<PAGE>
ANNUAL REPORT SEPTEMBER 30, 2000
Prudential
Stock Index Fund
Fund Type Stock
Objective Provide investment results that
correspond to the price and yield performance of
the S&P 500 Index
(GRAPHIC)
This report is not authorized for distribution to
prospective investors unless preceded or
accompanied by a current prospectus.
The views expressed in this report and information
about the Fund's portfolio holdings are for the
period covered by this report and are subject to
change thereafter.
(LOGO)
<PAGE>
Investment Goals and Style
The Prudential Stock Index Fund seeks to provide
investment results that correspond to the price and
yield performance of the Standard & Poor's 500
Composite Stock Price Index (S&P 500 Index). The
S&P 500 Index is widely regarded as representative
of the performance of the U.S. stock market as a
whole, and comprises stocks representing more than
80% of the total market value of all publicly
traded U.S. common stocks. The difference between
the Fund's return and that of the Index is primarily
management fees and expenses. There can be no
assurance that the Fund will achieve its investment
objective.
S&P 500 Index As of 9/30/00
(GRAPH)
Source: Standard & Poor's.
The S&P 500 Index, composed of stocks representing
approximately 80% of the total market value of all
publicly traded U.S. common stocks, is widely
regarded as representative of the performance of
the U.S. stock market as a whole."Standard &
Poor'sR", "S&PR", "S&P 500R", "Standard & Poor's
500", and "500" are trademarks of The McGraw-Hill
Companies, Inc., and have been licensed for use by
Prudential, its affiliates and subsidiaries. The
Prudential Stock Index Fund is not sponsored,
endorsed, sold, or promoted by S&P, and S&P makes
no representation regarding the advisability of
investing in the Fund. The performance cited does
not represent the performance of the Prudential
Stock Index Fund. Past performance is not indicative
of future results. Investors cannot invest directly
in an index.
<PAGE>
www.prudential.com (800) 225-1852
Performance at a Glance
Cumulative Total Returns1 As of 9/30/00
<TABLE>
<CAPTION>
One Five Since
Year Years Inception2
<S> <C> <C> <C>
Class A N/A N/A 1.68%
Class B N/A N/A 1.01
Class C N/A N/A 1.01
Class Z 13.28% (13.24) 161.47% (161.07) 289.49% (288.88)
Class I 13.38 (13.34) N/A 57.17 (56.98)
Lipper S&P 500 Index
Fund Avg.3 12.65 161.02 **
S&P 500 Index4 13.27 166.77 ***
</TABLE>
Average Annual Total Returns1 As of 9/30/00
<TABLE>
<CAPTION>
One Five Since
Year Years Inception2
<S> <C> <C> <C>
Class A N/A N/A N/A
Class B N/A N/A N/A
Class C N/A N/A N/A
Class Z 13.28% (13.24) 21.20% (21.16) 18.78% (18.75)
Class I 13.38 (13.34) N/A 15.36 (15.31)
</TABLE>
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost.
1 Source: Prudential Investments Fund Management
LLC and Lipper Inc. The cumulative total returns do
not take into account sales charges. The average
annual total returns do take into account
applicable sales charges. Class B shares are
subject to a declining contingent deferred sales
charge (CDSC) of 5%, 4%, 3%, 2%, 1%, and 1% for six
years. Class B shares will automatically convert to
Class A shares, on a quarterly basis, approximately
seven years after purchase. Class C shares are
subject to a front-end sales charge of 1% and a
CDSC of 1% for 18 months. Class A shares are not
subject to a sales charge. Class Z and Class I
shares are not subject to a sales charge or
distribution and service (12b-1) fees. Without
waiver of management fees and/or expense
subsidization, the Fund's cumulative and average
annual total returns would have been lower, as
indicated in parentheses ( ).
2 Inception dates: Class A, B, and C, 11/18/99;
Class Z, 11/5/92; and Class I, 8/1/97. For Class A,
B, and C, the Lipper reporting period begins
11/30/99; for Class Z, 10/31/92; and for Class I,
7/31/97.
3 Lipper average returns are for all funds in each
share class for the one- and five-year periods in
the S&P 500 Index Fund category. The Lipper average
is unmanaged. S&P 500 Index funds are passively
managed, have limited expenses, and are designed to
replicate the performance of the S&P 500 Index on a
reinvested basis.
4 The S&P 500 Index is an unmanaged index of 500
stocks of large U.S. companies that gives a broad
look at how stock prices have performed. These
returns do not include the effect of any operating
expenses of a mutual fund, and the returns would be
lower if they included the effect of operating
expenses. Investors cannot invest directly in an
index.
**Lipper Since Inception returns are 3.88% for
Class A, B, and C; 291.83% for Class Z; and 54.89%
for Class I; based on all funds in each share
class.
***The S&P 500 Since Inception returns are 4.41%
for Class A, B, and C; 303.88% for Class Z; and
57.21% for Class I.
1
<PAGE>
(LOGO) November 15, 2000
Dear Shareholder,
For the 12 months ended September 30, 2000, the
Prudential Stock Index Fund Class Z shares
generated a return of 13.28%, in line with its
benchmark, the S&P 500 Index. The speculative
bubble that grew in technology, telecommunications,
and biotechnology stocks during the first half of
the period finally burst in April and May,
prompting investors to place renewed emphasis on
shares with solid earnings prospects. In addition,
defensive sectors of the market, such as utilities
and healthcare, rebounded as it became increasingly
clear over the summer that the economy was slowing.
While the rotation to defensive stocks undoubtedly
caught some actively managed funds off guard, the
Fund was well positioned for this development with
market weightings in the best performing sectors.
Increasingly rapid shifts of investment capital
among the market's various sectors make it
important to be ready when the current favorites
make their moves. With its broad diversification,
an index fund is an ideal investment vehicle to
take advantage of these sudden shifts.
Thank you for your confidence in Prudential mutual
funds.
Sincerely,
David R. Odenath, Jr., President
Prudential Stock Index Fund
2
<PAGE>
Prudential Stock Index Fund
Annual Report September 30, 2000
Investment Adviser's Report
Slowing economy creates uncertainty for stocks
The stock market experienced a number of important
transitions during the past year. At the beginning
of the period, the market was preparing to embark
on a vigorous year-end rally led by technology,
telecommunications, and biotechnology stocks. These
stocks forged ahead in spite of the Federal Reserve
Board's (the Fed's) campaign to raise interest
rates in order to keep economic growth under
control and prevent a resurgence of inflation. The
more speculative elements of the market remained
strong after the new year, but many stocks began to
weaken in January and February, when it became
clear that the Fed did not intend to stop at three
rate hikes to offset the trio of rate reductions
that occurred during the credit crunch of 1998. Fed
officials hiked rates in November, February, and
March, raising the discount rate and the target
federal funds rate by 0.25% each time.
After one final upside blowout in March, the market
established a temporary plateau, then "fell out of
bed" on April 14, when the S&P 500 Index and the
Dow Jones Industrial Average experienced one-day
drops exceeding 5%. Overall, though, those two
indexes held up better than the technology-heavy
Nasdaq Composite Index, which plunged 37.3% from
its March peak through its May bottom. Around the
time that the Nasdaq reached its lows, the Fed once
again boosted interest rates, this time by an
increment of 0.50%. This increase brought the total
number of rate hikes to six since June 1999.
Following the May increase, a modest relief rally
occurred in stocks, as investors began to suspect
that the Fed was finished raising rates, at least
temporarily. One lingering effect of the recent
volatility, however, was a renewed emphasis on
stocks with solid earnings prospects and an
avoidance of more speculative securities whose main
appeal was an intriguing business concept tied
somehow to the Internet. The prospect of stable
interest rates triggered a rotation of funds into
financial stocks, many of which tend to perform
well when rates are steady or falling. Investment
brokerages were
3
<PAGE>
Prudential Stock Index Fund
Annual Report September 30, 2000
standout performers, helped by several high-profile
merger announcements over the summer. Insurance
stocks, ignored for many months as investors
pursued apparently more glamorous investments, also
did well.
Although the revised data for second-quarter GDP
growth came in at a robust 5.6%, late summer
predictions for the third quarter were clustered
around the considerably more modest 3.5% mark. The
prospect of slower economic growth prompted the
rebound of defensive sectors such as utilities and
healthcare. Biotechnology continued to do well,
with many stocks surpassing the highs established
prior to the spring correction. There was also
renewed interest in hospital management and HMO
stocks.
For most of the summer, investors remained hopeful
that the goal of a soft landing (slower growth
without a recession) could be achieved, and that
stocks in market-leading sectors such as technology
would be able to maintain their rapid rates of
earnings growth. In August, amid signs that its
campaign to slow the economy was producing the
desired result, the Fed left short-term interest
rates unchanged, fueling investors' optimism. Our
benchmark index managed to push tentatively higher
from late July through the end of August, finishing
the latter not far from its all-time highs.
In September, investor sentiment turned decidedly
more negative as fears of a slowing economy
overshadowed relief that interest rates had
stabilized. Of particular concern for the
technology sector was the growing evidence of a
slowdown in the demand for personal computers. A
warning from technology bellwether Intel that its
third-quarter revenue growth would be substantially
below previous estimates added to the market's
woes. Higher crude oil prices also affected the
market, boosting the prospects for energy
exploration and production companies and drillers
but hurting companies for which energy is a
significant cost of doing business. In September,
oil flirted with the $35 per barrel mark, prompting
protests in Europe and a decision by President
Clinton to release some of the U.S. Strategic
Petroleum Reserve. The S&P 500 Index responded by
trending lower for most of the month.
4
<PAGE>
www.prudential.com (800) 225-1852
Looking ahead
The full effects of higher interest rates are only
now beginning to be felt in the economy. Those
investors who assumed that it would be business as
usual once the Fed stopped raising rates might be
surprised to see many of their favorite companies
scaling back their earnings forecasts. In truth,
there is no way for even Fed officials to be
certain how far-reaching their actions will be, and
whether they will overshoot or undershoot their
targets for economic growth. In the short term,
therefore, stocks may be in for a choppy period as
market participants readjust their expectations and
as more economic data becomes available to fine-
tune forecasts of what's to come.
Our long-term outlook remains positive, however.
Interest rates are still low by historical
standards, and inflation remains subdued, though
rising. Indications at this point still point to a
slowdown without recession, which would be a
positive environment for many S&P 500 companies.
Furthermore, we have the advantage of a Fed that
has demonstrated a remarkable ability to stay ahead
of the curve when it comes to managing the economy.
Finally, active sector rotation in the market
continues to provide a favorable backdrop for
broadly based index funds such as ours, which, by
maintaining market weightings in a variety of
sectors, are well positioned to participate in
whatever sectors are in favor at the moment.
Prudential Stock Index Fund Management Team
5
<PAGE>
Prudential Stock Index Fund
Annual Report September 30, 2000
Financial
Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
<C> <S> <C> <C>
------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS 96.1%
Common Stocks
-------------------------------------------------------------------------------------
Advertising
16,300 Young & Rubicam, Inc. $ 806,850
-------------------------------------------------------------------------------------
Aerospace/Defense 1.3%
180,584 Boeing Co. 11,376,792
42,006 General Dynamics Corp. 2,638,502
83,556 Lockheed Martin Corp. 2,754,006
14,920 Northrop Grumman Corp. 1,355,855
158,215 Honeywell International Inc. 5,636,409
68,744 Raytheon Co. 1,954,907
37,863 Rockwell International Corp. 1,145,356
93,320 United Technologies Corp. 6,462,410
----------------
33,324,237
-------------------------------------------------------------------------------------
Airlines 0.2%
28,149 AMR Corp.(a) 920,120
26,684 Delta Airlines, Inc. 1,184,103
99,083 Southwest Airlines Co. 2,402,763
16,821 USAir Group, Inc.(a) 511,989
----------------
5,018,975
-------------------------------------------------------------------------------------
Aluminum 0.2%
45,929 Alcan Aluminum Ltd. 1,329,070
163,144 ALCOA, Inc. 4,129,583
----------------
5,458,653
-------------------------------------------------------------------------------------
Automobiles & Trucks 0.8%
6,579 Cummins Engine Co., Inc. 196,959
35,740 Dana Corp. 768,410
111,184 Delphi Automotive Systems Corp. 1,681,658
372,463 Ford Motor Co. 9,427,970
110,478 General Motors Corp. 7,181,070
38,799 Genuine Parts Co. 739,606
17,776 Johnson Controls, Inc. 945,461
</TABLE>
See Notes to Financial Statements 7
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
10,760 Navistar International Corp.(a) $ 322,127
31,370 Visteon Corp. 474,471
----------------
21,737,732
-------------------------------------------------------------------------------------
Banking 5.3%
79,900 AmSouth Bancorporation 998,750
146,786 Associates First Capital Corp. 5,577,868
333,767 Bank of America Corp. 17,481,047
145,436 Bank of New York Co., Inc. 8,153,506
225,316 Bank One Corp. 8,702,830
40,367 Capital One Financial 2,828,213
31,605 Charter One Financial, Inc. 770,372
251,676 Chase Manhattan Corp. 11,624,285
31,361 Comerica, Inc. 1,832,658
92,796 Fifth Third Bancorp 4,999,384
193,549 First Union Corp. 6,229,858
191,664 Firstar Corporation Wisconsin 4,288,482
183,826 FleetBoston Financial Corp. 7,169,214
34,692 Golden West Financial Corp. 1,860,359
54,429 Huntington Bancshares, Inc. 799,426
33,690 J.P. Morgan & Co., Inc. 5,504,104
86,935 KeyCorp 2,200,542
101,346 Mellon Financial Corp. 4,699,921
121,198 National City Corp. 2,681,506
43,162 Northern Trust Corp. 3,836,023
28,140 Old Kent Financial Corp. 814,301
59,436 PNC Bank Corp. 3,863,340
27,301 Providian Financial Corp. 3,467,227
35,900 SouthTrust Corp. 1,128,606
32,331 State Street Corp. 4,203,030
36,577 Summit Bancorp 1,261,907
62,683 Suntrust Banks, Inc. 3,122,397
149,458 U.S. Bancorp 3,400,169
29,400 Union Planters Corp. 972,038
327,240 Wells Fargo & Co. 15,032,587
----------------
139,503,950
</TABLE>
8 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Beverages 2.1%
10,347 Adolph Coors Co. $ 653,801
179,654 Anheuser Busch Companies, Inc. 7,601,610
15,138 Brown-Forman Corp. 828,806
493,932 Coca-Cola Co. 27,228,001
83,400(c) Coca-Cola Enterprises Inc. 1,329,188
289,181 PepsiCo, Inc. 13,302,326
83,621 Seagram Co., Ltd. 4,802,981
----------------
55,746,713
-------------------------------------------------------------------------------------
Chemicals 0.7%
46,832 Air Products & Chemicals, Inc. 1,685,952
129,582 Dow Chemical Co. 3,231,451
207,944 E.I. du Pont de Nemours & Co. 8,616,679
14,693 Eastman Chemical Co. 542,723
5,273 FMC Corp.(a) 353,621
17,731 Hercules, Inc. 250,450
42,970 Rohm & Haas Co. 1,248,816
18,516 Sigma-Aldrich Corp. 611,028
26,153 Union Carbide Corp. 987,276
----------------
17,527,996
-------------------------------------------------------------------------------------
Chemical-Specialty 0.1%
21,704 Engelhard Corp. 352,690
10,890 Great Lakes Chemical Corp. 319,213
31,579 Praxair, Inc. 1,180,265
23,944 W. R. Grace & Co. 164,615
----------------
2,016,783
-------------------------------------------------------------------------------------
Commercial Services
31,100 Convergys Corp.(a) 1,209,012
-------------------------------------------------------------------------------------
Computer Hardware 2.5%
513,640 Dell Computer Corp.(a) 15,826,533
63,392 Gateway, Inc.(a) 2,963,576
</TABLE>
See Notes to Financial Statements 9
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
355,634 International Business Machines Corp. $ 40,008,825
20,300 NCR Corp.(a) 767,594
112,919 Palm, Inc.(a) 5,977,650
----------------
65,544,178
-------------------------------------------------------------------------------------
Computer Software & Services 12.5%
24,510 Adobe Systems, Inc. 3,805,177
41,700 American Power Conversion Corp.(a) 800,119
12,105 Autodesk, Inc. 307,164
123,678 Automatic Data Processing, Inc. 8,270,966
46,900 BMC Software, Inc.(a) 896,963
39,485 Cabletron Systems, Inc.(a) 1,159,872
33,190 Ceridian Corp.(a) 931,394
1,410,744 Cisco Systems, Inc.(a) 77,943,606
35,200 Citrix Systems Inc.(a) 706,200
115,258 Computer Associates International, Inc. 2,903,061
33,951 Computer Sciences Corp.(a) 2,520,862
72,000 Compuware Corp.(a) 603,000
434,604 EMC Corp.(a) 43,080,121
82,232 First Data Corp. 3,212,187
36,520 KLA Instruments Corp.(a) 1,504,168
15,800 Mercury Interactive Corp.(a) 2,476,650
111,416 Micron Technology, Inc. 5,125,136
1,052,306 Microsoft Corp.(a) 63,467,206
67,102 Novell, Inc.(a) 666,826
568,520 Oracle Corp.(a) 44,770,950
62,779 Parametric Technology Co.(a) 686,645
57,700 PeopleSoft, Inc.(a) 1,611,994
23,800 Sapient Corp.(a) 968,363
44,165 Seagate Technology, Inc.(a) 3,047,385
79,600 Siebel Systems Inc.(a) 8,860,475
318,448 Sun Microsystems, Inc.(a) 37,178,804
3,305 SYNAVANT Inc.(a) 22,102
77,500(c) VERITAS Software Corp. 11,005,000
----------------
328,532,396
</TABLE>
10 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Construction 0.1%
13,537 Fluor Corp. $ 406,110
7,791 Kaufman & Broad Home Corp. 209,870
6,743 Pulte Corp. 222,519
21,500 Vulcan Materials Co. 864,031
----------------
1,702,530
-------------------------------------------------------------------------------------
Containers 0.1%
4,758 Ball Corp. 150,769
13,305 Bemis Co., Inc. 427,423
23,176 Crown Cork & Seal Co., Inc.(a) 247,694
27,126 Owens-Illinois, Inc.(a) 250,915
35,258 Pactiv Corp.(a) 394,449
----------------
1,471,250
-------------------------------------------------------------------------------------
Cosmetics & Soaps 1.3%
16,857 Alberto-Culver Co. 485,692
52,472 Avon Products, Inc. 2,144,793
46,032 Clorox Co. 1,821,141
114,730 Colgate-Palmolive Co. 5,415,256
210,139 Gillette Co. 6,488,042
22,975 International Flavors & Fragrances, Inc. 419,294
257,819 Procter & Gamble Co. 17,273,873
----------------
34,048,091
-------------------------------------------------------------------------------------
Diversified Gas 0.2%
43,203 Coastal Corp. 3,202,422
4,308 Eastern Enterprises, Inc. 274,904
7,423 NICOR, Inc. 268,620
5,576 Oneok, Inc. 221,646
----------------
3,967,592
-------------------------------------------------------------------------------------
Drugs & Medical Supplies 10.4%
309,174 Abbott Laboratories 14,705,088
26,182 Allergan, Inc. 2,210,743
21,703 ALZA Corp.(a) 1,877,310
262,191 American Home Products Corp. 14,830,178
205,224 Amgen, Inc.(a) 14,330,407
</TABLE>
See Notes to Financial Statements 11
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
13,038 Bausch & Lomb, Inc. $ 507,667
57,537 Baxter International, Inc. 4,592,172
50,612 Becton Dickinson & Co. 1,338,055
29,700 Biogen, Inc.(a) 1,811,700
37,782 Biomet, Inc.(a) 1,322,370
83,562 Boston Scientific Corp.(a) 1,373,550
394,614 Bristol-Myers Squibb Co. 22,542,325
12,056 C.R. Bard, Inc. 509,366
54,249 Cardinal Health, Inc. 4,784,084
225,197 Eli Lilly & Co. 18,269,107
60,848 Guidant Corp. 4,301,193
278,874 Johnson & Johnson 26,196,726
17,503 Mallinckrodt, Inc. 798,574
42,400 MedImmune, Inc.(a) 3,275,400
240,958 Medtronic, Inc. 12,484,636
460,844 Merck & Co., Inc. 34,304,075
1,262,062 Pfizer, Inc. 56,713,911
254,401 Pharmacia Corp. 15,311,760
292,024 Schering-Plough Corp. 13,579,116
15,766 St. Jude Medical, Inc.(a) 804,066
20,700 Watson Pharmaceuticals, Inc.(a) 1,342,913
----------------
274,116,492
-------------------------------------------------------------------------------------
Electronics 6.2%
58,924 Advanced Micro Devices, Inc.(a) 1,392,080
91,696 Agilent Technologies, Inc.(a) 4,487,373
80,000 Altera Corp.(a) 3,820,000
71,100 Analog Devices, Inc.(a) 5,870,194
67,112 Apple Computer, Inc. 1,728,134
42,600 Conexant Systems, Inc.(a) 1,783,875
92,100 Electronic Data Systems Corp. 3,822,150
86,675 Emerson Electric Co. 5,807,225
201,018 Hewlett-Packard Co. 19,498,746
1,341,588 Intel Corp. 55,759,751
61,644 LSI Logic Corp.(a) 1,803,087
61,000 Linear Technology Corp. 3,949,750
</TABLE>
12 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
56,400 Maxim Integrated Products, Inc.(a) $ 4,536,675
37,550 Molex Inc. 2,044,128
428,613 Motorola, Inc. 12,108,317
33,476 National Semiconductor Corp.(a) 1,347,409
10,985 PerkinElmer, Inc. 1,146,559
29,600 Sanmina Corp.(a) 2,771,300
118,100 Solectron Corp.(a) 5,447,362
11,312 Tektronix, Inc. 868,903
35,500 Teradyne, Inc.(a) 1,242,500
345,152 Texas Instruments, Inc. 16,286,860
17,733 Thomas & Betts Corp. 309,219
64,400 Xilinx Inc.(a) 5,514,250
----------------
163,345,847
-------------------------------------------------------------------------------------
Financial Services 6.5%
269,459 American Express Co. 16,369,634
25,598 Bear, Stearns & Co., Inc. 1,612,674
267,011 Charles Schwab Corp. 9,478,890
37,000 CIT Group, Inc. 647,500
895,182 Citigroup, Inc.(a) 48,395,777
25,837 Countrywide Mortgage Investments, Inc. 975,347
18,919 Deluxe Corp. 384,292
33,988 Dun & Bradstreet Corp. 1,170,462
29,930 Equifax, Inc. 806,239
141,432 Federal Home Loan Mortgage Corp. 7,646,167
203,634 Federal National Mortgage Association 14,559,831
49,914 Franklin Resources, Inc. 2,217,679
20,680 H&R Block, Inc. 766,453
95,550 Household International Corp. 5,410,519
25,087 Lehman Brothers Holdings, Inc. 3,706,604
162,843 MBNA Corp. 6,269,456
157,434 Merrill Lynch & Co., Inc. 10,390,644
225,836 Morgan Stanley Dean Witter & Co. 20,649,879
32,000 PaineWebber Group, Inc. 2,180,000
74,625 Paychex, Inc. 3,917,813
48,200 Regions Financial Corp. 1,093,538
</TABLE>
See Notes to Financial Statements 13
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
44,800 Stilwell Financial, Inc. $ 1,948,800
59,766 Synovus Financial Corp. 1,266,292
25,400 T. Rowe Price & Associates, Inc. 1,192,212
33,264(c) USA Education Incorporated 1,602,909
115,225 Washington Mutual, Inc. 4,587,395
----------------
169,247,006
-------------------------------------------------------------------------------------
Foods 1.3%
128,767 Archer-Daniels-Midland Co. 1,110,613
56,254 Bestfoods 4,092,479
81,747 Campbell Soup Co. 2,115,204
97,743 ConAgra, Inc. 1,960,969
59,072 General Mills, Inc. 2,097,056
70,114 H.J. Heinz & Co. 2,598,600
27,958 Hershey Foods Corp. 1,513,227
79,170 Kellogg Co. 1,914,924
27,789 Quaker Oats Co. 2,198,805
58,077 Ralston Purina Co. 1,375,699
174,686 Sara Lee Corp. 3,548,309
62,990 Sysco Corp. 2,917,224
114,835 Unilever N. V. 5,540,789
24,352 Wm. Wrigley Jr. Co. 1,823,356
----------------
34,807,254
-------------------------------------------------------------------------------------
Forest Products 0.6%
9,549 Boise Cascade Corp. 253,645
45,623 Fort James Corp. 1,394,353
34,668 Georgia-Pacific Corp. 814,698
93,684 International Paper Co. 2,687,560
109,416 Kimberly-Clark Corp. 6,106,780
29,156 Louisiana-Pacific Corp. 267,871
22,269 Mead Corp. 520,538
8,537 Potlatch Corp. 269,983
10,245 Temple-Inland, Inc. 388,029
22,130 Westvaco Corp. 590,594
</TABLE>
14 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
45,300 Weyerhaeuser Co. $ 1,828,988
21,980 Willamette Industries, Inc. 615,440
----------------
15,738,479
-------------------------------------------------------------------------------------
Gas Distribution
20,400 KeySpan Corp. 818,550
-------------------------------------------------------------------------------------
Gas Pipelines 0.8%
29,297 Cinergy Corp. 968,632
15,506 Columbia Gas System, Inc.(a) 1,100,926
46,259 El Paso Energy Corp. 2,850,711
145,006 Enron Corp. 12,706,151
5,832 Peoples Energy Corp. 194,643
39,398 Sempra Energy 819,971
85,692 Williams Companies, Inc. 3,620,487
----------------
22,261,521
-------------------------------------------------------------------------------------
Health Care 0.1%
19,260 Manor Care, Inc.(a) 302,141
57,576 McKesson HBOC, Inc. 1,759,667
19,000 Quintiles Transnational, Corp.(a) 302,813
12,000 Wellpoint Health Networks, Inc. 1,152,000
----------------
3,516,621
-------------------------------------------------------------------------------------
Hospital Management 0.5%
108,831 HCA-The Healthcare Company 4,040,351
71,749 Healthsouth Corp.(a) 582,961
25,810 Humana, Inc.(a) 277,458
66,110 IMS Health, Inc. 1,371,782
63,448 Tenet Healthcare Corp.(a) 2,307,921
34,506 United Health Group Inc. 3,407,467
----------------
11,987,940
-------------------------------------------------------------------------------------
Housing Related 0.2%
8,804 Armstrong Holdings, Inc. 105,098
10,097 Centex Corp. 324,366
43,100 Leggett & Platt, Inc. 681,519
91,026 Masco Corp. 1,695,359
</TABLE>
See Notes to Financial Statements 15
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
14,518 Maytag Corp. $ 450,966
56,227 Newell Rubbermaid, Inc. 1,282,678
17,714(c) Owens Corning(a) 46,499
14,838 Stanley Works 342,201
12,240 Tupperware Corp. 220,320
16,239 Whirlpool Corp. 631,291
----------------
5,780,297
-------------------------------------------------------------------------------------
Insurance 3.5%
27,493 Aetna Life & Casualty Co. 1,596,312
51,600 AFLAC, Inc. 3,305,625
155,808(c) Allstate Corp. 5,414,328
49,340 American General Corp. 3,848,520
461,476 American International Group, Inc. 44,157,485
50,689 Aon Corp. 1,989,543
34,034 Chubb Corp. 2,692,940
35,397 CIGNA Corp. 3,695,447
34,614 Cincinnati Financial Corp. 1,228,797
55,660(c) Conseco, Inc. 424,408
44,953 ITT Hartford Group, Inc. 3,278,759
21,991 Jefferson-Pilot Corp. 1,492,639
40,030 Lincoln National Corp. 1,926,444
53,170 Marsh & McLennan Companies, Inc. 7,058,317
19,372 MBIA, Inc. 1,377,834
21,720 MGIC Investment Corp. 1,327,635
13,393 Progressive Corp. 1,096,552
23,229 SAFECO Corp. 632,990
46,117 St. Paul Companies, Inc. 2,274,145
23,815 Torchmark Corp. 662,355
50,826 UnumProvident Corp. 1,385,009
40,808 Wachovia Corp. 2,313,303
----------------
93,179,387
-------------------------------------------------------------------------------------
Internet Services 1.3%
459,700 America Online, Inc.(a) 24,708,875
107,700 Yahoo! Inc.(a) 9,800,700
----------------
34,509,575
</TABLE>
16 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Leisure 0.2%
14,899 Brunswick Corp. $ 271,907
120,400 Carnival Corp. 2,964,850
23,724 Harrah's Entertainment, Inc.(a) 652,410
33,154 Hasbro, Inc. 379,199
86,613 Mattel, Inc. 968,983
----------------
5,237,349
-------------------------------------------------------------------------------------
Lodging 0.1%
84,021 Hilton Hotels Corp. 971,493
48,552 Marriott International, Inc. (Class 'A' Stock) 1,769,113
----------------
2,740,606
-------------------------------------------------------------------------------------
Machinery 0.4%
5,264 Briggs & Stratton Corp. 199,045
72,628 Caterpillar, Inc. 2,451,195
17,720 Cooper Industries, Inc. 624,630
45,840 Deere & Co. 1,524,180
41,262 Dover Corp. 1,936,735
14,577 Eaton Corp. 898,308
31,595 Ingersoll-Rand Co. 1,070,280
17,282 PACCAR, Inc. 640,514
24,192 Parker Hannifin Corp. 816,480
10,042 Snap-On, Inc. 236,615
34,202 Thermo Electron Corp.(a) 889,252
9,537 Timken Co. 130,538
----------------
11,417,772
-------------------------------------------------------------------------------------
Media 3.1%
112,138 Clear Channel Communications, Inc.(a) 6,335,797
182,120 Comcast Corp. 7,455,537
19,804 Dow Jones & Co., Inc. 1,198,142
55,489 Gannett Co., Inc. 2,940,917
58,312 Interpublic Group of Companies, Inc. 1,986,252
18,183 Knight-Ridder, Inc. 923,924
38,400 McGraw Hill Companies., Inc. 2,440,800
14,096 Meredith Corp. 415,832
</TABLE>
See Notes to Financial Statements 17
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
35,190 New York Times Co. $ 1,383,407
30,140 R.R. Donnelley & Sons, Co. 740,314
260,616 Time Warner, Inc. 20,393,202
68,627 Tribune Co. 2,993,853
301,552 Viacom, Inc.(a) 17,640,792
409,713 Walt Disney Co. 15,671,522
----------------
82,520,291
-------------------------------------------------------------------------------------
Mineral Resources 0.2%
80,424 Barrick Gold Corp. (ADR) (Canada) 1,226,466
42,628 Freeport-McMoran Copper & Gold, Inc. 375,659
47,684 Homestake Mining Co. 247,361
41,703 INCO Ltd. 672,461
36,897 Newmont Mining Corp. 627,249
18,130 Phelps Dodge Corp. 756,928
64,270 Placer Dome, Inc. 606,548
----------------
4,512,672
-------------------------------------------------------------------------------------
Miscellaneous Basic Industry 6.6%
29,000 Allied Waste Industries, Inc.(a) 266,438
161,944 Applied Materials, Inc.(a) 9,605,303
70,858 BB&T Corp. 2,134,597
137,259 Cendant Corp.(a) 1,492,692
10,383 Crane Co. 237,511
30,000(c) Danaher Corp. 1,492,500
26,941 Ecolab, Inc. 971,560
1 Energizer Holdings, Inc.(a) 23
29,808 Fortune Brands, Inc. 789,912
1,977,972 General Electric Co. 114,104,260
58,700 Harley-Davidson Inc. 2,810,262
61,368 Illinois Tool Works, Inc. 3,428,937
20,786 ITT Industries, Inc. 674,246
21,734 Loews Corp. 1,812,072
10,661 Millipore Corp. 516,392
28,100 Novellus Systems, Inc.(a) 1,308,406
35,767 Omnicom Group, Inc. 2,608,756
22,504 Pall Corp. 448,674
</TABLE>
18 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
42,364 PE Corp.-PE Biosystems Group $ 4,935,406
35,574 PPG Industries, Inc. 1,411,843
17,418(c) Sealed Air Corp. 788,164
30,967 Textron, Inc. 1,428,353
23,749 TRW, Inc. 964,803
338,172 Tyco International Ltd. 17,542,672
20,474 W.W. Grainger, Inc. 538,722
----------------
172,312,504
-------------------------------------------------------------------------------------
Miscellaneous Consumer Growth 1.1%
12,598 American Greetings Corp. 220,465
15,832 Black & Decker Corp. 541,257
57,699 Corning, Inc. 17,136,603
65,165 Eastman Kodak Co. 2,663,619
80,299 Minnesota Mining & Manufacturing Co. 7,317,246
17,369 Polaroid Corp. 233,396
----------------
28,112,586
-------------------------------------------------------------------------------------
Networking
23,900 Adaptec, Inc.(a) 478,000
-------------------------------------------------------------------------------------
Office Equipment & Supplies 1.0%
22,868 Avery Dennison Corp. 1,060,503
338,147 Compaq Computer Corp.(a) 9,326,094
24,352 Lexmark International Group, Inc.(a) 913,200
61,700 Network Appliance, Inc.(a) 7,859,038
78,800 Office Depot, Inc.(a) 615,625
52,025 Pitney Bowes, Inc. 2,051,736
92,950 Staples, Inc.(a) 1,318,728
63,990 Unisys Corp.(a) 719,888
133,098 Xerox Corp. 2,004,789
----------------
25,869,601
-------------------------------------------------------------------------------------
Petroleum 4.9%
19,478 Amerada Hess Corp. 1,303,809
50,918(c) Anadarko Petroleum Corp. 3,384,010
23,987 Apache Corp. 1,418,231
17,145 Ashland Oil, Inc. 577,572
</TABLE>
See Notes to Financial Statements 19
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
44,782 Burlington Resources, Inc. $ 1,648,537
130,562 Chevron Corp. 11,130,410
19,000 Devon Energy Corp. 1,142,850
696,407 Exxon Mobil Corp. 62,067,274
18,459 Kerr-McGee Corp. 1,222,909
74,138 Occidental Petroleum Corp. 1,617,135
47,536 Phillips Petroleum Co. 2,982,884
432,031 Royal Dutch Petroleum Co. (ADR) (Netherlands) 25,894,858
22,414 Sunoco, Inc. 603,777
110,646 Texaco, Inc. 5,808,915
27,000 Tosco Corp. 842,063
41,263 Transocean Sedco Forex Inc. 2,419,043
50,439 Unocal Corp. 1,787,432
64,660 USX-Marathon Corp. 1,834,728
----------------
127,686,437
-------------------------------------------------------------------------------------
Petroleum Services 0.8%
65,679 Baker Hughes, Inc. 2,438,333
124,550 Conoco, Inc. 3,355,066
90,511 Halliburton Co. 4,429,382
7,310 McDermott International, Inc. 80,410
73,352 PG&E Corp. 1,774,201
16,510 Rowan Companies, Inc.(a) 478,790
112,421 Schlumberger, Ltd. 9,253,654
----------------
21,809,836
-------------------------------------------------------------------------------------
Railroads 0.2%
89,523 Burlington Northern, Inc. 1,930,339
44,903 CSX Corp. 979,447
78,411 Norfolk Southern Corp. 1,146,761
49,929 Union Pacific Corp. 1,940,990
----------------
5,997,537
-------------------------------------------------------------------------------------
Restaurants 0.4%
24,902 Darden Restaurants, Inc. 518,273
265,330 McDonald's Corp. 8,009,649
</TABLE>
20 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
32,400 Starbucks Corp.(a) $ 1,298,025
32,966 Tricon Global Restaurants, Inc. 1,009,584
29,179 Wendy's International, Inc. 585,404
----------------
11,420,935
-------------------------------------------------------------------------------------
Retail 5.1%
81,713 Albertson's, Inc. 1,715,973
31,000 AutoZone, Inc. 703,313
59,200 Bed Bath & Beyond, Inc.(a) 1,443,925
39,500 Best Buy Co., Inc. 2,513,188
39,478 Circuit City Stores, Inc. 907,994
32,724 Consolidated Stores Corp.(a) 441,774
87,308 Costco Wholesale Corp. 3,050,323
78,296 CVS Corp. 3,626,083
27,523 Dillards, Inc. 292,432
67,050 Dollar General Corp. 1,123,088
42,575 Federated Department Stores, Inc.(a) 1,112,272
168,013 Gap, Inc. 3,381,262
13,868 Harcourt General, Inc. 818,212
460,984 Home Depot, Inc. 24,460,963
57,584 J.C. Penney Co., Inc. 680,211
102,757 Kmart Corp. 616,542
63,000 Kohl's Corp. 3,634,312
160,434 Kroger Co.(a) 3,619,792
88,822 Limited, Inc. 1,959,635
10,396 Liz Claiborne, Inc. 400,246
13,282 Longs Drug Stores Corp. 254,018
77,074 Lowe's Companies, Inc. 3,458,696
65,571 May Department Stores Co. 1,344,206
53,538 Nike, Inc. 2,144,866
29,700 Nordstrom, Inc. 462,206
37,754 RadioShack Corp. 2,439,852
19,149 Reebok International Ltd. 360,241
100,000 Safeway,Inc.(a) 4,668,750
72,096 Sears, Roebuck & Co. 2,337,352
36,316 Sherwin-Williams Co. 776,255
</TABLE>
See Notes to Financial Statements 21
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
32,212 Supervalu, Inc. $ 485,193
180,082 Target Corp. 4,614,601
25,400 Tiffany & Co. 979,488
63,016 TJX Companies, Inc. 1,417,860
55,407 Toys 'R' Us, Inc.(a) 900,364
891,426 Wal-Mart Stores, Inc. 42,899,876
199,778 Walgreen Co. 7,579,078
35,040 Winn-Dixie Stores, Inc. 503,700
----------------
134,128,142
-------------------------------------------------------------------------------------
Rubber 0.1%
21,899 B.F. Goodrich Co. 858,167
11,588 Cooper Tire & Rubber Co. 116,604
33,571 Goodyear Tire & Rubber Co. 604,278
----------------
1,579,049
-------------------------------------------------------------------------------------
Steel - Producers 0.1%
24,418 Allegheny Teldyne, Inc. 442,576
23,334 Bethlehem Steel Corp.(a) 70,002
18,428 Nucor Corp. 555,144
17,809 USX Corp. - U.S. Steel Group 270,474
13,408 Worthington Industries, Inc. 125,700
----------------
1,463,896
-------------------------------------------------------------------------------------
Telecommunications 6.4%
135,100 ADC Telecommunications, Inc. 3,632,923
64,334 Alltel Corp. 3,357,431
20,422 Andrew Corp.(a) 534,801
43,300 Broadcom Corp. (Class 'A' Stock)(a) 10,554,375
31,050 CenturyTel, Inc. 846,113
29,800 Comverse Technology, Inc.(a) 3,218,400
178,656 Global Crossing Ltd. 5,538,336
185,100 JDS Uniphase Corp.(a) 17,526,656
660,667 Lucent Technologies, Inc. 20,191,635
150,140 Nextel Communications, Inc.(a) 7,019,045
593,860 Nortel Networks Corp. 35,371,786
149,100 Qualcomm, Inc.(a) 10,623,375
</TABLE>
22 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
325,236 Qwest Communications International, Inc.(a) $ 15,631,655
33,476 Scientific-Atlanta, Inc. 2,129,911
173,484 Sprint Corp. (FON Group) 5,085,250
183,192(c) Sprint Corp. (PCS Group)(a) 6,423,170
82,294 Tellabs, Inc.(a) 3,929,538
573,200 Worldcom, Inc.(a) 17,410,950
----------------
169,025,350
-------------------------------------------------------------------------------------
Textiles
7,040 National Service Industries, Inc. 137,720
16,948 Russell Corp. 269,050
4,188 Springs Industries, Inc. 118,049
24,234 V.F. Corp. 598,277
----------------
1,123,096
-------------------------------------------------------------------------------------
Tobacco 0.6%
67,600 Nabisco Group Holding Corp. 1,926,600
463,579 Philip Morris Companies, Inc. 13,646,607
43,799 UST, Inc. 1,001,902
----------------
16,575,109
-------------------------------------------------------------------------------------
Travel
25,041 Sabre Holdings Corp.(a) 724,624
-------------------------------------------------------------------------------------
Trucking & Shipping 0.1%
57,016 Fedex Corp.(a) 2,528,089
11,221 Ryder System, Inc. 206,887
----------------
2,734,976
-------------------------------------------------------------------------------------
Utility Communications 3.8%
751,730 AT&T Corp. 22,082,069
376,556 BellSouth Corp. 15,156,379
679,601 SBC Communications, Inc. 33,980,050
43,170 Unicom Corp. 2,425,614
545,133 Verizon Communications 26,404,880
----------------
100,048,992
</TABLE>
See Notes to Financial Statements 23
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Utilities - Electric 2.0%
89,700 AES Corp.(a) $ 6,144,450
25,169 Ameren Corp. 1,053,952
68,391 American Electric Power, Inc. 2,675,798
21,800 CMS Energy Corp. 587,237
32,782 CP&L Energy, Inc. 1,366,600
45,251 Consolidated Edison, Inc. 1,544,190
32,129 Constellation Energy Group, Inc. 1,598,418
51,052 Dominion Resources, Inc. 2,964,207
30,287 DTE Energy Co. 1,158,478
71,731 Duke Energy Co. 6,150,933
65,562 Edison International 1,266,166
45,715 Entergy Corp. 1,702,884
47,777 FirstEnergy Corp. 1,286,993
21,700 Florida Progress Corp. 1,148,744
35,436 FPL Group, Inc. 2,329,917
22,228 GPU, Inc. 721,021
33,524 Niagara Mohawk Holdings, Inc. 528,003
36,655 PECO Energy Co. 2,219,918
20,000 Pinnacle West Capital Corp. 1,017,500
25,726 PPL Corp. 1,074,061
43,697 Public Service Enterprise Group, Inc. 1,952,710
58,079 Reliant Energy, Inc. 2,700,673
129,115 Southern Co. 4,188,168
53,814 TXU Corp. 2,132,380
69,783 Xcel Energy, Inc. 1,919,033
----------------
51,432,434
-------------------------------------------------------------------------------------
Waste Management 0.1%
125,413 Waste Management, Inc. 2,186,889
----------------
Total common stocks (cost $1,924,071,341) 2,528,064,590
----------------
</TABLE>
24 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Portfolio of Investments as of September 30, 2000 Cont'd.
<TABLE>
<CAPTION>
Shares Description Value (Note 1)
<C> <S> <C> <C>
------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS 4.8%
Money Market Instruments 1.1%
29,600,744(d) Prudential Core Investment Fund--Taxable
Money Market Series $ 29,600,744
<CAPTION>
Principal
Amount
(000)
<C> <S> <C> <C>
Repurchase Agreement 3.4%
$ 90,549 Joint Repurchase Agreement Account,
6.50%, 10/02/00, Note 5 90,549,000
-------------------------------------------------------------------------------------
U.S. Government Securities 0.3%
6,500(b) United States Treasury Bills,
5.98%, 12/21/00 6,401,745
----------------
Total short-term investments
(cost $126,551,489) 126,551,489
----------------
Total Investments 100.9%
(cost $2,050,622,830; Note 4) 2,654,616,079
Liabilities in excess of other assets (0.9%) (24,201,930)
----------------
Net Assets 100% $ 2,630,414,149
----------------
----------------
</TABLE>
--------------------------------------------------------------------------------
ADR--American Depository Receipt.
(a) Non-income producing.
(b) Pledged as initial margin for financial futures contracts.
(c) Portion of securities on loan with an aggregate market value of $28,461,505;
cash collateral of $29,600,744 was received with which the Fund purchased
securities.
(d) Represents security purchased with cash collateral received for securities
on loan.
See Notes to Financial Statements 25
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
September 30, 2000
<S> <C> <C>
----------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $2,050,622,830) $2,654,616,079
Cash 130,602
Receivable for Fund shares sold 13,965,868
Dividends and interest receivable 2,120,511
Due from manager 496,526
Receivable for investments sold 99,575
Receivable for securities lending 33,287
Prepaid expenses 20,088
------------------
Total assets 2,671,482,536
------------------
LIABILITIES
Payable to broker for collateral for securities on loan 29,600,744
Payable for Fund shares reacquired 8,341,614
Due to broker-variation margin 1,492,095
Accrued expenses 1,044,363
Payable for investments purchased 465,514
Distribution fee payable 91,421
Securities lending rebate payable 32,636
------------------
Total liabilities 41,068,387
------------------
NET ASSETS $2,630,414,149
------------------
------------------
Net assets were comprised of:
Shares of beneficial interest, at par $ 81,859
Paid-in capital in excess of par 2,012,389,051
------------------
2,012,470,910
Undistributed net investment income 17,285,612
Accumulated net realized gain on investments 584,853
Net unrealized appreciation on investments 600,072,774
------------------
Net assets, September 30, 2000 $2,630,414,149
------------------
------------------
</TABLE>
26 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Statement of Assets and Liabilities Cont'd.
<TABLE>
<CAPTION>
September 30, 2000
----------------------------------------------------------------------------------------
<S> <C> <C>
Class A:
Net asset value, offering and redemption price per share
($30,432,328 / 949,202 shares of beneficial interest
issued and outstanding) $32.06
------------------
------------------
Class B:
Net asset value, offering and redemption price per share
($70,902,720 / 2,226,416 shares of beneficial
interest issued and outstanding) $31.85
------------------
------------------
Class C:
Net asset value and redemption price per share
($32,307,492 / 1,014,488 shares of beneficial
interest issued and outstanding) $31.85
Sales charge (1% of offering price) .32
Offering price to public $32.17
------------------
------------------
Class Z:
Net asset value, offering and redemption price per share
($995,426,493 / 30,986,400 shares of beneficial
interest issued and outstanding) $32.12
------------------
------------------
Class I:
Net asset value, offering and redemption price per share
($1,501,345,116 / 46,682,102 shares of beneficial
interest issued and outstanding) $32.16
------------------
------------------
</TABLE>
See Notes to Financial Statements 27
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Statement of Operations
<TABLE>
<CAPTION>
Year
Ended
September 30, 2000
<S> <C> <C>
----------------------------------------------------------------------------------------
NET INVESTMENT INCOME
Dividends (net of foreign withholding taxes of $86,700) $ 25,893,606
Interest 5,982,180
Income from securities loaned, net 15,579
------------------
Total income 31,891,365
------------------
Expenses
Management fee 7,109,171
Distribution fee--Class A 40,869
Distribution fee--Class B 368,209
Distribution fee--Class C 178,915
Transfer agent fee--Class A 97,600
Transfer agent fee--Class B 71,000
Transfer agent fee--Class C 14,000
Transfer agent fee--Class Z 1,269,600
Transfer agent fee--Class I 150
Reports to shareholders 345,000
Registration fees and expenses 340,000
Custodian's fees and expenses 220,000
Legal fees and expenses 40,000
Trustees' fees and expenses 28,700
Audit fee 15,000
Miscellaneous 47,055
------------------
Total expenses 10,185,269
Less: Expense subsidy (Note 2) (1,497,971)
------------------
Net expenses 8,687,298
------------------
Net investment income 23,204,067
------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND
FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions 1,188,411
Foreign currency transactions (4,984)
Financial futures contracts 1,185,462
------------------
2,368,889
------------------
Net change in unrealized appreciation/depreciation on:
Investments 218,772,468
Financial futures contracts (704,225)
------------------
218,068,243
------------------
Net gain on investments 220,437,132
------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $243,641,199
------------------
------------------
</TABLE>
28 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Year Ended September 30,
-------------------------------------
2000 1999
<S> <C> <C> <C>
-----------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations
Net investment income $ 23,204,067 $ 19,421,960
Net realized gain on investment and
foreign currency transactions 2,368,889 24,134,380
Net change in unrealized
appreciation/depreciation
on investments and foreign currencies 218,068,243 247,855,460
--------------- ------------------
Net increase in net assets resulting
from operations 243,641,199 291,411,800
--------------- ------------------
Dividends and distributions (Note 1):
Dividends from net investment income
Class Z (9,917,456) (4,694,229)
Class I (12,228,311) (7,920,682)
--------------- ------------------
(22,145,767) (12,614,911)
--------------- ------------------
Distributions from net realized gains
Class Z (10,541,195) (3,159,577)
Class I (11,809,055) (4,863,575)
--------------- ------------------
(22,350,250) (8,023,152)
--------------- ------------------
Fund share transactions (net of
conversions)
(Note 6):
Net proceeds from shares sold 2,247,574,001 1,320,487,868
Net asset value of shares issued in
reinvestment of dividends and
distributions 44,452,564 20,622,768
Cost of shares reacquired (1,746,552,891) (746,871,141)
--------------- ------------------
Net increase in net assets from Fund
share transactions 545,473,674 594,239,495
--------------- ------------------
Net increase 744,618,856 865,013,232
NET ASSETS
Beginning of year 1,885,795,293 1,020,782,061
--------------- ------------------
End of year(a) $ 2,630,414,149 $1,885,795,293
--------------- ------------------
--------------- ------------------
---------------
(a) Includes undistributed net investment
income of: $ 17,285,612 $ 16,232,296
--------------- ------------------
--------------- ------------------
</TABLE>
See Notes to Financial Statements 29
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Notes to Financial Statements
The Prudential Index Series Fund (the 'Company') is registered under the
Investment Company Act of 1940 as an open-end, diversified management investment
company. The Company was established as a Delaware business trust on May 11,
1992 and currently consists of one separate fund, which is the Prudential Stock
Index Fund (the 'Fund'). Investment operations of the Fund commenced on November
5, 1992. The Fund's investment objective is to provide investment results that
correspond to the price and yield performance of Standard & Poor's 500 Composite
Stock Price Index.
Note 1. Accounting Policies
The following is a summary of significant accounting policies followed by the
Fund.
Securities Valuation: Securities, including options, warrants, futures
contracts and options thereon, for which the primary market is on a national
securities exchange, commodities exchange or board of trade or Nasdaq are valued
at the last sale price on such exchange or board of trade on the date of
valuation or, if there were no sales on such day, at the mean between the
closing bid and asked prices quoted on such day or at the bid price in the
absence of an asked price.
Securities that are actively traded in the over-the-counter market,
including listed securities for which the primary market is believed to be
over-the-counter, are valued by a principal market maker or independent pricing
agent.
U.S. Government securities for which market quotations are available shall
be valued at a price provided by an independent broker/dealer or pricing
service.
Securities for which reliable market quotations are not available or for
which a pricing agent or principal market maker does not provide a valuation or
methodology or provides a valuation or methodology that, in the judgment of the
manager or subadviser, does not represent fair value, are valued by the
Valuation Committee or Board of Trustees in consultation with the manager or the
subadviser.
Foreign Currency Translation: The books and records of the Company are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars on the following basis:
(i) market value of investment securities, other assets and liabilities -
at the closing daily rates of exchange.
(ii) purchases and sales of investment securities, income and expenses -
at the rate of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Fund are presented at the foreign exchange
rates and market values at the close of the fiscal year, the Fund does not
isolate that portion of the results of operations arising as a result of changes
in the foreign exchange
30
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Notes to Financial Statements Cont'd.
rates from the fluctuations arising from changes in the market prices of
securities held at the end of the year. Similarly, the Fund does not isolate the
effect of changes in foreign exchange rates from the fluctuations arising from
changes in the market prices of long-term portfolio securities sold during the
year. Accordingly, these realized foreign currency gains (losses) are included
in the reported net realized gains (losses) on investment transactions.
Net realized gains or losses on foreign currency transactions represent
net foreign exchange gains or losses from holdings of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
security transactions, and the difference between the amounts of dividends,
interest and foreign taxes recorded on the Fund's books and the U.S. dollar
equivalent amounts actually received or paid. Net unrealized currency gains or
losses from valuing foreign currency denominated assets and liabilities (other
than investments) at year-end exchange rates are reflected as a component of net
unrealized appreciation on investments and foreign currencies.
Foreign security and currency transactions may involve certain
considerations and risks not typically associated with those of domestic origin
as a result of, among other factors, the possibility of political and economic
instability and the level of governmental supervision and regulation of foreign
securities markets.
Repurchase Agreements: In connection with transactions in repurchase
agreements, it is the Company's policy that its custodian or designated
subcustodians, under triparty repurchase agreements, as the case may be take
possession of the underlying collateral securities, the value of which exceeds
the principal amount of the repurchase transaction, including accrued interest.
To the extent that any repurchase transaction exceeds one business day, the
value of the collateral is marked-to-market on a daily basis to ensure the
adequacy of the collateral. If the seller defaults and the value of the
collateral declines or if bankruptcy proceedings are commenced with respect to
the seller of the security, realization of the collateral by the Fund may be
delayed or limited.
Securities Transactions and Net Investment Income: Securities
transactions are recorded on the trade date. Realized gains and losses on sales
of securities are calculated on the identified cost basis. Dividend income is
recorded on the ex-dividend date and interest income is recorded on the accrual
basis. Expenses are recorded on the accrual basis which may require the use of
certain estimates by management.
Net investment income (other than distribution and transfer agent fees)
and unrealized and realized gains or losses are allocated daily to each class of
shares based upon the relative proportion of net assets of each class at the
beginning of the
31
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Notes to Financial Statements Cont'd.
day. Transfer agent fees are allocated based on shareholder activity and number
of accounts for each class.
Financial Futures Contracts: A financial futures contract is an
agreement to purchase (long) or sell (short) an agreed amount of securities at a
set price for delivery on a future date. Upon entering into a financial futures
contract, the Fund is required to pledge to the broker an amount of cash and/or
other assets equal to a certain percentage of the contract amount. This amount
is known as the 'initial margin.' Subsequent payments, known as 'variation
margin,' are made or received by the Fund each day, depending on the daily
fluctuations in the value of the underlying security. Such variation margin is
recorded for financial statement purposes on a daily basis as unrealized gain or
loss. When the contract expires or is closed, the gain or loss is realized and
is presented in the statement of operations as net realized gain (loss) on
financial futures contracts.
The Fund invests in financial futures contracts in order to hedge existing
portfolio securities, or securities the Fund intends to purchase, against
fluctuations in value. Under a variety of circumstances, the Fund may not
achieve the anticipated benefits of the financial futures contracts and may
realize a loss. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts and the underlying
assets.
Securities Lending: The Fund may lend its portfolio securities to
broker-dealers, qualified banks and certain institutional investors. The loans
are secured by collateral in an amount equal to at least the market value at all
times of the loaned securities plus any accrued interest and dividends. During
the time the securities are on loan, the Fund will continue to receive the
interest and dividends or amounts equivalent thereto, on the loaned securities
while receiving a fee from the borrower or earning interest on the investment of
the cash collateral. Loans are subject to termination at the option of the
borrower or the Fund. Upon termination of the loan, the borrower will return to
the lender securities identical to the loaned securities. The Fund may pay
reasonable finders', administrative and custodial fees in connection with a loan
of its securities and may share the interest earned on the collateral with the
borrower. The Fund bears the risk of delay in recovery of, or even loss of
rights in, the securities loaned should the borrower of the securities fail
financially. Prudential Securities Incorporated ('PSI') is the securities
lending agent for the Fund. PSI is a wholly owned subsidiary of The Prudential.
For the year ended September 30, 2000, PSI has been compensated in the amounts
of $6,887.
Dividends and Distributions: The Fund will declare and distribute its
net investment income and net capital gains, if any, at least annually.
Dividends and distributions are recorded on the ex-dividend date.
32
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Notes to Financial Statements Cont'd.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles.
Taxes: It is the Fund's policy to continue to meet the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable net income to its shareholders. Therefore, no
federal income tax provision is required.
Withholding taxes on foreign dividends have been provided for in
accordance with the Fund's understanding of the applicable country's tax rules
and rates.
Reclassification of Capital Accounts: The Fund accounts for and reports
distributions to shareholders in accordance with the American Institute of
Certified Public Accountants' Statement of Position 93-2: Determination,
Disclosure and Financial Statement Presentation of Income, Capital Gain and
Return of Capital Distributions by Investment Companies. The effect of applying
this statement was to decrease undistributed net investment income and increase
accumulated net realized gain on investments by $4,984. Net investment income,
net realized gains and net assets were not affected by this change.
Note 2. Agreements
The Fund has a management agreement with Prudential Investments Fund Management
LLC ('PIFM'). Pursuant to this agreement, PIFM has responsibility for all
investment advisory services and supervises the subadviser's performance of such
services. PIFM has entered into a subadvisery agreement with The Prudential
Investment Corporation ('PIC'); PIC furnishes investment advisory services in
connection with the management of the Fund. In connection therewith, the
subadviser is obligated to keep certain books and records of the Fund. PIFM pays
for the services of PIC, the cost of compensation of officers of the Fund,
occupancy and certain clerical and bookkeeping costs of the Fund. The Fund bears
all other costs and expenses.
The management fee paid PIFM is computed daily and payable monthly, at an
annual rate of .30 of 1% of the average daily net assets of the Fund.
Effective January 1, 2000, the subadvisery fee paid to PIC by PIFM is
computed daily and payable monthly at an annual rate of .150 of 1% of the
average daily net assets of the Fund. Prior to January 1, 2000, PIC was
reimbursed by PIFM for reasonable costs and expenses incurred in furnishing
investment advisory services. The change in the subadvisory fee structure has no
impact on the management fee charged to the Fund or its shareholders.
PIFM has agreed to reimburse the Fund so that total operating expenses do
not exceed .65%, 1.40%, 1.37%, .40% and .30% of the average daily net assets for
33
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Notes to Financial Statements Cont'd.
Class A, Class B, Class C, Class Z and Class I shares, respectively. For the
year ended September 30, 2000, PIFM subsidized $1,497,971 of the expenses of the
Fund (.57%, .13%, .05%, .08% and .05% of the average daily net assets of the
Class A, Class B, Class C, Class Z and Class I shares, respectively; $.0979,
$.0207, $.0080, $.0226 and $.0119 per Class A, Class B, Class C, Class Z and
Class I shares, respectively).
The Fund has a distribution agreement with Prudential Investment
Management Services LLC ('PIMS'), which acts as the distributor of the Class A,
Class B, Class C, Class Z and Class I shares of the Fund. The Fund compensates
PIMS for distributing and servicing the Fund's Class A, Class B and Class C
shares, pursuant to plans of distribution, (the 'Class A, B and C plans'),
regardless of expenses actually incurred by them. The distribution fees are
accrued daily and payable monthly. No distribution or service fees are paid to
PIMS as distributor for Class Z and Class I shares of the Fund.
Pursuant to the Class A, B and C Plans, the Fund compensates PIMS for
distribution-related activities at an annual rate of up to .30 of 1%, 1% and 1%
of the average daily net assets of the Class A, B and C shares, respectively.
Such expenses under the Plans were .25 of 1%, 1% and 1% of the average daily net
assets of the Class A, B and C shares, respectively, for the year ended
September 30, 2000.
PIMS has advised the Fund that it received approximately $315,500 in
front-end sales charges resulting from sales of Class C shares during the year
ended September 30, 2000. From these fees, PIMS paid such sales charges to
affiliated broker-dealers which in turn paid commissions to salespersons and
incurred other distribution costs.
PIMS has advised the Fund that for the year ended September 30, 2000, they
received approximately $59,700 and $28,100 in contingent deferred sales charges
imposed upon certain redemptions by Class B and Class C shareholders,
respectively.
PIC, PIFM and PIMS are wholly owned subsidiaries of The Prudential
Insurance Company of America.
The Fund, along with other affiliated registered investment companies (the
'Funds'), entered into a syndicated credit agreement ('SCA') with an
unaffiliated lender. The maximum commitment under the SCA is $1 billion.
Interest on any such borrowings will be at market rates. The purpose of the
agreement is to serve as an alternative source of funding for capital share
redemptions. The Funds pay a commitment fee of .080 of 1% of the unused portion
of the credit facility. The commitment fee is accrued and paid quarterly on a
pro rata basis by the Funds. The expiration date of the SCA is March 9, 2001.
Prior to March 9, 2000, the commitment fee was
34
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Notes to Financial Statements Cont'd.
.065 of 1% of the unused portion of the credit facility. The Fund did not borrow
any amounts pursuant to the SCA during the year ended September 30, 2000.
Note 3. Other Transactions With Affiliates
Prudential Mutual Fund Services LLC ('PMFS'), a wholly owned subsidiary of PIFM,
serves as the Company's transfer agent. During the period ended September 30,
2000, the Fund incurred fees of approximately $93,800, $57,800, $13,100,
$1,236,600 and $100 for the Class A, Class B, Class C, Class Z and Class I
shares, respectively, for the services of PMFS. As of September 30, 2000,
approximately $8,000, $2,000, $91,700 and $10 for the Class B, Class C, Class Z
and Class I shares, respectively, of such fees were due to PMFS. Transfer agent
fees and expenses in the Statement of Operations also include certain
out-of-pocket expenses paid to nonaffiliates.
Note 4. Portfolio Securities
Purchases and sales of portfolio securities, excluding short-term investments,
for the year ended September 30, 2000 aggregated $538,441,910 and $40,747,719,
respectively.
On September 30, 2000, the Fund held 271 long financial futures contracts
on the S&P 500 Index which expire in December 2000. The cost of such contracts
was $102,408,650. The value of such contracts on September 30, 2000 was
$98,488,175, thereby resulting in an unrealized loss of $3,920,475.
The cost basis of investments for federal income tax purposes was
$2,051,611,483 and, accordingly, as of September 30, 2000, net unrealized
appreciation for federal income tax purposes was $603,004,596 (gross unrealized
appreciation--$756,337,663; gross unrealized depreciation--$153,333,067).
The Fund will elect for United States Federal income tax purposes, to
treat net capital losses of approximately $2,388,000 and foreign currency losses
of approximately $5,000 incurred in the eleven months ended September 30, 2000
as having been incurred in the following fiscal year.
Note 5. Joint Repurchase Agreement Account
The Fund, along with other affiliated registered investment companies, transfers
uninvested cash balances into a single joint account, the daily aggregate
balance of which is invested in one or more repurchase agreements collateralized
by U.S. Treasury or federal agency obligations. At September 30, 2000, the Fund
had a 7.8% undivided interest in the repurchase agreements in the joint account.
The undivided interest represented $90,549,000 in principal amount. As of such
date, each repurchase agreement in the joint account and the collateral therefor
was as follows:
35
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Notes to Financial Statements Cont'd.
Bear, Stearns & Co. Inc., 6.51%, in the principal amount of $300,000,000,
repurchase price $300,162,750, due 10/2/00. The value of the collateral
including accrued interest was $307,686,775.
Chase Securities Inc., 6.45%, in the principal amount of $264,084,000,
repurchase price $264,225,945, due 10/2/00. The value of the collateral
including accrued interest was $269,373,200.
Credit Suisse First Boston Corp., 6.54%, in the principal amount of
$200,000,000, repurchase price $200,109,000, due 10/2/00. The value of the
collateral including accrued interest was $206,853,792.
Salomon Smith Barney Inc., 6.45%, in the principal amount of $97,990,000,
repurchase price $98,042,670, due 10/2/00. The value of the collateral including
accrued interest was $102,042,316.
UBS Warburg, 6.52%, in the principal amount of $300,000,000, repurchase
price $300,163,000, due 10/2/00. The value of the collateral including accrued
interest was $306,002,065.
Note 6. Capital
The Fund offers Class A, Class B, Class C, Class Z and Class I shares. Class A,
Class Z and Class I shares are not subject to any sales or redemption charge and
are offered exclusively for sale to a limited group of investors. Class B shares
are sold with a contingent deferred sales charge which declines from 5% to zero
depending upon the period of time the shares are held. Class C shares are sold
with a front-end sales charge of 1% and a contingent deferred sales charge of 1%
during the first 18 months. Class B shares will automatically convert to Class A
shares on a quarterly basis approximately seven years after purchase.
The Fund has authorized an unlimited number of shares of beneficial
interest at $.001 par value divided into five classes, designated Class A, Class
B, Class C, Class Z and Class I. Transactions in shares of beneficial interest
were as follows:
<TABLE>
<CAPTION>
Class A Shares Amount
------------------------------------------------------ ------------- ---------------
<S> <C> <C>
November 18, 1999(a) through September 30, 2000:
Shares sold 1,101,670 $ 34,348,468
Shares reacquired (248,733) (8,027,233)
------------- ---------------
Net increase (decrease) in shares outstanding before
conversion 852,937 26,321,235
Shares issued upon conversion from Class B 96,265 3,119,670
------------- ---------------
Net increase (decrease) in shares outstanding 949,202 $ 29,440,905
------------- ---------------
------------- ---------------
------------------------------
(a) Commencement of offering of Class A, Class B and Class C shares.
</TABLE>
36
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Notes to Financial Statements Cont'd.
<TABLE>
<CAPTION>
Class B Shares Amount
------------------------------------------------------ ------------- ---------------
November 18, 1999(a) through September 30, 2000:
<S> <C> <C>
Shares sold 2,567,091 $ 81,736,917
Shares reacquired (243,963) (7,774,669)
------------- ---------------
Net increase (decrease) in shares outstanding before
conversion 2,323,128 73,962,248
Shares reacquired upon conversion into Class A (96,712) (3,119,670)
------------- ---------------
Net increase (decrease) in shares outstanding 2,226,416 $ 70,842,578
------------- ---------------
------------- ---------------
<CAPTION>
Class C
------------------------------------------------------
<S> <C> <C>
November 18, 1999(a) through September 30, 2000:
Shares sold 1,154,104 $ 36,799,201
Shares reacquired (139,616) (4,488,164)
------------- ---------------
Net increase (decrease) in shares outstanding 1,014,488 $ 32,311,037
------------- ---------------
------------- ---------------
<CAPTION>
Class Z
------------------------------------------------------
<S> <C> <C>
Year ended September 30, 2000:
Shares sold 33,137,817 $ 1,049,462,337
Shares issued in reinvestment of dividends and
distributions 653,914 20,415,201
Shares reacquired (32,730,083) (1,041,794,333)
------------- ---------------
Net increase (decrease) in shares outstanding 1,061,648 $ 28,083,205
------------- ---------------
------------- ---------------
Year ended September 30, 1999:
Shares sold 25,482,340 $ 725,667,595
Shares issued in reinvestment of dividends and
distributions 300,787 7,838,514
Shares reacquired (12,360,069) (353,240,852)
------------- ---------------
Net increase (decrease) in shares outstanding 13,423,058 $ 380,265,257
------------- ---------------
------------- ---------------
<CAPTION>
Class I
------------------------------------------------------
<S> <C> <C>
Year ended September 30, 2000:
Shares sold 32,197,763 $ 1,045,227,078
Shares issued in reinvestment of dividends and
distributions 769,688 24,037,363
Shares reacquired (21,435,302) (684,468,492)
------------- ---------------
Net increase (decrease) in shares outstanding 11,532,149 $ 384,795,949
------------- ---------------
------------- ---------------
Year ended September 30, 1999:
Shares sold 20,880,114 $ 594,820,273
Shares issued in reinvestment of dividends and
distributions 490,382 12,784,254
Shares reacquired (13,861,925) (393,630,289)
------------- ---------------
Net increase (decrease) in shares outstanding 7,508,571 $ 213,974,238
------------- ---------------
------------- ---------------
</TABLE>
------------------------------
(a) Commencement of offering of Class A, Class B and Class C shares.
37
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Financial Highlights
<TABLE>
<CAPTION>
Class A
--------------------------
November 18, 1999(d)
Through September 30, 2000
-----------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 31.53
--------
Income from investment operations:
Net investment income(a) .12
Net realized and unrealized gain on investment
transactions .41
--------
Total from investment operations .53
--------
Net asset value, end of period $ 32.06
--------
--------
TOTAL RETURN(b) 1.68%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $ 30,432
Average net assets (000) $ 19,055
Ratios to average net assets:(a)
Expenses, including distribution and service
(12b-1) fees .65%(c)
Expenses, excluding distribution and service
(12b-1) fees .40%(c)
Net investment income .72%(c)
Portfolio turnover rate 2%
</TABLE>
------------------------------
(a) Net of expense subsidy.
(b) Total return does not consider the effects of sales loads. Total return is
calculated assuming a purchase of shares on the first day and a sale on the
last day of each period reported and includes reinvestment of dividends and
distributions. Total return for periods of less than a full year are not
annualized. Total return includes the effect of expense subsidies.
(c) Annualized.
(d) Commencement of offering of Class A shares.
38 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Financial Highlights Cont'd.
<TABLE>
<CAPTION>
Class B
--------------------------
November 18, 1999(d)
Through September 30, 2000
-----------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 31.53
--------
Income from investment operations:
Net investment loss(a) (.01)
Net realized and unrealized gain on investment
transactions .33
--------
Total from investment operations .32
--------
Net asset value, end of period $ 31.85
--------
--------
TOTAL RETURN(b) 1.01%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $ 70,903
Average net assets (000) $ 42,919
Ratios to average net assets:(a)
Expenses, including distribution and service
(12b-1) fees 1.40%(c)
Expenses, excluding distribution and service
(12b-1) fees .40%(c)
Net investment income (.05)%(c)
Portfolio turnover rate 2%
</TABLE>
------------------------------
(a) Net of expense subsidy.
(b) Total return does not consider the effects of sales loads. Total return is
calculated assuming a purchase of shares on the first day and a sale on the
last day of each period reported and includes reinvestment of dividends and
distributions. Total return for periods of less than a full year are not
annualized. Total return includes the effect of expense subsidies.
(c) Annualized.
(d) Commencement of offering of Class B shares.
See Notes to Financial Statements 39
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Financial Highlights Cont'd.
<TABLE>
<CAPTION>
Class C
--------------------------
November 18, 1999(d)
Through September 30, 2000
-----------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 31.53
--------
Income from investment operations:
Net investment income(a) --(e)
Net realized and unrealized gain on investment
transactions .32
--------
Total from investment operations .32
--------
Net asset value, end of period $ 31.85
--------
--------
TOTAL RETURN(b) 1.01%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $ 32,308
Average net assets (000) $ 20,854
Ratios to average net assets:(a)
Expenses, including distribution and service
(12b-1) fees 1.37%(c)
Expenses, excluding distribution and service
(12b-1) fees .37%(c)
Net investment income (.01)%(c)
Portfolio turnover rate 2%
</TABLE>
------------------------------
(a) Net of expense subsidy.
(b) Total return does not consider the effects of sales loads. Total return is
calculated assuming a purchase of shares on the first day and a sale on the
last day of each period reported and includes reinvestment of dividends and
distributions. Total return for periods of less than a full year are not
annualized. Total return includes the effect of expense subsidies.
(c) Annualized.
(d) Commencement of offering of Class C shares.
(e) Less than $.005 per share.
40 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Financial Highlights Cont'd.
<TABLE>
<CAPTION>
Class Z
------------------
Year Ended
September 30, 2000
----------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year $ 28.96
------------------
Income from investment operations:
Net investment income(a) .29
Net realized and unrealized gain on investment transactions 3.53
------------------
Total from investment operations 3.82
------------------
Less distributions:
Dividends from net investment income (.32)
Distributions from net realized gains (.34)
------------------
Total distributions (.66)
------------------
Net asset value, end of year $ 32.12
------------------
------------------
TOTAL RETURN(b) 13.28%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000) $ 995,426
Average net assets (000) $ 980,790
Ratios to average net assets:(a)
Expenses .40%
Net investment income .95%
Portfolio turnover rate 2%
</TABLE>
------------------------------
(a) Net of expense subsidy.
(b) Total return does not consider the effects of sales loads. Total return is
calculated assuming a purchase of shares on the first day and a sale on the
last day of each year reported and includes reinvestment of dividends and
distributions. Total return includes the effect of expense subsidies.
See Notes to Financial Statements 41
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Financial Highlights Cont'd.
<TABLE>
<CAPTION>
Class Z
-------------------------------------------------------------------------------------
Year Ended September 30,
-------------------------------------------------------------------------------------
1999 1998 1997 1996
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 23.11 $ 21.86 $ 16.06 $ 14.22
---------------- ---------------- ---------------- ----------------
.22 .15 .46 .25
6.07 1.69 5.75 2.44
---------------- ---------------- ---------------- ----------------
6.29 1.84 6.21 2.69
---------------- ---------------- ---------------- ----------------
(.26) (.21) (.26) (.28)
(.18) (.38) (.15) (.57)
---------------- ---------------- ---------------- ----------------
(.44) (.59) (.41) (.85)
---------------- ---------------- ---------------- ----------------
$ 28.96 $ 23.11 $ 21.86 $ 16.06
---------------- ---------------- ---------------- ----------------
---------------- ---------------- ---------------- ----------------
27.41% 8.61% 39.34% 19.72%
$866,762 $381,374 $185,881 $184,379
$681,129 $313,721 $254,644 $142,540
.40% .40% .46% .60%
1.16% 1.30% 1.66% 1.92%
3% 1% 5% 2%
</TABLE>
42 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Financial Highlights Cont'd.
<TABLE>
<CAPTION>
Class I
------------------
Year Ended
September 30, 2000
----------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 28.99
------------------
Income from investment operations:
Net investment income(a) .33
Net realized and unrealized gain on investment transactions 3.53
------------------
Total from investment operations 3.86
------------------
Less distributions:
Dividends from net investment income (.35)
Distributions from net realized gains (.34)
------------------
Total distributions (.69)
------------------
Net asset value, end of period $ 32.16
------------------
------------------
TOTAL RETURN(b) 13.38%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $1,501,345
Average net assets (000) $1,317,874
Ratios to average net assets:(a)
Expenses .30%
Net investment income 1.05%
Portfolio turnover rate 2%
</TABLE>
------------------------------
(a) Net of expense subsidy.
(b) Total return does not consider the effects of sales loads. Total return is
calculated assuming a purchase of shares on the first day and a sale on the
last day of each period reported and includes reinvestment of dividends and
distributions. Total return for periods of less than a full year are not
annualized. Total return includes the effect of expense subsidies.
(c) Annualized.
(d) Commencement of offering of Class I shares.
See Notes to Financial Statements 43
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Financial Highlights Cont'd.
<TABLE>
<CAPTION>
Class I
---------------------------------------------------------------------------------------
Year Ended September 30, August 1, 1997(d)
------------------------------------------ Through September 30,
1999 1998 1997
---------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 23.13 $ 21.87 $ 21.87
---------------- ---------------- ----------
.36 .31 .06
5.96 1.55 (.06)
---------------- ---------------- ----------
6.32 1.86 --
---------------- ---------------- ----------
(.28) (.22) --
(.18) (.38) --
---------------- ---------------- ----------
(.46) (.60) --
---------------- ---------------- ----------
$ 28.99 $ 23.13 $ 21.87
---------------- ---------------- ----------
---------------- ---------------- ----------
27.55% 8.69% 0%
$1,019,034 $639,408 $312,127
$ 915,642 $505,605 $296,788
.30% .30% .30%(c)
1.26% 1.42% 1.73%(c)
3% 1% 5%
</TABLE>
44 See Notes to Financial Statements
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Report of Independent Accountants
To the Shareholders and Board of Trustees of
Prudential Index Series Fund--Prudential Stock Index Fund
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, 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 Prudential Index Series
Fund--Prudential Stock Index Fund (the 'Fund') at September 30, 2000, the
results of its operations for the year then ended, the changes in its net assets
for each of the two years in the period then ended and the financial highlights
for each of the four years in the period then ended, in conformity with
accounting principles generally accepted in the United States of America. 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 of America,
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 September 30, 2000 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion. The
accompanying financial highlights for the year ended September 30, 1996 were
audited by other independent accountants, whose opinion dated November 13, 1996
was unqualified.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York
November 22, 2000
45
<PAGE>
Prudential Index Series Fund Prudential Stock Index Fund
Federal Income Tax Information (Unaudited)
We are required by the Internal Revenue Code to advise you within 60 days
of the Fund's fiscal year end (September 30, 2000) as to the federal tax status
of dividends paid by the Fund during such fiscal year. During 2000, the Fund
paid dividends of $.656 per Class Z share and $.688 per Class I share. Of these
amounts, $.244 per Class Z and Class I shares represent distributions from
long-term capital gains which are taxable as such. The remaining $.412 per Class
Z share and $.444 per Class I share represent dividends from ordinary income
(net investment income and short-term capital gains.) Further, we wish to advise
you that 88.90% of the ordinary income dividends paid in the fiscal year ended
September 30, 2000 qualified for the corporate dividends received deduction
available to corporate taxpayers.
In January 2001, you will be advised on IRS Form 1099 DIV or substitute
1099 DIV as to the federal tax status of the distributions received by you in
calendar year 2000. The amounts that will be reported on such Form 1099 DIV will
be the amounts to use on your 2000 federal income tax return and will differ
from the amounts which we must report for the Fund's fiscal year ended September
30, 2000.
46
<PAGE>
Prudential Index Series Fund
Class A Growth of a $10,000 Investment
(CHART)
Average Annual Total Returns as of 9/30/00
One Year Five Years Since Inception
N/A N/A N/A
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost. Since Class A shares have been in
existence less than one year, no average annual
total returns are presented. The graph compares a
$10,000 investment in the Prudential Stock Index
Fund (Class A shares) with a similar investment in
the S&P 500 Index by portraying the initial account
value at the commencement of operations of Class A
shares, and the account value at the end of the
current fiscal year (September 30, 2000), as
measured on a quarterly basis, beginning in
November 1999. For purposes of the graph, and
unless otherwise indicated, it has been assumed
that (a) all recurring fees (including management
fees) were deducted, and (b) all dividends and
distributions were reinvested.
The S&P 500 Index is an unmanaged index of 500
stocks of large U.S. companies. It gives a broad
look at how stock prices have performed. The S&P
500 Index total returns include the reinvestment of
all dividends, but do not include the effect of sales
charges or operating expenses of a mutual fund. The
Index is not the only one that may be used to
characterize performance of large-capitalization
stock funds. Other indexes may portray different
comparative performance. Investors cannot invest
directly in an index.
This graph is furnished to you in accordance with
SEC regulations.
<PAGE>
www.prudential.com (800) 225-1852
Class B Growth of a $10,000 Investment
(CHART)
Average Annual Total Returns as of 9/30/00
One Year Five Years Since Inception
N/A N/A N/A
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost. Since Class B shares have been in
existence less than one year, no average annual
total returns are presented. The graph compares a
$10,000 investment in the Prudential Stock Index
Fund (Class B shares) with a similar investment in
the S&P 500 Index by portraying the initial account
values at the commencement of operations of Class B
shares, and the account value at the end of the
current fiscal year (September 30, 2000), as
measured on a quarterly basis, beginning in
November 1999. For purposes of the graph, and
unless otherwise indicated, it has been assumed
that (a) the maximum applicable contingent deferred
sales charge was deducted from the value of the
investment in Class B shares, assuming full
redemption on September 30, 2000; (b) all recurring
fees (including management fees) were deducted; and
(c) all dividends and distributions were
reinvested. Class B shares will automatically
convert to Class A shares, on a quarterly basis,
beginning approximately seven years after purchase.
This conversion feature is not reflected in the
graph.
The S&P 500 Index is an unmanaged index of 500
stocks of large U.S. companies. It gives a broad
look at how stock prices have performed. The S&P
500 Index total returns include the reinvestment of
all dividends, but do not include the effect of
sales charges or operating expenses of a mutual
fund. The Index is not the only one that may be
used to characterize performance of large-
capitalization stock funds. Other indexes may
portray different comparative performance.
Investors cannot invest directly in an index.
This graph is furnished to you in accordance with
SEC regulations.
<PAGE>
Prudential Stock Index Fund
Class C Growth of a $10,000 Investment
Average Annual Total Returns as of 9/30/00
One Year Five Years Since Inception
N/A N/A N/A
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost. Since the
Class C shares have been in existence less than one
year, no average annual total returns are
presented. The graph compares a $10,000 investment
in the Prudential Stock Index Fund (Class C shares)
with a similar investment in the S&P 500 Index by
portraying the initial account value at the
commencement of operations of Class C shares, and
the account value at the end of the current fiscal
year (September 30, 2000), as measured on a
quarterly basis, beginning in November 1999. For
purposes of the graph, and unless otherwise
indicated, it has been assumed that (a) the maximum
applicable front-end sales charge was deducted from
the initial $10,000 investment in Class C shares;
(b) the maximum applicable contingent deferred
sales charge was deducted from the value of the
investment in Class C shares, assuming full redemption
on September 30, 2000; (c) all recurring fees (including
management fees) were deducted; and (d) all dividends
and distributions were reinvested.
The S&P 500 Index is an unmanaged index of 500
stocks of large U.S. companies. It gives a broad
look at how stock prices have performed. The S&P
500 Index total returns include the reinvestment of
all dividends, but do not include the effect of sales
charges or operating expenses of a mutual fund. The
Index is not the only one that may be used to
characterize performance of large-capitalization
stock funds. Other indexes may portray different
comparative performance. Investors cannot invest
directly in an index.
This graph is furnished to you in accordance with
SEC regulations.
<PAGE>
www.prudential.com (800) 225-1852
Class Z Growth of a $10,000 Investment
Average Annual Total Returns as of 9/30/00
One Year Five Years Since Inception
13.28% (13.24) 21.20% (21.16) 18.78% (18.75)
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost. The best- and worst-year information
within the graph is designed to give you an idea of
how much the Fund's returns can fluctuate from year
to year by measuring the best and worst calendar
years in terms of total annual return since
inception of the share class. The graph compares a
$10,000 investment in the Prudential Stock Index
Fund (Class Z shares) with a similar investment in
the S&P 500 Index by portraying the initial account
value at the commencement of operations of Class Z
shares, and the account value at the end of the
current fiscal year (September 30, 2000), as
measured on a quarterly basis, beginning in
November 1992. For purposes of the graph, and
unless otherwise indicated, it has been assumed
that (a) all recurring fees (including management
fees) were deducted; and (b) all dividends and
distributions were reinvested. Class Z shares are
not subject to a sales charge or distribution and
service (12b-1) fees.
The S&P 500 Index is an unmanaged index of 500
stocks of large U.S. companies. It gives a broad
look at how stock prices have performed. The S&P
500 Index total returns include the reinvestment of
all dividends, but do not include the effect of sales
charges or operating expenses of a mutual fund. The
Index is not the only one that may be used to
characterize performance of large-capitalization
stock funds. Other indexes may portray different
comparative performance. Investors cannot invest
directly in an index.
This graph is furnished to you in accordance with
SEC regulations.
<PAGE>
Prudential Stock Index Fund
Class I Growth of a $10,000 Investment
Average Annual Total Returns as of 9/30/00
One Year Five Years Since Inception
13.38% (13.34) N/A 15.36% (15.31)
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost. The graph compares a $10,000
investment in the Prudential Stock Index Fund
(Class I shares) with a similar investment in the
S&P 500 Index by portraying the initial account
value at the commencement of operations of
Class I shares, and the account value at the end of
the current fiscal year (September 30, 2000), as
measured on a quarterly basis, beginning in August
1997. For purposes of the graph, and unless
otherwise indicated, it has been assumed that (a)
all recurring fees (including management fees) were
deducted; and (b) all dividends and distributions
were reinvested. Class I shares are not subject to
a sales charge or distribution and service (12b-1)
fees.
The S&P 500 Index is an unmanaged index of 500
stocks of large U.S. companies. It gives a broad
look at how stock prices have performed. The S&P
500 Index total returns include the reinvestment of
all dividends, but do not include the effect of sales
charges or operating expenses of a mutual fund. The
Index is not the only one that may be used to
characterize performance of large-capitalization
stock funds. Other indexes may portray different
comparative performance. Investors cannot invest
directly in an index.
This graph is furnished to you in accordance with
SEC regulations.
<PAGE>
www.prudential.com (800) 225-1852
Getting the Most from Your Prudential Mutual Fund
When you invest through Prudential Mutual Funds,
you receive financial advice from a Prudential
Securities Financial Advisor or Pruco Securities
registered representative. Your advisor or
representative can provide you with the following
services:
There's No Reward Without Risk; but Is This Risk
Worth It?
Your financial advisor or registered representative
can help you match the reward you seek with the
risk you can tolerate. Risk can be difficult to
gauge--sometimes even the simplest investments bear
surprising risks. The educated investor knows that
markets seldom move in just one direction. There
are times when a market sector or asset class will
lose value or provide little in the way of total
return. Managing your own expectations is easier
with help from someone who understands the markets
and who knows you!
Keeping Up With the Joneses
A financial advisor or registered representative
can help you wade through the numerous available
mutual funds to find the ones that fit your
individual investment profile and risk tolerance.
While the newspapers and popular magazines are full
of advice about investing, they are aimed at
generic groups of people or representative
individuals--not at you personally. Your financial
advisor or registered representative will review
your investment objectives with you. This means you
can make financial decisions based on the assets
and liabilities in your current portfolio and your
risk tolerance--not just based on the current
investment fad.
Buy Low, Sell High
Buying at the top of a market cycle and selling at
the bottom are among the most common investor
mistakes. But sometimes it's difficult to hold on
to an investment when it's losing value every
month. Your financial advisor or registered
representative can answer questions when you're
confused or worried about your investment, and
should remind you that you're investing for the
long haul.
<PAGE>
FOR MORE INFORMATION
Prudential Mutual Funds
Gateway Center Three
100 Mulberry Street
Newark, NJ 07102-4077
(800) 225-1852
Visit Prudential's website at:
http://www.prudential.com
Trustees
Saul K. Fenster, Ph.D.
Delayne Dedrick Gold
Robert F. Gunia
Douglas H. McCorkindale
W. Scott McDonald, Jr.
Thomas T. Mooney
Stephen P. Munn
David R. Odenath, Jr.
Richard A. Redeker
Judy A. Rice
Robin B. Smith
Louis A. Weil, III
Clay T. Whitehead
Officers
David R. Odenath, Jr., President
Robert F. Gunia, Vice President
Grace C. Torres, Treasurer
Marguerite E. H. Morrison, Secretary
William V. Healey, Assistant Secretary
Jonathan D. Shain, Assistant Secretary
Manager
Prudential Investments
Fund Management LLC
Gateway Center Three
100 Mulberry Street
Newark, NJ 07102-4077
Investment Adviser
The Prudential Investment Corporation
Prudential Plaza
Newark, NJ 07102-3777
Distributor
Prudential Investment
Management Services LLC
Gateway Center Three
100 Mulberry Street
Newark, NJ 07102-4077
Custodian
State Street Bank and Trust Company
One Heritage Drive
North Quincy, MA 02171
Transfer Agent
Prudential Mutual Fund Services LLC
P.O. Box 8098
Philadelphia, PA 19101
Independent Accountants
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
Legal Counsel
Gardner, Carton & Douglas
Quaker Tower
321 North Clark Street
Chicago, IL 60610-4795
Fund Symbols NASDAQ CUSIP
Class A PSIAX 74438C100
Class B PBSIX 74438C209
Class C PSICX 74438C308
Class Z PSIFX 74438C407
Class I PDSIX 74438C506
MF174E
(LOGO) Printed on Recycled Paper
