. 35,409 274
- Encompass Services Corp. 47,495 273
- Pegasus Solutions Inc. 25,100 273
Ryerson Tull, Inc. 26,277 273
- JWGenesis Financial Corp. 31,116 272
- Universal Stainless & Alloy
Products, Inc. 40,700 272
Marion Capital Holdings 13,100 272
Cavalry Bancorp, Inc. 23,400 271
- OneMain.com, Inc. 24,000 270
First Source Corp. 17,170 269
- Playboy Enterprises Inc. Class A 22,850 268
Penn Engineering &
Manufacturing Corp. Class A 8,300 268
- Enchira Biotechnology Corp. 43,014 266
BMC Industries, Inc. 65,504 266
- William Lyon Homes, Inc. 40,100 266
- Natrol, Inc. 81,700 266
- Integrated Electrical Services,Inc. 51,700 265
- Data Systems & Software, Inc. 56,500 265
- Loews Cineplex
Entertainment Corp. 83,000 265
Guaranty Federal Bancshares, Inc. 26,100 264
- Ariel Corp. 89,900 264
Alabama National BanCorporation 13,300 264
Guilford Mills, Inc. 61,925 263
- WHX Corp. 47,564 262
- Medialink Worldwide, Inc. 37,600 261
Boston Acoustics, Inc. 23,500 259
- iVillage Inc. 30,600 258
- ONI Sytems Corp. 2,200 258
- Metro Information Services, Inc. 25,700 257
- Marvell Technology Group Ltd. 4,500 257
Delhaize America, Inc. Class B 16,668 256
FirstSpartan Financial Corp. 14,800 255
- Matrix Bancorp, Inc. 37,800 255
- Tickets.com, Inc. 74,800 255
- Acceptance Insurance Cos. Inc. 50,900 255
Merchants Group, Inc. 15,100 253
- Able Telcom Holding Corp. 122,400 252
- Stratos Lightwave, Inc. 9,000 251
- Lakes Gaming, Inc. 28,200 250
Peekskill Financial Corp. 11,500 250
- Coeur D'Alene Mines Corp. 102,500 250
- Navigant Consulting, Inc. 58,490 249
- MeriStar Hotels & Resorts,
Inc. REIT 86,200 248
- American Science &
Engineering, Inc. 45,000 248
- ZapMe! Corp. 89,700 247
Omega Healthcare Investors,
Inc. REIT 54,641 246
</TABLE>
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- Seven Seas Petroleum Inc. 206,700 $ 245
- Home Products International Inc. 63,320 245
Lindsay Manufacturing Co. 12,500 245
- Consolidated Graphics, Inc. 26,000 244
- EPIQ Systems, Inc. 22,400 244
Green Mountain Power Corp. 29,307 242
Newmil Bancorp, Inc. 23,900 241
- Keystone Consolidated
Industries, Inc. 63,919 240
- Transworld Healthcare Inc. 119,445 239
- Willis Lease Finance Corp. 38,000 238
- American Dental Partners, Inc. 33,900 237
- Nastech Pharmaceutical Co., Inc. 52,300 237
- CopyTele, Inc. 151,000 236
- Atlantic Coast Airlines
Holdings Inc. 7,400 235
First Essex Bancorp, Inc. 14,600 233
- Nextel Partners, Inc. 7,100 231
Astro-Med, Inc. 41,850 230
- Forcenergy Inc. 11,400 229
Southern Financial Bancorp, Inc. 17,500 228
- Alliance Gaming Corp. 92,928 227
City Holding Co. 38,316 225
- onlinetradinginc.com 43,600 223
- Emcee Broadcast Products, Inc. 47,000 223
- Rainmaker Systems, Inc. 82,500 222
- CDnow Inc. 71,346 221
- Circle.com 59,775 220
Second Bancorp, Inc. 14,400 219
Dimon Inc. 102,850 219
- Peapod, Inc. 71,500 217
- Escalade, Inc. 12,605 216
- Applied Graphics
Technologies, Inc. 50,700 215
- Docucorp International 57,440 215
- BioLase Technology, Inc. 90,600 215
Pacific Gateway Properties Inc. 18,000 215
- 1-800-FLOWERS.COM, Inc. 41,900 215
- Delta Woodside 97,900 214
Golden Enterprises Inc. 69,500 213
- Aztec Technology Partners, Inc. 96,968 212
- Success Bancshares, Inc. 19,500 212
BeautiControl Cosmetics 52,550 212
- Morrison Knudsen Corp. 29,200 212
- Labtec, Inc. 21,600 211
Gold Banc Corp., Inc. 41,900 210
- ZeroPlus.com, Inc. 66,900 209
- Bio-logic Systems, Corp. 34,100 209
- Roy F. Weston, Inc. 67,600 207
- Zila, Inc. 54,300 207
East Texas Financial Services, Inc. 24,000 207
- Autoweb.com, Inc. 97,400 207
HealthPlan Services Corp. 89,500 207
Enesco Group, Inc. 43,500 207
- Intermune Pharmaceuticals 5,000 207
- Pure Resources, Inc. 11,500 206
- Interlogix, Inc. 14,922 205
- Systemax Inc. 52,846 205
- AML Communications, Inc. 68,000 204
- Capstone Turbine Corp. 4,500 203
- JLK Direct Distribution Inc.
Class A 39,300 201
- SEEC, Inc. 45,900 201
- Greka Energy Corp. 21,800 199
Westbanco Inc. 8,200 199
- Egghead.com, Inc. 67,614 199
- HORIZON Pharmacies, Inc. 58,800 198
Harbor Federal Bancorp, Inc. 12,000 198
- Hecla Mining Co. 175,800 198
LSB Bancshares, Inc. 16,100 197
- Food Technology Service, Inc. 54,250 197
- Superior Consultant
Holdings Corp. 41,300 196
California Independent Bancorp 8,706 196
Vulcan International Corp. 5,900 196
- LendingTree, Inc. 26,000 195
United Mobile Homes, Inc. REIT 23,600 195
- Carson Inc. 43,100 194
Heritage Financial Corp. 22,200 193
- Bizznessonline.com, Inc. 36,700 193
- InterDent, Inc. 53,874 192
- MediaBay, Inc. 61,200 191
- Carrington Labs Inc. 88,272 190
- Bio-Plexus, Inc. 75,938 190
PMR Corp. 56,500 187
- Silicon Laboratories Inc. 3,500 186
- Lechters Corp. 143,700 184
- NTN Communications, Inc. 75,300 184
- Acmat Corp. Class A 22,400 183
- Famous Dave's of America, Inc. 41,300 183
- Burlington Industries, Inc. 107,100 181
MFB Corp. 11,000 179
CKE Restaurants Inc. 59,774 179
- Federal Agricultural Mortgage
Corp. Class A 10,400 178
Senior Housing Properties
Trust REIT 22,420 178
BNP Residential Properties, Inc. 21,100 177
- Selectica, Inc. 2,500 175
- Carmike Cinemas, Inc. Class A 45,100 175
- E-Stamp Corp. 93,000 174
- Hawk Corp. Class A 23,000 174
- Sybron Chemicals, Inc. 7,900 173
- Vizacom Inc. 67,092 172
- Raytel Medical Corp. 98,200 172
- 800 Travel Systems, Inc. 85,600 171
- Nobility Homes, Inc. 34,000 170
- Graphic Packaging
International Corp. 79,600 169
Heilig-Meyers Co. 142,418 169
- Niku Corp. 5,000 169
First Bancorp North Carolina 12,150 169
- Phoenix International Ltd., Inc. 55,900 168
- eGames, Inc. 121,800 167
- Terra Industries, Inc. 154,942 165
- GST Telecommunications Inc. 171,600 164
US Bancorp, Inc. 45,700 163
- Quintel Communications, Inc. 53,000 162
- The Pathways Group, Inc. 161,900 162
- Accelerated Networks, Inc. 3,800 160
Nitches Inc. 30,128 160
- Industrial Distribution Group, Inc. 64,000 160
Craftmade International, Inc. 23,400 158
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SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- OnHealth Network Co. 67,800 $ 157
- Display Technologies, Inc. 53,079 156
- Belmont Bancorp. 56,640 156
- U.S. Energy Corp. 61,670 154
CVB Financial Corp. 9,750 154
- Foamex International, Inc. 25,400 154
Independent Bank Corp. 11,305 153
- Budget Group, Inc. 37,100 153
- Minolta-QMS, Inc. 48,617 152
- VIB Corp. 25,259 152
- TSR, Inc. 27,500 151
- Handspring, Inc. 5,600 151
Greater Delaware Valley
Savings Bank 19,300 150
Three Rivers Bancorp, Inc. 22,850 150
- Renaissance Worldwide, Inc. 95,500 149
- Wackenhut Corp. Class B 15,862 149
Urstadt Biddle Properties REIT 21,800 149
- Equivest Finance, Inc. 42,275 148
- HomeBase, Inc. 94,300 147
United Guardian, Inc. 31,800 147
- Hanger Orthopedic Group, Inc. 29,700 147
- Crescent Operating, Inc. REIT 101,680 146
- C2, Inc. 20,000 145
- I-Link Inc. Series N Pfd. 75 145
- Drug Emporium, Inc. 104,930 144
TriCo Bancshares 8,600 142
- E-Z-EM, Inc. Class A 21,800 142
- Hawthorne Financial Corp. 18,200 141
ABC Bancorp 14,600 141
- Obie Media Corp. 17,510 140
Bowl America, Inc. Class A 17,745 140
- Sonic Innovations, Inc. 7,500 139
- ShoLodge, Inc. 39,333 138
- Dynamics Research Corp. 15,800 136
- Fourth Shift Corp. 45,400 136
- Craig Corp. 35,023 136
- The Rottlund Co. 50,300 135
- Towne Services, Inc. 143,800 135
G & L Realty Corp. REIT 18,571 135
- Perini Corp. 38,400 134
- Royal Gold, Inc. 48,300 133
- Community Capital Corp. 21,210 133
- K-tel International, Inc. 61,900 132
- Pinnacle Global Group, Inc. 32,775 131
Liberte Investors, Inc. 40,400 129
- Steinway Musical Instruments Inc. 7,800 129
- Ceres Group, Inc. 21,500 128
- Cardinal Financial Corp. 25,200 128
- ATEC Group, Inc. 60,000 128
- Delta Financial Corp. 77,900 127
- InsWeb Corp. 59,200 126
Pilgrim's Pride Corp. Class A 23,100 126
- Republic First Bancorp, Inc. 27,030 125
- Nematron Corp. 63,000 124
- Strouds, Inc. 69,100 123
- Agritope, Inc. 19,220 123
- Universal Access, Inc. 5,000 123
Imperial Sugar Co. 93,302 122
- Paul-Son Gaming Corp. 35,500 122
- Women.com Networks, Inc. 58,800 121
- Capital Trust Class A 30,300 121
- Lason Holdings, Inc. 48,437 121
- Merisel, Inc. 161,310 121
- Official Payments Corp. 27,900 120
Kentucky First Bancorp, Inc. 11,600 118
- Ashford.com, Inc. 41,100 118
Peoples Holding Co. 5,900 118
- Simula, Inc. 58,900 118
Harrodsburg First Financial
Bancorp 9,800 118
- American Wagering, Inc. 38,700 116
Pillowtex Designs 27,111 115
Prime Retail, Inc. REIT 91,700 115
- Gallery of History, Inc. 25,900 113
- AHT Corporation 56,500 113
- Virbac Corp. 31,110 113
Reliance Group Holdings 150,114 113
DeWolfe Companies, Inc. 15,500 112
- Peerless Systems Corp. 57,500 111
Public Storage, Inc. REIT-
Depositary Shares A 5,356 111
- Cellular Technical Services 13,565 110
- Metal Management, Inc. 94,800 110
- The Right Start, Inc. 23,900 109
- Mansur Industries, Inc. 40,500 109
- Florsheim Group Inc. 55,315 107
- US SEARCH.com Inc. 53,300 107
- Aquila Biopharmaceuticals, Inc. 35,620 105
- American Aircarriers Support, Inc. 27,900 105
Commercial Bank of New York 8,900 105
- Mail.Com, Inc. 18,385 105
- Newcor, Inc. 43,880 104
- Ohio Art Co. 14,800 104
Peoples BancTrust Co., Inc. 9,000 104
- Bank Plus Corp. 34,100 103
Oregon Steel Mills, Inc. 53,100 103
- BioSpecifics Technology 40,800 102
- PlanetRx.com, Inc. 66,900 100
- Charles River Laboratories, Inc. 4,500 100
- Webhire, Inc. 24,900 99
- Ampex Corp. Class A 57,800 98
- Darling International, Inc. 77,900 97
Big Foot Financial Corp. 8,800 97
- Alterra Healthcare Corp. 48,600 97
Peoples Bancorp of
North Carolina 7,271 97
First M&F Corp. 4,653 96
- Fresh America Corp. 44,700 95
- Eagle Food 91,800 95
- IGI, Inc. 68,500 94
- MAI Systems Corp. 150,575 94
- Central Financial
Acceptance Corp. 22,900 93
- Manufacturers' Services Limited 4,500 93
- Advanced Nutraceuticals, Inc. 44,900 90
- Clean Harbors Inc. 43,500 90
- Natural Alternatives
International, Inc. 49,500 90
- Uniroyal Technology Corp. 8,000 89
Oakwood Homes Corp. 48,500 88
- Play By Play Toys & Novelties, Inc. 52,000 88
</TABLE>
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EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Response Oncology, Inc. 96,603 $ 88
German American Bancorp 5,990 87
- Promotions.com, Inc. 17,300 87
- Wavo Corp. 115,100 86
- VCampus Corp. 9,800 86
- Tor Minerals International, Inc. 40,700 85
- The Sports Authority, Inc. 74,200 83
- Monarch Dental Corp. 25,000 83
Timberland Bancorp, Inc. 7,600 82
- Magellan Health Services, Inc. 65,700 82
- Brass Eagle Inc. 16,400 82
- Paging Network, Inc. 113,300 81
- Virage, Inc. 4,500 81
Horizon Financial Corp. 9,000 81
Avado Brands, Inc. 53,976 81
- National Record Mart, Inc. 53,000 80
- Isignia Systems, Inc. 11,200 78
- quepasa.com, inc. 48,200 78
- Party City Corp. 28,800 78
Arch Communications Group, Inc.
Warrants Exp. 9/1/2001 82,832 78
- JFAX.COM, Inc. 48,300 77
- Beyond.com Corp. 57,100 77
- Analytical Surveys, Inc. 24,700 76
- GalaGen Inc. 39,200 76
- UniCapital Corp. 151,200 76
West Coast Bancorp 7,440 74
- BigStar Entertainment, Inc. 69,900 74
- SafeScience, Inc. 14,100 74
- Consumer Portfolio Services, Inc. 71,600 74
- Netsmart Technologies, Inc. 14,133 73
- eCollege.com Inc. 16,600 73
- Coram Healthcare Corp. 199,929 72
- Socrates Technologies Corp. 110,100 72
- Profile Technologies, Inc. 29,500 71
- ImproveNet, Inc. 28,000 70
- Universal American
Financial Corp. 17,500 70
- CRIIMI MAE, Inc. REIT 50,351 69
- Fresh Foods Inc. 27,600 69
- Crown Media Holdings, Inc. 4,500 69
Frontier Insurance Group, Inc. 91,850 69
- 360networks Inc. 4,500 69
- VitalCom Inc. 42,200 69
Crown Crafts, Inc. 56,740 67
Acadia Realty Trust REIT 11,800 67
Unity Bancorp, Inc. 17,225 67
- Mossimo, Inc. 84,800 66
Allied Products Corp. 42,101 66
America First Mortgage
Investments, Inc. REIT 13,100 66
- Adams Golf, Inc. 47,100 65
- Dunn Computer Corp. 33,200 64
- Audio Visual Services Corp. 90,900 62
- Hauser, Inc. 34,800 61
- Schick Technologies, Inc. 40,000 60
- Waterlink, Inc. 23,900 60
- E Com Ventures, Inc. 23,200 59
- National Bancshares Corp.
of Texas 4,300 59
FNB Financial Services Corp. 4,400 57
- Research Partners
International, Inc. 35,100 57
- Glacier Water Services, Inc. 4,800 57
- Quokka Sports, Inc. 6,800 55
- iPrint.com, Inc. 11,100 54
- Value America, Inc. 49,700 54
- Lifeway Foods, Inc. 8,000 54
- Horizon Medical Products, Inc. 28,200 53
- MIPS Technologies, Inc. 1,241 53
- Technisource, Inc. 13,600 53
- theglobe.com, inc. 30,600 53
Carolina Southern Bank 4,255 52
- Click Commerce, Inc. 2,300 52
- H.T.E., Inc. 39,300 52
Wainwright Bank & Trust Co. 7,000 51
- audiohighway.com 22,100 50
- Creditrust Corp. 37,300 49
- Medtox Scientific, Inc. 4,720 47
- Technical Communications Corp. 14,000 46
GSB Financial Corp. 2,800 46
- Outlook Group Corp. 8,000 46
- Gartner Group, Inc. Class B 4,600 45
- Capital Title Group, Inc. 32,300 45
- Avenue A, Inc. 5,000 44
Ecology and Environment, Inc. 6,925 43
- Onvia.com, Inc. 5,000 43
- DemandStar.com, Inc. 38,500 41
- PhyCor, Inc. 64,825 41
- Shoe Pavilion, Inc. 21,100 40
- Sun Community Bancorp, Ltd. 3,800 39
- LINC Capital, Inc. 56,300 39
- Worldtex Inc. 111,944 38
- Checkers Drive-In
Restaurants, Inc. 8,700 38
- Miller Exploration Co. 26,600 38
- Elan Corp. Contingent Value Rights 73,339 37
- Fogdog, Inc. 28,300 36
Herbalife International Class A 4,100 36
- Astronics Corp. 3,800 35
- Pets.com 15,400 35
- International Microcomputer
Software, Inc. 42,500 34
- The TesseracT Group, Inc. 85,700 33
- Allied Devices Corp. 11,200 33
- Ecogen, Inc. 32,940 33
- EA Engineering Sciences and
Technology Inc. 41,700 33
- Medical Dynamics, Inc. 63,700 32
- Hotelworks.com Inc. 84,800 32
- Barnwell Industries, Inc. 2,000 32
Eastern Virginia Bankshares, Inc. 2,100 32
- Oriole Homes Corp. Class B 19,300 31
- Accelr8 Technology Corp. 52,400 31
FNB Corp. 3,100 31
- Amresco, Inc. 54,400 31
- Advantage Marketing
Systems, Inc. 6,600 30
- Contour Energy Co. 14,800 30
- Kevco, Inc. 21,000 30
</TABLE>
26
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Applied Biometrics, Inc. 11,900 $ 28
- Interstate Hotels Corp. REIT 9,509 28
- Gold Reserve Inc. Class A 40,100 28
- Navarre Corp. 20,300 27
- SCB Computer Technology, Inc. 12,400 26
- AMF Bowling, Inc. 130,401 24
- Sunbeam Corp. Warrants
Exp. 8/24/2003 35,538 24
- President Casinos 26,213 24
- ARTISTdirect, Inc. 7,500 23
- Popmail.com, Inc. 23,100 23
J.M. Smucker Co. Class B 1,200 23
- CD Warehouse, Inc. 13,800 22
- Little Switzerland, Inc. 55,000 22
- Female Health Co. 37,600 22
- American Coin
Merchandising, Inc. 8,800 22
- Safeguard Health
Enterprises, Inc. 33,565 22
- Safety-Kleen Corp. 295,625 21
First Federal Bancorp, Inc. 3,300 20
- ICH Corp. 3,520 19
- Barrister Information
Systems Corp. 18,000 19
- Mark Solutions, Inc. 16,000 19
- Bel Fuse, Inc.-Class A 700 19
- GSV, Inc. 50,000 19
- Davel Communications, Inc. 54,300 19
- Sunterra Corp. 62,450 18
- National Research Corp. 3,400 17
- Einstein/Noah Bagel Corp. 180,700 17
Mystic Financial, Inc. 1,400 17
- Egreetings Network, Inc. 11,700 16
- Epimmune Inc. 2,300 15
Reader's Digest Assn., Inc. Class B 400 15
- Merry Land Properties, Inc. REIT 2,750 14
- Stage Stores, Inc. 93,500 14
Bandag, Inc. Class A 600 14
First Southern Bancshares 1,600 14
- Musicmaker.com, Inc. 7,000 14
- Aames Financial Corp. 15,420 13
- Central European
Distribution Corp. 3,000 13
Hubbell Inc. Class A 500 13
- Genesis Health Ventures Inc. 71,650 13
- Dispatch Management
Services Corp. 9,500 12
- United Road Services, Inc. 3,920 12
- Streamline.com, Inc. 4,000 12
- Registry Magic, Inc. 4,900 11
- Horizon Group Properties,
Inc. REIT 3,415 11
- U.S. Office Products Co. 29,011 11
- Inacom Corp. 180,600 11
- Hudson Technology, Inc. 5,600 11
- The Plastic Surgery Co. 3,700 10
First Midwest Financial, Inc. 1,050 10
- Family Golf Centers, Inc. 39,200 9
- Focus Affiliates, Inc. 7,800 9
- CRIIMI MAE, Inc. 12% Series F
Cvt. Pfd. 1,527 8
- Landec Corp. 1,500 8
- Mobile America Corp. 3,400 7
- Starmet Corp. 3,200 7
L. S. Starrett Co. Class B 400 7
- Williams Controls, Inc. 3,700 7
- Gradco Systems, Inc. 4,000 7
- MCM Capital Group, Inc. 8,000 7
- Donnkenny, Inc. 8,650 6
- The Knot, Inc. 1,500 6
- OMNI Energy Services Corp. 7,400 6
- CoActive Marketing Group, Inc. 2,000 5
- Let's Talk Cellular & Wireless, Inc. 30,000 5
- SMC Corp. 1,400 4
- ProcureNet, Inc. 21,000 3
- Matthews Studio
Equipment Group 69,900 3
- WPI Group, Inc. 1,500 2
- Santa Barbara Restaurant Group 2,300 2
- Decora Industries, Inc. 4,800 2
- Continucare Corp. 3,000 2
- Heartland Technology, Inc 2,300 2
- Styling Technology Corp. 3,200 2
- Filene's Basement Corp. 135,650 1
- The Banc Stock Group, Inc. 1,000 1
- System Software Associates, Inc. 30,612 1
- Prolong International Corp. 2,500 1
- Paracelsus Healthcare Corp. 15,000 1
- American Homestar Corp. 630 1
-------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $4,841,523) 5,984,532
-------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (7.6%)(1)
-------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 6.22%, 8/17/2000 $ 1,000 992
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 6.17%, 7/20/2000 3,000 2,991
(2) 6.49%, 8/3/2000 2,000 1,988
(2) 6.56%, 8/10/2000 2,000 1,986
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000--Note G 352,682 352,682
6.71%, 7/3/2000 102,833 102,833
-------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $463,472) 463,472
-------------------------------------------------------------------------------
TOTAL INVESTMENTS (105.8%)
(COST $5,304,995) 6,448,004
-------------------------------------------------------------------------------
</TABLE>
27
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND (000)
-------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-5.8%)
-------------------------------------------------------------------------------
Other Assets--Note B $ 87,349
Security Lending Collateral Payable to
Brokers--Note G (352,682)
Other Liabilities (85,743)
----------
(351,076)
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
NET ASSETS (100%) $6,096,928
===============================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
(1) The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment
positions represent 100.0% and 5.8%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2) Securities with an aggregate value of $7,957,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C>
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-------------------------------------------------------------------------------
Paid in Capital $4,550,814
Undistributed Net Investment Income 22,611
Accumulated Net Realized Gains 382,181
Unrealized Appreciation (Depreciation)--
Note F
Investment Securities 1,143,009
Futures Contracts (1,687)
-------------------------------------------------------------------------------
NET ASSETS $6,096,928
===============================================================================
Investor Shares--Net Assets
Applicable to 138,967,435 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $5,028,024
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $36.18
===============================================================================
Institutional Shares--Net Assets
Applicable to 29,510,427 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,068,904
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $36.22
===============================================================================
</TABLE>
28
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<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (99.4%)(1)
-------------------------------------------------------------------------------
- Vitesse Semiconductor Corp. 246,800 $ 18,155
- Univision Communications Inc. 136,300 14,107
Dynegy, Inc. 201,900 13,792
- Millennium Pharmaceuticals, Inc. 121,100 13,548
- Jabil Circuit, Inc. 251,800 12,496
- Sepracor Inc. 96,500 11,640
- Forest Laboratories, Inc. 112,100 11,322
Stryker Corp. 258,600 11,314
- Chiron Corp. 237,800 11,296
- Calpine Corp. 169,300 11,131
- Intuit, Inc. 267,000 11,047
- Rational Software Corp. 117,500 10,920
- Atmel Corp. 293,600 10,827
- Waters Corp. 84,000 10,484
Symbol Technologies, Inc. 181,375 9,794
- IVAX Corp. 206,950 8,588
Cintas Corp. 221,650 8,132
Telephone & Data Systems, Inc. 80,300 8,050
- Nabors Industries, Inc. 193,300 8,034
- SCI Systems, Inc. 192,300 7,536
- Integrated Device Technology Inc. 123,800 7,413
BroadWing Inc. 282,772 7,334
- Concord EFS, Inc. 281,100 7,309
- Noble Drilling Corp. 177,400 7,307
- CDW Computer Centers, Inc. 115,100 7,194
- Fiserv, Inc. 162,650 7,035
- Vishay Intertechnology, Inc. 182,527 6,925
- IDEC Pharmaceuticals Corp. 58,800 6,898
- BJ Services Co. 110,100 6,881
- Robert Half International, Inc. 235,800 6,720
- Cypress Semiconductor Corp. 158,200 6,684
- Genzyme Corp. 112,300 6,675
- Cadence Design Systems, Inc. 326,200 6,646
- Global Marine, Inc. 232,500 6,554
ENSCO International, Inc. 182,600 6,539
Devon Energy Corp. 114,568 6,437
- Burr-Brown Corp. 74,200 6,432
- QLogic Corp. 97,300 6,428
- E*TRADE Group, Inc. 386,245 6,373
- DST Systems, Inc. 83,300 6,341
- Macromedia, Inc. 65,300 6,314
Reliastar Financial Corp. 118,530 6,215
- Electronic Arts Inc. 85,100 6,207
Washington Post Co. Class B 12,670 6,056
- Microchip Technology, Inc. 103,500 6,030
Marshall & Ilsley Corp. 138,100 5,731
- Weatherford International, Inc. 143,695 5,721
Reader's Digest Assn., Inc.
Class A 139,400 5,541
KeySpan Corp. 177,300 5,452
- SunGard Data Systems, Inc. 174,200 5,400
- Dollar Tree Stores, Inc. 136,100 5,384
- NVIDIA Corp. 82,400 5,238
Kinder Morgan, Inc. 151,200 5,226
Zions Bancorp 113,500 5,209
- Westwood One, Inc. 148,700 5,074
AMBAC Financial Group Inc. 92,500 5,070
- SPX Corp. 41,700 5,043
- MiniMed, Inc. 42,100 4,968
Montana Power Co. 139,800 4,937
- Park Place Entertainment 402,500 4,905
- Smith International, Inc. 66,800 4,864
- TriQuint Semiconductor, Inc. 50,800 4,861
- Micrel, Inc. 111,200 4,830
- Hispanic Broadcasting Corp. 144,100 4,773
A.G. Edwards & Sons, Inc. 118,100 4,606
Comdisco, Inc. 201,700 4,500
Family Dollar Stores, Inc. 226,700 4,435
Consolidated Papers 120,800 4,417
- Polycom, Inc. 46,800 4,404
- Health Management Associates
Class A 330,300 4,315
Northeast Utilities 196,800 4,280
- Symantec Corp. 78,700 4,245
- Quest Diagnostics, Inc. 58,800 4,208
- Quanta Services, Inc. 76,500 4,208
- Gilead Sciences, Inc. 59,000 4,196
Legg Mason Inc. 83,200 4,160
- TranSwitch Corp. 53,300 4,114
Hannaford Brothers Co. 57,200 4,111
LG&E Energy Corp. 171,800 4,102
Allegheny Energy, Inc. 146,300 4,005
- Arrow Electronics, Inc. 127,900 3,965
- CheckFree Holdings Corp. 76,700 3,955
Potomac Electric Power Co. 157,000 3,925
- CSG Systems International, Inc. 69,100 3,874
DPL Inc. 175,113 3,842
R.J. Reynolds Tobacco
Holdings, Inc. 137,000 3,827
- American Standard Cos., Inc. 93,000 3,813
- Network Associates, Inc. 183,800 3,745
Allmerica Financial Corp. 71,100 3,724
- Jones Apparel Group, Inc. 156,918 3,688
- Grant Prideco, Inc. 143,695 3,592
- Powerwave Technologies, Inc. 81,200 3,573
- MarchFirst, Inc. 194,600 3,551
DQE Inc. 89,700 3,549
Murphy Oil Corp. 59,600 3,542
First Security Corp. 260,200 3,529
North Fork Bancorp, Inc. 230,200 3,482
Avnet, Inc. 58,400 3,460
- Incyte Genomics, Inc. 42,100 3,460
Viad Corp. 124,200 3,384
SCANA Corp. 138,799 3,349
TECO Energy, Inc. 166,000 3,330
- Semtech Corp. 43,200 3,304
- Sawtek Inc. 56,300 3,241
American Water Works Co., Inc. 129,600 3,240
Manpower Inc. 100,600 3,219
- BJ's Wholesale Club, Inc. 97,500 3,218
- Synopsys, Inc. 92,900 3,211
Wisconsin Energy Corp. 159,600 3,162
Hormel Foods Corp. 187,500 3,152
- Ocean Energy, Inc. 222,000 3,150
Energy East Corp. 164,200 3,130
- Acxiom Corp. 114,800 3,128
Mylan Laboratories, Inc. 171,300 3,126
- Express Scripts 50,200 3,119
- Adtran, Inc. 51,200 3,066
- Chris-Craft Industries, Inc. 46,266 3,056
- Outback Steakhouse 103,400 3,024
NSTAR 74,200 3,019
Bowater Inc. 68,300 3,014
</TABLE>
29
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Tech Data Corp. 69,100 $ 3,010
- The Titan Corp. 67,200 3,007
Harris Corp. 91,700 3,003
NiSource, Inc. 160,500 2,989
Banknorth Group, Inc. 195,200 2,989
McCormick & Co., Inc. 91,100 2,961
ICN Pharmaceuticals, Inc. 105,200 2,926
International Speedway Corp. 70,400 2,913
- Hanover Compressor Co. 76,500 2,907
Tidewater Inc. 80,200 2,887
First Tennessee National Corp. 172,300 2,854
Ultramar Diamond
Shamrock Corp. 115,000 2,853
- Varco International, Inc. 121,272 2,820
- Pacificare Health Systems, Inc. 46,600 2,805
- Apollo Group, Inc. Class A 99,600 2,789
The PMI Group Inc. 58,450 2,776
C.H. Robinson Worldwide, Inc. 56,070 2,775
- CommScope, Inc. 67,600 2,772
- Valassis Communications, Inc. 72,500 2,764
- Informix Corp. 371,200 2,761
Noble Affiliates, Inc. 73,900 2,753
TCF Financial Corp. 107,100 2,751
- Santa Fe Snyder Corp. 241,500 2,747
- Sybron International Corp. 138,600 2,746
Southdown, Inc. 47,536 2,745
- Sybase, Inc. 118,800 2,732
Compass Bancshares Inc. 159,900 2,728
A. H. Belo Corp. Class A 157,400 2,725
Alliant Energy Corp. 104,600 2,720
Sonoco Products Co. 131,700 2,708
Herman Miller, Inc. 104,200 2,696
Mercantile Bankshares Corp. 90,200 2,689
Unitrin, Inc. 91,500 2,688
Flowers Industries, Inc. 132,400 2,640
Diebold, Inc. 94,300 2,629
Tyson Foods, Inc. 298,600 2,613
Lyondell Chemical Co. 155,700 2,608
Hillenbrand Industries, Inc. 83,100 2,602
Old Republic International Corp. 157,100 2,592
- Oxford Health Plan 108,800 2,591
- Trigon Healthcare, Inc. 49,900 2,573
- Nova Corp. (Georgia) 92,056 2,572
Green Point Financial Corp. 136,700 2,563
Fastenal Co. 50,300 2,546
- Litton Industries, Inc. 60,300 2,533
- International Game Technology 95,542 2,532
National Fuel Gas Co. 51,900 2,530
- Brinker International, Inc. 86,500 2,530
Galileo International, Inc. 121,000 2,526
Martin Marietta Materials, Inc. 62,000 2,507
FirstMerit Corp. 117,000 2,501
- L-3 Communications Holdings, Inc. 43,600 2,488
UtiliCorp United, Inc. 123,950 2,464
Helmerich & Payne, Inc. 65,829 2,460
- Devry, Inc. 92,200 2,438
- Energizer Holdings, Inc.-W/I 133,200 2,431
- Williams Sonoma, Inc. 74,800 2,426
MCN Energy Group Inc. 113,500 2,426
Cabot Corp. 88,700 2,417
Puget Sound Energy Inc. 112,900 2,406
- Mandalay Resort Group 120,100 2,402
- Premier Parks Inc. 104,200 2,371
Valero Energy Corp. 74,200 2,356
Dime Bancorp, Inc. 147,900 2,329
The Timber Co. 106,800 2,310
Hibernia Corp. Class A 211,547 2,301
National Community Bancorp 143,100 2,299
IPALCO Enterprises, Inc. 113,500 2,284
Pentair, Inc. 64,300 2,283
Beckman Coulter, Inc. 39,100 2,282
Protective Life Corp. 85,400 2,274
Harte-Hanks, Inc. 90,500 2,263
- VISIX Inc. 80,400 2,256
City National Corp. 62,900 2,233
Whitman Corp. 180,400 2,232
First Virginia Banks, Inc. 62,800 2,186
- Affiliated Computer Services,
Inc. Class A 65,500 2,166
IBP, Inc. 140,200 2,164
GATX Corp. 63,100 2,145
Shaw Industries, Inc. 170,800 2,135
DENTSPLY International Inc. 68,800 2,120
Hubbell Inc. Class B 82,800 2,111
- Foundation Health Systems
Class A 162,200 2,109
Sovereign Bancorp, Inc. 299,444 2,105
- Antec Corp. 49,900 2,074
- First Health Group Corp. 63,200 2,074
- Quantum Corp.-DLT &
Storage Systems 213,000 2,063
Questar Corp. 105,900 2,052
- Keane, Inc. 92,800 2,007
Ross Stores, Inc. 117,500 2,005
Everest Re Group, Ltd. 60,800 1,999
Associated Banc-Corp. 91,615 1,998
- Saks Inc. 189,622 1,991
Solutia, Inc. 144,600 1,988
IMC Global Inc. 151,900 1,975
Houghton Mifflin Co. 41,800 1,952
- Barnes & Noble, Inc. 86,800 1,931
American Financial Group, Inc. 77,700 1,928
Valspar Corp. 56,700 1,914
OGE Energy Corp. 103,300 1,911
CCB Financial Corp. 51,500 1,906
USG Corp. 62,100 1,886
Blyth, Inc. 63,800 1,882
- Suiza Foods Corp. 38,500 1,882
HON Industries, Inc. 79,800 1,875
Teleflex Inc. 50,500 1,872
Conectiv, Inc. 119,675 1,862
Crompton Corp. 151,853 1,860
Reynolds & Reynolds Class A 101,600 1,854
Kansas City Power & Light Co. 81,900 1,843
Wilmington Trust Corp. 42,800 1,830
Carlisle Co., Inc. 40,100 1,805
- Lear Corp. 87,700 1,754
Astoria Financial Corp. 68,100 1,754
- Lincare Holdings, Inc. 70,600 1,739
- Legato Systems, Inc. 114,700 1,735
Minnesota Power, Inc. 98,200 1,700
- Pioneer Natural Resources Co. 132,100 1,684
- ACNielson Corp. 76,500 1,683
Waddell & Reed Financial, Inc. 51,200 1,680
</TABLE>
30
<PAGE> 145
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Waddell & Reed Financial, Inc.
Class B 57,600 $ 1,674
- Mentor Graphics Corp. 83,900 1,668
Callaway Golf Co. 101,900 1,662
COMSAT Corp. 70,636 1,660
- Abercrombie & Fitch Co. 135,300 1,649
- Investment Technology Group, Inc. 41,100 1,623
- Sensormatic Electronics Corp. 102,200 1,616
IDACORP, Inc. 49,900 1,609
- Borders Group, Inc. 103,100 1,604
Media General, Inc. Class A 32,600 1,583
- Payless ShoeSource, Inc. 30,088 1,570
Webster Financial Corp. 70,500 1,564
- Mohawk Industries, Inc. 71,900 1,564
Pacific Century Financial Corp. 105,300 1,540
Provident Financial Group, Inc. 64,400 1,534
Dean Foods Corp. 47,600 1,508
Newport News Shipbuilding Inc. 41,000 1,507
Lubrizol Corp. 71,200 1,495
Washington Gas Light Corp. 61,600 1,482
Precision Castparts Corp. 32,600 1,475
- Edwards Lifesciences Corp. 77,000 1,473
Dexter Corp. 30,600 1,469
CNF Transportation, Inc. 64,400 1,465
Clayton Homes Inc. 182,900 1,463
- Storage Technology Corp. 133,500 1,460
RPM Inc. (Ohio) 139,500 1,412
Hawaiian Electric Industries Inc. 42,800 1,404
Vectren Corp. 81,196 1,401
- Cirrus Logic 87,200 1,395
- Imation Corp. 47,300 1,389
Keystone Financial, Inc. 65,000 1,381
- Scholastic Corp. 22,400 1,369
Sotheby's Holdings Class A 78,000 1,365
Lee Enterprises, Inc. 58,500 1,364
- Cytec Industries, Inc. 54,800 1,353
Harsco Corp. 52,900 1,349
- Lands' End, Inc. 39,900 1,332
York International Corp. 50,400 1,317
Claire's Stores, Inc. 67,900 1,307
Sierra Pacific Resources 103,932 1,306
Dial Corp. 125,600 1,303
Rayonier Inc. 36,200 1,299
- Apex Inc. 29,200 1,278
CMP Group Inc. 43,000 1,260
Minerals Technologies, Inc. 27,400 1,260
WestAmerica Bancorporation 48,000 1,254
Pennzoil-Quaker State Co. 103,894 1,253
BorgWarner, Inc. 35,100 1,233
Airborne Freight Corp. 65,000 1,231
Mark IV Industries, Inc. 58,700 1,225
Interstate Bakeries Corp. 87,500 1,225
Universal Foods Corp. 65,800 1,217
Alexander & Baldwin, Inc. 55,000 1,213
Dole Food Co. 74,000 1,212
Carter-Wallace, Inc. 59,800 1,203
Donaldson Co., Inc. 60,800 1,201
Albemarle Corp. 60,520 1,195
HSB Group Inc. 38,300 1,192
AK Steel Corp. 147,311 1,178
- Swift Transportation Co., Inc. 83,500 1,169
AGL Resources Inc. 71,900 1,146
CBRL Group, Inc. 77,400 1,137
- Jacobs Engineering Group Inc. 34,700 1,134
- Modis Professional Services Inc. 127,700 1,133
- The Neiman Marcus Group, Inc.
Class A 37,800 1,117
Overseas Shipholding Group Inc. 45,100 1,111
Omnicare, Inc. 122,500 1,110
Kelly Services, Inc. Class A 47,500 1,098
Nordson Corp. 21,600 1,094
FINOVA Group, Inc. 81,200 1,056
Modine Manufacturing Co. 39,000 1,053
- GTech Holdings Corp. 46,300 1,050
- Cybex Computer Products Corp. 24,200 1,041
Cleco Corp. 29,900 1,002
Lancaster Colony Corp. 51,900 996
- Furniture Brands International Inc. 65,700 994
Federal Signal Corp. 60,000 990
Olin Corp. 59,500 982
Tecumseh Products Co. Class A 25,700 981
Bergen Brunswig Corp. Class A 177,895 978
- Quorum Health Group, Inc. 94,800 978
Ferro Corp. 46,100 968
AGCO Corp. 78,600 963
Trinity Industries, Inc. 51,800 958
- Alaska Air Group, Inc. 34,900 947
Pittston Brink's Group 68,314 935
- Unifi, Inc. 75,100 929
Church & Dwight, Inc. 50,300 905
Meritor Automotive, Inc. 82,200 904
Granite Construction Co. 36,350 891
Federal-Mogul Corp. 93,100 890
Superior Industries
International, Inc. 34,500 888
- American Eagle Outfitters, Inc. 61,600 862
- Gartner Group, Inc. Class B 87,100 860
Kennametal, Inc. 40,100 860
Georgia Gulf Corp. 41,300 860
Lennar Corp. 42,300 857
- Wisconsin Central
Transportation Corp. 65,300 849
H.B. Fuller Co. 18,600 847
- Apria Healthcare 69,000 845
Ohio Casualty Corp. 79,200 842
Kaydon Corp. 39,800 836
- Papa John's International, Inc. 33,600 823
Horace Mann Educators Corp. 53,900 809
Public Service Co. of New Mexico 52,100 804
Universal Corp. 37,400 790
- STERIS Corp. 89,000 790
- NCO Group, Inc. 33,700 779
Dreyer's Grand Ice Cream, Inc. 37,100 779
- UCAR International, Inc. 59,400 776
- Sylvan Learning Systems, Inc. 55,100 758
Longview Fibre Co. 68,200 754
- The Neiman Marcus Group, Inc.
Class B 27,000 749
- Transaction Systems
Architects, Inc. 43,500 745
- OfficeMax, Inc. 148,700 744
Flowserve Corp. 49,300 743
Ametek Aerospace Products Inc. 42,200 739
Westpoint Stevens, Inc. 65,400 728
</TABLE>
31
<PAGE> 146
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Sykes Enterprises, Inc. 56,400 $ 726
Bob Evans Farms, Inc. 48,600 726
- Policy Management
Systems Corp. 46,900 721
J.B. Hunt Transport Services, Inc. 46,700 721
J.M. Smucker Co. Class A 37,400 720
Ruddick Corp. 60,900 719
- Cambridge Technology Partners 82,300 718
- Structural Dynamics
Research Corp. 47,500 715
- Buffets Inc. 54,800 695
Wellman, Inc. 41,500 672
- Covance, Inc. 75,400 664
Bandag, Inc. 27,400 664
Black Hills Corp. 28,200 636
Chesapeake Corp. of Virginia 21,400 634
Banta Corp. 33,200 629
- PSS World Medical, Inc. 93,300 627
- Perrigo Co. 96,800 611
Carpenter Technology Corp. 28,900 611
Rollins, Inc. 39,600 589
- Ogden Corp. 65,400 589
Arvin Industries, Inc. 33,800 587
- Albany International Corp. 40,350 585
M.A. Hanna Co. 64,600 581
Wausau-Mosinee Paper Corp. 67,800 581
P.H. Glatfelter Co. 55,800 568
Stewart & Stevenson
Services, Inc. 36,800 554
The Warnaco Group, Inc. Class A 70,200 544
- Sequa Corp. Class A 13,700 523
Wallace Computer Services, Inc. 52,900 522
- Airgas, Inc. 91,700 522
The Standard Register Co. 35,900 512
Stewart Enterprises, Inc. Class A 140,700 497
- Acuson Corp. 36,400 491
A. Schulman Inc. 39,600 478
International Multifoods Corp. 24,700 428
Arnold Industries, Inc. 32,400 391
Cleveland-Cliffs Iron Co. 14,400 372
Lone Star Steakhouse &
Saloon, Inc. 34,800 352
Lance, Inc. 38,800 349
Ryerson Tull, Inc. 33,285 345
Gartner Group, Inc. Class A 28,500 342
Ethyl Corp. 112,600 282
NCH Corp. 7,000 253
- Magnatek 31,500 252
- Navigant Consulting, Inc. 54,000 230
- Maxxam Inc. 9,400 167
- Burlington Industries, Inc. 66,400 112
-------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $1,101,969) 1,137,184
-------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (0.2%)(1)
-------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 6.61%, 8/17/2000 $ 100 99
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 6.17%, 7/20/2000 $ 200 199
6.48%, 8/3/2000 200 199
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000--Note G 2,137 2,137
-------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $2,634) 2,634
-------------------------------------------------------------------------------
TOTAL INVESTMENTS (99.6%)
(COST $1,104,603) 1,139,818
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.4%)
-------------------------------------------------------------------------------
Other Assets--Note B 17,822
Liabilities--Note G (13,582)
----------
4,240
-------------------------------------------------------------------------------
NET ASSETS (100%) $1,144,058
===============================================================================
</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 -0.3%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2) Securities with an aggregate value of $298,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-------------------------------------------------------------------------------
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C>
Paid in Capital $1,001,048
Undistributed Net Investment Income 4,610
Accumulated Net Realized Gains 103,345
Unrealized Appreciation (Depreciation)--
Note F
Investment Securities 35,215
Futures Contracts (160)
-------------------------------------------------------------------------------
NET ASSETS $1,144,058
===============================================================================
Investor Shares--Net Assets
Applicable to 74,175,309 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $905,420
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $12.21
===============================================================================
Institutional Shares--Net Assets
Applicable to 19,522,392 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $238,638
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $12.22
===============================================================================
</TABLE>
32
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
-------------------------------------------------------------------------
COMMON STOCKS (99.6%)(1)
-------------------------------------------------------------------------
<S> <C> <C>
- MRV Communications Inc. 233,000 $ 15,669
- BroadVision, Inc. 282,500 14,355
- Integrated Device
Technology Inc. 177,500 10,628
- Coherent, Inc. 117,000 9,813
- Plexus Corp. 83,900 9,481
- Varian Semiconductor
Equipment Associates, Inc. 147,100 9,240
- Plantronics, Inc. 78,800 9,101
- Netro Corp. 156,000 8,951
- Informatica Corp. 108,900 8,923
- Millennium Pharmaceuticals, Inc. 79,400 8,883
- Natural Microsystems Corp. 77,400 8,703
- Interwoven, Inc. 78,100 8,590
- MGC Communications, Inc. 141,100 8,457
- Diamond Technology
Partners Inc. 94,150 8,285
- Silicon Valley Bancshares 191,000 8,141
- Veeco Instruments, Inc. 109,900 8,050
- Enzon, Inc. 187,300 7,960
- Inhale Therapeutic Systems 78,300 7,945
- Advent Software, Inc. 122,700 7,914
- Mercator Software, Inc. 114,900 7,899
- LTX Corp. 221,700 7,746
- Digital Island Inc. 158,800 7,722
- Medicis Pharmaceutical Corp. 135,050 7,698
National Computer Systems, Inc. 155,000 7,634
- Exar Corp. 87,250 7,607
- Amkor Technology, Inc. 214,500 7,575
- MMC Networks, Inc. 138,900 7,422
Arthur J. Gallagher & Co. 175,600 7,375
- Mettler-Toledo International Inc. 184,300 7,372
- Enzo Biochem, Inc. 106,703 7,363
- Smithfield Foods, Inc. 261,800 7,347
- HNC Software, Inc. 118,800 7,336
- Tollgrade Communications, Inc. 55,000 7,288
- AmeriSource Health Corp. 233,700 7,245
- Black Box Corp. 91,100 7,213
Snap-On Inc. 270,800 7,210
- Human Genome Sciences, Inc. 53,000 7,069
- DSP Group Inc. 126,000 7,056
- Varian, Inc. 152,400 7,029
- Intermedia Communications Inc. 233,600 6,950
Metris Cos., Inc. 275,913 6,932
- Remedy Corp. 124,000 6,913
C & D Technology Inc. 121,400 6,859
- Actuate Software Corp. 128,500 6,859
Great Lakes Chemical Corp. 217,200 6,842
- Cobalt Networks, Inc. 117,800 6,818
- Kulicke & Soffa Industries, Inc. 114,700 6,810
- Suiza Foods Corp. 139,200 6,803
- PE Corp.-Celera Genomics Group 72,401 6,769
- Documentum, Inc. 75,400 6,739
Crompton Corp. 545,662 6,684
Commerce Bancorp, Inc. 144,218 6,634
Cullen/Frost Bankers, Inc. 252,100 6,633
Solutia, Inc. 482,200 6,630
Eaton Vance Corp. 143,300 6,628
- Cymer, Inc. 137,900 6,585
- Venator Group, Inc. 637,459 6,534
Methode Electronics, Inc.
Class A 169,100 6,531
- EMCORE Corp. 54,100 6,492
Centex Corp. 275,900 6,484
Health Care Properties
Investors REIT 237,182 6,463
- Clarent Corp. 90,200 6,449
- Caremark Rx, Inc. 946,352 6,447
Alpharma, Inc. Class A 102,934 6,408
- NetIQ Corp. 107,300 6,398
- Lear Corp. 318,500 6,370
- Go2Net, Inc. 126,600 6,370
- Pactiv Corp. 803,700 6,329
- Adaptive Broadband Corp. 171,800 6,314
- United Therapeutics Corp. 58,100 6,297
- PRI Automation, Inc. 95,700 6,258
Applied Power, Inc. 186,495 6,248
- Foundation Health Systems
Class A 480,470 6,246
- S3, Inc. 419,600 6,189
- Cypress Semiconductor Corp. 146,325 6,182
- Viatel, Inc. 216,400 6,181
- Elantec Semiconductor, Inc. 88,700 6,176
- Mentor Graphics Corp. 310,700 6,175
Teleflex Inc. 165,900 6,149
BRE Properties Inc. Class A REIT 212,448 6,134
- Zale Corp. 167,700 6,121
- Sirius Satellite Radio, Inc. 138,100 6,120
- AmeriCredit Corp. 358,700 6,098
- Medical Manager Corp. 178,800 6,090
- Michaels Stores, Inc. 132,518 6,071
- Pioneer Natural Resources Co. 474,000 6,044
Tupperware Corp. 274,000 6,028
- Protein Design Labs, Inc. 36,500 6,021
- Xircom, Inc. 126,700 6,018
- Myriad Genetics, Inc. 40,600 6,012
- Cree, Inc. 45,000 6,008
- Insight Enterprises, Inc. 101,000 5,991
- Catellus Development Corp. 398,400 5,976
- Netegrity, Inc. 79,200 5,965
MDU Resources Group, Inc. 275,787 5,964
Callaway Golf Co. 365,500 5,962
- Proxim, Inc. 60,066 5,945
- Citadel Communications Corp. 169,600 5,925
- Aurora Biosciences Corp. 86,500 5,898
Sky Financial Group, Inc. 367,685 5,860
- Borders Group, Inc. 373,000 5,805
CTS Corp. 128,800 5,796
Meredith Corp. 171,500 5,788
- Intertrust Technologies Corp. 280,600 5,770
IDACORP, Inc. 178,900 5,770
- Investment Technology
Group, Inc. 145,600 5,751
Conectiv, Inc. 368,300 5,732
Astoria Financial Corp. 222,100 5,719
- Varian Medical Systems, Inc. 146,000 5,712
- LAM Research Corp. 152,200 5,708
- Leap Wireless International, Inc. 120,975 5,686
- ACNielson Corp. 258,200 5,680
Roslyn Bancorp, Inc. 341,900 5,679
- VISIX Inc. 202,300 5,677
</TABLE>
33
<PAGE> 148
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
- Active Software, Inc. 72,851 $ 5,660
United Asset Management Corp. 241,600 5,647
American Greetings Corp.
Class A 296,800 5,639
Carlisle Co., Inc. 125,200 5,634
- Electro Scientific Industries, Inc. 127,400 5,610
Allied Capital Corp. 328,000 5,576
Minnesota Power, Inc. 321,100 5,559
- Heidrick & Struggles
International, Inc. 88,000 5,555
- Freeport-McMoRan Copper &
Gold Inc. Class B 599,987 5,550
- Three-Five Systems, Inc. 93,600 5,522
Dillard's Inc. 450,700 5,521
Investors Financial Services Corp. 138,504 5,497
Hudson United Bancorp 244,810 5,493
- Payless ShoeSource, Inc. 105,044 5,482
Hospitality Properties Trust REIT 241,900 5,458
Louisiana-Pacific Corp. 501,600 5,455
Valspar Corp. 161,600 5,454
Cummins Engine Co., Inc. 199,900 5,447
Camden Property Trust REIT 185,187 5,440
Bank United Corp. Class A 154,400 5,433
Lubrizol Corp. 258,500 5,429
Ryder System, Inc. 286,400 5,424
- AppNet, Inc. 150,500 5,418
- Micromuse Inc. 32,700 5,411
Technitrol, Inc. 55,800 5,406
United Dominion Realty
Trust REIT 490,750 5,398
First Industrial Realty Trust REIT 181,700 5,360
- Zebra Technologies Corp. Class A 120,800 5,353
Houghton Mifflin Co. 113,900 5,318
Washington Gas Light Corp. 220,900 5,315
Precision Castparts Corp. 117,100 5,299
- Sensormatic Electronics Corp. 334,150 5,284
Dexter Corp. 109,800 5,270
- ITC DeltaCom, Inc. 235,100 5,246
- Cubist Pharmaceuticals, Inc. 106,500 5,245
- Edwards Lifesciences Corp. 273,800 5,236
- Viant Corp. 176,674 5,234
- Trimble Navigation Ltd. 107,200 5,233
- Renal Care Group, Inc. 213,950 5,232
- SBA Communications Corp. 100,200 5,204
- Lone Star Technologies, Inc. 112,400 5,199
- Abercrombie & Fitch Co. 426,032 5,192
- Linens 'n Things, Inc. 191,300 5,189
- Lincare Holdings, Inc. 210,400 5,181
- Whole Foods Market, Inc. 125,100 5,168
- The Neiman Marcus Group, Inc.
Class A 174,600 5,162
- Iomega Corp. 1,288,900 5,156
Weingarten Realty
Investors REIT 127,375 5,143
CNF Transportation, Inc. 226,000 5,142
- Stillwater Mining Co. 183,750 5,122
- ICG Communications, Inc. 232,000 5,119
Newport News Shipbuilding Inc. 139,200 5,116
Cross Timbers Oil Co. 230,525 5,100
Peoples Energy Corp. 157,000 5,083
- Zygo Corp. 55,900 5,076
- Imation Corp. 172,400 5,064
Kansas City Power & Light Co. 224,900 5,060
Hawaiian Electric Industries Inc. 153,800 5,047
- Price Communications Corp. 213,935 5,041
Vectren Corp. 291,128 5,022
Cambrex Corp. 111,500 5,018
- Barnes & Noble, Inc. 225,400 5,015
- Cytec Industries, Inc. 202,900 5,009
- United Stationers, Inc. 154,500 5,002
- Legato Systems, Inc. 329,700 4,987
OM Group, Inc. 113,300 4,985
- Ancor Communications, Inc. 139,300 4,982
Vintage Petroleum, Inc. 220,800 4,982
- Affiliated Managers Group, Inc. 109,400 4,978
- Verity, Inc. 130,900 4,974
One Valley Bancorp of
West Virginia Inc. 158,943 4,967
- Hyperion Solutions Corp. 152,919 4,960
- Pioneer Group, Inc. 117,000 4,958
Lee Enterprises, Inc. 210,400 4,905
- Asyst Technologies, Inc. 142,600 4,884
- Hain Celestial Group, Inc. 132,400 4,857
- ATMI, Inc. 104,200 4,845
Harsco Corp. 189,900 4,842
- Keynote Systems Inc. 68,500 4,834
- Manugistics Group, Inc. 102,900 4,811
- Dendrite International, Inc. 144,400 4,810
Western Resources, Inc. 309,500 4,797
- Korn/Ferry International 151,200 4,791
Highwood Properties, Inc. REIT 199,600 4,790
York International Corp. 183,200 4,786
- New Era of Networks, Inc. 112,600 4,786
- Aspen Technologies, Inc. 124,100 4,778
Washington Federal Inc. 260,500 4,754
- IDEC Pharmaceuticals Corp. 40,500 4,751
- Remec, Inc. 113,000 4,732
Alberto-Culver Co. Class B 154,800 4,731
- Fisher Scientific International Inc. 190,800 4,722
- MIPS Technologies, Inc. 110,600 4,701
- TriQuint Semiconductor, Inc. 49,100 4,698
Sierra Pacific Resources 373,896 4,697
- Interim Services, Inc. 264,606 4,697
- Aeroflex, Inc. 94,400 4,691
Ethan Allen Interiors, Inc. 195,400 4,690
- Actel Corp. 102,600 4,681
Harman International
Industries, Inc. 76,725 4,680
Rayonier Inc. 130,200 4,671
Fidelity National Financial, Inc. 254,992 4,670
- Stone Energy Corp. 78,100 4,666
Lennar Corp. 230,070 4,659
- ANADIGICS, Inc. 136,600 4,653
Mark IV Industries, Inc. 222,176 4,638
United Water Resources, Inc. 132,768 4,630
- Brooks Automation, Inc. 72,400 4,629
- Jack in the Box Inc. 187,900 4,627
- MicroStrategy Inc. 153,000 4,590
- Mueller Industries Inc. 163,900 4,589
Delta & Pine Land Co. 182,600 4,576
IndyMac Mortgage Holdings, Inc. 337,400 4,576
- Pharmacyclics, Inc. 74,900 4,569
</TABLE>
34
<PAGE> 149
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
- Littelfuse, Inc. 93,000 $ 4,557
- Cable Design Technologies 135,950 4,554
Franchise Finance Corp. of
America REIT 197,200 4,536
Kaufman & Broad Home Corp. 228,700 4,531
CMP Group Inc. 154,514 4,529
Cousins Properties, Inc. REIT 117,009 4,505
Webster Financial Corp. 202,600 4,495
Pier 1 Imports Inc. 460,200 4,487
Corn Products International, Inc. 169,300 4,486
- Trimeris, Inc. 64,100 4,483
- Pinnacle Systems, Inc. 199,100 4,477
IDEX Corp. 141,700 4,472
Blyth, Inc. 151,550 4,471
Alexander & Baldwin, Inc. 202,300 4,463
Media General, Inc. Class A 91,900 4,463
Pennzoil-Quaker State Co. 369,700 4,460
The Timken Co. 238,900 4,450
U.S. Industries, Inc. 365,800 4,435
- Patterson Energy, Inc. 155,400 4,429
Aptargroup Inc. 163,700 4,420
- Storage Technology Corp. 403,600 4,414
- Orthodontic Centers of
America, Inc. 194,600 4,403
Airborne Freight Corp. 231,800 4,390
- Artesyn Technologies, Inc. 157,756 4,388
- Broadbase Software Inc. 142,800 4,373
- Titan Pharmaceuticals, Inc. 101,500 4,365
- Anaren Microwave, Inc. 33,250 4,364
- Quantum Corp.- Hard Disk Drive 394,400 4,363
StanCorp Financial Group, Inc. 135,600 4,356
Raymond James Financial, Inc. 192,900 4,340
- Abgenix, Inc. 36,200 4,339
OGE Energy Corp. 234,400 4,336
COMSAT Corp. 184,500 4,336
HSB Group Inc. 139,150 4,331
AGL Resources Inc. 271,400 4,325
- Novoste Corp. 70,900 4,325
- American Superconductor Corp. 89,400 4,314
First Midwest Bancorp 185,221 4,306
Prentiss Properties Trust REIT 179,100 4,298
WestAmerica Bancorporation 164,200 4,290
- Valuevision International, Inc.
Class A 178,500 4,284
Independence Community
Bank Corp. 322,000 4,267
- Barr Labs Inc. 94,800 4,248
Pogo Producing Co. 192,000 4,248
- Apex Inc. 96,700 4,231
- Cirrus Logic 264,400 4,230
Developers Diversified Realty
Corp. REIT 283,100 4,229
Leucadia National Corp. 185,200 4,225
- Mohawk Industries, Inc. 194,000 4,220
- Interliant Inc. 180,800 4,215
- Interdigital Communications Corp. 253,700 4,202
- CV Therapeutics, Inc. 60,500 4,193
Helix Technology Corp. 107,100 4,177
- CuraGen Corp. 109,300 4,160
Universal Foods Corp. 224,500 4,153
- Too Inc. 162,920 4,144
- Barrett Resources Corp. 136,100 4,143
- Scholastic Corp. 67,700 4,138
Potlatch Corp. 124,800 4,134
- Silicon Valley Group, Inc. 158,800 4,109
CBRL Group, Inc. 278,100 4,085
- Grey Wolf, Inc. 816,400 4,082
- Corixa Corp. 94,800 4,070
- Lattice Semiconductor Corp. 58,550 4,047
- Aware, Inc. 79,100 4,044
- Journal Register Co. 221,400 4,041
- Integrated Silicon Solution, Inc. 106,200 4,036
- Gene Logic Inc. 113,000 4,033
Minerals Technologies, Inc. 87,600 4,030
Dain Rauscher Corp. 60,900 4,019
- F5 Networks, Inc. 73,600 4,016
CenterPoint Properties Corp. REIT 98,200 4,002
- Kent Electronics Corp. 133,600 3,983
- SonicWALL, Inc. 45,200 3,980
- Westwood One, Inc. 116,300 3,969
Piedmont Natural Gas, Inc. 148,751 3,951
- SuperGen, Inc. 108,800 3,944
Gartner Group, Inc. Class A 328,600 3,943
- IDEXX Laboratories Corp. 171,800 3,930
Earthgrains Co. 202,144 3,929
- Triad Hospitals, Inc. 162,079 3,920
Avista Corp. 224,400 3,913
- Tut Systems, Inc. 68,070 3,906
Community First Bankshares 239,200 3,902
Storage USA, Inc. REIT 132,200 3,900
- Advanced Digital
Information Corp. 244,200 3,892
Ball Corp. 120,900 3,891
- Alleghany Corp. 23,138 3,887
Dean Foods Corp. 122,600 3,885
- Photon Dynamics, Inc. 52,000 3,884
- MIPS Technologies, Inc. Class B 100,664 3,876
- Key Energy Services, Inc. 401,500 3,864
Polaroid Corp. 213,700 3,860
- Puma Technology, Inc. 143,900 3,858
- Modis Professional Services Inc. 434,300 3,854
WPS Resources Corp. 127,900 3,845
RGS Energy Group Inc. 172,600 3,840
Arden Realty Group, Inc. REIT 163,200 3,835
BancorpSouth, Inc. 272,500 3,832
Cabot Industrial Trust REIT 194,000 3,819
Federal Realty Investment
Trust REIT 190,700 3,814
- W.R. Grace & Co. 314,500 3,813
- ResMed Inc. 142,500 3,812
Donaldson Co., Inc. 192,400 3,800
- Informix Corp. 510,550 3,797
- GTech Holdings Corp. 167,200 3,793
- C-Cube Microsystems Inc. 193,100 3,790
First American Corp. 263,100 3,766
Skywest, Inc. 101,300 3,754
- Zoran Corp. 56,800 3,745
- Affymetrix, Inc. 22,600 3,732
- Allaire Corp. 101,500 3,730
- Coventry Health Care Inc. 279,600 3,727
- Tetra Tech, Inc. 162,702 3,722
- Humana, Inc. 763,300 3,721
</TABLE>
35
<PAGE> 150
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
--------------------------------------------------------------------------
<S> <C> <C>
Ruby Tuesday, Inc. 294,500 $ 3,700
- SCM Microsystems,Inc. 61,055 3,698
Polaris Industries, Inc. 115,400 3,693
Roper Industries Inc. 144,100 3,693
Park National Corp. 40,660 3,690
FINOVA Group, Inc. 283,700 3,688
Worthington Industries, Inc. 351,000 3,686
Whitney Holdings 107,450 3,673
- ADVO, Inc. 87,250 3,665
- International Home Foods, Inc. 174,600 3,656
- Advanced Fibre
Communications, Inc. 80,500 3,648
HCC Insurance Holdings, Inc. 192,250 3,629
ONEOK, Inc. 139,900 3,629
- Oak Technology, Inc. 167,500 3,612
Federal Signal Corp. 218,800 3,610
National Service Industries, Inc. 184,900 3,606
Essex Property Trust, Inc. REIT 85,800 3,604
- Primark Corp. 96,700 3,602
Commerce Group, Inc. 121,700 3,590
Penton Media, Inc. Class A 102,500 3,588
Regency Realty Corp. REIT 150,900 3,584
Charles E. Smith Residential
Realty, Inc. REIT 94,300 3,583
New Plan Excel Realty Trust REIT 275,400 3,580
Cleco Corp. 106,600 3,571
- Molecular Devices Corp. 51,600 3,570
- ZixIt Corp. 77,500 3,570
- Infocus Corp. 110,200 3,547
MeriStar Hospitality Corp. REIT 168,134 3,531
- Forrester Research, Inc. 48,400 3,524
- Transkaryotic Therapies, Inc. 95,800 3,521
- Ann Taylor Stores Corp. 106,000 3,511
Millennium Chemicals, Inc. 206,400 3,509
- Reebok International Ltd. 219,700 3,501
- Pharmacopeia, Inc. 75,500 3,501
Sotheby's Holdings Class A 199,700 3,495
La-Z-Boy Inc. 249,300 3,490
- Polo Ralph Lauren Corp. 244,900 3,490
- Unifi, Inc. 282,000 3,490
Philadelphia Suburban Corp. 170,200 3,489
- Osicom Technologies, Inc. 41,200 3,487
Citizens Banking Corp. 214,692 3,485
AGCO Corp. 283,700 3,475
Ferro Corp. 165,400 3,473
Trinity Industries, Inc. 187,700 3,472
- Quorum Health Group, Inc. 336,050 3,466
Federal-Mogul Corp. 361,400 3,456
- Cell Genesys, Inc. 123,253 3,451
- Avant! Corp. 184,038 3,448
Reckson Associates Realty
Corp. REIT 145,000 3,444
- Furniture Brands
International Inc. 227,500 3,441
- Jacobs Engineering Group Inc. 105,200 3,439
Applebee's International, Inc. 113,400 3,437
- Teledyne Technologies, Inc. 204,958 3,433
Greater Bay Bancorp 73,200 3,422
- Cerner Corp. 125,400 3,417
- Immunomedics Inc. 139,400 3,415
- Symyx Technologies 80,000 3,409
- Visual Networks, Inc. 119,484 3,405
- Accrue Software, Inc. 95,900 3,404
- AXENT Technologies, Inc. 137,080 3,401
- LifePoint Hospitals, Inc. 152,735 3,398
Nordson Corp. 67,100 3,397
BorgWarner, Inc. 96,500 3,390
- Biotechnology General 255,900 3,375
- American Xtal Technology, Inc. 78,000 3,374
- IDT Corp. 98,900 3,356
- Syncor International Corp. 46,600 3,355
- RadiSys Corp. 59,000 3,348
First Financial Bancorp 169,774 3,342
- Rhythms NetConnections Inc. 265,300 3,333
- J.D. Edwards & Co. 221,100 3,330
- LookSmart, Ltd. 180,000 3,330
Manitowac Co., Inc. 124,300 3,325
- C-COR Electronics, Inc. 123,000 3,321
Briggs & Stratton Corp. 96,800 3,315
- CapRock Communications Corp. 170,000 3,315
- CEC Entertainment Inc. 129,300 3,313
Pulte Corp. 152,800 3,304
- SanDisk Corp. 54,000 3,304
- Wave Systems Corp. 208,600 3,298
Church & Dwight, Inc. 183,100 3,296
Staten Island Bancorp, Inc. 186,800 3,292
Chittenden Corp. 134,657 3,291
Kilroy Realty Corp. REIT 126,800 3,289
D. R. Horton, Inc. 241,144 3,271
Healthcare Realty Trust Inc. REIT 191,607 3,269
- International FiberCom, Inc. 128,100 3,267
Alfa Corp. 186,400 3,262
- Alexion Pharmaceuticals, Inc. 45,600 3,260
- Concurrent Computer Corp. 248,300 3,259
- Maxim Pharmaceuticals, Inc. 63,300 3,252
Pittston Brink's Group 237,500 3,251
New Jersey Resources Corp. 85,400 3,251
Trustmark Corp. 185,600 3,236
- Silicon Graphics, Inc. 861,900 3,232
- Markel Corp. 22,700 3,215
- Cybex Computer Products Corp. 74,650 3,210
- Ligand Pharmaceuticals Inc.
Class B 243,400 3,210
- Glenayre Technologies, Inc. 303,725 3,208
- Maxtor Corp. 303,600 3,207
Liberty Corp. 76,100 3,196
- Veritas DGC Inc. 122,900 3,195
The Macerich Co. REIT 144,700 3,192
- Celgene Corp. 54,200 3,191
Brandywine Realty Trust REIT 166,800 3,190
- Province Healthcare Co. 88,300 3,190
- Alliant Techsystems, Inc. 47,300 3,190
Florida Rock Industries, Inc. 89,500 3,188
- Rural Cellular Corp. Class A 41,600 3,185
- Alaska Air Group, Inc. 117,300 3,182
Bindly Western Industries, Inc. 120,200 3,178
- Burr-Brown Corp. 36,650 3,177
Trustco Bank 253,998 3,175
- Vicor Corp. 91,200 3,175
- Wisconsin Central
Transportation Corp. 243,800 3,169
Mitchell Energy &
Development Corp. 98,500 3,164
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-------------------------------------------------------------------------
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- ILEX Oncology, Inc. 89,700 $ 3,162
- Men's Wearhouse, Inc. 141,650 3,161
- Learning Tree International, Inc. 51,600 3,161
- On Assignment, Inc. 103,600 3,160
- Illuminet Holdings, Inc. 61,900 3,149
- Western Digital Corp. 629,600 3,148
- Mercury Computer Systems, Inc. 97,400 3,147
Shurgard Storage Centers, Inc.
Class A REIT 139,800 3,146
- Pericom Semiconductor Corp. 46,200 3,142
Cooper Tire & Rubber Co. 282,100 3,138
Lilly Industries Inc. Class A 104,250 3,134
- Silicon Image, Inc. 62,600 3,122
Georgia Gulf Corp. 149,800 3,118
- Extended Stay America, Inc. 336,900 3,116
Tektronix, Inc. 42,100 3,115
HON Industries, Inc. 132,500 3,114
Gables Residential Trust REIT 120,300 3,105
- Polycom, Inc. 33,000 3,105
- SEACOR SMIT Inc. 80,250 3,105
USFreightways Corp. 126,100 3,097
- Newpark Resources, Inc. 327,500 3,091
AK Steel Corp. 385,200 3,082
Nationwide Health Properties,
Inc. REIT 221,000 3,080
- Concord Communications, Inc. 77,200 3,078
- Systems & Computer
Technology Corp. 153,800 3,076
- The Profit Recovery Group
International, Inc. 184,650 3,070
- Primus Telecommunications
Group, Inc. 123,100 3,062
Kaydon Corp. 145,800 3,062
PerkinElmer, Inc. 46,300 3,062
- Footstar Inc. 92,000 3,059
Washington REIT 171,050 3,058
- Geron Corp. 95,400 3,053
- Dura Pharmaceuticals, Inc. 212,300 3,052
- NVIDIA Corp. 48,000 3,051
Ohio Casualty Corp. 287,118 3,051
- Chesapeake Energy Corp. 392,980 3,046
- Tom Brown, Inc. 131,900 3,042
- SERENA Software, Inc. 66,500 3,020
- OSI Pharmaceticals, Inc. 104,500 3,011
- El Paso Electric Co. 269,100 3,011
Realty Income Corp. REIT 127,600 3,007
- Timberland Co. 42,400 3,002
- Rent-Way, Inc. 102,600 2,995
United Bankshares, Inc. 164,600 2,994
- Terayon Communications
Systems, Inc. 46,600 2,993
- Alliance Semiconductor Corp. 121,800 2,992
United Illuminating Co. 68,150 2,982
- R.H. Donnelley Corp. 153,700 2,978
Belden, Inc. 116,200 2,978
- Gilead Sciences, Inc. 41,816 2,974
John Wiley & Sons Class A 132,100 2,972
Invacare Corp. 113,200 2,972
- Neurocrine Biosciences,Inc. 83,500 2,969
- FileNet Corp. 161,500 2,968
- Administaff, Inc. 46,600 2,959
- Texas Biotechnology Corp. 155,600 2,956
Overseas Shipholding Group Inc. 119,400 2,940
- Exchange Applications, Inc. 110,400 2,939
Horace Mann Educators Corp. 195,800 2,937
- Rayovac Corp. 131,000 2,931
- Adelphia Business Solutions, Inc. 126,378 2,930
Lancaster Colony Corp. 152,600 2,928
- Power Integrations, Inc. 124,100 2,924
Pacific Capital Bancorp 116,600 2,922
The South Financial Group, Inc. 201,122 2,916
- World Access, Inc. 263,200 2,912
Colonial Properties Trust REIT 106,300 2,910
- Advanced Energy Industries, Inc. 49,300 2,906
- Photronics Labs Inc. 102,400 2,906
Universal Corp. 137,500 2,905
- Sipex Corp. 104,700 2,899
Texas Industries, Inc. 100,320 2,897
- Louis Dreyfus Natural Gas Corp. 92,396 2,893
- International Rectifier Corp. 51,600 2,890
Dallas Semiconductor Corp. 70,900 2,889
Chateau Communities, Inc. REIT 102,100 2,884
H.B. Fuller Co. 63,250 2,882
- Invitrogen Corp. 38,300 2,880
Olin Corp. 174,300 2,876
Kennametal, Inc. 134,000 2,873
Omnicare, Inc. 316,600 2,869
- VerticalNet, Inc. 77,500 2,863
- Bally Total Fitness Holding Corp. 112,800 2,862
- STERIS Corp. 322,500 2,862
- Allied Riser
Communications Corp. 202,100 2,855
- Superconductor
Technologies Inc. 72,600 2,854
- TranSwitch Corp. 36,950 2,852
Modine Manufacturing Co. 105,400 2,846
- Ciber, Inc. 214,600 2,843
- Insight Communications Co., Inc. 181,843 2,841
- NYFIX, Inc. 67,600 2,835
Downey Financial Corp. 97,746 2,835
- Mid Atlantic Medical
Services, Inc. 209,900 2,834
- MEMC Electronic Materials, Inc. 157,400 2,833
- Respironics, Inc. 157,391 2,833
- eLoyalty Corp. 222,025 2,831
- Cell Therapeutics, Inc. 92,100 2,821
- Aztar Corp. 181,900 2,819
- Benchmark Electronics, Inc. 77,100 2,819
- Station Casinos, Inc. 112,600 2,815
- WatchGuard Technologies, Inc. 51,200 2,813
- UCAR International, Inc. 215,200 2,811
- America West Holdings Corp.
Class B 163,900 2,807
- Dionex Corp. 104,900 2,806
- Biosite Diagnostics, Inc. 58,200 2,805
- Copart, Inc. 175,200 2,803
RPM Inc. (Ohio) 276,700 2,802
- Spanish Broadcasting
System, Inc. 136,100 2,799
- Cost Plus, Inc. 97,450 2,796
Sun Communities, Inc. REIT 83,600 2,795
- Genome Therapeutics Corp. 91,700 2,791
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-------------------------------------------------------------------------
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Armstrong Holdings, Inc. 181,900 $ 2,785
- Pacific Sunwear of California 148,362 2,782
Home Properties of New York,
Inc. REIT 92,600 2,778
Richmond County Financial Corp. 145,200 2,777
- Imperial Bancorp 177,496 2,773
- UTI Energy Corp. 69,100 2,773
- SilverStream Software, Inc. 48,000 2,772
- Progress Software Corp. 154,500 2,771
- United Rentals, Inc. 161,800 2,771
Elizabethtown Corp. 41,700 2,770
- Pre-Paid Legal Services, Inc. 92,700 2,769
Brady Corp. Class A 85,200 2,769
Tecumseh Products Co. Class A 72,400 2,765
SL Green Realty Corp. REIT 103,100 2,758
- Southwest Bancorporation of
Texas, Inc. 132,900 2,758
Energen Corp. 126,400 2,757
- Quest Diagnostics, Inc. 38,500 2,755
Bob Evans Farms, Inc. 184,300 2,753
Mentor Corp. 101,200 2,751
St. Mary Land & Exploration Co. 65,340 2,748
CBL & Associates Properties,
Inc. REIT 110,100 2,746
- iXL Enterprises, Inc. 188,600 2,735
IKON Office Solutions, Inc. 705,400 2,733
- Scotts Co. 74,800 2,730
CH Energy Group, Inc. 80,400 2,729
- PLX Technology, Inc. 65,700 2,727
- Cal Dive International, Inc. 50,300 2,726
- NVR, Inc. 47,800 2,725
Longview Fibre Co. 246,200 2,724
- Forward Air Corp. 68,000 2,720
- The Corporate Executive
Board Co. 45,400 2,718
Sodexho Marriott Services, Inc. 156,375 2,717
Mercury General Corp. 115,000 2,717
UMB Financial Corp. 82,541 2,708
Flowserve Corp. 179,406 2,702
- Wink Communications, Inc. 88,300 2,693
FactSet Research Systems Inc. 95,100 2,687
Owens & Minor, Inc. Holding Co. 156,137 2,684
Northwest Natural Gas Co. 119,850 2,682
- Transaction Systems
Architects, Inc. 156,400 2,678
- Telcom Semiconductor, Inc. 66,300 2,677
- Anixter International Inc. 101,000 2,677
- FSI International, Inc. 123,400 2,676
- Security Capital Group Inc.
REIT Class B 157,400 2,676
Susquehanna Bancshares, Inc. 187,475 2,672
PS Business Parks, Inc. REIT 111,300 2,671
UGI Corp. Holding Co. 130,300 2,671
Brown & Brown, Inc. 51,350 2,670
- OfficeMax, Inc. 534,000 2,670
Public Service Co. of
New Mexico 172,200 2,658
Ametek Aerospace Products Inc. 151,700 2,655
First Commonwealth
Financial Corp. 292,600 2,652
- Swift Transportation Co., Inc. 189,400 2,652
- ISS Group, Inc. 26,800 2,646
- Buckeye Technology, Inc. 120,500 2,643
- Quanta Services, Inc. 48,050 2,643
- Barra, Inc. 53,000 2,627
- Andrew Corp. 78,037 2,619
- Structural Dynamics
Research Corp. 173,406 2,612
- Swift Energy Co. 92,020 2,611
Chelsea GCA Realty, Inc. REIT 75,500 2,609
- Policy Management
Systems Corp. 169,500 2,606
FelCor Lodging Trust, Inc. REIT 140,800 2,605
- Emisphere Technologies, Inc. 61,100 2,603
- Canandaigua Brands, Inc.
Class A 51,600 2,603
- Haemonetics Corp. 123,850 2,601
Wellman, Inc. 160,000 2,590
Southwest Gas Corp. 147,900 2,588
Russell Corp. 129,325 2,587
Atmos Energy Corp. 147,775 2,586
- Landstar System 43,400 2,585
Graco, Inc. 79,525 2,585
- Metricom 92,700 2,584
- Rogers Corp. 73,800 2,583
- Choice Hotel International, Inc. 259,700 2,581
Glenborough Realty Trust,
Inc. REIT 147,900 2,579
Cohu, Inc. 95,600 2,578
- WebLink Wireless, Inc. 194,500 2,577
- Vertex Pharmaceuticals, Inc. 24,400 2,571
- ONYX Software Corp. 86,600 2,571
- Viasystems Group, Inc. 158,700 2,569
- StarMedia Network, Inc. 136,000 2,567
Northwestern Corp. 111,000 2,567
- Sonic Corp. 86,700 2,547
- Extended Systems Inc. 26,500 2,544
Lincoln Electric Holdings 177,800 2,534
- Insituform Technologies Class A 93,400 2,533
Milacron Inc. 174,677 2,533
- Spyglass, Inc. 80,800 2,530
Commercial Federal Corp. 162,300 2,526
National Bankcorp of Alaska Inc. 70,400 2,526
Meritor Automotive, Inc. 229,600 2,526
- WebTrends Corp. 65,200 2,522
Provident Financial Group, Inc. 105,600 2,515
National Data Corp. 109,100 2,509
- IntraNet Solutions, Inc. 65,300 2,506
- Buffets Inc. 197,149 2,501
- Papa John's International, Inc. 102,050 2,500
Forest City Enterprise Class A 74,900 2,500
Colonial BancGroup, Inc. 259,700 2,500
JLG Industries, Inc. 210,300 2,497
- Pure Resources, Inc. 139,700 2,497
F & M National Corp. 118,779 2,494
- Shaw Group, Inc. 52,900 2,493
- Digital Insight Corp. 73,200 2,489
Kellwood Co. 117,750 2,487
- Techne 19,128 2,487
- Kirby Corp. 116,600 2,478
- Nanogen, Inc. 58,300 2,474
- Laboratory Corp. of
America Holdings 32,065 2,473
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-------------------------------------------------------------------------
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- XTRA Corp. 62,600 $ 2,469
Dial Corp. 237,900 2,468
Chesapeake Corp. of Virginia 83,300 2,468
- Forest Oil Corp. 154,800 2,467
- Valence Technology 133,800 2,467
- Maverick Tube Corp. 84,700 2,467
- Digital Microwave Corp. 64,600 2,463
Oshkosh Truck Corp. 68,800 2,460
Fleming Cos., Inc. 188,200 2,458
- Covance, Inc. 278,700 2,456
- SPS Technologies, Inc. 59,800 2,456
- ISIS Pharmaceuticals, Inc. 169,300 2,455
The McClatchy Co. Class A 74,100 2,455
- ArthroCare Corp. 46,000 2,450
- The Cheesecake Factory 88,829 2,443
United Television, Inc. 18,929 2,437
- Aviron 78,700 2,430
- RSA Security Inc. 35,060 2,428
Cooper Cos., Inc. 66,700 2,426
- Southern Union Co. 153,416 2,426
- AnswerThink Consulting
Group, Inc. 145,500 2,419
- HS Resources Inc. 80,600 2,418
- Atlas Air, Inc. 67,400 2,418
Dole Food Co. 147,500 2,415
- Regeneron Pharmaceuticals, Inc. 80,900 2,412
Hooper Holmes, Inc. 300,800 2,406
- Carrier Access Corp. 45,400 2,401
Otter Tail Power Co. 114,300 2,400
- Delphi Financial Group, Inc. 70,705 2,400
- Power-One, Inc. 21,050 2,398
- Tower Automotive, Inc. 191,100 2,389
- The Topps Co., Inc. 207,600 2,387
- Charming Shoppes, Inc. 467,200 2,380
Selective Insurance Group 125,100 2,377
- Com21, Inc. 95,000 2,375
- Cell Pathways, Inc. 101,000 2,374
- Globix Corp. 80,700 2,366
- Amphenol Corp. 35,700 2,363
- Allen Telecom Inc. 133,560 2,362
Superior Industries
International, Inc. 91,700 2,361
- Ionics, Inc. 77,100 2,361
- Paxar Corp. 197,656 2,360
Amcore Financial 128,620 2,355
Claire's Stores, Inc. 121,800 2,345
Libbey, Inc. 72,900 2,342
S & T Bancorp, Inc. 128,200 2,340
Casey's General Stores 225,457 2,339
Sovereign Bancorp, Inc. 332,337 2,337
- CTC Communications Group, Inc. 64,900 2,336
- Commonwealth Telephone
Enterprises, Inc. 49,599 2,334
Cabot Oil & Gas Corp. Class A 109,926 2,329
- Impath, Inc. 42,900 2,327
- Avigen, Inc. 53,000 2,325
CFW Communications Co. 62,000 2,325
- Semtech Corp. 30,302 2,318
- Apria Healthcare 189,000 2,315
- iGATE Capital Corp. 168,300 2,314
- Labranche & Co. Inc. 160,700 2,310
- General Semiconductor, Inc. 156,550 2,309
- 99 Cents Only Stores 57,766 2,303
J.M. Smucker Co. Class A 119,500 2,300
Banta Corp. 121,400 2,299
UniSource Energy Corp. 153,160 2,297
- ACTV, Inc. 153,500 2,293
G & K Services, Inc. 91,450 2,292
Bradley Real Estate Inc. REIT 107,214 2,285
Clarcor Inc. 114,925 2,284
Black Hills Corp. 101,150 2,282
- Clarus Corp. 58,700 2,282
- PSS World Medical, Inc. 338,562 2,275
- O'Reilly Automotive, Inc. 163,500 2,269
Owens Corning 245,000 2,266
- The Boyds Collection, Ltd. 266,600 2,266
Westbanco Inc. 93,279 2,262
Fleetwood Enterprises, Inc. 158,700 2,261
- EGL, Inc. 73,500 2,260
Summit Properties, Inc. REIT 107,500 2,258
Albemarle Corp. 114,120 2,254
- Alkermes, Inc. 47,800 2,253
- Brightpoint, Inc. 259,725 2,248
- Syntroleum Corp. 131,100 2,245
- Credence Systems Corp. 40,600 2,241
Keystone Financial, Inc. 105,400 2,240
Kimball International, Inc. Class B 151,700 2,238
- Corsair Communications, Inc. 77,800 2,237
LNR Property Corp. 114,650 2,236
American National Insurance Co. 43,800 2,234
- ImClone Systems, Inc. 29,200 2,232
- Open Market, Inc. 161,400 2,229
- Factory 2-U Stores Inc. 58,900 2,227
- ShopKo Stores, Inc. 144,700 2,225
- Mattson Technology, Inc. 68,200 2,217
- Primus Knowledge Solutions, Inc. 49,200 2,214
- Bethlehem Steel Corp. 620,791 2,212
Health Care REIT, Inc. 136,000 2,210
Hughes Supply, Inc. 111,850 2,209
CT Communications, Inc. 77,500 2,204
- Noven Pharmaceuticals, Inc. 73,200 2,201
Granite Construction Co. 89,800 2,200
- Paradyne Networks, Inc. 67,400 2,195
Koger Equity, Inc. REIT 130,000 2,194
- Sunrise Technologies
International, Inc. 219,300 2,193
- Netopia, Inc. 54,400 2,190
Phoenix Investment Partners Ltd. 208,500 2,189
- Orbital Sciences Corp. 179,500 2,188
- SpeedFam-IPEC, Inc. 120,251 2,187
- Motient Corp. 139,300 2,185
Baldor Electric Co. 116,927 2,178
- TiVo Inc. 62,200 2,177
Hilb, Rogal and Hamilton Co. 62,700 2,175
Manufactured Home
Communities, Inc. REIT 90,800 2,174
- Cambridge Technology Partners 249,200 2,173
- Catalytica, Inc. 197,400 2,171
Fair Issac & Co. 49,300 2,169
- Sangstat Medical Corp. 74,900 2,163
Arch Chemicals, Inc. 98,800 2,161
Prison Realty Trust, Inc. REIT 704,800 2,158
</TABLE>
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- Lands' End, Inc. 64,500 $ 2,153
- PC-Tel, Inc. 56,600 2,151
- GaSonics International Corp. 54,500 2,149
Elcor Corp. 93,425 2,149
International Bancshares Corp. 65,846 2,148
Pacific Gulf Properties, Inc. REIT 85,700 2,148
- Perot Systems Corp. 195,100 2,146
- Duane Reade Inc. 83,200 2,142
- The Titan Corp. 47,850 2,141
- Prime Hospitality Corp. 226,800 2,140
- Dollar Thrifty Automotive
Group, Inc. 116,000 2,139
- Wesley Jessen VisionCare, Inc. 56,900 2,137
- Presstek, Inc 131,000 2,137
- Dal-Tile International Inc. 258,100 2,129
Arvin Industries, Inc. 122,400 2,127
- Rainbow Technologies, Inc. 43,700 2,125
- Ogden Corp. 235,600 2,120
Southwest Securities Group, Inc. 56,800 2,116
Jefferies Group, Inc. 104,732 2,114
- Incyte Genomics, Inc. 25,700 2,112
A.O. Smith Corp. 100,800 2,111
- California Amplifier, Inc. 46,000 2,105
- Dril-Quip, Inc. 45,000 2,104
Wausau-Mosinee Paper Corp. 245,510 2,102
- Excalibur Technologies Corp. 52,600 2,101
- Rare Medium Group, Inc. 132,800 2,100
M.A. Hanna Co. 232,200 2,090
F.N.B. Corp. 101,320 2,090
Mid-America Apartment
Communities, Inc. REIT 86,600 2,078
- Computer Horizons Corp. 154,600 2,077
Datascope Corp. 57,700 2,077
- Electroglas, Inc. 96,600 2,077
- Complete Business Solutions, Inc. 118,100 2,074
- Superior Energy Services, Inc. 199,900 2,074
- Agribrands International, Inc. 49,300 2,068
- Micron Electronics, Inc. 165,400 2,068
- Frontline Capital Group 96,900 2,065
Carter-Wallace, Inc. 102,400 2,061
MAF Bancorp, Inc. 113,251 2,060
- Powerwave Technologies, Inc. 46,800 2,059
- Direct Focus, Inc. 41,800 2,048
John H. Harland Co. 136,900 2,045
- AirGate PCS, Inc. 38,900 2,045
- LightPath Technologies, Inc. 51,300 2,04
- MedQuist, Inc. 60,011 2,040
- EntreMed, Inc. 68,100 2,039
- Emulex Corp. 31,000 2,036
- Priority Healthcare Corp. Class B 27,400 2,036
- INAMED Corp. 55,500 2,033
AMCOL International Corp. 123,150 2,032
Cathay Bancorp, Inc. 43,805 2,031
- Tweeter Home Entertainment
Group, Inc. 66,800 2,029
First Bancorp/Puerto Rico 109,300 2,029
- PolyMedica Corp. 46,900 2,028
- PathoGenesis Corp. 77,900 2,025
- NPS Pharmaceuticals Inc. 75,300 2,014
- Toll Brothers, Inc. 98,200 2,013
- BindView Development Corp. 167,600 2,011
- Robotic Vision Systems, Inc. 111,700 2,011
Tredegar Corp. 105,500 2,005
Matthews International Corp. 69,100 2,004
- JDA Software Group, Inc. 104,350 2,002
- Albany Molecular Research, Inc. 36,600 1,992
ChemFirst Inc. 82,300 1,985
C.H. Robinson Worldwide, Inc. 40,100 1,985
Stewart & Stevenson
Services, Inc. 131,510 1,981
- F.Y.I. Inc. 58,800 1,981
USEC Inc. 428,000 1,980
Greif Brothers Corp. Class A 64,300 1,977
- Computer Network
Technology Corp. 113,600 1,974
- NBC Internet, Inc. Class A 157,900 1,974
Kelly Services, Inc. Class A 85,300 1,973
- Avis Group Holdings, Inc. 105,100 1,971
Longs Drug Stores, Inc. 90,500 1,968
- Henry Schein, Inc. 114,100 1,968
- Sylvan Learning Systems, Inc. 143,100 1,968
- Atlantic Coast Airlines
Holdings Inc. 61,900 1,965
- QuickLogic Corp. 88,100 1,960
Spartech Corp. 72,600 1,960
MDC Holdings, Inc. 105,200 1,959
Wolverine World Wide, Inc. 197,640 1,952
- Parker Drilling Co. 314,700 1,947
Regis Corp. 155,750 1,947
- NCO Group, Inc. 84,150 1,946
- Encompass Services Corp. 337,445 1,940
- Pinnacle Entertainment, Inc. 99,800 1,940
Crawford & Co. Class B 175,550 1,931
- Total Renal Care Holdings, Inc. 321,800 1,931
Block Drug Co. Class A 45,603 1,930
Alexandria Real Estate
Equities, Inc. REIT 56,200 1,928
Republic Bancorp, Inc. 215,617 1,927
- P-Com, Inc. 338,500 1,925
- PETCO Animal Supplies, Inc. 97,800 1,919
- Jones Lang Lasalle Inc. 143,100 1,914
- Tumbleweed
Communications Corp. 37,600 1,913
- Aspect Communications Corp. 48,600 1,911
- Career Education Corp. 39,300 1,906
- ACT Manufacturing, Inc. 41,000 1,904
- Advance Paradigm, Inc. 92,800 1,902
- Oceaneering International, Inc. 100,100 1,902
MascoTech Inc. 175,700 1,900
- Wyndham International, Inc.
Class A 756,100 1,890
- Conmed Corp. 73,050 1,890
- Atwood Oceanics, Inc. 42,400 1,887
- Trans World Entertainment Corp. 155,350 1,884
- CommScope, Inc. 45,908 1,882
- Genzyme Transgenics Corp. 69,100 1,874
- SeaChange International, Inc. 64,900 1,874
- Performance Food Group Co. 58,550 1,874
- Lynx Therapeutics Inc. 39,300 1,869
Geon Co. 101,000 1,869
Westfield America, Inc. REIT 137,500 1,865
- e.spire Communications, Inc. 275,900 1,862
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SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
Capitol Federal Financial 167,900 $ 1,857
Caraustar Industries, Inc. 122,800 1,857
- Perrigo Co. 293,700 1,854
- Pharmaceutical Product
Development, Inc. 88,271 1,854
- Cytyc Corp. 34,700 1,852
Gaylord Entertainment Co. Class A 86,075 1,851
- ADAC Laboratories 77,100 1,850
Cornerstone Realty Income
Trust, Inc. REIT 185,000 1,850
Anchor Bancorp Wisconsin Inc. 120,800 1,850
Enhance Financial Services
Group, Inc. 128,600 1,849
- Priority Healthcare Corp. Class A 24,857 1,847
Carpenter Technology Corp. 87,400 1,846
- ProBusiness Services, Inc. 69,500 1,846
- Simpson Manufacturing Co. 38,600 1,846
- Cor Therapeutics, Inc. 21,600 1,843
- Steel Dynamics, Inc. 202,800 1,838
- Ibis Technology Corporation 30,400 1,835
- Ventro Corp. 97,200 1,835
Empire District Electric Co. 83,070 1,833
- Vical, Inc. 95,100 1,831
- Radiant Systems, Inc. 76,100 1,826
- ParkerVision, Inc. 36,200 1,826
- Phoenix Technologies LTD. 111,900 1,825
- Aclara Biosciences, Inc. 35,800 1,824
First United Bancshares, Inc. 119,800 1,819
True North Communications 41,300 1,817
Walter Industries, Inc. 158,600 1,814
- MemberWorks, Inc. 53,900 1,812
- Sybase, Inc. 78,700 1,810
- ESS Technology, Inc. 124,800 1,810
- Allscripts, Inc. 78,600 1,808
- MGI Pharma, Inc. 62,800 1,806
- ImmunoGen, Inc. 149,700 1,806
Arrow International, Inc. 53,900 1,806
- Microsemi Corporation 53,200 1,805
- Maxygen 31,800 1,805
Taubman Co. REIT 164,100 1,805
Justin Industries, Inc. 82,450 1,804
Interstate Bakeries Corp. 128,800 1,803
- iBasis, Inc. 41,800 1,800
Park Electrochemical Corp. 49,900 1,800
- Zoll Medical Corp. 36,700 1,798
- CUNO Inc. 77,750 1,798
ABM Industries 78,000 1,794
The Toro Co. 54,400 1,792
- American Italian Pasta Co. 86,600 1,792
Morrison Management
Specialists, Inc. 63,540 1,791
- Mechanical Technology Inc. 119,400 1,791
- ChoicePoint Inc. 40,232 1,790
- Microvision, Inc. 36,500 1,789
Bedford Property Investors,
Inc. REIT 96,300 1,788
- Sinclair Broadcast Group, Inc. 162,500 1,788
Hollinger International, Inc. 131,100 1,786
- Rent-A-Center, Inc. 79,300 1,784
- Concord Camera Corp. 85,400 1,783
- Yellow Corp. 120,650 1,780
- XM Satellite Radio Holdings, Inc. 47,500 1,778
- PETsMART, Inc. 525,950 1,775
- Astec Industries, Inc. 69,900 1,774
Wallace Computer Services, Inc. 179,300 1,771
- Evergreen Resources, Inc. 59,600 1,766
Pioneer Standard Electronics Inc. 119,550 1,763
- Neurogen Corp. 61,000 1,761
Helmerich & Payne, Inc. 47,100 1,760
- Advanced Radio Telecom Corp. 120,300 1,759
- NCI Building Systems, Inc. 86,800 1,758
Texas Regional Bancshares, Inc. 69,200 1,756
- Cephalon, Inc. 29,300 1,754
- Cognex Corp. 33,900 1,754
Springs Industries Inc. Class A 54,800 1,754
Circle International Group, Inc. 69,750 1,752
- Macrovision Corp. 27,400 1,751
- WMS Industries, Inc. 113,400 1,751
- Packeteer, Inc. 60,000 1,748
- ViaSat, Inc. 32,100 1,741
- SCP Pool Corp. 74,100 1,741
A. Schulman Inc. 144,300 1,741
Provident Bankshares Corp. 128,883 1,740
Doral Financial Corp. 152,000 1,739
Fulton Financial Corp. 98,205 1,737
Chemical Finance 66,807 1,737
- Cygnus Inc. 121,600 1,733
MacDermid, Inc. 73,700 1,732
- Multex.com Inc. 68,700 1,730
- Mail-Well, Inc. 200,600 1,730
Commercial Metals Co. 62,766 1,726
- Excel Technology, Inc. 34,300 1,726
National Penn Bancshares Inc. 83,664 1,726
Western Gas Resources, Inc. 82,100 1,724
GBC Bancorp 58,800 1,720
Laclede Gas Co. 89,300 1,719
- Bell & Howell Co. 70,800 1,717
- The Children's Place Retail
Stores, Inc. 83,700 1,716
Bowne & Co., Inc. 170,400 1,715
Reliance Steel & Aluminum Co. 89,500 1,712
- Celeritek, Inc. 41,900 1,710
- PurchasePro.com, Inc. 41,600 1,706
- Saga Systems, Inc. 137,100 1,705
Morgan Keegan, Inc. 115,600 1,705
- Radio One, Inc. Class D 77,200 1,703
- NorthEast Optic Network, Inc. 27,600 1,701
- Organogenesis, Inc. 148,592 1,700
- BlackRock, Inc. 58,600 1,699
- Startek, Inc. 33,700 1,698
- Peregrine Systems, Inc. 48,888 1,696
- CompuCredit Corp. 56,500 1,695
Ruddick Corp. 143,400 1,694
- Manor Care, Inc. 241,900 1,693
Diagnostic Products Corp. 52,900 1,693
Michael Foods Group, Inc. 69,000 1,691
- Internet Pictures Corp. 111,400 1,685
- Del Monte Foods Co. 247,300 1,685
- Guilford Pharmaceuticals, Inc. 111,800 1,684
- Terex Corp. 119,100 1,682
- Identix, Inc. 107,200 1,682
- School Specialty, Inc. 90,500 1,680
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VALUE*
SMALL-CAP INDEX FUND SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
Werner Enterprises, Inc. 145,275 $ 1,680
- Airgas, Inc. 294,800 1,677
- Universal Display Corp. 56,400 1,674
- Hutchinson Technology, Inc. 117,500 1,674
- NBTY, Inc. 262,600 1,674
- Fairfield Communities, Inc. 212,100 1,670
- Intergraph Corp. 220,200 1,665
- Ralcorp Holdings, Inc. 135,700 1,662
Foster Wheeler Corp. 192,500 1,660
- Alliance Pharmaceutical Corp. 147,000 1,654
CONSOL Energy, Inc. 109,300 1,653
- Coulter Pharmaceutical, Inc. 80,600 1,652
AMLI Residential Properties
Trust REIT 70,100 1,652
- Stericycle, Inc. 68,800 1,651
Applied Industrial
Technology, Inc. 100,600 1,647
- Zomax Inc. 125,100 1,642
- National Discount Brokers
Group, Inc. 51,500 1,642
- SportsLine.com, Inc. 96,100 1,640
JDN Realty Corp. REIT 160,950 1,640
- Accredo Health, Inc. 47,400 1,638
- DuPont Photomasks, Inc. 23,900 1,637
Eastern Enterprises 25,933 1,634
NUI Corp. 60,500 1,634
Glimcher Realty Trust REIT 113,600 1,633
- Education Management Corp. 90,400 1,633
- American Management
Systems, Inc. 49,700 1,632
Urban Shopping Centers,
Inc. REIT 48,300 1,627
- Anesta Corp. 65,300 1,624
- Sunrise Assisted Living, Inc. 87,700 1,622
- Emmis Communications, Inc. 39,200 1,622
Inter-Tel, Inc. 100,800 1,619
- Cyberoptics Corp. 35,000 1,619
- Biomatrix, Inc. 71,500 1,618
- Genesco, Inc. 100,700 1,617
Tennant Co. 43,100 1,616
- Liberty Livewire Corp. 23,000 1,616
- Sequa Corp. Class A 42,300 1,615
Dreyer's Grand Ice Cream, Inc. 76,900 1,615
Peoples Bank Bridgeport 87,800 1,613
- hi/fn, inc. 36,300 1,611
- Anchor Gaming 33,500 1,606
Keithley Instruments Inc. 18,400 1,603
- Vertel Corp. 91,500 1,601
- FEI Co. 52,500 1,601
Regal-Beloit Corp. 100,400 1,600
- Ask Jeeves, Inc. 88,500 1,599
- Teligent, Inc. 67,600 1,597
First Charter Corp. 101,300 1,595
N L Industries, Inc. 104,600 1,595
- American Eagle Outfitters, Inc. 113,700 1,592
- IHOP Corp. 94,800 1,588
- Nautica Enterprises, Inc. 148,414 1,586
- HA-LO Industries, Inc. 281,525 1,584
First Citizens BancShares Class A 26,500 1,577
- InterTan, Inc. 134,050 1,575
- Salton, Inc. 42,700 1,575
- Sicor, Inc. 196,160 1,569
- Sunglass Hut International, Inc. 190,800 1,568
- Sanchez Computer
Associates, Inc. 66,000 1,568
- Rare Hospitality International Inc. 55,300 1,562
- Playtex Products, Inc. 138,000 1,561
Grey Advertising, Inc. 3,000 1,560
- About.Com, Inc. 49,500 1,559
- Quiksilver, Inc. 100,100 1,558
- The Dress Barn, Inc. 70,400 1,558
- Input/Output, Inc. 184,400 1,556
- Handleman Co. 124,300 1,554
- Metasolv Software, Inc. 35,300 1,553
Lennox International Inc. 116,900 1,549
EastGroup Properties, Inc. REIT 73,500 1,548
Merchants New York
Bancorporation 90,000 1,547
Roadway Express Inc. 65,800 1,542
Presidential Life Corp. 111,100 1,542
- Triad Guaranty, Inc. 67,200 1,541
AAR Corp. 128,400 1,541
Midas Inc. 77,000 1,540
Rollins Truck Leasing 221,437 1,536
W Holding Co., Inc. 186,100 1,535
- Tricord Systems, Inc. 85,000 1,535
- Pinnacle Holdings Inc. REIT 28,400 1,534
- Tesoro Petroleum Corp. 151,100 1,530
- Stein Mart, Inc. 149,100 1,528
American National Can
Group, Inc. 90,500 1,527
W.R. Berkley Corp. 81,275 1,524
J.B. Hunt Transport Services, Inc. 98,700 1,524
Wynn's International Inc. 67,050 1,521
- Data Return Corp. 52,400 1,520
- Niku Corp. 45,000 1,519
- Ultratech Stepper, Inc. 102,100 1,519
American Capital Strategies, Ltd. 63,600 1,518
- Hyseq, Inc. 33,400 1,518
- Nuance Communications Inc. 18,200 1,516
- Collins & Aikman Corp. 292,200 1,516
LTV Corp. 526,500 1,514
- Specialty Equipment Cos., Inc. 55,800 1,514
First Sentinel Bancorp Inc. 184,140 1,513
- Selectica, Inc. 21,600 1,513
CTG Resources Inc. 41,200 1,512
International Multifoods Corp. 87,300 1,511
- Triarc Cos., Inc. Class A 73,600 1,509
Equitable Resources, Inc. 31,200 1,505
- Inprise Corp. 245,700 1,505
Valmont Industries, Inc. 75,700 1,505
- TALK.com, Inc. 258,400 1,502
- Triangle Pharmaceuticals, Inc. 165,700 1,502
Commercial Net Lease
Realty REIT 142,900 1,500
Innkeepers USA Trust REIT 164,400 1,500
- UNOVA, Inc. 204,600 1,496
- Lifeminders, Inc. 50,600 1,496
Valero Energy Corp. 47,100 1,495
- Micrel, Inc. 34,400 1,494
- Boca Resorts, Inc. Class A 151,300 1,494
Berry Petroleum Class A 87,800 1,493
</TABLE>
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MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
- American Freightways 102,900 $ 1,492
- Entrust Technologies, Inc. 18,000 1,490
- Intermune Pharmaceuticals 36,000 1,487
- Battle Mountain Gold Co. Class A 678,900 1,485
- Neose Technologies, Inc. 35,300 1,485
- First Health Group Corp. 45,200 1,483
Central Parking Corp. 62,600 1,483
- Mapinfo Corp. 36,500 1,483
Hancock Holding Co. 43,607 1,483
Ryland Group, Inc. 67,000 1,482
- SmartServ Online, Inc. 21,000 1,482
- Offshore Logistics, Inc. 103,000 1,481
- Cerus Corporation 28,900 1,479
- Triumph Group, Inc. 53,000 1,477
- Interlink Electronics Inc. 35,200 1,474
- eSPEED, Inc. 33,900 1,473
PMA Capital Corp. Class A 77,211 1,467
- PC Connection, Inc. 25,650 1,462
- InterWorld Corp. 71,300 1,462
- Paxson Communications Corp. 171,700 1,459
Madison Gas & Electric Co. 73,875 1,459
East West Bancorp, Inc. 101,400 1,458
- Kronos, Inc. 56,050 1,457
- GelTex Pharmaceuticals, Inc. 71,200 1,455
- Midwest Express Holdings, Inc. 67,500 1,451
Westpoint Stevens, Inc. 130,400 1,451
Pultizer, Inc. 34,300 1,447
Queens County Bancorp, Inc. 78,472 1,447
American Financial Holdings, Inc. 91,100 1,446
- MICROS Systems, Inc. 77,900 1,446
- Avid Technology, Inc. 120,300 1,444
- Symmetricom Inc. 57,100 1,442
- kforce.com, Inc. 207,510 1,440
- Westell Technologies, Inc. 95,900 1,439
- Ryan's Family Steak Houses, Inc. 170,300 1,437
- Amylin Pharmaceuticals, Inc. 94,600 1,437
Franklin Electric, Inc. 21,200 1,436
- Bush Boake Allen, Inc. 32,800 1,435
- FOSSIL, INC. 73,700 1,433
E.W. Blanch Holdings, Inc. 70,500 1,432
WD-40 Co. 69,000 1,432
- Brooktrout Technology, Inc. 65,500 1,429
Bandag, Inc. 58,900 1,428
- Net.B@nk, Inc. 114,800 1,428
- eToys Inc. 224,900 1,427
Great Lakes, Inc. REIT 83,800 1,425
- Media Metrix, Inc. 56,000 1,425
- 24/7 Media, Inc. 91,100 1,423
- Prima Energy Corp. 26,600 1,423
- Beringer Wine Estates
Holdings, Inc. 40,300 1,423
Parkway Properties Inc. REIT 46,600 1,421
- Eclipsys Corp. 189,500 1,421
- Per-Se Technologies, Inc. 151,516 1,420
John Nuveen Co. Class A 33,800 1,417
- Nuevo Energy Co. 75,000 1,416
- Volt Information Sciences Inc. 42,900 1,413
- Veterinary Centers of
America, Inc. 102,700 1,412
Liberty Financial Cos., Inc. 64,300 1,411
- Universal Electronics, Inc. 57,400 1,410
Advanta Corp. Class A 115,680 1,410
- Playboy Enterprises, Inc. Class B 109,500 1,410
Cleveland-Cliffs Iron Co. 54,600 1,409
Meditrust Corp. 375,622 1,409
Integra Bank Corp. 82,766 1,407
- Isle of Capri Casinos, Inc. 103,700 1,406
Lone Star Steakhouse &
Saloon, Inc. 138,900 1,406
- Trex Co., Inc. 28,100 1,405
- QRS Corp. 57,200 1,405
- Crestline Capital Corp. 82,300 1,404
- Sykes Enterprises, Inc. 109,000 1,403
R.L.I. Corp. 40,350 1,402
Bergen Brunswig Corp. Class A 254,900 1,402
United National Bancorp 76,246 1,401
- Media 100 Inc. 54,400 1,401
Frontier Financial Corp. 76,200 1,400
- Bright Horizons Family
Solutions, Inc. 65,500 1,400
Clayton Homes Inc. 174,717 1,398
- Azurix Corp. 178,900 1,398
The Trust Co. of New Jersey 76,470 1,396
Mid-State Bancshares 51,200 1,395
- Waste Connections, Inc. 70,600 1,394
- Universal Access, Inc. 56,900 1,394
Great Atlantic & Pacific
Tea Co., Inc. 83,800 1,393
- Alpha Industries, Inc. 31,600 1,392
The Marcus Corp. 114,300 1,386
- Whitehall Jewellers, Inc. 74,250 1,383
- Travelocity.com Inc. 84,400 1,382
Calgon Carbon Corp. 178,100 1,380
- MCSI, INC. 53,300 1,379
- Exelixis, Inc. 41,300 1,378
Neorx Corp. 72,900 1,376
Wabtec Corp. 132,656 1,376
- US Oncology, Inc. 275,182 1,376
GenCorp, Inc. 171,840 1,375
P.H. Glatfelter Co. 134,900 1,374
- Friede Goldman Halter, Inc. 153,715 1,374
- LCC International, Inc. Class A 50,300 1,374
Town & Country Trust REIT 79,800 1,372
AmerUs Life Holdings, Inc. 66,492 1,371
Mills Corp. REIT 72,647 1,367
Tucker Anthony Sutro Corp. 75,900 1,366
- Argosy Gaming Co. 95,000 1,366
- Adeot Technology, Inc. 29,200 1,365
Bank of Granite Corp. 59,618 1,364
- Sunbeam Corp. 396,643 1,363
- Ticketmaster
Online-CitySearch, Inc. 85,500 1,363
- Brio Technology, Inc. 64,300 1,362
- GoTo.com, Inc. 88,900 1,361
- DSET Corp. 44,800 1,361
Southern Peru Copper Corp. 111,600 1,360
- OnDisplay, Inc. 16,700 1,360
RFS Hotel Investors, Inc. REIT 115,700 1,359
IRT Property Co. REIT 159,698 1,357
- Championship Auto Racing
Teams, Inc. 53,100 1,354
Capital Automotive REIT 95,800 1,353
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SMALL-CAP INDEX FUND SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
Chemed Corp. 47,900 $ 1,350
First Financial Bankshares, Inc. 49,070 1,349
California Water Service Group 55,626 1,349
- Hollywood Entertainment Corp. 171,200 1,348
- Castle & Cooke Inc. 69,800 1,348
First Merchants Corp. 63,600 1,348
- Bottomline Technologies, Inc. 39,400 1,347
- Acuson Corp. 99,750 1,347
Wabash National Corp. 112,800 1,347
American States Water Co. 45,200 1,345
CVB Financial Corp. 85,012 1,344
- Heartland Express, Inc. 80,508 1,343
- Young Broadcasting Inc. 52,300 1,343
Argonaut Group, Inc. 78,400 1,343
Brush Engineered Materials Inc. 85,900 1,342
- Technology Solutions Co. 216,825 1,342
- Packaging Corp. of America 132,300 1,340
- Esterline Technologies Corp. 90,000 1,339
- Aradigm Corporation 76,500 1,339
- Choice One Communications Inc. 32,800 1,339
- Albany International Corp. 92,184 1,337
- Sawtek Inc. 23,200 1,335
HRPT Properties Trust REIT 217,300 1,331
- Digene Corp. 32,900 1,328
- Oakley, Inc. 115,500 1,328
- Audiovox Corp. 60,200 1,328
- FutureLink Corp. 184,100 1,323
- SPSS, Inc. 45,400 1,322
Thomas Industries, Inc. 74,750 1,322
- Spectra-Physics Lasers, Inc. 18,900 1,322
The Stride Rite Corp. 215,800 1,322
- Digimarc Corp. 34,300 1,321
National Health Investors REIT 120,000 1,320
- Palm Harbor Homes, Inc. 90,929 1,318
- Supertex, Inc. 26,200 1,317
Analogic Corp. 32,900 1,316
- Plains Resources 82,500 1,315
Jack Henry & Associates 26,200 1,313
The Pep Boys
(Manny, Moe & Jack) 218,600 1,312
- Valentis, Inc. 111,600 1,311
Harleysville National Corp. 40,032 1,311
- Metromedia International
Group, Inc. 275,700 1,310
Service Corp. International 410,600 1,309
BT Financial Corp. 75,693 1,306
LandAmerica Financial Group, Inc. 56,900 1,305
- First Federal Financial Corp. 92,350 1,304
- McMoRan Exploration Co. 79,000 1,304
- Sagent Technology, Inc. 91,400 1,302
Rollins, Inc. 87,400 1,300
- ITT Educational Services, Inc. 74,000 1,300
Arnold Industries, Inc. 107,700 1,299
- Mediacom Communications Corp. 84,400 1,298
- Centillium Communications, Inc. 18,800 1,297
Barnes Group, Inc. 79,500 1,297
- UICI 197,500 1,296
- Beverly Enterprises, Inc. 460,800 1,296
- Lexicon Genetics Inc. 37,700 1,296
- K-V Pharmaceutical Co. Class B 47,550 1,293
- Telxon Corp. 72,300 1,292
- Diversa Corp. 39,000 1,292
Corus Bankshares Inc. 48,800 1,290
- Genlyte Group, Inc. 61,200 1,289
- Basin Exploration Inc. 72,100 1,289
- Calico Commerce Inc. 79,000 1,284
- Robert Mondavi Corp. Class A 41,800 1,283
- Chico's Fas, Inc. 64,100 1,282
- Wild Oats Markets Inc. 101,800 1,279
- MAXIMUS, Inc. 57,800 1,279
- Immersion Corp. 42,600 1,278
- Vail Resorts Inc. 78,200 1,276
Watsco, Inc. 102,050 1,276
- Network Peripherals, Inc. 76,100 1,275
- Del Webb Corp. 83,196 1,274
Kaman Corp. Class A 119,100 1,273
- MetaCreations Corp. 106,000 1,272
- Energy Conversion Devices, Inc. 50,100 1,271
Oneida Ltd. 71,435 1,268
- World Wrestling Federation
Entertainment, Inc. 60,900 1,267
PFF Bancorp, Inc. 69,400 1,267
- CoStar Group, Inc. 50,520 1,266
- Creative Biomolecules, Inc. 90,370 1,265
- Sonosite, Inc. 43,900 1,265
- NS Group Inc. 60,400 1,265
- Orchid Biosciences 33,300 1,264
- Semitool, Inc. 73,000 1,264
General Cable Corp. 155,250 1,261
- Alexander's, Inc. 17,200 1,260
Lindsay Manufacturing Co. 64,195 1,260
- Cadiz Inc. 157,400 1,259
- Tekelec 26,100 1,258
Brown Shoe Company, Inc. 96,500 1,255
Sterling Bancshares, Inc. 115,900 1,253
- Ivex Packaging Corp. 112,400 1,250
- Unit Corp. 92,600 1,250
- Gardner Denver Inc. 69,900 1,249
- Biopure Corp. 66,300 1,247
- StarBase Corporation 117,200 1,245
- Numerical Technologies, Inc. 25,600 1,245
- AirTran Holdings, Inc. 298,800 1,242
- Applied Science &
Technology, Inc. 47,900 1,239
- Lightbridge, Inc. 51,900 1,239
- Applica Inc. 109,467 1,238
- CCC Information Services Group 116,500 1,238
Standard Pacific Corp. 123,500 1,235
Charter Municipal Mortgage
Acceptance Co. 100,300 1,235
- Krispy Kreme Doughnuts, Inc. 16,800 1,235
- ATS Medical, Inc. 84,400 1,234
- Prosoft Training.com 73,400 1,234
- Trammell Crow Co. 114,650 1,232
- Chirex, Inc. 61,600 1,232
- Ziff-Davis Inc. 136,800 1,231
- SoftNet Systems, Inc. 127,900 1,231
- Procom Technology, Inc. 23,800 1,230
- Ames Department Stores, Inc. 158,457 1,228
- Pac-West Telecom, Inc. 61,400 1,228
AREA Bancshares Corp. 55,000 1,227
- Morrison Knudsen Corp. 169,000 1,225
</TABLE>
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MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
Riggs National Corp. 96,900 $ 1,223
- Midway Games Inc. 151,611 1,222
- Genrad, Inc. 135,700 1,221
- Intraware, Inc. 76,000 1,221
Arctic Cat, Inc. 102,800 1,221
- Bluestone Software Inc. 47,500 1,220
- Scientific Games Holdings Corp. 49,600 1,218
- JAKKS Pacific, Inc. 82,550 1,218
- IMRglobal Corp. 93,100 1,216
- SITEL Corp. 245,700 1,213
- Hot Topic, Inc. 37,900 1,213
SJW Corp. 10,200 1,213
- Tularik, Inc. 40,900 1,207
- Therma-Wave Inc. 53,900 1,203
- Sequenom, Inc. 26,500 1,202
Reckson Associates Realty Corp.
Class B REIT 47,256 1,202
- MTI Technology Corp. 149,400 1,195
Lance, Inc. 132,700 1,194
- Fritz Cos., Inc. 115,800 1,194
Harleysville Group, Inc. 71,200 1,193
Ryerson Tull, Inc. 114,847 1,192
Omega Financial Corp. 47,100 1,189
- DUSA Pharmaceuticals, Inc. 40,300 1,189
- I-STAT Corp. 68,000 1,186
Stewart Enterprises, Inc. Class A 335,400 1,184
Deltic Timber Corp. 55,400 1,184
- eGain Communications Corp. 97,600 1,183
South Jersey Industries, Inc. 44,336 1,183
- CDI Corp. 58,000 1,182
- Internet.com Corp. 60,000 1,181
- Information Holdings Inc. 31,900 1,180
- Cumulus Media Inc. 129,300 1,180
- Ribozyme Pharmaceuticals, Inc. 45,700 1,180
- MCK Communications, Inc. 51,000 1,179
- Great Plains Software, Inc. 60,040 1,178
- Monaco Coach Corp. 86,050 1,172
Boykin Lodging Co. REIT 86,800 1,172
- Patterson Dental Co. 22,950 1,170
- Life Technologies, Inc. 22,950 1,170
National Golf Properties, Inc. REIT 55,400 1,170
- Scott Technologies, Inc. 68,000 1,169
- Theragenics Corp. 136,000 1,165
Sovran Self Storage, Inc. REIT 54,300 1,164
- PAREXEL International Corp. 121,600 1,163
Semco Energy Inc. 89,385 1,162
- Netcentives Inc. 62,300 1,160
NACCO Industries, Inc. Class A 32,995 1,159
Watts Industries Class A 91,700 1,158
- Quantum Effect Devices, Inc. 20,300 1,157
JP Realty Inc. REIT 64,900 1,156
- Breakaway Solutions, Inc. 42,800 1,156
- Tanning Technology Corp. 60,000 1,155
- Getty Images, Inc. 31,100 1,153
Harbor Florida Bancshares, Inc. 110,384 1,152
Mine Safety Appliances Co. 48,000 1,152
- Medical Assurance, Inc. 102,296 1,151
Republic Security Financial Corp. 229,519 1,148
- P.F. Chang's China Bistro, Inc. 35,900 1,147
- Datastream Systems, Inc. 91,700 1,146
- Integrated Circut Syetems, Inc. 66,900 1,146
- LodgeNet Entertainment Corp. 47,200 1,145
West Pharmaceutical
Services, Inc. 52,894 1,144
- Harmonic, Inc. 46,195 1,143
- Network Equipment
Technologies, Inc. 113,500 1,142
Aaron Rents, Inc. Class B 90,900 1,142
- Hayes Lemmerz International, Inc. 94,300 1,137
Quanex Corp. 76,100 1,132
- Adtran, Inc. 18,900 1,132
- THQ Inc. 92,850 1,132
- EMCOR Group, Inc. 48,800 1,132
- Salem Communications Corp. 121,800 1,130
- SBS Technologies, Inc. 30,600 1,130
- Immune Response 103,900 1,130
- Checkpoint Systems, Inc. 150,600 1,130
Western Properties Trust REIT 95,000 1,128
- Nucentrix Broadband Networks 44,200 1,127
- Caliper Technologies Corp. 24,500 1,127
- IDX Systems Corp. 79,680 1,125
- Thoratec Laboratories Corp. 69,500 1,125
OceanFirst Financial Corp. 61,000 1,125
- Project Software &
Development, Inc. 62,400 1,123
- Houston Exploration Co. 44,700 1,123
- Labor Ready, Inc. 169,386 1,122
Seacoast Financial Services Corp. 118,100 1,122
- InterVoice-Brite, Inc. 170,800 1,121
Primex Technologies, Inc. 50,900 1,120
- American Classic Voyager Co. 54,200 1,118
Landry's Seafood
Restaurants, Inc. 131,500 1,118
Trenwick Group Inc. 76,750 1,118
- Musicland Stores Corp. 150,200 1,117
- Ventana Medical Systems, Inc. 47,500 1,116
- Champion Enterprises, Inc. 228,948 1,116
CNA Surety Corp. 93,400 1,115
SLI, Inc. 91,875 1,114
- Frontier Oil Corp. 139,200 1,114
Phillips-Van Heusen Corp. 117,200 1,113
- RTI International Metals 97,600 1,110
Omnova Solutions Inc. 177,600 1,110
- Boyd Gaming Corp. 199,500 1,110
- Endocare, Inc. 54,800 1,110
- Guitar Center, Inc. 105,300 1,106
- Canandaigua Brands, Inc. Class B 22,100 1,105
- U.S. Interactive, Inc. 85,400 1,105
- FirstCom Corp. 73,300 1,104
Brenton Banks, Inc. 79,518 1,103
- Entercom Communications Corp. 22,600 1,102
- Net Perceptions, Inc. 69,300 1,100
- Arguss Communications, Inc. 58,200 1,099
- Bio-Rad Laboratories, Inc. Class A 43,800 1,095
- eXcelon Corp. 137,900 1,095
- Miravant Medical Technology 49,000 1,093
- SciQuest.com, Inc. 95,400 1,091
- MatrixOne, Inc. 26,800 1,089
- General Communication, Inc. 212,300 1,088
- S1 Corp. 46,650 1,088
- Pennaco Energy, Inc. 66,400 1,087
- The Yankee Candle Company, Inc. 50,200 1,086
</TABLE>
45
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
Mid-America Bancorp 43,351 $ 1,084
Baldwin & Lyons, Inc. Class B 63,500 1,083
Burnham Pacific Properties,
Inc. REIT 157,400 1,082
- Coinstar, Inc. 107,200 1,079
- Cytogen Corp. 106,400 1,077
- Retek Inc. 33,600 1,075
SCPIE Holdings Inc. 52,400 1,074
Gerber Scientific, Inc. 93,400 1,074
New England Business
Service, Inc. 65,900 1,071
- Cognizant Technology
Solutions Corp. 32,200 1,069
- Nexell Therapeutics Inc. 71,800 1,068
- Speedway Motorsports, Inc. 46,400 1,067
- Iron Mountain, Inc. 31,370 1,067
Equity Inns, Inc. REIT 174,100 1,066
- Mobile Mini, Inc. 48,300 1,066
- Rudolph Technologies, Inc. 27,400 1,062
United Community Financial Corp. 159,500 1,062
- BOK Financial Corp. 60,444 1,062
- Consolidated Products Inc. 117,899 1,061
- Pegasus Communications Corp.
Class A 21,600 1,060
Russ Berrie and Co., Inc. 55,000 1,059
- TenFold Corp. 64,400 1,059
- CyberSource Corp. 76,600 1,058
- NETsilicon, Inc. 32,300 1,058
- MP3.com, Inc. 77,800 1,055
- CACI International, Inc. 54,100 1,055
- Echelon Corp. 18,200 1,054
- Satcon Technology Corp. 41,200 1,053
- 3DO Co. 134,100 1,052
- BSQUARE Corp. 46,800 1,050
- GlobalNet Financial.com, Inc. 50,000 1,050
Zenith National Insurance Corp. 49,400 1,050
- Secure Computing Corp. 55,800 1,050
Polymer Group, Inc. 113,200 1,047
- WorldPages.com, Inc. 174,400 1,046
Entertainment Properties
Trust REIT 75,700 1,046
- Ultimate Electronics, Inc. 39,000 1,045
- Cyberonics, Inc. 87,045 1,045
- Matrix Pharmaceutical, Inc. 79,800 1,042
- WorldGate Communications, Inc. 58,700 1,042
Pennsylvania REIT 60,800 1,041
- AmeriPath, Inc. 117,100 1,039
First Financial Holdings, Inc. 75,400 1,037
The Warnaco Group, Inc. Class A 133,200 1,032
Churchill Downs, Inc. 44,000 1,029
- O'Charley's Inc. 75,400 1,027
- Razorfish Inc. 63,900 1,026
Curtiss-Wright Corp. 27,600 1,026
- iBEAM Broadcasting Corp. 56,900 1,024
- Ocular Sciences, Inc. 87,000 1,022
- AVT Corp. 138,600 1,022
- American Telesource Intl, Inc. 161,800 1,021
- MKS Instruments, Inc. 26,100 1,021
- Vyyo Inc. 37,800 1,021
Cash America International Inc. 138,212 1,019
Premier National Bancorp, Inc. 78,310 1,018
- SAVVIS Communications Corp. 77,700 1,015
- Nanometrics Inc. 24,600 1,013
- ITXC Corp. 28,600 1,013
First Indiana Corp. 50,920 1,012
Century South Banks, Inc. 52,200 1,011
North Pittsburgh Systems, Inc. 68,500 1,010
- Ocwen Financial Corp. 181,600 1,010
Dover Downs Entertainment, Inc. 72,100 1,009
InterWest Bancorp Inc. 72,000 1,008
Robbins & Myers, Inc. 44,178 1,008
- Marimba, Inc. 72,200 1,006
Oshkosh B Gosh, Inc. Class A 61,400 1,005
- Geoworks 63,800 1,005
Cascade Natural Gas Corp. 60,200 1,005
- APAC Teleservices, Inc. 90,700 1,003
FBL Financial Group, Inc. Class A 63,700 1,003
Burlington Coat Factory
Warehouse Corp. 92,740 1,003
- National Instruments Corp. 22,970 1,002
The Standard Register Co. 70,300 1,002
- Acme Communications, Inc. 54,700 998
- Cabot Microelectronics Corp. 21,800 997
- Data Broadcasting Corp. 157,830 996
Alabama National BanCorporation 50,100 993
- Aphton Corp. 38,500 991
- Billing Concepts Corp. 223,400 991
- Stanford Microdevices, Inc. 22,800 990
- SmartDisk Corp. 36,000 990
Vector Group Ltd. 67,110 990
- Amerco, Inc. 49,420 988
Kansas City Life Insurance Co. 36,760 988
Schweitzer-Mauduit
International, Inc. 78,900 986
- Nortek, Inc. 49,900 986
- Hypercom Corp. 68,500 985
Providence Energy Corp. 24,300 984
- Metrocall, Inc. 109,300 984
Strayer Education, Inc. 40,950 983
- Insignia Financial Group, Inc. 98,200 982
- ePresence, Inc. 135,300 981
- Antec Corp. 23,600 981
- Mesa Air Group Inc. 177,300 981
The MONY Group Inc. 29,000 981
- CB Richard Ellis Services, Inc. 107,329 979
- Financial Federal Corp. 56,250 977
Winnebago Industries, Inc. 74,800 977
Universal Forest Products, Inc. 71,000 976
- Thermo Electron Corp. 44,190 976
- Wit Soundview Group Inc. 90,800 975
- Electro Rent Corp. 79,558 975
First Source Corp. 62,034 973
- Wesco International, Inc. 101,700 973
- ChromaVision Medical
Systems, Inc. 73,600 971
- Algos Pharmaceutical Corp. 63,600 970
- Novadigm, Inc. 49,100 970
Dime Community Bancshares 59,500 967
- Pegasus Solutions Inc. 88,750 965
- Braun Consulting, Inc. 45,600 963
- infoUSA Inc. 148,000 962
Centex Construction Products, Inc. 42,400 962
</TABLE>
46
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
- Mail.Com, Inc. 168,700 $ 959
- Electric Lightwave, Inc. Class A 51,300 959
- Revlon, Inc. Class A 151,800 958
- Edison Schools Inc. 41,300 958
- Research Frontiers, Inc. 31,900 957
Columbus McKinnon Corp. 68,900 956
Sturm, Ruger & Co., Inc. 107,700 956
- Arch Capital Group Ltd. 63,800 953
F & M Bancorp 48,159 951
Luby's, Inc. 118,700 950
- Net2Phone, Inc. 26,584 949
Sauer-Danfoss, Inc. 96,000 948
- Collateral Therapeutics, Inc. 37,300 946
First Financial Corp.-Indiana 31,000 946
- CareInsite, Inc. 52,800 944
- PICO Holdings, Inc. 67,100 944
Medallion Financial Corp. 61,100 943
- ARIAD Pharmaceuticals, Inc. 70,800 943
- iVillage Inc. 111,700 942
- Ventas, Inc. REIT 295,500 942
Standex International Corp. 59,300 941
- U.S. Wireless Corporation 44,000 941
- Hexcel Corp. 98,900 940
- Proxicom, Inc. 19,600 938
Carbo Ceramics Inc. 26,700 938
- URS Corp. 66,900 937
Farmer Brothers, Inc. 5,350 936
Pan Pacific Retail Properties,
Inc. REIT 46,500 936
Cato Corp. Class A 80,500 936
- 3Dfx Interactive, Inc. 119,800 932
BSB Bancorp, Inc. 46,450 932
Sandy Spring Bancorp, Inc. 45,500 930
- Quokka Sports, Inc. 115,500 928
Analysts International Corp. 99,600 928
- US LEC Corp. Class A 54,500 927
- Wind River Systems Inc. 24,426 925
- Nabi 125,900 921
- Martek Biosciences Corp. 49,100 921
Student Loan Corp. 21,900 920
- IGEN International, Inc. 55,400 918
- Management Network Group Inc. 26,100 914
Saul Centers, Inc. REIT 56,600 913
First Federal Capital Corp. 82,500 913
- David's Bridal Inc. 78,700 910
LaSalle Hotel Properties REIT 63,200 909
- Columbia Sportswear Co. 33,800 908
- Ramp Networks, Inc. 76,200 905
- SpectraLink Corp. 61,800 904
- eMagin Corporation 66,300 899
- Persistence Software, Inc. 49,500 897
- Thermo Cardiosystems Inc. 89,600 896
- Meta Group, Inc. 46,500 895
- McAfee.com Corp. 34,300 894
RPC Inc. 84,600 894
- BioCryst Pharmaceuticals, Inc. 31,000 889
- Interactive Intelligence Inc. 23,700 889
- The Source Information Management Co. 58,200 888
- Group 1 Automotive, Inc. 73,900 887
- Skechers U.S.A., Inc. 56,000 886
- Spinnaker Exploration Co. 34,500 884
- Hanover Direct, Inc. 565,200 883
- M.S. Carriers, Inc. 50,000 881
Stewart Information Services Corp. 60,100 879
- Somera Communications, Inc. 64,300 876
- Interact Commerce Corp. 74,100 875
Southwestern Energy Co. 139,600 873
- II-VI, Inc. 18,025 872
- CryoLife Inc. 37,900 872
Coachmen Industries, Inc. 75,500 868
Chiquita Brands International, Inc. 220,300 867
- Powertel Inc. 12,200 865
- Jupiter Communications, Inc. 37,600 865
Brookline Bancorp, Inc. 75,600 865
- National Western Life Insurance
Co. Class A 12,000 864
Myers Industries, Inc. 80,346 864
- Viador, Inc. 54,400 864
- Seitel, Inc. 106,200 863
- DVI, Inc. 53,900 862
- MyPoints.com, Inc. 45,500 862
- PRAECIS Pharmaceuticals Inc. 30,900 861
Irwin Financial Corp. 59,600 860
- National Information Consortium, Inc. 75,500 859
- FirePond, Inc. 23,800 857
- Metawave Communications Corp. 32,100 857
State Auto Financial Corp. 72,100 856
- EpicEdge, Inc. 37,200 856
Ethyl Corp. 341,900 855
- Sonic Foundry, Inc. 42,600 852
- Crossroads Systems, Inc. 33,700 851
- EEX Corp. 146,266 850
- TransMontaigne Inc. 138,700 850
- Juno Online Services, Inc. 79,000 849
- Navigant Consulting, Inc. 199,500 848
- ORATEC Interventions, Inc. 25,400 848
- Gaylord Container Corp. 315,300 847
- Network Access Solutions Corp. 88,600 847
- Integrated Electrical Services,Inc. 165,100 846
- IntraBiotics Pharmaceuticals, Inc. 31,700 846
- DigitalThink, Inc. 23,500 843
- Burns International Services Corp. 67,400 843
- Intrusion.com, Inc. 74,300 841
- GoAmerica, Inc. 54,400 840
- Digital River, Inc. 109,000 838
Lawson Products, Inc. 34,000 837
- Golden Telecom, Inc. 28,100 836
Exide Corp. 104,100 833
- Predictive Systems, Inc. 23,100 830
- Professional Detailing, Inc. 24,200 824
- NETRIX Corp. 66,900 824
WFS Financial, Inc. 47,700 823
- Magnatek 102,800 822
Oriental Financial Group 56,866 821
- The viaLink Company 79,300 818
Interface, Inc. 214,500 818
-The TriZetto Group, Inc. 50,400 816
- NetCreations, Inc. 17,800 815
- CSK Auto Corp. 107,200 811
</TABLE>
47
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
First Washington Realty Trust,
Inc. REIT 36,700 $ 810
- Value City Department Stores, Inc. 85,100 808
- Central Garden and Pet Co. 90,100 808
- Vivus, Inc. 116,100 805
- Columbia Laboratories Inc. 139,900 804
- Airnet Communications Corp. 30,700 802
- Latitude Communications, Inc. 71,600 801
Great American Financial Resources, Inc. 45,200 799
- Twinlab Corp. 125,200 798
Tejon Ranch Co. 35,300 796
- Crown Media Holdings, Inc. 52,000 796
- Dura Automotive Systems, Inc. 73,635 796
Haverty Furniture Cos., Inc. 93,400 794
- Mediaplex, Inc. 41,100 794
- Standard Microsystem 51,400 790
- Cylink Corp. 47,000 787
National Presto Industries, Inc. 25,600 787
- Closure Medical Corp. 34,100 784
- CardioDynamics International Corp. 124,800 784
- Griffon Corp. 140,600 782
- Century Business Services, Inc. 403,200 781
- Advantage Learning Systems, Inc. 50,800 781
- Key Production Co., Inc. 44,600 781
- Wolverine Tube, Inc. 45,900 780
The Ackerley Group, Inc. 66,100 777
- Unify Corp. 90,600 776
- IXYS Corp. 14,500 774
Spiegel, Inc. Class A 91,000 774
Bay View Capital Corp. 78,821 773
Thor Industries, Inc. 36,700 771
- American Axle & Manufacturing
Holdings, Inc. 54,300 770
- United Natural Foods, Inc. 55,900 769
- Regent Communications, Inc. 89,000 765
Arch Coal, Inc. 98,800 760
BancWest Corp. 46,200 759
- Deltathree.com, Inc. 52,000 757
Interpool, Inc. 77,450 755
- AVANT Immunotherapeutics, Inc 71,300 753
- Xceed Inc. 81,900 747
- HotJobs.com Ltd. 54,100 747
Prime Group Realty Trust REIT 49,200 747
- Versata, Inc. 18,500 746
- Davox Corp. 57,400 743
- Wackenhut Corp. 57,300 741
- Telaxis Communications Corp. 23,600 738
- NetScout Systems, Inc. 57,200 736
BancFirst Corp. 23,358 736
- GC Cos. 32,850 735
- Advanced Tissue Sciences Inc. 91,400 734
- On Command Corp. 51,500 734
- Pixelworks, Inc. 32,200 733
Stepan Co. 31,500 732
- Clayton Williams Energy, Inc. 22,900 731
- Information Architects Corp. 105,100 729
- Horizon Offshore, Inc. 47,000 729
- Lante Corp. 35,600 728
- NHancement Technologies Inc. 54,600 727
- Daleen Technologies, Inc. 46,900 724
- Mesaba Holdings, Inc. 75,550 722
- Belco Oil & Gas Corp. 84,700 720
- Hotel Reservations Network, Inc. 24,200 720
White Electronic Designs Corp. 56,700 719
- CSS Industries, Inc. 35,100 717
- ADE Corp. 37,400 715
- NetSolve, Inc. 27,500 715
- Quintus Corp. 35,900 713
- ePlus Inc. 26,955 713
- Netsol International, Inc. 20,000 710
Detroit Diesel Corp. 48,100 709
Westcorp, Inc. 59,140 706
- Alamosa PCS Holdings, Inc. 33,700 703
CPI Corp. 33,300 703
- eMerge Interactive, Inc. 39,210 703
- BioMarin Pharmaceutical Inc. 41,300 702
Metals USA, Inc. 149,475 701
- e-MedSoft.com 86,700 694
- Terremark Worldwide, Inc. 140,000 691
Tanger Factory Outlet Centers,
Inc. REIT 29,300 689
- Gadzoox Networks, Inc. 50,300 688
- Software Technologies Corp. 22,400 687
Santander BanCorp 53,690 685
- Philadelphia Consolidated
Holding Corp. 40,700 684
- Kaiser Aluminum & Chemical Corp. 170,900 684
- Diametrics Medical, Inc. 120,700 683
- NationsRent, Inc. 178,900 682
CPB, Inc. 27,200 680
Woodward Governor Co. 23,900 677
- Comfort Systems USA, Inc. 169,000 676
- Targeted Genetics Corp. 45,400 675
Andover Bancorp, Inc. 23,400 674
- IMPSAT Fiber Networks, Inc. 40,000 670
- Level 8 Systems Inc. 31,800 670
- FiberNet Telecom Group, Inc. 39,200 666
- The InterCept Group, Inc. 38,900 661
- VaxGen, Inc. 30,200 661
- Ebenx Inc. 31,100 659
Vital Signs, Inc. 36,300 658
- Stoneridge,Inc. 74,800 655
Bush Industries, Inc. 40,900 654
- Teletech Holdings Inc. 21,000 652
- Guess ?, Inc. 46,400 650
- Tuesday Morning Corp. 61,400 645
- Knight Transportation, Inc. 44,100 642
- Corinthian Colleges, Inc. 27,400 642
- Modem Media . Poppe Tyson, Inc. 51,600 642
- DLJdirect 89,900 641
- Embarcadero Technologies, Inc. 21,800 640
- click2learn.com, inc. 36,300 640
- Vertex Interactive, Inc. 62,800 640
- Cheap Tickets, Inc. 53,300 640
Gibraltar Steel 45,650 639
- DSL.Net, Inc. 61,700 636
- Caminus Corp. 25,900 635
NBT Bancorp, Inc. 59,197 633
- Stamps.Com Inc. 86,100 630
</TABLE>
48
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------
<S> <C> <C>
- STAAR Surgical Co. 56,200 $ 629
- Bacou USA Inc. 31,400 628
Florida East Coast Railway Co. 15,700 628
- Intelidata Technologies Corp. 60,700 626
Mississippi Valley Bancshares, Inc. 25,800 626
- Buca, Inc. 40,000 625
- NetObjects Inc. 68,400 624
- FirstWorld Communications Inc. 58,900 618
Rock-Tenn Co. 71,860 615
- MSI Holdings, Inc. 67,700 614
- Credit Acceptance Corp. 109,500 609
- Schein Pharmaceutical, Inc. 28,100 608
Northwest Bancorp, Inc. 88,300 607
- AGENCY.COM Inc. 34,050 607
- SurModics, Inc. 23,300 606
- Res-Care, Inc. 112,600 605
- Beasley Broadcast Group, Inc. 44,400 605
CityBank Lynnwood WA 23,100 603
- NetRatings, Inc. 23,500 602
- AppliedTheory Corp. 40,100 602
- Dot Hill Systems Corp. 54,600 601
Talbots Inc. 10,900 599
- NEON Systems, Inc. 31,900 598
- Luminex Corp. 14,300 595
- Extensity, Inc. 17,300 593
- The Buckle, Inc. 50,400 592
- Electronics Boutique Holdings Corp. 36,000 590
- King Pharmaceuticals, Inc. 13,435 589
- CAIS Internet, Inc. 41,900 589
BankAtlantic Bancorp, Inc. Class B 99,900 587
- NextCard, Inc. 68,400 581
- Aspect Medical Systems, Inc. 21,500 581
- Connetics Corporation 39,400 579
- NPC International Class A 64,400 578
- First Consulting Group, Inc. 103,500 576
- Xybernaut Corporation 51,100 572
Hickory Tech Corporation 46,900 572
NCH Corp. 15,700 568
- Manhattan Associates, Inc. 22,700 568
- Cyber-Care, Inc. 56,700 564
- Prodigy Communications Corp. Class A 53,600 563
- Earthshell Corp. 184,400 559
Superior Telecom Inc. 56,096 557
Farmers Capital Bank Corp. 18,300 556
National Steel Corp. Class B 131,800 552
- VASCO Data Security International, Inc. 40,100 549
Value Line, Inc. 14,100 543
- National Processing, Inc. 43,300 541
- International Specialty Products, Inc. 94,500 537
- America Online, Inc. 10,162 536
First Busey Corp. 32,600 536
- Digital Courier Technologies, Inc. 83,700 534
Coca-Cola Bottling Co. 11,722 533
Liqui-Box Corp. 10,600 525
Capital City Bank Group, Inc. 26,900 525
- GRIC Communications, Inc. 29,200 524
Pilgrim's Pride Corp. 73,400 523
- Digitas Inc. 31,900 520
- Convergent Communications, Inc. 64,900 519
- Chordiant Software, Inc. 31,200 519
- Xpedior Inc. 37,400 517
- Optical Cable Corp. 17,000 514
Gentek, Inc. 45,907 514
- The Meridian Resource Corp. 89,244 508
- Penn National Gaming, Inc. 37,000 504
- American Technical Ceramics Corp. 18,000 502
- netGure, Inc. 28,000 501
- COPE, Inc. 9,400 500
- Digital Impact, Inc. 35,100 496
- Varco International, Inc. 21,322 496
- barnesandnoble.com inc. 75,300 492
- OTG Software, Inc. 17,200 491
- Sciclone Pharmaceuticals 37,600 486
- Ulticom, Inc. 20,200 485
American Industrial Properties REIT 35,400 480
- On2.com Inc. 93,200 478
- Cypress Communications, Inc. 65,700 476
- C-bridge Internet Solutions, Inc. 27,400 476
- Vasomedical, Inc. 100,300 473
- Saga Communications, Inc. 21,500 473
Ingles Markets, Inc. 45,000 470
Seaboard Corp. 2,730 470
- Scientific Learning Corp. 21,200 469
Fedders Corp. 80,200 466
- Aurora Foods Inc. 116,500 466
- Rexall Sundown, Inc. 19,400 466
- Coldwater Creek Inc. 15,400 464
- Cysive, Inc. 19,300 461
- Local Financial Corp. 55,100 460
- Siliconix, Inc. 6,800 459
- Inforte Corp. 12,700 457
- SVI Holdings, Inc. 89,100 457
- KEMET Corp. 18,200 456
- NetZero Inc. 86,400 451
- Interlogix, Inc. 32,507 447
- Corillian Corp. 26,700 444
- Blount International, Inc. 57,133 439
- Syntel, Inc. 43,875 439
- Expedia Inc. 29,600 438
- MarketWatch.com, Inc. 23,200 436
- Centennial Bancorp 49,739 432
- Switchboard Inc. 43,000 430
- Genta Incorporated 65,900 428
- USinternetworking, Inc. 20,825 426
- Saba Software, Inc. 20,100 422
- Pegasystems Inc. 83,500 418
- Trendwest Resorts, Inc. 25,300 408
- Paradigm Genetics, Inc. 33,000 402
- Systemax Inc. 103,100 400
- eMachines, Inc. 146,600 394
- Caldera Systems, Inc. 30,000 392
- Arch Communications Group, Inc 60,200 391
- United Auto Group, Inc. 42,500 388
Skyline Corp. 18,000 387
</TABLE>
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<TABLE>
<CAPTION>
------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
------------------------------------------------------------------------
<S> <C> <C>
- Eprise Corp. 23,200 $ 381
Valhi, Inc. 36,600 380
- Centennial Communications Corp.
Class A 27,600 380
- VIA NET.WORKS, Inc. 24,200 374
- Neoforma.com, Inc. 52,900 372
- Gaiam, Inc. 19,500 361
- Inet Technologies, Inc. 6,600 358
- Allos Therapeutics Inc. 36,200 353
- Telocity Inc. 77,300 353
- Avenue A, Inc. 40,000 353
- Kenneth Cole Productions, Inc. 8,750 350
McGrath Rent Corp. 20,100 342
- Blaze Software, Inc. 25,000 341
Harris Financial, Inc. 54,900 340
- Envision Development Corp. 13,000 338
- eLOT, Inc. 174,400 327
- Celsion Corporation 110,600 318
- Intelect Communications, Inc. 137,100 317
Fedders Corp. Class A 67,612 313
- ValueClick, Inc. 30,400 312
- E-LOAN, Inc. 65,100 309
A.M. Castle & Co. 36,825 306
- eGlobe, Inc. 98,500 296
- Lightspan Inc. 53,500 294
- Genomic Solutions Inc. 19,900 291
- 1-800-FLOWERS.COM, Inc. 56,000 287
- Loudeye Technologies, Inc. 16,300 284
- LivePerson, Inc. 32,300 281
First Niagra Financial Group, Inc. 29,700 278
- West TeleServices Corp. 11,000 278
- Pharmaceutical Resources, Inc. 51,800 272
- Organic, Inc. 27,600 269
- bebe stores, inc. 31,700 265
CKE Restaurants Inc. 87,500 263
- Thermo Fibertek, Inc. 55,100 262
- Protection One, Inc. 118,500 259
- Jo-Ann Stores, Inc. Class B 33,900 258
- Thermo Ecotek Corp. 27,300 256
Reliance Group Holdings 335,900 252
- Imatron, Inc. 103,400 242
- Tyler Technologies, Inc. 89,800 230
- Opus360 Corp. 62,300 230
- coolsavings.com Inc. 37,820 229
City Holding Co. 37,510 220
- Uproar Ltd. 29,500 219
- Techniclone Corp. 53,300 207
- Amtran, Inc. 16,600 206
United Fire & Casualty Co. 13,125 203
- Silgan Holdings, Inc. 20,600 202
- A.S.V., Inc. 13,700 197
- Consolidated Stores, Inc. 16,100 193
Three Rivers Bancorp, Inc. 28,749 189
- PEC Solutions, Inc. 23,200 189
- National-Oilwell, Inc. 5,102 168
- MessageMedia Inc. 46,400 162
- Women.com Networks, Inc. 78,600 162
Jones Pharma, Inc. 3,600 144
- K-V Pharmaceutical Co. Class A 5,000 133
- Packard BioScience Co. 7,600 129
BankAtlantic Bancorp, Inc. Class A 32,066 120
- Cellstar Corp. 41,600 116
Pilgrim's Pride Corp. Class A 20,350 111
Lexington Corporate Properties
Trust REIT 8,200 92
First Washington Bancorp, Inc. 6,400 89
- Comstock Resources, Inc. 10,500 84
- Jo-Ann Stores, Inc. Class A 11,400 80
- Elan Corp. Contingent Value Rights 154,200 77
- Epicor Software Corp. 26,490 66
- Information Resources, Inc. 14,900 59
- Infogrames, Inc. 6,720 55
Second Bancorp, Inc. 2,900 44
- Kopin Corp. 600 42
- Wackenhut Corp. Class B 3,656 34
- ProcureNet, Inc. 136,100 20
- CompuCom Systems, Inc. 11,700 19
J.M. Smucker Co. Class B 1,000 19
- Sunbeam Corp. Warrants
Exp. 8/24/2003 24,726 17
- CSF Holdings Inc. Contingent
Litigation Rights 29,125 15
- Burlington Industries, Inc. 6,100 10
------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $4,220,761) 4,570,580
------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (3.4%)(1)
------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 6.08%, 8/17/2000 $ 2,500 2,480
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 6.45%, 8/3/2000 1,000 994
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000 20,144 20,144
6.71%, 7/3/2000--Note G 130,780 130,780
------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $154,399) 154,398
------------------------------------------------------------------------
TOTAL INVESTMENTS (103.0%)
(COST $4,375,160) 4,724,978
------------------------------------------------------------------------
</TABLE>
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<TABLE>
<CAPTION>
------------------------------------------------------------------------
MARKET
VALUE*
(000)
------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES--NET (-3.0%) (136,818)
------------------------------------------------------------------------
NET ASSETS (100%) $ 4,588,160
========================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment
positions represent 99.8% and 3.2%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2)Securities with an aggregate value of $3,474,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
<S> <C>
-----------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
-----------------------------------------------------------------------
ASSETS
Investments in Securities, at Value $4,724,978
Receivables for Investment Securities Sold 431,758
Other Assets--Note B 33,485
-----------
Total Assets 5,190,221
-----------
LIABILITIES
Payables for Investment Securities Purchased 461,437
Other Liabilities--Note G 140,624
-----------
Total Liabilities 602,061
-----------
-----------------------------------------------------------------------
NET ASSETS $ 4,588,160
=======================================================================
<CAPTION>
-----------------------------------------------------------------------
AMOUNT
(000)
-----------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-----------------------------------------------------------------------
<S> <C>
Paid in Capital $ 3,880,335
Undistributed Net Investment Income 21,127
Accumulated Net Realized Gains 336,815
Unrealized Appreciation--Note F
Investment Securities 349,818
Futures Contracts 65
-----------------------------------------------------------------------
NET ASSETS $ 4,588,160
=======================================================================
Investor Shares--Net Assets
Applicable to 169,025,783 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 4,096,303
-----------------------------------------------------------------------
NET ASSET VALUE PER SHARE
INVESTOR SHARES $24.23
=======================================================================
Institutional Shares--Net Assets
Applicable to 20,279,052 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 491,857
-----------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $ 24.25
=======================================================================
</TABLE>
51
<PAGE> 166
<TABLE>
<CAPTION>
------------------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (100.3%)
------------------------------------------------------------------------
- Lattice Semiconductor Corp. 100,500 $ 6,947
- Protein Design Labs, Inc. 40,000 6,598
- Vertex Pharmaceuticals, Inc. 53,600 5,648
- RSA Security Inc. 80,700 5,588
- Techne 41,900 5,447
- Digital Microwave Corp. 142,300 5,425
Jones Pharma, Inc. 133,775 5,343
Dallas Semiconductor Corp. 122,900 5,008
Expeditors International of
Washington, Inc. 104,000 4,940
- Cor Therapeutics, Inc. 54,000 4,607
- Cognex Corp. 87,800 4,544
- National Instruments Corp. 102,705 4,481
- KEMET Corp. 177,500 4,449
True North Communications 101,000 4,444
Alpharma, Inc. Class A 71,000 4,420
SEI Corp. 108,300 4,312
- Coherent, Inc. 51,300 4,303
- Plexus Corp. 37,300 4,215
Jack Henry & Associates 83,200 4,170
- Cephalon, Inc. 69,300 4,149
- Aspect Communications Corp. 104,800 4,120
- Silicon Valley Bancshares 94,100 4,011
- Plantronics, Inc. 33,100 3,823
- Catalina Marketing Corp. 37,400 3,815
- Gentex Corp. 150,800 3,789
- Dycom Industries, Inc. 79,600 3,662
- ChoicePoint Inc. 81,945 3,647
- Alpha Industries, Inc. 81,300 3,582
- Enzo Biochem, Inc. 51,700 3,567
- Remedy Corp. 63,700 3,551
- Patterson Dental Co. 68,800 3,509
- BISYS Group, Inc. 56,700 3,487
- Snyder Communications, Inc. 146,800 3,487
- Medicis Pharmaceutical Corp. 59,900 3,414
- Newfield Exploration Co. 86,500 3,384
- Priority Healthcare Corp. Class B 45,500 3,381
Eaton Vance Corp. 72,600 3,358
Technitrol, Inc. 33,400 3,236
National Computer Systems, Inc. 65,400 3,221
- Insight Enterprises, Inc. 54,300 3,221
Arthur J. Gallagher & Co. 76,000 3,192
- Black Box Corp. 40,000 3,167
- Barr Labs Inc. 70,550 3,162
- Vicor Corp. 86,700 3,018
C & D Technology Inc. 53,000 2,995
- Kulicke & Soffa Industries, Inc. 49,300 2,927
- Timberland Co. 41,300 2,925
Commerce Bancorp, Inc. 62,544 2,877
- Zebra Technologies Corp. Class A 64,400 2,854
- Adaptive Broadband Corp. 76,500 2,811
Methode Electronics, Inc. Class A 72,700 2,808
- American Management
Systems, Inc. 84,900 2,787
- 99 Cents Only Stores 68,400 2,727
- Dendrite International, Inc. 79,850 2,660
CTS Corp. 56,900 2,561
- Three-Five Systems, Inc. 43,200 2,549
- Proxim, Inc. 25,700 2,543
- Varian Medical Systems, Inc. 63,800 2,496
- Verity, Inc. 63,900 2,428
Investors Financial Services Corp. 60,600 2,405
- Electro Scientific Industries, Inc. 54,500 2,400
- Aware, Inc. 45,900 2,347
- Pioneer Group, Inc. 54,700 2,318
- Pinnacle Systems, Inc. 102,200 2,298
- Trimble Navigation Ltd. 47,000 2,294
Cambrex Corp. 50,800 2,286
- Renal Care Group, Inc. 92,300 2,257
- Stone Energy Corp. 37,700 2,253
- Orthodontic Centers of
America, Inc. 98,900 2,238
- Hain Celestial Group, Inc. 59,400 2,179
- Aeroflex, Inc. 43,700 2,171
- Actel Corp. 47,400 2,163
- Hyperion Solutions Corp. 66,400 2,154
- Regeneron Pharmaceuticals, Inc. 71,600 2,135
- Artesyn Technologies, Inc. 76,200 2,119
- Heidrick & Struggles
International, Inc. 33,300 2,102
Cross Timbers Oil Co. 94,100 2,082
- Aspen Technologies, Inc. 53,300 2,052
- Barrett Resources Corp. 66,800 2,033
Delta & Pine Land Co. 78,400 1,965
- RadiSys Corp. 34,500 1,958
- Jack in the Box Inc. 78,200 1,926
- C-COR Electronics, Inc. 69,100 1,866
Skywest, Inc. 50,300 1,864
FactSet Research Systems Inc. 65,900 1,862
- Tetra Tech, Inc. 80,000 1,830
Pogo Producing Co. 82,500 1,825
Helix Technology Corp. 46,200 1,802
- EGL, Inc. 58,500 1,799
- Copart, Inc. 109,900 1,758
- Administaff, Inc. 27,600 1,753
- Syncor International Corp. 24,300 1,750
- Cal Dive International, Inc. 32,100 1,739
- ADVO, Inc. 41,200 1,730
- The Cheesecake Factory 62,550 1,720
- American Xtal Technology, Inc. 38,600 1,669
- ResMed Inc. 62,400 1,669
- Dril-Quip, Inc. 35,300 1,650
Applebee's International, Inc. 54,400 1,649
Roper Industries Inc. 62,200 1,594
- Buckeye Technology, Inc. 71,400 1,566
Polaris Industries, Inc. 48,900 1,565
- ZixIt Corp. 33,800 1,557
MacDermid, Inc. 63,700 1,497
- Biotechnology General 111,200 1,466
- Visual Networks, Inc. 51,400 1,465
- Startek, Inc. 28,600 1,441
- Beringer Wine Estates
Holdings, Inc. 40,300 1,423
- Barra, Inc. 28,600 1,417
- Mercury Computer Systems, Inc. 43,500 1,406
- Pre-Paid Legal Services, Inc. 46,100 1,377
- Insituform Technologies Class A 50,700 1,375
- On Assignment, Inc. 45,000 1,373
Trustco Bank 109,340 1,367
</TABLE>
52
<PAGE> 167
<TABLE>
<CAPTION>
------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
------------------------------------------------------------------------
<S> <C> <C>
- Wesley Jessen VisionCare, Inc. 36,100 1,356
Manitowac Co., Inc. 50,450 1,350
Graco, Inc. 41,500 1,349
Mentor Corp. 49,600 1,349
- Noven Pharmaceuticals, Inc. 44,465 1,337
- Concord Communications, Inc. 33,290 1,327
- Systems & Computer
Technology Corp. 66,300 1,326
- Progress Software Corp. 73,000 1,309
- Valence Technology 70,300 1,296
- Alliant Techsystems, Inc. 19,200 1,295
Fair Issac & Co. 29,300 1,289
- FileNet Corp. 69,965 1,286
- eLoyalty Corp. 100,400 1,280
- FOSSIL, Inc. 65,650 1,276
- Atwood Oceanics, Inc. 28,200 1,255
Cabot Oil & Gas Corp. Class A 58,000 1,229
- Atlantic Coast Airlines
Holdings Inc. 38,200 1,213
- Dionex Corp. 45,200 1,209
- Cost Plus, Inc. 41,900 1,202
- HS Resources Inc. 38,500 1,155
- General Semiconductor, Inc. 77,100 1,137
- MemberWorks, Inc. 33,100 1,113
Cohu, Inc. 41,200 1,111
- Landstar System 18,400 1,096
- Alliance Pharmaceutical Corp. 96,400 1,085
- Biomatrix, Inc. 47,800 1,081
Hooper Holmes, Inc. 135,100 1,081
- Sonic Corp. 36,600 1,075
- Specialty Equipment Cos., Inc. 39,200 1,063
- ADAC Laboratories 42,200 1,013
- ViaSat, Inc. 18,600 1,009
- Triarc Cos., Inc. Class A 48,900 1,002
Libbey, Inc. 31,100 999
- Brightpoint, Inc. 113,600 983
- Advanced Tissue Sciences Inc. 122,300 982
Hilb, Rogal and Hamilton Co. 26,500 919
- Teledyne Technologies, Inc. 54,800 918
- Advance Paradigm, Inc. 43,800 898
- P-Com, Inc. 155,500 884
- NBTY, Inc. 137,300 875
- Heartland Express, Inc. 51,800 864
- MedQuist, Inc. 24,822 844
- SCP Pool Corp. 34,600 813
- Project Software &
Development, Inc. 44,600 803
- Great Plains Software, Inc. 40,900 803
Coca-Cola Bottling Co. 17,600 801
- Organogenesis, Inc. 69,200 791
- TALK.com, Inc. 135,405 787
- CUNO Inc. 33,400 772
- Cygnus Inc. 53,000 755
- Saga Systems, Inc. 59,800 744
- Kronos, Inc. 25,600 666
WD-40 Co. 31,800 660
Midas Inc. 31,500 630
- Immune Response 56,300 612
- Plains Resources 37,000 590
- Scott Technologies, Inc. 34,300 590
- Labor Ready, Inc. 88,000 583
- InterVoice-Brite, Inc. 66,000 433
Morrison Management
Specialists, Inc. 14,800 417
Oshkosh B Gosh, Inc. Class A 25,000 409
X-Rite Inc. 43,800 400
- Davox Corp. 27,900 361
- DAMARK International, Inc. 11,600 249
- Cybex Computer Products Corp. 1,700 73
- Elan Corp. Contingent Value Rights 56,200 28
-------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $341,885) 387,239
-------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------------------------------------------------------------------------
<S> <C>
TEMPORARY CASH INVESTMENTS (0.9%)
-------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000--Note G $ 3,613 3,613
-------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $3,613) 3,613
-------------------------------------------------------------------------
TOTAL INVESTMENTS (101.2%)
(COST $345,498) 390,852
-------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-1.2%) (4,622)
-------------------------------------------------------------------------
NET ASSETS (100%) $386,230
=========================================================================
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
-------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
-------------------------------------------------------------------------
ASSETS
Investments in Securities, at Value $ 390,852
Receivables for Investment Securities Sold 77,077
Other Assets--Note B 5,046
-----------
Total Assets 472,975
-----------
LIABILITIES
Payables for Investment Securities Purchased 81,483
Other Liabilities--Note G 5,262
-----------
Total Liabilities 86,745
-----------
-------------------------------------------------------------------------
NET ASSETS $386,230
=========================================================================
</TABLE>
53
<PAGE> 168
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
SMALL-CAP GROWTH AMOUNT
INDEX FUND (000)
-------------------------------------------------------------------------
<S> <C>
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-------------------------------------------------------------------------
Paid in Capital $ 349,373
Undistributed Net Investment Income 27
Accumulated Net Realized Losses (8,524)
Unrealized Appreciation--Note F 45,354
-------------------------------------------------------------------------
NET ASSETS $ 386,230
=========================================================================
Investor Shares--Net Assets
Applicable to 28,805,012 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 358,977
-------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $ 12.46
=========================================================================
Institutional Shares--Net Assets
Applicable to 2,186,544 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 27,253
-------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $ 12.46
=========================================================================
</TABLE>
54
<PAGE> 169
<TABLE>
<CAPTION>
------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (100.5%)
- International Rectifier Corp. 91,300 $ 5,104
- Universal Health Services Class B 44,600 2,912
Radian Group, Inc. 55,800 2,888
- HNC Software, Inc. 40,000 2,470
- Pride International Inc. 96,790 2,396
- Smithfield Foods, Inc. 83,800 2,352
- Xircom, Inc. 44,300 2,104
- Michaels Stores, Inc. 45,900 2,103
Vintage Petroleum, Inc. 92,800 2,094
Cullen/Frost Bankers, Inc. 77,800 2,047
United Water Resources, Inc. 58,300 2,033
- S3, Inc. 135,712 2,002
Centura Banks, Inc. 58,900 1,999
Applied Power, Inc. 58,100 1,946
- AmeriCredit Corp. 112,500 1,913
- Zale Corp. 52,100 1,902
- Louis Dreyfus Natural Gas Corp. 60,300 1,888
Fidelity National Financial, Inc. 99,500 1,822
Hudson United Bancorp 75,300 1,690
- Interim Services, Inc. 94,770 1,682
Penton Media, Inc. Class A 47,200 1,652
- United Stationers, Inc. 50,600 1,638
- Linens 'n Things, Inc. 59,000 1,600
- Whole Foods Market, Inc. 38,700 1,599
- Stillwater Mining Co. 57,200 1,594
OM Group, Inc. 35,500 1,562
- AnnTaylor Stores Corp. 46,800 1,550
Harman International
Industries, Inc. 25,400 1,549
- Alliance Semiconductor Corp. 62,700 1,540
Raymond James Financial, Inc. 68,400 1,539
- Scotts Co. 41,500 1,515
Aptargroup Inc. 53,400 1,442
- Anixter International Inc. 54,100 1,434
- Mueller Industries Inc. 51,200 1,434
First Midwest Bancorp 61,100 1,421
Washington Federal Inc. 77,700 1,418
- Cable Design Technologies 42,300 1,417
Ethan Allen Interiors, Inc. 58,800 1,411
IDEX Corp. 44,100 1,392
- Men's Wearhouse, Inc. 62,000 1,383
Corn Products International, Inc. 52,200 1,383
Pier 1 Imports Inc. 141,100 1,376
- Cerner Corp. 50,200 1,368
- Canandaigua Brands, Inc. Class A 26,800 1,352
First American Corp. 94,100 1,347
Bindly Western Industries, Inc. 50,900 1,346
Commercial Federal Corp. 83,900 1,306
- Silicon Valley Group, Inc. 50,100 1,296
- C-Cube Microsystems Inc. 65,900 1,293
Central Parking Corp. 54,200 1,284
La-Z-Boy Inc. 91,140 1,276
Dain Rauscher Corp. 19,000 1,254
Philadelphia Suburban Corp. 60,800 1,246
- Kent Electronics Corp. 41,800 1,246
D. R. Horton, Inc. 91,800 1,245
Piedmont Natural Gas, Inc. 46,800 1,243
- Photronics Labs Inc. 43,500 1,234
- The Profit Recovery Group
International, Inc. 73,700 1,225
Earthgrains Co. 63,000 1,225
Downey Financial Corp. 41,800 1,212
- IDEXX Laboratories Corp. 52,700 1,206
Invacare Corp. 44,700 1,173
- Ciber, Inc. 88,400 1,171
Community First Bankshares 71,700 1,170
- Southern Union Co. 73,505 1,162
- Coventry Health Care Inc. 87,000 1,160
Whitney Holdings 33,600 1,149
Ruby Tuesday, Inc. 91,400 1,148
United Bankshares, Inc. 62,300 1,133
Lennox International Inc. 85,274 1,130
- Primark Corp. 30,100 1,121
National Data Corp. 48,700 1,120
- Toll Brothers, Inc. 54,100 1,109
Brady Corp. Class A 33,700 1,095
Tredegar Corp. 56,400 1,072
- Shaw Group, Inc. 22,700 1,070
Mutual Risk Management Ltd. 61,200 1,060
- O'Reilly Automotive, Inc. 75,800 1,052
Lilly Industries Inc. Class A 34,500 1,037
Chittenden Corp. 42,300 1,034
- CEC Entertainment Inc. 39,800 1,020
- Delphi Financial Group, Inc. 29,877 1,014
- Veritas DGC Inc. 38,400 998
New Jersey Resources Corp. 26,200 997
Florida Rock Industries, Inc. 27,500 980
- Footstar Inc. 29,200 971
Energen Corp. 44,500 971
USFreightways Corp. 39,500 970
- SEACOR SMIT Inc. 25,050 969
Staten Island Bancorp, Inc. 54,700 964
- Aztar Corp. 61,800 958
- Dura Pharmaceuticals, Inc. 65,900 947
Baldor Electric Co. 50,600 942
- Avant! Corp. 49,800 933
United Illuminating Co. 21,300 932
The South Financial Group, Inc. 63,951 927
Belden, Inc. 36,100 925
- ESS Technology, Inc. 62,500 906
Texas Industries, Inc. 31,300 904
- Benchmark Electronics, Inc. 24,200 885
Oshkosh Truck Corp. 24,700 883
- Pacific Sunwear of California 47,000 881
- Tower Automotive, Inc. 69,800 873
- Southwest Bancorporation of
Texas, Inc. 42,000 872
- Simpson Manufacturing Co. 17,900 856
CH Energy Group, Inc. 25,000 848
Owens & Minor, Inc. Holding Co. 48,800 839
Northwest Natural Gas Co. 37,400 837
Justin Industries, Inc. 38,200 836
- National Discount Brokers
Group, Inc. 26,200 835
Susquehanna Bancshares, Inc. 58,300 831
UGI Corp. Holding Co. 40,400 828
Atmos Energy Corp. 47,000 823
- Anchor Gaming 17,100 820
Enhance Financial Services
Group, Inc. 56,700 815
Southwest Gas Corp. 46,500 814
</TABLE>
55
<PAGE> 170
<TABLE>
<CAPTION>
------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
------------------------------------------------------------------------
<S> <C> <C>
- Paxar Corp. 67,800 $ 809
Werner Enterprises, Inc. 69,867 808
- SpeedFam-IPEC, Inc. 44,100 802
Southwest Securities Group, Inc. 21,400 797
Datascope Corp. 22,100 796
Northwestern Corp. 34,300 793
Reliance Steel & Aluminum Co. 41,250 789
- Respironics, Inc. 43,700 787
JLG Industries, Inc. 65,900 783
- NVR, Inc. 13,700 781
Casey's General Stores 74,800 776
- Pharmaceutical Product
Development, Inc. 36,900 775
- Kirby Corp. 36,400 774
- SPS Technologies, Inc. 18,800 772
Milacron Inc. 53,100 770
ABM Industries 33,300 766
- PolyMedica Corp. 17,700 766
G & K Services, Inc. 30,500 764
Analogic Corp. 19,100 764
Cooper Cos., Inc. 21,000 764
Fleming Cos., Inc. 58,300 762
- Pinnacle Entertainment, Inc. 39,100 760
Regis Corp. 60,500 756
- F.Y.I. Inc. 22,300 751
Kellwood Co. 35,500 750
First Bancorp/Puerto Rico 40,200 746
- Audiovox Corp. 33,500 739
- Ionics, Inc. 24,100 738
- Volt Information Sciences Inc. 22,400 738
Selective Insurance Group 38,700 735
- Allen Telecom Inc. 41,500 734
Jefferies Group, Inc. 36,300 733
- Imperial Bancorp 46,800 731
A.O. Smith Corp. 34,800 729
- Astec Industries, Inc. 28,500 723
UniSource Energy Corp. 48,100 722
Arch Chemicals, Inc. 32,900 720
Michael Foods Group, Inc. 29,300 718
MascoTech Inc. 66,200 716
Clarcor Inc. 36,000 716
St. Mary Land & Exploration Co. 16,800 707
- American Freightways 47,900 695
Fleetwood Enterprises, Inc. 48,600 693
- MAXIMUS, Inc. 31,300 693
Hughes Supply, Inc. 35,000 691
Valmont Industries, Inc. 34,500 686
- US Oncology, Inc. 135,710 679
- Orbital Sciences Corp. 55,600 678
Roadway Express Inc. 28,800 675
- ShopKo Stores, Inc. 43,900 675
Elcor Corp. 29,100 669
Circle International Group, Inc. 26,300 661
- Electroglas, Inc. 30,700 660
- Stein Mart, Inc. 64,000 656
Geon Co. 35,400 655
Diagnostic Products Corp. 20,400 653
- Performance Food Group Co. 20,400 653
- Steel Dynamics, Inc. 71,500 648
- Friede Goldman Halter, Inc. 72,400 647
- Oceaneering International, Inc. 33,900 644
- Input/Output, Inc. 75,700 639
Morgan Keegan, Inc. 43,200 637
Wynn's International Inc. 27,800 631
- Agribrands International, Inc. 15,000 629
John H. Harland Co. 42,100 629
- Prime Hospitality Corp. 66,600 629
Inter-Tel, Inc. 39,100 628
- Phoenix Technologies LTD. 38,500 628
MAF Bancorp, Inc. 34,500 627
AMCOL International Corp. 38,000 627
- Salton, Inc. 16,900 623
The Toro Co. 18,900 623
Wolverine World Wide, Inc. 61,800 610
SLI, Inc. 50,300 610
Rollins Truck Leasing 86,900 603
- The Dress Barn, Inc. 27,200 602
Pioneer Standard Electronics Inc. 40,700 600
MDC Holdings, Inc. 31,900 594
- Conmed Corp. 22,900 593
Russ Berrie and Co., Inc. 30,300 583
Commercial Metals Co. 21,100 580
Caraustar Industries, Inc. 38,300 579
- CDI Corp. 28,400 579
- Symmetricom Inc. 22,600 571
Queens County Bancorp, Inc. 30,900 570
ChemFirst Inc. 23,600 569
Anchor Bancorp Wisconsin Inc. 37,100 568
- Morrison Knudsen Corp. 78,300 568
- American Italian Pasta Co. 27,400 567
- Fritz Cos., Inc. 54,800 565
- Yellow Corp. 37,700 556
Bowne & Co., Inc. 55,200 555
Park Electrochemical Corp. 15,400 555
- QRS Corp. 22,600 555
- Nautica Enterprises, Inc. 51,700 553
Zenith National Insurance Corp. 25,600 544
- Ralcorp Holdings, Inc. 44,400 544
Laclede Gas Co. 28,000 539
Riggs National Corp. 42,400 535
- HA-LO Industries, Inc. 94,800 533
The Marcus Corp. 43,900 532
Provident Bankshares Corp. 39,270 530
- Hutchinson Technology, Inc. 37,100 529
Foster Wheeler Corp. 61,000 526
- Quiksilver, Inc. 33,000 514
R.L.I. Corp. 14,600 507
GenCorp, Inc. 62,800 502
Watsco, Inc. 40,150 502
Regal-Beloit Corp. 31,400 500
- IHOP Corp. 29,600 496
Watts Industries Class A 39,200 495
Applied Industrial Technology, Inc. 30,100 493
- Nuevo Energy Co. 25,900 489
AAR Corp. 40,100 481
The Pep Boys
(Manny, Moe & Jack) 79,600 478
- MICROS Systems, Inc. 25,600 475
- Ultratech Stepper, Inc. 31,400 467
Cato Corp. Class A 39,300 457
- Midway Games Inc. 56,000 452
- Offshore Logistics, Inc. 31,300 450
</TABLE>
56
<PAGE> 171
<TABLE>
<CAPTION>
------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
------------------------------------------------------------------------
<S> <C> <C>
- Midwest Express Holdings, Inc. 20,800 $ 447
Barnes Group, Inc. 27,400 447
Arctic Cat, Inc. 37,200 442
- Avid Technology, Inc. 36,300 436
- Telxon Corp. 24,200 433
Ryland Group, Inc. 19,400 429
Standard Pacific Corp. 42,700 427
Winnebago Industries, Inc. 32,000 418
Chemed Corp. 14,800 417
- JAKKS Pacific, Inc. 28,100 414
Universal Forest Products, Inc. 29,900 411
Fremont General Corp. 104,000 410
- Ryan's Family Steak Houses, Inc. 48,300 408
Wabash National Corp. 34,100 407
Thomas Industries, Inc. 22,800 403
- Gardner Denver Inc. 22,500 402
E.W. Blanch Holdings, Inc. 19,800 402
Trenwick Group Inc. 27,600 402
- Group 1 Automotive, Inc. 32,900 395
The Stride Rite Corp. 64,300 394
Deltic Timber Corp. 18,400 393
American States Water Co. 13,200 393
- Pegasus Solutions Inc. 36,000 392
- Consolidated Products Inc. 43,430 391
- General Communication, Inc. 75,300 386
Phillips-Van Heusen Corp. 40,600 386
Chiquita Brands International, Inc. 97,500 384
- Esterline Technologies Corp. 25,800 384
- Monaco Coach Corp. 28,100 383
- Applica Inc. 33,700 381
Brush Engineered Materials Inc. 24,300 380
Thor Industries, Inc. 18,000 378
Gerber Scientific, Inc. 32,800 377
- Theragenics Corp. 43,900 376
- United Natural Foods, Inc. 27,100 373
Robbins & Myers, Inc. 16,300 372
Omnova Solutions Inc. 59,400 371
Aaron Rents, Inc. Class B 29,500 371
Kaman Corp. Class A 34,600 370
- Intermagnetics General Corp. 19,424 368
Lawson Products, Inc. 14,900 367
- Insurance Auto Auctions, Inc. 17,200 363
Lindsay Manufacturing Co. 18,400 361
- PAREXEL International Corp. 37,200 356
- Standard Microsystem 23,100 355
Sturm, Ruger & Co., Inc. 40,000 355
Brown Shoe Company, Inc. 27,200 354
- RTI International Metals 31,000 353
- AVT Corp. 47,100 347
- THQ Inc. 28,500 347
Pope & Talbot, Inc. 21,700 347
- Champion Enterprises, Inc. 70,400 343
- Checkpoint Systems, Inc. 45,000 338
- Ames Department Stores, Inc. 43,100 334
Vital Signs, Inc. 18,400 334
- URS Corp. 23,700 332
New England Business
Service, Inc. 20,200 328
- Network Equipment
Technologies, Inc. 31,900 321
Myers Industries, Inc. 29,620 318
National Presto Industries, Inc. 10,300 317
Landry's Seafood Restaurants, Inc. 37,100 315
Analysts International Corp. 33,800 315
Fedders Corp. 53,200 309
Quanex Corp. 20,700 308
- M.S. Carriers, Inc. 17,100 301
- Wolverine Tube, Inc. 17,700 301
Standex International Corp. 18,500 294
- StaffMark, Inc. 43,900 294
- Arkansas Best Corp. 29,400 292
Interface, Inc. 76,200 291
- Seitel, Inc. 35,600 289
SCPIE Holdings Inc. 14,100 289
- TETRA Technologies, Inc. 20,200 287
Schweitzer-Mauduit
International, Inc. 22,700 284
Skyline Corp. 13,100 282
Cash America International Inc. 38,000 280
- Billing Concepts Corp. 63,100 280
CPI Corp. 13,100 277
Cascade Natural Gas Corp. 16,400 274
- McWorter Technologies Inc. 14,000 272
- Goody's Family Clothing 49,200 271
Luby's, Inc. 33,800 270
- Pediatrix Medical Group, Inc. 23,100 269
Coachmen Industries, Inc. 23,300 268
- WetSeal, Inc. Class A 20,400 268
Intermet Corp. 38,400 264
Tenneco Automotive, Inc. 50,100 263
- Mesa Air Group Inc. 47,300 262
Bangor Hydro-Electric Co. 11,100 260
- GC Cos. 11,600 260
- BE Avionics Inc. 37,200 256
- ePresence, Inc. 34,700 252
- Discount Auto Parts Inc. 25,000 250
- Lydall, Inc. 23,500 250
- Griffon Corp. 44,500 248
K-Swiss, Inc. 15,100 241
- Cone Mills Corp. 38,400 238
- Remington Oil & Gas Corp. 31,500 236
Penford Corp. 10,900 234
- J & J Snack Foods Corp. 13,100 234
- Laser Vision Centers, Inc. 37,700 233
- Material Sciences Corp. 23,100 231
- Department 56 Inc. 21,000 231
Southwestern Energy Co. 36,900 231
Harmon Industries, Inc. 17,200 228
- Centigram Communications 8,900 228
- The Kroll-O'Gara Co. 33,600 225
Quaker Chemical Corp. 12,900 224
CKE Restaurants Inc. 74,600 224
- Osteotech, Inc. 21,200 223
Bassett Furniture Industries, Inc. 17,600 222
- Flow International Corp. 22,200 222
- K2 Inc. 26,400 219
- Auspex Systems, Inc. 44,200 218
Innovex, Inc. 22,000 215
- Franklin Covey Co. 30,500 212
Oxford Industries, Inc. 11,600 209
Simpson Industries, Inc. 26,900 203
- Consolidated Graphics, Inc. 21,600 203
</TABLE>
57
<PAGE> 172
<TABLE>
<CAPTION>
------------------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
------------------------------------------------------------------------
<S> <C> <C>
Mississippi Chemical Corp. 39,300 187
- Jo-Ann Stores, Inc. Class A 26,600 186
Central Vermont Public
Service Corp. 16,700 184
- Panera Bread 18,100 183
- Itron, Inc. 22,136 183
Thomas Nelson, Inc. 21,200 182
- Sola International Inc. 36,900 180
Birmingham Steel Corp. 45,800 177
A.M. Castle & Co. 21,300 177
- Action Performance Cos., Inc. 24,300 176
Nature's Sunshine Inc. 24,900 174
- Building Materials Holding Corp. 19,100 168
Butler Manufacturing Co. 9,900 168
- Information Resources, Inc. 42,610 168
BMC Industries, Inc. 40,800 166
- Read Rite Corp. 74,200 165
- SpaceLabs Medical, Inc. 14,500 163
Titan International, Inc. 30,600 163
- Bombay Co. 54,600 160
Republic Group Inc. 17,800 160
Computer Task Group, Inc. 31,000 157
- Sunrise Medical, Inc. 32,000 156
- Hologic, Inc. 23,000 155
- Epicor Software Corp. 61,600 154
- Exabyte Corp. 34,000 153
Standard Motor Products, Inc. 17,600 150
- TBC Corp. 31,900 148
Commonwealth Industries Inc. 25,100 147
Apogee Enterprises, Inc. 41,500 147
- Digi International, Inc. 22,200 144
- Komag, Inc. 82,100 144
Lillian Vernon Corp. 13,200 139
- Hanger Orthopedic Group, Inc. 27,600 136
Dimon Inc. 64,100 136
- Coeur D'Alene Mines Corp. 55,860 136
Nash-Finch Co. 16,500 136
- Royal Appliance
Manufacturing Co. 22,900 130
- Sierra Health Services 40,700 130
- A.T. Cross Co. Class A 26,210 129
IMCO Recycling, Inc. 23,300 127
J. Baker, Inc. 21,700 126
- Books-a-Million Inc. 27,100 125
Oakwood Homes Corp. 68,200 124
Guilford Mills, Inc. 29,000 123
- E. Gottschalk & Co., Inc. 19,000 120
Haggar Corp. 9,900 116
- WHX Corp. 20,900 115
Hancock Fabrics, Inc. 26,900 114
Steel Technologies, Inc. 15,900 113
- Cyrk International, Inc. 22,500 113
- Taco Cabana 16,900 112
Amcast Industrial Corp. 12,700 111
- The Gymboree Corp. 36,200 109
- Hartmarx Corp. 41,900 107
Angelica Corp. 12,900 103
Enesco Group, Inc. 20,900 99
Pillowtex Designs 22,000 94
- Ashworth, Inc. 20,600 92
Spartan Motors, Inc. 18,500 77
- Jan Bell Marketing Inc. 32,300 77
- Curative Health Services Inc. 12,400 75
Insteel Industries, Inc. 12,000 74
Frozen Food Express
Industries, Inc. 24,100 72
Nashua Corp. 8,400 69
- The Dixie Group, Inc. 17,500 68
Green Mountain Power Corp. 8,200 68
- Lason Holdings, Inc. 26,900 67
Huffy Corp. 14,900 64
- Carmike Cinemas, Inc. Class A 16,100 62
- Swiss Army Brands, Inc. 11,200 57
- Microage, Inc. 25,000 7
- Just for Feet, Inc. 40,150 1
-------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $302,492) 280,476
-------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (0.8%)
-------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000--Note G $ 2,123 2,123
-------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $2,123) 2,123
-------------------------------------------------------------------------
TOTAL INVESTMENTS (101.3%)
(COST $304,615) 282,599
-------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES--NET (-1.3%) (3,489)
-------------------------------------------------------------------------
NET ASSETS (100%) $ 279,110
=========================================================================
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
-------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
-------------------------------------------------------------------------
ASSETS
Investments in Securities, at Value $ 282,599
Receivables for Investment Securities Sold 44,482
Other Assets--Note B 555
----------
Total Assets 327,636
----------
LIABILITIES
Payables for Investment Securities Purchased 44,914
Other Liabilities--Note G 3,612
----------
Total Liabilities 48,526
-----------
-------------------------------------------------------------------------
NET ASSETS $ 279,110
=========================================================================
</TABLE>
58
<PAGE> 173
<TABLE>
<CAPTION>
AMOUNT
(000)
-------------------------------------------------------------------------
<S> <C>
------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
------------------------------------------------------------------------
Paid in Capital $ 292,669
Undistributed Net Investment Income 989
Accumulated Net Realized Gains 7,468
Unrealized Depreciation--Note F (22,016)
------------------------------------------------------------------------
NET ASSETS $ 279,110
========================================================================
Investor Shares--Net Assets
Applicable to 26,588,621 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 229,488
------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $ 8.63
========================================================================
Institutional Shares--Net Assets
Applicable to 5,745,121 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 49,622
------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $ 8.64
========================================================================
</TABLE>
59
<PAGE> 174
(C) 2000 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor. F982 082000
