<PAGE> 1
VANGUARD(R)
U.S. STOCK INDEX
FUNDS
LARGE-CAPITALIZATION
PORTFOLIOS
VANGUARD 500 INDEX FUND
VANGUARD GROWTH INDEX FUND
VANGUARD VALUE INDEX FUND
VANGUARD TOTAL STOCK MARKET INDEX FUND
[PHOTO]
ANNUAL REPORT
DECEMBER 31, 1999
[THE VANGUARD GROUP LOGO]
<PAGE> 2
[PHOTO]
John C. Bogle
FELLOW SHAREHOLDERS:
Two roads diverged in a wood, and I--I took the one less traveled by, and
that has made all the difference.
I can think of no better words than those of Robert Frost to begin this special
letter to our shareholders, who have placed such extraordinary trust in me and
in Vanguard over the past quarter century. When the firm was founded 25 years
ago, we deliberately took a new road to managing a mutual fund enterprise.
Instead of having the funds controlled by an outside management company with its
own financial interests, the Vanguard funds--there were only 11 of them
then--would be controlled by their own shareholders and operate solely in their
financial interests. The outcome of our unprecedented decision was by no means
certain. We described it then as "The Vanguard Experiment."
Well, I guess it's fair to say it's an experiment no more. During the past
25 years, the assets we hold in stewardship for investors have grown from $1
billion to more than $500 billion, and I believe that our reputation for
integrity, fair-dealing, and sound investment principles is second to none in
this industry. Our staggering growth--which I never sought-- has come in
important part as a result of the simple investment ideas and basic human values
that are the foundation of my personal philosophy. I have every confidence that
they will long endure at Vanguard, for they are the right ideas and right
values, unshakable and eternal.
While Emerson believed that "an institution is the lengthened shadow of one
man," Vanguard today is far greater than any individual. The Vanguard crew has
splendidly implemented and enthusiastically supported our founding ideas and
values, and deserves the credit for a vital role in forging our success over the
years. It is a dedicated crew of fine human beings, working together in an
organization that is well prepared to press on regardless long after I am gone.
Creating and leading this enterprise has been an exhilarating run. Through it
all, I've taken the kudos and the blows alike, enjoying every moment to the
fullest, and even getting a second chance at life with a heart transplant nearly
four years ago. What more could a man ask?
While I shall no longer be serving on the Vanguard Board, I want to assure
you that I will remain vigorous and active in a newly created Vanguard unit,
researching the financial markets, writing, and speaking. I'll continue to focus
whatever intellectual power and ethical strength I possess on my mission to
assure that mutual fund investors everywhere receive a fair shake. In the spirit
of Robert Frost:
But I have promises to keep, and miles to go before I sleep, and miles to go
before I sleep.
You have given me your loyalty and friendship over these long years, and I
deeply appreciate your thousands of letters of support. For my part, I will
continue to keep an eagle eye on your interests, for you deserve no less. May
God bless you all, always.
/s/ JCB
[PHOTO]
CONTENTS
REPORT FROM
THE CHAIRMAN
1
AFTER-TAX
RETURNS REPORT
8
THE MARKETS IN
PERSPECTIVE
10
FUND PROFILES
12
PERFORMANCE SUMMARIES
17
FINANCIAL STATEMENTS
24
REPORT OF
INDEPENDENT ACCOUNTANTS
42
<PAGE> 3
REPORT FROM THE CHAIRMAN
[PHOTO]
John J. Brennan
Technology stocks rocketed higher during 1999 and carried most market indexes
along with them. Three of the four Vanguard large-capitalization stock index
funds benefited most from this healthy--albeit narrow--advance and posted
returns in excess of 20% during the year. Vanguard Value Index Fund, with only a
small exposure to tech stocks, earned a solid return of 12.6%, though it lagged
the broad market.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<C> <C>
500 INDEX FUND 21.1%
S&P 500 Index 21.0
- --------------------------------------------------------------------------------
GROWTH INDEX FUND 28.8%
S&P 500/BARRA Growth Index 28.2
- --------------------------------------------------------------------------------
VALUE INDEX FUND 12.6%
S&P 500/BARRA Value Index 12.7
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND 23.8%
Wilshire 5000 Index 23.8
- --------------------------------------------------------------------------------
INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------
Growth Index Fund 28.9%
Value Index Fund 12.7
Total Stock Market Index Fund 23.9
- --------------------------------------------------------------------------------
</TABLE>
The table at right compares our funds' 12-month total returns (capital
change plus reinvested dividends) with those of their respective unmanaged
benchmark indexes. As you can see, the 500 and Growth Index Funds actually
outpaced their indexes. So did the Total Stock Market Index Fund, although by
less than a tenth of a percentage point. The Value Index Fund fell just short of
its benchmark. The table also presents returns for three funds' Institutional
Shares, which are available for minimum investments of $10 million.
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.
FINANCIAL MARKETS IN REVIEW
The U.S. stock market rode the technology wave in 1999 to an unprecedented fifth
consecutive year of returns exceeding 20%. Stocks got off to a strong start
during the first four months of the year but, weighed down by higher interest
rates, struggled through most of the summer and into the fall. Through
September, the Wilshire 5000 Total Market Index returned 4.6%. But then
technology stocks led the market on an upward tear over the final three months
of 1999, bringing the Wilshire 5000's full-year return to a remarkable 23.8%.
The Standard & Poor's 500 Index, which is dominated by large-capitalization
stocks, returned 21.0%. Small-cap stocks, as measured by the Russell 2000 Index,
returned 21.3%--a fine showing for a market segment that had badly lagged
large-cap stocks in the five previous years.
The rise for the major indexes in 1999 suggests a broad advance for the
market, but in truth it was a year of "haves" and "have nots"--a huge number of
stocks did not join in the market's ascent. Fully 60% of those listed on the New
York Stock Exchange actually declined in price in 1999, and so did 48% of the
stocks listed on the Nasdaq market. (In fact, 36% of NYSE stocks and 31% of
Nasdaq stocks fell in value by more than 20%.) As mentioned, the technology
sector was the leading "have"--technology stocks in the S&P 500 Index gained 74%
for the year and were largely responsible for growth stocks
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within the index (+28.2%) far outpacing value stocks (+12.7%). Among small
stocks, technology stocks gained 107%, and the difference between growth and
value was an amazing 44.6 percentage points (+43.1% for the Russell 2000 Index's
growth stocks and -1.5% for its value stocks).
Somewhat surprisingly, these stock market returns occurred in a rising
interest rate environment. Rates rose substantially during 1999--a rise
encouraged by Federal Reserve policymakers, who boosted short-term interest
rates in three steps by a total of 0.75 percentage point (75 basis points).
Rising interest rates can depress stock prices, especially for growth issues,
because they lessen the current value of future earnings. But during 1999,
investors decided that improving prospects for corporate profits outweighed the
negative impact of higher rates.
Bond prices are, of course, tightly linked to interest rates, and rising
rates cause prices of existing bonds to fall. Rates rose across all maturities
in 1999 and prices dropped accordingly. The yield of the 30-year U.S. Treasury
bond stood at 6.48% on December 31, 1.38 percentage points above its starting
point of 5.10%. The total return of the Lehman Brothers Aggregate Bond Index, a
broad measure of the U.S. bond market, was -0.8%, as a price decline of -7.0%
more than offset interest income of 6.2%.
1999 PERFORMANCE OVERVIEW
During the 1999 fiscal year, each of our large-cap index funds closely tracked
its target benchmark and turned in a solid performance on an absolute basis.
However, our results relative to comparable actively managed mutual funds were
mixed. Our 500 and Growth Index Funds lagged the average return of their peer
groups, while our Value and Total Stock Market Index Funds earned returns that
topped those of similar funds. The relative shortfalls of our 500 and Growth
Index Funds can be attributed to the market's significant tilt toward a small
cadre of growth stocks during 1999. The spread of 15.5 percentage points between
the returns of the growth and value components of the S&P 500 Index illustrates
the big performance advantage enjoyed by funds that emphasized the dominant
growth stocks. While our 500 Index Fund and, of course, our Growth Index Fund
benefited from the market's preference, they were generally less concentrated in
high-flying technology companies than their average competitors.
The table at the top of the next page presents the 1999 returns for each of
our large-cap index funds and its average peer. As you may have noticed, the
peer groups in this report are slightly different from those in past reports.
The change reflects a recent reclassification by Lipper Inc., which provides the
data used to calculate returns for our peer groups. We use the Lipper category
that we believe most closely resembles the characteristics and investment style
of our funds.
The VANGUARD 500 INDEX FUND earned a 12-month total return of 21.1%, just
ahead of the return of the S&P 500 Index, but 1.3 percentage points behind the
return of the average large-cap core mutual fund. Among S&P 500 Index funds
(excluding institutional funds), our return was tops in the group--not just in
1999, but also over the 3-, 5-, and 10-year periods ended December 31, 1999.
As we noted earlier, technology stocks, which on December 31 made up about
25% of the index, returned a startling 74% during the year. Though the runup in
tech was the year's big news, many other market segments also registered big
gains, including the producer-durables sector--which includes a dose of
technology-related companies and, thus, registered a gain of 49%, and the
consumer-discretionary segment, which returned 28%.
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Three sectors had negative returns for the year (consumer staples, -16%; health
care, -10%; and auto & transportation, -4%), and the financial- services group,
which at 16% of the S&P 500 is the second-largest sector in the index, was up
just 5%.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED DECEMBER 31, 1999
---------------------------------------
AVERAGE
VANGUARD COMPARABLE
U.S. STOCK INDEX FUND FUND FUND* DIFFERENCE
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
500 21.1% 22.4% -1.3%
Growth 28.8 38.1 -9.3
Value 12.6 11.2 +1.4
Total Stock Market 23.8 22.5 +1.3
- --------------------------------------------------------------------------------
</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; and for the Total Stock Market Index Fund, multi-cap
core funds.
It's important to note that while the S&P 500 Index includes the bulk of the
market value of U.S. stocks, it excludes about 6,600 stocks, representing more
than 20% of the market's capitalization. Therefore, the S&P 500 Index is not the
broadest measure of U.S. stocks. The Wilshire 5000 Index, which is tracked by
VANGUARD TOTAL STOCK MARKET INDEX FUND, captures the return and risk
characteristics of the entire market of about 7,100 stocks. The Total Stock
Market Index Fund returned 23.8% for 1999, essentially matching the Wilshire
5000's gain and outpacing the 22.5% return of the average multi-cap core mutual
fund.
A curious fact about the Total Stock Market Index Fund was that while its
23.8% return fell short of the 27.1% average return for stock funds in general,
it outperformed a majority--59% to be exact--of these general equity funds. The
explanation for this apparent anomaly is that the stupendous returns of a
relatively small number of funds inflated the average return for all stock
funds. To carry this statistical examination a step further, the return of the
median (or middle) fund in the general equity group was 19.8%--more than 7
percentage points lower than the group's average return and 4 percentage points
below the return of our Total Stock Market Index Fund.
The GROWTH INDEX FUND'S total return of 28.8% was terrific on an absolute
basis and slightly exceeded the return of its benchmark index. However, it
trailed by 9.3 percentage points the average return for large-cap growth mutual
funds. This group's return was swelled by the big gains posted by several funds
with large exposures to the technology sector.
The return of the growth component of the S&P 500 Index has now topped the
return of the index's value component for six consecutive years. During that
time (1994 through 1999) growth stocks have returned a cumulative 340%, while
value stocks have returned 179%.
Though returns of growth and value stocks often differ from year to year,
they have tended to be similar over very long periods. Market leadership can
change swiftly and significantly. For example, during 1992 and 1993, value
stocks handily outpaced growth stocks--by 5.4 percentage points in 1992 and by a
remarkable 16.9 percentage points in 1993. The six-year dominance of growth
stocks immediately followed. We offer this brief history lesson simply to remind
you of the unpredictable cyclicality of the financial markets and of segments
within the markets.
The VALUE INDEX FUND earned the lowest total return of our four large-cap
index funds but notched the best relative performance. The fund's return of
12.6% topped the 11.2% return of the average large-cap value fund and fell just
shy of the 12.7% return of the S&P 500/BARRA Value Index.
Just what constitutes a growth company or a value company is subject to
debate. The S&P 500/BARRA Growth and S&P 500/BARRA Value Indexes are constructed
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by ranking all the S&P 500 stocks according to the ratio of current price to
book value (a company's net worth, or its assets, minus its debts). The stocks
are then divided between the two indexes in such a way that each represents half
of the S&P 500's market value. The stocks with the highest price/book ratios are
assigned to the Growth Index, and the remainder populate the Value Index.
Standard & Poor's reexamines the two indexes twice a year, reassigning stocks
when necessary to keep the balance.
Because of the huge rise in market value for a number of growth companies--
especially in the technology arena--it now takes only about 100 stocks to
constitute the growth half of the S&P 500 Index, down from about 230 a decade
ago. Consequently, there are now about 400 stocks in the S&P 500/BARRA Value
Index. The market and both indexes are more growth-oriented than ever. And the
Growth Index has become more concentrated. In fact, the four biggest holdings in
the index represent more than 25% of the fund's assets, and its top ten holdings
represent more than 45% of its assets. The risks of such concentration are
significant.
In each of our large-cap stock index funds--and for all of our stock index
funds, for that matter--Vanguard's Core Management Group has done an excellent
job of keeping our funds closely in line with their unmanaged benchmarks. Our
funds incur operating expenses, albeit at very low levels, while the theoretical
indexes do not. This handicap makes matching the index returns a difficult task.
However, through deft and efficient management, the Core Management Group has
helped our funds overcome most-- or even all--of our cost handicap. As noted
earlier, the 500, Total Market, and Growth Index Funds actually slightly
outpaced their benchmarks. Make no mistake about it, this is a significant
achievement that benefits shareholders by allowing them to capture a larger
share of the market's return.
A year ago in our annual report to you, we wrapped up our discussion of the
year's performance by stating that "as far as large-cap stocks are concerned, it
doesn't get much better than this" and by cautioning that the stock market might
have trouble extending its remarkable run to a fifth year. Happily, the market
proved us wrong after its fourth-quarter comeback. However, I'll repeat our
message from a year ago, with even greater feeling. Large-cap stocks have
occupied the market lead for most of the 1990s, but they surely won't land on
top in every year. Smaller stocks ran about even with large-caps in 1999 and
will, no doubt, outperform large-caps at some point in the future. Of course,
when this shift will occur, and for how long, cannot be predicted.
LONG-TERM PERFORMANCE OVERVIEW
A one-year period is, of course, far too brief for evaluating funds that are
designed to help investors reach long-term goals such as retirement. The table
at the top of the next page presents the past decade's average annual returns
for the 500 Index Fund and its comparative benchmarks. It also presents the
results of hypothetical $10,000 investments made ten years ago in the fund, its
average competitor, and the S&P 500 Index. In both an absolute and relative
sense, our fund's performance during the 1990s was remarkable. Our average
annual return of 18.1% over the decade meant that an initial $10,000 investment
would have grown to $52,668, nearly $5,500 more than the amount that would have
accumulated in our average competing fund. Our return failed to match that of
the S&P 500 Index, but not by much. Over the decade, we lagged the index by a
total of just $610.
The longer-term returns of our Growth, Value, and Total Stock Market Index
Funds were also excellent, both on an absolute basis and relative to similar
mutual funds. The Total Stock Market Index Fund has outperformed the average
multi-cap core fund
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<PAGE> 7
by 2.2 percentage points a year since its April 1992 inception. And since their
beginnings in November 1992, the Growth Index Fund has topped its average peer
by an annual average of 1.0 percentage point and the Value Index Fund has
outpaced the average comparable fund by 1.2 percentage points annually. Each
closely tracked its benchmark index.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
TOTAL RETURNS
TEN YEARS ENDED DECEMBER 31, 1999
----------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RETURN INITIAL INVESTMENT
- --------------------------------------------------------------------------------
<S> <C> <C>
VANGUARD 500 INDEX FUND 18.1% $52,668
Average Large-Cap Core Fund 16.8 47,176
S&P 500 Index Fund 18.2 53,278
- --------------------------------------------------------------------------------
</TABLE>
Compared with a broad group of stock mutual funds, the performance of our
500 and Total Stock Market Index Funds during the past decade was superb. During
the ten years ended December 31, the average annual return of Vanguard 500 Index
Fund topped the average return of 79% of large-cap core mutual funds. Since its
1992 inception, Vanguard Total Stock Market Index Fund outperformed 78% of
multi-cap core funds.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION THROUGH
DECEMBER 31, 1999*
--------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RETURN INITIAL INVESTMENT
- --------------------------------------------------------------------------------
<S> <C> <C>
GROWTH INDEX FUND 23.7% $45,975
Average Large-Cap Growth Fund 22.7 43,339
S&P 500/BARRA Growth Index 23.8 46,247
- --------------------------------------------------------------------------------
VALUE INDEX FUND 18.7% $34,047
Average Large-Cap Value Fund 17.5 31,760
S&P 500/BARRA Value Index 18.8 34,352
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND 19.8% $40,039
Average Multi-Cap Core Fund 17.6 34,751
Wilshire 5000 Index 20.1 40,817
- --------------------------------------------------------------------------------
</TABLE>
*For Growth and Value Index Funds, inception is November 2, 1992; for the Total
Stock Market Index Fund, inception is April 27, 1992.
The fine performance of our funds versus their competitors is explained by a
simple but powerful force: low costs. By holding operating and transaction costs
to a minimum, our index funds garner nearly all of the market's return for our
shareholders. Competing funds, investing in essentially the same universe of
securities, but handicapped by higher expenses, simply are not able, as a group,
to match the market over the long haul. The cost difference between our funds
and competing funds is significant. Our 500 Index Fund has an expense ratio
(annual expenses as a percentage of average net assets) of 0.18%, a fraction of
the 1.28% charged by its average peer. The expense ratio of our Growth Index
Fund was 0.22%; of the Value Index Fund, 0.22%, and of the Total Stock Market
Index Fund, 0.20%.
The final year of the 1990s capped an amazing decade for stocks. The U.S.
stock market, as measured by the Wilshire 5000 Index, produced an average annual
return of 17.6% during the 1990s, more than 1 1/2 times the average return of
about 11% achieved by stocks since 1925. In part, the outsized returns reflect
the underlying growth in the economy and in corporate profits. But part of the
gains can be traced to growing optimism about stocks and less fear about their
risks. These changes in perception are reflected in the extraordinary rise in
the average stock's price/earnings ratio--from about 16 as the decade of the
1990s began to an unprecedented 33 when it ended. No one knows whether or how
investor perceptions may change. But the moods of markets, like those of the
millions of individuals who make up the markets, can shift dramatically.
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In constructing long-term plans, we believe it is prudent to recognize that
financial markets will go through bad times as well as good times and to adopt
realistic assumptions about future returns. The odds are heavily stacked against
the stock market's repeating its performance of the 1990s in the decade ahead.
This isn't a forecast of doom. If inflation remains in the neighborhood of 3%
annually, it would take stock returns of only 8% to 9% a year to provide decent
real, or inflation-adjusted, returns of 5% to 6%.
IN SUMMARY
As we enter a new century, the temptation for investors to chase hot performance
may be stronger than ever. But building an investment program around a
relatively narrow group of stocks that have recently skyrocketed is a
dangerous--and unnecessary--gamble. The financial markets are ever cyclical.
Stocks of all styles and sizes--as well as entire asset classes--move in and out
of favor in unpredictable patterns. That is why we recommend that investors hold
balanced, diversified portfolios of stock funds, bond funds, and short-term
reserves that are suited to their individual goals, investment time horizon, and
temperament for risk-taking. Such balanced portfolios are a solid foundation for
long-term investment success.
/s/ JOHN J. BRENNAN
John J. Brennan
Chairman and Chief Executive Officer
January 20, 2000
A NOTE OF THANKS TO OUR FOUNDER
As you may have read on the inside cover of our report, our founder, John C.
Bogle, retired on December 31, 1999, as Senior Chairman of our Board after
nearly 25 years of devoted service to Vanguard and our shareholders. Vanguard
investors have Jack to thank for creating a truly mutual mutual fund company
that operates solely in the interest of its fund shareholders. And mutual fund
investors everywhere have benefited from his energetic efforts to improve this
industry. Finally, on a personal note, I am forever grateful to Jack for giving
me the opportunity to join this great company in 1982.
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<TABLE>
<CAPTION>
FUND STATISTICS
- -------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, 1999
--------------------------------------------
NET ASSET VALUE PER SHARE DISTRIBUTIONS FROM DIVIDENDS PER
------------------------------ NET REALIZED SHARE FROM NET
U.S. STOCK INDEX FUND DEC. 31, 1998 DEC. 31, 1999 CAPITAL GAINS INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
500 $113.95 $135.33 $0.995 $1.410
Growth 31.67 39.43 1.040 0.228
Value 22.51 22.89 1.955 0.362
Total Stock Market 27.42 33.22 0.320 0.330
- -------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
- -------------------------------------------------------------------------------------------------------------------------
Growth $31.67 $39.44 $1.040 $0.260
Value 22.51 22.89 1.955 0.384
Total Stock Market 27.42 33.22 0.320 0.357
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
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A REPORT ON YOUR FUND'S AFTER-TAX RETURNS
Beginning with this annual report, Vanguard is pleased to provide a review of
the after-tax performance of our large-cap index funds. The figures on this page
demonstrate the considerable impact that federal income taxes can have on a
fund's return--an important consideration for investors who own mutual funds in
taxable accounts. While the pretax return is most often used to tally a fund's
performance, the fund's after-tax return, which accounts for taxes on
distributions of capital gains and income dividends, is a better representation
of the return that many investors actually received. If you own the fund in a
tax-deferred account such as an individual retirement account or a 401(k), this
information does not apply to you. Such accounts are not subject to current
taxes.
The table below presents the pretax and after-tax returns for your fund and
an appropriate peer group of mutual funds. Two things to keep in mind:
- The after-tax return calculations use the top federal income tax rates in
effect at the time of each distribution. The tax burden, therefore, would be
somewhat less, and the after-tax return somewhat more, for those in lower tax
brackets.
- The peer funds' returns are provided by Morningstar, Inc. (Elsewhere in
this report, returns for comparable mutual funds are derived from data provided
by Lipper Inc., which differ somewhat.)
As you can see, for investors in the highest bracket, taxes cut the pretax
returns of our funds for 1999 by amounts ranging from 0.8 percentage point to
3.2 percentage points. Comparable mutual funds fared slightly worse. In the
large value category, the average fund earned a pretax return in 1999 that was
only about half that of the Value Index Fund. Though our average peer lost less
to taxes--2.2 percentage points versus 3.2 percentage points--our fund was
actually more tax-efficient. That is, it retained a higher proportion of its
pretax return.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS: PRETAX AND AFTER-TAX
PERIODS ENDED DECEMBER 31, 1999
----------------------------------------------------------
1 YEAR 5 YEARS* 10 YEARS**
----------------------------------------------------------
PRETAX AFTER-TAX PRETAX AFTER-TAX PRETAX AFTER-TAX
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Vanguard 500 Index Fund 21.1% 20.3% 28.5% 27.5% 18.1% 17.0%
Average Large Blend Fund+ 19.5 17.5 23.9 21.2 15.7 13.3
- -------------------------------------------------------------------------------------------
Vanguard Growth Index Fund 28.8% 27.5% 33.7% 32.7% 23.7% 22.8%
Institutional Shares 28.9 27.6 31.2 30.1 -- --
Average Large Growth Fund+ 38.6 35.9 28.5 25.4 -- --
- -------------------------------------------------------------------------------------------
Vanguard Value Index Fund 12.6% 9.4% 22.8% 20.5% 18.7% 16.5%
Institutional Shares 12.7 9.5 8.8 6.0 -- --
Average Large Value Fund+ 6.6 4.4 19.3 16.3 -- --
- -------------------------------------------------------------------------------------------
Vanguard Total Stock Market
Index Fund 23.8% 22.9% 26.8% 25.8% 19.8% 18.8%
Institutional Shares 23.9 23.0 22.6 21.6 -- --
Average Large Blend Fund+ 19.5 17.5 23.9 21.2 -- --
- -------------------------------------------------------------------------------------------
</TABLE>
*Five-year returns are annualized since inception: For Growth Index Fund
Institutional Shares, inception is May 14, 1998; for Value Index Fund
Institutional Shares, July 2, 1998; for Total Stock Market Index Fund
Institutional Shares, July 7, 1997.
**For Vanguard Growth and Value Index Funds, returns are annualized since
inception on November 2, 1992; for Total Stock Market Index Fund, returns are
annualized since inception on April 27, 1992.
+Based on data from Morningstar, Inc.
Over the five years ended December 31, 1999, each of our funds was more tax-
efficient than its average peer, and each earned a higher return than its
average peer
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both before and after taxes. Over the past decade, the Vanguard 500 Index Fund
pummeled its peer group, earning an average pretax return of 18.1% a year and an
average after-tax return of 17.0%, while the large-cap blend category provided
an average pretax return of 15.7% and an after-tax return of 13.3%
We stress that because many interrelated factors affect how tax-friendly a
fund may be, it's very difficult to predict tax efficiency. A fund's tax
efficiency can be influenced by its turnover rate, the types of securities it
holds, the accounting practices it uses when selling shares, and the net cash
flow it receives.
Finally, it's important to understand that our calculation does not reflect
the effect of your own investment activities. Specifically, you may incur
additional capital gains taxes--thereby lowering your after-tax return--if you
decide to sell all or some of your shares.
A NOTE ABOUT OUR CALCULATIONS: Pretax total returns assume that all
distributions received (income dividends, short-term capital gains, and
long-term capital gains) are reinvested in new shares, while our after-tax
returns assume that distributions are reduced by any taxes owed on them before
reinvestment. When calculating the taxes due, we used the highest individual
federal income tax rates at the time of the distributions. Those rates are
currently 39.6% for dividends and short-term capital gains and 20% for long-term
capital gains. State and local income taxes were not considered. The competitive
group returns provided by Morningstar are calculated in a manner consistent with
that used for Vanguard funds.
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THE MARKETS IN PERSPECTIVE
YEAR ENDED DECEMBER 31, 1999
A global expansion in economic activity bolstered stocks at home and abroad
during 1999. The muscular U.S. economy provided a good bit of the oomph, but it
got an assist from solid growth in Asian, European, and Latin American economies
that had slumped in 1997 and 1998.
Interest rates increased significantly--causing bond prices to fall--as both
investors and monetary policymakers grew concerned that economic growth was so
vigorous that it would cause inflation to accelerate.
U.S. STOCK MARKETS
The booming economy and growing corporate profits provided plenty of fuel for
stock prices during 1999. However, higher interest rates restrained the rise,
especially for financial-services and electric utility stocks regarded as
interest rate sensitive.
U.S. economic output increased at an inflation- adjusted rate of about 4%--a
very rapid pace for such a large, mature economy. Analysts estimated that
corporate profits would grow by 14% in 1999 and again in 2000. Consumer
spending, which accounts for roughly two-thirds of economic activity, was
strong. People felt prosperous, thanks to the long bull market, plentiful jobs,
and rising incomes. (After-tax personal income grew by more than 5% in 1999, and
unemployment at year-end was at a three-decade low of 4.1% of the workforce.)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
----------------------------------
1 YEAR 3 YEARS 5 YEARS
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index 21.0% 27.6% 28.6%
Russell 2000 Index 21.3 13.1 16.7
Wilshire 5000 Index 23.8 26.1 27.1
MSCI EAFE Index 27.3 16.1 13.2
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index -0.8% 5.7% 7.7%
Lehman 10 Year Municipal Bond Index -1.3 4.8 7.1
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 4.7 5.0 5.2
- --------------------------------------------------------------------------------
OTHER
Consumer Price Index 2.7% 2.0% 2.4%
- --------------------------------------------------------------------------------
</TABLE>
The stock market, as measured by the Wilshire 5000 Index, gained 23.8%, with
more than three-quarters of the gain coming in the final quarter of 1999. For
the first time in several years, smaller stocks outpaced large-capitalization
issues. The S&P 500 Index, which is dominated by large-cap stocks and accounts
for more than three-quarters of the U.S. stock market's total value, gained
21.0% during the year; the rest of the market gained 35.4%.
Hidden in the market averages was an amazing divergence in stock
performance. Prices soared for most technology-related stocks, but performance
was pedestrian, at best, for most other issues. Indeed, three-fifths of stocks
on the New York Stock Exchange fell in 1999. The technology sector of the S&P
500 Index gained 74%, and the producer-durables sector, driven by huge gains for
some makers of telecommunications and technology gear, was up 49%. These results
were in stark contrast to the declines suffered by food and beverage companies
in the consumer-staples sector (-16%) and by many companies in the health-care
group (-10%).
10
<PAGE> 13
Investors seemed bedazzled by the prospects for growth in revenue and
profits among tech stocks, but less interested in the actual profits for nontech
companies. Remarkably, the average S&P 500 stock without earnings gained 36.5%
in 1999, while the average stock with earnings rose 11.5%. There is general
agreement that growth in Internet commerce, computers, software, wireless
communications, and other key tech sectors will be stupendous. However, there is
much disagreement about whether profits will grow so impressively, given the
intense competition. During 1999, optimists clearly ruled.
U.S. BOND MARKETS
The pickup in worldwide economic activity buoyed stock prices but depressed bond
prices. Interest rates, which move in the opposite direction from bond prices,
rose sharply. The rate increase stemmed from increased borrowing by corporations
and individuals and from investors' fears that a sizzling economy was bound to
send inflation soaring.
The inflation evidence was ambiguous. Price increases were greater in 1999
than in 1998 at both the wholesale and consumer levels. Wholesale prices rose
3.0%, the biggest gain since 1990. And the Consumer Price Index advanced 2.7% in
1999 after a gain of just 1.6% in 1998. However, energy prices, which plunged in
1998 and shot up in 1999, skewed the figures in both periods. At the consumer
level, the "core rate" of inflation, which excludes food and energy prices, was
up just 1.9% in 1999, the smallest increase in 35 years.
At midyear, the Federal Reserve Board, aiming to cool the economy a bit to
head off price pressures, began raising short-term interest rates. In all, the
Fed pushed up rates by 0.75 percentage point in three quarter-point steps. The
bond market anticipated the Fed--interest rates began rising sharply in
February--and at year-end the yield of 30-year U.S. Treasury bonds was up 1.38
percentage points (138 basis points) to 6.48%. The 10-year Treasury note--a
benchmark for mortgage lenders--rose 179 basis points, from 4.65% to 6.44%.
Short-term rates didn't rise as far; 3-month Treasury bill yields were up 88
basis points to 5.33% at year-end.
Price declines, as usual, were greatest for long-term bonds and least for
short-term bonds. The overall market, as measured by the Lehman Aggregate Bond
Index, which has an intermediate-term average maturity, posted a -0.8% total
return in 1999. Short-term bonds generally provided returns of 2% to 3%.
Long-term bonds suffered significant price declines, and the Lehman Long
Government/Corporate Index recorded a -7.7% total return.
INTERNATIONAL STOCK MARKETS
Bullishness among stock investors was an international phenomenon in 1999. The
biggestgains came in Pacific-region and emerging markets that had suffered most
from economic slumps and currency crises during 1997 and 1998.
Overall, the Morgan Stanley Capital International Europe, Australasia, Far
East (EAFE) Index of major developed markets produced a 27.3% return for U.S.
dollar-based investors. The MSCI Pacific Free Index gained an astounding 56.4%
for U.S. investors, as a strong rise in the Japanese yen against the U.S. dollar
tacked on about 12.5 percentage points to a 43.9% return in local currencies. In
Europe, currency fluctuations had the opposite effect: European currencies,
including the new 11-nation common currency, the euro, mostly fell against the
dollar, and the 30.3% return in local currencies was nearly halved to 15.8% in
U.S. dollars.
Emerging markets managed a stunning turnaround, as the Select Emerging
Markets Free Index rose 60.9% in U.S.-dollar terms after having plummeted -18.4%
in 1998 and -16.4% in 1997.
11
<PAGE> 14
FUND PROFILE
500 INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
500 INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 507 500
Median Market Cap $86.7B $86.7B
Price/Earnings Ratio 29.8x 29.8x
Price/Book Ratio 5.5x 5.5x
Yield 1.0% 1.1%
Return on Equity 23.4% 23.4%
Earnings Growth Rate 16.6% 16.6%
Foreign Holdings 1.3% 1.3%
Turnover Rate 6% --
Expense Ratio 0.18% --
Cash Reserves 0.0% --
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ----------------------------------------------------------
<S> <C> <C> <C>
STYLE
MARKET CAP Large Blend
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Microsoft Corp. 4.9%
General Electric Co. 4.1
Cisco Systems, Inc. 2.8
Wal-Mart Stores, Inc. 2.5
Exxon Mobil Corp. 2.3
Intel Corp. 2.2
Lucent Technologies, Inc. 1.9
International Business Machines Corp. 1.6
Citigroup, Inc. 1.5
America Online, Inc. 1.4
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------------
500 INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
R-Squared 1.00 1.00
Beta 1.00 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ------------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1998 DECEMBER 31, 1999
--------------------------------------------------------------
500 INDEX 500 INDEX S&P 500
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 2.5% 1.9% 1.9%
Consumer Discretionary 12.0 13.9 13.9
Consumer Staples 9.8 6.3 6.3
Financial Services 16.2 13.8 13.8
Health Care 12.5 9.3 9.3
Integrated Oils 5.2 4.8 4.8
Other Energy 0.9 1.3 1.3
Materials & Processing 3.7 3.2 3.2
Producer Durables 3.2 3.6 3.6
Technology 16.7 25.4 25.4
Utilities 11.7 10.2 10.2
Other 5.6 6.3 6.3
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE> 15
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of the overall market (or appropriate market
index). The market (or index) is assigned a beta of 1.00, so a fund with a beta
of 1.20 would have seen its share price rise or fall by 12% when the overall
market rose or fell by 10%.
CASH RESERVES. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts to simulate stock
investment.
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the
past five years for the stocks now in a fund.
EXPENSE RATIO. The percentage of a fund's average net assets used to pay its
annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks
or American Depositary Receipts of companies based outside the United States.
INVESTMENT FOCUS. This grid indicates the focus of a fund in terms of two
attributes: market capitalization (large, medium, or small) and relative
valuation (growth, value, or a blend).
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's assets
invested in each stock. Stocks representing half of the fund's assets have
market capitalizations above the median, and the rest are below it.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a fund holds,
the more diversified it is and the more likely to perform in line with the
overall stock market.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, the weighted average price/book ratio of the
stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share
earnings over the past year. For a fund, the weighted average P/E of the stocks
it holds. P/E is an indicator of market expectations about corporate prospects;
the higher the P/E, the greater the expectations for a company's future growth.
R-SQUARED. A measure of how much of a fund's past returns can be explained by
the returns from the overall market (or its benchmark index). If a fund's total
return were precisely synchronized with the overall market's return, its
R-squared would be 1.00. If a fund's returns bore no relationship to the
market's returns, its R-squared would be 0.
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a fund, the weighted average return on
equity for the companies whose stocks it holds.
SECTOR DIVERSIFICATION. The percentages of a fund's common stocks that come from
each of the major industry groups that compose the stock market.
TEN LARGEST HOLDINGS. The percentage of net assets that a fund has invested in
its ten largest holdings. (The average for stock mutual funds is about 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 past year. Funds
with high turnover rates incur higher transaction costs and are more likely to
distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
13
<PAGE> 16
FUND PROFILE
GROWTH INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
GROWTH INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 110 500
Median Market Cap $152.9B $86.7B
Price/Earnings Ratio 49.9x 29.8x
Price/Book Ratio 15.2x 5.5x
Yield 0.5% 1.1%
Yield--Institutional Shares 0.6% 1.1%
Return on Equity 29.6% 23.4%
Earnings Growth Rate 23.8% 16.6%
Foreign Holdings 0.5% 1.3%
Turnover Rate 33% --
Expense Ratio 0.22% --
Expense Ratio--
Institutional Shares 0.12% --
Cash Reserves 0.0% --
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ----------------------------------------------------------
<S> <C> <C> <C>
STYLE Growth
MARKET CAP Large
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Microsoft Corp. 9.3%
General Electric Co. 7.8
Cisco Systems, Inc. 5.4
Wal-Mart Stores, Inc. 4.7
Intel Corp. 4.2
Lucent Technologies, Inc. 3.6
International Business Machines Corp. 3.0
America Online, Inc. 2.6
SBC Communications Inc. 2.6
Oracle Corp. 2.5
- -------------------------------------------------------
Top Ten 45.7%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------------
GROWTH INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
R-Squared 0.94 1.00
Beta 1.02 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- -------------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1998 DECEMBER 31, 1999
----------------------------------------------------------------
GROWTH INDEX GROWTH INDEX S&P 500
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 0.1% 0.0% 1.9%
Consumer Discretionary 11.5 16.2 13.9
Consumer Staples 16.9 9.5 6.3
Financial Services 7.8 2.0 13.8
Health Care 22.0 14.4 9.3
Integrated Oils 0.0 0.0 4.8
Other Energy 0.0 0.0 1.3
Materials & Processing 0.7 0.3 3.2
Producer Durables 1.6 3.2 3.6
Technology 24.6 40.6 25.4
Utilities 7.2 5.0 10.2
Other 7.6 8.8 6.3
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 17
FUND PROFILE
VALUE INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
VALUE INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 398 500
Median Market Cap $32.5B $86.7B
Price/Earnings Ratio 20.3x 29.8x
Price/Book Ratio 3.2x 5.5x
Yield 1.5% 1.1%
Yield--Institutional Shares 1.6% 1.1%
Return on Equity 17.3% 23.4%
Earnings Growth Rate 9.3% 16.6%
Foreign Holdings 2.2% 1.3%
Turnover Rate 41% --
Expense Ratio 0.22% --
Expense Ratio--
Institutional Shares 0.12% --
Cash Reserves 0.0% --
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ----------------------------------------------------------
<S> <C> <C> <C>
STYLE Value
MARKET CAP Large
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Exxon Mobil Corp. 4.8%
Citigroup, Inc. 3.2
American International Group, Inc. 2.9
AT&T Corp. 2.8
MCI WorldCom, Inc. 2.6
Royal Dutch Petroleum Co. ADR 2.2
Hewlett-Packard Co. 2.0
Bell Atlantic Corp. 1.6
Motorola, Inc. 1.5
BellSouth Corp. 1.5
- -------------------------------------------------------
Top Ten 25.1%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------------
VALUE INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
R-Squared 0.92 1.00
Beta 0.98 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- --------------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1998 DECEMBER 31, 1999
-----------------------------------------------------------------
VALUE INDEX VALUE INDEX S&P 500
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 5.2% 4.1% 1.9%
Consumer Discretionary 12.8 11.3 13.9
Consumer Staples 2.2 2.8 6.3
Financial Services 25.3 27.0 13.8
Health Care 2.2 3.5 9.3
Integrated Oils 11.0 10.2 4.8
Other Energy 1.9 2.9 1.3
Materials & Processing 7.0 6.4 3.2
Producer Durables 5.0 4.0 3.6
Technology 7.6 8.4 25.4
Utilities 16.2 16.1 10.2
Other 3.6 3.3 6.3
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE> 18
FUND PROFILE
TOTAL STOCK MARKET INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to its unmanaged target index. Key
elements of this Profile are defined on page 13.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
TOTAL STOCK WILSHIRE
MARKET INDEX 5000
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 3,375 7,093
Median Market Cap $41.9B $41.9B
Price/Earnings Ratio 27.8x 27.8x
Price/Book Ratio 5.0x 5.0x
Yield 1.0% 1.1%
Yield--Institutional Shares 1.1% 1.1%
Return on Equity 22.4% 22.4%
Earnings Growth Rate 17.5% 17.5%
Foreign Holdings 0.0% 0.0%
Turnover Rate 3% --
Expense Ratio 0.20% --
Expense Ratio--
Institutional Shares 0.10% --
Cash Reserves 0.0% --
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ----------------------------------------------------------
<S> <C> <C> <C>
STYLE Blend
MARKET CAP Large
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
- -------------------------------------------------------
<S> <C>
Microsoft Corp. 3.7%
General Electric Co. 3.2
Cisco Systems, Inc. 2.2
Wal-Mart Stores, Inc. 1.9
Exxon Mobil Corp. 1.7
Intel Corp. 1.7
Lucent Technologies, Inc. 1.5
International Business Machines Corp. 1.2
Citigroup, Inc. 1.2
American International Group, Inc. 1.0
- -------------------------------------------------------
Top Ten 19.3%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------------
TOTAL STOCK
MARKET INDEX S&P 500
- ----------------------------------------------------------
<S> <C> <C>
R-Squared 0.98 1.00
Beta 1.02 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ----------------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1998 DECEMBER 31, 1999
-------------------------------------------------------------------
TOTAL STOCK TOTAL STOCK WILSHIRE
MARKET INDEX MARKET INDEX 5000
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation 2.8% 2.0% 2.0%
Consumer Discretionary 14.0 15.9 15.9
Consumer Staples 7.9 5.2 5.2
Financial Services 17.9 14.4 14.4
Health Care 11.8 8.9 8.9
Integrated Oils 3.4 3.0 3.0
Other Energy 1.3 1.7 1.7
Materials & Processing 4.1 3.3 3.3
Producer Durables 3.6 3.3 3.3
Technology 16.6 27.2 27.2
Utilities 11.3 10.2 10.2
Other 5.3 4.9 4.9
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 19
PERFORMANCE SUMMARY
500 INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1979-DECEMBER 31, 1999
- ----------------------------------------------------------------
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
- ----------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 34 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: DECEMBER 31, 1989-DECEMBER 31, 1999
- -----------------------------------------------------------
Average
500 Index Large-Cap
Fund Core Fund S&P 500 Index
<S> <C> <C> <C>
1989 12 $10000 $10000 $10000
1990 03 9692 9784 9699
1990 06 10293 10441 10309
1990 09 8876 9039 8892
1990 12 9663 9720 9690
1991 03 11060 11184 11097
1991 06 11027 11105 11072
1991 09 11608 11761 11664
1991 12 12578 12837 12642
1992 03 12252 12676 12322
1992 06 12480 12620 12557
1992 09 12863 12897 12953
1992 12 13505 13778 13605
1993 03 14087 14361 14199
1993 06 14147 14489 14268
1993 09 14502 14905 14637
1993 12 14834 15240 14976
1994 03 14262 14758 14408
1994 06 14317 14655 14469
1994 09 15010 15197 15176
1994 12 15001 15028 15174
1995 03 16456 16307 16651
1995 06 18015 17745 18241
1995 09 19443 18981 19690
1995 12 20610 19888 20876
1996 03 21709 20996 21996
1996 06 22674 21837 22983
1996 09 23364 22418 23694
1996 12 25316 23969 25669
1997 03 25979 24339 26357
1997 06 30501 28324 30958
1997 09 32781 30285 33277
1997 12 33709 30746 34233
1998 03 38396 34973 39008
1998 06 39656 35972 40296
1998 09 35708 31663 36288
1998 12 43344 38558 44016
1999 03 45500 40589 46209
1999 06 48684 43317 49466
1999 09 45637 40446 46377
1999 12 52668 47176 53278
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
--------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 Index Fund* 21.07% 28.49% 18.07% $52,668
Average Large-Cap Core Fund** 22.35 25.71 16.78 47,176
S&P 500 Index 21.04 28.56 18.21 53,278
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Derived from data provided by Lipper Inc.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- -----------------------------------------------------------------------------------------------------------------------------------
10 YEARS
INCEPTION -------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
500 Index Fund* 8/31/1976 21.07% 28.49% 15.38% 2.69% 18.07%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
17
<PAGE> 20
PERFORMANCE SUMMARY
GROWTH INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-DECEMBER 31, 1999
- ------------------------------------------------------------
GROWTH INDEX FUND S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ------------------------------------------------------------
<S> <C> <C> <C> <C>
1992 2.6% 0.6% 3.2% 3.5%
1993 -0.6 2.1 1.5 1.7
1994 0.8 2.1 2.9 3.1
1995 35.9 2.2 38.1 38.1
1996 22.0 1.7 23.7 24.0
1997 34.8 1.5 36.3 36.5
1998 41.1 1.1 42.2 42.2
1999 27.9 0.9 28.8 28.2
- ------------------------------------------------------------
</TABLE>
*S&P 500/BARRA Growth Index.
See Financial Highlights table on page 35 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: NOVEMBER 2, 1992-DECEMBER 31, 1999
- -----------------------------------------------------------
Growth Average
Index Large-Cap S&P* Total
Fund Growth Fund Return
<S> <C> <C> <C>
11/3/96 $10000 $10000 $10000
1992 12 10319 10384 10348
1993 03 10257 10502 10297
1993 06 10043 10563 10084
1993 09 10030 11112 10080
1993 12 10466 11347 10521
1994 03 9999 10924 10067
1994 06 9986 10599 10058
1994 09 10698 11237 10776
1994 12 10758 11099 10850
1995 03 11802 11934 11916
1995 06 13019 13295 13148
1995 09 14051 14474 14191
1995 12 14843 14735 14988
1996 03 15477 15530 15637
1996 06 16534 16315 16732
1996 09 17112 16936 17322
1996 12 18356 17761 18580
1997 03 19003 17644 19244
1997 06 22845 20839 23147
1997 09 24174 22791 24506
1997 12 25016 22733 25367
1998 03 29067 26148 29492
1998 06 30755 27605 31219
1998 09 28533 24641 28958
1998 12 35561 31384 36061
1999 03 38012 34055 38543
1999 06 39491 35213 40020
1999 09 38097 33970 38622
1999 12 45975 43339 46247
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
----------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth Index Fund* 28.76% 33.65% 23.74% $45,975
Average Large-Cap Growth Fund** 38.09 31.32 22.73 43,339
S&P 500/BARRA Growth Index 28.25 33.64 23.84 46,247
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Derived from data provided by Lipper Inc.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Growth Index Fund* 11/2/1992 28.76% 33.65% 21.98% 1.76% 23.74%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
18
<PAGE> 21
PERFORMANCE SUMMARY
GROWTH INDEX FUND INSTITUTIONAL SHARES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: MAY 14, 1998-DECEMBER 31, 1999
- ---------------------------------------------------------
GROWTH INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
1998 20.0% 0.8% 20.8% 20.6%
1999 28.0 0.9 28.9 28.2
- ---------------------------------------------------------
</TABLE>
*S&P 500/BARRA Growth Index.
See Financial Highlights table on page 35 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: MAY 14, 1998-DECEMBER 31, 1999
- -------------------------------------------------------
Growth
Index Fund Average
Institutional Large-Cap
Shares Growth Fund S&P* Total Return
<S> <C> <C> <C>
5/15/2002 $10000000 $10000000 $10000000
1998 06 10441710 10375761 10440916
1998 09 9690504 9262621 9684660
1998 12 12078723 11775298 12060212
1999 03 12915011 12775021 12890201
1999 06 13425372 13251525 13384152
1999 09 12952276 12769449 12916775
1999 12 15570548 16260509 15466848
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999 FINAL VALUE OF A
----------------------------------- $10,000,000
1 YEAR SINCE INCEPTION INVESTMENT
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Growth Index Fund Institutional Shares 28.91% 31.15% $15,570,548
Average Large-Cap Growth Fund* 38.09 34.68 16,260,509
S&P 500/BARRA Growth Index 28.25 30.61 15,466,848
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
*Derived from data provided by Lipper Inc.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Growth Index Fund Institutional Shares 5/14/1998 28.91% 30.03% 1.12% 31.15%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE> 22
PERFORMANCE SUMMARY
VALUE INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: NOVEMBER 2, 1992-DECEMBER 31, 1999
- ------------------------------------------------------------
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
- ------------------------------------------------------------
</TABLE>
*S&P 500/BARRA Value Index.
See Financial Highlights table on page 36 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: NOVEMBER 2, 1992-DECEMBER 31, 1999
- ----------------------------------------------------------
Value Average
Index Large-Cap S&P 500/ BARRA
Fund Value Fund Value Index
<S> <C> <C> <C>
11/3/96 $10000 $10000 $10000
1992 12 10370 10333 10381
1993 03 11315 10860 11340
1993 06 11629 10952 11657
1993 09 12218 11356 12260
1993 12 12265 11622 12311
1994 03 11856 11210 11909
1994 06 11970 11218 12019
1994 09 12267 11673 12327
1994 12 12168 11595 12233
1995 03 13339 12565 13412
1995 06 14493 13631 14580
1995 09 15654 14604 15740
1995 12 16655 15421 16759
1996 03 17708 16227 17830
1996 06 18074 16761 18195
1996 09 18533 17252 18676
1996 12 20287 18690 20445
1997 03 20625 19013 20805
1997 06 23607 21860 23816
1997 09 25757 23561 25999
1997 12 26316 23955 26575
1998 03 29344 26728 29646
1998 06 29496 26918 29799
1998 09 25670 24094 25951
1998 12 30159 28554 30475
1999 03 30996 29276 31343
1999 06 34326 31602 34728
1999 09 31150 29076 31524
1999 12 34047 31760 34352
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
---------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Value Index Fund* 12.57% 22.82% 18.66% $34,047
Average Large-Cap Value Fund** 11.23 22.33 17.51 31,760
S&P 500/BARRA Value Index 12.72 22.94 18.81 34,352
- -------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Derived from data provided by Lipper Inc.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Value Index Fund* 11/2/1992 12.57% 22.82% 15.79% 2.87% 18.66%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
20
<PAGE> 23
PERFORMANCE SUMMARY
VALUE INDEX FUND INSTITUTIONAL SHARES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: JULY 2, 1998-DECEMBER 31, 1999
- ---------------------------------------------------------
VALUE INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
1998 -0.4% 1.1% 0.7% 0.6%
1999 10.8 1.9 12.7 12.7
- ---------------------------------------------------------
</TABLE>
*S&P 500/BARRA Value Index.
See Financial Highlights table on page 36 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: JULY 2, 1998-DECEMBER 31, 1999
- -------------------------------------------------------
Value
Index Fund Average S&P 500/
Institutional Large-Cap BARRA Value
Shares Value Fund Index
<S> <C> <C> <C>
7/3/2002 $10000000 $10000000 $10000000
1998 09 8569356 8730146 8569430
1998 12 10069366 10359716 10063489
1999 03 10351547 10642536 10350180
1999 06 11467489 11545903 11467982
1999 09 10409935 10535540 10409894
1999 12 11345649 11523112 11343844
</TABLE>
<TABLE>
- -----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999 FINAL VALUE OF A
----------------------------------- $10,000,000
1 YEAR SINCE INCEPTION INVESTMENT
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Value Index Fund Institutional Shares 12.67% 8.79% $11,345,649
Average Large-Cap Value Fund* 11.23 9.92 11,523,112
S&P 500/BARRA Value Index 12.72 8.78 11,343,844
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Derived from data provided by Lipper Inc.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- -------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Value Index Fund Institutional Shares 7/2/1998 12.67% 6.82% 1.97% 8.79%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE> 24
PERFORMANCE SUMMARY
TOTAL STOCK MARKET INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: APRIL 27, 1992-DECEMBER 31, 1999
- ----------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND WILSHIRE
5000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
1992 8.1% 2.3% 10.4% 10.7%
1993 8.1 2.5 10.6 11.2
1994 -2.5 2.3 -0.2 -0.1
1995 33.1 2.7 35.8 36.4
1996 18.9 2.1 21.0 21.3
1997 29.0 2.0 31.0 31.3
1998 21.7 1.6 23.3 23.4
1999 22.4 1.4 23.8 23.8
- ----------------------------------------------------------
</TABLE>
See Financial Highlights table on page 37 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: APRIL 27, 1992-DECEMBER 31, 1999
- --------------------------------------------------------
Total
Stock
Market Average Wilshire 5000
Index Multi-Cap Total Market
Fund Core Fund Index
<S> <C> <C> <C>
4/28/96 $10000 $10000 $10000
1992 06 10010 9976 10012
1992 09 10307 10259 10315
1992 12 11037 11059 11069
1993 03 11474 11405 11531
1993 06 11555 11487 11628
1993 09 11976 11908 12093
1993 12 12202 12243 12312
1994 03 11748 11880 11852
1994 06 11641 11709 11757
1994 09 12294 12221 12397
1994 12 12176 12048 12300
1995 03 13289 12997 13409
1995 06 14515 14148 14664
1995 09 15811 15187 16003
1995 12 16528 15797 16780
1996 03 17439 16736 17732
1996 06 18179 17425 18520
1996 09 18688 17947 19035
1996 12 19989 19081 20349
1997 03 20119 19142 20464
1997 06 23499 22025 23921
1997 09 25790 24124 26271
1997 12 26180 24041 26728
1998 03 29655 27142 30283
1998 06 30199 27397 30850
1998 09 26553 23622 27151
1998 12 32264 28380 32978
1999 03 33458 29129 34248
1999 06 36092 31720 36868
1999 09 33771 29596 34486
1999 12 40039 34751 40817
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
----------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Stock Market Index Fund* 23.81% 26.84% 19.80% $40,039
Average Multi-Cap Core Fund** 22.45 23.60 17.61 34,751
Wilshire 5000 Total Market Index 23.77 27.11 20.11 40,817
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Derived from data provided by Lipper Inc.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- -------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Total Stock Market Index Fund* 4/27/1992 23.81% 26.84% 17.58% 2.22% 19.80%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
22
<PAGE> 25
PERFORMANCE SUMMARY
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
All of the data on this page represent past performance, which cannot be
used to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: JULY 7, 1997-DECEMBER 31, 1999
- ----------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND WILSHIRE
INSTITUTIONAL SHARES 5000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ----------------------------------------------------------
<S> <C> <C> <C> <C>
1997 7.6% 1.0% 8.6% 8.8%
1998 21.7 1.7 23.4 23.4
1999 22.4 1.5 23.9 23.8
- ----------------------------------------------------------
</TABLE>
See Financial Highlights table on page 37 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: JULY 7, 1997-DECEMBER 31, 1999
- --------------------------------------------------------
Total Stock
Market Index Fund Average
Institutional Multi-Cap Wilshire 5000
Shares Core Fund Total Market Index
<S> <C> <C> <C>
7/8/2001 $10000000 $10000000 $10000000
1997 09 10691227 10909750 10698798
1997 12 10859588 10748130 10884894
1998 03 12306072 12028232 12332732
1998 06 12532590 12011035 12563955
1998 09 11022639 10215890 11057291
1998 12 13398011 12308759 13430560
1999 03 13896941 12456437 13947556
1999 06 15000654 13657748 15014590
1999 09 14035874 13008914 14044566
1999 12 16603598 15480321 16622858
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000,000 INVESTMENT
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Total Stock Market Index Fund Institutional Shares 23.93% 22.64% $16,603,598
Average Multi-Cap Core Fund* 22.45 19.23 15,480,321
Wilshire 5000 Total Market Index 23.77 22.69 16,622,858
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Derived from data provided by Lipper Inc.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- ------------------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ----------------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Total Stock Market Index Fund Institutional Shares 7/7/1997 23.93% 20.90% 1.74% 22.64%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE> 26
FINANCIAL STATEMENTS
DECEMBER 31, 1999
The Statements of Net Assets--integral parts of the Financial Statements for the
Vanguard 500 Index, Growth Index, Value Index, and Total Stock Market Index
Funds--are included as an insert to this report (except for the 500 Index Fund,
whose Statement of Net Assets is provided below).
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each fund, you will find a
table displaying the composition of the fund's net assets. Because all income
and any realized gains must be distributed to shareholders each year, the bulk
of net assets consists of Paid in Capital (money invested by shareholders). The
amounts shown for Undistributed Net Investment Income and Accumulated Net
Realized Gains usually approximate the sums the fund had available to distribute
to shareholders as income dividends or capital gains as of the statement date.
Any Accumulated Net Realized Losses, and any cumulative excess of distributions
over net income or net realized gains, will appear as negative balances.
Unrealized Appreciation (Depreciation) is the difference between the market
value of the fund's investments and their cost, and reflects the gains (losses)
that would be realized if the fund were to sell all of its investments at their
statement-date values.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- ------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- ------------------------------------------------------------------
<S> <C> <C>
- - Microsoft Corp. 43,806,241 $ 5,114,379
General Electric Co. 27,853,005 4,310,253
- - Cisco Systems, Inc. 27,767,465 2,974,590
Wal-Mart Stores, Inc. 37,790,522 2,612,270
Exxon Mobil Corp. 29,319,160 2,362,025
Intel Corp. 28,363,603 2,334,679
Lucent Technologies, Inc. 26,598,579 1,989,906
International Business
Machines Corp. 15,303,339 1,652,761
Citigroup, Inc. 28,620,076 1,590,203
- - America Online, Inc. 18,978,270 1,431,673
American International
Group, Inc. 13,142,292 1,421,010
SBC Communications Inc. 28,961,046 1,411,851
AT&T Corp. 27,127,702 1,376,731
- - Oracle Corp. 12,086,309 1,354,422
Home Depot, Inc. 19,542,971 1,339,915
Merck & Co., Inc. 19,843,619 1,330,763
- - MCI WorldCom, Inc. 24,087,588 1,278,148
Procter & Gamble Co. 11,156,691 1,222,355
The Coca-Cola Co. 20,969,054 1,221,447
Nortel Networks Corp. 11,338,719 1,145,211
Royal Dutch Petroleum
Co. ADR 18,202,667 1,100,124
- - Dell Computer Corp. 21,569,164 1,100,027
Johnson & Johnson 11,805,190 1,099,358
Bristol-Myers Squibb Co. 16,840,622 1,080,957
Pfizer, Inc. 32,869,115 1,066,192
- - Sun Microsystems, Inc. 13,261,708 1,026,953
- - QUALCOMM, Inc. 5,601,384 986,544
Hewlett-Packard Co. 8,650,806 985,651
- - Yahoo!, Inc. 2,234,745 966,946
- - EMC Corp. 8,638,142 943,717
Bell Atlantic Corp. 13,183,101 811,585
Time Warner, Inc. 10,919,200 790,960
Motorola, Inc. 5,170,680 761,383
BellSouth Corp. 15,979,997 748,064
Bank of America Corp. 14,491,510 727,293
Morgan Stanley Dean
Witter & Co. 4,727,101 674,794
Texas Instruments, Inc. 6,808,527 659,576
American Express Co. 3,800,496 631,832
Eli Lilly & Co. 9,258,017 615,658
Warner-Lambert Co. 7,292,813 597,555
E.I. du Pont de Nemours & Co. 8,867,499 584,146
GTE Corp. 8,249,952 582,137
Wells Fargo Co. 13,938,778 563,649
Tyco International Ltd. 14,343,356 557,598
Ford Motor Co. 10,254,357 547,967
The Chase Manhattan Corp. 7,000,224 543,830
Fannie Mae 8,701,105 543,275
Schering-Plough Corp. 12,471,736 526,151
- - Amgen, Inc. 8,669,407 520,706
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
The Walt Disney Co. 17,506,768 $ 512,073
Sprint Corp. 7,398,117 497,986
Chevron Corp. 5,571,351 482,618
Abbott Laboratories 13,051,088 473,918
Philip Morris Cos., Inc. 20,082,272 465,658
McDonald's Corp. 11,499,746 463,584
American Home
Products Corp. 11,084,565 437,148
PepsiCo, Inc. 12,355,076 435,516
- - CBS Corp. 6,471,907 413,798
- - Applied Materials, Inc. 3,212,534 406,988
- - MediaOne Group, Inc. 5,195,457 399,076
General Motors Corp. 5,433,680 394,961
Compaq Computer Corp. 14,431,108 390,542
Honeywell International Inc. 6,720,400 387,683
Gillette Co. 9,104,018 374,972
- - Sprint PCS 3,657,605 374,905
Medtronic, Inc. 10,147,285 369,742
- - Viacom Inc. Class B 5,773,725 348,950
The Gap, Inc. 7,267,046 334,284
Minnesota Mining &
Manufacturing Co. 3,409,149 333,670
The Boeing Co. 7,935,635 329,825
- - Global Crossing Ltd. 6,445,491 322,275
Colgate-Palmolive Co. 4,948,971 321,683
Computer Associates
International, Inc. 4,576,098 320,041
- - NEXTEL Communications, Inc. 3,083,607 317,997
Bank One Corp. 9,733,993 312,096
U S WEST, Inc. 4,289,819 308,867
Kimberly-Clark Corp. 4,620,311 301,475
Automatic Data Processing, Inc. 5,306,890 285,909
Comcast Corp.-Special Class A 5,590,944 282,692
Anheuser-Busch Cos., Inc. 3,947,921 279,809
Freddie Mac 5,901,293 277,730
First Union Corp. 8,385,442 275,147
Dayton Hudson Corp. 3,738,891 274,575
FleetBoston Financial Corp. 7,776,755 270,728
Enron Corp. 6,075,223 269,588
Corning, Inc. 2,077,388 267,853
Electronic Data Systems Corp. 3,995,734 267,464
Charles Schwab Corp. 6,961,118 267,133
Unilever NV ADR 4,852,003 264,131
United Technologies Corp. 4,062,030 264,032
Merrill Lynch & Co., Inc. 3,146,793 262,757
Schlumberger Ltd. 4,667,967 262,573
Alcoa Inc. 3,112,525 258,340
- - Clear Channel
Communications, Inc. 2,873,758 256,483
Texaco Inc. 4,692,083 254,839
Carnival Corp. 5,237,332 250,410
The Bank of New York Co., Inc. 6,251,673 250,067
Walgreen Co. 8,518,454 249,165
Dow Chemical Co. 1,860,726 248,640
Atlantic Richfield Co. 2,739,830 236,995
- - Solectron Corp. 2,486,817 236,558
ALLTEL Corp. 2,665,110 220,371
- - Tellabs, Inc. 3,415,096 219,206
Marsh & McLennan Cos., Inc. 2,264,946 216,727
Emerson Electric Co. 3,688,493 211,627
International Paper Co. 3,515,376 198,399
Pharmacia & Upjohn, Inc. 4,397,033 197,866
Lowe's Cos., Inc. 3,244,212 193,842
- - Gateway, Inc. 2,687,223 193,648
Gannett Co., Inc. 2,366,041 192,980
Monsanto Co. 5,387,582 191,933
Fifth Third Bancorp 2,607,705 191,340
SunTrust Banks, Inc. 2,716,271 186,913
J.P. Morgan & Co., Inc. 1,469,113 186,026
MBNA Corp. 6,806,252 185,470
- - Micron Technology, Inc. 2,290,829 178,112
Eastman Kodak Co. 2,679,231 177,499
Firstar Corp. 8,319,222 175,744
First Data Corp. 3,555,765 175,344
Illinois Tool Works, Inc. 2,547,630 172,124
- - Costco Wholesale Corp. 1,880,279 171,575
Sara Lee Corp. 7,714,438 170,200
Associates First Capital Corp. 6,180,712 169,583
The Seagram Co. Ltd. 3,680,270 165,382
- - BMC Software, Inc. 2,055,499 164,311
Allstate Corp. 6,837,472 164,099
- - Cendant Corp. 6,034,744 160,298
American General Corp. 2,097,821 159,172
Duke Energy Corp. 3,104,434 155,610
Baxter International, Inc. 2,471,445 155,238
- - Safeway, Inc. 4,319,293 153,605
Halliburton Co. 3,745,486 150,756
Omnicom Group Inc. 1,506,505 150,651
Household International, Inc. 4,005,223 149,195
U.S. Bancorp 6,175,843 147,062
Mellon Financial Corp. 4,315,806 147,007
Weyerhaeuser Co. 1,993,233 143,139
Caterpillar, Inc. 3,018,198 142,044
Campbell Soup Co. 3,631,967 140,512
- - Apple Computer, Inc. 1,365,703 140,411
Columbia/HCA Healthcare Corp. 4,789,773 140,400
- - 3Com Corp. 2,931,855 137,797
- - Analog Devices, Inc. 1,481,060 137,739
Interpublic Group of Cos., Inc. 2,382,031 137,413
Southern Co. 5,712,791 134,251
- - Computer Sciences Corp. 1,413,451 133,748
- - The Kroger Co. 7,063,139 133,317
CVS Corp. 3,325,337 132,806
Conoco Inc. Class B 5,323,549 132,423
- - AES Corp. 1,749,646 130,786
Xerox Corp. 5,639,302 127,942
Washington Mutual, Inc. 4,900,983 127,426
CIGNA Corp. 1,578,483 127,167
- - General Instrument Corp. 1,477,376 125,577
Bestfoods 2,367,831 124,459
National City Corp. 5,234,144 123,984
- - Xilinx, Inc. 2,706,010 123,039
- - Guidant Corp. 2,609,330 122,639
H.J. Heinz Co. 3,042,405 121,126
NIKE, Inc. Class B 2,377,337 117,827
Wachovia Corp. 1,721,238 117,044
Albertson's, Inc. 3,589,336 115,756
Cardinal Health, Inc. 2,380,351 113,959
</TABLE>
26
<PAGE> 28
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - Compuware Corp. 3,037,972 $ 113,164
- - Novell, Inc. 2,838,640 113,013
Williams Cos., Inc. 3,685,842 112,649
Tribune Co. 2,017,345 111,080
PNC Bank Corp. 2,495,334 111,042
Sysco Corp. 2,795,576 110,600
Providian Financial Corp. 1,203,751 109,617
Pitney Bowes, Inc. 2,251,290 108,765
AFLAC, Inc. 2,256,730 106,489
Kellogg Co. 3,439,662 105,985
PE Corp.-PE Biosystems Group 875,068 105,282
- - Network Appliance, Inc. 1,260,773 104,723
- - FDX Corp. 2,534,691 103,764
The McGraw-Hill Cos., Inc. 1,664,757 102,591
Phillips Petroleum Co. 2,150,142 101,057
The Clorox Co. 2,003,430 100,923
Northern Trust Corp. 1,894,086 100,387
- - Kohl's Corp. 1,382,071 99,768
State Street Corp. 1,357,761 99,201
- - Lexmark International
Group, Inc. Class A 1,084,037 98,105
Sears, Roebuck & Co. 3,207,790 97,637
Textron, Inc. 1,262,470 96,816
Masco Corp. 3,787,076 96,097
- - Teradyne, Inc. 1,454,497 95,997
Burlington Northern
Santa Fe Corp. 3,889,117 94,311
ConAgra, Inc. 4,170,870 94,105
PPG Industries, Inc. 1,473,739 92,201
General Mills, Inc. 2,578,848 92,194
- - ADC Telecommunications, Inc. 1,269,481 92,117
Union Pacific Corp. 2,110,183 92,057
May Department Stores Co. 2,836,526 91,478
Waste Management, Inc. 5,256,659 90,349
- - Federated Department
Stores, Inc. 1,782,256 90,115
General Dynamics Corp. 1,702,758 89,820
The Hartford Financial
Services Group Inc. 1,881,007 89,113
- - Best Buy Co., Inc. 1,742,672 87,460
- - Comverse Technology, Inc. 601,149 87,016
Aon Corp. 2,174,592 86,984
Lehman Brothers Holdings, Inc. 1,017,481 86,168
Deere & Co. 1,983,710 86,043
- - Citrix Systems, Inc. 699,371 86,023
- - LSI Logic Corp. 1,262,600 85,226
- - KLA-Tencor Corp. 763,375 85,021
KeyCorp 3,809,113 84,277
The Chubb Corp. 1,495,778 84,231
- - AMR Corp. 1,256,436 84,181
- - Unisys Corp. 2,630,943 84,026
Paychex, Inc. 2,093,409 83,736
Texas Utilities Co. 2,346,376 83,443
- - Seagate Technology Inc. 1,768,301 82,337
- - Staples, Inc. 3,949,062 81,943
Wrigley, (Wm.) Jr. Co. 983,552 81,573
Capital One Financial Corp. 1,676,428 80,783
Tandy Corp. 1,640,373 80,686
The Limited, Inc. 1,822,775 78,949
Dover Corp. 1,728,288 78,421
Circuit City Stores, Inc. 1,721,767 77,587
Rockwell International Corp. 1,614,833 77,310
Edison International 2,947,343 77,184
BB&T Corp. 2,809,206 76,902
- - Boston Scientific Corp. 3,510,752 76,798
Alcan Aluminium Ltd. 1,864,346 76,788
United Healthcare Corp. 1,440,799 76,542
Ralston-Ralston Purina Group 2,745,429 76,529
Ingersoll-Rand Co. 1,388,306 76,444
Union Carbide Corp. 1,136,387 75,854
Rohm & Haas Co. 1,858,225 75,607
Delphi Automotive
Systems Corp. 4,796,215 75,540
El Paso Energy Corp. 1,934,552 75,085
The Quaker Oats Co. 1,135,703 74,531
Georgia Pacific Group 1,457,152 73,950
Lockheed Martin Corp. 3,354,472 73,379
Coca-Cola Enterprises, Inc. 3,607,521 72,601
New York Times Co. Class A 1,453,992 71,427
IMS Health, Inc. 2,622,521 71,300
Aetna Inc. 1,270,566 70,913
Kansas City Southern
Industries, Inc. 937,905 69,991
Avery Dennison Corp. 956,336 69,693
Newell Rubbermaid, Inc. 2,393,166 69,402
Southwest Airlines Co. 4,278,618 69,260
Unocal Corp. 2,057,593 69,058
Franklin Resources Corp. 2,140,298 68,623
Adobe Systems, Inc. 1,019,891 68,588
Praxair, Inc. 1,353,055 68,076
Avon Products, Inc. 2,056,554 67,866
Occidental Petroleum Corp. 3,120,588 67,483
PG&E Corp. 3,259,263 66,815
Marriott International, Inc.
Class A 2,111,859 66,656
Lincoln National Corp. 1,666,235 66,649
Norfolk Southern Corp. 3,229,795 66,211
Air Products & Chemicals, Inc. 1,948,439 65,394
UnumProvident Corp. 2,037,699 65,334
FPL Group, Inc. 1,521,563 65,142
USX-Marathon Group 2,637,862 65,122
St. Paul Cos., Inc. 1,926,062 64,884
Consolidated Edison Inc. 1,878,177 64,797
Public Service Enterprise
Group, Inc. 1,861,145 64,791
AmSouth Bancorp 3,333,138 64,371
Coastal Corp. 1,811,629 64,200
Republic New York Corp. 889,532 64,046
Dominion Resources, Inc. 1,624,667 63,768
Archer-Daniels-Midland Co. 5,186,928 63,216
Molex, Inc. 1,112,595 63,070
- - National Semiconductor Corp. 1,456,154 62,342
Comerica, Inc. 1,326,912 61,950
- - Tenet Healthcare Corp. 2,636,099 61,948
- - Parametric Technology Corp. 2,285,659 61,856
Unicom Corp. 1,845,023 61,808
Raytheon Co. Class B 2,312,736 61,432
Burlington Resources, Inc. 1,846,282 61,043
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
Jefferson-Pilot Corp. 888,997 $ 60,674
Barrick Gold Corp. 3,347,202 59,204
Baker Hughes, Inc. 2,791,519 58,796
Transocean Sedco Forex Inc. 1,741,102 58,653
Danaher Corp. 1,208,006 58,286
CSX Corp. 1,847,687 57,971
Reliant Energy, Inc. 2,511,108 57,442
SLM Holding Corp. 1,350,233 57,047
Becton, Dickinson & Co. 2,124,832 56,839
CenturyTel, Inc. 1,185,815 56,178
Delta Air Lines, Inc. 1,127,634 56,170
Hershey Foods Corp. 1,174,616 55,794
Allergan, Inc. 1,120,342 55,737
PECO Energy Corp. 1,584,065 55,046
Loews Corp. 900,120 54,626
MGIC Investment Corp. 896,865 53,980
McKesson HBOC, Inc. 2,387,723 53,873
TJX Cos., Inc. 2,631,769 53,787
Entergy Corp. 2,087,883 53,763
SouthTrust Corp. 1,421,656 53,756
TRW, Inc. 1,029,119 53,450
Consolidated Natural Gas Co. 814,342 52,881
American Electric Power
Co., Inc. 1,641,701 52,740
Dow Jones & Co., Inc. 759,341 51,635
Dollar General Corp. 2,258,004 51,370
Fort James Corp. 1,850,433 50,656
Champion Interanational Corp. 814,870 50,471
- - Tricon Global Restaurants, Inc. 1,304,964 50,404
Conseco Inc. 2,778,969 49,674
Parker Hannifin Corp. 950,818 48,789
- - PeopleSoft, Inc. 2,276,309 48,514
Synovus Financial Corp. 2,375,380 47,211
Union Planters Corp. 1,196,998 47,207
PaineWebber Group, Inc. 1,211,319 47,014
Regions Financial Corp. 1,865,479 46,870
Mattel, Inc. 3,567,375 46,822
Huntington Bancshares Inc. 1,955,119 46,678
Phelps Dodge Corp. 686,509 46,082
Fortune Brands, Inc. 1,392,647 46,044
Golden West Financial Corp. 1,371,606 45,949
Kerr-McGee Corp. 733,484 45,476
Summit Bancorp 1,483,323 45,427
Progressive Corp. of Ohio 620,123 45,346
Eaton Corp. 622,301 45,195
FirstEnergy Corp. 1,988,775 45,120
MBIA, Inc. 848,176 44,794
J.C. Penney Co., Inc. 2,208,670 44,035
Willamette Industries, Inc. 946,670 43,961
Columbia Energy Group 693,547 43,867
Cincinnati Financial Corp. 1,399,983 43,662
Amerada Hess Corp. 768,821 43,631
- - Adaptec, Inc. 869,973 43,390
Bear Stearns Co., Inc. 1,011,777 43,253
Ecolab, Inc. 1,098,667 42,985
Knight Ridder 712,633 42,402
- - Kmart Corp. 4,190,561 42,168
Dana Corp. 1,396,513 41,808
- - Bed Bath & Beyond, Inc. 1,187,400 41,262
Carolina Power & Light Co. 1,354,646 41,232
Johnson Controls, Inc. 724,359 41,198
Whirlpool Corp. 631,858 41,110
Reynolds Metals Co. 533,822 40,904
Nucor Corp. 741,049 40,619
Dun & Bradstreet Corp. 1,366,268 40,305
- - Cabletron Systems, Inc. 1,532,893 39,855
- - AutoZone Inc. 1,218,386 39,369
Black & Decker Corp. 740,468 38,689
DTE Energy Co. 1,231,163 38,628
- - Inco Ltd. 1,630,152 38,309
Ameren Corp. 1,164,675 38,143
Biomet, Inc. 953,512 38,140
W.W. Grainger, Inc. 793,909 37,959
T. Rowe Price 1,025,230 37,869
The Mead Corp. 870,487 37,812
Comcast Corp. Class A 788,477 37,748
Genuine Parts Co. 1,520,654 37,731
The Goodyear Tire & Rubber Co. 1,326,580 37,393
Anadarko Petroleum Corp. 1,083,337 36,969
Scientific-Atlanta, Inc. 663,192 36,890
Constellation Energy Group 1,271,362 36,869
- - Sealed Air Corp. 709,615 36,767
UST, Inc. 1,452,122 36,575
H & R Block, Inc. 829,407 36,287
- - Advanced Micro Devices, Inc. 1,249,698 36,163
Central & South West Corp. 1,805,162 36,103
Leggett & Platt, Inc. 1,669,767 35,796
Apache Corp. 966,259 35,691
Old Kent Financial Corp. 1,007,568 35,643
- - Wellpoint Health Networks
Inc. Class A 540,041 35,609
Sempra Energy 2,040,098 35,447
Florida Progress Corp. 833,773 35,279
Newmont Mining Corp. 1,424,733 34,906
Maytag Corp. 720,121 34,566
The Times Mirror Co. Class A 507,314 33,990
Vulcan Materials Co. 849,450 33,925
International Flavors &
Fragrances, Inc. 892,263 33,683
Bausch & Lomb, Inc. 487,471 33,361
Brown-Forman Corp. Class B 581,972 33,318
Tosco Corp. 1,221,863 33,219
Torchmark Corp. 1,125,769 32,718
Cinergy Corp. 1,349,497 32,557
Cooper Industries, Inc. 801,981 32,430
- - Owens-Illinois, Inc. 1,280,555 32,094
Northrop Grumman Corp. 589,204 31,854
Eastman Chemical Co. 663,843 31,657
Hasbro, Inc. 1,652,688 31,504
GPU, Inc. 1,047,515 31,360
Temple-Inland Inc. 473,618 31,229
Nordstrom, Inc. 1,176,277 30,804
CMS Energy Corp. 982,841 30,652
- - Office Depot, Inc. 2,793,910 30,558
VF Corp. 1,009,206 30,276
Winn-Dixie Stores, Inc. 1,263,996 30,257
Hilton Hotels Corp. 3,133,116 30,156
- - Toys R Us, Inc. 2,089,728 29,909
</TABLE>
27
<PAGE> 30
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - ALZA Corp. 862,588 $ 29,867
New Century Energies, Inc. 978,356 29,718
Placer Dome, Inc. 2,764,170 29,715
Sherwin-Williams Co. 1,407,843 29,565
Fluor Corp. 643,323 29,512
Nabisco Group Holdings Corp. 2,770,296 29,434
PACCAR, Inc. 664,243 29,434
- - Watson Pharmaceuticals, Inc. 813,256 29,125
- - Harrah's Entertainment, Inc. 1,091,978 28,869
Equifax, Inc. 1,207,868 28,460
PP&L Resources Inc. 1,219,603 27,898
Westvaco Corp. 850,361 27,743
SAFECO Corp. 1,112,435 27,672
Union Pacific Resources
Group, Inc. 2,143,071 27,324
R.R. Donnelley & Sons Co. 1,083,764 26,891
- - Ceridian Corp. 1,228,303 26,485
Sigma-Aldrich Corp. 855,926 25,731
The BFGoodrich Co. 931,162 25,607
Northern States Power Co. 1,312,038 25,585
- - Freeport-McMoRan Copper &
Gold Inc. Class B 1,210,482 25,571
- - Navistar International Corp. 539,628 25,565
Hercules, Inc. 903,160 25,176
- - Mirage Resorts, Inc. 1,639,680 25,108
ITT Industries, Inc. 745,534 24,929
USX-U.S. Steel Group 748,277 24,693
Rite Aid Corp. 2,191,504 24,517
Harcourt General, Inc. 602,884 24,266
Countrywide Credit
Industries, Inc. 958,667 24,206
SuperValu Inc. 1,178,625 23,573
Crown Cork & Seal Co., Inc. 1,042,018 23,315
C.R. Bard, Inc. 434,786 23,044
The Stanley Works 756,111 22,778
Pall Corp. 1,056,169 22,774
- - Niagara Mohawk Holdings Inc. 1,588,869 22,145
- - St. Jude Medical, Inc. 718,411 22,046
Pinnacle West Capital Corp. 718,969 21,973
Wendy's International, Inc. 1,022,831 21,096
Darden Restaurants Inc. 1,121,970 20,336
Engelhard Corp. 1,072,237 20,238
Ashland, Inc. 613,199 20,197
- - Thermo Electron Corp. 1,339,787 20,097
Boise Cascade Corp. 485,766 19,674
- - US Airways Group, Inc. 608,088 19,497
Liz Claiborne, Inc. 507,818 19,107
Mallinckrodt, Inc. 594,286 18,906
Great Lakes Chemical Corp. 494,973 18,902
Meredith Corp. 439,396 18,317
Dillard's Inc. 905,065 18,271
Sunoco, Inc. 768,758 18,066
Allegheny Technologies Inc. 803,742 18,034
- - Quintiles Transnational Corp. 963,883 18,013
- - HEALTHSOUTH Corp. 3,321,131 17,851
Brunswick Corp. 783,283 17,428
Homestake Mining Co. 2,215,246 17,307
Cummins Engine Co., Inc. 354,626 17,133
Deluxe Corp. 623,108 17,097
Autodesk, Inc. 503,913 17,007
Adolph Coors Co. Class B 312,371 16,399
PerkinElmer, Inc. 388,607 16,200
Service Corp. International 2,302,901 15,976
Thomas & Betts Corp. 490,881 15,647
- - Silicon Graphics, Inc. 1,583,364 15,537
Tektronix, Inc. 397,734 15,462
Bemis Co., Inc. 443,098 15,453
- - Pactiv Corp. 1,446,543 15,370
- - Rowan Cos., Inc. 705,534 15,301
- - Consolidated Stores, Inc. 934,653 15,188
- - FMC Corp. 260,536 14,932
Millipore Corp. 380,929 14,713
- - Manor Care, Inc. 901,802 14,429
- - Allied Waste Industries, Inc. 1,593,509 14,043
Raytheon Co. Class A 553,726 13,739
Ryder System, Inc. 545,214 13,324
Snap-On Inc. 496,695 13,193
- - Andrew Corp. 694,964 13,161
Eastern Enterprises 227,712 13,079
American Greetings Corp.
Class A 550,890 13,015
Louisiana-Pacific Corp. 910,833 12,979
NICOR, Inc. 398,899 12,964
Worthington Industries, Inc. 757,088 12,539
Centex Corp. 505,098 12,470
Alberto-Culver Co. Class B 472,135 12,187
- - Humana, Inc. 1,418,656 11,615
Shared Medical Systems Corp. 226,208 11,522
Armstrong World Industries Inc. 339,518 11,331
Crane Co. 560,719 11,144
Potlatch Corp. 245,060 10,936
The Timken Co. 524,203 10,713
Briggs & Stratton Corp. 196,946 10,561
Ball Corp. 257,953 10,157
National Service Industries, Inc. 343,176 10,124
Peoples Energy Corp. 300,225 10,058
Cooper Tire & Rubber Co. 641,641 9,986
Kaufman & Broad Home Corp. 405,511 9,808
- - Bethlehem Steel Corp. 1,104,285 9,248
Great Atlantic & Pacific
Tea Co., Inc. 324,214 9,037
Owens Corning 464,110 8,963
- - Viacom Inc. Class A 143,386 8,666
IKON Office Solutions, Inc. 1,264,792 8,616
Longs Drug Stores, Inc. 331,844 8,566
- - W.R. Grace & Co. 603,846 8,378
Tupperware Corp. 487,871 8,263
Pulte Corp. 366,136 8,238
Polaroid Corp. 376,502 7,083
Jostens Inc. 285,630 6,944
Oneok. Inc. 267,917 6,731
Springs Industries Inc. Class A 151,482 6,050
Fleetwood Enterprises, Inc. 286,306 5,905
Milacron Inc. 314,080 4,829
Russell Corp. 286,436 4,798
McDermott International, Inc. 502,060 4,550
The Pep Boys
(Manny, Moe & Jack) 445,580 4,066
- - Reebok International Ltd. 475,778 3,895
NACCO Industries, Inc. Class A 69,233 3,847
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ------------------------------------------------------------------
<S> <C> <C>
- - Freeport-McMoRan Copper &
Gold, Inc. Class A 176,683 $ 3,280
Foster Wheeler Corp. 345,633 3,067
Molex, Inc. Class A 3,241 147
Alberto-Culver Co. Class A 1,000 22
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------
TOTAL COMMON STOCKS
<S> <C>
(COST $59,402,400) 104,544,391
- -------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
- -------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.5%)(1)
- -------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
<S> <C> <C>
(2) 5.63%, 1/19/2000 $ 10,650 10,625
U.S. TREASURY BILL
(2) 4.98%, 1/13/2000 50 50
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 154,437 154,437
3.47%, 1/3/2000--Note G 383,770 383,770
- -------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TOTAL TEMPORARY CASH INVESTMENTS
<S> <C>
(COST $548,878) 548,882
- -------------------------------------------------------------
TOTAL INVESTMENTS (100.4%)
(COST $59,951,278) 105,093,273
- -------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.4%)
- -------------------------------------------------------------
Other Assets--Note B 402,826
Liabilities--Note G (843,773)
---------
(440,947)
- -------------------------------------------------------------
NET ASSETS (100%)
- -------------------------------------------------------------
Applicable to 773,301,927 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $104,652,326
=============================================================
NET ASSET VALUE PER SHARE $135.33
=============================================================
</TABLE>
*See Note A in Notes to Financial Statements.
-Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments,
the fund's effective common stock and temporary cash investment positions
represent 100.0% and 0.4%, respectively, of net assets. See Note F in Notes
to Financial Statements.
(2)Securities with an aggregate value of $10,675,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
- ------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ------------------------------------------------------------
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------
<S> <C> <C>
Paid in Capital--Note E $59,611,263 $ 77.09
Overdistributed Net
Investment Income (39,949) (.05)
Accumulated Net
Realized Losses--Note E (64,197) (.08)
Unrealized Appreciation--Note F
Investment Securities 45,141,995 58.37
Futures Contracts 3,214 --
- -----------------------------------------------------------
NET ASSETS $104,652,326 $135.33
===========================================================
</TABLE>
29
<PAGE> 32
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by each fund during the
reporting period, and details the operating expenses charged to each class of
its shares. These expenses directly reduce the amount of investment income
available to pay to shareholders as dividends. This Statement also shows any Net
Gain (Loss) realized on the sale of investments, and the increase or decrease in
the Unrealized Appreciation (Depreciation) on investments during the period. If
a fund invested in futures contracts during the period, the results of these
investments are shown separately.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
500 INDEX FUND
YEAR ENDED DECEMBER 31, 1999
(000)
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
<S> <C>
Dividends $ 1,141,381
Interest 19,532
Security Lending 3,368
-------------
Total Income 1,164,281
-------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 100
Management and Administrative 142,207
Marketing and Distribution 14,284
Custodian Fees 337
Auditing Fees 43
Shareholders' Reports 2,919
Trustees' Fees and Expenses 115
-----------
Total Expenses 160,005
Expenses Paid Indirectly--Note C (59)
-----------
Net Expenses 159,946
- --------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,004,335
- --------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 2,140,391
Futures Contracts 35,036
- --------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 2,175,427
- --------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 14,152,109
Futures Contracts (9,782)
- --------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 14,142,327
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $17,322,089
==========================================================================================================================
</TABLE>
30
<PAGE> 33
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
GROWTH VALUE TOTAL STOCK
INDEX INDEX MARKET INDEX
FUND FUND FUND
----------------------------------------------
YEAR ENDED DECEMBER 31, 1999
----------------------------------------------
(000) (000) (000)
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
<S> <C> <C> <C>
Dividends $ 94,477 $ 59,259 $ 187,335
Interest 1,805 375 22,855
Security Lending 348 137 5,102
----------------------------------------------
Total Income 96,630 59,771 215,292
----------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 67 67 120
Management and Administrative 8,825 2,536 10,703
Shareholder Account Maintenance--Investor Shares 12,993 3,486 14,077
Shareholder Account Maintenance--Institutional Shares 75 79 416
Marketing and Distribution--Investor Shares 1,927 545 2,169
Marketing and Distribution--Institutional Shares 41 46 450
Custodian Fees 51 23 342
Auditing Fees 12 9 14
Shareholders' Reports--Investor Shares 342 135 396
Shareholders' Reports--Institutional Shares 9 6 67
Trustees' Fees and Expenses 15 4 20
---------------------------------------------
Total Expenses 24,357 6,936 28,774
Expenses Paid Indirectly--Note C -- -- (62)
---------------------------------------------
Net Expenses 24,357 6,936 28,712
- -------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 72,273 52,835 186,580
- --------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 105,145 262,154 103,153
Futures Contracts (513) 370 60,181
- --------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN 104,632 262,524 163,334
- --------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 2,882,479 32,871 3,407,818
Futures Contracts (62) 48 (10,597)
- --------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 2,882,417 32,919 3,397,221
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $3,059,322 $ 348,278 $ 3,747,135
==========================================================================================================================
</TABLE>
31
<PAGE> 34
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in the
fund, either by purchasing shares or by reinvesting distributions, as well as
the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed
are shown at the end of the Statement. Distributions, Capital Share
Transactions, and Shares Issued and Redeemed are shown separately for each class
of shares.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
500 INDEX FUND GROWTH INDEX FUND
---------------------- -----------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------
1999 1998 1999 1998
(000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 1,004,335 $ 821,564 $ 72,273 $ 37,960
Realized Net Gain 2,175,427 1,519,211 104,632 72,886
Change in Unrealized Appreciation (Depreciation) 14,142,327 13,039,461 2,882,417 1,404,145
--------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 17,322,089 15,380,236 3,059,322 1,514,991
--------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (1,038,133) (822,586) (76,040) (36,372)
Institutional Shares* -- -- (2,471) (693)
Realized Capital Gain
Investor Shares (727,534) (262,081) (373,720) (23,155)
Institutional Shares* -- -- (11,135) (813)
Total Distributions (1,765,667) (1,084,667) (463,366) (61,033)
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 28,777,842 20,785,658 7,925,668 3,805,024
Issued in Lieu of Cash Distributions 1,639,704 999,651 423,140 54,919
Redeemed (15,550,168) (11,209,975) (2,284,468) (991,663)
---------------------------------------------------------------------
Net Increase--Investor Shares 14,867,378 10,575,334 6,064,340 2,868,280
---------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- -- 270,291 205,585
Issued in Lieu of Cash Distributions -- -- 13,312 1,506
Redeemed -- -- (127,849) (26,162)
-------------------------------------------------------------------
Net Increase--Institutional Shares* -- -- 155,754 180,929
- -------------------------------------------------------------------------------------------------------------------------
Total Increase 30,423,800 24,870,903 8,816,050 4,503,167
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 74,228,526 49,357,623 6,868,500 2,365,333
----------------------------------------------------------------------
End of Year $104,652,326 $74,228,526 $15,684,550 $6,868,500
=========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 235,513 205,796 231,428 140,735
Issued in Lieu of Cash Distributions 13,117 9,433 11,261 1,885
Redeemed (126,726) (111,820) (66,190) (37,803)
Net Increase in Shares Outstanding 121,904 103,409 176,499 104,817
=========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- -- 7,793 7,955
Issued in Lieu of Cash Distributions -- -- 355 49
Redeemed -- -- (3,764) (925)
---------------------------------------------------------------
Net Increase in Shares Outstanding* -- -- 4,384 7,079
=========================================================================================================================
*The 500 Index Fund does not offer Institutional Shares.
</TABLE>
32
<PAGE> 35
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
VALUE INDEX TOTAL STOCK MARKET
FUND INDEX FUND
---------------------- -----------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------
1999 1998 1999 1998
(000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C> <C> <C>
Net Investment Income $ 52,835 $ 37,457 $ 186,580 $ 129,306
Realized Net Gain 262,524 148,039 163,334 77,195
Change in Unrealized Appreciation (Depreciation) 32,919 110,054 3,397,221 1,758,376
-----------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 348,278 295,550 3,747,135 1,964,877
-----------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (47,397) (36,542) (152,264) (100,035)
Institutional Shares (5,820) (1,280) (39,726) (28,557)
Realized Capital Gain
Investor Shares (252,170) (98,153) (146,187) (38,015)
Institutional Shares (28,139) (4,565) (33,928) (10,094)
Total Distributions (333,526) (140,540) (372,105) (176,701)
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 1,491,460 872,207 7,632,493 3,915,057
Issued in Lieu of Cash Distributions 274,281 123,840 280,965 128,569
Redeemed (827,565) (516,494) (1,864,274) (1,246,506)
-----------------------------------------------------------------
Net Increase--Investor Shares 938,176 479,553 6,049,184 2,797,120
-----------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 292,008 171,548 1,911,352 831,150
Issued in Lieu of Cash Distributions 31,500 5,121 66,739 35,644
Redeemed (45,585) (60) (1,015,832) (295,428)
------------------------------------------------------------------
Net Increase--Institutional Shares 277,923 176,609 962,259 571,366
- --------------------------------------------------------------------------------------------------------------------------
Total Increase 1,230,851 811,172 10,386,473 5,156,662
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 2,606,713 1,795,541 11,753,119 6,596,457
End of Year $3,837,564 $2,606,713 $22,139,592 $11,753,119
==========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 63,232 39,652 260,202 160,242
Issued in Lieu of Cash Distributions 12,325 5,572 9,337 4,991
Redeemed (35,536) (23,806) (63,119) (50,676)
------------------------------------------------------------------
Net Increase in Shares Outstanding 40,021 21,418 206,420 114,557
==========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 12,359 8,040 64,164 33,554
Issued in Lieu of Cash Distributions 1,417 232 2,226 1,385
Redeemed (1,958) (3) (34,966) (12,173)
Net Increase in Shares Outstanding 11,818 8,269 31,424 22,766
==========================================================================================================================
</TABLE>
33
<PAGE> 36
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
500 INDEX FUND
YEAR ENDED DECEMBER 31,
----------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR
$113.95 $ 90.07 $69.17 $57.60 $42.97
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.370 1.33 1.31 1.28 1.22
Net Realized and Unrealized Gain (Loss) on Investments 22.415 24.30 21.50 11.82 14.76
----------------------------------------------------------
Total from Investment Operations 23.785 25.63 22.81 13.10 15.98
----------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.410) (1.33) (1.32) (1.28) (1.22)
Distributions from Realized Capital Gains (.995) (.42) (.59) (.25) (.13)
----------------------------------------------------------
Total Distributions (2.405) (1.75) (1.91) (1.53) (1.35)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $135.33 $113.95 $90.07 $69.17 $57.60
==========================================================================================================================
TOTAL RETURN* 21.07% 28.62% 33.19% 22.88% 37.45%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $104,652 $74,229 $49,358 $30,332 $17,372
Ratio of Total Expenses to Average Net Assets 0.18% 0.18% 0.19% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.13% 1.35% 1.66% 2.04% 2.38%
Portfolio Turnover Rate** 6% 6% 5% 5% 4%
==========================================================================================================================
*Total return figures do not reflect the annual account maintenance fee of $10.
**Portfolio turnover rates excluding in-kind redemptions were 3%, 3%, 3%,
2%, and 2%, respectively.
</TABLE>
34
<PAGE> 37
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
GROWTH INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1999 1998 1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $31.67 $22.53 $16.90 $13.97 $10.28
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .207 .230 .23 .22 .21
Net Realized and Unrealized Gain (Loss) on Investments 8.821 9.244 5.88 3.07 3.68
----------------------------------------------------------------
Total from Investment Operations 9.028 9.474 6.11 3.29 3.89
----------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.228) (.219) (.23) (.22) (.20)
Distributions from Realized Capital Gains (1.040) (.115) (.25) (.14) --
----------------------------------------------------------------
Total Distributions (1.268) (.334) (.48) (.36) (.20)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $39.43 $31.67 $22.53 $16.90 $13.97
==============================================================================================================================
TOTAL RETURN* 28.76% 42.21% 36.34% 23.74% 38.06%
==============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $15,232 $6,644 $2,365 $787 $271
Ratio of Total Expenses to Average Net Assets 0.22% 0.22% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 0.64% 0.92% 1.19% 1.57% 1.71%
Portfolio Turnover Rate 33% 29% 26% 29% 24%
==============================================================================================================================
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
GROWTH INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED MAY 14* TO
DEC. 31, 1999 DEC. 31, 1998
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------
FOR SHARE OF OUTSTANDING THROUGHOUT EACH YEAR PERIOD
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $31.67 $26.49
- --------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .249 .167
Net Realized and Unrealized Gain (Loss) on Investments 8.821 5.315
------------------------------
Total from Investment Operations 9.070 5.482
------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.260) (.187)
Distributions from Realized Capital Gains (1.040) (.115)
------------------------------
Total Distributions (1.300) (.302)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $39.44 $31.67
========================================================================================================
TOTAL RETURN 28.91% 20.79%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $452 $224
Ratio of Total Expenses to Average Net Assets 0.12% 0.12%**
Ratio of Net Investment Income to Average Net Assets 0.74% 0.97%**
Portfolio Turnover Rate 33% 29%
========================================================================================================
</TABLE>
*Inception.
**Annualized.
35
<PAGE> 38
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
VALUE INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1999 1998 1997 1996 1995
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $22.51 $20.85 $17.02 $14.79 $11.12
- ----------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .355 .366 .38 .37 .41
Net Realized and Unrealized Gain (Loss) on Investments 2.342 2.647 4.57 2.81 3.66
------------------------------------------------------------
Total from Investment Operations 2.697 3.013 4.95 3.18 4.07
------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.362) (.363) (.37) (.38) (.40)
Distributions from Realized Capital Gains (1.955) (.990) (.75) (.57) --
------------------------------------------------------------
Total Distributions (2.317) (1.353) (1.12) (.95) (.40)
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $22.89 $22.51 $20.85 $17.02 $14.79
============================================================================================================================
TOTAL RETURN* 12.57% 14.64% 29.77% 21.86% 36.94%
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $3,378 $2,421 $1,796 $1,016 $496
Ratio of Total Expenses to Average Net Assets 0.22% 0.22% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.59% 1.72% 2.05% 2.54% 3.06%
Portfolio Turnover Rate 41% 33% 25% 29% 27%
============================================================================================================================
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
VALUE INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED JUL. 2* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 1999 DEC. 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $22.51 $23.22
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .377 .196
Net Realized and Unrealized Gain (Loss) on Investments 2.342 (.060)
------------------------------
Total from Investment Operations 2.719 .136
DISTRIBUTIONS ------------------------------
Dividends from Net Investment Income (.384) (.236)
Distributions from Realized Capital Gains (1.955) (.610)
-------------------------------
Total Distributions (2.339) (.846)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.89 $22.51
====================================================================================================================================
TOTAL RETURN 12.67% 0.69%
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $460 $186
Ratio of Total Expenses to Average Net Assets 0.12% 0.12%**
Ratio of Net Investment Income to Average Net Assets 1.68% 1.90%**
Portfolio Turnover Rate 41% 33%
====================================================================================================================================
</TABLE>
*Inception.
**Annualized.
36
<PAGE> 39
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1999 1998 1997 1996 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $27.42 $22.64 $17.77 $15.04 $11.37
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .317 .336 .319 .29 .29
Net Realized and Unrealized Gain (Loss) on Investments 6.133 4.898 5.143 2.84 3.75
-----------------------------------------------------------
Total from Investment Operations 6.450 5.234 5.462 3.13 4.04
-----------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.330) (.329) (.322) (.29) (.28)
Distributions from Realized Capital Gains (.320) (.125) (.270) (.11) (.09)
-----------------------------------------------------------
Total Distributions (.650) (.454) (.592) (.40) (.37)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $33.22 $27.42 $22.64 $17.77 $15.04
=========================================================================================================================
TOTAL RETURN* 23.81% 23.26% 30.99% 20.96% 35.79%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $18,133 $9,308 $5,092 $3,531 $1,571
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.22% 0.25%
Ratio of Net Investment Income to Average Net Assets 1.15% 1.44% 1.65% 1.86% 2.14%
Portfolio Turnover Rate 3% 3% 2% 3% 3%
=========================================================================================================================
</TABLE>
*Total return figures do not reflect the 0.25% transaction fee on purchases
through 1995 or the annual account maintenance fee of $10.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED
DECEMBER 31,
----------- JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1999 1998 DEC. 31, 1997
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $27.42 $22.64 $21.27
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .344 .359 .172
Net Realized and Unrealized Gain (Loss) on Investments 6.133 4.898 1.642
------------------------------------
Total from Investment Operations 6.477 5.257 1.814
------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.357) (.352) (.214)
Distributions from Realized Capital Gains (.320) (.125) (.230)
Total Distributions (.677) (.477) (.444)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $33.22 $27.42 $22.64
=========================================================================================================================
TOTAL RETURN 23.93% 23.37% 8.60%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $4,006 $2,445 $1,504
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10%**
Ratio of Net Investment Income to Average Net Assets 1.26% 1.53% 1.70%**
Portfolio Turnover Rate 3% 3% 2%
=========================================================================================================================
</TABLE>
*Inception.
**Annualized.
37
<PAGE> 40
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.
38
<PAGE> 41
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to each fund under methods approved by the Board of
Trustees. Each fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At December 31, 1999, each fund 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 $20,157 0.02% 20.2%
Growth 2,872 0.02 2.9
Value 754 0.02 0.8
Total Stock Market 4,074 0.02 4.1
- -------------------------------------------------------------------------------------------------------------
</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 year ended
December 31, 1999, custodian fee offset arrangements reduced expenses by:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
EXPENSE REDUCTION
INDEX FUND (000)
- -------------------------------------------------------------------------------------------------------------
<S> <C>
500 $59
Total Stock Market 62
- -------------------------------------------------------------------------------------------------------------
</TABLE>
D. The Growth Index, Value Index, and Total Stock Market Index Funds each offer
two classes of shares, Investor Shares and Institutional Shares. Institutional
Shares are designed primarily for institutional investors that meet certain
administrative and servicing criteria and have a minimum investment of $10
million. Investor Shares are offered to all other investors. Both classes of
shares have equal rights to assets and earnings, except that each class bears
certain class-specific expenses related to its shareholder activity.
Class-specific expenses for the year ended December 31, 1999, represented the
following percentages of average net assets:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
INDEX FUND INVESTOR SHARES INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Growth 0.14% 0.04%
Value 0.14 0.04
Total Stock Market 0.13 0.03
- --------------------------------------------------------------------------------------------------------------
</TABLE>
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.
39
<PAGE> 42
NOTES TO FINANCIAL STATEMENTS (continued)
E. During the year ended December 31, 1999, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
(000)
---------------------------------------------
INDEX FUND PURCHASES SALES
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
500 $19,423,058 $4,984,916
Growth 9,573,447 3,733,723
Value 2,278,426 1,353,474
Total Stock Market 7,370,182 457,336
- --------------------------------------------------------------------------------------------------------------
</TABLE>
During the year ended December 31, 1999, the 500 Index Fund realized
$1,808,775,000 of net capital gains resulting from in-kind redemptions--in which
shareholders exchange fund shares for securities held by the fund rather than
for cash. Because such gains are not taxable to the fund, and are not
distributed to shareholders, they have been reclassified from accumulated net
realized gains to paid in capital.
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.
Subsequently, 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 December 31, 1999, net unrealized appreciation of investment securities
for financial reporting and federal income tax purposes was:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
(000)
----------------------------------------------------------
APPRECIATED DEPRECIATED NET UNREALIZED
INDEX FUND SECURITIES SECURITIES APPRECIATION
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $47,931,101 $(2,789,106) $45,141,995
Growth 5,012,593 (178,983) 4,833,610
Value 793,118 (215,460) 577,658
Total Stock Market 7,909,271 (911,876) 6,997,395
- ----------------------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE> 43
At December 31, 1999, the aggregate settlement value of open futures
contracts expiring in March 2000 and the related unrealized appreciation were:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
(000)
-------------------------------------
AGGREGATE
NUMBER OF SETTLEMENT UNREALIZED
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE APPRECIATION
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
500/
S&P 500 Index 332 $123,189 $ 3,214
Growth/
S&P 500/BARRA Growth Index 37 8,301 272
Value/
S&P 500/BARRA Value Index 40 6,160 165
Total Stock Market/
S&P 500 Index 1,039 385,521 10,976
S&P MidCap 400 Index 236 53,000 3,234
Russell 2000 Index 263 67,058 4,741
- -------------------------------------------------------------------------------------------------------------
</TABLE>
Unrealized appreciation on open futures contracts is required to be treated as
realized gain for tax purposes.
G. The market value of securities on loan to broker/dealers at December 31,
1999, and collateral received with respect to such loans were:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
(000)
----------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
INDEX FUND SECURITIES RECEIVED
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
500 $374,535 $383,770
Growth 46,914 48,059
Total Stock Market 428,646 460,383
- ----------------------------------------------------------------------------------------------------------
</TABLE>
Cash collateral received is invested in repurchase agreements.
41
<PAGE> 44
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Trustees of
Vanguard U.S. Stock Index Funds
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Vanguard 500 Index Fund (a separate fund of Vanguard U.S. Stock Index Funds,
hereafter referred to as the "Fund") at December 31, 1999, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the financial highlights for each of
the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
We have also audited the financial statements of Vanguard Growth Index
Fund, Vanguard Value Index Fund, and Vanguard Total Stock Market Index Fund at
December 31, 1999, and have issued our report thereon. An insert to this annual
report containing our report on the financial statements of these funds is
available from the Fund.
PricewaterhouseCoopers LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 2, 2000
42
<PAGE> 45
- -------------------------------------------------------------------------------
SPECIAL 1999 TAX INFORMATION (UNAUDITED) FOR
VANGUARD U.S. STOCK INDEX FUNDS (LARGE-CAPITALIZATION PORTFOLIOS)
This information for the fiscal year ended December 31, 1999, is included
pursuant to provisions of the Internal Revenue Code.
The funds distributed capital gain dividends (from net long-term capital
gains) to shareholders during the fiscal year ended December 31, 1999, all of
which are designated as 20% rate gain distributions as follows:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
TOTAL CAPITAL GAINS
DISTRIBUTIONS
INDEX FUND (000)
- --------------------------------------------------------------------------------------------------
<S> <C>
500 $672,748
Growth 251,246
Value 192,453
Total Stock Market 124,112
- --------------------------------------------------------------------------------------------------
</TABLE>
For corporate shareholders, the percentage of investment income (dividend
income plus short-term gains, if any) that qualifies for the dividends-received
deduction is as follows:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
INDEX FUND PERCENTAGE
- --------------------------------------------------------------------------------------------------
<S> <C>
500 100.0%
Growth 41.2
Value 31.2
Total Stock Market 73.0
- --------------------------------------------------------------------------------------------------
</TABLE>
"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.
43
<PAGE> 46
THE VANGUARD FAMILY OF FUNDS
<TABLE>
<CAPTION>
STOCK FUNDS
- -------------------------------------------------------------------------------------------
<S> <C> <C>
500 Index Fund Growth Index Fund* Tax-Managed Capital
Aggressive Growth Fund Health Care Fund Appreciation Fund*
Capital Opportunity Fund Institutional Index Fund* Tax-Managed Growth and
Convertible Securities Fund International Growth Fund Income Fund*
Emerging Markets Stock International Value Fund Tax-Managed International Fund*
Index Fund Mid-Cap Index Fund* Tax-Managed Small-Cap Fund*
Energy Fund Morgan Growth Fund Total International Stock
Equity Income Fund Pacific Stock Index Fund Index Fund
European Stock Index Fund PRIMECAP Fund Total Stock Market Index Fund*
Explorer Fund REIT Index Fund U.S. Growth Fund
Extended Market Index Fund* Selected Value Fund Utilities Income Fund
Global Equity Fund Small-Cap Growth Index Fund*
Gold and Precious Metals Fund Small-Cap Index Fund* Value Index Fund*
Growth and Income Fund Small-Cap Value Index Fund* Windsor Fund
Windsor II Fund
<CAPTION>
BALANCED FUNDS
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Asset Allocation Fund LifeStrategy Growth Fund STAR Fund
Balanced Index Fund LifeStrategy Income Fund Tax-Managed Balanced Fund
Global Asset Allocation Fund LifeStrategy Moderate Wellesley Income Fund
LifeStrategy Conservative Growth Fund Wellington Fund
Growth Fund
<CAPTION>
BOND FUNDS
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Admiral Intermediate-Term Intermediate-Term Corporate Fund Short-Term Corporate Fund*
Treasury Fund Intermediate-Term Tax-Exempt Fund Short-Term Federal Fund
Admiral Long-Term Treasury Fund Intermediate-Term Treasury Fund Short-Term Tax-Exempt Fund
Admiral Short-Term Treasury Fund Limited-Term Tax-Exempt Fund Short-Term Treasury Fund
GNMA Fund Long-Term Bond Index Fund State Tax-Exempt Bond Funds
High-Yield Corporate Fund Long-Term Corporate Fund (California, Florida,
High-Yield Tax-Exempt Fund Long-Term Tax-Exempt Fund Massachusetts, New Jersey,
Insured Long-Term Tax-Exempt Fund Long-Term Treasury Fund New York, Ohio, Pennsylvania)
Intermediate-Term Bond Preferred Stock Fund Total Bond Market Index Fund*
Index Fund Short-Term Bond Index Fund
<CAPTION>
MONEY MARKET FUNDS
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Admiral Treasury Money State Tax-Exempt Money Market Tax-Exempt Money Market Fund
Market Fund Funds (California, New Jersey, Treasury Money Market Fund
Federal Money Market Fund New York, Ohio, Pennsylvania)
Prime Money Market Fund*
<CAPTION>
VARIABLE ANNUITY PLAN
- -------------------------------------------------------------------------------------------
<S> <C> <C>
Balanced Portfolio High-Grade Bond Portfolio Money Market Portfolio
Diversified Value Portfolio High Yield Bond Portfolio REIT Index Portfolio
Equity Income Portfolio International Portfolio Short-Term Corporate Portfolio
Equity Index Portfolio Mid-Cap Index Portfolio Small Company Growth Portfolio
Growth Portfolio
</TABLE>
*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.
44
<PAGE> 47
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.
Seven of Vanguard's nine 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 C. BOGLE
(1967) Founder, Senior Chairman of the Board, and Director/Trustee of The
Vanguard Group, Inc., and each of the investment companies in The Vanguard
Group.
JOHN J. BRENNAN
(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.
JOHN C. SAWHILL
(1991) President and Chief Executive Officer of The Nature Conservancy;
formerly, Director and Senior Partner of McKinsey & Co. and President of New
York University; Director of Pacific Gas and Electric Co., Procter & Gamble Co.,
NACCO Industries, and Newfield Exploration Co.
JAMES O. WELCH, JR.
(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 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 - Core Management Group.
<PAGE> 48
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
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 4500" and "Wilshire 5000" are trademarks of Wilshire
Associates.
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.
Q400-02/18/2000
(C) 2000 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
<PAGE> 49
VANGUARD U.S. STOCK INDEX FUNDS
LARGE-CAPITALIZATION PORTFOLIOS
STATEMENT OF NET ASSETS - DECEMBER 31, 1999
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 30 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...........................8
Report Of Independent Accountants......................39
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------
COMMON STOCKS (100.0%)(1)
- --------------------------------------------------------------------
<S> <C> <C>
- - Microsoft Corp. 12,452,148 1,453,788
General Electric Co. 7,917,714 1,225,266
- - Cisco Systems, Inc. 7,893,514 845,593
Wal-Mart Stores, Inc. 10,738,994 742,333
Intel Corp. 8,062,456 663,641
Lucent Technologies, Inc. 7,560,775 565,641
International Business
Machines Corp. 4,350,000 469,800
- - America Online, Inc. 5,394,680 406,961
SBC Communications Inc. 8,232,282 401,324
- - Oracle Corp. 3,435,637 385,006
Home Depot, Inc. 5,553,925 380,791
Merck & Co., Inc. 5,640,698 378,279
Procter & Gamble Co. 3,171,354 347,461
The Coca-Cola Co. 5,960,571 347,203
Nortel Networks Corp. 3,123,100 315,433
- - Dell Computer Corp. 6,131,648 312,714
Johnson & Johnson 3,355,730 312,502
Bristol-Myers Squibb Co. 4,787,032 307,268
Pfizer, Inc. 9,342,089 303,034
- - Sun Microsystems, Inc. 3,769,700 291,916
- - QUALCOMM, Inc. 1,590,900 280,197
- - Yahoo!, Inc. 633,100 273,934
- - EMC Corp. 2,455,403 268,253
Time Warner, Inc. 3,104,642 224,893
Texas Instruments, Inc. 1,933,727 187,330
Eli Lilly & Co. 2,631,644 175,004
Warner-Lambert Co. 2,072,165 169,788
Tyco International Ltd. 4,075,190 158,423
Schering-Plough Corp. 3,545,190 149,563
- - Amgen, Inc. 2,465,124 148,062
Abbott Laboratories 3,709,800 134,712
PepsiCo, Inc. 3,512,865 123,829
- - Applied Materials, Inc. 913,200 115,691
Gillette Co. 2,588,496 106,614
- - Sprint PCS 1,039,950 106,595
Medtronic, Inc. 2,884,417 105,101
The Gap, Inc. 2,066,219 95,046
Comcast Corp.-Special Class A 1,814,000 91,720
Colgate-Palmolive Co. 1,405,852 91,380
Computer Associates
International, Inc. 1,300,766 90,972
</TABLE>
1
<PAGE> 50
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------
<S> <C> <C>
- - NEXTEL Communications, Inc. 877,000 $ 90,441
U S WEST, Inc. 1,219,400 87,797
Kimberly-Clark Corp. 1,313,646 85,715
Automatic Data Processing, Inc. 1,508,524 81,272
Anheuser-Busch Cos., Inc. 1,122,817 79,580
Corning, Inc. 590,674 76,160
Charles Schwab Corp. 1,978,740 75,934
Unilever NV ADR 1,379,365 75,089
Walgreen Co. 2,421,602 70,832
- - Solectron Corp. 706,910 67,245
- - Tellabs, Inc. 970,768 62,311
- - Gateway, Inc. 763,860 55,046
MBNA Corp. 1,857,100 50,606
Sara Lee Corp. 2,192,822 48,379
- - BMC Software, Inc. 584,883 46,754
Omnicom Group Inc. 428,250 42,825
Campbell Soup Co. 1,032,470 39,944
Interpublic Group of Cos., Inc. 677,314 39,073
- - The Kroger Co. 2,007,704 37,895
Bestfoods 673,100 35,380
- - Xilinx, Inc. 769,500 34,988
- - Guidant Corp. 741,690 34,859
H.J. Heinz Co. 864,870 34,433
- - Compuware Corp. 863,600 32,169
Sysco Corp. 794,830 31,445
Providian Financial Corp. 342,610 31,199
Pitney Bowes, Inc. 640,150 30,927
Kellogg Co. 978,282 30,143
- - Network Appliance, Inc. 360,400 29,936
PE Corp.-PE Biosystems Group 248,750 29,928
- - Kohl's Corp. 393,180 28,383
- - Lexmark International Group,
Inc. Class A 308,200 27,892
General Mills, Inc. 733,176 26,211
- - ADC Telecommunications, Inc. 361,000 26,195
- - Comverse Technology, Inc. 172,000 24,897
- - Best Buy Co., Inc. 495,400 24,863
Paychex, Inc. 595,100 23,804
Wrigley, (Wm.) Jr. Co. 279,379 23,171
Tandy Corp. 466,500 22,946
- - Citrix Systems, Inc. 183,169 22,530
Ralston-Ralston Purina Group 780,443 21,755
The Quaker Oats Co. 322,896 21,190
IMS Health, Inc. 743,054 20,202
Avery Dennison Corp. 271,938 19,818
Adobe Systems, Inc. 290,100 19,509
Avon Products, Inc. 584,728 19,296
- - Parametric Technology Corp. 649,800 17,585
SLM Holding Corp. 383,850 16,218
Allergan, Inc. 317,300 15,786
Dow Jones & Co., Inc. 215,900 14,681
- - Tricon Global Restaurants, Inc. 370,480 14,310
- - PeopleSoft, Inc. 647,905 13,808
- - Bed Bath & Beyond, Inc. 337,503 11,728
Dun & Bradstreet Corp. 388,250 11,453
- - Sealed Air Corp. 201,576 10,444
UST, Inc. 412,866 10,399
Maytag Corp. 203,700 9,778
Hilton Hotels Corp. 890,101 8,567
- - Freeport-McMoRan Copper &
Gold Inc. Class B 390,584 8,251
Equifax, Inc. 341,280 8,041
- - US Airways Group, Inc. 172,500 5,531
Millipore Corp. 109,430 4,227
Owens Corning 132,109 2,551
- - W.R. Grace & Co. 173,100 2,402
Tupperware Corp. 139,100 2,356
Jostens Inc. 80,460 1,956
- - Freeport-McMoRan Copper &
Gold, Inc. Class A 4,000 74
- --------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $10,850,564) 15,684,174
- --------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.8%)(1)
- --------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 5.61%, 1/28/2000 $ 300 299
U.S. TREASURY BILL
(2) 5.10%, 1/20/2000 225 225
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 77,452 77,452
3.47%, 1/3/2000--Note G 48,059 48,059
- --------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $126,035) 126,035
- --------------------------------------------------------------------
TOTAL INVESTMENTS (100.8%)
(COST $10,976,599) 15,810,209
- --------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.8%)
- --------------------------------------------------------------------
Other Assets--Note B 72,692
Liabilities--Note G (198,351)
-------------
(125,659)
- --------------------------------------------------------------------
NET ASSETS (100%) $15,684,550
====================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
- -Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment
positions represent 100.0% and 0.8%, respectively, of net assets. See Note F
in Notes to Financial Statements.
(2)Securities with an aggregate value of $524,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
2
<PAGE> 51
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------------
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------------
<S> <C>
Paid in Capital $11,098,092
Overdistributed Net Investment Income (5,864)
Accumulated Net Realized Losses--Note E (241,560)
Unrealized Appreciation--Note F
Investment Securities 4,833,610
Futures Contracts 272
- ---------------------------------------------------------------------
NET ASSETS $15,684,550
=====================================================================
Investor Shares--Net Assets
Applicable to 386,300,604 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $15,232,477
- ---------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $39.43
=====================================================================
Institutional Shares--Net Assets
Applicable to 11,463,118 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $452,073
- ---------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $39.44
=====================================================================
</TABLE>
3
<PAGE> 52
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- ---------------------------------------------------------------------
<S> <C> <C>
Exxon Mobil Corp. 2,279,735 $ 183,661
Citigroup, Inc. 2,225,727 123,667
American International
Group, Inc. 1,022,000 110,504
AT&T Corp. 2,109,300 107,047
- - MCI WorldCom, Inc. 1,873,250 99,399
Royal Dutch Petroleum Co. ADR 1,415,532 85,551
Hewlett-Packard Co. 672,700 76,646
Bell Atlantic Corp. 1,025,000 63,102
Motorola, Inc. 402,112 59,211
BellSouth Corp. 1,242,600 58,169
Bank of America Corp. 1,126,982 56,560
Morgan Stanley Dean
Witter & Co. 367,700 52,489
American Express Co. 295,400 49,110
E.I. du Pont de Nemours & Co. 689,042 45,391
GTE Corp. 641,500 45,266
Wells Fargo Co. 1,083,400 43,810
Ford Motor Co. 796,764 42,577
The Chase Manhattan Corp. 544,100 42,270
Fannie Mae 676,200 42,220
The Walt Disney Co. 1,360,429 39,793
Sprint Corp. 574,900 38,698
CHEVRON CORP. 432,880 37,498
Philip Morris Cos., Inc. 1,560,900 36,193
McDonald's Corp. 893,200 36,007
American Home Products Corp. 861,900 33,991
- - CBS Corp. 502,963 32,158
- - MediaOne Group, Inc. 403,671 31,007
General Motors Corp. 422,367 30,701
Compaq Computer Corp. 1,121,400 30,348
Honeywell International Inc. 522,600 30,147
- - Viacom Inc. Class B 458,266 27,696
Minnesota Mining &
Manufacturing Co. 264,800 25,917
The Boeing Co. 616,455 25,621
- - Global Crossing Ltd. 500,600 25,030
Bank One Corp. 756,559 24,257
Freddie Mac 458,600 21,583
First Union Corp. 651,564 21,379
Dayton Hudson Corp. 290,700 21,348
FleetBoston Financial Corp. 603,984 21,026
Enron Corp. 472,100 20,949
Electronic Data Systems Corp. 310,600 20,791
United Technologies Corp. 315,803 20,527
Merrill Lynch & Co., Inc. 244,542 20,419
Schlumberger Ltd. 362,700 20,402
Alcoa Inc. 241,750 20,065
- - Clear Channel
Communications, Inc. 223,266 19,926
Texaco Inc. 364,886 19,818
Carnival Corp. 407,000 19,460
The Bank of New York Co., Inc. 485,768 19,431
Dow Chemical Co. 144,676 19,332
Atlantic Richfield Co. 212,912 18,417
ALLTEL Corp. 207,084 17,123
Marsh & McLennan Cos., Inc. 175,991 16,840
Emerson Electric Co. 286,600 16,444
International Paper Co. 273,148 15,416
Pharmacia & Upjohn, Inc. 342,021 15,391
Lowe's Cos., Inc. 252,136 15,065
Gannett Co., Inc. 183,900 14,999
Fifth Third Bancorp 203,606 14,940
Monsanto Co. 418,600 14,913
SunTrust Banks, Inc. 211,108 14,527
J.P. Morgan & Co., Inc. 114,239 14,466
- - Micron Technology, Inc. 178,030 13,842
Eastman Kodak Co. 208,200 13,793
Firstar Corp. 646,655 13,661
First Data Corp. 276,400 13,630
Illinois Tool Works, Inc. 198,190 13,390
- - Costco Wholesale Corp. 146,300 13,350
Associates First Capital Corp. 480,380 13,180
The Seagram Co. Ltd. 285,931 12,849
Allstate Corp. 531,314 12,752
- - Cendant Corp. 469,000 12,458
American General Corp. 163,037 12,370
Duke Energy Corp. 241,261 12,093
Baxter International, Inc. 192,000 12,060
- - Safeway, Inc. 335,900 11,945
Halliburton Co. 291,400 11,729
Household International, Inc. 310,146 11,553
Mellon Financial Corp. 335,568 11,430
U.S. Bancorp 480,000 11,430
Weyerhaeuser Co. 154,954 11,128
Caterpillar, Inc. 234,576 11,040
- - Apple Computer, Inc. 106,116 10,910
Columbia/HCA Healthcare Corp. 371,574 10,892
- - Analog Devices, Inc. 115,100 10,704
- - 3Com Corp. 227,600 10,697
Southern Co. 443,999 10,434
- - Computer Sciences Corp. 109,800 10,390
CVS Corp. 258,500 10,324
Conoco Inc. Class B 413,151 10,277
- - AES Corp. 136,100 10,173
Xerox Corp. 438,500 9,948
Washington Mutual, Inc. 380,815 9,901
CIGNA Corp. 122,714 9,886
- - General Instrument Corp. 114,800 9,758
National City Corp. 406,700 9,634
NIKE, Inc. Class B 184,700 9,154
Wachovia Corp. 133,754 9,095
Albertson's, Inc. 279,444 9,012
Cardinal Health, Inc. 184,900 8,852
Williams Cos., Inc. 286,801 8,765
- - Novell, Inc. 219,707 8,747
Tribune Co. 156,800 8,634
PNC Bank Corp. 193,966 8,631
AFLAC, Inc. 175,600 8,286
- - FDX Corp. 196,986 8,064
The McGraw-Hill Cos., Inc. 129,400 7,974
The Clorox Co. 156,100 7,864
Phillips Petroleum Co. 167,128 7,855
Northern Trust Corp. 146,800 7,780
State Street Corp. 105,500 7,708
Sears, Roebuck & Co. 249,300 7,588
Textron, Inc. 98,130 7,525
Masco Corp. 294,914 7,483
- - Teradyne, Inc. 112,800 7,445
ConAgra, Inc. 324,700 7,326
</TABLE>
4
<PAGE> 53
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Burlington Northern
Santa Fe Corp. 301,480 $ 7,311
PPG Industries, Inc. 114,630 7,172
UNION PACIFIC CORP. 164,000 7,154
May Department Stores Co. 220,427 7,109
Waste Management, Inc. 409,000 7,030
- - Federated Department
Stores, Inc. 138,533 7,005
General Dynamics Corp. 132,545 6,992
The Hartford Financial Services
Group Inc. 146,170 6,925
Aon Corp. 169,263 6,771
Lehman Brothers Holdings, Inc. 79,200 6,707
Deere & Co. 154,178 6,687
- - LSI Logic Corp. 98,100 6,622
- - KLA-Tencor Corp. 59,300 6,605
- - AMR Corp. 97,668 6,544
- - Unisys Corp. 204,600 6,534
The Chubb Corp. 116,031 6,534
KeyCorp 295,098 6,529
Texas Utilities Co. 182,367 6,485
- - Seagate Technology Inc. 137,400 6,398
- - Staples, Inc. 306,600 6,362
Capital One Financial Corp. 130,200 6,274
The Limited, Inc. 141,653 6,135
Dover Corp. 134,300 6,094
Circuit City Stores, Inc. 134,178 6,046
Rockwell International Corp. 125,468 6,007
Edison International 228,997 5,997
- - Boston Scientific Corp. 273,800 5,989
BB&T Corp. 218,302 5,976
Alcan Aluminium Ltd. 144,598 5,956
United Healthcare Corp. 112,021 5,951
Ingersoll-Rand Co. 107,889 5,941
Union Carbide Corp. 88,328 5,896
Rohm & Haas Co. 144,377 5,874
Delphi Automotive Systems Corp. 372,742 5,871
El Paso Energy Corp. 150,662 5,848
Georgia Pacific Group 112,826 5,726
Lockheed Martin Corp. 261,422 5,719
Coca-Cola Enterprises, Inc. 280,700 5,649
New York Times Co. Class A 113,016 5,552
Aetna Inc. 98,715 5,510
Kansas City Southern
Industries, Inc. 73,000 5,448
Newell Rubbermaid, Inc. 186,200 5,400
Southwest Airlines Co. 332,750 5,386
Unocal Corp. 159,955 5,368
Franklin Resources Corp. 166,400 5,335
Praxair, Inc. 104,900 5,278
Occidental Petroleum Corp. 242,530 5,245
PG&E Corp. 253,329 5,193
Marriott International, Inc. Class A 164,100 5,179
Lincoln National Corp. 129,030 5,161
Norfolk Southern Corp. 251,052 5,147
UnumProvident Corp. 158,490 5,082
Air Products & Chemicals, Inc. 151,400 5,081
Raytheon Co. Class B 191,177 5,078
FPL Group, Inc. 118,292 5,064
USX-Marathon Group 204,960 5,060
Consolidated Edison Inc. 145,809 5,030
St. Paul Cos., Inc. 149,304 5,030
Public Service Enterprise
Group, Inc. 144,216 5,021
Coastal Corp. 141,028 4,998
AmSouth Bancorp 258,151 4,986
Republic New York Corp. 69,092 4,975
Dominion Resources, Inc. 125,948 4,943
Archer-Daniels-Midland Co. 401,548 4,894
- - National Semiconductor Corp. 113,160 4,845
- - Tenet Healthcare Corp. 205,523 4,830
Comerica, Inc. 103,212 4,819
Unicom Corp. 143,608 4,811
Burlington Resources, Inc. 143,539 4,746
Jefferson-Pilot Corp. 69,152 4,720
Molex, Inc. 82,900 4,699
Barrick Gold Corp. 260,300 4,604
Baker Hughes, Inc. 217,318 4,577
Danaher Corp. 94,000 4,535
CSX Corp. 144,119 4,522
Transocean Sedco Forex Inc. 133,219 4,488
Reliant Energy, Inc. 195,213 4,465
Becton, Dickinson & Co. 165,200 4,419
CenturyTel, Inc. 92,250 4,370
Delta Air Lines, Inc. 87,664 4,367
Hershey Foods Corp. 91,300 4,337
PECO Energy Corp. 122,658 4,262
Loews Corp. 69,975 4,247
MGIC Investment Corp. 69,800 4,201
Entergy Corp. 162,945 4,196
McKesson HBOC, Inc. 185,900 4,194
SouthTrust Corp. 110,800 4,190
TJX Cos., Inc. 204,700 4,184
TRW, Inc. 80,244 4,168
American Electric Power Co., Inc. 128,144 4,117
Consolidated Natural Gas Co. 63,333 4,113
Dollar General Corp. 175,600 3,995
Fort James Corp. 142,800 3,909
Champion International Corp. 62,916 3,897
Conseco Inc. 215,896 3,859
Parker Hannifin Corp. 73,957 3,795
Mattel, Inc. 277,800 3,646
Union Planters Corp. 92,200 3,636
Synovus Financial Corp. 182,900 3,635
Painewebber Group, Inc. 93,300 3,621
Regions Financial Corp. 142,900 3,590
Huntington Bancshares Inc. 150,182 3,586
Phelps Dodge Corp. 52,906 3,551
Fortune Brands, Inc. 107,244 3,546
Golden West Financial Corp. 105,635 3,539
Kerr-McGee Corp. 56,540 3,505
Summit Bancorp 114,197 3,497
Progressive Corp. of Ohio 47,800 3,495
Eaton Corp. 48,124 3,495
FirstEnergy Corp. 152,331 3,456
MBIA, Inc. 65,100 3,438
J.C. Penney Co., Inc. 170,069 3,391
Willamette Industries, Inc. 72,892 3,385
Amerada Hess Corp. 59,234 3,362
Columbia Energy Group 53,113 3,359
Cincinnati Financial Corp. 107,300 3,346
Ecolab, Inc. 85,500 3,345
</TABLE>
5
<PAGE> 54
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Bear Stearns Co., Inc. 77,891 $ 3,330
- - Adaptec, Inc. 66,700 3,327
Knight Ridder 54,863 3,264
- - Kmart Corp. 322,693 3,247
Dana Corp. 107,558 3,220
Carolina Power & Light Co. 104,273 3,174
Reynolds Metals Co. 41,368 3,170
Johnson Controls, Inc. 55,728 3,170
Whirlpool Corp. 48,678 3,167
Nucor Corp. 56,976 3,123
- - Cabletron Systems, Inc. 118,000 3,068
- - AutoZone Inc. 94,350 3,049
Black & Decker Corp. 57,300 2,994
DTE Energy Co. 94,760 2,973
- - Inco Ltd. 125,459 2,948
Biomet, Inc. 73,700 2,948
Ameren Corp. 89,729 2,939
W.W. Grainger, Inc. 61,024 2,918
The Mead Corp. 67,040 2,912
T. Rowe Price 78,200 2,889
Genuine Parts Co. 116,228 2,884
The Goodyear Tire & Rubber Co. 102,217 2,881
Scientific-Atlanta, Inc. 51,317 2,854
Anadarko Petroleum Corp. 83,300 2,843
Constellation Energy Group 97,772 2,835
H & R Block, Inc. 63,947 2,798
- - Advanced Micro Devices, Inc. 96,190 2,783
Central & South West Corp. 138,986 2,780
Apache Corp. 74,600 2,756
Leggett & Platt, Inc. 128,300 2,750
- - Wellpoint Health Networks Inc.
Class A 41,600 2,743
Sempra Energy 157,053 2,729
Old Kent Financial Corp. 76,900 2,720
Florida Progress Corp. 64,200 2,716
Newmont Mining Corp. 109,500 2,683
The Times Mirror Co. Class A 39,600 2,653
Vulcan Materials Co. 65,300 2,608
International Flavors &
Fragrances, Inc. 68,700 2,593
Bausch & Lomb, Inc. 37,687 2,579
Brown-Forman Corp. Class B 44,762 2,563
Tosco Corp. 94,100 2,558
Cinergy Corp. 103,881 2,506
Torchmark Corp. 85,964 2,498
Cooper Industries, Inc. 61,516 2,488
- - Owens-Illinois, Inc. 98,100 2,459
Northrop Grumman Corp. 45,402 2,455
Eastman Chemical Co. 51,111 2,437
Hasbro, Inc. 126,686 2,415
GPU, Inc. 80,655 2,415
Temple-Inland Inc. 36,489 2,406
Nordstrom, Inc. 90,600 2,373
CMS Energy Corp. 75,700 2,361
- - Office Depot, Inc. 215,100 2,353
Winn-Dixie Stores, Inc. 97,100 2,324
VF Corp. 77,216 2,316
- - ALZA Corp. 66,700 2,309
New Century Energies, Inc. 75,500 2,293
- - Toys R Us, Inc. 159,990 2,290
Placer Dome, Inc. 212,770 2,287
Fluor Corp. 49,695 2,280
Sherwin-Williams Co. 108,460 2,278
PACCAR, Inc. 51,200 2,269
Nabisco Group Holdings Corp. 213,123 2,264
- - Watson Pharmaceuticals, Inc. 62,700 2,245
- - Harrah's Entertainment, Inc. 84,000 2,221
PP&L Resources Inc. 93,934 2,149
Westvaco Corp. 65,541 2,138
SAFECO Corp. 84,955 2,113
Union Pacific Resources
Group, Inc. 164,700 2,100
- - Ceridian Corp. 95,500 2,059
R.R. Donnelley & Sons Co. 82,602 2,050
Sigma-Aldrich Corp. 65,990 1,984
The BFGoodrich Co. 71,998 1,980
Northern States Power Co. 101,164 1,973
- - Navistar International Corp. 41,522 1,967
Hercules, Inc. 70,200 1,957
- - Mirage Resorts, Inc. 126,300 1,934
ITT Industries, Inc. 57,483 1,922
USX-U.S. Steel Group 57,780 1,907
Rite Aid Corp. 169,200 1,893
Harcourt General, Inc. 46,523 1,873
Countrywide Credit Industries, Inc. 73,964 1,868
SuperValu Inc. 91,248 1,825
Crown Cork & Seal Co., Inc. 79,631 1,782
C.R. Bard, Inc. 33,490 1,775
The Stanley Works 58,400 1,759
Pall Corp. 81,200 1,751
- - Niagara Mohawk Holdings Inc. 122,396 1,706
Pinnacle West Capital Corp. 55,400 1,693
Engelhard Corp. 89,500 1,689
- - St. Jude Medical, Inc. 54,980 1,687
- - Thermo Electron Corp. 112,220 1,683
Boise Cascade Corp. 40,682 1,648
Wendy's International, Inc. 78,170 1,612
Liz Claiborne, Inc. 41,907 1,577
Darden Restaurants Inc. 85,918 1,557
Ashland, Inc. 47,168 1,554
Dillard's Inc. 76,449 1,543
Meredith Corp. 36,700 1,530
- - Quintiles Transnational Corp. 81,600 1,525
- - HEALTHSOUTH Corp. 273,800 1,472
Homestake Mining Co. 186,300 1,455
Brunswick Corp. 65,337 1,454
Mallinckrodt, Inc. 45,426 1,445
Great Lakes Chemical Corp. 37,565 1,435
Autodesk, Inc. 42,200 1,424
Sunoco, Inc. 58,984 1,386
Adolph Coors Co. Class B 26,316 1,382
Allegheny Technologies Inc. 61,100 1,371
PerkinElmer, Inc. 32,825 1,368
Service Corp. International 194,930 1,352
Deluxe Corp. 48,000 1,317
Cummins Engine Co., Inc. 27,053 1,307
Tektronix, Inc. 33,600 1,306
Thomas & Betts Corp. 40,774 1,300
- - Rowan Cos., Inc. 59,600 1,293
Bemis Co., Inc. 37,006 1,291
- - Pactiv Corp. 121,069 1,286
- - Consolidated Stores, Inc. 78,200 1,271
</TABLE>
6
<PAGE> 55
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - FMC Corp. 20,963 $ 1,201
- - Allied Waste Industries, Inc. 133,900 1,180
- - Silicon Graphics, Inc. 120,164 1,179
Ryder System, Inc. 46,150 1,128
- - Andrew Corp. 59,200 1,121
Snap-On Inc. 41,529 1,103
NICOR, Inc. 33,837 1,100
Eastern Enterprises 19,025 1,093
Louisiana-Pacific Corp. 75,899 1,082
- - Manor Care, Inc. 67,300 1,077
Worthington Industries, Inc. 64,956 1,076
Centex Corp. 42,098 1,039
Alberto-Culver Co. Class B 40,094 1,035
American Greetings Corp. Class A 42,210 997
- - Humana, Inc. 118,600 971
Crane Co. 48,674 967
Armstrong World Industries Inc. 28,865 963
Shared Medical Systems Corp. 18,900 963
Potlatch Corp. 20,558 917
The Timken Co. 44,644 912
Briggs & Stratton Corp. 16,750 898
Ball Corp. 21,981 866
National Service Industries, Inc. 29,139 860
Cooper Tire & Rubber Co. 54,791 853
Kaufman & Broad Home Corp. 34,757 841
Peoples Energy Corp. 25,069 840
- - Bethlehem Steel Corp. 95,090 796
Raytheon Co. Class A 32,092 796
Great Atlantic & Pacific
Tea Co., Inc. 27,177 758
Longs Drug Stores, Inc. 27,852 719
IKON Office Solutions, Inc. 105,135 716
Pulte Corp. 30,582 688
Polaroid Corp. 32,184 605
ONEOK, Inc. 22,400 563
Springs Industries Inc. Class A 12,626 504
Fleetwood Enterprises, Inc. 23,522 485
Milacron Inc. 26,153 402
Russell Corp. 23,390 392
McDermott International, Inc. 42,132 382
The Pep Boys
(Manny, Moe & Jack) 37,123 339
- - Reebok International Ltd. 39,600 324
NACCO Industries, Inc. Class A 5,730 318
Foster Wheeler Corp. 28,800 256
- - Viacom Inc. Class A 1,532 93
- ---------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $3,256,981) 3,834,639
- ---------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ---------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.5%)(1)
- ---------------------------------------------------------------------
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 5.64%, 1/21/2000 $ 400 399
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 17,493 17,493
- ---------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $17,892) 17,892
- ---------------------------------------------------------------------
TOTAL INVESTMENTS (100.4%)
(COST $3,274,873) 3,852,531
- ---------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.4%)
- ---------------------------------------------------------------------
Other Assets--Note B 18,276
Liabilities (33,243)
-----------------
(14,967)
- ---------------------------------------------------------------------
NET ASSETS (100%) $3,837,564
=====================================================================
</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 0.3%, 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>
- ---------------------------------------------------------------------
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------------
<S> <C>
Paid in Capital $3,198,351
Overdistributed Net Investment Income (933)
Accumulated Net Realized Gains 62,323
Unrealized Appreciation--Note F
Investment Securities 577,658
Futures Contracts 165
- ---------------------------------------------------------------------
NET ASSETS $3,837,564
=====================================================================
Investor Shares--Net Assets
Applicable to 147,569,245 outstanding $.001
par value shares of beneficial interest.
(unlimited authorization) $3,377,776
- ---------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $22.89
=====================================================================
Institutional Shares--Net Assets
Applicable to 20,087,717 outstanding $.001
par value shares of beneficial interest.
(unlimited authorization) $459,788
- ---------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $22.89
=====================================================================
</TABLE>
7
<PAGE> 56
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
COMMON STOCKS (97.7%)(1)
- ---------------------------------------------------------------------
<S> <C> <C>
- - Microsoft Corp. 7,093,227 $ 828,134
General Electric Co. 4,512,104 698,248
- - Cisco Systems, Inc. 4,499,946 482,057
Wal-Mart Stores, Inc. 6,118,735 422,958
Exxon Mobil Corp. 4,754,252 383,014
Intel Corp. 4,593,645 378,114
Lucent Technologies, Inc. 4,313,142 322,677
International Business
Machines Corp. 2,481,470 267,999
Citigroup, Inc. 4,641,588 257,898
American International
Group, Inc. 2,129,886 230,294
- - America Online, Inc. 3,050,516 230,123
SBC Communications Inc. 4,696,243 228,942
AT&T Corp. 4,398,825 223,240
- - Oracle Corp. 1,959,920 219,634
Home Depot, Inc. 3,167,118 217,146
Merck & Co., Inc. 3,217,814 215,795
- - MCI WorldCom, Inc. 3,901,906 207,045
The Coca-Cola Co. 3,400,323 198,069
Procter & Gamble Co. 1,805,620 197,828
- - Dell Computer Corp. 3,497,900 178,393
Johnson & Johnson 1,914,309 178,270
Bristol-Myers Squibb Co. 2,730,863 175,287
Pfizer, Inc. 5,329,363 172,871
- - Sun Microsystems, Inc. 2,150,496 166,529
Hewlett-Packard Co. 1,402,842 159,836
- - QUALCOMM, Inc. 906,920 159,731
- - Yahoo!, Inc. 362,405 156,808
- - EMC Corp. 1,400,722 153,029
Bell Atlantic Corp. 2,137,660 131,600
Time Warner, Inc. 1,771,098 128,294
Motorola, Inc. 838,513 123,471
BellSouth Corp. 2,591,263 121,303
Bank of America Corp. 2,350,241 117,953
- - Berkshire Hathaway Inc.
Class A 2,032 113,995
Morgan Stanley Dean
Witter & Co. 771,612 110,148
Texas Instruments, Inc. 1,104,050 106,955
American Express Co. 616,285 102,457
Eli Lilly & Co. 1,501,243 99,833
Warner-Lambert Co. 1,182,112 96,859
E.I. du Pont de Nemours & Co. 1,437,959 94,726
GTE Corp. 1,337,839 94,401
Wells Fargo Co. 2,260,847 91,423
Ford Motor Co. 1,662,888 88,861
The Chase Manhattan Corp. 1,135,464 88,211
Fannie Mae 1,411,048 88,102
Schering-Plough Corp. 2,022,455 85,322
- - Amgen, Inc. 1,406,288 84,465
The Walt Disney Co. 2,839,091 83,043
Sprint Corp. 1,199,739 80,757
Chevron Corp. 903,437 78,260
Abbott Laboratories 2,116,390 76,851
Philip Morris Cos., Inc. 3,257,358 75,530
McDonald's Corp. 1,863,976 75,142
American Home Products Corp. 1,797,530 70,890
PepsiCo, Inc. 1,999,462 70,481
- - CBS Corp. 1,047,135 66,951
- - Applied Materials, Inc. 519,749 65,846
- - MediaOne Group, Inc. 840,564 64,566
General Motors Corp. 879,328 63,916
Compaq Computer Corp. 2,334,948 63,190
Honeywell International Inc. 1,089,773 62,866
- - Sprint PCS 594,990 60,986
Gillette Co. 1,473,305 60,682
Medtronic, Inc. 1,641,746 59,821
- - Viacom Inc. Class B 947,431 57,260
The Gap, Inc. 1,176,018 54,097
The Boeing Co. 1,299,279 54,001
Minnesota Mining &
Manufacturing Co. 551,322 53,961
Colgate-Palmolive Co. 800,177 52,011
Computer Associates
International, Inc. 742,118 51,902
Comcast Corp.-Special Class A 1,021,936 51,672
- - NEXTEL Communications, Inc. 500,304 51,594
- - Veritas Software Corp. 356,070 50,963
Bank One Corp. 1,586,484 50,867
- - JDS Uniphase Corp. 311,436 50,239
U S WEST, Inc. 695,696 50,090
Kimberly-Clark Corp. 749,383 48,897
Automatic Data Processing, Inc. 860,607 46,365
Anheuser-Busch Cos., Inc. 640,549 45,399
Freddie Mac 954,879 44,939
First Union Corp. 1,359,793 44,618
- - CMGI Inc 160,892 44,547
Electronic Data Systems Corp. 665,077 44,519
Dayton Hudson Corp. 605,301 44,452
- - Qwest Communications
International Inc. 1,024,214 44,041
FleetBoston Financial Corp. 1,260,271 43,873
Enron Corp. 985,138 43,715
Corning, Inc. 336,298 43,361
Charles Schwab Corp. 1,127,924 43,284
United Technologies Corp. 657,175 42,716
Merrill Lynch & Co., Inc. 510,281 42,608
Schlumberger Ltd. 753,001 42,356
Alcoa Inc. 504,503 41,874
Texaco Inc. 762,388 41,407
- - Clear Channel
Communications, Inc. 463,532 41,370
Carnival Corp. 849,328 40,608
The Bank of New York Co., Inc. 1,013,813 40,553
- - Cox Communications, Inc.
Class A 784,243 40,389
Walgreen Co. 1,380,309 40,374
Dow Chemical Co. 301,281 40,259
- - Level 3 Communications, Inc. 469,620 38,450
- - Solectron Corp. 403,375 38,371
Atlantic Richfield Co. 442,521 38,278
ALLTEL Corp. 429,966 35,553
- - Tellabs, Inc. 553,653 35,538
- - Amazon.com, Inc. 463,200 35,261
Marsh & McLennan Cos., Inc. 366,463 35,066
Emerson Electric Co. 596,890 34,247
- - Sycamore Networks, Inc. 107,260 33,036
International Paper Co. 567,104 32,006
</TABLE>
8
<PAGE> 57
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Lowe's Cos., Inc. 526,126 $ 31,436
- - Gateway, Inc. 435,808 31,405
Gannett Co., Inc. 381,800 31,141
Fifth Third Bancorp 424,013 31,112
Monsanto Co. 869,586 30,979
SunTrust Banks, Inc. 439,541 30,246
J.P. Morgan & Co., Inc. 238,438 30,192
MBNA Corp. 1,097,977 29,920
- - Micron Technology, Inc. 370,703 28,822
Eastman Kodak Co. 433,535 28,722
First Data Corp. 580,214 28,612
Firstar Corp. 1,342,249 28,355
- - Costco Wholesale Corp. 305,459 27,873
Illinois Tool Works, Inc. 411,539 27,805
Associates First Capital Corp. 1,002,558 27,508
Sara Lee Corp. 1,244,411 27,455
- - BMC Software, Inc. 333,657 26,672
- - VeriSign, Inc. 139,114 26,536
Allstate Corp. 1,101,062 26,425
- - Cendant Corp. 977,514 25,965
American General Corp. 338,429 25,678
Duke Energy Corp. 500,758 25,100
Baxter International, Inc. 398,462 25,028
- - Safeway, Inc. 695,032 24,717
- - Immunex Corp. 225,700 24,672
Halliburton Co. 607,860 24,466
Omnicom Group Inc. 243,810 24,381
- - Juniper Networks, Inc. 71,180 24,201
U.S. Bancorp 1,012,871 24,119
Household International, Inc. 645,730 24,053
- - Foundry Networks, Inc. 78,900 23,803
Mellon Financial Corp. 696,495 23,724
Weyerhaeuser Co. 323,324 23,219
Caterpillar, Inc. 488,358 22,983
Columbia/HCA Healthcare Corp. 775,510 22,732
- - 3Com Corp. 482,482 22,677
Campbell Soup Co. 585,777 22,662
- - Apple Computer, Inc. 220,344 22,654
- - AMFM Inc. 288,146 22,547
Interpublic Group of Cos., Inc. 386,393 22,290
- - Analog Devices, Inc. 239,654 22,288
- - Siebel Systems, Inc. 263,966 22,173
- - Ariba, Inc. 124,500 22,083
- - eBay Inc. 176,200 22,058
Southern Co. 921,657 21,659
CIGNA Corp. 267,908 21,583
- - Computer Sciences Corp 228,061 21,580
- - The Kroger Co. 1 ,142,724 21,569
CVS Corp. 539,553 21,548
Conoco Inc. Class B 847,453 21,080
- - AES Corp. 281,960 21,076
- - DoubleClick Inc. 83,199 21,055
- - BroadVision, Inc. 122,300 20,799
AXA Financial, Inc. 613,482 20,782
Xerox Corp. 914,209 20,741
- - Exodus Communications, Inc. 232,900 20,684
Washington Mutual, Inc. 794,754 20,664
- - General Instrument Corp. 239,582 20,364
- - i2 Technologies, Inc. 104,000 20,280
- - At Home Corp. Series A 469,644 20,136
National City Corp. 848,781 20,105
- - Red Hat, Inc. 94,800 20,027
Bestfoods 380,021 19,975
- - Xilinx, Inc. 438,022 19,916
- - Guidant Corp. 420,972 19,786
H.J. Heinz Co. 492,368 19,602
- - Commerce One, Inc. 99,150 19,483
NIKE, Inc. Class B 383,493 19,007
Wachovia Corp. 277,638 18,879
Albertson's, Inc. 583,125 18,806
- - VoiceStream Wireless Corp. 131,010 18,644
- - Infinity Broadcasting Corp. 510,728 18,482
Cardinal Health, Inc. 383,830 18,376
- - Broadcom Corp. 67,300 18,331
- - Compuware Corp. 491,582 18,311
Williams Cos., Inc. 598,530 18,293
PNC Bank Corp. 410,215 18,255
- - Novell, Inc. 456,094 18,158
Tribune Co. 326,449 17,975
- - NTL Inc. 143,933 17,956
- - General Motors Corp. Class H 186,039 17,860
Sysco Corp. 451,103 17,847
- - Conexant Systems, Inc. 268,366 17,813
Providian Financial Corp. 195,529 17,805
Pitney Bowes, Inc. 365,233 17,645
- - Maxim Integrated Products, Inc. 372,700 17,587
- - Biogen, Inc. 205,800 17,390
AFLAC, Inc. 365,473 17,246
Kellogg Co. 557,327 17,173
- - Network Appliance, Inc. 204,018 16,946
PE Corp. - PE Biosystems Group 140,790 16,939
- - FDX Corp. 410,100 16,788
The McGraw-Hill Cos., Inc. 269,353 16,599
Phillips Petroleum Co. 349,264 16,415
The Clorox Co. 325,474 16,396
Northern Trust Corp. 304,108 16,118
- - Kohl's Corp. 222,566 16,066
- - Intuit, Inc. 267,500 16,033
State Street Corp. 218,173 15,940
- - Lexmark International
Group, Inc. Class A 174,935 15,832
Sears, Roebuck & Co. 517,590 15,754
Textron, Inc. 203,748 15,625
Masco Corp. 614,027 15,581
- - Genentech, Inc. 115,410 15,523
- - Teradyne, Inc. 232,958 15,375
- - MedImmune Inc. 92,338 15,317
Burlington Northern
Santa Fe Corp. 628,946 15,252
Linear Technology Corp. 212,492 15,206
- - Citrix Systems, Inc. 123,400 15,178
ConAgra, Inc. 670,852 15,136
- - Internap Network Services Corp. 87,400 15,120
General Mills, Inc. 417,369 14,921
- - ADC Telecommunications, Inc. 204,337 14,827
PPG Industries, Inc. 236,906 14,821
Union Pacific Corp. 338,669 14,774
May Department Stores Co. 456,405 14,719
Waste Management, Inc. 856,163 14,715
Intimate Brands, Inc. 340,175 14,670
- - Liberate Technologies, Inc. 57,000 14,649
General Dynamics Corp. 276,123 14,565
</TABLE>
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<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - EchoStar Communications Corp. 148,430 $ 14,472
- - Federated Department
Stores, Inc. 285,999 14,461
The Hartford Financial
Services Group Inc. 304,974 14,448
- - Univision Communications Inc. 139,300 14,235
- - Comverse Technology, Inc. 98,216 14,217
- - InfoSpace.com, Inc. 66,295 14,187
- - Best Buy Co., Inc. 282,670 14,186
Aon Corp. 349,624 13,985
- - AMR Corp. 208,293 13,956
- - Seagate Technology Inc. 298,448 13,896
Lehman Brothers Holdings, Inc. 163,987 13,888
Deere & Co. 320,018 13,881
- - KLA-Tencor Corp. 123,913 13,801
- - LSI Logic Corp. 202,658 13,679
PAYCHEX, INC 339,476 13,579
The Chubb Corp. 241,000 13,571
- - Unisys Corp. 423,349 13,521
KeyCorp 611,012 13,519
- - Altera Corp. 271,740 13,468
Texas Utilities Co. 377,583 13,428
Harley-Davidson, Inc. 208,397 13,350
- - Staples, Inc. 634,451 13,165
Wrigley, (Wm.) Jr. Co. 157,773 13,085
- - Metromedia Fiber Network, Inc. 271,907 13,035
Capital One Financial Corp. 270,075 13,014
Tandy Corp. 263,402 12,956
- - Brocade Communications
Systems, Inc. 72,900 12,903
Dover Corp. 281,829 12,788
The Limited, Inc. 293,306 12,704
- - BEA Systems, Inc. 181,000 12,659
- - TIBCO Software Inc. 82,500 12,623
Circuit City Stores, Inc. 279,993 12,617
- - Inktomi Corp. 141,800 12,585
- - McLeodUSA, Inc. Class A 213,397 12,564
BB&T Corp. 455,719 12,475
- - E-Tek Dynamics, Inc. 92,600 12,466
Edison International 474,327 12,421
- - Boston Scientific Corp. 566,445 12,391
Rockwell International Corp. 258,731 12,387
- - Vignette Corp. 75,956 12,381
Ingersoll-Rand Co. 224,746 12,375
United Healthcare Corp. 232,381 12,345
Ralston-Ralston Purina Group 441,841 12,316
Delphi Automotive Systems Corp. 773,697 12,186
Union Carbide Corp. 182,381 12,174
Rohm & Haas Co. 298,987 12,165
Molex, Inc. 213,687 12,113
El Paso Energy Corp. 311,951 12,108
Royal Caribbean Cruises, Ltd. 244,200 12,042
- - RealNetworks, Inc. 99,295 12,033
- - U.S. Cellular Corp. 119,000 12,012
The Quaker Oats Co. 182,399 11,970
Georgia Pacific Group 233,634 11,857
Lockheed Martin Corp. 539,393 11,799
Coca-Cola Enterprises, Inc. 581,230 11,697
Avon Products, Inc. 349,501 11,534
New York Times Co. Class A 234,522 11,521
IMS Health, Inc. 423,011 11,501
Aetna Inc. 204,989 11,441
Kansas City Southern
Industries, Inc. 152,153 11,354
- - Cablevision Systems Corp.
Class B 150,100 11,333
- - Omnipoint Corp. 93,500 11,278
Avery Dennison Corp. 154,163 11,235
Newell Rubbermaid, Inc. 385,266 11,173
Southwest Airlines Co. 687,175 11,124
- - Sapient Corp. 78,800 11,106
Unocal Corp. 330,243 11,084
Franklin Resources Corp. 345,295 11,071
- - Vitesse Semiconductor Corp. 210,200 11,022
Adobe Systems, Inc. 163,249 10,978
BroadWing Inc. 297,065 10,954
Praxair, Inc. 216,146 10,875
- - Portal Software, Inc. 105,600 10,864
PG&E Corp. 525,862 10,780
Occidental Petroleum Corp. 497,868 10,766
- - CIENA Corp. 187,200 10,764
Marriott International, Inc.
Class A 340,714 10,754
Lincoln National Corp. 266,459 10,658
Telephone & Data Systems, Inc. 84,400 10,634
Norfolk Southern Corp. 518,531 10,630
- - SDL, Inc. 48,600 10,595
Raytheon Co. Class B 398,330 10,581
- - Chiron Corp. 248,832 10,544
Air Products & Chemicals, Inc. 314,008 10,539
- - Lycos, Inc. 132,404 10,534
FPL Group, Inc. 245,949 10,530
UnumProvident Corp. 327,925 10,514
Consolidated Edison Inc. 304,293 10,498
- - Redback Networks Inc. 58,968 10,467
St. Paul Cos., Inc. 310,421 10,457
USX-Marathon Group 423,359 10,452
Public Service Enterprise
Group, Inc. 298,608 10,395
- - USA Networks, Inc. 187,524 10,361
United Parcel Service, Inc. 149,900 10,343
Coastal Corp. 291,038 10,314
AmSouth Bancorp 532,213 10,278
Republic New York Corp. 142,723 10,276
- - Phone.com, Inc. 88,567 10,268
Dominion Resources, Inc. 260,717 10,233
Archer-Daniels-Midland Co. 833,102 10,153
Unicom Corp. 299,495 10,033
- - Parametric Technology Corp. 370,259 10,020
Comerica, Inc. 214,220 10,001
- - Tenet Healthcare Corp. 424,232 9,969
- - National Semiconductor Corp. 232,748 9,965
- - Network Solutions, Inc. Class A 45,627 9,927
Burlington Resources, Inc. 296,979 9,819
Jefferson-Pilot Corp. 143,045 9,763
- - CNA Financial Corp. 249,284 9,706
- - Vitria Technology, Inc. 41,400 9,688
- - PE Corp.-Celera Genomics Group 64,365 9,590
Transocean Sedco Forex Inc. 284,281 9,577
Baker Hughes, Inc. 450,451 9,488
- - Priceline.com Inc. 200,000 9,475
Delta Air Lines, Inc. 189,400 9,434
</TABLE>
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<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Danaher Corp. 194,990 $ 9,408
- - Applied Micro Circuits Corp. 73,553 9,360
CSX Corp. 298,284 9,359
- - QLogic Corp. 58,108 9,290
- - Interdigital Communications
Corp. 123,700 9,278
- - Infonet Services Corp. 352,800 9,261
Stryker Corp. 132,500 9,225
SLM Holding Corp. 217,697 9,198
Reliant Energy, Inc. 399,166 9,131
Marshall & Ilsley Corp. 144,491 9,076
- - FreeMarkets, Inc. 26,525 9,053
- - TV Guide, Inc. 210,200 9,039
Becton, Dickinson & Co. 337,776 9,036
CenturyTel, Inc. 190,356 9,018
Hershey Foods Corp. 189,566 9,004
Allergan, Inc. 180,058 8,958
PECO Energy Corp. 255,491 8,878
MGIC Investment Corp. 147,244 8,862
The Goldman Sachs Group, Inc. 94,000 8,854
UnionBanCal Corp. 222,700 8,783
- - E*TRADE Group, Inc. 334,800 8,747
Tiffany & Co. 97,936 8,741
Loews Corp. 143,471 8,707
TJX Cos., Inc. 424,279 8,671
Entergy Corp. 336,360 8,661
- - Jabil Circuit, Inc. 118,600 8,658
McKesson HBOC, Inc. 383,599 8,655
TRW, Inc. 166,576 8,652
SouthTrust Corp. 228,689 8,647
American Electric Power
Co., Inc. 266,690 8,567
Consolidated Natural Gas Co. 131,036 8,509
- - PeopleSoft, Inc. 398,135 8,485
Equity Office Properties
Trust REIT 344,511 8,484
- - NEXTLINK Communications, Inc. 102,131 8,483
Estee Lauder Cos. Class A 167,942 8,471
- - Global TeleSystems Group, Inc. 243,600 8,435
Donaldson, Lufkin &
Jenrette, Inc. 173,200 8,379
- - Scient Corp. 96,190 8,314
Dow Jones & Co., Inc. 120,811 8,215
- - Allegiance Telecom, Inc. 89,044 8,214
Dollar General Corp. 360,880 8,210
Fort James Corp. 298,347 8,167
- - Millennium Pharmaceuticals, Inc. 66,868 8,158
Champion International Corp. 131,428 8,140
- - Loral Space & Communications 334,784 8,139
- - Tricon Global Restaurants, Inc. 209,710 8,100
- - Atmel Corp. 272,900 8,068
Cintas Corp. 151,800 8,064
- - Cadence Design Systems, Inc. 334,462 8,027
- - SCI Systems, Inc. 97,316 7,998
- - Adelphia Communications
Corp. Class A 121,504 7,974
- - Next Level Communications, Inc. 106,100 7,944
- - Legato Systems, Inc. 115,300 7,934
Conseco Inc. 442,353 7,907
- - VerticalNet, Inc. 48,100 7,888
- - Sanmina Corp. 78,979 7,888
Parker Hannifin Corp. 152,306 7,815
Comdisco, Inc. 209,250 7,795
- - E.Piphany Inc. 34,800 7,765
- - CareInsite, Inc. 96,200 7,744
Vastar Resources, Inc. 131,100 7,735
- - CheckFree Holdings Corp. 74,000 7,733
- - Safeguard Scientifics, Inc. 47,694 7,729
- - Agilent Technologies, Inc. 99,300 7,677
PaineWebber Group, Inc. 196,949 7,644
- - Kana Communications, Inc. 37,175 7,621
Synovus Financial Corp. 383,232 7,617
Symbol Technologies, Inc. 119,412 7,590
The CIT Group, Inc. 358,500 7,573
Union Planters Corp. 191,218 7,541
Regions Financial Corp. 300,047 7,539
Huntington Bancshares Inc. 313,831 7,493
Mattel, Inc. 569,923 7,480
Golden West Financial Corp. 223,259 7,479
Washington Post Co. Class B 13,400 7,449
- - Emulex Corp. 66,200 7,448
- - UnitedGlobalCom Inc. Class A 105,200 7,430
- - RF Micro Devices, Inc. 108,200 7,405
Equity Residential Properties
Trust REIT 173,113 7,390
Fortune Brands, Inc. 223,180 7,379
Phelps Dodge Corp. 109,912 7,378
Zions Bancorp 124,088 7,344
- - Digital Island Inc. 77,200 7,344
Summit Bancorp 239,571 7,337
Progressive Corp. of Ohio 99,915 7,306
Eaton Corp. 100,317 7,286
- - Smurfit-Stone Container Corp. 297,323 7,284
Kerr-McGee Corp. 117,007 7,254
Optical Coating Laboratory, Inc. 24,481 7,246
- - Electronic Arts Inc. 86,032 7,227
MBIA, Inc. 136,065 7,186
FirstEnergy Corp. 316,553 7,182
- - Concord EFS, Inc. 277,605 7,148
- - Internet Capital Group, Inc. 42,002 7,140
Willamette Industries, Inc. 152,465 7,080
- - Knight/Trimark Group, Inc. 153,100 7,043
Amerada Hess Corp. 123,621 7,015
- - Forest Laboratories, Inc. 114,184 7,015
J.C. Penney Co., Inc. 351,360 7,005
Bear Stearns Co., Inc. 163,016 6,969
- - Adaptec, Inc. 139,469 6,956
- - American Power
Conversion Corp. 263,100 6,939
Ecolab, Inc. 177,013 6,926
Columbia Energy Group 109,071 6,899
Cincinnati Financial Corp. 221,190 6,898
First Security Corp. 268,882 6,865
- - TMP Worldwide, Inc. 48,300 6,859
- - HomeStore.com, Inc. 91,800 6,816
Knight Ridder 114,207 6,795
- - Hispanic Broadcasting Corp. 73,600 6,787
- - Kmart Corp. 674,353 6,786
Dana Corp. 226,471 6,780
Young & Rubicam Inc. 95,100 6,728
- - VA Linux Systems, Inc. 32,414 6,698
Johnson Controls, Inc. 117,484 6,682
- - Bed Bath & Beyond, Inc. 191,067 6,640
</TABLE>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
Reynolds Metals Co. 86,433 $ 6,623
Carolina Power & Light Co. 217,423 6,618
- - DST Systems, Inc. 86,700 6,616
Whirlpool Corp. 100,905 6,565
- - Novellus Systems, Inc. 53,500 6,555
Dun & Bradstreet Corp. 221,506 6,534
Nucor Corp. 118,487 6,495
- - Synopsys, Inc. 97,086 6,480
- - Fiserv, Inc. 168,727 6,464
- - Convergys Corp. 209,200 6,433
- - Metro-Goldwyn-Mayer Inc. 271,820 6,405
- - AutoZone Inc. 197,896 6,395
- - Cabletron Systems, Inc. 244,993 6,370
The Times Mirror Co. Class A 94,362 6,322
- - Covad Communications
Group, Inc. 112,650 6,301
- - Crown Castle International Corp. 194,000 6,232
Biomet, Inc. 154,103 6,164
DTE Energy Co. 196,226 6,157
The Mead Corp. 141,388 6,142
Ameren Corp. 186,988 6,124
W.W. Grainger, Inc. 127,935 6,117
Black & Decker Corp. 116,795 6,103
T. Rowe Price 164,216 6,066
- - Finisar Corp. 67,202 6,040
- - Fox Entertainment Group, Inc.
Class A 241,800 6,030
- - American Tower Corp. Class A 197,200 6,027
- - Starbucks Corp. 248,300 6,021
The Goodyear Tire & Rubber Co. 213,530 6,019
Starwood Hotels & Resorts
Worldwide, Inc. 255,772 6,011
- - CacheFlow Inc. 45,903 5,999
- - Intertrust Technologies Corp. 50,980 5,997
Anadarko Petroleum Corp. 175,218 5,979
Scientific-Atlanta, Inc. 106,914 5,947
- - AutoNation, Inc. 641,758 5,936
Old Kent Financial Corp. 167,424 5,923
Genuine Parts Co. 238,638 5,921
- - LAM Research Corp. 52,901 5,902
Weatherford International, Inc. 147,729 5,900
H & R Block, Inc. 134,778 5,897
- - Noble Drilling Corp. 180,000 5,895
UST, Inc. 233,341 5,877
- - Nabors Industries, Inc. 189,600 5,866
Constellation Energy Group 202,236 5,865
- - Rational Software Corp. 119,363 5,864
AVX Corp. 117,400 5,863
- - Advanced Micro Devices, Inc. 200,535 5,803
- - Leap Wireless International, Inc. 73,803 5,794
- - Westwood One, Inc. 76,200 5,791
- - Agile Software Corp. 26,575 5,773
Apache Corp. 156,223 5,770
- - Cree Research, Inc. 67,496 5,762
Central & South West Corp. 288,028 5,761
- - Wellpoint Health Networks Inc.
Class A 86,862 5,727
- - IDEC Pharmaceuticals Corp. 58,200 5,718
Sempra Energy 328,311 5,704
- - USinternetworking, Inc. 81,600 5,702
Diamond Offshore Drilling, Inc. 186,000 5,685
- - Extreme Networks, Inc. 68,033 5,681
Leggett & Platt, Inc. 263,612 5,651
- - Mercury Interactive Corp. 52,200 5,634
- - Affymetrix, Inc. 33,200 5,634
Newmont Mining Corp. 229,595 5,625
- - Winstar Communications, Inc. 75,000 5,616
- - UAL Corp. 72,380 5,614
- - CNET, Inc. 98,700 5,601
Florida Progress Corp. 132,284 5,597
- - Sawtek Inc. 83,800 5,578
- - Peregrine Systems, Inc. 67,300 5,561
Tosco Corp. 204,283 5,554
Maytag Corp. 115,435 5,541
- - Advanced Fibre
Communications, Inc. 123,800 5,532
Charter One Financial 288,532 5,518
- - PSINet, Inc. 89,300 5,514
- - Calpine Corp. 85,600 5,478
Vulcan Materials Co. 136,721 5,460
- - HNC Software, Inc. 51,600 5,457
- - Office Depot, Inc. 497,565 5,442
International Flavors &
Fragrances, Inc. 143,969 5,435
Montana Power Co. 150,200 5,417
- - Software.com, Inc. 56,200 5,395
Bausch & Lomb, Inc. 78,707 5,387
- - Razorfish Inc. 56,600 5,384
Brown-Forman Corp. Class B 93,896 5,376
- - Charter Communications, Inc. 245,000 5,359
Simon Property Group, Inc. REIT 233,172 5,348
- - Art Technology Group, Inc. 41,500 5,317
- - Ortel Corp. 44,000 5,280
Cinergy Corp. 217,130 5,238
- - Quest Software, Inc. 51,139 5,216
- - Park Place Entertainment 415,398 5,192
Popular, Inc. 185,656 5,187
- - Owens-Illinois, Inc. 206,541 5,176
Torchmark Corp. 177,664 5,163
- - Genzyme Corp. 114,678 5,161
Cooper Industries, Inc. 126,633 5,121
Dynegy,Inc. 210,000 5,106
ServiceMaster Co. 414,650 5,105
Reliastar Financial Corp. 129,181 5,062
Northrop Grumman Corp. 93,596 5,060
Hasbro, Inc. 265,351 5,058
- - Citizens Utilities Co. Class B 355,751 5,047
- - VISIX Inc. 96,884 5,014
AMBAC Financial Group Inc. 95,844 5,002
Tyson Foods, Inc. 307,689 5,000
First Tennessee National Corp. 175,100 4,990
Eastman Chemical Co. 104,602 4,988
- - NCR Corp. 131,632 4,986
- - PurchasePro.com, Inc. 36,150 4,971
- - Critical Path, Inc. 52,600 4,964
GPU, Inc. 165,638 4,959
- - Network Associates, Inc. 185,339 4,946
- - RCN Corp. 101,827 4,939
Temple-Inland Inc. 74,871 4,937
- - Macromedia, Inc. 67,423 4,930
CMS Energy Corp. 157,705 4,918
- - Chemdex Corp. 44,300 4,917
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------------
<S> <C> <C>
- - AmeriTrade Holding Corp. 225,800 $ 4,897
- - iXL Enterprises, Inc. 88,000 4,884
- - Human Genome Sciences, Inc. 31,900 4,869
Nordstrom, Inc. 185,199 4,850
- - Cypress Semiconductor Corp. 149,694 4,846
- - ALZA Corp. 139,493 4,830
E.W. Scripps Co. Class A 107,676 4,825
- - Sealed Air Corp. 93,117 4,825
- - Verio Inc. 104,200 4,813
Winn-Dixie Stores, Inc. 201,012 4,812
BHC Communications, Inc.
Class A 29,885 4,782
Hilton Hotels Corp. 496,056 4,775
- - Microchip Technology, Inc. 69,750 4,774
VF Corp. 159,095 4,773
PP&L Resources Inc. 208,643 4,773
Sherwin-Williams Co. 226,016 4,746
- - Toys R Us, Inc. 328,685 4,704
- - Retek Inc. 62,500 4,703
- - Akamai Technologies, Inc. 14,350 4,701
New Century Energies, Inc. 153,986 4,677
- - Watson Pharmaceuticals, Inc. 130,421 4,671
Fluor Corp. 101,593 4,661
- - Symantec Corp. 79,288 4,648
Nabisco Group Holdings Corp. 436,253 4,635
PACCAR, Inc. 104,581 4,634
- - Jones Apparel Group, Inc. 170,262 4,618
- - Aerial Communications Inc. 75,200 4,578
- - Amkor Technology, Inc. 161,200 4,554
- - USWeb Corp. 102,450 4,553
- - Harrah's Entertainment, Inc. 171,952 4,546
- - Health Management Associates
Class A 339,532 4,541
- - Diamond Technology
Partners Inc. 52,733 4,532
- - CDW Computer Centers, Inc. 57,400 4,513
Equifax, Inc. 191,142 4,504
M & T Bank Corp. 10,856 4,497
- - Waters Corp. 84,800 4,494
- - TriQuint Semiconductor, Inc. 40,350 4,489
Westvaco Corp. 137,213 4,477
- - Proxicom, Inc. 35,900 4,463
- - Western Wireless Corp. Class A 66,522 4,440
Mylan Laboratories, Inc. 176,050 4,434
- - Electronics for Imaging, Inc. 76,000 4,418
- - Alteon Websystems, Inc. 50,300 4,414
- - Freeport-McMoRan Copper &
Gold Inc. Class B 208,268 4,400
- - Ceridian Corp. 204,038 4,400
- - American Standard Cos., Inc. 95,800 4,395
Union Pacific Resources
Group, Inc. 344,282 4,390
- - Continental Airlines, Inc.
Class B 98,800 4,384
- - Sepracor Inc. 44,164 4,381
SAFECO Corp. 175,402 4,363
- - TeleCorp PCS, Inc. 114,500 4,351
- - American Eagle Outfitters, Inc. 95,800 4,311
- - Clarus Corp. 65,300 4,310
- - InterWorld Corp. 50,350 4,299
SuperValu Inc. 214,266 4,285
- - J.D. Edwards & Co. 143,100 4,275
KeySpan Corp. 183,535 4,256
Total System Services, Inc. 258,786 4,221
Delhaize America, Inc. Class A 207,400 4,213
- - Inet Technologies, Inc. 60,000 4,193
ENSCO International, Inc. 183,024 4,187
- - Navistar International Corp. 88,370 4,187
R.R. Donnelley & Sons Co. 168,570 4,183
- - SanDisk Corp. 43,300 4,168
- - Ask Jeeves, Inc. 36,800 4,156
Reader's Digest Assn., Inc.
Class A 141,706 4,145
Sigma-Aldrich Corp. 137,845 4,144
New England Electric System 80,000 4,140
- - SunGard Data Systems, Inc. 174,000 4,133
ProLogis Trust REIT 214,217 4,124
- - Whittman-Hart, Inc. 76,800 4,118
- - Allaire Corp. 28,400 4,118
- - Sterling Commerce, Inc. 120,685 4,111
- - eToys Inc. 156,600 4,111
- - Powertel Inc. 40,900 4,105
- - Teletech Holdings Inc. 121,500 4,095
Allegheny Energy, Inc. 151,700 4,086
- - Clarify, Inc. 32,400 4,082
- - Mirage Resorts, Inc. 265,169 4,060
The BFGoodrich Co. 147,170 4,047
Hercules, Inc. 144,902 4,039
- - Medical Manager Corp. 47,893 4,035
- - Dollar Tree Stores, Inc. 83,012 4,021
Hannaford Brothers Co. 57,900 4,013
A.G. Edwards & Sons, Inc. 125,049 4,009
- - RSA Security Inc. 51,700 4,007
Northern States Power Co. 205,326 4,004
- - Cobalt Networks, Inc. 36,938 4,003
Allmerica Financial Corp. 71,915 4,000
- - NorthPoint Communications
Group, Inc. 166,400 3,994
- - Jones Intercable Inc. 57,600 3,992
Santa Fe International Corp. 153,800 3,980
- - BJ Services Co. 95,083 3,976
- - Engage Technologies, Inc. 65,850 3,951
- - Aspect Development, Inc. 57,600 3,946
- - MGM Grand, Inc. 78,389 3,944
Public Storage, Inc. REIT 172,402 3,911
ITT Industries, Inc. 116,879 3,908
Hormel Foods Corp. 96,200 3,908
Galileo International, Inc. 130,400 3,904
USX-U.S. Steel Group 118,298 3,904
Countrywide Credit
Industries, Inc. 154,155 3,892
- - Global Marine, Inc. 232,200 3,860
Family Dollar Stores, Inc. 236,200 3,853
Bowater Inc. 70,700 3,840
Manpower Inc. 102,000 3,838
Rite Aid Corp. 342,556 3,832
Harcourt General, Inc. 95,156 3,830
Devon Energy Corp. 116,409 3,827
Consolidated Papers 120,100 3,821
- - ISS Group, Inc. 53,700 3,819
- - Interwoven, Inc. 31,400 3,819
</TABLE>
13
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Harmonic, Inc. 40,200 $ 3,816
Archstone Communities
Trust REIT 185,368 3,800
- - NaviSite, Inc. 37,700 3,770
Crown Cork & Seal Co., Inc. 166,962 3,736
Vornado Realty Trust REIT 114,800 3,731
SCANA Corp. 138,600 3,725
Unitrin, Inc. 98,910 3,721
- - Proxim, Inc. 33,800 3,718
Kinder Morgan, Inc. 183,959 3,714
C.R. Bard, Inc. 69,970 3,708
- - NetZero Inc. 137,600 3,707
- - Silknet Software, Inc. 22,300 3,696
The Stanley Works 122,691 3,696
- - Metasolv Software, Inc. 45,100 3,687
- - BJ's Wholesale Club, Inc. 100,700 3,676
- - Entrust Technologies, Inc. 61,300 3,674
International Speedway Corp. 72,600 3,657
- - Abercrombie & Fitch Co. 136,936 3,654
- - GoTo.com, Inc. 62,200 3,654
- - Micromuse Inc. 21,484 3,652
VIAD CORP. 130,463 3,637
DPL Inc. 209,875 3,633
Northeast Utilities 176,200 3,623
- - King Pharmaceuticals, Inc. 64,493 3,616
- - IVAX Corp. 140,300 3,613
- - Integrated Device Technology Inc. 124,400 3,608
Transatlantic Holdings, Inc. 46,100 3,599
- - Lamar Advertising Co. Class A 59,400 3,597
Potomac Electric Power Co. 156,500 3,590
- - Healtheon/WebMD Corp. 95,300 3,574
- - InterVU Inc. 34,000 3,570
EOG Resources, Inc. 203,224 3,569
Pall Corp. 165,457 3,568
Murphy Oil Corp. 61,800 3,546
- - MRV Communications Inc. 56,086 3,526
- - Vishay Intertechnology, Inc. 111,500 3,526
- - Cooper Cameron Corp. 72,000 3,524
Apartment Investment &
Management Co. Class A REIT 88,496 3,523
- - Sterling Software, Inc. 111,700 3,519
- - Williams Sonoma, Inc. 76,416 3,515
Dial Corp. 144,363 3,510
- - Robert Half International, Inc. 122,712 3,505
DQE Inc. 100,407 3,477
Green Point Financial Corp. 145,900 3,474
- - C-Cube Microsystems, Inc. 55,800 3,474
- - About.Com, Inc. 38,600 3,464
- - Niagara Mohawk Holdings Inc. 247,935 3,456
- - S1 Corp. 44,128 3,448
Pinnacle West Capital Corp. 112,720 3,445
NSTAR 85,042 3,444
- - R & B Falcon Corp. 259,513 3,439
- - Sybron International Corp. 139,221 3,437
The Pepsi Bottling Group, Inc. 207,300 3,433
- - Centennial Cellular Corp. Class A 41,300 3,423
- - Associated Group, Inc. 37,492 3,421
- - Macrovision Corp. 46,200 3,419
- - Efficient Networks, Inc. 50,100 3,407
Compass Bancshares Inc. 152,274 3,398
- - St. Jude Medical, Inc. 110,503 3,391
- - SPX Corp. 41,903 3,386
- - Protein Design Labs, Inc. 48,200 3,374
- - Republic Services, Inc. Class A 234,300 3,368
Avnet, Inc. 55,582 3,363
National Community Bancorp 147,908 3,356
- - Quantum Corp.-DLT & Storage
Systems 221,300 3,347
Illinova Corp. 96,300 3,346
Duke Realty Investments,
Inc. REIT 171,406 3,342
- - DII Group, Inc. 47,014 3,337
Wendy's International, Inc. 161,427 3,329
- - Express Scripts 51,600 3,302
- - Network Access Solutions Corp. 99,800 3,293
TECO Energy, Inc. 177,000 3,286
Energy East Corp. 156,700 3,261
- - Juno Online Services, Inc. 90,700 3,260
- - Gilead Sciences, Inc. 60,058 3,251
- - Smith International, Inc. 65,200 3,240
- - Go2Net, Inc. 37,200 3,236
Spieker Properties, Inc. REIT 88,700 3,232
- - Rhythms NetConnections Inc. 104,225 3,231
- - Pacificare Health Systems, Inc. 60,836 3,224
- - Keebler Foods Co. 114,600 3,223
- - Arrow Electronics, Inc. 126,698 3,215
- - Triton PCS, Inc. 70,400 3,203
- - Nova Corp. (Georgia) 101,409 3,201
North Fork Bancorp, Inc. 182,130 3,187
- - US Airways Group, Inc. 99,218 3,181
- - Chris-Craft Industries, Inc. 44,064 3,178
Sonoco Products Co. 139,636 3,177
- - Viatel, Inc. 59,231 3,176
Engelhard Corp. 168,170 3,174
- - Thermo Electron Corp. 211,161 3,167
- - Valassis Communications, Inc. 74,850 3,162
Boise Cascade Corp. 78,048 3,161
- - TSI International Software Ltd. 55,700 3,154
- - KEMET Corp. 69,900 3,150
- - NVIDIA Corp. 67,100 3,150
Ashland, Inc. 95,483 3,145
- - Copper Mountain Networks, Inc. 64,400 3,140
- - SFX Entertainment, Inc. 86,282 3,122
Darden Restaurants Inc. 172,191 3,121
A. H. Belo Corp. Class A 163,112 3,109
- - Intraware, Inc. 39,200 3,097
Liz Claiborne, Inc. 82,095 3,089
- - Saks Inc. 198,356 3,087
- - Micrel, Inc. 54,200 3,086
- - Litton Industries, Inc. 61,869 3,086
- - PRIMEDIA Inc. 186,700 3,081
- - Netro Corp. 60,400 3,080
- - Semtech Corp. 59,000 3,075
- - Radio One, Inc. 33,400 3,073
- - Golden State Bancorp Inc. 177,543 3,063
- - Glenayre Technologies, Inc. 270,625 3,061
- - Visual Networks, Inc. 38,600 3,059
USG CORP. 64,900 3,058
- - Informix Corp. 266,600 3,033
- - Open Market, Inc. 67,100 3,028
- - LookSmart, Ltd. 112,100 3,027
- - MiniMed, Inc. 41,300 3,025
</TABLE>
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<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Crescent Real Estate, Inc. REIT 164,400 $ 3,021
- - StarMedia Network, Inc. 75,400 3,021
LG&E Energy Corp. 173,157 3,019
- - Keane, Inc. 95,000 3,016
Wisconsin Energy Corp. 156,223 3,007
Avalonbay Communities, Inc. REIT 87,363 2,998
Associated Banc-Corp. 87,408 2,994
- - QRS Corp. 28,500 2,993
- - Affiliated Computer Services,
Inc. Class A 64,981 2,989
NiSource, Inc. 166,660 2,979
- - HEALTHSOUTH Corp. 553,115 2,973
Mallinckrodt, Inc. 93,333 2,969
- - Lattice Semiconductor Corp. 63,000 2,969
FINOVA Group, Inc. 83,629 2,969
- - Verity, Inc. 69,600 2,962
Dillard's Inc. 146,664 2,961
- - Premier Parks Inc. 102,200 2,951
First Virginia Banks, Inc. 68,460 2,944
- - INCYTE Pharmaceuticals, Inc. 48,900 2,934
The PMI Group Inc. 60,049 2,931
- - Adaptive Broadband Corp. 39,400 2,908
- - Crossroads Systems, Inc. 34,396 2,906
Expeditors International of
Washington, Inc. 66,300 2,905
Great Lakes Chemical Corp. 75,938 2,900
Mercantile Bankshares Corp. 90,400 2,887
- - Entercom Communications Corp. 43,700 2,884
- - Xircom, Inc. 38,400 2,880
- - Enzo Biochem, Inc. 63,900 2,879
- - The Titan Corp. 61,100 2,879
- - Polycom, Inc. 45,200 2,879
- - Clarent Corp. 37,000 2,877
AK Steel Corp. 152,129 2,871
- - MP3.com, Inc. 90,600 2,871
- - Lear Corp. 89,656 2,869
Allegheny Technologies Inc. 127,461 2,860
- - Hyperion Solutions Corp. 65,630 2,855
Harris Corp. 106,914 2,853
Alliant Energy Corp. 103,582 2,849
Sunoco, Inc. 120,918 2,842
- - F5 Networks, Inc. 24,900 2,839
Johns Manville Corp. 202,500 2,835
- - Active Software, Inc. 30,800 2,834
- - Time Warner Telecom Inc. 56,700 2,831
- - Allscripts, Inc. 64,300 2,829
- - Bluestone Software Inc. 24,600 2,829
True North Communications 63,300 2,829
- - DSP Group Inc. 30,400 2,827
- - Quintiles Transnational Corp. 151,218 2,826
The St. Joe Co. 116,100 2,823
Hillenbrand Industries, Inc. 89,000 2,820
Boston Properties, Inc. REIT 90,600 2,820
- - Project Software &
Development, Inc. 50,800 2,819
- - Acxiom Corp. 117,378 2,817
- - Emmis Communications, Inc. 22,600 2,817
- - Valuevision International, Inc.
Class A 49,100 2,814
American Water Works Co., Inc. 132,400 2,814
Travelers Property Casualty Corp. 82,100 2,812
The Timber Co. 114,098 2,810
McCormick & Co., Inc. 94,417 2,809
TCF Financial Corp. 112,862 2,807
Meredith Corp. 67,304 2,806
Eastern Enterprises 48,816 2,804
Autodesk, Inc. 82,975 2,800
- - SilverStream Software, Inc. 23,500 2,797
- - Adtran, Inc. 54,300 2,793
Deluxe Corp. 101,609 2,788
Kimco Realty Corp. REIT 82,250 2,786
FirstMerit Corp. 120,841 2,779
Shaw Industries, Inc. 179,800 2,776
SEI Corp. 23,300 2,773
- - Viant Corp. 28,000 2,772
Commerce Bancshares, Inc. 81,597 2,764
Legg Mason Inc. 76,200 2,762
- - Catalina Marketing Corp. 23,860 2,762
- - CSG Systems International, Inc. 69,200 2,759
CTS Corp. 36,600 2,759
- - Burr-Brown Corp. 76,213 2,753
Erie Indemnity Co. Class A 84,800 2,745
- - CommScope, Inc. 68,032 2,743
- - ePlus Inc. 76,000 2,736
- - On2.com Inc. 94,000 2,726
- - MidAmerican Energy Holdings Co. 80,800 2,722
- - Primus Telecommunications
Group, Inc. 70,800 2,708
- - Genesys Telecommunications
Laboratories, Inc. 50,100 2,705
MCN Energy Group Inc. 113,900 2,705
- - Flycast Communications Corp. 20,800 2,703
Homestake Mining Co. 345,939 2,703
- - Invitrogen Corp. 45,000 2,700
Protective Life Corp. 84,600 2,691
- - MICROS Systems, Inc. 36,300 2,686
- - Gentex Corp. 96,448 2,676
- - ImClone Systems, Inc. 67,500 2,675
- - Be Free, Inc. 37,200 2,674
Brunswick Corp. 119,419 2,657
Cummins Engine Co., Inc. 54,974 2,656
Hertz Corp. Class A 52,900 2,652
- - Sanchez Computer
Associates, Inc. 64,320 2,649
- - Silicon Valley Bancshares 53,400 2,643
- - National Instruments Corp. 68,900 2,635
- - Intermedia Communications Inc. 67,800 2,631
- - Citadel Communications Corp. 40,500 2,627
ICN Pharmaceuticals, Inc. 103,791 2,627
Tidewater Inc. 72,900 2,624
- - Eagle USA Airfreight, Inc. 60,750 2,620
- - Lincare Holdings, Inc. 75,400 2,615
- - Sirius Satellite Radio, Inc. 58,700 2,612
- - Tritel, Inc. 82,400 2,611
- - Broadbase Software Inc. 23,200 2,610
- - CAIS Internet, Inc. 73,500 2,609
- - Outback Steakhouse 100,500 2,607
- - Aspect Communications Corp. 66,600 2,606
- - MicroStrategy Inc. 12,400 2,604
IMC Global Inc. 158,906 2,602
- - Interliant Inc. 100,000 2,600
Ultramar Diamond
Shamrock Corp. 114,568 2,599
</TABLE>
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - AnswerThink Consulting
Group, Inc. 75,700 $ 2,593
- - Oak Industries, Inc. 24,400 2,589
- - Spyglass, Inc. 68,100 2,582
R.J. Reynolds Tobacco
Holdings, Inc. 145,498 2,564
PerkinElmer, Inc. 61,391 2,559
Martin Marietta Materials, Inc. 62,226 2,551
- - Mediaplex, Inc. 40,498 2,541
- - WorldGate Communications, Inc. 53,300 2,535
Adolph Coors Co. Class B 48,257 2,533
Jones Pharma, Inc. 58,300 2,532
Service Corp. International 364,661 2,530
Host Marriott Corp. REIT 306,613 2,530
Southdown, Inc. 48,936 2,526
Whitman Corp. 187,725 2,523
- - Asyst Technologies, Inc. 38,444 2,520
- - Digital Microwave Corp. 107,454 2,518
Pittway Corp. Class A 56,168 2,517
- - Williams Communications
Group, Inc. 86,800 2,512
Tektronix, Inc. 64,590 2,511
- - Acacia Research Corp. 83,800 2,509
International Game Technology 123,302 2,505
- - TranSwitch Corp. 34,500 2,503
- - Credence Systems Corp. 28,900 2,500
- - Northwest Airlines Corp. Class A 112,300 2,499
- - Aether Systems, Inc. 34,885 2,499
Cornerstone Properties, Inc. REIT 170,500 2,494
- - Packeteer, Inc. 35,100 2,492
- - MIPS Technologies, Inc. 47,900 2,491
Dallas Semiconductor Corp. 38,600 2,487
- - Techne 45,100 2,483
- - Storage Technology Corp. 134,010 2,471
UtiliCorp United, Inc. 126,950 2,468
- - Fairchild Semiconductor Corp. 82,819 2,464
- - Ancor Communications, Inc. 36,200 2,457
- - Sykes Enterprises, Inc. 55,900 2,453
- - Mandalay Resort Group 121,841 2,452
- - Kulicke & Soffa Industries, Inc. 57,600 2,452
- - Liberty Digital, Inc. 33,000 2,450
Lafarge Corp. 88,600 2,448
Herman Miller, Inc. 106,316 2,445
Thomas & Betts Corp. 76,351 2,434
CCB Financial Corp. 55,766 2,429
Bemis Co., Inc. 69,649 2,429
- - Marimba, Inc. 52,500 2,418
- - Webvan Group Inc. 146,500 2,417
Wesco Financial Corp. 9,852 2,414
The McClatchy Co. Class A 55,775 2,412
- - Silicon Image, Inc. 34,350 2,407
Pentair, Inc. 62,450 2,404
- - Howmet International Inc. 133,000 2,402
- - Calico Commerce Inc. 45,300 2,401
- - Adelphia Business Solutions, Inc. 50,000 2,400
- - Dendrite International, Inc. 70,800 2,398
- - Digex, Inc. 34,700 2,386
- - Silicon Graphics, Inc. 243,021 2,385
Hibernia Corp. Class A 222,584 2,365
Old Republic International Corp. 173,546 2,365
- - Pactiv Corp. 222,407 2,363
National Fuel Gas Co. 50,700 2,358
- - Technology Solutions Co. 71,975 2,357
- - Consolidated Stores, Inc. 144,699 2,351
- - Cymer, Inc. 51,100 2,351
- - Electro Scientific Industries, Inc. 32,200 2,351
- - FMC Corp. 40,968 2,348
Valspar Corp. 56,000 2,345
- - Rowan Cos., Inc. 107,984 2,342
Metricom 29,700 2,335
Millipore Corp. 60,409 2,333
Sotheby's Holdings Class A 77,700 2,331
Radian Group, Inc. 48,726 2,327
- - Wireless Facilities, Inc. 53,200 2,321
Georgia Gulf Corp. 75,968 2,312
- - MindSpring Enterprises, Inc. 87,200 2,303
- - ESS Technology, Inc. 103,760 2,302
- - Progress Software Corp. 40,550 2,301
- - Getty Images, Inc. 47,000 2,297
Snap-On Inc. 86,051 2,286
AMB Property Corp. REIT 114,500 2,283
- - Zale Corp. 47,100 2,278
- - BISYS Group, Inc. 34,900 2,277
- - go.com 95,565 2,276
Reynolds & Reynolds Class A 101,000 2,273
Ryder System, Inc. 92,782 2,267
- - Wink Communications, Inc. 37,700 2,264
- - Amphenol Corp. 34,000 2,263
- - Timberland Co. 42,800 2,263
Lubrizol Corp. 73,267 2,262
Dime Bancorp, Inc. 149,460 2,261
- - Keynote Systems Inc. 30,630 2,259
- - Perot Systems Corp. 118,800 2,257
20th Century Industries of CA 116,600 2,252
- - Manor Care, Inc. 139,998 2,240
- - Object Design, Inc. 154,300 2,237
Waddell & Reed Financial, Inc.
Class B 89,001 2,236
- - Pinnacle Holdings Inc. REIT 52,600 2,229
Nabisco Holdings Corp. Class A 70,400 2,226
- - PRI Automation, Inc. 33,100 2,222
The Times Mirror Co. PEPS 17,900 2,219
CNF Transportation, Inc. 64,299 2,218
- - Allied Waste Industries, Inc. 251,721 2,218
- - National Information
Consortium, Inc. 69,200 2,214
- - U.S. Foodservice 132,200 2,214
Solutia, Inc. 143,413 2,214
- - Illuminet Holdings, Inc. 40,200 2,211
Fastenal Co. 49,100 2,206
- - Informatica Corp. 20,700 2,202
- - New Era of Networks, Inc. 46,200 2,200
- - NetIQ Corp. 42,200 2,197
BancWest Corp. 112,600 2,196
GATX Corp. 65,000 2,194
- - Pixar, Inc. 62,000 2,193
Puget Sound Energy Inc. 113,163 2,193
- - Netegrity, Inc. 38,500 2,192
Valley National Bancorp 78,161 2,189
American National Insurance Co. 34,300 2,187
IBP, Inc. 120,800 2,174
- - Vicor Corp. 53,619 2,172
</TABLE>
16
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Financial Security Assurance
Holdings Ltd. 41,600 $ 2,168
Sovereign Bancorp, Inc. 290,076 2,162
Diebold, Inc. 91,996 2,162
Astoria Financial Corp. 70,995 2,161
Provident Financial Group, Inc. 60,150 2,158
Federated Investors, Inc. 107,500 2,157
- - Cysive, Inc. 29,900 2,155
- - Carrier Access Corp. 31,900 2,147
C.H. Robinson Worldwide, Inc. 54,000 2,147
- - Zebra Technologies Corp. Class A 36,600 2,141
- - Precision Response Corp. 88,200 2,139
- - Ciber, Inc. 77,700 2,137
- - Track Data Corp. 209,600 2,135
- - Biotechnology General 139,800 2,132
Hubbell Inc. Class B 78,200 2,131
- - Enzon, Inc. 49,100 2,130
- - ITC DeltaCom, Inc. 77,000 2,127
- - Andrx Corp. 50,200 2,124
- - LCC International, Inc. Class A 106,500 2,123
- - Apollo Group, Inc. Class A 105,812 2,123
Ross Stores, Inc. 118,024 2,117
Liberty Property Trust REIT 87,200 2,115
- - Ziff-Davis Inc. 133,700 2,114
- - Mohawk Industries, Inc. 80,100 2,113
- - Rambus Inc. 31,300 2,111
- - Pegasus Systems Inc. 34,900 2,105
- - Vertex Pharmaceuticals, Inc. 60,000 2,100
- - Valence Technology 110,500 2,100
Sky Financial Group, Inc. 104,096 2,095
Wilmington Trust Corp. 43,400 2,094
- - Ixnet, Inc. 69,500 2,094
- - Interim Services, Inc. 84,590 2,094
American Greetings Corp. Class A 88,419 2,089
- - Andrew Corp. 110,134 2,086
American Financial Group, Inc. 79,000 2,084
- - Banyan Systems, Inc. 104,100 2,082
Flowers Industries, Inc. 130,625 2,082
- - Network Peripherals, Inc. 44,000 2,079
Conectiv, Inc. 123,575 2,078
- - Cognex Corp. 53,000 2,067
- - ZixIt Corp. 52,075 2,063
- - InterVoice-Brite, Inc. 87,188 2,063
- - Brinker International, Inc. 85,529 2,053
CK Witco Corp. 153,410 2,052
- - Drugstore.com, Inc. 56,600 2,048
- - Cygnus Inc. 112,212 2,048
- - TALK.com, Inc. 115,200 2,045
- - Pacific Sunwear of California 64,125 2,044
Peoples Heritage Financial
Group Inc. 135,482 2,041
- - Learning Tree International, Inc. 72,700 2,036
- - Immunomedics Inc. 166,100 2,035
- - Price Communications Corp. 73,000 2,030
Dean Foods Corp. 51,067 2,030
Weis Markets, Inc. 46,600 2,027
- - Veeco Instruments, Inc. 43,300 2,027
Alpharma, Inc. Class A 65,700 2,020
- - Manugistics Group, Inc. 62,500 2,020
- - Quintus Corp. 43,900 2,014
- - Pegasus Communications
Corp. Class A 20,600 2,014
Trustmark Corp. 93,100 2,012
Lyondell Chemical Co. 157,650 2,010
- - Sagent Technology, Inc. 67,000 2,006
- - Tularik, Inc. 60,800 2,006
- - Exchange Applications, Inc. 35,800 2,000
Millennium Chemicals, Inc. 100,882 1,992
OGE Energy Corp. 104,800 1,991
- - Pharmacopeia, Inc. 87,800 1,986
Metris Cos., Inc. 55,646 1,986
Louisiana-Pacific Corp. 139,114 1,982
- - Ardent Software, Inc. 50,814 1,982
- - Source Media, Inc. 107,100 1,981
- - infoUSA Inc. 142,032 1,980
- - NETRIX Corp. 132,500 1,979
Federal-Mogul Corp. 98,200 1,976
- - Kronos, Inc. 32,900 1,974
Worthington Industries, Inc. 118,936 1,970
- - PC-Tel, Inc. 37,500 1,969
- - Wind River Systems Inc. 53,532 1,967
Rouse Co. REIT 92,500 1,966
- - Caliper Technologies Corp. 29,380 1,961
Pacific Century Financial Corp. 104,900 1,960
Beckman Coulter, Inc. 38,529 1,960
Mack-Cali Realty Corp. REIT 75,200 1,960
- - Level 8 Systems Inc. 56,700 1,960
NICOR, Inc. 60,278 1,959
- - Aspen Technologies, Inc. 73,900 1,954
- - Tut Systems, Inc. 36,400 1,952
- - Black Box Corp. 29,100 1,950
- - AmeriSource Health Corp. 128,192 1,947
- - FileNet Corp. 76,300 1,946
- - Hearst-Argyle Television Inc. 72,956 1,942
- - Rare Medium Group, Inc. 56,900 1,942
- - Fisher Scientific International Inc. 53,700 1,940
- - Payless ShoeSource, Inc. 41,244 1,938
- - PanAmSat Corp. 32,630 1,937
Old National Bancorp 59,689 1,936
- - Southern Union Co. 101,179 1,935
- - Cambridge Technology Partners 73,600 1,932
- - Santa Fe Snyder Corp. 241,062 1,928
- - Administaff, Inc. 63,700 1,927
Fremont General Corp. 260,894 1,924
- - Provident American Corp. 54,600 1,921
- - AppNet, Inc. 43,900 1,921
City National Corp. 58,287 1,920
Hollinger International, Inc. 148,300 1,919
Olsten Corp. 169,425 1,917
- - ACNielson Corp. 77,793 1,916
Harte-Hanks, Inc. 88,000 1,914
- - Interleaf, Inc. 56,833 1,911
- - Stamps.Com Inc. 45,900 1,911
Post Properties, Inc. REIT 49,900 1,909
- - Plexus Corp. 43,340 1,907
- - Barnes & Noble, Inc. 92,452 1,907
- - Focal Communications Corp. 78,900 1,903
Lee Enterprises, Inc. 59,526 1,901
- - Snyder Communications, Inc. 98,549 1,897
Centex Corp. 76,756 1,895
Health Care Properties
Investors REIT 79,128 1,889
- - Catellus Development Corp. 147,200 1,886
</TABLE>
17
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<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Sierra Pacific Resources 108,908 $ 1,885
New Plan Excel Realty Trust REIT 119,132 1,884
- - JNI Corp. 28,500 1,881
IPALCO Enterprises, Inc. 110,100 1,879
U.S. Trust Corp. 23,402 1,877
- - LTX Corp. 83,688 1,873
General Growth Properties
Inc. REIT 66,800 1,870
Church & Dwight, Inc. 70,000 1,868
Florida East Coast Railway Co. 44,700 1,866
Brady Corp. Class A 54,800 1,860
- - Terayon Communications
Systems, Inc. 29,600 1,859
- - Sybase, Inc. 109,220 1,857
- - AVT Corp. 39,500 1,857
- - Patterson Dental Co. 43,550 1,856
- - TenFold Corp. 46,463 1,856
- - HotJobs.com Ltd. 42,400 1,852
- - Oak Technology, Inc. 196,200 1,852
- - Uniroyal Technology Corp. 72,500 1,849
- - BSQUARE Corp. 44,000 1,845
Gartner Group, Inc. Class A 121,000 1,845
Highwood Properties, Inc. REIT 79,300 1,844
Alberto-Culver Co. Class B 71,413 1,843
- - Visio Corp. 38,800 1,843
Applied Power, Inc. 50,105 1,841
- - Modis Professional Services Inc. 129,153 1,840
- - Insight Communications Co., Inc. 62,100 1,840
Roslyn Bancorp, Inc. 99,395 1,839
- - Tuboscope Inc. 115,600 1,835
- - 24/7 Media, Inc. 32,600 1,834
- - Humana, Inc. 223,849 1,833
- - First Health Group Corp. 68,066 1,829
- - IDX Systems Corp. 58,500 1,828
- - LHS Group, Inc. 74,400 1,827
- - L-3 Communications Holdings, Inc. 43,900 1,827
Central Newspapers, Inc. 46,400 1,827
- - Iron Mountain, Inc. 46,450 1,826
Carter-Wallace, Inc. 101,800 1,826
Arthur J. Gallagher & Co. 28,200 1,826
Talbots Inc. 40,900 1,825
- - EarthLink Network, Inc. 42,900 1,823
- - Expedia Inc. 52,040 1,821
- - eShare Technologies, Inc. 106,600 1,819
- - Cor Therapeutics, Inc. 67,600 1,817
- - NBC Internet, Inc. Class A 23,500 1,815
- - Remedy Corp. 38,300 1,814
Penton Media, Inc. Class A 75,434 1,810
- - Midway Games Inc. 75,466 1,806
The MONY Group Inc. 61,800 1,804
- - Zomax Inc. 39,800 1,801
- - Apria Healthcare 100,400 1,801
Rayonier Inc. 37,271 1,801
Cullen/Frost Bankers, Inc. 69,900 1,800
- - Tech Data Corp. 66,322 1,799
- - Photronics Labs Inc. 62,704 1,795
Armstrong World Industries Inc. 53,756 1,794
CarrAmerica Realty Corp. REIT 84,900 1,794
- - International Rectifier Corp. 68,800 1,789
- - California Amplifier, Inc. 67,860 1,786
Hudson United Bancorp 69,656 1,781
- - Presstek, Inc 128,300 1,780
- - NextCard, Inc. 61,615 1,779
JLG Industries, Inc. 111,800 1,775
Inter-Tel, Inc. 70,900 1,773
Kansas City Power & Light Co. 80,200 1,769
- - Metamor Worldwide, Inc. 60,725 1,769
- - Advanced Energy Industries, Inc. 35,900 1,768
Shared Medical Systems Corp. 34,692 1,767
Leucadia National Corp. 76,400 1,767
- - Thermo Instrument Systems, Inc. 158,572 1,764
- - The Profit Recovery Group
International, Inc. 66,400 1,764
- - American Management
Systems, Inc. 56,200 1,763
Media General, Inc. Class A 33,900 1,763
Cabot Corp. 86,468 1,762
Lancaster Colony Corp. 53,182 1,762
- - Alleghany Corp. 9,495 1,761
- - AmeriCredit Corp. 95,100 1,759
WFS Financial, Inc. 83,250 1,759
UST Corp. 55,294 1,756
- - Maverick Tube Corp. 71,000 1,753
- - SuperGen, Inc. 59,400 1,745
Cordant Technologies, Inc. 52,800 1,742
- - Digital River, Inc. 52,300 1,742
Callaway Golf Co. 98,500 1,742
- - The Neiman Marcus Group,
Inc. Class A 62,345 1,742
- - Antec Corp. 47,700 1,741
Peoples Bank Bridgeport 82,350 1,740
- - MemberWorks, Inc. 52,400 1,739
- - INSO Corp. 53,900 1,738
- - CompuCredit Corp. 45,100 1,736
Eaton Vance Corp. 45,600 1,733
Crane Co. 87,104 1,731
- - Hot Topic, Inc. 74,400 1,730
- - Universal Electronics, Inc. 37,500 1,725
- - ICOS Corp. 58,900 1,723
- - Suiza Foods Corp. 43,400 1,720
- - Priority Healthcare Corp. Class B 59,200 1,713
- - Marine Drilling Co., Inc. 76,300 1,712
- - Integrated Systems, Inc. 51,000 1,712
- - Hanover Compressor Co. 45,300 1,710
Franchise Finance Corp. of
America REIT 71,400 1,709
Meritor Automotive, Inc. 88,066 1,706
Interstate Bakeries Corp. 94,135 1,706
Clayton Homes Inc. 185,695 1,706
HON Industries, Inc. 77,700 1,705
Jostens Inc. 69,963 1,701
- - Breakaway Solutions, Inc. 23,300 1,701
- - Hadco Corp. 33,349 1,701
Reinsurance Group of
America, Inc. 61,275 1,700
Ethan Allen Interiors, Inc. 52,840 1,694
- - Power Integrations, Inc. 35,300 1,692
- - Argosy Gaming Co. 108,600 1,690
Dexter Corp. 42,500 1,689
Investors Financial Services Corp. 36,700 1,688
- - The Topps Co., Inc. 162,697 1,688
- - United Rentals, Inc. 98,507 1,687
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Cerner Corp. 85,570 $ 1,685
- - Sensormatic Electronics Corp. 96,538 1,683
- - Prodigy Communications Corp. 86,600 1,678
- - CyberSource Corp. 32,400 1,677
- - Devry, Inc. 89,900 1,674
Washington Gas Light Corp. 60,798 1,672
U.S. Industries, Inc. 119,414 1,672
- - SciQuest.com, Inc. 21,000 1,670
- - ONYX Software Corp. 45,100 1,669
Florida Rock Industries, Inc. 48,400 1,667
Houghton Mifflin Co. 39,500 1,666
- - Mueller Industries Inc. 45,868 1,663
Hooper Holmes, Inc. 64,500 1,661
Hudson City Bancorp, Inc. 123,500 1,660
- - Ditech Communications Corp. 17,730 1,658
- - AnnTaylor Stores Corp. 48,100 1,656
- - Whole Foods Market, Inc. 35,600 1,651
- - Ocean Energy, Inc. 212,286 1,645
- - Kent Electronics Corp. 72,300 1,645
Minnesota Power, Inc. 97,100 1,645
- - Insituform Technologies Class A 58,200 1,644
Centura Banks, Inc. 37,218 1,642
- - Imation Corp. 48,900 1,641
- - ArthroCare Corp. 26,900 1,641
- - Mastec Inc. 36,867 1,641
Corn Products International, Inc. 49,961 1,636
- - Trimble Navigation Ltd. 75,600 1,635
Harsco Corp. 51,468 1,634
- - Concentric Network Corp. 52,900 1,630
USFreightways Corp. 34,000 1,628
- - Artisoft, Inc. 90,104 1,622
- - International Home Foods, Inc. 93,300 1,621
- - Syntel, Inc. 99,850 1,616
- - CenterSpan Communications Corp. 49,900 1,616
Arden Realty Group, Inc. REIT 80,400 1,613
Chittenden Corp. 54,371 1,611
- - Borders Group, Inc. 100,200 1,609
Spartech Corp. 49,900 1,609
- - OnDisplay, Inc. 17,700 1,608
- - Trigon Healthcare, Inc. 54,500 1,608
Fulton Financial Corp. 89,256 1,607
Essex Property Trust, Inc. REIT 47,234 1,606
- - Harbinger Corp. 50,475 1,606
- - Integrated Silicon Solution, Inc. 96,900 1,605
- - Tanning Technology Corp. 27,200 1,603
Potlatch Corp. 35,912 1,603
- - Ralcorp Holdings, Inc. 80,357 1,602
- - R.H. Donnelley Corp. 84,842 1,601
- - Digital Impact, Inc. 31,900 1,599
- - SportsLine.com, Inc. 31,900 1,599
- - AppliedTheory Corp. 57,600 1,598
- - S3, Inc. 138,208 1,598
Valhi, Inc. 152,100 1,597
- - GlobeSpan, Inc. 24,496 1,595
DENTSPLY International Inc. 67,500 1,595
- - Avigen, Inc. 51,400 1,593
- - Haemonetics Corp. 66,900 1,593
- - TiVo Inc. 47,200 1,593
- - MMC Networks, Inc. 46,300 1,592
FelCor Lodging Trust, Inc. REIT 90,929 1,591
Briggs & Stratton Corp. 29,655 1,590
- - Advanced Digital
Information Corp. 32,700 1,590
- - Sicor, Inc. 205,014 1,589
- - Alkermes, Inc. 32,300 1,587
- - Concord Communications, Inc. 35,700 1,584
Cooper Tire & Rubber Co. 101,683 1,582
The Timken Co. 77,380 1,581
Investment Technology Group, Inc. 54,975 1,581
- - ChoicePoint Inc. 38,174 1,579
Texas Industries, Inc. 37,100 1,579
- - Cellstar Corp. 159,600 1,576
Questar Corp. 104,970 1,575
Graco, Inc. 43,847 1,573
- - ITXC Corp. 46,680 1,570
Carpenter Technology Corp. 57,200 1,569
- - Men's Wearhouse, Inc. 53,325 1,566
Claire's Stores, Inc. 69,900 1,564
Eastern Utilities Associates 51,471 1,560
Noble Affiliates, Inc. 72,764 1,560
- - Allied Riser Communications Corp. 75,300 1,558
Raytheon Co. Class A 62,770 1,557
- - Kenneth Cole Productions, Inc. 34,000 1,556
- - HS Resources Inc. 90,001 1,553
Mercury General Corp. 69,700 1,551
- - World Access, Inc. 80,561 1,551
- - Hollywood Park, Inc. 69,100 1,550
- - Foundation Health Systems
Class A 155,978 1,550
- - Lifecore Biomedical Inc. 73,300 1,548
National Computer Systems, Inc. 41,100 1,546
Wellman, Inc. 82,945 1,545
- - Blyth Industries, Inc. 62,800 1,543
Kaufman & Broad Home Corp. 63,692 1,541
- - Shorewood Packaging Corp. 81,300 1,540
Teleflex Inc. 49,126 1,538
Roper Industries Inc. 40,628 1,536
- - Speedway Motorsports, Inc. 55,200 1,535
- - FirstCom Corp. 41,700 1,532
Manufactured Home
Communities, Inc. REIT 63,000 1,532
Trinity Industries, Inc. 53,850 1,531
- - O'Reilly Automotive, Inc. 71,200 1,531
- - Universal Health Services Class B 42,500 1,530
National Service Industries, Inc. 51,863 1,530
- - Powerwave Technologies, Inc. 26,100 1,524
Western Resources, Inc. 89,598 1,523
- - Medicis Pharmaceutical Corp. 35,762 1,522
HRPT Properties Trust REIT 168,400 1,516
- - Linens 'n Things, Inc. 51,100 1,514
- - Cybex Computer Products Corp. 37,350 1,513
- - Commonwealth Telephone
Enterprises, Inc. 28,600 1,512
- - Celgene Corp. 21,600 1,512
- - Gadzoox Networks, Inc. 34,700 1,512
- - Digene Corp. 86,600 1,510
Regency Realty Corp. REIT 75,500 1,510
- - Affiliated Managers Group, Inc. 37,300 1,508
One Valley Bancorp of
West Virginia Inc. 49,250 1,508
Ball Corp. 38,280 1,507
Peoples Energy Corp. 44,982 1,507
</TABLE>
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<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
CFW Communications Co. 43,100 $ 1,498
- - InsWeb Corp. 58,550 1,497
- - Stillwater Mining Co. 46,850 1,493
- - The SABRE Group Holdings, Inc. 29,100 1,491
- - Newfield Exploration Co. 55,700 1,490
Elcor Corp. 49,450 1,490
- - Geoworks 88,900 1,489
- - Lone Star Technologies, Inc. 53,400 1,489
- - Plantronics, Inc. 20,800 1,489
- - Accrue Software, Inc. 27,500 1,488
Bergen Brunswig Corp. Class A 178,881 1,487
- - Polo Ralph Lauren Corp. 87,100 1,486
Colonial BancGroup, Inc. 142,760 1,481
Starwood Financial Inc. REIT 87,446 1,481
- - Transkaryotic Therapies, Inc. 38,400 1,478
- - Egghead.com, Inc. 91,293 1,478
Fair Issac & Co. 27,800 1,473
Ruby Tuesday, Inc. 80,874 1,471
Camden Property Trust REIT 53,700 1,470
Hartford Life, Inc. 33,400 1,470
- - Furniture Brands International Inc. 66,700 1,467
- - Swift Transportation Co., Inc. 83,100 1,465
- - Luminant Worldwide Corp. 32,100 1,461
- - Quantum Corp.- Hard Disk Drive 209,600 1,454
Centex Construction Products, Inc. 37,200 1,451
Liberty Financial Cos., Inc. 63,200 1,450
Washington Federal Inc. 73,371 1,449
National Data Corp. 42,611 1,446
Forest City Enterprise Class A 51,500 1,442
- - Journal Register Co. 93,400 1,442
Helmerich & Payne, Inc. 66,095 1,442
- - NBTY, Inc. 124,600 1,441
Air Express International Corp. 44,500 1,438
Allied Capital Corp. 78,500 1,438
Valero Energy Corp. 72,300 1,437
- - Dollar Thrifty Automotive
Group, Inc. 59,900 1,434
Wicor, Inc. 49,100 1,433
Telxon Corp. 89,500 1,432
- - Primark Corp. 51,469 1,431
Park National Corp. 14,910 1,431
- - Micron Electronics, Inc. 128,500 1,430
RPM Inc. (Ohio) 139,562 1,422
Commerce Bancorp, Inc. 35,127 1,420
- - Network Plus Corp. 67,600 1,420
- - The Liposome Co., Inc. 116,261 1,419
- - Sipex Corp. 57,700 1,417
United Asset Management Corp. 76,300 1,416
- - Alpha Industries, Inc. 24,700 1,416
Equitable Resources, Inc. 42,400 1,415
Jack Henry & Associates 26,300 1,412
Cousins Properties, Inc. REIT 41,583 1,411
- - Smithfield Foods, Inc. 58,800 1,411
- - Safety-Kleen Corp. 124,729 1,411
- - K-V Pharmaceutical Co. Class A 64,150 1,407
S & T Bancorp, Inc. 60,600 1,405
Everest Reinsurance Holdings, Inc. 62,900 1,403
WestAmerica Bancorporation 50,200 1,402
Technitrol, Inc. 31,500 1,402
First Midwest Bancorp 52,890 1,402
- - Dycom Industries, Inc. 31,800 1,401
- - Multex.com Inc. 37,200 1,400
John Nuveen Co. Class A 38,800 1,399
Carlisle Co., Inc. 38,854 1,399
- - Neuberger Berman Inc. 56,200 1,398
Tootsie Roll Industries, Inc. 42,438 1,398
York International Corp. 50,800 1,394
MDU Resources Group, Inc. 69,600 1,392
Harman International
Industries, Inc. 24,777 1,391
Donaldson Co., Inc. 57,600 1,386
- - Insight Enterprises, Inc. 34,100 1,385
- - Labor Ready, Inc. 114,150 1,384
SIG Corp. 60,800 1,383
Owens Corning 71,596 1,383
Omnicare, Inc. 115,200 1,382
Northwest Natural Gas Co. 62,900 1,380
- - Bethlehem Steel Corp. 164,638 1,379
Kennametal, Inc. 41,000 1,379
Commercial Federal Corp. 77,383 1,378
- - Young Broadcasting Inc. 27,000 1,377
- - Lands' End, Inc. 39,600 1,376
Webster Financial Corp. 58,268 1,373
- - Patterson Energy, Inc. 105,600 1,373
- - Phoenix Technologies LTD. 86,802 1,373
- - NFO Worldwide, Inc. 61,278 1,371
- - Ampex Corp. Class A 252,100 1,371
Hospitality Properties Trust REIT 71,900 1,371
Airborne Freight Corp. 62,180 1,368
- - Oxford Health Plan 107,800 1,368
First Industrial Realty Trust REIT 49,800 1,366
United Television, Inc. 9,900 1,363
- - Chico's Fas, Inc. 36,214 1,363
Borg-Warner Automotive, Inc. 33,489 1,356
Indiana Energy, Inc. 76,400 1,356
- - Louis Dreyfus Natural Gas Corp. 74,560 1,351
- - Renal Care Group, Inc. 57,700 1,349
- - Varco International, Inc. 132,144 1,346
- - TCI Satellite Entertainment, Inc.
Class A 84,106 1,346
- - CEC Entertainment Inc. 47,400 1,345
- - West TeleServices Corp. 55,000 1,344
COMSAT Corp. 67,594 1,343
- - Quest Diagnostics, Inc. 43,956 1,343
- - Caremark Rx, Inc. 265,148 1,342
- - American Classic Voyager Co. 38,300 1,341
Great Atlantic & Pacific
Tea Co., Inc. 48,080 1,340
- - Imperial Bancorp 55,486 1,339
- - Zoll Medical Corp. 35,000 1,337
United Bankshares, Inc. 55,950 1,336
Citizens Banking Corp. 59,672 1,335
- - ADAC Laboratories 124,200 1,335
- - Preview Systems, Inc. 20,580 1,335
- - Delphi Financial Group, Inc. 44,498 1,335
- - CapRock Communications Corp. 41,100 1,333
Advanta Corp. Class A 72,939 1,331
Foremost Corp. of America 46,900 1,331
- - Azurix Corp. 148,800 1,330
- - Cytec Industries, Inc. 57,454 1,329
- - NorthEast Optic Network, Inc. 21,200 1,326
- - Scholastic Corp. 21,300 1,325
</TABLE>
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<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
IDACORP, Inc. 49,400 $ 1,325
First Financial Bancorp 61,885 1,323
Chicago Title Corp. 28,592 1,322
Keystone Financial, Inc. 62,743 1,322
Block Drug Co. Class A 42,610 1,321
- - Romac International, Inc. 98,283 1,321
IndyMac Mortgage Holdings, Inc. 103,400 1,318
- - GraphOn Corp. 71,200 1,317
United Dominion Realty
Trust REIT 133,300 1,316
IKON Office Solutions, Inc. 193,078 1,315
Dover Downs Entertainment, Inc. 69,700 1,307
E.W. Blanch Holdings, Inc. 21,300 1,305
- - Electroglas, Inc. 51,400 1,304
Walden Residential Properties,
Inc. REIT 60,300 1,304
- - MarketWatch.com, Inc. 35,700 1,303
Universal Foods Corp. 63,914 1,302
Greif Brothers Corp. Class A 43,700 1,300
- - Alliance Semiconductor Corp. 77,900 1,300
Chateau Communities, Inc. REIT 50,100 1,299
- - NetManage, Inc. 262,863 1,298
Weingarten Realty Investors REIT 33,300 1,297
- - Workflow Management, Inc. 45,267 1,296
CMP Group Inc. 47,000 1,295
- - Meridian Gold Co. 190,100 1,295
- - Catherines Stores 61,600 1,294
Washington REIT 86,000 1,290
John Wiley & Sons Class A 77,000 1,290
Mentor Corp. 49,881 1,288
- - BOK Financial Corp. 63,587 1,285
- - SEACOR SMIT Inc. 24,800 1,283
- - Pegasystems Inc. 114,000 1,283
- - Advanced Communications
Group, Inc. 94,000 1,281
- - eGain Communications Corp. 33,800 1,276
- - PairGain Technologies, Inc. 89,800 1,274
- - Maxygen 17,900 1,271
- - Columbia Sportswear Co. 59,100 1,271
- - AGENCY.COM Inc. 24,900 1,270
BRE Properties Inc. Class A REIT 55,940 1,269
Ohio Casualty Corp. 78,988 1,269
Tupperware Corp. 74,806 1,267
- - General Semiconductor, Inc. 89,289 1,267
- - Lynx Therapeutics Inc. 39,126 1,267
Michael Foods Group, Inc. 51,400 1,266
- - W.R. Grace & Co. 91,080 1,264
Heller Financial, Inc. 62,940 1,263
Longs Drug Stores, Inc. 48,906 1,262
Doral Financial Corp. 102,500 1,262
Pulte Corp. 56,085 1,262
- - Applix, Inc. 69,821 1,261
Gaylord Entertainment Co. Class A 42,119 1,261
- - Tekelec 56,000 1,260
- - SCM Microsystems, Inc. 19,700 1,260
- - WebTrends Corp. 15,500 1,256
- - Venator Group, Inc. 178,992 1,253
Bowne & Co., Inc. 92,800 1,253
- - MAXIMUS, Inc. 36,800 1,249
- - Global Industries Ltd. 144,500 1,246
Universal Corp. 54,600 1,246
Westcorp, Inc. 85,807 1,244
Westpoint Stevens, Inc. 71,086 1,244
- - Footstar Inc. 40,770 1,243
- - High Speed Access Corp. 68,800 1,238
- - Landstar System 28,900 1,237
- - V-One Corp. 210,462 1,236
SL Green Realty Corp. REIT 56,800 1,235
Sealed Air Corp. 24,451 1,235
- - 99 Cents Only Stores 32,275 1,235
Alexander & Baldwin, Inc. 54,100 1,234
Newport News Shipbuilding Inc. 44,857 1,234
- - MEMC Electronic Materials, Inc. 100,600 1,232
MacDermid, Inc. 29,961 1,230
- - TheStreet.com, Inc. 64,100 1,230
- - Cal Dive International, Inc. 37,100 1,229
- - Vintage Petroleum, Inc. 101,700 1,227
SJW Corp. 10,200 1,227
HSB Group Inc. 36,235 1,225
- - EntreMed, Inc. 47,800 1,225
- - Barrett Resources Corp. 41,600 1,225
Lennar Corp. 75,300 1,224
- - Safeskin Corp. 100,900 1,223
- - Charles River Associates Inc. 36,400 1,219
- - Value City Department Stores, Inc. 80,500 1,218
United National Bancorp 54,833 1,217
Roadway Express Inc. 56,258 1,217
- - RadiSys Corp. 23,850 1,216
Piedmont Natural Gas, Inc. 40,079 1,212
BancorpSouth, Inc. 74,300 1,212
- - Pre-Paid Legal Services, Inc. 50,500 1,212
Thor Industries, Inc. 39,700 1,208
- - ICG Communications, Inc. 64,394 1,207
- - Station Casinos, Inc. 53,800 1,207
- - Atlas Air, Inc. 43,950 1,206
Tecumseh Products Co. Class A 25,513 1,204
AGL Resources Inc. 70,800 1,204
Trustco Bank 90,708 1,202
- - Ames Department Stores, Inc. 41,700 1,201
- - Rainbow Technologies, Inc. 51,600 1,200
- - American Italian Pasta Co. 39,000 1,199
Dole Food Co. 73,800 1,199
- - ETEC Systems, Inc. 26,700 1,198
- - Alaska Air Group, Inc. 34,100 1,198
- - Agribrands International, Inc. 26,011 1,197
Urban Shopping Centers, Inc. REIT 44,100 1,196
Energen Corp. 66,200 1,196
- - Dionex Corp. 29,000 1,194
- - Airnet Communications Corp. 32,830 1,194
- - Latitude Communications, Inc. 45,700 1,194
Black Hills Corp. 53,800 1,194
- - Canandaigua Brands, Inc. Class A 23,308 1,189
- - Spiegel, Inc. Class A 169,000 1,188
Value Line, Inc. 33,000 1,188
- - iBasis, Inc. 41,300 1,187
Bank North Group 44,370 1,187
Hawaiian Electric Industries Inc. 41,065 1,186
- - IDT Corp. 62,800 1,185
- - Biomatrix, Inc. 61,566 1,185
- - Sinclair Broadcast Group, Inc. 97,100 1,185
- - Centigram Communications 70,700 1,184
JSB Financial 22,801 1,183
</TABLE>
21
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<CAPTION>
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MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - MedQuist, Inc. 45,800 $ 1,182
- - Transaction Systems
Architects, Inc. 42,200 1,182
Chelsea GCA Realty, Inc. REIT 39,700 1,181
Belden, Inc. 56,200 1,180
First Source Corp. 47,182 1,180
Capitol Federal Financial 120,900 1,179
Pogo Producing Co. 57,400 1,177
Lincoln Electric Holdings 56,848 1,172
- - Iomega Corp. 347,400 1,172
- - The Good Guys, Inc. 125,900 1,172
Longview Fibre Co. 82,230 1,172
- - Com21, Inc. 52,200 1,171
Summit Properties, Inc. REIT 65,400 1,169
- - Ingram Micro, Inc. 89,000 1,168
- - Barr Labs Inc. 37,200 1,167
Kelly Services, Inc. Class A 46,437 1,167
- - Cirrus Logic 87,500 1,165
- - American Freightways 71,904 1,164
- - Inprise Corp. 105,200 1,164
- - Net2Phone, Inc. 25,318 1,163
Harbor Florida Bancshares, Inc. 89,879 1,163
- - Too Inc. 67,391 1,162
- - Stone Energy Corp. 32,600 1,161
- - Handleman Co. 86,761 1,160
- - Pioneer Natural Resources Co. 129,600 1,158
- - Dal-Tile International Inc. 114,300 1,157
- - Choice Hotel International, Inc. 67,441 1,155
- - ParkerVision, Inc. 37,500 1,153
- - U.S. Home Corp. 45,100 1,153
- - Sonosite, Inc. 36,379 1,150
D. R. Horton, Inc. 83,180 1,149
Aptargroup Inc. 45,700 1,148
Carolina First Corp. 62,900 1,148
- - Pacific Gateway Exchange, Inc. 67,200 1,147
Jefferies Group, Inc. 52,100 1,146
ScottishPower PLC ADR 40,872 1,144
- - Mastech Corp. 46,200 1,143
- - Sunglass Hut International, Inc. 101,626 1,143
Westinghouse Air Brake Co. 64,338 1,142
- - Ampal-American Israel Corp. 122,800 1,136
Westfield America, Inc. REIT 92,100 1,134
- - Policy Management
Systems Corp. 44,340 1,133
- - ATMI, Inc. 34,200 1,131
IDEX Corp. 37,225 1,131
Cooper Cos., Inc. 37,500 1,130
- - Playtex Products, Inc. 73,400 1,129
Banta Corp. 50,000 1,128
Student Loan Corp. 22,600 1,127
P.H. Glatfelter Co. 77,400 1,127
- - National-Oilwell, Inc. 71,800 1,126
- - Hutchinson Technology, Inc. 53,000 1,126
- - Anchor Gaming 25,899 1,125
- - Alexander's, Inc. 14,223 1,124
- - Playboy Enterprises, Inc.
Class B 46,200 1,123
- - Bright Horizons Family
Solutions, Inc. 59,800 1,121
- - Rayovac Corp. 59,400 1,121
A. Schulman Inc. 68,693 1,121
Tenneco Automotive, Inc. 120,192 1,119
- - DBT Online Inc. 45,900 1,119
Hilb, Rogal and Hamilton Co. 39,600 1,119
Manitowac Co., Inc. 32,900 1,119
- - Penwest Pharmaceuticals Co. 73,236 1,117
- - Lanier Worldwide, Inc. 288,214 1,117
- - Markel Corp. 7,200 1,116
- - Vail Resorts Inc. 62,200 1,116
Polaroid Corp. 59,303 1,116
- - Kaiser Aluminum &
Chemical Corp. 145,000 1,115
- - Forest Oil Corp. 84,500 1,114
- - Acuson Corp. 88,612 1,113
- - Triad Guaranty, Inc. 48,900 1,112
- - Aurora Foods Inc. 119,400 1,112
- - Concurrent Computer Corp. 59,500 1,112
- - Sonic Corp. 38,925 1,109
Mark IV Industries, Inc. 62,689 1,109
- - School Specialty, Inc. 73,155 1,106
Bank United Corp. Class A 40,600 1,106
- - Mapics Inc. 87,500 1,105
Arch Chemicals, Inc. 52,750 1,104
Pultizer, Inc. 27,366 1,103
- - Bally Total Fitness Holding Corp. 41,300 1,102
- - The Yankee Candle Company, Inc. 67,550 1,102
- - TeleBanc Financial Corp. 42,300 1,100
Standard Pacific Corp. 99,900 1,099
FactSet Research Systems Inc. 13,800 1,099
Pittston Brink's Group 49,900 1,098
- - America West Holdings Corp.
Class B 52,900 1,098
TNP Enterprises, Inc. 26,600 1,097
La-Z-Boy Inc. 65,100 1,094
- - ProBusiness Services, Inc. 30,400 1,094
Kaydon Corp. 40,800 1,094
- - NCO Group, Inc. 36,299 1,094
- - Cadiz Inc. 115,100 1,093
F.N.B. Corp. 49,093 1,092
J.B. Hunt Transport Services, Inc. 78,747 1,090
Raymond James Financial, Inc. 58,312 1,090
- - FSI International, Inc. 94,700 1,089
- - Michaels Stores, Inc. 38,000 1,083
- - UCAR International, Inc. 60,800 1,083
- - Silicon Valley Group, Inc. 61,000 1,083
- - bebe stores, inc. 40,100 1,083
Commercial Metals Co. 31,900 1,083
- - Candela Corp. 58,100 1,082
Minerals Technologies, Inc. 27,000 1,082
UMB Financial Corp. 28,653 1,082
- - Southwest Bancorporation of
Texas, Inc. 54,400 1,078
Cleco Corp. 33,608 1,078
- - Fairfield Communities, Inc. 100,200 1,077
Downey Financial Corp. 53,300 1,076
First American Financial Corp. 86,400 1,075
Ogden Corp. 89,945 1,074
- - GTech Holdings Corp. 48,800 1,074
John H. Harland Co. 58,587 1,073
- - Catalytica, Inc. 79,100 1,073
Sodexho Marriott Services, Inc. 82,446 1,072
- - SPS Technologies, Inc. 33,552 1,072
</TABLE>
22
<PAGE> 71
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - DSL.Net, Inc. 74,200 $ 1,071
- - Optical Cable Corp. 53,500 1,070
Rollins Truck Leasing 89,600 1,070
- - Clayton Williams Energy, Inc. 90,500 1,069
- - Varian Semiconductor Equipment
Associates, Inc. 31,400 1,068
- - Bell & Howell Co. 33,500 1,066
- - Atwood Oceanics, Inc. 27,534 1,064
- - Advance Paradigm, Inc. 49,200 1,061
Libbey, Inc. 36,900 1,061
Westbanco Inc. 40,750 1,060
- - Hollywood Entertainment Corp. 73,029 1,059
- - Netmoves, Corp. 151,200 1,058
Skywest, Inc. 37,800 1,058
- - Preview Travel, Inc. 20,300 1,058
- - SITEL Corp. 151,000 1,057
- - Rogers Corp. 27,600 1,056
Applebee's International, Inc. 35,782 1,056
- - Scotts Co. 26,200 1,055
- - Standard Microsystem 97,500 1,054
- - Tickets.com, Inc. 73,600 1,053
Philadelphia Suburban Corp. 50,900 1,053
- - ResMed Inc. 25,200 1,052
CPI Corp. 46,600 1,051
- - Triarc Cos., Inc. Class A 57,200 1,051
Detroit Diesel Corp. 54,700 1,050
Rollins, Inc. 69,950 1,049
The Toro Co. 28,100 1,048
Arrow International, Inc. 36,100 1,047
OM Group, Inc. 30,400 1,047
Glenborough Realty Trust,
Inc. REIT 78,000 1,043
- - Versant Corp. 119,192 1,043
CONSOL Energy, Inc. 103,000 1,043
- - Jack in the Box Inc. 50,300 1,041
- - ADVO, Inc. 43,800 1,040
Horace Mann Educators Corp. 53,000 1,040
- - Micro Warehouse Inc. 56,100 1,038
- - Medco Research, Inc. 34,400 1,034
First Citizens BancShares
Class A 14,800 1,032
- - Creative Biomolecules, Inc. 208,900 1,031
Nationwide Financial
Services, Inc. 36,900 1,031
Fidelity National Financial, Inc. 71,690 1,031
Kimball International, Inc. Class B 62,300 1,028
- - Paradyne Networks, Inc. 37,700 1,027
- - Datastream Systems, Inc. 41,800 1,027
- - General DataComm
Industries, Inc. 154,500 1,024
American States Water Co. 28,400 1,022
- - e.spire Communications, Inc. 175,800 1,022
- - Summit Technology, Inc. 87,100 1,018
Federal Signal Corp. 63,362 1,018
MAF Bancorp, Inc. 48,583 1,017
Polaris Industries, Inc. 28,000 1,015
- - GRC International, Inc. 85,400 1,014
- - PlanetRx.com, Inc. 69,900 1,014
Brown & Brown, Inc. 26,450 1,013
- - Littelfuse, Inc. 41,600 1,009
- - Papa John's International, Inc. 38,700 1,009
Meditrust Corp. REIT 183,039 1,007
- - E-Stamp Corp. 45,200 1,006
Healthcare Realty Trust Inc. REIT 64,320 1,005
- - Gadzooks, Inc. 102,400 1,005
Reliance Group Holdings 149,986 1,003
Computer Task Group, Inc. 67,392 998
Albemarle Corp. 51,969 997
- - Battle Mountain Gold Co. Class A 481,499 993
- - MessageMedia Inc. 70,600 993
Pennzoil-Quaker State Co. 97,314 991
- - ITT Educational Services, Inc. 64,200 991
- - Data Broadcasting Corp. 120,000 990
Watkins-Johnson Co. 24,700 988
Developers Diversified Realty
Corp. REIT 76,600 986
Regis Corp. 52,191 985
ONEOK, Inc. 39,127 983
Diagnostic Products Corp. 40,123 983
- - Ionics, Inc. 34,900 982
Independence Community
Bank Corp. 78,500 981
- - Neurogen Corp. 59,420 980
- - USDATA Corp., Inc. 70,616 980
Nordson Corp. 20,300 979
- - IKOS Systems, Inc. 101,000 978
- - Novavax, Inc. 173,590 976
- - Rent-A-Center, Inc. 49,200 975
- - GelTex Pharmaceuticals, Inc. 75,900 972
Caraustar Industries, Inc. 40,500 972
- - SLI, Inc. 71,650 972
- - Martek Biosciences Corp. 80,900 971
- - Palm Harbor Homes, Inc. 53,900 970
- - Del Webb Corp. 38,900 970
- - Davox Corp. 49,300 968
Bel Fuse, Inc.- Class B 40,350 966
- - Department 56 Inc. 42,595 964
- - Acclaim Entertainment Inc. 188,000 964
- - Toll Brothers, Inc. 51,700 963
- - Beyond.com Corp. 123,200 963
Charles E. Smith Residential
Realty, Inc. REIT 27,200 962
CPB, Inc. 33,700 960
- - Friede Goldman Halter, Inc. 138,075 958
H.B. Fuller Co. 17,100 957
- - barnesandnoble.com inc. 67,400 956
- - Fossil, Inc. 41,350 956
- - Eclipsys Corp. 37,300 956
Clarcor Inc. 53,000 954
Delta & Pine Land Co. 54,873 953
- - Marketing Specialists Corp. 254,100 953
Reliance Bancorp, Inc. 27,600 952
- - Rare Hospitality International Inc. 44,000 952
- - Nautica Enterprises, Inc. 84,149 952
Whitney Holdings 25,670 951
Realty Income Corp. REIT 46,100 951
Werner Enterprises, Inc. 67,450 949
BSB Bancorp, Inc. 49,232 948
- - RailTex, Inc. 52,906 946
- - Gaylord Container Corp. 138,800 946
- - Mobile Mini, Inc. 43,900 944
Community First Bankshares 59,800 942
</TABLE>
23
<PAGE> 72
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Chemed Corp. 32,900 $ 942
- - Software Spectrum, Inc. 53,200 941
National Bankcorp of Alaska Inc. 33,500 940
AAR Corp. 52,400 940
- - Jacobs Engineering Group Inc. 28,900 939
RGS Energy Group Inc. 45,652 939
- - Z-Tel Technologies, Inc. 25,030 939
Koger Equity, Inc. REIT 55,600 938
- - Mail-Well, Inc. 69,500 938
- - On Assignment, Inc. 31,400 938
Timberline Software Corp. 69,804 938
Gerber Scientific, Inc. 42,700 937
- - Boise Cascade Office
Products Corp. 62,424 936
- - Walker Interactive Systems, Inc. 149,800 936
- - Tower Automotive, Inc. 60,500 934
- - Novoste Corp. 56,600 934
- - Mentor Graphics Corp. 70,700 932
- - Data Return Corp. 17,400 931
- - Reebok International Ltd. 113,673 931
- - Microwave Systems Corp. 195,500 929
- - United Stationers, Inc. 32,500 928
Liberty Corp. 22,000 928
Federal Realty Investment
Trust REIT 49,200 926
- - Oxigene, Inc. 59,039 922
- - McMoRan Exploration Co. 43,651 922
- - SoftNet Systems, Inc. 36,700 922
- - Checkpoint Systems, Inc. 90,474 922
- - Syncor International Corp. 31,600 920
- - Visual Data Corp. 80,000 920
- - Weirton Steel 134,900 919
- - Education Management Corp. 65,600 918
- - ThermoQuest Corp. 89,000 918
- - Coldwater Creek Inc. 44,700 916
NBT Bancorp, Inc. 59,093 916
Mine Safety Appliances Co. 14,300 915
Modine Manufacturing Co. 36,462 912
- - Aphton Corp. 59,739 911
Precision Castparts Corp. 34,650 910
- - Aware, Inc. 25,000 909
- - TD Waterhouse Group, Inc. 55,300 909
Home Properties of New York,
Inc. REIT 33,100 908
The Trust Co. of New Jersey 39,600 906
USEC Inc. 129,200 904
- - Diametrics Medical, Inc. 105,600 904
United Dominion Industries Ltd. 45,300 903
Walter Industries, Inc. 83,500 903
Churchill Downs, Inc. 40,000 903
- - Pride International Inc. 61,700 902
- - Symmetricom Inc. 90,800 902
White Mountains Insurance
Group Inc. 7,485 902
- - Nu Horizons Electronics Corp. 67,935 900
Primex Technologies, Inc. 43,360 900
- - Yellow Corp. 53,447 899
Kansas City Life Insurance Co. 26,600 898
Irwin Financial Corp. 50,300 896
- - Loislaw.com, Inc. 22,900 896
- - P-Com, Inc. 101,300 896
Olin Corp. 45,200 896
- - Troy Group, Inc. 59,700 896
Storage USA, Inc. REIT 29,600 895
R.L.I. Corp. 26,325 895
- - Century Business Services, Inc. 106,000 894
- - Unifi, Inc. 72,550 893
- - NCI Building Systems, Inc. 48,200 892
- - Aavid Thermal Technologies 36,300 892
Midas Inc. 40,720 891
First Union Real Estate REIT 187,320 890
Foster Wheeler Corp. 100,126 889
- - Daisytek International Corp. 38,100 888
Hussman International, Inc. 58,862 887
Chesapeake Corp. of Virginia 29,017 885
Avista Corp. 57,300 885
American National Can
Group, Inc. 68,000 884
Central Parking Corp. 46,200 884
PFF Bancorp, Inc. 45,600 884
- - Genrad, Inc. 54,688 882
Reckson Associates Realty
Corp. REIT 42,900 879
- - Complete Business Solutions, Inc. 35,000 879
- - Avis Rent A Car, Inc. 34,400 879
- - Splitrock Services, Inc. 44,200 878
NACCO Industries, Inc. Class A 15,779 877
Ventas, Inc. REIT 209,363 877
N L Industries, Inc. 58,000 874
- - Sylvan Learning Systems, Inc. 67,200 874
- - Women.com Networks, Inc. 61,300 874
Commerce Group, Inc. 33,400 873
Overseas Shipholding Group Inc. 58,900 872
- - dELiA*s Inc. 120,200 871
Aquarion Co. 23,550 871
The Warnaco Group, Inc. Class A 70,692 870
Tredegar Corp. 42,000 869
- - Wit Capital Group, Inc. 51,100 869
- - Applied Graphics
Technologies, Inc. 100,660 868
- - Andrea Radio Corp. 112,900 868
HCC Insurance Holdings, Inc. 65,700 866
Southwest Gas Corp. 37,600 865
Wabash National Corp. 57,650 865
- - Noven Pharmaceuticals, Inc. 47,700 865
Medford Bancorp, Inc. 51,998 864
G & K Services, Inc. 26,700 864
- - Oakley, Inc. 155,300 864
Earthgrains Co. 53,572 864
- - First Consulting Group, Inc. 55,616 862
Wausau-Mosinee Paper Corp. 73,744 862
- - Varian Medical Systems, Inc. 28,900 862
National Presto Industries, Inc. 24,237 860
- - IGEN International, Inc. 28,900 860
- - Bush Boake Allen, Inc. 35,000 860
- - I-STAT Corp. 59,200 858
Presidential Life Corp. 46,700 858
FBL Financial Group, Inc. Class A 42,900 858
- - STAR Telecommunications, Inc. 108,515 858
- - Amylin Pharmaceuticals, Inc. 102,800 858
- - Varian, Inc. 38,100 857
- - STERIS Corp. 83,098 857
</TABLE>
24
<PAGE> 73
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Syntellect Inc. 285,600 $ 857
- - Insurance Auto Auctions, Inc. 54,300 855
- - Centennial Bancorp 79,375 853
Arvin Industries, Inc. 30,000 851
Harmon Industries, Inc. 70,100 850
- - Renex Corp. 91,200 849
- - Wisconsin Central
Transportation Corp. 63,200 849
- - Transportation Technologies
Industries, Inc. 47,000 849
- - International Specialty
Products, Inc. 92,400 849
- - Unit Corp. 110,400 849
Andover Bancorp, Inc. 30,300 848
- - Newpark Resources, Inc. 138,300 847
- - E-LOAN, Inc. 52,000 845
Amcore Financial 35,200 845
- - Cyberian Outpost, Inc. 85,000 845
AmerUs Life Holdings, Inc. 36,703 844
Connecticut Energy Corp. 21,700 844
EZCORP, Inc. 207,100 841
- - uBid, Inc. 31,700 840
Ferro Corp. 38,100 838
Burlington Coat Factory
Warehouse Corp. 60,410 838
Fleetwood Enterprises, Inc. 40,574 837
UGI Corp. Holding Co. 40,900 836
- - Foamex International, Inc. 100,500 835
CB Bancshares Inc./Hawaii 28,300 833
Wallace Computer Services, Inc. 50,100 833
- - URS Corp. 38,400 833
Baldor Electric Co. 45,940 833
Bush Industries, Inc. 48,383 832
- - Ascent Entertainment Group, Inc. 65,477 831
- - Buckeye Technology, Inc. 55,800 830
- - Conmed Corp. 32,068 830
Prentiss Properties Trust REIT 39,500 830
First Commonwealth
Financial Corp. 69,000 828
First Bancorp/Puerto Rico 39,850 827
- - Tyler Technologies, Inc. 150,300 827
- - Vertel Corp. 152,009 827
- - Extended Stay America, Inc. 108,378 826
- - MeriStar Hotels & Resorts,
Inc. REIT 231,900 826
- - Orbital Sciences Corp. 44,500 826
Mills Corp. REIT 46,200 826
- - Epicor Software Corp. 163,022 825
Granite Construction Co. 44,750 825
Petroleum Helicopters, Inc. 84,600 825
- - Brightpoint, Inc. 62,800 824
- - Procom Technology, Inc. 31,100 824
- - ShopKo Stores, Inc. 35,745 822
- - Digital Generation Systems 115,300 822
Newmil Bancorp, Inc. 62,900 818
Sun Communities, Inc. REIT 25,400 818
OceanFirst Financial Corp. 47,200 817
- - Consolidated Graphics, Inc. 54,700 817
- - Wyndham International, Inc.
Class A 277,976 817
Queens County Bancorp, Inc. 30,100 816
Mitchell Energy & Development
Corp. Class A 37,000 816
- - Todd Shipyards Corp. 103,447 815
- - Pioneer Group, Inc. 51,700 814
EastGroup Properties, Inc. REIT 44,000 814
- - Ventana Medical Systems, Inc. 32,700 813
- - CDI Corp. 33,700 813
Regal-Beloit Corp. 39,400 813
St. Francis Capital Corp. 43,600 812
United Illuminating Co. 15,800 812
- - Quiksilver, Inc. 52,350 811
- - Laser Vision Centers, Inc. 76,800 811
- - Theragenics Corp. 89,484 811
- - Applied Innovation Inc. 97,400 810
The Ackerley Group, Inc. 44,600 808
- - Cameron Ashley
Building Products 80,808 808
Hancock Holding Co. 20,800 806
- - Deltek Systems, Inc. 59,700 806
- - Engineering Animation, Inc. 92,000 805
The Standard Register Co. 41,547 805
MeriStar Hospitality Corp. REIT 50,300 805
CBL & Associates Properties,
Inc. REIT 39,000 804
- - Media Metrix, Inc. 22,500 804
- - Specialty Equipment Cos., Inc. 33,600 804
Western Gas Resources, Inc. 60,900 803
Justin Industries, Inc. 53,860 801
- - Strattec Security Corp. 24,705 800
- - Mossimo, Inc. 99,200 800
- - Algos Pharmaceutical Corp. 72,700 800
- - Hayes Lemmerz International, Inc. 45,840 799
- - Nuevo Energy Co. 42,600 799
Seacoast Banking Corp. of
Florida Class A 27,900 799
CH Energy Group, Inc. 24,200 799
MascoTech Inc. 62,715 796
- - FEI Co. 51,300 795
- - Ultratech Stepper, Inc. 49,200 793
Arrow Financial Corp. 40,796 793
CNA Surety Corp. 60,990 793
- - Viador, Inc. 18,700 792
- - CUNO Inc. 38,200 791
- - SpeedFam-IPEC, Inc. 61,092 790
- - PETsMART, Inc. 137,352 790
- - Steel Dynamics, Inc. 49,500 789
- - hi/fn, inc. 20,343 788
- - Loronix Information Systems 39,900 788
- - Anixter International Inc. 38,200 788
- - Vlasic Foods International, Inc. 138,469 788
- - C-bridge Internet Solutions, Inc. 16,180 787
Blockbuster Inc. Class A 58,800 786
- - Integrated Electrical Services, Inc. 78,100 786
- - Innotrac Corp. 57,100 785
CVB Financial Corp. 33,920 784
LNR Property Corp. 39,400 783
- - Berlitz International, Inc. 45,527 782
- - Charming Shoppes, Inc. 118,079 782
- - Quokka Sports, Inc. 59,500 781
Cabot Oil & Gas Corp. Class A 48,600 781
- - OfficeMax, Inc. 141,850 780
</TABLE>
25
<PAGE> 74
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Stewart & Stevenson
Services, Inc. 65,718 $ 778
- - 3Dfx Interactive, Inc. 79,200 777
- - Quorum Health Group, Inc. 83,400 777
- - Kensey Nash Corp. 65,400 777
Arnold Industries, Inc. 55,200 776
- - Veterinary Centers of
America, Inc. 60,260 776
- - Miravant Medical Technology 83,200 775
LSI Industries Inc. 35,818 775
Landauer, Inc. 35,400 774
- - Royal Appliance
Manufacturing Co. 158,586 773
- - GetThere.com, Inc. 19,203 773
M.A. Hanna Co. 70,650 773
- - Garden Fresh Restaurant Corp. 45,100 772
- - XTRA Corp. 18,100 772
- - Basin Exploration Inc. 43,700 770
- - Covance, Inc. 71,213 770
- - Data Transmission Network Corp. 44,600 769
American Annuity Group Inc. 42,717 769
- - Ben & Jerry's Homemade, Inc.
Class A 30,900 769
AMCOL International Corp. 47,650 768
- - Jacobson Stores Inc. 130,700 768
- - InfoCure Corp. 24,600 767
Texas Regional Bancshares, Inc. 26,450 767
- - Quintel Communications, Inc. 85,200 767
Haven Bancorp, Inc. 49,500 764
- - Stoneridge, Inc. 49,500 764
Gables Residential Trust REIT 31,800 763
- - Salient 3 Communications
Class A 108,900 762
NUI Corp. 28,900 762
Ruddick Corp. 49,100 761
Prison Realty Trust, Inc. REIT 150,288 761
- - StaffMark, Inc. 100,500 760
- - Provant, Inc. 30,100 760
- - GC Cos. 29,291 758
- - JFAX.COM, Inc. 112,800 758
- - Atlantic Coast Airlines Holdings 31,900 758
- - Dril-Quip, Inc. 24,900 756
JP Realty Inc. REIT 48,400 756
Middlesex Water Co. 23,600 755
- - Pliant Systems, Inc. 84,400 754
- - Samsonite Corp. 128,990 750
- - Digital Origin, Inc. 61,800 749
Morrison Management
Specialists, Inc. 34,725 749
Simmons First National 29,950 749
Russell Corp. 44,700 749
- - The Neiman Marcus Group,
Inc. Class B 27,740 747
- - Closure Medical Corp. 57,900 745
Parkway Properties Inc. REIT 25,850 745
- - UNOVA, Inc. 57,238 744
- - Maker Communications, Inc. 17,400 744
- - ebix.com Inc. 66,480 744
Staten Island Bancorp, Inc. 41,300 743
- - DuPont Photomasks, Inc. 15,400 743
- - CorVel Corp. 31,600 743
- - PJ America Inc. 47,900 742
- - First Federal Financial Corp. 52,768 742
Associated Estates Realty
Corp. REIT 94,900 741
F & M Bancorp 36,593 741
- - MSC Industrial Direct Co., Inc.
Class A 55,900 741
Pier 1 Imports Inc. 115,950 739
- - Boston Beer Co., Inc. Class A 102,800 739
Pitt Des Moines, Inc. 30,000 739
- - Fidelity Holdings, Inc. 38,900 737
- - Shoe Carnival, Inc. 73,100 736
- - Musicland Stores Corp. 87,100 735
- - Navidec, Inc. 61,200 734
- - Rexall Sundown, Inc. 71,206 734
- - Sunterra Corp. 63,750 733
Community Trust Bancorp Inc. 36,550 731
- - Avant! Corp. 48,700 731
- - Boca Resorts, Inc. Class A 74,800 729
Stewart Enterprises, Inc.
Class A 153,500 729
- - Cornerstone Internet
Solutions Co. 95,900 728
- - Province Healthcare Co. 38,300 728
InterWest Bancorp Inc. 37,800 728
DT Industries, Inc. 92,200 726
- - Windmere-Durable Holdings Inc. 42,599 724
- - Proxymed Pharmacy, Inc. 74,250 724
State Auto Financial Corp. 79,300 724
- - Thermo Fibertek, Inc. 101,525 723
Consolidated-Tomoka Land Co. 56,700 723
Oil-Dri Corp. of America 50,175 721
- - US SEARCH.com Inc. 96,100 721
- - Sunbeam Corp. 172,100 721
CBRL Group, Inc. 74,254 720
Taubman Co. REIT 67,000 720
- - Right Management Consultants 62,600 720
- - Nortek, Inc. 25,700 720
- - Zebra Technologies Corp. Class B 12,240 716
The Macerich Co. REIT 34,400 716
Franklin Electric, Inc. 10,200 716
- - Information Resources, Inc. 77,335 715
- - Ryan's Family Steak Houses, Inc. 84,115 715
- - Quaker City Bancorp, Inc. 43,972 715
- - Autoweb.com, Inc. 65,700 714
- - IDEXX Laboratories Corp. 44,200 713
Flagstar Bancorp, Inc. 41,300 712
TF Financial Corp. 53,700 712
- - Ocwen Financial Corp. 113,700 711
- - Heartland Express, Inc. 45,092 710
- - Beringer Wine Estates
Holdings, Inc. 17,800 710
- - Scott Technologies, Inc. 37,600 710
Riggs National Corp. 53,700 708
First Sentinel Bancorp Inc. 90,645 708
- - Predictive Systems, Inc. 10,800 707
- - Hain Food Group, Inc. 31,500 705
- - Total-Tel USA
Communications, Inc. 49,880 705
Lawrence Savings Bank 92,400 705
- - Fourth Shift Corp. 101,500 704
</TABLE>
26
<PAGE> 75
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Alliant Techsystems, Inc. 11,300 $ 704
- - Casella Waste Systems, Inc. 37,300 704
- - Aztar Corp. 64,700 704
- - Scientific Games Holdings Corp. 42,400 702
Annaly Mortgage Management
Inc. REIT 80,200 702
- - Launch Media, Inc. 37,000 701
Redwood Trust, Inc. REIT 56,000 700
- - Evergreen Resources, Inc. 35,400 699
X-Rite Inc. 111,800 699
- - Renaissance Worldwide, Inc. 94,700 698
McDermott International, Inc. 76,994 698
- - WMS Industries, Inc. 53,100 697
- - Gulf Island Fabrication, Inc. 74,300 697
Lindsay Manufacturing Co. 38,137 696
- - American Axle & Manufacturing
Holdings, Inc. 57,400 696
- - Friendly Ice Cream Corp. 156,700 695
- - Perry Ellis International Corp. 59,800 695
- - Trammell Crow Co. 59,800 695
- - Volt Information Sciences Inc. 29,100 695
- - Duramed Pharmaceuticals, Inc. 97,500 695
Republic Security Financial Corp. 96,968 694
- - Sequa Corp. Class A 12,844 693
- - Hanover Direct, Inc. 190,500 691
- - United Payors & United
Providers, Inc. 41,650 690
Granite State Bankshares, Inc. 34,700 690
Alliance Bancorp Inc. 37,199 688
- - Giant Industries, Inc. 82,100 688
Invacare Corp. 34,257 687
- - Plug Power, Inc. 24,300 686
Harleysville National Corp. 21,114 686
US Bancorp, Inc. 58,400 686
- - GST Telecommunications Inc. 75,700 686
Omega Financial Corp. 23,612 685
- - SmartDisk Corp. 20,900 684
- - iVillage Inc. 33,800 684
- - Intelidata Technologies Corp. 164,500 684
Sterling Bancshares, Inc. 61,100 684
- - Sonic Automotive, Inc. 70,100 683
Dreyer's Grand Ice Cream, Inc. 40,200 683
- - PcOrder.com, Inc. 13,400 683
- - Comdial Corp. 68,766 683
- - AirTran Holdings, Inc. 150,700 683
- - Atlanta Sosnoff Capital 78,600 683
PXRE Group Ltd. 52,488 682
Anchor Bancorp Wisconsin Inc. 45,100 682
Bandag, Inc. 27,238 681
Cato Corp. Class A 53,900 680
- - Ace Cash Express, Inc. 36,750 680
- - Danielson Holdings Corp. 118,100 679
- - Benihana Inc. Class A 47,000 679
- - The Kroll-O'Gara Co. 41,100 678
- - Echelon International Corp., Inc. 29,463 678
- - Pharmaceutical Product
Development, Inc. 56,970 677
- - Wesco International, Inc. 76,200 676
Nationwide Health Properties,
Inc. REIT 49,100 675
- - Material Sciences Corp. 66,250 675
J.M. Smucker Co. Class A 34,500 673
- - Satcon Technology Corp. 80,593 672
- - 800-JR CIGAR, Inc. 77,400 672
Flowserve Corp. 39,542 672
Independent Bank Corp. 53,700 671
Tanger Factory Outlet Centers,
Inc. REIT 32,311 670
- - Hoenig Group, Inc. 72,400 670
State Financial Services Corp.
Class A 55,769 669
- - Maxxam Inc. 15,600 669
- - Numerex Corp. 54,000 668
Spartan Motors, Inc. 152,700 668
AGCO Corp. 49,700 668
NYMAGIC, Inc. 50,600 667
- - Personnel Group of America, Inc. 65,904 667
Bob Evans Farms, Inc. 43,200 667
- - Factory 2-U Stores Inc. 23,500 667
Collins & Aikman Corp. 115,900 666
- - 7-Eleven, Inc. 374,100 666
WPS Resources Corp. 26,521 666
Connecticut Water Services, Inc. 20,800 666
- - Florida Banks, Inc. 110,300 665
- - SERENA Software, Inc. 21,500 665
- - Structural Dynamics
Research Corp. 52,100 664
- - Hollywood Casino Corp. 154,000 664
- - PSS World Medical, Inc. 70,300 663
- - Sensory Science Corp. 378,900 663
First Financial Holdings, Inc. 41,400 662
- - National Dentex Corp. 39,200 662
- - Headway Corporate
Resources, Inc. 151,000 661
MTS Systems Corp. 85,180 660
Strayer Education, Inc. 33,400 660
South Jersey Financial Corp. Inc. 42,200 659
- - United Capital Corp. 35,400 659
U.S.B. Holding Co., Inc. 41,300 658
- - Avatar Holding, Inc. 36,300 658
Great Southern Bancorp, Inc. 29,900 658
- - autobytel.com inc. 43,300 658
Milacron Inc. 42,718 657
- - TriPath Imaging, Inc. 158,900 655
AREA Bancshares Corp. 26,745 655
Alico, Inc. 39,100 655
- - Immucor Inc. 49,646 655
- - Shuffle Master, Inc. 77,017 655
- - Coventry Health Care Inc. 96,955 654
Springs Industries Inc. Class A 16,354 653
- - Intergraph Corp. 139,240 653
- - U.S. Can Corp. 32,809 652
- - Globe Business Resources, Inc. 50,600 651
- - Net.B@nk, Inc. 35,200 651
- - 1-800-FLOWERS.COM, Inc. 60,900 651
- - Curative Health Services Inc. 83,800 649
Pioneer Standard Electronics Inc. 44,800 647
Watsco, Inc. 55,900 646
- - Revlon, Inc. Class A 81,400 646
- - Group Maintenance America Corp. 60,300 644
Sauer Inc. 71,000 643
CTG Resources Inc. 18,515 643
</TABLE>
27
<PAGE> 76
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Secure Computing Corp. 51,100 $ 642
- - Lazare Kaplan International, Inc. 79,000 642
Ottawa Financial Corp. 35,388 641
- - THQ Inc. 27,600 640
- - Barra, Inc. 20,100 638
National Health Investors REIT 42,900 638
FFY Financial Corp. 50,600 637
- - Cable Design Technologies 27,678 637
Public Service Co. of
North Carolina, Inc. 19,700 637
Farmer Brothers, Inc. 4,000 636
- - Zamba Corp. 36,600 636
Empire District Electric Co. 28,100 636
- - Ladd Furniture Inc. 32,100 634
The Stride Rite Corp. 97,426 633
- - Henry Schein, Inc. 47,479 632
- - Professional Detailing, Inc. 21,100 632
Coca-Cola Bottling Co. 13,300 630
- - Plains Resources 50,383 630
Atlantic Tele-Network, Inc. 68,520 630
- - Perficient, Inc. 49,300 629
- - Pac-West Telecom, Inc. 23,709 628
L. S. Starrett Co. Class A 28,000 628
Bassett Furniture Industries, Inc. 39,263 628
Alfa Corp. 38,500 628
- - UICI 59,300 626
J. Baker, Inc. 104,291 626
Chemical Finance 19,601 625
Imperial Credit Commercial
Mortgage Investment Corp. REIT 54,900 624
Brandywine Realty Trust REIT 38,100 624
Riviana Foods, Inc. 35,100 623
Ametek Aerospace Products Inc. 32,600 621
- - Airgas, Inc. 65,400 621
- - Zoltek Cos., Inc. 72,000 621
Public Service Co. of New Mexico 38,180 620
- - Aerosonic Corp. 51,600 619
ChemFirst Inc. 28,300 619
- - Cort Business Services Corp. 35,500 619
- - Billing Concepts Corp. 95,028 618
- - HA-LO Industries, Inc. 82,350 618
New Jersey Resources Corp. 15,800 617
- - Total Renal Care Holdings, Inc. 92,269 617
Comcast Corp. Class A 12,860 616
Columbia Bancorp 54,400 615
- - Dataware Technologies, Inc. 35,500 612
- - Xpedior Inc. 21,300 612
Curtiss-Wright Corp. 16,600 612
- - RWD Technologies, Inc. 59,000 612
Corus Bankshares Inc. 25,500 612
American Residential Investment
Trust, Inc. REIT 88,900 611
Crown American Realty
Trust REIT 111,000 611
- - Energy Conversion Devices, Inc. 65,975 610
Superior Telecom Inc. 39,525 610
- - Aftermarket Technology Corp. 51,100 610
Gorman-Rupp Co. 34,825 609
- - Coinstar, Inc. 43,500 609
- - MetaCreations Corp. 70,825 609
- - Bone Care International, Inc. 48,100 607
- - LINC Capital, Inc. 127,300 605
- - Cylink Corp. 44,500 601
Mueller (Paul) Co. 20,800 601
- - Franklin Electronic
Publishers, Inc. 101,100 600
- - Coleman Inc. 64,432 600
Analysts International Corp. 48,000 600
- - Rainmaker Systems, Inc. 29,600 599
- - Provident Financial Holdings, Inc. 36,300 599
- - Viacom Inc. Class A 9,906 599
- - Triad Hospitals, Inc. 39,494 597
- - The IT Group, Inc. 64,985 597
- - Laboratory Corp. of America 161,648 596
- - Insignia Financial Group, Inc. 68,500 595
Fidelity Bancorp, Inc. 35,100 595
- - Merix Corp. 54,000 594
Massbank Corp. 20,100 593
General Cable Corp. 78,350 593
- - VTEL Corp. 180,538 592
- - Twinlab Corp. 74,400 591
- - Navigant Consulting, Inc. 54,150 589
Myers Industries, Inc. 37,378 589
Heritage Financial Corp. 68,200 588
- - Capital Corp. of the West 60,300 588
- - AmeriPath, Inc. 71,600 586
- - Esterline Technologies Corp. 50,690 586
- - TCSI Corp. 183,521 585
- - Auspex Systems, Inc. 57,000 584
- - Dura Pharmaceuticals, Inc. 41,886 584
- - SpaceLabs Medical, Inc. 31,439 584
Dime Community Bancorp, Inc. 31,500 583
- - Avid Technology, Inc. 44,600 583
Phoenix Investment Partners Ltd. 71,700 583
- - OneMain.com, Inc. 38,800 582
Enhance Financial Services
Group, Inc. 35,800 582
- - Orthodontic Centers of
America, Inc. 48,600 580
- - AT&T Corp.-Liberty Media Group 8,438 580
Town & Country Trust REIT 32,300 579
- - Seattle FilmWorks, Inc. 208,079 579
- - Jo-Ann Stores, Inc. Class A 51,400 578
- - Diacrin, Inc. 88,800 577
- - Gardner Denver Inc. 34,554 577
- - National Western Life Insurance
Co. Class A 8,400 576
- - Grey Wolf, Inc. 200,500 576
- - LifePoint Hospitals, Inc. 48,794 576
- - Digi International, Inc. 55,200 576
- - Organogenesis, Inc. 66,208 575
- - The Buckle, Inc. 38,800 575
- - Autotote Corp. 176,800 575
StanCorp Financial Group, Inc. 22,800 574
- - IHOP Corp. 34,400 574
The Pep Boys
(Manny, Moe & Jack) 62,901 574
- - Alliance Pharmaceutical Corp. 77,702 573
- - Able Telcom Holding Corp. 71,500 572
Mississippi Chemical Corp. 92,341 571
Fedders Corp. 103,845 571
- - Korn/Ferry International 15,700 571
</TABLE>
28
<PAGE> 77
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Sciclone Pharmaceuticals 93,100 $ 570
Atmos Energy Corp. 27,894 570
- - Spanish Broadcasting System, Inc. 14,100 568
- - Castle & Cooke Inc. 44,700 567
- - Epitope Inc. 87,200 567
- - ISIS Pharmaceuticals, Inc. 90,526 566
Crawford & Co. Class B 41,500 565
- - APAC Teleservices, Inc. 40,011 563
Amcast Industrial Corp. 34,296 562
- - IMRglobal Corp. 44,700 562
NCH Corp. 12,600 561
Shurgard Storage Centers, Inc.
Class A REIT 24,200 561
Sovran Self Storage, Inc. REIT 29,600 561
Summit Bancshares, Inc. 30,300 561
- - Voyager.net, Inc. 61,000 560
- - Stein Mart, Inc. 98,400 560
- - SonicWALL, Inc. 13,900 559
- - Kaneb Services, Inc. 127,716 559
- - Group 1 Automotive, Inc. 40,000 558
- - US Oncology, Inc. 112,876 557
- - Baldwin Technology Class A 261,500 556
McGrath Rent Corp. 31,700 555
JDN Realty Corp. REIT 34,350 554
- - Fairchild Corp. 61,101 554
- - Bel Fuse, Inc.-Class A 19,850 553
- - Layne Christensen Co. 76,200 552
Ethyl Corp. 140,130 552
Tejon Ranch Co. 23,200 551
- - The InterCept Group, Inc. 18,500 549
Brown Shoe Company, Inc. 38,815 548
- - Arcadia Financial Ltd. 123,500 548
Coachmen Industries, Inc. 36,196 547
- - Eco Soil Systems, Inc. 126,900 547
- - Performance Food Group Co. 22,450 547
Meridian Diagnostics, Inc. 75,429 547
- - National Processing, Inc. 61,600 547
- - Drexler Technology Corp. 55,889 545
- - Clark/Bardes Holdings, Inc. 37,900 545
- - PathoGenesis Corp. 25,400 545
- - Petrocorp, Inc. 93,478 543
- - Netopia, Inc. 10,000 543
Gainsco, Inc. 100,846 542
- - Drug Emporium, Inc. 122,042 542
- - Amdocs Ltd. 15,685 541
- - LCA-Vision, Inc. 115,395 541
Peoples Holding Co. 18,700 540
- - Sizzler International 215,925 540
CompX International Inc. 29,300 538
A.O. Smith Corp. 24,600 538
- - General Cigar Holdings, Inc. 64,700 538
Owens & Minor, Inc. Holding Co. 59,950 536
W.R. Berkley Corp. 25,650 535
- - Management Network Group Inc. 16,400 535
- - Amerco, Inc. 21,400 535
LandAmerica Financial Group, Inc. 29,100 535
Enterprise Products Partners L.P. 29,000 535
- - Activision, Inc. 34,900 534
Tech/Ops Sevcon, Inc. 53,400 534
National Golf Properties, Inc. REIT 27,000 533
Hunt Corp. 56,100 533
Health Care REIT, Inc. 35,200 532
- - Chirex, Inc. 36,400 532
- - Coherent, Inc. 19,900 532
Ryerson Tull, Inc. 27,341 531
- - McAfee.com Corp. 11,800 531
- - Griffin Land & Nurseries, Inc. 46,100 530
- - Thermo Ecotek Corp. 99,550 529
- - Matria Healthcare, Inc. 128,000 528
Bryn Mawr Bank Corp. 22,100 528
- - National Discount Brokers
Group, Inc. 20,000 528
Madison Gas & Electric Co. 26,200 527
- - Bristol Hotels & Resorts, Inc. 104,075 527
- - Jones Lang Lasalle Inc. 44,200 525
- - Scios, Inc. 125,000 523
- - SOFTWORKS, Inc. 53,300 518
National Steel Corp. Class B 69,600 518
- - Objective Systems
Integrators, Inc. 78,100 517
HF Financial Corp. 43,950 516
- - World Acceptance Corp. 107,300 516
- - Stratus Properties, Inc. 123,000 515
- - Alpine Group, Inc. 40,000 515
- - AXENT Technologies, Inc. 24,500 515
- - Del Monte Foods Co. 41,700 513
- - U.S. Vision, Inc. 200,300 513
- - The Children's Place Retail
Stores, Inc. 31,200 513
HEICO Corp. 23,408 511
WSFS Financial Corp. 40,300 509
Berry Petroleum Class A 33,600 508
Flushing Financial Corp. 34,300 508
Corporate Office Properties
Trust, Inc. REIT 66,600 508
- - SpeedUs.com, Inc. 106,100 507
Stepan Co. 21,700 507
- - Impath, Inc. 19,900 506
Winston Hotels, Inc. REIT 62,300 506
Virco Manufacturing Corp. 38,935 506
GenCorp, Inc. 51,100 505
Bangor Hydro-Electric Co. 30,800 502
Sizzlers Property Investors,
Inc. REIT 61,800 502
Thomas Nelson, Inc. 54,250 502
- - Centura Software Corp. 92,188 501
- - Ceres Group, Inc. 71,600 501
- - Thermo TerraTech, Inc. 73,500 501
Wolverine World Wide, Inc. 45,770 501
- - Bio-Rad Laboratories, Inc. Class A 21,353 499
- - CFI ProServices, Inc. 60,869 498
- - Mortons Restaurant Group 32,144 498
- - CSK Auto Corp. 28,400 497
National City Bancorporation 29,640 496
St. Mary Land & Exploration Co. 20,028 496
Century Bancorp, Inc. Class A 30,500 496
- - Tech-Sym Corp. 24,002 495
- - iManage, Inc. 15,401 495
Northwest Bancorp, Inc. 70,900 492
- - CIRCOR International, Inc. 47,650 491
- - Oceaneering International, Inc. 32,890 491
Intermet Corp. 42,200 491
</TABLE>
29
<PAGE> 78
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - PAREXEL International Corp. 41,500 $ 490
Allen Organ Co. 12,900 490
- - Advanced Tissue Sciences Inc. 195,758 489
- - Rightchoice Managed Care, Inc. 42,500 489
- - Gilman & Ciocia, Inc. 59,600 488
- - Consolidated Freightways Corp. 61,399 487
Philadelphia Consolidated
Holding Corp. 33,600 487
Bindly Western Industries, Inc. 32,288 486
- - Inacom Corp. 66,480 486
Lennox International Inc. 52,900 486
- - Exabyte Corp. 64,800 486
Davel Communications, Inc. 102,143 485
Cabot Industrial Trust REIT 26,300 483
- - Symyx Technologies 16,100 483
Patriot Bank Corp. 44,875 482
- - Crescendo Pharmaceuticals Corp. 26,379 482
- - Advantage Learning Systems, Inc. 43,100 482
Marion Capital Holdings 29,400 481
- - Global Payment Tech Inc. 52,000 481
- - Aetrium, Inc. 72,900 481
- - Health Management Systems, Inc. 75,997 480
- - NeoPharm, Inc. 22,200 479
- - Hie Inc. 141,800 479
- - Shoney's Inc. 347,406 478
- - TransMontaigne Inc. 68,100 477
- - CompUSA, Inc. 92,900 476
Konover Property Trust, Inc. REIT 75,400 476
- - On Command Corp. 25,700 475
- - The Boyds Collection, Ltd. 68,400 475
Lilly Industries Inc. Class A 35,268 474
- - UniCapital Corp. 128,400 473
- - Microtouch Systems, Inc. 37,499 473
- - Caliber Learning Network, Inc. 164,600 473
- - DVI, Inc. 31,100 472
Wackenhut Corp. 31,592 472
Grove Property Trust REIT 35,600 472
- - Startek, Inc. 13,000 471
Met-Pro Corp. 47,045 470
Jefferson Savings Bancorp, Inc. 44,500 470
K-Swiss, Inc. 25,300 470
Ampco-Pittsburgh Corp. 46,335 469
- - S&K Famous Brands Inc. 78,900 468
- - Staff Leasing, Inc. 49,300 468
Merchants Bancshares, Inc. 21,900 468
- - BigStar Entertainment, Inc. 60,400 468
- - Credit Acceptance Corp. 126,900 468
Susquehanna Bancshares, Inc. 29,475 468
- - Applied Microsystems Corp. 41,100 468
Standard Commercial
Tobacco Co. 130,571 465
- - Information Management
Associates, Inc. 88,500 465
Kilroy Realty Corp. REIT 21,100 464
Zenith National Insurance Corp. 22,500 464
Omega Healthcare Investors,
Inc. REIT 36,500 463
Commercial Intertech Corp. 36,300 463
Big Dog Holdings, Inc. 66,700 463
- - Cunningham Graphics
International, Inc. 33,200 463
- - Aztec Technology Partners, Inc. 101,200 462
- - iTurf Inc. 37,100 461
ABM Industries 22,600 460
Cross Timbers Oil Co. 50,725 460
- - Mesa Air Group Inc. 96,700 459
- - Crescent Operating, Inc. REIT 166,920 459
Greater Bay Bancorp 10,700 459
- - Perrigo Co. 57,300 458
Mid Atlantic Realty Trust REIT 45,350 456
- - Rainforest Cafe, Inc. 114,475 454
- - Superior Consultant
Holdings Corp. 31,800 453
- - Profile Technologies, Inc. 64,700 453
- - Security Capital Group Inc.
REIT Class B 36,200 453
- - HMT Technology Corp. 112,900 452
California Independent Bancorp 26,325 451
- - Thermo Cardiosystems Inc. 68,650 451
- - Earthshell Corp. 109,100 450
- - Advanced Polymer Systems 130,900 450
- - Microwave Power Devices, Inc. 63,000 449
- - Cidco, Inc. 82,100 446
- - Wackenhut Corrections Corp. 38,100 445
- - Trans World Entertainment Corp. 42,300 444
- - Comfort Systems USA, Inc. 60,000 443
Cubic Corp. 20,200 442
- - Lifeline Systems, Inc. 29,300 440
Lillian Vernon Corp. 39,500 439
NewSouth Bancorp, Inc. 23,750 439
- - Jackpot Enterprises, Inc. 52,800 439
- - CDnow Inc. 44,400 438
- - Tractor Supply Co. 27,400 438
- - Hovnanian Enterprises Class A 68,050 438
Getty Realty Holding Corp. 39,000 436
Casey's General Stores 41,800 436
- - Correctional Services Corp. 99,385 435
- - Clintrials Research, Inc. 105,100 434
- - Sterile Recoveries, Inc. 62,800 432
- - Champion Enterprises, Inc. 50,369 431
- - UniSource Energy Corp. 38,380 429
United Wisconsin Services, Inc. 100,900 429
- - Gartner Group, Inc. Class B 31,000 428
IRT Property Co. REIT 54,700 427
World Fuel Services Corp. 56,961 427
- - American Bank Note
Holographics, Inc. 266,100 426
Barnes Group, Inc. 26,100 426
LTC Properties, Inc. REIT 50,400 425
LTV Corp. 103,000 425
- - Spectranetics Corp. 109,500 424
- - Artesyn Technologies, Inc. 20,200 424
- - Cannondale Corp. 64,800 423
- - OEA, Inc. 86,700 423
Bradley Real Estate, Inc.
8.40% Cvt. Pfd. 21,672 423
Puerto Rican Cement Co., Inc. 12,400 422
United Mobile Homes, Inc. REIT 51,100 422
Southern Peru Copper Corp. 27,300 421
Pittston BAX Group 39,650 421
Imperial Sugar Co. 127,006 421
- - Fresh Del Monte Produce Inc. 46,700 420
</TABLE>
30
<PAGE> 79
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Sunburst Hospitality Corp. 74,713 $ 420
- - Il Fornaio (America) Corp. 60,500 420
Birmingham Steel Corp. 78,700 418
- - ClickAction, Inc. 14,200 418
- - The Gymboree Corp. 74,240 418
- - Ezenia!, Inc. 52,600 418
- - Frontline Communications Corp. 54,000 415
- - ABC-NACO, INC. 50,200 414
First International Bancorp, Inc. 51,700 414
Blair Corp. 29,500 413
- - FLIR Systems, Inc. 25,400 413
City Holding Co. 29,400 412
Ameron International Corp. 10,400 411
- - Schuler Homes Inc. 63,300 411
International Multifoods Corp. 30,881 409
Alamo Group, Inc. 40,800 408
- - Cytoclonal Pharmaceutics Inc. 54,400 408
- - Aviall Inc. 49,819 408
Gentek, Inc. 39,000 407
- - Navigators Group, Inc. 40,700 407
- - Old Dominion Freight Line, Inc. 37,715 405
- - Computer Horizons Corp. 24,944 404
- - Navigant International, Inc. 34,450 403
- - Parker Drilling Co. 126,300 403
- - IXYS Corp. 64,025 400
- - Mid Atlantic Medical
Services, Inc. 48,100 400
F & M National Corp. 14,400 397
- - York Research Corp. 105,700 396
Omnova Solutions Inc. 51,100 396
Arch Coal, Inc. 35,000 396
- - Beverly Enterprises, Inc. 90,379 395
- - Tom Brown, Inc. 29,500 395
- - Chalone Wine Group Ltd. 45,340 394
- - Comptek Research, Inc. 28,600 393
Ambanc Holding Co., Inc. 26,600 392
- - Input/Output, Inc. 77,500 392
Katy Industries, Inc. 45,100 392
- - SM&A Corp. 63,900 391
- - Tandycrafts, Inc. 127,500 390
Prime Retail, Inc. REIT 69,400 390
Standard Motor Products, Inc. 24,200 390
Burnham Pacific Properties,
Inc. REIT 41,600 390
Boddie-Noell Properties Inc. REIT 46,500 389
Wolohan Lumber Co. 32,078 389
- - WetSeal, Inc. Class A 31,700 388
Titan International, Inc. 59,650 388
Correctional Properties Trust REIT 31,600 387
- - Priority Healthcare Corp. Class A 13,348 386
Hopfed Bancorp, Inc. 24,300 386
Southwest Bancorp, Inc. 19,200 384
Hughes Supply, Inc. 17,739 382
- - Virata Corp. 12,800 382
Pilgrim's Pride Corp. 45,900 382
- - Schein Pharmaceutical, Inc. 31,400 381
- - Nashua Corp. 50,614 380
- - Atrix Laboratories, Inc. 72,889 378
Western Properties Trust REIT 39,500 378
- - Converse Inc. 274,200 377
Enesco Group, Inc. 34,000 376
- - Manhattan Associates, Inc. 51,000 376
- - Crestline Capital Corp. 18,233 376
Interface, Inc. 65,300 375
- - Protocol Systems, Inc. 41,600 374
- - Acmat Corp. Class A 49,900 374
- - Fritz Cos., Inc. 35,600 374
- - Input Software Inc. 26,800 374
- - DA Consulting Group, Inc. 104,600 373
- - Alterra Healthcare Corp. 44,800 372
- - PriceSmart, Inc. 9,500 372
Humphrey Hospitality Trust,
Inc. REIT 47,600 372
- - Hexcel Corp. 66,800 372
Penford Corp. 21,491 371
- - Docucorp International 52,459 369
- - Associated Group, Inc. Class B 4,000 368
Commercial Net Lease
Realty REIT 37,000 368
Otter Tail Power Co. 9,802 368
- - Rochester Medical Corp. 51,550 367
Schnitzer Steel Industries, Inc.
Class A 19,300 367
- - Fresh America Corp. 75,200 367
Cascade Bancorp 29,315 366
- - Identix, Inc. 40,400 366
- - Hartmarx Corp. 90,100 366
Superior Uniform Group, Inc. 40,600 365
Team Financial, Inc. 40,600 365
- - Astea International, Inc. 67,900 365
- - INSpire Insurance Solutions, Inc. 79,400 365
Trenwick Group Inc. 21,500 364
Calgon Carbon Corp. 61,200 363
- - Maxicare Health Plans Inc. 126,378 363
- - PICO Holdings, Inc. 29,420 362
- - Western Digital Corp. 86,300 361
Donnelly Corp. 25,725 360
- - Liquid Audio, Inc. 13,700 360
- - Prime Hospitality Corp. 40,800 360
Quaker Chemical Corp. 25,200 359
- - Respironics, Inc. 44,966 358
Lance, Inc. 35,821 358
- - Bottomline Technologies, Inc. 9,900 356
- - Mustang.com, Inc. 22,800 356
- - Immune Response 81,917 356
- - Celtrix Pharmaceuticals 123,500 355
- - TSR, Inc. 43,000 355
- - Syntroleum Corp. 43,600 354
- - Hologic, Inc. 61,600 354
- - EMS Technologies, Inc. 30,086 354
BeautiControl Cosmetics 160,500 351
- - Swift Energy Co. 30,500 351
EDO Corp. 59,700 351
- - BankUnited Financial Corp. 44,100 350
- - Dave & Busters 42,732 350
- - Itron, Inc. 57,100 350
- - Syms Corp. 69,800 349
Oxford Industries, Inc. 17,600 349
- - eSPEED, Inc. 9,800 349
Central Vermont Public
Service Corp. 32,800 349
- - Electric Fuel Corp. 99,100 347
</TABLE>
31
<PAGE> 80
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Lechters Corp. 198,200 $ 347
- - Interneuron Pharmaceutical, Inc. 60,600 347
- - Jan Bell Marketing Inc. 120,500 346
Bell Industries, Inc. 46,503 346
- - Daily Journal Corp. 10,600 346
Holly Corp. 25,800 345
- - TRO Learning, Inc. 64,200 345
Superior Industries
International, Inc. 12,850 345
RFS Hotel Investors, Inc. REIT 33,000 344
- - CyBear, Inc. 50,500 344
- - Teledyne Technologies, Inc. 36,417 344
- - Cheap Tickets, Inc. 25,100 344
- - Premier Research
Worldwide, Ltd. 35,000 343
- - Credit Management
Solutions, Inc. 40,400 343
- - Marvel Enterprises Inc. 62,400 343
- - Mobius Management
Systems, Inc. 43,200 343
- - Belco Oil & Gas Corp. 62,100 342
- - Information Architects Corp. 33,200 340
- - Silgan Holdings, Inc. 25,400 340
- - Medialink Worldwide, Inc. 42,100 339
Horizon Financial Corp. 35,698 339
- - Momentum Business
Applications, Inc. 42,988 339
Huntco Inc. Class A 106,100 338
- - Lason Holdings, Inc. 30,700 338
- - Chemical Fabrics Corp. 21,511 336
- - Mechanical Technology Inc. 14,445 336
- - Action Performance Cos., Inc. 29,193 336
- - NPC International Class A 42,600 335
- - Navarre Corp. 58,300 335
Crown Crafts, Inc. 116,300 334
Vesta Insurance Group, Inc. 84,900 334
Circle International Group, Inc. 14,900 332
- - Read Rite Corp. 69,731 331
- - Thermedics Detection Inc. 48,895 330
Phillips-Van Heusen Corp. 39,700 330
Synalloy Corp. 44,000 330
- - Sunrise Assisted Living, Inc. 23,600 325
Methode Electronics, Inc. Class A 10,051 323
Apex Mortgage Capital, Inc. REIT 31,600 322
- - Strategic Distribution, Inc. 223,578 321
Ziegler Cos., Inc. 21,500 321
First Commerce Bancshares Inc.
Class A 14,400 320
Tremont Corp. 21,346 320
- - RMH Teleservices, Inc. 50,700 320
- - Boron, LePore & Associates, Inc. 49,200 320
- - InVision Technologies, Inc. 77,200 318
RPC Inc. 55,300 318
- - Optika Inc. 22,800 318
- - Echo Bay Mines Ltd. 267,384 318
- - McWorter Technologies Inc. 19,800 317
Schweitzer-Mauduit
International, Inc. 23,537 316
The Marcus Corp. 23,500 316
- - Stac Software, Inc. 49,982 316
- - Highlands Insurance Group 33,154 315
- - Norstan, Inc. 49,400 315
MMI Cos., Inc. 36,500 315
Conoco Inc. Class A 12,700 314
CKE Restaurants Inc. 53,498 314
First Savings Bancorp, Inc. 16,700 313
Asset Investors Corp. REIT 28,100 313
- - Allen Telecom Inc. 27,000 312
- - ZapMe! Corp. 36,000 311
TransPro Inc. 48,225 310
- - NS Group Inc. 40,600 310
Luby's, Inc. 27,059 308
Resource Bancshares
Mortgage Group, Inc. 67,600 306
- - Mansur Industries, Inc. 59,700 306
- - Telular Corp. 32,050 304
CV Reit, Inc. 33,800 304
- - I-Link, Inc. 109,300 304
- - Lone Star Steakhouse &
Saloon, Inc. 33,900 302
A.M. Castle & Co. 25,431 302
- - Signal Technology Corp. 41,653 302
Southwestern Energy Co. 45,900 301
- - Innovasive Devices, Inc. 37,400 299
- - GenesisIntermedia.com, Inc. 51,400 299
HMN Financial, Inc. 26,550 299
- - U.S. Energy Corp. 85,257 298
First Keystone Financial, Inc. 30,600 298
Oregon Trail Financial Corp. 29,600 298
- - Omega Worldwide, Inc. 63,943 298
- - Systemax Inc. 34,800 296
- - Thermotrex Corp. 37,500 295
- - World Wrestling Federation
Entertainment, Inc. 17,000 293
Penn Virginia Corp. 17,500 293
Ace, Ltd. 17,550 293
- - American Access
Technologies Inc. 57,000 292
- - Health Systems Design Corp. 55,600 292
- - Rohn Industries Inc. 101,500 292
- - Metrocall, Inc. 172,800 292
- - Micrografx, Inc. 66,300 290
Oregon Steel Mills, Inc. 36,500 290
- - Todhunter International, Inc. 31,600 288
UniFirst Corp. 22,800 288
- - Meritage Corp. 26,300 288
- - onlinetradinginc.com 26,400 287
- - eLEC Communications Corp. 74,600 287
Thornburg Mortgage Asset
Corp. REIT 34,700 286
Stephan Co. 71,550 286
- - Acceptance Insurance Cos. Inc. 49,000 285
- - Cone Mills Corp. 63,000 284
Pulaski Financial Corp. 27,948 283
Fleming Cos., Inc. 27,539 282
Waddell & Reed Financial, Inc. 10,402 282
- - Circle.com 22,912 282
BankAtlantic Bancorp, Inc.
Class A 68,385 282
- - Ventiv Health, Inc. 30,549 281
Apogee Enterprises, Inc. 55,200 279
- - Jenny Craig Inc. 76,900 279
</TABLE>
32
<PAGE> 81
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Transcontinental Realty
Investors, Inc. REIT 22,025 $ 278
- - Gibson Greetings, Inc. 30,800 276
Watts Industries Class A 18,700 276
- - Toymax International, Inc. 58,800 276
Herbalife International Class B 20,600 276
First Charter Corp. 18,484 275
- - Cyberguard Corp. 57,755 274
- - Careerbuilder, Inc. 42,600 274
- - Coeur D'Alene Mines Corp. 79,600 274
Provident Bankshares Corp. 15,800 274
Angelica Corp. 28,000 273
- - Synagro Technologies Inc. 55,846 272
- - PlayCore, Inc. 33,911 271
- - Miller Industries, Inc. 94,300 271
- - Midwest Express Holdings, Inc. 8,500 271
- - New Mexico & Arizona
Land Co. 53,941 270
Greater Delaware Valley
Savings Bank 29,800 269
- - Kitty Hawk, Inc. 39,100 269
The Pacific Bank N.A. 9,700 269
- - American Skiing Co. 84,200 268
Investors Title Co. 15,100 268
- - Vivus, Inc. 84,400 266
- - Vicorp Restaurants, Inc. 16,448 265
General Binding Corp. 22,572 265
- - Kendle International Inc. 26,800 265
- - Landry's Seafood
Restaurants, Inc. 30,400 264
Banco Santander Puerto Rico 17,100 264
- - Urocor, Inc. 62,900 263
- - Kevco, Inc. 140,400 263
- - The Dress Barn, Inc. 15,800 263
Milton Federal Financial Corp. 21,000 263
- - Somera Communications, Inc. 21,100 262
Oak Hill Financial, Inc. 17,900 262
Thermoretec Corp. 39,400 261
General Chemical Group, Inc. 112,500 260
Bridge View Bancorp 16,480 260
G & L Realty Corp. REIT 29,444 259
- - Digital Insight Corp. 7,100 258
- - Larscom, Inc. Class A 39,500 258
- - M&F Worldwide Corp. 50,779 257
Laser Mortgage
Management, Inc. 62,800 255
- - Comshare 72,800 255
- - XOMA Ltd. 84,756 254
- - Corvas International, Inc. 57,100 253
- - Berkshire Hathaway Inc. Class B 138 253
- - Travel Services International, Inc. 27,600 252
- - BE Avionics Inc. 29,800 251
- - Park-Ohio Holdings Corp. 25,400 251
- - Imperial Credit 40,126 251
- - Dura Automotive Systems, Inc. 14,379 251
- - Life Financial Corp. 62,536 250
Prime Group Realty Trust REIT 16,400 249
Cole National Corp. Class A 49,800 249
- - Success Bancshares, Inc. 25,000 248
- - Carmike Cinemas, Inc. Class A 31,689 248
- - Sola International Inc. 17,700 246
- - Allied Holdings, Inc. 40,000 245
Pan Pacific Retail Properties,
Inc. REIT 15,000 245
- - Hawthorne Financial Corp. 19,500 244
- - Chesapeake Energy Corp. 102,300 243
- - Capital Trust Class A REIT 48,500 243
Hancock Fabrics, Inc. 77,600 243
- - Magellan Health Services, Inc. 38,400 242
- - Hector Communications Corp. 17,300 242
Exide Corp. 29,000 241
- - Encore Wire Corp. 31,550 241
- - TBC Corp. 38,450 240
- - Impco Technologies Inc. 17,200 240
Guilford Mills, Inc. 33,050 240
- - Premiere Technologies, Inc. 34,100 239
Coastal Bancorp, Inc. 13,600 238
- - Sunrise Medical, Inc. 38,400 238
- - COMFORCE Corp. 82,373 237
- - Metromedia International
Group, Inc. 49,700 236
United Water Resources, Inc. 6,900 236
- - Alysis Technologies Inc. 25,100 235
- - insci-statements.com corp. 44,700 235
- - Ocular Sciences, Inc. 12,400 234
- - Caribiner International, Inc. 64,400 233
- - LMI Aerospace, Inc. 77,800 233
- - Value America, Inc. 46,100 233
Covest Bankshares, Inc. 17,500 233
- - AXYS Pharmaceuticals, Inc. 57,245 233
- - Trans World Airlines 82,497 232
- - Catalina Lighting, Inc. 47,900 231
Rouge Industries Inc. 29,200 230
- - Veritas DGC Inc. 16,400 230
- - Wave Systems Corp. 19,200 229
- - Network Event Theater, Inc. 7,700 229
- - Protection One, Inc. 116,400 226
FirstSpartan Financial Corp. 12,500 225
- - SONUS Pharmaceuticals, Inc. 90,000 225
- - SeraCare, Inc. 64,100 224
- - Lancer Corp. 48,485 224
HEICO Corp. Class A 10,554 223
- - Darling International, Inc. 104,900 223
- - Waste Systems International, Inc. 46,900 223
- - CardioDynamics
International Corp. 39,900 219
- - Phoenix International Ltd., Inc. 56,500 219
- - Geerlings & Wade Inc. 31,400 218
- - CHS Electronics, Inc. 193,000 217
- - Goody's Family Clothing 40,300 217
- - Pediatrix Medical Group, Inc. 30,900 216
Argonaut Group, Inc. 10,881 216
- - MTR Gaming Group Inc. 70,500 216
Universal Health Realty
Income REIT 14,700 215
- - Lumisys, Inc. 68,000 215
- - FARO Technologies, Inc. 73,000 214
- - Homestead Village, Inc. 100,887 214
Hubbell Inc. Class A 7,600 214
- - Freeport-McMoRan Copper &
Gold, Inc. Class A 11,512 214
- - ebookers.com PLC 12,300 213
</TABLE>
33
<PAGE> 82
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Maine Public Service Co. 12,200 $ 212
- - WHX Corp. 23,300 210
Senior Housing Properties
Trust REIT 16,840 209
- - American Medical Security
Group, Inc. 34,900 209
- - OAO Technology Solutions, Inc. 27,019 209
- - The Cherry Corp. 19,700 209
- - Per-Se Technologies, Inc. 24,805 209
SJNB Financial Corp. 6,800 207
- - Ramtron International Corp. 30,800 206
- - The Sports Authority, Inc. 102,800 206
- - Keystone Consolidated
Industries, Inc. 34,590 205
Innkeepers USA Trust REIT 25,000 205
- - Global Vacation Group, Inc. 70,700 203
Cadmus Communications 23,900 203
- - Systems & Computer
Technology Corp. 12,500 203
- - Advanced Magnetics, Inc. 47,700 203
- - AMF Bowling, Inc. 64,524 202
Psychemedics, Inc. 40,000 200
First Financial Corp.-Indiana 4,800 199
K2 Inc. 26,062 199
- - EEX Corp. 66,213 195
- - Mesaba Holdings, Inc. 17,000 194
- - ThermoLase Corp. 97,200 194
- - Omtool, Ltd. 81,800 194
- - Styling Technology Corp. 62,100 194
- - Lakes Gaming, Inc. 24,425 194
- - ISCO, Inc. 38,685 193
- - SMC Corp. 48,900 191
- - Coram Healthcare Corp. 169,475 191
- - Tuesday Morning Corp. 10,300 190
- - Burlington Industries, Inc. 47,397 190
Greater Community Bancorp 20,335 189
- - Roy F. Weston, Inc. 91,500 189
KCS Energy, Inc. 231,500 188
- - Vestcom International, Inc. 53,500 187
- - Pericom Semiconductor Corp. 7,100 187
Capstead Mortgage Corp. REIT 44,550 187
- - Merisel, Inc. 141,700 186
- - Lydall, Inc. 28,000 186
- - Paging Network, Inc. 227,700 185
- - AMBI, Inc. 74,800 185
- - U.S. Interactive, Inc. 4,286 184
FNB Financial Services Corp. 17,400 183
- - Titan Exploration, Inc. 33,522 182
Urstadt Biddle Properties REIT 24,900 182
- - Data Race, Inc. 66,722 181
- - COMARCO, Inc. 7,700 181
Bedford Bancshares, Inc. 17,300 179
Green Mountain Power Corp. 24,000 179
Urstadt Biddle Properties REIT
Class A 23,100 178
- - Netivation.com, Inc. 30,500 175
- - Building One Services Corp. 18,442 174
- - Computer Learning Centers, Inc. 72,000 173
- - Budget Group, Inc. 18,900 171
Chiquita Brands International, Inc. 35,935 171
Oakwood Homes Corp. 53,100 169
- - Service Experts, Inc. 29,000 169
- - Advanced Lighting
Technologies, Inc. 29,000 167
First Mariner Bancorp, Inc. 20,000 165
- - The Presley Cos. 30,000 165
Dimon Inc. 50,650 165
Astro-Med, Inc. 26,800 164
- - Technisource, Inc. 27,900 164
Community Banks, Inc. 7,100 162
- - T & W Financial Corp. 92,600 162
- - Capital Pacific Holdings, Inc. 64,788 162
International Shipholding Corp. 13,900 162
- - Black Hawk Gaming &
Development Co., Inc. 27,500 162
Unity Bancorp, Inc. 26,710 160
- - Hecla Mining Co. 102,200 160
- - NeoMedia Technologies, Inc. 33,600 160
Oneida Ltd. 7,300 159
- - Gulf West Banks, Inc. 17,700 158
- - Wiser Oil Co. 63,000 158
Nash-Finch Co. 24,700 157
- - Carriage Services, Inc. 26,500 157
- - National Bancshares Corp.
of Texas 10,600 157
- - Boyd Gaming Corp. 26,700 155
- - Alliance Gaming Corp. 56,300 153
- - Juno Lighting, Inc. 14,572 151
Peekskill Financial Corp. 11,800 150
- - Transworld Healthcare Inc. 79,726 149
- - GT Interactive Software Corp. 89,800 149
- - Greka Energy Corp. 16,064 149
- - Jupiter Communications, Inc. 4,900 148
Pilgrim's Pride Corp. Class A 22,950 148
- - V.I. Technologies, Inc. 21,200 146
- - Medplus, Inc. 20,900 146
PS Business Parks, Inc. REIT 6,400 146
- - Craig Corp. 21,077 145
- - Quanta Services, Inc. 5,100 144
- - Excel Legacy Corp. 43,400 144
- - Viasoft, Inc. 25,048 142
- - Aames Financial Corp. 174,750 142
- - Quality Systems, Inc. 18,300 142
Cavalier Homes, Inc. 35,937 142
- - Radio Unica Corp. 4,900 141
- - Seven Seas Petroleum Inc. 79,500 139
- - Euroweb International Corp. 12,000 139
- - MedicaLogic, Inc. 6,600 139
Frontier Insurance Group, Inc. 40,280 138
- - Harken Energy Corp. 184,300 138
- - e-Net, Inc. 11,100 138
BCSB Bankcorp, Inc. 20,500 136
- - Alyn Corp. 65,800 136
- - Genesis Health Ventures Inc. 65,200 134
- - HomeBase, Inc. 43,800 134
- - NCS HealthCare, Inc. 55,300 133
- - Capital Title Group, Inc. 75,800 133
Howell Corp. 23,000 132
- - U.S. Franchise Systems, Inc.
Class A 29,200 131
SI Handling Systems, Inc. 13,600 130
- - Consumer Portfolio Services, Inc. 82,900 130
</TABLE>
34
<PAGE> 83
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - TST Impreso, Inc. 32,800 $ 129
Anthracite Capital Inc. 20,000 128
Carey Diversified LLC 7,500 127
- - Craig Corp. Pfd. 20,077 125
- - Benihana Inc. 8,400 125
- - QCF Bancorp, Inc. 4,900 124
- - Egreetings Network, Inc. 12,200 124
- - Forcenergy Inc. 241,127 123
Avado Brands, Inc. 29,074 123
- - DLJdirect 9,000 122
- - Water Pik Technologies, Inc. 12,746 122
Wainwright Bank & Trust Co. 18,300 121
- - Alcide Corp. 9,500 121
Allied Products Corp. 33,898 121
BankAtlantic Bancorp, Inc.
Class B 23,501 120
BMC Industries, Inc. 24,663 120
Carolina Southern Bank 9,182 119
- - Federal Agricultural Mortgage
Corp. Class A 7,400 119
- - PowerCerv Corp. 22,600 119
- - Molecular Biosystems, Inc. 118,200 118
- - Martha Stewart Living
Omnimedia, Inc. 4,900 118
- - Western Water Co. 97,600 116
- - Adams Golf, Inc. 71,200 116
- - Arch Communications Group, Inc 17,133 113
Blimpie International, Inc. 59,400 111
Titanium Metals Corp. 24,400 110
- - Interactive Pictures Corp. 4,700 110
- - Dispatch Management
Services Corp. 37,000 109
- - Industri-Matematik
International Corp. 17,700 108
- - eCollege.com Inc. 9,800 107
- - uniView Technologies Corp. 22,700 106
- - Fresh Choice, Inc. 44,800 106
- - Crown Vantage, Inc. 51,424 106
Heilig-Meyers Co. 38,057 105
- - Integral Vision, Inc. 49,058 104
- - Designs, Inc. 70,900 104
- - A.C. Moore Arts & Crafts, Inc. 17,900 104
- - Response Oncology, Inc. 91,200 103
- - Muse Technologies, Inc. 33,300 102
- - The TesseracT Group, Inc. 58,200 102
- - PictureTel Corp. 23,600 102
- - SEEC, Inc. 15,200 102
- - Vornado Operating Inc. REIT 16,915 101
German American Bancorp 5,775 101
Chester Valley Bancorp 6,358 100
- - Komag, Inc. 32,000 100
- - Popmail.com, Inc. 33,300 100
- - Hauser, Inc. 31,925 100
- - North American Vaccine, Inc. 22,061 99
- - CD Warehouse, Inc. 30,400 99
- - United PanAm Financial Corp. 50,900 99
- - Employee Solutions, Inc. 142,900 98
Terra Industries, Inc. 60,250 98
- - Genzyme Surgical Products 16,733 97
Glimcher Realty Trust REIT 7,500 97
- - Huttig Building Products, Inc. 19,356 96
- - PhyCor, Inc. 50,700 95
- - Audible, Inc. 6,300 95
- - Fogdog, Inc. 9,800 93
- - I.D. Systems, Inc. 16,500 92
Comair Holdings, Inc. 3,900 91
- - IEC Electronics Corp. 38,218 91
- - Carrington Labs Inc. 45,128 90
- - System Software Associates, Inc. 44,125 88
- - Nastech Pharmaceutical Co., Inc. 25,900 87
Skylands Financial Corp. 7,900 87
- - Thermedics, Inc. 15,950 87
- - New Frontier Media, Inc. 19,900 85
Colonial Properties Trust REIT 3,500 81
- - Rocky Mountain Chocolate
Factory, Inc. 15,400 81
- - Trump Hotels & Casino
Resorts, Inc. 23,800 80
- - The A Consulting Team, Inc. 16,000 80
- - Anthony & Sylvan Pools Corp. 11,455 79
- - Calypte Biomedical Corp. 56,100 79
- - Heartport Inc. 16,500 78
Fedders Corp. Class A 15,226 78
- - Central Financial
Acceptance Corp. 10,500 77
- - NetRatings, Inc. 1,600 77
- - Barnett, Inc. 7,400 77
- - International Microcomputer
Software, Inc. 37,100 77
- - CellNet Data Systems, Inc. 66,900 75
- - Redhook Ale Brewery, Inc. 33,900 75
- - Webco Industries, Inc. 21,300 75
- - ATEC Group, Inc. 30,400 74
- - CRIIMI MAE, Inc. REIT 51,300 74
- - Ashford.com, Inc. 6,700 74
- - Convergent Communications, Inc. 4,600 73
- - Labtec, Inc. 13,083 72
- - F.Y.I. Inc. 2,100 71
- - PRT Group Inc. 32,300 71
- - Film Roman, Inc. 45,000 70
- - Chic By H.I.S., Inc. 110,580 69
- - Capital Bank Corp. 8,900 69
- - I-Link Inc. Series N Pfd. 69 69
- - JLM Industries, Inc. 20,300 69
- - Unigene 117,700 67
- - QAD Inc. 4,800 67
Wackenhut Corp. Class B 6,350 65
- - International Smart Sourcing, Inc. 9,000 63
- - H.D. Vest, Inc. 10,000 63
- - C2, Inc. 12,700 63
- - Cellular Technical Services 8,045 62
- - Hovnanian Enterprises Class B 9,650 62
- - Gallery of History, Inc. 19,100 62
- - Worldwide Entertainment &
Sports Corp. 31,000 62
Codorus Valley Bancorp, Inc. 3,477 61
York Financial Corp. 5,412 61
- - Geron Corp. 4,700 60
- - ReSourcePhoenix.com, Inc. 3,000 59
Habersham Bancorp 4,500 57
- - Stage Stores, Inc. 24,800 57
- - U.S. Office Products Co. 18,125 57
</TABLE>
35
<PAGE> 84
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Quebecor Printing Inc. 2,537 $ 56
- - Genzyme Molecular Oncology 7,831 55
- - Wellsford Real Properties Inc. REIT 6,400 54
Delhaize America, Inc. Class B 2,564 54
- - Amresco, Inc. 37,200 52
- - AgriBioTech, Inc. 21,300 51
ImmuLogic Pharmaceutical Corp. 88,500 50
- - Badger Paper Mills, Inc. 9,300 50
- - Today's Man Inc. 79,025 49
- - Continucare Corp. 65,000 49
- - Dynamics Research Corp. 5,700 48
- - Electronic Retailing Systems
International, Inc. 48,900 47
- - Omni Nutraceuticals Inc. 41,400 47
- - Family Golf Centers, Inc. 32,900 46
Interpool, Inc. 6,000 45
Kaye Group Inc. 5,300 44
- - Cardima, Inc. 24,300 44
- - Integra, Inc. 25,900 44
- - JPS Packaging Co. 14,300 42
- - Embrex, Inc. 3,800 41
J.M. Smucker Co. Class B 2,500 41
- - Fresh Foods Inc. 8,500 40
Reader's Digest Assn., Inc.
Class B 1,500 40
- - Fortress Group, Inc. 57,700 40
- - Aviation General Inc. 28,600 39
- - Harnischfeger Industries Inc. 94,406 38
- - Checkers Drive-In
Restaurants, Inc. 16,362 37
- - Gold Reserve Inc. Class A 36,900 35
- - Response USA, Inc. 33,400 34
- - IGI, Inc. 17,090 33
- - Jos. A. Bank Clothiers, Inc. 10,500 32
- - TransTexas Gas Corp. 157,500 31
Clarion Commercial Holdings, Inc. 4,000 31
Reckson Associates Realty Corp.
Class B REIT 1,338 31
Steelcase Inc. 2,500 30
- - BTU International, Inc. 5,200 30
- - Allergan Specialty
Therapeutics, Inc. 2,331 29
- - Alphanet Solutions, Inc. 7,000 28
- - Colonial Downs Holdings, Inc. 34,500 28
- - Blount International, Inc. 1,733 28
- - Magellan Petroleum Corp. 22,000 28
Herbalife International Class A 1,900 27
- - O'Sullivan Industries Holdings,
Inc. 12% Pfd. 53,500 27
- - Lexington Global Asset
Managers, Inc. 11,000 27
- - Star Buffet, Inc. 7,600 27
- - Filene's Basement Corp. 212,205 26
- - Service Merchandise Co., Inc. 299,650 25
- - Heartland Technology, Inc 7,700 23
- - Trailer Bridge, Inc. 18,400 23
- - The Knot, Inc. 2,700 23
- - Candie's, Inc. 25,000 23
- - Interstate Hotels Corp. REIT 6,932 23
Equity Inns, Inc. REIT 3,300 22
- - All American Semiconductor, Inc. 7,440 22
- - Neoprobe Corp. 50,000 22
Movado Group, Inc. 1,000 22
- - Terra Nitrogen Co., LP 5,800 22
- - Nord Resources Corp. 144,900 22
Belmont Bancorp. 3,400 22
Pittsburgh & West Virginia
Railroad 3,000 21
- - Northwest Pipe Co. 1,500 21
- - Ascent Pediatrics, Inc. 16,700 21
- - Perceptron, Inc. 5,000 20
- - Multigraphics Inc. 17,600 20
Hudson River Bancorp. Inc. 1,900 19
- - BJ Services Co.
Warrants Exp. 4/13/2000 353 19
- - Conrad Industries, Inc. 5,800 19
- - Base Ten Systems, Inc. Class A 7,860 19
- - Technical Chemicals and
Products, Inc. 37,200 19
- - Starcraft Corp. 2,500 18
- - Penncorp Financial Group Inc. 43,500 18
- - Einstein/Noah Bagel Corp. 42,500 17
- - Vizacom Inc. 5,117 17
- - VCampus Corp. 5,300 17
- - FiNet.com, Inc. 12,500 16
- - Dunn Computer Corp. 5,000 16
- - Aqua Care Systems, Inc. 10,000 16
- - Helen of Troy Corp. 2,100 15
- - Offshore Logistics, Inc. 1,600 15
- - Applied Magnetics Corp. 39,600 15
- - Lifeway Foods, Inc. 2,000 15
- - Royal Precision Inc. 5,800 15
- - Prime Energy Corp. 3,000 14
- - Innovative Gaming Corp. 10,050 14
- - Lanvision Systems, Inc. 13,400 14
- - Avatex Corp. Class A 10,000 14
Jacksonville Bancorp, Inc. 1,000 14
- - Group 1 Software, Inc. 1,000 13
- - CRIIMI MAE, Inc.
12% Series F Cvt. Pfd. REIT 1,539 13
- - DecisionOne Holdings Corp. 24,614 12
- - ContiFinancial Corp. 49,300 12
Bandag, Inc. Class A 538 11
- - AER Energy Resources, Inc. 43,400 11
- - Cardinal Financial Corp. 2,000 11
- - Merry Land Properties, Inc. REIT 2,105 11
- - Just for Feet, Inc. 44,176 11
Mitchell Energy & Development
Corp. Class B 500 11
- - Agritope, Inc. 9,660 11
- - Medical Alliance, Inc. 5,000 10
- - Frisby Technologies, Inc. 2,000 10
- - Waste Connections, Inc. 700 10
- - NewStar Media, Inc. 19,000 10
- - Insilco Holding Corp. 401 10
- - Safeguard Health Enterprises, Inc. 16,035 10
- - Storage Computer Corp. 2,000 10
- - Vencor, Inc. 107,863 10
- - LTC Healthcare, Inc. 4,310 9
- - Horizon Group Properties,
Inc. REIT 2,510 8
- - Florsheim Group Inc. 3,000 8
</TABLE>
36
<PAGE> 85
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
- - Total Entertainment
Restaurant Corp. 5,000 $ 8
- - FirstCity Financial Corp. 3,000 8
- - Breed Technological Inc. 55,600 8
- - Skechers U.S.A., Inc. 2,000 8
- - Uranium Resources, Inc. 52,432 7
- - American Banknote Corp. 144,200 7
- - Fechtor, Detwiler, Mitchell & Co. 5,200 7
- - TCI Satellite Entertainment, Inc.
Class B 420 7
- - NovaCare, Inc. 35,688 7
- - Alteon, Inc. 7,400 6
- - Odwalla, Inc. 1,000 6
- - Sabratek Corp. 73,200 6
- - LecTec Corp. 3,500 6
- - Specialty Chemical
Resources, Inc. 29,400 6
- - Cytrx Corp. 5,900 5
- - IntegraMed America, Inc. 1,400 5
- - Planet Hollywood International,
Inc. Class A 65,500 5
- - Graham-Field Health
Products Inc. 36,684 5
- - CTI Industries Corp. 2,500 4
- - The Penn Traffic Co. 447 4
- - Integrated Health Services, Inc. 45,600 4
- - Solv-Ex Corp. 32,466 4
- - Axiohm Transaction Solutions, Inc. 22,189 4
- - Altiva Financial Corp. 4,240 4
- - ProcureNet, Inc. 22,500 3
- - Gradco Systems, Inc. 2,550 3
- - Alanco Technologies, Inc. 1,728 3
- - United Cos. Finance Corp. 48,417 2
- - Sun Healthcare Group, Inc. 57,896 2
- - Empire of Carolina, Inc. 8,900 2
- - ILX Resorts Inc. 1,200 2
- - Precision Auto Care, Inc. 1,600 2
- - Inland Resources Inc. 500 2
- - Centennial Technologies, Inc. 122 1
- - Marvel Enterprises, Inc.
Class C Warrants Exp. 10/2/2002 2,555 1
- - Marvel Enterprises, Inc.
Class A Warrants Exp. 10/2/2001 1,508 1
- - AES Corp. Warrants Exp. 7/31/2000 9 1
- - World Corp. 36,600 1
- - Webfinancial Corp.
Warrants Exp. 4/28/2002 1,508 1
- - PHP Healthcare Corp. 31,900 1
- - Edison Brothers Stores, Inc. 57,371 1
- - News Communications, Inc. 501 1
- - Genesis Direct, Inc. 109,700 1
- - Ross Technology, Inc. 118,600 --
- - Starter Corp. 135,800 --
- ------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $14,636,466) 21,633,853
- ------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (4.5%)(1)
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 5.67%, 2/3/2000 $ 4,000 $ 3,979
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 5.64%, 1/18/2000 20,000 19,955
U.S. TREASURY BILL
(2) 4.86%, 2/17/2000 1,000 994
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 504,804 504,804
3.47%, 1/3/2000--Note G 460,383 460,383
- ------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $990,107) 990,115
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS (102.2%)
(COST $15,626,573) 22,623,968
- ------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-2.2%)
- ------------------------------------------------------------------------------
Other Assets--Note B 182,127
Liabilities--Note G (666,503)
----------
(484,376)
- ------------------------------------------------------------------------------
NET ASSETS (100%) $22,139,592
==============================================================================
</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 2.2%, respectively, of net
assets. See Note F in Notes to Financial Statements.
(2) Securities with an aggregate value of $24,928,000 have been segregated as
initial margin for open futures contracts.
ADR--American Depositary Receipt.
PEPS--Premium Equity Participating Securities.
REIT--Real Estate Investment Trust.
37
<PAGE> 86
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
TOTAL STOCK MARKET AMOUNT
INDEX FUND (000)
- -------------------------------------------------------------------------------
<S> <C>
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- ------------------------------------------------------------------------------
Paid in Capital $ 15,104,358
Overdistributed Net Investment Income (5,652)
Accumulated Net Realized Gains 24,540
Unrealized Appreciation--Note F
Investment Securities 6,997,395
Futures Contracts 18,951
- ------------------------------------------------------------------------------
NET ASSETS $ 22,139,592
==============================================================================
Investor Shares--Net Assets
Applicable to 545,875,547 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 18,133,124
- ------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $33.22
==============================================================================
Institutional Shares--Net Assets
Applicable to 120,603,337 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 4,006,468
- ------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $33.22
==============================================================================
</TABLE>
38
<PAGE> 87
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Trustees of
Vanguard U.S. Stock Index Funds
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights appearing in the Annual Report to the Shareholders present fairly,
in all material respects, the financial position of Vanguard Growth Index Fund,
Vanguard Value Index Fund and Vanguard Total Stock Market Index Fund (separate
funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds")
at December 31, 1999, the results of each of their operations for the year then
ended, the changes in each of their net assets for each of the two years in the
period then ended and the financial highlights for each of the periods
indicated, in conformity with accounting principles generally accepted in the
United States. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in the
United States, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 2, 2000
39
<PAGE> 88
F400-02/18/2000
<PAGE> 89
VANGUARD(R)
U.S. STOCK INDEX
FUNDS
MID- AND SMALL-CAPITALIZATION
PORTFOLIOS
VANGUARD EXTENDED MARKET INDEX FUND
VANGUARD MID-CAP INDEX FUND
VANGUARD SMALL-CAP INDEX FUND
VANGUARD SMALL-CAP GROWTH INDEX FUND
VANGUARD SMALL-CAP VALUE INDEX FUND
[PHOTO]
ANNUAL REPORT
DECEMBER 31, 1999
[THE VANGUARD GROUP LOGO]
<PAGE> 90
[PHOTO]
John C. Bogle
FELLOW SHAREHOLDERS:
Two roads diverged in a wood, and I--I took the one less traveled by, and
that has made all the difference.
I can think of no better words than those of Robert Frost to begin this
special letter to our shareholders, who have placed such extraordinary trust in
me and in Vanguard over the past quarter century. When the firm was founded 25
years ago, we deliberately took a new road to managing a mutual fund
enterprise. Instead of having the funds controlled by an outside management
company with its own financial interests, the Vanguard funds--there were only
11 of them then--would be controlled by their own shareholders and operate
solely in their financial interests. The outcome of our unprecedented decision
was by no means certain. We described it then as "The Vanguard Experiment."
Well, I guess it's fair to say it's an experiment no more. During the past
25 years, the assets we hold in stewardship for investors have grown from $1
billion to more than $500 billion, and I believe that our reputation for
integrity, fair-dealing, and sound investment principles is second to none in
this industry. Our staggering growth--which I never sought-- has come in
important part as a result of the simple investment ideas and basic human values
that are the foundation of my personal philosophy. I have every confidence that
they will long endure at Vanguard, for they are the right ideas and right
values, unshakable and eternal.
While Emerson believed that "an institution is the lengthened shadow of one
man," Vanguard today is far greater than any individual. The Vanguard crew has
splendidly implemented and enthusiastically supported our founding ideas and
values, and deserves the credit for a vital role in forging our success over the
years. It is a dedicated crew of fine human beings, working together in an
organization that is well prepared to press on regardless long after I am gone.
Creating and leading this enterprise has been an exhilarating run. Through it
all, I've taken the kudos and the blows alike, enjoying every moment to the
fullest, and even getting a second chance at life with a heart transplant nearly
four years ago. What more could a man ask?
While I shall no longer be serving on the Vanguard Board, I want to assure
you that I will remain vigorous and active in a newly created Vanguard unit,
researching the financial markets, writing, and speaking. I'll continue to focus
whatever intellectual power and ethical strength I possess on my mission to
assure that mutual fund investors everywhere receive a fair shake. In the spirit
of Robert Frost:
But I have promises to keep, and miles to go before I sleep, and miles to
go before I sleep.
You have given me your loyalty and friendship over these long years, and I
deeply appreciate your thousands of letters of support. For my part, I will
continue to keep an eagle eye on your interests, for you deserve no less. May
God bless you all, always.
/s/JOHN C. BOGLE
CONTENTS
REPORT FROM
THE CHAIRMAN
1
AFTER-TAX
RETURNS REPORT
7
THE MARKETS IN
PERSPECTIVE
9
PERFORMANCE
SUMMARIES
11
FUND
PROFILES
20
FINANCIAL
STATEMENTS
26
<PAGE> 91
[PHOTO]
John J. Brennan
REPORT FROM THE CHAIRMAN
Technology stocks rocketed higher during 1999, carrying most U.S. stock market
indexes along with them. The overall market gained more than 20% for an
unprecedented fifth consecutive year.
All five Vanguard mid-and small-capitalization index funds actually
managed to beat the returns of their target indexes. All provided positive
returns, although these returns diverged widely, reflecting the market's
lopsided focus on growth-oriented technology companies. Returns ranged from a
high of 36.2% for the Extended Market Index Fund to a low of 3.3% for the
Small-Cap Value Index Fund.
The table at right presents the 12-month total returns (capital change plus
reinvested dividends) for the funds and their unmanaged benchmark indexes, as
well as for four funds' Institutional shares. Each fund's return is based on the
change in its net asset value during the year, adjusted for income dividends and
capital gains distributions. Those per-share figures appear in the table that
follows this letter.
<TABLE>
<CAPTION>
- -----------------------------------------------------------
TOTAL RETURNS
YEAR ENDED
DECEMBER 31, 1999
- -----------------------------------------------------------
<S> <C>
EXTENDED MARKET INDEX FUND 36.2%
Wilshire 4500 Index 35.4
- -----------------------------------------------------------
MID-CAP INDEX FUND 15.3%
S&P MidCap 400 Index 14.7
- -----------------------------------------------------------
SMALL-CAP INDEX FUND 23.1%
Russell 2000 Index 21.3
- -----------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND 19.8%
S&P SmallCap 600/BARRA Growth Index 19.6
- -----------------------------------------------------------
SMALL-CAP VALUE INDEX FUND 3.3%
S&P SmallCap 600/BARRA Value Index 3.0
- -----------------------------------------------------------
INSTITUTIONAL SHARES
- -----------------------------------------------------------
EXTENDED MARKET INDEX FUND 36.4%
Wilshire 4500 Index 35.4
- -----------------------------------------------------------
MID-CAP INDEX FUND 15.4%
S&P MidCap 400 Index 14.7
- -----------------------------------------------------------
SMALL-CAP INDEX FUND 23.3%
Russell 2000 Index 21.3
- -----------------------------------------------------------
SMALL-CAP VALUE INDEX FUND* 2.8%
S&P SmallCap 600/BARRA Value Index 2.7
- -----------------------------------------------------------
</TABLE>
*Since inception: December 7, 1999.
FINANCIAL MARKETS IN REVIEW
The U.S. economy continued its remarkable growth in 1999. As 2000 begins, the
nation is on the verge of the longest-running expansion in U.S. history.
Inflation-adjusted economic output rose about 4% during the year, and
unemployment was at a 30-year low of 4.1% of the workforce at year-end. Overseas
economies also picked up steam, and yet inflation did not get out of hand. A
significant rise in energy prices did help push up consumer prices by 2.7%
during the year. However, the "core" rate of inflation, which excludes the
volatile energy and food sectors, rose just 1.9%--the smallest annual increase
since 1965.
Nonetheless, fears of higher inflation were reflected in a steady rise in
interest rates during 1999. The yield of the 30-year U.S. Treasury bond ended
the year at 6.48%, up 138 basis points (1.38 percentage points) from its
starting point on December 31, 1998. The Federal Reserve Board encouraged the
uptrend, raising its target for short-term interest rates three times by a total
of 75 basis points in an attempt to slow the economy. Of course, rising rates
cause bond prices to fall. Interest rates rose across all maturities in
1
<PAGE> 92
1999, and the U.S. bond market suffered its worst year since 1994. The Lehman
Brothers Aggregate Bond Index, a broad measure of the bond market, had a -0.8%
return.
As noted, the white-hot technology sector propelled the U.S. stock market
to its fifth straight annual gain of more than 20%. This performance was a bit
of a comeback story. Stocks got off to a strong start during the first four
months of 1999, but struggled in the face of higher interest rates through most
of the summer and into the fall. Through September, the Wilshire 5000 Total
Market Index returned 4.6%. But tech stocks led the market on an upward tear in
the fourth quarter, bringing the Wilshire 5000's full-year return to a
remarkable 23.8%. The large-cap-dominated Standard & Poor's 500 Index, which
accounts for more than 75% of the overall market's value, returned 21.0% in
1999. Small-cap stocks, as measured by the Russell 2000 Index, returned 21.3%--a
fine showing for a market segment that had badly lagged large-cap stocks in the
five previous years.
The rise of the major indexes suggests a broad advance for the market, but
in truth it was a year of "haves" and "have nots"--a huge number of stocks did
not join in the market's ascent. Fully 60% of those listed on the New York Stock
Exchange actually declined in price in 1999, and so did 48% of the stocks listed
on the Nasdaq market. (In fact, 36% of NYSE stocks and 31% of Nasdaq issues fell
by more than 20%.) Many of the decliners were value stocks--issues whose prices
are relatively low in comparison with such fundamentals as earnings, dividends,
and book value.
As the year's leading "have," the technology sector was largely responsible
for the big gains posted by growth indexes. The average investment in tech
stocks--as measured by the sector's return in the all-market Wilshire 5000
Index--surged 78%. But tech stocks are scarce in value indexes, which explains
why returns for these benchmarks lagged the broad market averages and were way
behind returns for the growth indexes.
1999 PERFORMANCE OVERVIEW
As noted, all five of Vanguard's mid- and small-cap index funds outpaced their
target indexes during 1999--a remarkable feat given that the indexes themselves
exist only on paper and incur no operating and transaction costs. However, as
shown in the adjacent table, all five of our funds trailed the average returns
from peer groups of mutual funds. There are straightforward explanations for
these anomalies, however, and overall our funds acquitted themselves very well
in 1999.
This year, our small- and mid-cap index funds provided returns that were 20
to 180 basis points (0.2 to 1.8 percentage points) higher than their bogeys.
This unusual result is owing to skilled management by Vanguard's Core Management
Group, which manages some $225 billion in indexed and quantitatively driven
stock portfolios. Our funds benefited both from the group's adroit execution of
trades and from Vanguard's position as a large participant in the markets, which
helps us to get excellent terms from market-makers
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
TOTAL RETURNS
YEAR ENDED DECEMBER 31, 1999
-------------------------------------------------------
VANGUARD AVERAGE
INDEX COMPARABLE
FUND FUND* DIFFERENCE
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market 36.2% 38.3% -2.1%
Mid-Cap 15.3 38.3 -23.0
Small-Cap 23.1 28.4 -5.3
Small-Cap Growth 19.8 62.6 -42.8
Small-Cap Value 3.3 6.3 -3.0
- --------------------------------------------------------------------------------
</TABLE>
* Figures for the average comparable funds are derived from data provided by
Lipper Inc. The 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.
2
<PAGE> 93
and brokerage firms. Although we're quite pleased to have beaten our benchmarks
during 1999, we stress that this is unusual. Over the long term, we expect to
slightly lag the returns of the indexes, since we incur costs that they do not.
There is no magic to indexing--the idea is to keep operating and transaction
costs to a minimum so that our shareholders get as close to the market return as
possible.
Compared with averages for peer groups, our mid- and small-cap funds
delivered subpar results in 1999. The Extended Market, Small-Cap Value, and
Small-Cap Index Funds trailed their peers by 2.1, 3.0, and 5.3 percentage
points, respectively. The Mid-Cap and Small-Cap Growth Index Funds, however,
were far behind their competitors--by 23.0 and 42.8 percentage points,
respectively. These performance gaps stemmed, we believe, from a couple of
factors. First, many of our actively managed competitors held technology
positions that were far larger than those of the indexes, and thus, our funds.
Also, a number of funds profited greatly during the year from participating in
initial public offerings. Funds that were able to buy shares in "hot" IPOs at
the offering price profited, in many cases, by quickly selling shares at
significant gains to eager buyers.
For our index funds, by contrast, exposure to tech stocks is limited to the
exposure of their target indexes. IPOs were off-limits for the Mid-Cap,
Small-Cap, Small-Cap Growth, and Small-Cap Value funds, whose indexes do not
quickly add newly public companies. Three of those funds track indexes created
by Standard & Poor's Corporation, which does not add a stock to an index until
the issuing company has three years of operating results. The Small-Cap Index
Fund tracks the Russell 2000 Index, which is updated annually by its sponsor,
Frank Russell Company. The Extended Market Index Fund tracks the Wilshire 4500
Completion Index, created by Wilshire Associates. Wilshire adds new issues to
the index, but with a lag. In 1999, at least 15 of the Wilshire 4500's new
entrants--including VerticalNet and Red Hat--had gains well in excess of 100%.
However, many of these stellar gains were recorded on the IPOs' first trading
days--before they were added to the index.
One other point about the performance of our mid- and small-cap index funds
is worth mentioning. The Extended Market Index Fund, which attempts to match the
average performance of all mid- and small-cap stocks, delivered a gain of 36.2%.
This was well above the returns of our four funds tracking various slices of the
mid- and small-cap universe. The reason for this is that the Wilshire 4500 Index
includes more than 6,500 stocks--more than twice the number in the four other
benchmarks combined. As a result, our Extended Market Index Fund reflects many
stocks not represented in the Mid-Cap, Small-Cap, Small-Cap Growth, and
Small-Cap Value Index Funds. The five indexes we track do have some overlap, but
their holdings are far from identical. These differences can cause wide
performance gaps over short periods, although we would expect long-term returns
from these discrete segments of the stock market to be similar.
LONG-TERM PERFORMANCE OVERVIEW
The table on page 4 presents longer-term annualized returns for our funds, their
average peer mutual funds, and their benchmark indexes. For the Extended Market
and Small-Cap Index Funds, the table covers the past decade. For the Mid-Cap,
Small-Cap Growth, and Small-Cap Value Index Funds, it shows results since the
funds' inception on May 21, 1998. (It should go without saying that 19 months
hardly constitutes a "long term" when it comes to investing.) Finally, the table
shows the value of hypothetical $10,000 investments made either ten years ago or
at inception in each fund and its comparative standards.
3
<PAGE> 94
As you can see, our funds have done a good job of tracking their unmanaged
target indexes. The Small-Cap Index Fund has managed to top its bogey, the
Russell 2000 Index, by an annual average of 0.8 percentage point, and to match
the average return for small-cap core mutual funds. The Extended Market Index
Fund outpaced the Wilshire 4500 Index by an average of 0.1 percentage point
annually but trailed the average mid-cap core fund during the 1990s by an
average of 1.3 percentage points per year.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
TOTAL RETURNS
TEN YEARS ENDED
DECEMBER 31, 1999*
- --------------------------------------------------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RETURN INITIAL INVESTMENT
- --------------------------------------------------------------------------------
<S> <C> <C>
EXTENDED MARKET INDEX FUND 16.3% $45,394
Average Mid-Cap Core Fund 17.6 50,588
Wilshire 4500 Index 16.2 44,721
- --------------------------------------------------------------------------------
MID-CAP INDEX FUND 14.9% $12,518
Average Mid-Cap Core Fund 21.1 13,623
S&P MidCap 400 Index 14.1 12,375
- --------------------------------------------------------------------------------
SMALL-CAP INDEX FUND 14.2% $37,718
Average Small-Cap Core Fund 14.2 37,661
Russell 2000 Index 13.4 35,159
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND 8.5% $11,409
Average Small-Cap Growth Fund 31.8 15,622
S&P SmallCap 600/
BARRA Growth Index 8.2 11,363
- --------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND -6.0% $9,046
Average Small-Cap Value Fund -6.1 9,029
S&P SmallCap 600/
BARRA Value Index -6.7 8,936
- --------------------------------------------------------------------------------
</TABLE>
*For the Mid-Cap, Small-Cap Growth, and Small-Cap Value Index Funds, the
returns are annualized since May 21, 1998, the funds' inception date.
As noted, the essence of indexing as an investment strategy is to hold
operating and transaction costs to a minimum so the funds can garner nearly all
of the market's return. We believe this is a sound long-term strategy because,
while some mutual funds will outperform indexes over any given period, it is
extremely difficult (some would say impossible) to identify those "winning"
funds in advance.
In the unpredictable world of investing, low-cost index funds offer
investors an element of predictability, namely, that the fund's return should be
very close to the return for the market segment it tracks. The market return, of
course, is itself unpredictable and highly variable--up sharply in some years
and down sharply in others. One other relatively predictable element of
investing is cost--high-cost funds tend to stay high-cost from year to year. At
Vanguard, of course, low costs are a recurring feature. The expense ratio
(annual operating expenses as a percentage of average net assets) of each of the
mid- and small-cap index funds was 0.25% ($2.50 per $1,000 in assets) in 1999, a
small fraction of the expenses charged by their average peer funds. The average
expense ratios for competitors ranged from 1.39% ($13.90 per $1,000) for the
average small-cap core fund to 1.63% ($16.30 per $1,000) for the average
small-cap growth fund. In practice, our advantage means that for competing funds
to match or exceed our net returns, they must earn a higher gross
return--perhaps by taking greater risks--to offset their higher costs.
It is important to recognize that the past decade's returns for the stock
market and for our Extended Market and Small-Cap Index Funds were unusually
generous compared with long-term norms. The U.S. stock market, as measured by
the Wilshire 5000 Index, produced an average annual return of 17.6% during the
1990s, more than 11/2 times the average return of about 11% achieved by stocks
since 1925.
In part, the big returns of the past decade reflect the underlying growth
in the economy and in corporate profits. But another part of the gains can be
traced to growing optimism
4
<PAGE> 95
about stocks and less fear of their risks. These changes in perception are
reflected in the extraordinary rise in the market's average price/earnings
ratio--from about 16 as the decade of the 1990s began to an unprecedented 33
when it ended. No one knows when investors' perceptions will turn toward
pessimism. But we note that the moods of markets, like the moods of the millions
of individuals who make up the markets, can shift dramatically.
In constructing long-term plans, it is prudent to recognize that financial
markets will go through bad times as well as good times and to adopt realistic
assumptions about future returns. We don't believe it is realistic to expect the
next decade to be as rewarding as the past one. This isn't a forecast of doom.
If inflation remains in the neighborhood of 3% annually, it would take stock
returns of only 8% to 9% a year to provide decent real, or inflation-adjusted,
returns of 5% to 6%.
IN SUMMARY
As we enter a new century, the temptation for investors to chase hot performance
may be stronger than ever. But building an investment program around a
relatively narrow group of stocks that have recently skyrocketed is a
dangerous--and unnecessary--gamble. The financial markets are ever cyclical.
Stocks of all styles and sizes--as well as entire asset classes--move in and out
of favor in unpredictable patterns. That is why we recommend that investors hold
balanced, diversified portfolios of stock funds, bond funds, and short-term
reserves that are suited to their individual goals, investment time horizon, and
temperament for risk-taking. Such balanced portfolios are a solid foundation for
long-term investment success.
/s/JOHN J. BRENNAN
John J. Brennan
Chairman and Chief Executive Officer
January 20, 2000
A NOTE OF THANKS TO OUR FOUNDER
As you may have read on the inside cover of our report, our founder, John C.
Bogle, retired on December 31, 1999, as Senior Chairman of our Board after
nearly 25 years of devoted service to Vanguard and our shareholders. Vanguard
investors have Jack to thank for creating a truly mutual mutual fund company
that operates solely in the interest of its fund shareholders. And mutual fund
investors everywhere have benefited from his energetic efforts to improve this
industry. Finally, on a personal note, I am forever grateful to Jack for giving
me the opportunity to join this great company in 1982.
5
<PAGE> 96
FUND STATISTICS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, 1999
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS FROM DIVIDENDS PER
NET ASSET VALUE PER SHARE NET REALIZED SHARE FROM NET
VANGUARD INDEX FUND DEC. 31, 1998 DEC. 31, 1999 CAPITAL GAINS INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market $30.63 $37.07 $3.640 $0.318
Mid-Cap 10.79 11.30 0.935 0.076
Small-Cap 21.20 23.60 2.080 0.267
Small-Cap Growth 9.53 11.38 -- 0.035
Small-Cap Value 8.74 8.45 0.495 0.070
- ---------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
- ---------------------------------------------------------------------------------------------------------------------------
Extended Market $30.63 $37.09 $3.640 $0.364
Mid-Cap 10.79 11.30 0.935 0.086
Small-Cap 21.20 23.61 2.080 0.296
Small-Cap Value 8.74* 8.45 0.455 0.070
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Net asset value as of inception, December 7, 1999.
6
<PAGE> 97
A REPORT ON YOUR FUNDS' AFTER-TAX RETURNS
Beginning with this annual report, Vanguard is pleased to provide a review of
the after-tax performance of our Mid- and Small-Cap Index Funds. The figures in
this report demonstrate the considerable impact that federal income taxes can
have on a fund's return--an important consideration for investors who own mutual
funds in taxable accounts. While the pretax return is most often used to tally a
fund's performance, the fund's after-tax return, which accounts for taxes on
distributions of capital gains and income dividends, is a better representation
of the return that many investors actually received. If you own a fund in a
tax-deferred account such as an individual retirement account or a 401(k), this
information does not apply to you. Such accounts are not subject to current
taxes.
The table below presents the pretax and after-tax returns for your fund and
an appropriate peer group of mutual funds. Two things to keep in mind:
- The after-tax return calculations use the top federal income tax rates
in effect at the time of each distribution. The tax burden, therefore, would be
somewhat less, and the after-tax return somewhat more, for those in lower tax
brackets.
- The peer funds' returns are provided by Morningstar, Inc. (Elsewhere in
this report, returns for comparable mutual funds are derived from data provided
by Lipper Inc., which differ somewhat.)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS: PRETAX AND AFTER-TAX
PERIODS ENDED DECEMBER 31, 1999
----------------------------------------------------------
1 YEAR 5 YEARS* 10 YEARS
----------------------------------------------------------
PRETAX AFTER-TAX PRETAX AFTER-TAX PRETAX AFTER-TAX
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Extended Market Index Fund 36.2% 32.6% 24.1% 21.6% 16.3% 14.6%
Institutional Shares 36.4 32.7 22.5 19.3 -- --
Average Mid-Cap
Blend Fund** 17.1 14.7 19.2 16.5 14.0 11.5
- -----------------------------------------------------------------------------------------
Mid-Cap Index Fund 15.3% 11.3% 14.9% 12.2% -- --
Institutional Shares 15.4 11.4 15.0 12.3 -- --
Average Mid-Cap
Blend Fund** 17.1 14.7 -- -- -- --
- -----------------------------------------------------------------------------------------
Small-Cap Index Fund 23.1% 20.3% 17.8% 15.6% 14.2% 12.4%
Institutional Shares 23.3 20.5 12.5 9.8 -- --
Average Small Blend Fund** 22.2 20.5 16.9 14.3 12.4 10.1
- -----------------------------------------------------------------------------------------
Small-Cap Growth Index Fund 19.8% 19.6% 8.5% 8.3% -- --
Average Small Growth Fund** 65.8 62.5 -- -- -- --
- -----------------------------------------------------------------------------------------
Small-Cap Value Index Fund 3.3% 0.9% -6.0% -7.6% -- --
Average Small Value Fund** 4.9 3.9 -- -- -- --
- -----------------------------------------------------------------------------------------
</TABLE>
*For Vanguard Mid-Cap, Mid-Cap Institutional Shares, Small-Cap Growth, and
Small-Cap Value Index Funds, returns are annualized since inception on May
21, 1998; for Extended Market Institutional Shares and Small-Cap Index Fund
Institutional Shares, inception is July 7, 1997.
**Based on data from Morningstar, Inc.
As you can see, the tax efficiency of the mid- and small-cap index funds
varied considerably during 1999. For example, the Extended Market Index Fund's
pretax total return of 36.2% for the 12 months ended December 31, 1999, was
reduced by taxes to 32.6%. In other words, for investors in the highest bracket,
taxes cut the fund's pretax return by 3.6 percentage points. The after-tax
return for our Small-Cap Growth Index Fund was only 0.2 percentage point lower
than its 19.8% pretax return. Over the full decade ended December 31, 1999, the
Extended Market and Small-Cap Index Funds delivered higher average annual
returns--both before and after taxes--than their average peers.
7
<PAGE> 98
We stress that because many interrelated factors affect how tax-friendly a
fund may be, it's very difficult to predict tax efficiency. A fund's tax
efficiency can be influenced by its turnover rate, the types of securities it
holds, the accounting practices it uses when selling shares, and the net cash
flow it receives.
Finally, it's important to understand that our calculation does not reflect
the effect of your own investment activities. Specifically, you may incur
additional capital gains taxes--thereby lowering your after-tax return--if you
decide to sell all or some of your shares.
A NOTE ABOUT OUR CALCULATIONS: Pretax total returns assume that all
distributions received (income dividends, short-term capital gains, and
long-term capital gains) are reinvested in new shares, while our after-tax
returns assume that distributions are reduced by any taxes owed on them before
reinvestment. Total returns do not reflect any transaction fees. When
calculating the taxes due, we used the highest individual federal income tax
rates at the time of the distributions. Those rates are currently 39.6% for
dividends and short-term capital gains and 20% for long-term capital gains.
State and local income taxes were not considered. The competitive group returns
provided by Morningstar are calculated in a manner consistent with that used for
Vanguard funds.
8
<PAGE> 99
THE MARKETS IN PERSPECTIVE
YEAR ENDED DECEMBER 31, 1999
A global expansion in economic activity bolstered stocks at home and abroad
during 1999. the muscular u.s. economy provided a good bit of the oomph, but it
got an assist from solid growth in Asian, European, and Latin american economies
that had slumped in 1997 and 1998.
Interest rates increased significantly--causing bond prices to fall--as
both investors and monetary policymakers grew concerned that economic growth was
so vigorous that it would cause inflation to accelerate.
U.S. STOCK MARKETS
The booming economy and growing corporate profits provided plenty of fuel for
stock prices during 1999. However, higher interest rates restrained the rise,
especially for financial-services and electric utility stocks regarded as
interest rate sensitive.
U.S. economic output increased at an inflation-adjusted rate of about
4%--a very rapid pace for such a large, mature economy. Analysts estimated that
corporate profits would grow by 14% in 1999 and again in 2000. Consumer
spending, which accounts for roughly two-thirds of economic activity, was
strong. People felt prosperous, thanks to the long bull market, plentiful jobs,
and rising incomes. (After-tax personal income grew by more than 5% in 1999, and
unemployment at year-end was at a three-decade low of 4.1% of the workforce.)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
-------------------------------------
1 YEAR 3 YEARS 5 YEARS
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
STOCKS
S&P 500 Index 21.0% 27.6% 28.6%
Russell 2000 Index 21.3 13.1 16.7
Wilshire 5000 Index 23.8 26.1 27.1
MSCI EAFE Index 27.3 16.1 13.2
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index - 0.8% 5.7% 7.7%
Lehman 10 Year Municipal Bond Index -1.3 4.8 7.1
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 4.7 5.0 5.2
- --------------------------------------------------------------------------------
OTHER
Consumer Price Index 2.7% 2.0% 2.4%
- --------------------------------------------------------------------------------
</TABLE>
The stock market, as measured by the Wilshire 5000 Index, gained 23.8%,
with more than three-quarters of the gain coming in the final quarter of 1999.
For the first time in several years, smaller stocks outpaced
large-capitalization issues. The S&P 500 Index, which is dominated by large-cap
stocks and accounts for more than three-quarters of the U.S. stock market's
total value, gained 21.0% during the year; the rest of the market gained 35.4%.
Hidden in the market averages was an amazing divergence in stock
performance. Prices soared for most technology-related stocks, but performance
was pedestrian, at best, for most other issues. Indeed, three-fifths of stocks
on the New York Stock Exchange fell in 1999. The technology sector of the S&P
500 Index gained 74%, and the producer-durables sector, driven by huge gains for
some makers of telecommunications and technology gear, was up 49%. These results
were in stark contrast to the declines suffered by food and beverage companies
in the consumer-staples sector (-16%) and by many companies in the health-care
group (-10%).
9
<PAGE> 100
Investors seemed bedazzled by the prospects for growth in revenue and
profits among tech stocks, but less interested in the actual profits for
nontech companies. Remarkably, the average S&P 500 stock without earnings
gained 36.5% in 1999, while the average stock with earnings rose 11.5%. There
is general agreement that growth in Internet commerce, computers, software,
wireless communications, and other key tech sectors will be stupendous.
However, there is much disagreement about whether profits will grow so
impressively, given the intense competition. During 1999, optimists clearly
ruled.
U.S. BOND MARKETS
The pickup in worldwide economic activity buoyed stock prices but depressed bond
prices. Interest rates, which move in the opposite direction from bond prices,
rose sharply. The rate increase stemmed from increased borrowing by corporations
and individuals and from investors' fears that a sizzling economy was bound to
send inflation soaring.
The inflation evidence was ambiguous. Price increases were greater in 1999
than in 1998 at both the wholesale and consumer levels. Wholesale prices rose
3.0%, the biggest gain since 1990. And the Consumer Price Index advanced 2.7% in
1999 after a gain of just 1.6% in 1998. However, energy prices, which plunged in
1998 and shot up in 1999, skewed the figures in both periods. At the consumer
level, the "core rate" of inflation, which excludes food and energy prices, was
up just 1.9% in 1999, the smallest increase in 35 years.
At midyear, the Federal Reserve Board, aiming to cool the economy a bit to
head off price pressures, began raising short-term interest rates. In all, the
Fed pushed up rates by 0.75 percentage point in three quarter-point steps. The
bond market anticipated the Fed--interest rates began rising sharply in
February--and at year-end the yield of 30-year U.S. Treasury bonds was up 1.38
percentage points (138 basis points) to 6.48%. The 10-year Treasury note--a
benchmark for mortgage lenders--rose 179 basis points, from 4.65% to 6.44%.
Short-term rates didn't rise as far; 3-month Treasury bill yields were up 88
basis points to 5.33% at year-end.
Price declines, as usual, were greatest for long-term bonds and least for
short-term bonds. The overall market, as measured by the Lehman Aggregate Bond
Index, which has an intermediate-term average maturity, posted a -0.8% total
return in 1999. Short-term bonds generally provided returns of 2% to 3%.
Long-term bonds suffered significant price declines, and the Lehman Long
Government/Corporate Index recorded a -7.7% total return.
INTERNATIONAL STOCK MARKETS
Bullishness among stock investors was an international phenomenon in 1999. The
biggestgains came in Pacific-region and emerging markets that had suffered most
from economic slumps and currency crises during 1997 and 1998.
Overall, the Morgan Stanley Capital International Europe, Australasia, Far
East (EAFE) Index of major developed markets produced a 27.3% return for U.S.
dollar-based investors. The MSCI Pacific Free Index gained an astounding 56.4%
for U.S. investors, as a strong rise in the Japanese yen against the U.S.
dollar tacked on about 12.5 percentage points to a 43.9% return in local
currencies. In Europe, currency fluctuations had the opposite effect: European
currencies, including the new 11-nation common currency, the euro, mostly fell
against the dollar, and the 30.3% return in local currencies was nearly halved
to 15.8% in U.S. dollars.
Emerging markets managed a stunning turnaround, as the Select Emerging
Markets Free Index rose 60.9% in U.S.-dollar terms after having plummeted -18.4%
in 1998 and -16.4% in 1997.
10
<PAGE> 101
PERFORMANCE SUMMARY
EXTENDED MARKET INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
TOTAL INVESTMENT RETURNS: DECEMBER 21, 1987-DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------
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
</TABLE>
See Financial Highlights table on page 31 for dividend and capital gains
information for the past five years.
[GRAPH]
CUMULATIVE PERFORMANCE: DECEMBER 31, 1989-DECEMBER 31, 1999
<TABLE>
<CAPTION>
Extended Average Mid- Wilshire
Market Index Cap Core 4500
Fund Fund Index
<S> <C> <C> <C> <C>
1989 12 9975 10000 10000
1990 03 9516 9903 9535
1990 06 9819 10838 9849
1990 09 7966 8500 8053
1990 12 8574 9219 8644
1991 03 10344 11566 10435
1991 06 10277 11411 10385
1991 09 11144 12678 11324
1991 12 12162 13965 12400
1992 03 12346 14085 12560
1992 06 11913 12934 12048
1992 09 12261 13527 12407
1992 12 13678 15581 13872
1993 03 14230 15866 14431
1993 06 14420 16273 14653
1993 09 15429 17689 15723
1993 12 15660 18275 15893
1994 03 15169 17666 15317
1994 06 14764 16917 14847
1994 09 15738 18339 15867
1994 12 15384 18048 15470
1995 03 16522 19174 16641
1995 06 18009 21105 18062
1995 09 20086 23433 20101
1995 12 20583 23513 20650
1996 03 21852 24618 21870
1996 06 22735 26007 22867
1996 09 23324 26686 23355
1996 12 24216 27677 24198
1997 03 23373 26014 23173
1997 06 27050 30017 26753
1997 09 31130 34774 30854
1997 12 30688 33683 30413
1998 03 34222 37475 33946
1998 06 33476 36609 33277
1998 09 27216 29607 27135
1998 12 33241 36586 33037
1999 03 33015 35695 32999
1999 06 37125 40094 36781
1999 09 34955 38720 34445
1999 12 45280 50588 44721
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
----------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extended Market Index Fund* 35.88% 24.04% 16.30% $45,280
Average Mid-Cap Core Fund** 38.27 22.89 17.60 50,588
Wilshire 4500 Index 35.37 23.65 16.16 44,721
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Derived from data provided by Lipper Inc.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
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 35.88% 24.04% 14.66% 1.64% 16.30%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
11
<PAGE> 102
PERFORMANCE SUMMARY
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
TOTAL INVESTMENT RETURNS: JULY 7, 1997-DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------------------------------
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
</TABLE>
See Financial Highlights table on page 32 for dividend and capital gains
information since the fund's inception.
[GRAPH]
CUMULATIVE PERFORMANCE: JULY 7, 1997-DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EXTENDED AVERAGE MID- WILSHIRE
MARKET INDEX FUND CAP CORE 4500
INSTITUTIONAL SHARES FUND INDEX
<S> <C> <C> <C>
7/7/97 9975000 10000000 10000000
1997 09 11310451 11300149 11366988
1997 12 11154151 10880830 11204721
1998 03 12442048 12181089 12506179
1998 06 12174595 11948240 12259673
1998 09 9903079 9620947 9996908
1998 12 12097201 11818758 12171448
1999 03 12018903 11602488 12157391
1999 06 13518655 13085712 13550627
1999 09 12733270 12582274 12690250
1999 12 16506327 16341796 16476119
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
-------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000,000 INVESTMENT
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market Index Fund Institutional Shares* 36.11% 22.35% $16,506,327
Average Mid-Cap Core Fund** 38.27 21.85 16,341,796
Wilshire 4500 Index 35.37 22.26 16,476,119
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
**Derived from data provided by Lipper Inc.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SINCE INCEPTION
INCEPTION ---------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Extended Market Index Fund Institutional Shares* 7/7/1997 36.11% 20.64% 1.71% 22.35%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.25% transaction fee on purchases.
12
<PAGE> 103
PERFORMANCE SUMMARY
MID-CAP INDEX FUND
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
TOTAL INVESTMENT RETURNS: MAY 21, 1998-DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -----------------------------------------------------------
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
- -----------------------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
See Financial Highlights table on page 32 for dividend and capital gains
information since the fund's inception.
CUMULATIVE PERFORMANCE: MAY 21, 1998-DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Mid- S&P MidCap
Mid-Cap Cap Core 400 Index
Index Fund Fund
<S> <C> <C> <C>
5/21/98 10000 10000 10000
1998 06 9851 9965 9838
1998 09 8435 8030 8415
1998 12 10852 9853 10787
1999 03 10172 9702 10098
1999 06 11622 10909 11528
1999 09 10667 10502 10560
1999 12 12518 13623 12375
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
---------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000 INVESTMENT
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Mid-Cap Index Fund* 15.32% 14.93% $12,518
Average Mid-Cap Core Fund** 38.27 21.12 13,623
S&P MidCap 400 Index 14.72 14.12 12,375
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
*The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Derived from data provided by Lipper Inc.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
INCEPTION SINCE INCEPTION
----------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Mid-Cap Index Fund* 5/21/1998 15.32% 14.10% 0.83% 14.93%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
*The figures do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
13
<PAGE> 104
PERFORMANCE SUMMARY
MID-CAP INDEX FUND INSTITUTIONAL SHARES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
TOTAL INVESTMENT RETURNS: MAY 21, 1998-DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------------------------------
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
- ------------------------------------------------------------
</TABLE>
*S&P MidCap 400 Index.
See Financial Highlights table on page 33 for dividend and capital gains
information since the fund's inception.
[GRAPH]
CUMULATIVE PERFORMANCE: MAY 21, 1998-DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Mid-Cap Average Mid- S&P MidCap
Index Fund Cap Core 400 Index
Institutional Shares Fund
<S> <C> <C> <C>
5/21/98 10000000 10000000 10000000
1998 06 9850598 9965358 9837687
1998 09 8446215 8030256 8414517
1998 12 10861297 9852552 10786696
1999 03 10181118 9701808 10098447
1999 06 11644654 10908732 11528142
1999 09 10690174 10501969 10560011
1999 12 12535225 13623124 12374874
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
---------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000,000 INVESTMENT
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Mid-Cap Index Fund Institutional Shares 15.41% 15.03% $12,535,225
Average Mid-Cap Core Fund* 38.27 21.12 13,623,124
S&P MidCap 400 Index 14.72 14.12 12,374,874
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Derived from data provided by Lipper Inc.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Mid-Cap Index Fund Institutional Shares 5/21/1998 15.41% 14.10% 0.93% 15.03%
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE> 105
PERFORMANCE SUMMARY
SMALL-CAP INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
TOTAL INVESTMENT RETURNS: DECEMBER 31, 1979-DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -------------------------------------------------------------
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
- -------------------------------------------------------------
</TABLE>
See Financial Highlights table on page 33 for dividend and capital gains
information for the past five years.
[GRAPH]
CUMULATIVE PERFORMANCE: DECEMBER 31, 1989-DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average
Small-Cap Small-Cap Russell 2000
Index Fund Core Fund Index
<S> <C> <C> <C>
1989 12 9950 10000 10000
1990 03 9752 9738 9779
1990 06 10112 10142 10156
1990 09 7685 8197 7664
1990 12 8146 8537 8049
1991 03 10532 10375 10443
1991 06 10346 10312 10281
1991 09 11213 11022 11119
1991 12 11833 11678 11756
1992 03 12775 12227 12638
1992 06 11930 11583 11776
1992 09 12260 11756 12113
1992 12 13987 13428 13921
1993 03 14683 14008 14516
1993 06 14912 14252 14832
1993 09 16135 15016 16129
1993 12 16603 15424 16552
1994 03 16275 15242 16113
1994 06 15724 14685 15486
1994 09 16826 15504 16561
1994 12 16519 15342 16251
1995 03 17313 16515 17000
1995 06 18922 18039 18594
1995 09 20806 19817 20430
1995 12 21267 20158 20873
1996 03 22445 21605 21938
1996 06 23700 23313 23035
1996 09 23850 23308 23113
1996 12 25120 24131 24316
1997 03 23870 23279 23058
1997 06 28006 27715 26796
1997 09 32379 31853 30784
1997 12 31297 30431 29753
1998 03 34474 34300 32745
1998 06 32737 32809 31218
1998 09 26144 24992 24929
1998 12 30479 29324 28995
1999 03 28770 27505 27422
1999 06 33701 33268 31687
1999 09 31656 31230 29683
1999 12 37530 37661 35159
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
----------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small-Cap Index Fund* 22.52% 17.72% 14.14% $37,530
Average Small-Cap Core Fund** 28.43 19.67 14.18 37,661
Russell 2000 Index 21.26 16.69 13.40 35,159
- --------------------------------------------------------------------------------------------------------------------------
</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.
**Derived from data provided by Lipper Inc.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
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 22.52% 17.72% 12.61% 1.53% 14.14%
- -------------------------------------------------------------------------------------------------------------------------
</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.
15
<PAGE> 106
PERFORMANCE SUMMARY
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
All of the data on this page represent past performance, which cannot be used to
predict future
returns that may be achieved by the fund. Note, too, that both share price and
return can fluctuate widely. An investor's shares, when redeemed, could be worth
more or less than their original cost.
TOTAL INVESTMENT RETURNS: JULY 7, 1997-DECEMBER 31, 1999
- ------------------------------------------------------------
<TABLE>
<CAPTION>
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
</TABLE>
See Financial Highlights table on page 34 for dividend and capital gains
information since the fund's inception.
[GRAPH]
CUMULATIVE PERFORMANCE: JULY 7, 1997-DECEMBER 31, 1999
<TABLE>
<CAPTION>
Small-Cap Average
Index Fund Small-Cap Russell 2000
Institutional Shares Core Fund Index
<S> <C> <C> <C>
7/7/97 9950000 10000000 10000000
1997 09 11467199 11648330 11496645
1997 12 11086068 11096623 11111590
1998 03 12211597 12333896 12229234
1998 06 11605480 11711376 11658986
1998 09 9270288 9139280 9310252
1998 12 10808753 10692706 10828605
1999 03 10207927 9890551 10241262
1999 06 11956388 11875335 11833996
1999 09 11236433 11420444 11085751
1999 12 13330343 13732642 13130483
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
---------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000,000 INVESTMENT
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Small-Cap Index Fund Institutional Shares* 22.71% 12.26% $13,330,343
Average Small-Cap Core Fund** 28.43 13.62 13,732,642
Russell 2000 Index 21.26 11.58 13,130,483
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
**Derived from data provided by Lipper Inc.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Small-Cap Index Fund Institutional Shares* 7/7/1997 22.71% 10.50% 1.76% 12.26%
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
16
<PAGE> 107
PERFORMANCE SUMMARY
SMALL-CAP GROWTH INDEX FUND
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
TOTAL INVESTMENT RETURNS: MAY 21, 1998-DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
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%
- -----------------------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Growth Index.
See Financial Highlights table on page 34 for dividend information since the
fund's inception.
[GRAPH]
CUMULATIVE PERFORMANCE: MAY 21, 1998-DECEMBER 31, 1999
- ----------------------------------------------------------
<TABLE>
<CAPTION>
S&P
Small-Cap Average SmallCap
Growth Index Small-Cap 600/BARRA
Fund Growth Fund Growth Index
<S> <C> <C> <C>
5/21/98 9950 10000 10000
1998 06 9682 9914 9758
1998 09 7750 7667 7789
1998 12 9476 9606 9504
1999 03 8690 9305 8697
1999 06 9635 10755 9663
1999 09 9406 11023 9415
1999 12 11352 15622 11363
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
--------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000 INVESTMENT
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Small-Cap Growth Index Fund* 19.20% 8.17% $11,352
Average Small-Cap Growth Fund** 62.63 31.84 15,622
S&P SmallCap 600/BARRA Growth Index 19.57 8.24 11,363
- ---------------------------------------------------------------------------------------------------------------------------
</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.
**Derived from data provided by Lipper Inc.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Small-Cap Growth Index Fund* 5/21/1998 19.20% 7.74% 0.43% 8.17%
- ---------------------------------------------------------------------------------------------------------------------------
</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.
17
<PAGE> 108
PERFORMANCE SUMMARY
SMALL-CAP VALUE INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
TOTAL INVESTMENT RETURNS: MAY 21, 1998-DECEMBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------------------------------
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%
- ------------------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Value Index.
See Financial Highlights table on page 35 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: MAY 21, 1998-DECEMBER 31, 1999
- --------------------------------------------------------------------------------
Small-Cap Average Small-Cap S&P SmallCap 600/BARRA
Value Index Fund Value Fund Value Index
<S> <C> <C> <C>
5/21/98 9950 10000 10000
1998 06 9742 9605 9790
1998 09 7663 7609 7669
1998 12 8709 8492 8673
1999 03 7882 7639 7845
1999 06 9464 9035 9406
1999 09 8763 8548 8708
1999 12 9001 9029 8936
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
-------------------------------- FINAL VALUE OF A
1 YEAR SINCE INCEPTION $10,000 INVESTMENT
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Small-Cap Value Index Fund* 2.83% -6.31% $9,001
Average Small-Cap Value Fund** 6.33 -6.13 9,029
S&P SmallCap 600/BARRA Value Index 3.03 -6.73 8,936
- ------------------------------------------------------------------------------------------------------------------
</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.
** Derived from data provided by Lipper Inc.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- -----------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -----------------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Small-Cap Value Index Fund* 5/21/1998 2.83% -7.15% 0.84% -6.31%
- -----------------------------------------------------------------------------------------------------------------------------
</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.
18
<PAGE> 109
PERFORMANCE SUMMARY
SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS:
DECEMBER 7, 1999-DECEMBER 31, 1999
- -------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND
INSTITUTIONAL SHARES S&P*
FISCAL CAPITAL INCOME TOTAL TOTAL
PERIOD RETURN RETURN RETURN RETURN
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
1999 2.0% 0.8% 2.8% 2.7%
- -------------------------------------------------------------
</TABLE>
*S&P SmallCap 600/BARRA Value Index.
See Financial Highlights table on page 35 for dividend and capital gains
information since the fund's inception.
<TABLE>
<CAPTION>
TOTAL RETURN: PERIOD ENDED DECEMBER 31, 1999
- ---------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ---------------------------------
DATE CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small-Cap Value Index Fund Institutional Shares* 12/7/1999 1.50% 0.81% 2.31%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Performance figures are adjusted for the 0.5% transaction fee on purchases.
19
<PAGE> 110
FUND PROFILE
EXTENDED MARKET INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 21.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------
EXTENDED WILSHIRE
MARKET 4500
- -----------------------------------------------------------
<S> <C> <C>
Number of Stocks 2,843 6,605
Median Market Cap $2.7B $2.7B
Price/Earnings Ratio 22.9x 22.9x
Price/Book Ratio 3.7x 3.7x
Yield 0.8% 0.8%
Yield--Institutional Shares 1.0% 0.8%
Return on Equity 14.1% 14.1%
Earnings Growth Rate 19.0% 19.0%
Foreign Holdings 0.0% 0.0%
Turnover Rate 26% --
Expense Ratio 0.25% --
Expense Ratio--
Institutional Shares 0.10% --
Cash Reserves 0.0% --
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ---------------------------------------------------
<S> <C>
STYLE Blend
MARKET CAP Medium
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
- ------------------------------------------------------
<S> <C>
Berkshire Hathaway Inc. Class A 2.1%
Veritas Software Corp. 0.9
JDS Uniphase Corp. 0.9
CMGI Inc. 0.8
Qwest Communications International Inc. 0.8
Cox Communications, Inc. Class A 0.7
Level 3 Communications, Inc. 0.7
Amazon.com, Inc. 0.7
Sycamore Networks, Inc. 0.6
VeriSign, Inc. 0.5
- ------------------------------------------------------
Top Ten 8.7%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------------
EXTENDED S&P
MARKET 500
- ----------------------------------------------------------
<S> <C> <C>
R-Squared 0.75 1.00
Beta 1.10 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- -------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1998 DECEMBER 31, 1999
-----------------------------------------------------
EXTENDED EXTENDED WILSHIRE
MARKET MARKET 4500
-----------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation .............................. 3.3% 2.1% 2.1%
Consumer Discretionary ............................. 19.2 20.3 20.3
Consumer Staples ................................... 2.9 1.7 1.7
Financial Services ................................. 21.7 14.6 14.6
Health Care ........................................ 9.3 7.4 7.4
Integrated Oils .................................... 0.3 0.1 0.1
Other Energy ....................................... 2.4 2.5 2.5
Materials & Processing ............................. 6.3 4.0 4.0
Producer Durables .................................. 5.8 5.4 5.4
Technology ......................................... 14.8 29.5 29.5
Utilities .......................................... 8.7 9.7 9.7
Other .............................................. 5.3 2.7 2.7
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
20
<PAGE> 111
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of the overall market (or appropriate market
index). The market (or index) is assigned a beta of 1.00, so a fund with a beta
of 1.20 would have seen its share price rise or fall by 12% when the overall
market rose or fell by 10%.
CASH RESERVES. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts to simulate stock
investment.
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the
past five years for the stocks now in a fund.
EXPENSE RATIO. The percentage of a fund's average net assets used to pay its
annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks
or American Depositary Receipts of companies based outside the United States.
INVESTMENT FOCUS. This grid indicates the focus of a fund in terms of two
attributes: market capitalization (large, medium, or small) and relative
valuation (growth, value, or a blend).
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's assets
invested in each stock. Stocks representing half of the fund's assets have
market capitalizations above the median, and the rest are below it.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a fund holds,
the more diversified it is and the more likely to perform in line with the
overall stock market.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, the weighted average price/book ratio of the
stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share
earnings over the past year. For a fund, the weighted average P/E of the stocks
it holds. P/E is an indicator of market expectations about corporate prospects;
the higher the P/E, the greater the expectations for a company's future growth.
R-SQUARED. A measure of how much of a fund's past returns can be explained by
the returns from the overall market (or its benchmark index). If a fund's total
return were precisely synchronized with the overall market's return, its
R-squared would be 1.00. If a fund's returns bore no relationship to the
market's returns, its R-squared would be 0.
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a fund, the weighted average return on
equity for the companies whose stocks it holds.
SECTOR DIVERSIFICATION. The percentages of a fund's common stocks that come from
each of the major industry groups that compose the stock market.
TEN LARGEST HOLDINGS. The percentage of net assets that a fund has invested in
its ten largest holdings. (The average for stock mutual funds is about 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 past year. Funds
with high turnover rates incur higher transaction costs and are more likely to
distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
21
<PAGE> 112
FUND PROFILE
MID-CAP INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 21.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- -----------------------------------------------------------
S&P
MID-CAP MIDCAP 400
- -----------------------------------------------------------
<S> <C> <C>
Number of Stocks 402 400
Median Market Cap $3.0B $3.0B
Price/Earnings Ratio 21.4x 21.4x
Price/Book Ratio 3.1x 3.1x
Yield 0.9% 1.1%
Yield--Institutional Shares 1.0% 1.1%
Return on Equity 17.5% 17.5%
Earnings Growth Rate 20.7% 20.7%
Foreign Holdings 0.0% 0.0%
Turnover Rate 38% --
Expense Ratio 0.25% --
Expense Ratio--
Institutional Shares 0.12% --
Cash Reserves 0.2% --
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- -------------------------------------------------------------
<S> <C>
STYLE Blend
MARKETING CAP Medium
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
- -------------------------------------------------------------
<S> <C>
Veritas Software Corp. 4.0%
Siebel Systems, Inc. 1.8
Maxim Integrated Products, Inc. 1.4
Biogen, Inc. 1.4
Intuit, Inc. 1.3
MedImmune Inc. 1.2
Linear Technology Corp. 1.2
Univision Communications Inc. 1.1
Altera Corp. 1.1
Harley-Davidson, Inc. 1.0
- -------------------------------------------------------------
Top Ten 15.5%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- --------------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1998 DECEMBER 31, 1999
------------------------------------------------------------
S&P MIDCAP
MID-CAP MID-CAP 400
------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation ................................... 4.2% 3.2% 3.2%
Consumer Discretionary .................................. 16.9 16.7 17.0
Consumer Staples ........................................ 4.4 3.6 3.6
Financial Services ...................................... 16.1 15.2 15.1
Health Care ............................................. 11.4 10.8 10.8
Integrated Oils ......................................... 0.4 0.4 0.3
Other Energy ............................................ 3.4 4.3 4.6
Materials & Processing .................................. 7.2 6.0 6.0
Producer Durables ....................................... 6.0 3.7 3.7
Technology .............................................. 13.5 24.8 24.4
Utilities ............................................... 14.0 10.1 10.1
Other ................................................... 2.5 1.2 1.2
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE> 113
FUND PROFILE
SMALL-CAP INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to its unmanaged target index. Key elements
of this Profile are defined on page 21.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------------------------
RUSSELL
SMALL-CAP 2000
- --------------------------------------------------------------------------------
<S> <C> <C>
Number of Stocks 1,768 1,857
Median Market Cap $0.9B $0.9B
Price/Earnings Ratio 18.8x 18.8x
Price/Book Ratio 2.7x 2.7x
Yield 1.2% 1.3%
Yield--Institutional Shares 1.3% 1.3%
Return on Equity 14.0% 14.0%
Earnings Growth Rate 14.4% 14.5%
Foreign Holdings 0.0% 0.0%
Turnover Rate 42% --
Expense Ratio 0.25% --
Expense Ratio--
Institutional Shares 0.12% --
Cash Reserves 0.1% --
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- ------------------------------------------------------------------
<S> <C>
STYLE Blend
MARKET CAP Small
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
- ------------------------------------------------------
<S> <C>
BroadVision, Inc. 1.0%
MicroStrategy Inc. 0.9
VerticalNet, Inc. 0.6
Millennium Pharmaceuticals, Inc. 0.5
LAM Research Corp. 0.5
Interdigital Communications Corp. 0.4
Mercury Interactive Corp. 0.4
IDEC Pharmaceuticals Corp. 0.4
PE Corp.-Celera Genomics Group 0.4
Omnipoint Corp. 0.4
- ------------------------------------------------------
Top Ten 5.5%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- ----------------------------------------------------------
SMALL-CAP S&P 500
- ----------------------------------------------------------
<S> <C> <C>
R-Squared 0.66 1.00
Beta 1.03 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- -------------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1998 DECEMBER 31, 1999
- -------------------------------------------------------------------------------------------------------------------------
RUSSELL
SMALL-CAP SMALL-CAP 2000
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation...................................... 4.6% 3.2% 3.2%
Consumer Discretionary..................................... 17.8 16.8 16.8
Consumer Staples........................................... 2.9 2.2 2.2
Financial Services......................................... 22.9 17.3 17.5
Health Care................................................ 10.3 9.9 9.8
Integrated Oils............................................ 0.3 0.0 0.0
Other Energy............................................... 2.0 2.6 2.7
Materials & Processing..................................... 8.6 8.3 8.2
Producer Durables.......................................... 6.6 8.9 9.0
Technology................................................. 14.8 23.7 23.5
Utilities.................................................. 7.6 6.1 6.2
Other...................................................... 1.6 1.0 0.9
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE> 114
FUND PROFILE
SMALL-CAP GROWTH INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 21.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
S&P
SMALL-CAP SMALL-CAP
GROWTH 600
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 198 600
Median Market Cap $1.2B $0.9B
Price/Earnings Ratio 31.8x 19.9x
Price/Book Ratio 6.9x 2.8x
Yield 0.2% 0.7%
Return on Equity 18.5% 16.3%
Earnings Growth Rate 22.4% 18.8%
Foreign Holdings 0.0% 0.2%
Turnover Rate 82% --
Expense Ratio 0.25% --
Cash Reserves 0.2% --
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT FOCUS
- -------------------------------------------------------------------
<S> <C>
STYLE Growth
MARKET CAP Small
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
- ------------------------------------------------------
<S> <C>
IDEC Pharmaceuticals Corp. 2.1%
Mercury Interactive Corp. 2.1
Macromedia, Inc. 1.8
Whittman-Hart, Inc. 1.5
RSA Security Inc. 1.5
Clarify, Inc. 1.5
HNC Software, Inc. 1.3
C-Cube Microsystems, Inc. 1.3
Valassis Communications, Inc. 1.2
Micrel, Inc. 1.2
- ------------------------------------------------------
Top Ten 15.5%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- -----------------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1998 DECEMBER 31, 1999
---------------------------------------------------------------
SMALL-CAP SMALL-CAP S&P SMALL-CAP
GROWTH GROWTH 600
---------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation ...................................... 4.7% 4.0% 5.5%
Consumer Discretionary ..................................... 18.7 15.0 17.9
Consumer Staples ........................................... 1.6 1.0 2.4
Financial Services ......................................... 21.1 10.0 12.8
Health Care ................................................ 17.8 13.8 11.1
Integrated Oils ............................................ 0.2 0.0 0.0
Other Energy ............................................... 0.9 1.0 2.9
Materials & Processing ..................................... 7.5 4.1 9.1
Producer Durables .......................................... 8.6 11.1 10.3
Technology ................................................. 17.5 39.0 23.6
Utilities .................................................. 0.9 1.0 4.0
Other ...................................................... 0.5 0.0 0.4
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE> 115
FUND PROFILE
SMALL-CAP VALUE INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on page 21.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
- ----------------------------------------------------------
S&P
SMALL-CAP SMALLCAP
VALUE 600
- ----------------------------------------------------------
<S> <C> <C>
Number of Stocks 406 600
Median Market Cap $0.6B $0.9B
Price/Earnings Ratio 13.9x 19.9x
Price/Book Ratio 1.6x 2.8x
Yield 1.0% 0.7%
Yield--Institutional Shares 1.1% 0.7%
Return on Equity 14.4% 16.3%
Earnings Growth Rate 15.8% 18.8%
Foreign Holdings 0.0% 0.2%
Turnover Rate 80% --
Expense Ratio 0.25% --
Expense Ratio--
Institutional Shares 0.13%* --
Cash Reserves 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>
Radian Group, Inc. 1.0%
Zale Corp. 1.0
Interim Services, Inc. 0.9
Applied Power, Inc. 0.8
Snyder Communications, Inc. 0.8
Cullen/Frost Bankers, Inc. 0.8
AmeriCredit Corp. 0.8
UST Corp. 0.8
International Rectifier Corp. 0.8
United Water Resources, Inc. 0.8
- ------------------------------------------------------
Top Ten 8.5%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
- ---------------------------------------------------------------------------------------------------------------------------
DECEMBER 31, 1998 DECEMBER 31, 1999
-------------------------------------------------------------
SMALL-CAP SMALL-CAP S&P SMALLCAP
VALUE VALUE 600
-------------------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation ................................... 6.6% 7.2% 5.5%
Consumer Discretionary .................................. 21.0 21.2 17.9
Consumer Staples ........................................ 5.2 4.0 2.4
Financial Services ...................................... 14.5 16.1 12.8
Health Care ............................................. 7.3 8.1 11.1
Integrated Oils ......................................... 0.3 0.0 0.0
Other Energy ............................................ 3.5 5.1 2.9
Materials & Processing .................................. 12.9 14.8 9.1
Producer Durables ....................................... 7.6 9.0 10.3
Technology .............................................. 10.6 6.0 23.6
Utilities ............................................... 9.3 7.5 4.0
Other ................................................... 1.2 1.0 0.4
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE> 116
FINANCIAL STATEMENTS
DECEMBER 31, 1999
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
------------------------------------------------
YEAR ENDED DECEMBER 31, 1999
------------------------------------------------
(000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
<S> <C> <C> <C>
Dividends $ 39,877 $ 5,370 $ 42,800
Interest 2,870 204 2,121
Security Lending 5,968 24 3,116
-------------------------------------------------
Total Income 48,715 5,598 48,037
-------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 120 67 167
Management and Administrative 2,412 297 2,628
Shareholder Account Maintenance--Investor Shares 5,088 525 3,573
Shareholder Account Maintenance--Institutional Shares 51 10 17
Marketing and Distribution--Investor Shares 491 65 556
Marketing and Distribution--Institutional Shares 97 10 38
Custodian Fees 207 17 87
Auditing Fees 10 8 9
Shareholders' Reports--Investor Shares 152 28 479
Shareholders' Reports--Institutional Shares 14 5 33
Trustees' Fees and Expenses 5 1 5
-------------------------------------------------
Total Expenses 8,647 1,033 7,592
Expenses Paid Indirectly--Note C (79) -- (17)
-------------------------------------------------
Net Expenses 8,568 1,033 7,575
- -------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 40,147 4,565 40,462
- -------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 427,465 37,795 332,397
Futures Contracts 4,801 116 6,983
- -------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 432,266 37,911 339,380
- -------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 842,139 47,810 346,530
Futures Contracts (1,795) (220) (6,804)
- -------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 840,344 47,590 339,726
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $1,312,757 $90,066 $719,568
=========================================================================================================================
</TABLE>
26
<PAGE> 117
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP
GROWTH VALUE
INDEX FUND INDEX FUND
-----------------------------
YEAR ENDED DECEMBER 31, 1999
-----------------------------
(000) (000)
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
<S> <C> <C>
Dividends $ 552 $1,902
Interest 20 34
Security Lending 96 57
-----------------------------
Total Income 668 1,993
-----------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 53 53
Management and Administrative 19 54
Shareholder Account Maintenance--Investor Shares 163 232
Shareholder Account Maintenance--Institutional Shares -- --
Marketing and Distribution--Investor Shares 21 30
Marketing and Distribution--Institutional Shares -- --
Custodian Fees 14 19
Auditing Fees 7 7
Shareholders' Reports--Investor Shares 12 18
Shareholders' Reports--Institutional Shares -- --
Trustees' Fees and Expenses -- --
-----------------------------
Total Expenses 289 413
Expenses Paid Indirectly--Note C -- --
-----------------------------
Net Expenses 289 413
- --------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 379 1,580
- --------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (4,846) 13,634
Futures Contracts -- --
- --------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (4,846) 13,634
- --------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 31,923 (10,887)
Futures Contracts -- --
- --------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 31,923 (10,887)
- --------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $27,456 $4,327
==========================================================================================================================
</TABLE>
27
<PAGE> 118
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in the
fund, either by purchasing shares or by reinvesting distributions, as well as
the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed
are shown at the end of the Statement. Distributions, Capital Share
Transactions, and Shares Issued and Redeemed are shown separately for each class
of shares.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET MID-CAP
INDEX FUND INDEX FUND
-------------------------------- ----------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------- YEAR ENDED APR. 20* TO
1999 1998 DEC. 31, 1999 DEC. 31, 1998
(000) (000) (000) (000)
- --------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C> <C> <C>
Net Investment Income $ 40,147 $ 39,807 $ 4,565 $ 1,143
Realized Net Gain (Loss) 432,266 367,082 37,911 15,845
Change in Unrealized Appreciation (Depreciation) 840,344 (154,493) 47,590 9,050
----------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 1,312,757 252,396 90,066 26,038
----------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (33,913) (33,806) (3,777) (962)
Institutional Shares (7,913) (5,556) (953) (210)
Realized Capital Gain
Investor Shares (370,554) (195,606) (34,102) (907)
Institutional Shares (67,729) (30,314) (7,021) (178)
----------------------------------------------------------------------
Total Distributions (480,109) (265,282) (45,853) (2,257)
----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 818,381 661,516 428,102 202,429
Issued in Lieu of Cash Distributions 373,018 210,315 35,109 1,588
Redeemed (603,514) (641,617) (100,927) (18,534)
----------------------------------------------------------------------
Net Increase--Investor Shares 587,885 230,214 362,284 185,483
----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 301,323 242,869 110,927 34,802
Issued in Lieu of Cash Distributions 60,118 30,471 6,870 279
Redeemed (86,591) (232,988) (21,523) --
----------------------------------------------------------------------
Net Increase--Institutional Shares 274,850 40,352 96,274 35,081
- --------------------------------------------------------------------------------------------------------------------------
Total Increase 1,695,383 257,680 502,771 244,345
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,395,159 3,137,479 244,345 --
----------------------------------------------------------------------
End of Period $5,090,542 $3,395,159 $747,116 $244,345
==========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 25,760 21,213 40,719 20,969
Issued in Lieu of Cash Distributions 11,413 7,196 3,344 155
Redeemed (19,243) (21,009) (9,610) (2,058)
----------------------------------------------------------------------
Net Increase in Shares Outstanding 17,930 7,400 34,453 19,066
==========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 9,512 7,627 10,371 3,559
Issued in Lieu of Cash Distributions 1,810 1,037 645 27
Redeemed (2,776) (7,244) (1,986) --
----------------------------------------------------------------------
Net Increase in Shares Outstanding 8,546 1,420 9,030 3,586
==========================================================================================================================
*Commencement of subscription period.
</TABLE>
28
<PAGE> 119
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP GROWTH
INDEX FUND INDEX FUND
------------------------------- ------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------- YEAR ENDED APR. 20* TO
1999 1998 DEC. 31, 1999 DEC. 31, 1998
(000) (000) (000) (000)
- --------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C> <C> <C>
Net Investment Income $ 40,462 $ 40,202 $ 379 $ 253
Realized Net Gain (Loss) 339,380 199,544 (4,846) (5,567)
Change in Unrealized Appreciation (Depreciation) 339,726 (318,857) 31,923 5,558
----------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 719,568 (79,111) 27,456 244
----------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (36,613) (37,309) (507) (281)
Institutional Shares (4,721) (3,153) -- --
Realized Capital Gain
Investor Shares (284,560) (188,747) -- --
Institutional Shares (32,660) (14,670) -- --
----------------------------------------------------------------------
Total Distributions (358,554) (243,879) (507) (281)
----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 1,052,299 970,360 80,888 101,722
Issued in Lieu of Cash Distributions 294,319 207,350 406 232
Redeemed (884,294) (765,726) (31,106) (11,799)
----------------------------------------------------------------------
Net Increase--Investor Shares 462,324 411,984 50,188 90,155
----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 193,691 149,717 -- --
Issued in Lieu of Cash Distributions 34,239 12,572 -- --
Redeemed (115,831) (8,221) -- --
----------------------------------------------------------------------
Net Increase--Institutional Shares 112,099 154,068 -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Increase 935,437 243,062 77,137 90,118
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,032,356 2,789,294 90,118 --
----------------------------------------------------------------------
End of Period $3,967,793 $3,032,356 $167,255 $ 90,118
==========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 47,908 42,704 8,565 10,819
Issued in Lieu of Cash Distributions 13,196 10,127 38 25
Redeemed (41,158) (33,911) (3,363) (1,393)
----------------------------------------------------------------------
Net Increase in Shares Outstanding 19,946 18,920 5,240 9,451
==========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 8,971 6,477 -- --
Issued in Lieu of Cash Distributions 1,530 613 -- --
Redeemed (5,401) (385) -- --
----------------------------------------------------------------------
Net Increase in Shares Outstanding 5,100 6,705 -- --
==========================================================================================================================
</TABLE>
*Commencement of subscription period.
29
<PAGE> 120
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (continued)
- -------------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE
INDEX FUND
-----------------------------------
YEAR END APR. 20* TO
DEC. 31, 1999 DEC. 31, 1998
(000) (000)
- -------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C>
Net Investment Income $ 1,580 $ 639
Realized Net Gain (Loss) 13,634 482
Change in Unrealized Appreciation (Depreciation) (10,887) (11,368)
-----------------------------------
Net Increase (Decrease) in Net Assets Resulting from Operations 4,327 (10,247)
-----------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (1,549) (705)
Institutional Shares (85) --
Realized Capital Gain
Investor Shares (10,654) --
Institutional Shares (551) --
-----------------------------------
Total Distributions (12,839) (705)
-----------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 150,557 143,483
Issued in Lieu of Cash Distributions 11,455 627
Redeemed (61,979) (20,593)
-----------------------------------
Net Increase--Investor Shares 100,033 123,517
-----------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 10,922 --
Issued in Lieu of Cash Distributions 81 --
Redeemed (800) --
-----------------------------------
Net Increase--Institutional Shares 10,203 --
- -------------------------------------------------------------------------------------------------------------------------
Total Increase 101,724 112,565
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 112,565 --
-----------------------------------
End of Period $214,289 $112,565
=========================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 17,096 15,327
Issued in Lieu of Cash Distributions 1,390 74
Redeemed (7,174) (2,516)
-----------------------------------
Net Increase in Shares Outstanding 11,312 12,885
=========================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 1,249 --
Issued in Lieu of Cash Distributions 10 --
Redeemed (95) --
-----------------------------------
Net Increase in Shares Outstanding 1,164 --
=========================================================================================================================
*Commencement of subscription period.
</TABLE>
30
<PAGE> 121
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 THROUGHOUT EACH YEAR 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $30.63 $30.76 $26.20 $24.07 $18.52
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .297 .388 .351 .34 .30
Net Realized and Unrealized Gain (Loss) on Investments 10.101 2.025 6.479 3.85 5.95
------------------------------------------------------------
Total from Investment Operations 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 (3.640) (2.170) (1.910) (1.72) (.40)
------------------------------------------------------------
Total Distributions (3.958) (2.543) (2.270) (2.06) (.70)
------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $37.07 $30.63 $30.76 $26.20 $24.07
==========================================================================================================================
TOTAL RETURN* 36.22% 8.32% 26.73% 17.65% 33.80%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $4,221 $2,939 $2,723 $2,099 $1,523
Ratio of Total Expenses to Average Net Assets 0.25% 0.23% 0.23% 0.25% 0.25%
Ratio of Net Investment Income to Average Net Assets 1.04% 1.21% 1.30% 1.42% 1.51%
Portfolio Turnover Rate 26% 27% 15% 22% 15%
==========================================================================================================================
</TABLE>
* Total return figures do not reflect transaction fees on purchases (0.25%
after October 31, 1997; 0.5% in 1995 through October 31, 1997) or the $10
annual account maintenance fee applied on balances under $10,000.
31
<PAGE> 122
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (continued)
- ---------------------------------------------------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED DECEMBER 31,
------------------------ JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1999 1998 DEC. 31, 1997
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $30.63 $30.76 $29.28
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .363 .427 .200
Net Realized and Unrealized Gain (Loss) on Investments 10.101 2.025 3.191
--------------------------------------
Total from Investment Operations 10.464 2.452 3.391
--------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.364) (.412) (.371)
Distributions from Realized Capital Gains (3.640) (2.170) (1.540)
--------------------------------------
Total Distributions (4.004) (2.582) (1.911)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $37.09 $30.63 $30.76
===========================================================================================================================
TOTAL RETURN** 36.45% 8.45% 11.82%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $870 $456 $415
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10%+
Ratio of Net Investment Income to Average Net Assets 1.18% 1.34% 1.43%+
Portfolio Turnover Rate 26% 27% 15%
===========================================================================================================================
</TABLE>
* Inception.
** Total return figures do not reflect transaction fees on purchases (0.25%
after October 31, 1997; 0.5% from inception through October 31, 1997).
+ Annualized.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
MID-CAP INDEX FUND INVESTOR SHARES
YEAR ENDED APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 1999 DEC. 31, 1998
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.79 $10.00
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .073 .053
Net Realized and Unrealized Gain (Loss) on Investments 1.448 .840
----------------------------
Total from Investment Operations 1.521 .893
----------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.076) (.053)
Distributions from Realized Capital Gains (.935) (.050)
----------------------------
Total Distributions (1.011) (.103)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $11.30 $10.79
===========================================================================================================================
TOTAL RETURN** 15.32% 8.55%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $605 $206
Ratio of Total Expenses to Average Net Assets 0.25% 0.25%+
Ratio of Net Investment Income to Average Net Assets 0.99% 1.19%+
Portfolio Turnover Rate 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.
32
<PAGE> 123
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
MID-CAP INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED MAY 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 1999 DEC. 31, 1998
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.79 $10.03
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .083 .055
Net Realized and Unrealized Gain (Loss) on Investments 1.448 .814
-----------------------------
Total from Investment Operations 1.531 .869
-----------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.086) (.059)
Distributions from Realized Capital Gains (.935) (.050)
-----------------------------
Total Distributions (1.021) (.109)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $11.30 $10.79
==========================================================================================================================
TOTAL RETURN** 15.41% 8.61%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $143 $39
Ratio of Total Expenses to Average Net Assets 0.12% 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.11% 1.30%+
Portfolio Turnover Rate 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 THROUGHOUT EACH YEAR 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $21.20 $23.75 $20.23 $18.61 $14.99
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .256 .311 .277 .26 .24
Net Realized and Unrealized Gain (Loss) on Investments 4.491 (1.007) 4.632 3.07 4.06
------------------------------------------------------------
Total from Investment Operations 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 (2.080) (1.550) (1.115) (1.44) (.45)
------------------------------------------------------------
Total Distributions (2.347) (1.854) (1.389) (1.71) (.68)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $23.60 $21.20 $23.75 $20.23 $18.61
==========================================================================================================================
TOTAL RETURN* 23.13% -2.61% 24.59% 18.12% 28.74%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $3,553 $2,768 $2,652 $1,713 $971
Ratio of Total Expenses to Average Net Assets 0.25% 0.24% 0.23% 0.25% 0.25%
Ratio of Net Investment Income to Average Net Assets 1.25% 1.39% 1.38% 1.51% 1.58%
Portfolio Turnover Rate 42% 35% 29% 28% 28%
==========================================================================================================================
</TABLE>
* Total return figures do not reflect transaction fees on purchases (0.5% after
1996, 1.0% in 1995 through 1996) or the $10 annual account maintenance fee
applied on balances under $10,000.
33
<PAGE> 124
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS (continued)
- ---------------------------------------------------------------------------------------------------------------------------
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
YEAR ENDED DECEMBER 31,
------------------------ JUL. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1999 1998 DEC. 31, 1997
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $21.20 $23.75 $22.56
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .295 .336 .158
Net Realized and Unrealized Gain (Loss) on Investments 4.491 (1.007) 2.370
------------------------------------
Total from Investment Operations 4.786 (.671) 2.528
------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.296) (.329) (.288)
Distributions from Realized Capital Gains (2.080) (1.550) (1.050)
------------------------------------
Total Distributions (2.376) (1.879) (1.338)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $23.61 $21.20 $23.75
===========================================================================================================================
TOTAL RETURN** 23.33% -2.50% 11.42%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $415 $264 $137
Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12%+
Ratio of Net Investment Income to Average Net Assets 1.37% 1.53% 1.52%+
Portfolio Turnover Rate 42% 35% 29%
===========================================================================================================================
</TABLE>
* Inception.
** Total return figures do not reflect the 0.5% transaction fee on purchases.
+ Annualized.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND
YEAR ENDED APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 1999 DEC. 31, 1998
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.53 $10.00
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .025 .03
Net Realized and Unrealized Gain (Loss) on Investments 1.860 (.47)
-------------------------
Total from Investment Operations 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 $11.38 $ 9.53
===========================================================================================================================
TOTAL RETURN** 19.80% -4.77%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $167 $90
Ratio of Total Expenses to Average Net Assets 0.25% 0.25%+
Ratio of Net Investment Income to Average Net Assets 0.33% 0.63%+
Portfolio Turnover Rate 82% 77%
===========================================================================================================================
</TABLE>
* Subscription period for the fund was April 20, 1998, to May 20, 1998, during
which time all assets were held in money market instruments. Performance
measurement begins May 21, 1998.
** Total return figures do not reflect transaction fees on purchases (0.5% after
February 28, 1999; 1.0% from inception through February 28, 1999) or the $10
annual account maintenance fee applied on balances under $10,000.
+ Annualized.
34
<PAGE> 125
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND INVESTOR SHARES
YEAR ENDED APR. 20* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 1999 DEC. 31, 1998
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $8.74 $10.00
- --------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .065 .045
Net Realized and Unrealized Gain (Loss) on Investments .210 (1.250)
-----------------------
Total from Investment Operations .275 (1.205)
-----------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.070) (.055)
Distributions from Realized Capital Gains (.495) --
-----------------------
Total Distributions (.565) (.055)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $8.45 $ 8.74
==========================================================================================================================
TOTAL RETURN** 3.35% -12.47%
==========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $204 $113
Ratio of Total Expenses to Average Net Assets 0.25% 0.25%+
Ratio of Net Investment Income to Average Net Assets 0.96% 1.13%+
Portfolio Turnover Rate 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.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES
DEC. 7* TO
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 1999
- -------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $8.74
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .009
Net Realized and Unrealized Gain (Loss) on Investments .226
--------
Total from Investment Operations .235
--------
DISTRIBUTIONS
Dividends from Net Investment Income (.070)
Distributions from Realized Capital Gains (.455)
--------
Total Distributions (.525)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $8.45
=========================================================================================================================
TOTAL RETURN** 2.83%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $10
Ratio of Total Expenses to Average Net Assets 0.13%+
Ratio of Net Investment Income to Average Net Assets 1.37%+
Portfolio Turnover Rate 80%
=========================================================================================================================
</TABLE>
* Inception.
** Total return does not reflect the 0.5% transaction fee on purchases.
+ Annualized.
35
<PAGE> 126
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.
36
<PAGE> 127
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold. Transaction fees assessed on
purchases of capital shares are credited to paid in capital.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to each fund under methods approved by the Board of
Trustees. Each fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At December 31, 1999, the funds had
contributed capital to Vanguard (included in Other Assets) of:
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
CAPITAL CONTRIBUTIONS PERCENTAGE PERCENTAGE OF
TO VANGUARD OF FUND VANGUARD'S
INDEX FUND (000) NET ASSETS CAPITALIZATION
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market $910 0.02% 0.9%
Mid-Cap 136 0.02 0.1
Small-Cap 727 0.02 0.7
Small-Cap Growth 30 0.02 --
Small-Cap Value 42 0.02 --
------------------------------------------------------------------------------------------------
</TABLE>
The funds' Trustees and officers are also Directors and officers of Vanguard.
C. The funds' custodian banks have agreed to reduce their fees when the funds
maintain cash on deposit in their non-interest-bearing custody accounts. For the
year ended December 31, 1999, custodian fee offset arrangements reduced expenses
of the Extended Market Index and Small-Cap Index Funds by $79,000 and $17,000,
respectively.
D. Each fund offers two classes of shares, Investor Shares and Institutional
Shares. The Small-Cap Growth Index Fund has not issued any Institutional Shares
as of December 31, 1999. Institutional Shares are designed primarily for
institutional investors that meet certain administrative and servicing criteria
and have a minimum investment of $10 million. Investor Shares are offered to all
other investors. Both classes of shares have equal rights to assets and
earnings, except that each class bears certain class-specific expenses related
to its shareholder activity. Class-specific expenses for the year ended December
31, 1999, represented the following percentages of average net assets:
<TABLE>
<CAPTION>
----------------------------------------------------------------------
INDEX FUND INVESTOR SHARES INSTITUTIONAL SHARES
----------------------------------------------------------------------
<S> <C> <C>
Extended Market 0.18% 0.03%
Mid-Cap 0.17 0.04
Small-Cap 0.16 0.03
Small-Cap Value 0.17* 0.05*
----------------------------------------------------------------------
*Annualized.
</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.
37
<PAGE> 128
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
E. During the year ended December 31, 1999, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
------------------------------------------------------------------
(000)
----------------------------------
INDEX FUND PURCHASES SALES
------------------------------------------------------------------
<S> <C> <C>
Extended Market $1,451,354 $ 979,497
Mid-Cap 595,665 171,870
Small-Cap 1,691,104 1,343,013
Small-Cap Growth 146,494 95,281
Small-Cap Value 227,803 132,993
------------------------------------------------------------------
</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 December 31, 1999, net unrealized appreciation (depreciation) of
investment securities for financial reporting and federal income tax purposes
was:
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------
(000)
----------------------------------------------------------
NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
INDEX FUND SECURITIES SECURITIES (DEPRECIATION)
---------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market $2,121,604 $(521,598) $1,600,006
Mid-Cap 131,518 (74,896) 56,622
Small-Cap 1,144,013 (555,720) 588,293
Small-Cap Growth 44,486 (7,005) 37,481
Small-Cap Value 15,046 (37,301) (22,255)
---------------------------------------------------------------------------------
</TABLE>
At December 31, 1999, the aggregate settlement value of open futures
contracts expiring in March 2000 and the related unrealized appreciation were:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------
(000)
---------------------------------------
AGGREGATE
NUMBER OF SETTLEMENT UNREALIZED
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE APPRECIATION
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Extended Market/
S&P MidCap 400 Index 56 $12,576 $327
Russell 2000 Index 73 18,613 872
Mid-Cap/
S&P MidCap 400 Index 6 1,347 18
Small-Cap/
Russell 2000 Index 34 8,669 412
-------------------------------------------------------------------------------------------------
</TABLE>
Unrealized appreciation on open futures contracts is required to be treated as
realized gain for tax purposes.
38
<PAGE> 129
G. The market value of securities on loan to broker/dealers at December 31,
1999, and collateral received with respect to such loans were:
<TABLE>
<CAPTION>
-----------------------------------------------------------
(000)
----------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
INDEX FUND SECURITIES RECEIVED
-----------------------------------------------------------
<S> <C> <C>
Extended Market $341,167 $372,108
Small-Cap 126,757 151,600
Small-Cap Growth 1,080 1,181
Small-Cap Value 1,218 1,703
-----------------------------------------------------------
</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.
39
<PAGE> 130
THE VANGUARD FAMILY OF FUNDS
<TABLE>
<CAPTION>
STOCK FUNDS
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
500 Index Fund Growth Index Fund* Tax-Managed Capital
Aggressive Growth Fund Health Care Fund Appreciation Fund*
Capital Opportunity Fund Institutional Index Fund* Tax-Managed Growth and
Convertible Securities Fund International Growth Fund Income Fund*
Emerging Markets Stock International Value Fund Tax-Managed International Fund*
Index Fund Mid-Cap Index Fund* Tax-Managed Small-Cap Fund*
Energy Fund Morgan Growth Fund Total International Stock
Equity Income Fund Pacific Stock Index Fund Index Fund
European Stock Index Fund PRIMECAP Fund REIT Index Fund Total Stock Market Index Fund*
Explorer Fund Selected Value Fund U.S. Growth Fund
Extended Market Index Fund* Small-Cap Growth Index Fund* Utilities Income Fund
Global Equity Fund Small-Cap Index Fund* Value Index Fund*
Gold and Precious Metals Fund Small-Cap Value Index Fund* Windsor Fund
Growth and Income Fund Windsor II Fund
BALANCED FUNDS
- ----------------------------------------------------------------------------------------------------------
Asset Allocation Fund LifeStrategy Growth Fund STAR Fund
Balanced Index Fund LifeStrategy Income Fund Tax-Managed Balanced Fund
Global Asset Allocation Fund LifeStrategy Moderate Wellesley Income Fund
LifeStrategy Conservative Growth Fund Wellington Fund
Growth Fund
BOND FUNDS
- ----------------------------------------------------------------------------------------------------------
Admiral Intermediate-Term Intermediate-Term Corporate Fund Short-Term Corporate Fund*
Treasury Fund Intermediate-Term Tax-Exempt Short-Term Federal Fund
Admiral Long-Term Treasury Fund Fund Short-Term Tax-Exempt Fund
Admiral Short-Term Treasury Fund Intermediate-Term Treasury Fund Short-Term Treasury Fund
GNMA Fund Limited-Term Tax-Exempt Fund State Tax-Exempt Bond Funds
High-Yield Corporate Fund Long-Term Bond Index Fund (California, Florida,
High-Yield Tax-Exempt Fund Long-Term Corporate Fund Massachusetts, New Jersey,
Insured Long-Term Tax-Exempt Long-Term Tax-Exempt Fund New York, Ohio, Pennsylvania)
Fund Long-Term Treasury Fund Total Bond Market Index Fund*
Intermediate-Term Bond Preferred Stock Fund
Index Fund Short-Term Bond Index Fund
MONEY MARKET FUNDS
- ----------------------------------------------------------------------------------------------------------
Admiral Treasury Money State Tax-Exempt Money Market Tax-Exempt Money Market Fund
Market Fund Funds (California, New Jersey, Treasury Money Market Fund
Federal Money Market Fund New York, Ohio, Pennsylvania)
Prime Money Market Fund*
VARIABLE ANNUITY PLAN
- ----------------------------------------------------------------------------------------------------------
Balanced Portfolio High-Grade Bond Portfolio Money Market Portfolio
Diversified Value Portfolio High Yield Bond Portfolio REIT Index Portfolio
Equity Income Portfolio International Portfolio Short-Term Corporate Portfolio
Equity Index Portfolio Mid-Cap Index Portfolio Small Company Growth Portfolio
Growth Portfolio
</TABLE>
*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.
40
<PAGE> 131
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.
Seven of Vanguard's nine 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 C. BOGLE - (1967) Founder, Senior Chairman of the Board, and
Director/Trustee of The Vanguard Group, Inc., and each of the investment
companies in The Vanguard Group.
JOHN J. BRENNAN - (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.
JOHN C. SAWHILL - (1991) President and Chief Executive Officer of The Nature
Conservancy; formerly, Director and Senior Partner of McKinsey & Co. and
President of New York University; Director of Pacific Gas and Electric Co.,
Procter & Gamble Co., NACCO Industries, and Newfield Exploration Co.
JAMES O. WELCH, JR. - (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
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 - Core Management Group.
<PAGE> 132
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.
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 4500" and "Wilshire 5000" are trademarks of
Wilshire Associates.
<PAGE> 133
VANGUARD U.S. STOCK INDEX FUNDS
MID- AND SMALL-CAPITALIZATION PORTFOLIOS
STATEMENT OF NET ASSETS DECEMBER 31, 1999
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 26 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 ................... 27
Small-Cap Index Fund ................. 31
Small-Cap Growth Index Fund .......... 48
Small-Cap Value Index Fund ........... 51
Report Of Independent Accountants .... 55
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
COMMON STOCKS (99.4%)(1)
- --------------------------------------------------------------
<S> <C> <C>
- - Berkshire Hathaway Inc. Class A 1,942 $ 108,946
- - Veritas Software Corp. 335,861 48,070
- - JDS Uniphase Corp. 295,400 47,652
- - CMGI Inc. 153,008 42,364
- - Qwest Communications
International Inc. 973,280 41,851
- - Cox Communications, Inc. Class A 738,459 38,031
- - Level 3 Communications, Inc. 446,500 36,557
- - Amazon.com, Inc. 441,300 33,594
- - Sycamore Networks, Inc. 102,200 31,478
- - VeriSign, Inc. 132,600 25,293
- - Immunex Corp. 214,000 23,393
- - Juniper Networks, Inc. 67,500 22,950
- - Foundry Networks, Inc. 74,600 22,506
- - AMFM Inc. 274,608 21,488
- - eBay Inc. 168,400 21,082
- - Ariba, Inc. 118,400 21,001
- - Siebel Systems, Inc. 249,100 20,924
AXA Financial, Inc. 582,818 19,743
- - Exodus Communications, Inc. 222,200 19,734
- - i2 Technologies, Inc. 99,000 19,305
- - At Home Corp. Series A 446,354 19,137
- - Red Hat, Inc. 89,700 18,949
- - Commerce One, Inc. 94,200 18,510
- - VoiceStream Wireless Corp. 125,000 17,789
- - Infinity Broadcasting Corp. 491,572 17,789
- - BroadVision, Inc. 103,100 17,533
- - Broadcom Corp. 63,600 17,323
- - NTL Inc. 137,325 17,131
- - General Motors Corp. Class H 176,513 16,945
- - Conexant Systems, Inc. 254,000 16,859
- - Maxim Integrated Products, Inc. 352,720 16,644
- - Biogen, Inc. 196,676 16,619
- - Intuit, Inc. 258,813 15,513
- - DoubleClick Inc. 60,565 15,327
- - Genentech, Inc. 110,000 14,795
- - MedImmune Inc. 88,303 14,647
- - Internap Network Services Corp. 83,100 14,376
Linear Technology Corp. 200,408 14,342
- - Liberate Technologies, Inc. 54,500 14,006
Intimate Brands, Inc. 324,450 13,992
- - EchoStar Communications Corp. 141,500 13,796
- - InfoSpace.com, Inc. 62,800 13,439
- - Univision Communications Inc. 131,200 13,407
- - Altera Corp. 261,160 12,944
</TABLE>
1
<PAGE> 134
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Harley-Davidson, Inc. 197,008 $ 12,621
- - Metromedia Fiber Network, Inc. 258,610 12,397
- - Brocade Communications
Systems, Inc. 69,700 12,337
- - Inktomi Corp. 135,200 11,999
- - TIBCO Software Inc. 78,300 11,980
- - McLeodUSA, Inc. Class A 202,100 11,899
- - E-Tek Dynamics, Inc. 87,800 11,820
- - Vignette Corp. 72,500 11,817
Royal Caribbean Cruises, Ltd. 233,800 11,529
- - RealNetworks, Inc. 95,100 11,525
- - U.S. Cellular Corp. 113,950 11,502
- - BEA Systems, Inc. 158,000 11,050
- - Cablevision Systems Corp.
Class B 142,400 10,751
- - Vitesse Semiconductor Corp. 200,900 10,535
- - Sapient Corp. 74,400 10,486
BroadWing Inc. 283,106 10,440
- - Portal Software, Inc. 101,100 10,401
- - CIENA Corp. 179,000 10,292
Telephone & Data Systems, Inc. 80,128 10,096
- - SDL, Inc. 46,100 10,050
- - Redback Networks Inc. 56,300 9,993
- - Lycos, Inc. 125,544 9,989
- - Chiron Corp. 234,940 9,956
United Parcel Service, Inc. 143,200 9,881
- - USA Networks, Inc. 177,707 9,818
- - Phone.com, Inc. 84,400 9,785
- - Network Solutions, Inc. Class A 43,700 9,507
- - CNA Financial Corp. 238,615 9,291
- - Vitria Technology, Inc. 39,500 9,243
- - Priceline.com Inc. 190,800 9,039
- - Applied Micro Circuits Corp. 70,300 8,946
- - FreeMarkets, Inc. 26,100 8,908
- - Infonet Services Corp. 338,400 8,883
Stryker Corp. 125,300 8,724
- - NCR Corp. 229,400 8,688
Marshall & Ilsley Corp. 136,909 8,600
- - TV Guide, Inc. 198,200 8,523
UnionBanCal Corp. 214,493 8,459
The Goldman Sachs Group, Inc. 89,200 8,402
- - Omnipoint Corp. 69,600 8,395
- - Jabil Circuit, Inc. 113,400 8,278
- - E*TRADE Group, Inc. 315,900 8,253
Tiffany & Co. 92,064 8,217
- - Global TeleSystems Group, Inc. 234,600 8,123
Estee Lauder Cos. Class A 160,458 8,093
- - NEXTLINK Communications, Inc. 96,900 8,049
Equity Office Properties
Trust REIT 324,000 7,978
Donaldson, Lufkin & Jenrette, Inc. 163,500 7,909
- - Scient Corp. 91,300 7,892
Cintas Corp. 145,400 7,724
- - SCI Systems, Inc. 93,484 7,683
- - Adelphia Communications Corp.
Class A 117,058 7,682
- - Atmel Corp. 259,096 7,660
- - Loral Space & Communications 315,000 7,658
- - Allegiance Telecom, Inc. 83,000 7,657
- - Cadence Design Systems, Inc. 318,832 7,652
- - Sanmina Corp. 76,400 7,630
- - VerticalNet, Inc. 46,400 7,610
- - Next Level Communications, Inc. 101,400 7,592
Vastar Resources, Inc. 127,900 7,546
- - QLogic Corp. 47,062 7,524
- - Agilent Technologies, Inc. 96,600 7,468
- - CheckFree Holdings Corp. 71,409 7,462
- - Legato Systems, Inc. 107,500 7,397
Comdisco, Inc. 197,976 7,375
- - E.Piphany Inc. 33,050 7,374
- - Kana Communications, Inc. 35,700 7,318
Washington Post Co. Class B 13,150 7,310
- - CareInsite, Inc. 90,700 7,301
- - Safeguard Scientifics, Inc. 45,000 7,293
Equity Residential Properties
Trust REIT 170,369 7,273
Symbol Technologies, Inc. 114,062 7,250
- - RF Micro Devices, Inc. 103,900 7,111
The CIT Group, Inc. 335,900 7,096
Zions Bancorp 118,212 6,997
- - Electronic Arts Inc. 82,800 6,955
- - Concord EFS, Inc. 269,218 6,932
- - Smurfit-Stone Container Corp. 281,568 6,898
- - Knight/Trimark Group, Inc. 144,800 6,661
- - Forest Laboratories, Inc. 107,916 6,630
Young & Rubicam Inc. 93,400 6,608
- - TMP Worldwide, Inc. 46,200 6,560
- - Hispanic Broadcasting Corp. 70,500 6,501
- - Internet Capital Group, Inc. 38,040 6,467
- - American Power
Conversion Corp. 245,000 6,462
- - VA Linux Systems, Inc. 31,117 6,430
- - HomeStore.com, Inc. 85,800 6,371
- - Novellus Systems, Inc. 51,200 6,274
First Security Corp. 244,027 6,230
- - DST Systems, Inc. 81,600 6,227
- - Metro-Goldwyn-Mayer Inc. 262,535 6,186
- - Convergys Corp. 199,900 6,147
- - Synopsys, Inc. 91,608 6,115
- - Fiserv, Inc. 158,787 6,084
- - Covad Communications
Group, Inc. 108,500 6,069
- - Crown Castle International Corp. 188,800 6,065
- - Nabors Industries, Inc. 194,633 6,021
- - Millennium Pharmaceuticals, Inc. 48,600 5,929
Starwood Hotels &
Resorts Worldwide, Inc. REIT 249,910 5,873
- - Finisar Corp. 64,998 5,842
- - UnitedGlobalCom Inc. Class A 82,278 5,811
- - Intertrust Technologies Corp. 48,920 5,754
- - Starbucks Corp. 235,800 5,718
- - Fox Entertainment Group, Inc.
Class A 229,000 5,711
- - American Tower Corp. Class A 186,640 5,704
- - CacheFlow Inc. 43,500 5,685
- - LAM Research Corp. 50,835 5,671
- - Agile Software Corp. 25,950 5,637
- - Extreme Networks, Inc. 66,500 5,553
- - AutoNation, Inc. 599,158 5,542
- - Noble Drilling Corp. 168,500 5,518
AVX Corp. 110,500 5,518
- - Westwood One, Inc. 72,600 5,518
</TABLE>
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<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Rational Software Corp. 111,871 $ 5,496
Weatherford International, Inc. 136,670 5,458
Diamond Offshore Drilling, Inc. 177,800 5,434
- - Mercury Interactive Corp. 50,300 5,429
- - USinternetworking, Inc. 77,050 5,384
- - Peregrine Systems, Inc. 65,107 5,379
Optical Coating Laboratory, Inc. 18,085 5,353
- - UAL Corp. 68,800 5,336
- - CNET, Inc. 93,900 5,329
- - Razorfish Inc. 55,575 5,287
- - IDEC Pharmaceuticals Corp. 53,800 5,286
- - Calpine Corp. 82,400 5,274
- - Affymetrix, Inc. 31,000 5,260
Charter One Financial 273,572 5,232
- - Winstar Communications, Inc. 69,600 5,211
- - PSINet, Inc. 83,800 5,175
- - Software.com, Inc. 53,600 5,146
- - Charter Communications, Inc. 235,000 5,141
Montana Power Co. 142,500 5,139
- - Quest Software, Inc. 50,000 5,100
- - Art Technology Group, Inc. 39,600 5,074
- - Emulex Corp. 44,600 5,017
Simon Property Group, Inc. REIT 217,712 4,994
- - iXL Enterprises, Inc. 88,500 4,912
ServiceMaster Co. 398,850 4,911
- - PE Corp. - Celera Genomics Group 32,700 4,872
- - Genzyme Corp. 107,776 4,850
- - Park Place Entertainment 386,900 4,836
Popular, Inc. 172,688 4,824
Tyson Foods, Inc. 296,810 4,823
Dynegy,Inc. 198,200 4,819
First Tennessee National Corp. 168,900 4,814
- - PurchasePro.com, Inc. 34,950 4,806
- - Network Associates, Inc. 179,657 4,795
- - Citizens Utilities Co. Class B 335,674 4,762
- - RCN Corp. 97,900 4,748
AMBAC Financial Group Inc. 90,356 4,715
- - AmeriTrade Holding Corp. 217,100 4,708
- - Chemdex Corp. 42,400 4,706
- - Advanced Fibre
Communications, Inc. 104,700 4,679
Reliastar Financial Corp. 118,903 4,660
- - Verio Inc. 100,500 4,642
- - Human Genome Sciences, Inc. 30,300 4,625
- - Macromedia, Inc. 63,077 4,612
- - Critical Path, Inc. 48,600 4,587
BHC Communications, Inc.
Class A 28,615 4,578
- - Microchip Technology, Inc. 66,696 4,565
E.W. Scripps Co. Class A 100,369 4,498
- - Akamai Technologies, Inc. 13,700 4,488
- - CDW Computer Centers, Inc. 56,569 4,448
- - Cypress Semiconductor Corp. 136,800 4,429
- - USWeb Corp. 99,050 4,402
- - Retek Inc. 58,300 4,387
- - Health Management Associates
Class A 327,498 4,380
- - Digital Island Inc. 46,000 4,376
- - RSA Security Inc. 56,400 4,371
- - VISIX Inc. 84,200 4,357
- - Symantec Corp. 73,439 4,305
- - Alteon Websystems, Inc. 48,900 4,291
- - Jones Apparel Group, Inc. 156,645 4,249
- - Amkor Technology, Inc. 149,768 4,231
- - Sepracor Inc. 42,600 4,225
- - Western Wireless Corp. Class A 63,200 4,219
- - Electronics for Imaging, Inc. 72,300 4,202
- - American Standard Cos., Inc. 91,500 4,198
KeySpan Corp. 180,147 4,177
- - Proxicom, Inc. 33,500 4,164
M & T Bank Corp. 10,033 4,156
Mylan Laboratories, Inc. 164,700 4,148
- - Inet Technologies, Inc. 59,300 4,144
- - Waters Corp. 77,800 4,123
- - Continental Airlines, Inc. Class B 92,700 4,114
ENSCO International, Inc. 179,800 4,113
- - Clarify, Inc. 32,500 4,095
- - J.D. Edwards & Co. 136,950 4,091
Total System Services, Inc. 249,964 4,078
- - Intraware, Inc. 51,400 4,061
Reader's Digest Assn., Inc.
Class A 138,500 4,051
- - Harmonic, Inc. 42,500 4,035
- - SanDisk Corp. 41,700 4,014
ProLogis Trust REIT 208,257 4,009
Allegheny Energy, Inc. 147,600 3,976
- - Abgenix, Inc. 30,000 3,975
- - Ask Jeeves, Inc. 35,100 3,964
New England Electric System 76,300 3,949
- - SunGard Data Systems, Inc. 165,809 3,938
Allmerica Financial Corp. 70,197 3,905
- - Sterling Commerce, Inc. 114,562 3,902
- - eToys Inc. 148,000 3,885
- - Dollar Tree Stores, Inc. 80,112 3,880
A.G. Edwards & Sons, Inc. 120,322 3,858
- - BJ Services Co. 91,600 3,830
Hormel Foods Corp. 94,200 3,827
Public Storage, Inc. REIT 168,600 3,825
Galileo International, Inc. 127,600 3,820
- - Jones Intercable Inc. 55,100 3,819
- - Powertel Inc. 38,000 3,814
- - Cobalt Networks, Inc. 35,162 3,811
- - Whittman-Hart, Inc. 71,000 3,807
Santa Fe International Corp. 146,800 3,798
- - Engage Technologies, Inc. 63,300 3,798
Hannaford Brothers Co. 54,565 3,782
- - NorthPoint Communications
Group, Inc. 157,400 3,778
- - Medical Manager Corp. 44,725 3,768
- - ISS Group, Inc. 52,900 3,762
Delhaize America, Inc. Class A 184,416 3,746
Manpower Inc. 99,200 3,732
Consolidated Papers 116,800 3,716
Devon Energy Corp. 112,359 3,694
- - Global Marine, Inc. 221,200 3,677
Archstone Communities
Trust REIT 178,221 3,654
Family Dollar Stores, Inc. 223,300 3,643
- - Interwoven, Inc. 29,900 3,637
- - MGM Grand, Inc. 72,255 3,635
- - Bluestone Software Inc. 31,400 3,611
Vornado Realty Trust REIT 111,096 3,611
</TABLE>
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<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - NaviSite, Inc. 36,100 $ 3,610
DPL Inc. 207,712 3,596
- - NetZero Inc. 132,600 3,572
- - Abercrombie & Fitch Co. 133,500 3,563
SCANA Corp. 132,500 3,561
Potomac Electric Power Co. 155,200 3,560
- - Sawtek Inc. 53,400 3,554
- - Silknet Software, Inc. 21,400 3,547
Northeast Utilities 172,300 3,543
Bowater Inc. 64,949 3,528
International Speedway Corp. 69,627 3,507
- - Micromuse Inc. 20,600 3,502
- - GoTo.com, Inc. 59,600 3,501
Transatlantic Holdings, Inc. 44,800 3,497
- - BJ's Wholesale Club, Inc. 95,418 3,483
- - King Pharmaceuticals, Inc. 62,000 3,476
- - Healtheon/WebMD Corp. 92,600 3,472
- - IVAX Corp. 134,800 3,471
Unitrin, Inc. 91,740 3,452
Avnet, Inc. 56,876 3,441
- - Vishay Intertechnology, Inc. 108,215 3,422
- - MRV Communications Inc. 54,294 3,414
- - Lamar Advertising Co. Class A 56,350 3,413
Apartment Investment &
Management Co. Class A REIT 85,701 3,412
Viad Corp. 122,284 3,409
- - S1 Corp. 43,595 3,406
- - Entrust Technologies, Inc. 56,800 3,404
- - Cooper Cameron Corp. 69,400 3,396
- - Sterling Software, Inc. 107,774 3,395
- - Robert Half International, Inc. 118,200 3,376
Green Point Financial Corp. 141,400 3,367
DQE Inc. 97,243 3,367
- - Teletech Holdings Inc. 98,700 3,326
- - Williams Sonoma, Inc. 72,200 3,321
EOG Resources, Inc. 188,676 3,314
- - Sybron International Corp. 134,200 3,313
- - Metasolv Software, Inc. 40,500 3,311
- - HNC Software, Inc. 31,300 3,310
- - Integrated Device Technology Inc. 113,969 3,305
- - Efficient Networks, Inc. 48,500 3,298
Murphy Oil Corp. 57,430 3,295
- - C-Cube Microsystems, Inc. 52,900 3,293
- - Centennial Cellular Corp. Class A 39,700 3,290
The Pepsi Bottling Group, Inc. 198,200 3,283
- - R & B Falcon Corp. 247,237 3,276
Compass Bancshares Inc. 146,447 3,268
- - SPX Corp. 40,291 3,256
- - DII Group, Inc. 45,700 3,243
NSTAR 79,860 3,234
- - Republic Services, Inc. Class A 224,273 3,224
Dial Corp. 132,300 3,217
- - Cree Research, Inc. 37,600 3,210
- - Quantum Corp.- DLT &
Storage Systems 211,531 3,199
- - Smith International, Inc. 64,000 3,180
- - Express Scripts 49,200 3,149
Energy East Corp. 149,800 3,118
Illinova Corp. 89,676 3,116
Duke Realty Investments, Inc.
REIT 159,662 3,113
National Community Bancorp 136,992 3,108
TECO Energy, Inc. 167,400 3,107
- - Pacificare Health Systems, Inc. 58,616 3,107
- - Chris-Craft Industries, Inc. 42,978 3,100
- - Rhythms NetConnections Inc. 99,800 3,094
- - Go2Net, Inc. 35,500 3,089
Spieker Properties, Inc. REIT 84,600 3,083
- - Arrow Electronics, Inc. 121,300 3,078
- - Gilead Sciences, Inc. 56,816 3,075
North Fork Bancorp, Inc. 175,537 3,072
- - Micrel, Inc. 53,900 3,069
- - Valassis Communications, Inc. 72,200 3,050
- - PRIMEDIA Inc. 184,800 3,049
- - InterWorld Corp. 35,450 3,027
- - Puma Technology, Inc. 23,100 3,017
USG Corp. 64,000 3,016
- - Keebler Foods Co. 106,700 3,001
Sonoco Products Co. 131,793 2,998
- - Nova Corp. (Georgia) 94,388 2,979
- - Digital Lightwave, Inc. 46,450 2,973
- - MicroStrategy Inc. 14,100 2,961
- - Oak Industries, Inc. 27,791 2,949
- - Aspect Development, Inc. 43,000 2,945
- - MP3.com, Inc. 92,800 2,941
- - LookSmart, Ltd. 108,900 2,940
- - Keane, Inc. 92,600 2,940
- - Copper Mountain Networks, Inc. 60,200 2,935
- - StarMedia Network, Inc. 73,200 2,933
- - MiniMed, Inc. 40,000 2,930
- - Aerial Communications Inc. 48,100 2,928
- - Golden State Bancorp Inc. 169,405 2,922
- - SFX Entertainment, Inc. 80,600 2,917
- - Lattice Semiconductor Corp. 61,800 2,912
Wisconsin Energy Corp. 150,961 2,906
- - Triton PCS, Inc. 63,800 2,903
- - Premier Parks Inc. 100,500 2,902
- - Saks Inc. 186,259 2,899
- - Affiliated Computer Services, Inc.
Class A 62,963 2,896
Kinder Morgan, Inc. 142,925 2,885
- - Litton Industries, Inc. 57,698 2,878
NiSource, Inc. 160,640 2,871
LG&E Energy Corp. 164,028 2,860
- - APAC Teleservices, Inc. 202,889 2,853
Avalonbay Communities, Inc. REIT 83,021 2,849
A. H. Belo Corp. Class A 149,206 2,844
- - Crossroads Systems, Inc. 33,600 2,839
Mercantile Bankshares Corp. 88,825 2,837
Crescent Real Estate, Inc. REIT 153,600 2,822
- - Informix Corp. 248,100 2,822
- - Viatel, Inc. 52,590 2,820
True North Communications 63,100 2,820
- - Credence Systems Corp. 32,546 2,815
Expeditors International of
Washington, Inc. 64,200 2,813
FINOVA Group, Inc. 79,096 2,808
The PMI Group Inc. 57,250 2,794
- - Viant Corp. 28,200 2,792
Alliant Energy Corp. 101,499 2,791
- - Netro Corp. 54,600 2,785
Travelers Property Casualty Corp. 81,300 2,785
Harris Corp. 104,200 2,781
- - Xircom, Inc. 36,900 2,767
</TABLE>
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Associated Banc-Corp. 80,773 $ 2,766
- - Entercom Communications Corp. 41,900 2,765
- - Lear Corp. 86,400 2,765
- - Liberty Digital, Inc. 37,200 2,762
- - Emmis Communications, Inc. 22,100 2,755
First Virginia Banks, Inc. 63,963 2,750
- - American Eagle Outfitters, Inc. 61,102 2,750
Johns Manville Corp. 196,100 2,745
- - Diamond Technology Partners Inc. 31,935 2,744
- - Catalina Marketing Corp. 23,700 2,743
Erie Indemnity Co. Class A 84,717 2,743
McCormick & Co., Inc. 92,183 2,742
- - Active Software, Inc. 29,700 2,732
- - Clarent Corp. 35,100 2,729
Shaw Industries, Inc. 175,918 2,716
Commerce Bancshares, Inc. 79,821 2,704
- - F5 Networks, Inc. 23,700 2,702
SEI Corp. 22,663 2,697
Boston Properties, Inc. REIT 86,600 2,695
- - Valuevision International, Inc.
Class A 47,000 2,694
Hillenbrand Industries, Inc. 84,650 2,682
- - SilverStream Software, Inc. 22,500 2,677
The St. Joe Co. 109,997 2,674
CTS Corp. 35,479 2,674
TCF Financial Corp. 107,242 2,668
FirstMerit Corp. 115,700 2,661
- - Polycom, Inc. 41,700 2,656
- - Burr-Brown Corp. 73,338 2,649
American Water Works Co., Inc. 124,674 2,649
Protective Life Corp. 83,000 2,640
- - Gentex Corp. 95,000 2,636
Legg Mason Inc. 72,698 2,635
- - MidAmerican Energy Holdings Co. 78,202 2,634
- - Lincare Holdings, Inc. 75,300 2,612
- - CSG Systems International, Inc. 65,500 2,612
Hertz Corp. Class A 52,100 2,611
- - Adelphia Business Solutions, Inc. 54,400 2,611
The Timber Co. 106,000 2,610
Kimco Realty Corp. REIT 76,850 2,603
- - Harbinger Corp. 81,830 2,603
- - CommScope, Inc. 64,500 2,600
- - Acxiom Corp. 108,322 2,600
- - Adtran, Inc. 50,300 2,587
MCN Energy Group Inc. 108,600 2,579
- - Citadel Communications Corp. 39,500 2,563
ICN Pharmaceuticals, Inc. 101,127 2,560
Tidewater Inc. 71,100 2,560
International Game Technology 124,998 2,539
- - Netcentives Inc. 40,700 2,536
AK Steel Corp. 133,232 2,515
Ultramar Diamond
Shamrock Corp. 110,526 2,508
- - TriQuint Semiconductor, Inc. 22,533 2,507
- - AnswerThink Consulting
Group, Inc. 73,000 2,500
- - Tritel, Inc. 78,900 2,500
Southdown, Inc. 48,428 2,500
- - Intermedia Communications Inc. 64,400 2,500
- - Outback Steakhouse 96,331 2,499
- - Aspect Communications Corp. 63,700 2,492
- - TSI International Software Ltd. 43,964 2,489
- - Globix Corp. 41,400 2,484
- - Flycast Communications Corp. 19,100 2,482
- - TCI Satellite Entertainment, Inc.
Class A 154,777 2,476
Martin Marietta Materials, Inc. 60,400 2,476
Jones Pharma, Inc. 56,900 2,472
R.J. Reynolds Tobacco
Holdings, Inc. 140,000 2,467
Whitman Corp. 183,300 2,463
- - Be Free, Inc. 34,100 2,451
- - Radio One, Inc. 26,600 2,447
Lafarge Corp. 88,400 2,442
The McClatchy Co. Class A 56,450 2,441
- - QRS Corp. 23,200 2,436
- - Aether Systems, Inc. 34,000 2,435
- - InterVU Inc. 23,186 2,435
- - Broadbase Software Inc. 21,600 2,430
IMC Global Inc. 148,044 2,424
- - National Instruments Corp. 63,375 2,424
- - NVIDIA Corp. 51,600 2,422
Cornerstone Properties, Inc. REIT 165,300 2,418
- - Packeteer, Inc. 34,000 2,414
Dallas Semiconductor Corp. 37,400 2,410
- - Documentum, Inc. 40,200 2,407
Host Marriott Corp. REIT 291,638 2,406
- - Williams Communications
Group, Inc. 83,100 2,405
- - TranSwitch Corp. 33,000 2,395
- - Allaire Corp. 16,500 2,392
- - Northwest Airlines Corp. Class A 107,500 2,392
- - Storage Technology Corp. 129,582 2,389
Pentair, Inc. 62,008 2,387
- - Sykes Enterprises, Inc. 54,400 2,387
- - On2.com Inc. 82,300 2,387
Pittway Corp. Class A 53,232 2,385
- - Manugistics Group, Inc. 73,700 2,381
- - Mediaplex, Inc. 37,702 2,366
- - Mandalay Resort Group 117,459 2,364
- - Ancor Communications, Inc. 34,800 2,362
- - Vicor Corp. 58,081 2,352
Herman Miller, Inc. 101,784 2,341
- - Cephalon, Inc. 67,600 2,336
Valley National Bancorp 83,085 2,326
- - Zebra Technologies Corp. Class A 39,700 2,322
- - Silicon Image, Inc. 33,050 2,316
- - TeleCorp PCS, Inc. 60,700 2,307
- - Calico Commerce Inc. 43,400 2,300
National Fuel Gas Co. 49,400 2,297
Valspar Corp. 54,800 2,295
CCB Financial Corp. 52,444 2,285
UtiliCorp United, Inc. 117,429 2,283
- - INCYTE Pharmaceuticals, Inc. 38,000 2,280
Weis Markets, Inc. 52,400 2,279
- - BISYS Group, Inc. 34,900 2,277
Hubbell Inc. Class B 83,506 2,276
- - Protein Design Labs, Inc. 32,500 2,275
- - Perot Systems Corp. 119,700 2,274
- - Fairchild Semiconductor Corp. 76,300 2,270
- - Howmet International Inc. 125,600 2,269
Radian Group, Inc. 47,299 2,259
Sotheby's Holdings Class A 75,200 2,256
- - Technology Solutions Co. 68,796 2,253
</TABLE>
5
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - C-COR Electronics, Inc. 29,400 $ 2,253
- - KEMET Corp. 49,800 2,244
- - Zale Corp. 46,300 2,240
Old Republic International Corp. 164,341 2,239
- - The Titan Corp. 47,500 2,238
- - Metricom 28,400 2,233
- - Wireless Facilities, Inc. 51,100 2,229
- - Immunomedics Inc. 181,600 2,225
Reynolds & Reynolds Class A 98,800 2,223
Wesco Financial Corp. 9,068 2,222
- - Clarus Corp. 33,600 2,218
- - WorldGate Communications, Inc. 46,500 2,212
- - Hyperion Solutions Corp. 50,785 2,209
Dime Bancorp, Inc. 146,046 2,209
- - Pinnacle Holdings Inc. REIT 52,100 2,208
- - International Rectifier Corp. 84,900 2,207
AMB Property Corp. REIT 109,900 2,191
BancWest Corp. 112,328 2,190
- - Wink Communications, Inc. 36,400 2,186
- - Leap Wireless International, Inc. 27,800 2,182
- - Guess ?, Inc. 100,300 2,182
- - go.com 91,425 2,177
Fastenal Co. 48,300 2,170
- - Getty Images, Inc. 44,400 2,170
Hibernia Corp. Class A 204,197 2,170
CNF Transportation, Inc. 62,500 2,156
Solutia, Inc. 139,500 2,154
- - U.S. Foodservice 128,297 2,149
- - National Information
Consortium, Inc. 66,800 2,138
- - MindSpring Enterprises, Inc. 80,600 2,128
Financial Security Assurance
Holdings Ltd. 40,800 2,127
American National Insurance Co. 33,350 2,126
- - Digex, Inc. 30,900 2,124
- - ITC DeltaCom, Inc. 76,900 2,124
GATX Corp. 62,800 2,119
Federated Investors, Inc. 105,600 2,119
- - Illuminet Holdings, Inc. 38,500 2,117
- - Kopin Corp. 50,400 2,117
- - Open Market, Inc. 46,900 2,116
Lubrizol Corp. 68,533 2,116
- - Carrier Access Corp. 31,403 2,114
20th Century Industries of CA 109,300 2,111
IBP, Inc. 117,200 2,110
- - InfoCure Corp. 67,638 2,109
Astoria Financial Corp. 68,853 2,096
- - Pixar, Inc. 59,200 2,094
C.H. Robinson Worldwide, Inc. 52,600 2,091
- - LTX Corp. 93,399 2,090
- - Ziff-Davis Inc. 132,100 2,089
- - Remedy Corp. 44,063 2,087
Diebold, Inc. 88,826 2,087
- - Keynote Systems Inc. 28,300 2,087
- - Data Return Corp. 38,900 2,081
Ross Stores, Inc. 115,976 2,080
- - Macrovision Corp. 28,100 2,079
Puget Sound Energy Inc. 107,041 2,074
- - MTI Technology Corp. 56,200 2,072
- - Interim Services, Inc. 83,700 2,072
Liberty Property Trust REIT 85,400 2,071
Provident Financial Group, Inc. 57,725 2,071
Nabisco Holdings Corp. Class A 65,400 2,068
- - Cognex Corp. 52,950 2,065
- - Enzon, Inc. 47,500 2,060
- - Actuate Software Corp. 48,000 2,058
- - Invitrogen Corp. 34,300 2,058
- - Ciber, Inc. 74,700 2,054
CK Witco Corp. 153,509 2,053
Sovereign Bancorp, Inc. 274,612 2,047
Hudson United Bancorp 80,053 2,046
Wilmington Trust Corp. 42,400 2,046
Flowers Industries, Inc. 127,600 2,034
- - Rambus Inc. 30,100 2,030
- - Sagent Technology, Inc. 67,700 2,027
- - New Era of Networks, Inc. 42,500 2,024
- - Informatica Corp. 19,000 2,021
- - Visual Networks, Inc. 25,500 2,021
- - ACTV, Inc. 44,200 2,019
- - Semtech Corp. 38,719 2,018
- - Interliant Inc. 77,500 2,015
- - Progress Software Corp. 35,400 2,009
- - Brinker International, Inc. 83,663 2,008
Sky Financial Group, Inc. 99,744 2,007
Peoples Heritage Financial
Group Inc. 133,234 2,007
- - Apollo Group, Inc. Class A 99,962 2,005
American Financial Group, Inc. 76,000 2,004
- - Price Communications Corp. 71,900 2,000
- - Mohawk Industries, Inc. 75,600 1,994
- - ePlus Inc. 55,300 1,991
- - Drugstore.com, Inc. 55,000 1,990
Conectiv, Inc. 118,184 1,987
- - ESS Technology, Inc. 89,300 1,981
- - West TeleServices Corp. 80,900 1,977
Dean Foods Corp. 49,633 1,973
- - Allscripts, Inc. 44,700 1,967
- - Integrated Systems, Inc. 58,600 1,967
- - Digital Microwave Corp. 83,896 1,966
- - About.Com, Inc. 21,900 1,966
- - Object Design, Inc. 135,400 1,963
Harte-Hanks, Inc. 90,182 1,961
Trustmark Corp. 90,700 1,960
- - First Health Group Corp. 72,730 1,955
- - Asyst Technologies, Inc. 29,700 1,947
Florida East Coast Railway Co. 46,400 1,937
- - Kronos, Inc. 32,275 1,936
OGE Energy Corp. 101,900 1,936
Pacific Century Financial Corp. 103,602 1,936
- - Cambridge Technology Partners 73,700 1,935
Sierra Pacific Resources 111,728 1,934
- - Precision Response Corp. 79,600 1,930
Rouse Co. REIT 90,800 1,930
Mack-Cali Realty Corp. REIT 74,000 1,929
- - Plexus Corp. 43,800 1,927
U.S. Trust Corp. 24,000 1,924
- - Cymer, Inc. 41,820 1,924
- - Wind River Systems Inc. 52,291 1,922
- - Advanced Digital Information Corp. 39,500 1,921
- - Tularik, Inc. 58,100 1,917
Lyondell Chemical Co. 150,254 1,916
- - Biotechnology General 125,600 1,915
- - CompuCredit Corp. 49,600 1,910
Gartner Group, Inc. Class A 124,800 1,903
</TABLE>
6
<PAGE> 139
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Payless ShoeSource, Inc. 40,400 $ 1,899
Beckman Coulter, Inc. 37,200 1,893
IPALCO Enterprises, Inc. 110,800 1,890
Old National Bancorp 58,273 1,890
Hollinger International, Inc. 146,000 1,889
- - FileNet Corp. 74,019 1,887
- - Caliper Technologies Corp. 28,240 1,885
Waddell & Reed Financial, Inc.
Class B 75,000 1,884
City National Corp. 57,188 1,884
Talbots Inc. 42,200 1,883
- - Optical Cable Corp. 93,900 1,878
Millennium Chemicals, Inc. 94,900 1,874
- - PRI Automation, Inc. 27,600 1,853
- - AppNet, Inc. 42,300 1,851
- - Focal Communications Corp. 76,700 1,850
Post Properties, Inc. REIT 48,357 1,850
- - Santa Fe Snyder Corp. 231,168 1,849
- - ACNielson Corp. 75,100 1,849
Federal-Mogul Corp. 91,642 1,844
- - Stamps.Com Inc. 44,300 1,844
Applied Power, Inc. 50,115 1,842
- - Kulicke & Soffa Industries, Inc. 43,200 1,839
- - Pegasus Communications Corp.
Class A 18,800 1,838
- - Patterson Dental Co. 43,100 1,837
CarrAmerica Realty Corp. REIT 86,700 1,832
- - Barnes & Noble, Inc. 88,700 1,829
- - Great Plains Software, Inc. 24,400 1,824
- - Rare Medium Group, Inc. 53,400 1,822
- - Sybase, Inc. 106,940 1,818
- - Ixnet, Inc. 60,300 1,817
General Growth Properties Inc.
REIT 64,800 1,814
- - Network Peripherals, Inc. 38,400 1,814
Roslyn Bancorp, Inc. 98,031 1,814
- - Visio Corp. 38,100 1,810
- - NBC Internet, Inc. Class A 23,400 1,808
Highwood Properties, Inc. REIT 77,600 1,804
- - Insight Communications Co., Inc. 60,900 1,804
- - InterVoice-Brite, Inc. 76,174 1,802
- - LHS Group, Inc. 73,300 1,800
Lee Enterprises, Inc. 56,300 1,798
- - Aspen Technologies, Inc. 68,000 1,798
- - Iron Mountain, Inc. 45,700 1,797
- - Cognizant Technology
Solutions Corp. 16,403 1,793
- - Southern Union Co. 93,753 1,793
- - Fisher Scientific International Inc. 49,600 1,792
New Plan Excel Realty Trust REIT 113,314 1,792
Media General, Inc. Class A 34,400 1,789
- - Alliance Semiconductor Corp. 107,150 1,788
- - Primus Telecommunications
Group, Inc. 46,700 1,786
Central Newspapers, Inc. 45,300 1,784
- - BSQUARE Corp. 42,400 1,778
- - Amphenol Corp. 26,700 1,777
United Television, Inc. 12,900 1,776
The MONY Group Inc. 60,800 1,775
- - WebLink Wireless, Inc. 114,300 1,772
- - JNI Corp. 26,800 1,769
- - Tech Data Corp. 65,178 1,768
- - Alleghany Corp. 9,517 1,765
Starwood Financial Inc. REIT 104,197 1,765
- - Genome Therapeutics Corp. 109,430 1,765
- - Snyder Communications, Inc. 91,500 1,761
- - Genesys Telecommunications
Laboratories, Inc. 32,600 1,760
- - MMC Networks, Inc. 51,164 1,759
- - Terayon Communications
Systems, Inc. 28,000 1,759
- - NorthEast Optic Network, Inc. 28,100 1,758
- - CTC Communications Group, Inc. 45,000 1,756
- - Spyglass, Inc. 46,200 1,752
- - Preview Travel, Inc. 33,500 1,746
- - Hearst-Argyle Television Inc. 65,535 1,745
- - Quintus Corp. 38,000 1,743
Cabot Corp. 85,532 1,743
- - Predictive Systems, Inc. 26,600 1,742
- - EarthLink Network, Inc. 40,900 1,738
- - Tumbleweed
Communications Corp. 20,500 1,737
- - Catellus Development Corp. 135,301 1,734
Eaton Vance Corp. 45,600 1,733
- - Suiza Foods Corp. 43,700 1,732
Leucadia National Corp. 74,876 1,732
Rayonier Inc. 35,800 1,730
- - American Italian Pasta Co. 56,200 1,728
Kansas City Power & Light Co. 78,300 1,727
- - L-3 Communications
Holdings, Inc. 41,500 1,727
- - Glenayre Technologies, Inc. 152,512 1,725
Cullen/Frost Bankers, Inc. 66,480 1,712
United Water Resources, Inc. 50,044 1,711
- - SERENA Software, Inc. 55,300 1,711
Metris Cos., Inc. 47,914 1,710
Clayton Homes Inc. 185,996 1,709
- - The Neiman Marcus Group, Inc.
Class A 61,155 1,709
Peoples Bank Bridgeport 80,850 1,708
- - Andrx Corp. 40,300 1,705
UST Corp. 53,700 1,705
- - Antec Corp. 46,700 1,705
Franchise Finance Corp. of
America REIT 71,200 1,704
- - Learning Tree International, Inc. 60,800 1,702
- - TenFold Corp. 42,600 1,701
Lancaster Colony Corp. 51,215 1,696
- - Veeco Instruments, Inc. 36,200 1,695
- - Sicor, Inc. 218,607 1,694
- - Thermo Instrument Systems, Inc. 152,258 1,694
Callaway Golf Co. 95,700 1,693
Harsco Corp. 53,232 1,690
- - Midway Games Inc. 70,581 1,690
Meritor Automotive, Inc. 87,200 1,690
- - American Management
Systems, Inc. 53,825 1,689
- - NextCard, Inc. 58,400 1,686
- - Modis Professional Services Inc. 118,000 1,681
- - Sensormatic Electronics Corp. 96,361 1,680
- - INSO Corp. 51,900 1,674
- - Medicis Pharmaceutical Corp. 39,324 1,674
- - Devry, Inc. 89,800 1,673
U.S. Industries, Inc. 119,390 1,671
</TABLE>
7
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Ardent Software, Inc. 42,844 $ 1,671
Houghton Mifflin Co. 39,600 1,671
- - HotJobs.com Ltd. 38,200 1,669
- - Verity, Inc. 39,200 1,668
- - Zomax Inc. 36,800 1,665
HON Industries, Inc. 75,900 1,665
- - Interlink Electronics Inc. 28,300 1,663
- - Tut Systems, Inc. 31,000 1,662
- - Marine Drilling Co., Inc. 73,900 1,658
- - Datastream Systems, Inc. 67,500 1,658
- - Webvan Group Inc. 100,400 1,657
- - AmeriCredit Corp. 89,433 1,655
- - Mueller Industries Inc. 45,532 1,651
- - Network Access Solutions Corp. 50,000 1,650
- - Dendrite International, Inc. 48,600 1,646
- - Advanced Energy Industries, Inc. 33,300 1,640
- - MAXIMUS, Inc. 48,294 1,639
- - Inhale Therapeutic Systems 38,500 1,639
- - Zoran Corp. 29,300 1,633
Ethan Allen Interiors, Inc. 50,900 1,632
- - The Profit Recovery Group
International, Inc. 61,350 1,630
- - ICOS Corp. 55,600 1,626
- - Cygnus Inc. 89,100 1,626
- - Korn/Ferry International 44,700 1,626
Arden Realty Group, Inc. REIT 81,000 1,625
- - Concentric Network Corp. 52,700 1,624
- - Forrester Research, Inc. 23,500 1,619
FactSet Research Systems Inc. 20,300 1,616
- - Ocean Energy, Inc. 208,442 1,615
- - Breakaway Solutions, Inc. 22,100 1,613
- - Power Integrations, Inc. 33,600 1,611
Interstate Bakeries Corp. 88,800 1,609
- - OnDisplay, Inc. 17,700 1,608
- - International Home Foods, Inc. 92,400 1,605
Centura Banks, Inc. 36,339 1,603
Washington Gas Light Corp. 58,302 1,603
- - Mastec Inc. 35,983 1,601
Reinsurance Group of
America, Inc. 57,700 1,601
- - AppliedTheory Corp. 57,600 1,598
- - Prodigy Communications Corp. 82,400 1,596
- - SciQuest.com, Inc. 20,000 1,590
DENTSPLY International Inc. 67,200 1,588
- - United Rentals, Inc. 92,552 1,585
- - Borders Group, Inc. 98,600 1,584
Health Care Properties Investors
REIT 66,300 1,583
Noble Affiliates, Inc. 73,736 1,581
- - Expedia Inc. 45,160 1,581
- - Coherent, Inc. 59,046 1,579
Corn Products International, Inc. 48,200 1,579
- - Neuberger Berman Inc. 63,400 1,577
- - CyberSource Corp. 30,400 1,573
TJ International, Inc. 37,400 1,571
USFreightways Corp. 32,800 1,570
Questar Corp. 104,530 1,568
- - Black Box Corp. 23,400 1,568
Cordant Technologies, Inc. 47,500 1,567
- - Pinnacle Systems, Inc. 38,454 1,565
- - Myriad Genetics, Inc. 34,000 1,564
- - Foundation Health Systems
Class A 157,332 1,563
- - Imation Corp. 46,580 1,563
- - Oak Technology, Inc. 165,500 1,562
- - Ditech Communications Corp. 16,700 1,561
- - Apex Inc. 48,250 1,556
Fulton Financial Corp. 86,409 1,555
Roper Industries Inc. 41,100 1,554
- - Alkermes, Inc. 31,600 1,552
- - AmeriSource Health Corp. 102,208 1,552
- - Telcom Semiconductor, Inc. 73,800 1,550
Arthur J. Gallagher & Co. 23,900 1,547
- - Associated Group, Inc. 16,956 1,547
Camden Property Trust REIT 56,461 1,546
Minnesota Power, Inc. 91,200 1,545
- - Maker Communications, Inc. 36,100 1,543
- - Digital River, Inc. 46,300 1,542
- - Celgene Corp. 22,000 1,540
Forest City Enterprise Class A 55,000 1,540
- - Mastech Corp. 62,200 1,539
- - Silicon Valley Bancshares 31,100 1,539
- - Mpath Interactive, Inc. 57,800 1,539
Datascope Corp. 38,400 1,536
- - Whole Foods Market, Inc. 33,100 1,535
- - Pacific Sunwear of California 47,969 1,529
Mercury General Corp. 68,700 1,529
- - Eagle USA Airfreight, Inc. 35,400 1,527
- - Station Casinos, Inc. 68,000 1,526
- - Tekelec 67,800 1,525
- - Trigon Healthcare, Inc. 51,662 1,524
- - ChoicePoint Inc. 36,800 1,523
- - Tanning Technology Corp. 25,800 1,521
- - Men's Wearhouse, Inc. 51,704 1,519
Penton Media, Inc. Class A 63,116 1,515
Western Resources, Inc. 89,103 1,515
- - Orbital Sciences Corp. 81,600 1,515
- - Linens 'n Things, Inc. 51,100 1,514
Teleflex Inc. 48,300 1,512
- - Cirrus Logic 113,600 1,512
- - TiVo Inc. 44,800 1,512
- - Scholastic Corp. 24,300 1,511
- - Project Software &
Development, Inc. 27,200 1,510
- - Lynx Therapeutics Inc. 46,525 1,506
- - Stillwater Mining Co. 47,250 1,506
- - GlobeSpan, Inc. 23,100 1,504
Energy North, Inc. 27,311 1,504
- - Plantronics, Inc. 21,000 1,503
- - Hanover Compressor Co. 39,700 1,499
FelCor Lodging Trust, Inc. REIT 85,637 1,499
- - Speedway Motorsports, Inc. 53,800 1,496
CMP Group Inc. 54,267 1,496
Regency Realty Corp. REIT 74,700 1,494
- - Digital Impact, Inc. 29,800 1,494
- - PanAmSat Corp. 25,100 1,490
National Computer Systems, Inc. 39,600 1,490
Valhi, Inc. 141,800 1,489
- - MIPS Technologies, Inc. 28,600 1,487
- - Furniture Brands International Inc. 67,500 1,485
- - Blyth Industries, Inc. 60,450 1,485
- - Vertex Pharmaceuticals, Inc. 42,400 1,484
</TABLE>
8
<PAGE> 141
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Brightpoint, Inc. 113,000 $ 1,483
- - Powerwave Technologies, Inc. 25,400 1,483
- - Saga Systems, Inc. 74,300 1,481
HRPT Properties Trust REIT 164,200 1,478
National Data Corp. 43,539 1,478
- - ITXC Corp. 43,900 1,476
Trinity Industries, Inc. 51,900 1,476
Equitable Resources, Inc. 44,150 1,473
- - S3, Inc. 127,032 1,469
- - SportsLine.com, Inc. 29,300 1,469
- - ImClone Systems, Inc. 37,000 1,466
- - MICROS Systems, Inc. 19,752 1,462
- - Workflow Management, Inc. 51,045 1,461
Claire's Stores, Inc. 65,300 1,461
- - American Classic Voyager Co. 41,700 1,459
Commerce Bancorp, Inc. 35,985 1,455
- - Gadzoox Networks, Inc. 33,400 1,455
- - SITEL Corp. 207,600 1,453
Hartford Life, Inc. 33,000 1,452
- - Sangstat Medical Corp. 48,800 1,452
- - The SABRE Group Holdings, Inc. 28,300 1,450
- - ETEC Systems, Inc. 32,300 1,449
- - Juno Online Services, Inc. 40,300 1,448
- - Aware, Inc. 39,800 1,448
- - Safety-Kleen Corp. 127,925 1,447
Foremost Corp. of America 51,000 1,447
Allied Capital Corp. 79,020 1,447
- - Multex.com Inc. 38,400 1,445
- - Lone Star Technologies, Inc. 51,800 1,444
- - Dycom Industries, Inc. 32,700 1,441
Colonial BancGroup, Inc. 138,400 1,436
- - Vical, Inc. 47,900 1,434
- - Amylin Pharmaceuticals, Inc. 171,600 1,432
- - Techne 26,000 1,432
- - 24/7 Media, Inc. 25,400 1,429
- - Allied Riser Communications Corp. 69,000 1,427
Methode Electronics, Inc. Class A 44,400 1,426
- - EMCORE Corp. 41,900 1,425
- - Cerner Corp. 72,230 1,422
- - Haemonetics Corp. 59,700 1,422
- - Newfield Exploration Co. 53,100 1,420
- - Persistence Software, Inc. 63,100 1,420
- - Kent Electronics Corp. 62,400 1,420
York International Corp. 51,700 1,418
- - Complete Business Solutions, Inc. 56,444 1,418
Tootsie Roll Industries, Inc. 43,034 1,417
- - Timberland Co. 26,800 1,417
RPM Inc. (Ohio) 139,080 1,417
- - Swift Transportation Co., Inc. 80,325 1,416
- - Procom Technology, Inc. 53,400 1,415
- - Mission Critical Software, Inc. 20,200 1,414
- - Universal Health Services Class B 39,273 1,414
- - Dollar Thrifty Automotive
Group, Inc. 59,060 1,414
Cousins Properties, Inc. REIT 41,620 1,412
- - Unify Corp. 51,574 1,412
- - Excalibur Technologies Corp. 68,400 1,411
- - Alpha Industries, Inc. 24,600 1,410
- - Smithfield Foods, Inc. 58,700 1,409
- - Integrated Silicon Solution, Inc. 84,900 1,406
Mentor Corp. 54,438 1,405
John Nuveen Co. Class A 38,943 1,404
- - Imperial Bancorp 58,185 1,404
- - Luminant Worldwide Corp. 30,800 1,401
Donaldson Co., Inc. 58,200 1,400
Omnicare, Inc. 116,700 1,400
- - AnnTaylor Stores Corp. 40,600 1,398
- - PSW Technologies. Inc. 70,100 1,398
- - TALK.com, Inc. 78,700 1,397
- - Accrue Software, Inc. 25,800 1,396
- - Splitrock Services, Inc. 70,200 1,395
- - O'Reilly Automotive, Inc. 64,800 1,393
Harman International
Industries, Inc. 24,814 1,393
- - AXENT Technologies, Inc. 66,300 1,392
Valero Energy Corp. 70,000 1,391
Graco, Inc. 38,765 1,391
Borg-Warner Automotive, Inc. 34,331 1,390
Air Express International Corp. 42,950 1,388
Wicor, Inc. 47,500 1,386
- - Network Plus Corp. 66,000 1,386
- - QAD Inc. 99,400 1,385
United Asset Management Corp. 74,600 1,385
Carlisle Co., Inc. 38,446 1,384
- - PC Connection, Inc. 40,100 1,383
Hudson City Bancorp, Inc. 102,800 1,381
- - Advanced Communications
Group, Inc. 101,300 1,380
- - General Semiconductor, Inc. 97,150 1,378
- - Com21, Inc. 61,300 1,375
First Midwest Bancorp 51,900 1,375
Everest Reinsurance
Holdings, Inc. 61,600 1,374
Jack Henry & Associates 25,600 1,374
Liberty Financial Cos., Inc. 59,900 1,374
Washington Federal Inc. 69,522 1,373
Bergen Brunswig Corp. Class A 164,854 1,370
- - Aztar Corp. 125,900 1,369
- - NYFIX, Inc. 48,150 1,366
- - Enzo Biochem, Inc. 30,300 1,365
- - Cumulus Media Inc. 26,900 1,365
Mitchell Energy &
Development Corp. Class A 61,800 1,363
- - IPC Communications, Inc. 19,200 1,363
Webster Financial Corp. 57,832 1,363
Citizens Banking Corp. 60,838 1,361
- - The Topps Co., Inc. 131,040 1,360
- - Syntel, Inc. 83,905 1,358
Hospitality Properties Trust REIT 71,000 1,353
- - Lands' End, Inc. 38,900 1,352
- - Micron Electronics, Inc. 121,500 1,352
- - CapRock Communications Corp. 41,600 1,349
- - Laboratory Corp. of America 365,844 1,349
- - Molecular Devices Corp. 25,900 1,347
- - Cellstar Corp. 135,805 1,341
- - Anixter International Inc. 65,000 1,341
MDU Resources Group, Inc. 67,025 1,340
- - NetManage, Inc. 271,457 1,340
Airborne Freight Corp. 60,920 1,340
Commercial Federal Corp. 75,197 1,339
- - EarthWeb Inc. 26,600 1,338
John Wiley & Sons Class A 79,800 1,337
</TABLE>
9
<PAGE> 142
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Pharmacyclics, Inc. 32,377 $ 1,336
- - Azurix Corp. 148,800 1,330
COMSAT Corp. 66,852 1,329
WestAmerica Bancorporation 47,496 1,327
- - Oxford Health Plan 104,400 1,325
- - R.H. Donnelley Corp. 70,100 1,323
- - DuPont Photomasks, Inc. 27,400 1,322
- - DSP Group Inc. 14,200 1,321
- - Teligent, Inc. 21,300 1,315
Elcor Corp. 43,650 1,315
MacDermid, Inc. 32,000 1,314
- - Hadco Corp. 25,751 1,313
- - Cable Design Technologies 57,072 1,313
- - Artisoft, Inc. 72,700 1,309
- - Globecomm Systems, Inc. 51,700 1,305
Arrow International, Inc. 45,000 1,305
- - Insight Enterprises, Inc. 31,882 1,295
First Industrial Realty Trust REIT 47,200 1,295
Chicago Title Corp. 27,974 1,294
- - ZixIt Corp. 32,650 1,294
United Dominion Realty Trust REIT 131,000 1,294
Wellman, Inc. 69,455 1,294
BRE Properties Inc. Class A REIT 57,000 1,293
Church & Dwight, Inc. 48,400 1,292
- - Renal Care Group, Inc. 55,215 1,291
- - Internet.com Corp. 24,700 1,291
- - WebTrends Corp. 15,900 1,288
Kennametal, Inc. 38,255 1,286
- - Sinclair Broadcast Group, Inc. 105,400 1,286
- - Marimba, Inc. 27,900 1,285
- - Concur Technologies, Inc. 44,300 1,285
Universal Foods Corp. 63,024 1,284
Dexter Corp. 32,300 1,284
- - ONYX Software Corp. 34,700 1,284
- - Photronics Labs Inc. 44,796 1,282
United Bankshares, Inc. 53,700 1,282
Weingarten Realty Investors REIT 32,900 1,281
- - Preview Systems, Inc. 19,740 1,281
- - PairGain Technologies, Inc. 90,200 1,280
- - USDATA Corp., Inc. 92,150 1,279
- - Radio Unica Corp. 44,200 1,276
- - Ralcorp Holdings, Inc. 64,000 1,276
- - American Software, Inc. Class A 124,250 1,274
- - Maxygen 17,900 1,271
Charles E. Smith Residential
Realty, Inc. REIT 35,900 1,270
Helix Technology Corp. 28,300 1,268
- - Cytec Industries, Inc. 54,800 1,267
One Valley Bancorp of
West Virginia Inc. 41,368 1,267
Keystone Financial, Inc. 60,100 1,266
IndyMac Mortgage Holdings, Inc.
REIT 99,200 1,265
- - Primark Corp. 45,431 1,264
- - Metamor Worldwide, Inc. 43,350 1,263
- - Computer Outsourcing
Services, Inc. 50,000 1,262
- - Barrett Resources Corp. 42,850 1,261
IDACORP, Inc. 47,000 1,260
- - AGENCY.COM Inc. 24,700 1,260
Rollins Truck Leasing 105,462 1,259
Greif Brothers Corp. Class A 42,300 1,258
Alexander & Baldwin, Inc. 55,100 1,257
Texas Industries, Inc. 29,514 1,256
Ohio Casualty Corp. 78,112 1,255
- - Caremark Rx, Inc. 247,772 1,254
- - Argosy Gaming Co. 80,500 1,253
HSB Group Inc. 37,014 1,252
- - Hanover Direct, Inc. 344,876 1,250
WFS Financial, Inc. 59,060 1,248
Student Loan Corp. 25,000 1,247
- - Advent Software, Inc. 19,350 1,247
N L Industries, Inc. 82,700 1,246
- - Vintage Petroleum, Inc. 103,200 1,245
- - American Mobile
Satellite Corp., Inc. 59,000 1,243
- - Policy Management Systems Corp. 48,528 1,240
- - Convergent Communications, Inc. 78,100 1,240
- - BOK Financial Corp. 61,344 1,239
Sun Communities, Inc. REIT 38,500 1,239
- - High Speed Access Corp. 68,800 1,238
Westpoint Stevens, Inc. 70,714 1,237
- - Sirius Satellite Radio, Inc. 27,800 1,237
- - Dionex Corp. 30,000 1,236
MascoTech Inc. 97,385 1,236
- - eGain Communications Corp. 32,700 1,234
- - Bally Total Fitness Holding Corp. 45,896 1,225
Eastern Utilities Associates 40,381 1,224
- - Young Broadcasting Inc. 24,000 1,224
- - Information Holdings Inc. 42,100 1,224
- - Sanchez Computer
Associates, Inc. 29,700 1,223
Gaylord Entertainment Co.
Class A 40,757 1,220
- - CEC Entertainment Inc. 42,961 1,219
- - Rainbow Technologies, Inc. 52,400 1,218
- - United Stationers, Inc. 42,588 1,216
Advanta Corp. Class A 66,602 1,215
- - BioCryst Pharmaceuticals, Inc. 41,200 1,215
SJW Corp. 10,100 1,215
Yankee Energy Systems 27,577 1,212
- - Artisan Components, Inc 58,700 1,212
- - Atlas Air, Inc. 44,087 1,210
Park National Corp. 12,600 1,210
Alpharma, Inc. Class A 39,283 1,208
- - MGC Communications, Inc. 23,800 1,208
United Illuminating Co. 23,400 1,202
Walden Residential Properties,
Inc. REIT 55,500 1,200
Newport News Shipbuilding Inc. 43,595 1,199
- - Best Software, Inc. 40,600 1,198
- - MedQuist, Inc. 46,400 1,198
- - Latitude Communications, Inc. 45,800 1,197
- - Trimble Navigation Ltd. 55,300 1,196
AGL Resources Inc. 70,300 1,195
- - Mentor Graphics Corp. 90,600 1,195
- - Pre-Paid Legal Services, Inc. 49,700 1,193
- - 99 Cents Only Stores 31,103 1,190
First Financial Bancorp 55,638 1,189
John H. Harland Co. 64,900 1,188
- - Alaska Air Group, Inc. 33,800 1,187
- - IDX Systems Corp. 37,982 1,187
Lincoln Electric Holdings 57,452 1,185
- - Net Perceptions, Inc. 28,200 1,184
</TABLE>
10
<PAGE> 143
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Venator Group, Inc. 169,200 $ 1,184
- - Choice Hotel International, Inc. 69,100 1,183
Commercial Metals Co. 34,866 1,183
- - Quest Diagnostics, Inc. 38,700 1,183
- - Columbia Sportswear Co. 55,000 1,182
Richmond County Financial Corp. 65,450 1,182
- - Boise Cascade Office
Products Corp. 78,776 1,182
Belden, Inc. 56,200 1,180
- - ADVO, Inc. 49,675 1,180
LNR Property Corp. 59,250 1,178
P.H. Glatfelter Co. 80,800 1,177
Casey's General Stores 112,600 1,175
- - Spiegel, Inc. Class A 167,000 1,174
- - Atwood Oceanics, Inc. 30,400 1,174
Washington REIT 78,200 1,173
Aquarion Co. 31,673 1,172
Crawford & Co. Class B 86,000 1,172
Overseas Shipholding Group Inc. 79,100 1,172
- - Kaiser Aluminum &
Chemical Corp. 152,200 1,170
- - Eclipsys Corp. 45,600 1,168
The Toro Co. 31,300 1,168
Polymer Group, Inc. 63,900 1,166
- - Ingram Micro, Inc. 88,800 1,166
Hawaiian Electric Industries Inc. 40,335 1,165
- - US LEC Corp. Class A 36,100 1,164
Lennar Corp. 71,639 1,164
- - Presstek, Inc 83,900 1,164
- - STAR Telecommunications, Inc. 147,000 1,162
Mark IV Industries, Inc. 65,632 1,161
Home Properties of New York,
Inc. REIT 42,300 1,161
Kellwood Co. 59,700 1,160
- - Apria Healthcare 64,680 1,160
- - Meridian Gold Co. 170,100 1,159
BancorpSouth, Inc. 71,000 1,158
- - Silicon Valley Group, Inc. 65,200 1,157
Duff & Phelps Credit Rating 13,000 1,156
- - RadiSys Corp. 22,650 1,155
IDEX Corp. 38,000 1,154
Kelly Services, Inc. Class A 45,937 1,154
Piedmont Natural Gas, Inc. 38,146 1,154
- - Telescan, Inc. 46,700 1,153
Advanced Marketing Services 40,500 1,152
- - America West Holdings Corp.
Class B 55,500 1,152
- - Hyseq, Inc. 67,700 1,151
Brady Corp. Class A 33,900 1,150
Greater Bay Bancorp 26,700 1,145
- - Chico's Fas, Inc. 30,386 1,143
- - Alliance Pharmaceutical Corp. 155,000 1,143
- - CenterSpan
Communications Corp. 35,300 1,143
- - Airnet Communications Corp. 31,390 1,142
Polaris Industries, Inc. 31,450 1,140
Northwestern Corp. 51,800 1,140
Carter-Wallace, Inc. 63,500 1,139
- - Applied Microsystems Corp. 100,100 1,139
- - El Paso Electric Co. 115,966 1,138
- - Dal-Tile International Inc. 112,200 1,136
Dole Food Co. 69,900 1,136
Aptargroup Inc. 45,200 1,136
- - Cal Dive International, Inc. 34,200 1,133
Heller Financial, Inc. 56,453 1,133
- - Winfield Capital Corp. 30,200 1,132
- - Michaels Stores, Inc. 39,700 1,131
Raymond James Financial, Inc. 60,537 1,131
- - Transaction Systems
Architects, Inc. 40,374 1,130
- - Interface Systems Inc. 45,600 1,129
- - PriceSmart, Inc. 28,800 1,129
- - Southwest Bancorporation of
Texas, Inc. 56,900 1,127
- - iBasis, Inc. 39,200 1,127
- - General DataComm
Industries, Inc. 170,100 1,127
- - National-Oilwell, Inc. 71,800 1,126
- - The Yankee Candle Company, Inc. 69,000 1,126
- - Playtex Products, Inc. 73,200 1,125
- - American Freightways 69,500 1,125
- - Jacobs Engineering Group Inc. 34,600 1,124
Roadway Express Inc. 52,000 1,124
- - PETsMART, Inc. 195,500 1,124
- - Journal Register Co. 72,800 1,124
- - Iomega Corp. 332,900 1,124
- - Pioneer Natural Resources Co. 125,656 1,123
Manitowac Co., Inc. 33,000 1,122
Nordson Corp. 23,240 1,121
- - Applix, Inc. 62,079 1,121
Presidential Life Corp. 61,000 1,121
Commerce Group, Inc. 42,900 1,121
Albemarle Corp. 58,382 1,120
Spartech Corp. 34,700 1,119
Investment Technology Group, Inc. 38,911 1,119
- - Cybex Computer Products Corp. 27,600 1,118
Olsten Corp. 98,730 1,117
D. R. Horton, Inc. 80,800 1,116
Capitol Federal Financial 114,400 1,115
Ruby Tuesday, Inc. 61,324 1,115
- - Plasma-Therm, Inc. 91,000 1,115
- - K-V Pharmaceutical Co. Class A 50,750 1,113
Pittston Brink's Group 50,600 1,113
- - Littelfuse, Inc. 45,800 1,111
- - Dura Pharmaceuticals, Inc. 79,708 1,111
Westfield America, Inc. REIT 90,200 1,111
A. Schulman Inc. 68,062 1,110
Michael Foods Group, Inc. 45,055 1,109
United National Bancorp 49,808 1,105
Reckson Associates Realty
Corp. REIT 53,900 1,105
Minerals Technologies, Inc. 27,500 1,102
- - TeleBanc Financial Corp. 42,300 1,100
Bank United Corp. Class A 40,300 1,098
- - First Consulting Group, Inc. 70,742 1,097
La-Z-Boy Inc. 65,200 1,096
- - Egghead.com, Inc. 67,614 1,095
- - Sunglass Hut International, Inc. 97,174 1,093
- - ICG Communications, Inc. 58,200 1,091
Philadelphia Suburban Corp. 52,700 1,090
- - Segue Software, Inc. 43,600 1,090
Olin Corp. 55,000 1,090
- - Triarc Cos., Inc. Class A 59,300 1,090
- - MessageMedia Inc. 77,400 1,088
</TABLE>
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<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Dreyer's Grand Ice Cream, Inc. 63,900 $ 1,086
- - Markel Corp. 7,000 1,085
- - Penwest Pharmaceuticals Co. 70,963 1,082
Gerber Scientific, Inc. 49,300 1,082
- - Pac-West Telecom, Inc. 40,810 1,081
Storage USA, Inc. REIT 35,600 1,077
Pogo Producing Co. 52,500 1,076
Pultizer, Inc. 26,682 1,076
- - Commonwealth Telephone
Enterprises, Inc. 20,300 1,073
Geon Co. 33,000 1,073
- - ATMI, Inc. 32,400 1,071
H.B. Fuller Co. 19,150 1,071
Detroit Diesel Corp. 55,822 1,071
- - SmartDisk Corp. 32,700 1,071
- - Value City Department Stores, Inc. 70,800 1,071
- - Fairfield Communities, Inc. 99,500 1,070
- - ProBusiness Services, Inc. 29,700 1,069
Pioneer Standard Electronics Inc. 74,025 1,069
- - Symyx Technologies 35,600 1,068
- - Avant! Corp. 71,190 1,068
- - SCM Microsystems,Inc. 16,700 1,068
- - Genrad, Inc. 66,211 1,068
- - Cysive, Inc. 14,800 1,067
- - Schein Pharmaceutical, Inc. 87,900 1,066
American Annuity Group Inc. 59,178 1,065
- - Zamba Corp. 61,300 1,065
Kaydon Corp. 39,700 1,064
- - Barr Labs Inc. 33,900 1,064
Liberty Corp. 25,200 1,063
- - Paradyne Networks, Inc. 39,000 1,063
J.M. Smucker Co. Class A 54,500 1,063
- - ClickAction, Inc. 36,100 1,063
- - Associated Group, Inc. Class B 11,550 1,063
Avista Corp. 68,700 1,061
Alexandria Real Estate Equities,
Inc. REIT 33,300 1,059
- - InsWeb Corp. 41,400 1,058
Caraustar Industries, Inc. 44,000 1,056
National Bankcorp of Alaska Inc. 37,600 1,055
- - MEMC Electronic Materials, Inc. 86,100 1,055
Summit Properties, Inc. REIT 58,900 1,053
Whitney Holdings 28,400 1,053
- - Amerco, Inc. 42,100 1,052
- - Houston Exploration Co. 53,100 1,052
- - XETA Corp. 31,700 1,052
OM Group, Inc. 30,500 1,050
- - Too Inc. 60,800 1,049
StanCorp Financial Group, Inc. 41,600 1,048
TNP Enterprises, Inc. 25,400 1,048
- - Windmere-Durable Holdings Inc. 61,598 1,047
Applebee's International, Inc. 35,418 1,045
- - Tickets.com, Inc. 72,900 1,043
- - TheStreet.com, Inc. 54,350 1,043
Independence Community
Bank Corp. 83,400 1,043
- - Handleman Co. 77,900 1,042
Cleco Corp. 32,492 1,042
Telxon Corp. 65,100 1,042
Chittenden Corp. 35,153 1,041
- - Interneuron Pharmaceutical, Inc. 182,000 1,041
- - PLX Technology, Inc. 54,900 1,040
- - Varian Semiconductor
Equipment Associates, Inc. 30,500 1,037
- - Grey Wolf, Inc. 360,600 1,037
UMB Financial Corp. 27,458 1,037
The Ackerley Group, Inc. 57,100 1,035
- - Alliant Techsystems, Inc. 16,600 1,034
- - Bush Boake Allen, Inc. 42,100 1,034
- - GTech Holdings Corp. 47,000 1,034
Mid-America Bancorp 36,239 1,033
First American Financial Corp. 82,900 1,031
- - Duane Reade Inc. 37,400 1,031
CONSOL Energy, Inc. 101,800 1,031
Horace Mann Educators Corp. 52,500 1,030
- - Sequa Corp. Class A 19,100 1,030
- - Vertel Corp. 189,391 1,030
CenterPoint Properties Corp. REIT 28,700 1,030
- - Net2Phone, Inc. 22,400 1,029
Enterprise Products Partners L.P. 55,800 1,029
Longview Fibre Co. 72,170 1,028
- - Miami Computer Supply Corp. 27,700 1,028
- - Management Network Group Inc. 31,500 1,028
- - Alexander's, Inc. 13,000 1,027
- - The Source Information
Management Co. 61,300 1,027
Russ Berrie and Co., Inc. 39,100 1,026
Selective Insurance Group 59,700 1,026
- - Players International, Inc. 124,800 1,026
- - EntreMed, Inc. 40,000 1,025
Pride International Inc. 70,000 1,024
Community First Bankshares 64,916 1,022
Western Gas Resources, Inc. 77,500 1,022
- - MGI Pharma, Inc. 85,500 1,021
- - Ames Department Stores, Inc. 35,409 1,020
- - Nuevo Energy Co. 54,300 1,018
MAF Bancorp, Inc. 48,571 1,017
Oneida Ltd. 46,733 1,016
- - Jack in the Box Inc. 49,100 1,016
UNITILI Corp. 28,400 1,015
Chateau Communities, Inc. REIT 39,112 1,014
- - WMS Industries, Inc. 77,250 1,014
Meditrust Corp. REIT 184,169 1,013
- - Anchor Gaming 23,301 1,012
Chelsea GCA Realty, Inc. REIT 34,000 1,012
- - Integral Systems, Inc. 22,900 1,010
MeriStar Hospitality Corp. REIT 63,031 1,008
Pacific Gulf Properties, Inc. REIT 49,800 1,008
- - Micro Warehouse Inc. 54,500 1,008
- - UCAR International, Inc. 56,600 1,008
- - Specialty Equipment Cos., Inc. 42,100 1,008
AGCO Corp. 74,900 1,006
Berry Petroleum Class A 66,500 1,006
First Citizens BancShares Class A 14,400 1,004
- - Hot Topic, Inc. 43,200 1,004
Reliance Group Holdings 150,114 1,004
- - McMoRan Exploration Co. 47,490 1,003
Sodexho Marriott Services, Inc. 77,100 1,002
- - Biomatrix, Inc. 52,048 1,002
- - Ascent Entertainment Group, Inc. 78,863 1,001
United Dominion Industries Ltd. 50,185 1,001
- - Quanta Services, Inc. 35,400 1,000
</TABLE>
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<CAPTION>
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MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Research Frontiers, Inc. 67,500 $ 1,000
- - National Discount Brokers
Group, Inc. 37,900 1,000
Vital Signs, Inc. 43,664 999
Hussman International, Inc. 66,300 999
- - National Processing, Inc. 112,500 998
Georgia Gulf Corp. 32,782 998
- - Avis Rent A Car, Inc. 39,000 997
Trustco Bank 74,952 993
E.W. Blanch Holdings, Inc. 16,200 992
- - Shorewood Packaging Corp. 52,350 991
- - Coleman Inc. 106,400 991
JSB Financial 19,099 991
Universal Corp. 43,400 990
Prentiss Properties Trust REIT 47,100 989
- - Continental Materials Corp. 43,000 989
- - Spectrian Corp. 35,000 989
New Jersey Resources Corp. 25,300 988
Bradley Real Estate Inc. REIT 56,637 988
White Mountains Insurance
Group Inc. 8,185 986
Bedford Property Investors, Inc.
REIT 57,800 986
A.O. Smith Corp. 45,050 985
Tredegar Corp. 47,600 985
Deb Shops, Inc. 53,200 984
Koger Equity, Inc. REIT 58,300 984
Pennzoil-Quaker State Co. 96,555 984
Staten Island Bancorp, Inc. 54,600 983
- - Charles River Associates Inc. 29,300 982
The Trust Co. of New Jersey 42,900 981
- - Mid Atlantic Medical
Services, Inc. 118,000 981
- - Papa John's International, Inc. 37,593 980
JLG Industries, Inc. 61,600 978
- - Netopia, Inc. 18,000 978
- - CUNO Inc. 47,200 977
- - Steel Dynamics, Inc. 61,300 977
- - Terex Corp. 35,200 977
Ruddick Corp. 63,000 976
- - DBT Online Inc. 40,054 976
Developers Diversified Realty
Corp. REIT 75,800 976
Centex Construction Products,Inc. 25,000 975
- - Oceaneering International, Inc. 65,200 974
Arvin Industries, Inc. 34,300 973
Town & Country Trust REIT 54,200 972
- - Sonosite, Inc. 30,679 970
- - Artesyn Technologies, Inc. 46,200 970
- - PlanetRx.com, Inc. 66,900 970
- - SPSS, Inc. 38,400 970
Pope & Talbot, Inc. 60,500 968
Rollins, Inc. 64,500 967
- - Universal Display Corp. 57,700 966
- - Allen Telecom Inc. 83,440 965
Cambrex Corp. 28,000 964
Republic Bancorp, Inc. 79,349 963
- - Fritz Cos., Inc. 91,500 961
- - Liquid Audio, Inc. 36,600 961
Ferro Corp. 43,662 961
- - Rainmaker Systems, Inc. 47,400 960
RGS Energy Group Inc. 46,648 959
AmerUs Life Holdings, Inc. 41,700 959
- - Hutchinson Technology, Inc. 45,100 958
- - NCO Group, Inc. 31,800 958
Alfa Corp. 58,600 956
- - Yellow Corp. 56,800 955
Arnold Industries, Inc. 67,800 953
Regal-Beloit Corp. 46,200 953
Fidelity National Financial, Inc. 66,190 951
Curtiss-Wright Corp. 25,800 951
- - Global Industries Ltd. 110,100 950
Mid-America Apartment
Communities, Inc. REIT 41,900 948
Federal Realty Investment
Trust REIT 50,300 946
- - IGEN International, Inc. 31,800 946
- - Professional Detailing, Inc. 31,600 946
International Bancshares Corp. 21,366 945
- - URS Corp. 43,558 945
- - P-Com, Inc. 106,800 945
Baldor Electric Co. 52,006 943
- - GST Telecommunications Inc. 103,700 940
- - Mail-Well, Inc. 69,600 940
Reliance Bancorp, Inc. 27,200 938
Bel Fuse, Inc.- Class B 39,200 938
- - Salton, Inc. 28,050 938
- - Rogers Corp. 24,500 937
The Warnaco Group, Inc. Class A 76,078 937
Chesapeake Corp. of Virginia 30,683 936
Brown & Brown, Inc. 24,400 935
- - Unifi, Inc. 75,725 932
Pacific Capital Bancorp 30,300 932
- - Louis Dreyfus Natural Gas Corp. 51,400 932
AREA Bancshares Corp. 38,025 932
- - Varco International, Inc. 91,356 931
EastGroup Properties, Inc. REIT 50,300 931
- - CSK Auto Corp. 53,138 930
ChemFirst Inc. 42,500 930
Justin Industries, Inc. 62,500 930
- - HA-LO Industries, Inc. 123,800 928
Flowserve Corp. 54,494 926
Cabot Industrial Trust REIT 50,400 926
- - Bottomline Technologies, Inc. 25,700 925
- - Buffets Inc. 92,493 925
Lennox International Inc. 100,500 923
Florida Rock Industries, Inc. 26,800 923
- - IHOP Corp. 55,300 923
- - Del Webb Corp. 37,000 923
- - Casella Waste Systems, Inc. 48,784 921
- - Arkansas Best Corp. 76,700 920
- - ANADIGICS, Inc. 19,500 920
Cabot Oil & Gas Corp. Class A 57,264 920
- - Time Warner Telecom Inc. 18,400 919
- - Boyd Gaming Corp. 158,000 918
- - Advanced Communication
Systems, Inc. 48,000 918
- - Troy Group, Inc. 61,200 918
- - On Assignment, Inc. 30,700 917
Bindly Western Industries, Inc. 60,866 917
Circle International Group, Inc. 41,200 917
- - Ligand Pharmaceuticals Inc.
Class B 71,200 917
</TABLE>
13
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Stewart & Stevenson
Services, Inc. 77,382 $ 916
- - Transkaryotic Therapies, Inc. 23,800 916
- - Startec Global
Communications Corp. 42,800 915
Taubman Co. REIT 85,100 915
- - Vail Resorts Inc. 51,000 915
Federal Signal Corp. 56,937 915
The Macerich Co. REIT 43,900 914
- - Canandaigua Brands, Inc. Class A 17,900 913
- - Century Business Services, Inc. 108,000 911
- - FOSSIL, INC. 39,400 911
- - barnesandnoble.com inc. 64,200 911
Hancock Holding Co. 23,485 910
- - UNOVA, Inc. 70,000 910
- - Bell & Howell Co. 28,600 910
- - US Oncology, Inc. 184,232 910
- - Varian Medical Systems, Inc. 30,500 909
Kilroy Realty Corp. REIT 41,300 909
Merchants New York
Bancorporation 53,000 908
G & K Services, Inc. 28,025 907
- - ThermoQuest Corp. 87,900 906
- - Basin Exploration Inc. 51,398 906
- - E-Stamp Corp. 40,700 906
Quanex Corp. 35,500 905
- - Extended Stay America, Inc. 118,500 904
Modine Manufacturing Co. 36,100 902
South Jersey Industries, Inc. 31,684 901
- - Pacific Gateway Exchange, Inc. 52,800 901
Hooper Holmes, Inc. 34,900 899
- - Newpark Resources, Inc. 146,700 899
First Commonwealth
Financial Corp. 74,800 898
- - Z-Tel Technologies, Inc. 23,890 896
- - Medco Research, Inc. 29,800 896
Werner Enterprises, Inc. 63,675 895
- - Security Capital Group Inc. REIT
Class B 71,600 895
Cato Corp. Class A 70,800 894
- - FSI International, Inc. 77,700 894
Superior Industries
International, Inc. 33,319 893
- - Volt Information Sciences Inc. 37,400 893
Clarcor Inc. 49,600 893
- - Labor Ready, Inc. 73,550 892
Glenborough Realty Trust, Inc.
REIT 66,600 891
- - STERIS Corp. 86,316 890
- - Oxigene, Inc. 56,961 890
- - 7-Eleven, Inc. 499,600 890
Block Drug Co. Class A 28,673 889
Downey Financial Corp. 44,020 889
- - Premiere Technologies, Inc. 126,900 888
Wallace Computer Services, Inc. 53,400 888
Oshkosh B Gosh, Inc. Class A 42,100 887
- - Activision, Inc. 57,900 887
- - International Specialty
Products, Inc. 96,500 887
- - Cadiz Inc. 93,200 885
Hughes Supply, Inc. 41,061 885
- - Tuesday Morning Corp. 48,000 885
- - Forest Oil Corp. 67,100 885
West Pharmaceutical
Services, Inc. 28,562 884
- - iManage, Inc. 27,500 883
- - MetaCreations Corp. 102,662 882
Bob Evans Farms, Inc. 57,016 880
American National Can Group, Inc. 67,700 880
- - Paxar Corp. 104,300 880
Southwest Gas Corp. 38,200 879
- - TD Waterhouse Group, Inc. 53,400 878
- - Conmed Corp. 33,900 877
- - Tower Automotive, Inc. 56,800 877
- - FuelCell Energy, Inc. 34,950 876
Central Parking Corp. 45,800 876
- - ShopKo Stores, Inc. 38,055 875
Argonaut Group, Inc. 44,019 875
- - Citizens, Inc. 126,046 874
Fleming Cos., Inc. 85,300 874
Primex Technologies, Inc. 42,120 874
- - Scott Technologies, Inc. 46,300 874
Chemed Corp. 30,500 873
- - PathoGenesis Corp. 40,600 870
- - Collateral Therapeutics, Inc. 45,500 870
Baldwin & Lyons, Inc. Class B 39,300 870
Nationwide Financial
Services, Inc. 31,100 869
- - Sola International Inc. 62,600 869
- - Aurora Foods Inc. 93,100 867
- - Romac International, Inc. 64,400 865
R.L.I. Corp. 25,450 865
- - Stericycle, Inc. 45,900 863
- - Beringer Wine Estates
Holdings, Inc. 21,600 861
- - Vertex Communications Corp. 42,000 861
- - Toll Brothers, Inc. 46,200 860
Applied Industrial Technology, Inc. 51,750 860
- - Del Monte Foods Co. 69,800 859
- - Gaylord Container Corp. 126,100 859
- - Bio-Rad Laboratories, Inc.
Class A 36,747 859
- - Thermo Fibertek, Inc. 120,500 859
- - Digital Insight Corp. 23,600 858
Collins & Aikman Corp. 149,200 858
Bank North Group 32,040 857
Public Service Co. of New Mexico 52,720 857
Regis Corp. 45,210 853
- - Avid Technology, Inc. 65,300 853
First Federal Capital Corp. 58,300 853
- - Sylvan Learning Systems, Inc. 65,500 851
Earthgrains Co. 52,800 851
- - IDEXX Laboratories Corp. 52,800 851
Ryland Group, Inc. 36,900 851
- - ACX Technologies Inc. 79,600 851
- - Scotts Co. 21,100 849
- - ITI Technologies, Inc. 28,300 849
- - Network Equipment
Technologies, Inc. 71,847 849
Ametek Aerospace Products Inc. 44,500 848
- - Hollywood Entertainment Corp. 58,471 848
- - Rexall Sundown, Inc. 82,194 848
</TABLE>
14
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Invacare Corp. 42,243 $ 848
National Presto Industries, Inc. 23,863 847
Irwin Financial Corp. 47,400 844
- - Stone Energy Corp. 23,700 844
USEC Inc. 120,600 844
- - Polo Ralph Lauren Corp. 49,400 843
- - Checkpoint Systems, Inc. 82,726 843
Superior Telecom Inc. 54,579 843
Delta & Pine Land Co. 48,376 841
- - Wyndham International, Inc.
Class A REIT 285,290 838
- - Jupiter Communications, Inc. 27,700 838
- - Women.com Networks, Inc. 58,800 838
- - Exabyte Corp. 111,700 838
- - Aphton Corp. 54,861 837
Kimball International, Inc. Class B 50,700 837
Tejon Ranch Co. 35,200 836
- - Footstar Inc. 27,400 836
Morgan Keegan, Inc. 49,700 836
Diagnostic Products Corp. 34,077 835
Riggs National Corp. 63,300 835
- - Swift Energy Co. 72,479 834
Computer Task Group, Inc. 56,108 831
- - Ben & Jerry's Homemade, Inc.
Class A 33,400 831
- - Rehabcare Corp. 39,300 830
New England Business
Service, Inc. 33,900 828
Queens County Bancorp, Inc. 30,497 827
Wausau-Mosinee Paper Corp. 70,628 825
- - Acuson Corp. 65,638 825
- - M.S. Carriers, Inc. 34,500 824
- - Consolidated Products Inc. 81,285 823
Burlington Coat Factory
Warehouse Corp. 59,300 823
- - Geron Corp. 64,500 822
M.A. Hanna Co. 74,975 820
Coca-Cola Bottling Co. 17,300 820
Lawson Products, Inc. 35,350 817
- - Airgas, Inc. 86,000 817
- - Quorum Health Group, Inc. 87,700 817
- - Concord Communications, Inc. 18,400 816
- - Education Management Corp. 58,300 816
Pier 1 Imports Inc. 128,008 816
- - Wisconsin Central
Transportation Corp. 60,700 816
- - Maxxam Inc. 19,000 815
Atmos Energy Corp. 39,812 814
WPS Resources Corp. 32,300 812
- - PSS World Medical, Inc. 85,900 811
Blockbuster Inc. Class A 60,600 811
- - Midwest Express Holdings, Inc. 25,400 810
F.N.B. Corp. 36,315 808
- - DSL.Net, Inc. 55,800 806
- - Dataware Technologies, Inc. 46,600 804
- - Priority Healthcare Corp. Class A 27,753 803
- - Delphi Financial Group, Inc. 26,742 802
- - ADE Corp. 48,600 802
- - NetIQ Corp. 15,400 802
- - OfficeMax, Inc. 145,700 801
- - Aavid Thermal Technologies 32,600 801
- - Boca Resorts, Inc. Class A 82,000 800
- - CDI Corp. 33,100 799
Precision Castparts Corp. 30,400 798
- - Objective Systems
Integrators, Inc. 120,400 798
Premier National Bancorp, Inc. 43,241 797
- - JWGenesis Financial Corp. 26,900 797
AAR Corp. 44,400 796
Health Care REIT, Inc. 52,600 796
- - Genlyte Group, Inc. 37,200 795
- - Bright Horizons Family
Solutions, Inc. 42,380 795
Alliance Bancorp Inc. 42,942 794
- - Epitope Inc. 122,000 793
- - Meade Instruments Corp. 27,800 792
Innkeepers USA Trust REIT 96,500 790
- - MSC.Software Corp. 78,000 790
- - Tesoro Petroleum Corp. 68,300 790
Republic Security Financial Corp. 110,341 790
Watts Industries Class A 53,500 789
- - Perrigo Co. 98,600 789
- - Virata Corp. 26,400 789
- - Nortek, Inc. 28,152 788
- - 1-800 CONTACTS, Inc. 29,100 788
Empire District Electric Co. 34,755 786
- - Elite Information Group, Inc. 73,500 786
CH Energy Group, Inc. 23,800 785
- - Ultratech Stepper, Inc. 48,700 785
Brooke Group Ltd. 52,500 784
Zenith National Insurance Corp. 37,960 783
Midas Inc. 35,733 782
UGI Corp. Holding Co. 38,246 782
Morrison Management
Specialists, Inc. 36,241 781
- - Wesco International, Inc. 88,050 781
Skywest, Inc. 27,900 781
Nationwide Health Properties,
Inc. REIT 56,800 781
HCC Insurance Holdings, Inc. 59,200 781
- - E-LOAN, Inc. 48,000 780
- - Orthodontic Centers of
America, Inc. 65,100 777
Shurgard Storage Centers, Inc.
Class A REIT 33,500 777
- - ITT Educational Services, Inc. 50,300 777
JDN Realty Corp. REIT 48,050 775
- - Paxson Communications Corp. 64,900 775
- - Veritas DGC Inc. 55,300 774
- - IMRglobal Corp. 61,600 774
- - NVR, Inc. 16,200 774
Patina Oil & Gas Corp. 89,668 773
Badger Meter, Inc. 25,600 771
- - Safeskin Corp. 63,600 771
- - Data Broadcasting Corp. 93,356 770
- - Syncor International Corp. 26,400 769
- - Coventry Health Care Inc. 113,500 766
- - Insurance Auto Auctions, Inc. 48,600 765
- - Media Metrix, Inc. 21,400 765
National City Bancshares, Inc. 30,300 761
Seacoast Financial Services Corp. 74,670 761
- - C-bridge Internet Solutions, Inc. 15,640 760
</TABLE>
15
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Rock-Tenn Co. 51,550 $ 760
Prison Realty Trust, Inc. REIT 150,161 760
- - MapQuest.com, Inc. 33,600 758
Flushing Financial Corp. 51,150 758
- - Evergreen Resources, Inc. 38,300 756
- - Arch Communications Group, Inc 114,633 756
- - Callon Petroleum Co. 51,000 755
- - Covance, Inc. 69,860 755
- - Friede Goldman Halter, Inc. 108,843 755
- - Pioneer Group, Inc. 47,900 754
- - Identix, Inc. 83,200 754
Healthcare Realty Trust Inc. REIT 48,200 753
- - Astec Industries, Inc. 40,000 752
- - Impath, Inc. 29,500 750
- - Personnel Group of America, Inc. 74,096 750
- - The Dress Barn, Inc. 45,100 750
Enhance Financial Services
Group, Inc. 46,000 747
MECH Financial, Inc. 21,600 747
GBC Bancorp 38,500 744
Omega Financial Corp. 25,600 742
- - AirTran Holdings, Inc. 163,600 741
- - Information Resources, Inc. 80,034 740
- - Medical Assurance, Inc. 34,910 740
- - Digital Generation Systems 103,795 740
- - Province Healthcare Co. 38,900 739
- - Rush Enterprises, Inc. 50,900 738
- - Advance Paradigm, Inc. 34,200 737
- - Quantum Corp.- Hard Disk Drive 106,200 737
CPI Corp. 32,600 736
- - HMT Technology Corp. 183,300 733
- - GetThere.com, Inc. 18,200 733
Ventas, Inc. REIT 174,865 732
- - Ace Cash Express, Inc. 39,550 732
Reliance Steel & Aluminum Co. 31,200 731
- - Digi International, Inc. 69,950 730
- - bebe stores, inc. 27,000 729
Luby's, Inc. 63,900 727
The Standard Register Co. 37,487 726
Amcore Financial 30,200 725
Banta Corp. 32,025 723
- - Centennial Bancorp 67,099 721
- - Barnett, Inc. 69,400 720
- - Applied Analytical Industries, Inc. 78,900 720
- - SEACOR SMIT Inc. 13,900 719
- - Marketing Specialists Corp. 191,700 719
Lance, Inc. 71,841 718
CBRL Group, Inc. 74,033 718
- - Sunterra Corp. 62,450 718
Psychemedics, Inc. 143,556 718
LandAmerica Financial Group, Inc. 39,050 718
- - uBid, Inc. 26,978 715
- - Zygo Corp. 35,500 714
Saul Centers, Inc. REIT 50,800 714
- - The Liposome Co., Inc. 58,539 714
Brandywine Realty Trust REIT 43,600 714
IRT Property Co. REIT 91,300 713
- - UniSource Energy Corp. 63,700 713
FBL Financial Group, Inc. Class A 35,600 712
SIG Corp. 31,281 712
Timberline Software Corp. 52,933 711
Sovran Self Storage, Inc. REIT 37,500 710
- - OAO Technology Solutions, Inc. 91,620 710
Brush Wellman, Inc. 42,100 708
- - J & J Snack Foods Corp. 34,500 707
- - LifePoint Hospitals, Inc. 59,820 707
Westinghouse Air Brake Co. 39,800 706
Ogden Corp. 59,051 705
Wabash National Corp. 46,900 704
Indiana Energy, Inc. 39,600 703
- - Somera Communications, Inc. 56,400 701
- - EMCOR Group, Inc. 38,400 701
- - Kensey Nash Corp. 59,000 701
- - Tuboscope Inc. 44,100 700
Northwest Natural Gas Co. 31,900 700
Medford Bancorp, Inc. 42,002 698
W.R. Berkley Corp. 33,450 698
Skyline Corp. 29,700 698
- - Ryan's Family Steak Houses, Inc. 82,100 698
- - Pegasystems Inc. 62,000 698
- - Insignia Financial Group, Inc. 80,266 697
- - DVI, Inc. 45,900 697
- - Fatbrain.com Inc. 27,800 697
- - Hi/fn, inc. 17,967 696
F & M National Corp. 25,235 696
Kaman Corp. Class A 54,000 695
Community Trust Bancorp Inc. 34,716 694
Puerto Rican Cement Co., Inc. 20,400 694
- - Garden Fresh Restaurant Corp. 40,500 694
- - Software Spectrum, Inc. 39,200 693
First Charter Corp. 46,473 691
- - Todd Shipyards Corp. 87,600 690
RFS Hotel Investors, Inc. REIT 66,000 689
- - National R. V. Holdings, Inc. 35,773 689
Manufactured Home
Communities, Inc. REIT 28,300 688
- - Osteotech, Inc. 51,350 687
- - XTRA Corp. 16,100 686
- - Varian, Inc. 30,500 686
- - Secure Computing Corp. 54,600 686
- - Frontier Oil Corp. 101,600 686
Cash America International Inc. 70,310 686
- - Novavax, Inc. 121,800 685
Suffolk Bancorp 25,900 683
Capstead Mortgage Corp. REIT 163,000 683
- - Castle & Cooke Inc. 53,733 682
- - First Federal Financial Corp. 48,450 681
Standex International Corp. 32,500 680
- - ABIOMED, Inc. 18,500 680
- - Mesaba Holdings, Inc. 59,400 679
- - Central Garden and Pet Co. 65,300 677
- - Interpore International 86,000 677
- - GelTex Pharmaceuticals, Inc. 52,800 677
- - JAKKS Pacific, Inc. 36,150 676
Carpenter Technology Corp. 24,600 675
- - Albany International Corp. 43,533 675
Lilly Industries Inc. Class A 50,188 674
- - Cytoclonal Pharmaceutics Inc. 89,800 673
- - Tetra Tech, Inc. 43,750 673
- - Summit Technology, Inc. 57,550 673
- - LCA-Vision, Inc. 143,437 672
- - Billing Concepts Corp. 103,372 672
</TABLE>
16
<PAGE> 149
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Saga Communications, Inc. 33,093 $ 670
S & T Bancorp, Inc. 28,900 670
- - Inacom Corp. 91,600 670
- - Mattson Technology, Inc. 39,100 670
- - Piercing Pagoda, Inc. 44,250 669
Susquehanna Bancshares, Inc. 42,050 668
Gables Residential Trust REIT 27,800 667
Coachmen Industries, Inc. 44,100 667
- - Echelon International Corp., Inc. 29,000 667
- - Computer Horizons Corp. 41,138 666
Oriental Financial Group 30,166 666
Colonial Properties Trust REIT 28,700 665
- - First Republic Bank 28,300 665
- - Information Resources
Engineering, Inc. 32,400 664
- - Plug Power, Inc. 23,500 664
Schweitzer-Mauduit
International, Inc. 49,400 664
- - 4 Kids Entertainment, Inc. 23,700 664
Pittston BAX Group 62,400 663
- - TeleSpectrum Worldwide Inc. 92,892 662
- - Aftermarket Technology Corp. 55,400 661
- - Structural Dynamics
Research Corp. 51,855 661
- - Internet America, Inc. 55,900 660
National Steel Corp. Class B 88,400 657
First Bancorp/Puerto Rico 31,600 656
Cross Timbers Oil Co. 72,300 655
- - Barra, Inc. 20,600 654
- - Monaco Coach Corp. 25,575 654
- - Consolidated Freightways Corp. 82,350 654
- - Avatar Holding, Inc. 36,000 652
- - Cholestech Corp. 100,300 652
NBT Bancorp, Inc. 42,026 651
- - Total Renal Care Holdings, Inc. 97,394 651
- - Henry Schein, Inc. 48,900 651
Brenton Banks, Inc. 64,267 651
- - Amdocs Ltd. 18,845 650
- - Theragenics Corp. 71,700 650
Northwest Bancorp, Inc. 93,600 649
- - Per-Se Technologies, Inc. 77,232 649
- - Telular Corp. 68,125 647
- - Hayes Lemmerz International, Inc. 37,100 647
- - Tristar Corp. 110,000 646
Granite Construction Co. 35,000 645
- - BTG Inc. 79,400 645
- - Magnatek 83,900 645
Bush Industries, Inc. 37,510 645
Pennfed Financial Services, Inc. 42,600 644
Libbey, Inc. 22,400 644
- - Arcadia Financial Ltd. 145,100 644
CNA Surety Corp. 49,500 643
Phillips-Van Heusen Corp. 77,393 643
St. Francis Capital Corp. 34,400 641
Myers Industries, Inc. 40,668 641
- - Autotote Corp. 196,767 639
Realty Income Corp. REIT 31,000 639
Stewart Enterprises, Inc. Class A 134,400 638
- - Net.B@nk, Inc. 34,500 638
- - Berlitz International, Inc. 37,126 638
- - VISTA Information Solutions, Inc. 175,900 638
WSFS Financial Corp. 50,500 638
- - Global Imaging Systems, Inc. 52,000 637
LaSalle Hotel Properties REIT 54,500 637
Penn Engineering &
Manufacturing Corp. 27,500 637
Bandag, Inc. 25,462 637
- - Pliant Systems, Inc. 71,200 636
- - Home Products International Inc. 61,320 636
Banco Santander Puerto Rico 41,200 636
- - Hamilton Bancorp, Inc. 35,800 635
Penford Corp. 36,809 635
- - Sunbeam Corp. 151,500 634
- - Candela Corp. 34,000 633
Flexsteel Industry 47,300 633
Brown Shoe Company, Inc. 44,706 631
- - MarketWatch.com, Inc. 17,300 631
- - Tyler Technologies, Inc. 114,700 631
BSB Bancorp, Inc. 32,744 630
Anchor Bancorp Wisconsin Inc. 41,600 629
- - Twinlab Corp. 79,200 629
Fremont General Corp. 84,874 626
- - NBTY, Inc. 54,100 626
Provident Bankshares Corp. 36,069 624
Tecumseh Products Co. Class A 13,200 623
Jefferies Group, Inc. 28,300 623
Sauer Inc. 68,600 622
- - Miravant Medical Technology 66,700 621
- - iVillage Inc. 30,600 620
Donnelly Corp. 44,212 619
Communications Systems, Inc. 47,600 619
- - Syntroleum Corp. 76,100 618
- - Rayovac Corp. 32,700 617
- - SpeedUs.com, Inc. 129,000 617
IMCO Recycling, Inc. 48,800 616
NCH Corp. 13,800 615
- - American Axle &
Manufacturing Holdings, Inc. 50,700 615
- - Acclaim Entertainment Inc. 119,900 614
- - Versant Corp. 70,200 614
Omega Healthcare Investors, Inc.
REIT 48,341 613
Granite State Bankshares, Inc. 30,850 613
First Bell Bancorp, Inc. 40,200 613
- - Landstar System 14,300 612
- - Royal Appliance
Manufacturing Co. 125,500 612
Bowne & Co., Inc. 45,300 612
Universal Health Realty Income
REIT 41,800 611
- - Triangle Pharmaceuticals, Inc. 47,700 611
- - Rent-A-Center, Inc. 30,800 610
Haven Bancorp, Inc. 39,400 608
- - MECON, Inc. 56,200 608
- - Rentrak Corp. 86,000 607
Andover Bancorp, Inc. 21,675 607
- - Intergraph Corp. 129,400 607
- - UICI 57,400 606
- - Novoste Corp. 36,700 606
Ameron International Corp. 15,300 605
- - Drexler Technology Corp. 62,011 605
- - Danielson Holdings Corp. 105,000 604
</TABLE>
17
<PAGE> 150
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - PC-Tel, Inc. 11,500 $ 604
Walter Industries, Inc. 55,800 603
- - Able Telcom Holding Corp. 75,400 603
- - Audible, Inc. 40,100 601
- - SLI, Inc. 44,278 601
CBL & Associates Properties, Inc.
REIT 29,100 600
- - Bombay Co. 133,162 599
- - Chesapeake Energy Corp. 252,300 599
- - Offshore Logistics, Inc. 63,900 599
- - Clayton Williams Energy, Inc. 50,700 599
- - Parker Drilling Co. 187,500 598
- - Trico Marine Services, Inc. 84,600 597
American Woodmark Corp. 24,600 597
Konover Property Trust, Inc. REIT 94,400 596
- - Buckeye Technology, Inc. 40,000 595
- - Bluegreen Corp. 118,940 595
- - Esterline Technologies Corp. 51,410 594
- - Playboy Enterprises, Inc. Class B 24,350 592
- - Meta Group, Inc. 31,100 591
- - Fresh Del Monte Produce Inc. 65,600 590
- - Oakley, Inc. 106,100 590
J.B. Hunt Transport Services, Inc. 42,503 588
W Holding Co., Inc. 56,700 588
- - OnHealth Network Co. 65,800 588
- - The IT Group, Inc. 64,008 588
Southwestern Energy Co. 89,600 588
- - Vlasic Foods International, Inc. 103,300 588
- - Ocwen Financial Corp. 93,900 587
- - PICO Holdings, Inc. 47,645 587
- - Renaissance Worldwide, Inc. 79,400 586
- - Image Entertainment, Inc. 104,400 584
- - Xpedior Inc. 20,300 584
- - National Beverage Corp. 70,540 582
Southwest Securities Group, Inc. 21,200 580
Michigan Financial Corp. 21,038 580
A.M. Castle & Co. 48,825 580
Metrowest Bank 97,638 580
- - TBC Corp. 92,675 579
Ohio Valley Banc Corp. 17,225 579
- - Benihana Inc. Class A 40,100 579
- - Energy Conversion Devices, Inc. 62,325 577
- - Navigant Consulting, Inc. 52,890 575
Independent Bank Corp. 46,000 575
Doral Financial Corp. 46,700 575
The Stride Rite Corp. 88,300 574
Bassett Furniture Industries, Inc. 35,800 573
- - Heartport Inc. 120,500 572
Wolverine World Wide, Inc. 52,204 571
Churchill Downs, Inc. 25,300 571
- - Merix Corp. 51,700 569
- - Pharmaceutical Resources, Inc. 114,988 568
- - Jones Lang Lasalle Inc. REIT 47,800 568
- - Towne Services, Inc. 141,800 567
Herbalife International Class B 42,400 567
Arch Chemicals, Inc. 27,000 565
Exide Corp. 67,900 564
- - Metro One
Telecommunications, Inc. 43,400 564
- - Metromedia International
Group, Inc. 118,500 563
- - Affiliated Managers Group, Inc. 13,900 562
- - Chemical Fabrics Corp. 35,914 561
- - SurModics, Inc. 18,700 561
- - Civic Bancorp 36,151 560
- - Right Management Consultants 48,700 560
- - Imperial Credit 89,574 560
- - CompUSA, Inc. 109,100 559
- - Revlon, Inc. Class A 70,300 558
- - Data Transmission Network Corp. 32,300 557
Pacific Crest Capital Inc. 43,645 556
- - Matria Healthcare, Inc. 134,678 556
- - Algos Pharmaceutical Corp. 50,500 555
Virco Manufacturing Corp. 42,713 555
- - Prime Hospitality Corp. 63,000 555
Boykin Lodging Co. REIT 50,700 555
Calgon Carbon Corp. 93,300 554
- - Kellstrom Industries, Inc. 60,700 554
- - McAfee.com Corp. 12,300 553
- - Koala Corp. 39,400 552
- - NPC International Class A 69,800 550
- - AstroPower, Inc. 39,200 549
- - MSC Industrial Direct Co., Inc.
Class A 41,400 549
BostonFed Bancorp, Inc. 34,500 548
- - Peapod, Inc. 63,500 548
- - Crestline Capital Corp. REIT 26,465 546
- - Mapics Inc. 43,200 545
Aceto Corp. 49,562 545
Merchants Bancshares, Inc. 25,500 545
- - Beverly Enterprises, Inc. 124,200 543
- - Read Rite Corp. 114,369 543
- - Ventiv Health, Inc. 59,033 542
- - E. Gottschalk & Co., Inc. 72,800 541
National Health Investors REIT 36,400 541
Corus Bankshares Inc. 22,500 540
- - SonicWALL, Inc. 13,400 539
- - Spanish Broadcasting System, Inc. 13,400 539
- - Wit Capital Group, Inc. 31,700 539
BancFirst Corp. 15,874 539
- - @plan.Inc. 54,500 538
- - Trans World Entertainment Corp. 51,200 538
US Bancorp, Inc. 45,700 537
- - World Acceptance Corp. 111,500 537
- - School Specialty, Inc. 35,438 536
Ethyl Corp. 136,104 536
Cascade Bancorp 42,784 535
- - BigStar Entertainment, Inc. 68,900 534
Trenwick Group Inc. 31,523 534
Associated Estates Realty Corp.
REIT 68,300 534
Intermet Corp. 45,900 534
L. S. Starrett Co. Class A 23,700 532
- - Chromatics Color Sciences
International, Inc. 75,600 532
Carolina First Corp. 29,100 531
Getty Realty Holding Corp. 47,432 531
- - Sharper Image Corp. 41,800 530
- - Comfort Systems USA, Inc. 71,900 530
- - Daleen Technologies, Inc. 24,200 529
- - Triad Hospitals, Inc. 35,000 529
RPC Inc. 91,700 527
</TABLE>
18
<PAGE> 151
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Knape & Vogt Manufacturing Co. 38,062 $ 526
- - Chalone Wine Group Ltd. 60,500 526
- - Viisage Technology, Inc. 65,100 525
- - Pharmaceutical Product
Development, Inc. 44,183 525
- - SPR Inc. 85,500 524
Holly Corp. 39,100 523
- - The Boyds Collection, Ltd. 75,300 522
- - Alpine Group, Inc. 40,500 521
Westcorp, Inc. 35,900 521
- - CIRCOR International, Inc. 50,350 519
- - XOMA Ltd. 172,544 518
- - The Middleby Corp. 91,800 516
Sanderson Farms, Inc. 60,250 516
Prime Retail, Inc. REIT 91,700 516
- - Evans & Sutherland
Computer Corp. 45,097 516
- - NeoPharm, Inc. 23,900 515
- - Trammell Crow Co. 44,300 515
Sterling Bancshares, Inc. 46,000 515
- - Hexcel Corp. 92,500 515
Klamath First Bancorp 43,300 514
- - Mesa Air Group Inc. 108,200 514
- - PAREXEL International Corp. 43,500 514
- - Department 56 Inc. 22,700 514
HMN Financial, Inc. 45,600 513
- - Viador, Inc. 12,100 513
- - Laser Vision Centers, Inc. 48,400 511
Cleveland-Cliffs Iron Co. 16,400 510
Black Hills Corp. 23,000 510
- - Andrea Radio Corp. 66,300 510
- - A.S.V., Inc. 37,400 510
- - Hector Communications Corp. 36,350 509
Gainsco, Inc. 94,461 508
- - Ocular Sciences, Inc. 26,800 506
- - Advantage Learning Systems, Inc. 45,200 506
- - MediaBay, Inc. 45,200 506
- - Credit Acceptance Corp. 137,100 506
Birmingham Steel Corp. 95,050 505
Mississippi Chemical Corp. 81,555 505
- - Champion Enterprises, Inc. 58,814 504
J. Baker, Inc. 83,909 503
- - Systems & Computer
Technology Corp. 30,900 502
- - MPW Industrial Services
Group, Inc. 63,200 502
- - Unique Mobility, Inc. 121,500 501
Engineered Support Systems, Inc. 41,750 501
- - Sierra Health Services 74,803 500
- - Earthshell Corp. 121,100 500
Pennsylvania REIT 34,300 499
International Multifoods Corp. 37,669 499
Ampco-Pittsburgh Corp. 49,265 499
Tecumseh Products Co. Class B 11,900 497
PS Group Holdings Inc. 43,900 494
GenCorp, Inc. 50,000 494
F & M Bancorp 24,356 493
- - Jackpot Enterprises, Inc. 59,327 493
- - Franklin Covey Co. 65,500 491
- - Globe Business Resources, Inc. 38,100 491
Texas Regional Bancshares, Inc. 16,900 490
- - RMI.NET, Inc. 58,800 489
- - Hibbett Sporting Goods, Inc. 28,700 488
Stewart Information
Services Corp. 36,600 487
Philadelphia Consolidated
Holding Corp. 33,600 487
McWorter Technologies Inc. 30,400 486
Integrated Electrical Services, Inc. 48,300 486
- - Styleclick.com Inc. 40,700 486
Simmons First National 19,400 485
- - The Children's Place Retail
Stores, Inc. 29,500 485
- - Javelin Systems, Inc. 52,600 483
- - Hoenig Group, Inc. 52,200 483
- - Interactive Pictures Corp. 20,700 483
- - Zoltek Cos., Inc. 55,900 482
- - Rimage Corp. 30,100 482
FFY Financial Corp. 38,100 480
- - Careerbuilder, Inc. 74,500 480
- - Microtouch Systems, Inc. 37,901 479
- - Teltrend, Inc. 15,800 478
PMC Capital, Inc. 58,800 478
- - Cameron Ashley Building Products 47,700 477
- - The Kroll-O'Gara Co. 28,900 477
- - BioTime, Inc. 53,700 477
- - Scios, Inc. 113,468 475
- - Inference Corp. Class A 102,700 475
Laser Mortgage
Management, Inc. 116,900 475
- - PictureTel Corp. 110,100 475
- - TriPath Imaging, Inc. 115,000 474
Resource Bancshares Mortgage
Group, Inc. 104,400 473
- - Metrologic Instruments, Inc. 35,000 472
People's Bancshares, Inc. 27,000 472
Arch Coal, Inc. 41,700 472
- - CDnow Inc. 47,746 471
Harris Financial, Inc. 62,700 470
National City Bancorporation 28,066 470
Enesco Group, Inc. 42,400 469
- - Playboy Enterprises Inc. Class A 22,850 468
- - UniCapital Corp. 127,000 468
- - Belco Oil & Gas Corp. 85,100 468
- - Commonwealth Telephone
Enterprises Class B 7,400 468
Bay State Bancorp, Inc. 23,900 468
- - Gliatech Inc. 28,100 467
- - autobytel.com inc. 30,700 466
- - ISIS Pharmaceuticals, Inc. 74,574 466
- - Cytogen Corp. 179,469 465
- - Mortons Restaurant Group 30,000 465
- - Hollywood Casino Corp. 107,800 465
- - Florida Banks, Inc. 77,000 464
- - Natrol, Inc. 66,300 464
- - Restoration Hardware, Inc. 67,900 463
- - Omega Worldwide, Inc. 99,115 462
- - Drug Emporium, Inc. 103,930 461
Ace, Ltd. 27,625 461
- - Nautica Enterprises, Inc. 40,737 461
Stone & Webster, Inc. 27,400 461
Warren Bancorp, Inc. 61,400 461
</TABLE>
19
<PAGE> 152
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Universal Electronics, Inc. 10,000 $ 460
- - Gundle/SLT Environmental, Inc. 131,300 460
- - quepasa.com, inc. 36,200 459
NYMAGIC, Inc. 34,800 459
- - Aviall Inc. 56,000 459
- - ITLA Capital Corp. 36,200 455
- - Wintrust Financial Corp. 29,800 454
Progress Financial Corp. 35,941 454
- - Park-Ohio Holdings Corp. 45,709 451
- - PJ America Inc. 29,100 451
- - Fairchild Corp. 49,700 450
World Fuel Services Corp. 59,813 449
- - Advanced Tissue Sciences Inc. 179,342 448
- - Thermotrex Corp. 56,900 448
- - Friendly Ice Cream Corp. 100,900 448
- - Thermedics, Inc. 82,300 448
Yardville National Bancorp 38,485 447
Central Bancorp, Inc. 27,100 447
- - Healthcare Services Group, Inc. 63,814 447
- - Wavo Corp. 115,100 446
- - V.I. Technologies, Inc. 64,800 445
- - Ambassadors International, Inc. 40,700 445
- - Echo Bay Mines Ltd. 374,500 445
- - Highlands Insurance Group 46,800 445
- - North American Vaccine, Inc. 98,500 443
- - Thermedics Detection Inc. 65,610 443
- - Boston Communications
Group, Inc. 84,200 442
- - HyperFeed Technologies, Inc. 95,200 440
Liberty Homes, Inc. Class A 53,600 439
Interface, Inc. 76,300 439
- - Immune Response 100,983 439
- - Voyager.net, Inc. 47,742 439
First Mutual Bancshares, Inc. 36,544 439
- - Navigant International, Inc. 37,469 438
- - BankUnited Financial Corp. 55,100 437
Met-Pro Corp. 43,679 437
ABM Industries 21,400 436
- - Cheap Tickets, Inc. 31,800 435
Frisch's Restaurants, Inc. 49,334 435
- - Cohesion Technologies, Inc. 47,603 434
- - Cunningham Graphics
International, Inc. 31,000 432
- - Loews Cineplex
Entertainment Corp. 73,500 432
- - Gilman & Ciocia, Inc. 52,500 430
- - Waste Industries, Inc. 37,950 429
K2 Inc. 56,145 428
- - WHX Corp. 47,564 428
- - Western Digital Corp. 102,200 428
- - LoJack Corp. 63,400 428
Technitrol, Inc. 9,600 427
Commercial Assets, Inc. REIT 94,900 427
- - Midwest Grain Products 57,650 425
- - North American Scientific, Inc. 47,200 425
- - Hotelworks.com Inc. 84,800 424
LTV Corp. 102,723 424
Blair Corp. 30,200 423
S.Y. Bancorp, Inc. 19,300 422
- - National Techteam, Inc. 87,700 422
- - e-Net, Inc. 33,900 422
Bairnco Corp. 70,200 421
- - Microwave Power Devices, Inc. 58,800 419
- - Superior Consultant Holdings Corp. 29,400 419
PVF Capital Corp. 35,739 418
- - Matrix Bancorp, Inc. 34,800 418
First Source Corp. 16,670 417
Spartan Motors, Inc. 95,200 417
Amcast Industrial Corp. 25,400 416
- - Nashua Corp. 55,400 415
HEICO Corp. 19,029 415
- - Neff Corp. 65,100 415
- - Magellan Health Services, Inc. 65,700 415
Oregon Steel Mills, Inc. 52,100 414
- - Barrett Business Services, Inc. 62,300 413
- - Crown Central Petroleum Corp.
Class B 78,600 413
- - Sunrise Assisted Living, Inc. 30,000 413
Huntco Inc. Class A 129,200 412
- - Franklin Electronic Publishers, Inc. 69,100 410
- - WetSeal, Inc. Class A 33,400 409
- - SPS Technologies, Inc. 12,800 409
- - InVision Technologies, Inc. 99,100 409
- - Capital Corp. of the West 41,800 408
General Binding Corp. 34,600 407
Jefferson Savings Bancorp, Inc. 38,400 406
- - JLK Direct Distribution Inc. Class A 39,300 405
- - Hagler Bailly, Inc. 81,000 405
- - Action Performance Cos., Inc. 35,200 405
- - Peerless Systems Corp. 52,200 405
- - TCSI Corp. 126,529 403
Landmark Bancshare, Inc. 18,700 402
- - Aztec Technology Partners, Inc. 88,068 402
- - Catalytica, Inc. 29,600 401
Correctional Properties Trust REIT 32,700 401
- - InterDent, Inc. 49,674 400
- - e.spire Communications, Inc. 68,700 399
- - Bristol Hotels & Resorts, Inc. 78,725 399
HEICO Corp. Class A 18,864 399
- - TransMontaigne Inc. 56,800 398
- - Stac Software, Inc. 62,825 397
- - Columbia Laboratories Inc. 52,800 396
LabOne, Inc. 57,600 396
CFS Bancorp, Inc. 42,500 396
- - Republic Bancshares, Inc. 31,600 395
- - ChromaVision Medical
Systems, Inc. 25,900 395
WesterFed Financial Corp. 25,853 394
- - The Buckle, Inc. 26,600 394
Oregon Trail Financial Corp. 39,100 393
- - Jan Bell Marketing Inc. 136,600 393
- - Horizon Organic Holding Corp. 52,300 392
Heilig-Meyers Co. 142,418 392
- - Foodarama Supermarkets, Inc. 19,700 392
Ryerson Tull, Inc. 19,977 388
- - eGames, Inc. 121,800 388
- - Viasoft, Inc. 68,252 388
- - World Wrestling Federation
Entertainment, Inc. 22,500 388
Urban Shopping Centers, Inc. REIT 14,300 388
Omnova Solutions Inc. 50,000 388
- - Digital Origin, Inc. 31,900 387
</TABLE>
20
<PAGE> 153
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Sunrise Medical, Inc. 62,500 $ 387
Apogee Enterprises, Inc. 76,200 386
- - click2learn.com, inc. 34,600 385
- - New Mexico & Arizona Land Co. 76,905 385
Pilgrim's Pride Corp. 46,200 384
R & G Financial Corp. Class B 33,200 382
- - Ursus Telecom Corp. 28,800 382
- - Autoweb.com, Inc. 35,000 381
- - Samsonite Corp. 65,407 380
Scope Industries 8,400 380
- - Drypers Corp. 157,808 380
- - Keystone Consolidated
Industries, Inc. 63,919 380
- - Lifeline Systems, Inc. 25,300 379
- - Mobius Management
Systems, Inc. 47,800 379
- - Creative Computers, Inc. 51,800 379
Apex Mortgage Capital, Inc. REIT 37,100 378
- - Applied Graphics
Technologies, Inc. 43,700 377
- - EMS Technologies, Inc. 31,914 375
Bank of Granite Corp. 17,400 374
- - Dave & Busters 45,560 373
City Holding Co. 26,616 373
- - Lone Star Steakhouse &
Saloon, Inc. 41,763 373
- - Rainbow Rentals, Inc. 51,800 372
- - The Gymboree Corp. 66,160 372
- - Onyx Acceptance Corp. 58,300 372
Brookline Bancorp, Inc. 38,075 371
Chiquita Brands
International, Inc. 78,065 371
- - US SEARCH.com Inc. 49,300 370
Abington Bancorp Inc. 35,000 370
- - Blue Rhino Corp. 37,800 369
Phillips International Realty Corp.
REIT 22,400 368
Summit Bancshares, Inc. 19,900 368
- - Information Management
Associates, Inc. 70,100 368
- - Beyond.com Corp. 47,100 368
- - Webhire, Inc. 21,800 368
- - V-One Corp. 62,500 367
- - 4Front Technologies, Inc. 27,300 365
- - Jenny Craig Inc. 100,600 365
- - Vivus, Inc. 115,300 364
- - BWC Financial Corp. 18,600 364
- - M&F Worldwide Corp. 71,800 363
- - Litronic Inc. 45,400 363
- - Microvision, Inc. 12,000 363
- - Vicorp Restaurants, Inc. 22,500 363
- - Alterra Healthcare Corp. 43,600 362
- - K-tel International, Inc. 61,500 361
- - Perficient, Inc. 28,331 361
- - Gibson Greetings, Inc. 40,100 360
Gold Banc Corp., Inc. 39,900 359
- - Canandaigua Brands, Inc. Class B 6,375 358
- - Ultralife Batteries, Inc. 58,300 357
- - Metal Management, Inc. 95,000 356
Sterling Bancorp 22,260 356
- - Homestead Village, Inc. 167,070 355
MOCON, Inc. 59,162 355
Wackenhut Corp. 23,700 354
- - Capital Crossing Bank 28,300 354
- - Engineering Animation, Inc. 40,400 353
Prime Bancshares, Inc. 14,700 353
- - Carmike Cinemas, Inc. Class A 45,100 352
- - Landry's Seafood
Restaurants, Inc. 40,500 352
CKE Restaurants Inc. 59,774 351
TCBY Enterprises, Inc. 92,100 351
- - Atrix Laboratories, Inc. 67,534 350
Delhaize America, Inc. Class B 16,668 348
- - Shoney's Inc. 252,400 347
Community Bank System, Inc. 15,000 347
- - Getty Petroleum Marketing Inc. 138,232 346
- - OneMain.com, Inc. 23,000 345
- - A.T. Cross Co. Class A 76,600 345
- - Orthologic Corp. 133,600 342
- - ResMed Inc. 8,200 342
- - Hollywood.com, Inc. 18,000 342
- - Landmark Systems Corp. 32,700 341
- - Allou Health & Beauty, Inc. 51,400 341
- - Sizzler International 136,050 340
- - Ashford.com, Inc. 30,900 340
- - Goody's Family Clothing 63,200 340
TransPro Inc. 52,510 338
Angelica Corp. 34,600 337
Ohio Art Co. 14,800 337
- - Budget Group, Inc. 37,100 336
Harleysville Group, Inc. 23,500 335
- - I-Link, Inc. 120,400 335
Steelcase Inc. 27,900 335
Central Vermont Public
Service Corp. 31,500 335
- - eSPEED, Inc. 9,400 334
Dimon Inc. 102,850 334
- - CTB International Corp. 57,500 334
- - Huttig Building Products, Inc. 67,526 333
- - Epicor Software Corp. 65,712 333
- - Advanced Polymer Systems 96,500 332
- - Alcide Corp. 26,000 331
- - Caribiner International, Inc. 90,900 330
- - Competitive Technologies, Inc. 61,200 329
- - Mitcham Industries, Inc. 95,000 327
BHA Group Holdings Inc. 41,437 326
- - COMARCO, Inc. 13,700 322
- - The Pathways Group, Inc. 135,200 321
- - Key Tronic Corp. 85,500 321
TransTechnology Corp. 28,800 319
- - Delta Financial Corp. 76,900 317
Cavalry Bancorp, Inc. 19,200 317
Boston Acoustics, Inc. 22,700 316
Frontier Insurance Group, Inc. 91,850 316
- - Simula, Inc. 57,900 315
- - Hoover's, Inc. 35,900 314
- - 800-JR CIGAR, Inc. 36,100 314
- - AMREP Corp. 65,700 312
- - Princeton Video Image, Inc. 39,000 312
Newmil Bancorp, Inc. 23,900 311
- - Thermo Cardiosystems Inc. 47,150 309
- - Komag, Inc. 99,000 309
</TABLE>
21
<PAGE> 154
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Tremont Corp. 20,609 $ 309
TF Financial Corp. 23,312 309
Washington Trust Bancorp, Inc. 17,400 309
- - JLM Industries, Inc. 91,500 309
- - Serologicals Corp. 51,300 308
- - Coeur D'Alene Mines Corp. 89,500 308
- - Trans World Airlines 109,203 307
- - MeriStar Hotels & Resorts, Inc.
REIT 86,200 307
- - Cellegy Pharmaceuticals, Inc. 90,800 306
- - AMF Bowling, Inc. 97,301 304
- - Multiple Zones International, Inc. 42,300 304
- - Medialink Worldwide, Inc. 37,600 303
- - ZapMe! Corp. 35,000 302
- - OEA, Inc. 61,900 302
Resource Asset Investment
Trust REIT 27,900 302
- - Protection One, Inc. 155,300 301
- - Raytel Medical Corp. 98,200 301
Guilford Mills, Inc. 41,425 300
General Cable Corp. 39,600 299
- - American Bank Note
Holographics, Inc. 186,000 298
- - Hanger Orthopedic Group, Inc. 29,700 297
- - Systemax Inc. 34,846 296
- - 1-800-FLOWERS.COM, Inc. 27,700 296
- - Sames Corp. 19,150 296
Home Bancorp 17,000 295
Maine Public Service Co. 17,000 295
- - Acceptance Insurance Cos. Inc. 50,700 295
Merchants Group, Inc. 15,100 294
Second Bancorp, Inc. 13,100 293
Main Street Bancorp, Inc. 29,582 292
- - Equivest Finance, Inc. 48,675 292
- - EEX Corp. 99,233 291
Harmon Industries, Inc. 23,900 290
- - HomeBase, Inc. 94,300 289
- - Acacia Research Corp. 9,600 287
- - Creditrust Corp. 37,300 287
- - Evercel, Inc. 11,132 287
- - Catalina Lighting, Inc. 59,400 286
- - Bio-Plexus, Inc. 70,938 284
- - PCD, Inc. 42,000 284
- - American Science &
Engineering, Inc. 39,100 283
- - Analytical Surveys, Inc. 24,700 283
- - Input/Output, Inc. 55,800 282
- - Kendle International Inc. 28,600 282
- - American Access
Technologies Inc. 55,100 282
- - JFAX.COM, Inc. 42,000 282
- - Zonagen, Inc. 64,500 282
Southern Financial Bancorp, Inc. 17,100 282
- - Circle.com 22,875 282
- - PETCO Animal Supplies, Inc. 18,930 282
- - ThermoLase Corp. 140,500 281
- - Crescent Operating, Inc. REIT 101,680 280
Redwood Empire Bancorp 14,600 279
- - Genzyme Molecular Oncology 39,751 278
United Community Financial Corp. 28,000 278
Vesta Insurance Group, Inc. 70,500 278
- - Food Technology Service, Inc. 45,650 277
- - Biospherics, Inc. 50,200 276
- - CyberShop International, Inc. 50,000 275
- - Hecla Mining Co. 175,800 275
Titanium Metals Corp. 61,000 274
- - Level 8 Systems Inc. 7,900 273
BMC Industries, Inc. 55,904 273
- - Global Vacation Group, Inc. 94,700 272
U.S.B. Holding Co., Inc. 17,080 272
- - Strategic Distribution, Inc. 188,300 271
- - AML Communications, Inc. 54,500 269
Imperial Sugar Co. 81,202 269
- - Chase Industries, Inc. 33,050 269
- - LINC Capital, Inc. 56,300 267
FirstSpartan Financial Corp. 14,800 266
- - Metrika Systems Corp. 44,200 265
United Wisconsin Services, Inc. 61,700 262
- - Universal Stainless &
Alloy Products, Inc. 38,700 261
- - Factory 2-U Stores Inc. 9,200 261
- - Metrocall, Inc. 154,000 260
- - Computron Software, Inc. 76,500 258
- - Advanced Magnetics, Inc. 60,200 256
- - Lason Holdings, Inc. 23,237 256
- - COMPS.COM, Inc. 32,200 254
- - Burlington Industries, Inc. 63,300 253
Terra Industries, Inc. 154,942 252
- - Value America, Inc. 49,700 252
- - Lechters Corp. 143,700 251
Cooper Cos., Inc. 8,300 250
- - America Service Group Inc. 16,500 247
- - Acme Electric Corp. 42,900 247
Commercial Net Lease Realty REIT 24,700 245
Niagara Bancorp, Inc. 23,900 245
- - Alliance Gaming Corp. 89,928 244
Astro-Med, Inc. 39,850 244
Guaranty Federal Bancshares, Inc. 24,100 244
Davel Communications, Inc. 51,300 244
- - Bizznessonline.com, Inc. 34,700 243
- - GT Interactive Software Corp. 146,000 242
- - Craig Corp. 35,023 241
The First Years Inc. 28,900 240
East Texas Financial Services, Inc. 24,000 237
- - KFX, Inc. 140,350 237
Humphrey Hospitality Trust, Inc.
REIT 30,300 237
- - Fourth Shift Corp. 33,800 234
- - Socrates Technologies Corp. 107,100 234
- - US Physical Therapy, Inc. 27,400 233
- - SCC Communications Corp. 39,200 230
- - Morrison Knudsen Corp. 29,200 228
Avado Brands, Inc. 53,976 228
Premier Bancshares, Inc. 16,700 228
- - Hawthorne Financial Corp. 18,200 227
- - H.T.E., Inc. 37,500 225
- - Coram Healthcare Corp. 199,929 225
- - Consolidated Graphics, Inc. 15,000 224
- - Lakes Gaming, Inc. 28,200 224
- - American Dental Partners, Inc. 31,900 223
- - Transworld Healthcare Inc. 118,445 222
- - Caliber Learning Network, Inc. 77,100 222
- - Four Media Co. 14,900 222
- - Mossimo, Inc. 27,400 221
</TABLE>
22
<PAGE> 155
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Bolle Inc. 43,590 $ 221
- - Heartland Express, Inc. 14,000 220
- - ResortQuest International, Inc. 52,200 219
- - Matthews Studio
Equipment Group 69,900 218
- - Trident Microsystems, Inc. 21,300 218
- - Fresh America Corp. 44,700 218
- - Phoenix International Ltd., Inc. 55,900 217
- - Celtrix Pharmaceuticals 75,300 216
- - Stage Stores, Inc. 93,500 216
- - Willis Lease Finance Corp. 33,500 216
Alabama National BanCorporation 11,400 215
Marion Capital Holdings 13,100 215
- - ACT Teleconferencing, Inc. 26,800 214
- - SOS Staffing Services, Inc. 48,800 214
- - Sunburst Hospitality Corp. 37,566 211
Great Southern Bancorp, Inc. 9,600 211
- - CAIS Internet, Inc. 5,900 209
Hancock Fabrics, Inc. 66,900 209
- - Media 100 Inc. 7,900 209
- - Coulter Pharmaceutical, Inc. 9,200 209
CPB, Inc. 7,300 208
- - Industrial Distribution Group, Inc. 64,000 208
- - Mansur Industries, Inc. 40,500 208
- - Profile Technologies, Inc. 29,500 207
- - Kaiser Ventures Inc. 12,900 206
- - High Plains Corp. 107,997 206
- - U.S. Energy Corp. 58,770 206
- - ebookers.com PLC 11,800 204
- - Safety First Inc. 26,900 202
Senior Housing Properties
Trust REIT 16,220 202
- - The Right Start, Inc. 9,600 202
- - Merisel, Inc. 153,310 201
First Bancorp North Carolina 12,150 200
- - Building One Services Corp. 21,036 199
- - Trimedyne, Inc. 87,900 198
- - SEEC, Inc. 29,500 197
- - Questcor Pharmaceuticals, Inc. 156,000 195
- - TSR, Inc. 23,500 194
Coast Bancorp 7,800 191
- - Data Systems & Software, Inc. 56,500 191
- - theglobe.com, inc. 22,500 188
HealthPlan Services Corp. 53,600 188
- - Wiser Oil Co. 75,000 187
- - 800 Travel Systems, Inc. 85,600 187
- - VIB Corp. 24,524 187
Vulcan International Corp. 5,900 186
- - Ivex Packaging Corp. 18,400 184
- - Loislaw.com, Inc. 4,700 184
- - GenesisIntermedia.com, Inc. 31,600 184
- - PMR Corp. 56,500 184
Delta Woodside 97,900 184
MFB Corp. 11,000 184
- - Converse Inc. 133,433 183
- - Metro Information Services, Inc. 7,600 182
- - Docucorp International 25,940 182
CVB Financial Corp. 7,800 180
- - Obie Media Corp. 15,510 180
- - SONUS Pharmaceuticals, Inc. 71,500 179
- - Coda Music Technology, Inc. 71,400 178
- - Nobility Homes, Inc. 34,000 178
- - ShoLodge, Inc. 39,333 177
Boddie-Noell Properties Inc. REIT 21,100 177
- - Nastech Pharmaceutical Co., Inc. 52,300 177
- - Atlantic Coast Airlines Holdings 7,400 176
Penn Engineering &
Manufacturing Corp. Class A 8,300 176
Green Mountain Power Corp. 23,607 176
- - Worldtex Inc. 111,944 175
Greater Delaware Valley
Savings Bank 19,300 174
Golden Enterprises Inc. 69,500 174
- - Community Capital Corp. 20,200 172
- - Barnwell Industries, Inc. 13,400 171
- - The TesseracT Group, Inc. 96,900 170
- - Central Financial
Acceptance Corp. 22,900 169
Frontier Financial Corp. 8,400 168
Pillowtex Designs 27,111 168
- - Darling International, Inc. 77,900 166
G & L Realty Corp. REIT 18,571 164
Wackenhut Corp. Class B 15,862 164
- - SoftNet Systems, Inc. 6,500 163
- - Martha Stewart Living
Omnimedia, Inc. 6,800 163
Crown Crafts, Inc. 56,740 163
- - Mediware Information
Systems, Inc. 20,900 162
- - Ariel Corp. 22,800 161
- - Natural Alternatives
International, Inc. 49,500 161
- - Strouds, Inc. 69,100 160
- - Vornado Operating Inc. REIT 26,629 160
- - Paul-Son Gaming Corp. 35,500 160
- - Steinway Musical
Instruments Inc. 7,800 158
Escalade, Inc. 12,000 156
- - Florsheim Group Inc. 55,315 156
Craftmade International, Inc. 21,400 155
Oakwood Homes Corp. 48,500 155
- - J. Jill Group, Inc. 37,100 153
- - FPIC Insurance Group, Inc. 9,100 152
- - Federal Agricultural
Mortgage Corp. Class A 9,400 152
Independent Bank Corp. 10,305 151
Barnes Group, Inc. 9,200 150
- - Electronic Processing, Inc. 10,000 150
Allied Products Corp. 42,101 150
- - Perini Corp. 38,400 149
Pilgrim's Pride Corp. Class A 23,100 149
- - The Sports Authority, Inc. 74,200 148
- - Genesis Health Ventures Inc. 71,650 148
- - Aronex Pharmaceuticals, Inc. 47,100 147
- - National Record Mart, Inc. 53,000 146
United Mobile Homes, Inc. REIT 17,600 145
Harbor Federal Bancorp, Inc. 11,000 144
Peoples Holding Co. 5,000 144
- - Seven Seas Petroleum Inc. 81,800 143
- - E-Z-EM, Inc. Class A 18,300 142
- - Cardinal Financial Corp. 25,200 142
- - Applied Magnetics Corp. 374,100 140
- - CardioDynamics
International Corp. 25,400 140
</TABLE>
23
<PAGE> 156
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
First M&F Corp. 4,653 $ 140
- - Roy F. Weston, Inc. 67,600 139
Peekskill Financial Corp. 10,900 139
- - Wave Technologies International 40,800 138
- - Carson Inc. 42,100 137
- - Res-Care, Inc. 10,700 136
- - F.Y.I. Inc. 4,000 136
Westbanco Inc. 5,200 135
Liberte Investors, Inc. 39,200 135
- - IGI, Inc. 68,500 133
- - The Rottlund Co. 50,300 132
- - Fresh Foods Inc. 27,600 131
Urstadt Biddle Properties REIT 17,800 130
- - Republic First Bancorp, Inc. 25,030 130
- - Carrington Labs Inc. 64,872 130
- - MedicaLogic, Inc. 6,100 128
- - Hawk Corp. Class A 22,000 128
Harrodsburg First
Financial Bancorp 9,800 127
- - Pinnacle Global Group, Inc. 31,775 127
- - HORIZON Pharmacies, Inc. 48,200 127
- - Capital Trust Class A REIT 25,000 125
State Financial Services Corp.
Class A 10,300 124
- - Ceres Group, Inc. 17,500 123
- - MAI Systems Corp. 150,575 122
Lindsay Manufacturing Co. 6,700 122
- - PhyCor, Inc. 64,825 122
- - Pediatrix Medical Group, Inc. 17,200 120
- - American Wagering, Inc. 19,500 119
Kentucky First Bancorp, Inc. 11,600 119
- - Labtec, Inc. 21,600 119
Belmont Bancorp. 18,600 119
- - Egreetings Network, Inc. 11,700 118
- - Navarre Corp. 20,300 117
Nitches Inc. 30,128 116
United Guardian, Inc. 31,800 115
- - Newcor, Inc. 43,880 115
BeautiControl Cosmetics 52,550 115
Bowl America, Inc. Class A 16,400 115
Peoples BancTrust Co., Inc. 8,100 114
- - QMS, Inc. 38,617 113
- - Boron, LePore & Associates, Inc. 17,300 112
- - Consumer Portfolio Services, Inc. 71,600 112
Big Foot Financial Corp. 8,800 110
- - Display Technologies, Inc. 27,179 110
- - Eagle Food 91,800 109
- - Hauser, Inc. 34,800 109
- - Response Oncology, Inc. 96,603 109
- - Dunn Computer Corp. 33,200 108
- - C2, Inc. 21,600 107
- - Cellular Technical Services 13,565 105
- - eCollege.com Inc. 9,600 105
- - Colorado MEDtech, Inc. 13,100 105
DeWolfe Companies, Inc. 15,500 105
Unity Bancorp, Inc. 17,225 103
- - American Aircarriers Support, Inc. 13,300 103
- - Genzyme Surgical Products 17,574 102
- - Uniroyal Technology Corp. 4,000 102
- - Royal Gold, Inc. 28,000 101
NMBT CORP. 4,200 101
- - Orphan Medical, Inc. 19,500 101
- - Q-Med, Inc. 21,400 99
- - Molecular Biosystems, Inc. 98,934 99
- - Bank Plus Corp. 34,100 98
Peoples Bancorp of North Carolina 6,610 97
Heritage Financial Corp. 11,300 97
- - Nutrition for Life International, Inc. 43,900 96
- - Maxwell Technologies, Inc. 9,600 96
- - Price Enterprises, Inc. 12,668 92
- - Paging Network, Inc. 113,300 92
- - U.S. Office Products Co. 29,011 91
- - United Payors &
United Providers, Inc. 5,400 89
- - Fogdog, Inc. 9,400 89
ABC Bancorp 8,400 89
Commercial Bank of New York 7,900 88
- - Play By Play Toys & Novelties, Inc. 52,000 88
- - International Microcomputer
Software, Inc. 42,500 88
- - Virbac Corp. 29,110 87
- - BioSpecifics Technology 40,800 87
Horizon Financial Corp. 9,000 85
Timberland Bancorp, Inc. 7,600 85
LSB Bancshares, Inc. 5,400 85
- - U.S. Interactive, Inc. 1,960 84
- - Gallery of History, Inc. 25,900 84
- - Famous Dave's of America, Inc. 41,300 84
- - Technical Communications Corp. 14,000 82
- - Brass Eagle Inc. 16,400 82
- - Sybron Chemicals, Inc. 6,900 81
- - Technisource, Inc. 13,600 80
Waddell & Reed Financial, Inc. 2,900 79
- - BankFirst Corp. 9,100 78
- - Glacier Water Services, Inc. 4,800 78
- - Adams Golf, Inc. 47,100 77
- - Amresco, Inc. 54,400 76
- - Let's Talk Cellular & Wireless, Inc. 30,000 76
- - I-Link Inc. Series N Pfd. 75 75
- - Einstein/Noah Bagel Corp. 180,700 73
- - CRIIMI MAE, Inc. REIT 50,351 72
- - Zila, Inc. 24,600 72
- - NetRatings, Inc. 1,500 72
- - Hitox Corp. of America 40,700 71
- - VitalCom Inc. 42,200 71
- - Research Partners
International, Inc. 23,700 71
- - Horizon Medical Products, Inc. 28,200 70
- - Accelr8 Technology Corp. 52,400 69
ImmuLogic Pharmaceutical Corp. 121,000 68
- - Lexington Global Asset
Managers, Inc. 27,600 67
- - CHS Electronics, Inc. 59,600 67
First of Long Island Corp. 2,250 66
- - ATEC Group, Inc. 27,100 66
- - Quokka Sports, Inc. 5,000 66
West Coast Bancorp 4,840 65
Hudson River Bancorp. Inc. 6,300 64
- - BioLase Technology, Inc. 23,700 64
- - Aames Financial Corp. 77,100 63
- - Medical Dynamics, Inc. 63,700 62
TriCo Bancshares 3,200 62
</TABLE>
24
<PAGE> 157
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - System Software Associates, Inc. 30,612 $ 61
- - Travel Services International, Inc. 6,700 61
America First Mortgage
Investments, Inc. REIT 13,100 60
- - Waterlink, Inc. 23,900 60
- - Gold Reserve Inc. Class A 63,400 59
Herbalife International Class A 4,100 59
- - Success Bancshares, Inc. 5,900 59
- - Lifeway Foods, Inc. 8,000 58
- - Acmat Corp. Class A 7,700 58
- - Capital Title Group, Inc. 32,300 57
Pacific Gateway Properties Inc.
REIT 5,600 56
- - Energy Biosystems Corp. 12,414 56
- - Family Golf Centers, Inc. 39,200 55
First Essex Bancorp, Inc. 3,800 55
- - Clean Harbors Inc. 43,500 54
- - Avatex Corp. Class A 38,000 52
German American Bancorp 2,990 52
- - Chic By H.I.S., Inc. 83,000 52
FNB Corp. 3,100 50
- - EA Engineering Sciences and
Technology Inc. 41,700 50
Wainwright Bank & Trust Co. 7,000 46
California Independent Bancorp 2,706 46
- - Shoe Pavilion, Inc. 21,100 46
- - Vizacom Inc. 13,592 45
- - CD Warehouse, Inc. 13,800 45
- - Female Health Co. 37,600 45
- - Service Experts, Inc. 7,500 44
- - Cypress Bioscience, Inc. 24,000 44
- - Carleton Corp. 18,100 43
- - Monarch Dental Corp. 25,000 43
Carolina Southern Bank 3,255 42
- - Ecogen, Inc. 32,940 41
- - Musicmaker.com, Inc. 7,000 41
- - Schick Technologies, Inc. 40,000 40
Eastern Virginia Bankshares, Inc. 2,100 40
- - Kevco, Inc. 21,000 39
- - SCB Computer Technology, Inc. 12,400 39
- - ICH Corp. 3,519 39
Acadia Realty Trust REIT 8,300 38
Ecology and Environment, Inc. 6,925 38
FNB Financial Services Corp. 3,600 38
- - Little Switzerland, Inc. 67,000 38
- - Popmail.com, Inc. 12,500 37
- - Universal American Financial Corp. 8,100 37
- - Penncorp Financial Group Inc. 91,400 37
- - Credit Management Solutions, Inc. 4,000 34
- - Dynamics Research Corp. 4,000 34
- - Outlook Group Corp. 8,000 34
GSB Financial Corp. 2,800 34
- - Focus Affiliates, Inc. 6,800 33
- - Applied Biometrics, Inc. 11,900 32
- - United Road Services, Inc. 19,200 31
- - MCM Capital Group, Inc. 8,000 31
- - Interstate Hotels Corp. REIT 9,509 31
- - Blount International, Inc. 1,914 31
- - National Bancshares Corp.
of Texas 2,000 30
- - Miller Exploration Co. 26,600 29
- - Party City Corp. 28,800 29
- - Modtech Holdings, Inc. 4,679 28
- - Dispatch Management
Services Corp. 9,500 28
- - VCampus Corp. 8,800 27
- - Perfumania Inc. 8,000 27
- - Priority Healthcare Corp. Class B 900 26
- - Forcenergy Inc. 50,726 26
- - Streamline.com, Inc. 3,000 26
Nature's Sunshine Inc. 3,200 26
- - The Presley Cos. 4,500 25
- - American Coin
Merchandising, Inc. 8,800 24
- - Netsmart Technologies, Inc. 3,733 24
- - Mark Solutions, Inc. 5,500 23
- - NovaCare, Inc. 117,100 22
- - Oriole Homes Corp. Class B 19,300 22
- - The Knot, Inc. 2,500 21
- - Agritope, Inc. 19,220 21
- - Safeguard Health Enterprises, Inc. 33,565 21
- - Starmet Corp. 3,200 21
- - Showpower, Inc. 3,000 21
- - Donnkenny, Inc. 34,600 21
- - Service Merchandise Co., Inc. 241,499 21
- - Superconductor Technologies Inc. 4,200 20
- - Tricord Systems, Inc. 4,200 20
- - Checkers Drive-In
Restaurants, Inc. 8,700 20
- - Bel Fuse, Inc. Class A 700 20
J.M. Smucker Co. Class B 1,200 19
- - Barrister Information
Systems Corp. 18,000 19
First Southern Bancshares 1,600 19
- - SafeScience, Inc. 1,600 19
- - Onix Systems Inc. 3,000 18
- - Allied Devices Corp. 11,200 17
- - Graham-Field Health
Products Inc. 136,416 17
- - Advantage Marketing
Systems, Inc. 3,000 17
- - Filene's Basement Corp. 135,650 17
- - President Casinos 26,213 16
- - Merry Land Properties, Inc. REIT 3,065 16
- - ContiFinancial Corp. 67,800 16
Mystic Financial, Inc. 1,400 15
- - Central European Distribution Corp. 3,000 15
- - Registry Magic, Inc. 4,900 15
Hubbell Inc. Class A 500 14
- - Breed Technological Inc. 99,500 14
- - Donna Karan International Inc. 2,100 14
- - Horizon Group Properties, Inc.
REIT 3,865 13
- - NewStar Media, Inc. 24,500 13
- - Decora Industries, Inc. 4,800 13
- - CRIIMI MAE, Inc. 12% Cvt. Pfd.
REIT 1,527 13
Bandag, Inc. Class A 600 13
First Midwest Financial, Inc. 1,050 12
- - Just for Feet, Inc. 46,624 12
- - Astronics Corp. 1,100 11
- - Landec Corp. 1,500 11
Reader's Digest Assn., Inc.
Class B 400 11
</TABLE>
25
<PAGE> 158
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
EXTENDED MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Styling Technology Corp. 3,200 $ 10
- - Tultex Corp. 246,900 10
L. S. Starrett Co. Class B 400 9
- - American Banknote Corp. 174,000 9
- - Hudson Technology, Inc. 5,600 8
- - OMNI Energy Services Corp. 7,400 8
- - National Research Corp. 2,000 8
- - Contour Energy Co. 14,800 8
- - Heartland Technology, Inc 2,300 7
- - Planet Hollywood International,
Inc. Class A 95,400 7
Mobile America Corp. 3,400 7
- - Paracelsus Healthcare Corp. 15,000 7
- - Epimmune Inc. 2,200 6
- - SMC Corp. 1,400 5
- - CopyTele, Inc. 6,500 5
- - Gradco Systems, Inc. 4,000 5
- - Integrated Health Services, Inc. 55,213 5
- - Benchmark Electronics, Inc. 200 5
- - CoActive Marketing Group, Inc. 2,000 4
- - Medtox Scientific, Inc. 420 4
- - WPI Group, Inc. 1,500 4
- - Santa Barbara Restaurant Group 2,300 4
- - Sun Healthcare Group, Inc. 86,300 3
- - ProcureNet, Inc. 21,000 3
- - American Homestar Corp. 630 2
- - Continucare Corp. 3,000 2
- - Aquila Biopharmaceuticals, Inc. 920 2
- - Westmark Group Holdings, Inc. 800 1
- - Prolong International Corp. 2,500 1
- - Genesis Direct, Inc. 141,800 1
- --------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $3,459,840) 5,059,844
- --------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (9.0%)(1)
- --------------------------------------------------------------
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 5.53%, 1/28/2000 $ 500 498
(2) 5.64%, 1/21/2000 3,000 2,992
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 81,544 81,544
3.47%, 1/3/2000--Note G 372,108 372,108
- --------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $457,140) 457,142
- --------------------------------------------------------------
TOTAL INVESTMENTS (108.4%)
(COST $3,916,980) 5,516,986
- --------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
(000)
- --------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-8.4%)
- --------------------------------------------------------------
<S> <C>
Other Assets--Note B $ 24,437
Security Lending Collateral Payable to
Brokers--Note G (372,108)
OTHER LIABILITIES (78,773)
----------
(426,444)
- --------------------------------------------------------------
NET ASSETS (100%) $5,090,542
==============================================================
</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 8.4%, respectively, of net
assets. See Note F in Notes to Financial Statements.
(2) Securities with an aggregate value of $3,490,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------
<S> <C>
Paid in Capital $ 3,321,031
Overdistributed Net Investment Income (1,812)
Accumulated Net Realized Gains 170,118
Unrealized Appreciation--Note F
Investment Securities 1,600,006
Futures Contracts 1,199
- ---------------------------------------------------------------
NET ASSETS $5,090,542
===============================================================
Investor Shares--Net Assets
Applicable to 113,859,565 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $4,221,022
- ---------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $37.07
===============================================================
Institutional Shares--Net Assets
Applicable to 23,446,588 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $869,520
- ---------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $37.09
===============================================================
</TABLE>
26
<PAGE> 159
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------
COMMON STOCKS (99.7%)(1)
- ---------------------------------------------------------------
<S> <C> <C>
- - Veritas Software Corp. 209,650 $ 30,006
- - Siebel Systems, Inc. 156,100 13,112
- - Maxim Integrated Products, Inc. 220,800 10,419
- - Biogen, Inc. 121,700 10,284
- - Intuit, Inc. 157,800 9,458
- - MedImmune Inc. 54,495 9,039
Linear Technology Corp. 124,600 8,917
- - Univision Communications Inc. 82,600 8,441
- - Altera Corp. 161,100 7,985
Harley-Davidson, Inc. 121,800 7,803
- - Vitesse Semiconductor Corp. 124,000 6,502
BroadWing Inc. 174,072 6,419
Telephone & Data Systems, Inc. 49,900 6,287
- - Chiron Corp. 146,800 6,221
Stryker Corp. 78,600 5,473
Marshall & Ilsley Corp. 86,400 5,427
Tiffany & Co. 58,500 5,221
- - Jabil Circuit, Inc. 71,100 5,190
- - E*TRADE Group, Inc. 198,200 5,178
- - Atmel Corp. 163,500 4,833
- - SCI Systems, Inc. 58,500 4,808
Cintas Corp. 90,100 4,787
- - Cadence Design Systems, Inc. 197,600 4,742
- - Legato Systems, Inc. 68,900 4,741
- - Sanmina Corp. 47,325 4,727
- - QLogic Corp. 29,500 4,716
- - CheckFree Holdings Corp. 44,400 4,640
Comdisco, Inc. 124,200 4,626
Symbol Technologies, Inc. 71,750 4,561
- - Millennium Pharmaceuticals, Inc. 35,900 4,380
- - Electronic Arts Inc. 51,300 4,309
- - Concord EFS, Inc. 166,900 4,298
- - Forest Laboratories, Inc. 67,800 4,165
Washington Post Co. Class B 7,480 4,158
- - American Power
Conversion Corp. 156,300 4,122
Zions Bancorp 69,400 4,108
- - Hispanic Broadcasting Corp. 44,100 4,067
First Security Corp. 158,900 4,057
- - DST Systems, Inc. 51,100 3,900
- - Novellus Systems, Inc. 31,800 3,896
- - Fiserv, Inc. 99,550 3,814
- - Synopsys, Inc. 57,100 3,811
- - Convergys Corp. 123,100 3,785
- - Starbucks Corp. 146,800 3,560
Weatherford International, Inc. 87,095 3,478
- - Noble Drilling Corp. 105,900 3,468
- - Nabors Industries, Inc. 111,800 3,459
- - Rational Software Corp. 70,400 3,458
- - Westwood One, Inc. 44,750 3,401
Charter One Financial 171,000 3,270
- - Calpine Corp. 50,700 3,245
Montana Power Co. 88,800 3,202
- - Park Place Entertainment 245,800 3,072
- - Genzyme Corp. 67,800 3,051
Tyson Foods, Inc. 185,100 3,008
First Tennessee National Corp. 105,100 2,995
- - Network Associates, Inc. 112,200 2,994
- - NCR Corp. 77,800 2,947
AMBAC Financial Group Inc. 56,400 2,943
- - Cypress Semiconductor Corp. 88,100 2,852
- - Microchip Technology, Inc. 41,100 2,813
Reliastar Financial Corp. 71,575 2,805
- - Symantec Corp. 46,900 2,750
- - CDW Computer Centers, Inc. 34,800 2,736
- - Health Management Associates
Class A 204,300 2,733
- - VISIX Inc. 51,900 2,686
- - Jones Apparel Group, Inc. 98,718 2,678
- - Waters Corp. 50,200 2,661
- - Sepracor Inc. 26,700 2,648
Mylan Laboratories, Inc. 104,200 2,625
- - American Standard Cos., Inc. 57,000 2,615
ENSCO International, Inc. 110,700 2,532
Reader's Digest Assn., Inc.
Class A 85,900 2,513
KeySpan Corp. 108,000 2,504
New England Electric System 47,700 2,468
- - SunGard Data Systems, Inc. 103,400 2,456
Allmerica Financial Corp. 43,800 2,436
- - Sterling Commerce, Inc. 71,200 2,425
- - Dollar Tree Stores, Inc. 50,000 2,422
Allegheny Energy, Inc. 89,100 2,400
- - BJ Services Co. 57,100 2,387
A.G. Edwards & Sons, Inc. 74,300 2,382
Hormel Foods Corp. 58,400 2,372
Hannaford Brothers Co. 34,100 2,364
- - Global Marine, Inc. 140,700 2,339
Consolidated Papers 73,200 2,329
Manpower Inc. 61,200 2,303
Family Dollar Stores, Inc. 139,500 2,276
Devon Energy Corp. 69,168 2,274
Bowater Inc. 41,700 2,265
SCANA Corp. 83,600 2,247
- - Abercrombie & Fitch Co. 83,100 2,218
DPL Inc. 128,000 2,216
Unitrin, Inc. 58,400 2,197
Potomac Electric Power Co. 95,600 2,193
- - IVAX Corp. 85,100 2,191
Northeast Utilities 106,100 2,182
- - BJ's Wholesale Club, Inc. 59,400 2,168
International Speedway Corp. 42,900 2,161
- - Vishay Intertechnology, Inc. 68,319 2,161
- - Sterling Software, Inc. 68,000 2,142
Viad Corp. 76,600 2,135
- - Integrated Device TechnologyInc. 73,500 2,132
DQE Inc. 60,800 2,105
Murphy Oil Corp. 36,300 2,083
- - Williams Sonoma, Inc. 45,200 2,079
Green Point Financial Corp. 87,000 2,072
- - Sybron International Corp. 83,800 2,069
- - Robert Half International, Inc. 72,400 2,068
Dial Corp. 85,000 2,067
Avnet, Inc. 33,900 2,051
Compass Bancshares Inc. 91,700 2,046
- - SPX Corp. 25,200 2,036
- - Quantum Corp.- DLT &
Storage Systems 133,000 2,012
National Community Bancorp 87,400 1,983
- - Express Scripts 30,700 1,965
NSTAR 48,500 1,964
</TABLE>
27
<PAGE> 160
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
- - Smith International, Inc. 39,500 $ 1,963
Illinova Corp. 56,400 1,960
- - ChrisoCraft Industries, Inc. 27,145 1,958
- - Arrow Electronics, Inc. 76,500 1,941
TEC Energy, Inc. 104,500 1,940
- - Gilead Sciences, Inc. 35,600 1,927
Energy East Corp. 92,300 1,921
USG Corp. 40,100 1,890
- - Nova Corp. (Georgia) 59,656 1,883
Sonoco Products Co. 82,300 1,872
- - Pacificare Health Systems, Inc. 35,200 1,866
- - Informix Corp. 162,600 1,850
North Fork Bancorp, Inc. 105,300 1,843
- - Litton Industries, Inc. 36,900 1,840
- - Keane, Inc. 57,900 1,838
- - Affiliated Computer Services, Inc.
Class A 39,900 1,835
Kinder Morgan, Inc. 90,900 1,835
Wisconsin Energy Corp. 95,200 1,833
LG&E Energy Corp. 104,700 1,826
- - Premier Parks Inc. 63,200 1,825
A. H. Belo Corp. Class A 95,600 1,822
- - Saks Inc. 116,922 1,820
- - MiniMed, Inc. 24,800 1,817
NiSource, Inc. 101,000 1,805
Mercantile Bankshares Corp. 55,900 1,785
Associated BancoCorp. 51,650 1,769
Alliant Energy Corp. 64,200 1,765
FINOVA Group, Inc. 49,600 1,761
The PMI Group Inc. 36,050 1,760
- - Lear Corp. 54,400 1,741
First Virginia Banks, Inc. 40,300 1,733
McCormick & Co., Inc. 57,400 1,708
- - American Eagle Outfitters, Inc. 37,800 1,701
- - Polycom, Inc. 26,600 1,694
Harris Corp. 63,400 1,692
Legg Mason Inc. 46,400 1,682
Hillenbrand Industries, Inc. 52,900 1,676
Shaw Industries, Inc. 108,500 1,675
FirstMerit Corp. 72,800 1,674
TCF Financial Corp. 67,200 1,672
- - Acxiom Corp. 69,400 1,666
Protective Life Corp. 52,100 1,657
American Water Works Co., Inc. 77,900 1,655
MCN Energy Group Inc. 69,400 1,648
- - Adtran, Inc. 31,900 1,641
- - MidAmerican Energy Holdings Co. 48,500 1,634
The Timber Co. 66,100 1,628
Tidewater Inc. 44,900 1,616
ICN Pharmaceuticals, Inc. 63,500 1,607
Ultramar Diamond
Shamrock Corp. 70,300 1,595
- - Outback Steakhouse 60,800 1,577
AK Steel Corp. 83,311 1,572
R.J. Reynolds Tobacco
Holdings, Inc. 88,600 1,562
Martin Marietta Materials, Inc. 37,700 1,546
Whitman Corp. 114,500 1,539
IMC Global Inc. 92,800 1,520
- - Lincare Holdings, Inc. 43,700 1,516
- - Sykes Enterprises, Inc. 34,400 1,509
- - Storage Technology Corp. 81,300 1,499
Herman Miller, Inc. 64,900 1,493
- - Mandalay Resort Group 73,500 1,479
International Game Technology 72,800 1,479
Pentair, Inc. 38,400 1,478
Southdown, Inc. 28,636 1,478
National Fuel Gas Co. 31,500 1,465
UtiliCorp United, Inc. 75,350 1,465
Sotheby's Holdings Class A 47,700 1,431
CCB Financial Corp. 32,700 1,424
Hubbell Inc. Class B 51,600 1,406
Reynolds & Reynolds Class A 62,400 1,404
Fastenal Co. 30,800 1,384
Old Republic International Corp. 101,500 1,383
Hibernia Corp. Class A 130,091 1,382
Solutia, Inc. 89,400 1,380
- - U.S. Foodservice 82,100 1,375
Dime Bancorp, Inc. 89,900 1,360
CNF Transportation, Inc. 39,300 1,356
IBP, Inc. 74,900 1,348
GATX Corp. 39,900 1,347
Lubrizol Corp. 43,600 1,346
Astoria Financial Corp. 44,100 1,342
Puget Sound Energy Inc. 68,400 1,325
Sovereign Bancorp, Inc. 177,367 1,322
Diebold, Inc. 56,000 1,316
- - Mohawk Industries, Inc. 49,200 1,298
Ross Stores, Inc. 72,200 1,295
Flowers Industries, Inc. 81,100 1,293
- Cambridge Technology Partners 48,800 1,281
Provident Financial Group, Inc. 35,600 1,277
Wilmington Trust Corp. 26,400 1,274
CK Witco Corp. 94,953 1,270
- Brinker International, Inc. 52,900 1,270
- Apollo Group, Inc. Class A 62,700 1,258
American Financial Group, Inc. 47,400 1,250
Conectiv, Inc. 74,175 1,247
Dean Foods Corp. 31,200 1,240
Pacific Century Financial Corp. 65,200 1,218
City National Corp. 36,900 1,215
Lyondell Chemical Co. 95,200 1,214
Beckman Coulter, Inc. 23,800 1,211
OGE Energy Corp. 63,700 1,210
Federal-Mogul Corp. 59,900 1,205
IPALCO Enterprises, Inc. 70,200 1,198
- Santa Fe Snyder Corp. 149,300 1,194
- Payless ShoeSource, Inc. 25,400 1,194
Harte-Hanks, Inc. 54,800 1,192
- ACNielson Corp. 47,400 1,167
- Barnes & Noble, Inc. 56,100 1,157
Lee Enterprises, Inc. 35,900 1,147
- Tech Data Corp. 42,100 1,142
Kansas City Power & Light Co. 50,800 1,121
Media General, Inc. Class A 21,500 1,118
Sierra Pacific Resources 64,232 1,112
- Modis Professional Services Inc. 77,700 1,107
Callaway Golf Co. 61,600 1,090
Rayonier Inc. 22,500 1,087
Cabot Corp. 52,800 1,076
- Sensormatic Electronics Corp. 61,600 1,074
HON Industries, Inc. 48,900 1,073
</TABLE>
28
<PAGE> 161
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
Meritor Automotive, Inc. 55,200 $ 1,070
Houghton Mifflin Co. 25,200 1,063
Lancaster Colony Corp. 32,000 1,060
- First Health Group Corp. 39,200 1,053
Washington Gas Light Corp. 37,600 1,034
- Devry, Inc. 55,500 1,034
- Ocean Energy, Inc. 133,300 1,033
Clayton Homes Inc. 111,800 1,027
Harsco Corp. 32,100 1,019
Interstate Bakeries Corp. 56,000 1,015
DENTSPLY International Inc. 42,800 1,011
Minnesota Power, Inc. 59,500 1,008
- Suiza Foods Corp. 25,300 1,003
- Borders Group, Inc. 62,400 1,002
- Imation Corp. 29,500 990
Questar Corp. 65,900 988
- Foundation Health Systems
Class A 99,100 985
Cordant Technologies, Inc. 29,700 980
Noble Affiliates, Inc. 45,600 978
- Blyth Industries, Inc. 38,800 953
Teleflex Inc. 30,300 949
- Trigon Healthcare, Inc. 31,800 938
Claire's Stores, Inc. 41,500 929
- Swift Transportation Co., Inc. 52,200 920
Trinity Industries, Inc. 32,000 910
Bergen Brunswig Corp. Class A 108,795 904
Valero Energy Corp. 45,200 898
Donaldson Co., Inc. 37,300 898
RPM Inc. (Ohio) 87,600 892
BorgoWarner Automotive, Inc. 22,000 891
Omnicare, Inc. 74,000 888
- Furniture Brands International Inc. 40,000 880
Carlisle Co., Inc. 24,400 878
York International Corp. 31,600 867
Helmerich & Payne, Inc. 39,629 864
- Hanover Compressor Co. 22,700 857
Airborne Freight Corp. 38,900 856
COMSAT Corp. 43,036 855
Webster Financial Corp. 36,200 853
Everest Reinsurance
Holdings, Inc. 38,100 850
Church & Dwight, Inc. 31,500 841
- - Lands' End, Inc. 24,100 837
- - Scholastic Corp. 13,400 833
WestAmerica Bancorporation 29,800 833
Universal Foods Corp. 40,800 831
- - Oxford Health Plan 65,300 828
Kennametal, Inc. 24,500 824
Keystone Financial, Inc. 39,000 821
IDACORP, Inc. 30,500 818
HSB Group Inc. 23,600 798
- - Cytec Industries, Inc. 34,300 793
Alexander & Baldwin, Inc. 34,500 787
AGL Resources Inc. 46,200 785
Ohio Casualty Corp. 48,800 784
Georgia Gulf Corp. 25,300 770
- - Apria Healthcare 42,900 770
Tecumseh Products Co. Class A 16,200 764
Westpoint Stevens, Inc. 43,400 759
Hawaiian Electric Industries Inc. 26,200 757
- - Alaska Air Group, Inc. 21,400 752
- - Policy Management Systems Corp. 29,300 749
Olsten Corp. 66,000 747
- - Transaction Systems
Architects, Inc. 26,400 739
Dole Food Co. 45,400 738
Newport News Shipbuilding Inc. 26,800 737
Albemarle Corp. 38,020 730
CMP Group Inc. 26,400 728
Dexter Corp. 18,300 727
- - The Neiman Marcus Group, Inc.
Class B 27,000 727
Olin Corp. 36,600 725
Pittston Brink's Group 32,800 722
- - Pioneer Natural Resources Co. 80,500 719
Kelly Services, Inc. Class A 28,500 716
Investment Technology Group, Inc. 24,500 704
- - Cirrus Logic 52,100 694
Minerals Technologies, Inc. 17,200 689
- - Mentor Graphics Corp. 52,200 688
- - Jacobs Engineering Group Inc. 21,100 686
Kaydon Corp. 25,000 670
Mark IV Industries, Inc. 37,100 656
Nordson Corp. 13,400 647
Horace Mann Educators Corp. 32,900 646
- - UCAR International, Inc. 36,200 645
AGCO Corp. 47,800 642
Carter-Wallace, Inc. 35,800 642
Pennzoil-Quaker State Co. 62,094 633
Ferro Corp. 28,700 631
H.B. Fuller Co. 11,200 626
- - GTech Holdings Corp. 28,400 625
- - Papa John's International, Inc. 23,800 620
- - NCO Group, Inc. 20,200 609
Federal Signal Corp. 37,500 602
Longview Fibre Co. 42,000 598
Arvin Industries, Inc. 21,000 596
- - Unifi, Inc. 48,200 593
Modine Manufacturing Co. 23,700 592
- - Gartner Group, Inc. Class B 42,800 591
Superior Industries
International, Inc. 21,700 582
Cleco Corp. 18,100 580
Ruddick Corp. 37,300 578
Universal Corp. 25,300 577
Wallace Computer Services, Inc. 34,200 569
- - Wisconsin Central
Transportation Corp. 41,700 560
The Warnaco Group, Inc. Class A 45,300 558
- - STERIS Corp. 53,400 551
- - PSS World Medical, Inc. 57,800 545
- - Airgas, Inc. 57,300 544
- - Micro Warehouse Inc. 29,300 542
- - Varco International, Inc. 53,200 542
- - Sylvan Learning Systems, Inc. 41,600 541
Public Service Co. of New Mexico 33,200 539
Precision Castparts Corp. 20,000 525
- - Quorum Health Group, Inc. 55,900 521
Flowserve Corp. 30,400 517
- - Covance, Inc. 46,600 504
P.H. Glatfelter Co. 34,500 502
</TABLE>
29
<PAGE> 162
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
Ametek Aerospace Products Inc. 26,300 $ 501
- OfficeMax, Inc. 90,500 498
Bob Evans Farms, Inc. 32,200 497
Wellman, Inc. 26,400 492
Carpenter Technology Corp. 17,900 491
Ogden Corp. 40,400 482
- Perrigo Co. 59,900 479
Banta Corp. 21,100 476
CBRL Group, Inc. 48,900 474
Wausau-Mosinee Paper Corp. 40,100 469
- Sequa Corp. Class A 8,500 458
Chesapeake Corp. of Virginia 14,700 448
J.M. Smucker Co. Class A 22,800 445
- Total Renal Care Holdings, Inc. 66,400 444
The Standard Register Co. 22,900 444
Gartner Group, Inc. Class A 28,500 435
M.A. Hanna Co. 39,200 429
Bandag, Inc. 17,000 425
Indiana Energy, Inc. 23,766 422
Overseas Shipholding Group Inc. 28,200 418
A. Schulman Inc. 25,500 416
J.B. Hunt Transport Services, Inc. 29,900 414
Stewart Enterprises, Inc. Class A 85,700 407
- CompUSA, Inc. 76,200 391
Granite Construction Co. 21,150 390
Black Hills Corp. 16,800 373
Ryerson Tull, Inc. 19,085 371
- Beverly Enterprises, Inc. 84,400 369
- The Neiman Marcus Group, Inc.
Class A 13,200 369
Dreyer's Grand Ice Cream, Inc. 21,600 367
- Albany International Corp. 23,651 367
- Structural Dynamics
Research Corp. 28,200 360
- Navigant Consulting, Inc. 32,900 358
Rollins, Inc. 23,300 350
- Buffets Inc. 33,100 331
Arnold Industries, Inc. 19,100 269
Cleveland-Cliffs Iron Co. 8,600 268
Stewart & Stevenson
Services, Inc. 22,200 263
Ethyl Corp. 66,100 260
- Acuson Corp. 20,600 259
Lance, Inc. 23,700 237
- Maxxam Inc. 5,400 232
- Lone Star Steakhouse &
Saloon, Inc. 25,400 227
- Vlasic Foods International, Inc. 34,900 198
International Multifoods Corp. 14,300 189
NCH Corp. 4,200 187
- Burlington Industries, Inc. 41,700 167
Oregon Steel Mills, Inc. 20,200 160
- Magnatek 18,900 145
Heilig-Meyers Co. 46,400 128
- ---------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $688,005) 744,627
- ---------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.0%)(1)
- ---------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 5.64%, 1/21/2000 $ 200 199
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 14,722 14,722
- ---------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $14,921) 14,921
- ---------------------------------------------------------------
TOTAL INVESTMENTS (101.7%)
(COST $702,926) 759,548
- ---------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.7%)
- ---------------------------------------------------------------
Other Assets--Note B 5,957
Liabilities (18,389)
---------
(12,432)
- ---------------------------------------------------------------
NET ASSETS (100%) $747,116
===============================================================
</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 1.8%, respectively, of net assets.
See Note F in Notes to Financial Statements.
(2) Security segregated as initial margin for open futures contracts.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------------------
AMOUNT
(000)
- ---------------------------------------------------------------
<S> <C>
Paid in Capital $679,122
Overdistributed Net Investment Income (194)
Accumulated Net Realized Gains 11,548
Unrealized Appreciation--Note F
Investment Securities 56,622
Futures Contracts 18
- ---------------------------------------------------------------
NET ASSETS $747,116
===============================================================
Investor Shares--Net Assets
Applicable to 53,519,381 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $604,502
- ---------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $11.30
===============================================================
Institutional Shares--Net Assets
Applicable to 12,616,755 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $142,614
- ---------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $11.30
===============================================================
</TABLE>
30
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------
COMMON STOCKS (99.6%)(1)
- --------------------------------------------------------------
<S> <C> <C>
- - BroadVision, Inc. 232,100 $ 39,472
- - MicroStrategy Inc. 162,800 34,188
- - VerticalNet, Inc. 142,800 23,419
- - Millennium Pharmaceuticals, Inc. 153,100 18,678
- - LAM Research Corp. 164,200 18,319
- - Interdigital Communications Corp. 233,400 17,505
- - Mercury Interactive Corp. 159,900 17,259
- - IDEC Pharmaceuticals Corp. 174,500 17,145
- - PE Corp. - Celera Genomics Group 106,800 15,913
- - Omnipoint Corp. 130,300 15,717
- - Emulex Corp. 137,900 15,514
Optical Coating Laboratory, Inc. 50,900 15,066
- - Human Genome Sciences, Inc. 97,000 14,805
- - Cypress Semiconductor Corp. 443,225 14,349
- - Advanced Fibre
Communications, Inc. 298,900 13,357
- - RSA Security Inc. 152,560 11,823
- - Affymetrix, Inc. 68,300 11,590
- - Clarify, Inc. 89,700 11,302
- - Westwood One, Inc. 146,100 11,104
- - S1 Corp. 141,050 11,020
- - HNC Software, Inc. 102,100 10,797
- - Harmonic, Inc. 111,500 10,586
- - C-Cube Microsystems, Inc. 168,600 10,495
- - Amkor Technology, Inc. 361,300 10,207
- - Integrated Device
Technology Inc. 350,400 10,162
- - Gilead Sciences, Inc. 184,716 9,998
- - Powertel Inc. 97,800 9,817
- - Informix Corp. 803,500 9,140
- - Valuevision International, Inc.
Class A 156,500 8,969
- - Lattice Semiconductor Corp. 189,950 8,951
- - Cree Research, Inc. 104,400 8,913
- - DII Group, Inc. 124,846 8,860
- - Peregrine Systems, Inc. 106,000 8,758
CTS Corp. 115,600 8,713
- - Emmis Communications, Inc. 67,400 8,401
- - SanDisk Corp. 87,200 8,393
- - CommScope, Inc. 203,108 8,188
PerkinElmer, Inc. 193,200 8,054
True North Communications 180,000 8,044
Dallas Semiconductor Corp. 123,800 7,977
- - TranSwitch Corp. 108,000 7,837
- - Aspect Communications Corp. 200,100 7,829
- - Ancor Communications, Inc. 115,000 7,806
- - Credence Systems Corp. 89,800 7,768
- - Go2Net, Inc. 88,100 7,665
- - Intermedia Communications Inc. 195,600 7,592
- - Oak Industries, Inc. 71,000 7,535
- - The Titan Corp. 156,600 7,380
- - Micromuse Inc. 43,000 7,310
- - KEMET Corp. 161,200 7,264
- - ISS Group, Inc. 100,900 7,177
Tektronix, Inc. 184,600 7,176
Radian Group, Inc. 149,210 7,125
- - TriQuint Semiconductor, Inc. 62,100 6,909
- - Xircom, Inc. 92,000 6,900
C.H. Robinson Worldwide, Inc. 172,700 6,865
- - Visual Networks, Inc. 86,234 6,834
- - Micrel, Inc. 119,500 6,804
- - Sawtek Inc. 102,200 6,803
Jones Pharma, Inc. 152,900 6,642
Sky Financial Group, Inc. 328,985 6,621
- - Semtech Corp. 126,902 6,615
- - Entercom Communications Corp. 99,800 6,587
- - Enzon, Inc. 151,800 6,584
- - Andrew Corp. 346,837 6,568
CK Witco Corp. 487,862 6,525
- - Aspect Development, Inc. 95,100 6,514
Eastern Enterprises 112,134 6,441
- - Zebra Technologies Corp. Class A 105,900 6,195
- - Citadel Communications Corp. 95,300 6,183
- - Mettler-Toledo International Inc. 161,200 6,156
- - Digital Microwave Corp. 262,000 6,141
- - MRV Communications Inc. 97,500 6,130
- - INCYTE Pharmaceuticals, Inc. 101,300 6,078
- - Fisher Scientific International Inc. 167,900 6,065
Applied Power, Inc. 164,695 6,053
- - Leap Wireless International, Inc. 76,400 5,997
Lee Enterprises, Inc. 187,300 5,982
- - Burr-Brown Corp. 162,650 5,876
- - Interim Services, Inc. 237,006 5,866
- - Sybase, Inc. 342,800 5,828
Pittway Corp. Class A 129,300 5,794
The MONY Group Inc. 198,000 5,779
Metris Cos., Inc. 161,642 5,769
- - Technology Solutions Co. 175,925 5,762
Sierra Pacific Resources 330,396 5,720
- - Polycom, Inc. 89,500 5,700
- - AmeriCredit Corp. 307,300 5,685
Callaway Golf Co. 320,500 5,669
UST Corp. 178,200 5,658
- - Cambridge Technology Partners 215,300 5,652
- - Suiza Foods Corp. 142,500 5,647
- - First Health Group Corp. 210,000 5,644
Rayonier Inc. 116,800 5,643
- - Cognex Corp. 144,600 5,639
- - International Rectifier Corp. 216,700 5,634
- - ACTV, Inc. 123,300 5,633
- - Hyperion Solutions Corp. 128,719 5,599
- - ITC DeltaCom, Inc. 201,500 5,566
- - American Management
Systems, Inc. 177,100 5,557
Ethan Allen Interiors, Inc. 171,100 5,486
- - Cymer, Inc. 118,900 5,469
- - Protein Design Labs, Inc. 78,100 5,467
Florida East Coast Railway Co. 130,400 5,444
- - Mueller Industries Inc. 149,500 5,419
Hudson United Bancorp 211,311 5,402
- - PRI Automation, Inc. 80,200 5,383
Washington Gas Light Corp. 195,100 5,365
- - Marine Drilling Co., Inc. 239,100 5,365
USFreightways Corp. 112,000 5,362
Harsco Corp. 168,700 5,356
- - Proxim, Inc. 48,300 5,313
- - Wind River Systems Inc. 144,450 5,309
- - Open Market, Inc. 116,900 5,275
- - Visio Corp. 111,000 5,272
- - Black Box Corp. 78,600 5,266
- - Borders Group, Inc. 327,200 5,256
</TABLE>
31
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<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Concentric Network Corp. 169,200 $ 5,213
- - Verity, Inc. 122,400 5,210
- - Ciber, Inc. 189,300 5,206
Worthington Industries, Inc. 313,800 5,197
- - Imation Corp. 154,500 5,185
- - ChoicePoint Inc. 124,900 5,168
- - Proxicom, Inc. 41,300 5,134
- - Getty Images, Inc. 105,000 5,132
- - Whole Foods Market, Inc. 110,600 5,129
Corn Products International, Inc. 156,100 5,112
- - Harbinger Corp. 160,350 5,101
- - Price Communications Corp. 183,235 5,096
- - Stillwater Mining Co. 158,850 5,063
- - Medicis Pharmaceutical Corp. 118,650 5,050
- - Plantronics, Inc. 70,400 5,038
National Computer Systems, Inc. 133,900 5,038
- - Celgene Corp. 71,600 5,012
Health Care Properties Investors
REIT 209,382 4,999
- - Abgenix, Inc. 37,700 4,995
- - MICROS Systems, Inc. 67,500 4,995
Arthur J. Gallagher & Co. 76,900 4,979
- - Sensormatic Electronics Corp. 285,450 4,978
- - Pinnacle Holdings Inc. REIT 116,300 4,928
Potlatch Corp. 109,700 4,895
Kaufman & Broad Home Corp. 201,500 4,874
- - King Pharmaceuticals, Inc. 86,200 4,833
Eaton Vance Corp. 127,000 4,826
Roper Industries Inc. 127,400 4,817
Trinity Industries, Inc. 169,400 4,817
Methode Electronics, Inc. Class A 148,500 4,771
- - Alkermes, Inc. 97,100 4,770
Allied Capital Corp. 260,100 4,763
- - Intraware, Inc. 60,200 4,756
- - Adaptive Broadband Corp. 64,400 4,754
- - Dycom Industries, Inc. 107,550 4,739
Commerce Bancorp, Inc. 117,089 4,735
- - Rare Medium Group, Inc. 138,400 4,723
- - QRS Corp. 44,800 4,704
- - DSP Group Inc. 50,500 4,696
- - Smithfield Foods, Inc. 195,400 4,690
- - Remedy Corp. 98,900 4,685
Equitable Resources, Inc. 139,600 4,659
Camden Property Trust REIT 169,687 4,645
- - Techne Corp. 84,228 4,638
- - Bethlehem Steel Corp. 553,591 4,636
Wicor, Inc. 157,200 4,588
Air Express International Corp. 141,900 4,585
- - Hanover Compressor Co. 121,300 4,579
- - Cytyc Corp. 74,800 4,567
MDU Resources Group, Inc. 227,687 4,554
Helmerich & Payne, Inc. 208,100 4,539
Washington Federal Inc. 228,700 4,517
- - Amphenol Corp. 67,800 4,513
- - MTI Technology Corp. 121,800 4,491
- - MMC Networks, Inc. 130,500 4,486
- - CapRock Communications Corp. 138,200 4,483
Airborne Freight Corp. 203,500 4,477
- - Pegasus Communications Corp.
Class A 45,800 4,477
- - Kopin Corp. 106,200 4,460
- - Power Integrations, Inc. 92,800 4,449
- - Actuate Software Corp. 103,600 4,442
Weingarten Realty Investors REIT 113,075 4,403
- - Diamond Technology Partners Inc. 50,950 4,379
- - Renal Care Group, Inc. 186,850 4,368
First Industrial Realty Trust REIT 159,100 4,365
Church & Dwight, Inc. 163,100 4,353
- - Furniture Brands International Inc. 197,600 4,347
- - Patterson Dental Co. 101,750 4,337
- - Varian Semiconductor
Equipment Associates, Inc. 127,300 4,328
The Timken Co. 211,400 4,320
United Bankshares, Inc. 179,900 4,295
- - Adtran, Inc. 83,300 4,285
United Dominion Realty Trust REIT 433,850 4,284
One Valley Bancorp of
West Virginia Inc. 139,743 4,280
- - ImClone Systems, Inc. 107,500 4,260
- - Dendrite International, Inc. 125,700 4,258
- - Caremark Rx, Inc. 838,452 4,245
IDACORP, Inc. 158,200 4,242
BRE Properties Inc. Class A REIT 186,948 4,241
Ohio Casualty Corp. 262,618 4,218
- - USinternetworking, Inc. 60,250 4,210
- - Kulicke & Soffa Industries, Inc. 98,900 4,209
Helix Technology Corp. 93,800 4,203
- - Enzo Biochem, Inc. 93,003 4,191
- - Metamor Worldwide, Inc. 143,800 4,188
- - Cytec Industries, Inc. 180,700 4,179
- - Cephalon, Inc. 120,600 4,168
HSB Group Inc. 122,950 4,157
BancWest Corp. 212,300 4,140
Valero Energy Corp. 208,000 4,134
Alexander & Baldwin, Inc. 181,200 4,134
- - Aerial Communications Inc. 67,900 4,133
Donaldson Co., Inc. 171,500 4,127
- - Newfield Exploration Co. 154,100 4,122
Tupperware Corp. 242,400 4,106
First Midwest Bancorp 154,321 4,090
United Asset Management Corp. 220,300 4,089
- - Iron Mountain, Inc. 103,800 4,081
- - Sykes Enterprises, Inc. 92,800 4,072
Leucadia National Corp. 175,900 4,068
AGL Resources Inc. 238,500 4,054
- - Advanced Digital
Information Corp. 83,200 4,046
- - Electro Scientific Industries, Inc. 55,300 4,037
- - PairGain Technologies, Inc. 284,400 4,035
- - Macrovision Corp. 54,500 4,033
Hospitality Properties Trust REIT 211,300 4,028
- - ETEC Systems, Inc. 89,700 4,025
Universal Foods Corp. 197,000 4,014
- - Alpha Industries, Inc. 69,600 3,989
United Water Resources, Inc. 116,268 3,975
Georgia Gulf Corp. 130,100 3,960
- - Apria Healthcare 220,500 3,955
Piedmont Natural Gas, Inc. 130,651 3,952
Kennametal, Inc. 117,300 3,944
Hawaiian Electric Industries Inc. 136,000 3,927
IndyMac Mortgage Holdings, Inc.
REIT 307,100 3,916
</TABLE>
32
<PAGE> 165
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
- - Choice Hotel International, Inc. 228,400 $ 3,911
- - Entrust Technologies, Inc. 65,200 3,908
Independence Community
Bank Corp. 312,600 3,908
- - Affiliated Managers Group, Inc. 96,100 3,886
- - AnswerThink Consulting
Group, Inc. 113,400 3,884
- - MedQuist, Inc. 150,100 3,874
- - United Stationers, Inc. 135,600 3,873
BancorpSouth, Inc. 236,600 3,860
- - Terayon Communications
Systems, Inc. 61,400 3,857
- - Policy Management
Systems Corp. 150,700 3,852
- - National Instruments Corp. 100,700 3,852
- - Transaction Systems
Architects, Inc. 137,200 3,842
Dexter Corp. 96,600 3,840
- - Dionex Corp. 93,200 3,839
- - W.R. Grace & Co. 275,900 3,828
Citizens Banking Corp. 170,892 3,824
- - Varian Medical Systems, Inc. 128,200 3,822
Harman International
Industries, Inc. 68,025 3,818
- - Silicon Valley Bancshares 76,900 3,807
- - Iomega Corp. 1,125,100 3,797
Polaris Industries, Inc. 104,600 3,792
CMP Group Inc. 137,514 3,790
Newport News Shipbuilding Inc. 137,100 3,770
IDEX Corp. 124,100 3,770
Webster Financial Corp. 159,900 3,768
- - Mastec Inc. 84,600 3,765
- - Concurrent Computer Corp. 201,300 3,762
- - Documentum, Inc. 62,800 3,760
Texas Industries, Inc. 88,320 3,759
- - Pioneer Natural Resources Co. 419,400 3,748
- - Vertex Pharmaceuticals, Inc. 106,900 3,741
- - Eclipsys Corp. 146,000 3,741
- - InterVU Inc. 35,500 3,728
Manitowac Co., Inc. 109,600 3,726
- - Informatica Corp. 35,000 3,723
- - ICG Communications, Inc. 197,100 3,696
- - Mentor Graphics Corp. 279,400 3,685
- - Antec Corp. 100,900 3,683
- - Pacific Sunwear of California 115,362 3,677
La-Z-Boy Inc. 218,600 3,675
- - Alleghany Corp. 19,810 3,675
- - Progress Software Corp. 64,700 3,672
- - TeleBanc Financial Corp. 141,100 3,669
- - Allaire Corp. 25,300 3,668
- - Alaska Air Group, Inc. 103,900 3,649
- - Quest Diagnostics, Inc. 119,300 3,646
- - TSI International Software Ltd. 64,300 3,641
Mark IV Industries, Inc. 205,376 3,633
Bank United Corp. Class A 132,900 3,622
- - Mastech Corp. 146,000 3,613
- - MGC Communications, Inc. 71,200 3,613
- - Scholastic Corp. 58,100 3,613
- - World Access, Inc. 187,100 3,602
- - Primus Telecommunications
Group, Inc. 94,000 3,595
Pittston Brink's Group 163,000 3,586
- - ANADIGICS, Inc. 75,700 3,572
Whitney Holdings 96,350 3,571
- - Jack in the Box Inc. 172,200 3,562
- - Metricom 45,100 3,546
Polaroid Corp. 188,000 3,537
- - Cumulus Media Inc. Class A 69,300 3,517
Chittenden Corp. 118,457 3,509
Capitol Federal Financial 359,800 3,508
Storage USA, Inc. REIT 115,900 3,506
- - Barrett Resources Corp. 118,700 3,494
- - Asyst Technologies, Inc. 53,100 3,481
- - Imperial Bancorp 144,215 3,479
Cousins Properties, Inc. REIT 102,409 3,475
Kaydon Corp. 129,600 3,475
- - Glenayre Technologies, Inc. 306,725 3,470
- - Ames Department Stores, Inc. 120,300 3,466
- - GTech Holdings Corp. 157,400 3,463
- - Powerwave Technologies, Inc. 59,300 3,462
- - InfoCure Corp. 110,900 3,459
- - Insight Enterprises, Inc. 85,000 3,453
- - BindView Development Corp. 69,400 3,448
Pride International Inc. 235,500 3,444
OM Group, Inc. 100,000 3,444
Park National Corp. 35,860 3,443
- - FileNet Corp. 134,900 3,440
Pogo Producing Co. 167,400 3,432
Jostens Inc. 141,000 3,428
- - The Profit Recovery Group
International, Inc. 127,950 3,399
Cambrex Corp. 98,600 3,396
- - SCM Microsystems, Inc. 53,055 3,392
Horace Mann Educators Corp. 172,600 3,387
- - Quanta Services, Inc. 119,800 3,384
E.W. Blanch Holdings, Inc. 55,100 3,375
AGCO Corp. 250,300 3,363
- - UCAR International, Inc. 188,600 3,359
- - LTX Corp. 149,500 3,345
- - Biotechnology General 219,200 3,343
Aptargroup Inc. 132,900 3,339
- - Cirrus Logic 250,800 3,339
- - Copart, Inc. 76,700 3,336
Olin Corp. 168,400 3,336
Olsten Corp. 294,850 3,335
ONEOK, Inc. 132,500 3,329
- - Korn/Ferry International 91,300 3,321
Prentiss Properties Trust REIT 158,100 3,320
- - Advent Software, Inc. 51,450 3,315
Pennzoil-Quaker State Co. 325,000 3,311
Applebee's International, Inc. 111,100 3,277
- - SportsLine.com, Inc. 65,300 3,273
Lincoln Electric Holdings 158,000 3,259
FactSet Research Systems Inc. 40,850 3,253
Ferro Corp. 147,400 3,243
- - Project Software &
Development, Inc. 58,200 3,230
Minerals Technologies, Inc. 80,500 3,225
- - CEC Entertainment Inc. 113,600 3,223
Developers Diversified Realty
Corp. REIT 250,200 3,221
First Financial Bancorp 150,675 3,221
</TABLE>
33
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<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
RGS Energy Group Inc. 156,100 $ 3,210
Hussman International, Inc. 212,975 3,208
- - Plexus Corp. 72,600 3,194
- - National-Oilwell, Inc. 203,400 3,191
Lennar Corp. 196,100 3,187
Federal Realty Investment Trust
REIT 169,100 3,181
Raymond James Financial, Inc. 169,900 3,175
- - 24/7 Media, Inc. 56,400 3,173
MeriStar Hospitality Corp. REIT 198,034 3,169
- - NVIDIA Corp. 67,500 3,168
- - Kronos, Inc. 52,750 3,165
- - Vicor Corp. 78,100 3,163
- - AnnTaylor Stores Corp. 91,600 3,154
Westinghouse Air Brake Co. 177,456 3,150
Pacific Capital Bancorp 102,400 3,149
Hooper Holmes, Inc. 122,200 3,147
Cabot Industrial Trust REIT 170,900 3,140
- - Great Plains Software, Inc. 42,000 3,140
- - Aspen Technologies, Inc. 118,600 3,135
- - Scotts Co. 77,300 3,111
- - Pegasus Systems Inc. 51,500 3,106
Community First Bankshares 197,100 3,104
- - Michaels Stores, Inc. 108,918 3,104
United Illuminating Co. 60,350 3,100
First Commonwealth
Financial Corp. 258,200 3,098
CenterPoint Properties Corp. REIT 86,300 3,096
H.B. Fuller Co. 55,250 3,091
- - Pinnacle Systems, Inc. 75,900 3,088
Federal Signal Corp. 192,200 3,087
- - AmeriSource Health Corp. 203,200 3,086
Longview Fibre Co. 216,300 3,082
- - Cost Plus, Inc. 86,500 3,082
- - Teletech Holdings Inc. 91,400 3,080
Arvin Industries, Inc. 108,400 3,076
Philadelphia Suburban Corp. 148,600 3,074
Staten Island Bancorp, Inc. 170,700 3,073
- - Brightpoint, Inc. 234,025 3,072
Pulte Corp. 136,500 3,071
- - O'Reilly Automotive, Inc. 142,600 3,066
Jack Henry & Associates 57,100 3,066
- - Men's Wearhouse, Inc. 103,450 3,039
- - Razorfish Inc. 31,900 3,034
- - Catalytica, Inc. 223,700 3,034
- - Unifi, Inc. 246,300 3,033
Cleco Corp. 94,500 3,030
- - Beringer Wine Estates
Holdings, Inc. 75,900 3,027
- - CommNet Cellular Inc. 93,700 3,010
- - Jacobs Engineering Group Inc. 92,500 3,006
- - Journal Register Co. 194,500 3,003
Universal Corp. 131,000 2,988
- - Mercury Computer Systems, Inc. 84,900 2,971
- - Midway Games Inc. 124,011 2,969
- - Artesyn Technologies, Inc. 140,956 2,960
Regency Realty Corp. REIT 148,000 2,960
Brady Corp. Class A 87,100 2,956
Trustco Bank 222,998 2,955
- - Integrated Systems, Inc. 87,800 2,947
Charles E. Smith Residential
Realty, Inc. REIT 83,300 2,947
- - Adelphia Business Solutions, Inc. 61,300 2,942
Southwest Gas Corp. 127,600 2,935
JLG Industries, Inc. 184,500 2,929
USEC Inc. 418,400 2,929
- - Hadco Corp. 57,400 2,927
- - C-COR Electronics, Inc. 38,100 2,919
- - Wisconsin Central
Transportation Corp. 217,100 2,917
- - Steel Dynamics, Inc. 182,600 2,910
- - Orbital Sciences Corp. 156,700 2,909
- - Terex Corp. 104,600 2,903
New Jersey Resources Corp. 74,200 2,898
Fleetwood Enterprises, Inc. 140,500 2,898
Geon Co. 89,100 2,896
D. R. Horton, Inc. 209,644 2,896
- - STERIS Corp. 280,600 2,894
- - Southern Union Co. 151,215 2,892
- - America West Holdings Corp.
Class B 138,700 2,878
First American Financial Corp. 231,100 2,874
- - InterVoice-Brite, Inc. 121,000 2,862
Nordson Corp. 59,300 2,861
- - ShopKo Stores, Inc. 124,400 2,861
Amcore Financial 119,120 2,859
- - TALK.com, Inc. 160,900 2,856
- - Varian, Inc. 126,900 2,855
Earthgrains Co. 176,744 2,850
- - Quorum Health Group, Inc. 305,550 2,845
- - Markel Corp. 18,300 2,836
Commerce Group, Inc. 108,300 2,829
- - Spyglass, Inc. 74,600 2,829
Shurgard Storage Centers, Inc.
Class A REIT 121,700 2,822
- - PSS World Medical, Inc. 298,462 2,817
- - PETsMART, Inc. 489,550 2,815
Liberty Corp. 66,700 2,814
- - Santa Cruz Operation, Inc. 92,600 2,813
Public Service Co. of
North Carolina, Inc. 86,600 2,798
Delta & Pine Land Co. 161,000 2,797
Investors Financial Services Corp. 60,752 2,795
WPS Resources Corp. 111,100 2,791
- - ATMI, Inc. 84,400 2,790
- - Eagle USA Airfreight, Inc. 64,500 2,782
- - Wesley Jessen VisionCare, Inc. 73,300 2,776
- - Micro Warehouse Inc. 149,700 2,769
Chicago Title Corp. 59,500 2,752
UMB Financial Corp. 72,542 2,738
- - Globix Corp. 45,600 2,736
- - Cable Design Technologies 118,650 2,729
Chesapeake Corp. of Virginia 89,300 2,724
- - Charming Shoppes, Inc. 409,400 2,712
- - Transkaryotic Therapies, Inc. 70,400 2,710
- - Swift Transportation Co., Inc. 153,700 2,709
Precision Castparts Corp. 102,800 2,699
Wallace Computer Services, Inc. 162,200 2,697
- - Coherent, Inc. 100,700 2,694
Florida Rock Industries, Inc. 78,200 2,693
</TABLE>
34
<PAGE> 167
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
- - Bally Total Fitness Holding Corp. 100,900 $ 2,693
- - Carrier Access Corp. 40,000 2,693
- - IDEXX Laboratories Corp. 166,600 2,686
UGI Corp. Holding Co. 131,400 2,685
- - Sicor, Inc. 346,260 2,684
- - Manugistics Group, Inc. 83,000 2,682
Alfa Corp. 164,100 2,677
Atmos Energy Corp. 130,918 2,676
- - Kent Electronics Corp. 117,500 2,673
- - Preview Travel, Inc. 51,100 2,664
Nationwide Health Properties, Inc.
REIT 193,400 2,659
Flowserve Corp. 156,406 2,659
- - Del Monte Foods Co. 215,600 2,655
F & M National Corp. 96,279 2,654
- - Covance, Inc. 245,200 2,651
MacDermid, Inc. 64,500 2,649
Healthcare Realty Trust Inc. REIT 169,407 2,647
- - SEACOR SMIT Inc. 51,100 2,644
- - R.H. Donnelley Corp. 139,900 2,641
- - NBTY, Inc. 227,700 2,633
- - Lone Star Technologies, Inc. 94,400 2,631
- - S3, Inc. 227,100 2,626
- - Sirius Satellite Radio, Inc. 59,000 2,626
- - Varco International, Inc. 257,700 2,625
The Macerich Co. REIT 125,700 2,616
S & T Bancorp, Inc. 112,800 2,616
- - Tut Systems, Inc. 48,770 2,615
- - Tower Automotive, Inc. 168,900 2,607
Bank North Group 97,270 2,602
- - Haemonetics Corp. 109,250 2,602
- - Alliant Techsystems, Inc. 41,700 2,598
Bob Evans Farms, Inc. 168,000 2,593
- - Exchange Applications, Inc. 46,400 2,593
- - OfficeMax, Inc. 471,100 2,591
Alpharma, Inc. Class A 83,934 2,581
- - Radio One, Inc. 28,000 2,576
- - Viatel, Inc. 48,000 2,574
- - Photronics Labs Inc. 89,900 2,573
Eastern Utilities Associates 84,889 2,573
- - Footstar Inc. 84,300 2,571
Pier 1 Imports Inc. 403,300 2,571
G & K Services, Inc. 79,250 2,566
Colonial Properties Trust REIT 110,400 2,560
- - Tekelec 113,700 2,558
- - ResMed Inc. 61,200 2,555
- - Dura Pharmaceuticals, Inc. 183,300 2,555
Gables Residential Trust REIT 106,400 2,554
Baldor Electric Co. 140,827 2,552
Essex Property Trust, Inc. REIT 75,000 2,550
Ametek Aerospace Products Inc. 133,700 2,549
Kilroy Realty Corp. REIT 115,800 2,548
- - Saga Systems, Inc. 127,500 2,542
Wausau-Mosinee Paper Corp. 217,410 2,541
Cohu, Inc. 81,900 2,539
Banta Corp. 112,400 2,536
- - NBC Internet, Inc. Class A 32,800 2,534
- - Cor Therapeutics, Inc. 93,600 2,515
- - The Cheesecake Factory 71,853 2,515
- - Network Peripherals, Inc. 53,200 2,514
- - ZixIt Corp. 63,400 2,512
Reckson Associates Realty Corp.
REIT 122,400 2,509
- - Remec, Inc. 98,100 2,502
- - MIPS Technologies, Inc. 48,000 2,496
Susquehanna Bancshares, Inc. 156,675 2,487
Elcor Corp. 82,525 2,486
Caraustar Industries, Inc. 103,500 2,484
- - Airgas, Inc. 261,100 2,480
- - IPC Communications, Inc. 34,700 2,464
Ogden Corp. 206,300 2,463
- - Complete Business Solutions, Inc. 98,000 2,462
Richmond County Financial Corp. 136,200 2,460
- - Apex Inc. 76,200 2,457
- - El Paso Electric Co. 250,400 2,457
Ruby Tuesday, Inc. 135,050 2,456
- - AXENT Technologies, Inc. 116,480 2,446
- - Papa John's International, Inc. 93,850 2,446
- - Silicon Valley Group, Inc. 137,700 2,444
- - Concord Communications, Inc. 54,900 2,436
- - Valence Technology 128,100 2,434
- - Aware, Inc. 66,900 2,433
Public Service Co. of New Mexico 149,700 2,433
Wellman, Inc. 130,500 2,431
- - Inhale Therapeutic Systems 57,100 2,430
- - Cognizant Technology
Solutions Corp. 22,200 2,427
- - Stone Energy Corp. 68,100 2,426
Skywest, Inc. 86,600 2,425
Dain Rauscher Corp. 51,700 2,404
Brandywine Realty Trust REIT 146,800 2,404
- - Advanced Radio Telecom Corp. 100,000 2,400
Milacron Inc. 155,977 2,398
- - Ligand Pharmaceuticals Inc.
Class B 186,000 2,395
- - Dollar Thrifty Automotive
Group, Inc. 99,900 2,391
- - Sunrise Technologies
International, Inc. 202,200 2,388
- - Primark Corp. 85,600 2,381
- - ESS Technology, Inc. 107,300 2,381
- - WebLink Wireless, Inc. 153,200 2,375
- - Insituform Technologies Class A 83,900 2,370
CBRL Group, Inc. 243,300 2,361
- - Genesys Telecommunications
Laboratories, Inc. 43,700 2,360
- - Ralcorp Holdings, Inc. 118,300 2,359
- - Heidrick & Struggles
International, Inc. 55,500 2,345
- - Safeskin Corp. 193,300 2,344
- - P-Com, Inc. 264,800 2,342
- - Sequa Corp. Class A 43,300 2,335
Modine Manufacturing Co. 93,300 2,333
CH Energy Group, Inc. 70,600 2,330
- - American Italian Pasta Co. 75,700 2,328
- - XTRA Corp. 54,500 2,323
- - UNOVA, Inc. 178,600 2,322
- - Exar Corp. 39,400 2,320
- - Century Business Services, Inc. 274,800 2,319
Rollins Truck Leasing 193,937 2,315
</TABLE>
35
<PAGE> 168
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
- - Xceed Inc. 55,700 $ 2,312
- - Avis Rent A Car, Inc. 90,400 2,311
- - Southwest Bancorporation of
Texas, Inc. 116,600 2,310
John H. Harland Co. 126,100 2,309
- - Ardent Software, Inc. 59,200 2,309
- - Inet Technologies, Inc. 33,000 2,306
- - Canandaigua Brands, Inc.
Class A 45,200 2,305
- - Dal-Tile International Inc. 227,600 2,304
International Bancshares Corp. 51,937 2,298
Realty Income Corp. REIT 111,400 2,298
Sun Communities, Inc. REIT 71,300 2,295
Casey's General Stores 219,757 2,294
JDN Realty Corp. REIT 141,850 2,287
Republic Bancorp, Inc. 188,318 2,286
Avista Corp. 147,900 2,283
Kellwood Co. 117,050 2,275
SIG Corp. 99,999 2,275
Chateau Communities, Inc. REIT 87,600 2,272
Elizabethtown Corp. 36,500 2,272
- - Romac International, Inc. 168,610 2,266
TJ International, Inc. 53,900 2,264
Northwest Natural Gas Co. 103,150 2,263
Gaylord Entertainment Co.
Class A 75,575 2,263
- - AVT Corp. 48,100 2,261
- - Summit Technology, Inc. 193,421 2,261
Washington REIT 150,450 2,257
Mentor Corp. 87,400 2,256
- - Extended Stay America, Inc. 295,300 2,252
C & D Technology Inc. 52,900 2,248
Fair Issac & Co. 42,400 2,247
M.A. Hanna Co. 205,400 2,247
Walden Residential Properties,
Inc. REIT 103,800 2,245
Home Properties of New York,
Inc. REIT 81,800 2,244
Indiana Energy, Inc. 126,266 2,241
- - Station Casinos, Inc. 99,700 2,237
- - Commonwealth Telephone
Enterprises, Inc. 42,199 2,231
- - In Focus Systems, Inc. 96,100 2,228
Superior Industries
International, Inc. 83,000 2,225
- - Wyndham International, Inc.
Class A REIT 756,100 2,221
United Television, Inc. 16,129 2,221
PS Business Parks, Inc. REIT 97,500 2,218
- - Sonic Corp. 77,800 2,217
Kimball International, Inc. Class B 134,200 2,214
- - WebTrends Corp. 27,300 2,211
Regis Corp. 117,150 2,211
Manufactured Home
Communities, Inc. REIT 90,800 2,208
- - Vintage Petroleum, Inc. 182,900 2,206
HCC Insurance Holdings, Inc. 166,850 2,200
- - Timberland Co. 41,600 2,200
- - Hutchinson Technology, Inc. 103,500 2,199
Technitrol, Inc. 49,300 2,194
- - Tetra Tech, Inc. 142,402 2,189
Graco, Inc. 61,025 2,189
Westbanco Inc. 84,079 2,186
- - Rayovac Corp. 115,800 2,186
- - Computer Network
Technology Corp. 95,200 2,184
Foremost Corp. of America 76,900 2,182
- - Systems & Computer
Technology Corp. 133,800 2,174
- - Hollywood Park, Inc. 96,900 2,174
- - Global Industries Ltd. 251,800 2,172
- - WorldGate Communications, Inc. 45,500 2,164
- - Vical, Inc. 72,200 2,161
- - RadiSys Corp. 42,300 2,157
- - Cerner Corp. 109,500 2,156
Northwestern Corp. 97,900 2,154
- - Pharmacyclics, Inc. 52,200 2,153
CT Communications, Inc. 38,400 2,150
Inter-Tel, Inc. 85,900 2,147
- - Mail-Well, Inc. 159,000 2,146
- - Sanchez Computer
Associates, Inc. 51,900 2,138
- - Siliconix, Inc. 16,200 2,130
Hughes Supply, Inc. 98,750 2,129
A. Schulman Inc. 130,500 2,129
- - Trimble Navigation Ltd. 98,200 2,124
Carpenter Technology Corp. 77,300 2,121
Belden, Inc. 100,800 2,117
- - Electroglas, Inc. 83,400 2,116
Talbots Inc. 47,400 2,115
- - Triad Hospitals, Inc. 139,479 2,110
MAF Bancorp, Inc. 100,751 2,109
- - Power-One, Inc. 46,000 2,107
- - Silknet Software, Inc. 12,700 2,105
Penton Media, Inc. Class A 87,600 2,102
TNP Enterprises, Inc. 50,900 2,100
- - Kirby Corp. 102,200 2,095
- - InterTan, Inc. 80,100 2,093
- - Datastream Systems, Inc. 85,100 2,090
LNR Property Corp. 105,150 2,090
- - Security Capital Group Inc. REIT
Class B 166,900 2,086
- - Total Renal Care Holdings, Inc. 311,800 2,085
- - Avant! Corp. 138,438 2,077
- - Actel Corp. 86,400 2,074
- - Digital River, Inc. 62,200 2,072
J.M. Smucker Co. Class A 106,200 2,071
AAR Corp. 115,300 2,068
Bowne & Co., Inc. 152,500 2,059
First Bancorp/Puerto Rico 99,000 2,054
- - Molecular Devices Corp. 39,500 2,054
Crawford & Co. Class B 150,750 2,054
Greater Bay Bancorp 47,800 2,049
- - Computer Horizons Corp. 126,600 2,049
- - Perrigo Co. 255,900 2,047
- - Agribrands International, Inc. 44,500 2,047
Datascope Corp. 51,100 2,044
Spartech Corp. 63,100 2,035
- - Blount International, Inc. 127,133 2,026
- - Medical Assurance, Inc. 95,616 2,026
Triangle Bancorp, Inc. 104,400 2,023
- - Banyan Systems, Inc. 100,900 2,018
</TABLE>
36
<PAGE> 169
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
- - Advanced Energy Industries, Inc. 40,900 $ 2,014
Energen Corp. 111,300 2,010
- - Orthodontic Centers of
America, Inc. 168,200 2,008
- - NVR, Inc. 42,000 2,005
Invacare Corp. 99,900 2,004
Selective Insurance Group 116,300 1,999
- - Wave Systems Corp. Class A 167,300 1,997
Great Atlantic &
Pacific Tea Co., Inc. 71,500 1,993
- - Zomax Inc. 43,900 1,986
- - Playboy Enterprises, Inc. Class B 81,700 1,986
Morgan Keegan, Inc. 118,000 1,984
- - Fairfield Communities, Inc. 184,400 1,982
- - Bell & Howell Co. 62,300 1,982
Black Hills Corp. 89,050 1,976
- - General Semiconductor, Inc. 139,050 1,973
Jefferies Group, Inc. 89,632 1,972
- - SuperGen, Inc. 67,000 1,968
- - The Liposome Co., Inc. 161,200 1,967
Chelsea GCA Realty, Inc. REIT 66,100 1,966
Ruddick Corp. 126,800 1,965
- - CompuCredit Corp. 51,000 1,963
- - Young Broadcasting Inc. 38,500 1,964
- - Grey Wolf, Inc. 681,700 1,960
Libbey, Inc. 68,100 1,958
- - ProBusiness Services, Inc. 54,300 1,955
Albemarle Corp. 101,820 1,954
Queens County Bancorp, Inc. 71,972 1,952
- - Littelfuse, Inc. 80,400 1,951
- - Duane Reade Inc. 70,700 1,949
- - Sunglass Hut International, Inc. 173,200 1,949
Walter Industries, Inc. 180,100 1,947
MascoTech Inc. 153,300 1,945
- - Pre-Paid Legal Services, Inc. 81,000 1,944
- - CompUSA, Inc. 379,100 1,943
Yankee Energy Systems 44,200 1,942
SL Green Realty Corp. REIT 89,000 1,936
- - Lands' End, Inc. 55,700 1,936
Carolina First Corp. 106,000 1,934
CBL & Associates Properties, Inc.
REIT 93,700 1,933
- - Hollywood Entertainment Corp. 133,000 1,929
A.O. Smith Corp. 87,900 1,923
- - Ionics, Inc. 68,100 1,915
- - The Corporate Executive
Board Co. 34,200 1,911
- - Tuboscope Inc. 120,300 1,910
- - Cygnus Inc. 104,300 1,903
Russell Corp. 113,625 1,903
- - NFO Worldwide, Inc. 85,000 1,902
Block Drug Co. Class A 61,303 1,900
CFW Communications Co. 54,600 1,897
Arch Chemicals, Inc. 90,600 1,897
- - Prime Hospitality Corp. 214,600 1,891
- - Structural Dynamics
Research Corp. 148,306 1,891
- - Maxtor Corp. 260,800 1,891
- - Midwest Express Holdings, Inc. 59,300 1,890
Kelly Services, Inc. Class A 75,100 1,887
- - Delphi Financial Group, Inc. 62,705 1,881
National Penn Bancshares Inc. 74,865 1,881
- - The Topps Co., Inc. 181,000 1,878
- - Veeco Instruments, Inc. 40,000 1,872
- - Sipex Corp. 76,100 1,869
- - Hanover Direct, Inc. 513,700 1,862
Mitchell Energy &
Development Corp. Class A 84,400 1,862
Forest City Enterprise Class A 66,500 1,862
F.N.B. Corp. 83,581 1,860
Cross Timbers Oil Co. 205,125 1,859
- - Playtex Products, Inc. 120,900 1,859
- - ADVO, Inc. 78,250 1,858
Koger Equity, Inc. REIT 110,100 1,858
Wolverine World Wide, Inc. 169,540 1,854
- - Daisytek International Corp. 79,400 1,851
Reliance Steel & Aluminum Co. 78,900 1,849
Cooper Cos., Inc. 61,300 1,847
Otter Tail Power Co. 49,200 1,845
National City Bancshares, Inc. 73,266 1,841
Enhance Financial Services
Group, Inc. 113,200 1,839
JSB Financial 35,400 1,836
Provident Bankshares Corp. 105,937 1,834
- - Net.B@nk, Inc. 99,100 1,833
- - Sangstat Medical Corp. 61,600 1,833
- - Anixter International Inc. 88,700 1,829
Aquarion Co. 49,309 1,824
- - Monaco Coach Corp. 71,150 1,819
Werner Enterprises, Inc. 129,275 1,818
The Toro Co. 48,600 1,813
- - IDX Systems Corp. 57,980 1,812
Regal-Beloit Corp. 87,600 1,807
W Holding Co., Inc. 174,000 1,805
Presidential Life Corp. 98,200 1,804
- - Radiant Systems, Inc. 44,900 1,804
Commercial Metals Co. 53,166 1,804
Clarcor Inc. 100,125 1,802
AMCOL International Corp. 111,650 1,800
- - Landstar System 42,000 1,798
- - Aztar Corp. 165,200 1,797
- - Key Energy Services, Inc. 346,100 1,795
- - Miami Computer Supply Corp. 48,300 1,793
- - Genrad, Inc. 110,900 1,788
- - Forest Oil Corp. 135,600 1,788
Springs Industries Inc. Class A 44,700 1,785
- - International Home Foods, Inc. 102,600 1,783
- - American Superconductor Corp. 63,600 1,781
- - Patterson Energy, Inc. 136,900 1,780
- - Labor Ready, Inc. 146,686 1,779
Reliance Group Holdings 265,900 1,778
The Pep Boys
(Manny, Moe & Jack) 194,800 1,778
Gerber Scientific, Inc. 81,000 1,777
Health Care REIT, Inc. 117,400 1,776
- - Cybex Computer Products Corp. 43,800 1,774
- - Triangle Pharmaceuticals, Inc. 138,000 1,768
Mid-America Apartment
Communities, Inc. REIT 78,100 1,767
- - Ziff-Davis Inc. 111,700 1,766
- - Brio Technology, Inc. 42,000 1,764
- - Buffets Inc. 175,849 1,758
</TABLE>
37
<PAGE> 170
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
- - Concur Technologies, Inc. 60,600 $ 1,757
Glenborough Realty Trust, Inc.
REIT 130,100 1,740
Brown & Brown, Inc. 45,350 1,737
National Bankcorp of Alaska Inc. 61,900 1,737
- - Atwood Oceanics, Inc. 44,900 1,734
- - Barr Labs Inc. 55,200 1,732
Texas Regional Bancshares, Inc. 59,700 1,731
- - Newpark Resources, Inc. 282,500 1,730
- - THQ Inc. 74,450 1,726
- - Multex.com Inc. 45,700 1,719
Chemical Finance 53,912 1,718
- - Forward Air Corp. 39,600 1,718
- - Yellow Corp. 102,150 1,717
Laclede Gas Co. 79,400 1,717
- - MEMC Electronic Materials, Inc. 140,000 1,715
Tredegar Corp. 82,800 1,713
- - JDA Software Group, Inc. 104,350 1,709
- - Sunterra Corp. 148,550 1,708
Bradley Real Estate Inc. REIT 97,914 1,707
- - Navigant Consulting, Inc. 157,000 1,707
Duff & Phelps Credit Rating 19,100 1,699
- - Pioneer Group, Inc. 107,700 1,696
- - Shorewood Packaging Corp. 89,500 1,695
- - Alliance Semiconductor Corp. 101,500 1,694
Bindly Western Industries, Inc. 112,400 1,693
- - barnesandnoble.com inc. 119,200 1,691
- - UICI 159,900 1,689
Downey Financial Corp. 83,646 1,689
- - CCC Information Services Group 98,600 1,689
- - Beverly Enterprises, Inc. 385,900 1,688
- - MSC Industrial Direct Co., Inc.
Class A 127,200 1,685
LTV Corp. 408,300 1,684
- - Maverick Tube Corp. 68,200 1,684
- - Brooks Automation, Inc. 51,700 1,683
- - Advance Paradigm, Inc. 78,000 1,682
- - SoftNet Systems, Inc. 66,900 1,681
Connecticut Energy Corp. 43,200 1,679
Matthews International Corp. 61,000 1,677
- - F.Y.I. Inc. 49,300 1,676
ChemFirst Inc. 76,500 1,673
- - SITEL Corp. 238,100 1,667
- - Vail Resorts Inc. 92,900 1,666
- - MemberWorks, Inc. 50,200 1,666
- - SPS Technologies, Inc. 52,100 1,664
Fleming Cos., Inc. 161,500 1,655
Summit Properties, Inc. REIT 92,400 1,652
Overseas Shipholding Group Inc. 111,400 1,650
- - Coventry Health Care Inc. 243,500 1,644
- - Department 56 Inc. 72,500 1,640
Greif Brothers Corp. Class A 55,000 1,636
SCPIE Holdings Inc. 50,800 1,632
- - Conmed Corp. 62,950 1,629
Southern Peru Copper Corp. 104,900 1,619
- - Handleman Co. 120,800 1,616
Doral Financial Corp. 131,000 1,613
- - Phoenix Technologies LTD. 102,000 1,613
Empire District Electric Co. 71,170 1,610
- - Micron Electronics, Inc. 144,600 1,609
West Pharmaceutical
Services, Inc. 51,994 1,609
- - Administaff, Inc. 53,100 1,606
- - Coulter Pharmaceutical, Inc. 70,700 1,604
Bay View Capital Corp. 112,821 1,601
- - Netopia, Inc. 29,400 1,597
- - Toll Brothers, Inc. 85,700 1,596
- - Presstek, Inc 114,900 1,594
- - Atlas Air, Inc. 58,100 1,594
- - Reebok International Ltd. 194,700 1,594
Anchor Bancorp Wisconsin Inc. 105,200 1,591
- - Com21, Inc. 70,800 1,589
- - MAXIMUS, Inc. 46,800 1,588
Carter-Wallace, Inc. 88,400 1,586
P.H. Glatfelter Co. 108,400 1,579
- - Invitrogen Corp. 26,300 1,578
- - PathoGenesis Corp. 73,500 1,576
Cornerstone Realty Income Trust,
Inc. REIT 161,600 1,576
N L Industries, Inc. 104,600 1,576
- - Tesoro Petroleum Corp. 136,100 1,574
- - Crestline Capital Corp. REIT 76,000 1,567
- - IDT Corp. 83,000 1,567
Hilb, Rogal and Hamilton Co. 55,400 1,565
- - Windmere-Durable Holdings Inc. 91,967 1,563
- - Mid Atlantic Medical
Services, Inc. 187,800 1,561
- - Ascent Entertainment Group, Inc. 123,029 1,561
- - Buckeye Technology, Inc. 104,900 1,560
Polymer Group, Inc. 85,300 1,557
- - Del Webb Corp. 62,396 1,556
Alexandria Real Estate Equities,
Inc. REIT 48,900 1,556
- - Western Digital Corp. 371,400 1,555
- - Benchmark Electronics, Inc. 67,600 1,551
First Citizens BancShares Class A 22,200 1,548
W.R. Berkley Corp. 74,175 1,548
Cabot Oil & Gas Corp. Class A 96,126 1,544
- - Learning Tree International, Inc. 55,000 1,540
- - Ventana Medical Systems, Inc. 61,900 1,540
Pioneer Standard Electronics Inc. 106,650 1,540
The Trust Co. of New Jersey 67,270 1,539
Taubman Co. REIT 142,500 1,532
- - The Boyds Collection, Ltd. 220,500 1,530
National Health Investors REIT 102,700 1,528
NACCO Industries, Inc. Class A 27,395 1,522
- - UniSource Energy Corp. 135,960 1,521
- - Wild Oats Markets, Inc. 68,400 1,518
Bedford Property Investors, Inc.
REIT 88,900 1,517
- - EarthWeb Inc. 30,100 1,514
Foster Wheeler Corp. 170,600 1,514
Cathay Bancorp, Inc. 36,900 1,513
- - Gaylord Container Corp. 222,000 1,512
StanCorp Financial Group, Inc. 60,000 1,511
- - Guilford Pharmaceuticals, Inc. 88,700 1,508
- - Paxson Communications Corp. 126,300 1,508
- - Sagent Technology, Inc. 50,300 1,506
- - LifePoint Hospitals, Inc. 127,435 1,505
- - Egghead.com, Inc. 92,777 1,502
- - US LEC Corp. Class A 46,500 1,500
FBL Financial Group, Inc. Class A 74,900 1,498
- - Activision, Inc. 97,600 1,494
- - Sunbeam Corp. 356,800 1,494
</TABLE>
38
<PAGE> 171
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- ---------------------------------------------------------------
<S> <C> <C>
BT Financial Corp. 67,893 $ 1,494
- - Jones Lang Lasalle Inc. REIT 125,700 1,493
Republic Security Financial Corp. 208,319 1,491
- - About.Com, Inc. 16,600 1,490
- - MessageMedia Inc. 105,600 1,485
Michael Foods Group, Inc. 60,300 1,485
- - Tom Brown, Inc. 110,900 1,483
Quanex Corp. 58,100 1,482
Fidelity National Financial, Inc. 102,962 1,480
Premier Bancshares, Inc. 108,600 1,480
The Marcus Corp. 110,100 1,479
- - STAR Telecommunications, Inc. 187,100 1,479
- - Louis Dreyfus Natural Gas Corp. 81,596 1,479
- - Barra, Inc. 46,500 1,476
Phoenix Investment Partners Ltd. 181,700 1,476
- - American Classic Voyager Co. 42,100 1,474
- - ONYX Software Corp. 39,800 1,473
- - Bottomline Technologies, Inc. 40,900 1,472
Pacific Gulf Properties, Inc. REIT 72,700 1,472
- - Paxar Corp. 174,056 1,469
Collins & Aikman Corp. 255,400 1,469
- - Urban Outfitters, Inc. 50,400 1,468
Cleveland-Cliffs Iron Co. 47,100 1,466
- - Simpson Manufacturing Co. 33,500 1,466
Hancock Holding Co. 37,807 1,465
- - American Freightways 90,400 1,463
Mid-State Bancshares 45,900 1,463
- - Triad Guaranty, Inc. 64,200 1,461
California Water Service Group 48,126 1,459
- - Telescan, Inc. 59,000 1,457
- - PETCO Animal Supplies, Inc. 97,800 1,455
Applied Industrial Technology, Inc. 87,400 1,453
- - Source Media, Inc. 78,500 1,452
Ryland Group, Inc. 62,900 1,451
Westfield America, Inc. REIT 117,500 1,447
Argonaut Group, Inc. 72,700 1,445
- - West TeleServices Corp. 59,100 1,444
Midas Inc. 66,000 1,444
- - Nautica Enterprises, Inc. 127,614 1,444
United National Bancorp 65,046 1,443
- - Track Data Corp. 141,600 1,443
Granite Construction Co. 78,100 1,440
PMA Capital Corp. Class A 72,300 1,437
- - EntreMed, Inc. 56,000 1,435
- - infoUSA Inc. 102,800 1,433
MDC Holdings, Inc. 91,100 1,429
Reliance Bancorp, Inc. 41,400 1,428
- - Rexall Sundown, Inc. 138,400 1,427
- - Ultratech Stepper, Inc. 88,500 1,427
- - NCI Building Systems, Inc. 77,000 1,424
Roadway Express Inc. 65,800 1,423
AmerUs Life Holdings, Inc. 61,792 1,421
- - Champion Enterprises, Inc. 165,948 1,421
- - Group Maintenance
America Corp. 132,900 1,420
Centex Construction
Products,Inc. 36,400 1,420
- - FSI International, Inc. 123,400 1,419
- - Factory 2-U Stores Inc. 50,000 1,419
- - Guess ?, Inc. 65,200 1,418
- - Palm Harbor Homes, Inc. 78,729 1,417
- - SpeedFam-IPEC, Inc. 109,451 1,416
Arrow International, Inc. 48,800 1,415
- - IHOP Corp. 84,600 1,412
- - Rogers Corp. 36,900 1,411
- - CUNO Inc. 68,150 1,411
- - Medco Research, Inc. 46,900 1,410
- - PAREXEL International Corp. 119,200 1,408
Life Technologies, Inc. 32,950 1,404
Advanta Corp. Class A 76,880 1,403
- - Sola International Inc. 101,100 1,403
- - Modem Media . Poppe Tyson, Inc. 19,900 1,400
- - Forrester Research, Inc. 20,300 1,398
- - Whitehall Jewellers, Inc. 37,900 1,398
- - Atlantic Coast Airlines Holdings 58,800 1,397
- - Aavid Thermal Technologies 56,800 1,395
- - Checkpoint Systems, Inc. 136,900 1,395
Imperial Credit Commercial
Mortgage Investment Corp.
REIT 122,500 1,393
- - Provident American Corp. 39,600 1,393
- - Cellstar Corp. 141,000 1,392
First United Bancshares, Inc. 103,800 1,388
- - 99 Cents Only Stores 36,275 1,388
- - Nuevo Energy Co. 74,000 1,387
ABM Industries 68,000 1,386
- - Mapics Inc. 109,700 1,385
NUI Corp. 52,400 1,382
- - CSK Auto Corp. 78,800 1,379
- - Quiksilver, Inc. 88,900 1,378
- - On Assignment, Inc. 46,100 1,377
Russ Berrie and Co., Inc. 52,300 1,373
- - Trans World Entertainment Corp. 130,650 1,372
- - Dril-Quip, Inc. 45,000 1,367
Arnold Industries, Inc. 96,800 1,361
United Community Financial Corp. 136,900 1,360
Southwest Securities Group, Inc. 49,600 1,358
- - Rent-A-Center, Inc. 68,400 1,355
First Sentinel Bancorp Inc. 173,440 1,355
Stewart & Stevenson
Services, Inc. 114,210 1,353
- - Cadiz Inc. 142,300 1,352
- - NorthEast Optic Network, Inc. 21,600 1,351
GenCorp, Inc. 136,840 1,351
- - Allen Telecom Inc. 116,760 1,350
- - Ryan's Family Steak Houses, Inc. 158,600 1,348
- - Premiere Technologies, Inc. 192,500 1,347
Merchants New York
Bancorporation 78,600 1,346
- - NeoMagic Corp. 122,600 1,341
Excalibur Technologies Corp. 65,000 1,341
- - Net Perceptions, Inc. 31,900 1,340
Brush Wellman, Inc. 79,600 1,338
- - First Consulting Group, Inc. 86,300 1,338
Thomas Industries, Inc. 65,350 1,336
Wabash National Corp. 88,800 1,332
- - U.S. Home Corp. 52,100 1,332
- - Tweeter Home Entertainment
Group, Inc. 37,500 1,331
Oshkosh Truck Corp. 45,400 1,331
- - UTI Energy Corp. 57,700 1,331
- - NEON Systems, Inc. 33,900 1,331
</TABLE>
39
<PAGE> 172
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Inacom Corp. 181,712 $ 1,329
Berry Petroleum Class A 87,800 1,328
Franklin Electric, Inc. 18,900 1,327
- - Veritas DGC Inc. 94,700 1,326
Valmont Industries, Inc. 82,400 1,324
Madison Gas & Electric Co. 65,675 1,322
- - Fossil Inc. 57,100 1,320
- - Hain Food Group, Inc. 59,000 1,320
- - Veterinary Centers of
America, Inc. 102,200 1,316
- - Network Event Theater, Inc. 44,200 1,315
Tennant Co. 40,100 1,313
- - Building One Services Corp. 139,100 1,313
Aaron Rents, Inc. Class B 73,900 1,312
American States Water Co. 36,400 1,310
- - Lone Star Steakhouse &
Saloon, Inc. 146,800 1,310
Dreyer's Grand Ice Cream, Inc. 76,900 1,307
- - Integrated Electrical Services, Inc. 129,900 1,307
- - Battle Mountain Gold Co. Class A 633,600 1,307
- - Heartland Express, Inc. 82,908 1,306
Bandag, Inc. 52,200 1,305
- - Alexander's, Inc. 16,500 1,304
New England Business
Service, Inc. 53,300 1,302
- - Triarc Cos., Inc. Class A 70,800 1,301
- - Henry Schein, Inc. 97,700 1,301
- - NCO Group, Inc. 43,150 1,300
- - First Sierra Financial, Inc. 75,800 1,298
- - Executone Information
Systems, Inc. 238,700 1,298
- - Rent-Way, Inc. 69,300 1,295
WD-40 Co. 58,500 1,294
- - Stericycle, Inc. 68,800 1,294
Glimcher Realty Trust REIT 100,100 1,289
First Financial Corp.-Indiana 31,000 1,287
- - Personnel Group of America, Inc. 126,600 1,282
- - Network Equipment
Technologies, Inc. 108,500 1,282
- - SCP Pool Corp. 49,400 1,281
Cash America International Inc. 131,312 1,280
- - Scott Technologies, Inc. 67,800 1,280
- - Boca Resorts, Inc. Class A 131,100 1,278
- - Sinclair Broadcast Group, Inc. 104,700 1,278
- - Aftermarket Technology Corp. 107,000 1,277
First Financial Bankshares, Inc. 41,470 1,275
PFF Bancorp, Inc. 65,700 1,273
- - US Oncology, Inc. 257,582 1,272
- - The Grand Union Co. 125,600 1,272
- - Hayes Lemmerz International, Inc. 72,900 1,271
Oshkosh B Gosh, Inc. Class A 60,300 1,270
Lilly Industries Inc. Class A 94,250 1,266
- - ITI Technologies, Inc. 42,200 1,266
- - Education Management Corp. 90,400 1,266
- - Ampex Corp. Class A 232,600 1,265
CKE Restaurants Inc. 214,600 1,261
Commonwealth Bancorp 75,800 1,260
Town & Country Trust REIT 70,100 1,257
- - Anchor Gaming 28,900 1,255
The Stride Rite Corp. 192,900 1,254
- - Charles River Associates Inc. 37,400 1,253
- - Oceaneering International, Inc. 83,800 1,252
- - Performance Food Group Co. 51,350 1,252
- - HA-LO Industries, Inc. 166,525 1,249
AREA Bancshares Corp. 50,900 1,247
- - Laser Vision Centers, Inc. 118,000 1,246
- - Central Garden and Pet Co. 120,100 1,246
- - Regeneron Pharmaceuticals, Inc. 97,700 1,246
- - Information Resources, Inc. 134,600 1,245
Analysts International Corp. 99,600 1,245
- - WMS Industries, Inc. 94,700 1,243
- - Systemax Inc. 146,200 1,243
- - Canandaigua Brands, Inc. Class B 22,100 1,242
CTG Resources Inc. 35,700 1,241
Diagnostic Products Corp. 50,600 1,240
Burnham Pacific Properties, Inc.
REIT 132,200 1,239
Liberty Financial Cos., Inc. 54,000 1,239
CVB Financial Corp. 53,290 1,232
- - Ocular Sciences, Inc. 65,200 1,231
Commercial Net Lease Realty
REIT 123,800 1,230
- - Argosy Gaming Co. 79,000 1,229
- - IGEN International, Inc. 41,300 1,229
- - Financial Federal Corp. 53,850 1,228
- - Corixa Corp. 72,200 1,227
National Presto Industries, Inc. 34,500 1,225
Parkway Properties Inc. REIT 42,500 1,225
Mid-America Bancorp 42,951 1,224
EastGroup Properties, Inc. REIT 66,100 1,223
- - American Mobile
Satellite Corp., Inc. 58,000 1,222
- - Musicland Stores Corp. 144,700 1,221
Frontier Financial Corp. 61,000 1,220
- - Avid Technology, Inc. 93,300 1,219
J.B. Hunt Transport Services, Inc. 87,900 1,217
InterWest Bancorp Inc. 63,200 1,217
- - K-V Pharmaceutical Co. Class B 56,750 1,217
- - American Xtal Technology, Inc. 69,700 1,215
CNA Surety Corp. 93,400 1,214
Computer Task Group, Inc. 81,900 1,213
- - Ziff-Davis Inc. - ZDNet 57,700 1,212
- - Amerco, Inc. 48,420 1,210
St. Mary Land & Exploration Co. 48,840 1,209
Oneida Ltd. 55,535 1,208
Kaman Corp. Class A 93,800 1,208
- - School Specialty, Inc. 79,800 1,207
Baldwin & Lyons, Inc. Class B 54,500 1,206
- - SVI Holdings, Inc. 100,400 1,205
- - Albany International Corp. 77,684 1,204
AMLI Residential Properties
Trust REIT 59,600 1,203
- - Players International, Inc. 146,300 1,202
- - e.spire Communications, Inc. 206,700 1,201
Pultizer, Inc. 29,800 1,201
Grey Advertising, Inc. 3,000 1,200
- - Genesco, Inc. 92,300 1,200
- - Robert Mondavi Corp. Class A 34,400 1,195
- - Griffon Corp. 153,000 1,195
Omnova Solutions Inc. 154,100 1,194
- - Specialty Equipment Cos., Inc. 49,700 1,190
- - Organogenesis, Inc. 136,792 1,188
</TABLE>
40
<PAGE> 173
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Rare Hospitality International Inc. 54,900 $ 1,188
OceanFirst Financial Corp. 68,600 1,188
Owens & Minor, Inc. Holding Co. 132,837 1,187
Circle International Group, Inc. 53,300 1,186
Winnebago Industries, Inc. 59,100 1,186
- - Laboratory Corp. of America 320,652 1,182
- - Career Education Corp. 30,800 1,182
- - Renaissance Worldwide, Inc. 160,000 1,180
- - Carey International, Inc 48,400 1,180
- - Columbia Laboratories Inc. 157,100 1,178
- - TenFold Corp. 29,500 1,178
Deltic Timber Corp. 53,800 1,177
- - National Discount Brokers
Group, Inc. 44,600 1,176
- - United Payors &
United Providers, Inc. 71,000 1,176
- - DBT Online Inc. 48,200 1,175
- - SalesLogix Corp. 28,600 1,174
Innkeepers USA Trust REIT 143,300 1,173
- - The Children's Place Retail
Stores, Inc. 71,300 1,172
- - Salton, Inc. 35,000 1,170
- - Bright Horizons Family
Solutions, Inc. 62,400 1,170
- - Novoste Corp. 70,900 1,170
- - Biomatrix, Inc. 60,700 1,168
Standard Pacific Corp. 106,200 1,168
Sterling Bancshares, Inc. 104,200 1,166
Premier National Bancorp, Inc. 63,100 1,163
Ryerson Tull, Inc. 59,647 1,159
- - Syncor International Corp. 39,800 1,159
Mills Corp. REIT 64,747 1,157
- - Trammell Crow Co. 99,250 1,154
Universal Forest Products, Inc. 78,000 1,150
- - BOK Financial Corp. 56,944 1,150
- - HS Resources Inc. 66,500 1,147
Barnes Group, Inc. 70,300 1,147
- - Triumph Group, Inc. 47,400 1,146
Omega Financial Corp. 39,500 1,146
GBC Bancorp 59,300 1,145
- - iVillage Inc. 56,500 1,144
Ventas, Inc. REIT 273,000 1,143
- - Cyberonics, Inc. 71,700 1,143
Lindsay Manufacturing Co. 62,495 1,141
Great Lakes, Inc. REIT 79,300 1,140
- - McMoRan Exploration Co. 53,900 1,139
- - Brooktrout Technology, Inc. 61,300 1,138
Bank of Granite Corp. 52,918 1,138
Oriental Financial Group 51,566 1,138
R.L.I. Corp. 33,450 1,137
- - Tyler Technologies, Inc. 206,500 1,136
- - First Republic Bank 48,300 1,135
- - Value City Department Stores, Inc. 75,000 1,134
- - Nortek, Inc. 40,500 1,134
- - Fairchild Corp. 124,608 1,129
- - Astec Industries, Inc. 60,000 1,129
- - OneMain.com, Inc. 75,100 1,126
Intermet Corp. 96,700 1,124
Morrison Management
Specialists, Inc. 52,000 1,121
First Source Corp. 44,834 1,121
- - Cal Dive International, Inc. 33,800 1,120
- - Auspex Systems, Inc. 109,200 1,119
Pittston BAX Group 105,200 1,118
Rollins, Inc. 74,500 1,118
Capital Automotive REIT 91,600 1,116
- - Marketing Services Group, Inc. 66,600 1,116
The Dress Barn, Inc. 67,000 1,114
Tejon Ranch Co. 46,900 1,114
- - Launch Media, Inc. 58,800 1,114
- - Province Healthcare Co. 58,600 1,113
- - ParkerVision, Inc. 36,200 1,113
South Jersey Industries, Inc. 39,136 1,113
Seacoast Financial
Services Corp. 109,200 1,112
- - Kaiser Aluminum &
Chemical Corp. 144,500 1,111
First Federal Capital Corp. 75,900 1,110
- - Dura Automotive Systems, Inc. 63,535 1,108
- - DuPont Photomasks, Inc. 22,900 1,105
Urban Shopping Centers, Inc.
REIT 40,700 1,104
- - URS Corp. 50,800 1,102
Simpson Industries, Inc. 97,800 1,100
- - Wesco International, Inc. 123,500 1,096
- - Ivex Packaging Corp. 109,600 1,096
Thor Industries, Inc. 36,000 1,096
- - Landry's Seafood
Restaurants, Inc. 125,800 1,093
Student Loan Corp. 21,900 1,092
Curtiss-Wright Corp. 29,600 1,091
- - Impath, Inc. 42,900 1,091
- - IMRglobal Corp. 86,800 1,090
Reckson Associates Realty Corp.
Class B REIT 47,256 1,087
- - Data Broadcasting Corp. 131,500 1,085
- - AMF Bowling, Inc. 347,152 1,085
- - Billing Concepts Corp. 166,600 1,083
- - CDI Corp. 44,800 1,081
Community Trust Bancorp Inc. 53,926 1,079
LandAmerica Financial
Group, Inc. 58,500 1,075
- - Local Financial Corp. 103,500 1,074
- - Boise Cascade Office
Products Corp. 71,500 1,073
- - First Federal Financial Corp. 76,250 1,072
- - Genlyte Group, Inc. 50,100 1,071
- - M.S. Carriers, Inc. 44,800 1,070
- - hi/fn, inc. 27,600 1,070
Skyline Corp. 45,500 1,069
- - Friede Goldman Halter, Inc. 153,715 1,066
- - Read Rite Corp. 224,500 1,066
Myers Industries, Inc. 67,646 1,065
Grand Premier Financial, Inc. 71,905 1,065
- - Priority Healthcare Corp. Class A 36,757 1,064
Standex International Corp. 50,800 1,064
RFS Hotel Investors, Inc. REIT 101,600 1,060
- - Guitar Center, Inc. 105,300 1,060
Burlington Coat Factory
Warehouse Corp. 76,240 1,058
</TABLE>
41
<PAGE> 174
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Advanced Communications
Group, Inc. 77,600 $ 1,057
John Nuveen Co. Class A 29,300 1,057
Capstead Mortgage Corp. REIT 251,600 1,054
- - Shop At Home, Inc. 106,000 1,053
IRT Property Co. REIT 134,698 1,052
- - Amdocs Ltd. 30,498 1,052
- - The IT Group, Inc. 114,400 1,051
West Coast Bancorp 77,780 1,050
- - CACI International, Inc. 46,400 1,050
- - Columbia Sportswear Co. 48,800 1,049
Brown Shoe Company, Inc. 74,200 1,048
Harleysville National Corp. 32,232 1,048
- - Metals USA, Inc. 123,175 1,047
- - Swift Energy Co. 91,020 1,047
East West Bancorp, Inc. 91,500 1,047
- - Pervasive Software Inc. 61,700 1,045
First Financial Holdings, Inc. 65,300 1,045
Park Electrochemical Corp. 39,200 1,041
- - Startek, Inc. 28,700 1,040
Analogic Corp. 31,500 1,039
Riggs National Corp. 78,800 1,039
National Golf Properties, Inc. REIT 52,600 1,039
- - CB Richard Ellis Services, Inc. 83,829 1,037
Center Trust, Inc. REIT 107,000 1,037
Luby's, Inc. 91,100 1,036
- - Acuson Corp. 82,450 1,036
- - Intergraph Corp. 220,200 1,032
- - 7-Eleven, Inc. 578,500 1,030
- - Pacific Gateway Exchange, Inc. 60,300 1,029
Sandy Spring Bancorp, Inc. 38,100 1,029
Arctic Cat, Inc. 102,800 1,028
- - Respironics, Inc. 128,891 1,027
- - Volt Information Sciences Inc. 42,900 1,024
Mine Safety Appliances Co. 16,000 1,024
Omega Healthcare Investors, Inc.
REIT 80,700 1,024
Equity Inns, Inc. REIT 151,600 1,023
- - Fritz Cos., Inc. 97,400 1,023
SJW Corp. 8,500 1,022
- - Budget Group, Inc. 112,700 1,021
- - Westell Technologies, Inc. 95,000 1,021
CPI Corp. 45,200 1,020
- - Epicor Software Corp. 201,290 1,019
- - Championship Auto Racing
Teams, Inc. 44,300 1,019
- - PLX Technology, Inc. 53,800 1,019
First Indiana Corp. 46,820 1,018
NBT Bancorp, Inc. 65,697 1,018
- - AirTran Holdings, Inc. 224,500 1,017
- - CompuCom Systems, Inc. 246,600 1,017
- - Morrison Knudsen Corp. 130,000 1,016
- - Sunrise Assisted Living, Inc. 73,700 1,013
Chemed Corp. 35,400 1,013
- - AppliedTheory Corp. 36,500 1,013
- - Friedman, Billings, Ramsey
Group, Inc. 128,400 1,011
Watsco, Inc. 87,350 1,010
Justin Industries, Inc. 67,750 1,008
- - Neurogen Corp. 61,000 1,007
- - Ocwen Financial Corp. 160,700 1,004
The Ackerley Group, Inc. 55,400 1,004
- - Parker Drilling Co. 314,700 1,003
- - Cort Business Services Corp. 57,400 1,001
- - JAKKS Pacific, Inc. 53,550 1,001
Calgon Carbon Corp. 168,500 1,000
Robbins & Myers, Inc. 44,178 1,000
Zenith National Insurance Corp. 48,400 998
Medallion Financial Corp. 55,600 997
Watts Industries Class A 67,600 997
Prime Retail, Inc. REIT 177,199 997
Ethyl Corp. 252,500 994
Coachmen Industries, Inc. 65,700 994
- - Magnatek 129,200 993
JP Realty Inc. REIT 63,400 991
Landauer, Inc. 45,200 989
The Standard Register Co. 51,000 988
U.S. Restaurant Properties, Inc.
REIT 68,900 986
Harleysville Group, Inc. 69,200 986
Kansas City Life Insurance Co. 29,160 984
- - Basin Exploration Inc. 55,800 983
Lance, Inc. 98,300 983
- - Pegasystems Inc. 87,300 982
- - Plains Resources 78,500 981
Charter Municipal Mortgage
Acceptance Co. 83,500 981
Dime Community Bancshares, Inc. 53,000 981
- - Bio-Rad Laboratories, Inc. Class A 41,900 979
- - Res-Care, Inc. 76,800 979
- - Boyd Gaming Corp. 168,200 978
- - Esterline Technologies Corp. 84,400 976
First Charter Corp. 65,600 976
Phillips-Van Heusen Corp. 117,200 974
Harbor Florida Bancshares, Inc. 75,284 974
LTC Properties, Inc. REIT 115,100 971
- - Aviation Sales Co. 58,800 970
- - Consolidated Products Inc. 95,799 970
Irwin Financial Corp. 54,400 969
General Cable Corp. 128,050 968
- - Stoneridge,Inc. 62,600 966
- - Offshore Logistics, Inc. 103,000 966
- - Centennial Bancorp 89,764 965
- - Acclaim Entertainment Inc. 187,900 963
City Holding Co. 68,710 962
Arch Coal, Inc. 85,000 962
Primex Technologies, Inc. 46,200 959
Sovran Self Storage, Inc. REIT 50,600 958
- - Metromedia International
Group, Inc. 201,700 958
- - Metro Information Services, Inc. 39,900 958
- - Chattem, Inc. 50,200 954
- - Twinlab Corp. 120,000 953
- - Theragenics Corp. 105,100 952
Central Parking Corp. 49,700 951
Western Gas Resources, Inc. 72,000 950
Corus Bankshares Inc. 39,500 948
- - Federal Agricultural
Mortgage Corp. 46,950 948
Wynn's International Inc. 67,050 947
</TABLE>
42
<PAGE> 175
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Evergreen Resources, Inc. 47,900 $ 946
Chiquita Brands
International, Inc 199,100 946
Rock-Tenn Co. 63,960 943
Bassett Furniture Industries, Inc. 58,725 940
IMCO Recycling, Inc. 74,400 939
Entertainment Properties Trust
REIT 71,200 939
Interface, Inc. 162,600 935
- - 3Dfx Interactive, Inc. 95,200 934
- - Per-Se Technologies, Inc. 110,816 932
- - Hanger Orthopedic Group, Inc. 93,100 931
- - ITT Educational Services, Inc. 59,900 925
Haverty Furniture Cos., Inc. 73,200 924
Schweitzer-Mauduit
International, Inc. 68,700 923
- - Scientific Games Holdings Corp. 55,700 923
- - Chico's Fas, Inc. 24,500 922
- - Maxxam Inc. 21,500 922
International Multifoods Corp. 69,500 921
- - Syntel, Inc. 56,875 921
- - Electric Lightwave, Inc. Class A 49,100 921
LaSalle Hotel Properties REIT 78,700 920
Boykin Lodging Co. REIT 84,000 919
- - Alpine Group, Inc. 71,300 918
- - QuadraMed Corp. 105,200 917
F & M Bancorp 45,259 916
Gibraltar Steel 39,150 915
CONSOL Energy, Inc. 90,200 913
- - Discount Auto Parts Inc. 50,400 910
Western Properties Trust REIT 95,000 908
Gray Communications
Systems, Inc. 51,200 906
Thornburg Mortgage Asset Corp.
REIT 109,600 904
- - Imperial Credit 144,264 902
- - Electro Rent Corp. 77,558 902
- - U.S. Plastic Lumber Corp. 117,100 900
- - Steinway Musical
Instruments Inc. 44,400 899
- - Flycast Communications Corp. 6,900 897
- - Input/Output, Inc. 177,100 897
Westcorp, Inc. 61,700 895
- - P.F. Chang's China Bistro, Inc. 35,900 893
- - Comfort Systems USA, Inc. 121,000 892
- - Alterra Healthcare Corp. 106,900 889
Trenwick Group Inc. 52,450 888
- - SLI, Inc. 65,375 887
- - The Kroll-O'Gara Co. 53,700 886
American Business
Products, Inc. 75,600 884
- - Chesapeake Energy Corp. 370,780 881
Sturm, Ruger & Co., Inc. 99,200 880
- - GelTex Pharmaceuticals, Inc. 68,400 876
- - National R. V. Holdings, Inc. 45,500 876
- - Consolidated Graphics, Inc. 58,600 875
Pennsylvania REIT 60,000 874
- - Burlington Industries, Inc. 217,500 870
- - Komag, Inc. 278,400 870
- - Wellsford Real Properties Inc.
REIT 102,300 870
First Washington Bancorp, Inc. 58,800 867
Farmer Brothers, Inc. 5,450 867
Churchill Downs, Inc. 38,400 866
- - Magellan Health Services, Inc. 137,100 865
- - Group 1 Automotive, Inc. 62,000 864
Commercial Intertech Corp. 67,650 863
- - StaffMark, Inc. 113,900 861
- - Lason Holdings, Inc. 78,200 860
- - Stein Mart, Inc. 151,200 860
- - Franklin Covey Co. 114,200 857
- - Aeroflex, Inc. 82,500 856
Semco Energy Inc. 72,285 854
United Fire & Casualty Co. 37,725 854
- - Consolidated Freightways Corp. 107,300 852
- - Coinstar, Inc. 60,800 851
- - Staff Leasing,Inc. 89,300 848
Resource America, Inc. 107,700 848
Brooke Group Ltd. 56,710 847
- - Pharmaceutical Product
Development, Inc. 71,271 846
- - Castle & Cooke Inc. 66,700 846
- - NextCard, Inc. 29,300 846
- - The Source Information
Management Co. 50,300 843
- - Oakley, Inc. 151,400 842
- - Chirex, Inc. 57,500 841
Mississippi Chemical Corp. 135,765 840
National Steel Corp. Class B 112,900 840
- - Mechanical Technology Inc. 36,100 839
Independent Bank Corp. 67,100 839
L. S. Starrett Co. Class A 37,300 837
- - Data Transmission Network Corp. 48,500 837
Brenton Banks, Inc. 82,318 833
Southwestern Energy Co. 127,000 833
Alabama National
BanCorporation 44,000 831
Vital Signs, Inc. 36,300 830
- - Aviron 52,500 830
- - Hamilton Bancorp, Inc. 46,700 829
- - ACX Technologies Inc. 77,500 828
- - New Century Financial Corp. 52,500 827
Gentek, Inc. 79,100 826
- - General Communication, Inc. 188,500 825
Republic Group Inc. 54,500 824
- - EMCOR Group, Inc. 45,100 823
- - Bombay Co. 182,700 822
Banco Santander Puerto Rico 52,900 817
- - pcOrder.com, Inc. 15,900 811
Simmons First National 32,400 810
- - Unigraphics Solutions Inc. 29,900 807
North Pittsburgh Systems, Inc. 54,600 805
Oregon Steel Mills, Inc. 101,400 805
BSB Bancorp, Inc. 41,750 804
- - ISIS Pharmaceuticals, Inc. 128,500 803
US Bancorp, Inc. 68,099 800
- - Insignia Financial Group, Inc. 92,100 800
Stewart Information
Services Corp. 60,100 800
- - Cyberian Outpost, Inc. 80,200 797
- - DVI, Inc. 51,800 787
</TABLE>
43
<PAGE> 176
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Superior National Insurance
Group, Inc. 104,000 $ 787
Lawson Products, Inc. 34,000 786
- - BE Avionics Inc. 92,700 782
- - Corinthian Colleges, Inc. 32,700 781
- - UniCapital Corp. 211,600 780
UniFirst Corp. 61,800 780
- - Mesaba Holdings, Inc. 68,050 778
Freedom Securities Corp. 69,100 777
- - United Auto Group, Inc. 86,900 777
- - Trans World Airlines 275,100 774
Innovex, Inc. 82,300 772
American Annuity Group Inc. 42,800 770
Wackenhut Corp. 51,500 769
Golf Trust of America, Inc. REIT 45,400 769
- - Vlasic Foods International, Inc. 134,900 767
- - GC Cos. 29,650 767
Advest Group, Inc. 41,700 766
BankAtlantic Bancorp, Inc.
Class B 149,200 765
- - Wolverine Tube, Inc. 54,000 763
- - International Specialty
Products, Inc. 82,800 761
- - Beyond.com Corp. 97,200 759
BancFirst Corp. 22,358 759
- - CyberCash, Inc. 81,800 757
- - Knight Transportation, Inc. 44,100 755
- - National Equipment Services, Inc. 120,600 754
Enesco Group, Inc. 68,100 753
Redwood Trust, Inc. REIT 60,200 753
- - CSS Industries, Inc. 35,100 750
Associated Estates Realty Corp.
REIT 96,000 750
Tanger Factory Outlet Centers, Inc.
REIT 36,100 749
- - American Axle &
Manufacturing Holdings, Inc. 61,600 747
- - Sierra Health Services 111,200 744
- - Silgan Holdings, Inc. 55,600 744
- - Aurora Foods Inc. 79,700 742
Prime Group Realty Trust REIT 48,800 741
- - Fatbrain.com Inc. 29,500 739
Stone & Webster, Inc. 43,900 738
Brookline Bancorp, Inc. 75,600 737
Century South Banks, Inc. 32,900 736
- - Mesa Air Group Inc. 154,800 735
- - WetSeal, Inc. Class A 60,000 735
- - Waste Connections, Inc. 50,800 733
Cubic Corp. 33,500 733
- - The Ashton Technology
Group, Inc. 113,700 732
Strayer Education, Inc. 37,050 732
- - Burns International Services Corp. 67,400 729
- - National Western Life
Insurance Co. Class A 10,600 727
Flagstar Bancorp, Inc. 42,100 726
MTS Systems Corp. 93,700 726
BMC Industries, Inc. 148,900 726
- - TransMontaigne Inc. 103,500 725
MMI Cos., Inc. 83,900 724
- - Osteotech, Inc. 54,100 724
- - A.S.V., Inc. 53,100 723
- - OnHealth Network Co. 80,900 723
Apogee Enterprises, Inc. 142,700 722
Crown American Realty Trust
REIT 130,800 719
- - LaserSight Inc. 71,700 717
- - Serologicals Corp. 119,050 714
- - PictureTel Corp. 165,400 713
- - Octel Corp. 68,375 709
- - ABC-NACO, INC. 85,900 709
- - Duramed Pharmaceuticals, Inc. 99,400 708
- - autobytel.com inc. 46,500 706
- - United Natural Foods, Inc. 58,700 704
- - EEX Corp. 239,466 703
- - The Buckle, Inc. 47,300 701
- - Sunrise Medical, Inc. 113,200 700
Standard Motor Products, Inc. 43,400 700
- - PubliCARD, Inc. 106,500 699
Oxford Industries, Inc. 35,200 697
- - The Gymboree Corp. 123,800 696
- - Miller Industries, Inc. 241,250 694
- - Action Performance Cos., Inc. 60,200 692
A.M. Castle & Co. 57,725 685
- - American Retirement Corp. 85,900 682
- - Risk Capital Holdings, Inc. 53,900 680
- - Earthshell Corp. 164,500 679
- - David's Bridal Inc. 60,100 672
- - bebe stores, inc. 24,900 672
Watkins-Johnson Co. 16,800 672
- - Arcadia Financial Ltd. 150,500 668
- - Applied Graphics
Technologies, Inc. 77,300 667
Heilig-Meyers Co. 240,400 661
- - Latitude Communications, Inc. 25,300 661
- - Lithia Motors, Inc. 36,600 654
- - Echelon Corp. 33,400 653
Coca-Cola Bottling Co. 13,622 645
Sterling Financial Corp. 20,750 643
Guilford Mills, Inc. 88,700 643
Dimon Inc. 196,800 640
- - LCA-Vision, Inc. 136,000 638
- - RTI International Metals 85,000 638
- - FPIC Insurance Group, Inc. 38,200 637
- - PICO Holdings, Inc. 51,500 634
Philadelphia Consolidated
Holding Corp. 43,700 634
K-Swiss, Inc. 34,100 634
- - U S Liquids Inc. 75,600 633
- - NationsRent, Inc. 112,500 633
- - Spiegel, Inc. Class A 90,000 633
Nature's Sunshine Inc. 78,982 632
- - Kellstrom Industries, Inc. 69,100 631
Columbus McKinnon Corp. 62,200 630
- - eShare Technologies, Inc. 36,800 628
Second Bancorp, Inc. 27,900 624
- - Seitel, Inc. 91,200 616
- - CDnow Inc. 62,121 613
- - Aviall Inc. 74,875 613
- - Algos Pharmaceutical Corp. 55,500 611
- - Tractor Supply Co. 38,000 608
- - Lydall, Inc. 91,600 607
</TABLE>
44
<PAGE> 177
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Getty Realty Holding Corp. 54,100 $ 605
- - Coleman Inc. 64,900 604
Northwest Bancorp, Inc. 86,600 601
- - ACT Networks, Inc. 64,500 601
- - The Meridian Resource Corp. 194,844 597
Oakwood Homes Corp. 186,700 595
Titan International, Inc. 91,500 595
Superior Telecom Inc. 38,443 593
- - AMC Entertainment, Inc. 68,400 590
- - Thermo Cardiosystems Inc. 89,600 588
Fedders Corp. 106,700 587
- - Wackenhut Corrections Corp. 49,500 579
Interpool, Inc. 77,450 576
- - PhyCor, Inc. 306,100 574
- - Fidelity Holdings, Inc. 30,300 574
- - J & J Snack Foods Corp. 27,600 566
- - Schein Pharmaceutical, Inc. 46,500 564
- - Jo-Ann Stores, Inc. Class A 49,300 555
- - OEA, Inc. 113,300 552
General Binding Corp. 46,900 551
- - Goody's Family Clothing 102,300 550
- - Closure Medical Corp. 42,700 550
- - Superior Consultant Holdings Corp. 38,500 549
- - Pediatrix Medical Group, Inc. 77,800 545
- - Engineering Animation, Inc. 62,100 543
- - HomeBase, Inc. 177,200 543
- - Wavo Corp. 139,600 541
Saul Centers, Inc. REIT 38,300 539
RPC Inc. 93,600 538
- - General Cigar Holdings, Inc. 64,100 533
Exide Corp. 64,000 532
- - Cotelligent, Inc. 97,800 526
- - ThermoQuest Corp. 50,200 518
- - SS&C Technologies, Inc. 79,500 517
- - Advantage Learning
Systems, Inc. 46,100 516
Herbalife International Class A 35,800 515
- - U.S. Office Products Co. 164,600 514
- - AgriBioTech, Inc. 216,300 514
Rouge Industries Inc. 65,200 513
- - Service Experts, Inc. 88,100 512
- - Donna Karan International Inc. 77,600 509
Value Line, Inc. 14,100 508
- - uBid, Inc. 19,100 506
- - Merisel, Inc. 384,500 505
- - Pharmaceutical Resources, Inc. 100,800 498
- - iTurf Inc. 40,000 498
Hudson River Bancorp. Inc. 48,900 495
- - AEP Industries, Inc. 19,100 492
- - Coldwater Creek Inc. 23,800 488
- - Acceptance Insurance Cos. Inc. 83,800 487
- - Finish Line, Inc. 88,700 482
First Commerce Bancshares Inc.
Class B 24,272 478
Avado Brands, Inc. 112,250 474
- - NPC International Class A 59,700 470
- - RWD Technologies, Inc. 45,300 470
Chart Industries, Inc. 117,450 470
- - Hexcel Corp. 84,000 467
Pilgrim's Pride Corp. 56,200 467
- - Credit Acceptance Corp. 126,600 467
- - West Marine, Inc. 56,500 466
- - Bacou USA Inc. 30,800 464
- - Amtran, Inc. 23,900 463
- - MacroChem Corp. 110,080 461
- - Cornell Corrections, Inc. 54,600 457
- - IRI International Corp. 114,200 457
- - Keystone Automotive
Industries, Inc. 77,700 456
- - JLK Direct Distribution Inc.
Class A 43,800 452
- - Republic Bancshares, Inc. 36,100 451
- - Syntroleum Corp. 55,500 451
- - Mediconsult.com, Inc. 70,800 443
- - Hemispherx Biopharma, Inc. 44,300 440
Frontier Insurance Group, Inc. 125,732 432
- - Select Comfort Corp. 106,200 431
- - Carmike Cinemas, Inc. Class A 54,400 425
- - Learn2.com Inc. 128,400 421
Capital City Bank Group, Inc. 19,400 417
Seaboard Corp. 2,130 414
Harris Financial, Inc. 54,900 412
Titanium Metals Corp. 90,600 408
- - Berlitz International, Inc. 23,700 407
- - Kenneth Cole Productions, Inc. 8,900 407
- - Creative Computers, Inc. 55,600 407
- - Eclipse Surgical
Technologies, Inc. 54,000 39
- - Marvel Enterprises Inc. 71,400 393
- - MarketWatch.com, Inc. 10,600 387
- - Dave & Busters 46,400 380
- - Belco Oil & Gas Corp. 68,900 379
- - Tarrant Apparel Group, Inc. 39,000 375
- - dELiA*s Inc. 51,700 375
- - Carriage Services, Inc. 62,900 373
- - U.S. Xpress Enterprises, Inc. 50,600 373
- - Media Metrix, Inc. 10,200 365
- - Racing Champions Corp. 80,500 357
BancFirst Ohio Corp. 15,200 350
Michigan Financial Corp. 12,673 349
Fedders Corp. Class A 67,612 347
MGI Properties, Inc. REIT 65,900 346
Resource Bancshares
Mortgage Group, Inc. 76,100 345
- - Capital Senior Living Corp. 68,100 345
- - Jo-Ann Stores, Inc. Class B 33,900 341
- - Manhattan Associates, Inc. 45,900 339
Terra Industries, Inc. 206,400 335
- - CHS Electronics, Inc. 296,800 334
- - Catapult Communications Corp. 33,200 330
- - INSpire Insurance Solutions, Inc. 70,100 322
- - Harken Energy Corp. 425,700 319
Andover Bancorp, Inc. 11,400 319
- - Careerbuilder, Inc. 49,500 319
- - Applied Analytical Industries, Inc. 34,600 316
- - Gliatech Inc. 18,700 311
- - Creditrust Corp. 40,300 310
FCNB Corp. 20,300 310
- - Maxwell Technologies, Inc. 30,200 302
- - theglobe.com, inc. 35,800 300
LSI Industries Inc. 13,800 298
- - Paging Network, Inc. 365,300 297
</TABLE>
45
<PAGE> 178
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Herbalife International Class B 22,134 $ 296
- - eFax.com, Inc. 39,600 286
First Busey Corp. 12,600 285
- - Omega Research, Inc. 47,400 284
- - NCS HealthCare, Inc. 116,321 280
Peoples Holding Co. 9,400 271
- - Mannatech, Inc. 51,700 268
- - Amresco, Inc. 189,400 266
- - Mpath Interactive, Inc. 9,700 258
- - FiNet.com, Inc. 195,700 257
- - e4L, Inc. 101,400 254
- - Autoweb.com, Inc. 22,900 249
- - FlashNet Communications, Inc. 38,000 235
- - U.S. Franchise Systems, Inc.
Class A 51,800 233
- - Protection One, Inc. 118,500 230
- - Family Golf Centers, Inc. 161,000 226
- - CareMatrix Corp. 87,700 219
- - Valley Media, Inc. 30,700 215
- - Alaris Medical, Inc. 110,800 208
- - Trex Medical Corp. 72,700 204
First Commerce Bancshares Inc.
Class A 8,900 198
- - CellNet Data Systems, Inc. 175,300 197
NCH Corp. 4,400 196
- - Advantica Restaurant Group, Inc. 105,100 184
CPB, Inc. 6,400 182
- - Value America, Inc. 35,400 179
Mississippi Valley
Bancshares, Inc. 6,000 162
- - Penn Treaty Americ n Corp. 10,200 161
Ingles Markets, Inc. 14,200 158
CompX International Inc. 8,500 156
- - Prism Financial Corp. 27,600 155
Deb Shops, Inc. 8,300 154
- - Direct Focus, Inc. 5,500 153
Conning Corp. 17,200 142
- - Towne Services, Inc. 35,400 142
Cascade Natural Gas Corp. 8,300 134
BankAtlantic Bancorp, Inc.
Class A 32,066 132
Pilgrim's Pride Corp. Class A 20,350 131
Harmon Industries, Inc. 9,300 113
- - Harnischfeger Industries Inc. 272,100 111
- - K-V Pharmaceutical Co. Class A 5,000 110
- - NetObjects Inc. 5,900 97
Dover Downs Entertainment, Inc. 5,000 94
- - Thermo Optek Corp. 7,900 90
Pillowtex Designs 14,400 89
R & G Financial Corp. Class B 7,000 81
- - Proxymed Pharmacy, Inc. 8,000 78
McGrath Rent Corp. 3,800 67
- - Cheap Tickets, Inc. 4,800 66
- - Unistar Financial Service Corp. 65,300 65
Farmers Capital Bank Corp. 2,000 60
Republic Bancorp, Inc. Class A 6,400 55
- - BriteSmile, Inc. 5,800 47
- - O'Sullivan Industries
Holdings, Inc. 12% Pfd. 79,800 41
- - Hub Group, Inc. 2,000 40
- - Neff Corp. 6,000 38
Wackenhut Corp. Class B 3,656 38
- - Just for Feet, Inc. 148,450 37
- - ContiFinancial Corp. 143,800 34
- - AHL Services, Inc. 1,500 31
First Washington Realty Trust, Inc.
REIT 1,500 28
Anchor Financial Corp. 1,000 28
Virco Manufacturing Corp. 2,000 26
Great Southern Bancorp, Inc. 1,000 22
- - ProcureNet, Inc. 136,100 20
- - Integrated Health Services, Inc. 202,000 18
J.M. Smucker Co. Class B 1,000 16
- - CSF Holdings Inc.
Contingent Litigation Rights 29,125 15
- - PSINet, Inc. 142 9
- - Sabratek Corp. 78,200 6
- - United Cos. Finance Corp. 74,602 4
- --------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $3,365,520) 3,953,813
- --------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (4.9%)(1)
- --------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 5.54%, 1/19/2000 $ 3,000 2,993
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 38,496 38,496
3.47%, 1/3/2000--Note G 151,600 151,600
- --------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $193,089) 193,089
- --------------------------------------------------------------
TOTAL INVESTMENTS (104.5%)
(COST $3,558,609) 4,146,902
- --------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-4.5%)
- --------------------------------------------------------------
Other Assets--Note B 17,871
Security Lending Collateral
Payable to Brokers--Note G (151,600)
Other Liabilities (45,380)
----------
(179,109)
- --------------------------------------------------------------
NET ASSETS (100%) $3,967,793
==============================================================
</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 4.6%, respectively, of net assets.
See Note F in Notes to Financial Statements.
(2) Security segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
46
<PAGE> 179
<TABLE>
<CAPTION>
- --------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------
<S> <C>
Paid in Capital $3,343,584
Overdistributed Net Investment Income (1,513)
Accumulated Net Realized Gains 37,017
Unrealized Appreciation--Note F
Investment Securities 588,293
Futures Contracts 412
- --------------------------------------------------------------
NET ASSETS $3,967,793
==============================================================
Investor Shares--Net Assets
Applicable to 150,533,437 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $3,553,097
- --------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $23.60
==============================================================
Institutional Shares--Net Assets
Applicable to 17,567,559 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $414,696
- --------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $23.61
==============================================================
</TABLE>
47
<PAGE> 180
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
SMALL-CAP GROWTH VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
COMMON STOCKS (99.8%)
- --------------------------------------------------------------
<S> <C> <C>
- - IDEC Pharmaceuticals Corp. 35,100 $ 3,449
- - Mercury Interactive Corp. 31,800 3,432
- - Macromedia, Inc. 41,200 3,013
- - Whittman-Hart, Inc. 46,900 2,515
- - RSA Security Inc. 31,900 2,472
- - Clarify, Inc. 19,600 2,470
- - HNC Software, Inc. 20,300 2,147
- - C-Cube Microsystems, Inc. 33,600 2,092
- - Valassis Communications, Inc. 46,800 1,977
- - Micrel, Inc. 34,200 1,947
- - Lattice Semiconductor Corp. 40,200 1,894
Expeditors International of
Washington, Inc. 41,800 1,831
True North Communications 39,900 1,783
SEI Corp. 14,700 1,750
- - Catalina Marketing Corp. 15,100 1,748
- - Xircom, Inc. 23,300 1,748
CTS Corp. 22,800 1,719
- - CommScope, Inc. 42,100 1,697
- - Gentex Corp. 60,700 1,684
- - Burr-Brown Corp. 45,950 1,660
- - National Instruments Corp. 41,400 1,584
- - Aspect Communications Corp. 40,200 1,573
Jones Pharma, Inc. 35,850 1,557
Dallas Semiconductor Corp. 23,900 1,540
- - Oak Industries, Inc. 14,300 1,518
- - Zebra Technologies Corp. Class A 25,900 1,515
- - KEMET Corp. 32,900 1,483
- - BISYS Group, Inc. 22,600 1,475
- - INCYTE Pharmaceuticals, Inc. 23,600 1,416
- - Vicor Corp. 34,100 1,381
- - Ciber, Inc. 49,000 1,347
- - Cognex Corp. 34,300 1,338
- - Digital Microwave Corp. 56,300 1,320
U.S. Trust Corp. 15,400 1,235
- - Visio Corp. 25,200 1,197
- - Patterson Dental Co. 27,900 1,189
- - QRS Corp. 11,300 1,187
- - Technology Solutions Co. 35,500 1,163
- - Remedy Corp. 24,000 1,137
Eaton Vance Corp. 29,700 1,129
- - Hyperion Solutions Corp. 25,800 1,122
- - Dendrite International, Inc. 32,350 1,096
- - Protein Design Labs, Inc. 15,500 1,085
Ethan Allen Interiors, Inc. 33,750 1,082
- - The Profit Recovery Group
International, Inc. 40,700 1,081
Hudson United Bancorp 42,218 1,079
- - Proxim, Inc. 9,800 1,078
- - Black Box Corp. 16,000 1,072
- - American Management
Systems, Inc. 33,800 1,060
- - Verity, Inc. 24,700 1,051
FactSet Research Systems Inc. 13,050 1,039
- - Harbinger Corp. 32,400 1,031
- - Eagle USA Airfreight, Inc. 23,900 1,031
- - ChoicePoint Inc. 24,700 1,022
MacDermid, Inc. 24,600 1,010
- - MICROS Systems, Inc. 13,600 1,006
- - Whole Foods Market, Inc. 21,700 1,006
National Computer Systems, Inc. 26,700 1,005
- - Adaptive Broadband Corp. 13,400 989
Arthur J. Gallagher & Co. 15,200 984
- - Project Software &
Development, Inc. 17,700 982
- - Plantronics, Inc. 13,700 980
- - Linens 'n Things, Inc. 33,000 978
- - Powerwave Technologies, Inc. 16,700 975
- - C-COR Electronics, Inc. 12,700 973
- - Copart, Inc. 22,200 966
- - TALK.com, Inc. 54,100 960
- - Great Plains Software, Inc. 12,800 957
Methode Electronics, Inc. Class A 29,700 954
- - Scotts Co. 23,600 950
Roper Industries Inc. 25,100 949
Commerce Bancorp, Inc. 23,458 949
- - Dycom Industries, Inc. 21,500 947
- - Enzo Biochem, Inc. 20,900 942
- - Cephalon, Inc. 27,100 937
- - Techne 16,900 931
- - Timberland Co. 17,500 925
- - Alpha Industries, Inc. 16,100 923
- - O'Reilly Automotive, Inc. 42,400 912
Jack Henry & Associates 16,700 897
- - Renal Care Group, Inc. 37,400 874
- - Insight Enterprises, Inc. 21,400 869
Helix Technology Corp. 18,700 838
- - Progress Software Corp. 14,650 831
- - Pacific Sunwear of California 26,050 830
- - Kulicke & Soffa Industries, Inc. 19,400 826
- - Pinnacle Systems, Inc. 20,000 814
- - ETEC Systems, Inc. 18,100 812
- - 99 Cents Only Stores 21,000 803
- - Electro Scientific Industries, Inc. 10,800 788
- - MedQuist, Inc. 30,100 777
- - Dionex Corp. 18,600 766
- - Midway Games Inc. 31,400 752
Alpharma, Inc. Class A 24,400 750
- - Vertex Pharmaceuticals, Inc. 21,200 742
Manitowac Co., Inc. 21,750 740
Polaris Industries, Inc. 20,200 732
Philadelphia Suburban Corp. 34,390 711
Chittenden Corp. 23,700 702
- - FileNet Corp. 26,800 683
- - Biotechnology General 44,500 679
Applebee's International, Inc. 22,800 673
E.W. Blanch Holdings, Inc. 10,900 668
- - Jack in the Box Inc. 32,100 664
- - Artesyn Technologies, Inc. 31,300 657
- - Plexus Corp. 14,700 647
Geon Co. 19,900 647
- - InterVoice-Brite, Inc. 26,900 636
- - Kronos, Inc. 10,600 636
- - CEC Entertainment Inc. 22,400 636
Hooper Holmes, Inc. 24,400 628
- - FOSSIL, INC. 26,950 623
Fair Issac & Co. 11,600 615
Regis Corp. 32,550 614
Graco, Inc. 16,800 603
</TABLE>
48
<PAGE> 181
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Barr Labs Inc. 19,200 $ 602
- - Cost Plus, Inc. 16,900 602
Trustco Bank 45,040 597
Technitrol, Inc. 13,400 596
- - The Cheesecake Factory 16,900 592
- - MAXIMUS, Inc. 17,300 587
- - Safeskin Corp. 48,400 587
- - Insituform Technologies Class A 20,700 585
- - Apex Inc. 17,500 564
- - Cor Therapeutics, Inc. 20,800 559
Investors Financial Services Corp. 12,100 557
Delta & Pine Land Co. 31,700 551
- - Aspen Technologies, Inc. 20,800 550
- - Wesley Jessen VisionCare, Inc. 14,500 549
Inter-Tel, Inc. 21,800 545
- - Concord Communications, Inc. 11,900 528
- - ResMed Inc. 12,500 522
Mentor Corp. 20,200 521
- - Alliant Techsystems, Inc. 8,300 517
- - ZixIt Corp. 12,900 511
Caraustar Industries, Inc. 21,100 506
- - Valence Technology 26,600 505
Elcor Corp. 16,450 496
Queens County Bancorp, Inc. 17,550 476
- - P-Com, Inc. 53,300 471
John H. Harland Co. 25,500 467
- - Pre-Paid Legal Services, Inc. 19,000 456
- - Summit Technology, Inc. 38,700 452
C & D Technology Inc. 10,600 451
- - Sonic Corp. 15,500 442
- - Buckeye Technology, Inc. 29,100 433
- - General Semiconductor, Inc. 30,500 433
- - Cybex Computer Products Corp. 10,600 429
- - Labor Ready, Inc. 35,400 429
- - ADVO, Inc. 17,900 425
- - Cal Dive International, Inc. 12,800 424
- - Electroglas, Inc. 16,500 419
- - Atwood Oceanics, Inc. 10,800 417
- - Three-Five Systems, Inc. 10,000 410
- - Trimble Navigation Ltd. 18,700 404
- - The Liposome Co., Inc. 32,400 395
- - DBT Online Inc. 16,000 390
- - Advance Paradigm, Inc. 17,900 386
- - Specialty Equipment Cos., Inc. 15,900 381
Libbey, Inc. 13,200 380
- - Cygnus Inc. 20,500 374
- - Midwest Express Holdings, Inc. 11,700 373
Winnebago Industries, Inc. 18,400 369
- - Barra, Inc. 11,600 368
- - Triarc Cos., Inc. Class A 20,000 368
- - Biomatrix, Inc. 19,000 366
Cross Timbers Oil Co. 40,300 365
- - Atlantic Coast Airlines Holdings 15,300 363
Premier Bancshares, Inc. 26,400 360
- - THQ Inc. 15,300 355
- - Pioneer Group, Inc. 21,900 345
Coca-Cola Bottling Co. 7,200 341
- - Landstar System 7,900 338
- - Noven Pharmaceuticals, Inc. 17,800 323
Hilb, Rogal and Hamilton Co. 10,900 308
WD-40 Co. 12,900 285
- - Scott Technologies, Inc. 14,800 279
- - Alliance Pharmaceutical Corp. 36,900 272
- - American Xtal Technology, Inc. 15,500 270
Computer Task Group, Inc. 17,300 256
- - Auspex Systems, Inc. 22,700 233
- - Friede Goldman Halter, Inc. 33,000 229
- - Theragenics Corp. 24,400 221
- - Organogenesis, Inc. 25,200 219
- - Laser Vision Centers, Inc. 20,700 219
Telxon Corp. 13,500 216
- - Read Rite Corp. 41,100 195
- - Plains Resources 14,800 185
- - Epicor Software Corp. 33,700 171
- - Action Performance Cos., Inc. 14,000 161
- - Osteotech, Inc. 11,700 156
- - North American Vaccine, Inc. 27,100 122
- - Advanced Tissue Sciences Inc. 46,800 117
X-Rite Inc. 17,600 110
- - Immune Response 21,400 93
- - USA Detergents, Inc. 10,700 29
- --------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $129,466) 166,947
- --------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.9%)
- --------------------------------------------------------------
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 $ 363 363
3.47%, 1/3/2000--Note G 1,181 1,181
- --------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $1,544) 1,544
- --------------------------------------------------------------
TOTAL INVESTMENTS (100.7%)
(COST $131,010) 168,491
- --------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.7%)
- --------------------------------------------------------------
Other Assets--Note B 2,103
Liabilities--Note G (3,339)
- --------------------------------------------------------------
(1,236)
- --------------------------------------------------------------
NET ASSETS (100%) $167,255
==============================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
49
<PAGE> 182
<TABLE>
<CAPTION>
- -------------------------------------------------------------
SMALL-CAP GROWTH AMOUNT
INDEX FUND (000)
- -------------------------------------------------------------
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------
<S> <C>
Paid in Capital $140,343
Overdistributed Net Investment Income (156)
Accumulated Net Realized Losses--Note E (10,413)
Unrealized Appreciation--Note F 37,481
- -------------------------------------------------------------
NET ASSETS $167,255
=============================================================
Investor Shares--Net Assets
Applicable to 14,691,881 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $167,255
- -------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $11.38
=============================================================
</TABLE>
50
<PAGE> 183
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
COMMON STOCKS (100.5%)
- --------------------------------------------------------------
<S> <C> <C>
Radian Group, Inc. 46,300 $ 2,211
- - Zale Corp. 43,900 2,124
- - Interim Services, Inc. 79,070 1,957
Applied Power, Inc. 48,500 1,782
- - Snyder Communications, Inc. 89,200 1,717
Cullen/Frost Bankers, Inc. 66,200 1,705
- - AmeriCredit Corp. 91,700 1,696
UST Corp. 53,400 1,695
- - International Rectifier Corp. 64,800 1,685
United Water Resources, Inc. 48,400 1,655
- - Mueller Industries Inc. 43,600 1,581
USFreightways Corp. 33,000 1,580
- - Medicis Pharmaceutical Corp. 35,900 1,528
Centura Banks, Inc. 34,600 1,527
Corn Products International, Inc. 46,400 1,520
- - Men's Wearhouse, Inc. 51,600 1,516
- - Stillwater Mining Co. 46,700 1,489
National Data Corp. 41,800 1,419
- - Newfield Exploration Co. 51,300 1,372
- - Silicon Valley Bancshares 27,500 1,361
- - Universal Health Services Class B 37,800 1,361
Wicor, Inc. 46,400 1,354
- - Smithfield Foods, Inc. 55,900 1,342
First Midwest Bancorp 50,600 1,341
- - AnnTaylor Stores Corp. 38,900 1,340
Air Express International Corp. 41,400 1,338
Commercial Federal Corp. 72,800 1,297
United Bankshares, Inc. 52,700 1,258
- - United Stationers, Inc. 42,400 1,211
Harman International
Industries, Inc. 21,300 1,195
- - Barrett Resources Corp. 40,200 1,183
Piedmont Natural Gas, Inc. 38,500 1,165
- - Southern Union Co. 59,800 1,144
- - Canandaigua Brands, Inc.
Class A 22,300 1,137
Aptargroup Inc. 45,000 1,131
- - Varian Medical Systems, Inc. 37,700 1,124
IDEX Corp. 36,600 1,112
Texas Industries, Inc. 26,000 1,107
D. R. Horton, Inc. 79,300 1,095
Raymond James Financial, Inc. 58,400 1,091
- - Pride International Inc. 74,590 1,091
- - S3, Inc. 93,912 1,086
La-Z-Boy Inc. 64,500 1,084
Cambrex Corp. 30,400 1,047
- - Ames Department Stores, Inc. 36,000 1,037
Whitney Holdings 27,900 1,034
- - Michaels Stores, Inc. 35,900 1,023
OM Group, Inc. 29,700 1,023
Pogo Producing Co. 49,700 1,019
First American Financial Corp. 80,600 1,002
Community First Bankshares 61,700 972
Brady Corp. Class A 28,300 960
- - NBTY, Inc. 82,800 957
Tredegar Corp. 46,100 954
- - Vintage Petroleum, Inc. 77,100 930
- - Anixter International Inc. 44,700 922
United Illuminating Co. 17,900 920
Mutual Risk Management Ltd. 54,000 908
- - Tower Automotive, Inc. 58,600 905
Southwest Gas Corp. 38,600 888
- - Tuboscope Inc. 55,500 881
- - ShopKo Stores, Inc. 38,000 874
- - Hadco Corp. 17,100 872
- - Orbital Sciences Corp. 46,800 869
JLG Industries, Inc. 54,700 868
Central Parking Corp. 45,400 868
- - Brightpoint, Inc. 66,000 866
New Jersey Resources Corp. 22,000 859
Earthgrains Co. 53,200 858
Rollins Truck Leasing 71,800 857
Skywest, Inc. 30,400 851
- - Toll Brothers, Inc. 45,600 849
- - Photronics Labs Inc. 29,400 842
Werner Enterprises, Inc. 59,400 835
- - Cerner Corp. 42,100 829
G & K Services, Inc. 25,400 822
Public Service Co. of
North Carolina, Inc. 25,400 821
TJ International, Inc. 19,400 815
Reliance Steel & Aluminum Co. 34,750 814
Florida Rock Industries, Inc. 23,600 813
- - Cable Design Technologies 35,300 812
- - Stone Energy Corp. 22,700 809
- - Coherent, Inc. 30,100 805
Baldor Electric Co. 44,400 805
- - Kent Electronics Corp. 35,100 799
Atmos Energy Corp. 38,900 795
- - Footstar Inc. 25,800 787
Bank North Group 29,200 781
- - Delphi Financial Group, Inc. 25,877 776
Eastern Utilities Associates 25,600 776
Enhance Financial Services
Group, Inc. 47,600 774
- - Dura Pharmaceuticals, Inc. 55,300 771
- - Priority Healthcare Corp. Class B 26,500 767
- - Ralcorp Holdings, Inc. 38,400 766
Pier 1 Imports Inc. 119,600 762
Invacare Corp. 37,500 752
Datascope Corp. 18,800 752
Susquehanna Bancshares, Inc. 46,300 735
- - Silicon Valley Group, Inc. 41,400 735
- - Hollywood Park, Inc. 32,700 734
First Bancorp/Puerto Rico 35,300 732
- - IDEXX Laboratories Corp. 45,300 730
- - Tetra Tech, Inc. 47,200 726
Dain Rauscher Corp. 15,600 725
- - SEACOR SMIT Inc. 14,000 724
- - Orthodontic Centers of
America, Inc. 60,300 720
Downey Financial Corp. 35,300 713
MascoTech Inc. 55,200 700
Ruby Tuesday, Inc. 38,500 700
CH Energy Group, Inc. 21,100 696
- - Primark Corp. 25,000 695
Casey's General Stores 66,100 690
Northwest Natural Gas Co. 31,400 689
TNP Enterprises, Inc. 16,600 685
Russ Berrie and Co., Inc. 25,800 677
</TABLE>
51
<PAGE> 184
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Kellwood Co. 34,800 $ 676
Energen Corp. 37,400 676
- - Simpson Manufacturing Co. 15,100 661
Jefferies Group, Inc. 30,000 660
- - Hutchinson Technology, Inc. 31,000 659
- - Dril-Quip, Inc. 21,600 656
- - American Freightways 40,300 652
- - Anchor Gaming 15,000 652
Fremont General Corp. 87,900 648
- - Shorewood Packaging Corp. 34,100 646
A.O. Smith Corp. 29,300 641
Northwestern Corp. 29,000 638
Bindly Western Industries, Inc. 42,300 637
MAF Bancorp, Inc. 30,200 632
Hughes Supply, Inc. 29,300 632
- - NFO Worldwide, Inc. 28,000 626
Michael Foods Group, Inc. 25,400 625
Bowne & Co., Inc. 46,300 625
Belden, Inc. 29,700 624
- - Kirby Corp. 30,400 623
AAR Corp. 34,400 617
Commercial Metals Co. 18,000 611
Gerber Scientific, Inc. 27,800 610
- - Monaco Coach Corp. 23,700 606
- - SLI, Inc. 44,500 604
- - Agribrands International, Inc. 13,000 598
- - Aztar Corp. 54,900 597
- - Heartland Express, Inc. 37,700 594
The Toro Co. 15,900 593
Selective Insurance Group 34,500 593
JSB Financial 11,400 591
Carolina First Corp. 32,300 589
- - CDI Corp. 23,900 577
Wolverine World Wide, Inc. 51,900 568
- - Ionics, Inc. 20,100 565
ABM Industries 27,700 564
Provident Bankshares Corp. 31,995 554
AMCOL International Corp. 33,700 543
Regal-Beloit Corp. 26,300 542
Clarcor Inc. 30,100 542
- - Prime Hospitality Corp. 61,400 541
Aquarion Co. 14,450 535
- - US Oncology, Inc. 107,900 533
Cooper Cos., Inc. 17,600 530
Analogic Corp. 16,000 528
- - Yellow Corp. 31,300 526
GenCorp, Inc. 52,600 519
Fidelity National Financial, Inc. 35,800 515
- - Morrison Knudsen Corp. 65,800 514
- - Champion Enterprises, Inc. 60,000 514
Connecticut Energy Corp. 13,100 509
Cabot Oil & Gas Corp. Class A 31,500 506
- - SPS Technologies, Inc. 15,800 505
- - Regeneron Pharmaceuticals, Inc. 39,400 502
- - Coventry Health Care Inc. 74,400 502
ChemFirst Inc. 22,900 501
Fleming Cos., Inc. 48,800 500
The Marcus Corp. 37,000 497
- - Paxar Corp. 58,800 496
Pioneer Standard Electronics Inc. 34,100 492
- - Conmed Corp. 19,000 492
Watts Industries Class A 33,300 491
- - Fritz Cos., Inc. 46,100 484
Anchor Bancorp Wisconsin Inc. 31,800 481
- - SpeedFam-IPEC, Inc. 37,000 479
- - Department 56 Inc. 21,100 477
Valmont Industries, Inc. 29,600 475
- - Nautica Enterprises, Inc. 42,000 475
Justin Industries, Inc. 31,700 472
Thor Industries, Inc. 15,300 466
- - Benchmark Electronics, Inc. 20,200 463
- - The Kroll-O'Gara Co. 28,000 462
- - HA-LO Industries, Inc. 61,400 460
Riggs National Corp. 34,300 452
- - Volt Information Sciences Inc. 18,900 451
Zenith National Insurance Corp. 21,700 448
Aaron Rents, Inc. Class B 25,100 446
Quanex Corp. 17,300 441
- - Oceaneering International, Inc. 29,400 439
Applied Industrial Technology, Inc. 26,400 439
- - Astec Industries, Inc. 23,200 436
MDC Holdings, Inc. 27,800 436
- - Sola International Inc. 31,400 436
- - U.S. Home Corp. 17,000 435
Wabash National Corp. 28,900 434
- - Performance Food Group Co. 17,600 429
- - URS Corp. 19,700 427
- - Quiksilver, Inc. 27,500 426
- - IHOP Corp. 25,400 424
Watsco, Inc. 36,350 420
- - Syncor International Corp. 14,400 419
- - Ultratech Stepper, Inc. 25,900 418
- - Inacom Corp. 56,980 417
Cato Corp. Class A 33,000 417
Diagnostic Products Corp. 17,000 417
- - The Dress Barn, Inc. 25,000 416
Ryland Group, Inc. 18,000 415
New England Business
Service, Inc. 16,800 411
Thomas Industries, Inc. 20,000 409
Standard Pacific Corp. 36,800 405
American States Water Co. 11,200 403
- - Allen Telecom Inc. 34,500 399
- - Avid Technology, Inc. 30,100 393
Trenwick Group Inc. 23,200 393
Myers Industries, Inc. 24,920 392
- - HS Resources Inc. 22,700 392
Omnova Solutions Inc. 50,500 391
Tenneco Automotive, Inc. 42,000 391
Chiquita Brands
International, Inc. 82,100 390
Barnes Group, Inc. 23,700 387
- - Ryan's Family Steak Houses, Inc. 45,100 383
CKE Restaurants Inc. 65,000 382
- - Checkpoint Systems, Inc. 37,300 380
Lilly Industries Inc. Class A 28,100 378
Interface, Inc. 65,200 375
Kaman Corp. Class A 28,800 371
Universal Forest Products, Inc. 25,100 370
- - Group 1 Automotive, Inc. 26,500 369
Chemed Corp. 12,900 369
Intermet Corp. 31,700 369
</TABLE>
52
<PAGE> 185
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
Owens & Minor, Inc. Holding Co. 40,900 $ 366
- - Discount Auto Parts Inc. 20,100 363
- - M.S. Carriers, Inc. 15,200 363
- - PAREXEL International Corp. 30,700 363
The Stride Rite Corp. 55,400 360
- - Consolidated Products Inc. 35,530 360
- - Pharmaceutical Product
Development, Inc. 29,900 355
Vital Signs, Inc. 15,300 350
Park Electrochemical Corp. 12,900 343
Analysts International Corp. 27,400 343
Brush Wellman, Inc. 20,200 340
St. Mary Land & Exploration Co. 13,700 339
Standex International Corp. 15,900 333
Watkins-Johnson Co. 8,200 328
National Presto Industries, Inc. 9,200 327
Oshkosh B Gosh, Inc. Class A 15,500 326
Wynn's International Inc. 23,100 326
- - Players International, Inc. 39,700 326
- - Information Resources, Inc. 34,910 323
Brown Shoe Company, Inc. 22,800 322
- - Input/Output, Inc. 62,700 317
Arctic Cat, Inc. 31,700 317
Luby's, Inc. 27,800 316
- - Stein Mart, Inc. 55,100 313
- - Network Equipment
Technologies, Inc. 26,500 313
- - Gardner Denver Inc. 18,600 310
- - Teledyne Technologies, Inc. 32,700 309
Cash America International Inc. 31,400 306
Robbins & Myers, Inc. 13,500 305
- - Aviation Sales Co. 18,300 302
Lawson Products, Inc. 12,800 296
Pope & Talbot, Inc. 18,500 296
Sturm, Ruger & Co., Inc. 33,300 296
Coachmen Industries, Inc. 19,500 295
- - Billing Concepts Corp. 45,300 294
- - Respironics, Inc. 36,900 294
- - Griffon Corp. 37,600 294
- - Arkansas Best Corp. 24,400 293
- - Consolidated Graphics, Inc. 19,100 285
Phillips-Van Heusen Corp. 33,800 281
Lindsay Manufacturing Co. 15,100 276
- - StaffMark, Inc. 36,400 275
- - General Communication, Inc. 62,700 274
Pittston BAX Group 25,800 274
- - ADAC Laboratories 25,400 273
Stone & Webster, Inc. 16,200 272
CPI Corp. 12,000 271
Commonwealth Industries Inc. 20,600 268
- - Landry's Seafood
Restaurants, Inc. 30,700 267
- - United Natural Foods, Inc. 22,100 265
Skyline Corp. 11,100 261
Schweitzer-Mauduit
International, Inc. 19,400 261
Standard Motor Products, Inc. 16,100 260
- - BE Avionics Inc. 30,700 259
- - Lason Holdings, Inc. 23,400 257
IMCO Recycling, Inc. 20,200 255
- - GC Cos. 9,700 251
Simpson Industries, Inc. 22,300 251
- - Jo-Ann Stores, Inc. Class A 22,200 250
- - Magellan Health Services, Inc. 39,400 249
- - Esterline Technologies Corp. 21,500 249
Fedders Corp. 44,600 245
- - Offshore Logistics, Inc. 26,100 245
K-Swiss, Inc. 13,100 243
Bassett Furniture Industries, Inc. 15,200 243
- - Hanger Orthopedic Group, Inc. 23,600 236
- - Cyrk International, Inc. 19,500 232
- - J & J Snack Foods Corp. 11,100 228
- - Insurance Auto Auctions, Inc. 14,300 225
- - Wolverine Tube, Inc. 15,800 223
- - Goody's Family Clothing 41,100 221
Republic Group Inc. 14,600 221
- - Sierra Health Services 32,700 219
Cascade Natural Gas Corp. 13,500 218
- - SpaceLabs Medical, Inc. 11,700 217
- - PictureTel Corp. 49,400 213
- - Komag, Inc. 67,700 212
- - Exabyte Corp. 28,200 212
- - Standard Microsystem 19,400 210
- - WetSeal, Inc. Class A 17,100 209
- - Flow International Corp. 18,200 207
A.M. Castle & Co. 17,400 207
- - Seitel, Inc. 30,100 203
Southwestern Energy Co. 30,900 203
- - RailTex, Inc. 11,300 202
- - Bombay Co. 44,300 199
- - Mesa Air Group Inc. 41,900 199
- - McWorter Technologies Inc. 12,400 198
Steel Technologies, Inc. 13,600 197
Mississippi Chemical Corp. 31,800 197
- - Material Sciences Corp. 19,300 197
Guilford Mills, Inc. 27,000 196
Butler Manufacturing Co. 8,700 194
- - Digi International, Inc. 18,500 193
Birmingham Steel Corp. 36,200 192
- - RTI International Metals 25,400 191
Oxford Industries, Inc. 9,600 190
- - Franklin Covey Co. 24,800 186
- - Books-a-Million Inc. 22,300 185
- - Symmetricom Inc. 18,500 184
Oakwood Homes Corp. 57,400 183
Enesco Group, Inc. 16,400 181
Amcast Industrial Corp. 10,900 178
Dimon Inc. 54,200 176
- - Gibson Greetings, Inc. 19,300 173
Harmon Industries, Inc. 14,100 171
Apogee Enterprises, Inc. 33,700 171
K2 Inc. 22,200 169
Innovex, Inc. 18,000 169
- - Sunrise Medical, Inc. 27,100 168
- - The Gymboree Corp. 29,700 167
Nature's Sunshine Inc. 20,800 166
BMC Industries, Inc. 33,900 165
Titan International, Inc. 25,200 164
- - TBC Corp. 25,800 161
- - WHX Corp. 17,800 160
Thomas Nelson, Inc. 17,300 160
Penford Corp. 9,200 159
</TABLE>
53
<PAGE> 186
<TABLE>
<CAPTION>
- --------------------------------------------------------------
MARKET
SMALL-CAP VALUE VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------
<S> <C> <C>
- - Building Materials Holding Corp. 15,400 $ 158
Quaker Chemical Corp. 10,900 155
- - Hartmarx Corp. 37,300 152
Central Vermont Public
Service Corp. 14,000 149
Bangor Hydro-Electric Co. 9,000 147
Frontier Insurance Group, Inc. 42,290 145
- - Cone Mills Corp. 31,000 140
- - Pediatrix Medical Group, Inc. 19,000 133
- - Intermagnetics General Corp. 15,124 132
- - Taco Cabana 15,900 129
- - Service Experts, Inc. 22,200 129
- - Lydall, Inc. 19,100 127
Lillian Vernon Corp. 11,100 123
- - Genesis Health Ventures Inc. 59,300 122
- - Centigram Communications 7,300 122
- - Coeur D'Alene Mines Corp. 35,560 122
- - TETRA Technologies, Inc. 16,500 120
- - Panera Bread Co. 14,800 115
- - E. Gottschalk & Co., Inc. 15,300 114
- - Carmike Cinemas, Inc. Class A 13,800 108
Pillowtex Designs 17,400 108
- - Itron, Inc. 17,500 107
- - Hologic, Inc. 18,600 107
TCBY Enterprises, Inc. 27,930 106
- - DAMARK International, Inc. 6,700 106
- - Royal Appliance
Manufacturing Co. 21,000 102
Angelica Corp. 10,400 101
J. Baker, Inc. 16,800 101
- - Remington Oil & Gas Corp. 25,900 100
- - The Dixie Group, Inc. 13,600 100
Haggar Corp. 8,800 100
- - Curative Health Services Inc. 12,300 95
Insteel Industries, Inc. 10,300 93
- - A.T. Cross Co. Class A 20,710 93
Nash-Finch Co. 13,800 88
- - Microage, Inc. 25,000 88
- - Jan Bell Marketing Inc. 29,200 84
- - Amresco, Inc. 59,400 84
- - The Sports Authority, Inc. 38,710 77
Frozen Food Express
Industries, Inc. 19,900 77
- - Ashworth, Inc. 18,400 76
- - Rural/Metro Corp. 17,400 74
Spartan Motors, Inc. 16,100 70
Hancock Fabrics, Inc. 22,200 69
- - Swiss Army Brands, Inc. 9,500 68
Huffy Corp. 12,100 64
- - NCS HealthCare, Inc. 23,700 57
- - Nashua Corp. 7,100 53
Green Mountain Power Corp. 7,000 52
- - Southern Energy Homes, Inc. 14,600 34
- - Priority Healthcare Corp. Class A 600 17
- - Just for Feet, Inc. 41,700 10
- --------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $237,592) 215,337
- --------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- --------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.8%)
- --------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 $4,340 4,340
3.47%, 1/3/2000--Note G 1,703 1,703
- --------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $6,043) 6,043
- --------------------------------------------------------------
TOTAL INVESTMENTS (103.3%)
(COST $243,635) 221,380
- --------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-3.3%)
- --------------------------------------------------------------
Other Assets--Note B 2,595
Liabilities--Note G (9,686)
--------
(7,091)
- --------------------------------------------------------------
NET ASSETS (100%) $214,289
==============================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- - Non-Income-Producing Security.
<TABLE>
<CAPTION>
- -------------------------------------------------------------
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- -------------------------------------------------------------
AMOUNT
(000)
- -------------------------------------------------------------
<S> <C>
Paid in Capital $233,753
Overdistributed Net Investment Income (120)
Accumulated Net Realized Gains 2,911
Unrealized Depreciation--Note F (22,255)
- -------------------------------------------------------------
NET ASSETS $214,289
=============================================================
Investor Shares--Net Assets
Applicable to 24,197,515 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $204,450
- -------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $8.45
=============================================================
Institutional Shares--Net Assets
Applicable to 1,164,431 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $9,839
- -------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $8.45
=============================================================
</TABLE>
54
<PAGE> 187
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Trustees of
Vanguard U.S. Stock Index Funds
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights appearing in the Annual Report to Shareholders present fairly, in
all material respects, the financial position of Vanguard Extended Market Index
Fund, Vanguard Mid-Cap Index Fund, Vanguard Small-Cap Index Fund, Vanguard
Small-Cap Growth Index Fund, and Vanguard Small-Cap Value Index Fund (separate
funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds")
at December 31, 1999, the results of each of their operations for the year then
ended and the changes in each of their net assets and the financial highlights
for each of the periods indicated, in conformity with accounting principles
generally accepted in the United States. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at December 31, 1999, by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 2, 2000
55
<PAGE> 188
SPECIAL 1999 TAX INFORMATION (UNAUDITED) FOR
VANGUARD U.S. STOCK INDEX FUNDS
(MID- AND SMALL-CAPITALIZATION PORTFOLIOS)
This information for the fiscal year ended December 31, 1999, is included
pursuant to provisions of the Internal Revenue Code.
The funds distributed capital gain dividends (from net long-term
capital gains) to shareholders during the fiscal year ended December 31, 1999,
all of which are designated as 20% rate gain distributions, as follows:
<TABLE>
<CAPTION>
----------------------------------------------------
TOTAL
CAPITAL GAINS
INDEX FUND DIVIDENDS
----------------------------------------------------
<S> <C>
Extended Market $387,283,000
Mid-Cap 8,202,000
Small-Cap 291,671,000
Small-Cap Value 1,897,000
----------------------------------------------------
</TABLE>
For corporate shareholders, the percentage of investment income
(dividend income plus short-term gains, if any) that qualifies for the
dividends-received deduction is as follows:
<TABLE>
<CAPTION>
------------------------------------------------
INDEX FUND PERCENTAGE
------------------------------------------------
<S> <C>
Extended Market 29.0%
Mid-Cap 18.0
Small-Cap 37.7
Small-Cap Growth 100.0
Small-Cap Value 11.0
------------------------------------------------
</TABLE>
56
F980-02/22/2000
