VANGUARD(R)
BALANCED INDEX
FUND
ANNUAL REPORT
DECEMBER 31, 1999
[A MEMBER OF
THE VANGUARD GROUP LOGO]
<PAGE>
[PHOTO]
JOHN C. BOGLE
FELLOW SHAREHOLDERS:
Two roads diverged in a wood, and I--I took the one less traveled by, and that
has made all the difference.
I can think of no better words than those of Robert Frost to begin this special
letter to our shareholders, who have placed such extraordinary trust in me and
in Vanguard over the past quarter century. When the firm was founded 25 years
ago, we deliberately took a new road to managing a mutual fund enterprise.
Instead of having the funds controlled by an outside management company with its
own financial interests, the Vanguard funds--there were only 11 of them
then--would be controlled by their own shareholders and operate solely in their
financial interests. The outcome of our unprecedented decision was by no means
certain. We described it then as "The Vanguard Experiment."
Well, I guess it's fair to say it's an experiment no more. During the past
25 years, the assets we hold in stewardship for investors have grown from $1
billion to more than $500 billion, and I believe that our reputation for
integrity, fair-dealing, and sound investment principles is second to none in
this industry. Our staggering growth--which I never sought--has come in
important part as a result of the simple investment ideas and basic human values
that are the foundation of my personal philosophy. I have every confidence that
they will long endure at Vanguard, for they are the right ideas and right
values, unshakable and eternal.
While Emerson believed that "an institution is the lengthened shadow of one
man," Vanguard today is far greater than any individual. The Vanguard crew has
splendidly implemented and enthusiastically supported our founding ideas and
values, and deserves the credit for a vital role in forging our success over the
years. It is a dedicated crew of fine human beings, working together in an
organization that is well prepared to press on regardless long after I am gone.
Creating and leading this enterprise has been an exhilarating run. Through it
all, I've taken the kudos and the blows alike, enjoying every moment to the
fullest, and even getting a second chance at life with a heart transplant nearly
four years ago. What more could a man ask?
While I shall no longer be serving on the Vanguard Board, I want to assure
you that I will remain vigorous and active in a newly created Vanguard unit,
researching the financial markets, writing, and speaking. I'll continue to focus
whatever intellectual power and ethical strength I possess on my mission to
assure that mutual fund investors everywhere receive a fair shake. In the spirit
of Robert Frost:
But I have promises to keep, and miles to go before I sleep, and miles to
go before I sleep.
You have given me your loyalty and friendship over these long years, and I
deeply appreciate your thousands of letters of support. For my part, I will
continue to keep an eagle eye on your interests, for you deserve no less. May
God bless you all, always.
/S/
JCB
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CONTENTS
REPORT FROM THE CHAIRMAN.......................1
THE MARKETS IN PERSPECTIVE.....................6
FUND PROFILE...................................8
PERFORMANCE SUMMARY...........................12
FINANCIAL STATEMENTS..........................13
REPORT OF INDEPENDENT ACCOUNTANTS.............52
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[PHOTO]
JOHN J. BRENNAN
REPORT FROM THE CHAIRMAN
The U.S. stock market--driven by a small cadre of technology companies--soared
in 1999, but the bond market had its worst year since 1994. Vanguard Balanced
Index Fund gained 13.6% for the year, an excellent absolute return that
reflected the disparate returns of stocks and bonds. Our return surpassed the
average return for our balanced mutual fund competitors for the sixth
consecutive year.
As the table at right shows, the fund's 12-month total return (capital
change plus reinvested distributions and dividends) was 4.9 percentage points
higher than that of our average peer and even a bit higher than that of our
unmanaged benchmark, the Balanced Composite Index--a notable feat for an index
fund. The index is weighted 60% in the Wilshire 5000 Total Market Index, which
represents the entire U.S. stock market, and 40% in the Lehman Brothers
Aggregate Bond Index, a proxy for the U.S. taxable bond market.
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TOTAL RETURNS
YEAR ENDED
DECEMBER 31, 1999
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Vanguard Balanced Index Fund 13.6%
Average Balanced Fund* 8.7%
Balanced Composite Index** 13.5%
Wilshire 5000 Index 23.8%
Lehman Aggregate Bond Index -0.8
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* Derived from data provided by Lipper Inc.
**Made up of two umanaged benchmarks, weighted 60% Wilshire 5000 Index and 40%
Lehman Aggregate Bond Index.
The fund's total return is based on an increase in net asset value from
$18.48 per share on December 31, 1998, to $20.22 per share on December 31, 1999,
and is adjusted for dividends totaling $0.58 per share paid from net investment
income and distributions totaling $0.14 per share paid from net realized capital
gains. The fund's annualized yield at year-end 1999 was 3.2%.
FINANCIAL MARKETS IN REVIEW
The U.S. stock market rode the technology wave in 1999 to an unprecedented fifth
consecutive year of returns exceeding 20%. This year's performance was something
of a come-from-behind story. Stocks got off to a strong start during the first
four months of 1999 but, weighed down by higher interest rates, struggled
through most of the summer and into the fall. Through September, the Wilshire
5000 Index returned 4.6%. But technology stocks rallied, leading the market on
an upward tear over the final quarter, bringing the Wilshire 5000's full-year
return to a remarkable 23.8%.
The Standard & Poor's 500 Index, which is dominated by large-capitalization
stocks, returned 21.0%. Small-cap stocks, as measured by the Russell 2000 Index,
returned 21.3%--a fine showing for a market segment that had badly lagged
large-cap stocks in the five previous years.
The rise for the major indexes in 1999 suggests a broad advance for the
market, but in truth it was a year of "haves" and "have nots"--many stocks did
not join in the market's ascent. Fully 60% of the stocks listed on the New York
Stock Exchange actually declined in price in 1999, and so did 48% of the stocks
listed on the Nasdaq market. (In fact, 36% of NYSE stocks and 31% of Nasdaq
issues fell by more than 20%.) As mentioned, the technology sector set a torrid
pace--tech stocks in the S&P 500 Index
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gained 74% for the year and were largely responsible for growth stocks within
the index (up 28.2%) far outpacing value stocks (12.7%).
Somewhat surprisingly, these stock market returns occurred in an
environment of rising interest rates. Rates increased substantially during
1999--a rise encouraged by Federal Reserve Board policymakers, who boosted
short-term interest rates in three steps by a total of 0.75 percentage point (75
basis points). Higher rates can depress stock prices, especially for growth
issues, because they lessen the current value of projected future earnings. But
during 1999, investors decided that improving prospects for corporate profits
outweighed the negative impact of higher rates.
Bond prices are, of course, tightly linked to interest rates, and rising
rates cause prices of existing bonds to fall. Interest rates rose across all
maturities in 1999, and prices dropped accordingly. The yield of the benchmark
30-year U.S. Treasury bond stood at 6.48% on December 31, 138 basis points above
its 5.10% yield when the year began. As always, long-term bonds were hardest hit
by the rise in rates, and their prices fell almost -15% during the year. The
total return of the Lehman Aggregate Bond Index, a broad measure of the U.S.
bond market, was -0.8%, as a price decline of -7.0% more than offset interest
income of 6.2%.
1999 PERFORMANCE OVERVIEW
As noted, this was the sixth consecutive year in which the Balanced Index Fund
bested the average return of balanced funds. Our return of 13.6% surpassed that
of our average peer by 4.9 percentage points, the widest margin ever. For the
first time, the fund outpaced its target index, too.
We strive to maintain a ratio of 60% in stocks and 40% in bonds. However,
the exact proportion can fluctuate a bit, which accounts, in part, for our
return differing slightly from that of the index.
The reason that diversified balanced funds make sense for many investors
was evident in 1999. A mix of asset classes--bonds and stocks in the case of
Vanguard Balanced Index Fund--helps to protect a portfolio from the vicissitudes
of any one market segment. In a bad year for bonds, stocks saved the day. In
future periods, no doubt, stocks will suffer significant declines, and a bond
allocation could cushion the blow. The Balanced Index Fund, by automatically
rebalancing the stock/bond allocation, helps you to "lean against the wind" by
moving assets from an overweighted asset class to the underweighted asset group.
Without this feature, the strong run-up in stock prices over the past several
years would have made for a top-heavy allocation to stocks and a riskier asset
mix than our mandate allows.
LIFETIME PERFORMANCE OVERVIEW
The table below presents the Balanced Index Fund's average annual returns since
its inception compared with the results of its average peer and the Balanced
Composite Index. The table also shows the results of hypothetical $10,000
investments made in the fund at inception, in the average peer fund, and in the
index.
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TOTAL RETURNS
NOVEMBER 9, 1992, TO DECEMBER 31, 1999
-----------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RETURN INITIAL INVESTMENT
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Vanguard Balanced Index Fund 14.9% $26,941
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Average Balanced Fund 12.6% $23,396
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Balanced Composite Index 15.2% $27,447
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The Balanced Index Fund has performed well, both on an absolute basis and
relative to its mutual fund competitors. The fund's return of 14.9% a year
topped its competitors' average annual return by 2.3 percentage points, and
trailed the index
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by only 0.3 percentage point. Only in one year--1993, the first full year of the
fund's existence--did the fund fare worse than its average competitor, falling
short by 0.7 percentage point.
That we have lagged the index a bit over the long term is not surprising,
given that the fund incurs real-world operating and transaction costs that do
not burden a theoretical construct such as an index. However, the Balanced Index
Fund's costs are far lower than those of the average balanced fund. With an
expense ratio (annual expenses as a percentage of average net assets) of 0.20%,
or $2.00 per $1,000 in assets, our operating costs are less than one-sixth those
of the average peer, which charges 1.31% annually, or $13.10 per $1,000 of
assets. This cost gap explains a good deal of our advantage over our
competitors.
We believe it is important to note that the lifetime returns for the
Balanced Index Fund and its comparative standards--and for the financial markets
in general--were unusually generous compared with long-term norms. This is
principally due to the fantastic stock market returns experienced during the
period. The U.S. stock market, as measured by the Wilshire 5000 Index, produced
an average annual return of 17.6% during the 1990s, more than 11/2 times the
average return of about 11% achieved by stocks since 1925.
In part, the big returns of the past decade reflect the underlying growth
in the U.S. economy and in corporate profits. But another part of the gains can
be traced to growing optimism about stocks and less fear of their risks. These
changes in perception are reflected in the extraordinary rise in the average
stock's price/earnings ratio--from about 16 as the decade of the 1990s began to
an unprecedented 33 when it ended. No one knows whether or how investor
perceptions will change. But we note that the moods of markets, like the moods
of the millions of individuals who make up the markets, can shift dramatically.
In constructing long-term plans, we believe it is prudent to recognize that
financial markets will go through bad times as well as good times and to adopt
realistic assumptions about future returns. We don't believe it is realistic to
expect the next decade to be as rewarding as the past one. This isn't a forecast
of doom. If inflation remains in the neighborhood of 3% annually, it would take
stock returns of only 8% to 9% a year to provide decent real, or
inflation-adjusted, returns of 5% to 6%. If long-term bond returns approximate
their current yields--and that's the best guess to make--the current yields of
nearly 6.5% on long-term U.S. Treasury securities translate into a real return
of nearly 4 percentage points over recent inflation rates.
IN SUMMARY
Vanguard has long advocated that you build your investment program after
considering your investment time horizon, goals, and financial situation.
Further, we believe that a diversified portfolio of stocks, bonds, and
short-term reserves is a good way to participate in the long-term rewards of
investing while being prepared for the ever-present risks. This is, in a
nutshell, what the Balanced Index Fund is all about. Diversification and balance
can help you to "stay the course" as you pursue your long-term goals.
John J. Brennan
Chairman and Chief Executive Officer
January 24, 2000
3
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A NOTE OF THANKS TO OUR FOUNDER
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As you may have read on the inside cover of our report, our founder, John C.
Bogle, retired on December 31, 1999, as Senior Chairman of our Board after
nearly 25 years of devoted service to Vanguard and our shareholders. Vanguard
investors have Jack to thank for creating a truly mutual mutual fund company
that operates solely in the interest of its fund shareholders. And mutual fund
investors everywhere have benefited from his energetic efforts to improve this
industry. Finally, on a personal note, I am forever grateful to Jack for giving
me the opportunity to join this great company in 1982.
4
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A REPORT ON YOUR FUND'S AFTER-TAX RETURNS
Beginning with this annual report, Vanguard is pleased to provide a review of
the Balanced Index Fund's after-tax performance. The figures on this page
demonstrate the considerable impact that federal income taxes can have on a
fund's return--an important consideration for investors who own mutual funds in
taxable accounts. While the pretax return is most often used to tally a fund's
performance, the fund's after-tax return, which accounts for taxes on
distributions of capital gains and income dividends, is a better representation
of the return that many investors actually received. If you own the fund in a
tax-deferred account such as an individual retirement account or a 401(k), this
information does not apply to you. Such accounts are not subject to current
taxes.
The table below presents the pretax and after-tax returns for your fund and
an appropriate peer group of mutual funds. Two things to keep in mind:
o The after-tax return calculations use the top federal income tax rates in
effect at the time of each distribution. The tax burden, therefore, would
be somewhat less, and the after-tax return somewhat more, for those in
lower tax brackets.
o The peer funds' returns are provided by Morningstar, Inc. (Elsewhere in
this report, returns for comparable mutual funds are derived from data
provided by Lipper Inc., which differ somewhat.)
As you can see, the Balanced Index Fund's pretax total return of 13.6% for
the year ended December 31, 1999, was reduced by taxes to 12.1%. In other words,
for investors in the highest bracket, taxes cut the fund's pretax return by 1.5
percentage points. In comparison, taxes reduced the pretax return of the fund's
average peer by 2.3 percentage points.
Over the past five years, the Balanced Index Fund has demonstrated solid
tax efficiency. It generated a higher pretax return than its peer group average
and lost less to taxes.
<TABLE>
<CAPTION>
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AVERAGE ANNUAL RETURNS: PRETAX AND AFTER-TAX
PERIODS ENDED DECEMBER 31, 1999
--------------------------------------------------------------
1 YEAR 5 YEARS SINCE INCEPTION*
------ ------- -----------------
PRETAX AFTER-TAX PRETAX AFTER-TAX PRETAX AFTER-TAX
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<S> <C> <C> <C> <C> <C> <C>
Vanguard Balanced
Index Fund 13.6% 12.1% 19.1% 17.3% 14.9% 13.2%
Average Domestic
Hybrid Fund** 8.8 6.5 15.6 12.7 -- --
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</TABLE>
*November 9, 1992.
**Based on data from Morningstar, Inc.
We stress that because many interrelated factors affect how tax-friendly a
fund may be, it's very difficult to predict tax efficiency. A fund's tax
efficiency can be influenced by its turnover rate, the types of securities it
holds, the accounting practices it uses when selling shares, and the net cash
flow it receives.
Finally, it's important to understand that our calculation does not reflect
the tax effect of your own investment activities. Specifically, you may incur
additional capital gains taxes--thereby lowering your after-tax return--if you
decide to sell all or some of your shares.
A NOTE ABOUT OUR CALCULATIONS: Pretax total returns assume that all
distributions received (income dividends, short-term capital gains, and
long-term capital gains) are reinvested in new shares, while our after-tax
returns assume that distributions are reduced by any taxes owed on them before
reinvestment. When calculating the taxes due, we used the highest individual
federal income tax rates at the time of the distributions. Those rates are
currently 39.6% for dividends and short-term capital gains and 20% for long-term
capital gains. State and local income taxes were not considered. The competitive
group returns provided by Morningstar are calculated in a manner consistent with
that used for Vanguard funds.
5
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THE MARKETS IN PERSPECTIVE
YEAR ENDED DECEMBER 31, 1999
A global expansion in economic activity bolstered stocks at home and abroad
during 1999. The muscular U.S. economy provided a good bit of the oomph, but it
got an assist from solid growth in Asian, European, and Latin American economies
that had slumped in 1997 and 1998.
Interest rates increased significantly--causing bond prices to fall--as
both investors and monetary policymakers grew concerned that economic growth was
so vigorous that it would cause inflation to accelerate.
U.S. STOCK MARKETS
The booming economy and growing corporate profits provided plenty of fuel for
stock prices during 1999. However, higher interest rates restrained the rise,
especially for financial-services and electric utility stocks regarded as
interest rate sensitive.
U.S. economic output increased at an inflation-adjusted rate of about 4%--a
very rapid pace for such a large, mature economy. Analysts estimated that
corporate profits would grow by 14% in 1999 and again in 2000. Consumer
spending, which accounts for roughly two-thirds of economic activity, was
strong. People felt prosperous, thanks to the long bull market, plentiful jobs,
and rising incomes. (After-tax personal income grew by more than 5% in 1999, and
unemployment at year-end was at a three-decade low of 4.1% of the workforce.)
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AVERAGE ANNUAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
-----------------------------------
1 YEAR 3 YEARS 5 YEARS
- --------------------------------------------------------------------------------
STOCKS
S&P 500 Index 21.0% 27.6% 28.6%
Russell 2000 Index 21.3 13.1 16.7
Wilshire 5000 Index 23.8 26.1 27.1
MSCI EAFE Index 27.3 16.1 13.2
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BONDS
Lehman Aggregate Bond Index -0.8% 5.7% 7.7%
Lehman 10 Year Municipal Bond Index -1.3 4.8 7.1
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 4.7 5.0 5.2
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OTHER
Consumer Price Index 2.7% 2.0% 2.4%
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The stock market, as measured by the Wilshire 5000 Index, gained 23.8%,
with more than three-quarters of the gain coming in the final quarter of 1999.
For the first time in several years, smaller stocks outpaced
large-capitalization issues. The S&P 500 Index, which is dominated by large-cap
stocks and accounts for more than three-quarters of the U.S. stock market's
total value, gained 21.0% during the year; the rest of the market gained 35.4%.
Hidden in the market averages was an amazing divergence in stock
performance. Prices soared for most technology-related stocks, but performance
was pedestrian, at best, for most other issues. Indeed, three-fifths of stocks
on the New York Stock Exchange fell in 1999. The technology sector of the S&P
500 Index gained 74%, and the producer-durables sector, driven by huge gains for
some makers of telecommunications and technology gear, was up 49%. These results
were in stark contrast to the declines suffered by food and beverage companies
in the consumer-staples sector (-16%) and by many companies in the health-care
group (-10%).
6
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Investors seemed bedazzled by the prospects for growth in revenue and
profits among tech stocks, but less interested in the actual profits for nontech
companies. Remarkably, the average S&P 500 stock without earnings gained 36.5%
in 1999, while the average stock with earnings rose 11.5%. There is general
agreement that growth in Internet commerce, computers, software, wireless
communications, and other key tech sectors will be stupendous. However, there is
much disagreement about whether profits will grow so impressively, given the
intense competition. During 1999, optimists clearly ruled.
U.S. BOND MARKETS
The pickup in worldwide economic activity buoyed stock prices but depressed bond
prices. Interest rates, which move in the opposite direction from bond prices,
rose sharply. The rate increase stemmed from increased borrowing by corporations
and individuals and from investors' fears that a sizzling economy was bound to
send inflation soaring.
The inflation evidence was ambiguous. Price increases were greater in 1999
than in 1998 at both the wholesale and consumer levels. Wholesale prices rose
3.0%, the biggest gain since 1990. And the Consumer Price Index advanced 2.7% in
1999 after a gain of just 1.6% in 1998. However, energy prices, which plunged in
1998 and shot up in 1999, skewed the figures in both periods. At the consumer
level, the "core rate" of inflation, which excludes food and energy prices, was
up just 1.9% in 1999, the smallest increase in 35 years.
At midyear, the Federal Reserve Board, aiming to cool the economy a bit to
head off price pressures, began raising short-term interest rates. In all, the
Fed pushed up rates by 0.75 percentage point in three quarter-point steps. The
bond market anticipated the Fed--interest rates began rising sharply in
February--and at year-end the yield of 30-year U.S. Treasury bonds was up 1.38
percentage points (138 basis points) to 6.48%. The 10-year Treasury note--a
benchmark for mortgage lenders--rose 179 basis points, from 4.65% to 6.44%.
Short-term rates didn't rise as far; 3-month Treasury bill yields were up 88
basis points to 5.33% at year-end.
Price declines, as usual, were greatest for long-term bonds and least for
short-term bonds. The overall market, as measured by the Lehman Aggregate Bond
Index, which has an intermediate-term average maturity, posted a -0.8% total
return in 1999. Short-term bonds generally provided returns of 2% to 3%.
Long-term bonds suffered significant price declines, and the Lehman Long
Government/Corporate Index recorded a -7.7% total return.
INTERNATIONAL STOCK MARKETS
Bullishness among stock investors was an international phenomenon in 1999. The
biggest gains came in Pacific-region and emerging markets that had suffered most
from economic slumps and currency crises during 1997 and 1998.
Overall, the Morgan Stanley Capital International Europe, Australasia, Far
East (EAFE) Index of major developed markets produced a 27.3% return for U.S.
dollar-based investors. The MSCI Pacific Free Index gained an astounding 56.4%
for U.S. investors, as a strong rise in the Japanese yen against the U.S. dollar
tacked on about 12.5 percentage points to a 43.9% return in local currencies. In
Europe, currency fluctuations had the opposite effect: European currencies,
including the new 11-nation common currency, the euro, mostly fell against the
dollar, and the 30.3% return in local currencies was nearly halved to 15.8% in
U.S. dollars.
Emerging markets managed a stunning turnaround, as the Select Emerging
Markets Free Index rose 60.9% in U.S.-dollar terms after having plummeted -18.4%
in 1998 and -16.4% in 1997.
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FUND PROFILE
BALANCED INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of December
31, 1999, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on pages 10-11.
TOTAL FUND CHARACTERISTICS
- --------------------------
Yield 3.2%
Turnover Rate 29%
Expense Ratio 0.20%
Cash Reserves 0.6%
FUND ASSET ALLOCATION
- ---------------------
[PIE CHART]
BONDS 39%
STOCKS 60%
CASH RESERVES 1%
TOTAL FUND VOLATILITY MEASURES
- ------------------------------
BALANCED S&P
INDEX 500
- ------------------------------
R-Squared 0.97 1.00
Beta 0.61 1.00
TEN LARGEST STOCKS
(% OF EQUITIES)
- --------------------------------------------
Microsoft Corp. 3.8%
General Electric Co. 3.2
Cisco Systems, Inc. 2.2
Wal-Mart Stores, Inc. 2.0
Exxon Mobil Corp. 1.8
Intel Corp. 1.7
Lucent Technologies, Inc. 1.5
International Business Machines Corp.1.2
Citigroup, Inc. 1.2
American International Group, Inc. 1.1
- --------------------------------------------
Top Ten 19.7%
- --------------------------------------------
Top Ten as % of Total Net Assets 11.8%
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
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DECEMBER 31, 1998 DECEMBER 31, 1999
---------------------------------------------
BALANCED BALANCED WILSHIRE
INDEX INDEX 5000
---------------------------------------------
Auto & Transportation 2.7% 2.1% 2.0%
Consumer Discretionary 13.9 15.8 15.9
Consumer Staples 8.0 5.2 5.2
Financial Services 18.1 14.6 14.4
Health Care 11.8 8.9 8.9
Integrated Oils 3.4 3.0 3.0
Other Energy 1.3 1.7 1.7
Materials & Processing 4.1 3.3 3.3
Producer Durables 3.6 3.4 3.3
Technology 16.7 26.8 27.2
Utilities 11.2 10.1 10.2
Other 5.2 5.1 4.9
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EQUITY CHARACTERISTICS
- ------------------------------------------------
BALANCED WILSHIRE
INDEX 5000
- ------------------------------------------------
Number of Stocks 3,142 7,093
Median Market Cap $42.8B $41.9B
Price/Earnings Ratio 27.4x 27.8x
Price/Book Ratio 5.0x 5.0x
Dividend Yield 1.1% 1.1%
Return on Equity 22.5% 22.4%
Earnings Growth Rate 17.3% 17.5%
Foreign Holdings 0.0% 0.0%
EQUITY INVESTMENT FOCUS
- -----------------------
[grid]
STYLE BLEND
MARKET CAP LARGE
FIXED-INCOME CHARACTERISTICS
- ------------------------------------------------------
BALANCED
INDEX LEHMAN*
- ------------------------------------------------------
Number of Bonds 449 5,545
Yield to Maturity 7.1% 7.2%
Average Coupon 7.2% 6.8%
Average Maturity 9.0 years 8.9 years
Average Quality Aa1 Aaa
Average Duration 5.0 years 4.9 years
*Lehman Aggregate Bond Index.
FIXED-INCOME INVESTMENT FOCUS
- -----------------------------------------
[grid]
AVERAGE MATURITY MEDIUM
CREDIT QUALITY TREASURY/AGENCY
DISTRIBUTION BY ISSUER
(% OF BONDS)
- -------------------------------
Asset-Backed 4.3%
Finance 13.0
Foreign 4.8
Industrial 10.0
Mortgage 34.7
Treasury/Agency 28.9
Utilities 4.3
- -------------------------------
Total 100.0%
DISTRIBUTION BY CREDIT QUALITY
(% OF BONDS)
- -------------------------------
Treasury/Agency 28.9%
Aaa 39.2
Aa 6.0
A 12.6
Baa 13.3
Ba 0.0
B 0.0
Not Rated 0.0
- -------------------------------
Total 100.0%
9
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AVERAGE COUPON. The average interest rate paid on the securities held by a fund.
It is expressed as a percentage of face value.
AVERAGE DURATION. An estimate of how much a bond fund's share price will
fluctuate in response to a change in interest rates. To see how the price could
shift, multiply the fund's duration by the change in rates. If interest rates
rise by one percentage point, the share price of a fund with an average duration
of five years would decline by about 5%. If rates decrease by a percentage
point, the fund's share price would rise by 5%.
AVERAGE MATURITY. The average length of time until bonds held by a fund reach
maturity (or are called) and are repaid. In general, the longer the average
maturity, the more a fund's share price will fluctuate in response to changes in
market interest rates.
AVERAGE QUALITY. An indicator of credit risk, this figure is the average of the
ratings assigned to a fund's securities holdings by credit-rating agencies. The
agencies make their judgment after appraising an issuer's ability to meet its
obligations. Quality is graded on a scale, with Aaa or AAA indicating the most
creditworthy bond issuers and A-1 or MIG-1 indicating the most creditworthy
issuers of money market securities. U.S. Treasury securities are considered to
have the highest credit quality.
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of the overall market (or appropriate market
index). The market (or index) is assigned a beta of 1.00, so a fund with a beta
of 1.20 would have seen its share price rise or fall by 12% when the overall
market rose or fell by 10%.
CASH RESERVES. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts to simulate stock or
bond investment.
DISTRIBUTION BY CREDIT QUALITY. This breakdown of a fund's securities by credit
rating can help in gauging the risk that returns could be affected by defaults
or other credit problems.
DISTRIBUTION BY ISSUER. A breakdown of a fund's holdings by type of issuer or
type of instrument.
DIVIDEND YIELD. The current, annualized rate of dividends paid on a share of
stock, divided by its current share price. For a fund, the weighted average
yield for stocks it holds.
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the
past five years for the stocks now in a fund.
EQUITY INVESTMENT FOCUS. This grid indicates the focus of a fund's equity
holdings in terms of two attributes: market capitalization (large, medium, or
small) and relative valuation (growth, value, or a blend).
EXPENSE RATIO. The percentage of a fund's average net assets used to pay its
annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
FIXED-INCOME INVESTMENT FOCUS. This grid indicates the focus of a fund's
fixed-income holdings in terms of two attributes: average maturity (short,
medium, or long) and average credit quality (Treasury/agency, investment-grade
corporate, or below investment-grade).
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks
or American Depositary Receipts of companies based outside the United States.
10
<PAGE>
FUND ASSET ALLOCATION. This chart shows the proportions of a fund's holdings
allocated to different types of assets.
MEDIAN MARKET CAP. An indicator of the size of companies in which a fund
invests; the midpoint of market capitalization (market price x shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's assets
invested in each stock. Stocks representing half of the fund's assets have
market capitalizations above the median, and the rest are below it.
NUMBER OF BONDS. An indicator of diversification. The more separate issues a
fund holds, the less susceptible it is to a price decline stemming from the
problems of a particular bond issuer.
NUMBER OF STOCKS. An indicator of diversification. The more stocks a fund holds,
the more diversified it is and the more likely to perform in line with the
overall stock market.
PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book
value, per share. For a fund, the weighted average price/book ratio of the
stocks it holds.
PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share
earnings over the past year. For a fund, the weighted average P/E of the stocks
it holds. P/E is an indicator of market expectations about corporate prospects;
the higher the P/E, the greater the expectations for a company's future growth.
R-SQUARED. A measure of how much of a fund's past returns can be explained by
the returns from the overall market (or its benchmark index). If a fund's total
return were precisely synchronized with the overall market's return, its
R-squared would be 1.00. If a fund's returns bore no relationship to the
market's returns, its R-squared would be 0.
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a fund, the weighted average return on
equity for the companies whose stocks it holds.
SECTOR DIVERSIFICATION. The percentages of a fund's common stocks that come from
each of the major industry groups that compose the stock market.
TEN LARGEST STOCKS. The percentage of equity assets that a fund has invested in
its ten largest stocks. As this percentage rises, a fund's returns are likely to
be more volatile because they are more dependent on the fortunes of a few
companies.
TURNOVER RATE. An indication of trading activity during the past year. Funds
with high turnover rates incur higher transaction costs and are more likely to
distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year.
YIELD TO MATURITY. The rate of return an investor would receive if the
securities held by a fund were held to their maturity dates.
11
<PAGE>
PERFORMANCE SUMMARY
BALANCED INDEX FUND
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
TOTAL INVESTMENT RETURNS: NOVEMBER 9, 1992-DECEMBER 31, 1999
- ---------------------------------------------------------------------
BALANCED INDEX FUND COMPOSITE
INDEX*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ---------------------------------------------------------------------
1992 2.9% 0.8% 3.7% 3.8%
1993 6.1 3.9 10.0 10.7
1994 -5.2 3.6 -1.6 -1.2
1995 24.0 4.6 28.6 29.0
1996 10.0% 3.9% 13.9% 14.0%
1997 18.2 4.0 22.2 22.5
1998 14.3 3.6 17.9 18.1
1999 10.2 3.4 13.6 13.5
- ---------------------------------------------------------------------
*60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
See Financial Highlights table on page 49 for dividend and capital gains
information for the past five years.
CUMULATIVE PERFORMANCE: NOVEMBER 9, 1992-DECEMBER 31, 1999
- --------------------------------------------------------------------------------
11/9/1992 10000 10000 10000 10000 10000
199212 10369 10373 10385 10393 10372
199303 10770 10784 10817 10827 10800
199306 10922 10949 10989 10918 11086
199309 11288 11325 11369 11355 11376
199312 11399 11482 11494 11560 11383
199403 10997 11108 11105 11128 11056
199406 10888 10973 11008 11039 10942
199409 11258 11294 11394 11640 11009
199412 11214 11193 11360 11549 11051
199503 12026 11867 12202 12590 11608
199506 12986 12728 13184 13768 12315
199509 13776 13438 14007 15026 12556
199512 14418 14012 14656 15756 13091
199603 14789 14368 15044 16650 12859
199606 15186 14703 15481 17389 12932
199609 15573 15113 15864 17873 13172
199612 16422 15940 16713 19106 13650
199703 16445 15911 16740 19215 13573
199706 18330 17557 18664 22460 14071
199709 19627 18744 20015 24667 14539
199712 20068 18969 20468 25096 14966
199803 21767 20387 22215 28434 15200
199806 22226 20642 22678 28967 15555
199809 20986 19355 21451 25493 16213
199812 23643 21526 24174 31379 15886
199903 24135 21706 24685 32587 15807
199906 25159 22702 25725 35080 15667
199909 24272 21787 24788 32814 15774
199912 26941 23396 27447 38837 15755
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 1999
-------------------------------
SINCE FINAL VALUE OF A
1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Balanced Index Fund* 13.61% 19.13% 14.89% $26,941
Average Balanced Fund** 8.69 15.89 12.64 23,396
Balanced Composite Index*** 13.54 19.30 15.19 27,447
Wilshire 5000 Index 23.77 27.11 20.92 38,837
Lehman Aggregate Bond Index -0.82 7.73 6.57 15,755
- -------------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Derived from data provided by Lipper Inc.
***60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED DECEMBER 31, 1999
- ---------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balanced Index Fund* 11/9/1992 13.61% 19.13% 10.95% 3.94% 14.89%
- ---------------------------------------------------------------------------------------
</TABLE>
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
12
<PAGE>
FINANCIAL STATEMENTS
DECEMBER 31, 1999
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Securities are
grouped and subtotaled by asset type (common stocks, bonds, etc.). The fund's
Wilshire 5000 Index common stocks are listed in descending market value order;
corporate bonds are subtotaled by industry sector and reported separately from
U.S. and foreign government bonds. Other assets are added to, and liabilities
are subtracted from, the value of Total Investments to calculate the fund's Net
Assets. Finally, Net Assets are divided by the outstanding shares of the fund to
arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying
the composition of the fund's net assets on both a dollar and per-share basis.
Because all income and any realized gains must be distributed to shareholders
each year, the bulk of net assets consists of Paid in Capital (money invested by
shareholders). The amounts shown for Undistributed Net Investment Income and
Accumulated Net Realized Gains usually approximate the sums the fund had
available to distribute to shareholders as income dividends or capital gains as
of the statement date. Any Accumulated Net Realized Losses, and any cumulative
excess of distributions over net income or net realized gains, will appear as
negative balances. Unrealized Appreciation (Depreciation) is the difference
between the market value of the fund's investments and their cost, and reflects
the gains (losses) that would be realized if the fund were to sell all of its
investments at their statement-date values.
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (59.8%)(1)
- --------------------------------------------------------------------------------
o Microsoft Corp. 609,700 $ 71,183
General Electric Co. 391,913 60,649
o Cisco Systems, Inc. 388,374 41,605
Wal-Mart Stores, Inc. 531,600 36,747
Exxon Mobil Corp. 413,609 33,321
Intel Corp. 395,184 32,529
Lucent Technologies, Inc. 372,571 27,873
International Business
Machines Corp. 216,100 23,339
Citigroup, Inc. 403,477 22,418
American International
Group, Inc. 184,969 20,000
o America Online, Inc. 264,832 19,978
SBC Communications Inc. 409,576 19,967
AT&T Corp. 383,416 19,458
o Oracle Corp. 171,930 19,267
Merck & Co., Inc. 280,218 18,792
Home Depot, Inc. 267,297 18,327
o MCI WorldCom, Inc. 338,019 17,936
Procter & Gamble Co. 158,700 17,388
The Coca-Cola Co. 295,000 17,184
o Dell Computer Corp. 303,600 15,484
Bristol-Myers Squibb Co. 237,300 15,232
Johnson & Johnson 162,215 15,106
Pfizer, Inc. 462,900 15,015
o Sun Microsystems, Inc. 187,840 14,546
Hewlett-Packard Co. 121,050 13,792
o QUALCOMM, Inc. 76,800 13,526
o EMC Corp. 123,580 13,501
o Yahoo!, Inc. 31,016 13,420
Bell Atlantic Corp. 185,508 11,420
Time Warner, Inc. 154,600 11,199
Motorola, Inc. 72,500 10,676
BellSouth Corp. 225,300 10,547
Bank of America Corp. 206,350 10,356
o Berkshire Hathaway Inc.
Class A 176 9,874
Morgan Stanley Dean
Witter & Co. 68,220 9,738
Texas Instruments, Inc. 95,611 9,262
American Express Co. 53,784 8,942
Eli Lilly & Co. 131,556 8,749
E.I. du Pont de Nemours & Co. 127,414 8,393
Warner-Lambert Co. 102,180 8,372
GTE Corp. 118,200 8,341
Wells Fargo Co. 197,040 7,968
Ford Motor Co. 144,600 7,727
The Chase Manhattan Corp. 99,446 7,726
Fannie Mae 123,500 7,711
Schering-Plough Corp. 175,400 7,400
o Amgen, Inc. 121,984 7,327
The Walt Disney Co. 246,400 7,207
Sprint Corp. 103,680 6,979
Chevron Corp. 78,397 6,791
Abbott Laboratories 184,905 6,714
Philip Morris Cos., Inc. 285,500 6,620
McDonald's Corp. 161,800 6,523
PepsiCo, Inc. 174,700 6,158
American Home Products Corp. 156,100 6,156
o CBS Corp. 91,086 5,824
o Applied Materials, Inc. 44,900 5,688
o MediaOne Group, Inc. 73,500 5,646
General Motors Corp. 77,001 5,597
Compaq Computer Corp. 203,090 5,496
o Sprint PCS 53,620 5,496
13
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Honeywell International Inc. 94,933 $ 5,477
Gillette Co. 129,616 5,339
Medtronic, Inc. 141,242 5,146
o Viacom Inc. Class B 82,144 4,965
The Boeing Co. 114,762 4,770
The Gap, Inc. 102,488 4,714
Minnesota Mining &
Manufacturing Co. 48,100 4,708
Colgate-Palmolive Co. 69,700 4,530
Computer Associates
International, Inc. 64,312 4,498
Bank One Corp. 140,104 4,492
o NEXTEL Communications, Inc. 42,946 4,429
U S WEST, Inc. 61,269 4,411
o Veritas Software Corp. 30,150 4,315
o JDS Uniphase Corp. 26,600 4,291
Comcast Corp.-Special Class A 83,018 4,198
Kimberly-Clark Corp. 63,998 4,176
Automatic Data Processing, Inc.73,599 3,965
Anheuser-Busch Cos., Inc. 55,931 3,964
Electronic Data Systems Corp. 58,900 3,943
Freddie Mac 83,000 3,906
Dayton Hudson Corp. 52,900 3,885
First Union Corp. 117,373 3,851
FleetBoston Financial Corp. 109,492 3,812
Enron Corp. 85,390 3,789
o Qwest Communications
International Inc. 87,620 3,768
Corning, Inc. 29,200 3,765
Charles Schwab Corp. 97,804 3,753
United Technologies Corp. 57,536 3,740
Alcoa Inc. 44,780 3,717
Merrill Lynch & Co., Inc. 44,231 3,693
Schlumberger Ltd. 65,492 3,684
Texaco Inc. 67,078 3,643
o Clear Channel
Communications, Inc. 40,372 3,603
The Bank of New York Co., Inc. 89,262 3,571
Walgreen Co. 120,970 3,538
Carnival Corp. 73,300 3,505
Dow Chemical Co. 26,126 3,491
o CMGI Inc 12,300 3,406
Atlantic Richfield Co. 38,500 3,330
o Solectron Corp. 34,803 3,311
o Level 3 Communications, Inc. 40,000 3,275
o Cox Communications, Inc.
Class A 62,569 3,222
Marsh & McLennan Cos., Inc. 32,300 3,091
o Amazon.com, Inc. 40,000 3,045
ALLTEL Corp. 36,476 3,016
o Tellabs, Inc. 46,836 3,006
Emerson Electric Co. 52,001 2,984
International Paper Co. 49,514 2,795
Gannett Co., Inc. 34,123 2,783
o Sycamore Networks, Inc. 9,000 2,772
Monsanto Co. 76,300 2,718
Lowe's Cos., Inc. 45,292 2,706
SunTrust Banks, Inc. 39,277 2,703
o Gateway, Inc. 37,156 2,678
J.P. Morgan & Co., Inc. 20,900 2,647
Fifth Third Bancorp 35,861 2,631
MBNA Corp. 95,198 2,594
First Data Corp. 51,866 2,558
o VeriSign, Inc. 13,200 2,518
Eastman Kodak Co. 37,814 2,505
Firstar Corp. 117,593 2,484
Illinois Tool Works, Inc. 36,710 2,480
Sara Lee Corp. 110,102 2,429
o Costco Wholesale Corp. 26,265 2,397
Associates First Capital Corp. 87,112 2,390
o Micron Technology, Inc. 29,864 2,322
Allstate Corp. 95,552 2,293
o BMC Software, Inc. 28,530 2,281
o Cendant Corp. 85,479 2,271
American General Corp. 29,883 2,267
Duke Energy Corp. 44,312 2,221
o Safeway, Inc. 61,510 2,188
U.S. Bancorp 91,642 2,182
Baxter International, Inc. 34,505 2,167
Halliburton Co. 53,394 2,149
Household International, Inc. 57,384 2,137
Omnicom Group Inc. 21,252 2,125
Mellon Financial Corp. 62,348 2,124
o Immunex Corp. 19,300 2,110
Weyerhaeuser Co. 28,595 2,054
o Juniper Networks, Inc. 6,000 2,040
o DoubleClick Inc. 8,058 2,039
o Foundry Networks, Inc. 6,700 2,021
Campbell Soup Co. 51,636 1,998
o 3Com Corp. 42,425 1,994
Caterpillar, Inc. 42,234 1,988
o Apple Computer, Inc. 19,166 1,970
Columbia/HCA Healthcare Corp. 67,159 1,969
CIGNA Corp. 24,277 1,956
Interpublic Group of Cos., Inc.33,700 1,944
Southern Co. 82,100 1,929
o Analog Devices, Inc. 20,566 1,913
o eBay Inc. 15,200 1,903
o Ariba, Inc. 10,600 1,880
o AMFM Inc. 23,927 1,872
o The Kroger Co. 98,436 1,858
CVS Corp. 46,482 1,856
Conoco Inc. Class B 74,546 1,854
o Siebel Systems, Inc. 21,842 1,835
o AES Corp. 24,514 1,832
Washington Mutual, Inc. 69,994 1,820
AXA Financial, Inc. 53,500 1,812
o Computer Sciences Corp. 19,134 1,810
o General Instrument Corp. 21,200 1,802
Xerox Corp. 79,284 1,799
o i2 Technologies, Inc. 9,200 1,794
o BroadVision, Inc. 10,500 1,786
Bestfoods 33,245 1,747
o Exodus Communications, Inc. 19,600 1,741
National City Corp. 73,348 1,737
H.J. Heinz Co. 43,600 1,736
o Xilinx, Inc. 37,700 1,714
NIKE, Inc. Class B 34,339 1,702
o Guidant Corp. 35,840 1,685
o At Home Corp. Series A 39,260 1,683
o Infinity Broadcasting Corp. 45,775 1,657
PNC Bank Corp. 37,140 1,653
o Red Hat, Inc. 7,800 1,648
Albertson's, Inc. 50,890 1,641
Wachovia Corp. 24,051 1,636
o Commerce One, Inc. 8,250 1,621
14
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Williams Cos., Inc. 53,008 $ 1,620
o Compuware Corp. 43,400 1,617
o VoiceStream Wireless Corp. 11,300 1,608
Providian Financial Corp. 17,414 1,586
o Novell, Inc. 39,800 1,585
Sysco Corp. 39,489 1,562
Pitney Bowes, Inc. 32,069 1,549
Tribune Co. 28,122 1,549
Cardinal Health, Inc. 32,288 1,546
AFLAC, Inc. 32,474 1,532
o Conexant Systems, Inc. 23,082 1,532
Kellogg Co. 49,200 1,516
o Biogen, Inc. 17,800 1,504
o Maxim Integrated Products, Inc.31,800 1,500
o FDX Corp. 36,252 1,484
The McGraw-Hill Cos., Inc. 23,996 1,479
PE Corp.-PE Biosystems Group 12,250 1,474
o Network Appliance, Inc. 17,600 1,462
Phillips Petroleum Co. 31,000 1,457
The Clorox Co. 28,792 1,450
Northern Trust Corp. 27,200 1,442
State Street Corp. 19,701 1,439
o Kohl's Corp. 19,900 1,436
o Broadcom Corp. 5,200 1,416
Textron, Inc. 18,419 1,412
o General Motors Corp. Class H 14,511 1,393
o Lexmark International Group,
Inc. Class A 15,300 1,385
Sears, Roebuck & Co. 45,100 1,373
o NTL Inc. 10,959 1,367
Masco Corp. 53,600 1,360
o Teradyne, Inc. 20,400 1,346
Burlington Northern
Santa Fe Corp. 55,223 1,339
o Internap Network
Services Corp. 7,700 1,332
o Intuit, Inc. 22,200 1,331
PPG Industries, Inc. 21,200 1,326
Union Pacific Corp. 30,310 1,322
The Hartford Financial
Services Group Inc. 27,580 1,307
ConAgra, Inc. 57,903 1,306
o Citrix Systems, Inc. 10,600 1,304
General Mills, Inc. 36,434 1,302
Linear Technology Corp. 18,100 1,295
o Genentech, Inc. 9,600 1,291
o Federated Department
Stores, Inc. 25,454 1,287
o Liberate Technologies, Inc. 5,000 1,285
General Dynamics Corp. 24,332 1,283
May Department Stores Co. 39,782 1,283
Waste Management, Inc. 74,549 1,281
Intimate Brands, Inc. 29,515 1,273
o Seagate Technology Inc. 27,168 1,265
o Univision Communications Inc. 12,300 1,257
o MedImmune Inc. 7,557 1,253
o Comverse Technology, Inc. 8,650 1,252
Aon Corp. 31,291 1,252
Lehman Brothers Holdings, Inc. 14,660 1,241
o AMR Corp. 18,512 1,240
Deere & Co. 28,541 1,238
o InfoSpace.com, Inc. 5,700 1,220
o Best Buy Co., Inc. 24,200 1,214
The Chubb Corp. 21,552 1,214
o Interdigital
Communications Corp. 16,100 1,207
Paychex, Inc. 30,077 1,203
Texas Utilities Co. 33,810 1,202
o LSI Logic Corp. 17,604 1,188
Harley-Davidson, Inc. 18,500 1,185
o Metromedia Fiber
Network, Inc. 24,595 1,179
KeyCorp 53,270 1,179
Wrigley, (Wm.) Jr. Co. 14,200 1,178
o ADC Telecommunications, Inc. 16,200 1,176
o KLA-Tencor Corp. 10,500 1,169
o Altera Corp. 23,500 1,165
o Unisys Corp. 36,300 1,159
o Staples, Inc. 55,805 1,158
o EchoStar
Communications Corp. 11,800 1,150
o TIBCO Software Inc. 7,500 1,147
o BEA Systems, Inc. 16,400 1,147
Tandy Corp. 23,000 1,131
The Limited, Inc. 26,088 1,130
Capital One Financial Corp. 23,399 1,127
Dover Corp. 24,816 1,126
Rockwell International Corp. 23,383 1,120
Ingersoll-Rand Co. 20,200 1,112
BB&T Corp. 40,617 1,112
United Healthcare Corp. 20,679 1,098
Edison International 41,600 1,089
Union Carbide Corp. 16,281 1,087
o Inktomi Corp. 12,200 1,083
o RealNetworks, Inc. 8,900 1,078
Circuit City Stores, Inc. 23,888 1,077
o Boston Scientific Corp. 49,048 1,073
The Quaker Oats Co. 16,300 1,070
Ralston-Ralston Purina Group 38,329 1,068
o E-Tek Dynamics, Inc. 7,900 1,063
o Brocade Communications
Systems, Inc. 6,000 1,062
Delphi Automotive
Systems Corp. 67,047 1,056
Rohm & Haas Co. 25,848 1,052
El Paso Energy Corp. 27,096 1,052
o U.S. Cellular Corp. 10,400 1,050
Molex, Inc. 18,487 1,048
o McLeodUSA, Inc. Class A 17,800 1,048
Lockheed Martin Corp. 47,840 1,046
New York Times Co. Class A 21,300 1,046
o Vignette Corp. 6,400 1,043
Coca-Cola Enterprises, Inc. 51,500 1,036
Georgia Pacific Group 20,418 1,036
Avon Products, Inc. 30,918 1,020
Royal Caribbean Cruises, Ltd. 20,500 1,011
IMS Health, Inc. 37,100 1,009
Southwest Airlines Co. 62,266 1,008
Unocal Corp. 29,700 997
Kansas City Southern
Industries, Inc. 13,200 985
Avery Dennison Corp. 13,487 983
Adobe Systems, Inc. 14,500 975
o Cablevision Systems
Corp. Class B 12,900 974
Newell Rubbermaid, Inc. 33,542 973
15
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Lincoln National Corp. 24,300 $ 972
Franklin Resources Corp. 30,166 967
Aetna Inc. 17,249 963
Praxair, Inc. 19,089 960
o SDL, Inc. 4,400 959
o Sapient Corp. 6,800 958
o Vitesse Semiconductor Corp. 18,200 954
Telephone & Data Systems, Inc. 7,500 945
Marriott International, Inc.
Class A 29,778 940
UnumProvident Corp. 29,224 937
AmSouth Bancorp 48,377 934
PG&E Corp. 45,540 933
Norfolk Southern Corp. 45,500 933
Republic New York Corp. 12,840 925
BroadWing Inc. 25,009 922
Archer-Daniels-Midland Co. 75,304 918
o Portal Software, Inc. 8,900 916
Air Products & Chemicals, Inc. 27,272 915
St. Paul Cos., Inc. 27,036 911
FPL Group, Inc. 21,200 908
Public Service Enterprise
Group, Inc. 26,060 907
USX-Marathon Group 36,747 907
o Chiron Corp. 21,404 907
Consolidated Edison Inc. 26,278 906
o Redback Networks Inc. 5,100 905
Dominion Resources, Inc. 22,979 902
o USA Networks, Inc. 16,320 902
Coastal Corp. 25,362 899
Occidental Petroleum Corp. 41,438 896
o Network Solutions, Inc. Class A 4,100 892
o CIENA Corp. 15,500 891
o Tenet Healthcare Corp. 37,782 888
Raytheon Co. Class B 33,300 884
Jefferson-Pilot Corp. 12,925 882
Comerica, Inc. 18,633 870
o Parametric Technology Corp. 31,942 864
Unicom Corp. 25,800 864
o Millennium
Pharmaceuticals, Inc. 7,064 862
o Phone.com, Inc. 7,400 858
o National Semiconductor Corp. 20,000 856
Delta Air Lines, Inc. 17,158 855
o Clarus Corp. 12,900 851
o CNA Financial Corp. 21,700 845
o Priceline.com Inc. 17,600 834
o UnitedGlobalCom Inc. Class A 11,800 833
PECO Energy Corp. 23,900 830
Transocean Sedco Forex Inc. 24,579 828
o Lycos, Inc. 10,372 825
Reliant Energy, Inc. 36,071 825
Danaher Corp. 17,100 825
Baker Hughes, Inc. 38,934 820
SLM Holding Corp. 19,350 817
CSX Corp. 25,896 813
o PeopleSoft, Inc. 37,893 807
o FreeMarkets, Inc. 2,358 805
Loews Corp. 13,200 801
Allergan, Inc. 16,100 801
Stryker Corp. 11,500 801
o TV Guide, Inc. 18,600 800
o QLogic Corp. 4,992 798
Becton, Dickinson & Co. 29,832 798
Hershey Foods Corp. 16,716 794
o Applied Micro Circuits Corp. 6,200 789
MGIC Investment Corp. 13,071 787
CenturyTel, Inc. 16,562 785
The Goldman Sachs Group, Inc. 8,200 772
TJX Cos., Inc. 37,700 771
o Adelphia Communications
Corp. Class A 11,739 770
UnionBanCal Corp. 19,500 769
Marshall & Ilsley Corp. 12,178 765
o Omnipoint Corp. 6,300 760
Dow Jones & Co., Inc. 11,166 759
o Jabil Circuit, Inc. 10,400 759
SouthTrust Corp. 20,072 759
o Infonet Services Corp. 28,800 756
Entergy Corp. 29,287 754
TRW, Inc. 14,514 754
McKesson HBOC, Inc. 33,349 752
Tiffany & Co. 8,400 750
Consolidated Natural Gas Co. 11,479 745
American Electric Power
Co., Inc. 23,153 744
Estee Lauder Cos. Class A 14,700 741
Equity Office Properties
Trust REIT 29,984 738
o Tricon Global Restaurants, Inc.18,902 730
o Scient Corp. 8,400 726
o NEXTLINK
Communications, Inc. 8,700 723
o E*Trade Group, Inc. 27,600 721
Donaldson, Lufkin &
Jenrette, Inc. 14,900 721
Burlington Resources, Inc. 21,750 719
Fort James Corp. 26,228 718
o Cadence Design Systems, Inc. 29,732 713
Champion International Corp. 11,481 711
o SCI Systems, Inc. 8,600 707
o Loral Space & Communications 28,700 698
Cintas Corp. 13,100 696
Conseco Inc. 38,731 692
PaineWebber Group, Inc. 17,800 691
o Sanmina Corp. 6,900 689
Comdisco, Inc. 18,500 689
Synovus Financial Corp. 34,583 687
Regions Financial Corp. 27,317 686
Vastar Resources, Inc. 11,600 684
o Atmel Corp. 23,000 680
o Global TeleSystems Group, Inc. 19,600 679
o Kana Communications, Inc. 3,300 676
o Emulex Corp. 6,000 675
Union Planters Corp. 17,059 673
o VerticalNet, Inc. 4,100 672
o CareInsite, Inc. 8,300 668
Washington Post Co. Class B 1,200 667
o Legato Systems, Inc. 9,682 666
o Safeguard Scientifics, Inc. 4,106 665
Parker Hannifin Corp. 12,953 665
Symbol Technologies, Inc. 10,438 663
o Internet Capital Group, Inc. 3,880 660
Huntington Bancshares Inc. 27,519 657
o RF Micro Devices, Inc. 9,600 657
o Allegiance Telecom, Inc. 7,100 655
16
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Equity Residential Properties
Trust REIT 15,343 $ 655
Fortune Brands, Inc. 19,800 655
Mattel, Inc. 49,790 654
Summit Bancorp 21,302 652
Golden West Financial Corp. 19,361 648
o Affymetrix, Inc. 3,800 645
Progressive Corp. of Ohio 8,800 643
J.C. Penney Co., Inc. 32,261 643
Kerr-McGee Corp. 10,310 639
o CheckFree Holdings Corp. 6,100 638
FirstEnergy Corp. 27,991 635
MBIA, Inc. 12,016 635
Columbia Energy Group 10,017 633
Eaton Corp. 8,700 632
o Smurfit-Stone Container Corp. 25,719 630
Bear Stearns Co., Inc. 14,682 628
o Concord EFS, Inc. 24,328 627
o Electronic Arts Inc. 7,400 622
o Convergys Corp. 20,200 621
Willamette Industries, Inc. 13,357 620
o Adaptec, Inc. 12,400 619
Phelps Dodge Corp. 9,210 618
Amerada Hess Corp. 10,857 616
Cincinnati Financial Corp. 19,747 616
o TMP Worldwide, Inc. 4,300 611
Dollar General Corp. 26,775 609
o Forest Laboratories, Inc. 9,900 608
Ecolab, Inc. 15,444 604
Reynolds Metals Co. 7,800 598
Knight Ridder 9,993 595
Dana Corp. 19,803 593
The Times Mirror Co. Class A 8,844 593
o Kmart Corp. 58,600 590
o DST Systems, Inc. 7,700 588
First Security Corp. 22,962 586
Carolina Power & Light Co. 19,127 582
Johnson Controls, Inc. 10,223 581
o Hispanic Broadcasting Corp. 6,300 581
o Bed Bath & Beyond, Inc. 16,696 580
o AutoZone Inc. 17,900 578
o American Power
Conversion Corp. 21,900 578
o Synopsys, Inc. 8,645 577
T. Rowe Price 15,600 576
o Metro-Goldwyn-Mayer Inc. 24,369 574
Nucor Corp. 10,441 572
Whirlpool Corp. 8,778 571
Zions Bancorp 9,600 568
Dun & Bradstreet Corp. 19,200 566
Young & Rubicam Inc. 8,000 566
o HomeStore.com, Inc. 7,600 564
o Novellus Systems, Inc. 4,600 564
o Vitria Technology, Inc. 2,400 562
o Fiserv, Inc. 14,650 561
o Knight/Trimark Group, Inc. 12,200 561
o Covad Communications
Group, Inc. 10,000 559
United Parcel Service, Inc. 8,000 552
o VA Linux Systems, Inc. 2,669 552
DTE Energy Co. 17,326 544
The Goodyear Tire & Rubber Co. 19,187 541
Biomet, Inc. 13,500 540
Ameren Corp. 16,434 538
o Agile Software Corp. 2,475 538
o Cabletron Systems, Inc. 20,610 536
W.W. Grainger, Inc. 11,189 535
o Agilent Technologies, Inc. 6,900 534
Genuine Parts Co. 21,445 532
The Mead Corp. 12,200 530
o Starbucks Corp. 21,800 529
o American Tower Corp. Class A 17,230 527
Black & Decker Corp. 10,075 526
UST, Inc. 20,829 525
Scientific-Atlanta, Inc. 9,394 522
Anadarko Petroleum Corp. 15,300 522
H & R Block, Inc. 11,924 522
o LAM Research Corp. 4,660 520
Constellation Energy Group 17,900 519
o Wellpoint Health Networks Inc.
Class A 7,868 519
Old Kent Financial Corp. 14,505 513
Weatherford International, Inc.12,793 511
o Crown Castle International Corp15,900 511
o Proxicom, Inc. 4,100 510
AVX Corp. 10,200 509
o AutoNation, Inc. 55,030 509
Central & South West Corp. 25,400 508
o Noble Drilling Corp. 15,500 508
o Advanced Micro Devices, Inc. 17,500 506
o Rational Software Corp. 10,263 504
Apache Corp. 13,600 502
Leggett & Platt, Inc. 23,400 502
o PE Corp.-Celera Genomics
Group 3,363 501
Sempra Energy 28,772 500
Florida Progress Corp. 11,800 499
o Westwood One, Inc. 6,550 498
Tosco Corp. 18,300 497
Charter One Financial 25,931 496
o Extreme Networks, Inc. 5,900 493
Diamond Offshore Drilling, Inc.16,100 492
o E.Piphany Inc. 2,200 491
Starwood Hotels & Resorts
Worldwide, Inc. 20,806 489
Newmont Mining Corp. 19,914 488
o Mercury Interactive Corp. 4,500 486
o Office Depot, Inc. 44,387 486
o UAL Corp. 6,200 481
Reliastar Financial Corp. 12,238 480
Vulcan Materials Co. 12,000 479
Maytag Corp. 9,971 479
Brown-Forman Corp. Class B 8,300 475
Optical Coating Laboratory, Inc.1,600 474
International Flavors &
Fragrances, Inc. 12,539 473
o IDEC Pharmaceuticals Corp. 4,800 472
o Software.com, Inc. 4,900 470
o PSINet, Inc. 7,600 469
Cooper Industries, Inc. 11,604 469
Montana Power Co. 13,000 469
o Sawtek Inc. 7,000 466
o NCR Corp. 12,281 465
o Leap Wireless International, Inc5,925 465
o Next Level Communications, Inc. 6,200 464
o Silknet Software, Inc. 2,800 464
17
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Simon Property Group, Inc. REIT20,184 $ 463
o Owens-Illinois, Inc. 18,472 463
Cinergy Corp. 19,162 462
GPU, Inc. 15,340 459
Torchmark Corp. 15,800 459
Bausch & Lomb, Inc. 6,700 459
ServiceMaster Co. 36,950 455
o Peregrine Systems, Inc. 5,500 454
o CNET, Inc. 8,000 454
Northrop Grumman Corp. 8,363 452
o USinternetworking, Inc. 6,450 451
Temple-Inland Inc. 6,800 448
o RCN Corp. 9,200 446
Eastman Chemical Co. 9,350 446
o Genzyme Corp. 9,900 445
o ALZA Corp. 12,800 443
o SanDisk Corp. 4,600 443
Hasbro, Inc. 23,150 441
CMS Energy Corp. 14,100 440
Tyson Foods, Inc. 27,060 440
First Tennessee National Corp. 15,400 439
Popular, Inc. 15,700 439
o Quest Software, Inc. 4,300 439
o Digital Island Inc. 4,600 437
o Charter Communications, Inc. 20,000 437
Nordstrom, Inc. 16,664 436
o Winstar Communications, Inc. 5,800 434
PP&L Resources Inc. 18,952 433
AMBAC Financial Group Inc. 8,300 433
o iXL Enterprises, Inc. 7,800 433
Dynegy,Inc. 17,800 433
o Park Place Entertainment 34,585 432
o Ortel Corp. 3,600 432
o Jones Apparel Group, Inc. 15,857 430
o AmeriTrade Holding Corp. 19,800 429
o Advanced Fibre
Communications, Inc. 9,600 429
PACCAR, Inc. 9,641 427
Winn-Dixie Stores, Inc. 17,843 427
The CIT Group, Inc. 20,200 427
o RSA Security Inc. 5,500 426
VF Corp. 14,200 426
E.W. Scripps Co. Class A 9,500 426
Sherwin-Williams Co. 20,268 426
o Verio Inc. 9,200 425
o CDW Computer Centers, Inc. 5,400 424
o Citizens Utilities Co. Class B 29,881 424
o Network Associates, Inc. 15,883 424
o Nabors Industries, Inc. 13,700 424
o Toys R Us, Inc. 29,436 421
New Century Energies, Inc. 13,770 418
Fluor Corp. 9,100 418
o Sealed Air Corp. 8,019 415
o Harrah's Entertainment, Inc. 15,700 415
o Human Genome Sciences, Inc. 2,700 412
o Watson Pharmaceuticals, Inc. 11,500 412
Nabisco Group Holdings Corp. 38,699 411
SuperValu Inc. 20,491 410
o Akamai Technologies, Inc. 1,250 409
o VISIX Inc. 7,816 404
Equifax, Inc. 17,140 404
Hilton Hotels Corp. 41,652 401
o Razorfish Inc. 4,200 399
o ISS Group, Inc. 5,600 398
o S1 Corp. 5,094 398
o Calpine Corp. 6,200 397
o Critical Path, Inc. 4,200 396
o Powertel Inc. 3,900 391
o USWeb Corp. 8,800 391
o Microchip Technology, Inc. 5,700 390
Westvaco Corp. 11,950 390
o Cypress Semiconductor Corp. 12,000 388
R.R. Donnelley & Sons Co. 15,610 387
o Waters Corp. 7,300 387
o Sepracor Inc. 3,900 387
SAFECO Corp. 15,506 386
o American Standard Cos., Inc. 8,400 385
o Cree Research, Inc. 4,504 384
o Teletech Holdings Inc. 11,400 384
BHC Communications,
Inc. Class A 2,400 384
KeySpan Corp. 16,554 384
o Navistar International Corp. 8,100 384
Delhaize America, Inc. Class A 18,866 383
Total System Services, Inc. 23,400 382
Union Pacific Resources
Group, Inc. 29,937 382
o Continental Airlines, Inc.
Class B 8,600 382
o Symantec Corp. 6,500 381
o Western Wireless Corp.
Class A 5,700 380
o Technology Solutions Co. 11,550 378
o Health Management
Associates Class A 28,270 378
o Allaire Corp. 2,600 377
o DII Group, Inc. 5,300 376
ITT Industries, Inc. 11,193 374
o Macromedia, Inc. 5,100 373
o Amkor Technology, Inc. 13,200 373
M & T Bank Corp. 900 373
Mylan Laboratories, Inc. 14,750 371
Reader's Digest Assn., Inc.
Class A 12,700 371
The BFGoodrich Co. 13,440 370
Allegheny Energy, Inc. 13,700 369
ENSCO International, Inc. 16,124 369
ProLogis Trust REIT 19,152 369
o TriQuint Semiconductor, Inc. 3,300 367
o Fox Entertainment Group, Inc.
Class A 14,700 366
o Aerial Communications Inc. 6,000 365
A.G. Edwards & Sons, Inc. 11,387 365
Sigma-Aldrich Corp. 12,103 364
o Inet Technologies, Inc. 5,200 363
o Dollar Tree Stores, Inc. 7,500 363
o Immunomedics Inc. 29,600 363
New England Electric System 7,000 362
Hormel Foods Corp. 8,900 361
o J.D. Edwards & Co. 12,100 361
o Ask Jeeves, Inc. 3,200 361
o Mirage Resorts, Inc. 23,598 361
o Electronics for Imaging, Inc. 6,200 360
o Ceridian Corp. 16,700 360
o Alteon Websystems, Inc. 4,100 360
Northern States Power Co. 18,400 359
18
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
o Diamond Technology
Partners Inc. 4,171 $ 358
o eToys Inc. 13,600 357
o Zamba Corp. 20,500 356
Hannaford Brothers Co. 5,100 353
Hercules, Inc. 12,675 353
o SPX Corp. 4,355 352
Santa Fe International Corp. 13,600 352
o Freeport-McMoRan Copper &
Gold Inc. Class B 16,654 352
Allmerica Financial Corp. 6,289 350
o NorthPoint Communications
Group, Inc. 14,500 348
Galileo International, Inc. 11,600 347
Consolidated Papers 10,900 347
Harcourt General, Inc. 8,600 346
Manpower Inc. 9,100 342
Public Storage, Inc. REIT 15,044 341
o Sterling Commerce, Inc. 10,007 341
o Global Marine, Inc. 20,500 341
Countrywide Credit
Industries, Inc. 13,490 341
o Clarify, Inc. 2,700 340
o Express Scripts 5,300 339
Archstone Communities
Trust REIT 16,487 338
o Medical Manager Corp. 4,000 337
Rite Aid Corp. 29,850 334
C.R. Bard, Inc. 6,300 334
USX-U.S. Steel Group 10,100 333
o InterWorld Corp. 3,900 333
Family Dollar Stores, Inc. 20,400 333
Viad Corp. 11,900 332
Vornado Realty Trust REIT 10,200 331
o BJ Services Co. 7,926 331
o Associated Group, Inc. 3,608 329
o GoTo.com, Inc. 5,600 329
o King Pharmaceuticals, Inc. 5,850 328
o SunGard Data Systems, Inc. 13,800 328
o Jones Intercable Inc. 4,700 326
Crown Cork & Seal Co., Inc. 14,522 325
DPL Inc. 18,750 325
Unitrin, Inc. 8,600 323
o Harmonic, Inc. 3,400 323
o Whittman-Hart, Inc. 6,000 322
Potomac Electric Power Co. 14,000 321
Northeast Utilities 15,600 321
The Stanley Works 10,644 321
Pall Corp. 14,866 320
Transatlantic Holdings, Inc. 4,100 320
o CommScope, Inc. 7,900 318
o Asyst Technologies, Inc. 4,856 318
Devon Energy Corp. 9,680 318
EOG Resources, Inc. 18,100 318
o Entrust Technologies, Inc. 5,300 318
o BJ's Wholesale Club, Inc. 8,700 317
SCANA Corp. 11,800 317
o Interwoven, Inc. 2,600 316
o FirstCom Corp. 8,600 316
Comcast Corp. Class A 6,600 316
Bowater Inc. 5,800 315
o Engage Technologies, Inc. 5,250 315
o InterVU Inc. 3,000 315
o Lamar Advertising Co. Class A 5,200 315
o Abercrombie & Fitch Co. 11,798 315
o St. Jude Medical, Inc. 10,242 314
o Efficient Networks, Inc. 4,600 313
o Semtech Corp. 6,000 313
Pinnacle West Capital Corp. 10,200 312
Duke Realty Investments,
Inc. REIT 15,950 311
Murphy Oil Corp. 5,400 310
o Niagara Mohawk Holdings Inc. 22,200 309
Apartment Investment &
Management Co. Class A REIT 7,760 309
o Proxim, Inc. 2,800 308
o Healtheon/WebMD Corp. 8,200 308
o Gilead Sciences, Inc. 5,679 307
o DSP Group Inc. 3,300 307
o IVAX Corp. 11,900 306
The Pepsi Bottling Group, Inc. 18,500 306
o Micromuse Inc. 1,800 306
o Vishay Intertechnology, Inc. 9,658 305
Avnet, Inc. 5,045 305
o Integrated Device
Technology Inc. 10,500 305
DQE Inc. 8,750 303
o Williams Sonoma, Inc. 6,584 303
o Sterling Software, Inc. 9,600 302
Wendy's International, Inc. 14,600 301
o Quantum Corp-DLT &
Storage Systems 19,900 301
o Cygnus Inc. 16,488 301
Green Point Financial Corp. 12,600 300
o Republic Services, Inc. Class A20,800 299
Compass Bancshares Inc. 13,400 299
o Cooper Cameron Corp. 6,100 299
o MP3.com, Inc. 9,400 298
o Adelphia Business
Solutions, Inc. 6,200 298
o Sybron International Corp. 12,008 296
o Macrovision Corp. 4,000 296
NSTAR 7,295 295
o PRI Automation, Inc. 4,400 295
Dial Corp. 12,100 294
o Intertrust Technologies Corp. 2,500 294
o Open Market, Inc. 6,500 293
o LTX Corp. 13,100 293
Illinova Corp. 8,400 292
o R & B Falcon Corp. 22,024 292
TECO Energy, Inc. 15,700 291
o Chris-Craft Industries, Inc. 4,027 290
o Acacia Research Corp. 9,700 290
o Centennial Cellular Corp.
Class A 3,500 290
Darden Restaurants Inc. 16,000 290
o Robert Half International, Inc.10,150 290
Energy East Corp. 13,900 289
o US Airways Group, Inc. 9,005 289
o INCYTE Pharmaceuticals, Inc. 4,800 288
o Aspect Development, Inc. 4,200 288
o Clarent Corp. 3,700 288
o Go2Net, Inc. 3,300 287
o C-Cube Microsystems, Inc. 4,600 286
Liz Claiborne, Inc. 7,600 286
Eastern Enterprises 4,978 286
19
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Ashland, Inc. 8,680 $ 286
SEI Corp. 2,400 286
o NetZero Inc. 10,600 286
o PRIMEDIA Inc. 17,300 285
o Radio One, Inc. 3,100 285
o Time Warner Telecom Inc. 5,700 285
o Object Design, Inc. 19,600 284
o Enzo Biochem, Inc. 6,300 284
o KEMET Corp. 6,300 284
National Community Bancorp 12,500 283
o QRS Corp. 2,700 283
o Thermo Electron Corp. 18,859 283
USG Corp. 6,000 283
o Keebler Foods Co. 10,000 281
U.S. Trust Corp. 3,498 280
o StarMedia Network, Inc. 7,000 280
o Pacificare Health Systems, Inc. 5,280 280
Boise Cascade Corp. 6,900 279
o Micrel, Inc. 4,900 279
Mallinckrodt, Inc. 8,766 279
o MiniMed, Inc. 3,800 278
o Smith International, Inc. 5,600 278
o Manugistics Group, Inc. 8,600 278
AK Steel Corp. 14,717 278
o Project Software &
Development, Inc. 5,000 277
Engelhard Corp. 14,600 276
o Digex, Inc. 4,000 275
o Valassis Communications, Inc. 6,500 275
Sonoco Products Co. 12,070 274
o Golden State Bancorp Inc. 15,900 274
North Fork Bancorp, Inc. 15,641 274
o Copper Mountain Networks, Inc. 5,600 273
o Affiliated Computer Services,
Inc. Class A 5,910 272
Great Lakes Chemical Corp. 7,100 271
o WorldGate Communications, Inc. 5,700 271
o Catalina Marketing Corp. 2,340 271
o Arrow Electronics, Inc. 10,674 271
o SFX Entertainment, Inc. 7,480 271
o NaviSite, Inc. 2,700 270
o Rhythms NetConnections Inc. 8,700 270
o Lattice Semiconductor Corp. 5,700 269
LG&E Energy Corp. 15,379 268
Wisconsin Energy Corp. 13,900 267
Avalonbay Communities,
Inc. REIT 7,781 267
o Saks Inc. 17,036 265
NiSource, Inc. 14,800 264
o APAC Teleservices, Inc. 18,800 264
o HNC Software, Inc. 2,500 264
o Techne 4,800 264
o Informix Corp. 23,120 263
Meredith Corp. 6,264 261
o On2.com Inc. 9,000 261
Sunoco, Inc. 11,106 261
o TSI International Software Ltd. 4,600 260
Commerce Bancshares, Inc. 7,687 260
o Keane, Inc. 8,200 260
First Virginia Banks, Inc. 6,050 260
o Primus Telecommunications
Group, Inc. 6,800 260
o Litton Industries, Inc. 5,200 259
The PMI Group Inc. 5,300 259
Spieker Properties, Inc. REIT 7,100 259
o Nova Corp. (Georgia) 8,173 258
o Quintiles Transnational Corp. 13,791 258
o Silicon Valley Bancshares 5,200 257
o Viant Corp. 2,600 257
Alliant Energy Corp. 9,352 257
Dillard's Inc. 12,739 257
o AnswerThink Consulting
Group, Inc. 7,500 257
o Lear Corp. 8,000 256
Hudson United Bancorp 10,009 256
o Artisoft, Inc. 14,200 256
Boston Properties, Inc. REIT 8,200 255
o Vicor Corp. 6,300 255
Shaw Industries, Inc. 16,500 255
A. H. Belo Corp. Class A 13,348 254
Travelers Property
Casualty Corp. 7,400 253
o LCC International, Inc. Class A12,700 253
o HEALTHSOUTH Corp. 46,858 252
o MICROS Systems, Inc. 3,400 252
o Premier Parks Inc. 8,700 251
o Allscripts, Inc. 5,700 251
Johns Manville Corp. 17,900 251
o Spyglass, Inc. 6,600 250
Deluxe Corp. 9,100 250
o Emmis Communications, Inc. 2,000 249
The Timber Co. 10,100 249
o Pacific Sunwear of California 7,800 249
Crescent Real Estate, Inc. REIT13,500 248
Associated Banc-Corp. 7,233 248
o Network Access Solutions Corp. 7,500 247
o Verity, Inc. 5,800 247
Allegheny Technologies Inc. 10,990 246
Legg Mason Inc. 6,800 246
Homestake Mining Co. 31,500 246
Cummins Engine Co., Inc. 5,092 246
o Fisher Scientific
International Inc. 6,800 246
Harris Corp. 9,200 245
o Track Data Corp. 24,000 244
Hillenbrand Industries, Inc. 7,700 244
Kimco Realty Corp. REIT 7,200 244
o Burr-Brown Corp. 6,750 244
FirstMerit Corp. 10,595 244
o Ziff-Davis Inc. 15,400 244
o Tekelec 10,800 243
FINOVA Group, Inc. 6,800 241
Expeditors International of
Washington, Inc. 5,500 241
ICN Pharmaceuticals, Inc. 9,493 240
o Iron Mountain, Inc. 6,100 240
Metris Cos., Inc. 6,718 240
o CSG Systems International, Inc. 6,000 239
o Interliant Inc. 9,200 239
Media General, Inc. Class A 4,600 239
o American Eagle Outfitters, Inc. 5,300 239
o Level 8 Systems Inc. 6,900 238
o Progress Software Corp. 4,200 238
The St. Joe Co. 9,800 238
American Water Works Co., Inc. 11,200 238
McCormick & Co., Inc. 8,000 238
20
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Mercantile Bankshares Corp. 7,450 $ 238
TCF Financial Corp. 9,556 238
Waddell & Reed Financial, Inc.
Class B 9,408 236
o MidAmerican Energy
Holdings Co. 7,000 236
Hertz Corp. Class A 4,700 236
Protective Life Corp. 7,400 235
Martin Marietta Materials, Inc. 5,711 234
o Kulicke & Soffa Industries, Inc.5,500 234
o MIPS Technologies, Inc. 4,500 234
o Hyperion Solutions Corp. 5,379 234
Brunswick Corp. 10,497 234
o Acxiom Corp. 9,700 233
The McClatchy Co. Class A 5,375 232
MCN Energy Group Inc. 9,700 230
Autodesk, Inc. 6,820 230
Erie Indemnity Co. Class A 7,100 230
R.J. Reynolds Tobacco
Holdings, Inc. 13,033 230
o Uniroyal Technology Corp. 9,000 229
o Gentex Corp. 8,252 229
Pittway Corp. Class A 5,100 228
UST Corp. 7,196 228
o F5 Networks, Inc. 2,000 228
True North Communications 5,100 228
Pentair, Inc. 5,900 227
o WebTrends Corp. 2,800 227
o Adtran, Inc. 4,400 226
CTS Corp. 3,000 226
Ultramar Diamond
Shamrock Corp. 9,937 225
o Intermedia
Communications Inc. 5,800 225
o Finisar Corp. 2,500 225
o Outback Steakhouse 8,650 224
o Ancor Communications, Inc. 3,300 224
Service Corp. International 32,281 224
Lafarge Corp. 8,100 224
Jones Pharma, Inc. 5,150 224
Tidewater Inc. 6,200 223
o Polycom, Inc. 3,500 223
o Silicon Graphics, Inc. 22,704 223
o Rambus Inc. 3,300 223
o Northwest Airlines Corp.
Class A 10,000 223
o Netegrity, Inc. 3,900 222
o Lincare Holdings, Inc. 6,400 222
PerkinElmer, Inc. 5,300 221
o Citadel Communications Corp. 3,400 221
Methode Electronics, Inc.
Class A 6,849 220
Thomas & Betts Corp. 6,900 220
Bemis Co., Inc. 6,300 220
Southdown, Inc. 4,244 219
Herman Miller, Inc. 9,500 219
Radian Group, Inc. 4,574 218
o Chico's Fas, Inc. 5,800 218
o Retek Inc. 2,900 218
o National Instruments Corp. 5,700 218
o Pactiv Corp. 20,500 218
Whitman Corp. 16,200 218
o Consolidated Stores, Inc. 13,362 217
o Pegasus Systems Inc. 3,600 217
o Viatel, Inc. 4,045 217
Federated Investors, Inc. 10,800 217
Hubbell Inc. Class B 7,950 217
o Credence Systems Corp. 2,500 216
o Wink Communications, Inc. 3,600 216
Georgia Gulf Corp. 7,100 216
o Mandalay Resort Group 10,700 215
International Game Technology 10,600 215
Adolph Coors Co. Class B 4,100 215
Cornerstone Properties,
Inc. REIT 14,700 215
o Imperial Bancorp 8,910 215
UtiliCorp United, Inc. 11,050 215
o Rowan Cos., Inc. 9,900 215
Valspar Corp. 5,100 214
o Packeteer, Inc. 3,000 213
o Electro Scientific
Industries, Inc. 2,900 212
Snap-On Inc. 7,946 211
o Source Media, Inc. 11,400 211
o Ardent Software, Inc. 5,402 211
o InterVoice-Brite, Inc. 8,888 210
o Storage Technology Corp. 11,392 210
o Xircom, Inc. 2,800 210
Host Marriott Corp. REIT 25,400 210
IMC Global Inc. 12,789 209
Reynolds & Reynolds Class A 9,300 209
o Tritel, Inc. 6,600 209
o Tut Systems, Inc. 3,900 209
o MGM Grand, Inc. 4,151 209
Old Republic International Corp15,325 209
o CacheFlow Inc. 1,597 209
Sovereign Bancorp, Inc. 27,949 208
o 24/7 Media, Inc. 3,700 208
o Provident American Corp. 5,900 208
o Maverick Tube Corp. 8,400 207
o Mastec Inc. 4,650 207
Roper Industries Inc. 5,472 207
o Exchange Applications, Inc. 3,700 207
BancWest Corp. 10,600 207
o PurchasePro.com, Inc. 1,500 206
Dallas Semiconductor Corp. 3,200 206
o ImClone Systems, Inc. 5,200 206
o go.com 8,625 205
o California Amplifier, Inc. 7,800 205
o FMC Corp. 3,573 205
CCB Financial Corp. 4,700 205
United Television, Inc. 1,487 205
o Entercom
Communications Corp. 3,100 205
o U.S. Foodservice 12,200 204
o Sagent Technology, Inc. 6,800 204
o TranSwitch Corp. 2,800 203
Hibernia Corp. Class A 19,100 203
Westinghouse Air Brake Co. 11,414 203
o Williams Communications
Group, Inc. 7,000 203
Tektronix, Inc. 5,200 202
o Banyan Systems, Inc. 10,100 202
o Sykes Enterprises, Inc. 4,600 202
Dime Bancorp, Inc. 13,328 202
o Calico Commerce Inc. 3,800 201
21
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
o Perot Systems Corp. 10,600 $ 201
Sotheby's Holdings Class A 6,700 201
o Apria Healthcare 11,200 201
o Commonwealth Telephone
Enterprises, Inc. 3,799 201
Millipore Corp. 5,200 201
Lubrizol Corp. 6,500 201
Valley National Bancorp 7,146 200
o Network Peripherals, Inc. 4,200 198
o Manor Care, Inc. 12,400 198
o Pixar, Inc. 5,600 198
Financial Security Assurance
Holdings Ltd. 3,800 198
o Invitrogen Corp. 3,300 198
Diebold, Inc. 8,400 197
AMB Property Corp. REIT 9,900 197
o Allied Waste Industries, Inc. 22,375 197
o LookSmart, Ltd. 7,300 197
o Silicon Image, Inc. 2,800 196
Wesco Financial Corp. 800 196
o BISYS Group, Inc. 3,000 196
Weis Markets, Inc. 4,500 196
o Valence Technology 10,300 196
National Fuel Gas Co. 4,200 195
o Carrier Access Corp. 2,900 195
o National Information
Consortium, Inc. 6,100 195
o Pinnacle Holdings Inc. REIT 4,600 195
o Andrx Corp. 4,600 195
Solutia, Inc. 12,600 195
o Crossroads Systems, Inc. 2,300 194
o SuperGen, Inc. 6,600 194
o Mohawk Industries, Inc. 7,350 194
o Complete Business
Solutions, Inc. 7,700 193
o ITC DeltaCom, Inc. 7,000 193
o Howmet International Inc. 10,700 193
Fastenal Co. 4,300 193
Wilmington Trust Corp. 4,000 193
Nabisco Holdings Corp.
Class A 6,100 193
o MindSpring Enterprises, Inc. 7,300 193
IBP, Inc. 10,700 193
o AppliedTheory Corp. 6,900 191
o RadiSys Corp. 3,750 191
Applied Power, Inc. 5,200 191
o Cognex Corp. 4,900 191
o Kent Electronics Corp. 8,400 191
o Zoll Medical Corp. 5,000 191
o ESS Technology, Inc. 8,600 191
Centura Banks, Inc. 4,318 191
o Andrew Corp. 10,030 190
Ryder System, Inc. 7,772 190
American Financial Group, Inc. 7,200 190
Chicago Title Corp. 4,102 190
o Intraware, Inc. 2,400 190
o Dionex Corp. 4,600 189
o FileNet Corp. 7,400 189
o Netro Corp. 3,700 189
o Integrated Systems, Inc. 5,600 188
Conectiv, Inc. 11,178 188
Arthur J. Gallagher & Co. 2,900 188
o Eagle USA Airfreight, Inc. 4,350 188
o Fairchild Semiconductor Corp. 6,300 187
Dean Foods Corp. 4,700 187
One Valley Bancorp of
West Virginia Inc. 6,100 187
Peoples Heritage Financial
Group Inc. 12,400 187
Liberty Property Trust REIT 7,700 187
NICOR, Inc. 5,740 187
Ross Stores, Inc. 10,400 187
CNF Transportation, Inc. 5,400 186
o Midway Games Inc. 7,774 186
o Plantronics, Inc. 2,600 186
GATX Corp. 5,500 186
o World Access, Inc. 9,620 185
Health Care Properties
Investors REIT 7,746 185
o Southern Union Co. 9,660 185
o Administaff, Inc. 6,100 185
o Dollar Thrifty Automotive
Group, Inc. 7,700 184
o Aztar Corp. 16,900 184
o Sanchez Computer
Associates, Inc. 4,462 184
Trustmark Corp. 8,500 184
Puget Sound Energy Inc. 9,480 184
o Argosy Gaming Co. 11,800 184
20th Century Industries of CA 9,500 183
Louisiana-Pacific Corp. 12,849 183
Sky Financial Group, Inc. 9,097 183
o Dendrite International, Inc. 5,400 183
Hudson City Bancorp, Inc. 13,600 183
Astoria Financial Corp. 6,000 183
Florida Rock Industries, Inc. 5,300 183
o Brinker International, Inc. 7,600 182
OGE Energy Corp. 9,600 182
o NetIQ Corp. 3,500 182
o Metamor Worldwide, Inc. 6,250 182
Flowers Industries, Inc. 11,400 182
o PairGain Technologies, Inc. 12,800 182
o Illuminet Holdings, Inc. 3,300 182
Investment Technology
Group, Inc. 6,250 180
o Art Technology Group, Inc. 1,400 179
o Zale Corp. 3,700 179
C.H. Robinson Worldwide, Inc. 4,500 179
Lyondell Chemical Co. 14,000 179
City National Corp. 5,400 178
Centex Corp. 7,200 178
Millennium Chemicals, Inc. 9,000 178
o Apollo Group, Inc. Class A 8,850 178
American Greetings Corp.
Class A 7,500 177
o Windmere-Durable
Holdings Inc. 10,400 177
Worthington Industries, Inc. 10,650 176
Rouse Co. REIT 8,300 176
Post Properties, Inc. REIT 4,600 176
Provident Financial Group, Inc. 4,900 176
o Visio Corp. 3,700 176
o Interim Services, Inc. 7,100 176
WFS Financial, Inc. 8,310 176
o Varian, Inc. 7,800 176
o MMC Networks, Inc. 5,100 175
22
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
CK Witco Corp. 13,037 $ 174
Gartner Group, Inc. Class A 11,400 174
o Drugstore.com, Inc. 4,800 174
o DuPont Photomasks, Inc. 3,600 174
o Hanover Compressor Co. 4,600 174
o Enzon, Inc. 4,000 174
o Caremark Rx, Inc. 34,224 173
o Ciber, Inc. 6,300 173
o CompuCredit Corp. 4,500 173
o Cybex Computer Products Corp. 4,275 173
National Computer
Systems, Inc. 4,600 173
o Canandaigua Brands, Inc.
Class A 3,392 173
o Station Casinos, Inc. 7,700 173
o Cable Design Technologies 7,500 173
Lee Enterprises, Inc. 5,400 172
American National Insurance Co. 2,700 172
o Stillwater Mining Co. 5,400 172
Highwood Properties, Inc. REIT 7,400 172
o First Health Group Corp. 6,400 172
o Alliance Semiconductor Corp. 10,300 172
o International Rectifier Corp. 6,600 172
Federal-Mogul Corp. 8,500 171
Church & Dwight, Inc. 6,400 171
General Growth Properties
Inc. REIT 6,100 171
o Patterson Dental Co. 4,000 171
o NETRIX Corp. 11,400 170
o NBC Internet, Inc. Class A 2,200 170
Raytheon Co. Class A 6,845 170
Harte-Hanks, Inc. 7,800 170
Talbots Inc. 3,800 170
Kinder Morgan, Inc. 8,392 169
Mack-Cali Realty Corp. REIT 6,500 169
N L Industries, Inc. 11,200 169
o Veeco Instruments, Inc. 3,600 168
Lancaster Colony Corp. 5,082 168
o Payless ShoeSource, Inc. 3,580 168
o Tularik, Inc. 5,100 168
Florida East Coast Railway Co. 4,000 167
Valero Energy Corp. 8,400 167
o Price Communications Corp. 6,000 167
Graco, Inc. 4,650 167
o Haemonetics Corp. 7,000 167
Brown & Brown, Inc. 4,350 167
o Chemdex Corp. 1,500 166
Jack Henry & Associates 3,100 166
The MONY Group Inc. 5,700 166
Old National Bancorp 5,114 166
o Ixnet, Inc. 5,500 166
o Cambridge Technology Partners 6,300 165
Bel Fuse, Inc.-Class B 6,900 165
Shared Medical Systems Corp. 3,237 165
o Harbinger Corp. 5,175 165
o LHS Group, Inc. 6,700 164
Pacific Century Financial Corp. 8,800 164
Beckman Coulter, Inc. 3,232 164
o OnDisplay, Inc. 1,800 163
o Lands' End, Inc. 4,700 163
Hollinger International, Inc. 12,600 163
Roslyn Bancorp, Inc. 8,800 163
o Catellus Development Corp. 12,700 163
Allied Capital Corp. 8,880 163
o Santa Fe Snyder Corp. 20,300 162
o Stamps.Com Inc. 3,900 162
IPALCO Enterprises, Inc. 9,500 162
o AppNet, Inc. 3,700 162
o NextCard, Inc. 5,600 162
o Charming Shoppes, Inc. 24,400 162
Park National Corp. 1,680 161
First Midwest Bancorp 6,075 161
Ethan Allen Interiors, Inc. 5,010 161
Franchise Finance Corp. of
America REIT 6,700 160
o Modis Professional
Services Inc. 11,254 160
Armstrong World
Industries Inc. 4,800 160
Mercury General Corp. 7,200 160
o Webvan Group Inc. 9,700 160
o American Management
Systems, Inc. 5,100 160
Inter-Tel, Inc. 6,400 160
Cullen/Frost Bankers, Inc. 6,200 160
The Timken Co. 7,800 159
o Latitude Communications, Inc. 6,100 159
Investors Financial
Services Corp. 3,464 159
Foremost Corp. of America 5,600 159
o Caliper Technologies Corp. 2,380 159
Kansas City Power & Light Co. 7,200 159
o NFO Worldwide, Inc. 7,095 159
CarrAmerica Realty Corp. REIT 7,500 158
Meritor Automotive, Inc. 8,166 158
o Medicis Pharmaceutical Corp. 3,713 158
o ICOS Corp. 5,400 158
o Zebra Technologies Corp.
Class A 2,700 158
o Barnes & Noble, Inc. 7,648 158
o The Topps Co., Inc. 15,200 158
Central Newspapers, Inc. 4,000 157
New Plan Excel Realty
Trust REIT 9,960 157
o CEC Entertainment Inc. 5,550 157
o Tech Data Corp. 5,800 157
o EarthLink Network, Inc. 3,700 157
o Hollywood Park, Inc. 7,000 157
IDEX Corp. 5,150 156
o Snyder Communications, Inc. 8,120 156
o Hearst-Argyle Television Inc. 5,868 156
Potlatch Corp. 3,500 156
Crane Co. 7,850 156
Interstate Bakeries Corp. 8,600 156
o AmeriCredit Corp. 8,400 155
Sierra Pacific Resources 8,976 155
o Sybase, Inc. 9,140 155
o Digene Corp. 8,900 155
Tredegar Corp. 7,500 155
Clayton Homes Inc. 16,827 155
o Suiza Foods Corp. 3,900 154
o Focal Communications Corp. 6,400 154
o ACNielson Corp. 6,266 154
Peoples Bank Bridgeport 7,300 154
o Choice Hotel International, Inc.9,000 154
o Concentric Network Corp. 5,000 154
23
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
o The Profit Recovery Group
International, Inc. 5,800 $ 154
o L-3 Communications
Holdings, Inc. 3,700 154
o Tuboscope Inc. 9,700 154
Callaway Golf Co. 8,700 154
o HS Resources Inc. 8,900 153
o Medco Research, Inc. 5,100 153
o Antec Corp. 4,200 153
o General DataComm
Industries, Inc. 23,100 153
o Scotts Co. 3,800 153
Cabot Corp. 7,500 153
o Aspect Communications Corp. 3,900 152
o Humana, Inc. 18,633 152
o Mueller Industries Inc. 4,200 152
o Davox Corp. 7,750 152
o Oak Technology, Inc. 16,100 152
Houghton Mifflin Co. 3,600 152
o Sonosite, Inc. 4,800 152
o Cobalt Networks, Inc. 1,400 152
o INSO Corp. 4,700 151
o Insight Communications
Co., Inc. 5,100 151
o BSQUARE Corp. 3,600 151
o IMRglobal Corp. 12,000 151
Chittenden Corp. 5,084 151
o ZixIt Corp. 3,800 150
o Vertex Pharmaceuticals, Inc. 4,300 150
Arden Realty Group, Inc. REIT 7,500 150
FelCor Lodging Trust, Inc. REIT 8,574 150
o Ames Department Stores, Inc. 5,200 150
o Ditech Communications Corp. 1,600 150
Corn Products International, Inc4,550 149
o Devry, Inc. 8,000 149
DENTSPLY International Inc. 6,300 149
Starwood Financial Inc. 8,786 149
USFreightways Corp. 3,100 148
o Ocean Energy, Inc. 19,142 148
o Policy Management
Systems Corp. 5,800 148
o Atlas Air, Inc. 5,400 148
MacDermid, Inc. 3,600 148
o TenFold Corp. 3,700 148
o Advanced Energy
Industries, Inc. 3,000 148
o Mapics Inc. 11,700 148
o Primark Corp. 5,300 147
o Summit Technology, Inc. 12,600 147
o Cymer, Inc. 3,200 147
P.H. Glatfelter Co. 10,100 147
E.W. Blanch Holdings, Inc. 2,400 147
Questar Corp. 9,800 147
o Concord Communications, Inc. 3,300 146
o The Liposome Co., Inc. 12,000 146
o ArthroCare Corp. 2,400 146
o Forest Oil Corp. 11,100 146
Valhi, Inc. 13,900 146
o Glenayre Technologies, Inc. 12,900 146
Washington Gas Light Corp. 5,300 146
o Interleaf, Inc. 4,334 146
Leucadia National Corp. 6,300 146
o Imation Corp. 4,340 146
Telxon Corp. 9,100 146
Cordant Technologies, Inc. 4,400 145
Rayonier Inc. 3,000 145
o Artesyn Technologies, Inc. 6,900 145
Briggs & Stratton Corp. 2,700 145
HON Industries, Inc. 6,600 145
o AnnTaylor Stores Corp. 4,200 145
o MRV Communications Inc. 2,300 145
o Terayon Communications
Systems, Inc. 2,300 144
Eaton Vance Corp. 3,800 144
o HotJobs.com Ltd. 3,300 144
o Hot Topic, Inc. 6,200 144
Peoples Energy Corp. 4,300 144
Watkins-Johnson Co. 3,600 144
o Power Integrations, Inc. 3,000 144
o Whole Foods Market, Inc. 3,100 144
o IDX Systems Corp. 4,600 144
o Blyth Industries, Inc. 5,850 144
o Mastech Corp. 5,800 144
o NBTY, Inc. 12,400 143
o SciQuest.com, Inc. 1,800 143
o Borders Group, Inc. 8,900 143
Harsco Corp. 4,500 143
Commercial Federal Corp. 8,011 143
o The Neiman Marcus Group,
Inc. Class A 5,100 142
o International Home Foods, Inc. 8,200 142
o Interneuron
Pharmaceutical, Inc. 24,900 142
o Speedway Motorsports, Inc. 5,100 142
o Thermo Instrument
Systems, Inc. 12,731 142
Cooper Tire & Rubber Co. 9,100 142
o Prodigy Communications Corp. 7,300 141
o AmeriSource Health Corp. 9,300 141
o America West Holdings Corp.
Class B 6,800 141
Hartford Life, Inc. 3,200 141
o Precision Response Corp. 5,800 141
o ePlus Inc. 3,900 140
o Weirton Steel 20,600 140
U.S. Industries, Inc. 9,990 140
o Ampex Corp. Class A 25,700 140
o Rainbow Technologies, Inc. 6,000 140
o Breakaway Solutions, Inc. 1,900 139
Keystone Financial, Inc. 6,561 138
o Marimba, Inc. 3,000 138
o New Era of Networks, Inc. 2,900 138
o National-Oilwell, Inc. 8,800 138
o Alleghany Corp. 744 138
o AGENCY.COM Inc. 2,700 138
Western Resources, Inc. 8,100 138
o Young Broadcasting Inc. 2,700 138
o Computer Horizons Corp. 8,500 138
o Alkermes, Inc. 2,800 138
Minnesota Power, Inc. 8,100 137
John Nuveen Co. Class A 3,800 137
o Clayton Williams Energy, Inc. 11,600 137
o Playtex Products, Inc. 8,900 137
o GlobeSpan, Inc. 2,100 137
o Foundation Health Systems
Class A 13,740 137
24
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Fulton Financial Corp. 7,575 $ 136
o Aether Systems, Inc. 1,900 136
o Sensormatic Electronics Corp. 7,800 136
o Lynx Therapeutics Inc. 4,200 136
Wellman, Inc. 7,300 136
Brady Corp. Class A 4,000 136
RPM Inc. (Ohio) 13,305 136
o Sinclair Broadcast Group, Inc. 11,100 135
o Accrue Software, Inc. 2,500 135
o ParkerVision, Inc. 4,400 135
Trinity Industries, Inc. 4,750 135
Noble Affiliates, Inc. 6,300 135
o Micro Warehouse Inc. 7,300 135
o Sunglass Hut International,
Inc. 12,000 135
National Bankcorp of Alaska
Inc. 4,800 135
o United Rentals, Inc. 7,850 134
Sealed Air Corp. $2.00
Cvt. Pfd. 2,660 134
Liberty Financial Cos., Inc. 5,850 134
o Black Box Corp. 2,000 134
Teleflex Inc. 4,274 134
o MSC Industrial Direct Co., Inc.
Class A 10,100 134
Commerce Bancorp, Inc. 3,300 133
o Universal Electronics, Inc. 2,900 133
Owens Corning 6,900 133
Carlisle Co., Inc. 3,700 133
o Trigon Healthcare, Inc. 4,500 133
o American Freightways 8,196 133
First Citizens BancShares
Class A 1,900 133
Cousins Properties, Inc. REIT 3,900 132
Donaldson Co., Inc. 5,500 132
o Wind River Systems Inc. 3,600 132
o Kronos, Inc. 2,200 132
o Electroglas, Inc. 5,200 132
o General Semiconductor, Inc. 9,300 132
York International Corp. 4,800 132
Borg-Warner Automotive, Inc. 3,250 132
Hospitality Properties Trust
REIT 6,900 132
o SilverStream Software, Inc. 1,100 131
Helmerich & Payne, Inc. 6,000 131
Air Express International
Corp. 4,050 131
o Egghead.com, Inc. 8,068 131
Equitable Resources, Inc. 3,900 130
o Bethlehem Steel Corp. 15,540 130
o Marine Drilling Co., Inc. 5,800 130
Ball Corp. 3,300 130
o Unit Corp. 16,900 130
Trustco Bank 9,774 130
o Vertel Corp. 23,800 129
o Affiliated Managers Group,
Inc. 3,200 129
o Be Free, Inc. 1,800 129
Reinsurance Group of
America, Inc. 4,650 129
MDU Resources Group, Inc. 6,450 129
o Walker Interactive Systems,
Inc. 20,600 129
HRPT Properties Trust REIT 14,300 129
o Newfield Exploration Co. 4,800 128
o ADVO, Inc. 5,400 128
o The SABRE Group Holdings, Inc. 2,500 128
o Men's Wearhouse, Inc. 4,350 128
o Presstek, Inc 9,200 128
o Quantum Corp.- Hard Disk Drive 18,400 128
Dover Downs Entertainment, Inc. 6,800 128
o Linens `n Things, Inc. 4,300 127
National Service Industries, Inc4,312 127
Colonial BancGroup, Inc. 12,244 127
United Bankshares, Inc. 5,300 127
BRE Properties Inc.
Class A REIT 5,556 126
o Swift Transportation Co., Inc. 7,150 126
Regency Realty Corp. REIT 6,300 126
Bergen Brunswig Corp. Class A 15,153 126
o Penwest Pharmaceuticals Co. 8,250 126
o F.Y.I. Inc. 3,700 126
o ChoicePoint Inc. 3,040 126
o Viacom Inc. Class A 2,080 126
o Bally Total Fitness Holding Corp4,700 125
o Avis Rent A Car, Inc. 4,900 125
o Azurix Corp. 14,000 125
Greif Brothers Corp. Class A 4,200 125
o Sirius Satellite Radio, Inc. 2,800 125
Technitrol, Inc. 2,800 125
o McMoRan Exploration Co. 5,897 125
o Midwest Express Holdings, Inc. 3,900 124
o Markel Corp. 800 124
o InsWeb Corp. 4,850 124
o On Command Corp. 6,700 124
Belden, Inc. 5,900 124
o Littelfuse, Inc. 5,100 124
o Jacobs Engineering Group Inc. 3,800 124
o Dycom Industries, Inc. 2,800 123
IDACORP, Inc. 4,600 123
o Trimble Navigation Ltd. 5,700 123
Polaris Industries, Inc. 3,400 123
o Furniture Brands
International Inc. 5,600 123
Camden Property Trust REIT 4,500 123
o CenterSpan
Communications Corp. 3,800 123
Ruby Tuesday, Inc. 6,750 123
Everest Reinsurance
Holdings, Inc. 5,500 123
o Entrade Inc. 3,000 123
o Berkshire Hathaway Inc.
Class B 67 123
CPB, Inc. 4,300 123
Fremont General Corp. 16,600 122
Universal Foods Corp. 6,000 122
o West TeleServices Corp. 5,000 122
o NCO Group, Inc. 4,050 122
o Gadzoox Networks, Inc. 2,800 122
o Journal Register Co. 7,900 122
o Catherines Stores 5,800 122
Washington Federal Inc. 6,166 122
CFW Communications Co. 3,500 122
First Source Corp. 4,855 121
Mitchell Energy & Development
Corp. Class A 5,500 121
o Advanced Communications
Group, Inc. 8,900 121
o ITXC Corp. 3,600 121
Jefferies Group, Inc. 5,500 121
Kaufman & Broad Home Corp. 5,000 121
Rollins Truck Leasing 10,125 121
o W.R. Grace & Co. 8,700 121
25
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
o Maxygen 1,700 $ 121
United Asset Management Corp. 6,500 121
o Triad Guaranty, Inc. 5,300 121
o S3, Inc. 10,428 121
o Alpha Industries, Inc. 2,100 120
o Smithfield Foods, Inc. 5,000 120
o United Stationers, Inc. 4,200 120
Student Loan Corp. 2,400 120
o Sunterra Corp. 10,400 120
o Dal-Tile International Inc. 11,800 119
o MemberWorks, Inc. 3,600 119
o Net2Phone, Inc. 2,600 119
o Biomatrix, Inc. 6,200 119
o Ampal-American Israel Corp. 12,900 119
JSB Financial 2,300 119
o Oxford Health Plan 9,400 119
Texas Industries, Inc. 2,800 119
Jostens Inc. 4,900 119
o Louis Dreyfus Natural Gas Corp. 6,572 119
BancorpSouth, Inc. 7,300 119
o Protein Design Labs, Inc. 1,700 119
Airborne Freight Corp. 5,400 119
o Genesys Telecommunications
Laboratories, Inc. 2,200 119
Kimball International, Inc.
Class B 7,200 119
o Universal Health Services
Class B 3,300 119
o Insituform Technologies
Class A 4,200 119
o Sicor, Inc. 15,300 119
Tupperware Corp. 7,000 119
United Illuminating Co. 2,300 118
o Cerner Corp. 6,000 118
Liberty Corp. 2,800 118
o Spiegel, Inc. Class A 16,800 118
o Quest Diagnostics, Inc. 3,862 118
Kaydon Corp. 4,400 118
o Micron Electronics, Inc. 10,600 118
o Sipex Corp. 4,800 118
United Dominion Realty
Trust REIT 11,900 118
Elcor Corp. 3,900 117
COMSAT Corp. 5,907 117
o Versant Corp. 13,400 117
Regis Corp. 6,210 117
IKON Office Solutions, Inc. 17,200 117
o Informatica Corp. 1,100 117
Staten Island Bancorp, Inc. 6,500 117
o Brightpoint, Inc. 8,900 117
o Playboy Enterprises, Inc.
Class B 4,800 117
Gaylord Entertainment Co.
Class A 3,883 116
o O'Reilly Automotive, Inc. 5,400 116
o Alaska Air Group, Inc. 3,300 116
Hilb, Rogal and Hamilton Co. 4,100 116
CMP Group Inc. 4,200 116
MAF Bancorp, Inc. 5,525 116
Dreyer's Grand Ice Cream, Inc. 6,800 116
o Network Plus Corp. 5,500 116
Westpoint Stevens, Inc. 6,600 116
National Data Corp. 3,400 115
o SportsLine.com, Inc. 2,300 115
Claire's Stores, Inc. 5,150 115
Value Line, Inc. 3,200 115
o Handleman Co. 8,600 115
IndyMac Mortgage Holdings, Inc. 9,000 115
WestAmerica Bancorporation 4,100 115
Doral Financial Corp. 9,300 115
o Metasolv Software, Inc. 1,400 114
Kennametal, Inc. 3,400 114
o Barra, Inc. 3,600 114
Great Atlantic & Pacific
Tea Co., Inc. 4,100 114
o The IT Group, Inc. 12,436 114
The Marcus Corp. 8,500 114
o Agribrands International, Inc. 2,481 114
o Lifecore Biomedical Inc. 5,400 114
o Conmed Corp. 4,406 114
Washington REIT 7,600 114
Wicor, Inc. 3,900 114
o Remedy Corp. 2,400 114
o Toll Brothers, Inc. 6,100 114
Longs Drug Stores, Inc. 4,400 114
o Cellstar Corp. 11,500 114
o CapRock Communications Corp. 3,500 114
o The Yankee Candle
Company, Inc. 6,950 113
Michael Foods Group, Inc. 4,600 113
o Acuson Corp. 9,000 113
Aptargroup Inc. 4,500 113
o Cor Therapeutics, Inc. 4,200 113
o Federal Agricultural Mortgage
Corp. Class A 7,000 113
o EntreMed, Inc. 4,400 113
Pogo Producing Co. 5,500 113
o Venator Group, Inc. 16,100 113
o eShare Technologies, Inc. 6,600 113
Hawaiian Electric Industries Inc3,900 113
o Broadbase Software Inc. 1,000 113
Pulte Corp. 5,000 113
o Security Capital Group Inc. REIT
Class B 9,000 113
Eastern Utilities Associates 3,700 112
o Transaction Systems
Architects, Inc. 4,000 112
John H. Harland Co. 6,100 112
R.L.I. Corp. 3,281 112
PS Business Parks, Inc. REIT 4,900 111
TNP Enterprises, Inc. 2,700 111
Dexter Corp. 2,800 111
Timberline Software Corp. 8,259 111
o Bright Horizons Family
Solutions, Inc. 5,900 111
o Stone Energy Corp. 3,100 110
o Active Software, Inc. 1,200 110
Amcore Financial 4,600 110
Penton Media, Inc. Class A 4,600 110
o Triarc Cos., Inc. Class A 6,000 110
Healthcare Realty Trust Inc.
REIT 7,044 110
o Renal Care Group, Inc. 4,700 110
First Industrial Realty
Trust REIT 4,000 110
Arnold Industries, Inc. 7,800 110
Alexander & Baldwin, Inc. 4,800 110
o MarketWatch.com, Inc. 3,000 110
26
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
o Neuberger Berman Inc. 4,400 $ 109
Tootsie Roll Industries, Inc. 3,318 109
Omnicare, Inc. 9,100 109
o Pioneer Natural Resources Co. 12,200 109
Weingarten Realty
Investors REIT 2,800 109
o Preview Systems, Inc. 1,680 109
Piedmont Natural Gas, Inc. 3,600 109
Russell Corp. 6,500 109
o Global Industries Ltd. 12,600 109
o Aphton Corp. 7,100 108
o Reebok International Ltd. 13,195 108
o About.Com, Inc. 1,200 108
o ETEC Systems, Inc. 2,400 108
United National Bancorp 4,838 107
o NCI Building Systems, Inc. 5,800 107
Heller Financial, Inc. 5,347 107
John Wiley & Sons Class A 6,400 107
o SITEL Corp. 15,300 107
Ametek Aerospace Products Inc. 5,600 107
Harman International
Industries, Inc. 1,900 107
o Protection One, Inc. 55,000 107
o CDI Corp. 4,400 106
Webster Financial Corp. 4,500 106
Mentor Corp. 4,104 106
Chemed Corp. 3,700 106
Westcorp, Inc. 7,300 106
o ATMI, Inc. 3,200 106
o Safety-Kleen Corp. 9,350 106
o Data Broadcasting Corp. 12,814 106
o Netmoves, Corp. 15,100 106
Dole Food Co. 6,500 106
o V-One Corp. 17,900 105
o DBT Online Inc. 4,300 105
o Transportation Technologies
Industries, Inc. 5,800 105
o Triton PCS, Inc. 2,300 105
o Diametrics Medical, Inc. 12,200 104
Shurgard Storage Centers, Inc.
Class A REIT 4,500 104
Carpenter Technology Corp. 3,800 104
o Zomax Inc. 2,300 104
The Macerich Co. REIT 5,000 104
o 99 Cents Only Stores 2,718 104
Pioneer Standard Electronics 104
o BOK Financial Corp. 5,145 104
Tecumseh Products Co. Class A 2,200 104
Detroit Diesel Corp. 5,400 104
o SEACOR SMIT Inc. 2,000 104
Thor Industries, Inc. 3,400 103
First Financial Bancorp 4,840 103
o hi/fn, inc. 2,667 103
HSB Group Inc. 3,050 103
Ohio Casualty Corp. 6,400 103
o Cytec Industries, Inc. 4,442 103
o TheStreet.com, Inc. 5,350 103
o High Speed Access Corp. 5,700 103
Stewart Enterprises, Inc.
Class A 21,600 103
o Coldwater Creek Inc. 5,000 103
Midas Inc. 4,683 102
Mine Safety Appliances Co. 1,600 102
Black Hills Corp. 4,600 102
AGL Resources Inc. 6,000 102
o Ventana Medical Systems, Inc. 4,100 102
o Convergent
Communications, Inc. 6,400 102
o Oxigene, Inc. 6,500 102
o Applied Innovation Inc. 12,200 101
o Fourth Shift Corp. 14,600 101
o Ionics, Inc. 3,600 101
o Visual Data Corp. 8,800 101
o Airnet Communications Corp. 2,780 101
o Alexander's, Inc. 1,277 101
Parkway Properties Inc. REIT 3,500 101
o Insurance Auto Auctions, Inc. 6,400 101
o MedQuist, Inc. 3,900 101
o Juno Online Services, Inc. 2,800 101
o Identix, Inc. 11,100 101
o Centigram Communications 6,000 101
Kelly Services, Inc. Class A 4,000 101
o MEMC Electronic Materials, Inc. 8,200 100
Applebee's International, Inc. 3,400 100
Whitney Holdings 2,705 100
Newport News Shipbuilding Inc. 3,640 100
o Barrett Resources Corp. 3,400 100
Reliance Bancorp, Inc. 2,900 100
Aquarion Co. 2,700 100
Bowne & Co., Inc. 7,400 100
Irwin Financial Corp. 5,600 100
o Del Monte Foods Co. 8,100 100
Polaroid Corp. 5,300 100
o Rare Hospitality
International Inc. 4,600 100
o Andrea Radio Corp. 12,900 99
o GTech Holdings Corp. 4,500 99
Lincoln Electric Holdings 4,800 99
o LifePoint Hospitals, Inc. 8,366 99
o Cadiz Inc. 10,400 99
Somerset Group, Inc. 5,156 99
Fidelity National Financial,
Inc. 6,870 99
o Com21, Inc. 4,400 99
Gerber Scientific, Inc. 4,500 99
o Renex Corp. 10,600 99
Puerto Rican Cement Co., Inc. 2,900 99
o Varian Semiconductor
Equipment Associates, Inc. 2,900 99
Carolina First Corp. 5,400 99
Westfield America, Inc. REIT 8,000 99
o Nautica Enterprises, Inc. 8,700 98
Alpharma, Inc. Class A 3,200 98
o Paradyne Networks, Inc. 3,600 98
o XTRA Corp. 2,300 98
o UCAR International, Inc. 5,500 98
Werner Enterprises, Inc. 6,938 98
o PanAmSat Corp. 1,643 98
o Applix, Inc. 5,400 98
Capitol Federal Financial 10,000 98
o Gulf Island Fabrication, Inc. 10,400 98
Morrison Management
Specialists, Inc. 4,516 97
Connecticut Energy Corp. 2,500 97
o 3Dfx Interactive, Inc. 9,900 97
The Toro Co. 2,600 97
BSB Bancorp, Inc. 5,037 97
27
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Hancock Holding Co. 2,500 $ 97
o Iomega Corp. 28,700 97
o Value City Department
Stores, Inc. 6,400 97
Pennzoil-Quaker State Co. 9,500 97
o Gardner Denver Inc. 5,796 97
o Shorewood Packaging Corp. 5,100 97
o Rayovac Corp. 5,100 96
o Gadzooks, Inc. 9,800 96
o Kenneth Cole Productions, Inc. 2,100 96
Caraustar Industries, Inc. 4,000 96
Lennar Corp. 5,900 96
o Mail-Well, Inc. 7,100 96
La-Z-Boy Inc. 5,700 96
o Ingram Micro, Inc. 7,300 96
o Datastream Systems, Inc. 3,900 96
Energen Corp. 5,300 96
Central Parking Corp. 5,000 96
o Anchor Gaming 2,200 96
o Pacific Gateway Exchange, Inc. 5,600 96
Farmer Brothers, Inc. 600 95
o Veritas DGC Inc. 6,800 95
o Department 56 Inc. 4,205 95
o The Dress Barn, Inc. 5,700 95
o Syntel, Inc. 5,850 95
o P-Com, Inc. 10,700 95
o Fairfield Communities, Inc. 8,800 95
Pittston Brink's Group 4,300 95
o Labor Ready, Inc. 7,800 95
CTG Resources Inc. 2,720 95
o Integrated Silicon Solution,
Inc. 5,700 94
o IDT Corp. 5,000 94
o E-LOAN, Inc. 5,800 94
Advanta Corp. Class A 5,163 94
o SpeedUs.com, Inc. 19,700 94
o Standard Microsystem 8,700 94
o ThermoQuest Corp. 9,100 94
o Cysive, Inc. 1,300 94
o Navidec, Inc. 7,800 94
o Pride International Inc. 6,400 94
Raymond James Financial, Inc. 5,000 93
o K-V Pharmaceutical Co. Class A 4,250 93
o Battle Mountain Gold Co.
Class A 45,200 93
o Intelidata Technologies Corp. 22,400 93
OM Group, Inc. 2,700 93
o Cal Dive International, Inc. 2,800 93
Chemical Finance 2,907 93
Bank United Corp. Class A 3,400 93
o Barr Labs Inc. 2,950 93
Banta Corp. 4,100 93
o ONYX Software Corp. 2,500 93
Flowserve Corp. 5,440 92
o ADAC Laboratories 8,600 92
Urban Shopping Centers,
Inc. REIT 3,400 92
o Extended Stay America, Inc. 12,093 92
Federal Signal Corp. 5,733 92
o Wave Systems Corp. Class A 7,700 92
Computer Task Group, Inc. 6,200 92
Manitowac Co., Inc. 2,700 92
o Valuevision International, Inc.
Class A 1,600 92
Seacoast Banking Corp. of
Florida Class A 3,200 92
Albemarle Corp. 4,770 92
Commerce Group, Inc. 3,500 91
o Auspex Systems, Inc. 8,900 91
o Papa John's International, Inc. 3,500 91
Koger Equity, Inc. REIT 5,400 91
o Footstar Inc. 2,984 91
American National Can
Group, Inc. 7,000 91
Mark IV Industries, Inc. 5,142 91
o Loronix Information Systems 4,600 91
Diagnostic Products Corp. 3,700 91
o ebix.com Inc. 8,100 91
Home Properties of New York,
Inc. REIT 3,300 91
JLG Industries, Inc. 5,700 90
Public Service Co. of
North Carolina, Inc. 2,800 90
Alberto-Culver Co. Class B 3,500 90
o Columbia Sportswear Co. 4,200 90
Federal Realty Investment
Trust REIT 4,800 90
o Musicland Stores Corp. 10,700 90
o SLI, Inc. 6,650 90
Fair Issac & Co. 1,700 90
o Coleman Inc. 9,668 90
o Biotechnology General 5,900 90
Otter Tail Power Co. 2,398 90
D. R. Horton, Inc. 6,500 90
o Priority Healthcare Corp.
Class B 3,100 90
Andover Bancorp, Inc. 3,200 90
o SCM Microsystems,Inc. 1,400 90
o FLIR Systems, Inc. 5,500 89
Alliance Bancorp Inc. 4,825 89
o Hutchinson Technology, Inc. 4,200 89
Justin Industries, Inc. 6,000 89
Ryerson Tull, Inc. 4,591 89
Pier 1 Imports Inc. 13,960 89
Universal Corp. 3,900 89
o Mid Atlantic Medical
Services, Inc. 10,700 89
o TALK.com, Inc. 5,000 89
CBL & Associates Properties,
Inc. REIT 4,300 89
Rollins, Inc. 5,900 89
o TeleBanc Financial Corp. 3,400 88
Horace Mann Educators Corp. 4,500 88
Minerals Technologies, Inc. 2,200 88
o barnesandnoble.com inc. 6,200 88
AAR Corp. 4,900 88
o GRC International, Inc. 7,400 88
o ICG Communications, Inc. 4,680 88
o TiVo Inc. 2,600 88
Storage USA, Inc. REIT 2,900 88
o Nu Horizons Electronics Corp. 6,615 88
o Kaiser Aluminum &
Chemical Corp. 11,400 88
o Atwood Oceanics, Inc. 2,266 88
o Procom Technology, Inc. 3,300 87
o Syncor International Corp. 3,000 87
o Digital Origin, Inc. 7,200 87
o Foamex International, Inc. 10,500 87
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
o Alliant Techsystems, Inc. 1,400 87
CONSOL Energy, Inc. 8,600 87
Taubman Co. REIT 8,100 87
o Ben & Jerry's Homemade, Inc.
Class A 3,500 87
Philadelphia Suburban Corp. 4,200 87
o SpeedFam-IPEC, Inc. 6,702 87
o Varian Medical Systems, Inc. 2,900 86
o Lone Star Technologies, Inc. 3,100 86
o Alpine Group, Inc. 6,700 86
o Advance Paradigm, Inc. 4,000 86
o NeoPharm, Inc. 4,000 86
o Nuevo Energy Co. 4,600 86
o Avid Technology, Inc. 6,600 86
Reckson Associates Realty
Corp. REIT 4,200 86
Carey Diversified LLC 5,100 86
o MetaCreations Corp. 9,997 86
o Photronics Labs Inc. 3,000 86
o Maxxam Inc. 2,000 86
Heritage Financial Corp. 9,900 85
o U.S. Can Corp. 4,291 85
o Inprise Corp. 7,700 85
o ShopKo Stores, Inc. 3,700 85
Manufactured Home
Communities, Inc. REIT 3,500 85
Independence Community
Bank Corp. 6,800 85
Alfa Corp. 5,200 85
o First Federal Financial Corp. 6,032 85
o uBid, Inc. 3,200 85
USEC Inc. 12,100 85
CNA Surety Corp. 6,510 85
o CorVel Corp. 3,600 85
o SPS Technologies, Inc. 2,648 85
Fleetwood Enterprises, Inc. 4,100 85
o Vintage Petroleum, Inc. 7,000 84
o Thermo Fibertek, Inc. 11,850 84
ONEOK, Inc. 3,358 84
o Tom Brown, Inc. 6,300 84
Franklin Electric, Inc. 1,200 84
o PlanetRx.com, Inc. 5,800 84
Schweitzer-Mauduit
International, Inc. 6,250 84
H.B. Fuller Co. 1,500 84
o QAD Inc. 6,000 84
o Province Healthcare Co. 4,400 84
Innkeepers USA Trust REIT 10,200 84
The Ackerley Group, Inc. 4,600 83
o Tower Automotive, Inc. 5,400 83
o Information Resources, Inc. 9,006 83
Imperial Credit Commercial
Mortgage Investment
Corp. REIT 7,300 83
First Bancorp/Puerto Rico 4,000 83
Southwest Gas Corp. 3,600 83
o Multex.com Inc. 2,200 83
o Jack in the Box Inc. 4,000 83
Meditrust Corp. 15,033 83
o Berlitz International, Inc. 4,801 83
Carter-Wallace, Inc. 4,600 83
Regal-Beloit Corp. 4,000 83
o Cyberian Outpost, Inc. 8,300 82
o AirTran Holdings, Inc. 18,200 82
Burlington Coat Factory
Warehouse Corp. 5,940 82
Developers Diversified Realty
Corp. REIT 6,400 82
o CSK Auto Corp. 4,700 82
RGS Energy Group Inc. 4,000 82
o Giant Industries, Inc. 9,800 82
Nordson Corp. 1,700 82
o Quanta Services, Inc. 2,900 82
Community First Bankshares 5,200 82
United Dominion Industries Ltd. 4,100 82
o Centennial Bancorp 7,575 81
Standard Pacific Corp. 7,400 81
Earthgrains Co. 5,048 81
o Landstar System 1,900 81
Analysts International Corp. 6,500 81
South Jersey Financial
Corp. Inc. 5,200 81
Olin Corp. 4,100 81
o Group Maintenance
America Corp. 7,600 81
o Coinstar, Inc. 5,800 81
Texas Regional Bancshares, Inc. 2,800 81
o Aurora Foods Inc. 8,700 81
o On Assignment, Inc. 2,700 81
Lilly Industries Inc. Class A 6,000 81
o Organogenesis, Inc. 9,276 81
Coca-Cola Bottling Co. 1,700 81
o MeriStar Hotels & Resorts,
Inc. REIT 22,600 81
Northwest Bancorp, Inc. 11,600 80
Essex Property Trust, Inc.
REIT 2,366 80
o USDATA Corp., Inc. 5,797 80
o United Payors & United
Providers, Inc. 4,850 80
o Rogers Corp. 2,100 80
o Trans World Entertainment Corp. 7,650 80
MeriStar Hospitality Corp. REIT 5,020 80
o Tyler Technologies, Inc. 14,600 80
Reliance Group Holdings 12,000 80
Brandywine Realty Trust REIT 4,900 80
o Twinlab Corp. 10,100 80
o TCI Satellite Entertainment,
Inc. Class A 5,004 80
o Aware, Inc. 2,200 80
Ventas, Inc. 19,100 80
Citizens Banking Corp. 3,572 80
o FOSSIL, INC. 3,450 80
o Beringer Wine Estates
Holdings, Inc. 2,000 80
o Newpark Resources, Inc. 13,000 80
Arvin Industries, Inc. 2,800 79
PFF Bancorp, Inc. 4,100 79
American Annuity Group Inc. 4,400 79
Ferro Corp. 3,600 79
o JNI Corp. 1,200 79
o Pre-Paid Legal Services, Inc. 3,300 79
o ProBusiness Services, Inc. 2,200 79
o Franklin Electronic
Publishers, Inc. 13,300 79
o Pericom Semiconductor Corp. 3,000 79
First Charter Corp. 5,300 79
29
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
o Orthodontic Centers of
America, Inc. 6,600 $ 79
First Commerce Bancshares Inc.
Class B 4,000 79
Independent Bank Corp. 6,300 79
o Pioneer Group, Inc. 5,000 79
o Metricom 1,000 79
o Sequa Corp. Class A 1,456 79
Forest City Enterprise Class A 2,800 78
Longview Fibre Co. 5,500 78
o SpectraLink Corp. 11,000 78
First American Financial Corp. 6,300 78
o Gaylord Container Corp. 11,500 78
Sterling Bancshares, Inc. 7,000 78
o Wackenhut Corrections Corp. 6,700 78
o I-STAT Corp. 5,400 78
New Jersey Resources Corp. 2,000 78
National Presto Industries,
Inc. 2,200 78
Centex Construction Products,
Inc. 2,000 78
Pultizer, Inc. 1,933 78
o Mentor Graphics Corp. 5,900 78
Consolidated-Tomoka Land Co. 6,100 78
Prentiss Properties Trust REIT 3,700 78
Sodexho Marriott Services, Inc. 5,950 77
o Wyndham International, Inc.
Class A 26,326 77
Town & Country Trust REIT 4,300 77
o Bristol Hotels & Resorts, Inc. 15,225 77
McGrath Rent Corp. 4,400 77
Cleco Corp. 2,400 77
o 1-800-FLOWERS.COM, Inc. 7,200 77
o IHOP Corp. 4,600 77
o Cort Business Services Corp. 4,400 77
The Warnaco Group, Inc. Class A 6,220 77
Wallace Computer Services, Inc. 4,600 76
Bryn Mawr Bank Corp. 3,200 76
o TCSI Corp. 23,800 76
o Mossimo, Inc. 9,400 76
The Trust Co. of New Jersey 3,300 75
Philadelphia Consolidated
Holding Corp. 5,200 75
o Garden Fresh Restaurant Corp. 4,400 75
Cabot Industrial Trust REIT 4,100 75
Olsten Corp. 6,650 75
o Able Telcom Holding Corp. 9,400 75
Peoples Holding Co. 2,600 75
o Polo Ralph Lauren Corp. 4,400 75
Bangor Hydro-Electric Co. 4,600 75
Susquehanna Bancshares, Inc. 4,725 75
o Ace Cash Express, Inc. 4,050 75
Bank North Group 2,800 75
Blockbuster Inc. Class A 5,600 75
o Thermo Cardiosystems Inc. 11,400 75
o WMS Industries, Inc. 5,700 75
o Pharmacopeia, Inc. 3,300 75
o Daisytek International Corp. 3,200 75
o Bone Care International, Inc. 5,900 74
o Quiksilver, Inc. 4,800 74
o Allergan Specialty
Therapeutics, Inc. 5,890 74
o Orbital Sciences Corp. 4,000 74
Southwest Bancorp, Inc. 3,700 74
o Hain Food Group, Inc. 3,300 74
Curtiss-Wright Corp. 2,000 74
Modine Manufacturing Co. 2,938 73
o Digital River, Inc. 2,200 73
o Echelon International Corp.,
Inc. 3,180 73
o Scientific Games Holdings Corp. 4,400 73
o Active Voice Corp. 2,500 73
Overseas Shipholding Group Inc. 4,900 73
o Sylvan Learning Systems, Inc. 5,575 72
F.N.B. Corp. 3,255 72
o SpaceLabs Medical, Inc. 3,900 72
o Sciclone Pharmaceuticals 11,800 72
o Anixter International Inc. 3,500 72
Cubic Corp. 3,300 72
Landauer, Inc. 3,300 72
Connecticut Water Services,
Inc. 2,250 72
o JFAX.COM, Inc. 10,700 72
o Eclipsys Corp. 2,800 72
NACCO Industries, Inc. Class A 1,291 72
o International Specialty
Products, Inc. 7,800 72
LNR Property Corp. 3,600 72
Hussman International, Inc. 4,750 72
o Unifi, Inc. 5,800 71
o Women.com Networks, Inc. 5,000 71
o STERIS Corp. 6,908 71
Block Drug Co. Class A 2,298 71
o Romac International, Inc. 5,300 71
o Wisconsin Central
Transportation Corp. 5,300 71
Fedders Corp. 12,900 71
o infoUSA Inc. 5,084 71
Bindly Western Industries, Inc. 4,700 71
o EMS Technologies, Inc. 6,000 71
o Ralcorp Holdings, Inc. 3,533 70
o OfficeMax, Inc. 12,800 70
Myers Industries, Inc. 4,466 70
First Sentinel Bancorp Inc. 9,000 70
o PSS World Medical, Inc. 7,450 70
Clarcor Inc. 3,900 70
Collins & Aikman Corp. 12,200 70
Enterprise Products
Partners L.P. 3,800 70
Chateau Communities, Inc. REIT 2,700 70
o Amerco, Inc. 2,800 70
o Nortek, Inc. 2,500 70
o Friede Goldman Halter, Inc. 10,086 70
Delta & Pine Land Co. 4,021 70
o Wireless Facilities, Inc. 1,600 70
o FEI Co. 4,500 70
o Acclaim Entertainment Inc. 13,591 70
o RailTex, Inc. 3,894 70
o Coherent, Inc. 2,600 70
o Barnett, Inc. 6,700 70
Avista Corp. 4,500 69
Bob Evans Farms, Inc. 4,500 69
o Novoste Corp. 4,200 69
o Cornerstone Internet
Solutions Co. 9,100 69
o U.S. Home Corp. 2,700 69
o The Neiman Marcus Group, Inc.
Class B 2,561 69
Pitt Des Moines, Inc. 2,800 69
o Todd Shipyards Corp. 8,753 69
o Diacrin, Inc. 10,600 69
o Kensey Nash Corp. 5,800 69
30
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
o Layne Christensen Co. 9,500 $ 69
o Personnel Group of America, Inc 6,800 69
o Aspen Technologies, Inc. 2,600 69
o 7-Eleven, Inc. 38,500 69
o Zebra Technologies Corp.
Class B 1,170 68
National Steel Corp. Class B 9,200 68
o Cunningham Graphics
International, Inc. 4,900 68
o Drexler Technology Corp. 7,000 68
o Proxymed Pharmacy, Inc. 7,000 68
o StaffMark, Inc. 9,000 68
o Ryan's Family Steak Houses, Inc.8,000 68
G & K Services, Inc. 2,100 68
o Strattec Security Corp. 2,100 68
o MAXIMUS, Inc. 2,000 68
o Oakley, Inc. 12,200 68
o Benihana Inc. Class A 4,700 68
AMCOL International Corp. 4,200 68
o Duramed Pharmaceuticals, Inc. 9,500 68
TF Financial Corp. 5,100 68
o bebe stores, inc. 2,500 68
Harbor Florida Bancshares, Inc. 5,200 67
o Learning Tree International, Inc2,400 67
Skywest, Inc. 2,400 67
o Credit Management
Solutions, Inc. 7,900 67
o Geoworks 4,000 67
Western Properties Trust REIT 7,000 67
WSFS Financial Corp. 5,300 67
German American Bancorp 3,836 67
Omega Financial Corp. 2,300 67
Ruddick Corp. 4,300 67
o American Classic Voyager Co. 1,900 67
o Florida Banks, Inc. 11,000 66
Lawrence Savings Bank 8,700 66
o Boise Cascade Office
Products Corp. 4,400 66
o Petrocorp, Inc. 11,322 66
Arrow Financial Corp. 3,381 66
o HMT Technology Corp. 16,400 66
o Hollywood Casino Corp. 15,200 66
Quaker Chemical Corp. 4,600 66
o Silgan Holdings, Inc. 4,900 66
CPI Corp. 2,900 65
o Basin Exploration Inc. 3,700 65
o Quorum Health Group, Inc. 7,000 65
o Evergreen Resources, Inc. 3,300 65
Prison Realty Trust, Inc. REIT 12,862 65
Commercial Intertech Corp. 5,100 65
o Century Business Services, Inc. 7,700 65
First Commonwealth
Financial Corp. 5,400 65
WPS Resources Corp. 2,579 65
CB Bancshares Inc./Hawaii 2,200 65
Nationwide Health Properties,
Inc. REIT 4,700 65
HCC Insurance Holdings, Inc. 4,900 65
o TeleCorp PCS, Inc. 1,700 65
o Performance Food Group Co. 2,650 65
Spartech Corp. 2,000 65
o Theragenics Corp. 7,116 64
o Hie Inc. 19,100 64
o Media Metrix, Inc. 1,800 64
Nationwide Financial
Services, Inc. 2,300 64
o Data Return Corp. 1,200 64
o Covance, Inc. 5,925 64
o Immucor Inc. 4,854 64
o Royal Appliance
Manufacturing Co. 13,114 64
o Heartland Express, Inc. 4,058 64
o Dril-Quip, Inc. 2,100 64
o Aviall Inc. 7,775 64
o Impath, Inc. 2,500 64
o The Good Guys, Inc. 6,800 63
AGCO Corp. 4,700 63
o Alysis Technologies Inc. 6,700 63
o Mediaplex, Inc. 1,000 63
o Michaels Stores, Inc. 2,200 63
AREA Bancshares Corp. 2,558 63
Cabot Oil & Gas Corp. Class A 3,900 63
Chelsea GCA Realty, Inc. REIT 2,100 62
National Health Investors REIT 4,200 62
o Network Event Theater,Inc. 2,100 62
o Boca Resorts, Inc. Class A 6,400 62
o Catalytica, Inc. 4,600 62
Madison Gas & Electric Co. 3,100 62
o PETsMART, Inc. 10,848 62
o Neurogen Corp. 3,780 62
o Hollywood Entertainment Corp. 4,300 62
o C-bridge Internet Solutions,
Inc. 1,280 62
o Freeport-McMoRan Copper &
Gold, Inc. Class A 3,348 62
Riviana Foods, Inc. 3,500 62
CBRL Group, Inc. 6,400 62
Ogden Corp. 5,200 62
Tanger Factory Outlet Centers,
Inc. REIT 2,989 62
o Avigen, Inc. 2,000 62
Capitol Bancorp Ltd. 5,969 62
o Innotrac Corp. 4,500 62
o Ascent Entertainment Group
Inc. 4,875 62
Public Service Co. of
New Mexico 3,800 62
Kilroy Realty Corp. REIT 2,800 62
o US SEARCH.com Inc. 8,200 62
o Miravant Medical Technology 6,600 61
o Aavid Thermal Technologies 2,500 61
o Arch Communications Group, Inc 9,300 61
o First Consulting Group, Inc. 3,955 61
NBT Bancorp, Inc. 3,953 61
o UNOVA, Inc. 4,700 61
Commercial Metals Co. 1,800 61
o Provident Financial Holdings,
Inc. 3,700 61
Sizzlers Property Investors,
Inc. 7,500 61
Alberto-Culver Co. Class A 2,800 61
o Premiere Technologies, Inc. 8,700 61
o Rexall Sundown, Inc. 5,900 61
o DVI, Inc. 4,000 61
o SpectRx, Inc. 5,074 61
Anchor Bancorp Wisconsin Inc. 4,000 61
StanCorp Financial Group, Inc. 2,400 60
Precision Castparts Corp. 2,300 60
GenCorp, Inc. 6,100 60
o Matria Healthcare, Inc. 14,600 60
HEICO Corp. Class A 2,850 60
31
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
o ITT Educational Services, Inc. 3,900 $ 60
California Independent Bancorp 3,515 60
Century Bancorp, Inc. Class A 3,700 60
o Tickets.com, Inc. 4,200 60
Republic Security Financial
Corp. 8,388 60
FBL Financial Group, Inc.
Class A 3,000 60
Wausau-Mosinee Paper Corp. 5,126 60
o Hovnanian Enterprises Class A 9,300 60
Newmil Bancorp, Inc. 4,600 60
o VTEL Corp. 18,200 60
o IDEXX Laboratories Corp. 3,700 60
o Revlon, Inc. Class A 7,500 60
o Stac Software, Inc. 9,417 59
o Rent-A-Center, Inc. 3,000 59
Wabash National Corp. 3,950 59
First Financial Holdings, Inc. 3,700 59
o Laser Vision Centers, Inc. 5,600 59
Coachmen Industries, Inc. 3,904 59
Bradley Real Estate, Inc.
8.40% Cvt. Pfd. 3,024 59
o Predictive Systems, Inc. 900 59
o GelTex Pharmaceuticals, Inc. 4,600 59
o PJ America Inc. 3,800 59
o Fritz Cos., Inc. 5,600 59
Barnes Group, Inc. 3,600 59
St. Mary Land & Exploration Co. 2,372 59
Flagstar Bancorp, Inc. 3,400 59
o Information Architects Corp. 5,700 58
o Oceaneering International, Inc. 3,910 58
o Powerwave Technologies, Inc. 1,000 58
o Energy Conversion Devices, Inc. 6,300 58
Hughes Supply, Inc. 2,700 58
o Too Inc. 3,369 58
o COMFORCE Corp. 20,213 58
SIG Corp. 2,550 58
McDermott International, Inc. 6,400 58
SJNB Financial Corp. 1,900 58
o Laboratory Corp. of America 15,624 58
Middlesex Water Co. 1,800 58
Wolverine World Wide, Inc. 5,250 57
Summit Bancshares, Inc. 3,100 57
o Chirex, Inc. 3,900 57
IRT Property Co. REIT 7,300 57
o Avant! Corp. 3,800 57
o Signal Technology Corp. 7,847 57
o Imperial Credit 9,100 57
Sovran Self Storage, Inc. REIT 3,000 57
Indiana Energy, Inc. 3,200 57
o Ocular Sciences, Inc. 3,000 57
o Plug Power, Inc. 2,000 57
o e.spire Communications, Inc. 9,700 56
o CDnow Inc. 5,700 56
JP Realty Inc. REIT 3,600 56
o GetThere.com, Inc. 1,397 56
o Insignia Financial Group, Inc. 6,466 56
o Structural Dynamics
Research Corp. 4,400 56
o Expedia Inc. 1,600 56
o Scholastic Corp. 900 56
o QCF Bancorp, Inc. 2,200 56
o Pharmaceutical Product
Development, Inc. 4,700 56
o Inacom Corp. 7,632 56
o Palm Harbor Homes, Inc. 3,100 56
o Safeskin Corp. 4,600 56
o Homestead Village, Inc. 26,234 56
Argonaut Group, Inc. 2,800 56
o Atlanta Sosnoff Capital 6,400 56
o US Oncology, Inc. 11,250 56
o Daily Journal Corp. 1,700 55
OceanFirst Financial Corp. 3,200 55
Ameron International Corp. 1,400 55
NYMAGIC, Inc. 4,200 55
Riggs National Corp. 4,200 55
First International Bancorp,
Inc. 6,900 55
Gables Residential Trust REIT 2,300 55
Interface, Inc. 9,600 55
o Perrigo Co. 6,900 55
UGI Corp. Holding Co. 2,700 55
o Pac-West Telecom, Inc. 2,081 55
o Digital Impact, Inc. 1,100 55
o Amdocs Ltd. 1,598 55
Mississippi Chemical Corp. 8,900 55
o Henry Schein, Inc. 4,135 55
UMB Financial Corp. 1,455 55
o Aftermarket Technology Corp. 4,600 55
Getty Realty Holding Corp. 4,900 55
o Shuffle Master, Inc. 6,433 55
o Genesis Health Ventures Inc. 26,500 55
o Spectranetics Corp. 14,100 55
o Information Management
Associates, Inc. 10,400 55
o Chalone Wine Group Ltd. 6,260 54
o Avatar Holding, Inc. 3,000 54
Oneida Ltd. 2,500 54
o Kaneb Services, Inc. 12,384 54
o Airgas, Inc. 5,700 54
o S&K Famous Brands Inc. 9,100 54
o United Capital Corp. 2,900 54
Kansas City Life Insurance Co. 1,600 54
o WHX Corp. 6,000 54
First Financial Corp.-Indiana 1,300 54
o Factory 2-U Stores Inc. 1,900 54
Associated Estates Realty
Corp. REIT 6,900 54
o Digital Microwave Corp. 2,300 54
Maine Public Service Co. 3,100 54
Crawford & Co. Class B 3,950 54
Northwest Natural Gas Co. 2,450 54
Standard Commercial
Tobacco Co. 15,063 54
o Momentum Business
Applications, Inc. 6,814 54
o Syntroleum Corp. 6,600 54
o Mortons Restaurant Group 3,456 54
o Perficient, Inc. 4,200 54
o E-Stamp Corp. 2,400 53
Flushing Financial Corp. 3,600 53
o Voyager.net, Inc. 5,800 53
Gainsco, Inc. 9,900 53
Standard Motor Products, Inc. 3,300 53
Allen Organ Co. 1,400 53
o Allen Telecom Inc. 4,600 53
o Esterline Technologies Corp. 4,600 53
Superior Uniform Group, Inc. 5,900 53
Lance, Inc. 5,300 53
32
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
o Swift Energy Co. 4,600 $ 53
o Jo-Ann Stores, Inc. Class A 4,700 53
o UICI 5,000 53
o Friendly Ice Cream Corp. 11,900 53
Boddie-Noell Properties Inc. 6,300 53
o Per-Se Technologies, Inc. 6,266 53
o Ladd Furniture Inc. 2,667 53
Baldor Electric Co. 2,900 53
o PC-Tel, Inc. 1,000 53
Bandag, Inc. 2,100 52
Downey Financial Corp. 2,600 52
o Triad Hospitals, Inc. 3,466 52
o SmartDisk Corp. 1,600 52
o Navarre Corp. 9,100 52
o Navigant Consulting, Inc. 4,800 52
o Optical Cable Corp. 2,600 52
Chesapeake Corp. of Virginia 1,700 52
o Workflow Management, Inc. 1,809 52
o FSI International, Inc. 4,500 52
o Right Management Consultants 4,500 52
o Boyd Gaming Corp. 8,900 52
o Total Renal Care Holdings, Inc. 7,735 52
US Bancorp, Inc. 4,400 52
Granite State Bankshares, Inc. 2,600 52
o autobytel.com inc. 3,400 52
Prime Group Realty Trust REIT 3,400 52
Ambanc Holding Co., Inc. 3,500 52
Granite Construction Co. 2,800 52
L. S. Starrett Co. Class A 2,300 52
J. Baker, Inc. 8,600 52
o Xiox Corp. 1,900 51
First Union Real Estate REIT 10,780 51
Wolohan Lumber Co. 4,222 51
o Hartmarx Corp. 12,600 51
o Scott Technologies, Inc. 2,700 51
Milacron Inc. 3,300 51
o Success Bancshares, Inc. 5,100 51
HMN Financial, Inc. 4,500 51
o R.H. Donnelley Corp. 2,680 51
o Quintus Corp. 1,100 50
o Innovasive Devices, Inc. 6,300 50
Team Financial, Inc. 5,600 50
International Speedway Corp. 1,000 50
o Wellsford Real Properties Inc.
REIT 5,912 50
Lindsay Manufacturing Co. 2,750 50
Harleysville National Corp. 1,543 50
NUI Corp. 1,900 50
o National Discount Brokers
Group, Inc. 1,900 50
The Stride Rite Corp. 7,700 50
Ethyl Corp. 12,700 50
o Financial Industries Corp. 5,000 50
Redwood Trust, Inc. REIT 4,000 50
o Deltek Systems, Inc. 3,700 50
o Net.B@nk, Inc. 2,700 50
o GC Cos. 1,930 50
Ace, Ltd. 2,990 50
Calgon Carbon Corp. 8,400 50
o CAIS Internet, Inc. 1,400 50
Churchill Downs, Inc. 2,200 50
o Exabyte Corp. 6,600 50
Prime Retail, Inc. REIT 8,800 50
MascoTech Inc. 3,900 49
o Steel Dynamics, Inc. 3,100 49
o Fairchild Corp. 5,441 49
Covest Bankshares, Inc. 3,700 49
A.O. Smith Corp. 2,250 49
o Frontline Communications Corp. 6,400 49
State Financial Services Corp.
Class A 4,100 49
o Bio-Rad Laboratories, Inc.
Class A 2,100 49
Correctional Properties
Trust REIT 4,000 49
LSI Industries Inc. 2,264 49
A. Schulman Inc. 3,000 49
o Xpedior Inc. 1,700 49
Queens County Bancorp, Inc. 1,800 49
o TBC Corp. 7,800 49
Watts Industries Class A 3,300 49
o iVillage Inc. 2,400 49
Pulaski Financial Corp. 4,800 49
o American Axle & Manufacturing
Holdings, Inc. 4,000 49
o Microwave Power Devices, Inc. 6,800 48
St. Francis Capital Corp. 2,600 48
JDN Realty Corp. REIT 3,000 48
o SonicWALL, Inc. 1,200 48
o Jenny Craig Inc. 13,300 48
Omega Healthcare Investors,
Inc. REIT 3,800 48
White Mountains Insurance
Group Inc. 400 48
Invacare Corp. 2,400 48
o Lazare Kaplan International,
Inc. 5,900 48
AmerUs Life Holdings, Inc. 2,084 48
Springs Industries Inc. Class A 1,200 48
Southern Peru Copper Corp. 3,100 48
o Stoneridge,Inc. 3,100 48
o American Bank Note
Holographics, Inc. 29,900 48
Presidential Life Corp. 2,600 48
o Delphi Financial Group, Inc. 1,591 48
o URS Corp. 2,200 48
o CompUSA, Inc. 9,300 48
Interpool, Inc. 6,400 48
o Profile Technologies, Inc. 6,800 48
o Amylin Pharmaceuticals, Inc. 5,700 48
o California Culinary Academy Inc10,400 47
o Todhunter International, Inc. 5,200 47
Fidelity Bancorp, Inc. 2,800 47
o Algos Pharmaceutical Corp. 4,300 47
o Integrated Electrical
Services,Inc. 4,700 47
o Thermo Ecotek Corp. 8,900 47
Omnova Solutions Inc. 6,100 47
o UniCapital Corp. 12,800 47
Fleming Cos., Inc. 4,600 47
o NVIDIA Corp. 1,000 47
o CFI ProServices, Inc. 5,731 47
o Docucorp International 6,661 47
o Shoe Carnival, Inc. 4,650 47
o Thermedics Detection Inc. 6,930 47
o Drug Emporium, Inc. 10,528 47
FFY Financial Corp. 3,700 47
Crown Crafts, Inc. 16,200 47
33
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Penford Corp. 2,700 $ 47
o Cheap Tickets, Inc. 3,400 47
o GenesisIntermedia.com, Inc. 8,000 47
Big Dog Holdings, Inc. 6,700 46
o Plains Resources 3,717 46
Haven Bancorp, Inc. 3,000 46
o World Acceptance Corp. 9,600 46
City Holding Co. 3,295 46
Codorus Valley Bancorp, Inc. 2,625 46
o Input/Output, Inc. 9,100 46
o Advanced Polymer Systems 13,400 46
Ottawa Financial Corp. 2,541 46
o Activision, Inc. 3,000 46
Davel Communications, Inc. 9,657 46
Marion Capital Holdings 2,800 46
o Prime Hospitality Corp. 5,200 46
HEICO Corp. 2,100 46
o Cytoclonal Pharmaceutics Inc. 6,100 46
o Jackpot Enterprises, Inc. 5,500 46
o ISIS Pharmaceuticals, Inc. 7,300 46
o Martek Biosciences Corp. 3,800 46
Enhance Financial Services
Group, Inc. 2,800 46
o SEEC, Inc. 6,800 45
o Grey Wolf, Inc. 15,800 45
Realty Income Corp. REIT 2,200 45
o SoftNet Systems, Inc. 1,800 45
Pittston BAX Group 4,250 45
o Satcon Technology Corp. 5,407 45
The Pep Boys
(Manny, Moe & Jack) 4,940 45
Glimcher Realty Trust REIT 3,500 45
Sun Communities, Inc. REIT 1,400 45
o Protocol Systems, Inc. 5,000 45
Corporate Office Properties
Trust, Inc. REIT 5,900 45
o Highlands Insurance Group 4,730 45
o Cameron Ashley Building
Products 4,492 45
Trenwick Group Inc. 2,650 45
Apex Mortgage Capital, Inc.
REIT 4,400 45
Ziegler Cos., Inc. 3,000 45
o Crescent Operating, Inc. REIT 16,260 45
o IKOS Systems, Inc. 4,600 45
NCH Corp. 1,000 45
Apogee Enterprises, Inc. 8,800 45
o Il Fornaio (America) Corp. 6,400 44
o Objective Systems Integrators,
Inc. 6,700 44
o The Children's Place Retail
Stores, Inc. 2,700 44
o Spanish Broadcasting System,
Inc. 1,100 44
o Renaissance Worldwide, Inc. 6,000 44
Cato Corp. Class A 3,500 44
o Microtouch Systems, Inc. 3,500 44
o Capital Trust Class A 8,800 44
Cascade Bancorp 3,520 44
o Sizzler International 17,600 44
Thomas Nelson, Inc. 4,750 44
o Novavax, Inc. 7,810 44
o Closure Medical Corp. 3,400 44
o Hawthorne Financial Corp. 3,500 44
o Correctional Services Corp. 9,997 44
Schnitzer Steel Industries, Inc.
Class A 2,300 44
o Champion Enterprises, Inc. 5,100 44
Harmon Industries, Inc. 3,600 44
Arrow International, Inc. 1,500 44
SL Green Realty Corp. REIT 2,000 44
BankAtlantic Bancorp, Inc.
Class A 10,535 43
o Park-Ohio Holdings Corp. 4,400 43
Zenith National Insurance Corp. 2,100 43
Walter Industries, Inc. 4,000 43
o LINC Capital, Inc. 9,100 43
o Dura Pharmaceuticals, Inc. 3,100 43
Bassett Furniture Industries,
Inc. 2,700 43
o Tractor Supply Co. 2,700 43
o Fresh Del Monte Produce Inc. 4,800 43
Libbey, Inc. 1,500 43
FNB Financial Services Corp. 4,100 43
o Old Dominion Freight Line, Inc. 4,000 43
Columbia Bancorp 3,800 43
Arch Chemicals, Inc. 2,050 43
Atmos Energy Corp. 2,100 43
Bank of the Ozarks, Inc. 2,200 43
o WetSeal, Inc. Class A 3,500 43
Cross Timbers Oil Co. 4,725 43
RFS Hotel Investors, Inc.
REIT 4,100 43
o Varco International, Inc. 4,200 43
o Comdial Corp. 4,300 43
o BJ Services Co. Warrants
Exp. 4/13/2000 787 43
o Eco Soil Systems, Inc. 9,900 43
The Standard Register Co. 2,200 43
Simmons First National 1,700 43
o Earthshell Corp. 10,300 42
o Software Spectrum, Inc. 2,400 42
o Viador, Inc. 1,000 42
Reckson Associates Realty Corp.
Class B REIT 1,840 42
o Caliber Learning Network, Inc. 14,700 42
o Jan Bell Marketing Inc. 14,700 42
o Hayes Lemmerz International,
Inc. 2,420 42
LTC Properties, Inc. REIT 5,000 42
o BankUnited Financial Corp. 5,300 42
o Rochester Medical Corp. 5,900 42
o Ultratech Stepper, Inc. 2,600 42
o Careerbuilder, Inc. 6,500 42
o Comshare 11,953 42
Crown American Realty
Trust REIT 7,600 42
Tecumseh Products Co. Class B 1,000 42
Exide Corp. 5,000 42
J.B. Hunt Transport Services,
Inc. 3,000 42
o Salient 3 Communications
Class A 5,900 41
o Tech-Sym Corp. 1,998 41
o Nashua Corp. 5,486 41
o STAR Telecommunications, Inc. 5,200 41
o Atrix Laboratories, Inc. 7,900 41
o Arcadia Financial Ltd. 9,200 41
o Miller Industries, Inc. 14,200 41
o National Processing, Inc. 4,600 41
o McAfee.com Corp. 900 41
o Troy Group, Inc. 2,700 41
o Clintrials Research, Inc. 9,800 40
Lennox International Inc. 4,400 40
Mueller (Paul) Co. 1,400 40
34
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Thornburg Mortgage Asset
Corp. REIT 4,900 $ 40
o Worldtalk Communications Corp. 2,000 40
o Korn/Ferry International 1,100 40
HF Financial Corp. 3,400 40
o Globe Business Resources, Inc. 3,100 40
Medford Bancorp, Inc. 2,400 40
o Credit Acceptance Corp. 10,800 40
o Stratus Properties, Inc. 9,500 40
BCSB Bankcorp, Inc. 6,000 40
o Celtrix Pharmaceuticals 13,800 40
o The Boyds Collection, Ltd. 5,700 40
o Lanier Worldwide, Inc. 10,200 40
International Shipholding Corp. 3,375 39
Donnelly Corp. 2,800 39
o Education Management Corp. 2,800 39
o Sunburst Hospitality Corp. 6,966 39
BMC Industries, Inc. 8,037 39
o Medplus, Inc. 5,600 39
o OEA, Inc. 8,000 39
o Symyx Technologies 1,300 39
o New Mexico & Arizona Land Co. 7,777 39
EastGroup Properties, Inc. REIT 2,100 39
NewSouth Bancorp, Inc. 2,100 39
G & L Realty Corp. 4,383 39
o Cirrus Logic 2,900 39
o Allied Holdings, Inc. 6,300 39
o PathoGenesis Corp. 1,800 39
Alico, Inc. 2,300 39
o Scios, Inc. 9,200 39
o Coeur D'Alene Mines Corp. 11,200 39
o Transkaryotic Therapies, Inc. 1,000 39
o Manhattan Associates, Inc. 5,200 38
o Action Performance Cos., Inc. 3,332 38
o ClickAction, Inc. 1,300 38
o Premier Research Worldwide
Ltd. 3,900 38
o Bell & Howell Co. 1,200 38
o Advantage Learning Systems,
Inc. 3,400 38
o Staff Leasing,Inc. 4,000 38
o Waste Systems International,
Inc. 8,000 38
o Belco Oil & Gas Corp. 6,900 38
o Crestline Capital Corp. 1,840 38
RPC Inc. 6,600 38
o TSR, Inc. 4,600 38
o Hoenig Group, Inc. 4,100 38
Tenneco Automotive, Inc. 4,060 38
Blair Corp. 2,700 38
CV REIT, Inc. 4,200 38
o Beverly Enterprises, Inc. 8,600 38
W.R. Berkley Corp. 1,800 38
Luby's, Inc. 3,300 38
Superior Industries
International, Inc. 1,400 38
o Creative Biomolecules, Inc. 7,600 38
o Read Rite Corp. 7,900 38
o Offshore Logistics, Inc. 4,000 38
o Hexcel Corp. 6,700 37
o Lydall, Inc. 5,600 37
Wainwright Bank & Trust Co. 5,600 37
Petroleum Helicopters, Inc. 3,800 37
o Telular Corp. 3,875 37
Mid Atlantic Realty Trust REIT 3,650 37
o Acceptance Insurance Cos. Inc. 6,300 37
o Perry Ellis International Corp. 3,150 37
Universal Health Realty Income 2,500 37
Enesco Group, Inc. 3,300 37
Katy Industries, Inc. 4,200 36
o Rainmaker Systems, Inc. 1,800 36
o RWD Technologies, Inc. 3,500 36
DT Industries, Inc. 4,600 36
o Data Transmission Network Corp. 2,100 36
o Itron, Inc. 5,900 36
o Trammell Crow Co. 3,100 36
o Gilman & Ciocia, Inc. 4,400 36
o Advanced Tissue Sciences Inc. 14,400 36
o Wesco International, Inc. 4,050 36
o Boston Beer Co., Inc. Class A 5,000 36
Oil-Dri Corp. of America 2,500 36
American Residential Investment
Trust, Inc. REIT 5,200 36
o Griffin Land & Nurseries, Inc. 3,100 36
Stewart & Stevenson
Services, Inc. 3,000 36
Investors Title Co. 2,000 36
United Mobile Homes, Inc. 4,300 35
o Consumer Portfolio Services,
Inc. 22,700 35
o Vlasic Foods International,
Inc. 6,226 35
o Alliance Pharmaceutical Corp. 4,798 35
o NetManage, Inc. 7,147 35
o Allied Riser Communications
Corp. 1,700 35
o SMC Corp. 9,000 35
o Fresh America Corp. 7,200 35
o Priority Healthcare Corp.
Class A 1,209 35
Hopfed Bancorp, Inc. 2,200 35
Southwestern Energy Co. 5,300 35
o Waste Connections, Inc. 2,400 35
o Checkpoint Systems, Inc. 3,400 35
o Larscom, Inc. Class A 5,300 35
o Headway Corporate
Resources, Inc. 7,900 35
o 3DO Co. 3,800 35
o Acmat Corp. Class A 4,600 35
o ZapMe! Corp. 4,000 35
o Vicorp Restaurants, Inc. 2,138 34
InterWest Bancorp Inc. 1,786 34
o Hecla Mining Co. 21,900 34
o Intergraph Corp. 7,300 34
o Cone Mills Corp. 7,600 34
o Liquid Audio, Inc. 1,300 34
o Shoney's Inc. 24,795 34
EDO Corp. 5,800 34
Energy West Inc. 4,000 34
M.A. Hanna Co. 3,100 34
o ABC-NACO, INC. 4,100 34
Oak Hill Financial, Inc. 2,300 34
F & M Bancorp 1,657 34
o GST Telecommunications Inc. 3,700 34
Penn Virginia Corp. 2,000 34
Bell Industries, Inc. 4,500 33
o Baldwin Technology Class A 15,700 33
A.M. Castle & Co. 2,800 33
o Engineering Animation, Inc. 3,800 33
Hunt Corp. 3,500 33
Owens & Minor, Inc. Holding Co. 3,700 33
o Rohn Industries Inc. 11,500 33
National City Bancorporation 1,968 33
35
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
o Ceres Group, Inc. 4,700 $ 33
o Sensory Science Corp. 18,800 33
BeautiControl Cosmetics 15,000 33
o Meridian Gold Co. 4,800 33
o Management Network Group Inc. 1,000 33
PXRE Group Ltd. 2,500 33
General Chemical Group, Inc. 14,000 32
Watsco, Inc. 2,800 32
o V.I. Technologies, Inc. 4,700 32
General Binding Corp. 2,728 32
o Vivus, Inc. 10,100 32
o Concurrent Computer Corp. 1,700 32
o Epicor Software Corp. 6,274 32
o Technisource, Inc. 5,400 32
o Candela Corp. 1,700 32
Strayer Education, Inc. 1,600 32
o Micrografx, Inc. 7,200 32
o DA Consulting Group, Inc. 8,800 31
First Mariner Bancorp, Inc. 3,800 31
o PriceSmart, Inc. 800 31
o Buckeye Technology, Inc. 2,100 31
Angelica Corp. 3,200 31
o Group 1 Software, Inc. 2,400 31
Amcast Industrial Corp. 1,904 31
MTS Systems Corp. 4,020 31
Foster Wheeler Corp. 3,500 31
Waddell & Reed Financial, Inc. 1,145 31
o Danielson Holdings Corp. 5,400 31
o U.S. Franchise Systems,
Inc. Class A 6,900 31
o Volt Information Sciences Inc. 1,300 31
o Aetrium, Inc. 4,700 31
o Kitty Hawk, Inc. 4,500 31
o Impco Technologies Inc. 2,200 31
o MTR Gaming Group Inc. 10,000 31
o Wit Capital Group, Inc. 1,800 31
o Western Digital Corp. 7,300 31
o Gibson Greetings, Inc. 3,400 30
o Strategic Distribution, Inc. 21,200 30
o HA-LO Industries, Inc. 4,050 30
K2 Inc. 3,964 30
o Converse Inc. 21,966 30
o Dave & Busters 3,677 30
o I-Link, Inc. 10,800 30
o OneMain.com, Inc. 2,000 30
Wackenhut Corp. 2,008 30
o Alterra Healthcare Corp. 3,600 30
o The TesseracT Group, Inc. 17,100 30
o Sunrise Medical, Inc. 4,800 30
o PowerCerv Corp. 5,600 29
o Teledyne Technologies, Inc. 3,111 29
o Advanced Lighting
Technologies, Inc. 5,100 29
EZCORP, Inc. 7,200 29
o Life Financial Corp. 7,300 29
o INSpire Insurance Solutions,
Inc. 6,350 29
o Medialink Worldwide, Inc. 3,600 29
o Beyond.com Corp. 3,700 29
o iManage, Inc. 899 29
Imperial Sugar Co. 8,664 29
CKE Restaurants Inc. 4,851 29
o XOMA Ltd. 9,500 29
o eSPEED, Inc. 800 28
Brown Shoe Company, Inc. 2,000 28
o Health Management
Systems, Inc. 4,453 28
Landmark Bancshare, Inc. 1,300 28
o Thermo TerraTech, Inc. 4,100 28
Merchants Bancshares, Inc. 1,300 28
Synalloy Corp. 3,700 28
o U.S. Energy Corp. 7,900 28
o Rehabilicare, Inc. 6,880 28
o Jones Lang Lasalle Inc. 2,300 27
o Keystone Consolidated
Industries, Inc. 4,600 27
Arch Coal, Inc. 2,400 27
Konover Property Trust, Inc.
REIT 4,300 27
o Magellan Health Services, Inc. 4,300 27
o BE Avionics Inc. 3,200 27
o Ezenia!, Inc. 3,400 27
o Total-Tel USA
Communications, Inc. 1,900 27
Holly Corp. 2,000 27
o Epitope Inc. 4,100 27
LTV Corp. 6,400 26
o Ocwen Financial Corp. 4,200 26
o Stein Mart, Inc. 4,600 26
o Sunrise Assisted Living, Inc. 1,900 26
o Systems & Computer
Technology Corp. 1,600 26
Westbanco Inc. 1,000 26
o CyberSource Corp. 500 26
o Global Vacation Group, Inc. 9,000 26
o iBasis, Inc. 900 26
o Netivation.com, Inc. 4,500 26
o World Wrestling Federation
Entertainment, Inc. 1,500 26
Equity Inns, Inc. REIT 3,800 26
CVB Financial Corp. 1,100 25
o HomeBase, Inc. 8,300 25
o North American Vaccine, Inc. 5,639 25
Spartan Motors, Inc. 5,800 25
o M&F Worldwide Corp. 5,000 25
o Health Systems Design Corp. 4,800 25
Phoenix Investment Partners
Ltd. 3,100 25
o InVision Technologies, Inc. 6,100 25
o Sunbeam Corp. 6,000 25
Mills Corp. REIT 1,400 25
o Circle.com 2,030 25
o General Cigar Holdings, Inc. 3,000 25
Huntco Inc. Class A 7,800 25
o Synagro Technologies Inc. 5,100 25
o Ventiv Health, Inc. 2,706 25
o LCA-Vision, Inc. 5,300 25
o PlayCore, Inc. 3,100 25
o Vertex Industries, Inc. 6,700 25
Chiquita Brands International,
Inc. 5,200 25
o Lumisys, Inc. 7,800 25
o School Specialty, Inc. 1,627 25
Bridge View Bancorp 1,560 25
Green Mountain Power Corp 3,300 25
Lillian Vernon Corp. 2,200 24
o AMBI, Inc. 9,900 24
Anthracite Capital Inc. 3,800 24
o Coram Healthcare Corp. 21,523 24
o PRT Group Inc. 11,000 24
36
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
o Billing Concepts Corp. 3,700 $ 24
Steelcase Inc. 2,000 24
o Noodle Kidoodle Inc. 5,000 24
Atlantic Tele-Network, Inc. 2,580 24
o ThermoLase Corp. 11,800 24
Resource Bancshares
Mortgage Group, Inc. 5,200 24
o COMARCO, Inc. 1,000 24
o UniSource Energy Corp. 2,100 23
o Sonic Automotive, Inc. 2,400 23
o Thermedics, Inc. 4,300 23
o Viasoft, Inc. 4,100 23
o Value America, Inc. 4,600 23
o Phoenix Technologies LTD. 1,470 23
Banco Santander Puerto Rico 1,500 23
Hancock Fabrics, Inc. 7,400 23
o TD Waterhouse Group, Inc. 1,400 23
Cadmus Communications 2,700 23
o Burlington Industries, Inc. 5,703 23
o Superior Consultant Holdings
Corp. 1,600 23
Titan International, Inc. 3,500 23
o Seattle FilmWorks, Inc. 8,175 23
UniFirst Corp. 1,800 23
o Trump Hotels & Casino
Resorts, Inc. 6,700 23
o Coventry Health Care Inc. 3,345 23
o Goody's Family Clothing 4,200 23
o Syms Corp. 4,500 23
o Consolidated Graphics, Inc. 1,500 22
o Veterinary Centers of
America, Inc. 1,740 22
o AgriBioTech, Inc. 9,400 22
Ampco-Pittsburgh Corp. 2,200 22
Conoco Inc. Class A 900 22
Circle International Group, Inc 1,000 22
o Vornado Operating Inc. REIT 3,695 22
o Central Financial
Acceptance Corp. 3,000 22
o York Research Corp. 5,900 22
o Webco Industries, Inc. 6,300 22
Herbalife International
Class A 1,533 22
Alamo Group, Inc. 2,200 22
Great Southern Bancorp, Inc. 1,000 22
Heilig-Meyers Co. 8,000 22
o Lason Holdings, Inc. 2,000 22
Oxford Industries, Inc. 1,100 22
o Autoweb.com, Inc. 2,000 22
o Curative Health Services Inc. 2,800 22
Roadway Express Inc. 1,000 22
o Applied Microsystems Corp. 1,900 22
o Rocky Mountain
Chocolate Factory, Inc. 4,100 22
Patriot Bank Corp. 2,000 22
o GP Strategies Corp. 3,500 21
o Lone Star Steakhouse &
Saloon, Inc. 2,400 21
o Cyberguard Corp. 4,500 21
Tejon Ranch Co. 900 21
Pan Pacific Retail Properties,
Inc. REIT 1,300 21
Grove Property Trust REIT 1,600 21
Capstead Mortgage Corp. REIT 5,050 21
o Somera Communications, Inc. 1,700 21
o CD Warehouse, Inc. 6,500 21
o dELiA*s Inc. 2,900 21
Guilford Mills, Inc. 2,900 21
o Northwest Pipe Co. 1,500 21
o TST Impreso, Inc. 5,300 21
o Sola International Inc. 1,500 21
General Cable Corp. 2,750 21
o TriPath Imaging, Inc. 5,000 21
TransPro Inc. 3,200 21
Blimpie International, Inc. 10,900 20
o Norstan, Inc. 3,200 20
o Quaker City Bancorp, Inc. 1,250 20
World Fuel Services Corp. 2,700 20
o AMF Bowling, Inc. 6,468 20
o Navigators Group, Inc. 2,000 20
o FARO Technologies, Inc. 6,800 20
o Genzyme Molecular Oncology 2,821 20
Berry Petroleum Class A 1,300 20
o Bush Boake Allen, Inc. 800 20
o Carmike Cinemas, Inc. Class A 2,511 20
o Immune Response 4,500 20
o Mobile Mini, Inc. 900 19
o TRO Learning, Inc. 3,600 19
Superior Telecom Inc. 1,250 19
o The Buckle, Inc. 1,300 19
o Vestcom International, Inc. 5,500 19
o Navigant International, Inc. 1,644 19
o New Frontier Media, Inc. 4,500 19
o Pegasystems Inc. 1,700 19
o ISCO, Inc. 3,800 19
Tech/Ops Sevcon, Inc. 1,900 19
o SM&A Corp. 3,100 19
o Tandycrafts, Inc. 6,200 19
Avado Brands, Inc. 4,500 19
o Building One Services Corp. 2,000 19
o Winter Sports Inc. 2,425 19
o Harken Energy Corp. 24,900 19
o Quality Systems, Inc. 2,400 19
o Metromedia International
Group, Inc. 3,900 19
o Cidco, Inc. 3,400 18
o American Access
Technologies Inc. 3,600 18
o Data Race, Inc. 6,778 18
BankAtlantic Bancorp, Inc.
Class B 3,592 18
o GT Interactive Software Corp. 11,100 18
o Material Sciences Corp. 1,800 18
o Mesaba Holdings, Inc. 1,600 18
o Schuler Homes Inc. 2,800 18
Foothill Independent Bancorp. 1,391 18
o Nastech Pharmaceutical Co.,
Inc. 5,300 18
Thermoretec Corp. 2,700 18
o Systemax Inc. 2,100 18
o Catalina Lighting, Inc. 3,700 18
Birmingham Steel Corp. 3,350 18
Senior Housing Properties
Trust REIT 1,430 18
o Redhook Ale Brewery, Inc. 8,000 18
o Genome Therapeutics Corp. 1,100 18
o Designs, Inc. 12,050 18
o Lancer Corp. 3,802 18
o Aames Financial Corp. 21,600 18
37
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
J.M. Smucker Co. Class A 900 $ 18
o Pediatrix Medical Group, Inc. 2,500 18
o Wiser Oil Co. 7,000 18
Home Bancorp 1,000 17
State Auto Financial Corp. 1,900 17
o Castle & Cooke Inc. 1,366 17
o Aztec Technology Partners, Inc. 3,789 17
o PICO Holdings, Inc. 1,402 17
o Parker Drilling Co. 5,400 17
Tremont Corp. 1,142 17
o Badger Paper Mills, Inc. 3,200 17
Herbalife International
Class B 1,267 17
o National Dentex Corp. 1,000 17
o Urocor, Inc. 4,000 17
o International Assets Holding
Corp. 2,178 17
Greater Community Bancorp 1,785 17
LandAmerica Financial Group,
Inc. 900 17
o Thermotrex Corp. 2,100 17
o Heartland Technology, Inc 5,500 17
o Merix Corp. 1,500 17
o Secure Computing Corp. 1,300 16
o Lexington Global Asset
Managers, Inc. 6,600 16
Glenborough Realty Trust,
Inc. REIT 1,200 16
o The A Consulting Team, Inc. 3,200 16
o OAO Technology Solutions, Inc 2,061 16
o American Skiing Co. 5,000 16
o Alyn Corp. 7,700 16
o Lechters Corp. 9,000 16
o NPC International Class A 2,000 16
o Loislaw.com, Inc. 400 16
o ebookers.com PLC 900 16
Horizon Financial Corp. 1,635 16
MMI Cos., Inc. 1,800 16
o International Microcomputer
Software, Inc. 7,500 15
Winston Hotels, Inc. REIT 1,900 15
Urstadt Biddle Properties REIT 2,100 15
Cavalier Homes, Inc. 3,840 15
York Financial Corp. 1,344 15
Oregon Trail Financial Corp. 1,500 15
o Collagenex
Pharmaceuticals, Inc. 600 15
o Lifeline Systems, Inc. 1,000 15
o Dispatch Management
Services Corp. 5,100 15
Dimon Inc. 4,600 15
o Hologic, Inc. 2,600 15
o Virata Corp. 500 15
o Carrington Labs Inc. 7,400 15
Stephan Co. 3,700 15
o Paging Network, Inc. 18,100 15
o Planet Polymer Technology,
Inc. 5,200 15
Gentek, Inc. 1,400 15
o Digital Insight Corp. 400 15
o Lifeway Foods, Inc. 2,000 15
o Applied Graphics
Technologies, Inc. 1,660 14
o Marvel Enterprises Inc. 2,600 14
o Samsonite Corp. 2,442 14
o Innovative Gaming Corp. 10,000 14
o MessageMedia Inc. 1,000 14
o Darling International, Inc. 6,600 14
o Rainforest Cafe, Inc. 3,525 14
Clarion Commercial Holdings,
Inc. 1,800 14
o Styling Technology Corp. 4,400 14
U.S.B. Holding Co., Inc. 862 14
o National Western Life Insurance
Co. Class A 200 14
Health Care REIT, Inc. 900 14
o Alliance Gaming Corp. 5,000 14
Greater Delaware Valley
Savings Bank 1,500 14
o Kevco, Inc. 7,200 14
o Microwave Systems Corp. 2,800 13
o NeoMedia Technologies, Inc. 2,800 13
o Maxicare Health Plans Inc. 4,600 13
Oakwood Homes Corp. 4,100 13
Urstadt Biddle Properties
REIT Class A 1,700 13
o Omega Worldwide, Inc. 2,795 13
o IGI, Inc. 6,710 13
o Encore Wire Corp. 1,700 13
o PictureTel Corp. 3,000 13
o General Magic, Inc. 3,300 13
o Chic By H.I.S., Inc. 20,320 13
Oregon Steel Mills, Inc. 1,600 13
o Toymax International, Inc. 2,700 13
o Seven Seas Petroleum Inc. 7,200 13
o Integral Vision, Inc. 5,742 12
Hudson River Bancorp. Inc. 1,200 12
o Schein Pharmaceutical, Inc. 1,000 12
o Fresh Choice, Inc. 5,100 12
Nash-Finch Co. 1,900 12
o Jupiter Communications, Inc. 400 12
o Viisage Technology, Inc. 1,500 12
o Polyvision Corp. 4,800 12
o VisionAmerica Inc. 4,000 12
o Crown Vantage, Inc. 5,680 12
o Service Experts, Inc. 2,000 12
Primex Technologies, Inc. 560 12
o Merisel, Inc. 8,800 12
o Radio Unica Corp. 400 12
o Advanced Magnetics, Inc. 2,700 11
o NS Group Inc. 1,500 11
o Landry's Seafood Restaurants,
Inc. 1,300 11
Transcontinental Realty
Investors, Inc. 885 11
o Black Hawk Gaming &
Development Co., Inc. 1,900 11
o Echo Bay Mines Ltd. 9,400 11
o Input Software Inc. 800 11
o Egreetings Network, Inc. 1,100 11
o Global Payment Tech Inc. 1,200 11
Virco Manufacturing Corp. 847 11
o Molecular Biosystems, Inc. 10,997 11
o Hauser, Inc. 3,500 11
o Cardima, Inc. 6,000 11
o Stage Stores, Inc. 4,700 11
o DLJdirect 800 11
o Colonial Downs Holdings, Inc. 13,300 11
o Conrad Industries, Inc. 3,300 11
Frontier Insurance Group, Inc. 3,080 11
o Capital Title Group, Inc. 6,000 11
o MedicaLogic, Inc. 500 11
38
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
o Z-Tel Technologies, Inc. 280 $ 11
o Ziff-Davis Inc.-ZDNet 500 11
o Aqua Care Systems, Inc. 6,700 10
o Ramtron International Corp. 1,560 10
o Water Pik Technologies, Inc. 1,089 10
o Dura Automotive Systems, Inc. 593 10
o Gulf West Banks, Inc. 1,155 10
o Consolidated Freightways Corp. 1,300 10
o Consolidated Delivery &
Logistics, Inc. 2,800 10
o Carriage Services, Inc. 1,700 10
o Komag, Inc. 3,200 10
o Scherer Health 3,200 10
o Chesapeake Energy Corp. 4,200 10
Phillips-Van Heusen Corp. 1,200 10
o Corvas International, Inc. 2,200 10
o Martha Stewart Living
Omnimedia, Inc. 400 10
o Electronic Retailing Systems
International, Inc. 9,900 10
Meridian Diagnostics, Inc. 1,300 9
o Interactive Pictures Corp. 400 9
o Trans World Airlines 3,300 9
o Blue Wave Systems, Inc. 1,000 9
o EEX Corp. 3,148 9
o Lakes Gaming, Inc. 1,162 9
o LMI Aerospace, Inc. 3,000 9
Met-Pro Corp. 900 9
Titanium Metals Corp. 2,000 9
Unity Bancorp, Inc. 1,500 9
o PhyCor, Inc. 4,750 9
o Kendle International Inc. 900 9
o Comfort Systems USA, Inc. 1,200 9
Massbank Corp. 300 9
Vesta Insurance Group, Inc. 2,200 9
o Maker Communications, Inc. 200 9
o Genzyme Surgical Products 1,467 9
o Huttig Building Products, Inc. 1,722 9
o The Gymboree Corp. 1,500 8
o Scheid Vineyards, Inc. Class A 2,300 8
o Geerlings & Wade Inc. 1,200 8
Bedford Bancshares, Inc. 800 8
o U.S. Interactive, Inc. 191 8
Carolina Southern Bank 630 8
o Phoenix International Ltd., Inc.2,100 8
Terra Industries, Inc. 4,900 8
o CHS Electronics, Inc. 7,000 8
o Film Roman, Inc. 5,000 8
o United PanAm Financial Corp. 4,000 8
o Labtec, Inc. 1,400 8
United Wisconsin Services, Inc. 1,800 8
o Fogdog, Inc. 800 8
o Anthony & Sylvan Pools Corp. 1,064 7
o AmeriPath, Inc. 900 7
Farrel Corp. 4,000 7
o Quintel Communications, Inc. 800 7
o Mesa Air Group Inc. 1,500 7
o Plexus Corp. 160 7
First Commerce Bancshares Inc.
Class A 300 7
o eCollege.com Inc. 600 7
o Quokka Sports, Inc. 500 7
o Applied Magnetics Corp. 17,400 7
o C2, Inc. 1,300 6
o Electric Fuel Corp. 1,800 6
o Numerex Corp. 500 6
o Caribiner International, Inc. 1,700 6
o I-Link Inc. Series N Pfd. 6 6
o Excel Legacy Corp. 1,800 6
o United Leisure Corp. 1,800 6
o U.S. Office Products Co. 1,861 6
o Mobius Management
Systems, Inc. 700 6
o Astea International, Inc. 1,000 5
o Adams Golf, Inc. 3,300 5
o Omtool, Ltd. 2,200 5
o Amresco, Inc. 3,600 5
o Royal Precision Inc. 2,000 5
o ATEC Group, Inc. 2,000 5
o Capital Corp. of the West 500 5
o NetRatings, Inc. 100 5
o American Medical Security
Group, Inc. 800 5
o Respironics, Inc. 600 5
o Crescendo Pharmaceuticals Corp. 260 5
o Employee Solutions, Inc. 6,700 5
o CRIIMI MAE, Inc. REIT 3,200 5
o NCS HealthCare, Inc. 1,900 5
o Cytrx Corp. 5,000 5
Sauer Inc. 500 5
Laser Mortgage Management, Inc. 1,100 4
o Total Containment 2,100 4
Jefferson Savings Bancorp, Inc. 400 4
o SeraCare, Inc. 1,200 4
o Gold Reserve Inc. Class A 4,300 4
o Vista Energy Resources, Inc. 2,000 4
o IEC Electronics Corp. 1,682 4
o Unigene 7,000 4
o Chesapeake Biological
Laboratories, Inc. 1,300 4
o Gallery of History, Inc. 1,200 4
o Base Ten Systems, Inc. Class A 1,600 4
o Alanco Technologies, Inc. 1,986 4
Allied Products Corp. 1,000 4
o Continucare Corp. 4,600 3
o Dataware Technologies, Inc. 200 3
o CellNet Data Systems, Inc. 3,000 3
o Ashford.com, Inc. 300 3
o Centura Software Corp. 600 3
Placer Dome, Inc. 300 3
o Juno Lighting, Inc. 293 3
o Audible, Inc. 200 3
o Regent Assisted Living, Inc. 1,500 3
o Transworld Healthcare Inc. 1,574 3
o Computer Learning Centers, Inc. 1,200 3
o Penncorp Financial Group Inc. 6,800 3
o Ascent Pediatrics, Inc. 2,200 3
o Avatex Corp. Class A 2,000 3
o Integra, Inc. 1,600 3
o Natural Wonders 2,000 3
o AER Energy Resources, Inc. 10,300 3
o O'Sullivan Industries Holdings,
Inc. 12% Pfd. 5,000 3
o The Knot, Inc. 300 3
o Nord Resources Corp. 15,700 2
o Interstate Hotels Corp. REIT 720 2
39
<PAGE>
- --------------------------------------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
o Filene's Basement Corp. 18,895 $ 2
ImmuLogic Pharmaceutical Corp. 3,900 2
o Insilco Holding Corp. 87 2
o Blount International, Inc. 137 2
Pittsburgh & West
Virginia Railroad 300 2
o Technical Chemicals and
Products, Inc. 4,200 2
o GSE Systems, Inc. 600 2
o Forcenergy Inc. 3,957 2
o Multigraphics Inc. 1,600 2
o Capital Pacific Holdings, Inc. 700 2
o Service Merchandise Co., Inc. 19,200 2
o Metrocall, Inc. 900 2
o NovaCare, Inc. 8,100 2
o Merry Land Properties, Inc.
REIT 270 1
o Harnischfeger Industries Inc. 3,100 1
o Cellular Technical Services 160 1
o Response Oncology, Inc. 1,000 1
o Alteon, Inc. 1,200 1
o Horizon Group Properties,
Inc. REIT 310 1
o Planet Hollywood International,
Inc. Class A 14,200 1
o ProcureNet, Inc. 6,800 1
o Checkers Drive-In Restaurants,
Inc. 450 1
o LTC Healthcare, Inc. 500 1
o Altiva Financial Corp. 1,050 1
o Graham-Field Health Products
Inc. 7,800 1
o ContiFinancial Corp. 3,600 1
o Breed Technological Inc. 6,000 1
o CRIIMI MAE, Inc. 12%
Series F Cvt. Pfd. 96 1
o Centennial Technologies, Inc. 70 1
o Einstein/Noah Bagel Corp. 1,800 1
o All American Semiconductor, Inc. 200 1
o The Penn Traffic Co. 62 1
o Agritope, Inc. 460 1
Cole National Corp. Class A 100 1
o Ross Technology, Inc. 20,200 0
o Starter Corp. 9,600 0
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $1,094,302) 1,869,933
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT and AGENCY OBLIGATIONS (24.9%)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES (9.1%)
U.S. Treasury Bonds
7.125%, 2/15/2023 $ 2,400 2,498
7.50%, 11/15/2024 5,600 6,109
7.625%, 11/15/2022 33,075 36,258
8.00%, 11/15/2021 8,820 10,001
8.125%, 8/15/2019 20,805 23,682
8.125%, 8/15/2021 9,575 10,973
8.50%, 2/15/2020 9,405 11,105
8.75%, 5/15/2017 4,015 4,791
8.75%, 5/15/2020 3,450 4,170
8.75%, 8/15/2020 4,175 5,053
8.875%, 8/15/2017 5,075 6,127
8.875%, 2/15/2019 1,350 1,641
9.25%, 2/15/2016 275 339
10.375%, 11/15/2009 24,020 27,621
10.375%, 11/15/2012 32,230 39,155
10.625%, 8/15/2015 1,425 1,938
11.125%, 8/15/2003 100 115
12.75%, 11/15/2010 10,375 13,370
14.00%, 11/15/2011 2,465 3,437
U.S. Treasury Notes
5.75%, 8/15/2003 9,225 9,036
5.875%, 10/31/2001 2,800 2,783
6.25%, 2/15/2003 7,975 7,952
6.50%, 8/15/2005 12,300 12,295
6.50%, 10/15/2006 20,500 20,420
7.50%, 5/15/2002 8,625 8,854
8.00%, 5/15/2001 14,450 14,784
-----------
284,507
-----------
AGENCY BONDS & NOTES (2.2%)
Federal Farm Credit Bank
4.80%, 11/6/2003 3,500 3,262
Federal Home Loan Bank
5.575%, 9/2/2003 4,800 4,606
5.675%, 8/18/2003 5,000 4,816
5.80%, 9/2/2008 6,200 5,692
5.865%, 9/2/2008 2,000 1,832
5.88%, 11/25/2008 1,200 1,083
6.50%, 8/15/2007 3,500 3,399
Federal Home Loan Mortgage Corp.
5.75%, 3/15/2009 14,000 12,751
6.45%, 4/29/2009 2,000 1,865
7.09%, 6/1/2005 400 394
Federal National Mortgage Assn.
5.64%, 12/10/2008 3,500 3,108
5.75%, 4/15/2003 3,845 3,734
5.90%, 7/9/2003 3,000 2,896
5.91%, 8/25/2003 1,300 1,255
5.96%, 4/23/2003 600 581
5.97%, 7/3/2003 2,000 1,934
6.00%, 1/14/2005 150 142
6.09%, 2/20/2009 4,000 3,640
6.18%, 2/19/2009 1,000 915
6.40%, 5/14/2009 5,700 5,325
6.56%, 4/23/2008 2,750 2,591
Tennessee Valley Auth.
5.375%, 11/13/2008 2,400 2,106
-----------
67,927
-----------
Federal Home Loan Mortgage Corp.
(3) 5.50%, 11/1/2000-12/1/2028 4,279 3,961
(3) 6.00%, 7/1/2000-8/1/2029 51,921 48,515
(3) 6.50%, 4/1/2000-8/1/2029 89,803 85,494
(3) 7.00%, 4/1/2000-10/1/2029 43,921 42,742
(3) 7.50%, 3/1/2000- 5/1/2028 22,319 22,223
(3) 8.00%, 11/1/2001-7/1/2029 11,229 11,356
(3) 8.50%, 11/1/2006-8/1/2027 1,562 1,604
(3) 9.00%, 1/1/2005-10/1/2026 383 398
(3) 9.50%, 8/1/2003-4/1/2025 384 408
(3) 10.00%, 3/1/2017-4/1/2025 131 141
Federal National Mortgage Assn.
(3) 5.50%, 1/1/2001-11/1/2008 81 77
(3) 6.00%, 8/1/2000-6/1/2029 18,459 17,159
(3) 6.50%, 3/1/2000-11/1/2029 33,924 32,145
(3) 7.00%, 5/1/2000-1/1/2030 33,335 32,347
(3) 7.50%, 7/1/2001-12/1/2029 15,490 15,343
(3) 8.00%, 7/1/2007-9/1/2027 2,440 2,468
40
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- --------------------------------------------------------------------------------
(3) 8.50%, 10/1/2004-12/1/2029 2,518 2,586
(3) 9.00%, 9/1/2004-8/1/2026 543 567
(3) 9.50%, 4/1/2005-2/1/2025 260 275
(3) 10.00%, 7/1/2005-8/1/2021 95 103
(3) 10.50%, 8/1/2020 19 21
Government National Mortgage Assn.
(3) 6.00%, 3/15/2009-8/15/2029 9,095 8,338
(3) 6.50%, 9/15/2008-7/15/2029 29,724 28,022
(3) 7.00%, 5/15/2008-10/15/2029 29,424 28,518
(3) 7.50%, 5/15/2008-10/15/2029 1,701 21,504
(3) 8.00%, 4/15/2002-11/15/2029 3,949 14,111
(3) 8.50%, 7/15/2001-11/15/2029 2,592 2,670
(3) 9.00%, 2/15/2004-6/15/2027 1,436 1,507
(3) 9.50%, 9/15/2018-12/15/2025 355 380
(3) 10.00%,10/15/2017-2/15/2026 153 167
(3) 10.50%, 9/15/2019 13 14
(3) 11.00%, 7/15/2013-12/15/2015 28 31
(3) 12.00%, 2/15/2014 8 9
--------
425,204
--------
- --------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $803,226) 777,638
- --------------------------------------------------------------------------------
CORPORATE BONDS (12.3%)
- --------------------------------------------------------------------------------
ASSET-BACKED (1.6%)
ARG Funding Corp.
(3) 5.88%, 3/6/2002 2,800 2,734
AT&T Universal Card
Master Trust Series
(3) 5.95%, 5/20/2003 1,000 997
Advanta Mortgage Loan Trust
(3) 6.21%, 11/25/2016 2,600 2,546
Advanta Credit Card Master Trust
(3) 6.05%, 8/1/2003 2,500 2,491
American Express Credit Card
Master Trust
(3) 6.40%, 9/15/2002 3,000 2,962
(3) 6.80%, 12/15/2003 2,500 2,502
California Infrastructure & Econ.
Dev Bank SP Trust PG&E
(3) 6.16%, 12/14/2000 625 623
(3) 6.42%, 3/25/2005 900 874
CIT RV Trust
(3) 5.78%, 7/15/2008 1,500 1,486
(3) 5.96%, 4/15/2011 1,325 1,302
Citibank Credit Card Master Trust I
(3) 5.875%, 3/10/2011 900 810
Citicorp Lease Pass-Through Trust
(3) 7.22%, 6/15/2005 600 596
(3) 8.04%, 12/15/2019 1,700 1,697
Discover Card Master Trust I
(3) 5.65%, 11/15/2004 3,600 3,495
First Bank Corp. Card Master Trust
(3) 6.40%, 2/15/2002 1,000 990
Honda Auto Lease Trust
(3) 6.45%, 9/15/2002 2,000 1,986
(3) 6.65%, 7/15/2005 2,000 1,989
MMCA
(3) 5.50%, 7/15/2005 3,400 3,369
(3) 6.80%, 8/15/2003 2,600 2,593
PECO Energy Transition Trust
(3) 5.63%, 3/1/2005 4,800 4,650
(3) 6.05%, 7/5/2006 1,100 1,038
Premier Auto Trust
(3) 5.69%, 6/8/2002 3,000 2,977
Sears Credit Account Master Trust
(3) 5.80%, 8/15/2001 3,000 2,974
(3) 6.05%, 2/15/2004 500 489
(3) 6.35%, 2/15/2007 2,500 2,465
(3) 8.10%, 6/15/2004 1,354 1,367
--------
52,002
--------
FINANCE (5.1%)
ABN-AMRO Bank
7.125%, 10/15/2093 1,000 864
Allstate Corp.
7.20%, 12/1/2009 3,000 2,912
Associates Corp.
6.50%, 10/15/2002 1,125 1,110
7.50%, 4/15/2002 350 353
Bank of New York Capital I
7.97%, 12/31/2026 1,000 935
Banc One Corp.
6.25%, 10/1/2001 2,500 2,470
BankAmerica Corp.
7.50%, 10/15/2002 1,600 1,617
8.07%, 12/31/2026 500 470
8.125%, 2/1/2002 1,125 1,148
10.00%, 2/1/2003 200 215
Bear Stearns Co., Inc.
6.625%, 1/15/2004 300 291
6.70%, 8/1/2003 1,300 1,268
BT Capital Trust B
7.90%, 1/15/2027 500 455
CIGNA Corp.
7.875%, 5/15/2027 500 466
CNA Financial Corp
6.50%, 4/15/2005 2,300 2,143
Camden Property Trust
7.00%, 11/15/2006 750 694
Case Credit Corp.
6.15%, 3/1/2002 4,250 4,212
Chase Capital I
7.67%, 12/1/2026 1,600 1,457
Chase Manhattan Corp.
6.375%, 4/1/2008 1,870 1,736
8.50%, 2/15/2002 1,856 1,910
Chrysler Financial Corp.
5.69%, 11/15/2001 3,000 2,935
Citicorp
7.625%, 5/1/2005 700 707
8.625%, 12/1/2002 2,500 2,601
9.50%, 2/1/2002 1,000 1,047
Citicorp Capital II
8.015%, 2/15/2027 1,050 987
Comdisco Inc.
6.00%, 1/30/2002 2,650 2,560
7.25%, 9/20/2001 2,250 2,233
Commercial Credit Corp.
5.90%, 9/1/2003 450 431
Conseco Inc.
9.00%, 10/15/2006 1,600 1,643
CoreStates Capital Corp.
6.625%, 3/15/2005 700 673
Donaldson Lufkin & Jenrette, Inc.
6.00%, 12/1/2001 6,750 6,602
41
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- --------------------------------------------------------------------------------
ERAC USA Finance Co.
7.95%, 12/15/2009 $ 1,400 $ 1,386
Equity Residential Properties
6.55%, 11/15/2001 1,350 1,327
Equitable Companies Inc.
7.00%, 4/1/2028 350 313
Finova Capital Corp.
6.25%, 11/1/2002 3,000 2,913
7.25%, 11/8/2004 5,000 4,939
First Chicago Corp.
11.25%, 2/20/2001 400 419
First Union Corp.
8.125%, 6/24/2002 500 509
Fleet Capital Trust II
7.92%, 12/11/2026 500 456
Fleet Financial Group, Inc.
6.875%, 3/1/2003 400 395
7.125%, 4/15/2006 500 485
Ford Motor Credit Co.
5.75%, 2/23/2004 5,000 4,733
6.375%, 2/1/2029 1,250 1,051
7.375%, 10/28/2009 1,000 987
8.20%, 2/15/2002 600 614
General Electric Capital Corp.
6.90%, 9/15/2015 1,000 937
General Motors Acceptance Corp.
6.625%, 1/10/2002 2,500 2,477
6.625%, 10/1/2002 2,850 2,812
7.125%, 5/1/2001 2,000 2,004
9.00%, 10/15/2002 350 366
9.625%, 12/15/2001 600 628
HRPT Properties Trust
6.75%, 12/18/2002 1,750 1,641
Household Finance Corp.
6.40%, 6/17/2008 375 346
7.625%, 1/15/2003 1,500 1,512
7.65%, 5/15/2007 350 350
International Lease Finance
6.375%, 8/1/2001 1,480 1,467
6.875%, 5/1/2001 1,145 1,144
JDN Realty Corp.
6.80%, 8/1/2004 840 782
Lehman Brothers Holdings Inc.
6.25%, 4/1/2003 2,000 1,928
6.625%, 2/5/2006 625 590
6.90%, 1/29/2001 2,200 2,192
7.50%, 9/1/2006 500 488
7.625%, 6/1/2006 550 540
Liberty Financial Co.
6.75%, 11/15/2008 2,000 1,826
Mack-Cali Realty
7.00%, 3/15/2004 2,000 1,920
Mellon Capital II
7.995%, 1/15/2027 1,250 1,178
Mellon Financial Co.
5.75%, 11/15/2003 600 570
Merrill Lynch & Co., Inc.
5.71%, 1/15/2002 1,600 1,561
5.87%, 11/15/2001 1,650 1,619
5.88%, 1/15/2004 1,400 1,334
6.00%, 1/15/2001 2,000 1,984
6.00%, 2/17/2009 700 626
6.07%, 10/15/2001 3,000 2,956
6.50%, 4/1/2001 2,000 1,990
8.30%, 11/1/2002 375 386
Morgan Stanley Dean Witter
6.375%, 8/1/2002 1,000 981
7.125%, 1/15/2003 7,800 7,771
NB Capital Trust IV
8.25%, 4/15/2027 1,000 962
NCNB Corp.
9.375%, 9/15/2009 2,000 2,241
9.50%, 6/1/2004 275 295
National Rural Utilities
6.42%, 5/1/2008 700 658
NationsBank Corp.
5.75%, 3/15/2001 1,200 1,184
6.50%, 3/15/2006 300 286
7.00%, 9/15/2001 1,500 1,501
PaineWebber Group Inc.
6.375%, 5/15/2004 1,250 1,188
Popular Inc.
6.20%, 4/30/2001 3,000 2,957
7.375%, 9/15/2001 3,400 3,393
Reckson Operating Partnership LP
7.75%, 3/15/2009 1,300 1,196
Republic New York Corp.
7.75%, 5/15/2002 500 503
7.75%, 5/15/2009 300 293
Salomon, Inc.
6.65%, 7/15/2001 1,200 1,193
Salomon Smith Barney Holdings Inc.
5.875%, 2/1/2001 700 692
6.875%, 6/15/2005 200 194
Security Capital Pacific Trust
8.05%, 4/1/2017 350 316
Simon DeBartolo Group, Inc.
6.75%, 7/15/2004 750 703
Summit Properties Inc.
6.95%, 8/15/2004 1,800 1,678
SunTrust Banks, Inc.
7.375%, 7/1/2006 2,100 2,105
Susa Partnership
7.50%, 12/1/2027 400 327
Toyota Motor Credit
5.625%, 11/13/2003 3,750 3,563
Travelers/Aetna Property
Casualty Corp.
6.75%, 4/15/2001 2,000 1,998
7.75%, 4/15/2026 450 436
US Bancorp
7.00%, 3/15/2003 2,450 2,431
U S WEST Capital Funding, Inc.
6.875%, 8/15/2001 3,000 2,988
Wells Fargo & Co.
6.50%, 9/3/2002 3,500 3,459
6.875%, 4/1/2006 600 583
7.96%, 12/15/2026 600 565
-----------
158,466
-----------
INDUSTRIAL (3.9%)
American Airlines ETC-A
6.855%, 4/15/2009 1,200 1,179
7.024%, 10/15/2009 600 591
42
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- --------------------------------------------------------------------------------
Anadarko Petroleum Corp.
7.20%, 3/15/2029 $ 1,500 $ 1,356
Anheuser-Busch Cos., Inc.
7.375%, 7/1/2023 125 117
7.10%, 6/15/2007 1,100 1,079
7.125%, 7/1/2017 400 375
Apache Corp.
7.625%, 7/1/2019 1,000 966
Applied Materials, Inc.
8.00%, 9/1/2004 125 127
Archer-Daniels-Midland Co.
8.875%, 4/15/2011 295 322
Auburn Hills
12.00%, 5/1/2020 175 253
Baker Hughes Inc.
6.875%, 1/15/2029 1,350 1,180
C.R. Bard, Inc.
6.70%, 12/1/2026 1,100 1,042
Bayer Corp.
6.65%, 2/15/2028 850 747
Black & Decker Corp.
7.50%, 4/1/2003 1,700 1,704
The Boeing Co.
6.625%, 2/15/2038 900 763
Burlington Northern Santa Fe Corp.
6.375%, 12/15/2005 150 142
6.75%, 3/15/2029 750 652
6.875%, 2/15/2016 500 456
7.00%, 12/15/2025 100 90
7.25%, 8/1/2097 300 261
CSX Corp.
7.05%, 5/1/2002 1,000 993
8.10%, 9/15/2022 300 299
8.625%, 5/15/2022 1,100 1,157
CVS Corp.
5.50%, 2/15/2004 1,250 1,168
Caterpillar Co.
7.375%, 3/1/2097 750 673
Chrysler Corp.
7.45%, 2/1/2097 300 278
Coastal Corp.
6.50%, 5/15/2006 500 471
Comcast Cablevision
8.875%, 5/1/2017 850 929
Conoco Inc.
5.90%, 4/15/2004 3,500 3,333
Conrail Corp.
9.75%, 6/15/2020 120 137
Continental Airlines, Inc.
(Pass-Through Trust)
(3) 6.331%, 12/29/2000 1,102 1,081
(3) 6.41%, 8/8/2004 826 782
6.648%, 3/15/2019 812 729
Cyprus Minerals
6.625%, 10/15/2005 600 551
Daimler-Chrysler North America
Holding Corporation
Global Notes
6.90%, 9/1/2004 3,000 2,961
7.20%, 9/1/2009 1,000 982
Dayton Hudson Corp.
6.65%, 8/1/2028 500 433
6.75%, 1/1/2028 1,000 879
Deere & Co.
8.50%, 1/9/2022 100 106
Delta Air Lines, Inc.
8.30%, 12/15/2029 2,000 1,937
Delta Air Lines, Inc.
(Equipment Trust Certificates)
8.54%, 1/2/2007 359 363
Dillard's Inc.
5.79%, 11/15/2001 2,000 1,934
The Walt Disney Co.
7.55%, 7/15/2093 850 783
Dow Chemical Co.
7.375%, 11/1/2029 2,000 1,912
E. I. duPont de Nemours & Co.
6.875%, 10/15/2009 900 871
Eastman Chemical Co.
6.375%, 1/15/2004 300 286
7.25%, 1/15/2024 450 397
Federated Department Stores, Inc.
7.45%, 7/15/2017 975 927
8.50%, 6/15/2003 2,000 2,063
Ford Capital BV
9.50%, 6/1/2010 100 112
Georgia-Pacific Corp.
7.75%, 11/15/2029 2,000 1,905
Harrahs Operating Co., Inc.
7.50%, 1/15/2009 1,500 1,407
International Business
Machines Corp.
7.125%, 12/1/2096 1,125 1,020
International Paper Co.
6.875%, 4/15/2029 750 650
7.875%, 8/1/2006 100 100
Kroger Co.
7.625%, 9/15/2006 1,450 1,430
7.625%, 9/15/2029 425 416
7.65%, 4/15/2007 570 563
8.15%, 7/15/2006 500 507
Lafarge Corp
6.375%, 7/15/2005 1,750 1,646
Lockheed Martin Corp.
6.50%, 4/15/2003 1,000 958
6.85%, 5/15/2001 1,500 1,486
7.70%, 6/15/2008 1,300 1,254
Lucent Technologies, Inc.
6.50%, 1/15/2028 500 439
May Department Stores Co.
9.75%, 2/15/2021 120 140
9.875%, 12/1/2002 225 241
McDonald's Corp.
6.75%, 2/15/2003 300 297
Mobil Corp.
7.625%, 2/23/2033 175 163
Mobil Corp. ESOP
9.17%, 2/29/2000 104 105
Monsanto Co.
5.625%, 12/1/2001 2,500 2,427
6.00%, 12/1/2005 1,000 918
News America Holdings
7.75%, 1/20/2024 200 189
8.50%, 2/15/2005 700 720
9.25%, 2/1/2013 1,000 1,086
43
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- --------------------------------------------------------------------------------
Norfolk Southern Corp.
6.875%, 5/1/2001 $ 2,250 $ 2,242
7.40%, 9/15/2006 535 523
7.70%, 5/15/2017 100 98
7.80%, 5/15/2027 300 293
7.90%, 5/15/2097 100 95
Northrop Grumman Corp.
7.00%, 3/1/2006 500 470
9.375%, 10/15/2024 650 681
Occidental Petroleum Corp.
8.50%, 11/9/2001 1,200 1,223
J.C. Penney & Co., Inc.
6.125%, 11/15/2003 130 120
9.05%, 3/1/2001 300 303
Petroleum Geo Services
8.15%, 7/15/2029 750 740
Philip Morris Cos., Inc.
7.00%, 7/15/2005 500 470
8.25%, 10/15/2003 450 452
Phillips Petroleum Co.
9.00%, 6/1/2001 1,000 1,026
Praxair, Inc.
6.70%, 4/15/2001 2,100 2,087
6.75%, 3/1/2003 2,250 2,200
6.90%, 11/1/2006 350 333
Raytheon Co.
5.70%, 11/1/2003 1,100 1,030
5.95%, 3/15/2001 1,500 1,476
6.45%, 8/15/2002 3,500 3,410
7.00%, 11/1/2028 300 261
Rohm & Haas Co.
6.95%, 7/15/2004 600 592
7.40%, 7/15/2009 200 198
7.85%, 7/15/2029 1,025 1,027
Safeway Inc.
5.875%, 11/15/2001 800 783
6.85%, 9/15/2004 1,500 1,456
Sears, Roebuck & Co.
Acceptance Corp.
6.125%, 1/15/2006 350 318
6.25%, 1/15/2004 650 618
6.75%, 9/15/2005 400 378
Sprint Capital Corp.
6.50%, 11/15/2001 6,500 6,438
TCI Communications Inc.
6.375%, 5/1/2003 2,675 2,613
7.25%, 8/1/2005 475 473
7.875%, 8/1/2013 500 507
Telecommunications, Inc.
8.25%, 1/15/2003 2,000 2,063
Texaco Capital Corp.
7.50%, 3/1/2043 150 138
8.875%, 9/1/2021 100 112
Texas Instruments Inc.
6.125%, 2/1/2006 600 551
Time Warner Inc.
8.18%, 8/15/2007 500 513
8.375%, 3/15/2023 1,500 1,561
Tyco International Group SA
6.875%, 9/5/2002 3,000 2,946
6.875%, 1/15/2029 1,000 852
Union Carbide Corp.
6.70%, 4/1/2009 1,000 938
6.75%, 4/1/2003 1,550 1,519
7.75%, 10/1/2096 875 798
7.875%, 4/1/2023 200 195
Union Oil of California
6.375%, 2/1/2004 150 144
7.50%, 2/15/2029 910 850
Union Pacific Corp.
6.625%, 2/1/2029 1,000 844
8.625%, 5/15/2022 225 232
United Technologies Corp.
8.875%, 11/15/2019 575 640
Viacom Inc.
6.75%, 1/15/2003 1,000 983
7.75%, 6/1/2005 4,000 4,027
Yosemite Security Trust
8.25%, 11/15/2004 4,000 3,944
--------
121,780
--------
UTILITIES (1.7%)
AT&T Corp.
5.625%, 3/15/2004 150 142
8.35%, 1/15/2025 210 207
Ameritech Capital Funding
7.50%, 4/1/2005 600 601
Arizona Public Service Co.
7.25%, 8/1/2023 400 359
Baltimore Gas & Electric Co.
8.375%, 8/15/2001 800 817
CMS Panhandle Holding Co.
6.125%, 3/15/2004 300 285
6.50%, 7/15/2009 800 729
7.00%, 7/15/2029 475 417
Cinergy Corp.
6.125%, 4/15/2004 6,000 5,632
Coastal Corp.
6.50%, 6/1/2008 1,000 922
7.42%, 2/15/2037 325 296
7.75%, 10/15/2035 750 711
Commonwealth Edison
7.375%, 9/15/2002 1,000 1,004
7.50%, 7/1/2013 250 243
Consolidated Edison Co. of
New York, Inc.
6.625%, 2/1/2002 1,000 992
Edison International Inc.
6.875%, 9/15/2004 2,900 2,846
El Paso Energy Corp.
6.75%, 5/15/2009 3,500 3,262
Enron Corp.
6.40%, 7/15/2006 1,500 1,406
6.75%, 8/1/2009 1,050 979
6.875%, 10/15/2007 1,000 947
7.125%, 5/15/2007 300 289
9.125%, 4/1/2003 700 732
9.65%, 5/15/2001 400 413
GTE North Inc.
5.65%, 11/15/2008 200 177
GTE South Inc.
6.125%, 6/15/2007 1,500 1,387
44
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
- --------------------------------------------------------------------------------
Illinois Power Co.
7.50%, 7/15/2025 $ 500 $ 451
KN Energy, Inc.
6.45%, 3/1/2003 750 727
MCI Communications Corp.
6.50%, 4/15/2010 850 792
7.50%, 8/20/2004 2,075 2,101
7.75%, 3/23/2025 350 330
Michigan Bell Telephone Co.
7.50%, 2/15/2023 175 165
Midamerican Funding LLC
5.85%, 3/1/2001 2,700 2,660
National Rural Utility Co.
6.20%, 2/1/2008 1,500 1,392
New England Telephone &
Telegraph Co.
6.875%, 10/1/2023 200 175
7.875%, 11/15/2029 750 757
9.00%, 8/1/2031 1,000 1,044
New York Telephone Co.
6.125%, 1/15/2010 1,500 1,352
Pacific Bell Telephone Co.
7.25%, 7/1/2002 275 277
Southern California Edison
5.625%, 10/1/2002 1,500 1,448
Southwestern Bell Telephone Co.
7.25%, 7/15/2025 400 358
7.625%, 3/1/2023 725 686
Sprint Capital Corp.
6.875%, 11/15/2028 1,700 1,513
Texas Utilities Co.
7.875%, 3/1/2023 225 214
8.125%, 2/1/2002 400 407
Union Electric Power Co.
7.65%, 7/15/2003 250 253
US West Capital Funding, Inc.
6.125%, 7/15/2002 1,000 975
US West Communications Inc.
7.20%, 11/1/2004 2,400 2,385
7.25%, 9/15/2025 1,000 923
Virginia Electric & Power Co.
6.625%, 4/1/2003 1,250 1,225
6.75%, 10/1/2023 500 425
Worldcom Inc.
6.125%, 8/15/2001 3,500 3,458
--------
52,288
--------
- -----------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $398,171) 384,536
- -----------------------------------------------------------------------------
FOREIGN AND INTERNATIONAL AGENCY BONDS
(U.S. DOLLAR-DENOMINATED)(1.8%)
- -----------------------------------------------------------------------------
ABN-AMRO BK NV (Chicago)
7.25%, 5/31/2005 $ 1,000 $ 987
Abbey National PLC
7.95%, 10/26/2029 2,200 2,196
Ahold Finance USA Inc.
6.875%, 5/1/2029 1,200 1,055
Bank of Nova Scotia
6.875%, 5/1/2003 250 245
Province of British Columbia
7.00%, 1/15/2003 630 630
Canadian National Railway Co.
6.80%, 7/15/2018 1,075 971
6.90%, 7/15/2028 400 355
Republic of Chile
6.875%, 4/28/2009 1,300 1,206
China Telecom
7.875%, 11/2/2004 5,800 5,761
The Development Bank of
Singapore Ltd.
7.875%, 8/10/2009 825 821
Embotelladora Andina SA
7.875%, 10/1/2097 650 495
Republic of Finland
7.875%, 7/28/2004 850 880
Grand Metropolitan Investment Corp.
8.625%, 8/15/2001 1,000 1,026
9.00%, 8/15/2011 1,000 1,103
Hanson Overseas
7.375%, 1/15/2003 1,850 1,845
Inter-American Development Bank
8.50%, 3/15/2011 175 191
Israel Electric Corp.
7.75%, 3/1/2009 1,300 1,255
KFW International Finance, Inc.
7.20%, 3/15/2014 300 295
7.625%, 2/15/2004 400 409
Korean Development Bank
7.125%, 4/22/2004 3,700 3,605
Korea Electric Power
7.00%, 2/1/2007 650 597
7.75%, 4/1/2013 1,400 1,310
Province of Manitoba
6.875%, 9/15/2002 2,500 2,496
7.75%, 2/1/2002 825 838
8.75%, 5/15/2001 300 307
9.625%, 12/1/2018 400 482
National Westminster Bancorp Inc.
9.375%, 11/15/2003 500 534
Province of New Brunswick
8.75%, 5/1/2022 400 445
9.75%, 5/15/2020 500 605
Province of Newfoundland
7.32%, 10/13/2023 600 563
10.00%, 12/1/2020 250 303
Noranda, Inc.
8.625%, 7/15/2002 550 558
Noranda Forest
7.50%, 7/15/2003 500 492
Northern Telecom Ltd.
6.875%, 9/1/2023 500 448
Province of Ontario
7.375%, 1/27/2003 175 177
7.75%, 6/4/2002 275 280
Pemex Finance Ltd. Notes
6.125%, 2/15/2002 1,300 1,278
9.14%, 7/6/2003 1,600 1,620
9.69%, 4/1/2007 2,500 2,563
Petro-Canada
8.60%, 10/15/2001 2,000 2,049
9.25%, 10/15/2021 650 716
45
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
- --------------------------------------------------------------------------------
Petro Geo-Services
6.25%, 11/19/2003 $ 500 $ 479
7.125%, 3/30/2028 1,075 941
7.50%, 3/31/2007 250 245
Petroliam Nasional Bhd.
8.875%, 8/1/2004 2,100 2,189
Pohang Iron & Steel Co. Ltd.
7.125%, 7/15/2004 1,300 1,248
Republic of Portugal
5.75%, 10/8/2003 1,000 962
The State of Qatar
9.50%, 5/21/2009 1,500 1,576
Province of Quebec
7.125%, 2/9/2024 400 372
Province of Saskatchewan
6.625%, 7/15/2003 2,250 2,216
8.00%, 7/15/2004 1,600 1,653
Swiss Bank Corp.
7.00%, 10/15/2015 500 460
7.375%, 7/15/2015 250 238
TPSA Finance BV
7.75%, 12/10/2008 360 336
Telecomunicaciones de Puerto Rico
6.15%, 5/15/2002 500 485
6.65%, 5/15/2006 1,000 947
6.80%, 5/15/2009 400 366
- --------------------------------------------------------------------------------
TOTAL FOREIGN AND INTERNATIONAL AGENCY BONDS
(COST $60,130) 58,705
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.2%)(1)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 5.64%, 1/18/2000 2,500 2,494
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
3.25%, 1/3/2000 37,219 37,219
3.47%, 1/3/2000--Note F 30,550 30,550
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $70,263) 70,263
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.0%)
(Cost $2,426,092) 3,161,075
- --------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.0%)
- --------------------------------------------------------------------------------
Other Assets--Note B $ 67,664
Liabilities--Note F (100,261)
-----------
(32,597)
- --------------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------------
Applicable to 154,706,884 outstanding
$.001 par value shares of beneficial interest
(unlimited authorization) $3,128,478
================================================================================
NET ASSET VALUE PER SHARE $20.22
================================================================================
*See Note A in Notes to Financial Statements.
o Non-Income-Producing Security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
60.4% and 1.6%, respectively, of net assets.
See Note E in Notes to Financial Statements.
(2)Security segregated as initial margin for open futures contracts.
(3)The average maturity is shorter than the final maturity shown due to
scheduled interim principal payments.
REIT--Real Estate Investment Trust.
ADR--American Depositary Receipt.
- ---------------------------------------------------
AT DECEMBER 31, 1999, NET ASSETS CONSISTED OF:
- ---------------------------------------------------
AMOUNT PER
(000) SHARE
- ---------------------------------------------------
Paid in Capital $2,393,158 $15.47
Overdistributed Net
Investment Income (798) (.01)
Accumulated Net
Realized Gains 239 --
Unrealized Appreciation--
Note E
Investment Securities 734,983 4.75
Futures Contracts 896 .01
- ---------------------------------------------------
NET ASSETS $3,128,478 $20.22
- ---------------------------------------------------
46
<PAGE>
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by the fund during the
reporting period, and details the operating expenses charged to the fund. These
expenses directly reduce the amount of investment income available to pay to
shareholders as dividends. This Statement also shows any Net Gain (Loss)
realized on the sale of investments, and the increase or decrease in the
Unrealized Appreciation (Depreciation) on investments during the period. If the
fund invested in futures contracts during the period, the results of these
investments are shown separately.
- --------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31, 1999
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 17,549
Interest 65,851
Security Lending 493
---------
Total Income 83,893
---------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 205
Management and Administrative 4,128
Marketing and Distribution 414
Custodian Fees 124
Auditing Fees 9
Shareholders' Reports 111
Trustees' Fees and Expenses 3
---------
Total Expenses 4,994
Expenses Paid Indirectly--Note C (8)
---------
Net Expenses 4,986
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 78,907
- --------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 8,091
Futures Contracts 5,083
- --------------------------------------------------------------------------------
REALIZED NET GAIN 13,174
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 244,975
Futures Contracts (1,776)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 243,199
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $335,280
================================================================================
47
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the fund's total net assets changed during the two most
recent reporting periods. The Operations section summarizes information detailed
in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in the
fund, either by purchasing shares or by reinvesting distributions, as well as
the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed
are shown at the end of the Statement.
- --------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31,
-------------------------
1999 1998
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 78,907 $ 52,151
Realized Net Gain 13,174 16,665
Change in Unrealized Appreciation (Depreciation) 243,199 198,236
-------------------------
Net Increase in Net Assets Resulting from Operations 335,280 267,052
-------------------------
DISTRIBUTIONS
Net Investment Income (78,758) (52,344)
Realized Capital Gain (18,381) (13,902)
-------------------------
Total Distributions (97,139) (66,246)
-------------------------
CAPITAL SHARE TRANSACTIONS1
Issued 1,388,874 744,346
Issued in Lieu of Cash Distributions 91,589 62,334
Redeemed (593,711) (264,287)
-------------------------
Net Increase from Capital Share Transactions 886,752 542,393
- --------------------------------------------------------------------------------
Total Increase 1,124,893 743,199
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Year 2,003,585 1,260,386
End of Year $3,128,478 $2,003,585
-------------------------
================================================================================
1Shares Issued (Redeemed)
Issued 72,741 42,682
Issued in Lieu of Cash Distributions 4,801 3,511
Redeemed (31,232) (15,153)
Net Increase in Shares Outstanding 46,310 31,040
================================================================================
48
<PAGE>
FINANCIAL HIGHLIGHTS
This table summarizes the fund's investment results and distributions to
shareholders on a per-share basis. It also presents the fund's Total Return and
shows net investment income and expenses as percentages of average net assets.
These data will help you assess: the variability of the fund's net income and
total returns from year to year; the relative contributions of net income and
capital gains to the fund's total return; how much it costs to operate the fund;
and the extent to which the fund tends to distribute capital gains. The table
also shows the Portfolio Turnover Rate, a measure of trading activity. A
turnover rate of 100% means that the average security is held in the fund for
one year.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31,
---------------------------------------
<S> <C> <C> <C> <C> <C>
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $18.48 $16.29 $13.92 $12.77 $10.34
- ---------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .58 .54 .520 .50 .45
Net Realized and Unrealized Gain (Loss) on Investments 1.88 2.33 2.525 1.26 2.48
-----------------------------------------
Total from Investment Operations 2.46 2.87 3.045 1.76 2.93
-----------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.58) (.54) (.530) (.49) (.45)
Distributions from Realized Capital Gains (.14) (.14) (.145) (.12) (.05)
-----------------------------------------
Total Distributions (.72) (.68) (.675) (.61) (.50)
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR $20.22 $18.48 $16.29 $13.92 $12.77
=========================================================================================================
TOTAL RETURN* 13.61% 17.85% 22.24% 13.95% 28.64%
=========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Year (Millions) $3,128 $2,004 $1,260 $826 $590
Ratio of Total Expenses to Average Net Assets 0.20% 0.21% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 3.18% 3.29% 3.56% 3.69% 3.85%
Portfolio Turnover Rate 29% 25% 18% 37%+ 16%
=========================================================================================================
</TABLE>
*Total return figures do not reflect the annual account maintenance fee of $10.
+Portfolio turnover rate excluding in-kind redemptions was 30%.
49
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Vanguard Balanced Index Fund is registered under the Investment Company Act of
1940 as a diversified open-end investment company, or mutual fund. Certain of
the fund's investments are in corporate debt instruments; the issuers' abilities
to meet their obligations may be affected by economic developments in their
respective industries.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The fund consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Equity securities are valued at the latest quoted
sales prices as of the close of trading on the New York Stock Exchange
(generally 4:00 p.m. Eastern time) on the valuation date; such securities not
traded on the valuation date are valued at the mean of the latest quoted bid and
asked prices. Prices are taken from the primary market in which each security
trades. Bonds, and temporary cash investments acquired over 60 days to maturity,
are valued using the latest bid prices or using valuations based on a matrix
system (which considers such factors as security prices, yields, maturities, and
ratings), both as furnished by independent pricing services. Other temporary
cash investments are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued by
methods deemed by the Board of Trustees to represent fair value.
2. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: The fund, along with other members of The
Vanguard Group, transfers uninvested cash balances into a Pooled Cash Account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
4. FUTURES CONTRACTS: The fund uses S&P 500 Index futures contracts, S&P
MidCap 400 Index futures contracts, and Russell 2000 Index futures contracts to
a limited extent, with the objectives of maintaining full exposure to the stock
market, maintaining liquidity, and minimizing transaction costs. The fund may
purchase futures contracts to immediately invest incoming cash in the market, or
sell futures in response to cash outflows, thereby simulating a fully invested
position in the underlying index while maintaining a cash balance for liquidity.
The primary risks associated with the use of futures contracts are imperfect
correlation between the changes in market values of stocks held by the fund and
the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date the securities are bought or sold.
Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold. Premiums and discounts on
debt securities purchased are amortized and accreted, respectively, to interest
income over the lives of the respective securities.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the fund under methods approved by the Board of
Trustees. The fund has committed to provide up to
50
<PAGE>
0.40% of its net assets in capital contributions to Vanguard. At December 31,
1999, the fund had contributed capital of $595,000 to Vanguard (included in
Other Assets), representing 0.02% of the fund's net assets and 0.60% of
Vanguard's capitalization. The fund's Trustees and officers are also Directors
and officers of Vanguard.
C. The fund's custodian bank has agreed to reduce its fees when the fund
maintains cash on deposit in the non-interest-bearing custody account. For the
year ended December 31, 1999, custodian fee offset arrangements reduced expenses
by $8,000.
D. During the year ended December 31, 1999, the fund purchased $687,989,000 of
investment securities and sold $195,104,000 of investment securities other than
U.S. government securities and temporary cash investments. Purchases and sales
of U.S. government securities were $955,970,000 and $503,097,000, respectively.
E. At December 31, 1999, net unrealized appreciation of investment securities
for financial reporting and federal income tax purposes was $734,983,000,
consisting of unrealized gains of $848,802,000 on securities that had risen in
value since their purchase and $113,819,000 in unrealized losses on securities
that had fallen in value since their purchase.
At December 31, 1999, the aggregate settlement value of open futures
contracts expiring in March 2000 and the related unrealized appreciation were:
- --------------------------------------------------------------------------------
(000)
------------------------------------
AGGREGATE
NUMBER OF SETTLEMENT UNREALIZED
FUTURES CONTRACTS LONG CONTRACTS VALUE APPRECIATION
- --------------------------------------------------------------------------------
S&P 500 Index 34 $12,616 $428
S&P MidCap 400 Index 20 4,492 244
Russell 2000 Index 13 3,315 224
- --------------------------------------------------------------------------------
Unrealized appreciation on open futures contracts is required to be treated
as realized gain for tax purposes.
F. The market value of securities on loan to broker/dealers at December 31,
1999, was $39,883,000, for which the fund held cash collateral of $30,550,000
and U.S. Treasury securities with a market value of $12,541,000. Cash collateral
received is invested in repurchase agreements. Security loans are required to be
secured at all times by collateral at least equal to the market value of
securities loaned; however, in the event of default or bankruptcy by the other
party to the agreement, retention of the collateral may be subject to legal
proceedings.
51
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Trustees of
Vanguard Balanced Index Fund
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Vanguard Balanced Index Fund (the "Fund") at December 31, 1999, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
February 2, 2000
================================================================================
SPECIAL 1999 TAX INFORMATION (UNAUDITED)FOR
VANGUARD BALANCED INDEX FUND
This information for the fiscal year ended December 31, 1999, is included
pursuant to provisions of the Internal Revenue Code.
The fund distributed $16,067,000 as capital gain dividends (from net
long-term capital gains) to shareholders during the fiscal year ended December
31, 1999, all of which is designated as a 20% rate gain distribution.
For corporate shareholders, 20.6% of investment income (dividend income
plus short-term gains, if any) qualifies for the dividends-received deduction.
================================================================================
52
<PAGE>
- --------------------------------------------------------------------------------
THE PEOPLE WHO GOVERN YOUR FUND
The Trustees of your mutual fund are there to see that the fund is operated and
managed in your best interests since, as a shareholder, you are part owner of
the fund. Your fund Trustees also serve on the Board of Directors of The
Vanguard Group, which is owned by the funds and exists solely to provide
services to them on an at-cost basis.
Seven of Vanguard's nine board members are independent, meaning that they
have no affiliation with Vanguard or the funds they oversee, apart from the
sizable personal investments they have made as private individuals. They bring
distinguished backgrounds in business, academia, and public service to their
task of working with Vanguard officers to establish the policies and oversee the
activities of the funds.
Among board members' responsibilities are selecting investment advisers for
the funds; monitoring fund operations, performance, and costs; reviewing
contracts; nominating and selecting new Trustees/Directors; and electing
Vanguard officers.
The list below provides a brief description of each Trustee's professional
affiliations. Noted in parentheses is the year in which the Trustee joined the
Vanguard Board.
TRUSTEES
JOHN C. BOGLE (1967) Founder, Senior Chairman of the Board, and Director/Trustee
of The Vanguard Group, Inc., and each of the investment companies in The
Vanguard Group.
JOHN J. BRENNAN (1987) Chairman of the Board, Chief Executive Officer, and
Director/Trustee of The Vanguard Group, Inc., and each of the investment
companies in The Vanguard Group.
JOANN HEFFERNAN HEISEN (1998) Vice President, Chief Information Officer, and a
member of the Executive Committee of Johnson & Johnson; Director of Johnson &
JohnsonoMerck Consumer Pharmaceuticals Co., The Medical Center at Princeton, and
Women's Research and Education Institute.
BRUCE K. MACLAURY (1990) President Emeritus of The Brookings Institution;
Director of American Express Bank Ltd., The St. Paul Companies, Inc., and
National Steel Corp.
BURTON G. MALKIEL (1977) Chemical Bank Chairman's Professor of Economics,
Princeton University; Director of Prudential Insurance Co. of America, Banco
Bilbao Gestinova, Baker Fentress & Co., The Jeffrey Co., and Select Sector SPDR
Trust.
ALFRED M. RANKIN, JR. (1993) Chairman, President, Chief Executive Officer, and
Director of NACCO Industries, Inc.; Director of The BFGoodrich Co.
JOHN C. SAWHILL (1991) President and Chief Executive Officer of The Nature
Conservancy; formerly, Director and Senior Partner of McKinsey & Co. and
President of New York University; Director of Pacific Gas and Electric Co.,
Procter & Gamble Co., NACCO Industries, and Newfield Exploration Co.
JAMES O. WELCH, Jr. (1971) Retired Chairman of Nabisco Brands, Inc.; retired
Vice Chairman and Director of RJR Nabisco; Director of TECO Energy, Inc., and
Kmart Corp.
J. LAWRENCE WILSON (1985) Retired Chairman of Rohm & Haas Co.; Director of
Cummins Engine Co. and The Mead Corp.; Trustee of Vanderbilt University.
- --------------------------------------------------------------------------------
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY Secretary; Managing
Director and Secretary of The Vanguard Group,
Inc.; Secretary of each of the investment companies
in The Vanguard Group.
THOMAS J. HIGGINS Treasurer; Principal of The
Vanguard Group, Inc.; Treasurer of each of the
investment companies in The Vanguard Group.
VANGUARD MANAGING DIRECTORS
R. GREGORY BARTON Legal Department.
ROBERT A. DISTEFANO Information Technology.
JAMES H. GATELY Individual Investor Group.
KATHLEEN C. GUBANICH Human Resources.
IAN A. MACKINNON Fixed Income Group.
F. WILLIAM MCNABB, III Institutional Investor Group.
MICHAEL S. MILLER Planning and Development.
RALPH K. PACKARD Chief Financial Officer.
GEORGE U. SAUTER Core Management Group.
<PAGE>
ABOUT OUR COVER
Our cover art, depicting HMS Vanguard at sea, is a
reproduction of Leading the Way, a 1984 work created
and copyrighted by noted naval artist Tom Freeman,
of Forest Hill, Maryland.
[SHIP LOGO]
[THE VANGUARD GROUP LOGO]
Post Office Box 2600
Valley Forge, Pennsylvania 19482-2600
All comparative mutual fund data are from Lipper Inc. or Morningstar,
Inc., unless otherwise noted.
"Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500,"
and "500" are trademarks of The McGraw-Hill Companies, Inc.
Frank Russell Company is the owner of trademarks and copyrights
relating to the Russell Indexes. "Wilshire 4500" and "Wilshire 5000"
are trademarks of Wilshire Associates.
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
This report is intended for the fund's
shareholders. It may not be distributed
to prospective investors unless it
is preceded or accompanied by the
current fund prospectus.
Q020-02/22/2000
(C) 2000 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
