[Translation]
[H&M Final]
SECURITIES REGISTRATION STATEMENT
(including amendments)
VANGUARD INDEX FUNDS
- VANGUARD SMALL CAP INDEX FUND
(2452)
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SECURITIES REGISTRATION STATEMENT
<S> <C>
To: Director of Kanto Local Finance Bureau
Filing Date of SRS: August 4, 2000
Name of the Registrant Trust: VANGUARD INDEX FUNDS - VANGUARD
SMALL CAP INDEX FUND
Name of Trustees: John J. Brennan,
Trustee
Address of Principal Office: 100 Vanguard Boulevard,
Malvern, Pennsylvania 19355
U.S.A.
Name and Title of Registration Agent: Ken Miura
Attorney-at-Law
Signature [Ken Miura]
---------------------
(Seal)
Address or Place of Business Kasumigaseki Building, 25th Floor
2-5, Kasumigaseki 3-chome
Chiyoda-ku, Tokyo
Name of Liaison Contact: Same as Registration Agent
Place of Liaison Contact: Hamada & Matsumoto
Kasumigaseki Building, 25th Floor
2-5, Kasumigaseki 3-chome
Chiyoda-ku, Tokyo
Phone Number: 03-3580-3377
PUBLIC OFFERING OR SALE FOR REGISTRATION
Name of the Fund Making Public VANGUARD INDEX FUNDS
Offering or Sale of Foreign - VANGUARD SMALL CAP INDEX FUND
Investment Fund Securities:
Type and Aggregate Amount of Foreign Registered Shares with par value $0.001 per
Investor Shares Share
Shares of Vanguard Small-Cap Index Fund will
be offered.
Vanguard Small-Cap Index Fund
Up to 41,220,000 Shares
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Investment Fund Securities to be Publicly Vanguard Small-Cap Index Fund
Offered or Sold: In respect of 41,220,000 Shares, up to the total
amount aggregating the amounts calculated by
multiplying the respective approximate issue price
per Share by the respective number of Shares
(The approximate of the limit: U.S.$1 billion
(approximately(Y)105.5 billion))
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Note 1: The total amount of issue price during Offering Period is an amount
calculated by multiplying the net asset value per Share of the Fund
as of the end of June 2000 ( $24.26) (US$ shall be referred to as "$"
hereinafter) by the number of Shares to be subscribed in
Japan (41,220,000).
Note 2: The Yen amount is translated for convenience at the rate of $1.00 =
(Y)105.50 (the mean of the exchange rate quotations by The Bank of
Tokyo - Mitsubishi, Ltd. for buying and selling spot Dollars by
telegraphic transfer against Yen on June 30, 2000). The same applies
hereafter.
PLACES WHERE A COPY OF THIS SECURITIES REGISTRATION
---------------------------------------------------
STATEMENT IS AVAILABLE FOR PUBLIC INSPECTION
--------------------------------------------
Not applicable.
(Total number of pages of this Securities Registration
Statement in Japanese is 67 including front and back pages.)
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C O N T E N T S
Japanese This
Original English
Translation
PART I. INFORMATION CONCERNING SECURITIES .............. 1 1
PART II. INFORMATION CONCERNING ISSUER .................. 3 6
I. DESCRIPTION OF THE FUND ........................ 3 6
l. GENERAL INFORMATION ................... 3 6
2. INVESTMENT POLICY ..................... 7 13
3. MANAGEMENT STRUCTURE .................. 15 29
4. INFORMATION CONCERNING THE EXERCISE
OF RIGHTS BY SHAREHOLDERS, ETC. ....... 20 40
5. STATUS OF INVESTMENT FUND ............. 22 45
II. OUTLINE OF THE TRUST ........................... 26 51
III. OUTLINE OF THE OTHER RELATED COMPANIES ......... 30 57
IV. FINANCIAL CONDITIONS OF THE FUND ............... 32 58
V. SUMMARY OF INFORMATION CONCERNING
FOREIGN INVESTMENT FUND SECURITIES ............. 124 62
VI. MISCELLANEOUS .................................. 124 62
PART III.SPECIAL INFORMATION ............................ 125 63
I. OUTLINE OF THE SYSTEM OF INVESTMENT
TRUSTS IN DELAWARE ............................. 125 63
II. FORM OF FOREIGN INVESTMENT
FUND SECURITIES ................................ 130 78
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PART I. INFORMATION CONCERNING SECURITIES
1. NAME OF FUND: Vanguard Index Funds - VANGUARD SMALL CAP
INDEX FUND
2. NATURE OF FOREIGN Investor Shares (hereinafter referred to as the
INVESTMENT FUND SECU- "Shares")
RITIES CERTIFICATES: Registered Shares with par value $0.001 per Share.
Shares of Fund
No rating has been acquired.
3. NUMBER OF SHARES Vanguard Small-Cap Index Fund
TO BE OFFERED FOR Up to 41,220,000 Shares
SALE (IN JAPAN):
4. TOTAL AMOUNT OF Vanguard Small-Cap Index Fund
OFFERING PRICE: In respect of 41,220,000 Shares, up to the total
amount aggregating the amounts calculated by
multiplying the respective issue price per Share
by the respective number of Shares
(The approximate amount of the limit: U.S.$1
billion (approximately(Y)105.5 billion))
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Note 1: The total amount of issue price during Offering Period is an
amount calculated by multiplying the net asset value per
Share of the Fund as of the end of June 2000 ($24.26) (US$
shall be referred to as "$" hereinafter) by the number of
Shares to be subscribed in Japan (41,220,000 shares).
Note 2: The Yen amount is translated for convenience at the rate
of $1.00 = (Y)105.50 (the mean of the exchange rate
quotations by The Bank of Tokyo - Mitsubishi, Ltd. for
buying and selling spot U.S. Dollars by telegraphic transfer
against Yen on June 30, 2000). The same applies hereafter.
Note 3: Since Shares are denominated in U.S. Dollars, the amounts
appearing
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2
hereafter are all Dollar amounts unless otherwise
specifically indicated.
Note 4: In this document, money amounts and percentages have been
rounded. Therefore, there are cases in which the amount of
the "total column" is not equal to the aggregate amount.
Also, translation into Yen is made simply by multiplying the
corresponding amount by the conversion rate specified and
rounded up when necessary. As a result, in this document,
there are cases in which Japanese Yen figures for the same
information differ from each other.
5. ISSUE PRICE: The Net Asset Value per Share to be calculated
on a Fund Business Day immediately after an
application for purchase is received by the Fund.
6. FUND BUSINESS DAY A day on which the New York Stock Exchange is open
for business.
7. SALES CHARGE: None.
8. ACCOUNT ADMINISTRATION FEE:
Account Administration Fee at an annual rate of
0.70% multiplied by the Shareholder's average
account balance shall be assessed upon each
Shareholder quarterly in arrears. For Shareholder
accounts which are redeemed partially or in full
prior to the end of the quarter, the Account
Administration Fee shall be charged in proportion
to the period in which such shareholder holds the
shares and assessed at the time of each
redemption. Quarterly assessments shall be net of
any fees charged for partial redemptions
during the quarter.
9. MINIMUM AMOUNT OR Vanguard Small-Cap Index Fund
NUMBER OF SHARES: Minimum shares to open an account shall be 50
shares and integral multiples of 5 shares.
Ongoing purchases shall be made in increments
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3
of 5 shares.
10. PERIOD OF From:August 21, 2000 (Monday)
SUBSCRIPTION: To: June 29, 2001 (Friday)
Provided that the subscription is handled only on
a Fund Business Day when sales handling companies
are open for business in Japan, with the exception
of a day in which the next business day is a
national holiday in Japan.
11. DEPOSIT FOR
SUBSCRIPTION: None
12. PLACE OF SUBSCRIPTION: Monex, Inc.
Takebashi Yasuda Building 2F,
3-13, Kanda-Nishiki-cho, Chiyoda-ku, Tokyo
(the "Distributor" or "Sales Handling Company")
Note: The subscription is handled at the head office and the branch
offices in Japan of the above-mentioned Sales Handling Company
and online.
13. DATE AND PLACE Investors shall pay the Offering Price to the
OF PAYMENT: Distributors in Japan within four (4)business days
in Japan from and including the day when the
Distributors in Japan confirm the execution of
the application (the "Trade Day"). (See page
34.)
The total issue price for each application
day for subscription will be transferred in
U.S. Dollars by each Distributor in Japan to the
Fund's custodian within 1 Fund Business Day after
the subscription date ("Payment Date").
14. OUTLINE OF UNDERWRITING, ETC.:
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4
(A) The Distributor in Japan undertakes to sell the Shares in accordance with
an agreement dated August 2, 2000, as amended with The Vanguard Group, Inc.
in connection with the sale of the Shares in Japan.
(B) During the public offering period, each Distributor in Japan will execute
or forward the purchase orders and repurchase requests of the Shares
received directly to the Fund's Transfer Agent.
Note: Sales Handling Company means a securities agent company
and/or registration agent financial institution which shall
conclude the agreement with a distributor concerning agency
business of Shares of the Fund, act as agent for a
distributor for subscription or redemption of Shares of the
Fund from investors and handle the business, etc. concerning
receipt of subscription money from investors or payment of
redemption proceeds to investors, etc.
(C) The Fund has appointed Monex, Inc. as the Agent Company in Japan.
Note: "The Agent Company" shall mean a sales handling company who
is a member of the Japan Securities Dealers Association
("JSDA") which, under a contract made with a foreign issuer
of investment securities, makes public the net asset value
per Share and submits or forwards the financial reports or
other documents to JSDA and other Sales and Repurchase
Handling Companies rendering such other services.
15. MISCELLANEOUS:
(A) Method of Subscription:
Investors who subscribe for Shares shall enter with the Distributor or
Sales Handling Company an agreement concerning the foreign securities
transactions. For this purpose, the Sales Handling Company shall deliver to
investors an Agreement of Foreign Securities Transactions Account and
investors shall submit to the Sales Handling Company an Application for
opening of Transactions Account opened in accordance with such Agreement.
The subscription amount shall be paid in Yen in principal and the Yen
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5
exchange rate shall be the rate to be determined by the Sales Handling
Company based on the foreign exchange rate of the foreign exchange market
in Tokyo on the Trade Day of each application.
No interest accrues on the subscription money.
The subscription amount shall be paid in U.S. Dollars to the
Fund's Custodian by each Distributor on the Payment Date.
(B) Offerings other than in Japan:
In parallel with the Offering, Investor Shares are offered in the
United States of America.
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6
PART II. INFORMATION CONCERNING ISSUER
I. DESCRIPTION OF THE FUND
1. GENERAL INFORMATION
(A) Outline of Laws Regulating the Fund in the Jurisdiction Where Established:
(1) Name of the Fund: VANGUARD INDEX FUNDS - VANGUARD
SMALL-CAP INDEX FUND ( the "Fund")
(2) Form of the Fund
The Fund is a sub-fund of Vanguard Index Funds (the "Trust").
The Trust was organized as a Pennsylvania business trust in 1975, and
was reorganized as a Delaware business trust in July, 1998. The Fund is
registered with the United States Securities and Exchange Commission (the
"Commission" or "SEC") under the Investment Company Act of 1940 (the "1940
Act") as an open-end, diversified management investment company. The Trust
currently offers the following fund in Japan.
Vanguard Small-Cap Index Fund
The Fund offers one class of Shares (Investor Shares)in Japan.The Trust
has the ability to offer additional funds or classes of Shares. There is no
limit on the number of full and fractional Shares that the Trust may issue
for a particular fund or class of Shares.
(3) Governing Laws
The Trust was created under, and is subject to, the General Laws and
the common law of the State of Delaware. With respect to its operations,
the Fund is also subject to the Investment Company Act of 1940, as amended,
the United States Internal Revenue Code, as amended, and regulations
promulgated under each statute. With respect to the sale of its Shares, the
Fund is subject to the Securities Act of 1933, the Securities Exchange Act
of 1934, the "Blue Sky" laws (state securities laws of the various states
in the United States) and the regulations promulgated under such laws.
The substance of the governing law is as follows:
a. Delaware Business Trust Act (Delaware Code Chapter 38 et seq. ("Treatment
of Delaware Business Trusts")
Chapter 38 provides as follows:
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Delaware has had in effect since October 1, 1988, the Business Trust Act
which expressly recognizes the Delaware business trust. The principal
purpose of the Business Trust Act is to modernize the common law and
provide certainty by codifying Delaware law with respect to the use of
trusts in business transactions.
The Business Trust Act permits the trust agreement of a business trust to
establish whatever rights and obligations of the trustees and of the
beneficial owners as are desirable. The voting rights of trustees or
beneficial owners, or any class or series thereof, may be expanded, limited
or eliminated with respect to virtually any matter relating to the business
trust. This flexibility provides an advantage over alternative forms of
business organizations and common law trusts which often are subject to
mandatory provisions.
A Delaware business trust may be merged or consolidated with a foreign or
Delaware corporation, limited partnership, limited liability company or
business trust pursuant to statutory procedures contained in the Business
Trust Act. A merger or consolidation may be pre-authorized, or may be
conditioned upon the approval of a specific class or percentage of trustees
or beneficial owners, as set forth in the trust agreement of the business
trust. Thus, a business trust may be converted into another form of
business entity in order to take advantage of future changes in the tax
laws or the securities markets. Under the Business Trust Act, the
beneficial owners of a Delaware business trust have the same limitations of
personal liability as shareholders of a Delaware corporation. Except to the
extent otherwise provided in the trust agreement, a business trust is
managed by or under the direction of its trustees, who are not liable for
the obligations of the business trust. The Business Trust Act provides that
at least one trustee must be a Delaware resident. However, a trust that is
or will become a registered investment company is exempt from this
requirement. This requirement may be satisfied by engaging a trust company
with its principal place of business in Delaware. The duties of the
trustees may be specified in the trust agreement. Moreover, the trust
agreement may provide for the appointment of managers, employees or other
persons to manage the business trust with such rights, powers and duties as
are set forth herein.
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8
To the extent that trustees or other persons who are responsible for
managing the business trust have duties (including fiduciary duties) and
liabilities relating thereto to the business trust or to the beneficial
owners, such persons' duties may be expanded or restricted by the trust
agreement. In addition, such persons shall not be liable for their good
faith reliance on the provisions of the trust agreement.
b. Delaware Common Law
Common law is a non-statutory law developed through court judgments.
Certain legal principles developed through decisions rendered by the courts
of the State of Delaware may be applicable to Delaware Business Trusts and
trustees of such trusts.
c. Investment Company Act of 1940
The Investment Company Act of 1940 (the "1940 Act") gives the SEC the
authority to enforce the 1940 Act's provisions. The 1940 Act requires an
investment company to (i) disclose financial information and fundamental
policies, (ii) submit registration statements to the SEC, and (iii) submit
and deliver certain reports to the SEC and shareholders. The 1940 Act
generally prohibits such companies from changing the nature of their
business or other fundamental policies without the approval of the
shareholders. The 1940 Act regulates the custody of a fund's assets and,
more generally, a fund's business and conduct.
d. Securities Act of 1933
The Securities Act of 1933 (the "1933 Act") regulates the sales of
securities. The 1933 Act requires information with regard to securities
being issued or sold to be disclosed by means of a registration statement,
including a prospectus. The 1933 Act makes any fraudulent act in connection
with the issuance or sale of such securities unlawful.
e. Securities Exchange Act of 1934
The Securities Exchange Act of 1934 (the "1934 Act") regulates the purchase
and sale of securities and pertains to continuous disclosure with respect
to securities, proxy statements, unlawful use of inside information and
other fraudulent conduct. It also includes provisions relating to the
securities markets as well as extensive regulations relating to securities
dealers.
f. The Internal Revenue Code of 1986
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The Code provides for the qualification of a fund to be treated as a
regulated investment company.
(B) Outline of the Supervisory Authorities
The Fund is subject to supervision by the SEC and the securities
authorities of the various U.S. states.
a. The SEC
(i) Acceptance of registration applications
(Sections 7 and 8 of the 1940 Act)
An investment company must register with the SEC by filing a
notification of registration in such form as the SEC shall prescribe.
An investment company is deemed to have been registered when it has
filed such registration notification with the SEC. After filing the
proscribed notification, an investment company must file a
registration statement with the SEC.
(ii) Suspension or revocation of registration as a registered investment
company (Section 8 of the 1940 Act) An investment company may have its
registration suspended or revoked by order of the SEC if it fails to
submit a registration statement or report or if either is materially
defective.
(iii)Supervision of changes in trustees and officers
(Section 9(b) of the 1940 Act) The SEC can prohibit trustees and
officers from serving as such in the event they are found to have
willfully violated certain U.S. federal securities laws.
(iv) Examination of registration statement
(Sections 5 and 8 of the 1933 Act) In order to sell Shares to the
public, the Fund must file a registration statement with the SEC and
such statement must have become effective. The registration statement
is prepared in accordance with Form N-1A and must include the
information required by Form N-1A and, more generally, the 1933 Act
and rules thereunder. The SEC will examine the registration statement
and, if it does not comply with the requirements of Form N-1A, may
order its modification or deny its effectiveness. Parts A and B of the
Form N-1A registration statement consist of the investment company's
prospectus and statement of additional information, respectively.
(v) Supervision of the business
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(Section 12 of the 1940 Act)
The SEC regulates the function and activities of investment companies,
including such matters as the purchase of securities on margin, short
sales of securities, underwriting commitments, acquisition of
securities issued by other investment companies, organization of face
amount certificate companies, acquisition of voting stock of insurance
companies and other matters.
(vi) Acceptance of periodic reports
(Section 30 of the 1940 Act) The SEC requires all investment companies
to submit annual and other reports. The SEC regulates the content of
these reports, thereby exercising its supervisory authority.
b. State Securities Supervisory Authorities
(i) Provisions concerning licenses
Most states require brokers, dealers, securities salespersons, and
certain investment advisers either to acquire licenses from the state
or, at least, to be registered with a state agency.
(ii) Provisions concerning registration of securities
Most of the 50 states require notification of the availability of
Shares upon registration of the Fund's Shares with the SEC prior to
any lawful sale or offer to sell.
(iii) Provisions concerning prevention of fraud
In general, the Blue Sky Laws provide various sanctions for fraudulent
acts in connection with the sale of securities, such as prosecution
resulting in fine and/or imprisonment, injunction, an order requiring
payment of the deposit, temporary suspension or revocation of license
or registration, and civil liability for damages.
(C) Objects and Basic Nature of the Fund:
VANGUARD SMALL-CAP INDEX FUND: The Fund seeks to match the performance
of a benchmark index that measures the investment return of
small-capitalization stocks.
(D) History of the Trust:
December 31, 1975: Execution of the Declaration of Trust of the Trust
The Trust was established as a Pennsylvania business
trust
January 23, 1998: Execution of the Agreement and Declaration of Trust
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July 24, 1998: The Trust was reorganized as a Delaware business trust
(E) Related Companies of the Fund:
Names and related businesses of the related companies of the Fund are
as follows:
(1) The Vanguard Group, Inc. (the "Investment Manager" and the
"Transfer and Dividend-Paying Agent") acts as investment manager and
the transfer and dividend-paying agent and renders investment
management and transfer and dividend-paying agency services to the
Fund.
(2) The Chase Manhattan Bank (the "Custodian") acts as custodian and
renders custody services to Small-Cap Index Fund.
(3) Monex, Inc. (the "Agent Company" and "Distributor in Japan") acts as
the Fund's Agent Company with respect to the sale of the Fund's
Shares in Japan and engages in forwarding the purchase or repurchase
orders for the Shares in Japan.
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Related Parties of the Fund
---------------------------
Trust
Vanguard Index Trust -
Vanguard Small-Cap Index Fund
Trustees
(Agreement and Declaration of Trust)
Global Custody Agreement
The Chase Manhattan Bank
custodian
Funds' Service Agreement
Investment Manager, Transfer and Dividend-Paying Agent
The Vanguard Group, Inc.
investment manager
transfer and dividend-paying agent
Agent Company Agreement
Monex, Inc.
agent company
Shares Distribution and Redemption Agreement
Monex, Inc.
distributor in Japan
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2. INVESTMENT POLICY
(A) Investment Policies and Investment Objectives:
INVESTMENT OBJECTIVE
SMALL-CAP INDEX FUND: The Fund seeks to match the performance of a
benchmark index that measures the investment return of small-capitalization
stocks.
INVESMENT STRATEGIES
SMALL-CAP INDEX FUND:The Fund employs a passive management strategy
designed to track the performance of the Russell 2000 Small Stock Index,
which is made up of the stocks of smaller U.S. companies. The Russell 2000
Small Stock Index is comprised of the 2,000 smallest companies out of the
3,000 largest U.S. companies. The Fund invests all or substantially all of
its assets in a representative sample of the stocks that comprise the
Index.
PRIMARY RISKS
SMALL-CAP INDEX FUND: THE FUND'S TOTAL RETURN, LIKE STOCK PRICES
GENERALLY, WILL FLUCTUATE WITHIN A WIDE RANGE, SO AN INVESTOR COULD LOSE
MONEY OVER SHORT OR EVEN LONG PERIODS. Stock markets tend to move in
cycles, with periods of rising prices and periods of falling prices.
The Fund is also subject to investment style risk, which is the chance
that returns from small-capitalization stocks will trail returns from other
assets classes or the overall stock market. Small-capitalization stocks
historically have been more volatile in price than large-cap stocks, and
perform differently than the overall stock market.
WHY INVEST IN INDEX FUNDS?
Index funds appeal to many investors for a number of reasons:
Variety of Investments. Vanguard index funds generally invest in a
wide variety of companies and industries.
Relative consistency. Because they seek to track market benchmarks,
index funds by definition will not perform dramatically better or worse
than their target indexes.
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Low cost. Index funds do not have many of the expenses of an actively
managed fund, such as research costs; in addition, they generally keep
trading activity, and thus brokerage commissions, to a minimum.
INDEXING METHODS
In seeking to track a particular index, a fund generally uses one of
two methods to select stocks.
Some index funds hold each stock found in their target indexes in
about the same proportions as represented in the indexes themselves. This
is called a "replication" method. For example, if 5% of an index were made
up of the stock of a specific company, a fund tracking that index would
invest about 5% of its assets in that company.
Because it would be very expensive to buy and sell all of the stocks
held in certain indexes, funds tracking these larger indexes uses a
"sampling" technique. Using a sophisticated computer program, these funds
invest in a representative sample of stocks from their target index that
will resemble the full index in terms of industry weightings, market
capitalization, price/earnings ratio, dividend yield, and other
characteristics. For instance, if 10% of an index were made up of utility
stocks, a fund using the "sampling" technique would invest about 10% of its
assets in some-but not all-of these utility stocks. The particular utility
stocks selected by the fund, as a group, would have investment
characteristics similar to those of the utility stocks in the index. The
Small-Cap Index Fund employs this method of indexing.
The following table shows the number of stocks held by the Fund as of
December 31, 1999.
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FUND NUMBER OF STOCKS HELD NUMBER OF STOCKS IN TARGET INDEX
---------------------- ------------------------ -----------------------------------
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Small-Cap Index Fund 1,768 1,857
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THE FUND IS SUBJECT TO MARKET RISK, WHICH IS THE CHANCE THAT STOCK
PRICES OVERALL WILL DECLINE OVER SHORT OR EVEN LONG PERIODS. STOCK MARKETS
TEND TO MOVE IN CYCLES, WITH PERIODS OF RISING STOCK PRICES AND PERIODS OF
FALLING STOCK PRICES.
To illustrate the volatility of stock prices, the following table
shows the best, worst, and average total returns for the U.S. stock market
over various periods as
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15
measured by the S&P 500 Index, which is a widely used barometer of stock
market activity. (Total returns consist of dividend income plus change in
market price.) Note that the returns shown do not include the costs of
buying and selling stocks or other expenses that a real-world investment
portfolio would incur. Note, also, that the gap between best and worst
tends to narrow over the long term.
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U.S. STOCK MARKET RETURNS (1926-1999)
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1 YEAR 5 YEARS 10 YEARS 20 YEARS
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Best 54.2% 28.6% 19.9% 17.9%
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Worst -43.1 -12.4 -0.9 3.1
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Average 13.2 11.0 11.1 11.1
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</TABLE>
The table covers all of the 1-, 5-, 10-, and 20-year periods from 1926
through 1999. You can see, for example, that while the average return on
common stocks for all of the 5-year periods was 11.0%, returns for
individual 5-year periods ranged from a -12.4% average (from 1928 through
1932) to 28.6% (from 1995 through 1999). These average returns reflect past
performance on common stocks; you should not regard them as an indication
of future returns from either the stock market as a whole or the Fund in
particular.
THE FUND IS ALSO SUBJECT TO INVESTMENT STYLE RISK, WHICH IS THE CHANCE
THAT RETURNS FROM A SPECIFIC TYPE OF STOCK (FOR INSTANCE, SMALL-CAP) WILL
TRAIL RETURNS FROM OTHER ASSET CLASSES OR THE OVERALL STOCK MARKET. EACH
TYPE OF STOCK TENDS TO GO THROUGH CYCLES OF DOING BETTER-OR WORSE-THAN
COMMON STOCKS IN GENERAL. THESE PERIODS HAVE, IN THE PAST, LASTED FOR AS
LONG AS SEVERAL YEARS.
All index names are the exclusive property of their respective owners.
TURNOVER RATE
Generally, a passively managed fund sells securities only to respond to
redemption requests or to adjust the number of shares held to reflect a
change in the fund's target index. Turnover rates for large-cap stock index
funds tend to be very low because large-cap indexes typically do not change
much from year to year. Turnover rates for small-cap stock index funds tend
to be higher (although still relatively low, compared to actively managed
stock funds), because the indexes they track are more likely to
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16
change as a result of mergers, acquisitions, business failures, or growth
of companies than a larger-cap index.
OTHER INVESTMENT POLICIES
The Fund reserves the right to substitute a different index for the
index it currently tracks if the current index is discontinued, or for any
other reason determined in good faith by the Fund's Board of Trustees. In
every such instance, the substitute index will measure the same general
market as the current index.
The Fund may invest in non-U.S. securities to the extent necessary to
carry out its investment strategy of holding all, or a representative
sample, of the stocks that comprise the index it tracks. It is not expected
that the Fund will invest more than 5% of its assets in non-U.S.
securities.
Although index funds, by their nature, tend to be tax-efficient
investment vehicles, the Fund generally is managed without regard to tax
ramifications.
To track its target indexes as closely as possible, the Fund attempts
to remain fully invested (at least 95% of total assets) in the stocks of
the index. To help stay fully invested, and to reduce transaction costs,
the Fund may invest, to a limited extent, in futures and options contracts,
warrants, convertible securities, and swap agreements, which are types of
derivatives.
Losses (or gains) involving futures can sometimes be substantial - in
part because a relatively small price movement in a futures contract may
result in an immediate and substantial loss (or gain) for the Fund. Similar
risks exist for warrants (securities that permit their owners to purchase a
specific number of stock shares at predetermined price), convertible
securities (securities that may be exchanged for another asset), and swap
agreements (contracts in which each party agrees to make payments to the
other based on the return of a specified index or asset).
For this reason, the Fund will not use futures, options, warrants,
convertible securities, or swap agreements for speculative purposes or as
leveraged investments that magnify the gains or losses of an investment.
The Fund's obligation under futures contracts will not exceed 20% of the
Fund's total assets.
The reasons for which the Fund will invest in futures and options are:
-To keep cash on hand to meet shareholder redemptions or other needs while
simulating full investment in stocks.
-To reduce the Fund's transaction costs or add value when these instruments
are favorably priced.
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17
INVESTMENT POLICIES
REPURCHASE AGREEMENTS. The Fund may invest in repurchase agreements with
commercial banks, brokers or dealers to generate income from its excess
cash balances. A repurchase agreement is an agreement under which the Fund
acquires a fixed-income security (generally a security issued by the U.S.
Government or an agency thereof, a banker's acceptance or a certificate of
deposit) from a commercial bank, broker or dealer, subject to resale to the
seller at an agreed upon price and date (normally, the next business day).
A repurchase agreement may be considered a loan collateralized by
securities. The resale price reflects an agreed upon interest rate
effective for the period the instrument is held by the Fund and is
unrelated to the interest rate on the underlying instrument. In these
transactions, the securities acquired by the Fund (including accrued
interest earned thereon) must have a total value in excess of the value of
the repurchase agreement and are held by a custodian bank until
repurchased. In addition, the Board of Trustees will monitor the Fund's
repurchase agreement transactions generally and will establish guidelines
and standards for review of the creditworthiness of any bank, broker or
dealer party to a repurchase agreement with the Fund.
The use of repurchase agreements involves certain risks. For example,
if the other party to the agreement defaults on its obligation to
repurchase the underlying security at a time when the value of the security
has declined, the Fund may incur a loss upon disposition of the security.
If the other party to the agreement becomes insolvent and subject to
liquidation or reorganization under bankruptcy or other laws, a court may
determine that the underlying security is collateral for a loan by the Fund
not within the control of the Fund and therefore the Fund may not be able
to substantiate its interest in the underlying security and may be deemed
an unsecured creditor of the other party to the agreement. While the Fund's
adviser acknowledges these risks, it is expected that they can be
controlled through careful monitoring procedures.
LENDING OF SECURITIES. The Fund may lend its securities on a short-term or
long-term basis to qualified institutional investors (typically brokers,
dealers, banks or other financial institutions) who need to borrow
securities in order to complete certain transactions, such as covering
short sales, avoiding failures to deliver securities or completing
arbitrage operations. By lending its portfolio securities, the Fund can
increase its net investment income through the receipt of interest on the
loan. Any
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18
gain or loss in the market price of the securities loaned that might occur
during the term of the loan would be for the account of the Fund. The
terms, the structure and the aggregate amount of such loans must be
consistent with the 1940 Act, and the rules and regulations or
interpretations of the SEC thereunder. These provisions limit the amount of
securities the Fund may lend to 33 1/3% of the Fund's total assets, and
require that (a) the borrower pledge and maintain with the Fund collateral
consisting of cash, a letter of credit issued by a U.S. bank, or securities
issued or guaranteed by the United States Government having at all times
not less than 100% of the value of the securities loaned, (b) the borrower
add to such collateral whenever the price of the securities loaned rises
(i.e. the borrower "marks to the market" on a daily basis), (c) the loan be
made subject to termination by the Fund at any time and (d) the Fund
receive reasonable interest on the loan (which may include the Fund's
investing any cash collateral in interest bearing short-term investments),
any distribution on the loaned securities and any increase in their market
value. Loan arrangements made by the Fund will comply with all other
applicable regulatory requirements, including the rules of the New York
Stock Exchange, which rules presently require the borrower, after notice,
to redeliver the securities within the normal settlement time of three
business days. All relevant facts and circumstances, including the
creditworthiness of the broker, dealer or institution, will be considered
in making decisions with respect to the lending of securities, subject to
review by the Board of Trustees.
At the present time, the Staff of the SEC does not object if an
investment company pays reasonable negotiated fees in connection with
loaned securities, so long as such fees are set forth in a written contract
and approved by the investment company's trustees. In addition, voting
rights pass with the loaned securities, but if a material event occurs that
affects the securities on loan, the Fund must call the loan and vote the
securities.
VANGUARD INTERFUND LENDING PROGRAM. The Commission has issued an exemptive
order permitting the Fund and other Vanguard funds to participate in
Vanguard's interfund lending program. This program allows the Vanguard
funds to borrow money from and loan money to each other for temporary or
emergency purposes. The program is subject to a number of conditions,
including the requirement that no fund may borrow or lend money through the
program unless it receives a more favorable interest rate than is available
from a typical bank for a comparable transaction. In addition, a Vanguard
fund may participate in the program only if and to the extent
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19
that such participation is consistent with the fund's investment objective
and other investment policies. The Boards of Trustees of the Vanguard funds
are responsible for ensuring that the interfund lending program operates in
compliance with all conditions of the SEC's exemptive order.
TEMPORARY INVESTMENTS. The Fund may take temporary defensive measures that
are inconsistent with the Fund's normal fundamental or non-fundamental
investment policies and strategies in response to adverse market, economic,
political or other conditions. Such measures could include investments in
(a) highly liquid short-term fixed-income securities issued by or on behalf
of municipal or corporate issuers, obligations of the U.S. Government and
its agencies, commercial paper, and bank certificates of deposit; (b)
shares of other investment companies which have investment objectives
consistent with those of the Fund; (c) repurchase agreements involving any
such securities; and (d) other money market instruments. There is no limit
on the extent to which the Fund may take temporary defensive measures. In
taking such measures, the Fund may fail to meet its investment objective.
ILLIQUID SECURITIES. The Fund may invest up to 15% of its net assets in
illiquid securities. Illiquid securities are securities that the Fund may
not be able to sell or dispose of in the ordinary course of business within
seven business days at approximately the value at which they are being
carried on the Fund's books.
FUTURES CONTRACTS. The Fund may enter into futures contracts, options,
warrants, options on futures contracts, convertible securities and swap
agreements for the purpose of simulating full investment and reducing
transactions costs. The Fund does not use futures or options for
speculative purposes. The Fund will only use futures and options to
stimulate full investment in the underlying index while retaining a cash
balance for fund management purposes. Futures contracts provide for the
future sale by one party and purchase by another party of a specified
amount of a specific security at a specified future time and at a specified
price. Futures contracts which are standardized as to maturity date and
underlying financial instrument are traded on national futures exchanges.
Futures exchanges and trading are regulated under the Commodity Exchange
Act by the Commodity Futures Trading Commission (CFTC), a U.S. Government
agency. Assets committed to futures contracts will be segregated to the
extent required by law.
Although futures contracts by their terms call for actual delivery or
acceptance of the underlying securities, in most cases the contracts are
closed out
<PAGE>
20
before the settlement date without the making or taking of delivery.
Closing out an open futures position is done by taking an opposite position
("buying" a contract which has previously been "sold" or "selling" a
contract previously purchased) in an identical contract to terminate the
position. Brokerage commissions are incurred when a futures contract is
bought or sold.
Futures traders are required to make a good faith margin deposit in
cash or government securities with a broker or custodian to initiate and
maintain open positions in futures contracts. A margin deposit is intended
to assure completion of the contract (delivery or acceptance of the
underlying security) if it is not terminated prior to the specified
delivery date. Minimal initial margin requirements are established by the
futures exchange and may be changed. Brokers may establish deposit
requirements which are higher than the exchange minimums. Futures contracts
are customarily purchased and sold on deposits which may range upward from
less than 5% of the value of the contract being traded.
After a futures contract position is opened, the value of the contract
is marked to market daily. If the futures contract price changes to the
extent that the margin on deposit does not satisfy margin requirements,
payment of additional "variation" margin will be required. Conversely, a
change in the contract value may reduce the required margin, resulting in a
repayment of excess margin to the contract holder. Variation margin
payments are made to and from the futures broker for as long as the
contract remains open. The Fund expects to earn interest income on its
margin deposits.
Traders in futures contracts may be broadly classified as either
"hedgers" or "speculators." Hedgers use the futures markets primarily to
offset unfavorable changes in the value of securities either held for
investment purposes or expected to be acquired by them. Speculators are
less inclined to own, or intend to purchase, the securities underlying the
futures contracts which they trade, and use futures contracts with the
expectation of realizing profits from fluctuations in the prices of
underlying securities. The Fund intends to use futures contracts only for
bona fide hedging purposes.
Regulations of the CFTC applicable to the Fund require that all of its
futures transactions constitute bona fide hedging transactions except to
the extent that the aggregate initial margins and premiums required to
establish any non-hedging positions do not exceed five percent of the value
of the Fund's portfolio. The Fund
<PAGE>
21
will only sell futures contracts to protect the Fund against declines in
the prices of the securities underlying the futures contracts or purchase
contracts to protect against an increase in the price of securities it
intends to purchase. As evidence of this hedging interest, the Fund expects
that the majority of its futures contract purchases will be "completed;"
that is, equivalent amounts of related securities will have been purchased
or are being purchased by the Fund upon sale of open futures contracts.
Although techniques other than the sale and purchase of futures
contracts could be used to control the Fund's exposure to market
fluctuations, the use of futures contracts may be a more effective means of
hedging this exposure. While the Fund will incur commission expenses in
both opening and closing out futures positions, these costs are lower than
transaction costs incurred in the purchase and sale of the underlying
securities.
RESTRICTIONS ON THE USE OF FUTURES CONTRACTS. The Fund will not enter into
futures contract transactions to the extent that, immediately thereafter,
the sum of its initial margin deposits on open contracts exceeds 5% of the
market value of the Fund's total assets. In addition, the Fund will not
enter into futures contracts to the extent that its outstanding obligations
to purchase securities under these contracts would exceed 20% of the Fund's
total assets.
RISK FACTORS IN FUTURES TRANSACTIONS. Positions in futures contracts may be
closed out only on an Exchange which provides a secondary market for such
futures. However, there can be no assurance that a liquid secondary market
will exist for any particular futures contract at any specific time. Thus,
it may not be possible to close a futures position. In the event of adverse
price movements, the Fund would continue to be required to make daily cash
payments to maintain its required margin. In such situations, if the Fund
has insufficient cash, it may have to sell portfolio securities to meet
daily margin requirements at a time when it may be disadvantageous to do
so. In addition, the Fund may be required to make delivery of the
instruments underlying futures contracts it holds. The inability to close
options and futures positions also could have an adverse impact on the
ability to effectively hedge.
The Fund will minimize the risk that it will be unable to close out a
futures contract by only entering into futures which are traded on national
futures exchanges and for which there appears to be a liquid secondary
market.
The risk of loss in trading futures contracts in some strategies can
be substantial, due both to the low margin deposits required, and the
extremely high
<PAGE>
22
degree of leverage involved in futures pricing. As a result, a relatively
small price movement in a futures contract may result in immediate and
substantial loss (as well as gain) to the investor. For example, if at the
time of purchase, 10% of the value of the futures contract is deposited as
margin, a subsequent 10% decrease in the value of the futures contract
would result in a total loss of the margin deposit, before any deduction
for the transaction costs, if the account were then closed out. A 15%
decrease would result in a loss equal to 150% of the original margin
deposit if the contract were closed out. Thus, a purchase or sale of a
futures contract may result in losses in excess of the amount invested in
the contract. The Fund also bears the risk that the adviser will
incorrectly predict future stock market trends. However, because the
futures strategy of the Fund is engaged in only for hedging purposes, the
Fund's Officers do not believe that the Fund is subject to the risks of
loss frequently associated with futures transactions. The Fund would
presumably have sustained comparable losses if, instead of the futures
contract, it had invested in the underlying financial instrument and sold
it after the decline.
Utilization of futures transactions by the Fund does involve the risk
of imperfect or no correlation where the securities underlying futures
contracts have different maturities than the portfolio securities being
hedged. It is also possible that the Fund could both lose money on futures
contracts and also experience a decline in value of its portfolio
securities. There is also the risk of loss by the Fund of margin deposits
in the event of bankruptcy of a broker with whom the Fund has an open
position in a futures contract or related option.
Most futures exchanges limit the amount of fluctuation permitted in
futures contract prices during a single trading day. The daily limit
establishes the maximum amount that the price of a futures contract may
vary either up or down from the previous day's settlement price at the end
of a trading session. Once the daily limit has been reached in a particular
type of contract, no trades may be made on that day at a price beyond that
limit. The daily limit governs only price movement during a particular
trading day and therefore does not limit potential losses, because the
limit may prevent the liquidation of unfavorable positions. Futures
contract prices have occasionally moved to the daily limit for several
consecutive trading days with little or no trading, thereby preventing
prompt liquidation of futures positions and subjecting some futures traders
to substantial losses.
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23
U.S. FEDERAL TAX TREATMENT OF FUTURES CONTRACTS. The Fund is required for
U.S. federal income tax purposes to recognize as income for each taxable
year its net unrealized gains and losses on certain futures contracts as of
the end of the year as well as those actually realized during the year. In
these cases, any gain or loss recognized with respect to a futures contract
is considered to be 60% long-term capital gain or loss and 40% short-term
capital gain or loss, without regard to the holding period of the contract.
Gains and losses on certain other futures contracts (primarily non-U.S.
futures contracts) are not recognized until the contracts are closed and
are treated as long-term or short-term depending on the holding period of
the contract. Sales of futures contracts which are intended to hedge
against a change in the value of securities held by the Fund may affect the
holding period of such securities and, consequently, the nature of the gain
or loss on such securities upon disposition. The Fund may be required to
defer the recognition of losses on futures contracts to the extent of any
unrecognized gains on related positions held by the Fund.
In order for the Fund to continue to qualify for U.S. federal income
tax treatment as a regulated investment company, at least 90% of its gross
income for a taxable year must be derived from qualifying income; i.e.,
dividends, interest, income derived from loans of securities, gains from
the sale of securities or of non-U.S. currencies or other income derived
with respect to the Fund's business of investing in securities or
currencies. It is anticipated that any net gain on futures contracts will
be considered qualifying income for purposes of the 90% requirement.
The Fund will distribute to Shareholders annually any net capital
gains which have been recognized for U.S. federal income tax purposes on
futures transactions. Such distributions will be combined with
distributions of capital gains realized on the Fund's other investments and
Shareholders will be advised on the nature of the distributions.
NON-U.S. INVESTMENTS. The Fund may invest in non-U.S. securities to
the extent necessary to carry out its investment strategy of holding all or
a representative sample, of the stocks that comprise the index it tracks.
Investors should recognize that investing in non-U.S. companies involves
certain special considerations which are not typically associated with
investing in U.S. companies.
CURRENCY RISK. Since the stocks of non-U.S. companies are frequently
denominated in non-U.S. currencies, and since the Fund may temporarily hold
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24
uninvested reserves in bank deposits in non-U.S. currencies, the Fund will
be affected favorably or unfavorably by changes in currency rates and in
exchange control regulations, and may incur costs in connection with
conversions between various currencies. The investment policies of the Fund
permit it to enter into forward non-U.S. currency exchange contracts in
order to hedge the Fund's holdings and commitments against changes in the
level of future currency rates. Such contracts involve an obligation to
purchase or sell a specific currency at a future date at a price set at the
time of the contract.
U.S. FEDERAL TAX TREATMENT OF NON-U.S. TRANSACTIONS. Special rules govern
the U.S. federal income tax treatment of certain transactions denominated
in terms of a currency other than the U.S. Dollar or determined by
reference to the value of one or more currencies other than the U.S.
Dollar. The types of transactions covered by the special rules include the
following: (i) the acquisition of, or becoming the obligor under, a bond or
other debt instrument (including, to the extent provided in Treasury
regulations, preferred stock); (ii) the accruing of certain trade
receivables and payables; and (iii) the entering into or acquisition of any
forward contract, futures contract, option or similar financial instrument
if such instrument is not marked to market. The disposition of a currency
other than the U.S. Dollar by a taxpayer whose functional currency is the
U.S. Dollar is also treated as a transaction subject to the special
currency rules. However, non-U.S. currency-related regulated futures
contracts and nonequity options are generally not subject to the special
currency rules if they are or would be treated as sold for their fair
market value at year-end under the marking-to-market rules applicable to
other futures contracts unless an election is made to have such currency
rules apply. With respect to transactions covered by the special rules,
non-U.S. currency gain or loss is calculated separately from any gain or
loss on the underlying transaction and is normally taxable as ordinary
income or loss. A taxpayer may elect to treat as capital gain or loss
non-U.S. currency gain or loss arising from certain identified forward
contracts, futures contracts and options that are capital assets in the
hands of the taxpayer and which are not part of a straddle. The U.S.
Treasury Department issued regulations under which certain transactions
subject to the special currency rules that are part of a "section 988
hedging transaction" (as defined in the Internal Revenue Code of 1986, as
amended, and the U.S. Treasury regulations) will be integrated and treated
as a single transaction or otherwise treated consistently for purposes of
the Code. Any gain or loss attributable to the non-U.S.
<PAGE>
25
currency component of a transaction engaged in by the Fund which is not
subject to the special currency rules (such as non-U.S. equity investments
other than certain preferred stocks) will be treated as capital gain or
loss and will not be segregated from the gain or loss on the underlying
transaction. It is anticipated that some of the non-U.S. Dollar-denominated
investments and non-U.S. currency contracts the Fund may make or enter into
will be subject to the special currency rules described above.
COUNTRY RISK. As non-U.S. companies are not generally subject to
uniform accounting, auditing and financial reporting standards and
practices comparable to those applicable to U.S. companies, there may be
less publicly available information about certain non-U.S. companies than
about U.S. companies. Securities of some non-U.S. companies are generally
less liquid and more volatile than securities of comparable U.S. companies.
There is generally less government supervision and regulation of non-U.S.
stock exchanges, brokers and listed companies than in the U.S. In addition,
with respect to certain non-U.S. countries, there is the possibility of
expropriation of confiscatory taxation, political or social instability, or
diplomatic developments which could affect U.S. investments in those
countries.
Although the Fund will endeavor to achieve most favorable execution
costs in their portfolio transactions, fixed commissions on many non-U.S.
stock exchanges are generally higher than negotiated commissions on U.S.
exchanges. In addition, it is expected that the expenses for custodial
arrangements of the Fund's non-U.S. securities will be somewhat greater
than the expenses for the custodial arrangements for handling U.S.
securities of equal value.
Certain governments outside the U.S. levy withholding taxes against
dividend and interest income. Although in some countries a portion of these
taxes is recoverable, the non-recovered portion of non-U.S. withholding
taxes will reduce the income received from non-U.S. securities held by the
Fund. However, these non-U.S. withholding taxes are not expected to have a
significant impact on the Fund, since the Fund seeks long-term capital
appreciation and any income should be considered incidental.
(B) Investment Restrictions:
The Fund is subject to the following fundamental investment
limitations, which cannot be changed in any material way without the
approval of the holders of a majority of the Fund's Shares. For these
purposes, a "majority" of Shares means Shares representing the lesser of:
(i) 67% or more of the votes cast to approve a
<PAGE>
26
change, so long as Shares representing more than 50% of the Fund's net
asset value are present or represented by proxy; or (ii) Shares
representing more than 50% of the Fund's net asset value.
(1) BORROWING. The Fund may not borrow money, except for temporary or
emergency purposes in an amount not exceeding 15% of the Fund's net assets.
The Fund may borrow money through banks, reverse repurchase agreements, or
Vanguard's interfund lending program only, and must comply with all
applicable regulatory conditions. The Fund may not make any additional
investments if its outstanding borrowings exceed 5% of its net assets.
(2) COMMODITIES. The Fund may not invest in commodities, except that it may
invest in stock index futures contracts, stock options and options on stock
index futures contracts. No more than 5% of the Fund's total assets may be
used as initial margin deposit for futures contracts, and no more than 20%
of the Fund's total assets may be invested in futures contracts or options
at any time.
(3) DIVERSIFICATION. With respect to 75% of its total assets, the Fund may
not: (i) purchase more than 10% of the outstanding voting securities of any
one issuer; or (ii) purchase securities of any issuer if, as a result, more
than 5% of the Fund's total assets would be invested in that issuer's
securities. This limitation does not apply to obligations of the United
States Government, its agencies, or instrumentalities.
(4) ILLIQUID SECURITIES. The Fund may not acquire any security if, as a
result, more than 15% of its net assets would be invested in securities
that are illiquid. From time to time, the Trust's Board of Trustees may
determine that certain restricted securities known as Rule 144A securities
are liquid and not subject to the 15% limitation.
(5) INDUSTRY CONCENTRATION. The Fund may not invest more than 25% of its
total assets in any one industry.
(6) INVESTING FOR CONTROL. The Fund may not invest in a company for
purposes of controlling its management.
(7) INVESTMENT COMPANIES. The Fund may not invest in any other investment
company, except through a merger, consolidation or acquisition of assets,
or to the extent permitted by Section 12 of the 1940 Act. Investment
companies whose Shares the Fund acquires pursuant to Section 12 must have
investment objectives and investment policies consistent with those of the
Fund.
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27
(8) LOANS. The Fund may not lend money to any person except by purchasing
fixed-income securities that are publicly distributed, lending its
portfolio securities, or through Vanguard's interfund lending program.
(9) MARGIN. The Fund may not purchase securities on margin or sell
securities short, except as permitted by the Fund's investment policies
relating to commodities.
(10) Oil, gas, minerals. The Fund may not invest in interests in oil, gas
or other mineral exploration or development programs.
(11) PLEDGING ASSETS. The Fund may not pledge, mortgage or hypothecate more
than 15% of its net assets.
(12) UTS/CALLS. The Fund may not purchase or sell put, call, straddle or
spread options, except as permitted by the Fund's investment policies
relating to commodities.
(13) REAL ESTATE. The Fund may not invest directly in real estate, although
it may invest in securities of companies that deal in real estate.
(14) SENIOR SECURITIES. The Fund may not issue senior securities, except in
compliance with the 1940 Act.
(15) UNDERWRITING. The Fund may not engage in the business of underwriting
securities issued by other persons. The Fund will not be considered an
underwriter when disposing of its investment securities.
The above-mentioned investment limitations are considered at the time
investment securities are purchased.
None of these limitations prevents the Fund from participating in The
Vanguard Group (Vanguard). Because the Fund is a member of the Group, the
Fund may own securities issued by Vanguard, make loans to Vanguard, and
contribute to Vanguard's costs or other financial requirements. See
"Management Structure" for more information.
In order to permit the sale of its Shares in Japan, the Fund may make
commitments more restrictive than the investment policies and limitations
described above and in its prospectus. Should the Fund determine that such
commitment is no longer in its best interests, it will revoke the
commitment by terminating sales of its Shares in Japan. In order to comply
with the "Standards of Selection of Foreign Investment Fund Securities"
established under the Rules of Foreign Securities Transaction by the
Japanese Securities Dealers Association, as a matter of operating policy:
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28
(1) The Fund may not borrow money, except for temporary or emergency
purposes in an amount not exceeding 10% of the Fund's net assets;
(2) The Fund, together with other mutual funds managed by The Vanguard
Group, Inc., may not purchase more than 50% of the outstanding shares of
any issuer;
(3) The Fund may not invest more than 15% of its net assets in illiquid
securities (which include securities restricted as to resale unless they
are determined to be readily marketable in accordance with procedures
established by the Board of Trustees);
(4) The Fund may not sell securities short at any time in excess of its net
assets; and
(5) The Fund may not sell, purchase or loan securities (excluding Shares in
the Fund) or grant or receive a loan or loans to or from the adviser,
corporate and domiciliary agent, or paying agent, the distributors and the
authorized agents or any of their directors, officers or employees or any
of their major Shareholders (meaning a Shareholder who holds, in his own or
other name (as well as a nominee's name), more than 10% of the total issued
and outstanding Shares of stock of such company) acting as principal, or
for their own account, unless the transaction is made within the other
restrictions set forth above and either (a) at a price determined by
current publicly available quotations, or (b) at competitive prices or
interest rates prevailing from time to time on internationally recognized
securities markets or internationally recognized money markets.
(C) Distribution Policy:
The Fund distributes to Shareholders virtually all of its net income
(interest and dividends, less expenses) as well as any capital gains
realized from the sale of its holdings. Income dividends generally are
distributed in December for the Fund. Capital gains distributions for the
Fund generally occur in December. In addition, the Fund may occasionally be
required to make supplemental dividend or capital gains distributions at
some other time during the year.
Investors in Japan will receive distributions of income dividends or
capital gains in cash.
3. MANAGEMENT STRUCTURE
(A) Outline of Management of Assets, etc.:
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29
A. Valuation of Assets:
The Share price, or "net asset value" per Share for the Fund is
calculated by dividing the total assets of the Fund attributed to each
Share class, less all liabilities attributed to each Share class, by the
total number of Shares outstanding for each class. The net asset value is
determined as of the close of the New York Stock Exchange (generally 4:00
p.m. U.S. Eastern time) on each day the Exchange is open for trading.
Portfolio securities for which market quotations are readily available
(includes those securities listed on national securities exchanges, as well
as those quoted on the NASDAQ Stock Market) will be valued at the last
quoted sales price on the day the valuation is made. Such securities which
are not traded on the valuation date are valued at the mean of the bid and
ask prices. Price information on an exchange-listed security is taken from
the exchange where the security is primarily traded. Securities may be
valued on the basis of prices provided by a pricing service when such
prices are believed to reflect the fair market value of such securities.
Short-term instruments (those acquired with remaining maturities of 60
days or less) may be valued at cost, plus or minus any amortized discount
or premium, which approximates market value.
Bonds and other fixed-income securities may be valued on the basis of
prices provided by a pricing service when such prices are believed to
reflect the fair market value of such securities. The prices provided by a
pricing service may be determined without regard to bid or last sale prices
of each security, but take into account institutional-size transactions in
similar groups of securities as well as any developments related to
specific securities.
Non-U.S. securities are valued at the last quoted sales price, or the
most recently determined closing price calculated according to local market
convention, available at the time the Fund is valued. Prices are obtained
from the broadest and most representative market on which the securities
trade. If events which materially affect the value of the Fund's
investments occur after the close of the securities markets on which such
securities are primarily traded, those investments may be valued by such
methods as the Board of Trustees deems in good faith to reflect fair value.
In determining the Fund's net asset value per Share, all assets and
liabilities initially expressed in non-U.S. currencies will be converted
into U.S. Dollars using
<PAGE>
30
the officially quoted daily exchange rates used by Morgan Stanley Capital
International in calculating various benchmarking indices. This officially
quoted exchange rate may be determined prior to or after the close of a
particular securities market. If such quotations are not available, or do
not reflect market conditions at the time the Fund is valued, the rate of
exchange will be determined in accordance with policies established in good
faith by the Board of Trustees.
Other assets and securities for which no quotations are readily
available or which are restricted as to sale (or resale) are valued by such
methods as the Board of Trustees deems in good faith to reflect fair value.
B. Management Fee, etc.:
(a) Trustee Fees
The same individuals serve as Trustees of all Vanguard Trusts
(with two exceptions, which are noted in the table below), and each
Trust pays a proportionate share of the Trustees' compensation. The
Trusts employ their Officers on a shared basis, as well. However,
Officers are compensated by The Vanguard Group, Inc., not the Trusts.
INDEPENDENT TRUSTEES. The Trusts compensate their independent Trustees
- that is, the ones who are not also Officers of the Trust - in three
ways.
* The independent Trustees receive an annual fee for their service to
the Trusts, which is subject to reduction based on absences from
scheduled Board meetings.
* The independent Trustees are reimbursed for the travel and other
expenses that they incur in attending Board meetings.
* Upon retirement, the independent Trustees receive an aggregate
annual fee of $1,000 for each year served on the Board, up to fifteen
years of service. This annual fee is paid ten years following
retirement, or until each Trustee's death.
"INTERESTED" TRUSTEE. Mr. Brennan serves as Trustee, but is not paid
in this capacity. He is, however, paid in his role as Officer of The
Vanguard Group, Inc.
COMPENSATION TABLE. The following table provides compensation details
for each of the Trustees. We list the amounts paid as compensation and
accrued as retirement benefits by the Trust for each Trustee. In
addition, the table shows the total amount of benefits that we expect
each Trustee to receive from
<PAGE>
31
all Vanguard Trusts upon retirement, and the total amount of
compensation paid to each Trustee by all Vanguard Trusts. All
information shown is for the fiscal year ended December 31, 1999.
TRUST COMPENSATION TABLE
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
------------------------ --------------------- ---------------------- --------------------- ----------------------
Names of Trustees Aggregate Pension or Estimated Annual Total Compensation
Compensation From Retirement Benefits Benefits Upon From All Vanguard
the Trust (1) Accrued As Part of Retirement Funds Paid to
the Trust's Expenses (1) Trustees(2)
------------------------ --------------------- ---------------------- --------------------- ----------------------
John C. Bogle(3) None None None None
------------------------ --------------------- ---------------------- --------------------- ----------------------
John J. Brennan None None None None
------------------------ --------------------- ---------------------- --------------------- ----------------------
JoAnn Heffernan Heisen $21,767 $1,199 $15,000 $80,000
------------------------ --------------------- ---------------------- --------------------- ----------------------
Bruce K. MacLaury $22,553 $2,032 $12,000 $75,000
------------------------ --------------------- ---------------------- --------------------- ----------------------
Burton G. Malkiel $21,925 $1,985 $15,000 $80,000
------------------------ --------------------- ---------------------- --------------------- ----------------------
Alfred M. Rankin, Jr. $21,767 $1,452 $15,000 $80,000
------------------------ --------------------- ---------------------- --------------------- ----------------------
John C. Sawhill (4) $21,767 $1,839 $15,000 $80,000
------------------------ --------------------- ---------------------- --------------------- ----------------------
James O. Welch, Jr. $21,767 $2,122 $15,000 $80,000
------------------------ --------------------- ---------------------- --------------------- ----------------------
J. Lawrence Wilson $21,767 $1,533 $15,000 $80,000
------------------------ --------------------- ---------------------- --------------------- ----------------------
(1) The amounts shown in this column are based on the Trust's fiscal year ended
December 31, 1999.
</TABLE>
<PAGE>
32
(2) The amounts reported in this column reflect the total compensation paid
to each Trustee for their service as Trustee of 103 Vanguard Funds (102
in the case of Mr. Malkiel; 93 in the case of Mr. MacLaury).
(3) Mr.Bogle has retired from the Trust's Board, effective December 31, 1999.
(4) Mr.Sawhill died in May, 2000.
(b) Management Expenses and Other Expenses
For its investment management services and other services to the Fund,
Small-Cap Index Fund shall pay management expenses and other expenses
computed daily and paid monthly based on the Fund's average daily net
assets at the annual rate of 0.25% of net assets.. For the fiscal year
ended December 31, 1999, Small-Cap Index Fund incurred $6,812,000 of
The Vanguard Group, Inc's. management (including transfer agency),
distribution and marketing expenses. Small-Cap Index Fund incurred
$167,000 in investment advisory expenses for the same period.
(c) Account Administration Fee
In Japan, an Account Administration Fee at the rate of 0.70%
multiplied by the Shareholder's average account balance shall be
assessed upon each Shareholder quarterly in arrears. For Shareholder
accounts which are redeemed in full prior to the end of each quarter,
the Account Administration Fee shall be charged on a pro rata basis
and assessed at the time of redemption. An Account Administration Fee
is compensation to the Distributor for providing account
administration and related services. A consumption tax of 5% is added
to the Account Administration Fee.
The Account Administration Fee shall be calculated and collected from
each Shareholder in the following manner.
1. At the end of each calendar quarter, the Shareholder's average
daily account will be calculated in respect of the Fund. This
initial calculation is in Yen.
2. A fee of one quarter of the 70 basis point annual fee (60 basis
point annual fee from July 17, 2001) will be calculated based on
the average account balance so calculated. (Note that in the case
of Shareholder accounts which are partially or fully redeemed
prior to the end of each calendar quarter, the fee shall be
charged in proportion to the period in
<PAGE>
33
which such shareholder holds the shares and assessed at the time
of each redemption. Quarterly assessments shall be net of any
fees charged for partial redemptions during the quarter.)
3. The Distributor will first attempt to withdraw the Account
Administration Fee from the Shareholder's account of Daiwa MRF
(Money Reserve Fund) of Daiwa Securities Investment Trust
Management Co., Ltd.
4. If there is an insufficient balance, the Distributor will next
attempt to withdraw the fee from the Shareholder's account of
DKA's MMF (Money Market Fund) of Dai-ichi Kangyo Asset Management
Co., Ltd., with the exception that Distributor will only withdraw
from balances invested for periods greater than thirty days.
5. If there is an insufficient balance, the Distributor will then
redeem shares from the Fund in respect of which the Account
Administration Fee is collected. If the Shareholder holds two or
more Vanguard Funds' Shares, the Distributor will redeem shares
in the following order:
(i) Vanguard Small-Cap Index Fund
(ii) Vanguard Wellesley Income Fund (Note)
(Note)
Vanguard Wellesley Income Fund has not yet been registered
for public offering as of the date of filing.
6. Shares are redeemed in whole amounts at a level that is necessary
to fund any shortfall. The Distributor will then redeem the
necessary Shares, deduct the Account Administration Fee owed by
the Shareholder and return any excess proceeds to the Shareholder
within four Bank Business Days following the redemption. These
proceeds will then be swept by the Distributor to the
Shareholder's Daiwa MRF on the following Bank Business Day.
C. Sales, Repurchases and Custody:
(1) Sales of Shares:
a. SALES IN THE UNITED STATES Investors buy their Shares at the Fund's
next-determined net asset value after The Vanguard Group, Inc.
receives their request. As long as their request is
<PAGE>
34
received before the close of trading on the New York Stock Exchange,
generally 4 p.m. U.S. Eastern time, investors will buy their Shares at
that day's net asset value.
b. SALES IN JAPAN
In Japan, Shares of the Fund are offered on any Fund Business Day
(i.e., any day on which the New York Stock Exchange is open for
trading) when sales handling companies are open for business in Japan
(with the exception of a day in which the next business day is a
national holiday in Japan) during the subscription period mentioned in
"10. Period of Subscription, Part I Information Concerning Securities"
of the securities registration statement. A sales handling company
shall provide to the investors a Contract Concerning a Foreign
Securities Transactions Account (the "Contract") and receive from such
investors an application for requesting the opening of a transactions
account under the Contract. In the case of Vanguard Small-Cap Index
Fund, minimum shares to open an account shall be 50 shares and
integral multiples of 5 shares. Ongoing purchase shall be made in
increments of 5 shares.
The issue price for Shares during the subscription period shall be, in
principal, the net asset value per Share next calculated after the
Fund has received such application. The Trade Day in Japan is the day
when the Sales Handling Company accepts the order. The payment and
delivery shall be made in Yen on the fourth business day from and
including the Trade Day. No sales charge is added in Japan, provided,
however, that an Account Administration Fee at an annual rate of 0.70%
multiplied by the Shareholder's average account balance shall be
assessed upon each Shareholder quarterly in arrears. For Shareholder
accounts which are redeemed partially or in full prior to the end of
each quarter, the Account Administration Fee shall be charged on a pro
rata basis and assessed at the time of each redemption. Quarterly
assessments shall be net of any fees charged for partial redemptions
during the quarter. An Account Administration Fee is compensation to
the Distributor in Japan for providing account administration and
related services. A consumption tax of 5% is added to the Account
Administration Fee.
Shareholders will receive from the Sales Handling Company a
certificate of safekeeping in exchange for the purchase price. In such
case payment shall be made in Yen in principal and the applicable
exchange rate shall be the
<PAGE>
35
exchange rate which shall be based on the foreign exchange rate quoted
in the Tokyo Foreign Exchange Market on the Trade Day and which shall
be determined by the Sales Handling Company. The payment by the
investor to the Distributor may be made in U.S. Dollars to the extent
that the Sales Handling Companies can agree.
In addition, the Sales Handling Companies in Japan who are members of
the Japan Securities Dealers Association cannot continue sales of the
Shares of the Fund in Japan when the net assets of the Fund are less
than (Y)100,000,000 or the Shares otherwise cease to comply with the
"Standards of Selection of Foreign Investment Fund Securities"
established under the Rules of Foreign Securities Transactions by the
Japanese Securities Dealers Association.
(2) Repurchase of Shares:
a. REPURCHASE IN THE UNITED STATES
Investors can request a redemption of Shares at any time from their
Fund account in any one of three ways: online (only for IRAs and other
retirement accounts), by telephone (sell, but not exchange), or by
mail. The transaction will be based on the Fund's next-determined
Share price, subject to any special rules discussed in this document.
No charge is made by the Fund for redemptions. The proceeds of a
redemption may be more or less than the Shareholder's cost depending
on the market value of the securities held by the Fund.
b. REPURCHASE IN JAPAN
Shareholders in Japan may at any time request repurchase of their
Shares. Repurchase requests in Japan may be made to the Sales Handling
Company on a Fund Business Day that is also a business day of the
Sales Handling Companies in Japan (with the exception of a day in
which the next business day is a national holiday in Japan). The Sales
Handling Company shall send such requests to The Vanguard Group, Inc.
1 share is acceptable as the minimum redemption amount.
The price a Shareholder in Japan will receive is the net asset value
next calculated after the Fund receives the repurchase request from
the Sales Handling Company. The payment of the price shall be made in
Yen through the Sales Handling Companies pursuant to the Contracts or,
if the Sales Handling Companies agree, in U.S. Dollars. The payment
for repurchase
<PAGE>
36
proceeds shall be made on the fourth business day of the Sales
Handling Companies in Japan from and including the Trade Day.
Although the Account Administration Fee is funded from a Shareholder's
account of Daiwa MRF and then DKA's MMF (balances invested for periods
greater than thirty-days), if there is an insufficient balance, the
Distributor may redeem Shareholder's Shares in the Fund or Funds in
which the Shareholder is invested. If the Shareholder holds Shares in
more than one Fund the Distributor shall redeem Shares in the
following order:
(i) Vanguard Small-Cap Index Fund (Note)
(ii) Vanguard Wellesley Income Fund
(Note)
Vanguard Wellesley Income Fund has not yet been registered for
public offering as of the date of filing.
Please refer to "3. Management Structure, (A) Outline of
Management of Assets, etc., 3. Management Fee, etc., (c) Account
Administration Fee" in detail.
(3) Suspension of Repurchase:
The Fund may suspend redemption privileges or postpone the date of
payment (i) during any period that the New York Stock Exchange is
closed, or trading on the Exchange is restricted as determined by the
SEC, (ii) during any period when an emergency exists as defined by the
rules of the SEC as a result of which it is not reasonably practicable
for the Fund to dispose of securities owned by it, or fairly to
determine the value of its assets, and (iii) for such other periods as
the SEC may permit.
The Fund reserves the right to delay delivery of redemption proceeds -
up to seven days - if the amount will disrupt the Fund's operation or
performance. If a Shareholder redeems more than $250,000 worth of
Shares within any 90-day period, the Fund reserves the right to pay
part or all of the redemption proceeds above $250,000 in-kind, i.e.,
in securities rather than in cash. If payment is made in kind, the
Shareholder may incur brokerage commissions if the Shareholder elects
to sell the securities for cash.
(4) Conversion of Shares
In Japan, Shares cannot be converted to securities of other classes or
series of the Trust.
<PAGE>
37
(5) Custody of Shares:
To eliminate the need for safekeeping, the Fund will not issue
certificates for Shares.
D. Miscellaneous:
(1) Duration and Liquidation:
Unless terminated as provided in the Agreement and Declaration of the
Trust, the Trust shall continue without limitation of time. The Trust
may be terminated at any time by the Trustees upon 60 days prior
written notice to the Shareholders. Any series may be terminated at
any time by the Trustees upon 60 days prior written notice to the
Shareholders of that series.
(2) Accounting Year:
The accounts of the Fund will be closed each year on December 31.
(3) Authorized Shares:
There is no prescribed authorized number of Shares, and Shares may be
issued from time to time.
(4) Agreement and Declaration of Trust:
Originals or copies of the Agreement and Declaration of Trust, as
amended, are maintained in the office of the Trust and are made
available for public inspection for the Shareholders. Originals or
copies of the Agreement and Declaration of Trust, as amended, are on
file in the United States with the Secretary of State of the State of
Delaware. The Agreement and Declaration of Trust may be restated
and/or amended at any time by an instrument in writing signed by a
majority of the Trustees then holding office. Any such restatement
and/or amendment thereto shall be effective immediately upon execution
and approval. The Certificate of Trust of the Trust may be restated
and/or amended by a similar procedure, and any such restatement and/or
amendment shall be effective immediately upon filing with the Office
of the Secretary of State of the State of Delaware or upon such future
date as may be stated therein.
In Japan, material changes in the Agreement and Declaration of Trust
shall be published or notice thereof shall be sent to the Japanese
Shareholders.
(B) Outline of Disclosure System:
(1) Disclosure in U.S.A.:
(i) Disclosure to Shareholders
<PAGE>
38
In accordance with the 1940 Act, the Fund is required to send to its
Shareholders annual and semi-annual reports containing financial
information.
(ii) Disclosure to the SEC
The Trust has filed a registration statement with the SEC on Form
N-1A; the Trust updates that registration statement periodically in
accordance with the 1940 Act.
(2) Disclosure in Japan:
a. Disclosure to the Supervisory Authority
(i) Disclosure Required under the Securities and Exchange Law:
When the Trustees intend to offer the Shares of the Fund amounting to
100 million Yen or more in Japan, it shall submit to the Director of
Kanto Local Finance Bureau of the Ministry of Finance the securities
registration statement together with the copies of the Agreement and
Declaration of Trust and the agreements with major related companies
as attachments thereto. The said documents are made available for
public inspection for the investors and any other persons who desire
at Kanto Local Finance Bureau of the Ministry of Finance.
The Sales Handling Companies of the Shares shall deliver to the
investors prospectuses the contents of which are substantially
identical to Part I and Part II of the securities registration
statement. For the purpose of disclosure of the financial conditions,
etc., the Trustees shall submit to the Director of Kanto Local Finance
Bureau of the Ministry of Finance securities reports within 6 months
of the end of each fiscal year, semi-annual reports within 3 months of
the end of each semi-annual period and extraordinary reports from time
to time when changes occur as to material subjects of the Fund. These
documents are available for public inspection for the investors and
any other persons who desire at Kanto Local Finance Bureau of the
Ministry of Finance.
(ii) Notifications, etc. under the Law Concerning Securities Investment
Trusts and Securities Investment Companies
If the Management Company conducts business of offering for sale
Shares of the Fund, it must file in advance the prescribed matters on
the Fund with the Commissioner of Financial Supervisory Agency under
the Law Concerning Securities Investment Trusts and Securities
Investment Companies (the Law No.198, 1951) (hereinafter referred to
as the "Investment Trusts Law"). In
<PAGE>
39
addition, if the Management Company amends the Agreement and
Declaration of Trust, it must file in advance such amendment and the
details thereof with the Commissioner of Financial Supervisory Agency.
Further, the Trustees must prepare the Management Report on the
prescribed matters concerning the assets of the Fund under the
Investment Trusts Law immediately after the end of each calculation
period of the Fund and must file such Report with the Commissioner of
Financial Supervisory Agency.
b. Disclosure to Japanese Shareholders:
If the Management Company makes any amendment to the Agreement and
Declaration of Trust, the substance of which is important, it must
give in advance public notice concerning its intention to make such
amendment and the substance of such amendment at least 30 days prior
to such amendment, and must deliver the written documents containing
the above matters to the Shareholders known in Japan. Provided,
however, that if the said written documents are delivered to all the
Shareholders in Japan, the relevant public notice is not required to
be given.
The Japanese Shareholders will be notified of the material facts which
would change their position and of notices from the Trustees, through
the Sales Handling Companies.
The above-described Management Report on the Fund will be sent to
the Shareholders known in Japan.
(C) Restrictions on Transactions with Interested Parties:
The Fund may not sell, purchase or loan securities (excluding Shares
in the Fund) or grant or receive a loan or loans to or from the adviser,
corporate and domiciliary agent, or paying agent, the distributors and the
authorized agents or any of their directors, officers or employees or any
of their major Shareholders (meaning a Shareholder who holds, in his own or
other name (as well as a nominee's name), more than 10% of the total issued
and outstanding Shares of stock of such company) acting as principal, or
for their own account, unless the transaction is made within the other
restrictions set forth above and either (a) at a price determined by
current publicly available quotations, or (b) at competitive prices or
interest rates prevailing from time to time on internationally recognized
securities markets or internationally recognized money markets.
<PAGE>
40
4. INFORMATION CONCERNING THE EXERCISE OF RIGHTS BY SHAREHOLDERS, ETC.
(A) Rights of Shareholders and Procedures for Their Exercise:
Shareholders in Japan must generally register their Shares in their
own name in order to exercise directly their rights as Shareholders.
Therefore, the Shareholders in Japan who entrust the custody of their
Shares to the Sales Handling Company cannot exercise directly their
Shareholder rights, because their Shares are registered in the name of the
Sales Handling Company. Shareholders in Japan may have the Sales Handling
Companies exercise their rights on their behalf in accordance with the
Contract with the Sales Handling Companies.
Shareholders in Japan who do not entrust the custody of their Shares
to the Sales Handling Companies may exercise their rights in accordance
with their own arrangement under their own responsibility.
The major rights enjoyed by Shareholders are as follows:
(i) Voting rights
Shareholders of the Fund are entitled to vote on a matter if: (i) a
Shareholder vote is required under the 1940 Act; (ii) the matter
concerns an amendment to the Agreement and Declaration of Trust that
would adversely affect to a material degree the rights and preferences
of the Shares; or (iii) the Trustees determine that it is necessary or
desirable to obtain a Shareholder vote. The 1940 Act requires a
Shareholder vote under various circumstances, including to elect or
remove Trustees upon the written request of Shareholders representing
10% or more of the Fund's net assets, and to change any fundamental
policy of the Fund. Shareholders of the Fund receive one vote for each
U.S. Dollar of net asset value owned on the record date, and a
fractional vote for each fractional Dollar of net asset value owned on
the record date, except where voting is otherwise required by law to
be based on Share ownership. However, only the Shares of the Fund
affected by a particular matter are entitled to vote on that matter.
Voting rights are non-cumulative and cannot be modified without a
majority vote. Shareholders in Japan are entitled to receive from the
Sales Handling Companies pursuant to the Account Agreement to be
entered between a Sales Handling Company and a Shareholder notices of
the Fund, whereby Shareholders have the Sales Handling Company
exercise their voting rights.
<PAGE>
41
(ii) Repurchase rights
Shareholders are entitled to request repurchase of Shares at the
Shares' Net Asset Value.
(iii)Rights to receive dividends
The Shareholders of the Fund are entitled to receive any dividends or
other distributions declared by the Fund. No Shares have priority or
preference over any other Shares of the Fund with respect to
distributions. Distributions will be made from the assets of the Fund,
and will be paid ratably to all Shareholders of the Fund according to
the number of Shares of the Fund held by Shareholders on the record
date.
(iv) Right to receive distributions upon dissolution
Shareholders of the Fund are entitled to receive distributions upon
dissolution in proportion to the number of Shares then held by them,
except as otherwise required.
(v) Right to inspect accounting books and the like
Shareholders are entitled to inspect the Agreement and Declaration of
Trust, and at the discretion of the Court, the accounting books and
the minutes of any Shareholders' meetings.
(vi) Right to Transfer Shares
Shares are transferable within Japan to Japanese investors without
restriction except as limited by applicable law.
(B) Tax Treatment of Shareholders in Japan:
The tax treatment of Shareholders in Japan shall be as follows:
(1) The distributions to be made by the Fund will be treated as
distributions made by a domestic investment trust.
a. The distributions to be made by the Fund to Japanese individual
Shareholders will be subject to separate taxation from other income
(i.e., withholding of Japanese income tax at the rate of 15% and
withholding of local taxes at the rate of 5% in Japan). In this case,
no report concerning distributions will be filed with the Japanese tax
authorities.
b. The distributions to be made by the Fund to Japanese corporate
Shareholders will be subject to withholding of Japanese income tax at
the rate of 15% and to withholding of local taxes at the rate of 5% in
Japan. In certain cases, the Payment Handling Companies, which are
normally the Sales Handling
<PAGE>
42
Companies, will prepare a report concerning distributions and file
such report with the Japanese tax authorities.
c. The Fund's distribution of dividends, which include net investment
income such as interest and net short-term capital gains, will be
subject to withholding of U.S. federal income tax at the rate of 15%
provided the Japanese investor and the record owner of the Shares
submit the necessary documentation to qualify for the 15% rate under
an applicable tax treaty. If for any reason the investor is not
eligible for a reduced rate under an applicable tax treaty, a 30% U.S.
withholding rate will apply.
Distributions of net long-term realized capital gains will not be
subject to withholding of U. S. federal income tax, and the full
amount thereof will be subject to tax in Japan.
If the Distributor obtains the necessary approval from the Japanese
tax authorities, the Japanese withholding tax imposed on distributions
as referred to in a. and b. above will be collected by way of the
so-called "difference collecting method." In this method only the
difference, if any, between the amount equivalent to 20% of the
distributions before U.S. withholding tax and the amount of U.S. tax
withheld will be collected in Japan. If the Distributor is unable to
use the so-called "difference collecting method", the Distributor will
withhold Japanese income tax at the full 20% rate, and Shareholders
may obtain a credit for U.S. withholding taxes by submitting the
appropriate claim form to the Japanese tax authorities.
(2) The provisions of Japanese tax laws giving the privilege of a certain
deduction from taxable income to corporations, which may apply to
dividends paid by a domestic corporation, shall not apply.
(3) Capital gains and losses arising from purchase and repurchase of the
Shares shall be treated in the same way as those arising from purchase
and sale of shares of a domestic investment trust. The distribution of
the net liquidation assets shall be also treated in the same way as
those arising from liquidation of a domestic investment trust.
(C) Foreign Exchange Control in U.S.A.:
In the United States, there are no foreign exchange control
restrictions on remittance of dividends, repurchase money, etc. of the
Shares to Japanese Shareholders.
<PAGE>
43
(D) Agent in Japan:
Hamada & Matsumoto
Kasumigaseki Building, 25th Floor
2-5, Kasumigaseki 3-chome
Chiyoda-ku, Tokyo
The foregoing law firm is the true and lawful agent of the Fund to
represent and act for the Fund in Japan for the purpose of:
(1) the receipt of any and all communications, claims,actions, proceedings
and processes as to matters involving problems under the laws and the rules
and regulations of the JSDA, and
(2) representation in and out of court in connection with any and all
disputes, controversies or differences regarding the transactions relating
to the public offering, sale and repurchase in Japan of the Shares of the
Fund.
The agent for the registration with the Director of Kanto Local
Finance Bureau of the Ministry of Finance of Japan of the public offering
concerned as well as for the continuous disclosure and filing the
notification with the Commissioner of the Financial Supervisory Agency is
the following person:
Ken Miura
Attorneys-at-law
Hamada & Matsumoto
Kasumigaseki Building, 25th Floor
2-5, Kasumigaseki, 3-chome
Chiyoda-ku, Tokyo
(E) Jurisdiction:
Limited only to litigation brought by Japanese investors regarding
transactions relating to (D)(2) above, the Fund have agreed that the
following court has jurisdiction over such litigation and the Japanese law
is applicable thereto:
Tokyo District Court
1-4, Kasumigaseki 1-chome
Chiyoda-ku, Tokyo
<PAGE>
44
5. STATUS OF INVESTMENT FUND
(A) Diversification of Investment Portfolio
- VANGUARD SMALL-CAP INDEX FUND (Includes Institutional Shares)
<TABLE>
<CAPTION>
<S> <C> <C> <C>
(As of the end of June, 2000)
-------------------------------------------------------------------------------------------
Types of Assets Name of Country Market Value Total Dollar Investment Ratio
-------------------------------------------------------------------------------------------
Common Stocks United States 4,580,311,298.12 99.83
U.S. Treasury United States * 3,474,092.50 0.08
-------------------------------------------------------------------------------------------
Sub-Total 4,583,785,390.62 99.90
-------------------------------------------------------------------------------------------
Cash, Deposit and
Other Assets (After 4,374,119.03 .10
Deduction of Liabilities)
-------------------------------------------------------------------------------------------
Total ** 4,588,159,509.65 100.00
(Net Asset Value) (484,051 million JPY)
-------------------------------------------------------------------------------------------
</TABLE>
* U.S. Treasury amount includes mortgage-backed securities that are backed by
the full faith and credit of the U.S. Government. Fund's assets did not include
U.S. Treasury bills, notes, or bonds as of June 30, 2000.
** Net Asset Value For Investor Shares = $4,096,302,610.76.
Note: Investment ratio is calculated by dividing each asset at its market value
by the total Net Asset Value of the Fund. The same applies hereinafter.
<PAGE>
45
(B)Results of Past Operations
(1) Record of Changes in Net Assets
Record of changes in net assets at the end of the following fiscal
years and at the end of each months within one year prior to the end of
June, 2000 is as follows:
- VANGUARD SMALL-CAP INDEX FUND - INVESTOR SHARES
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------
Total Net Asset Value Net Asset Value per Share
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
US$ Yen
(millions) (millions) US$ Yen
--------------------------------------------------------------------------------------
The 30th Fiscal Year Ended
on September 30, 1990 40 4,220 8.55 902
--------------------------------------------------------------------------------------
The 31st Fiscal Year Ended
on September 30, 1991 111 11,711 12.03 1,269
--------------------------------------------------------------------------------------
The 32nd Fiscal Year Ended
on September 30, 1992 202 21,311 12.63 1,332
--------------------------------------------------------------------------------------
The 33rd Fiscal Year Ended
on September 30, 1993 432 45,576 16.23 1,712
--------------------------------------------------------------------------------------
October 1, 1993-
January 31, 1994* 533 56,232 16.24 1,713
--------------------------------------------------------------------------------------
The 34th Fiscal Year Ended
on December 31, 1994
(February 1, 1994 -
December 31, 1994) 605 63,828 14.99 1,581
--------------------------------------------------------------------------------------
The 35th Fiscal Year Ended
on December 31, 1995 971 102,441 18.61 1,963
--------------------------------------------------------------------------------------
The 36th Fiscal Year Ended
on December 31, 1996 1,713 180,722 20.23 2,134
--------------------------------------------------------------------------------------
The 37th Fiscal Year Ended
on December 31, 1997 2,652 279,786 23.75 2,506
--------------------------------------------------------------------------------------
The 38th Fiscal Year Ended
on December 31, 1998 2,768 292,024 21.20 2,237
--------------------------------------------------------------------------------------
The 39th Fiscal Year Ended
on December 31, 1999 3,553 374,842 23.60 2,490
======================================================================================
1999 End of July 3,071 323,991 22.72 2,397
August 2,976 313,968 21.86 2,306
September 2,987 315,129 21.83 2,303
October 2,986 315,023 21.91 2,312
November 3,179 335,385 23.22 2,450
December 3,553 374,842 23.60 2,490
2000 End of January 3,563 375,897 23.20 2,448
February 4,270 450,485 27.03 2,852
March 4,104 432,972 25.02 2,640
April 3,921 413,666 23.53 2,482
May 3,720 392,460 22.17 2,339
June 4,096 432,128 24.26 2,559
--------------------------------------------------------------------------------------
</TABLE>
<PAGE>
46
*Date of reorganization of Vanguard Small Capitalization Stock Fund into
Vanguard Small-Cap Index Fund.
<PAGE>
47
Record of Distributions Paid
Amount of distributions per Share for the following fiscal years and for
each month during the current fiscal year are shown below.
- VANGUARD SMALL-CAP INDEX FUND - INVESTOR SHARES
-------------------------------------------------------------------------------
Total Distributions
-------------------------------------------------------------------------------
US$ Yen
-------------------------------------------------------------------------------
The 30th Fiscal Year (10/1/89-9/30/90) 0.040 4
-------------------------------------------------------------------------------
The 31st Fiscal Year (10/1/90-9/30/91) 0.320 34
-------------------------------------------------------------------------------
The 32nd Fiscal Year (10/1/91-9/30/92) 0.470 50
-------------------------------------------------------------------------------
The 33rd Fiscal Year (10/1/92-9/30/93) 0.330 35
-------------------------------------------------------------------------------
10/1/93-1/31/94 1.100 116
-------------------------------------------------------------------------------
The 34th Fiscal Year (2/1/94-12/31/94) 0.590 62
-------------------------------------------------------------------------------
The 35th Fiscal Year (10/1/95-12/31/95) 0.680 72
-------------------------------------------------------------------------------
The 36th Fiscal Year (10/1/96-12/31/96) 1.710 180
-------------------------------------------------------------------------------
The 37th Fiscal Year (1/1/97-12/31/97) 1.389 147
-------------------------------------------------------------------------------
The 38th Fiscal Year (1/1/98-12/31/98) 1.854 196
-------------------------------------------------------------------------------
The 39th Fiscal Year (1/1/99-12/31/99) 2.347 248
===============================================================================
1999 End of July -- --
August -- --
September -- --
October -- --
November -- --
December 2.177 230
2000 End of January -- --
February -- --
March 0.215 23
April -- --
May -- --
June -- --
-------------------------------------------------------------------------------
<PAGE>
48
(3) Record of Sales and Repurchase
Record of sales and repurchase as of the end of each fiscal year and number
of outstanding Share of the Fund as of the end of each fiscal year are as
follows.
SMALL-CAP INDEX FUND - INVESTOR SHARES
[NOTE: FISCAL YEAR OF THIS FUND WAS 9/30 UNTIL IT BECAME A SERIES OF VANGUARD
INDEX FUNDS IN 2/1994.]
<TABLE>
<CAPTION>
<S> <C> <C> <C>
-----------------------------------------------------------------------------------------------------
Number of Number of Number of Out-
Shares Sold Shares Repurchased standing Shares
(000) (000) (000)
-----------------------------------------------------------------------------------------------------
The 30th Fiscal Year 4,865 (763) 4,652
(10/1/89-9/30/90) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
The 31st Fiscal Year 6,584 (1,970) 9,266
(10/1/90-9/30/91) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
The 32nd Fiscal Year 11,026 (4,322) 15,970
(10/1/91-9/30/92) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
The 33rd Fiscal Year 15,308 (4,663) 26,615
(10/1/92-9/30/93) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
(10/1/93-1/31/94) 8,445 (2,214) 32,846
The 34th Fiscal Year 13,095 (5,550) 40,390
(2/1/94-12/31/94) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
The 35th Fiscal Year 18,627 (6,821) 52,196
(1/1/95-12/31/95) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
49
<TABLE>
<CAPTION>
<S> <C> <C> <C>
-----------------------------------------------------------------------------------------------------
The 36th Fiscal Year 43,270 (10,771) 84,695
(1/1/96-12/31/96) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
The 37th Fiscal Year 54,449 (27,476) 111,668
(1/1/97-12/31/97) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
The 38th Fiscal Year 52,831 (33,911) 130,588
(1/1/98-12/31/98) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
The 39th Fiscal Year 61,104 (41,158) 150,533
(1/1/99-12/31/99) (-) (-) (-)
-----------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
50
II. OUTLINE OF THE TRUST
(A) Law of Place of Incorporation
The Trust was organized as a Pennsylvania business trust in 1975, and
was reorganized as a Delaware business trust in July, 1998. The Fund is
registered with the SEC under the 1940 Act as an open-end, diversified
management investment company.
(B) Outline of the Supervisory Authority
Refer to I - l (B) Outline of the Supervisory Authority.
(C) Purpose of the Trust
The Trust was established to conduct, operate, and carry on the
business of a management investment company registered under the 1940 Act
through one or more series investing primarily in securities.
(D) History of the Trust
December 31, 1975 Organization of the Trust as a Pennsylvania business
trust.
July 24, 1998 Reorganization as Delaware business trust.
(E) Amount of Capital Stock
Not applicable.
(F) Structure of the Management of the Trust
The Trustees have exclusive and absolute control over the Trust
Property and over the business of the Trust to the same extent as if the
Trustees were the sole owners of the Trust Property and business in their
own right, but with such powers of delegation as may be permitted by the
Agreement and Declaration of Trust. The Agreement and Declaration of Trust
provides that the Trustees have the power to do all things and execute all
instruments as the Trustees deem necessary, proper or desirable in order to
promote the interests of the Trust.
The number of Trustees shall be from 1 to 15 as fixed from time to
time by the Trustees. If any vacancies shall exist, the remaining Trustees
shall fill such vacancy by appointing such other individual as they in
their discretion shall see fit. A Trustee may be removed at any meeting of
Shareholders by a vote of two-thirds of the outstanding Shares of each
series. The Trustees shall hold office during the lifetime of this Trust
and until its termination or until he or she resigns, is removed or dies.
<PAGE>
51
The Trustees of the Trust are authorized by the Agreement and
Declaration of Trust to issue Shares and to authorize the division of
Shares into one or more series. The assets of each series shall irrevocably
belong to that series for all purposes. The variations in the relative
rights, privileges and preferences as between the different series shall be
fixed and determined by the Trustees. The Trustees may authorize the
division of Shares of any series into Shares of one or more classes of such
series, with such variations between classes as may be approved by the
Board of Trustees.
Under the Agreement and Declaration of Trust, the Shareholders have
the power, as and to the extent provided therein, to vote only (i) for the
election or removal of Trustees as provided in Article IV, Section 1 of the
Agreement and Declaration of Trust, and (ii) with respect to such
additional matters relating to the Trust as may be required by the
applicable provisions of the 1940 Act, including Section 16(a) thereof, and
(iii) on such other matters as the Trustees may consider necessary or
desirable. Each Shareholder shall have one vote for each U.S. Dollar (and a
fractional vote for each fractional Dollar) of the net asset value of each
Share (including fractional Shares) held by such Shareholder on the record
date on each matter submitted to a vote at a meeting of Shareholders. There
shall be no cumulative voting in the election of Trustees. Votes may be
made in person or by proxy. A proxy purporting to be executed by or on
behalf of a Shareholder shall be deemed valid unless challenged at or prior
to its exercise and the burden of proving invalidity shall rest on the
challenger.
Meetings of the Shareholders may be called by the Trustees. A meeting
of Shareholders may be held at any place designated by the Trustees.
Written notice of any meeting of Shareholders shall be given or caused to
be given by the Trustees by delivering personally or mailing such notice
not more than ninety (90), nor less than ten (10) days before such meeting,
postage prepaid, stating the time and place of the meeting, to each
Shareholder at the Shareholder's address as it appears on the records of
the Trust.
Except as otherwise provided by the 1940 Act or in the Agreement and
Declaration of Trust, at any meeting of Shareholders, the presence in
person or by proxy of the holders of record of Shares issued and
outstanding and entitled to vote representing more than fifty percent of
the total combined net asset value of all Shares issued and outstanding and
entitled to vote shall constitute a quorum for the transaction of any
business at the meeting. Any meeting of Shareholders may be
<PAGE>
52
adjourned from time to time by a majority of the votes properly cast upon
the question of adjourning a meeting to another date and time, whether or
not a quorum is present, and the meeting may be held as adjourned within a
reasonable time after the date set for the original meeting without further
notice.
The Trustees are authorized by the Agreement and Declaration of Trust
to adopt By-Laws not inconsistent with the Agreement and Declaration of
Trust to provide for the conduct of the business of the Trust. The By-Laws
contemplate that the Trustees shall elect a Chairman, a President, a
Treasurer and a Secretary. The Trustees may elect or appoint such other
officers or agents as the business of the Trust may require. The Trustees
may delegate to any officer or committee the power to appoint any
subordinate officers or agent. The Trustees may amend or repeal the By-Laws
of the Trust to the extent such power is not reserved to the Shareholders.
The Trustees may in their discretion provide for regular or stated
meetings of the Trustees. Notice of regular or stated meetings need not be
given. Meetings of the Trustees other than regular or stated meetings shall
be held whenever called by the Chairman or by any Trustee. Notice of the
time and place of each meeting other than regular or stated meetings shall
be mailed to each Trustee at least two days before the meeting, or shall be
telegraphed, cabled, or wirelessed to each Trustee, or personally delivered
to him or her at least one day before the meeting.
A majority of the Trustees present in person at any regular or special
meeting of the Trustees shall constitute a quorum for the transaction of
business at such meeting. Except as otherwise required by law, the
Agreement and Declaration of Trust or the Trust's By-Laws, any action to be
taken by the Trustees may be taken by a majority of the Trustees present at
a meeting at which a quorum is present, or by written consent of all of the
Trustees.
The Agreement and Declaration of Trust contains provisions for the
indemnification of Trustees, officers and Shareholders of the Trust under
the circumstances and on the terms specified therein.
(G) Information Concerning Major Shareholders
As of the date hereof, no person owned of record 5% or more of the
outstanding Shares of the Fund.
<PAGE>
53
(H) Information Concerning Directors, Officers and Employees
(1) Trustees and Officers of the Trust
<TABLE>
<CAPTION>
(as of the end of June, 2000)
<S> <C> <C> <C>
----------------------- --------------------- ---------------------------------------------------- ---------------------
Name Office and Title Resume Small-Cap Index Fund
----------------------- --------------------- ---------------------------------------------------- ---------------------
John J. Brennan Chairman, Chief Chairman, Chief Executive Officer and 0
Executive Officer President of The Vanguard Group, Inc.
and Trustee
----------------------- --------------------- ---------------------------------------------------- ---------------------
JoAnn Heffernan Heisen Trustee Vice President, Chief Information Officer, and 0
member of the Executive Committee of Johnson
and Johnson, Director of Johnson &
Johnson*Merck Consumer Pharmaceuticals Co., The
Medical Center at Princeton, and Women's
Research and Education Institute.
----------------------- --------------------- ---------------------------------------------------- ---------------------
Bruce K. MacLaury Trustee President Emeritus of The Brookings 0
Institution; Director of American Express Bank,
Ltd., The St Paul Companies, Inc., and National
Steel Corp.
----------------------- --------------------- ---------------------------------------------------- ---------------------
Burton G. Malkiel Trustee Chemical Bank Chairman's Professor of 0
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. Trustee Chairman, President, Chief Executive Officer, 0
and Director of NACCO Industries; and Director
of the BFGoodrich Co.
----------------------- --------------------- ---------------------------------------------------- ---------------------
</TABLE>
<PAGE>
54
<TABLE>
<CAPTION>
<S> <C> <C> <C>
----------------------- --------------------- ---------------------------------------------------- ---------------------
James O. Welch, Jr. Trustee Retired Chairman of Nabisco Brands, Inc.; 0
retired Vice Chairman and Director of RJR
Nabisco; Director of TECO Energy, Inc., and
Kmart Corp.
----------------------- --------------------- ---------------------------------------------------- ---------------------
J. Lawrence Wilson Trustee Retired Chairman of Rohm & Haas Co.; Director 15,160.547
of Cummins Engine Co., The Mead Corp., and
AmeriSource Health Corp.; and Trustee of
Vanderbilt University.
----------------------- --------------------- ---------------------------------------------------- ---------------------
Raymond J. Klapinsky Secretary Managing Director of The Vanguard Group, Inc.; 0
Secretary of The Vanguard Group, Inc. and of
each of the investment companies in The
Vanguard Group.
----------------------- --------------------- ---------------------------------------------------- ---------------------
Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; 0
Treasurer of each of the investment companies
in The Vanguard Group.
----------------------- --------------------- ---------------------------------------------------- ---------------------
Robert D. Snowden Controller Principal of The Vanguard Group, Inc.; 0
Controller of each of the investment companies
in The Vanguard Group.
----------------------- --------------------- ---------------------------------------------------- ---------------------
</TABLE>
(2) Employees of the Trust
The Trust does not have any employees.
(I) Description of Business and Outline of Operation
The Trust may carry out any administrative and managerial act,
including the purchase, sale, subscription and exchange of any securities,
and the exercise of all rights directly or indirectly pertaining to the
Fund's assets. The Trust has retained The Vanguard Group, Inc., as
Investment Management Company, to render investment management services,
The Chase Manhattan Bank, as Custodian, to hold the assets of the Fund in
custody, and The Vanguard Group, Inc. to act as the Transfer and
Dividend-Paying Agent.
(J) Miscellaneous
(1) Changes of Trustees and Officers
<PAGE>
55
Trustees may be removed by, among other things, a vote of two-thirds
of the outstanding Shares of each series. In the event of vacancy, the
remaining Trustees may fill such vacancy by appointing such other
person as they in their discretion shall see fit. The Trustees may add
to their number as they consider appropriate, provided, however, that
the number of Trustees shall in no event be more than 15. The Trustees
may elect and remove officers as they consider appropriate.
(2) Amendment to the Agreement and Declaration of Trust
Generally, approval of Shareholders is required to amend the Agreement
and Declaration of Trust, except for certain matters such as change of
name, designation of a series, any change which does not adversely
affect the economic value or legal rights of a Shareholder, or changes
deemed advisable by the Trustees to conform the Agreement and
Declaration of Trust to the requirements of applicable laws.
(3) Litigation and Other Significant Events
Nothing which has or which would have a material adverse effect on the
Trust has occurred which has not been disclosed. The fiscal year end
of the Fund is December 31.
<PAGE>
56
III. OUTLINE OF THE OTHER RELATED COMPANIES
(A) The Vanguard Group, Inc. (the "Investment Manager" and the "Transfer and
Dividend-Paying Agent")
(1) Amount of Capital
US$ 100,025,410 (\10,552,680,755)
(2) Description of Business
The Vanguard Group, Inc. was established in 1974 under the laws of
Pennsylvania and is registered as an investment adviser under the
Investment Advisers Act of 1940. The Vanguard Group, Inc. was established
and operates under an Amended and Restated Funds' Service Agreement which
was approved by the Shareholders of the Fund and other members of The
Vanguard Group of Investment Companies (separately, the "Vanguard Funds").
The Amended and Restated Funds' Service Agreement provides that each
Vanguard Fund may be called upon to invest up to 0.40% of its current net
assets in The Vanguard Group, Inc. as contributions to Vanguard's
capitalization, and that there is no limit on the U.S. Dollar amount that
each Vanguard Fund may contribute to Vanguard's capitalization. The amounts
which each of the Vanguard Funds has invested are adjusted from time to
time in order to maintain the proportionate relationship between each
Vanguard Fund's relative net assets and its contribution to Vanguard's
capital. At December 31, 1999, each sub-fund of the Trust had contributed
capital to The Vanguard Group, Inc. representing 0.02% of its net assets.
The total amount contributed by the Trust was $29,702,000, which
represented 29.7% of Vanguard's capitalization.
(3) Outline of Business Relationship with the Fund
The Vanguard Group, Inc. acts as investment manager and transfer and
dividend-paying agent to the Fund.
(B) The Chase Manhattan Bank (the "Custodian")
(1) Amount of Capital as of the end of June, 2000
US$ 2,151 million (approximately \ 226.9 billion)
(2) Description of Business
The Chase Manhattan Bank engages in business as a financial institution.
(3) Outline of Business Relationship with the Fund
The Chase Manhattan Bank acts as custodian and renders custody services to
the Fund.
<PAGE>
57
(C) Monex, Inc. (the "Agent Company" and the "Distributor in Japan")
(1) Amount of Capital:
\3,551,264,000 as of the end of June, 2000.
(2) Description of Business:
Monex, Inc. engages in business as a securities company in Japan.
(3) Outline of Business Relationship with the Fund:
Monex, Inc. acts as the Agent Company and the Distributor in Japan.
(D) Capital Relationships
The Trust contributed to 29.7% of capitalization of The Vanguard
Group, Inc.
(E) Interlocking Directors
<TABLE>
<CAPTION>
<S> <C> <C>
--------------------------------------- ------------------------------------ -------------------------------------
Trust Investment Manager
--------------------------------------- ------------------------------------ -------------------------------------
John J. Brennan Chairman Chairman, President and
Chief Executive Officer Chief Executive Officer
Trustee
--------------------------------------- ------------------------------------ -------------------------------------
JoAnn Heffernan Heisen Trustee Director
--------------------------------------- ------------------------------------ -------------------------------------
Burton G. Malkiel Trustee Director
--------------------------------------- ------------------------------------ -------------------------------------
Alfred M. Rankin, Jr. Trustee Director
--------------------------------------- ------------------------------------ -------------------------------------
James O. Welch, Jr. Trustee Director
--------------------------------------- ------------------------------------ -------------------------------------
J. Lawrence Wilson Trustee Director
--------------------------------------- ------------------------------------ -------------------------------------
</TABLE>
IV. FINANCIAL CONDITIONS OF THE FUND
1. FINANCIAL STATEMENTS
a. The following financial statements in the Japanese language of the Fund for
the recent two years are the translations into the Japanese language of its
original audited financial statements prepared by the Fund (except for
Japanese Yen amount converted). These translations are incorporated into
this document by application of the proviso of the Article 127-5 of the
"Regulations Concerning the Terms, Forms and Methods of Preparation of
Financial Statements, Etc. (Ministry of Finance Ordinance No. 59 of 1963)"
in accordance with the "Ministerial Ordinance re:
<PAGE>
58
Disclosure of Information, Etc. of the Specified Securities (Ministry of
Finance Ordinance No. 22 of 1993)".
The above original financial statements of the Fund are audited by
PricewaterhouseCoopers LLP who are the auditors in the Fund's home country.
Its audit reports are obtained as shown on the following pages.
b. The original financial statements of the Fund are expressed in U.S.
Dollars. The Japanese translations of the financial statements contain
certain Japanese Yen amounts converted. Such conversion is made at the rate
which is the mean of T.T. selling and buying exchange rates vis-a-vis
customers quoted by The Bank of Tokyo-Mitsubishi, Ltd. on June 30, 2000
(US$1=(Y)105.50). The Yen amounts are rounded in thousands.
<PAGE>
59
2. CONDITION OF THE FUND- - VANGUARD SMALL-CAP INDEX FUND
(a) Statement of Net Assets (As of the end of June, 2000) (Including
Institutional Shares)
-------------------------------------------------------------------------------
(As of the end of June, 2000)
-------------------------------------------------------------------------------
$ \
-------------------------------------------------------------------------------
(in thousands
except column e)
-------------------------------------------------------------------------------
a. Total Assets 5,187,821,450.76 547,315,163
-------------------------------------------------------------------------------
b. Total Liabilities 599,661,941.11 63,264,335
-------------------------------------------------------------------------------
c. Total Net Assets (a-b) * 4,588,159,509.65 484,050,828
-------------------------------------------------------------------------------
d. Total Number of ** 189,304,835.56 shares
Shares Outstanding
-------------------------------------------------------------------------------
e. Net Asset Value *** 24.24 \2,557
per Share (c/d)
-------------------------------------------------------------------------------
* Total Net Assets for Investor Shares = $4,096,302,610.76.
** Total Number of Shares Outstanding for Investor Shares = 169,025,783.236.
*** Net Asset Value Per Share for Investor Shares = $24.26.
<PAGE>
60
Top30
<PAGE>
61
V. SUMMARY OF INFORMATION CONCERNING FOREIGN INVESTMENT
FUND SECURITIES
1. Transfer of the Shares
The transfer agent for the Shares is The Vanguard Group, Inc., whose
address is 100 Vanguard Boulevard, Malvern, Pennsylvania 19355.
The Japanese investors who entrust the custody of their Shares to a
Sales Handling Company shall have their Shares transferred under the
responsibility of such company, and the other investors shall make their
own arrangements.
No fee is chargeable for the transfer of Shares.
2. The Closing Period of the Shareholders' Book
No provision is made.
3. There are no annual Shareholders' meetings. Special Shareholders' meetings
may be held from time to time as required by the Agreement and Declaration
of Trust and the 1940 Act.
4. No special privilege is granted to Shareholders.
The acquisition of Shares by any person may be restricted.
VI. MISCELLANEOUS
(1) The ornamental design is used in cover page of the Japanese Prospectus.
(2) Summarized Preliminary Prospectus will be used.
Attached document will be used pursuant to the below, as the document
(Summarized Preliminary Prospectus) as set forth at Item 1.(1)(b), of
Article 12 of the Ordinance Concerning the Disclosure of the Content, etc.
of the Specified Securities.
(a) The content of the Summarized Preliminary Prospectus may be publicized
by leaflets, pamphlets, direct mails (post cards and mailers in
envelopes) or by an internet home page, newspapers, magazines and
other books.
(b) The layout, quality of papers, printing color, design etc. of the
Summarized Preliminary Prospectus may vary depending on manner of
usage. Photos and illustrations set forth in the attached may be used.
<PAGE>
62
PART III. SPECIAL INFORMATION
I. OUTLINE OF THE SYSTEM OF INVESTMENT TRUSTS IN DELAWARE
A. Outline of the Investment Trusts in Delaware
Delaware business trusts are governed by Chapter 88 of the Delaware Code.
See Part II, Information Regarding the Issuer, Section I.1.(3) a. for a summary
of the provisions contained in Chapter 88. To create a trust, a certificate of
trust is filed with the Secretary of State of the State of Delaware. Delaware
business trusts are a common organizational form for U.S. registered management
investment companies.
B. The System of Mutual Funds created as Delaware Business Trusts in
Delaware
A Delaware business trust is in the widest sense a business organization
like a corporation or partnership. It can issue shares (beneficial holdings)
which may be freely transferred; the holders of such shares may receive
dividends out of the income of the trust; and the management is separate from
the ownership of each organization. Except to the extent otherwise provided in
the governing instrument of a Delaware business trust, the business and affairs
of a Delaware business trust shall be managed by or under the direction of its
trustees. See section 3806 of the Delaware Business Trust Act.
Additionally, as a registered investment company (mutual fund), a Delaware
business trust is regulated by the 1940 Act and other related U.S. federal and
state laws. As long as a Delaware business trust operates as a registered mutual
fund, the shareholders of the trust derive certain rights and protections under
the U.S. federal securities laws. Such U.S. federal laws prohibit all false and
misleading statements or omissions of material facts from the contents of the
mutual fund's registration statement filed with the SEC. Further, various
securities laws contain similar prohibitions in connection with the offer, sale
and advertising of mutual funds.
(1) Formation of a Delaware Business Trust
<PAGE>
63
A Delaware business trust is created by a trust instrument ("Declaration")
and the filing of a certificate of trust pursuant to section 3810 of the
Delaware Business Trust Act. Property of the trust is transferred to the
trustees in accordance with the Declaration, and the trustees manage and operate
the trust for the benefit of the beneficial shareholders, whose shares may be
freely transferred.
A Declaration generally contains such matters as the name of the trust,
purpose, compensation to be paid to the trustees, powers and responsibilities of
the trustees, shareholder meetings, rights of shareholders, payment of
dividends, redemption of shares, period and termination of the trust, and the
governing law of the trust.
To become a registered mutual fund, a registration statement must be filed
with the SEC under the Securities Act of 1933 and an election must be made under
the 1940 Act.
2) Issuance of Shares
In order to issue mutual fund shares, a fund must have a prospectus which
contains various items of disclosure relating to the fund and its shares, such
as: the fees associated with a purchase of the fund's shares, financial
information about the fund for the past five years (or for the length of time
the fund has been in operation), the fund's objectives and policies, any
investment restrictions, the price at which shares may be purchased, the method
by which shareholders may purchase and redeem shares, dividend and tax
information relating to the ownership of shares, descriptions of the fund's
management and expenses paid by the fund, a description of the fund's shares and
any other information the fund desires to provide potential shareholders. The
regulations regarding the issuance of a mutual fund's shares are the U.S.
federal securities laws, Blue Sky laws and various sections of the Internal
Revenue Code. The shares may not be issued unless the fund has an effective
registration statement on file with the SEC. Further, each share of stock issued
by a mutual fund must be a voting share and have equal voting rights with all
other outstanding voting shares.
<PAGE>
64
(3) Management and Operation of a Mutual Fund
Management and operation of a mutual fund is generally conducted by having
an investment advisory agreement with an investment adviser. The requirements
for becoming an investment adviser for a mutual fund are that the adviser must
be a registered investment adviser under the Investment Advisers Act of 1940,
and must have been approved by the Board of Trustees/Directors of a fund and its
shareholders. The investment adviser discloses certain information to the
competent supervisory authorities and the fund's shareholders, in accordance
with the investment advisory agreement, with respect to the management and
operation of the fund's assets.
An advisory fee calculated in accordance with the net asset value of the
fund is paid to the investment adviser. An investment adviser generally executes
an investment advisory agreement with a fund relating to the investment and
reinvestment of the fund's assets. Such investment and reinvestment must be
conducted subject to the investment objectives and restrictions provided for in
the prospectus and other governing instruments.
a. Valuation of Assets
The fund's net asset value per share is calculated each business day of the
fund, and it is furnished to the National Association of Securities
Dealers, Inc. (the "NASD"). Major newspapers in the United States obtain
the information from the NASD and report such information on a daily basis.
The total net asset value of the fund is determined by subtracting the
fund's total liabilities from its total assets. The net asset value per
share of the fund is determined by dividing the fund's net assets by the
total number of shares outstanding at the time of calculation.
<PAGE>
65
b. Sale, Redemption and Custody of Shares
(i) The purchase price of a fund's shares will be the net asset value per
share next computed after receipt of the sales order by the fund plus
the sales charge, if applicable. Such purchase price is set forth in
the prospectus.
(ii) Redemption of shares shall be made for one share or its multiple, and
the redemption price per share shall be the net asset value per share
next computed after receipt by the fund of the order and share
certificate if share certificates have been issued. Subject to certain
rules of the SEC, the fund may suspend the right of redemption
temporarily. The principal underwriter may charge fees upon such
redemption.
(iii) Custody of Shares
Investors' shares are usually held in book entry form by the fund's
transfer agent. Certificates for shares are issued only on request of
the shareholder. The transfer agent will furnish such shareholders
with detailed statements of their accounts. In cases where
certificates for shares have been issued to investors, such
certificates for shares are usually in the custody of the
shareholders.
c. Outline of Disclosure Requirements
(i) Disclosure to shareholders
In accordance with the 1940 Act, a fund sends to its shareholders
annual and semi-annual reports relating to its operations that contain
financial information.
(ii) Disclosure to the SEC
Pursuant to the 1940 Act, a fund reports details of its financial
condition and business operations to the SEC by annual and semi-annual
reports.
<PAGE>
66
d. Shareholders' Rights, and Procedures for the Exercise Thereof
Shareholders must be registered with a fund in order to exercise
shareholders' rights directly against the fund. The representative
right afforded to shareholders is the voting right. Other rights
include the right to receive dividends, the right to receive
distributions upon dissolution, the right to inspect accounting books
and the like, the right to transfer shares, and other rights with
respect to the U.S. registration statement (including the prospectus).
(i) Voting rights
Shareholders are entitled to one vote for each full fund share owned
and a proportionate fractional vote for each fractional share owned
with respect to such matters as the election and removal of trustees,
approval or termination of any investment advisory, management or
underwriting agreement, whether an action should be brought
derivatively or as a class action on behalf of the fund, and certain
amendments to the trust agreement. Voting rights shall be exercised at
a shareholders' meeting, or without meeting if a consent in writing
setting forth such action is signed by the shareholders entitled to
vote on the subject matter thereof holding a majority of the shares
entitled to vote thereon. Shareholders' meetings shall be convened by
the trustees or such other persons as specified in the fund's By-laws,
and the meeting shall be held at the head office of the fund or such
other place as the trustees may designate. Shareholders representing
more than 50% of the outstanding shares entitled to vote being present
(including those present by proxy) shall constitute a quorum unless
otherwise provided for in any applicable statutes, rules and
regulations, and, except as otherwise provided by law, the fund's
Declaration of Trust, or By-laws, approval of a matter is given by
vote (including vote by proxy) of a majority of the shares present and
entitled to vote.
(ii) Redemption rights
<PAGE>
67
Shareholders are entitled to request redemption of shares at their net
asset value at any time, provided that the fund may suspend the right
of redemption temporarily during the periods subject to the rules of
the SEC under the 1940 Act.
(iii)Right to receive dividends
Shareholders are entitled to receive any declared distributions for
each share held by them. Record dates are designated for the payment
of distributions and payments are usually made during the months in
which the record date falls or in the following month.
(iv) Right to receive distributions upon dissolution
Shareholders of a fund are entitled to receive distributions upon
dissolution in proportion to the number of shares then held by them.
(v) Right to inspect accounting books and the like
Shareholders are entitled to inspect the Declaration of Trust and,
subject to the discretion of the court, the fund's accounting books
and minutes of shareholders' meetings.
(vi) Right to transfer shares
Shares are transferable without restriction.
(vii)Rights with respect to the U.S. registration statement
The Securities Act of 1933 provides that if any effective part of the
registration statement contains an untrue statement of material fact
or omits to state a material fact required to be stated therein or
necessary to make the statement therein not misleading, any person
acquiring such security may sue every person who signed the
registration statement, every person who was a
<PAGE>
68
trustee (or person performing similar functions) of the issuer at the
time of filing of the registration statement, certain other persons
who prepared any part of the registration statement and every
underwriter with respect to such security.
<PAGE>
69
e. Related Company and Others
(i) Investment management company
The investment management company shall manage and operate the assets
of a fund subject to the terms of the investment advisory agreement
and the fund's investment objectives and restrictions. The
requirements for becoming an investment management company are that
the manager must be a registered investment adviser under the
Investment Advisers Act of 1940 and must have been approved by the
Board of Trustees/Directors of a fund and its shareholders.
(ii) Investment adviser
The investment adviser is usually the investment management company
which ordinarily sponsors or organizes the mutual fund. The duties of
the investment adviser are similar to those of the investment
management company and include the management of the fund's
investments and performance of certain administrative, clerical,
bookkeeping and accounting services as set forth in the investment
advisory agreement.
(iii)Underwriter-distributor
The underwriter-distributor is usually connected with the investment
adviser. Frequently, the underwriter-distributor is a subsidiary of
the investment adviser. The underwriter-distributor must register as a
broker-dealer with the SEC and must join the NASD.
(iv) Custodian
The mutual fund usually appoints a bank to hold its securities and
other assets as custodian. The requirements for becoming a custodian
of a mutual fund are that the entity be either a bank having aggregate
capital, surplus and undivided profits of not less than U.S.$500,000,
be a member of a national securities
<PAGE>
70
exchange, or be a central certificate depositary established by a
national securities exchange or a registered national securities
association. A mutual fund may act as its own custodian under certain
circumstances.
f. Governing Laws and Competent Authorities
(i) Governing laws regarding the creation and operation of a mutual fund
created as a Delaware business trust
A Delaware business trust is created under the laws of the State of
Delaware and is subject to the laws of that state. With respect to its
operation as a mutual fund, it is also subject to the 1940 Act, the
United States Internal Revenue Code, and regulations promulgated under
each statute. With respect to the sale of its Shares, the fund is
subject to the Securities Act of 1933, the Securities Exchange Act of
1934, the Blue Sky Laws and the regulations promulgated under said
laws. In addition, a Delaware business trust and its trustees may be
subject to common law principles established through judicial
decisions.
The substance of the governing law is as follows:
Delaware Business Trust Act (Delaware Code Chapter 38 et seq.
("Treatment of Delaware Business Trusts"))
Chapter 38 provides as follows:
Delaware has had in effect since October 1, 1988, the Business Trust
Act which expressly recognizes the Delaware business trust. The
principal purpose of the Business Trust Act is to modernize the common
law and provide certainty by codifying Delaware law with respect to
the use of trusts in business transactions.
The Business Trust Act permits the trust agreement of a business trust
to establish whatever rights and obligations of the trustees and of
the beneficial owners as are desirable. The voting rights of trustees
or beneficial owners, or any class or series thereof, may be expanded,
limited or eliminated with
<PAGE>
71
respect to virtually any matter relating to the business trust. This
flexibility provides an advantage over alternative forms of business
organizations and common law trusts which often are subject to
mandatory provisions.
A Delaware business trust may be merged or consolidated with a foreign
or Delaware corporation, limited partnership, limited liability
company or business trust pursuant to statutory procedures contained
in the Business Trust Act. A merger or consolidation may be
pre-authorized, or may be conditioned upon the approval of a specific
class or percentage of trustees or beneficial owners, as set forth in
the trust agreement of the business trust. Thus, a business trust may
be converted into another form of business entity in order to take
advantage of future changes in the tax laws or the securities markets.
Under the Business Trust Act, the beneficial owners of a Delaware
business trust have the same limitations of personal liability as
shareholders of a Delaware corporation. Except to the extent otherwise
provided in the trust agreement, a business trust is managed by or
under the direction of its trustees, who are not liable for the
obligations of the business trust. The Business Trust Act provides
that at least one trustee must be a Delaware resident. However, a
trust that is or will become a registered investment company is exempt
from this requirement. This requirement may be satisfied by engaging a
trust company with its principal place of business in Delaware. The
duties of the trustees may be specified in the trust agreement.
Moreover, the trust agreement may provide for the appointment of
managers, employees or other persons to manage the business trust with
such rights, powers and duties as are set forth herein.
To the extent that trustees or other persons who are responsible for
managing the business trust have duties (including fiduciary duties)
and liabilities relating thereto to the business trust or to the
beneficial owners, such persons' duties may be expanded or restricted
by the trust agreement. In addition, such persons shall not be liable
for their good faith reliance on the provision of the trust agreement.
Common Law
<PAGE>
72
Common law is non-statutory law developed through court judgments.
Certain legal principles developed through decisions rendered by the
courts of the State of Delaware may be applicable to Delaware business
trusts and trustees of such trusts.
Investment Company Act of 1940
The Investment Company Act of 1940 (the "1940 Act") gives the SEC the
authority to enforce the 1940 Act's provisions. The 1940 Act requires
an investment company to (i) disclose financial information and
fundamental policies, (ii) submit registration statements to the SEC,
and (iii) submit and deliver certain reports to the SEC and
shareholders. The 1940 Act generally prohibits such companies from
changing the nature of their business or other fundamental policies
without the approval of the shareholders. The 1940 Act regulates the
custody of the fund's assets and, more generally, the fund's business
and conduct.
Securities Act of 1933
The Securities Act of 1933 (the "1933 Act") regulates the registration
of securities. The 1933 Act requires information with regard to
securities being issued or sold to be disclosed by means of a
registration statement, including a prospectus. The 1933 Act makes any
fraudulent act in connection with the issuance or sale of such
securities unlawful.
Securities Exchange Act of 1934
The Securities Exchange Act of 1934 (the "1934 Act") regulates the
purchase and sale of securities and pertains to continuous disclosure
with respect to securities, proxy statements, unlawful use of inside
information and other fraudulent conduct. It also includes provisions
relating to the securities markets as well as extensive regulations
relating to securities dealers.
<PAGE>
73
The Internal Revenue Code of 1986
The Code provides for the qualification of a fund to be treated as a
regulated investment company.
(ii) Outline of the Supervisory Authorities
A Delaware business trust which operates as a registered investment
company is subject to supervision by the SEC and the securities
authorities of the various U.S. states.
The SEC
(a) Acceptance of registration applications
(Sections 7 and 8 of the 1940 Act)
An investment company must register with the SEC by filing a
notification of registration in such form as the SEC shall prescribe.
An investment company is deemed to have been registered when it has
filed such registration notification with the SEC. After filing the
proscribed notification, an investment company must file a
registration statement with the SEC.
(b) Suspension or revocation of registration as a registered investment company
(Section 8 of the 1940 Act)
An investment company may have its registration suspended or revoked
by order of the SEC if it fails to submit a registration statement or
report if either is materially defective.
(c) Supervision of changes in trustees and officer
(Section 9(b) of the 1940 Act)
<PAGE>
74
The SEC can prohibit trustees and officers from serving as such in the
event they are found to have willfully violated certain U.S. federal
securities laws.
(d) Examination of registration statement
(Sections 5 and 8 of the 1933 Act)
In order to sell shares to the public, a fund must file a registration
statement with the SEC and such statement must have become effective.
The registration statement is prepared in accordance with Form N-1A
and must include the information required by Form N-1A and, more
generally, the 1933 Act and rules thereunder. The SEC will examine the
registration statement and, if it is defective, may order its
modification or deny its effectiveness. Parts A and B of the Form N-1A
registration statement consist of the investment company's prospectus
and statement of additional information, respectively.
(e) Supervision of the business
(Section 12 of the 1940 Act)
The SEC regulates the function and activities of investment companies,
including such matters as the purchase of securities on margin, short
sales of securities, underwriting commitments, acquisition of
securities issued by other investment companies, organization of face
amount certificate companies, acquisition of voting stock of insurance
companies and other matters.
(f) Acceptance of periodic reports
(Section 30 of the 1940 Act)
<PAGE>
75
The SEC requires all investment companies to submit annual and other
reports. The SEC regulates the content of these reports, thereby
exercising its supervisory authority.
State Securities Supervisory Authorities
(a) Provisions concerning licenses
Most states require brokers, dealers, securities salespersons, and
certain investment advisers either to acquire licenses from the state
or, at least, to be registered with a state agency.
(b) Provisions concerning registration of securities
Most of the 50 states require notification of the availability of
shares upon registration of a fund's shares with the SEC prior to any
lawful sale or offer to sell.
(c) Provisions concerning prevention of fraud
In general, the Blue Sky Laws provide various sanctions for fraudulent
acts in connection with the sale of securities, such as prosecution
resulting in fine and/or imprisonment, injunction, an order requiring
payment of the deposit, temporary suspension or revocation of license
or registration, and civil liability for damages.
g. Dissolution, Termination, etc.
(i) Dissolution and termination
In order to dissolve or terminate a fund, one must obtain approval of
the fund's Board of Trustees/Directors to such action, notify
shareholders and file appropriate documents with the SEC. To liquidate
a fund, all of the assets of the fund must be distributed to its
shareholders.
<PAGE>
76
(ii) Amendments to the trust agreements
Amendments to the trust agreement may be made by vote or with the
written consent of the trustees and, as to some matters which might
have detrimental effects upon the shareholders, by approval of the
holders of a majority of the outstanding Shares.
h. Taxation of a Delaware business trust
If a fund complied with the conditions contained in Section 851 of the
Internal Revenue Code, the fund is qualified as a regulated investment
company, and distributes all of its net investment income and net
capital gains, if any, to shareholders annually. Thus it will be
relieved of any U.S. federal income tax liability. Income dividends
and net short-term gains distributions received by shareholders are
taxable as ordinary income and net long-term gains are taxable as
capital gains regardless of how long the shareholder has held the
shares of the fund.
<PAGE>
77
II. FORM OF FOREIGN INVESTMENT FUND SECURITIES
No Share certificates of the Fund shall be issued.
<PAGE>
Notes to financial statements
Vanguard Small-Cap Index Fund is registered under the Investment Company Act of
1940 as a diversified open-end investment company, or mutual fund.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The fund consistently follows such
policies in preparing its 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: The 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 fund, 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 fund uses S&P 500 Index, S&P MidCap 400 Index,
and Russell 2000 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. The 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.
The 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.
<PAGE>
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. 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 the fund under methods approved by the Board of
Trustees. The fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At December 31, 1999, the fund had
contributed capital of $727,000 to Vanguard (included in Other Assets),
representing 0.02% of the fund's net assets and 0.7% of Vanguard's
capitalization. The fund's Trustees and officers are also Directors and officers
of Vanguard.
C. The fund's custodian bank has agreed to reduce its fees when the fund
maintains cash on deposit in its non-interest-bearing custody account. For the
years ended December 31, 1999 and 1998, custodian fee offset arrangements
reduced expenses of the fund by $17,000 and $4,000, respectively.
D. The fund offers two classes of shares, Investor Shares and Institutional
Shares. Institutional Shares are designed primarily for institutional investors
that meet certain administrative and servicing criteria and have a minimum
investment of $10 million. Investor Shares are offered to all other investors.
Both classes of shares have equal rights to assets and earnings, except that
each class bears certain class-specific expenses related to its shareholder
activity. Class-specific expenses for the years ended December 31, 1999 and 1998
represented 0.16% and 0.15%, respectively, of average net assets for investor
shares and 0.03% for each year for institutional shares.
Income, expenses not attributable to a specific class, and realized and
unrealized gains and losses on investments are allocated to each class of shares
based on its relative net assets.
E. During the years ended December 31, 1999 and 1998, the fund purchased
$1,691,104,000 and $1,298,866,000, respectively, of investment securities and
sold $979,497,000 and $961,558,000, respectively, of investment securities other
than temporary cash investments.
<PAGE>
F. At December 31, 1999, net unrealized appreciation of investment securities
for financial reporting and federal income tax purposes was $588,293,000,
consisting of $1,144,013,000 on securities that had risen in value since their
purchase and $577,720,000 in unrealized losses on securities that had fallen in
value since their purchase. The aggregate settlement value of open Russell 2000
Index futures contracts expiring in March 2000 and the related unrealized
appreciation were $8,669,000 and $412,000, respectively. 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, was $126,757,000, for which the fund had received cash collateral of
$151,600,000. Cash collateral received is invested in repurchase agreements.
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF NET ASSETS DECEMBER 31, 1998
--------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
--------------------------------------------------------------------------------
COMMON STOCKS (96.6%)(1)
o American Tower Corp. Class A 322,160 9,524
o Network Appliance, Inc. 210,100 9,422
o Legato Systems, Inc. 128,200 8,453
o Nova Corp. (Georgia) 239,837 8,319
o Lycos, Inc. 146,800 8,157
o MedImmune Inc. 81,700 8,124
o Sepracor Inc. 92,600 8,108
o Rational Software Corp. 299,479 7,936
o NTL Inc. 140,067 7,905
o Express Scripts 117,200 7,867
o Electronics for Imaging, Inc. 183,700 7,348
o CSG Systems International, Inc. 88,300 6,976
New Plan Excel Realty Trust REIT 309,100 6,858
o PMC Sierra Inc. 106,200 6,704
Adolph Coors Co. Class B 118,600 6,693
o Microchip Technology, Inc. 177,700 6,575
o Premier Parks Inc. 215,800 6,528
o Valassis Communications, Inc. 125,800 6,494
o CMGI Inc 60,500 6,443
o Devry, Inc. 208,600 6,388
o Agouron Pharmaceuticals, Inc. 107,706 6,328
Reinsurance Group of America, Inc. 86,300 6,041
o Novellus Systems, Inc. 118,200 5,851
o Covance, Inc. 199,500 5,810
o Winstar Communications, Inc. 148,500 5,791
o USWeb Corp. 218,600 5,766
National Data Corp. 118,200 5,755
o Western Wireless Corp. Class A 261,400 5,751
o E*TRADE Group, Inc. 122,900 5,749
First American Financial Corp. 178,900 5,747
o American Management Systems, Inc. 143,000 5,720
o SPX Corp. 85,200 5,708
o Acxiom Corp. 182,930 5,671
o PSS World Medical, Inc. 236,762 5,446
Minnesota Power, Inc. 122,000 5,368
First Brands Corp. 136,100 5,367
o Jabil Circuit, Inc. 71,200 5,313
o Linens 'n Things, Inc. 133,200 5,278
o Informix Corp. 530,100 5,235
WestAmerica Bancorporation 141,900 5,215
Old National Bancorp 92,572 5,161
FelCor Lodging Trust, Inc. REIT 221,122 5,100
Aliant Communications, Inc. 124,500 5,089
o Gentex Corp. 251,400 5,028
CNB Bancshares, Inc. 107,745 5,024
Cullen/Frost Bankers, Inc. 90,780 4,982
Applied Power, Inc. 130,195 4,915
Ball Corp. 106,800 4,886
<PAGE>
MDU Resources Group, Inc. 184,887 4,865
o Rambus Inc. 50,200 4,832
Universal Foods Corp. 175,700 4,821
Lee Enterprises, Inc. 152,900 4,816
Commercial Federal Corp. 206,751 4,794
o Plantronics, Inc. 55,600 4,782
IDACORP, Inc. 131,200 4,748
Peoples Energy Corp. 118,625 4,730
o Transaction Systems Architects, Inc. 94,200 4,710
General Growth Properties Inc. REIT 122,700 4,647
Earthgrains Co. 149,844 4,636
o AmeriSource Health Corp. 71,000 4,615
o SkyTel Communications, Inc. 207,500 4,591
Nevada Power Co. 176,400 4,586
Washington Gas Light Corp. 165,900 4,500
AGL Resources Inc. 194,700 4,490
o International Network Services 67,500 4,489
Sotheby's Holdings Class A 139,500 4,464
Kaydon Corp. 111,400 4,463
o PETsMART, Inc. 404,950 4,454
Hawaiian Electric Industries Inc. 109,700 4,415
Rayonier Inc. 96,100 4,415
o Wang Laboratories, Inc. 159,075 4,414
SEI Corp. 44,100 4,382
o SFX Entertainment, Inc. 79,200 4,346
o Level One Communications 122,275 4,341
o Catalina Marketing Corp. 63,300 4,328
o Gilead Sciences, Inc. 105,000 4,312
o Envoy Corp. 73,800 4,299
John Wiley & Sons Class A 88,300 4,266
Media General, Inc. Class A 80,400 4,261
Federal Signal Corp. 155,400 4,254
Independence Community Bank Corp. 263,300 4,196
o IVAX Corp. 335,400 4,172
o BISYS Group, Inc. 80,600 4,161
Rochester Gas and Electric Corp. 132,900 4,153
o Infoseek Corp. 83,800 4,138
Borg-Warner Automotive, Inc. 73,700 4,113
o Symantec Corp. 187,040 4,068
Briggs & Stratton Corp. 81,425 4,061
o QLogic Corp. 31,000 4,057
HSB Group Inc. 98,650 4,051
Weingarten Realty Investors REIT 90,775 4,051
o Oxford Health Plan 272,200 4,049
Sierra Pacific Resources 106,500 4,047
o Associated Group, Inc. 93,948 4,040
Universal Corp. 115,000 4,039
o Micro Warehouse Inc. 119,300 4,034
o World Color Press, Inc. 132,500 4,033
Commerce Bancorp, Inc. 76,752 4,029
o Zale Corp. 124,000 3,999
Newport News Shipbuilding Inc. 119,500 3,996
o VISIX Inc. 45,500 3,978
<PAGE>
o Alaska Air Group, Inc. 89,800 3,974
Franchise Finance Corp. of America REIT 165,500 3,972
Camden Property Trust REIT 152,387 3,962
Kaufman & Broad Home Corp. 137,600 3,956
Houghton Mifflin Co. 83,700 3,955
One Valley Bancorp of West Virginia Inc. 120,144 3,950
o Macromedia 117,100 3,945
o Tower Automotive, Inc. 157,700 3,933
o Renal Care Group, Inc. 136,450 3,931
o Smithfield Foods, Inc. 116,000 3,929
Dallas Semiconductor Corp. 96,300 3,924
o Sylvan Learning Systems, Inc. 128,600 3,922
Wallace Computer Services, Inc. 148,300 3,911
o Excite, Inc. 92,900 3,908
ONEOK, Inc. 108,100 3,905
Longs Drug Stores, Inc. 103,200 3,870
Bob Evans Farms, Inc. 147,900 3,855
o Champion Enterprises, Inc. 140,748 3,853
o Medicis Pharmaceutical Corp. 63,700 3,798
o Interim Services, Inc. 161,806 3,782
AK Steel Corp. 160,400 3,769
o Cellular Communications International Inc. 55,250 3,757
BRE Properties Inc. Class A REIT 150,048 3,714
o Bethlehem Steel Corp. 443,291 3,713
o Mettler-Toledo International Inc. 132,100 3,707
C.H. Robinson Worldwide, Inc. 142,800 3,704
Piedmont Natural Gas, Inc. 102,444 3,701
Equitable Resources, Inc. 126,600 3,687
Potlatch Corp. 99,800 3,680
Precision Castparts Corp. 83,100 3,677
Washington Water Power Co. 191,000 3,677
United Dominion Realty Trust REIT 356,150 3,673
St. Paul Bancorp, Inc. 134,705 3,667
Lincoln Electric Holdings 163,800 3,645
United Bankshares, Inc. 136,900 3,628
Corn Products International, Inc. 119,200 3,621
Webster Financial Corp. 130,300 3,575
CMAC Investment Corp. 77,500 3,560
Metris Cos., Inc. 70,571 3,551
o HNC Software, Inc. 87,800 3,550
o GTech Holdings Corp. 138,500 3,549
Developers Diversified Realty Corp. REIT 199,800 3,546
National Computer Systems, Inc. 95,500 3,533
Sky Financial Group, Inc. 133,110 3,519
First Midwest Bancorp 92,414 3,517
UST Corp. 149,100 3,513
o Wind River Systems 74,700 3,511
Community First Bankshares 166,400 3,505
BancWest Corp. 73,000 3,504
Expeditors International of Washington, Inc. 83,400 3,503
o Lattice Semiconductor Corp. 76,175 3,497
o Henry Schein, Inc. 78,100 3,495
o ICOS Corp. 117,400 3,493
<PAGE>
Hussman International, Inc. 177,775 3,444
First Industrial Realty Trust REIT 127,500 3,419
Wausau-Mosinee Paper Corp. 193,110 3,416
Eastern Enterprises 77,800 3,404
o Century Communications Corp. Class A 107,116 3,398
Richfood Holdings, Inc. 163,000 3,382
Atmos Energy Corp. 104,741 3,378
G & K Services, Inc. 63,150 3,363
o CheckFree Holdings Corp. 143,100 3,345
WPS Resources Corp. 94,800 3,342
Helmerich & Payne, Inc. 171,600 3,325
o ICG Communications, Inc. 154,600 3,324
o IDEXX Laboratories Corp. 123,400 3,320
Arvin Industries, Inc. 79,300 3,306
o Mercury Interactive Corp. 51,700 3,270
Nationwide Health Properties, Inc. REIT 151,300 3,262
o Patterson Dental Co. 74,950 3,260
Battle Mountain Gold Co. Class A 787,600 3,249
o MindSpring Enterprises, Inc. 53,200 3,249
La-Z-Boy Inc. 182,300 3,247
HUBCO, Inc. 107,477 3,238
o ChoicePoint Inc. 50,100 3,231
o PathoGenesis Corp. 55,700 3,231
Jostens Inc. 123,300 3,229
Ferro Corp. 124,100 3,227
Health Care Properties Investors REIT 104,300 3,207
Federal Realty Investment Trust REIT 135,700 3,206
o United Stationers, Inc. 123,100 3,201
Commerce Group, Inc. 89,900 3,186
Alexander & Baldwin, Inc. 135,800 3,157
o C-Cube Microsystems, Inc. 116,100 3,149
o MedQuist, Inc. 79,700 3,148
o Wisconsin Central Transportation Corp. 180,300 3,099
o HA-LO Industries, Inc. 82,350 3,098
o Eastern Environmental Services, Inc. 104,400 3,093
o Visio Corp. 84,600 3,093
o Pediatrix Medical Group, Inc. 51,500 3,087
Storage USA, Inc. REIT 95,300 3,079
o United Rentals, Inc. 92,900 3,077
Aptargroup Inc. 109,600 3,076
o Network Solutions, Inc. Class A 23,500 3,076
Healthcare Realty Trust Inc. REIT 137,607 3,070
Hospitality Properties Trust REIT 127,200 3,069
o UICI 125,000 3,062
Prentiss Properties Trust REIT 136,900 3,055
o IXC Communications, Inc. 90,600 3,046
Roslyn Bancorp, Inc. 141,556 3,043
Reckson Associates Realty Corp. REIT 136,800 3,035
Tecumseh Products Co. Class A 65,100 3,035
o PSINet, Inc. 145,100 3,029
Polaris Industries, Inc. 77,200 3,025
o Jacobs Engineering Group Inc. 74,200 3,024
Staten Island Bancorp, Inc. 151,500 3,021
<PAGE>
o American Eagle Outfitters, Inc. 45,300 3,018
o Papa John's International, Inc. 68,050 3,003
o Aspect Telecommunications Corp. 173,600 2,995
o IDEC Pharmaceuticals Corp. 63,500 2,984
o Shopko Stores, Inc. 88,800 2,953
o Security Dynamics Technologies, Inc. 128,060 2,945
o Metromedia Fiber Network, Inc. 87,828 2,942
SIG Corp. 82,399 2,941
OM Group, Inc. 80,500 2,938
o AmeriCredit Corp. 212,500 2,935
LandAmerica Financial Group, Inc. 52,500 2,930
Public Service Co. of New Mexico 142,700 2,916
o ETEC Systems, Inc. 72,800 2,912
Cilcorp, Inc. 47,500 2,906
Whitney Holdings 77,450 2,904
Jones Pharma, Inc. 79,500 2,902
MeriStar Hospitality Corp. REIT 156,234 2,900
o Catalytica, Inc. 160,800 2,894
o Getchell Gold Corp. 106,013 2,889
Park National Corp. 28,000 2,884
GenCorp, Inc. 115,400 2,878
Claire's Stores, Inc. 140,250 2,875
o Adelphia Communications Corp. Class A 62,700 2,869
o Metzler Group, Inc. 58,700 2,858
o INCYTE Pharmaceuticals, Inc. 76,400 2,855
o Insight Enterprises, Inc. 56,100 2,854
First Financial Bancorp 98,569 2,852
o Exodus Communications, Inc. 44,300 2,846
o Computer Horizons Corp. 106,200 2,828
o Dionex Corp. 77,200 2,827
o Coach USA, Inc. 81,400 2,824
Citizens Banking Corp. 83,600 2,821
o Beringer Wine Estates Holdings, Inc. 63,100 2,820
o Eagle Hardware & Garden, Inc. 86,400 2,808
o Boole & Babbage Inc. 95,343 2,807
Cousins Properties, Inc. REIT 86,943 2,804
o Data General Corp. 169,900 2,793
Southwest Gas Corp. 103,900 2,792
o Stillwater Mining Co. 68,100 2,792
o SCM Microsystems,Inc. 39,255 2,790
D. R. Horton, Inc. 120,744 2,777
Wicor, Inc. 126,900 2,768
Banta Corp. 101,000 2,765
BancorpSouth, Inc. 152,900 2,762
o Millennium Pharmaceuticals, Inc. 106,500 2,756
o Consolidated Graphics, Inc. 40,700 2,750
MAF Bancorp, Inc. 103,651 2,747
o Hollywood Entertainment Corp. 100,700 2,744
o Applied Micro Circuits Corp. 80,300 2,728
o Synetic, Inc. 61,900 2,724
Donaldson Co., Inc. 130,900 2,716
o Fisher Scientific International Inc. 136,100 2,713
Minerals Technologies, Inc. 66,200 2,710
<PAGE>
o Trammell Crow Co. 96,750 2,709
A. Schulman Inc. 119,100 2,702
Bindly Western Industries, Inc. 54,700 2,694
o Building One Services Corp. 129,000 2,693
o Xircom, Inc. 79,200 2,693
The McClatchy Co. Class A 76,100 2,692
o EarthLink Network, Inc. 47,200 2,690
o Whittman-Hart, Inc. 97,300 2,688
o AXENT Technologies, Inc. 87,180 2,664
Modine Manufacturing Co. 73,400 2,661
o Human Genome Sciences, Inc. 74,400 2,646
UGI Corp. Holding Co. 111,300 2,643
o Romac International, Inc. 118,610 2,639
Trustco Bank 87,949 2,638
o Delphi Financial Group, Inc. 50,296 2,637
o Vishay Intertechnology, Inc. 181,818 2,636
FBL Financial Group, Inc. Class A 108,600 2,634
o Medical Assurance, Inc. 79,517 2,629
o MiniMed, Inc. 25,100 2,629
o Foodmaker, Inc. 119,000 2,625
o ITC DeltaCom, Inc. 172,000 2,623
Fingerhut Co. 169,800 2,621
o AnnTaylor Stores Corp. 66,400 2,619
The Macerich Co. REIT 102,200 2,619
Indiana Energy, Inc. 106,266 2,617
Arthur J. Gallagher & Co. 59,100 2,608
Manitowac Co., Inc. 58,700 2,605
USFreightways Corp. 89,400 2,604
Meridian Industrial Trust, Inc. REIT 110,500 2,597
First Bancorp/Puerto Rico 85,700 2,587
o Barrett Resources Corp. 107,400 2,578
W.R. Berkley Corp. 75,575 2,574
Cleco Corp. 75,000 2,573
o Santa Fe Energy Resources, Inc. 348,900 2,573
o Tetra Tech, Inc. 95,022 2,572
o Visual Networks, Inc. 68,534 2,570
Central Hudson Gas & Electric Corp. 57,400 2,569
o Aspect Development, Inc. 57,600 2,552
Ballard Medical Products 104,966 2,552
Milacron Inc. 131,877 2,539
Orange & Rockland Utilities, Inc. 44,500 2,537
o Safeguard Scientifics, Inc. 92,400 2,535
o Century Business Services, Inc. 176,000 2,530
S & T Bancorp, Inc. 91,800 2,530
o SMART Modular Technologies, Inc. 91,100 2,528
United Illuminating Co. 49,050 2,526
General Cable Corp. 123,050 2,523
Shurgard Storage Centers, Inc. Class A REIT 97,500 2,517
o Markel Corp. 13,900 2,516
o Micrel, Inc. 45,700 2,513
Chesapeake Corp. of Virginia 68,000 2,507
o Extended Stay America, Inc. 238,200 2,501
o Newfield Exploration Co. 119,700 2,499
<PAGE>
Air Express International Corp. 114,800 2,497
Dexter Corp. 79,400 2,496
o Brightpoint, Inc. 181,325 2,493
o Vertex Pharmaceuticals, Inc. 83,800 2,493
o Alliant Techsystems, Inc. 30,200 2,490
o Scholastic Corp. 46,400 2,488
o Serologicals Corp. 82,750 2,482
o Metamor Worldwide, Inc. 99,200 2,480
Rollins Truck Leasing 168,037 2,479
Mark IV Industries, Inc. 190,575 2,477
o Hanover Compressor Co. 96,400 2,476
NAC Re Corp. 52,750 2,476
o Cypress Semiconductor Corp. 297,625 2,474
o Mueller Industries Inc. 121,700 2,472
o Scotts Co. 64,300 2,472
o Sunrise Assisted Living, Inc. 47,600 2,469
Enhance Financial Services Group, Inc. 82,200 2,466
Colonial Properties Trust REIT 92,600 2,465
Mainstreet Financial Corp. 52,900 2,457
Commonwealth Energy Systems 60,600 2,454
o Rayovac Corp. 91,900 2,453
Ametek Aerospace Products Inc. 109,700 2,448
Fidelity National Financial, Inc. 80,163 2,445
Fund American Enterprise Holding Co. 17,453 2,445
Harman International Industries, Inc. 64,125 2,445
Regis Corp. 61,100 2,444
IDEX Corp. 99,600 2,440
o Concord Communications, Inc. 42,900 2,435
New Jersey Resources Corp. 61,400 2,425
o Dura Pharmaceuticals, Inc. 159,500 2,422
Caraustar Industries, Inc. 84,500 2,414
Philadelphia Suburban Corp. 81,600 2,412
o United International Holdings, Inc. Class A 125,300 2,412
o Priority Healthcare Corp. 46,400 2,407
International Speedway Corp. 59,300 2,402
Nordson Corp. 46,600 2,394
o America West Holdings Corp. Class B 140,000 2,380
JDN Realty Corp. REIT 110,150 2,375
o Structural Dynamics Research Corp. 119,506 2,375
o GeoTel Communications Corp. 63,700 2,373
o Department 56 Inc. 63,100 2,370
Jefferies Group, Inc. 47,632 2,364
o Orthodontic Centers of America, Inc. 121,600 2,364
o Imation Corp. 135,000 2,362
Pulte Corp. 84,800 2,358
Health Care REIT, Inc. 91,000 2,355
Casey's General Stores 180,500 2,352
Oakwood Homes Corp. 154,700 2,350
Devon Energy Corp. 76,500 2,348
o Dycom Industries, Inc. 41,100 2,348
Kimball International, Inc. Class B 123,400 2,345
o Liposome Co., Inc. 151,800 2,343
o Hutchinson Technology, Inc. 65,700 2,341
<PAGE>
o Zebra Technologies Class A 81,400 2,340
o Lason Holdings, Inc. 40,200 2,339
Westernbank Puerto Rico 146,800 2,330
Doral Financial Corp. 105,100 2,325
o Vanguard Cellular Systems, Inc. Class A 89,950 2,322
o Cerner Corp. 86,700 2,319
o LAM Research Corp. 130,000 2,316
Amcore Financial 101,020 2,312
UMB Financial Corp. 50,238 2,305
HCC Insurance Holdings, Inc. 130,350 2,297
TIG Holdings, Inc. 147,525 2,296
Alpharma, Inc. Class A 64,934 2,293
o Comfort Systems USA, Inc. 128,200 2,292
Baldor Electric Co. 112,927 2,287
o Documentum, Inc. 42,700 2,282
Realty Income Corp. REIT 91,700 2,281
o Avis Rent A Car, Inc. 94,200 2,278
o Burlington Industries, Inc. 206,900 2,276
o Cognex Corp. 113,800 2,276
Susquehanna Bancshares, Inc. 111,075 2,274
o Swift Transportation Co., Inc. 81,100 2,273
ASA Holdings Inc. 74,500 2,272
o Men's Wearhouse, Inc. 71,350 2,265
o CDW Computer Centers, Inc. 23,600 2,264
Carpenter Technology Corp. 66,600 2,260
AAR Corp. 94,600 2,259
o UNOVA, Inc. 124,500 2,257
o Duane Reade Inc. 58,600 2,256
Lone Star Industries, Inc. 61,200 2,253
o Black Box Corp. 59,400 2,250
o EchoStar Communications Corp. 46,400 2,245
Chicago Title Corp. 47,600 2,234
XTRA Corp. 53,900 2,230
Church & Dwight, Inc. 61,900 2,225
o Read Rite Corp. 150,500 2,225
Flowserve Corp. 134,306 2,224
o ResMed Inc. 49,000 2,223
o Ventas, Inc. 181,700 2,214
United Water Resources, Inc. 92,268 2,209
o Walter Industries, Inc. 144,200 2,208
Kuhlman Corp. 58,000 2,197
o Micron Electronics, Inc. 126,900 2,197
o Cirrus Logic 223,300 2,191
Skywest, Inc. 67,000 2,190
o Oak Industries, Inc. 62,500 2,188
Mentor Corp. 93,300 2,187
o AmeriTrade Holding Corp. 69,400 2,186
o Tel-Save.com, Inc. 130,500 2,186
H.B. Fuller Co. 45,350 2,182
o Centennial Cellular Corp. 53,200 2,181
Bowne & Co., Inc. 121,900 2,179
Ruddick Corp. 94,700 2,178
Hughes Supply, Inc. 74,350 2,175
<PAGE>
MascoTech Inc. 127,000 2,175
Kilroy Realty Corp. REIT 94,500 2,174
Washington REIT 116,650 2,173
Chateau Communities, Inc. REIT 74,100 2,172
o Westwood One, Inc. 71,200 2,172
E.W. Blanch Holdings, Inc. 45,700 2,168
o SEACOR SMIT Inc. 43,800 2,165
o Sipex Corp. 61,600 2,164
o Pre-Paid Legal Services, Inc. 65,500 2,161
o DoubleClick Inc. 48,500 2,158
o CommScope, Inc. 128,308 2,157
F & M National Corp. 71,941 2,154
Glenborough Realty Trust, Inc. REIT 105,400 2,148
JLG Industries, Inc. 137,500 2,148
o O'Reilly Automotive, Inc. 45,400 2,145
o Plexus Corp. 63,300 2,144
o Xylan Corp. 117,961 2,138
o Progress Software Corp. 63,300 2,136
J.M. Smucker Co. Class A 86,300 2,136
o Iron Mountain, Inc. 59,200 2,135
CalMat Co. 69,000 2,130
First Citizens BancShares Class A 23,600 2,124
Northwest Natural Gas Co. 81,850 2,118
Gables Residential Trust REIT 91,300 2,117
MacDermid, Inc. 54,000 2,113
o Primark Corp. 77,900 2,113
o BEA Systems, Inc. 172,300 2,111
o Komag, Inc. 203,300 2,109
o SEQUUS Pharmaceuticals, Inc. 103,900 2,104
o Ames Department Stores, Inc. 77,600 2,095
Roper Industries Inc. 102,800 2,095
Granite Construction Co. 62,400 2,094
Jack Henry & Associates 42,100 2,094
Bank North Group 55,600 2,092
o Sonic Corp. 84,100 2,092
Blount International, Inc. 83,800 2,090
Russell Corp. 102,825 2,089
Provident Bankshares Corp. 83,940 2,088
Omega Healthcare Investors, Inc. REIT 69,100 2,086
Trinet Corporate Realty Trust, Inc. REIT 77,900 2,084
Alfa Corp. 85,800 2,081
o Burr-Brown Corp. 88,700 2,079
Ruby Tuesday, Inc. 97,750 2,077
Northwestern Corp. 78,500 2,075
Gaylord Entertainment Co. Class A 68,375 2,060
o New Era of Networks, Inc. 46,700 2,055
Fair Issac & Co. 44,400 2,051
o PAREXEL International Corp. 82,000 2,050
Brandywine Realty Trust REIT 114,600 2,048
o Footstar Inc. 81,900 2,048
CMP Group Inc. 108,414 2,046
Eaton Vance Corp. 97,600 2,037
o DSP Communications, Inc. 132,900 2,035
<PAGE>
Sun Communities, Inc. REIT 58,400 2,033
o TMP Worldwide, Inc. 48,400 2,033
TR Financial Corp. 51,600 2,032
Westbanco Inc. 68,879 2,032
o Vlasic Foods International, Inc. 85,300 2,031
CenterPoint Properties Corp. REIT 59,900 2,025
o Bally Total Fitness Holding Corp. 81,300 2,022
o Choice Hotel International, Inc. 147,400 2,018
o Sybase, Inc. 272,200 2,016
o Clarify, Inc. 82,300 2,011
o BE Avionics Inc. 95,700 2,010
o The Cheesecake Factory 67,653 2,006
Invacare Corp. 83,500 2,004
Eastern Utilities Associates 70,889 2,003
Liberty Corp. 40,600 2,000
o The Petersen Cos., Inc. 59,000 1,999
o Investment Technology Group, Inc. 32,100 1,992
Irvine Apartment Communities, Inc. REIT 62,400 1,989
o DII Group, Inc. 86,446 1,988
o DST Systems, Inc. 34,744 1,983
Block Drug Co. Class A 45,648 1,980
NACCO Industries, Inc. Class A 21,495 1,978
o ADVO, Inc. 74,950 1,977
o MotivePower Industries Inc. 61,400 1,976
o SPS Technologies, Inc. 34,900 1,976
Longview Fibre Co. 170,700 1,974
o ABR Information Services, Inc. 100,550 1,973
o RCN Corp. 111,400 1,970
CBL & Associates Properties, Inc. REIT 76,200 1,967
o Avid Technology, Inc. 84,000 1,964
Republic Security Financial Corp. 161,519 1,958
o ITT Educational Services, Inc. 57,500 1,955
o Ralcorp Holdings, Inc. 107,000 1,953
o Vail Resorts Inc. 88,700 1,951
Executive Risk, Inc. 35,500 1,950
Selective Insurance Group 96,900 1,950
o Apria Healthcare 218,100 1,949
o BroadVision, Inc. 60,800 1,946
Brady Corp. Class A 72,000 1,939
o Conmed Corp. 58,750 1,939
o Tekelec 117,100 1,939
o Veeco Instruments, Inc. 36,400 1,934
o Perrigo Co. 219,300 1,933
Charles E. Smith Residential Realty, Inc. REIT 60,100 1,931
Queens County Bancorp, Inc. 64,872 1,930
o Anixter International Inc. 94,800 1,926
o Mastech Corp. 67,300 1,926
LTV Corp. 329,900 1,918
Black Hills Corp. 72,650 1,916
Hollinger International, Inc. 137,500 1,916
o Handleman Co. 136,200 1,915
o Security Capital Group Inc. REIT Class B 141,200 1,915
o Roberts Pharmaceuticals 87,900 1,912
<PAGE>
ABM Industries 55,200 1,911
o Personnel Group of America, Inc. 109,000 1,907
National Health Investors REIT 77,100 1,903
o Hayes Lemmerz International, Inc. 63,000 1,902
o Cable Design Technologies 102,750 1,901
o Superior Services Inc. 94,700 1,900
Chelsea GCA Realty, Inc. REIT 53,300 1,899
o Imperial Bancorp 113,996 1,895
Cambrex Corp. 78,900 1,894
Matthews International Corp. 60,000 1,890
o World Access, Inc. 88,400 1,890
Applebee's International, Inc. 91,600 1,889
Superior Industries International, Inc. 67,900 1,888
Texas Industries, Inc. 69,920 1,883
o Prime Hospitality Corp. 178,200 1,882
International Bancshares Corp. 37,150 1,881
o Advantage Learning Systems, Inc. 28,600 1,880
Geon Co. 81,500 1,874
o Software AG Systems, Inc. 103,400 1,874
Weeks Corp. REIT 66,400 1,872
Belden, Inc. 88,300 1,871
o Alternate Living Services, Inc. 54,600 1,870
o Biomatrix, Inc. 32,100 1,870
Methode Electronics, Inc. Class A 119,500 1,867
o Respironics, Inc. 93,191 1,867
o Airgas, Inc. 208,200 1,861
o Bell & Howell Co. 49,100 1,857
o Hyperion Solutions Corp. 103,119 1,856
Kellwood Co. 74,150 1,854
o Amerin Corp. 78,300 1,850
Wolverine World Wide, Inc. 139,640 1,850
o Corporate Express, Inc. 356,092 1,847
ASARCO, Inc. 122,575 1,846
o Curative Health Services Inc. 55,000 1,842
o Pairgain Technologies, Inc. 239,200 1,839
Bay State Gas Co. 46,076 1,834
o Musicland Stores Corp. 122,700 1,833
ARM Financial Group, Inc. 82,400 1,828
o Quest Diagnostics, Inc. 102,600 1,828
Florida Rock Industries, Inc. 58,900 1,826
o American Oncology Resources, Inc. 125,100 1,822
o Toll Brothers, Inc. 80,700 1,821
o Buffets Inc. 152,449 1,820
o Sapient Corp. 32,500 1,820
CTS Corp. 41,800 1,818
o Journal Register Co. 121,200 1,818
M.A. Hanna Co. 147,400 1,815
Manufactured Home Communities, Inc. REIT 72,400 1,815
o Sequent Computer Systems, Inc. 150,200 1,812
o MICROS Systems, Inc. 55,100 1,811
National Bankcorp of Alaska Inc. 53,600 1,809
First Commonwealth Financial Corp. 73,800 1,808
Foster Wheeler Corp. 136,700 1,803
<PAGE>
o FactSet Research Systems Inc. 29,100 1,797
Investors Financial Services Corp. 30,076 1,793
Vermont Financial Services Corp. 53,900 1,792
o Action Performance Cos., Inc. 50,600 1,790
o CEC Entertainment Inc. 64,500 1,790
Crawford & Co. Class B 115,850 1,788
o Mentor Graphics Corp. 210,000 1,785
o Playtex Products, Inc. 111,100 1,785
Midas Inc. 57,200 1,780
o Nautica Enterprises, Inc. 118,614 1,779
Premier Bancshares, Inc. 67,800 1,776
o CHS Electronics, Inc. 104,700 1,773
o SDL, Inc. 44,600 1,767
Public Service Co. of North Carolina, Inc. 67,900 1,765
o Affiliated Managers Group, Inc. 59,000 1,763
o Canandaigua Brands, Inc. Class A 30,500 1,763
o Consolidated Products Inc. 85,390 1,761
Westfield America, Inc. REIT 101,900 1,758
SL Green Realty Corp. REIT 81,000 1,752
Bandag, Inc. 43,800 1,749
Western Bancorp 59,800 1,749
o Calpine Corp. 69,200 1,747
Great Atlantic & Pacific Tea Co., Inc. 58,700 1,739
Taubman Co. REIT 126,500 1,739
Graco, Inc. 58,925 1,738
o Concentra Managed Care 162,450 1,736
o SLI, Inc. 62,575 1,736
New England Business Service, Inc. 44,300 1,733
o The Maxim Group, Inc. 72,100 1,730
o Concentric Network Corp. 52,000 1,729
o Amphenol Corp. 57,200 1,727
o Sykes Enterprises, Inc. 56,600 1,726
o Pharmaceutical Product Development, Inc. 57,371 1,725
o Acclaim Entertainment Inc. 140,400 1,720
o Xomed Surgical Products Inc. 53,750 1,720
o PhyCor, Inc. 252,200 1,718
Georgia Gulf Corp. 106,900 1,717
Downey Financial Corp. 67,446 1,716
Libbey, Inc. 59,300 1,716
Florida East Coast Railway Co. 48,700 1,714
o International Rectifier Corp. 175,500 1,711
Springs Industries Inc. Class A 41,300 1,711
o NCI Building Systems, Inc. 60,800 1,710
LNR Property Corp. 85,550 1,706
Regal-Beloit Corp. 74,100 1,704
Clarcor Inc. 85,125 1,702
Inter-Tel, Inc. 72,800 1,702
Albemarle Corp. 71,420 1,696
o El Paso Electric Co. 193,800 1,696
Olsten Corp. 229,950 1,696
o Photronics Labs Inc. 70,700 1,695
o Ryan's Family Steak Houses, Inc. 136,700 1,692
o AgriBioTech, Inc. 130,700 1,691
<PAGE>
Morgan Keegan, Inc. 89,800 1,689
o Inhale Therapeutic Systems 51,100 1,686
Unisource Worldwide, Inc. 232,100 1,683
o Coventry Health Care Inc. 190,900 1,682
o NCO Group, Inc. 37,350 1,681
o Haemonetics Corp. 73,750 1,678
Myers Industries, Inc. 58,597 1,677
o ProBusiness Services, Inc. 36,800 1,674
o ISS Group, Inc. 30,400 1,672
o Yellow Corp. 87,450 1,672
o Andrx Corp. 32,600 1,671
Energen Corp. 85,700 1,671
o Cytyc Corp. 64,800 1,669
Juno Lighting, Inc. 71,400 1,669
o National Instruments Corp. 48,900 1,669
o Project Software & Development, Inc. 49,800 1,668
o 99 Cents Only Stores 33,875 1,664
Pogo Producing Co. 127,900 1,663
o Terex Corp. 58,200 1,662
Empire District Electric Co. 67,070 1,660
Tredegar Industries Inc. 73,800 1,660
o Antec Corp. 82,400 1,658
o Guitar Center, Inc. 67,200 1,655
PS Business Parks, Inc. REIT 69,300 1,655
o VeriSign, Inc. 28,000 1,655
J.B. Hunt Transport Services, Inc. 71,900 1,654
o Sierra Health Services 78,500 1,653
o Emmis Communications, Inc. 38,000 1,648
Diagnostic Products Corp. 52,900 1,647
Werner Enterprises, Inc. 93,088 1,646
Carolina First Corp. 65,000 1,645
o Credence Systems Corp. 88,900 1,645
TNP Enterprises, Inc. 43,300 1,643
o Fairfield Communities, Inc. 148,400 1,642
Presidential Life Corp. 82,500 1,640
CNA Surety Corp. 104,000 1,638
o CSK Auto Corp. 61,200 1,633
o VLSI Technology, Inc. 149,325 1,633
o Integrated Device Technology Inc. 266,500 1,632
o HMT Technology Corp. 127,300 1,631
John H. Harland Co. 103,100 1,630
o OEC Medical Systems, Inc. 51,800 1,628
o American Italian Pasta Co. 61,700 1,627
F.N.B. Corp. 57,568 1,626
o Red Roof Inns, Inc. 96,200 1,623
o Electro Scientific Industries, Inc. 35,800 1,622
California Water Service Group 51,626 1,617
o Veterinary Centers of America, Inc. 81,100 1,617
o Artesyn Technologies, Inc. 115,456 1,616
Bradley Real Estate Inc. REIT 78,836 1,616
o Pacific Gateway Exchange, Inc. 33,600 1,615
o Hadco Corp. 46,100 1,613
Lawter International Inc. 138,566 1,611
<PAGE>
Chittenden Corp. 50,218 1,607
National Penn Bancshares Inc. 58,857 1,604
American Health Properties, Inc. REIT 77,700 1,603
o Healthcare Financial Partners, Inc. 40,200 1,603
Phoenix Investment Partners Ltd. 189,500 1,599
o Southern Union Co. 65,461 1,596
o Ionics, Inc. 53,200 1,593
Cash America International Inc. 104,812 1,592
o Hanover Direct, Inc. 462,900 1,591
West Co., Inc. 44,594 1,591
o Knoll, Inc. 53,600 1,588
o Chattem, Inc. 33,100 1,585
Computer Task Group, Inc. 58,300 1,581
Laclede Gas Co. 59,000 1,578
o Sensormatic Electronics Corp. 227,250 1,577
o Mid Atlantic Medical Services, Inc. 160,600 1,576
o Alkermes, Inc. 70,900 1,573
o Monaco Coach Corp. 59,100 1,566
Talbots Inc. 49,900 1,566
Technitrol, Inc. 49,100 1,565
Gerber Scientific, Inc. 65,700 1,564
o CNET, Inc. 29,300 1,560
Wabash National Corp. 76,700 1,558
o Genrad, Inc. 98,800 1,556
Anchor Bancorp Wisconsin Inc. 64,800 1,555
o Transkaryotic Therapies, Inc. 61,200 1,553
o Avant! Corp. 96,938 1,551
Prime Retail, Inc. REIT 157,899 1,549
o The Kroll-O'Gara Co. 39,200 1,546
o Newpark Resources, Inc. 226,900 1,546
National Golf Properties, Inc. REIT 53,400 1,545
o Dendrite International, Inc. 61,800 1,543
Winnebago Industries, Inc. 101,900 1,541
o Consolidated Freightways Corp. 96,900 1,538
o Shorewood Packaging Corp. 75,000 1,538
o Wesley Jessen VisionCare, Inc. 55,400 1,537
Coachmen Industries, Inc. 58,500 1,536
Argonaut Group, Inc. 62,600 1,534
Lilly Industries Inc. Class A 76,950 1,534
o Systems & Computer Technology Corp. 111,500 1,533
o Techne 72,528 1,532
o Palm Harbor Homes, Inc. 60,729 1,530
Foremost Corp. of America 72,800 1,529
Koger Equity, Inc. REIT 88,900 1,528
o Atlas Air, Inc. 31,200 1,527
Chemical Finance 44,812 1,524
Otter Tail Power Co. 38,200 1,523
American Heritage Life Investment Corp. 62,264 1,522
o Affymetrix, Inc. 62,300 1,519
o On Assignment, Inc. 44,000 1,518
Oriental Financial Group 48,466 1,518
o Renters Choice, Inc. 47,800 1,518
o Ligand Pharmaceuticals Inc. Class B 130,000 1,511
<PAGE>
o LaSalle Partners Inc. REIT 51,300 1,510
o U.S. Home Corp. 45,400 1,510
Landauer, Inc. 46,600 1,509
Richmond County Financial Corp. 93,500 1,502
o Transition Systems, Inc. 100,100 1,502
o Digital Microwave Corp. 219,000 1,499
o Barr Labs Inc. 31,200 1,498
First Western Bancorp 46,800 1,498
o Great Plains Software, Inc. 31,000 1,496
LTC Properties, Inc. REIT 90,000 1,496
Barnes Group, Inc. 50,800 1,492
Pioneer Group, Inc. 75,500 1,491
o Semtech Corp. 41,551 1,491
o Aviron 57,600 1,490
JSB Financial 27,400 1,490
International Multifoods Corp. 57,700 1,489
o NVR, Inc. 31,200 1,488
Cornerstone Realty Income Trust, Inc. REIT 141,400 1,485
o NeoMagic Corp. 67,100 1,485
CCA Prison Realty Trust REIT 72,400 1,484
o Labor Ready, Inc. 75,357 1,484
Snyder Oil Corp. 111,400 1,483
o Charming Shoppes, Inc. 343,400 1,481
o NCS HealthCare, Inc. 62,300 1,480
Michael Foods Group, Inc. 49,300 1,479
o Mesaba Holdings, Inc. 71,650 1,478
o Scios, Inc. 142,335 1,477
Ryland Group, Inc. 51,100 1,476
Life Technologies, Inc. 37,950 1,475
o Michaels Stores, Inc. 81,518 1,475
United Television, Inc. 12,829 1,475
o Astec Industries, Inc. 26,500 1,474
o Sequa Corp. Class A 24,600 1,473
Bay View Capital Corp. 67,806 1,471
o Ivex Packaging Corp. 63,200 1,469
o Budget Group, Inc. 92,400 1,467
o Res-Care, Inc. 59,400 1,466
Cleveland-Cliffs Iron Co. 36,300 1,463
o Excel Switching Corp. 38,500 1,463
o Robert Mondavi Corp. Class A 35,800 1,463
o Anchor Gaming 25,900 1,460
o Education Management Corp. 61,800 1,460
Interface, Inc. 157,300 1,460
o Central Garden and Pet Co. 101,500 1,459
o Sunglass Hut International, Inc. 208,100 1,457
o UniSource Energy Corp. 107,860 1,456
Essex Property Trust, Inc. REIT 48,900 1,455
o Aviation Sales Co. 35,800 1,454
Arrow International, Inc. 46,300 1,453
MGI Properties, Inc. REIT 51,900 1,450
Overseas Shipholding Group Inc. 90,300 1,450
o Pennzoil-Quaker State Co. 97,792 1,449
o PRI Automation, Inc. 55,600 1,446
<PAGE>
St. John Knits, Inc. 55,600 1,446
o QRS Corp. 30,100 1,445
o Service Experts, Inc. 49,400 1,445
Capital Re Corp. 72,000 1,444
Authentic Fitness Corp. 79,000 1,442
o Oceaneering International, Inc. 96,000 1,440
o IHOP Corp. 36,000 1,438
o Landstar System 35,300 1,438
o Gensia Sicor Inc. 317,060 1,437
Lance, Inc. 72,000 1,436
Analysts International Corp. 74,500 1,434
Hancock Holding Co. 31,507 1,434
o The Profit Recovery Group International, Inc. 38,300 1,434
o Speedway Motorsports, Inc. 50,300 1,434
o Complete Business Solutions, Inc. 42,300 1,433
Mid-America Apartment Communities, Inc. REIT 63,100 1,432
NUI Corp. 53,400 1,432
o Nine West Group, Inc. 91,900 1,430
o Headlands Mortgage Co. 68,200 1,428
o Steel Dynamics, Inc. 121,500 1,428
Aquarion Co. 34,806 1,427
o Scott Technologies, Inc. 86,300 1,427
o Theragenics Corp. 84,900 1,427
Standex International Corp. 54,200 1,423
WD-40 Co. 49,700 1,423
Del Webb Corp. 51,596 1,422
o Technology Solutions Co. 132,525 1,421
SCPIE Holdings Inc. 46,800 1,419
o Protein Design Labs 61,000 1,418
o ATMI, Inc. 56,100 1,417
o Zila, Inc. 143,400 1,416
o Sunterra Corp. 94,350 1,415
Elcor Corp. 43,750 1,414
o Checkpoint Systems, Inc. 113,900 1,410
o Hain Food Group, Inc. 56,400 1,410
Hooper Holmes, Inc. 48,500 1,407
o Maxxim Medical, Inc. 47,200 1,404
Burlington Coat Factory Warehouse Corp. 85,940 1,402
o KEMET Corp. 124,600 1,402
o CCC Information Services Group 81,000 1,397
Centex Construction Products, Inc. 34,400 1,397
o Sola International Inc. 80,800 1,394
o Cymer, Inc. 95,200 1,392
o Financial Federal Corp. 56,250 1,392
Furon Co. 81,600 1,392
o Unitrode Corp. 79,500 1,391
TJ International, Inc. 54,100 1,390
The Stride Rite Corp. 158,800 1,389
o Chirex, Inc. 64,900 1,387
o Quiksilver, Inc. 46,200 1,386
o Greyhound Lines, Inc. 233,300 1,385
o Holophane Corp. 53,900 1,385
o Kulicke & Soffa Industries, Inc. 78,000 1,385
<PAGE>
Poe & Brown, Inc. 39,550 1,382
o Advent Software, Inc. 29,300 1,381
o IDX Systems Corp. 31,380 1,381
Carter-Wallace, Inc. 70,300 1,380
Wynn's International Inc. 62,350 1,379
o Cor Therapeutics, Inc. 104,000 1,378
o Just for Feet, Inc. 79,250 1,377
o Keystone Automotive Industries, Inc. 65,700 1,376
Frontier Insurance Group, Inc. 106,832 1,375
o Fuisz Technologies Ltd. 106,600 1,372
o Kirby Corp. 68,800 1,372
Owens & Minor, Inc. Holding Co. 87,037 1,371
Greif Brothers Corp. Class A 46,900 1,369
LeaRonal Inc. 40,400 1,369
Home Properties of New York, Inc. REIT 53,100 1,367
Heilig-Meyers Co. 204,200 1,366
First Source Corp. 40,759 1,365
o CD Radio Inc. 39,800 1,363
SIS Bancorp, Inc. 30,100 1,362
o Ventana Medical Systems, Inc. 62,900 1,360
Rock-Tenn Co. 80,260 1,359
o United Payors & United Providers, Inc. 47,600 1,357
o Amerco, Inc. 48,420 1,353
Pacific Capital Bancorp 52,500 1,352
o RealNetworks, Inc. 37,700 1,352
Tennant Co. 33,600 1,348
o Group 1 Automotive, Inc. 51,800 1,347
The Trust Co. of New Jersey 54,970 1,347
Interpool, Inc. 80,350 1,346
Quanex Corp. 59,600 1,345
First Financial Corp.-Indiana 27,200 1,343
o WetSeal, Inc. Class A 44,500 1,343
o Armco, Inc. 306,400 1,340
o Marshall Industries 54,700 1,340
o ADAC Laboratories 67,033 1,339
InterWest Bancorp Inc. 60,500 1,339
o Vanstar Corp. 144,800 1,339
o Coulter Pharmaceutical, Inc. 44,600 1,338
Urban Shopping Centers, Inc. REIT 40,800 1,336
o Safety-Kleen Corp. 94,534 1,335
Enesco Group, Inc. 57,300 1,332
o Silicon Valley Group, Inc. 104,500 1,332
Varlen Corp. 57,750 1,332
o Family Golf Centers, Inc. 67,300 1,329
o Marine Drilling Co., Inc. 172,700 1,328
Riggs National Corp. 65,200 1,328
o Cost Plus, Inc. 42,300 1,327
o Young Broadcasting Inc. 31,700 1,327
o Seagull Energy Corp. 209,900 1,325
Westinghouse Air Brake Co. 54,200 1,325
Apogee Enterprises, Inc. 117,600 1,323
o Big Flower Holdings, Inc. 59,900 1,322
Elizabethtown Corp. 27,900 1,322
<PAGE>
o Kellstrom Industries, Inc. 46,000 1,322
o Peregrine Systems, Inc. 28,500 1,322
o Stone Energy Corp. 46,000 1,322
o Hambrecht & Quist Group 58,200 1,320
MDC Holdings, Inc. 61,700 1,319
o Mail-Well, Inc. 115,300 1,319
o Midwest Express Holdings, Inc. 50,100 1,318
Wackenhut Corp. 51,800 1,318
o Timberland Co. 28,900 1,317
o ISIS Pharmaceuticals, Inc. 101,600 1,314
o Maxxam Inc. 22,900 1,314
Rollins, Inc. 75,100 1,314
o Superior Consultant Holdings Corp. 30,200 1,314
o Wackenhut Corrections Corp. 45,900 1,314
Ocean Financial Corp. 79,000 1,313
Cabot Industrial Trust REIT 64,100 1,310
N L Industries, Inc. 92,300 1,310
ChemFirst Inc. 66,300 1,309
West Coast Bancorp 62,355 1,309
o Kronos, Inc. 29,500 1,307
Peoples Bancorp, Inc. 120,100 1,306
o Hanger Orthopedic Group, Inc. 57,900 1,303
Town & Country Trust REIT 81,100 1,303
o LoJack Corp. 109,600 1,302
Republic Bancorp, Inc. 95,525 1,302
o Triumph Group, Inc. 40,700 1,302
EVEREN Capital Corp. 57,200 1,301
o Lands' End, Inc. 48,300 1,301
North Carolina Natural Gas Corp. 39,202 1,301
o PFF Bancorp, Inc. 81,200 1,299
o Dal-Tile International Inc. 124,800 1,295
o Oakley, Inc. 136,300 1,295
Duff & Phelps Credit Rating 23,600 1,294
Storage Trust Realty REIT 55,300 1,293
o TransMontaigne Inc. 85,400 1,292
o FPIC Insurance Group, Inc. 27,000 1,291
Fleming Cos., Inc. 124,400 1,291
o Alexander's, Inc. 16,500 1,290
o Algos Pharmaceutical Corp. 49,600 1,290
Arch Coal, Inc. 75,300 1,290
o NBTY, Inc. 181,100 1,290
o MMC Networks, Inc. 97,300 1,289
BSB Bancorp, Inc. 39,150 1,287
Luby's Cafeterias, Inc. 83,300 1,286
Watsco, Inc. 76,750 1,286
A.O. Smith Corp. 52,200 1,282
The Standard Register Co. 41,400 1,281
National Presto Industries, Inc. 30,000 1,279
Superior Telecom Inc. 27,075 1,279
National City Bancshares, Inc. 34,206 1,276
Brenton Banks, Inc. 76,135 1,275
o Integrated Systems, Inc. 85,300 1,274
o Borg-Warner Security Corp. 67,900 1,273
<PAGE>
o BA Merchant Services, Inc. Class A 63,200 1,272
o Tesoro Petroleum Corp. 104,900 1,272
o Playboy Enterprises Inc. Class B 60,700 1,271
o Cooper Cos., Inc. 61,400 1,270
Merrill Corp. 65,700 1,269
o Buckeye Technology, Inc. 84,900 1,268
o Franklin Covey Co. 75,700 1,268
Mississippi Chemical Corp. 90,465 1,267
Trenwick Group Inc. 38,850 1,267
Chemed Corp. 37,800 1,266
o Dollar Thrifty Automotive Group, Inc. 98,100 1,263
o Physician Reliance Network, Inc. 96,200 1,263
o Tuboscope Inc. 155,200 1,261
o American Media Class A 226,500 1,260
Commercial Net Lease Realty REIT 95,100 1,260
L. S. Starrett Co. Class A 36,700 1,259
o Datascope Corp. 54,700 1,258
o Engineering Animation, Inc. 23,300 1,258
Burnham Pacific Properties, Inc. REIT 104,200 1,257
o Cox Radio, Inc. 29,700 1,255
o Canandaigua Brands, Inc. Class B 22,100 1,254
o Electro Rent Corp. 77,558 1,251
o Paxar Corp. 139,956 1,251
Thomas Industries, Inc. 63,750 1,251
Central Parking Corp. 38,500 1,249
GBC Bancorp 48,400 1,246
CPI Corp. 47,000 1,245
o Mastec Inc. 59,300 1,245
AmerUs Life Holdings, Inc. 55,592 1,244
Omega Financial Corp. 41,100 1,243
Excel Industries, Inc. 71,000 1,242
o Aqua Alliance Inc. 601,100 1,240
Standard Pacific Corp. 87,800 1,240
Bedford Property Investors, Inc. REIT 73,400 1,239
Inland Steel Industries, Inc. 73,339 1,238
Ethyl Corp. 212,900 1,237
The Toro Co. 43,400 1,237
F & M Bancorporation, Inc. 40,854 1,236
o Performance Food Group Co. 43,950 1,236
o StaffMark, Inc. 55,200 1,235
o Actel Corp. 61,700 1,234
Chiquita Brands International, Inc. 129,000 1,234
o Integrated Electrical Services, Inc. 55,300 1,230
Merchants New York Bancorporation 34,000 1,230
o PharMerica, Inc. 205,000 1,230
Berry Petroleum Class A 86,600 1,229
Reliance Bancorp, Inc. 44,200 1,229
o Abacus Direct Corp. 27,000 1,228
Albany International Corp. 64,800 1,227
Entertainment Properties Trust REIT 72,200 1,227
o Sbarro, Inc. 46,800 1,226
o Southwest Bancorporation of Texas, Inc. 68,600 1,226
Stewart Information Services Corp. 21,100 1,224
<PAGE>
Mills Corp. REIT 61,536 1,223
Bank of Granite Corp. 44,218 1,222
o Esterline Technologies Corp. 56,200 1,222
o Trans World Entertainment Corp. 64,050 1,221
Kaman Corp. Class A 75,800 1,218
o ONSALE, Inc. 30,400 1,218
o Getty Images, Inc. 70,800 1,217
Glimcher Realty Trust REIT 77,600 1,217
o Closure Medical Corp. 40,800 1,216
o First Federal Financial Corp. 68,050 1,216
Dain Rauscher Corp. 41,200 1,215
o Louis Dreyfus Natural Gas Corp. 85,096 1,213
The Marcus Corp. 74,500 1,211
Sunstone Hotel Investors, Inc. REIT 128,300 1,211
US Bancorp, Inc. 60,899 1,210
o Cephalon, Inc. 134,300 1,209
o Kent Electronics Corp. 94,800 1,209
o Littelfuse, Inc. 62,800 1,209
Guilford Mills, Inc. 72,300 1,207
o Aspen Technologies, Inc. 83,100 1,205
Standard Products Co. 59,025 1,203
AMLI Residential Properties Trust REIT 54,000 1,202
Bassett Furniture Industries, Inc. 49,825 1,202
o Billing Concepts Corp. 109,300 1,202
Deltic Timber Corp. 59,000 1,202
Pacific Gulf Properties, Inc. REIT 59,900 1,202
Commercial Metals Co. 43,266 1,201
o Diamond Multimedia Systems, Inc. 188,463 1,201
o CUNO Inc. 73,850 1,200
o Cort Business Services Corp. 49,500 1,200
Innkeepers USA Trust REIT 101,500 1,199
o Rental Service Corp. 76,400 1,199
American Business Products, Inc. 51,000 1,198
Summit Properties, Inc. REIT 69,400 1,197
Community Bank System, Inc. 40,800 1,196
Life USA Holding, Inc. 92,800 1,195
o Carriage Services, Inc. 42,000 1,194
Analogic Corp. 31,700 1,193
Madison Gas & Electric Co. 52,275 1,189
o Pride International Inc. 168,300 1,189
Regency Realty Corp. REIT 53,400 1,188
o Boron, LePore & Associates, Inc. 34,400 1,187
o National Western Life Insurance Co. Class A 10,100 1,187
o Plains Resources 84,400 1,187
o QuadraMed Corp. 57,900 1,187
Roadway Express Inc. 82,100 1,185
Texas Regional Bancshares, Inc. 47,300 1,185
o Sunrise Medical, Inc. 95,200 1,184
PXRE Corp. 47,133 1,181
Commonwealth Bancorp 75,800 1,180
Brush Wellman, Inc. 67,600 1,179
o K-V Pharmaceutical Co. Class B 56,750 1,174
o IGEN International, Inc. 38,300 1,173
<PAGE>
o Risk Capital Holdings, Inc. 53,900 1,172
Pittston BAX Group 105,200 1,170
o Province Heathcare Co. 32,600 1,170
Sterling Bancshares, Inc. 78,500 1,168
Farmer Brothers, Inc. 5,450 1,166
Independent Bank Corp. 67,100 1,166
o Ocular Sciences, Inc. 43,600 1,166
o F.Y.I. Inc. 36,400 1,165
o Pacific Sunwear of California 71,175 1,165
o Group Maintenance America Corp. 96,000 1,164
JP Realty Inc. REIT 59,300 1,164
Dreyer's Grand Ice Cream, Inc. 76,900 1,163
o Adtran, Inc. 63,400 1,161
o Microage, Inc. 75,300 1,158
CFW Communications Co. 49,500 1,157
o Enzo Biochem, Inc. 112,203 1,157
Triangle Bancorp, Inc. 73,200 1,157
o Steinway Musical Instruments Inc. 44,400 1,154
Walden Residential Properties, Inc. REIT 56,400 1,153
o Sun Healthcare Group, Inc. 175,600 1,152
o Insituform Technologies Class A 79,400 1,151
o Earthshell Corp. 96,300 1,150
Skyline Corp. 35,400 1,150
UniFirst Corp. 50,400 1,150
o Seitel, Inc. 92,400 1,149
o Interdigital Communications Corp. 251,500 1,147
Russ Berrie and Co., Inc. 48,800 1,147
Equity Inns, Inc. REIT 119,100 1,146
o Perclose, Inc. 34,600 1,146
Berkshire Realty Co., Inc. REIT 120,500 1,145
C & D Technology Inc. 41,600 1,144
First United Bancshares, Inc. 64,400 1,143
Kansas City Life Insurance Co. 13,930 1,139
BT Financial Corp. 41,560 1,138
Wellman, Inc. 111,700 1,138
o CB Richard Ellis Services, Inc. 62,729 1,137
Tower Realty Trust, Inc. REIT 56,500 1,137
CVB Financial Corp. 50,490 1,136
Mine Safety Appliances Co. 16,000 1,136
o Organogenesis, Inc. 100,892 1,135
o Silicon Valley Bancshares 66,600 1,134
o Wild Oats Markets Inc. 36,000 1,134
o HomeBase, Inc. 177,200 1,130
o S3, Inc. 153,500 1,130
o STAR Telecommunications, Inc. 92,700 1,130
Golf Trust of America, Inc. REIT 40,700 1,129
o Lone Star Steakhouse & Saloon, Inc. 122,900 1,129
Curtiss-Wright Corp. 29,600 1,128
Corus Bankshares Inc. 34,900 1,126
Signal Corp. 32,875 1,126
John Nuveen Co. Class A 30,300 1,125
o Siliconix, Inc. 54,200 1,125
Arnold Industries, Inc. 69,700 1,124
<PAGE>
Calgon Carbon Corp. 149,700 1,123
Dames & Moore Group 87,200 1,123
o Midway Games Inc. 102,011 1,122
Western Investment Real Estate Trust REIT 95,000 1,122
o First Republic Bank 44,700 1,120
o Host Marriott Services Corp. 107,940 1,120
o Griffon Corp. 105,300 1,119
o Integrated Process Equipment Corp. 104,100 1,119
Strayer Education, Inc. 31,650 1,116
o Silgan Holdings, Inc. 40,100 1,115
o Kopin Corp. 52,900 1,111
o Ultratech Stepper, Inc. 69,400 1,110
Cabot Oil & Gas Corp. Class A 73,826 1,107
Alexandria Real Estate Equities, Inc. REIT 35,700 1,104
Valmont Industries, Inc. 79,600 1,104
o Acuson Corp. 74,150 1,103
o Sangstat Medical Corp. 51,900 1,103
o Commonwealth Telephone Enterprises, Inc. 32,899 1,102
o AFC Cable Systems, Inc. 32,700 1,100
o DuPont Photomasks, Inc. 25,900 1,099
o FileNet Corp. 95,800 1,099
Community Trust Bancorp Inc. 46,660 1,097
Parkway Properties Inc. REIT 35,100 1,097
Dimon Inc. 147,300 1,096
o Grand Casinos, Inc. 135,900 1,096
o DataWorks Corp. 104,900 1,095
General Binding Corp. 29,400 1,095
First Financial Holdings, Inc. 57,500 1,092
Grey Advertising, Inc. 3,000 1,092
Harleysville National Corp. 27,998 1,092
o Knight Transportation, Inc. 40,900 1,092
o Mariner Post-Acute Network, Inc. 239,049 1,091
o Remec, Inc. 60,600 1,091
o Triarc Cos., Inc. Class A 68,200 1,091
o DBT Online Inc. 43,700 1,090
Imperial Credit Commercial Mortgage Investment
REIT 115,800 1,086
o Morrison Knudsen Corp. 111,200 1,084
o Coherent, Inc. 87,000 1,082
o Remedy Corp. 77,600 1,082
o Agribrands International, Inc. 36,000 1,080
o GC Cos. 25,950 1,080
o Stoneridge,Inc. 47,000 1,069
Brown Group, Inc. 60,800 1,068
o Primus Telecommunications Group, Inc. 64,700 1,068
o Biotechnology General 153,700 1,066
o Magnatek 92,100 1,065
o Cellular Communications of Puerto Rico 57,500 1,064
Irwin Financial Corp. 39,100 1,063
Sterling Bancorp 46,600 1,063
IRT Property Co. REIT 106,198 1,062
o Pinkerton's, Inc. 49,800 1,061
o Wolverine Tube, Inc. 50,500 1,061
o Network Equipment Technologies, Inc. 102,700 1,059
<PAGE>
o Global Industrial Technologies, Inc. 98,900 1,057
o Information Resources, Inc. 103,800 1,057
o UniCapital Corp. 143,000 1,055
o Gaylord Container Corp. 171,900 1,053
Standard Motor Products, Inc. 43,400 1,052
o Scientific Games Holdings Corp. 55,700 1,051
Sturm, Ruger & Co., Inc. 87,800 1,048
Great Lakes, Inc. REIT 66,700 1,046
Yankee Energy Systems 35,900 1,046
Vintage Petroleum, Inc. 121,200 1,045
Chartwell Re Corp. 43,900 1,043
o Columbia Banking System, Inc. 56,300 1,042
o Forrester Research, Inc. 23,800 1,041
Sovran Self Storage, Inc. REIT 41,200 1,035
o TAVA Technologies, Inc. 135,700 1,035
o Collins & Aikman Corp. 201,700 1,034
o OmniAmerica Inc. 32,300 1,034
Stone & Webster, Inc. 31,100 1,034
o Capital Senior Living Corp. 73,800 1,029
First Financial Bankshares, Inc. 29,370 1,028
o Impath, Inc. 38,800 1,028
o Eagle USA Airfreight, Inc. 41,900 1,027
o U.S. Satellite Broadcasting Co., Inc. Class A 74,600 1,026
P.H. Glatfelter Co. 82,800 1,025
o Rogers Corp. 34,300 1,025
MTS Systems Corp. 75,800 1,023
Simmons First National 27,500 1,021
o Daisytek International Corp. 53,700 1,020
o Brookdale Living Communites, Inc. 52,200 1,018
o Mesa Air Group Inc. 130,300 1,018
o U.S. Bioscience 141,300 1,016
o Protection One, Inc. 118,500 1,015
Crown American Realty Trust REIT 130,800 1,014
o Global DirectMail Corp. 43,300 1,012
The Ackerley Group, Inc. 55,400 1,011
o Fairchild Corp. 64,200 1,011
Stewart & Stevenson Services, Inc. 103,610 1,010
o Data Processing Resources Corp. 34,500 1,009
o GelTex Pharmaceuticals, Inc. 44,600 1,009
OEA, Inc. 85,300 1,008
o Electroglas, Inc. 85,200 1,001
Scotsman Industries, Inc. 48,700 1,001
Pioneer Standard Electronics Inc. 106,550 999
o Hamilton Bancorp, Inc. 37,400 998
o Jones Intercable Inc. 28,400 998
o FSI International, Inc. 96,100 997
Exide Corp. 61,100 993
NBT Bancorp, Inc. 42,469 993
Applied Industrial Technology, Inc. 71,500 992
o Value City Department Stores, Inc. 71,200 992
WSFS Financial Corp. 58,800 992
o Friedman, Billings, Ramsey Group, Inc. 152,400 991
o National R. V. Holdings, Inc. 38,500 991
<PAGE>
Nature's Sunshine Inc. 64,982 991
o Cotelligent, Inc. 46,400 989
Cross Timbers Oil Co. 131,425 986
o CDI Corp. 48,800 985
American Annuity Group Inc. 42,800 984
o Castle & Cooke Inc. 66,700 984
Watts Industries Class A 59,200 984
o Aavid Thermal Technologies 58,100 980
Park Electrochemical Corp. 34,200 979
o e.spire Communications, Inc. 153,400 978
o Genesis Health Ventures Inc. 111,825 978
o Input/Output, Inc. 133,800 978
o Triad Guaranty, Inc. 44,200 975
o Veritas DGC Inc. 74,700 971
o Teletech Holdings Inc. 94,500 969
o IDT Corp. 62,900 967
o Boise Cascade Office Products Corp. 71,500 965
Oneida Ltd. 65,135 965
South Jersey Industries, Inc. 36,836 965
o CSS Industries, Inc. 31,800 964
Flagstar Bancorp, Inc. 36,900 964
o Florida Panthers Holdings, Inc. 103,500 964
Tejon Ranch Co. 48,500 964
Reliance Steel & Aluminum Co. 34,800 961
o EEX Corp. 136,966 959
First Union Real Estate REIT 163,200 959
o Verio Inc. 42,800 958
Telxon Corp. 68,900 956
EastGroup Properties, Inc. REIT 51,800 955
o Rural/Metro Corp. 87,300 955
o Vincam Group, Inc. 54,400 955
o NPC International Class A 79,000 953
o PEC Israel Economic Corp. 33,100 952
o PJ America Inc. 52,500 952
o Tom Brown, Inc. 94,700 950
o Stein Mart, Inc. 136,300 950
o Vicor Corp. 105,500 949
Simpson Industries, Inc. 97,800 947
o Benchmark Electronics, Inc. 25,800 945
AMCOL International Corp. 95,550 944
o DVI, Inc. 51,800 939
U.S. Restaurant Properties, Inc. REIT 38,600 938
Circle International Group, Inc. 45,700 937
o Twinlab Corp. 71,400 937
United Fire & Casualty Co. 27,825 936
o Columbia Sportswear Co. 55,400 935
o Long Beach Financial Corp. 124,600 934
o Heartland Express, Inc. 53,308 933
o Copart, Inc. 28,800 932
Guarantee Life Cos., Inc. 50,400 932
PMA Capital Corp. Class A 47,600 931
o Data Transmission Network Corp. 32,200 930
o Inprise Corp. 169,100 930
<PAGE>
o American Classic Voyager Co. 52,700 929
Coca-Cola Bottling Co. 16,122 927
o American Homestar Corp. 61,500 923
o Fritz Cos., Inc. 85,300 922
OmniQuip International, Inc. 61,400 921
Southwestern Energy Co. 122,100 916
o Merisel, Inc. 384,900 914
o Omnipoint Corp. 98,200 914
o Station Casinos, Inc. 111,500 913
o The Dress Barn, Inc. 59,800 908
Advanta Corp. Class A 68,480 907
o Alpine Group, Inc. 60,500 907
o Forest Oil Corp. 106,700 907
o Highlands Insurance Group 69,430 907
o McWorter Technologies Inc. 39,650 907
o RTI International Metals 64,600 904
Justin Industries, Inc. 68,750 902
o Sabratek Corp. 55,000 901
Oregon Steel Mills, Inc. 75,800 900
o Southland Corp. 472,100 900
o Genesys Telecommunications Laboratories, Inc. 40,400 899
RFS Hotel Investors, Inc. REIT 73,400 899
o Advanced Energy Industries, Inc. 35,900 898
o Hologic, Inc. 74,100 898
BMC Industries, Inc. 143,300 896
o Goody's Family Clothing 88,900 892
o The Buckle, Inc. 37,100 890
Daniel Industries, Inc. 73,400 890
o Banctec, Inc. 70,728 889
o SanDisk Corp. 62,700 886
St. Mary Land & Exploration Co. 47,840 885
o Aviall Inc. 74,875 880
First Sentinel Bancorp, Inc. 108,340 880
o Glenayre Technologies, Inc. 198,125 879
o Lydall, Inc. 74,000 879
Commonwealth Industries Inc. 93,700 878
Evergreen Bancorp, Inc. 27,300 877
Commercial Intertech Corp. 67,650 875
o Metromedia International Group, Inc. 160,800 874
o Kenneth Cole Productions, Inc. 46,500 872
o Platinum Software Co. 68,000 871
o NeXstar Pharmaceuticals Inc. 93,900 869
o Volt Information Sciences Inc. 38,500 869
Colonial Gas Co. 24,900 868
o Discount Auto Parts Inc. 39,300 862
Student Loan Corp. 19,100 857
o Open Market, Inc. 73,200 856
o Coinmach Laundry Corp. 65,800 855
Gleason Corp. 47,100 854
Ameron International Corp. 23,000 851
Intermet Corp. 65,100 850
o Stage Stores, Inc. 90,600 849
o Alternative Resources Corp. 79,400 844
<PAGE>
o Metals USA, Inc. 86,575 844
Northwest Bancorp, Inc. 86,600 844
o Oak Technology, Inc. 241,100 844
o Transaction Network Services, Inc. 42,050 844
o VWR Scientific Products Corp. 48,600 844
Redwood Trust, Inc REIT. 60,200 843
o Urban Outfitters, Inc. 49,900 842
o Penske Motorsports, Inc. 31,600 841
Genovese Drug Stores, Inc. Class A 29,470 840
Pennsylvania REIT 43,200 840
LaSalle Hotel Properties REIT 80,900 839
o CareMatrix Corp. 27,300 836
Valhi, Inc. 73,500 836
Foamex International, Inc. 67,400 834
o The North Face, Inc. 64,100 833
Anthracite Capital Inc. 106,200 830
Lindsay Manufacturing Co. 55,995 829
o National City Bancorporation 31,500 827
o Harken Energy Corp. 425,700 825
Terra Industries, Inc. 133,200 824
Arctic Cat, Inc. 80,800 823
o Boston Beer Co., Inc. Class A 96,800 823
Capstead Mortgage Corp. REIT 199,400 823
o Evans & Sutherland Computer Corp. 46,700 823
o West TeleServices Corp. 84,100 820
o AirNet Systems, Inc. 57,000 819
o Aztar Corp. 161,600 818
Schweitzer-Mauduit International, Inc. 53,000 818
o Offshore Logistics, Inc. 68,700 816
o Simpson Manufacturing Co. 21,800 816
o American Freightways 70,600 814
o General Cigar Holdings, Inc. 93,600 813
o NFO Worldwide, Inc. 70,700 813
o Imperial Credit 96,664 810
o Garden Ridge Corp. 89,300 809
Robbins & Myers, Inc. 36,478 807
o Cole National Corp. Class A 47,000 805
o Vical, Inc. 56,700 804
Oshkosh B Gosh, Inc. Class A 39,800 803
o Polymer Group, Inc. 80,700 802
o Vencor, Inc. 178,285 802
o Magellan Health Services, Inc. 95,700 801
o Administaff, Inc. 32,000 800
o Trans World Airlines 165,600 797
o System Software Associates, Inc. 113,200 796
o Carmike Cinemas, Inc. Class A 39,100 794
BankAtlantic Bancorp, Inc. Class B 111,100 792
o Championship Auto Racing Teams, Inc. 26,700 791
Getty Realty Holding Corp. 54,100 791
o Diamond Technology Partners Inc. 41,300 790
o Medaphis Corp. 240,750 790
o Sanchez Computer Associates, Inc. 27,000 790
o Neurogen Corp. 45,100 789
<PAGE>
o Digi International, Inc. 70,800 788
BancFirst Corp. 21,900 786
o Premisys Communications, Inc. 85,600 786
o Intergraph Corp. 136,600 785
o Mapics Inc. 47,600 785
Dime Community Bancorp. Inc. 38,000 784
o Hecla Mining Co. 216,200 784
o Paxson Communications Corp. 85,300 784
o O'Sullivan Industries Holdings, Inc. 74,600 783
Lawson Products, Inc. 34,000 782
o Barnett, Inc. 56,800 781
A.M. Castle & Co. 52,025 780
o Harbinger Corp. 97,250 778
o U.S. Xpress Enterprises, Inc. 51,400 771
R.L.I. Corp. 23,150 770
o Immune Response 70,600 768
o N2K Inc. 58,700 767
o Ascent Entertainment Group, Inc. 103,829 766
Tanger Factory Outlet Centers, Inc. REIT 36,100 765
o U.S.A. Floral Products, Inc. 66,500 765
o CommNet Cellular Inc. 62,400 764
Helix Technology Corp. 58,800 764
Cohu, Inc. 34,700 763
o Cone Mills Corp. 135,500 762
o Petco Animal Supplies, Inc. 75,700 762
Avado Brands, Inc. 91,550 761
o Cellnet Data Systems 152,200 761
o Gibraltar Steel 33,350 759
o Ducommun, Inc. 54,750 756
o Lone Star Technologies, Inc. 74,700 756
o The Carbide/Graphite Group, Inc. 51,100 754
o Nuevo Energy Co. 65,600 754
MMI Cos., Inc. 44,900 752
o Hartmarx Corp. 133,100 749
o Triangle Pharmaceuticals, Inc. 55,000 749
o Syntel, Inc. 65,875 745
Southern Peru Copper Corp. 78,800 744
o Lifecore Biomedical Inc. 71,900 737
F & M Bancorp 22,480 736
Franklin Electric, Inc. 10,900 736
Grand Premier Financial, Inc. 59,905 734
Tremont Corp. 22,065 734
o Advanced Tissue Sciences Inc. 281,900 731
o Hollywood Park, Inc. 87,600 728
NYMAGIC, Inc. 35,100 728
o Guilford Pharmaceuticals, Inc. 50,900 725
First Federal Capital Corp. 44,200 724
o Parker Drilling Co. 227,200 724
o ACX Technologies Inc. 54,600 723
o Regeneron Pharmaceuticals, Inc. 97,700 721
JeffBanks, Inc. 36,433 720
Zenith National Insurance Corp. 31,100 719
o American Skiing Co. 93,000 715
<PAGE>
Associated Estates Realty Corp. REIT 60,500 715
General Chemical Group, Inc. 51,200 710
o Pool Energy Service Co. 65,400 707
o 3Dfx Interactive, Inc. 55,900 706
o PictureTel Corp. 106,400 705
Brookline Bancorp, Inc. 61,200 704
Capital Transamerica Corp. 37,650 704
o Caribiner International, Inc. 77,100 704
o Wellsford Real Properties Inc. REIT 68,200 703
o Barra, Inc. 29,700 702
o Cal Dive International, Inc. 33,800 701
o WHX Corp. 69,700 701
o Manugistics Group, Inc. 55,400 692
RPC Inc. 93,600 690
o General Communication, Inc. 168,600 685
HealthPlan Services Corp. 59,600 685
o Industri-Matematik International Corp. 137,000 685
o Arcadia Financial Ltd. 188,800 684
o Staff Leasing,Inc. 58,800 684
o Powertel Inc. 50,000 678
o Schein Pharmaceutical, Inc. 46,500 677
o Bio-Rad Laboratories, Inc. Class A 32,200 676
Dynex Capital, Inc. REIT 146,000 675
o Mobius Management Systems, Inc. 45,300 674
o California Microwave, Inc. 71,700 672
o Genesco, Inc. 118,100 672
o Paymentech, Inc. 36,300 672
Hancock Fabrics, Inc. 80,100 671
o Vantive Corp. 83,800 670
o International Telecommunication Data
Systems, Inc. 45,200 667
o Jones Intercable Inc. 18,700 666
o Metro Information Services, Inc. 22,200 666
o Natural Microsystems Corp. 91,400 666
o SportsLine USA, Inc. 42,800 666
o Shiva Corp. 117,100 662
o Trimble Navigation Ltd. 91,200 661
o INSpire Insurance Solutions, Inc. 35,900 660
o Advanced Lighting Technologies, Inc. 67,600 659
o TETRA Technologies, Inc. 59,800 654
o WavePhore, Inc. 81,400 654
o Cellstar Corp. 95,800 653
o Local Financial Corp. 72,400 652
o Centennial Bancorp 34,745 651
o ThermoQuest Corp. 50,200 649
Harleysville Group, Inc. 25,100 648
Oxford Industries, Inc. 22,800 644
o US LEC Corp. Class A 43,500 644
o Gulfmark Offshore, Inc. 40,800 643
o Thermo Cardiosystems Inc. 61,600 643
o Chase Industries, Inc. 61,550 642
o Kaiser Aluminum & Chemical Corp. 131,600 642
Thornburg Mortgage Asset Corp. REIT 84,100 641
o MemberWorks, Inc. 21,600 637
<PAGE>
o Landry's Seafood Restaurants, Inc. 84,800 636
Freedom Securities Corp. 41,900 634
o Kendle International Inc. 27,115 634
o Philadelphia Consolidated Holding Corp. 28,000 634
o Wyman-Gordon Corp. 61,900 634
o Electric Lightwave, Inc. Class A 77,300 633
First Charter Corp. 36,700 633
o Acceptance Insurance Cos. Inc. 31,200 632
Holly Corp. 37,300 629
Cubic Corp. 33,500 628
Titanium Metals Corp. 73,200 622
o The Meridian Resource Corp. 194,844 621
Norrell Corp. 42,100 621
Fedders Corp. 106,700 620
Phillips-Van Heusen Corp. 86,300 620
Rouge Industries Inc. 70,800 620
o Media Arts Group, Inc. 43,900 617
o Pegasus Communications Corp. Class A 24,500 614
o Insignia Financial Group, Inc. 50,200 609
o Maverick Tube Corp. 109,400 609
o Intelligroup, Inc. 34,000 608
National Steel Corp. Class B 85,000 606
Harbor Florida Bancshares, Inc. 54,084 605
o Inacom Corp. 40,600 604
o Nichols Research Corp. 28,900 603
o Brylane, Inc. 25,900 602
o Avatar Holding, Inc. 37,400 598
o Essex International, Inc. 17,230 597
o Radiant Systems, Inc. 80,900 597
IMCO Recycling, Inc. 38,600 596
Mitchell Energy & Development Corp. Class A 51,900 594
Titan International, Inc. 62,500 594
o Deltek Systems, Inc. 35,100 592
o Gadzooks, Inc. 76,200 591
Hunt Corp. 55,600 591
o Hagler Bailly, Inc. 29,300 586
o LCC International, Inc. Class A 156,100 585
o Friede Goldman International, Inc. 51,100 581
o Sawtek Inc. 33,200 581
o Atwood Oceanics, Inc. 34,000 578
Prime Bancshares, Inc. 33,400 576
o MTI Technology Corp. 126,700 570
o Applied Graphics Technologies, Inc. 34,500 569
o Davox Corp. 74,300 567
Boykin Lodging Co. REIT 45,700 566
o Dril-Quip, Inc. 31,900 566
o Galey & Lord 65,600 566
Innovex, Inc. 41,100 564
Republic Group Inc. 28,000 562
o Kitty Hawk, Inc. 50,800 559
o Boyd Gaming Corp. 168,200 557
o P-Com, Inc. 139,600 556
Value Line, Inc. 14,100 555
<PAGE>
Vital Signs, Inc. 31,600 553
o Party City Corp. 37,900 547
Haven Bancorp, Inc. 36,300 544
o Norstan, Inc. 30,400 540
Meadowbrook Insurance Group, Inc. 32,800 539
o Coleman Inc. 58,600 535
CRIIMI MAE, Inc. REIT 152,900 535
o dELiA*s Inc. 42,800 535
o Premiere Technologies, Inc. 72,600 535
o Gibson Greetings, Inc. 44,700 531
o Rainforest Cafe, Inc. 87,450 530
o Hexcel Corp. 63,000 528
o Aura Systems, Inc. 527,200 527
Resource America, Inc. 57,900 525
Schnitzer Steel Industries, Inc. Class A 36,500 525
o Westell Technologies, Inc. 107,100 522
o Aftermarket Technology Corp. 66,000 520
o The Sports Authority, Inc. 99,100 520
o Windmere-Durable Holdings Inc. 66,767 517
o RemedyTemp, Inc. 34,100 516
o Gymboree Corp. 80,800 515
o Columbia Laboratories Inc. 166,700 511
o Allen Telecom Inc. 76,260 510
o Berlitz International, Inc. 17,500 507
o Itron, Inc. 70,600 507
o Consolidated Cigar Holdings Inc. 28,600 506
o Swift Energy Co. 68,420 505
o NovaCare, Inc. 201,000 502
o JLK Direct Distribution Inc. Class A 49,100 500
o Dialogic Corp. 25,400 499
o Computer Management Sciences, Inc. 28,625 497
Laser Mortgage Management, Inc. 89,900 489
Westcorp, Inc. 70,100 486
o SITEL Corp. 198,300 483
o AXYS Pharmaceuticals, Inc. 82,100 482
o JDA Software Group, Inc. 49,750 482
o Zoltek Cos., Inc. 52,400 481
o General Semiconductor, Inc. 58,150 476
X-Rite Inc. 61,400 476
o Quaker Fabric Corp. 75,500 472
Bush Industries, Inc. 37,800 470
o Jo-Ann Stores, Inc. Class B 33,900 470
o Comstock Resources, Inc. 153,100 469
o Horizon Offshore, Inc. 84,900 467
o Jo-Ann Stores, Inc. Class A 28,900 466
o @Entertainment, Inc. 68,700 464
o Bank Plus Corp. 105,800 463
o Silverleaf Resorts, Inc. 49,300 459
o NovaCare Employee Services, Inc. 84,800 456
o Speedfam International, Inc. 26,500 454
o BankUnited Financial Corp. 56,100 449
Range Resources Corp. 130,500 449
o Vivus, Inc. 173,200 449
<PAGE>
Washington Trust Bancorp, Inc. 20,850 448
o Franchise Mortgage Acceptance Co. LLC 57,600 446
o Viasoft, Inc. 63,400 444
K2 Inc. 42,910 443
American Medical Security Group, Inc. 30,900 442
o Miller Industries, Inc. 98,250 442
o TriStar Aerospace Co. 63,100 442
o Heska Corp. 99,200 440
o Friedman's, Inc. Class A 42,700 438
o Rohn Industries Inc. 126,500 435
Ocwen Asset Investment Corp. 89,500 431
o American Mobile Satellite Corp., Inc. 81,800 429
o SOS Staffing Services, Inc. 59,100 428
o ImClone Systems, Inc. 47,100 427
o Breed Technological Inc. 51,900 425
First Commerce Bancshares Inc. Class B 15,172 425
o AirTran Holdings, Inc. 161,000 423
o Marvel Enterprises Inc. 68,400 423
o Hvide Marine, Inc. Class A 84,300 422
Vesta Insurance Group, Inc. 69,850 419
o Ryerson Tull, Inc. Class A 42,800 417
o Halter Marine Group, Inc. 85,300 416
Birmingham Steel Corp. 98,900 414
o MRV Communications Inc. 66,600 412
Impac Mortgage Holdings, Inc. REIT 89,300 407
o Finish Line, Inc. 50,800 406
Primex Technologies, Inc. 9,500 404
Weider Nutritional International, Inc. 63,100 402
o Amtran, Inc. 14,700 399
o West Marine, Inc. 40,100 396
o Coldwater Creek Inc. 28,590 393
o Credit Acceptance Corp. 53,200 389
o Miravant Medical Technology 30,250 389
o SPR Inc. 22,200 383
o Superior Energy Services, Inc. 134,600 383
Advest Group, Inc. 20,500 379
o Key Energy Services, Inc. 80,100 375
Allied Products Corp. 58,950 372
Herbalife International Class B 32,134 368
Western Gas Resources, Inc. 64,000 368
Aames Financial Corp. 115,250 367
o Republic Bank/Clearwater Fla. 27,800 365
o Thermotrex Corp. 42,600 365
o Suburban Lodges Of America, Inc. 44,500 364
City Holding Co. 11,110 361
o Pinnacle Systems, Inc. 10,000 358
o Guess ?, Inc. 74,200 357
o Delta Financial Corp. 59,900 356
o Shaw Group, Inc. 44,500 356
o CompuCom Systems, Inc. 101,400 355
Fedders Corp. Class A 67,612 355
o Bacou USA Inc. 16,300 350
o Computer Learning Centers, Inc. 51,800 346
<PAGE>
o ParkerVision, Inc. 14,700 345
o Grey Wolf, Inc. 422,300 343
Century Aluminum Co. 36,200 342
o Spiegel, Inc. Class A 59,100 340
o H.T.E., Inc. 67,600 338
o Centennial HealthCare Corp. 21,400 332
o Planet Hollywood International, Inc. Class A 143,500 332
o Encore Wire Corp. 35,800 331
o Artisan Components, Inc. 62,200 330
o Lodgian, Inc. 67,600 330
First Indiana Corp. 16,420 328
o Learning Tree International, Inc. 36,000 326
o Primadonna Resorts, Inc. 36,800 324
o UTI Energy Corp. 44,500 323
o Patterson Energy, Inc. 78,800 320
o SM&A Corp. 16,600 315
o Splash Technology Holdings, Inc. 42,259 314
o Crescent Operating, Inc. REIT 64,263 305
o Trico Marine Services, Inc. 62,400 304
o Benton Oil & Gas Co. 100,800 302
o IRI International Corp. 75,000 300
o Renaissance Worldwide, Inc. 48,100 295
o TCI Satellite Entertainment, Inc. Class A 204,890 295
Culp, Inc. 37,300 294
o Meadowcraft, Inc. 25,900 290
Chart Industries, Inc. 37,950 289
United Cos. Finance Corp. 84,602 286
o Ambassadors International, Inc. 19,100 282
o General Magic, Inc. 55,900 281
o First Sierra Financial, Inc. 22,700 278
o ITEQ, Inc. 130,000 276
o Grubb & Ellis Co. 34,000 274
o Samsonite Corp. 48,669 271
o Laboratory Corp. of America 196,352 270
o Forcenergy Inc. 102,100 268
Hilb, Rogal and Hamilton Co. 13,300 264
KCS Energy, Inc. 81,600 250
o ContiFinancial Corp. 34,300 244
First Commerce Bancshares Inc. Class A 8,900 243
Prime Group Realty Trust REIT 16,000 242
o Homestead Village, Inc. 53,600 241
Herbalife International Cl A 16,066 229
Harris Financial, Inc. 16,400 223
Sandy Spring Bancorp, Inc. 7,400 223
Conectiv, Inc. Class A 5,612 222
o American Retirement Corp. 14,100 221
Capital City Bank Group, Inc. 8,000 221
o ThermoLase Corp. 48,400 221
o HS Resources Inc. 29,100 220
o American HomePatient, Inc. 120,700 219
o SS&C Technologies, Inc. 17,600 218
o Westaff Inc. 33,100 207
Columbus McKinnon Corp. 11,100 200
<PAGE>
Semco Energy Inc. 12,285 200
o Panavision, Inc. 15,772 195
Gray Communications Systems, Inc. 10,250 188
o EduTrek International, Inc. 31,400 181
o Pegasystems Inc. 43,300 180
o TransTexas Gas Corp. 68,600 180
o ViroPharma Inc. 19,100 178
Chesapeake Energy Corp. 201,480 176
Amplicon, Inc. 11,600 175
o PageMart Wireless, Inc. 31,500 175
o Banner Aerospace 18,400 174
Medallion Financial Corp. 12,000 172
o Kelly Oil Corp. 280,700 167
Mahoning National Bancorp. Inc. 5,400 167
Prime Bancorp Inc. 10,600 167
Belco Oil & Gas Corp. 29,800 166
o Aspec Technology, Inc. 125,000 164
o Objective Systems Integrators, Inc. 34,700 160
o Bristol Hotels & Resorts, Inc. 23,925 147
o BWAY Corp. 9,600 145
o Donna Karan International Inc. 18,900 144
o Rutherford-Moran Oil Corp. 49,000 138
CFSB Bancorp, Inc. 5,600 136
o Federal Agricultural Mortgage Corp. 3,550 132
o Trex Medical Corp. 15,000 128
BankAtlantic Bancorp, Inc. Class A 18,375 118
o Advantica Restaurant Group, Inc. 18,500 114
o Frontier Financial Corp. 2,500 114
o MGC Communications, Inc. 16,300 114
o Titan Exploration, Inc. 17,000 112
o BRC Holdings Inc. 5,731 107
o Icon CMT Corp. 6,600 106
o Aerial Communications Inc. 17,600 103
o K-V Pharmaceutical Co. Class A 5,000 103
o SCB Computer Technology, Inc. 10,300 102
o Alydaar Software Corp. 12,200 101
o Alaris Medical, Inc. 17,000 100
o Cylink Corp. 27,700 100
o Phymatrix Corp. 43,500 95
Penncorp Financial Group Inc. 90,100 90
o MacroChem Corp. 9,700 82
Wackenhut Corp. Class B 3,656 80
o DecisionOne Holdings Corp. 16,200 77
o SmarTalk Teleservices, Inc. 29,100 77
o Telegroup, Inc. 58,400 77
o United Natural Foods, Inc. 3,100 75
Price Enterprises, Inc. 13,925 74
BancFirst Ohio Corp. 2,300 70
Baldwin & Lyons, Inc. Class B 2,800 69
Michigan Financial Corp. 1,975 67
North Pittsburgh Systems, Inc. 4,700 63
o Metal Management, Inc. 16,700 58
o Thermo Optek Corp. 6,700 58
<PAGE>
o French Fragrances, Inc. 7,400 54
o APAC Teleservices, Inc. 14,100 53
o Equity Corp. International 2,000 53
Gold Banc Corp., Inc. 3,300 51
Century South Banks, Inc. 1,500 42
o USN Communications, Inc. 176,600 33
o Wilshire Financial Services Group Inc. 52,700 33
o Associated Group, Inc. Class B 750 32
o IMC Mortgage Co. 94,600 27
o MEMC Electronic Materials, Inc. 2,800 24
o LTC Healthcare, Inc. 8,220 22
J.M. Smucker Co. Class B 1,000 22
Seaboard Corp. 50 21
o Recoton Corp. 1,000 18
o CSF Holdings Inc. Contingent
Litigation Rights 29,125 15
o Insilco Holding Corp. 239 6
o Southern Pacific Funding Corp. 47,600 4
o Octel Corp. 75 1
TOTAL COMMON STOCKS ------------
(Cost $2,687,474) 2,929,234
TEMPORARY CASH INVESTMENTS (9.8%)(1) ------------
Face
Amount
(000)
U.S. Treasury Bills -----------
(2) 4.046%, 1/14/1999 $ 4,400 4,396
(2) 4.027%-4.429%, 1/7/1999 1,500 1,500
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
4.76%, 1/4/1999 109,812 109,812
4.77%, 1/4/1999-Note G 183,114 183,114
TOTAL TEMPORARY CASH INVESTMENTS ------------
(Cost $298,819) 298,822
TOTAL INVESTMENTS (106.4%) ------------
(Cost $2,986,293) 3,228,056
------------
OTHER ASSETS AND LIABILITIES (-6.4%)
Other Assets-Note B 33,675
Security Lending Collateral Payable to
Brokers-Note G (183,114)
Other Liabilities (46,261)
------------
(195,700)
------------
NET ASSETS (100%) $ 3,032,356
*See Note A in Notes to Financial Statements. ============
oNon-Income-Producing Security.
<PAGE>
(1)The fund invests a portion of its cash
reserves in equity markets through the
use of index futures contracts. After giving
effect to futures investments, the fund's
effective common stock and temporary cash
investment positions represent 100.1% and 6.3.
(2)Securities with an aggregate value of
$5,896,000 have been segregated as
initial margin for open futures contracts.
REIT-Real Estate Investment Trust.
AT DECEMBER 31, 1998, NET ASSETS CONSISTED OF:
Paid in Capital $ 2,769,161
Overdistributed Net Investment Income (641)
Accumulated Net Realized Gains 14,857
Unrealized Appreciation-Note F
Investment Securities 241,763
Futures Contracts 7,216
------------
NET ASSETS $3,032,356
============
Investor Shares-Net Assets
Applicable to 130,587,758 outstanding $.001
par value shares of beneficial interest $ 2,768,079
(unlimited authorization) ------------
NET ASSET VALUE PER SHARE- ------------
INVESTOR SHARES $ 21.20
============
Institutional Shares-Net Assets
Applicable to 12,467,472 outstanding $.001
par value shares of beneficial interest
(unlimited authorization)
$ 264,277
NET ASSET VALUE PER SHARE- ------------
INSTITUTIONAL SHARES $ 21.20
============
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF NET ASSETS DECEMBER 31, 1999
--------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
--------------------------------------------------------------------------------
COMMON STOCKS (99.6%)(1)
o BroadVision, Inc. 232,100 $ 39,472
o MicroStrategy Inc. 162,800 34,188
o VerticalNet, Inc. 142,800 23,419
o Millennium Pharmaceuticals, Inc. 153,100 18,678
o LAM Research Corp. 164,200 18,319
o Interdigital Communications Corp. 233,400 17,505
o Mercury Interactive Corp. 159,900 17,259
o IDEC Pharmaceuticals Corp. 174,500 17,145
o PE Corp. - Celera Genomics Group 106,800 15,913
o Omnipoint Corp. 130,300 15,717
o Emulex Corp. 137,900 15,514
Optical Coating Laboratory, Inc. 50,900 15,066
o Human Genome Sciences, Inc. 97,000 14,805
o Cypress Semiconductor Corp. 443,225 14,349
o Advanced Fibre Communications, Inc. 298,900 13,357
o RSA Security Inc. 152,560 11,823
o Affymetrix, Inc. 68,300 11,590
o Clarify, Inc. 89,700 11,302
o Westwood One, Inc. 146,100 11,104
o S1 Corp. 141,050 11,020
o HNC Software, Inc. 102,100 10,797
o Harmonic, Inc. 111,500 10,586
o C-Cube Microsystems, Inc. 168,600 10,495
o Amkor Technology, Inc. 361,300 10,207
o Integrated Device Technology Inc. 350,400 10,162
o Gilead Sciences, Inc. 184,716 9,998
o Powertel Inc. 97,800 9,817
o Informix Corp. 803,500 9,140
o Valuevision International, Inc. Class A 156,500 8,969
o Lattice Semiconductor Corp. 189,950 8,951
o Cree Research, Inc. 104,400 8,913
o DII Group, Inc. 124,846 8,860
o Peregrine Systems, Inc. 106,000 8,758
CTS Corp. 115,600 8,713
o Emmis Communications, Inc. 67,400 8,401
o SanDisk Corp. 87,200 8,393
o 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
o TranSwitch Corp. 108,000 7,837
o Aspect Communications Corp. 200,100 7,829
o Ancor Communications, Inc. 115,000 7,806
o Credence Systems Corp. 89,800 7,768
o Go2Net, Inc. 88,100 7,665
o Intermedia Communications Inc. 195,600 7,592
o Oak Industries, Inc. 71,000 7,535
o The Titan Corp. 156,600 7,380
o Micromuse Inc. 43,000 7,310
o KEMET Corp. 161,200 7,264
<PAGE>
o ISS Group, Inc. 100,900 7,177
Tektronix, Inc. 184,600 7,176
Radian Group, Inc. 149,210 7,125
o TriQuint Semiconductor, Inc. 62,100 6,909
o Xircom, Inc. 92,000 6,900
C.H. Robinson Worldwide, Inc. 172,700 6,865
o Visual Networks, Inc. 86,234 6,834
o Micrel, Inc. 119,500 6,804
o Sawtek Inc. 102,200 6,803
Jones Pharma, Inc. 152,900 6,642
Sky Financial Group, Inc. 328,985 6,621
o Semtech Corp. 126,902 6,615
o Entercom Communications Corp. 99,800 6,587
o Enzon, Inc. 151,800 6,584
o Andrew Corp. 346,837 6,568
CK Witco Corp. 487,862 6,525
o Aspect Development, Inc. 95,100 6,514
Eastern Enterprises 112,134 6,441
o Zebra Technologies Corp. Class A 105,900 6,195
o Citadel Communications Corp. 95,300 6,183
o Mettler-Toledo International Inc. 161,200 6,156
o Digital Microwave Corp. 262,000 6,141
o MRV Communications Inc. 97,500 6,130
o INCYTE Pharmaceuticals, Inc. 101,300 6,078
o Fisher Scientific International Inc. 167,900 6,065
Applied Power, Inc. 164,695 6,053
o Leap Wireless International, Inc. 76,400 5,997
Lee Enterprises, Inc. 187,300 5,982
o Burr-Brown Corp. 162,650 5,876
o Interim Services, Inc. 237,006 5,866
o 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
o Technology Solutions Co. 175,925 5,762
Sierra Pacific Resources 330,396 5,720
o Polycom, Inc. 89,500 5,700
o AmeriCredit Corp. 307,300 5,685
Callaway Golf Co. 320,500 5,669
UST Corp. 178,200 5,658
o Cambridge Technology Partners 215,300 5,652
o Suiza Foods Corp. 142,500 5,647
o First Health Group Corp. 210,000 5,644
Rayonier Inc. 116,800 5,643
o Cognex Corp. 144,600 5,639
o International Rectifier Corp. 216,700 5,634
o ACTV, Inc. 123,300 5,633
o Hyperion Solutions Corp. 128,719 5,599
o ITC DeltaCom, Inc. 201,500 5,566
o American Management Systems, Inc. 177,100 5,557
Ethan Allen Interiors, Inc. 171,100 5,486
o Cymer, Inc. 118,900 5,469
o Protein Design Labs, Inc. 78,100 5,467
Florida East Coast Railway Co. 130,400 5,444
o Mueller Industries Inc. 149,500 5,419
<PAGE>
Hudson United Bancorp 211,311 5,402
o PRI Automation, Inc. 80,200 5,383
Washington Gas Light Corp. 195,100 5,365
o Marine Drilling Co., Inc. 239,100 5,365
USFreightways Corp. 112,000 5,362
Harsco Corp. 168,700 5,356
o Proxim, Inc. 48,300 5,313
o Wind River Systems Inc. 144,450 5,309
o Open Market, Inc. 116,900 5,275
o Visio Corp. 111,000 5,272
o Black Box Corp. 78,600 5,266
o Borders Group, Inc. 327,200 5,256
o Concentric Network Corp. 169,200 5,213
o Verity, Inc. 122,400 5,210
o Ciber, Inc. 189,300 5,206
Worthington Industries, Inc. 313,800 5,197
o Imation Corp. 154,500 5,185
o ChoicePoint Inc. 124,900 5,168
o Proxicom, Inc. 41,300 5,134
o Getty Images, Inc. 105,000 5,132
o Whole Foods Market, Inc. 110,600 5,129
Corn Products International, Inc. 156,100 5,112
o Harbinger Corp. 160,350 5,101
o Price Communications Corp. 183,235 5,096
o Stillwater Mining Co. 158,850 5,063
o Medicis Pharmaceutical Corp. 118,650 5,050
o Plantronics, Inc. 70,400 5,038
National Computer Systems, Inc. 133,900 5,038
o Celgene Corp. 71,600 5,012
Health Care Properties Investors REIT 209,382 4,999
o Abgenix, Inc. 37,700 4,995
o MICROS Systems, Inc. 67,500 4,995
Arthur J. Gallagher & Co. 76,900 4,979
o Sensormatic Electronics Corp. 285,450 4,978
o Pinnacle Holdings Inc. REIT 116,300 4,928
Potlatch Corp. 109,700 4,895
Kaufman & Broad Home Corp. 201,500 4,874
o 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
o Alkermes, Inc. 97,100 4,770
Allied Capital Corp. 260,100 4,763
o Intraware, Inc. 60,200 4,756
o Adaptive Broadband Corp. 64,400 4,754
o Dycom Industries, Inc. 107,550 4,739
Commerce Bancorp, Inc. 117,089 4,735
o Rare Medium Group, Inc. 138,400 4,723
o QRS Corp. 44,800 4,704
o DSP Group Inc. 50,500 4,696
o Smithfield Foods, Inc. 195,400 4,690
o Remedy Corp. 98,900 4,685
Equitable Resources, Inc. 139,600 4,659
Camden Property Trust REIT 169,687 4,645
<PAGE>
o Techne Corp. 84,228 4,638
o Bethlehem Steel Corp. 553,591 4,636
Wicor, Inc. 157,200 4,588
Air Express International Corp. 141,900 4,585
o Hanover Compressor Co. 121,300 4,579
o 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
o Amphenol Corp. 67,800 4,513
o MTI Technology Corp. 121,800 4,491
o MMC Networks, Inc. 130,500 4,486
o CapRock Communications Corp. 138,200 4,483
Airborne Freight Corp. 203,500 4,477
o Pegasus Communications Corp. Class A 45,800 4,477
o Kopin Corp. 106,200 4,460
o Power Integrations, Inc. 92,800 4,449
o Actuate Software Corp. 103,600 4,442
Weingarten Realty Investors REIT 113,075 4,403
o Diamond Technology Partners Inc. 50,950 4,379
o Renal Care Group, Inc. 186,850 4,368
First Industrial Realty Trust REIT 159,100 4,365
Church & Dwight, Inc. 163,100 4,353
o Furniture Brands International Inc. 197,600 4,347
o Patterson Dental Co. 101,750 4,337
o Varian Semiconductor Equipment
Associates, Inc. 127,300 4,328
The Timken Co. 211,400 4,320
United Bankshares, Inc. 179,900 4,295
o 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
o ImClone Systems, Inc. 107,500 4,260
o Dendrite International, Inc. 125,700 4,258
o 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
o USinternetworking, Inc. 60,250 4,210
o Kulicke & Soffa Industries, Inc. 98,900 4,209
Helix Technology Corp. 93,800 4,203
o Enzo Biochem, Inc. 93,003 4,191
o Metamor Worldwide, Inc. 143,800 4,188
o Cytec Industries, Inc. 180,700 4,179
o 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
o Aerial Communications Inc. 67,900 4,133
Donaldson Co., Inc. 171,500 4,127
o 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
o Iron Mountain, Inc. 103,800 4,081
<PAGE>
o Sykes Enterprises, Inc. 92,800 4,072
Leucadia National Corp. 175,900 4,068
AGL Resources Inc. 238,500 4,054
o Advanced Digital Information Corp. 83,200 4,046
o Electro Scientific Industries, Inc. 55,300 4,037
o PairGain Technologies, Inc. 284,400 4,035
o Macrovision Corp. 54,500 4,033
Hospitality Properties Trust REIT 211,300 4,028
o ETEC Systems, Inc. 89,700 4,025
Universal Foods Corp. 197,000 4,014
o Alpha Industries, Inc. 69,600 3,989
United Water Resources, Inc. 116,268 3,975
Georgia Gulf Corp. 130,100 3,960
o 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
o Choice Hotel International, Inc. 228,400 3,911
o Entrust Technologies, Inc. 65,200 3,908
Independence Community Bank Corp. 312,600 3,908
o Affiliated Managers Group, Inc. 96,100 3,886
o AnswerThink Consulting Group, Inc. 113,400 3,884
o MedQuist, Inc. 150,100 3,874
o United Stationers, Inc. 135,600 3,873
BancorpSouth, Inc. 236,600 3,860
o Terayon Communications Systems, Inc. 61,400 3,857
o Policy Management Systems Corp. 150,700 3,852
o National Instruments Corp. 100,700 3,852
o Transaction Systems Architects, Inc. 137,200 3,842
Dexter Corp. 96,600 3,840
o Dionex Corp. 93,200 3,839
o W.R. Grace & Co. 275,900 3,828
Citizens Banking Corp. 170,892 3,824
o Varian Medical Systems, Inc. 128,200 3,822
Harman International Industries, Inc. 68,025 3,818
o Silicon Valley Bancshares 76,900 3,807
o 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
o Mastec Inc. 84,600 3,765
o Concurrent Computer Corp. 201,300 3,762
o Documentum, Inc. 62,800 3,760
Texas Industries, Inc. 88,320 3,759
o Pioneer Natural Resources Co. 419,400 3,748
o Vertex Pharmaceuticals, Inc. 106,900 3,741
o Eclipsys orp. 146,000 3,741
o InterVU Inc. 35,500 3,728
Manitowac Co., Inc. 109,600 3,726
o Informatica Corp. 35,000 3,723
o ICG Communications, Inc. 197,100 3,696
o Mentor Graphics Corp. 279,400 3,685
<PAGE>
o Antec Corp. 100,900 3,683
o Pacific Sunwear of California 115,362 3,677
La-Z-Boy Inc. 218,600 3,675
o Alleghany Corp. 19,810 3,675
o Progress Software Corp. 64,700 3,672
o TeleBanc Financial Corp. 141,100 3,669
o Allaire Corp. 25,300 3,668
o Alaska Air Group, Inc. 103,900 3,649
o Quest Diagnostics, Inc. 119,300 3,646
o 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
o Mastech Corp. 146,000 3,613
o MGC Communications, Inc. 71,200 3,613
o Scholastic Corp. 58,100 3,613
o World Access, Inc. 187,100 3,602
o Primus Telecommunications Group, Inc. 94,000 3,595
Pittston Brink's Group 163,000 3,586
o ANADIGICS, Inc. 75,700 3,572
Whitney Holdings 96,350 3,571
o Jack in the Box Inc. 172,200 3,562
o Metricom 45,100 3,546
Polaroid Corp. 188,000 3,537
o 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
o Barrett Resources Corp. 118,700 3,494
o Asyst Technologies, Inc. 53,100 3,481
o Imperial Bancorp 144,215 3,479
Cousins Properties, Inc. REIT 102,409 3,475
Kaydon Corp. 129,600 3,475
o Glenayre Technologies, Inc. 306,725 3,470
o Ames Department Stores, Inc. 120,300 3,466
o GTech Holdings Corp. 157,400 3,463
o Powerwave Technologies, Inc. 59,300 3,462
o InfoCure Corp. 110,900 3,459
o Insight Enterprises, Inc. 85,000 3,453
o 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
o FileNet Corp. 134,900 3,440
Pogo Producing Co. 167,400 3,432
Jostens Inc. 141,000 3,428
o The Profit Recovery Group International,
Inc. 127,950 3,399
Cambrex Corp. 98,600 3,396
o SCM Microsystems, Inc. 53,055 3,392
Horace Mann Educators Corp. 172,600 3,387
o Quanta Services, Inc. 119,800 3,384
E.W. Blanch Holdings, Inc. 55,100 3,375
AGCO Corp. 250,300 3,363
o UCAR International, Inc. 188,600 3,359
o LTX Corp. 149,500 3,345
o Biotechnology General 219,200 3,343
<PAGE>
Aptargroup Inc. 132,900 3,339
o Cirrus Logic 250,800 3,339
o Copart, Inc. 76,700 3,336
Olin Corp. 168,400 3,336
Olsten Corp. 294,850 3,335
ONEOK, Inc. 132,500 3,329
o Korn/Ferry International 91,300 3,321
Prentiss Properties Trust REIT 158,100 3,320
o Advent Software, Inc. 51,450 3,315
Pennzoil-Quaker State Co. 325,000 3,311
Applebee's International, Inc. 111,100 3,277
o 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
o Project Software & Development, Inc. 58,200 3,230
Minerals Technologies, Inc. 80,500 3,225
o CEC Entertainment Inc. 113,600 3,223
Developers Diversified Realty Corp. REIT 250,200 3,221
First Financial Bancorp 150,675 3,221
RGS Energy Group Inc. 156,100 3,210
Hussman International, Inc. 212,975 3,208
o Plexus Corp. 72,600 3,194
o 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
o 24/7 Media, Inc. 56,400 3,173
MeriStar Hospitality Corp. REIT 198,034 3,169
o NVIDIA Corp. 67,500 3,168
o Kronos, Inc. 52,750 3,165
o Vicor Corp. 78,100 3,163
o 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
o Great Plains Software, Inc. 42,000 3,140
o Aspen Technologies, Inc. 118,600 3,135
o Scotts Co. 77,300 3,111
o Pegasus Systems Inc. 51,500 3,106
Community First Bankshares 197,100 3,104
o 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
o Pinnacle Systems, Inc. 75,900 3,088
Federal Signal Corp. 192,200 3,087
o AmeriSource Health Corp. 203,200 3,086
Longview Fibre Co. 216,300 3,082
o Cost Plus, Inc. 86,500 3,082
o Teletech Holdings Inc. 91,400 3,080
Arvin Industries, Inc. 108,400 3,076
Philadelphia Suburban Corp. 148,600 3,074
<PAGE>
Staten Island Bancorp, Inc. 170,700 3,073
o Brightpoint, Inc. 234,025 3,072
Pulte Corp. 136,500 3,071
o O'Reilly Automotive, Inc. 142,600 3,066
Jack Henry & Associates 57,100 3,066
o Men's Wearhouse, Inc. 103,450 3,039
o Razorfish Inc. 31,900 3,034
o Catalytica, Inc. 223,700 3,034
o Unifi, Inc. 246,300 3,033
Cleco Corp. 94,500 3,030
o Beringer Wine Estates Holdings, Inc. 75,900 3,027
o CommNet Cellular Inc. 93,700 3,010
o Jacobs Engineering Group Inc. 92,500 3,006
o Journal Register Co. 194,500 3,003
Universal Corp. 131,000 2,988
o Mercury Computer Systems, Inc. 84,900 2,971
o Midway Games Inc. 124,011 2,969
o 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
o Integrated Systems, Inc. 87,800 2,947
Charles E. Smith Residential Realty,
Inc. REIT 83,300 2,947
o 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
o Hadco Corp. 57,400 2,927
o C-COR Electronics, Inc. 38,100 2,919
o Wisconsin Central Transportation Corp. 217,100 2,917
o Steel Dynamics, Inc. 182,600 2,910
o Orbital Sciences Corp. 156,700 2,909
o 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
o STERIS Corp. 280,600 2,894
o Southern Union Co. 151,215 2,892
o America West Holdings Corp. Class B 138,700 2,878
First American Financial Corp. 231,100 2,874
o InterVoice-Brite, Inc. 121,000 2,862
Nordson Corp. 59,300 2,861
o ShopKo Stores, Inc. 124,400 2,861
Amcore Financial 119,120 2,859
o TALK.com, Inc. 160,900 2,856
o Varian, Inc. 126,900 2,855
Earthgrains Co. 176,744 2,850
o Quorum Health Group, Inc. 305,550 2,845
o Markel Corp. 18,300 2,836
Commerce Group, Inc. 108,300 2,829
o Spyglass, Inc. 74,600 2,829
Shurgard Storage Centers, Inc.
Class A REIT 121,700 2,822
o PSS World Medical, Inc. 298,462 2,817
o PETsMART, Inc. 489,550 2,815
<PAGE>
Liberty Corp. 66,700 2,814
o 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
o ATMI, Inc. 84,400 2,790
o Eagle USA Airfreight, Inc. 64,500 2,782
o Wesley Jessen VisionCare, Inc. 73,300 2,776
o Micro Warehouse Inc. 149,700 2,769
Chicago Title Corp. 59,500 2,752
UMB Financial Corp. 72,542 2,738
o Globix Corp. 45,600 2,736
o Cable Design Technologies 118,650 2,729
Chesapeake Corp. of Virginia 89,300 2,724
o Charming Shoppes, Inc. 409,400 2,712
o Transkaryotic Therapies, Inc. 70,400 2,710
o Swift Transportation Co., Inc. 153,700 2,709
Precision Castparts Corp. 102,800 2,699
Wallace Computer Services, Inc. 162,200 2,697
o Coherent, Inc. 100,700 2,694
Florida Rock Industries, Inc. 78,200 2,693
o Bally Total Fitness Holding Corp. 100,900 2,693
o Carrier Access Corp. 40,000 2,693
o IDEXX Laboratories Corp. 166,600 2,686
UGI Corp. Holding Co. 131,400 2,685
o Sicor, Inc. 346,260 2,684
o Manugistics Group, Inc. 83,000 2,682
Alfa Corp. 164,100 2,677
Atmos Energy Corp. 130,918 2,676
o Kent Electronics Corp. 117,500 2,673
o Preview Travel, Inc. 51,100 2,664
Nationwide Health Properties, Inc. REIT 193,400 2,659
Flowserve Corp. 156,406 2,659
o Del Monte Foods Co. 215,600 2,655
F & M National Corp. 96,279 2,654
o Covance, Inc. 245,200 2,651
MacDermid, Inc. 64,500 2,649
Healthcare Realty Trust Inc. REIT 169,407 2,647
o SEACOR SMIT Inc. 51,100 2,644
o R.H. Donnelley Corp. 139,900 2,641
o NBTY, Inc. 227,700 2,633
o Lone Star Technologies, Inc. 94,400 2,631
o S3, Inc. 227,100 2,626
o Sirius Satellite Radio, Inc. 59,000 2,626
o Varco International, Inc. 257,700 2,625
The Macerich Co. REIT 125,700 2,616
S & T Bancorp, Inc. 112,800 2,616
o Tut Systems, Inc. 48,770 2,615
o Tower Automotive, Inc. 168,900 2,607
Bank North Group 97,270 2,602
o Haemonetics Corp. 109,250 2,602
o Alliant Techsystems, Inc. 41,700 2,598
Bob Evans Farms, Inc. 168,000 2,593
o Exchange Applications, Inc. 46,400 2,593
<PAGE>
o OfficeMax, Inc. 471,100 2,591
Alpharma, Inc. Class A 83,934 2,581
o Radio One, Inc. 28,000 2,576
o Viatel, Inc. 48,000 2,574
o Photronics Labs Inc. 89,900 2,573
Eastern Utilities Associates 84,889 2,573
o 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
o Tekelec 113,700 2,558
o ResMed Inc. 61,200 2,555
o 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
o 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
o NBC Internet, Inc. Class A 32,800 2,534
o Cor Therapeutics, Inc. 93,600 2,515
o The Cheesecake Factory 71,853 2,515
o Network Peripherals, Inc. 53,200 2,514
o ZixIt Corp. 63,400 2,512
Reckson Associates Realty Corp. REIT 122,400 2,509
o Remec, Inc. 98,100 2,502
o 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
o Airgas, Inc. 261,100 2,480
o IPC Communications, Inc. 34,700 2,464
Ogden Corp. 206,300 2,463
o Complete Business Solutions, Inc. 98,000 2,462
Richmond County Financial Corp. 136,200 2,460
o Apex Inc. 76,200 2,457
o El Paso Electric Co. 250,400 2,457
Ruby Tuesday, Inc. 135,050 2,456
o AXENT Technologies, Inc. 116,480 2,446
o Papa John's International, Inc. 93,850 2,446
o Silicon Valley Group, Inc. 137,700 2,444
o Concord Communications, Inc. 54,900 2,436
o Valence Technology 128,100 2,434
o Aware, Inc. 66,900 2,433
Public Service Co. of New Mexico 149,700 2,433
Wellman, Inc. 130,500 2,431
o Inhale Therapeutic Systems 57,100 2,430
o Cognizant Technology Solutions Corp. 22,200 2,427
o 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
<PAGE>
o Advanced Radio Telecom Corp. 100,000 2,400
Milacron Inc. 155,977 2,398
o Ligand Pharmaceuticals Inc. Class B 186,000 2,395
o Dollar Thrifty Automotive Group, Inc. 99,900 2,391
o Sunrise Technologies International, Inc. 202,200 2,388
o Primark Corp. 85,600 2,381
o ESS Technology, Inc. 107,300 2,381
o WebLink Wireless, Inc. 153,200 2,375
o Insituform Technologies Class A 83,900 2,370
CBRL Group, Inc. 243,300 2,361
o Genesys Telecommunications Laboratories,
Inc. 43,700 2,360
o Ralcorp Holdings, Inc. 118,300 2,359
o Heidrick & Struggles International, Inc. 55,500 2,345
o Safeskin Corp. 193,300 2,344
o P-Com, Inc. 264,800 2,342
o Sequa Corp. Class A 43,300 2,335
Modine Manufacturing Co. 93,300 2,333
CH Energy Group, Inc. 70,600 2,330
o American Italian Pasta Co. 75,700 2,328
o XTRA Corp. 54,500 2,323
o UNOVA, Inc. 178,600 2,322
o Exar Corp. 39,400 2,320
o Century Business Services, Inc. 274,800 2,319
Rollins Truck Leasing 193,937 2,315
o Xceed Inc. 55,700 2,312
o Avis Rent A Car, Inc. 90,400 2,311
o Southwest Bancorporation of Texas, Inc. 116,600 2,310
John H. Harland Co. 126,100 2,309
o Ardent Software, Inc. 59,200 2,309
o Inet Technologies, Inc. 33,000 2,306
o Canandaigua Brands, Inc. Class A 45,200 2,305
o 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
o 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
o AVT Corp. 48,100 2,261
o Summit Technology, Inc. 193,421 2,261
Washington REIT 150,450 2,257
Mentor Corp. 87,400 2,256
o 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
<PAGE>
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
o Station Casinos, Inc. 99,700 2,237
o Commonwealth Telephone Enterprises, Inc. 42,199 2,231
o In Focus Systems, Inc. 96,100 2,228
Superior Industries International, Inc. 83,000 2,225
o 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
o Sonic Corp. 77,800 2,217
Kimball International, Inc. Class B 134,200 2,214
o WebTrends Corp. 27,300 2,211
Regis Corp. 117,150 2,211
Manufactured Home Communities, Inc. REIT 90,800 2,208
o Vintage Petroleum, Inc. 182,900 2,206
HCC Insurance Holdings, Inc. 166,850 2,200
o Timberland Co. 41,600 2,200
o Hutchinson Technology, Inc. 103,500 2,199
Technitrol, Inc. 49,300 2,194
o Tetra Tech, Inc. 142,402 2,189
Graco, Inc. 61,025 2,189
Westbanco Inc. 84,079 2,186
o Rayovac Corp. 115,800 2,186
o Computer Network Technology Corp. 95,200 2,184
Foremost Corp. of America 76,900 2,182
o Systems & Computer Technology Corp. 133,800 2,174
o Hollywood Park, Inc. 96,900 2,174
o Global Industries Ltd. 251,800 2,172
o WorldGate Communications, Inc. 45,500 2,164
o Vical, Inc. 72,200 2,161
o RadiSys Corp. 42,300 2,157
o Cerner Corp. 109,500 2,156
Northwestern Corp. 97,900 2,154
o Pharmacyclics, Inc. 52,200 2,153
CT Communications, Inc. 38,400 2,150
Inter-Tel, Inc. 85,900 2,147
o Mail-Well, Inc. 159,000 2,146
o Sanchez Computer Associates, Inc. 51,900 2,138
o Siliconix, Inc. 16,200 2,130
Hughes Supply, Inc. 98,750 2,129
A. Schulman Inc. 130,500 2,129
o Trimble Navigation Ltd. 98,200 2,124
Carpenter Technology Corp. 77,300 2,121
Belden, Inc. 100,800 2,117
o Electroglas, Inc. 83,400 2,116
Talbots Inc. 47,400 2,115
o Triad Hospitals, Inc. 139,479 2,110
MAF Bancorp, Inc. 100,751 2,109
o Power-One, Inc. 46,000 2,107
o Silknet Software, Inc. 12,700 2,105
Penton Media, Inc. Class A 87,600 2,102
TNP Enterprises, Inc. 50,900 2,100
o Kirby Corp. 102,200 2,095
o InterTan, Inc. 80,100 2,093
<PAGE>
o Datastream Systems, Inc. 85,100 2,090
LNR Property Corp. 105,150 2,090
o Security Capital Group Inc. REIT Class B 166,900 2,086
o Total Renal Care Holdings, Inc. 311,800 2,085
o Avant! Corp. 138,438 2,077
o Actel Corp. 86,400 2,074
o 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
o Molecular Devices Corp. 39,500 2,054
Crawford & Co. Class B 150,750 2,054
Greater Bay Bancorp 47,800 2,049
o Computer Horizons Corp. 126,600 2,049
o Perrigo Co. 255,900 2,047
o Agribrands International, Inc. 44,500 2,047
Datascope Corp. 51,100 2,044
Spartech Corp. 63,100 2,035
o Blount International, Inc. 127,133 2,026
o Medical Assurance, Inc. 95,616 2,026
Triangle Bancorp, Inc. 104,400 2,023
o Banyan Systems, Inc. 100,900 2,018
o Advanced Energy Industries, Inc. 40,900 2,014
Energen Corp. 111,300 2,010
o Orthodontic Centers of America, Inc. 168,200 2,008
o NVR, Inc. 42,000 2,005
Invacare Corp. 99,900 2,004
Selective Insurance Group 116,300 1,999
o Wave Systems Corp. Class A 167,300 1,997
Great Atlantic & Pacific Tea Co., Inc. 71,500 1,993
o Zomax Inc. 43,900 1,986
o Playboy Enterprises, Inc. Class B 81,700 1,986
Morgan Keegan, Inc. 118,000 1,984
o Fairfield Communities, Inc. 184,400 1,982
o Bell & Howell Co. 62,300 1,982
Black Hills Corp. 89,050 1,976
o General Semiconductor, Inc. 139,050 1,973
Jefferies Group, Inc. 89,632 1,972
o SuperGen, Inc. 67,000 1,968
o The Liposome Co., Inc. 161,200 1,967
Chelsea GCA Realty, Inc. REIT 66,100 1,966
Ruddick Corp. 126,800 1,965
o CompuCredit Corp. 51,000 1,963
o Young Broadcasting Inc. 38,500 1,964
o Grey Wolf, Inc. 681,700 1,960
Libbey, Inc. 68,100 1,958
o ProBusiness Services, Inc. 54,300 1,955
Albemarle Corp. 101,820 1,954
Queens County Bancorp, Inc. 71,972 1,952
o Littelfuse, Inc. 80,400 1,951
o Duane Reade Inc. 70,700 1,949
o Sunglass Hut International, Inc. 173,200 1,949
Walter Industries, Inc. 180,100 1,947
MascoTech Inc. 153,300 1,945
<PAGE>
o Pre-Paid Legal Services, Inc. 81,000 1,944
o CompUSA, Inc. 379,100 1,943
Yankee Energy Systems 44,200 1,942
SL Green Realty Corp. REIT 89,000 1,936
o Lands' End, Inc. 55,700 1,936
Carolina First Corp. 106,000 1,934
CBL & Associates Properties, Inc. REIT 93,700 1,933
o Hollywood Entertainment Corp. 133,000 1,929
A.O. Smith Corp. 87,900 1,923
o Ionics, Inc. 68,100 1,915
o The Corporate Executive Board Co. 34,200 1,911
o Tuboscope Inc. 120,300 1,910
o Cygnus Inc. 104,300 1,903
Russell Corp. 113,625 1,903
o 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
o Prime Hospitality Corp. 214,600 1,891
o Structural Dynamics Research Corp. 148,306 1,891
o Maxtor Corp. 260,800 1,891
o Midwest Express Holdings, Inc. 59,300 1,890
Kelly Services, Inc. Class A 75,100 1,887
o Delphi Financial Group, Inc. 62,705 1,881
National Penn Bancshares Inc. 74,865 1,881
o The Topps Co., Inc. 181,000 1,878
o Veeco Instruments, Inc. 40,000 1,872
o Sipex Corp. 76,100 1,869
o 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
o Playtex Products, Inc. 120,900 1,859
o ADVO, Inc. 78,250 1,858
Koger Equity, Inc. REIT 110,100 1,858
Wolverine World Wide, Inc. 169,540 1,854
o 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
o Net.B@nk, Inc. 99,100 1,833
o Sangstat Medical Corp. 61,600 1,833
o Anixter International Inc. 88,700 1,829
Aquarion Co. 49,309 1,824
o Monaco Coach Corp. 71,150 1,819
Werner Enterprises, Inc. 129,275 1,818
The Toro Co. 48,600 1,813
o IDX Systems Corp. 57,980 1,812
Regal-Beloit Corp. 87,600 1,807
W Holding Co., Inc. 174,000 1,805
<PAGE>
Presidential Life Corp. 98,200 1,804
o 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
o Landstar System 42,000 1,798
o Aztar Corp. 165,200 1,797
o Key Energy Services, Inc. 346,100 1,795
o Miami Computer Supply Corp. 48,300 1,793
o Genrad, Inc. 110,900 1,788
o Forest Oil Corp. 135,600 1,788
Springs Industries Inc. Class A 44,700 1,785
o International Home Foods, Inc. 102,600 1,783
o American Superconductor Corp. 63,600 1,781
o Patterson Energy, Inc. 136,900 1,780
o 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
o Cybex Computer Products Corp. 43,800 1,774
o Triangle Pharmaceuticals, Inc. 138,000 1,768
Mid-America Apartment Communities,
Inc. REIT 78,100 1,767
o Ziff-Davis Inc. 111,700 1,766
o Brio Technology, Inc. 42,000 1,764
o Buffets Inc. 175,849 1,758
o 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
o Atwood Oceanics, Inc. 44,900 1,734
o Barr Labs Inc. 55,200 1,732
Texas Regional Bancshares, Inc. 59,700 1,731
o Newpark Resources, Inc. 282,500 1,730
o THQ Inc. 74,450 1,726
o Multex.com Inc. 45,700 1,719
Chemical Finance 53,912 1,718
o Forward Air Corp. 39,600 1,718
o Yellow Corp. 102,150 1,717
Laclede Gas Co. 79,400 1,717
o MEMC Electronic Materials, Inc. 140,000 1,715
Tredegar Corp. 82,800 1,713
o JDA Software Group, Inc. 104,350 1,709
o Sunterra Corp. 148,550 1,708
Bradley Real Estate Inc. REIT 97,914 1,707
o Navigant Consulting, Inc. 157,000 1,707
Duff & Phelps Credit Rating 19,100 1,699
o Pioneer Group, Inc. 107,700 1,696
o Shorewood Packaging Corp. 89,500 1,695
o Alliance Semiconductor Corp. 101,500 1,694
Bindly Western Industries, Inc. 112,400 1,693
o barnesandnoble.com inc. 119,200 1,691
o UICI 159,900 1,689
Downey Financial Corp. 83,646 1,689
o CCC Information Services Group 98,600 1,689
<PAGE>
o Beverly Enterprises, Inc. 385,900 1,688
o MSC Industrial Direct Co., Inc. Class A 127,200 1,685
LTV Corp. 408,300 1,684
o Maverick Tube Corp. 68,200 1,684
o Brooks Automation, Inc. 51,700 1,683
o Advance Paradigm, Inc. 78,000 1,682
o SoftNet Systems, Inc. 66,900 1,681
Connecticut Energy Corp. 43,200 1,679
Matthews International Corp. 61,000 1,677
o F.Y.I. Inc. 49,300 1,676
ChemFirst Inc. 76,500 1,673
o SITEL Corp. 238,100 1,667
o Vail Resorts Inc. 92,900 1,666
o MemberWorks, Inc. 50,200 1,666
o 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
o Coventry Health Care Inc. 243,500 1,644
o Department 56 Inc. 72,500 1,640
Greif Brothers Corp. Class A 55,000 1,636
SCPIE Holdings Inc. 50,800 1,632
o Conmed Corp. 62,950 1,629
Southern Peru Copper Corp. 104,900 1,619
o Handleman Co. 120,800 1,616
o Phoenix Technologies LTD. 102,000 1,613
Empire District Electric Co. 71,170 1,610
o Micron Electronics, Inc. 144,600 1,609
West Pharmaceutical Services, Inc. 51,994 1,609
o Administaff, Inc. 53,100 1,606
o Coulter Pharmaceutical, Inc. 70,700 1,604
Bay View Capital Corp. 112,821 1,601
o Netopia, Inc. 29,400 1,597
o Toll Brothers, Inc. 85,700 1,596
o Presstek, Inc 114,900 1,594
o Atlas Air, Inc. 58,100 1,594
o Reebok International Ltd. 194,700 1,594
Anchor Bancorp Wisconsin Inc. 105,200 1,591
o Com21, Inc. 70,800 1,589
o MAXIMUS, Inc. 46,800 1,588
Carter-Wallace, Inc. 88,400 1,586
P.H. Glatfelter Co. 108,400 1,579
o Invitrogen Corp. 26,300 1,578
o PathoGenesis Corp. 73,500 1,576
Cornerstone Realty Income Trust, Inc. REIT 161,600 1,576
N L Industries, Inc. 104,600 1,576
o Tesoro Petroleum Corp. 136,100 1,574
o Crestline Capital Corp. REIT 76,000 1,567
o IDT Corp. 83,000 1,567
Hilb, Rogal and Hamilton Co. 55,400 1,565
o Mid Atlantic Medical Services, Inc. 187,800 1,561
o Ascent Entertainment Group, Inc. 123,029 1,561
o Buckeye Technology, Inc. 104,900 1,560
<PAGE>
Polymer Group, Inc. 85,300 1,557
o Del Webb Corp. 62,396 1,556
Alexandria Real Estate Equities, Inc. REIT 48,900 1,556
o Western Digital Corp. 371,400 1,555
o 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
o Learning Tree International, Inc. 55,000 1,540
o 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
o 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
o UniSource Energy Corp. 135,960 1,521
o Wild Oats Markets, Inc. 68,400 1,518
Bedford Property Investors, Inc. REIT 88,900 1,517
o EarthWeb Inc. 30,100 1,514
Foster Wheeler Corp. 170,600 1,514
Cathay Bancorp, Inc. 36,900 1,513
o Gaylord Container Corp. 222,000 1,512
StanCorp Financial Group, Inc. 60,000 1,511
o Guilford Pharmaceuticals, Inc. 88,700 1,508
o Paxson Communications Corp. 126,300 1,508
o Sagent Technology, Inc. 50,300 1,506
o LifePoint Hospitals, Inc. 127,435 1,505
o Egghead.com, Inc. 92,777 1,502
o US LEC Corp. Class A 46,500 1,500
FBL Financial Group, Inc. Class A 74,900 1,498
o Activision, Inc. 97,600 1,494
o Sunbeam Corp. 356,800 1,494
BT Financial Corp. 67,893 1,494
o Jones Lang Lasalle Inc. REIT 125,700 1,493
Republic Security Financial Corp. 208,319 1,491
o About.Com, Inc. 16,600 1,490
o MessageMedia Inc. 105,600 1,485
Michael Foods Group, Inc. 60,300 1,485
o 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
o STAR Telecommunications, Inc. 187,100 1,479
o Louis Dreyfus Natural Gas Corp. 81,596 1,479
o Barra, Inc. 46,500 1,476
Phoenix Investment Partners Ltd. 181,700 1,476
o American Classic Voyager Co. 42,100 1,474
o ONYX Software Corp. 39,800 1,473
o Bottomline Technologies, Inc. 40,900 1,472
Pacific Gulf Properties, Inc. REIT 72,700 1,472
o Paxar Corp. 174,056 1,469
Collins & Aikman Corp. 255,400 1,469
o Urban Outfitters, Inc. 50,400 1,468
<PAGE>
Cleveland-Cliffs Iron Co. 47,100 1,466
o Simpson Manufacturing Co. 33,500 1,466
Hancock Holding Co. 37,807 1,465
o American Freightways 90,400 1,463
Mid-State Bancshares 45,900 1,463
o Triad Guaranty, Inc. 64,200 1,461
California Water Service Group 48,126 1,459
o Telescan, Inc. 59,000 1,457
o PETCO Animal Supplies, Inc. 97,800 1,455
Applied Industrial Technology, Inc. 87,400 1,453
o 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
o West TeleServices Corp. 59,100 1,444
Midas Inc. 66,000 1,444
o Nautica Enterprises, Inc. 127,614 1,444
United National Bancorp 65,046 1,443
o Track Data Corp. 141,600 1,443
Granite Construction Co. 78,100 1,440
PMA Capital Corp. Class A 72,300 1,437
o EntreMed, Inc. 56,000 1,435
o infoUSA Inc. 102,800 1,433
MDC Holdings, Inc. 91,100 1,429
Reliance Bancorp, Inc. 41,400 1,428
o Rexall Sundown, Inc. 138,400 1,427
o Ultratech Stepper, Inc. 88,500 1,427
o NCI Building Systems, Inc. 77,000 1,424
Roadway Express Inc. 65,800 1,423
AmerUs Life Holdings, Inc. 61,792 1,421
o Champion Enterprises, Inc. 165,948 1,421
o Group Maintenance America Corp. 132,900 1,420
Centex Construction Products,Inc. 36,400 1,420
o FSI International, Inc. 123,400 1,419
o Factory 2-U Stores Inc. 50,000 1,419
o Guess ?, Inc. 65,200 1,418
o Palm Harbor Homes, Inc. 78,729 1,417
o SpeedFam-IPEC, Inc. 109,451 1,416
Arrow International, Inc. 48,800 1,415
o IHOP Corp. 84,600 1,412
o Rogers Corp. 36,900 1,411
o CUNO Inc. 68,150 1,411
o Medco Research, Inc. 46,900 1,410
o PAREXEL International Corp. 119,200 1,408
Life Technologies, Inc. 32,950 1,404
Advanta Corp. Class A 76,880 1,403
o Sola International Inc. 101,100 1,403
o Modem Media . Poppe Tyson, Inc. 19,900 1,400
o Forrester Research, Inc. 20,300 1,398
o Whitehall Jewellers, Inc. 37,900 1,398
o Atlantic Coast Airlines Holdings 58,800 1,397
o Aavid Thermal Technologies 56,800 1,395
o Checkpoint Systems, Inc. 136,900 1,395
Imperial Credit Commercial Mortgage
Investment Corp. REIT 122,500 1,393
o Provident American Corp. 39,600 1,393
<PAGE>
o Cellstar Corp. 141,000 1,392
First United Bancshares, Inc. 103,800 1,388
o 99 Cents Only Stores 36,275 1,388
o Nuevo Energy Co. 74,000 1,387
ABM Industries 68,000 1,386
o Mapics Inc. 109,700 1,385
NUI Corp. 52,400 1,382
o CSK Auto Corp. 78,800 1,379
o Quiksilver, Inc. 88,900 1,378
o On Assignment, Inc. 46,100 1,377
Russ Berrie and Co., Inc. 52,300 1,373
o Trans World Entertainment Corp. 130,650 1,372
o 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
o Rent-A-Center, Inc. 68,400 1,355
First Sentinel Bancorp Inc. 173,440 1,355
Stewart & Stevenson Services, Inc. 114,210 1,353
o Cadiz Inc. 142,300 1,352
o NorthEast Optic Network, Inc. 21,600 1,351
GenCorp, Inc. 136,840 1,351
o Allen Telecom Inc. 116,760 1,350
o Ryan's Family Steak Houses, Inc. 158,600 1,348
o Premiere Technologies, Inc. 192,500 1,347
Merchants New York Bancorporation 78,600 1,346
o NeoMagic Corp. 122,600 1,341
o Excalibur Technologies Corp. 65,000 1,341
o Net Perceptions, Inc. 31,900 1,340
Brush Wellman, Inc. 79,600 1,338
o First Consulting Group, Inc. 86,300 1,338
Thomas Industries, Inc. 65,350 1,336
Wabash National Corp. 88,800 1,332
o U.S. Home Corp. 52,100 1,332
o Tweeter Home Entertainment Group, Inc. 37,500 1,331
Oshkosh Truck Corp. 45,400 1,331
o UTI Energy Corp. 57,700 1,331
o NEON Systems, Inc. 33,900 1,331
o Inacom Corp. 181,712 1,329
Berry Petroleum Class A 87,800 1,328
Franklin Electric, Inc. 18,900 1,327
o Veritas DGC Inc. 94,700 1,326
Valmont Industries, Inc. 82,400 1,324
Madison Gas & Electric Co. 65,675 1,322
o Fossil Inc. 57,100 1,320
o Hain Food Group, Inc. 59,000 1,320
o Veterinary Centers of America, Inc. 102,200 1,316
o Network Event Theater, Inc. 44,200 1,315
Tennant Co. 40,100 1,313
o 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
o Lone Star Steakhouse & Saloon, Inc. 146,800 1,310
Dreyer's Grand Ice Cream, Inc. 76,900 1,307
o Integrated Electrical Services, Inc. 129,900 1,307
<PAGE>
o Battle Mountain Gold Co. Class A 633,600 1,307
o Heartland Express, Inc. 82,908 1,306
Bandag, Inc. 52,200 1,305
o Alexander's, Inc. 16,500 1,304
o Triarc Cos., Inc. Class A 70,800 1,301
o Henry Schein, Inc. 97,700 1,301
o NCO Group, Inc. 43,150 1,300
o First Sierra Financial, Inc. 75,800 1,298
o Executone Information Systems, Inc. 238,700 1,298
o Rent-Way, Inc. 69,300 1,295
WD-40 Co. 58,500 1,294
o Stericycle, Inc. 68,800 1,294
Glimcher Realty Trust REIT 100,100 1,289
First Financial Corp.-Indiana 31,000 1,287
o Personnel Group of America, Inc. 126,600 1,282
o Network Equipment Technologies, Inc. 108,500 1,282
o SCP Pool Corp. 49,400 1,281
Cash America International Inc. 131,312 1,280
o Scott Technologies, Inc. 67,800 1,280
o Boca Resorts, Inc. Class A 131,100 1,278
o Sinclair Broadcast Group, Inc. 104,700 1,278
o Aftermarket Technology Corp. 107,000 1,277
First Financial Bankshares, Inc. 41,470 1,275
PFF Bancorp, Inc. 65,700 1,273
o US Oncology, Inc. 257,582 1,272
o The Grand Union Co. 125,600 1,272
o 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
o ITI Technologies, Inc. 42,200 1,266
o Education Management Corp. 90,400 1,266
o 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
o Anchor Gaming 28,900 1,255
The Stride Rite Corp. 192,900 1,254
o Charles River Associates Inc. 37,400 1,253
o Oceaneering International, Inc. 83,800 1,252
o Performance Food Group Co. 51,350 1,252
o HA-LO Industries, Inc. 166,525 1,249
AREA Bancshares Corp. 50,900 1,247
o Laser Vision Centers, Inc. 118,000 1,246
o Central Garden and Pet Co. 120,100 1,246
o Regeneron Pharmaceuticals, Inc. 97,700 1,246
o Information Resources, Inc. 134,600 1,245
Analysts International Corp. 99,600 1,245
o WMS Industries, Inc. 94,700 1,243
o Systemax Inc. 146,200 1,243
o 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
<PAGE>
CVB Financial Corp. 53,290 1,232
o Ocular Sciences, Inc. 65,200 1,231
Commercial Net Lease Realty REIT 123,800 1,230
o Argosy Gaming Co. 79,000 1,229
o IGEN International, Inc. 41,300 1,229
o Financial Federal Corp. 53,850 1,228
o 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
o American Mobile Satellite Corp., Inc. 58,000 1,222
o Musicland Stores Corp. 144,700 1,221
Frontier Financial Corp. 61,000 1,220
o Avid Technology, Inc. 93,300 1,219
J.B. Hunt Transport Services, Inc. 87,900 1,217
InterWest Bancorp Inc. 63,200 1,217
o K-V Pharmaceutical Co. Class B 56,750 1,217
o American Xtal Technology, Inc. 69,700 1,215
CNA Surety Corp. 93,400 1,214
Computer Task Group, Inc. 81,900 1,213
o Ziff-Davis Inc. - ZDNet 57,700 1,212
o 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
o School Specialty, Inc. 79,800 1,207
Baldwin & Lyons, Inc. Class B 54,500 1,206
o SVI Holdings, Inc. 100,400 1,205
o Albany International Corp. 77,684 1,204
AMLI Residential Properties Trust REIT 59,600 1,203
o Players International, Inc. 146,300 1,202
o e.spire Communications, Inc. 206,700 1,201
Pultizer, Inc. 29,800 1,201
Grey Advertising, Inc. 3,000 1,200
o Genesco, Inc. 92,300 1,200
o Robert Mondavi Corp. Class A 34,400 1,195
o Griffon Corp. 153,000 1,195
Omnova Solutions Inc. 154,100 1,194
o Specialty Equipment Cos., Inc. 49,700 1,190
o Organogenesis, Inc. 136,792 1,188
o 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
o Laboratory Corp. of America 320,652 1,182
o Career Education Corp. 30,800 1,182
o Renaissance Worldwide, Inc. 160,000 1,180
o Carey International, Inc 48,400 1,180
o Columbia Laboratories Inc. 157,100 1,178
o TenFold Corp. 29,500 1,178
Deltic Timber Corp. 53,800 1,177
o National Discount Brokers Group, Inc. 44,600 1,176
o United Payors & United Providers, Inc. 71,000 1,176
<PAGE>
o DBT Online Inc. 48,200 1,175
o SalesLogix Corp. 28,600 1,174
Innkeepers USA Trust REIT 143,300 1,173
o The Children's Place Retail Stores, Inc. 71,300 1,172
o Salton, Inc. 35,000 1,170
o Bright Horizons Family Solutions, Inc. 62,400 1,170
o Novoste Corp. 70,900 1,170
o 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
o Syncor International Corp. 39,800 1,159
Mills Corp. REIT 64,747 1,157
o Trammell Crow Co. 99,250 1,154
Universal Forest Products, Inc. 78,000 1,150
o BOK Financial Corp. 56,944 1,150
o HS Resources Inc. 66,500 1,147
Barnes Group, Inc. 70,300 1,147
o Triumph Group, Inc. 47,400 1,146
Omega Financial Corp. 39,500 1,146
GBC Bancorp 59,300 1,145
o iVillage Inc. 56,500 1,144
Ventas, Inc. REIT 273,000 1,143
o Cyberonics, Inc. 71,700 1,143
Lindsay Manufacturing Co. 62,495 1,141
Great Lakes, Inc. REIT 79,300 1,140
o McMoRan Exploration Co. 53,900 1,139
o 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
o Tyler Technologies, Inc. 206,500 1,136
o First Republic Bank 48,300 1,135
o Value City Department Stores, Inc. 75,000 1,134
o Nortek, Inc. 40,500 1,134
o Fairchild Corp. 124,608 1,129
o Astec Industries, Inc. 60,000 1,129
o 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
o Cal Dive International, Inc. 33,800 1,120
o 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
o Marketing Services Group, Inc. 66,600 1,116
o The Dress Barn, Inc. 67,000 1,114
Tejon Ranch Co. 46,900 1,114
o Launch Media, Inc. 58,800 1,114
o Province Healthcare Co. 58,600 1,113
o ParkerVision, Inc. 36,200 1,113
South Jersey Industries, Inc. 39,136 1,113
Seacoast Financial Services Corp. 109,200 1,112
<PAGE>
o Kaiser Aluminum & Chemical Corp. 144,500 1,111
First Federal Capital Corp. 75,900 1,110
o Dura Automotive Systems, Inc. 63,535 1,108
o DuPont Photomasks, Inc. 22,900 1,105
Urban Shopping Centers, Inc. REIT 40,700 1,104
o URS Corp. 50,800 1,102
Simpson Industries, Inc. 97,800 1,100
o Wesco International, Inc. 123,500 1,096
o Ivex Packaging Corp. 109,600 1,096
Thor Industries, Inc. 36,000 1,096
o Landry's Seafood Restaurants, Inc. 125,800 1,093
Student Loan Corp. 21,900 1,092
Curtiss-Wright Corp. 29,600 1,091
o Impath, Inc. 42,900 1,091
o IMRglobal Corp. 86,800 1,090
Reckson Associates Realty Corp.
Class B REIT 47,256 1,087
o Data Broadcasting Corp. 131,500 1,085
o AMF Bowling, Inc. 347,152 1,085
o Billing Concepts Corp. 166,600 1,083
o CDI Corp. 44,800 1,081
Community Trust Bancorp Inc. 53,926 1,079
LandAmerica Financial Group, Inc. 58,500 1,075
o Local Financial Corp. 103,500 1,074
o Boise Cascade Office Products Corp. 71,500 1,073
o First Federal Financial Corp. 76,250 1,072
o Genlyte Group, Inc. 50,100 1,071
o M.S. Carriers, Inc. 44,800 1,070
o hi/fn, inc. 27,600 1,070
Skyline Corp. 45,500 1,069
o Friede Goldman Halter, Inc. 153,715 1,066
o Read Rite Corp. 224,500 1,066
Myers Industries, Inc. 67,646 1,065
Grand Premier Financial, Inc. 71,905 1,065
o 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
o Guitar Center, Inc. 105,300 1,060
Burlington Coat Factory Warehouse Corp. 76,240 1,058
o 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
o Shop At Home, Inc. 106,000 1,053
IRT Property Co. REIT 134,698 1,052
o Amdocs Ltd. 30,498 1,052
o The IT Group, Inc. 114,400 1,051
West Coast Bancorp 77,780 1,050
o CACI International, Inc. 46,400 1,050
o Columbia Sportswear Co. 48,800 1,049
Brown Shoe Company, Inc. 74,200 1,048
Harleysville National Corp. 32,232 1,048
o Metals USA, Inc. 123,175 1,047
o Swift Energy Co. 91,020 1,047
East West Bancorp, Inc. 91,500 1,047
o Pervasive Software Inc. 61,700 1,045
First Financial Holdings, Inc. 65,300 1,045
<PAGE>
Park Electrochemical Corp. 39,200 1,041
o 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
o CB Richard Ellis Services, Inc. 83,829 1,037
Center Trust, Inc. REIT 107,000 1,037
Luby's, Inc. 91,100 1,036
o Acuson Corp. 82,450 1,036
o Intergraph Corp. 220,200 1,032
o 7-Eleven, Inc. 578,500 1,030
o Pacific Gateway Exchange, Inc. 60,300 1,029
Sandy Spring Bancorp, Inc. 38,100 1,029
Arctic Cat, Inc. 102,800 1,028
o Respironics, Inc. 128,891 1,027
o 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
o Fritz Cos., Inc. 97,400 1,023
SJW Corp. 8,500 1,022
o Budget Group, Inc. 112,700 1,021
o Westell Technologies, Inc. 95,000 1,021
CPI Corp. 45,200 1,020
o Epicor Software Corp. 201,290 1,019
o Championship Auto Racing Teams, Inc. 44,300 1,019
o PLX Technology, Inc. 53,800 1,019
First Indiana Corp. 46,820 1,018
NBT Bancorp, Inc. 65,697 1,018
o AirTran Holdings, Inc. 224,500 1,017
o CompuCom Systems, Inc. 246,600 1,017
o Morrison Knudsen Corp. 130,000 1,016
o Sunrise Assisted Living, Inc. 73,700 1,013
Chemed Corp. 35,400 1,013
o AppliedTheory Corp. 36,500 1,013
o Friedman, Billings, Ramsey Group, Inc. 128,400 1,011
Watsco, Inc. 87,350 1,010
Justin Industries, Inc. 67,750 1,008
o Neurogen Corp. 61,000 1,007
o Ocwen Financial Corp. 160,700 1,004
The Ackerley Group, Inc. 55,400 1,004
o Parker Drilling Co. 314,700 1,003
o Cort Business Services Corp. 57,400 1,001
o 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
o Magnatek 129,200 993
JP Realty Inc. REIT 63,400 991
Landauer, Inc. 45,200 989
<PAGE>
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
o Basin Exploration Inc. 55,800 983
Lance, Inc. 98,300 983
o Pegasystems Inc. 87,300 982
o Plains Resources 78,500 981
Charter Municipal Mortgage Acceptance Co. 83,500 981
Dime Community Bancshares, Inc. 53,000 981
o Bio-Rad Laboratories, Inc. Class A 41,900 979
o Res-Care, Inc. 76,800 979
o Boyd Gaming Corp. 168,200 978
o 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
o Aviation Sales Co. 58,800 970
o Consolidated Products Inc. 95,799 970
Irwin Financial Corp. 54,400 969
General Cable Corp. 128,050 968
o Stoneridge,Inc. 62,600 966
o Offshore Logistics, Inc. 103,000 966
o Centennial Bancorp 89,764 965
o 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
o Metromedia International Group, Inc. 201,700 958
o Metro Information Services, Inc. 39,900 958
o Chattem, Inc. 50,200 954
o Twinlab Corp. 120,000 953
o Theragenics Corp. 105,100 952
Central Parking Corp. 49,700 951
Western Gas Resources, Inc. 72,000 950
Corus Bankshares Inc. 39,500 948
o Federal Agricultural Mortgage Corp. 46,950 948
Wynn's International Inc. 67,050 947
o 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
o 3Dfx Interactive, Inc. 95,200 934
o Per-Se Technologies, Inc. 110,816 932
o Hanger Orthopedic Group, Inc. 93,100 931
o ITT Educational Services, Inc. 59,900 925
Haverty Furniture Cos., Inc. 73,200 924
Schweitzer-Mauduit International, Inc. 68,700 923
o Scientific Games Holdings Corp. 55,700 923
o Chico's Fas, Inc. 24,500 922
<PAGE>
o Maxxam Inc. 21,500 922
International Multifoods Corp. 69,500 921
o Syntel, Inc. 56,875 921
o Electric Lightwave, Inc. Class A 49,100 921
LaSalle Hotel Properties REIT 78,700 920
Boykin Lodging Co. REIT 84,000 919
o Alpine Group, Inc. 71,300 918
o QuadraMed Corp. 105,200 917
F & M Bancorp 45,259 916
Gibraltar Steel 39,150 915
CONSOL Energy, Inc. 90,200 913
o 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
o Imperial Credit 144,264 902
o Electro Rent Corp. 77,558 902
o U.S. Plastic Lumber Corp. 117,100 900
o Steinway Musical Instruments Inc. 44,400 899
o Flycast Communications Corp. 6,900 897
o Input/Output, Inc. 177,100 897
Westcorp, Inc. 61,700 895
o P.F. Chang's China Bistro, Inc. 35,900 893
o Comfort Systems USA, Inc. 121,000 892
o Alterra Healthcare Corp. 106,900 889
Trenwick Group Inc. 52,450 888
o SLI, Inc. 65,375 887
o The Kroll-O'Gara Co. 53,700 886
American Business Products, Inc. 75,600 884
o Chesapeake Energy Corp. 370,780 881
Sturm, Ruger & Co., Inc. 99,200 880
o GelTex Pharmaceuticals, Inc. 68,400 876
o National R. V. Holdings, Inc. 45,500 876
o Consolidated Graphics, Inc. 58,600 875
Pennsylvania REIT 60,000 874
o Burlington Industries, Inc. 217,500 870
o Komag, Inc. 278,400 870
o 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
o Magellan Health Services, Inc. 137,100 865
o Group 1 Automotive, Inc. 62,000 864
Commercial Intertech Corp. 67,650 863
o StaffMark, Inc. 113,900 861
o Lason Holdings, Inc. 78,200 860
o Stein Mart, Inc. 151,200 860
o Franklin Covey Co. 114,200 857
o Aeroflex, Inc. 82,500 856
Semco Energy Inc. 72,285 854
United Fire & Casualty Co. 37,725 854
o Consolidated Freightways Corp. 107,300 852
o Coinstar, Inc. 60,800 851
o Staff Leasing,Inc. 89,300 848
Resource America, Inc. 107,700 848
<PAGE>
Brooke Group Ltd. 56,710 847
o Pharmaceutical Product Development, Inc. 71,271 846
o Castle & Cooke Inc. 66,700 846
o NextCard, Inc. 29,300 846
o The Source Information Management Co. 50,300 843
o Oakley, Inc. 151,400 842
o Chirex, Inc. 57,500 841
Mississippi Chemical Corp. 135,765 840
National Steel Corp. Class B 112,900 840
o Mechanical Technology Inc. 36,100 839
Independent Bank Corp. 67,100 839
L. S. Starrett Co. Class A 37,300 837
o 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
o Aviron 52,500 830
o Hamilton Bancorp, Inc. 46,700 829
o ACX Technologies Inc. 77,500 828
o New Century Financial Corp. 52,500 827
Gentek, Inc. 79,100 826
o General Communication, Inc. 188,500 825
Republic Group Inc. 54,500 824
o EMCOR Group, Inc. 45,100 823
o Bombay Co. 182,700 822
Banco Santander Puerto Rico 52,900 817
o pcOrder.com, Inc. 15,900 811
Simmons First National 32,400 810
o 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
o ISIS Pharmaceuticals, Inc. 128,500 803
US Bancorp, Inc. 68,099 800
o Insignia Financial Group, Inc. 92,100 800
Stewart Information Services Corp. 60,100 800
o Cyberian Outpost, Inc. 80,200 797
o DVI, Inc. 51,800 787
o Superior National Insurance Group, Inc. 104,000 787
Lawson Products, Inc. 34,000 786
o BE Avionics Inc. 92,700 782
o Corinthian Colleges, Inc. 32,700 781
o UniCapital Corp. 211,600 780
UniFirst Corp. 61,800 780
o Mesaba Holdings, Inc. 68,050 778
Freedom Securities Corp. 69,100 777
o United Auto Group, Inc. 86,900 777
o 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
o Vlasic Foods International, Inc. 134,900 767
o GC Cos. 29,650 767
<PAGE>
Advest Group, Inc. 41,700 766
BankAtlantic Bancorp, Inc. Class B 149,200 765
o Wolverine Tube, Inc. 54,000 763
o International Specialty Products, Inc. 82,800 761
o Beyond.com Corp. 97,200 759
BancFirst Corp. 22,358 759
o CyberCash, Inc. 81,800 757
o Knight Transportation, Inc. 44,100 755
o National Equipment Services, Inc. 120,600 754
Enesco Group, Inc. 68,100 753
Redwood Trust, Inc. REIT 60,200 753
o CSS Industries, Inc. 35,100 750
Associated Estates Realty Corp. REIT 96,000 750
Tanger Factory Outlet Centers, Inc. REIT 36,100 749
o American Axle & Manufacturing Holdings, Inc. 61,600 747
o Sierra Health Services 111,200 744
o Silgan Holdings, Inc. 55,600 744
o Aurora Foods Inc. 79,700 742
Prime Group Realty Trust REIT 48,800 741
o 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
o Mesa Air Group Inc. 154,800 735
o WetSeal, Inc. Class A 60,000 735
o Waste Connections, Inc. 50,800 733
Cubic Corp. 33,500 733
o The Ashton Technology Group, Inc. 113,700 732
Strayer Education, Inc. 37,050 732
o Burns International Services Corp. 67,400 729
o 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
o TransMontaigne Inc. 103,500 725
MMI Cos., Inc. 83,900 724
o Osteotech, Inc. 54,100 724
o A.S.V., Inc. 53,100 723
o OnHealth Network Co. 80,900 723
Apogee Enterprises, Inc. 142,700 722
Crown American Realty Trust REIT 130,800 719
o LaserSight Inc. 71,700 717
o Serologicals Corp. 119,050 714
o PictureTel Corp. 165,400 713
o Octel Corp. 68,375 709
o ABC-NACO, INC. 85,900 709
o Duramed Pharmaceuticals, Inc. 99,400 708
o autobytel.com inc. 46,500 706
o United Natural Foods, Inc. 58,700 704
o EEX Corp. 239,466 703
o The Buckle, Inc. 47,300 701
o Sunrise Medical, Inc. 113,200 700
Standard Motor Products, Inc. 43,400 700
o PubliCARD, Inc. 106,500 699
Oxford Industries, Inc. 35,200 697
<PAGE>
o The Gymboree Corp. 123,800 696
o Miller Industries, Inc. 241,250 694
o Action Performance Cos., Inc. 60,200 692
A.M. Castle & Co. 57,725 685
o American Retirement Corp. 85,900 682
o Risk Capital Holdings, Inc. 53,900 680
o Earthshell Corp. 164,500 679
o David's Bridal Inc. 60,100 672
bebe stores, inc. 24,900 672
Watkins-Johnson Co. 16,800 672
o Arcadia Financial Ltd. 150,500 668
o Applied Graphics Technologies, Inc. 77,300 667
Heilig-Meyers Co. 240,400 661
o Latitude Communications, Inc. 25,300 661
o Lithia Motors, Inc. 36,600 654
o 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
o LCA-Vision, Inc. 136,000 638
o RTI International Metals 85,000 638
o 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
o U S Liquids Inc. 75,600 633
o NationsRent, Inc. 112,500 633
o Spiegel, Inc. Class A 90,000 633
Nature's Sunshine Inc. 78,982 632
o Kellstrom Industries, Inc. 69,100 631
Columbus McKinnon Corp. 62,200 630
o eShare Technologies, Inc. 36,800 628
Second Bancorp, Inc. 27,900 624
o Seitel, Inc. 91,200 616
o CDnow Inc. 62,121 613
o Aviall Inc. 74,875 613
o Algos Pharmaceutical Corp. 55,500 611
o Tractor Supply Co. 38,000 608
o Lydall, Inc. 91,600 607
Getty Realty Holding Corp. 54,100 605
o Coleman Inc. 64,900 604
Northwest Bancorp, Inc. 86,600 601
o ACT Networks, Inc. 64,500 601
o 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
o AMC Entertainment, Inc. 68,400 590
o Thermo Cardiosystems Inc. 89,600 588
Fedders Corp. 106,700 587
o Wackenhut Corrections Corp. 49,500 579
Interpool, Inc. 77,450 576
o PhyCor, Inc. 306,100 574
o Fidelity Holdings, Inc. 30,300 574
<PAGE>
o J & J Snack Foods Corp. 27,600 566
o Schein Pharmaceutical, Inc. 46,500 564
o Jo-Ann Stores, Inc. Class A 49,300 555
o OEA, Inc. 113,300 552
General Binding Corp. 46,900 551
o Goody's Family Clothing 102,300 550
o Closure Medical Corp. 42,700 550
o Superior Consultant Holdings Corp. 38,500 549
o Pediatrix Medical Group, Inc. 77,800 545
o Engineering Animation, Inc. 62,100 543
o HomeBase, Inc. 177,200 543
o Wavo Corp. 139,600 541
Saul Centers, Inc. REIT 38,300 539
RPC Inc. 93,600 538
o General Cigar Holdings, Inc. 64,100 533
Exide Corp. 64,000 532
o Cotelligent, Inc. 97,800 526
o ThermoQuest Corp. 50,200 518
o SS&C Technologies, Inc. 79,500 517
o Advantage Learning Systems, Inc. 46,100 516
Herbalife International Class A 35,800 515
o U.S. Office Products Co. 164,600 514
o AgriBioTech, Inc. 216,300 514
Rouge Industries Inc. 65,200 513
o Service Experts, Inc. 88,100 512
o Donna Karan International Inc. 77,600 509
Value Line, Inc. 14,100 508
o uBid, Inc. 19,100 506
o Merisel, Inc. 384,500 505
o Pharmaceutical Resources, Inc. 100,800 498
o iTurf Inc. 40,000 498
Hudson River Bancorp. Inc. 48,900 495
o AEP Industries, Inc. 19,100 492
o Coldwater Creek Inc. 23,800 488
o Acceptance Insurance Cos. Inc. 83,800 487
o Finish Line, Inc. 88,700 482
First Commerce Bancshares Inc. Class B 24,272 478
Avado Brands, Inc. 112,250 474
o NPC International Class A 59,700 470
o RWD Technologies, Inc. 45,300 470
Chart Industries, Inc. 117,450 470
o Hexcel Corp. 84,000 467
Pilgrim's Pride Corp. 56,200 467
o Credit Acceptance Corp. 126,600 467
o West Marine, Inc. 56,500 466
o Bacou USA Inc. 30,800 464
o Amtran, Inc. 23,900 463
o MacroChem Corp. 110,080 461
o Cornell Corrections, Inc. 54,600 457
o IRI International Corp. 114,200 457
o Keystone Automotive Industries, Inc. 77,700 456
o JLK Direct Distribution Inc. Class A 43,800 452
o Republic Bancshares, Inc. 36,100 451
o Syntroleum Corp. 55,500 451
o Mediconsult.com, Inc. 70,800 443
<PAGE>
o Hemispherx Biopharma, Inc. 44,300 440
Frontier Insurance Group, Inc. 125,732 432
o Select Comfort Corp. 106,200 431
o Carmike Cinemas, Inc. Class A 54,400 425
o 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
o Berlitz International, Inc. 23,700 407
o Kenneth Cole Productions, Inc. 8,900 407
o Creative Computers, Inc. 55,600 407
o Eclipse Surgical Technologies, Inc. 54,000 398
o Marvel Enterprises Inc. 71,400 393
o MarketWatch.com, Inc. 10,600 387
o Dave & Busters 46,400 380
o Belco Oil & Gas Corp. 68,900 379
o Tarrant Apparel Group, Inc. 39,000 375
o dELiA*s Inc. 51,700 375
o Carriage Services, Inc. 62,900 373
o U.S. Xpress Enterprises, Inc. 50,600 373
o Media Metrix, Inc. 10,200 365
o 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
o Capital Senior Living Corp. 68,100 345
o Jo-Ann Stores, Inc. Class B 33,900 341
o Manhattan Associates, Inc. 45,900 339
Terra Industries, Inc. 206,400 335
o CHS Electronics, Inc. 296,800 334
o Catapult Communications Corp. 33,200 330
o INSpire Insurance Solutions, Inc. 70,100 322
o Harken Energy Corp. 425,700 319
Andover Bancorp, Inc. 11,400 319
o Careerbuilder, Inc. 49,500 319
o Applied Analytical Industries, Inc. 34,600 316
o Gliatech Inc. 18,700 311
o Creditrust Corp. 40,300 310
FCNB Corp. 20,300 310
o Maxwell Technologies, Inc. 30,200 302
o theglobe.com, inc. 35,800 300
LSI Industries Inc. 13,800 298
o Paging Network, Inc. 365,300 297
Herbalife International Class B 22,134 296
o eFax.com, Inc. 39,600 286
First Busey Corp. 12,600 285
o Omega Research, Inc. 47,400 284
o NCS HealthCare, Inc. 116,321 280
Peoples Holding Co. 9,400 271
o Mannatech, Inc. 51,700 268
o Amresco, Inc. 189,400 266
o Mpath Interactive, Inc. 9,700 258
<PAGE>
o FiNet.com, Inc. 195,700 257
o e4L, Inc. 101,400 254
o Autoweb.com, Inc. 22,900 249
o FlashNet Communications, Inc. 38,000 235
o U.S. Franchise Systems, Inc. Class A 51,800 233
o Protection One, Inc. 118,500 230
o Family Golf Centers, Inc. 161,000 226
o CareMatrix Corp. 87,700 219
o Valley Media, Inc. 30,700 215
o Alaris Medical, Inc. 110,800 208
o Trex Medical Corp. 72,700 204
First Commerce Bancshares Inc. Class A 8,900 198
o CellNet Data Systems, Inc. 175,300 197
NCH Corp. 4,400 196
o Advantica Restaurant Group, Inc. 105,100 184
CPB, Inc. 6,400 182
o Value America, Inc. 35,400 179
Mississippi Valley Bancshares, Inc. 6,000 162
o Penn Treaty American Corp. 10,200 161
Ingles Markets, Inc. 14,200 158
CompX International Inc. 8,500 156
o Prism Financial Corp. 27,600 155
Deb Shops, Inc. 8,300 154
o Direct Focus, Inc. 5,500 153
Conning Corp. 17,200 142
o 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
o Harnischfeger Industries Inc. 272,100 111
o K-V Pharmaceutical Co. Class A 5,000 110
o NetObjects Inc. 5,900 97
Dover Downs Entertainment, Inc. 5,000 94
o Thermo Optek Corp. 7,900 90
Pillowtex Designs 14,400 89
R & G Financial Corp. Class B 7,000 81
o Proxymed Pharmacy, Inc. 8,000 78
McGrath Rent Corp. 3,800 67
o Cheap Tickets, Inc. 4,800 66
o Unistar Financial Service Corp. 65,300 65
Farmers Capital Bank Corp. 2,000 60
Republic Bancorp, Inc. Class A 6,400 55
o BriteSmile, Inc. 5,800 47
o O'Sullivan Industries Holdings,
Inc. 12% Pfd. 79,800 41
o Hub Group, Inc. 2,000 40
o Neff Corp. 6,000 38
Wackenhut Corp. Class B 3,656 38
o Just for Feet, Inc. 148,450 37
o ContiFinancial Corp. 143,800 34
o 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
<PAGE>
o ProcureNet, Inc. 136,100 20
o Integrated Health Services, Inc. 202,000 18
J.M. Smucker Co. Class B 1,000 16
o CSF Holdings Inc. Contingent
Litigation Rights 29,125 15
o PSINet, Inc. 142 9
o Sabratek Corp. 78,200 6
o United Cos. Finance Corp. 74,602 4
TOTAL COMMON STOCKS ---------------
(Cost $3,365,520) 3,953,813
---------------
TEMPORARY CASH INVESTMENTS (4.9%)(1)
Face
Amount
(000)
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
===============
*See Note A in Notes to Financial Statements.
oNon-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.
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
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
<PAGE>
---------------
(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
===============
<PAGE>
<TABLE>
<CAPTION>
<S>
Statement of Operations Small-Cap
Index Fund
Year Ended December 31,
1999 1998
(000) (000)
----------------------------
<S> <C> <C>
INVESTMENT INCOME
Income
Dividends $ 42,800 $ 38,503
Interest 2,121 5,515
Security Lending 3,116 2,866
----------------------------
Total Income 48,037 46,884
----------------------------
Expenses
The Vanguard Group-Note B
Investment Advisory Services 167 100
Management and Administrative 2,628 2,399
Shareholder Account Maintenance-Investor Shares 3,573 3,142
Shareholder Account Maintenance-Institutional Shares 17 26
Marketing and Distribution-Investor Shares 556 769
Marketing and Distribution-Institutional Shares 38 33
Custodian Fees 87 86
Auditing Fees 9 10
Shareholders' Reports-Investor Shares 479 102
Shareholders' Reports-Institutional Shares 33 --
Annual Meeting and Proxy Costs-Investor Shares -- 13
Annual Meeting and Proxy Costs-Institutional Shares -- --
Trustees' Fees and Expenses 5 6
----------------------------
Total Expenses 7,592 6,686
Expenses Paid Indirectly-Note C (17) (4)
----------------------------
Net Expenses 7,575 6,682
----------------------------
----------------------------
NET INVESTMENT INCOME 40,462 40,202
----------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 332,397 214,448
Futures Contracts 6,983 (14,904)
----------------------------
REALIZED NET GAIN (LOSS) 339,380 199,544
----------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 346,530 (325,432)
Futures Contracts (6,804) 6,575
----------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 339,726 (318,857)
----------------------------
----------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 719,568 $ (79,111)
============================
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Statement of Changes in Net Assets Small-Cap
Index Fund
Year Ended December 31,
1999 1998
(000) (000)
--------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations
Net Investment Income $ 40,462 $ 40,202
Realized Net Gain (Loss) 339,380 199,544
Change in Unrealized Appreciation (Depreciation) 339,726 (318,857)
Net Increase (Decrease) in Net Assets
--------------------------
Resulting from Operations 719,568 (79,111)
--------------------------
Distributions
Net Investment Income
Investor Shares (36,613) (37,309)
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)
--------------------------
Capital Share Transactions-Investor Shares (1)
Issued 1,052,299 970,360
Issued in Lieu of Cash Distributions 294,319 207,350
Redeemed (884,294) (765,726)
--------------------------
Net Increase-Investor Shares 462,324 411,984
--------------------------
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
Net Assets
Beginning of Period 3,032,356 2,789,294
--------------------------
End of Period $ 3,967,793 $ 3,032,356
==========================
(1) Shares Issued (Redeemed)-Investor Shares
Issued 47,908 42,704
Issued in Lieu of Cash Distributions 13,196 10,127
Redeemed (41,158) (33,911)
--------------------------
Net Increase in Shares Outstanding 19,946 18,920
==========================
(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>
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights
<S> <C> <C>
Small-Cap Index Fund Investor Shares
Year Ended December 31,
For a Share Outstanding Throughout Each Year 1999 1998
----------------------------
----------------------------
Net Asset Value, Beginning of Year $21.20 $23.75
----------------------------
Investment Operations
Net Investment Income 0.256 0.311
Net Realized and Unrealized Gain (Loss) on Investments 4.491 (1.007)
----------------------------
Total from Investment Operations 4.747 (0.696)
----------------------------
Distributions
Dividends from Net Investment Income (0.267) (0.304)
Distributions from Realized Capital Gains (2.080) (1.550)
----------------------------
Total Distributions (2.347) (1.854)
----------------------------
----------------------------
Net Asset Value, End of Year $23.60 $21.20
============================
Total Return* 23.13% -2.61%
============================
Ratios/Supplemental Data
Net Assets, End of Year (Millions) $3,553 $2,768
Ratio of Total Expenses to Average Net Assets 0.25% 0.24%
Ratio of Net Investment Income to Average Net Assets 1.25% 1.39%
Portfolio Turnover Rate 42% 35%
*Total return figures do not reflect the 0.5% transaction ============================
fee on purchases or the $10 annual account maintenance fee
applied on balances under $10,000.
</TABLE>
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
<S> <C> <C>
Small-Cap Index Fund Institutional Shares
Year Ended December 31,
For a Share Outstanding Throughout Each Year 1999 1998
---------------------------
---------------------------
Net Asset Value, Beginning of Year $21.20 $23.75
---------------------------
Investment Operations
Net Investment Income 0.295 0.336
Net Realized and Unrealized Gain (Loss) on Investments 4.491 (1.007)
---------------------------
Total from Investment Operations 4.786 (0.671)
---------------------------
Distributions
Dividends from Net Investment Income (0.296) (0.329)
Distributions from Realized Capital Gains (2.080) (1.550)
---------------------------
Total Distributions (2.376) (1.879)
---------------------------
---------------------------
Net Asset Value, End of Year $23.61 $21.20
===========================
Total Return* 23.33% -2.50%
===========================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $415 $264
Ratio of Total Expenses to Average Net Assets 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 1.37% 1.53%
Portfolio Turnover Rate 42% 35%
===========================
*Total return figures do not reflect the 0.5% transaction fee on purchases.
</TABLE>
<PAGE>
Report of Independent Accountants
To the Shareholders and Trustees of
Vanguard Small Cap Index Fund
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 Small Cap Index Fund (the "Fund") at December 31, 1999, the results of
its operations, the changes in its net assets and the financial highlights for
each of the two 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.
PricewaterhouseCoopers LLP
Thirty South Seventeenth Street
Philadelphia, PA 19103
February 2, 2000
