VANGUARD(R)
BALANCED INDEX FUND
JUNE 30, 2000
SEMIANNUAL
[SHIP]
[A MEMBER OF
THE VANGUARD GROUP(R) LOGO]
<PAGE>
HAVE THE PRINCIPLES OF INVESTING CHANGED?
In a world of frenetic change in business, technology, and the financial
markets, it is natural to wonder whether the basic principles of investing have
changed.
We don't think so.
The most successful investors over the coming decade will be those who
began the new century with a fundamental understanding of risk and who had the
discipline to stick with long-term investment programs.
Certainly, investors today confront a challenging, even unprecedented,
environment. Valuations of market indexes are at or near historic highs. The
strength and duration of the bull market in U.S. stocks have inflated people's
expectations and diminished their recognition of the market's considerable
risks. And the incredible divergence in stock returns--many technology-related
stocks gained 100% or more in 1999, yet prices fell for more than half of all
stocks--has made some investors question the idea of diversification.
And then there is the Internet. Undeniably, it is a powerful medium for
communications and transacting business. For investors, the Internet is a vast
source of information about investments, and online trading has made it
inexpensive and convenient to trade stocks and invest in mutual funds.
However, new tools do not guarantee good workmanship. Information is not
the same as wisdom. Indeed, much of the information, opinion, and rumor that
swirl about financial markets each day amounts to "noise" of no lasting
significance. And the fact that rapid-fire trading is easy does not make it
beneficial. Frequent trading is almost always counterpro-ductive because
costs--even at low commission rates--and taxes detract from the returns that the
markets provide. Sadly, many investors jump into a "hot" mutual fund just in
time to see it cool off. Meanwhile, long-term fund investors are hurt by
speculative trading activity because they bear part of the costs involved in
accommodating purchases and redemptions.
Vanguard believes that intelligent investors should resist short-term
thinking and focus instead on a few time-tested principles:
- Invest for the long term. Pursuing your long-term investment goals is more
like a marathon than a sprint.
- Diversify your investments with holdings in stocks, bonds, and cash
investments. Remember that, at any moment, some part of a diversified
portfolio will lag other parts, and be wary of taking on more risk by
"piling onto" the best-performing part of your holdings. Today's leader
could well be tomorrow's laggard.
- Step back from the daily frenzy of the markets; focus on your overall asset
allocation.
- Capture as much of the market's return as possible by minimizing costs and
taxes. Costs and taxes diminish long-term returns while doing nothing to
reduce the risks you incur as an investor.
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CONTENTS
REPORT FROM THE CHAIRMAN 1 PERFORMANCE SUMMARY 10
THE MARKETS IN PERSPECTIVE 4 FINANCIAL STATEMENTS 11
FUND PROFILE 6
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All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted.
"Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500," and
"500" are trademarks of The McGraw-Hill Companies, Inc.
Frank Russell Company is the owner of trademarks and copyrights
relating to the Russell Indexes.
"Wilshire 5000(R)" and "Wilshire 4500" are trademarks of Wilshire Associates
Incorporated.
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1
[PHOTO JOHN J. BRENNAN]
JOHN J. BRENNAN
REPORT FROM THE CHAIRMAN
Vanguard Balanced Index Fund earned a 1.2% return during the first half of its
2000 fiscal year, reflecting relatively lackluster returns available from the
overall U.S. stock market and solid returns from bonds.
The adjacent table compares the fund's six-month total return (capital
change plus reinvested dividends) with the returns of the average balanced fund
and the Balanced Composite Index, which is weighted 60% in the Wilshire 5000
Total Market Index--representing the entire U.S. stock market--and 40% in the
Lehman Brothers Aggregate Bond Index, a good measure of the taxable U.S. bond
market. For your reference, the table also presents the returns for these two
indexes separately. As you can see, your fund's return was just a hair short of
the return of its average peer and the composite index.
---------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 2000
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Vanguard Balanced Index Fund 1.2%
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Average Balanced Fund* 1.3%
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Balanced Composite Index** 1.3%
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Wilshire 5000 Index -0.7%
Lehman Aggregate Bond Index 4.0
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*Derived from data provided by Lipper Inc.
**Made up of two unmanaged benchmarks, weighted
60% Wilshire 5000 Index and 40% Lehman Aggregate
Bond Index.
Vanguard Balanced Index Fund's return is based on a decrease in net asset
value from $20.22 per share on December 31, 1999, to $20.15 per share on June
30, 2000, and is adjusted for dividends totaling $0.30 per share paid from net
investment income and a distribution of $0.01 per share paid from net realized
capital gains.
THE PERIOD IN REVIEW
The first half of 2000 was a tumultuous time in the financial markets, which
were buffeted by a complex set of crosscurrents. The domestic economy continued
to grow at a strong pace: The production of goods and services during the second
quarter of 2000 was about 6% higher than in the same period last year, even
after adjusting for inflation. Unemployment remained low, hovering around 4% of
the workforce. Elsewhere in the world, growth was picking up from more subdued
levels.
Economic growth is generally good for corporate earnings and, thus, for
stock prices. But investors and economic policymakers have worried that the
combination of rapid growth and low unemployment would trigger sharply higher
wages and inflation. The Federal Reserve Board, in an effort to slow the
economy's momentum and forestall an inflationary outburst, continued to raise
short-term interest rates during the half-year. The Fed boosted its target for
the federal funds rate three times by a total of 1.0 percentage point (100 basis
points). In all, the Fed has raised its target rate by 175 basis points in the
past 12 months.
For most of the first quarter of 2000, a continuing boom in technology
stocks kept the market averages rising, despite the threat of higher interest
rates. But during the second quarter, tech stocks in particular cooled off. The
market may have reacted to evidence that the ideal combination of rapid growth
and low inflation was coming to an end. If the Fed succeeds in slowing the
economy, corporate earnings growth might slow, too. And if earnings growth
slowed, some investors reasoned, technology and telecommunications
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2
stocks would have a tough time maintaining their lofty price/earnings multiples.
The split between the two quarters was evident in the results for the
tech-dominated Nasdaq Composite Index, which rose 12.7% in the first quarter,
only to slide -14.7% in the second. End result? A -3.9% return for the
half-year.
The overall U.S. stock market, as measured by the Wilshire 5000 Index,
posted a -0.7% return for the six months. The small-cap Russell 2000 Index
gained 3.0%, outpacing the large-cap Standard & Poor's 500 Index, which posted a
negative return of -0.4%. Leadership within the market during the period
switched back and forth between growth stocks--those whose prices reflect high
expectations for future profitability--and value stocks, whose low prices in
relation to earnings, book value, and dividends reflect lower expectations by
the market. Growth stocks were in front early on, but value stocks performed
best in late March and April. Growth issues bounced back in June, however, and
for the full six months, growth generally outpaced value. For example, the
growth stocks within the Russell 1000 Index (comprising the 1,000 largest U.S.
stocks) earned 4.2%, while the value stocks declined by an equal amount.
The Fed's efforts succeeded in pushing up short-term interest rates: The
yield of 3-month U.S. Treasury bills climbed 52 basis points (from 5.33% to
5.85%) during the half-year. But after rising early in the year, yields for
longer-term Treasuries began to fall after the Treasury Department announced
that it would take advantage of the rising federal budget surplus to buy back
billions of dollars' worth of long-term bonds. A shrinking supply of long-term
Treasuries caused their prices to rise and their yields to fall. By June 30, the
30-year Treasury bond's yield had fallen 58 basis points, from 6.48% to 5.90%.
Yields on high-quality corporate bonds were flat to slightly higher. But for
low-quality corporate ("junk") bonds, prices fell and yields rose as investors
worried about increased defaults.
The 4.0% return of the Lehman Aggregate Bond Index, which has an
intermediate-term average maturity, consisted of an income return of 3.6% and a
price increase of 0.4%.
PERFORMANCE OVERVIEW
As noted earlier, Vanguard Balanced Index Fund's return of 1.2% was just a tad
short of the return of both its average peer and unmanaged composite benchmark.
The fund's tilt toward the U.S. stock market, of course, was a disadvantage
during a period when the broad market provided a negative total return. However,
the solid return from bonds during the six months pulled our total return into
positive territory--a fine illustration of the value of balanced investing.
Our close tracking of the composite index is worth noting because the index
does not incur operating expenses and administrative costs, which all mutual
funds must bear. Our low expense ratio--just 0.22% of average net assets, or
$2.20 for every $1,000 invested--helps keep our return closely in line with that
of our target index. (By way of comparison, the average balanced mutual fund
levies an expense ratio of 1.33%, or $13.30 per $1,000 invested.) The importance
of low costs is especially evident over the long term, as indicated by our fine
relative performance over the fund's life span of nearly eight years: Our fund
has returned an annualized 14.0% since its November 1992 inception, versus 12.0%
for its average peer. This performance also testifies to the skillful portfolio
management services provided by Vanguard's Quantitative Equity Group and our
Fixed Income Group. Each of our investment advisers selects representative
samples of the securities held in the indexes to closely match the risk
characteristics and returns of those indexes.
<PAGE>
3
IN SUMMARY
During the first half of 2000, we witnessed sharp day-to-day price fluctuations
in the stock market, significant swings in investor sentiment, and sudden shifts
in market leadership. All of this volatility, squeezed into a mere six months,
underscored the fact that unpredictability is par for the course in financial
markets. The timing, extent, and duration of such episodes are impossible to
foretell with precision, but investors must be willing to endure them to reap
the long-term rewards of investing.
At Vanguard, we reiterate our long-standing recommendation for navigating
stormy seas toward long-term financial goals. First, create an investment plan
with a balance of stock funds, bond funds, and money market funds suited to your
time horizon, investment objectives, and tolerance for market fluctuations.
Then, once you have such a diversified plan in place--as Vanguard Balanced Index
Fund demonstrates, it need not be complicated--stick with it. Avoid the impulse
to alter it based on short-term events--whether those be unsettling turbulence
in the market or glittery returns from some particular corner of the market.
"Stay the course" is timeless investment wisdom.
/S/ JOHN J. BRENNAN
John J. Brennan
Chairman and Chief Executive Officer
July 18, 2000
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IN MEMORY
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It is with great sadness that I report the death of John C. Sawhill, an
independent trustee of the fund and a member of The Vanguard Group's board of
directors since 1991. John, an economist who was president and chief executive
officer of The Nature Conservancy, died on May 18 at age 63. He was a senior
lecturer at the Harvard Business School and had formerly served as president of
New York University and as deputy secretary of the U.S. Department of Energy
under President Jimmy Carter. John was a remarkable man who was full of energy,
vigor, and life. His experience and wisdom added a great deal to Vanguard, and
his death is a blow to everyone who knew and loved him. Though John's work on
behalf of our funds was often carried on behind the scenes, he was a dedicated
advocate for the best interests of our shareholders. He will be missed.
<PAGE>
4
THE MARKETS IN PERSPECTIVE
SIX MONTHS ENDED JUNE 30, 2000
The perpetual tug-of-war in the financial markets ended in a near stalemate
during the first half of 2000, despite lots of back-and-forth movement. On
average, neither stock nor bond prices ended the period far from where they
began it. However, bonds, thanks to their superior income, outpaced stocks in
total return.
Economic signals were conflicting. Growth continued at a rapid pace, and
corporate profits rose smartly. On the other hand, stock prices as the year
began already reflected high levels of optimism, and the market administered
severe punishment to companies that failed to live up to earnings expectations.
Also weighing on the market were concerns that the economy's vigor at a time of
low unemployment would inevitably push labor costs and other prices higher.
Indeed, higher costs for oil and natural gas pushed broad gauges of inflation
higher (the Consumer Price Index gained 2.4% for the six months and 3.7% for the
twelve months ended June 30). Yet core inflation, which excludes energy and food
items, registered a moderate 2.4% gain during the 12 months ended June 30.
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TOTAL RETURNS
PERIODS ENDED JUNE 30, 2000
------------------------------
6 MONTHS 1 YEAR 5 YEARS*
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STOCKS
S&P 500 Index -0.4% 7.2% 23.8%
Russell 2000 Index 3.0 14.3 14.3
Wilshire 5000 Index -0.7 10.0 22.6
MSCI EAFE Index -4.0 17.4 11.6
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BONDS
Lehman Aggregate Bond Index 4.0% 4.6% 6.3%
Lehman 10 Year Municipal Bond Index 4.0 4.5 6.0
Salomon Smith Barney 3-Month
U.S. Treasury Bill Index 2.8 5.3 5.2
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OTHER
Consumer Price Index 2.4% 3.7% 2.5%
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*Annualized.
The Federal Reserve Board raised short-term interest rates by 0.25
percentage point in February and again in March, before adding a half-point
boost in May. These steps, which followed three quarter-percentage-point
increases in 1999, took the Fed's target for short-term rates to 6.5%.
Thereafter, signs of a slowing in economic activity cropped up, although it was
not certain that the Fed was done trying to throttle down the economic engine.
U.S. STOCK MARKETS
Stock prices were quite volatile during the half-year, and large day-to-day
price fluctuations in market averages were commonplace. There also were two
swift shifts in market leadership. The year began with a continuance in the
rapid rise for the "TMT" stocks (technology, media, telecommunications) that
were the market's darlings during 1999. Through mid-March, the surge in these
"new economy" groups left "old economy" stocks far behind. For example, the
Nasdaq Composite Index, which is dominated by tech-related stocks, gained 15.6%
and the Russell 1000 Value Index fell -10.4% during January and February. But in
mid-March, value stocks took charge and TMT stocks slumped. The Russell 1000
Value Index returned 12.1% while the Nasdaq plummeted to a -27.4% return in the
March-May period. But June brought another flip-flop: The value index declined
-4.6%, while the Nasdaq rebounded with a 14.5% return.
<PAGE>
5
When the half-year was over, most broad market indexes had modest declines.
The all-market Wilshire 5000 Index returned -0.7%, the large-capitalization S&P
500 Index slipped -0.4%, and the Nasdaq fell -3.9%. Small- and mid-cap stocks
did better: The small-cap Russell 2000 Index gained 3.0% and the Wilshire 4500
Completion Index, comprising virtually all the U.S. stocks outside of the S&P
500, eked out a 0.3% return.
U.S. BOND MARKETS
The Federal Reserve most directly influences interest rates of short-term
securities. The Fed pushed up its target federal funds rate (charged on
overnight loans between banks) by 1 percentage point to 6.5%. But yields of
3-month U.S. Treasury bills rose only half as far (0.52 percentage point, or 52
basis points to 5.85%). And yields actually declined on long-term Treasury
securities, whose prices rose. Big federal budget surpluses are causing a
shrinking supply of Treasury bonds. The 10-year Treasury note's yield fell 41
basis points to 6.03% as of June 30, and the yield of the 30-year Treasury
declined 58 basis points--from 6.48% to 5.90%--during the half-year.
The upshot was an unusual "inversion" in the yield curve. Instead of
sloping upward--with yields increasing along with the maturity of Treasury
securities--the curve descended. The 5.90% yield of 30-year Treasuries on June
30 was 49 basis points below the 6.39% yield on 3-year Treasury notes.
Corporate bonds did not perform as well as Treasuries for two main reasons:
a record level of new offerings and investors' concern that credit quality might
be declining. The rise in yields (and fall in prices) was slight for
higher-quality corporate bonds but more severe for high-yield "junk" bonds.
Investors grew wary of riskier bonds due to an increase in defaults. The Lehman
High Yield Bond Index saw a price decline of -5.7% during the first half of
2000, more than offsetting its six-month income of 4.5%. Tax-exempt municipal
bonds generally outperformed corporates but did not do as well as Treasury
securities. The overall taxable bond market, as measured by the Lehman Aggregate
Bond Index, returned 4.0%, as a price gain of 0.4% augmented a 3.6% income
return.
INTERNATIONAL STOCK MARKETS
International stock markets were generally unprofitable for U.S. investors due
to lack-luster local market performances and a stronger U.S. dollar during the
half-year. Although economic growth in most of Europe appeared to be
strengthening, stocks were hurt by continued economic weakness in Japan and from
expectations of higher interest rates. On the other hand, European stock prices
got some support from an increase in corporate takeovers.
In local currencies, European stocks posted a 1.7% return in the aggregate
and stocks from the Pacific region recorded a modest decline of -2.6%. However,
the dollar's strength diminished those results for U.S. investors, for whom the
Morgan Stanley Capital International (MSCI) Europe Index returned -3.0% and the
MSCI Pacific Free Index returned -5.9%. The MSCI Europe, Australasia, Far East
(EAFE) Index of developed foreign markets registered a -4.0% return for U.S.
investors.
The Select Emerging Markets Free Index fell -9.6% in U.S. dollars, having
declined -3.5% in local currencies. The index was hit by weakness in South
Africa (-15%) and several emerging Asian markets, including Indonesia (-44%),
Thailand (-36%), and the Philippines (-36%). The biggest gains among emerging
markets were in Israel (+27%) and Venezuela (+19%).
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6
FUND PROFILE
BALANCED INDEX FUND
This Profile provides a snapshot of the fund's characteristics as of June 30,
2000, compared where appropriate to an unmanaged index. Key elements of this
Profile are defined on pages 8 and 9.
TOTAL FUND CHARACTERISTICS
--------------------------------
Yield 3.4%
Turnover Rate 20%*
Expense Ratio 0.22%*
Cash Investments 0.5%
*Annualized.
FUND ASSET ALLOCATION
--------------------------------
[PIE CHART]
STOCKS 59%
BONDS 40%
CASH INVESTMENTS 1%
TOTAL FUND VOLATILITY MEASURES
--------------------------------
BALANCED S&P
INDEX 500
--------------------------------
R-Squared 0.92 1.00
Beta 0.59 1.00
TEN LARGEST STOCKS
(% OF EQUITIES)
--------------------------------
General Electric Co. 3.3%
Intel Corp. 2.8
Cisco Systems, Inc. 2.8
Microsoft Corp. 2.6
Pfizer, Inc. 1.9
Exxon Mobil Corp. 1.7
Wal-Mart Stores, Inc. 1.6
Oracle Corp. 1.5
Citigroup, Inc. 1.3
International Business
Machines Corp. 1.2
--------------------------------
Top Ten 20.7%
--------------------------------
Top Ten as % of
Total Net Assets 12.2%
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
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JUNE 30, 1999 JUNE 30, 2000
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BALANCED BALANCED WILSHIRE
INDEX INDEX 5000
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Auto & Transportation ..... 2.6% 1.7% 1.7%
Consumer Discretionary .... 14.7 13.3 13.3
Consumer Staples .......... 6.5 4.8 4.8
Financial Services ........ 17.8 14.0 13.9
Health Care ............... 10.3 11.7 11.7
Integrated Oils ........... 3.5 2.8 2.8
Other Energy .............. 1.6 2.4 2.4
Materials & Processing .... 4.0 2.5 2.5
Producer Durables ......... 4.2 3.6 3.6
Technology ................ 19.0 29.9 29.9
Utilities ................. 11.1 8.8 8.8
Other ..................... 4.7 4.5 4.6
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<PAGE>
7
EQUITY CHARACTERISTICS
------------------------------------------
BALANCED WILSHIRE
INDEX 5000
------------------------------------------
Number of Stocks 3,259 6,875
Median Market Cap $45.7B $45.7B
Price/Earnings Ratio 31.9x 32.0x
Price/Book Ratio 4.7x 4.7x
Dividend Yield 1.1% 1.1%
Return on Equity 23.2% 23.2%
Earnings Growth Rate 17.2% 17.3%
Foreign Holdings 0.0% 0.0%
EQUITY INVESTMENT FOCUS
------------------------------------------
[GRID]
MARKET CAP LARGE
STYLE BLEND
FIXED INCOME CHARACTERISTICS
------------------------------------------
BALANCED
INDEX LEHMAN*
------------------------------------------
Number of Bonds 481 5,632
Yield to Maturity 7.3% 7.3%
Average Coupon 7.4% 6.9%
Average Maturity 9.0 years 8.8 years
Average Quality Aa1 Aaa
Average Duration 4.9 years 4.9 years
*Lehman Aggregate Bond Index.
FIXED INCOME INVESTMENT FOCUS
------------------------------------------
[GRID]
CREDIT QUALITY TREASURY/AGENCY
AVERAGE MATURITY MEDIUM
DISTRIBUTION BY ISSUER
(% OF BONDS)
------------------------------------------
Asset-Backed 2.8%
Commercial Mortgage-Backed 0.0
Finance 13.6
Foreign 5.5
Government Mortgage-Backed 35.2
Industrial 12.3
Treasury/Agency 25.4
Utilities 5.2
------------------------------------------
Total 100.0%
DISTRIBUTION BY CREDIT QUALITY
(% OF BONDS)
------------------------------------------
Treasury/Agency* 60.6%
Aaa 4.3
Aa 5.5
A 13.6
Baa 15.8
Ba 0.2
B 0.0
Not Rated 0.0
------------------------------------------
Total 100.0%
*Includes Government Mortgage-Backed.
<PAGE>
8
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 INVESTMENTS. The percentage of a fund's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing securities. This
figure does not include cash invested in futures contracts to simulate stock 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.
<PAGE>
9
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 period. Funds with
high turnover rates incur higher transaction costs and are more likely to
distribute capital gains (which are taxable to investors).
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year.
YIELD TO MATURITY. The rate of return an investor would receive if the
securities held by a fund were held to their maturity dates.
<PAGE>
10
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--JUNE 30, 2000
-----------------------------------------------
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
2000** -0.3 1.5 1.2 1.3
-----------------------------------------------
*60% Wilshire 5000 Index, 40% Lehman Aggregate
Bond Index.
**Six months ended June 30, 2000.
See Financial Highlights table on page 49 for
dividend and capital gains information for the
past five years.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
--------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
--------------------------------------------------------------------------------
Balanced Index Fund* 11/9/1992 8.00% 15.95% 10.16% 3.87% 14.03%
--------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
<PAGE>
11
FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
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 (58.8%)(1)
----------------------------------------------------
General Electric Co. 1,294,339 $ 68,600
Intel Corp. 438,684 58,647
o Cisco Systems, Inc. 910,062 57,846
o Microsoft Corp. 687,665 55,013
Pfizer, Inc. 824,195 39,561
Exxon Mobil Corp. 456,109 35,805
Wal-Mart Stores, Inc. 583,100 33,601
o Oracle Corp. 370,960 31,184
Citigroup, Inc. 441,977 26,629
International Business
Machines Corp. 232,500 25,473
Lucent Technologies, Inc. 425,987 25,240
American International
Group, Inc. 202,069 23,743
Merck & Co., Inc. 301,418 23,096
o EMC Corp. 284,160 21,863
SBC Communications Inc. 443,576 19,185
o Sun Microsystems, Inc. 207,540 18,873
The Coca-Cola Co. 324,300 18,627
Johnson & Johnson 181,996 18,541
o WorldCom, Inc. 374,219 17,167
o Dell Computer Corp. 335,600 16,549
Hewlett-Packard Co. 130,850 16,340
o America Online, Inc. 300,732 15,864
Home Depot, Inc. 302,497 15,106
Bristol-Myers Squibb Co. 258,500 15,058
Eli Lilly & Co. 147,956 14,777
Texas Instruments, Inc. 214,222 14,714
o Viacom Inc. Class B 197,448 13,463
Time Warner, Inc. 172,200 13,087
AT&T Corp. 412,406 13,042
Morgan Stanley Dean
Witter & Co. 148,040 12,324
The Walt Disney Co. 272,200 10,565
BellSouth Corp. 246,600 10,511
o Berkshire Hathaway Inc.
Class A 194 10,437
Bell Atlantic Corp. 202,408 10,285
American Home Products
Corp. 171,300 10,064
Procter & Gamble Co. 171,200 9,801
Corning, Inc. 36,220 9,775
Schering-Plough Corp. 191,900 9,691
o Applied Materials, Inc. 105,813 9,589
o Amgen, Inc. 134,284 9,433
Bank of America Corp. 217,350 9,346
American Express Co. 174,952 9,119
Abbott Laboratories 202,905 9,042
o Yahoo!, Inc. 71,132 8,811
o JDS Uniphase Corp. 72,520 8,693
Pharmacia Corp. 166,100 8,585
PepsiCo, Inc. 188,600 8,381
Wells Fargo Co. 213,518 8,274
Motorola, Inc. 281,670 8,186
Philip Morris Cos., Inc. 301,400 8,006
GTE Corp. 126,000 7,844
Medtronic, Inc. 156,642 7,803
The Chase Manhattan Corp. 162,369 7,479
Chevron Corp. 85,397 7,243
o Sprint PCS 119,840 7,130
Fannie Mae 132,700 6,925
Ford Motor Co. 158,500 6,816
o Micron Technology, Inc. 73,028 6,431
Enron Corp. 95,790 6,178
o NEXTEL Communications, Inc. 99,292 6,075
E.I. du Pont de Nemours
& Co. 137,077 5,997
Charles Schwab Corp. 177,796 5,978
o Broadcom Corp. 27,300 5,977
<PAGE>
12
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
o Juniper Networks, Inc. 41,000 $ 5,968
Merrill Lynch & Co., Inc. 50,831 5,846
Sprint Corp. 114,580 5,844
o QUALCOMM, Inc. 96,900 5,814
o Veritas Software Corp. 51,275 5,795
McDonald's Corp. 175,100 5,767
U S WEST, Inc. 66,369 5,691
Compaq Computer Corp. 222,490 5,687
Schlumberger Ltd. 74,392 5,552
o MediaOne Group, Inc. 80,100 5,312
The Boeing Co. 118,362 4,949
o Qwest Communications
International Inc. 98,520 4,895
Gillette Co. 136,616 4,773
Colgate-Palmolive Co. 76,200 4,562
o Comcast Corp.-Special
Class A 111,498 4,516
The Bank of New York
Co., Inc. 96,362 4,481
o VeriSign, Inc. 25,212 4,450
Automatic Data Processing,
Inc. 82,799 4,435
Anheuser-Busch Cos., Inc. 59,131 4,416
o Agilent Technologies, Inc. 59,787 4,409
Minnesota Mining &
Manufacturing Co. 52,200 4,307
o Siebel Systems, Inc. 26,142 4,276
Walgreen Co. 131,570 4,235
o Level 3 Communications,
Inc. 47,900 4,215
Kimberly-Clark Corp. 72,697 4,171
General Motors Corp. 71,768 4,167
FleetBoston Financial
Corp. 118,592 4,032
Bank One Corp. 150,004 3,984
Computer Associates
International, Inc. 77,021 3,942
Texaco Inc. 72,378 3,854
o ADC Telecommunications,
Inc. 44,301 3,716
Freddie Mac 90,900 3,681
Marsh & McLennan Cos.,
Inc. 35,200 3,676
o Tellabs, Inc. 53,536 3,664
United Technologies Corp. 62,136 3,658
o Analog Devices, Inc. 46,632 3,544
o Sycamore Networks, Inc. 31,900 3,521
Honeywell International
Inc. 104,433 3,518
The Gap, Inc. 111,287 3,478
o Xilinx, Inc. 42,100 3,476
Target Corp. 59,400 3,445
o Cox Communications, Inc.
Class A 75,569 3,443
Emerson Electric Co. 56,401 3,405
o Redback Networks Inc. 19,100 3,400
o Clear Channel
Communications, Inc. 44,272 3,320
Alcoa Inc. 114,296 3,315
o Solectron Corp. 77,906 3,262
o Immunex Corp. 65,300 3,228
o Network Appliance, Inc. 39,900 3,212
First Union Corp. 129,173 3,205
o CIENA Corp. 18,400 3,067
o Safeway, Inc. 65,610 2,961
MBNA Corp. 104,898 2,845
Baxter International,
Inc. 40,304 2,834
o SDL, Inc. 9,600 2,738
Halliburton Co. 57,794 2,727
First Data Corp. 54,866 2,723
Cardinal Health, Inc. 36,788 2,722
Firstar Corp. 128,193 2,700
Duke Energy Corp. 47,812 2,695
o Ariba, Inc. 27,300 2,677
o Altera Corp. 26,100 2,661
Dow Chemical Co. 87,978 2,656
o TIBCO Software Inc. 24,500 2,627
o 3Com Corp. 45,225 2,606
o Brocade Communications
Systems, Inc. 14,200 2,605
Linear Technology Corp. 40,700 2,602
o General Motors Corp.
Class H 29,648 2,602
o AES Corp. 56,528 2,579
Household International,
Inc. 61,884 2,572
Fifth Third Bancorp 40,361 2,553
ALLTEL Corp. 41,076 2,544
Electronic Data Systems
Corp. 61,600 2,541
Bestfoods 36,545 2,531
o Maxim Integrated
Products, Inc. 37,100 2,520
o VoiceStream Wireless Corp. 21,310 2,478
o Metromedia Fiber Network,
Inc. 62,090 2,464
Eastman Kodak Co. 41,314 2,458
o i2 Technologies, Inc. 23,420 2,442
J.P. Morgan & Co., Inc. 21,900 2,412
o The Kroger Co. 109,136 2,408
Williams Cos., Inc. 57,608 2,402
o Gateway, Inc. 41,856 2,375
o Kohl's Corp. 42,700 2,375
o Exodus Communications,
Inc. 51,000 2,349
o E-Tek Dynamics, Inc. 8,900 2,348
Mellon Financial Corp. 64,048 2,334
Illinois Tool Works, Inc. 39,310 2,241
HCA-The Healthcare Co. 73,659 2,237
State Street Corp. 21,001 2,227
o Apple Computer, Inc. 42,332 2,217
Allstate Corp. 99,452 2,213
Sara Lee Corp. 113,402 2,190
o LSI Logic Corp. 40,108 2,171
Associates First Capital
Corp. 95,212 2,124
Gannett Co., Inc. 35,123 2,101
Washington Mutual, Inc. 72,694 2,099
Omnicom Group Inc. 23,252 2,071
Lowe's Cos., Inc. 49,992 2,053
CVS Corp. 51,282 2,051
Paychex, Inc. 48,565 2,040
H.J. Heinz Co. 46,400 2,030
Adobe Systems, Inc. 15,600 2,028
Southern Co. 86,400 2,014
CIGNA Corp. 21,477 2,008
o Guidant Corp. 40,240 1,992
Conoco Inc. Class B 81,046 1,991
American General Corp. 32,383 1,975
o MedImmune Inc. 26,571 1,966
o AMFM Inc. 28,327 1,955
AXA Financial, Inc. 56,500 1,921
o Costco Wholesale Corp. 57,930 1,912
Northern Trust Corp. 29,200 1,900
U.S. Bancorp 98,542 1,897
o Genentech, Inc. 11,000 1,892
UnitedHealth Group Inc. 21,979 1,885
International Paper Co. 63,112 1,882
o Infinity Broadcasting
Corp. 51,375 1,872
<PAGE>
13
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Comverse Technology, Inc. 20,000 $ 1,860
SunTrust Banks, Inc. 40,677 1,858
o eBay Inc. 34,200 1,857
Albertson's, Inc. 55,390 1,842
Sysco Corp. 43,189 1,819
Xerox Corp. 86,884 1,803
PNC Financial Services
Group 38,440 1,802
o Vitesse Semiconductor Corp. 24,300 1,788
PE Corp. - PE Biosystems
Group 27,000 1,779
Coastal Corp. 27,962 1,702
o Best Buy Co., Inc. 26,800 1,695
o Inktomi Corp. 14,300 1,691
o Teradyne, Inc. 23,000 1,691
Interpublic Group of Cos.,
Inc. 39,304 1,690
o CMGI Inc 36,797 1,686
Phillips Petroleum Co. 33,200 1,683
o BroadVision, Inc. 33,005 1,677
Providian Financial Corp. 18,614 1,675
o Sanmina Corp. 19,380 1,657
o Amazon.com, Inc. 45,600 1,656
o Foundry Networks, Inc. 14,900 1,646
o Seagate Technology Inc. 29,868 1,643
o Computer Sciences Corp. 21,934 1,638
o InfoSpace, Inc. 29,600 1,635
Campbell Soup Co. 55,836 1,626
o BEA Systems, Inc. 32,800 1,622
The Hartford Financial
Services Group Inc. 28,980 1,621
AFLAC, Inc. 34,874 1,602
Kellogg Co. 53,100 1,580
Scientific-Atlanta, Inc. 21,188 1,579
Caterpillar, Inc. 46,534 1,576
Carnival Corp. 80,700 1,574
o Applied Micro Circuits
Corp. 15,900 1,570
o McLeodUSA, Inc. Class A 75,125 1,554
o Advanced Micro Devices,
Inc. 20,000 1,545
Waste Management, Inc. 81,049 1,540
Harley-Davidson, Inc. 39,600 1,525
El Paso Energy Corp. 29,896 1,523
General Mills, Inc. 39,434 1,508
Sears, Roebuck & Co. 46,100 1,504
Lehman Brothers Holdings,
Inc. 15,760 1,490
Transocean Sedco Forex Inc. 27,379 1,463
o FedEx Corp. 37,952 1,442
Wachovia Corp. 26,551 1,440
NIKE, Inc. Class B 36,139 1,439
The Chubb Corp. 23,052 1,418
Avon Products, Inc. 31,718 1,411
o KLA-Tencor Corp. 24,100 1,411
Pitney Bowes, Inc. 34,769 1,391
The Clorox Co. 30,992 1,389
The McGraw-Hill Cos., Inc. 25,696 1,388
o Univision Communications
Inc. 13,400 1,387
Baker Hughes, Inc. 43,134 1,380
National City Corp. 80,648 1,376
General Dynamics Corp. 26,332 1,376
o Conexant Systems, Inc. 28,114 1,367
o Rambus Inc. 13,200 1,360
o Millennium Pharmaceuticals,
Inc. 12,126 1,357
Dynegy, Inc. 19,582 1,338
Dominion Resources, Inc. 31,081 1,333
Weyerhaeuser Co. 30,795 1,324
o Portal Software, Inc. 20,700 1,322
The Quaker Oats Co. 17,500 1,315
o Cendant Corp. 93,579 1,310
Burlington Northern Santa
Fe Corp. 57,023 1,308
o Vignette Corp. 25,000 1,300
o National Semiconductor
Corp. 22,900 1,300
Intimate Brands, Inc. 65,230 1,288
Lockheed Martin Corp. 51,840 1,286
Kansas City Southern
Industries, Inc. 14,500 1,286
Allergan, Inc. 17,200 1,281
o Biogen, Inc. 19,700 1,271
American Electric Power
Co., Inc. 42,193 1,250
Southwest Airlines Co. 65,966 1,249
Molex, Inc. 25,733 1,238
PG&E Corp. 50,240 1,237
ConAgra, Inc. 64,403 1,228
Wrigley, (Wm.) Jr. Co. 15,200 1,219
The Limited, Inc. 56,176 1,215
o Jabil Circuit, Inc. 24,400 1,211
Union Pacific Corp. 32,510 1,209
Aetna Inc. 18,749 1,203
RadioShack Corp. 25,300 1,199
o Boston Scientific Corp. 54,248 1,190
Marriott International,
Inc. Class A 32,578 1,175
FPL Group, Inc. 23,500 1,163
o BMC Software, Inc. 31,830 1,161
o Cablevision Systems Corp.
Class B 17,100 1,161
Capital One Financial Corp. 25,799 1,151
o Sepracor Inc. 9,500 1,146
Reliant Energy, Inc. 38,671 1,143
Deere & Co. 30,641 1,134
o Lexmark International
Group, Inc. Class A 16,700 1,123
o Forest Laboratories, Inc. 11,100 1,121
o NEXTLINK Communications,
Inc. 29,435 1,117
o Chiron Corp. 23,404 1,112
Stryker Corp. 25,400 1,111
o NTL Inc. 18,524 1,109
Nabisco Group Holdings
Corp. 42,699 1,108
Tenet Healthcare Corp. 40,782 1,101
o Calpine Corp. 16,600 1,091
Burlington Resources, Inc. 28,450 1,088
BB&T Corp. 45,517 1,087
o Rational Software Corp. 11,663 1,084
Dover Corp. 26,716 1,084
Delphi Automotive Systems
Corp. 73,947 1,077
TXU Corp. 36,210 1,068
o Atmel Corp. 28,800 1,062
Textron, Inc. 19,519 1,060
o Intuit, Inc. 25,600 1,059
Masco Corp. 58,500 1,057
Vastar Resources, Inc. 12,800 1,051
Unocal Corp. 31,700 1,050
o Convergys Corp. 20,200 1,048
May Department Stores Co. 43,482 1,044
Aon Corp. 33,591 1,043
KeyCorp 58,570 1,032
o RealNetworks, Inc. 20,200 1,021
<PAGE>
14
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
USX-Marathon Group 40,647 $ 1,019
o American Power Conversion
Corp. 24,900 1,016
Occidental Petroleum Corp. 48,138 1,014
o GlobeSpan, Inc. 8,300 1,013
o Waters Corp. 8,100 1,011
PPG Industries, Inc. 22,800 1,010
o Vitria Technology, Inc. 16,500 1,009
o Aether Systems, Inc. 4,900 1,005
o EchoStar Communications
Corp. 30,200 1,000
Avery Dennison Corp. 14,787 993
Public Service Enterprise
Group, Inc. 28,660 992
Franklin Resources Corp. 32,566 989
Rohm & Haas Co. 28,648 988
o Mercury Interactive Corp. 10,200 987
o John Hancock Financial
Services, Inc. 41,100 974
o At Home Corp. Series A 46,460 964
Equity Office Properties
Trust REIT 34,883 961
o Human Genome Sciences, Inc. 7,200 960
Symbol Technologies, Inc. 17,756 959
o Staples, Inc. 62,105 955
Newell Rubbermaid, Inc. 36,942 951
Becton, Dickinson & Co. 32,932 945
St. Paul Cos., Inc. 27,636 943
o Novellus Systems, Inc. 16,600 939
o Commerce One, Inc. 20,600 935
Unicom Corp. 24,100 932
Edison International 45,400 931
Air Products & Chemicals,
Inc. 30,072 927
o Federated Department
Stores, Inc. 27,454 927
Lincoln National Corp. 25,600 925
Danaher Corp. 18,700 924
Comerica, Inc. 20,533 921
o RF Micro Devices, Inc. 10,500 920
Coca-Cola Enterprises,
Inc. 55,700 909
o Starbucks Corp. 23,700 905
The Goldman Sachs Group,
Inc. 9,500 901
o Allegiance Telecom, Inc. 14,000 896
PECO Energy Corp. 22,100 891
New York Times Co. Class A 22,400 885
o Next Level Communications,
Inc. 10,300 883
Circuit City Stores, Inc. 26,588 882
Apache Corp. 15,000 882
o American Tower Corp.
Class A 21,130 881
Hershey Foods Corp. 18,116 879
Entergy Corp. 32,287 878
Union Carbide Corp. 17,581 870
Delta Air Lines, Inc. 17,158 868
Golden West Financial Corp. 21,161 864
Dow Jones & Co., Inc. 11,766 862
Ingersoll-Rand Co. 21,400 861
o IVAX Corp. 20,750 861
Consolidated Edison Inc. 28,978 858
o Art Technology Group, Inc. 8,500 858
PaineWebber Group, Inc. 18,700 851
United Parcel Service, Inc. 14,400 850
o Priceline.com Inc. 22,300 847
Dollar General Corp. 43,219 843
Loews Corp. 13,900 834
Anadarko Petroleum Corp. 16,700 824
o ALZA Corp. 13,900 822
o CNA Financial Corp. 24,000 816
Telephone & Data Systems,
Inc. 8,100 812
Starwood Hotels & Resorts
Worldwide, Inc. 25,106 811
AmSouth Bancorp 51,177 806
Cintas Corp. 21,950 805
o USA Networks, Inc. 37,204 805
o Sapient Corp. 7,500 802
Estee Lauder Cos. Class A 16,200 801
Tribune Co. 22,722 795
Ralston-Ralston Purina
Group 39,829 794
Rockwell International
Corp. 24,883 784
o TMP Worldwide, Inc. 10,600 782
SLM Holding Corp. 20,850 781
Archer-Daniels-Midland Co. 79,404 779
Praxair, Inc. 20,789 778
Jefferson-Pilot Corp. 13,725 775
o Nabors Industries, Inc. 18,600 773
McKesson HBOC, Inc. 36,849 772
Equity Residential
Properties Trust REIT 16,743 770
o Crown Castle International
Corp. 21,000 767
o Software.com, Inc. 5,900 766
TJX Cos., Inc. 40,600 761
o Lycos, Inc. 13,972 754
o SCI Systems, Inc. 19,000 745
Norfolk Southern Corp. 50,000 744
Amerada Hess Corp. 11,957 738
Kerr-McGee Corp. 12,510 737
o Internap Network Services
Corp. 17,700 735
BroadWing Inc. 28,309 734
The Times Mirror Co.
Class A 8,044 730
o Extreme Networks, Inc. 6,900 728
Union Pacific Resources
Group, Inc. 33,037 727
Mattel, Inc. 55,090 726
IMS Health, Inc. 40,300 725
o U.S. Cellular Corp. 11,500 725
Raytheon Co. Class B 37,400 720
o Integrated Device
Technology Inc. 12,000 719
FirstEnergy Corp. 30,491 713
o CDW Computer Centers, Inc. 11,400 713
o Micromuse Inc. 4,300 712
Progressive Corp. of Ohio 9,600 710
Donaldson, Lufkin &
Jenrette, Inc. 16,700 709
o Noble Drilling Corp. 17,200 708
o Concord EFS, Inc. 27,128 705
o PE Corp. - Celera Genomics
Group 7,525 704
Columbia Energy Group 10,717 703
o Fox Entertainment Group,
Inc. Class A 23,100 702
o Adelphia Communications
Corp. Class A 14,839 696
TRW, Inc. 15,914 690
o Metro-Goldwyn-Mayer Inc. 26,369 689
Cincinnati Financial Corp. 21,547 677
o Watson Pharmaceuticals,
Inc. 12,600 677
<PAGE>
15
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Fiserv, Inc. 15,650 $ 677
o BJ Services Co. 10,800 675
o TV Guide, Inc. 19,700 675
o Vishay Intertechnology,
Inc. 17,735 673
o Robert Half International,
Inc. 23,500 670
CP&L, INC. 20,927 668
Phone.com, Inc. 10,200 664
T. Rowe Price 15,600 663
Ecolab, Inc. 16,944 662
QLogic Corp. 9,984 660
o Bed Bath & Beyond, Inc. 18,096 656
MGM Grand, Inc. 20,402 655
Fort James Corp. 28,328 655
o Genzyme Corp. 11,000 654
Eaton Corp. 9,700 650
Tiffany & Co. 9,600 648
o Global Marine, Inc. 22,900 645
ENSCO International, Inc. 18,024 645
o IDEC Pharmaceuticals Corp. 5,500 645
Synovus Financial Corp. 36,583 645
o PSINet, Inc. 25,625 644
o Cadence Design Systems,
Inc. 31,532 642
o Cypress Semiconductor Corp. 15,200 642
Reliastar Financial Corp. 12,238 642
Charter One Financial 27,831 640
o PeopleSoft, Inc. 37,892 635
Devon Energy Corp. 11,280 634
MBIA, Inc. 13,116 632
o Metropolitan Life
Insurance Co. 30,000 632
MGIC Investment Corp. 13,871 631
UnumProvident Corp. 31,424 630
o Macromedia, Inc. 6,500 628
Constellation Energy Group 19,300 628
J.C. Penney Co., Inc. 34,061 628
o Affymetrix, Inc. 3,800 627
Diamond Offshore Drilling,
Inc. 17,800 625
o E*Trade Group, Inc. 37,870 625
o Burr-Brown Corp. 7,150 620
o DST Systems, Inc. 8,100 617
o Abgenix, Inc. 5,100 611
Bear Stearns Co., Inc. 14,682 611
o Amkor Technology, Inc. 17,300 611
o webMethods, Inc. 3,880 610
Northrop Grumman Corp. 9,163 607
o Wellpoint Health Networks
Inc. Class A 8,368 606
CSX Corp. 28,596 606
o Electronic Arts Inc. 8,300 605
Dun & Bradstreet Corp. 21,100 604
o Quest Software, Inc. 10,900 604
o Cree, Inc. 4,504 601
o LAM Research Corp. 15,980 599
Ameren Corp. 17,734 599
o R & B Falcon Corp. 25,324 597
Florida Progress Corp. 12,700 595
o Verio Inc. 10,700 594
o Cabletron Systems, Inc. 23,510 594
o Unisys Corp. 40,700 593
o Kana Communications, Inc. 9,548 591
Georgia Pacific Group 22,418 588
o Andrx Corp. 9,200 588
Bausch & Lomb, Inc. 7,600 588
o Peregrine Systems, Inc. 16,881 586
o Copper Mountain Networks,
Inc. 6,600 582
o Citizens Communications Co. 33,481 578
Biomet, Inc. 15,000 577
o DoubleClick Inc. 15,116 576
o Microchip Technology, Inc. 9,850 574
Washington Post Co. Class B 1,200 574
DTE Energy Co. 18,726 572
Marshall & Ilsley Corp. 13,778 572
Regions Financial Corp. 28,617 569
o Weatherford International,
Inc. 14,193 565
Summit Bancorp 22,902 564
Knight Ridder 10,593 563
o SanDisk Corp. 9,200 563
o Entrust Technologies, Inc 6,800 563
The CIT Group, Inc. 34,500 561
Johnson Controls, Inc. 10,923 560
o Tricon Global Restaurants,
Inc. 19,802 559
Reader's Digest Assn., Inc.
Class A 14,000 557
The Pepsi Bottling Group,
Inc. 19,000 555
o ISS Group, Inc. 5,600 553
Vulcan Materials Co. 12,900 551
Parker Hannifin Corp. 15,804 541
KeySpan Corp. 17,554 540
Tosco Corp. 18,800 532
Young & Rubicam Inc. 9,300 532
o SPX Corp. 4,355 527
Cinergy Corp. 20,562 523
AVX Corp. 22,800 523
o Red Hat, Inc. 19,300 522
o Efficient Networks, Inc. 7,100 522
CenturyTel, Inc. 18,162 522
o NVIDIA Corp. 8,200 521
o SunGard Data Systems, Inc. 16,800 521
o Terayon Communications
Systems, Inc. 8,100 520
EOG Resources, Inc. 15,400 516
o Finisar Corp. 19,700 516
Union Planters Corp. 18,459 516
Zions Bancorp 11,200 514
o AMR Corp. 19,412 513
o King Pharmaceuticals, Inc. 11,694 513
Montana Power Co. 14,500 512
Harcourt General, Inc. 9,400 511
o Dollar Tree Stores, Inc. 12,900 510
o Alteon Websystems, Inc. 5,100 510
Santa Fe International
Corp. 14,600 510
UnitedGlobalCom Inc.
Class A 10,900 510
o E.W. Scripps Co. Class A 10,300 507
St. Jude Medical, Inc. 11,042 507
o Kinder Morgan, Inc. 14,592 504
AMBAC Financial Group Inc. 9,200 504
Simon Property Group, Inc.
REIT 22,484 499
o Westwood One, Inc. 14,600 498
o MRV Communications Inc. 7,400 498
o Western Wireless Corp.
Class A 9,100 496
Fortune Brands, Inc. 21,500 496
M & T Bank Corp. 1,100 495
Eastman Chemical Co. 10,350 494
The BFGoodrich Co. 14,440 492
Brown-Forman Corp. Class B 9,100 489
Old Kent Financial Corp. 18,275 489
SouthTrust Corp. 21,572 488
<PAGE>
16
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
Equifax, Inc. 18,540 $ 487
o Park Place Entertainment 39,885 486
o Safeguard Scientifics, Inc. 15,118 485
o Compuware Corp. 46,500 482
Sabre Holdings Corp. 16,877 481
o TriQuint Semiconductor, Inc. 5,000 478
o NCR Corp. 12,281 478
o Celgene Corp. 8,100 477
Newmont Mining Corp. 21,914 474
o Smith International, Inc. 6,500 473
o Infonet Services Corp. 39,600 473
o MiniMed, Inc. 4,000 472
Huntington Bancshares Inc. 29,819 472
Genuine Parts Co. 23,345 467
o Power-One, Inc. 4,050 461
Sherwin-Williams Co. 21,768 461
o E.Piphany Inc. 4,300 461
o Toys R Us, Inc. 31,436 458
Dana Corp. 21,603 458
o Advanced Fibre
Communications, Inc. 10,100 458
o Ceridian Corp. 19,000 457
Whirlpool Corp. 9,778 456
Sempra Energy 26,800 456
o PRIMEDIA Inc. 20,000 455
o Knight Trading Group, Inc. 15,200 453
ProLogis Trust REIT 21,252 453
New Century Energies, Inc. 15,070 452
o Micrel, Inc. 10,400 452
o Sealed Air Corp. 8,619 451
o Cooper Cameron Corp. 6,800 449
Countrywide Credit
Industries, Inc. 14,790 448
Comdisco, Inc. 20,000 446
o Citrix Systems, Inc. 23,500 445
A.G. Edwards & Sons, Inc. 11,387 444
Tektronix, Inc. 6,000 444
o TeleCorp PCS, Inc. 11,000 443
o Critical Path, Inc. 7,600 443
ServiceMaster Co. 38,950 443
o Thermo Electron Corp. 20,759 437
Black & Decker Corp. 11,075 435
Royal Caribbean Cruises,
Ltd. 23,500 435
Hilton Hotels Corp. 46,352 435
o Kmart Corp. 63,700 434
o Hispanic Broadcasting Corp. 13,100 434
Millipore Corp. 5,700 430
o Spectrasite Holdings, Inc. 15,140 430
GPU, Inc. 15,840 429
o Continental Airlines, Inc.
Class B 9,100 428
Nordstrom, Inc. 17,664 426
o International Rectifier
Corp. 7,600 426
Torchmark Corp. 17,200 425
Family Dollar Stores, Inc. 21,700 425
Leggett & Platt, Inc. 25,700 424
o Polycom, Inc. 4,500 423
o Lattice Semiconductor Corp. 6,100 422
o Fairchild Semiconductor
Corp. 10,400 421
BHC Communications, Inc.
Class A 2,800 420
Newport Corp. 3,900 419
International Flavors &
Fragrances, Inc. 13,839 418
Consolidated Papers 11,400 417
PPL Corp. 18,952 416
o Agile Software Corp. 5,850 414
o Health Management
Associates Class A 31,570 412
o Lamar Advertising Co.
Class A 9,500 411
Conseco Inc. 42,131 411
o Symantec Corp. 7,600 410
Northern States Power Co. 20,300 410
The Goodyear Tire & Rubber
Co. 20,487 410
o CheckFree Holdings Corp. 7,900 407
Northeast Utilities 18,700 407
PACCAR, Inc. 10,241 406
LG&E Energy Corp. 16,979 405
o Gilead Sciences, Inc. 5,679 404
Cooper Industries, Inc. 12,404 404
PerkinElmer, Inc. 6,100 403
R.J. Reynolds Tobacco
Holdings, Inc. 14,433 403
H & R Block, Inc. 12,424 402
Legg Mason Inc. 8,000 400
Willamette Industries, Inc. 14,657 399
UnionBanCal Corp. 21,484 399
o Triton PCS, Inc. 6,900 398
Phelps Dodge Corp. 10,710 398
o Quest Diagnostics, Inc. 5,562 398
Keebler Foods Co. 10,700 397
Maytag Corp. 10,771 397
o Scient Corp. 9,000 397
o Protein Design Labs, Inc. 2,400 396
o Incyte Genomics Inc. 4,800 395
o AutoZone Inc. 17,900 394
o TranSwitch Corp. 5,100 394
DQE Inc. 9,950 394
o Quanta Services, Inc. 7,150 393
o Proxicom, Inc. 8,200 393
o Novell, Inc. 42,400 392
SuperValu Inc. 20,491 391
Total System Services, Inc. 24,500 389
Allegheny Energy, Inc. 14,200 389
o AutoNation, Inc. 55,030 389
Hannaford Brothers Co. 5,400 388
Potomac Electric Power Co. 15,500 388
o MarchFirst, Inc. 21,177 386
North Fork Bancorp, Inc. 25,541 386
Vornado Realty Trust REIT 11,100 386
Transatlantic Holdings, Inc. 4,600 385
Archstone Communities Trust
REIT 18,287 385
o Digital Island Inc. 7,900 384
Nucor Corp. 11,541 383
o Semtech Corp. 5,000 382
o Parametric Technology Corp. 34,742 382
o RSA Security Inc. 5,500 381
Mallinckrodt, Inc. 8,766 381
Public Storage, Inc. REIT 16,244 381
Federated Investors, Inc. 10,800 379
W.W. Grainger, Inc. 12,289 379
o Arrow Electronics, Inc. 12,174 377
Spieker Properties, Inc.
REIT 8,200 377
Sigma-Aldrich Corp. 12,803 374
o Winstar Communications,
Inc. 11,050 374
o Sawtek Inc. 6,500 374
<PAGE>
17
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Jones Apparel Group, Inc. 15,857 $ 373
o Network Associates, Inc. 18,283 373
UAL Corp. 6,400 372
Digital Lightwave, Inc. 3,700 372
Medarex, Inc. 4,400 372
Apartment Investment &
Management Co. Class A
REIT 8,560 370
o CSG Systems International,
Inc. 6,600 370
o American Standard Cos., Inc. 9,000 369
o Republic Services, Inc.
Class A 23,000 368
DPL Inc. 16,726 367
o SFX Entertainment, Inc. 8,080 366
Pinnacle West Capital Corp. 10,800 366
o Tritel, Inc. 12,272 364
Delhaize America, Inc.
Class A 20,566 364
R.R. Donnelley & Sons Co. 16,110 363
o HEALTHSOUTH Corp. 50,558 363
Allmerica Financial Corp. 6,889 361
o Akamai Technologies, Inc. 3,037 361
VF Corp. 15,100 360
o ImClone Systems, Inc. 4,700 359
o Rowan Cos., Inc. 11,800 358
o VerticalNet, Inc. 9,700 358
o Vertex Pharmaceuticals, Inc. 3,400 358
o Amphenol Corp. 5,400 357
Nabisco Holdings Corp.
Class A 6,800 357
Duke Realty Investments,
Inc. REIT 15,950 357
o Powerwave Technologies, Inc. 8,100 356
o Plug Power, Inc. 5,700 356
o Netro Corp. 6,200 356
o Harrah's Entertainment,
Inc. 16,900 354
o Andrew Corp. 10,530 353
o Charter Communications,
Inc. 21,500 353
o Credence Systems Corp. 6,400 353
o Coherent, Inc. 4,200 352
o Smurfit-Stone Container
Corp. 27,319 352
Energy East Corp. 18,450 352
o US Airways Group, Inc. 9,005 351
o Techne 2,700 351
o Ditech Communications Corp. 3,700 350
o Hanover Compressor Co. 9,200 350
Hasbro, Inc. 23,150 349
o Wind River Systems Inc. 9,152 347
o Virata Corp. 5,800 346
Avalonbay Communities, Inc.
REIT 8,281 346
Murphy Oil Corp. 5,800 345
o Informatica Corp. 4,200 344
Boston Properties, Inc. REIT 8,900 344
o Healtheon/WebMD Corp. 23,100 342
o Tekelec 7,100 342
TECO Energy, Inc. 17,000 341
o Interwoven, Inc. 3,100 341
o Pinnacle Holdings Inc. REIT 6,300 340
ITT Industries, Inc. 11,193 340
o Grant Prideco, Inc. 13,593 340
o Digital Microwave Corp. 8,900 339
o Alkermes, Inc. 7,200 339
Sunoco, Inc. 11,506 339
Viad Corp. 12,400 338
o Liberate Technologies, Inc. 11,500 337
The St. Joe Co. 11,200 336
o KEMET Corp. 13,400 336
o Silicon Storage Technology,
Inc. 3,800 336
SCANA Corp. 13,885 335
Financial Security Assurance
Holdings Ltd. 4,400 334
First Security Corp. 24,462 332
o Invitrogen Corp. 4,400 331
UST, Inc. 22,429 329
o Express Scripts 5,300 329
Avnet, Inc. 5,545 329
The Mead Corp. 13,000 328
Kimco Realty Corp. REIT 8,000 328
Crescent Real Estate, Inc.
REIT 16,000 328
Popular, Inc. 17,200 328
C.R. Bard, Inc. 6,800 327
SAFECO Corp. 16,406 326
o Macrovision Corp. 5,100 326
Jones Pharma, Inc. 8,125 324
o CommScope, Inc. 7,900 324
CMS Energy Corp. 14,600 323
NSTAR 7,895 321
o Niagara Mohawk Holdings
Inc. 23,000 321
o Northwest Airlines Corp.
Class A 10,500 320
Westvaco Corp. 12,850 319
Ashland, Inc. 9,080 318
o Adtran, Inc. 5,300 317
o Oak Technology, Inc. 14,700 317
o Mercator Software, Inc. 4,600 316
Fluor Corp. 10,000 316
o Synopsys, Inc. 9,145 316
o NetIQ Corp. 5,288 315
o Varco International, Inc. 13,493 314
o Informix Corp. 42,027 313
Temple-Inland Inc. 7,400 311
Jack Henry & Associates 6,200 311
Global TeleSystems, Inc. 25,700 310
Dallas Semiconductor Corp. 7,600 310
o Inet Technologies, Inc. 5,700 309
Expeditors International of
Washington, Inc. 6,500 309
Manpower Inc. 9,600 307
o Acxiom Corp. 11,200 305
American Water Works Co.,
Inc. 12,200 305
o Centillium Communications,
Inc. 4,420 305
o Priority Healthcare Corp.
Class B 4,100 305
o BJ's Wholesale Club, Inc. 9,200 304
o Time Warner Telecom Inc. 4,700 303
McCormick & Co., Inc. 9,300 302
Harris Corp. 9,200 301
o Chris-Craft Industries, Inc. 4,547 300
o Clarent Corp. 4,200 300
o Plantronics, Inc. 2,600 300
Bowater Inc. 6,800 300
Hormel Foods Corp. 17,800 299
o Williams Communications
Group, Inc. 9,000 299
o Ocean Energy, Inc. 21,042 299
o NaviSite, Inc. 7,100 297
Mylan Laboratories, Inc. 16,250 297
o Emulex Corp. 4,500 296
Wisconsin Energy Corp. 14,900 295
<PAGE>
18
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
o HomeStore.com, Inc. 10,100 $ 295
o Software Technologies Corp. 9,600 295
Fidelity National
Financial, Inc. 16,070 294
NiSource, Inc. 15,800 294
Pall Corp. 15,866 294
o Adaptec, Inc. 12,900 293
o ChoicePoint Inc. 6,590 293
o Tech Data Corp. 6,700 292
o Rainbow Technologies, Inc. 6,000 292
o Covad Communications Group,
Inc. 18,050 291
o The Titan Corp. 6,500 291
o SonicWALL, Inc. 3,300 291
International Speedway Corp. 7,000 290
o National-Oilwell, Inc. 8,800 289
o AmeriSource Health Corp. 9,300 288
SEI Corp. 7,200 287
o Golden State Bancorp Inc. 15,900 286
Valero Energy Corp. 9,000 286
o Thermo Instrument Systems,
Inc. 15,231 286
o Outback Steakhouse 9,650 282
Engelhard Corp. 16,500 282
Ultramar Diamond Shamrock
Corp. 11,337 281
The PMI Group Inc. 5,900 280
Wendy's International, Inc. 15,700 280
o Teletech Holdings Inc. 9,000 280
Waddell & Reed Financial,
Inc. Class B 9,612 279
o Focal Communications Corp. 7,800 279
Adolph Coors Co. Class B 4,600 278
o Office Depot, Inc. 44,387 277
o Kopin Corp. 4,000 277
o CacheFlow Inc. 4,497 277
o Powertel Inc. 3,900 277
The Stanley Works 11,644 277
o Cybex Computer Products
Corp. 6,412 276
o Pacificare Health Systems,
Inc. 4,580 276
o Santa Fe Snyder Corp. 24,200 275
Autodesk, Inc. 7,920 275
Neuberger Berman Inc. 5,900 274
o Cognex Corp. 5,300 274
Southdown, Inc. 4,744 274
Unitrin, Inc. 9,300 273
Sonoco Products Co. 13,270 273
o MMC Networks, Inc. 5,100 273
Noble Affiliates, Inc. 7,300 272
Host Marriott Corp. REIT 29,000 272
First Tennessee National
Corp. 16,400 272
o Sybron International Corp. 13,708 272
Technitrol, Inc. 2,800 271
TCF Financial Corp. 10,556 271
o National Instruments Corp. 6,200 270
o Nova Corp. (Georgia) 9,673 270
o Apollo Group, Inc. Class A 9,650 270
o Wireless Facilities, Inc. 5,300 270
Eastern Enterprises 4,278 270
o Novoste Corp. 4,400 268
True North Communications 6,100 268
o Trigon Healthcare, Inc. 5,200 268
Banknorth Group, Inc. 17,510 268
o Vicor Corp. 7,700 268
Liz Claiborne, Inc. 7,600 268
C.H. Robinson Worldwide,
Inc. 5,400 267
o Valassis Communications,
Inc. 7,000 267
Mercantile Bankshares Corp. 8,950 267
o Mastec Inc. 6,975 266
o LTX Corp. 7,600 266
o VA Linux Systems, Inc. 6,169 265
o Cor Therapeutics, Inc. 3,100 264
Green Point Financial Corp. 14,100 264
o Pharmacopeia, Inc. 5,700 264
ICN Pharmaceuticals, Inc. 9,493 264
o Veeco Instruments, Inc. 3,600 264
o Cephalon, Inc. 4,400 263
o Siliconix, Inc. 3,900 263
Flowers Industries, Inc. 13,200 263
o Varian, Inc. 5,700 263
Tidewater Inc. 7,300 263
Winn-Dixie Stores, Inc. 18,343 263
o Enzo Biochem, Inc. 3,800 262
o Aztar Corp. 16,900 262
Alpharma, Inc. Class A 4,200 261
Old Republic International
Corp. 15,825 261
o Echelon Corp. 4,500 261
o CNET Networks, Inc. 10,600 260
o Administaff, Inc. 4,100 260
o United Therapeutics Corp. 2,400 260
Darden Restaurants Inc. 16,000 260
o ICOS Corp. 5,900 260
Tyson Foods, Inc. 29,660 260
Herman Miller, Inc. 10,000 259
o Natural Microsystems Corp. 2,300 259
Lyondell Chemical Co. 15,400 258
Radian Group, Inc. 4,974 257
o AmeriTrade Holding Corp. 22,100 257
Hillenbrand Industries, Inc. 8,200 257
o Comcast Corp. Class A 6,600 257
Alliant Energy Corp. 9,852 256
o Universal Health Services
Class B 3,900 255
o PRI Automation, Inc. 3,900 255
Crown Cork & Seal Co., Inc. 16,922 254
o Inhale Therapeutic Systems 2,500 254
National Fuel Gas Co. 5,200 254
Central Newspapers, Inc. 4,000 253
o Clayton Williams Energy,
Inc. 7,900 252
o Myriad Genetics, Inc. 1,700 252
o Visteon Corp. 20,753 252
o Navistar International Corp. 8,100 252
o Varian Semiconductor
Equipment Associates, Inc. 4,000 251
o Cable Design Technologies 7,500 251
AMB Property Corp. REIT 11,000 251
o Kent Electronics Corp. 8,400 250
o International Game
Technology 9,438 250
o Nuance Communications Inc. 3,000 250
o Littelfuse, Inc. 5,100 250
o LHS Group, Inc. 7,200 248
A. H. Belo Corp. Class A 14,348 248
o Earthlink, Inc. 16,075 248
Diebold, Inc. 8,900 248
o Manugistics Group, Inc. 5,300 248
o Loral Space &
Communications 35,700 248
Compass Bancshares Inc. 14,500 247
o Lynx Therapeutics Inc. 5,200 247
o Caremark Rx, Inc. 36,224 247
<PAGE>
19
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o DuPont Photomasks, Inc. 3,600 $ 247
o NorthEast Optic Network,
Inc. 4,000 247
o RCN Corp. 9,700 246
Erie Indemnity Co. Class A 7,800 246
o Advent Software, Inc. 3,800 245
o USinternetworking, Inc. 11,975 245
o Sybase, Inc. 10,640 245
o Plexus Corp. 2,160 244
o Diamond Technology Partners
Inc. 2,771 244
o Aspect Communications Corp. 6,200 244
Arthur J. Gallagher & Co. 5,800 244
Martin Marietta Materials,
Inc. 6,011 243
Fastenal Co. 4,800 243
Helmerich & Payne, Inc. 6,500 243
Johns Manville Corp. 18,400 243
o Energizer Holdings, Inc.-
W/I 13,276 242
Galileo International, Inc. 11,600 242
o Go2Net, Inc. 4,800 242
o Iron Mountain, Inc. 7,100 241
Methode Electronics, Inc.
Class A 6,249 241
o Cytyc Corp. 4,500 240
o EMCORE Corp. 2,000 240
o L-3 Communications Holdings,
Inc. 4,200 240
o Litton Industries, Inc. 5,700 239
o SuperGen, Inc. 6,600 239
Hudson City Bancorp, Inc. 14,000 239
o Catalina Marketing Corp. 2,340 239
o Mandalay Resort Group 11,900 238
o Devry, Inc. 9,000 238
o Global Industries Ltd. 12,600 238
o Summit Technology, Inc. 12,600 238
o Tanox, Inc. 5,024 238
FirstMerit Corp. 11,095 237
o HS Resources Inc. 7,900 237
o Brinker International, Inc. 8,100 237
o FMC Corp. 4,073 236
Puget Sound Energy Inc. 11,080 236
Shared Medical Systems Corp. 3,237 236
o Oxford Health Plan 9,900 236
o Maxygen 4,144 235
o Immunomedics Inc. 9,600 235
o Cell Genesys, Inc. 8,400 235
o iBEAM Broadcasting Corp. 13,054 235
o Dycom Industries, Inc. 5,100 235
o Silicon Valley Bancshares 5,500 234
o Premier Parks Inc. 10,300 234
o New Era of Networks, Inc. 5,500 234
CarrAmerica Realty Corp.
REIT 8,800 233
o Keynote Systems Inc. 3,300 233
o Gentex Corp. 9,252 232
o Barr Labs Inc. 5,175 232
MCN Energy Group Inc. 10,800 231
o Allied Waste Industries,
Inc. 23,075 231
Rouse Co. REIT 9,300 230
o Williams Sonoma, Inc. 7,084 230
o DSP Group Inc. 4,100 230
UtiliCorp United, Inc. 11,550 230
Cabot Corp. 8,400 229
Commerce Bancshares, Inc. 7,687 229
Bemis Co., Inc. 6,800 229
o MEMC Electronic Materials,
Inc. 12,700 229
o Unit Corp. 16,900 228
First Virginia Banks, Inc. 6,550 228
Hospitality Properties Trust
REIT 10,100 228
o ADVO, Inc. 5,400 227
National Computer Systems,
Inc. 4,600 227
Brown & Brown, Inc. 4,350 226
Dime Bancorp, Inc. 14,328 226
o Active Software, Inc. 2,900 225
Post Properties, Inc. REIT 5,100 224
o Digex, Inc. 3,300 224
o Tut Systems, Inc. 3,900 224
o Snyder Communications, Inc. 9,420 224
Great Lakes Chemical Corp. 7,100 224
Media General, Inc. Class A 4,600 223
o Investment Technology Group,
Inc. 5,650 223
Liberty Property Trust REIT 8,600 223
Metris Cos., Inc. 8,877 223
The Timber Co. 10,300 223
o Creative Biomolecules, Inc. 15,900 223
o Getty Images, Inc. 6,000 222
o ParkerVision, Inc. 4,400 222
o Sirius Satellite Radio, Inc. 5,000 222
o Management Network Group
Inc. 6,300 221
o Alpha Industries, Inc. 5,000 220
o Amylin Pharmaceuticals,
Inc. 14,500 220
o Entercom Communications
Corp. 4,500 219
o VISIX Inc. 7,816 219
Hibernia Corp. Class A 20,100 219
Protective Life Corp. 8,200 218
o Cerner Corp. 8,000 218
Beckman Coulter, Inc. 3,732 218
IPALCO Enterprises, Inc. 10,800 217
o Integrated Silicon Solution,
Inc. 5,700 217
Homestake Mining Co. 31,500 217
FreeMarkets, Inc. 4,558 216
o IBP, Inc. 14,000 216
Syncor International Corp. 3,000 216
o ADAC Laboratories 9,000 216
General Growth Properties
Inc. REIT 6,800 216
o Owens-Illinois, Inc. 18,472 216
Allegheny Technologies Inc. 11,990 216
o MGC Communications, Inc. 3,600 216
o Dobson Communications Corp. 11,200 216
o Marine Drilling Co., Inc. 7,700 216
o Maverick Tube Corp. 7,400 216
iStar FInancial Inc. 10,285 215
USX-U.S. Steel Group 11,600 215
o BISYS Group, Inc. 3,500 215
o Newfield Exploration Co. 5,500 215
o Stone Energy Corp. 3,600 215
o Ancor Communications, Inc. 6,000 215
o Interliant Inc. 9,200 214
Deluxe Corp. 9,100 214
Pentair, Inc. 6,000 213
o RadiSys Corp. 3,750 213
Equitable Resources, Inc. 4,400 212
o Affiliated Computer
Services, Inc. Class A 6,410 212
o Medicis Pharmaceutical Corp. 3,713 212
<PAGE>
20
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
Whitman Corp. 17,100 $ 212
Snap-On Inc. 7,946 212
o MSC Industrial Direct Co.,
Inc. Class A 10,100 211
Meredith Corp. 6,264 211
o SERENA Software, Inc. 4,650 211
o OnDisplay, Inc. 2,592 211
Health Care Properties
Investors REIT 7,746 211
o Intersil Holding Corp. 3,900 211
GATX Corp. 6,200 211
National Community Bancorp 13,100 210
o Reebok International Ltd. 13,195 210
o First Health Group Corp. 6,400 210
DENTSPLY International Inc. 6,800 210
City National Corp. 5,900 209
Rite Aid Corp. 31,850 209
Talbots Inc. 3,800 209
o Foundation Health Systems
Class A 16,040 209
o Electric Fuel Corp. 13,600 208
o Numerical Technologies, Inc. 4,282 208
o Leap Wireless International,
Inc. 4,425 208
o APAC Teleservices, Inc. 18,800 208
o Pixar, Inc. 5,900 208
o SBA Communications Corp. 4,000 208
o Smithfield Foods, Inc. 7,400 208
Harte-Hanks, Inc. 8,300 208
o ZixIt Corp. 4,500 207
o Emmis Communications, Inc. 5,000 207
Weis Markets, Inc. 6,300 206
o Advanced Energy Industries,
Inc. 3,500 206
Shaw Industries, Inc. 16,500 206
o California Amplifier, Inc. 4,500 206
o Louis Dreyfus Natural Gas
Corp. 6,572 206
o Globix Corp. 7,000 205
Wesco Financial Corp. 1,000 205
Hudson United Bancorp 9,109 204
o Pericom Semiconductor Corp. 3,000 204
o Patterson Dental Co. 4,000 204
o Enzon, Inc. 4,800 204
o Quantum Corp.- Hard Disk
Drive 18,400 204
Crane Co. 8,350 203
Hubbell Inc. Class B 7,950 203
o Electro Scientific
Industries, Inc. 4,600 203
o Learning Tree International,
Inc. 3,300 202
o Chico's Fas, Inc. 10,100 202
o Quintiles Transnational
Corp. 14,291 202
o Verity, Inc. 5,300 201
Old National Bancorp 6,869 201
The Timken Co. 10,800 201
o Keane, Inc. 9,300 201
o Razorfish Inc. 12,500 201
o Remedy Corp. 3,600 201
USG Corp. 6,600 200
o Trimble Navigation Ltd. 4,100 200
o West TeleServices Corp. 7,900 200
Questar Corp. 10,300 200
o TiVo Inc. 5,700 200
o Intermedia Communications
Inc. 6,700 199
Eaton Vance Corp. 4,300 199
o Hot Topic, Inc. 6,200 198
Solutia, Inc. 14,400 198
o Black Box Corp. 2,500 198
o Luminex Corp. 4,748 198
Associated Banc-Corp. 9,056 198
o Primark Corp. 5,300 197
o Intertrust Technologies
Corp. 9,600 197
o J.D. Edwards & Co. 13,100 197
Reinsurance Group of
America, Inc. 6,550 197
o MedQuist, Inc. 4,400 197
o Global Crossing Ltd. 7,459 196
Sovereign Bancorp, Inc. 27,909 196
o Signal Technology Corp. 7,847 196
o Jacobs Engineering Group
Inc. 6,000 196
CCB Financial Corp. 5,300 196
o LookSmart, Ltd. 10,600 196
o Forest Oil Corp. 12,300 196
o Pride International Inc. 7,900 196
o Antec Corp. 4,700 195
IMC Global Inc. 14,989 195
o Transkaryotic Therapies,
Inc. 5,300 195
o Aclara Biosciences, Inc. 3,820 195
Valley National Bancorp 8,003 195
o Quantum Effect Devices,
Inc. 3,400 194
o Atlas Air, Inc. 5,400 194
o Cygnus Inc. 13,588 194
o Metasolv Software, Inc. 4,400 194
o AsiaInfo Holdings, Inc. 4,328 193
o Quantum Corp.- DLT &
Storage Systems 19,900 193
Mitchell Energy &
Development Corp. 6,000 193
The MONY Group Inc. 5,700 193
Mack-Cali Realty Corp. REIT 7,500 193
Penton Media, Inc. Class A 5,500 193
o Station Casinos, Inc. 7,700 193
Nordson Corp. 3,800 192
o Artesyn Technologies, Inc. 6,900 192
o Exar Corp. 2,200 192
Crompton Corp. 15,637 192
United Television, Inc. 1,487 191
o HNC Software, Inc. 3,100 191
Houghton Mifflin Co. 4,100 191
o Canandaigua Brands, Inc.
Class A 3,792 191
Lafarge Corp. 9,100 191
o Cobalt Networks, Inc. 3,300 191
o Nanogen, Inc. 4,500 191
One Valley Bancorp of West
Virginia Inc. 6,100 191
o Suiza Foods Corp. 3,900 191
o Catellus Development Corp. 12,700 191
o Digene Corp. 4,700 190
Tootsie Roll Industries,
Inc. 5,417 190
o Gene Logic Inc. 5,300 189
o EGL, Inc. 6,150 189
o Silicon Valley Group, Inc. 7,300 189
Florida Rock Industries,
Inc. 5,300 189
o International Home Foods,
Inc. 9,000 188
o Netegrity, Inc. 2,500 188
Hercules, Inc. 13,375 188
Arden Realty Group, Inc.
REIT 8,000 188
Ross Stores, Inc. 11,000 188
NICOR, Inc. 5,740 187
<PAGE>
21
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Pegasus Communications Corp.
Class A 3,800 $ 186
o Concurrent Computer Corp. 14,200 186
Boise Cascade Corp. 7,200 186
o Hyseq, Inc. 4,100 186
o LifePoint Hospitals, Inc. 8,366 186
o Xircom, Inc. 3,900 185
o Engage, Inc. 14,300 185
o Cabot Microelectronics Corp. 4,038 185
Bel Fuse, Inc.- Class B 6,900 185
o Venator Group, Inc. 18,000 185
o Photronics Labs Inc. 6,500 184
Teleflex Inc. 4,974 184
o Province Healthcare Co. 5,100 184
o Timberland Co. 2,600 184
o Insight Enterprises, Inc. 3,100 184
o Harmonic, Inc. 7,422 184
o Avant! Corp. 9,800 184
o Barnes & Noble, Inc. 8,248 184
o Electronics for Imaging,
Inc. 7,200 182
Brunswick Corp. 10,997 182
o Saks Inc. 17,336 182
Conectiv, Inc. 11,678 182
o Cymer, Inc. 3,800 181
Pennzoil-Quaker State Co. 15,000 181
Lilly Industries Inc.
Class A 6,000 180
Florida East Coast Railway
Co. 4,500 180
o Avigen, Inc. 4,100 180
o Dendrite International, Inc. 5,400 180
Reynolds & Reynolds Class A 9,800 179
o Commonwealth Telephone
Enterprises, Inc. 3,799 179
o Documentum, Inc. 2,000 179
American Financial Group,
Inc. 7,200 179
HON Industries, Inc. 7,600 179
o Barra, Inc. 3,600 178
o ONYX Software Corp. 6,000 178
o Illuminet Holdings, Inc. 3,500 178
The McClatchy Co. Class A 5,375 178
o NorthPoint Communications
Group, Inc. 15,900 178
OGE Energy Corp. 9,600 178
Highwood Properties, Inc.
REIT 7,400 178
Centura Banks, Inc. 5,218 177
o Valence Technology 9,600 177
o Tularik, Inc. 6,000 177
o ISIS Pharmaceuticals, Inc. 12,200 177
o Gulf Island Fabrication,
Inc. 10,400 177
o Veritas DGC Inc. 6,800 177
o SpeedFam-IPEC, Inc. 9,702 176
o Nu Horizons Electronics
Corp. 6,615 176
o Retek Inc. 5,500 176
Regency Realty Corp. REIT 7,400 176
o FSI International, Inc. 8,100 176
o Viatel, Inc. 6,145 176
o The Topps Co., Inc. 15,200 175
Bindly Western Industries,
Inc. 6,600 174
o Hyperion Solutions Corp. 5,379 174
BancWest Corp. 10,600 174
Applied Power, Inc. 5,200 174
o Michaels Stores, Inc. 3,800 174
o CompuCredit Corp. 5,800 174
o Genuity Inc. 19,000 174
Graco, Inc. 5,350 174
Federal Signal Corp. 10,533 174
Vintage Petroleum, Inc. 7,700 174
o ANADIGICS, Inc. 5,100 174
Cullen/Frost Bankers, Inc. 6,600 174
Kansas City Power & Light
Co. 7,700 173
o Glenayre Technologies, Inc. 16,400 173
Blyth, Inc. 5,850 173
Astoria Financial Corp. 6,700 173
o Pharmaceutical Product
Development, Inc. 8,200 172
National Bankcorp of Alaska
Inc. 4,800 172
o Kulicke & Soffa Industries,
Inc. 2,900 172
Valspar Corp. 5,100 172
Hollinger International,
Inc. 12,600 172
o Alexion Pharmaceuticals,
Inc. 2,400 172
o Journal Register Co. 9,400 172
o Zoll Medical Corp. 3,500 172
Wilmington Trust Corp. 4,000 171
N L Industries, Inc. 11,200 171
o Procom Technology, Inc. 3,300 171
Mercury General Corp. 7,200 170
o Manhattan Associates, Inc. 6,800 170
o ITXC Corp. 4,800 170
o Aphton Corp. 6,600 170
o IDT Corp. 5,000 170
o Argosy Gaming Co. 11,800 170
Ruby Tuesday, Inc. 13,500 170
o Miravant Medical Technology 7,600 170
o Alliance Semiconductor Corp. 6,900 169
o LCC International, Inc.
Class A 6,200 169
Centex Corp. 7,200 169
o Primus Telecommunications
Group, Inc. 6,800 169
o Viant Corp. 5,700 169
Georgia Gulf Corp. 8,100 169
o 99 Cents Only Stores 4,224 168
MeriStar Hospitality Corp.
REIT 8,020 168
o Fisher Scientific
International Inc. 6,800 168
o Vertel Corp. 9,600 168
o Lear Corp. 8,400 168
Staten Island Bancorp, Inc. 9,500 167
o American Management Systems,
Inc. 5,100 167
o ITC DeltaCom, Inc. 7,500 167
o AmeriCredit Corp. 9,800 167
Carlisle Co., Inc. 3,700 167
o Lone Star Technologies, Inc. 3,600 167
John Wiley & Sons Class A 7,400 167
o Sinclair Broadcast Group,
Inc. 15,100 166
o Imation Corp. 5,640 166
o MatrixOne, Inc. 4,078 166
o Broadbase Software Inc. 5,400 165
o Loronix Information Systems 4,600 165
o Price Communications Corp. 7,000 165
o On Assignment, Inc. 5,400 165
o Silicon Image, Inc. 3,300 165
o Ingram Micro, Inc. 9,400 164
o iBasis, Inc. 3,800 164
o Security Capital Group Inc.
REIT Class B 9,600 163
o Geron Corp. 5,100 163
American National Insurance
Co. 3,200 163
<PAGE>
22
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
Fair Issac & Co. 3,700 $ 163
o ATMI, Inc. 3,500 163
o Adelphia Business Solutions,
Inc. 7,018 163
o Telxon Corp. 9,100 163
IDEX Corp. 5,150 163
Lennar Corp. 8,022 162
Essex Property Trust, Inc.
REIT 3,866 162
o Choice One Communications
Inc. 3,968 162
o Pactiv Corp. 20,500 161
MDU Resources Group, Inc. 7,450 161
National Data Corp. 7,000 161
o Alleghany Corp. 958 161
o Zale Corp. 4,400 161
o ResMed Inc. 6,000 161
o StarMedia Network, Inc. 8,500 160
BRE Properties Inc. Class A
REIT 5,556 160
United Water Resources, Inc. 4,600 160
o Sciclone Pharmaceuticals 12,400 160
o Southern Union Co. 10,143 160
o Consolidated Stores, Inc. 13,362 160
Citizens Banking Corp. 9,872 160
o Actuate Software Corp. 3,000 160
o Computer Horizons Corp. 11,900 160
o Energy Conversion Devices,
Inc. 6,300 160
o Mohawk Industries, Inc. 7,350 160
o ACNielson Corp. 7,266 160
Newport News Shipbuilding
Inc. 4,340 159
Commerce Bancorp, Inc. 3,465 159
John Nuveen Co. Class A 3,800 159
o Three-Five Systems, Inc. 2,700 159
Minnesota Power, Inc. 9,200 159
o Tumbleweed Communications
Corp. 3,120 159
o EntreMed, Inc. 5,300 159
o United Stationers, Inc. 4,900 159
FelCor Lodging Trust, Inc.
REIT 8,574 159
o Centennial Communications
Corp. Class A 11,500 158
o Intelidata Technologies
Corp. 15,300 158
o Lincare Holdings, Inc. 6,400 158
CTS Corp. 3,500 158
21st Century Insurance
Group 10,000 158
o CareInsite, Inc. 8,800 157
o Lands' End, Inc. 4,700 157
o Tom Brown, Inc. 6,800 157
o IMRglobal Corp. 12,000 157
Alexander & Baldwin, Inc. 7,100 157
o Sylvan Learning Systems,
Inc. 11,375 156
Dillard's Inc. 12,739 156
o PurchasePro.com, Inc. 3,800 156
o Newpark Resources, Inc. 16,500 156
o Alamosa PCS Holdings, Inc. 7,452 156
o Pioneer Natural Resources
Co. 12,200 156
COMSAT Corp. 6,607 155
Franchise Finance Corp. of
America REIT 6,700 154
o Borders Group, Inc. 9,900 154
o Freeport-McMoRan Copper &
Gold Inc. Class B 16,654 154
Tupperware Corp. 7,000 154
o S3, Inc. 10,428 154
o Citadel Communications Corp. 4,400 154
WFS Financial, Inc. 8,910 154
o Coldwater Creek Inc. 5,100 154
o Centigram Communications 6,000 153
o Carrier Access Corp. 2,900 153
o Power Integrations, Inc. 6,500 153
o Payless ShoeSource, Inc. 2,932 153
Millennium Chemicals, Inc. 9,000 153
Leucadia National Corp. 6,700 153
o Varian Medical Systems, Inc. 3,900 153
Park National Corp. 1,680 152
o CuraGen Corp. 4,000 152
o PC-Tel, Inc. 4,000 152
American Greetings Corp.
Class A 8,000 152
United Asset Management
Corp. 6,500 152
Fulton Financial Corp. 8,583 152
o Cal Dive International, Inc. 2,800 152
o Biotechnology General 11,500 152
o United Rentals, Inc. 8,850 152
o S1 Corp. 6,494 151
o Extensity, Inc. 4,420 151
Pulte Corp. 7,000 151
o Laboratory Corp. of America
Holdings 1,962 151
Spiegel, Inc. Class A 17,800 151
CBRL Group, Inc. 10,300 151
Belden, Inc. 5,900 151
Allied Capital Corp. 8,880 151
o SEACOR SMIT Inc. 3,900 151
o The Neiman Marcus Group, Inc.
Class A 5,100 151
o Progress Software Corp. 8,400 151
Heller Financial, Inc. 7,347 151
o Identix, Inc. 9,600 151
o Stillwater Mining Co. 5,400 151
Pioneer Standard Electronics
Inc. 10,200 150
First Industrial Realty Trust
REIT 5,100 150
o Imperial Bancorp 9,622 150
o Exelixis, Inc. 4,504 150
o The Yankee Candle Company,
Inc. 6,950 150
Cousins Properties, Inc.
REIT 3,900 150
o Presstek, Inc 9,200 150
Callaway Golf Co. 9,200 150
o Liberty Digital, Inc. 5,000 150
o Paradyne Networks, Inc. 4,600 150
o Orthodontic Centers of
America, Inc. 6,600 149
o Priority Healthcare Corp.
Class A 2,009 149
o Symyx Technologies 3,500 149
o Turnstone Systems, Inc. 900 149
Dean Foods Corp. 4,700 149
Satcon Technology Corp. 5,807 148
o Alliant Techsystems, Inc. 2,200 148
o IDACORP, Inc. 4,600 148
Trustmark Corp. 8,500 148
o FirePond, Inc. 4,100 148
Ryder System, Inc. 7,772 147
o Mentor Graphics Corp. 7,400 147
o Adaptive Broadband Corp. 4,000 147
o Rogers Corp. 4,200 147
Lubrizol Corp. 7,000 147
o Haemonetics Corp. 7,000 147
Dover Downs Entertainment,
Inc. 10,500 147
Camden Property Trust REIT 5,000 147
o Maxtor Corp. 13,900 147
<PAGE>
23
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Dura Pharmaceuticals, Inc. 10,200 $ 147
o Remec, Inc. 3,500 147
o Legato Systems, Inc. 9,682 146
o Acacia Research Corp. 6,100 146
CFW Communications Co. 3,900 146
o Pacific Sunwear of
California 7,800 146
Roslyn Bancorp, Inc. 8,800 146
o Sequenom, Inc. 3,220 146
Hertz Corp. Class A 5,200 146
o Forrester Research, Inc. 2,000 146
o Affiliated Managers Group,
Inc. 3,200 146
o Hutchinson Technology, Inc. 10,200 145
Sky Financial Group, Inc. 9,097 145
o hi/fn, inc. 3,267 145
o Dril-Quip, Inc. 3,100 145
o Mid Atlantic Medical Services,
Inc. 10,700 144
United Illuminating Co. 3,300 144
o Storage Technology Corp. 13,192 144
Valhi, Inc. 13,900 144
o Pioneer Group, Inc. 3,400 144
o Sipex Corp. 5,200 144
o Symmetricom Inc. 5,700 144
o Abercrombie & Fitch Co. 11,798 144
o Exchange Applications, Inc. 5,400 144
CONSOL Energy, Inc. 9,500 144
o Internet Capital Group, Inc. 3,880 144
o Apria Healthcare 11,700 143
Peoples Bank Bridgeport 7,800 143
Pacific Century Financial
Corp. 9,800 143
o Aurora Biosciences Corp. 2,100 143
Dial Corp. 13,800 143
o PathoGenesis Corp. 5,500 143
Provident Financial Group,
Inc. 6,000 143
Student Loan Corp. 3,400 143
Dreyer's Grand Ice Cream,
Inc. 6,800 143
Tredegar Corp. 7,500 143
o Universal Electronics, Inc. 5,800 142
o Viacom Inc. Class A 2,080 142
Hilb, Rogal and Hamilton Co. 4,100 142
o CEC Entertainment Inc. 5,550 142
o Dollar Thrifty Automotive
Group, Inc. 7,700 142
o F5 Networks, Inc. 2,600 142
Thomas & Betts Corp. 7,400 142
Weingarten Realty Investors
REIT 3,500 141
First Midwest Bancorp 6,075 141
o Radio One, Inc. Class D 6,400 141
o Motient Corp. 9,000 141
o SAVVIS Communications Corp. 10,780 141
o 7-Eleven, Inc. 10,240 141
o Packaging Corp. of America 13,900 141
o Azurix Corp. 18,000 141
FINOVA Group, Inc. 10,800 140
Harman International
Industries, Inc. 2,300 140
o Oakley, Inc. 12,200 140
o Biomatrix, Inc. 6,200 140
Roper Industries Inc. 5,472 140
o Edwards Lifesciences Corp. 7,321 140
Morrison Management
Specialists, Inc. 4,967 140
o DigitalThink, Inc. 3,900 140
Louisiana-Pacific Corp. 12,849 140
o Bally Total Fitness Holding
Corp. 5,500 140
o Mechanical Technology Inc. 9,300 140
o Korn/Ferry International 4,400 139
Keystone Financial, Inc. 6,561 139
Peoples Energy Corp. 4,300 139
o Immune Response 12,800 139
o Sensormatic Electronics
Corp. 8,800 139
o JNI Corp. 4,400 139
o Optical Cable Corp. 4,600 139
o AnnTaylor Stores Corp. 4,200 139
o Bone Care International,
Inc. 5,900 139
o GelTex Pharmaceuticals, Inc. 6,800 139
Mentor Corp. 5,104 139
Cummins Engine Co., Inc. 5,092 139
o Micron Electronics, Inc. 11,100 139
o Scotts Co. 3,800 139
o Ziff-Davis Inc. 15,400 139
o Proxim, Inc. 1,400 139
o Interim Services, Inc. 7,800 138
o Sonosite, Inc. 4,800 138
o Closure Medical Corp. 6,000 138
Penn Virginia Corp. 5,600 138
o WatchGuard Technologies,
Inc. 2,500 137
o FEI Co. 4,500 137
Bank United Corp. Class A 3,900 137
o General Semiconductor, Inc. 9,300 137
o The Dress Barn, Inc. 6,200 137
Washington Gas Light Corp. 5,700 137
o Pinnacle Systems, Inc. 6,100 137
Gartner Group, Inc. Class A 11,400 137
o Medical Manager Corp. 4,000 136
o Pier 1 Imports Inc. 13,960 136
o Alliance Pharmaceutical
Corp. 12,098 136
o Pinnacle Entertainment, Inc. 7,000 136
New Plan Excel Realty Trust
REIT 10,460 135
o FileNet Corp. 7,400 136
o PRAECIS Pharmaceuticals Inc. 4,874 136
Washington REIT 7,600 136
o Impath, Inc. 2,500 136
o Syntroleum Corp. 7,900 136
o Complete Business Solutions,
Inc. 7,700 135
o Insurance Auto Auctions,
Inc. 6,400 135
o Netpliance, Inc. 14,800 135
Cambrex Corp. 3,000 135
RPM Inc. (Ohio) 13,305 135
Sealed Air Corp. $2.00
Cvt. Pfd. 2,660 135
Clayton Homes Inc. 16,827 135
o eLoyalty Corp. 10,550 135
o MemberWorks, Inc. 4,000 135
Dexter Corp. 2,800 134
o Sicor, Inc. 16,800 134
o Cytec Industries, Inc. 5,442 134
CNF Transportation, Inc. 5,900 134
o GTech Holdings Corp. 5,900 134
o Standard Microsystem 8,700 134
o Dionex Corp. 5,000 134
Whitney Holdings 3,905 134
o Ampal-American Israel Corp. 8,900 134
o AppNet, Inc. 3,700 133
o ArthroCare Corp. 2,500 133
Webster Financial Corp. 6,000 133
Raytheon Co. Class A 6,845 133
<PAGE>
24
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
o SilverStream Software, Inc. 2,300 $ 133
o Ramtron International Corp. 6,760 133
o FirstCom Corp. 8,800 133
o Teledyne Technologies, Inc. 7,911 133
First Charter Corp. 8,400 132
Investors Financial Services
Corp. 3,328 132
o MetaCreations Corp. 10,997 132
o Concord Communications, Inc. 3,300 132
Alberto-Culver Co. Class B 4,300 131
o Advanced Lighting Technologies,
Inc. 7,100 131
Justin Industries, Inc. 6,000 131
o Avis Group Holdings, Inc. 7,000 131
o WMS Industries, Inc. 8,500 131
o Allscripts, Inc. 5,700 131
Vectren Corp. 7,599 131
United Dominion Realty Trust
REIT 11,900 131
o Barrett Resources Corp. 4,300 131
o Asyst Technologies, Inc. 3,812 131
o Swift Energy Co. 4,600 131
o ESS Technology, Inc. 9,000 131
The South Financial Group,
Inc. 9,000 131
o Linens `n Things, Inc. 4,800 130
Brady Corp. Class A 4,000 130
Russell Corp. 6,500 130
o Rare Hospitality International
Inc. 4,600 130
o Applied Innovation Inc. 12,200 130
o Therma-Wave Inc. 5,800 129
Greif Brothers Corp. Class A 4,200 129
Bangor Hydro-Electric Co. 5,500 129
o Allaire Corp. 3,500 129
o World Access, Inc. 11,620 129
o GenesisIntermedia.com, Inc. 8,000 129
Liberty Financial Cos., Inc. 5,850 128
o Metricom 4,600 128
o Whole Foods Market, Inc. 3,100 128
o Cirrus Logic 8,000 128
Hawaiian Electric Industries
Inc. 3,900 128
o Brooks Automation, Inc. 2,000 128
o Organogenesis, Inc. 11,176 128
o iXL Enterprises, Inc. 8,800 128
o MIPS Technologies, Inc. 3,000 128
o Martek Biosciences Corp. 6,800 128
o MP3.com, Inc. 9,400 127
o Alaska Air Group, Inc. 4,700 127
Colonial BancGroup, Inc. 13,244 127
o Anixter International Inc. 4,800 127
o Iomega Corp. 31,700 127
Precision Castparts Corp. 2,800 127
Cross Timbers Oil Co. 5,725 127
o Epitope Inc. 9,200 127
Gaylord Entertainment Co.
Class A 5,883 126
o Bright Horizons Family
Solutions, Inc. 5,900 126
o Puma Technology, Inc. 4,700 126
o Kenneth Cole Productions,
Inc. 3,150 126
Lee Enterprises, Inc. 5,400 126
o Ionics, Inc. 4,100 126
Rayonier Inc. 3,500 126
Western Resources, Inc. 8,100 126
York International Corp. 4,800 125
o ICG Communications, Inc. 5,680 125
o Rayovac Corp. 5,600 125
o Toll Brothers, Inc. 6,100 125
Harsco Corp. 4,900 125
o Media 100 Inc. 4,849 125
o Corvas International, Inc. 10,400 125
o First Federal Financial
Corp. 8,832 125
o Data Return Corp. 4,300 125
o AnswerThink Consulting Group,
Inc. 7,500 125
Commercial Federal Corp. 8,011 125
o F.Y.I. Inc. 3,700 125
HRPT Properties Trust REIT 20,300 124
o Perot Systems Corp. 11,300 124
o Charming Shoppes, Inc. 24,400 124
o Level 8 Systems Inc. 5,900 124
o ePlus Inc. 4,700 124
Chittenden Corp. 5,084 124
o Secure Computing Corp. 6,600 124
La-Z-Boy Inc. 8,847 124
o Neurogen Corp. 4,280 124
Reckson Associates Realty
Corp. REIT 5,200 124
o Playtex Products, Inc. 10,900 123
Value Line, Inc. 3,200 123
CMP Group Inc. 4,200 123
o Rhythms NetConnections Inc. 9,800 123
o Triarc Cos., Inc. Class A 6,000 123
o Saba Software, Inc. 5,856 123
o Aware, Inc. 2,400 123
o Renal Care Group, Inc. 5,000 122
CBL & Associates Properties,
Inc. REIT 4,900 122
Trustco Bank 9,774 122
IndyMac Mortgage Holdings,
Inc. 9,000 122
Blockbuster Inc. Class A 12,600 122
o Wave Systems Corp. 7,700 122
Pogo Producing Co. 5,500 122
Capitol Federal Financial 11,000 122
o Triad Guaranty, Inc. 5,300 122
Aptargroup Inc. 4,500 122
o Acuson Corp. 9,000 122
o Gardner Denver Inc. 6,796 121
o Advanced Tissue Sciences
Inc. 15,100 121
U.S. Industries, Inc. 9,990 121
o MIPS Technologies, Inc.
Class B 3,146 121
o ORATEC Interventions, Inc. 3,628 121
o Hain Celestial Group, Inc. 3,300 121
Kimball International, Inc.
Class B 8,200 121
Overseas Shipholding Group
Inc. 4,900 121
Corn Products International,
Inc. 4,550 121
Interstate Bakeries Corp. 8,600 120
o Scientific Games Holdings
Corp. 4,900 120
o Protection One, Inc. 55,000 120
Ethan Allen Interiors, Inc. 5,010 120
Healthcare Realty Trust Inc.
REIT 7,044 120
o WebTrends Corp. 3,100 120
o Policy Management Systems
Corp. 7,800 120
<PAGE>
25
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Federal Agricultural Mortgage
Corp. Class A 7,000 $ 120
o Zebra Technologies Corp.
Class A 2,700 120
o Men's Wearhouse, Inc. 5,350 119
Sierra Pacific Resources 9,476 119
o BioMarin Pharmaceutical Inc. 7,000 119
StanCorp Financial Group,
Inc. 3,700 119
o American Freightways 8,196 119
o e.spire Communications,
Inc. 17,600 119
OM Group, Inc. 2,700 119
Central Parking Corp. 5,000 118
Wabtec Corp. 11,414 118
Diagnostic Products Corp. 3,700 118
Texas Industries, Inc. 4,100 118
Chemical Finance 4,552 118
o Cubist Pharmaceuticals, Inc. 2,400 118
Wellman, Inc. 7,300 118
American National Can Group,
Inc. 7,000 118
o Franklin Electronic Publishers,
Inc. 13,300 118
o Berkshire Hathaway Inc.
Class B 67 118
o Sanchez Computer Associates,
Inc. 4,962 118
AK Steel Corp. 14,717 118
o Applica Inc. 10,400 118
o Mueller Industries Inc. 4,200 118
PS Business Parks, Inc.
REIT 4,900 118
Liberty Corp. 2,800 118
o NCI Building Systems, Inc. 5,800 117
o MKS Instruments, Inc. 3,000 117
Baldor Electric Co. 6,300 117
o Speedway Motorsports, Inc. 5,100 117
Sotheby's Holdings Class A 6,700 117
o SpectraLink Corp. 8,000 117
Enterprise Products Partners
L.P. 5,200 117
o Friede Goldman Halter, Inc. 13,086 117
o Telaxis Communications Corp. 3,736 117
o America West Holdings Corp.
Class B 6,800 116
o Scholastic Corp. 1,900 116
o Breakaway Solutions, Inc. 4,300 116
Potlatch Corp. 3,500 116
o Footstar Inc. 3,484 116
o NETRIX Corp. 9,400 116
o Palm, Inc. 3,464 116
Energen Corp. 5,300 116
Otter Tail Power Co. 5,496 115
Westfield America, Inc. REIT 8,500 115
Mine Safety Appliances Co. 4,800 115
Church & Dwight, Inc. 6,400 115
Applebee's International,
Inc. 3,800 115
The Marcus Corp. 9,500 115
Black Hills Corp. 5,100 115
Dole Food Co. 7,000 115
Urban Shopping Centers, Inc.
REIT 3,400 115
o Hearst-Argyle Television
Inc. 5,868 114
o Net.B@nk, Inc. 9,200 114
o TD Waterhouse Group, Inc. 6,600 114
BorgWarner, Inc. 3,250 114
R.L.I. Corp. 3,281 114
o Conmed Corp. 4,406 114
o Thermo Cardiosystems Inc. 11,400 114
o Insituform Technologies
Class A 4,200 114
Cleco Corp. 3,400 114
o Markel Corp. 800 113
o Regeneron Pharmaceuticals,
Inc. 3,800 113
o Landstar System 1,900 113
First Citizens BancShares
Class A 1,900 113
o Columbia Sportswear Co. 4,200 113
Brandywine Realty Trust
REIT 5,900 113
Somerset Group, Inc. 5,156 113
o Artisoft, Inc. 9,300 113
o Clarus Corp. 2,900 113
Michael Foods Group, Inc. 4,600 113
o K-V Pharmaceutical Co.
Class A 4,250 113
Washington Federal Inc. 6,166 113
o ViroPharma Inc. 7,200 113
Raymond James Financial,
Inc. 5,000 113
o Systems & Computer Technology
Corp. 5,600 112
o Extended Stay America, Inc. 12,093 112
Worthington Industries,
Inc. 10,650 112
o Electroglas, Inc. 5,200 112
o Beasley Broadcast Group,
Inc. 8,200 112
Jefferies Group, Inc. 5,500 111
Universal Foods Corp. 6,000 111
o Theragenics Corp. 12,916 111
The Macerich Co. REIT 5,000 110
o Osicom Technologies, Inc. 1,300 110
o Com21, Inc. 4,400 110
o Swift Transportation Co.,
Inc. 7,850 110
o Wink Communications, Inc. 3,600 110
o General DataComm Industries,
Inc. 18,100 110
o Caliper Technologies Corp. 2,380 109
Service Corp. International 34,281 109
o Technology Solutions Co. 17,650 109
LNR Property Corp. 5,600 109
Storage USA, Inc. REIT 3,700 109
RGS Energy Group Inc. 4,900 109
o SCM Microsystems,Inc. 1,800 109
Polaris Industries, Inc. 3,400 109
Omnicare, Inc. 12,000 109
o SPS Technologies, Inc. 2,648 109
Donaldson Co., Inc. 5,500 109
o eSPEED, Inc. 2,500 109
o XM Satellite Radio Holdings,
Inc. 2,900 109
o Genzyme Molecular Oncology 7,821 109
Nationwide Financial Services,
Inc. 3,300 108
o Benihana Inc. Class A 8,100 108
J.B. Hunt Transport Services,
Inc. 7,000 108
Albemarle Corp. 5,470 108
o EMS Technologies, Inc. 6,000 108
o MicroStrategy Inc. 3,600 108
o Valuevision International,
Inc. Class A 4,500 108
o Philadelphia Consolidated
Holding Corp. 6,400 108
<PAGE>
26
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
CPB, Inc. 4,300 $ 108
o Handleman Co. 8,600 108
FactSet Research Systems
Inc. 3,800 107
Mark IV Industries, Inc. 5,142 107
o Quorum Health Group, Inc. 10,400 107
WestAmerica Bancorporation 4,100 107
o Digitas Inc. 6,556 107
o Humana, Inc. 21,933 107
o Shuffle Master, Inc. 7,433 107
Claire's Stores, Inc. 5,550 107
Parkway Properties Inc. REIT 3,500 107
Taubman Co. REIT 9,700 107
o Accrue Software, Inc. 3,000 107
o Hollywood Casino Corp. 15,200 106
o Allergan Specialty
Therapeutics, Inc. 5,890 106
Doral Financial Corp. 9,300 106
Ball Corp. 3,300 106
Westcorp, Inc. 8,890 106
o Fossil, Inc. 5,450 106
First American Corp. 7,400 106
o Eprise Corp. 6,440 106
o Multex.com Inc. 4,200 106
o Ultratech Stepper, Inc. 7,100 106
o Extended Systems Inc. 1,100 106
o W.R. Grace & Co. 8,700 105
o Anchor Gaming 2,200 105
United National Bancorp 5,738 105
Farmer Brothers, Inc. 600 105
o Spectra-Physics Lasers, Inc. 1,500 105
McDermott International,
Inc. 11,900 105
Chateau Communities, Inc.
REIT 3,700 105
Chemed Corp. 3,700 104
o Agribrands International,
Inc. 2,481 104
Ruddick Corp. 8,800 104
o Caminus Corp. 4,240 104
Cabot Oil & Gas Corp.
Class A 4,900 104
o Ventro Corp. 5,500 104
United Dominion Industries
Ltd. 6,100 104
o AppliedTheory Corp. 6,900 104
Sodexho Marriott Services,
Inc. 5,950 103
Commerce Group, Inc. 3,500 103
W.P. Carey & Co. LLC 6,300 103
o Metawave Communications
Corp. 3,864 103
o Midway Games Inc. 12,774 103
P.H. Glatfelter Co. 10,100 103
Avista Corp. 5,900 103
Inter-Tel, Inc. 6,400 103
o AXYS Pharmaceuticals, Inc. 17,300 103
BancorpSouth, Inc. 7,300 103
o C-COR Electronics, Inc. 3,800 103
o Bottomline Technologies,
Inc. 3,000 103
Quaker Chemical Corp. 5,900 103
Airborne Freight Corp. 5,400 102
o C-Cube Microsystems Inc. 5,200 102
Hancock Holding Co. 3,000 102
South Jersey Financial Corp.
Inc. 5,200 102
California Independent
Bancorp 4,515 102
Great Atlantic & Pacific Tea
Co., Inc. 6,100 101
Shurgard Storage Centers,
Inc. Class A REIT 4,500 101
Cooper Tire & Rubber Co. 9,100 101
Minerals Technologies, Inc. 2,200 101
Elcor Corp. 4,400 101
o WorldGate Communications,
Inc. 5,700 101
BSB Bancorp, Inc. 5,037 101
o Interdigital Communications
Corp. 6,100 101
o Atwood Oceanics, Inc. 2,266 101
Delta & Pine Land Co. 4,021 101
o Predictive Systems, Inc. 2,800 101
MAF Bancorp, Inc. 5,525 100
Federal-Mogul Corp. 10,500 100
o Davox Corp. 7,750 100
o Pixelworks, Inc. 4,400 100
o Aspen Technologies, Inc. 2,600 100
o Modis Professional Services
Inc. 11,254 100
CTG Resources Inc. 2,720 100
St. Mary Land & Exploration
Co. 2,372 100
o Diversa Corp. 2,996 99
o Intermune Pharmaceuticals 2,400 99
Kaufman & Broad Home Corp. 5,000 99
Home Properties of New York,
Inc. REIT 3,300 99
Realty Income Corp. REIT 4,200 99
Thomas Nelson, Inc. 11,550 99
o Battle Mountain Gold Co.
Class A 45,200 99
o Sunglass Hut International,
Inc. 12,000 99
o Coinstar, Inc. 9,800 99
o Digital Insight Corp. 2,900 99
o Pre-Paid Legal Services,
Inc. 3,300 99
o Vivus, Inc. 14,200 99
o Jack in the Box Inc. 4,000 99
Simmons First National 4,400 98
National Presto Industries,
Inc. 3,200 98
Earthgrains Co. 5,048 98
Ametek Aerospace Products
Inc. 5,600 98
o Evergreen Resources, Inc. 3,300 98
Lancaster Colony Corp. 5,082 98
o CapRock Communications Corp. 5,000 98
Helix Technology Corp. 2,500 98
o Dal-Tile International Inc. 11,800 97
o McMoRan Exploration Co. 5,897 97
o Allen Telecom Inc. 5,500 97
Block Drug Co. Class A 2,297 97
o Sagent Technology, Inc. 6,800 97
Western Gas Resources, Inc. 4,600 97
o GoTo.com, Inc. 6,300 96
o The Profit Recovery Group
International, Inc. 5,800 96
United Bankshares, Inc. 5,300 96
o Ventana Medical Systems,
Inc. 4,100 96
o SmartDisk Corp. 3,500 96
o Airnet Communications Corp. 3,680 96
o Westell Technologies, Inc. 6,400 96
Federal Realty Investment
Trust REIT 4,800 96
o NetRatings, Inc. 3,740 96
Consolidated-Tomoka Land Co. 7,900 96
Polaroid Corp. 5,300 96
Longs Drug Stores, Inc. 4,400 96
Piedmont Natural Gas, Inc. 3,600 96
AGL Resources Inc. 6,000 96
<PAGE>
27
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Advanced Digital Information
Corp. 6,000 $ 96
Developers Diversified Realty
Corp. REIT 6,400 96
o On Command Corp. 6,700 95
First Financial Bancorp 4,840 95
o VIA NET.WORKS, Inc. 6,172 95
o Cadiz Inc. 11,900 95
o Novavax, Inc. 13,010 95
o Witness Systems, Inc. 3,900 95
o Young Broadcasting Inc. 3,700 95
HSB Group Inc. 3,050 95
o Rare Medium Group, Inc. 6,000 95
Wallace Computer Services,
Inc. 9,600 95
o Spanish Broadcasting System,
Inc. 4,600 95
Bergen Brunswig Corp.
Class A 17,153 94
o OTG Software, Inc. 3,300 94
o I-STAT Corp. 5,400 94
Riviana Foods, Inc. 5,400 94
o NeoPharm, Inc. 4,800 94
Arnold Industries, Inc. 7,800 94
o Organic, Inc. 9,616 94
Tanger Factory Outlet
Centers, Inc. REIT 3,989 94
Midas Inc. 4,683 94
o NCO Group, Inc. 4,050 94
o PanAmSat Corp. 2,143 94
o Alexander's, Inc. 1,277 94
Northwest Bancorp, Inc. 13,600 94
Forest City Enterprise
Class A 2,800 93
Chelsea GCA Realty, Inc.
REIT 2,700 93
o Antigenics, Inc. 5,612 93
o Allied Riser Communications
Corp. 6,600 93
o Impco Technologies Inc. 2,200 93
o SpeedUs.com, Inc. 15,700 93
o Group 1 Software, Inc. 5,400 93
Innkeepers USA Trust REIT 10,200 93
o Objective Systems
Integrators, Inc. 8,700 93
o Nautica Enterprises, Inc. 8,700 93
o HomeGrocer.com 15,412 93
o Net2Phone, Inc. 2,600 93
o Trans World Entertainment
Corp. 7,650 93
Carter-Wallace, Inc. 4,600 93
Kelly Services, Inc. Class A 4,000 93
HCC Insurance Holdings, Inc. 4,900 92
Briggs & Stratton Corp. 2,700 92
Kaydon Corp. 4,400 92
o Network Plus Corp. 6,500 92
Andover Bancorp, Inc. 3,200 92
o Andrea Radio Corp. 12,900 92
o Sequoia Software Corp. 5,600 92
Independent Bank Corp. 8,100 92
o Patterson Energy, Inc. 3,200 91
Koger Equity, Inc. REIT 5,400 91
John H. Harland Co. 6,100 91
o Drexler Technology Corp. 7,000 91
Alfa Corp. 5,200 91
Kilroy Realty Corp. REIT 3,500 91
o Lante Corp. 4,440 91
o XTRA Corp. 2,300 91
Glenborough Realty Trust,
Inc. REIT 5,200 91
o R.H. Donnelley Corp. 4,680 91
o Friendly Ice Cream Corp. 17,900 91
o Gadzooks, Inc. 7,800 91
Stewart Enterprises, Inc.
Class A 25,600 90
o BOK Financial Corp. 5,145 90
o Xicor, Inc. 13,500 90
o Ciber, Inc. 6,800 90
Independence Community Bank
Corp. 6,800 90
o Project Software &
Development, Inc. 5,000 90
Meritor Automotive, Inc. 8,166 90
o Open Market, Inc. 6,500 90
o CDI Corp. 4,400 90
o Revlon, Inc. Class A 14,200 90
o V-One Corp. 17,900 90
o World Wrestling Federation
Entertainment, Inc. 4,300 89
o Choice Hotel International,
Inc. 9,000 89
o Crestline Capital Corp. 5,240 89
o Zomax Inc. 6,800 89
o ABIOMED, INC. 2,900 89
Banta Corp. 4,700 89
Skywest, Inc. 2,400 89
o CorVel Corp. 3,600 89
Prentiss Properties Trust
REIT 3,700 89
o TALK.com, Inc. 15,250 89
o Uniroyal Technology Corp. 8,000 89
o Mesa Air Group Inc. 16,000 89
o Jackpot Enterprises, Inc. 7,000 88
D. R. Horton, Inc. 6,500 88
o eXcelon Corp. 11,100 88
o iGATE Capital Corp. 6,400 88
Trinity Industries, Inc. 4,750 88
Gables Residential Trust
REIT 3,400 88
Rollins, Inc. 5,900 88
o Spyglass, Inc. 2,800 88
o Viasystems Group, Inc. 5,400 87
o Diacrin, Inc. 11,100 87
o Packeteer, Inc. 3,000 87
o Mortons Restaurant Group 4,056 87
ONEOK, Inc. 3,358 87
Pittston Brink's Group 6,360 87
Blair Corp. 4,700 87
Connecticut Water Services,
Inc. 3,250 87
Central Vermont Public
Service Corp. 7,900 87
o Nuevo Energy Co. 4,600 87
o Manor Care, Inc. 12,400 87
Seacoast Banking Corp. of
Florida Class A 3,200 86
o Zamba Corp. 15,700 86
o eToys Inc. 13,600 86
Philadelphia Suburban Corp. 4,200 86
Thor Industries, Inc. 4,100 86
Heritage Financial Corp. 9,900 86
o Cysive, Inc. 3,600 86
o Papa John's International,
Inc. 3,500 86
o Too Inc. 3,369 86
The Toro Co. 2,600 86
o Visual Networks, Inc. 3,000 86
Fleetwood Enterprises, Inc. 6,000 86
o ACTV, Inc. 5,700 85
o Silicon Graphics, Inc. 22,704 85
Steelcase Inc. 5,000 85
o UCAR International, Inc. 6,500 85
<PAGE>
28
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
Werner Enterprises, Inc. 7,338 $ 85
Community First Bankshares 5,200 85
o Performance Food Group Co. 2,650 85
A.O. Smith Corp. 4,050 85
o Furniture Brands
International Inc. 5,600 85
o IDEXX Laboratories Corp. 3,700 85
MacDermid, Inc. 3,600 85
Pan Pacific Retail
Properties, Inc. REIT 4,200 85
o Avanex Corp. 884 84
Schweitzer-Mauduit
International, Inc. 6,750 84
Amcore Financial 4,600 84
o Genzyme Surgical Products 8,467 84
National Service Industries,
Inc. 4,312 84
o AGENCY.COM Inc. 4,720 84
Landauer, Inc. 5,400 84
o Lexington Global Asset
Managers, Inc. 8,100 84
Tecumseh Products Co.
Class A 2,200 84
o BindView Development Corp. 7,000 84
Regis Corp. 6,710 84
o Midwest Express Holdings,
Inc. 3,900 84
o Audiovox Corp. 3,800 84
o Triad Hospitals, Inc. 3,466 84
Manufactured Home
Communities, Inc. REIT 3,500 84
Arrow International, Inc. 2,500 84
o Thermo Ecotek Corp. 8,900 83
AGCO Corp. 6,800 83
Western Properties Trust
REIT 7,000 83
LTC Properties, Inc. REIT 14,000 83
o Penwest Pharmaceuticals Co. 8,250 83
Columbia Bancorp 9,200 83
o Lifeminders, Inc. 2,800 83
Lincoln Electric Holdings 5,800 83
o BUY.COM, Inc. 16,400 83
Universal Corp. 3,900 82
UGI Corp. Holding Co. 4,000 82
o Advance Paradigm, Inc. 4,000 82
Flowserve Corp. 5,440 82
Allen Organ Co. 1,400 82
Pitt Des Moines, Inc. 4,300 82
Green Mountain Power Corp. 9,900 82
Pultizer, Inc. 1,933 82
Franklin Electric, Inc. 1,200 81
o Protocol Systems, Inc. 5,100 81
o Data Broadcasting Corp. 12,814 81
Irwin Financial Corp. 5,600 81
o Crossroads Systems, Inc. 3,200 81
o McAfee.com Corp. 3,100 81
o BSQUARE Corp. 3,600 81
Cabot Industrial Trust REIT 4,100 81
Puerto Rican Cement Co.,
Inc. 2,900 81
SLI, Inc. 6,650 81
o Startek, Inc. 1,600 81
o DSL.Net, Inc. 7,800 80
Carpenter Technology Corp. 3,800 80
o Mail-Well, Inc. 9,300 80
St. Francis Capital Corp. 5,300 80
Middlesex Water Co. 2,800 80
o InterWorld Corp. 3,900 80
o Guess ?, Inc. 5,700 80
o Insight Communications Co.,
Inc. 5,100 80
Detroit Diesel Corp. 5,400 80
o Musicland Stores Corp. 10,700 80
Modine Manufacturing Co. 2,938 79
Alliance Bancorp Inc. 4,825 79
o World Acceptance Corp. 15,100 79
o Petrocorp, Inc. 11,322 79
o Avid Technology, Inc. 6,600 79
o Mediaplex, Inc. 4,100 79
o Vicorp Restaurants, Inc. 4,338 79
o IDX Systems Corp. 5,600 79
o NBTY, Inc. 12,400 79
o Grey Wolf, Inc. 15,800 79
o Cytoclonal Pharmaceutics
Inc. 7,800 79
o Sonus Networks, Inc. 500 79
o Syntel, Inc. 7,850 79
Riggs National Corp. 6,200 78
IKON Office Solutions, Inc. 20,200 78
o Braun Consulting, Inc. 3,700 78
o Chirex, Inc. 3,900 78
o Strattec Security Corp. 2,400 78
o Strategic Distribution,
Inc. 40,200 78
o Tractor Supply Co. 4,700 78
Great American Financial
Resources, Inc. 4,400 78
CNA Surety Corp. 6,510 78
o Pac-West Telecom, Inc. 3,881 78
Ohio Casualty Corp. 7,300 78
WPS Resources Corp. 2,579 78
Clarcor Inc. 3,900 78
o Quintus Corp. 3,900 77
o Data Race, Inc. 11,678 77
Coca-Cola Bottling Co. 1,700 77
o Giant Industries, Inc. 9,800 77
o Scios, Inc. 13,700 77
o IHOP Corp. 4,600 77
o Brightpoint, Inc. 8,900 77
o 3Dfx Interactive, Inc. 9,900 77
Southwest Gas Corp. 4,400 77
o Input/Output, Inc. 9,100 77
o Prodigy Communications Corp.
Class A 7,300 77
o Primus Knowledge Solutions,
Inc. 1,700 77
Apex Mortgage Capital, Inc.
REIT 9,000 77
o Netopia, Inc. 1,900 76
First Source Corp. 4,855 76
J. Baker, Inc. 13,100 76
USFreightways Corp. 3,100 76
New Jersey Resources Corp. 2,000 76
Lennox International Inc. 5,740 76
o Ask Jeeves, Inc. 4,200 76
Sterling Bancshares, Inc. 7,000 76
o AirTran Holdings, Inc. 18,200 76
Caraustar Industries, Inc. 5,000 76
Ferro Corp. 3,600 76
Covest Bankshares, Inc. 7,200 76
SITEL Corp. 15,300 76
Downey Financial Corp. 2,600 75
Fedders Corp. 12,900 75
o O'Reilly Automotive, Inc. 5,400 75
o NPS Pharmaceuticals Inc. 2,800 75
PFF Bancorp, Inc. 4,100 75
McGrath Rent Corp. 4,400 75
<PAGE>
29
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
Churchill Downs, Inc. 3,200 $ 75
o Quiksilver, Inc. 4,800 75
o Walker Interactive Systems,
Inc. 20,600 75
o Royal Appliance
Manufacturing Co. 13,114 75
o U.S. Can Corp. 4,291 75
Bowne & Co., Inc. 7,400 74
Curtiss-Wright Corp. 2,000 74
o Oceaneering International,
Inc. 3,910 74
o United Capital Corp. 5,500 74
First Bancorp/Puerto Rico 4,000 74
o American Eagle Outfitters,
Inc. 5,300 74
o Previo, Inc. 9,417 74
o Atrix Laboratories, Inc. 7,900 74
Standard Pacific Corp. 7,400 74
First Sentinel Bancorp Inc. 9,000 74
o Foamex International, Inc. 12,200 74
Town & Country Trust REIT 4,300 74
o Barnett, Inc. 7,200 74
o AirGate PCS, Inc. 1,400 74
Armstrong Holdings, Inc. 4,800 74
Alberto-Culver Co. Class A 2,800 74
o Loudeye Technologies, Inc. 4,212 73
Westpoint Stevens, Inc. 6,600 73
o XOMA Ltd. 17,100 73
o Chordiant Software, Inc. 4,400 73
Southwestern Energy Co. 11,700 73
o Boca Resorts, Inc. Class A 7,400 73
o NRG Energy, Inc. 4,000 73
o Wit Soundview Group, Inc. 6,800 73
Kennametal, Inc. 3,400 73
o Netcentives Inc. 3,900 73
o Water Pik Technologies,
Inc. 11,589 72
o Centennial Bancorp 8,332 72
Manitowac Co., Inc. 2,700 72
o Action Performance Cos.,
Inc. 9,932 72
Longview Fibre Co. 6,500 72
o Factory 2-U Stores Inc. 1,900 72
o Unifi, Inc. 5,800 72
Atmos Energy Corp. 4,100 72
o Network Access Solutions
Corp. 7,500 72
Newmil Bancorp, Inc. 7,100 72
o Il Fornaio (America) Corp. 8,300 72
o Net2000 Communications, Inc. 4,368 72
o Henry Schein, Inc. 4,135 71
JDN Realty Corp. REIT 7,000 71
o CenterSpan Communications
Corp. 3,800 71
o Salient 3 Communications
Class A 5,900 71
o The Neiman Marcus Group, Inc.
Class B 2,561 71
Texas Regional Bancshares,
Inc. 2,800 71
o Network Peripherals, Inc. 4,240 71
o Wyndham International, Inc.
Class A 28,326 71
o Hovnanian Enterprises
Class A 11,800 71
o TenFold Corp. 4,300 71
o Webvan Group Inc. 9,700 71
o Beringer Wine Estates
Holdings, Inc. 2,000 71
o Merix Corp. 1,500 71
F.N.B. Corp. 3,417 70
o Frontline Capital Group 3,300 70
Rollins Truck Leasing 10,125 70
o PSS World Medical, Inc. 10,450 70
o STERIS Corp. 7,908 70
o Advanced Polymer Systems 18,500 70
USEC Inc. 15,100 70
RPC Inc. 6,600 70
o Silgan Holdings, Inc. 7,100 70
o Switchboard Inc. 6,964 70
o Spectranetics Corp. 14,100 70
o Florida Banks, Inc. 12,800 70
TF Financial Corp. 5,100 69
o National Information
Consortium, Inc. 6,100 69
o Fairfield Communities, Inc. 8,800 69
AMCOL International Corp. 4,200 69
o Centra Software, Inc. 7,288 69
o Navidec, Inc. 7,800 69
o Diametrics Medical, Inc. 12,200 69
o Avatar Holding, Inc. 3,000 69
o OfficeMax, Inc. 13,800 69
NBT Bancorp, Inc. 6,453 69
o Todd Shipyards Corp. 8,753 69
o Wisconsin Central
Transportation Corp. 5,300 69
o Twinlab Corp. 10,800 69
Standard Commercial Tobacco
Co. 15,063 69
Wausau-Mosinee Paper Corp. 8,026 69
o Cone Mills Corp. 11,100 69
Granite Construction Co. 2,800 69
o Transaction Systems
Architects, Inc. 4,000 69
o ITT Educational Services,
Inc. 3,900 68
o Esterline Technologies Corp. 4,600 68
o Credit Acceptance Corp. 12,300 68
H.B. Fuller Co. 1,500 68
o Vertex Interactive, Inc. 6,700 68
o VTEL Corp. 18,200 68
o Latitude Communications,
Inc. 6,100 68
Hooper Holmes, Inc. 8,500 68
Capitol Bancorp Ltd. 5,969 68
o MeriStar Hotels & Resorts,
Inc. REIT 23,600 68
o Photoworks, Inc. 22,575 68
o Heartland Express, Inc. 4,058 68
JLG Industries, Inc. 5,700 68
Olin Corp. 4,100 68
o Software Spectrum, Inc. 3,900 68
NUI Corp. 2,500 68
CAIS Internet, Inc. 4,800 68
Horace Mann Educators Corp. 4,500 68
o Ryan's Family Steak Houses,
Inc. 8,000 68
o Rent-A-Center, Inc. 3,000 68
o Tower Automotive, Inc. 5,400 68
Susquehanna Bancshares, Inc. 4,725 67
o Mapics Inc. 11,700 67
o American Bank Note
Holographics, Inc. 29,900 67
Bob Evans Farms, Inc. 4,500 67
o Belco Oil & Gas Corp. 7,900 67
National Health Investors
REIT 6,100 67
o Matria Healthcare, Inc. 14,600 67
<PAGE>
30
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
o Weirton Steel 20,600 $ 67
o Vicinity Corp. 3,400 66
OceanFirst Financial Corp. 3,600 67
o QRS Corp. 2,700 66
Universal Health Realty
Income REIT 3,500 66
o Structural Dynamics Research
Corp. 4,400 66
o US Oncology, Inc. 13,250 66
o Larscom, Inc. Class A 11,900 66
o Basin Exploration Inc. 3,700 66
o Xpedior Inc. 4,780 66
Gentek, Inc. 5,897 66
o MarketWatch.com, Inc. 3,500 66
Bradley Real Estate, Inc.
8.40% Cvt. Pfd. 3,024 66
o NetZero Inc. 12,600 66
o Convergent Communications,
Inc. 8,200 66
o Algos Pharmaceutical Corp. 4,300 66
Nationwide Health Properties,
Inc. REIT 4,700 66
Fremont General Corp. 16,600 65
o S&K Famous Brands Inc. 9,100 65
o Candela Corp. 7,150 65
Calgon Carbon Corp. 8,400 65
o Radio One, Inc. 2,200 65
o Datastream Systems, Inc. 5,200 65
o Oxigene, Inc. 6,500 65
E.W. Blanch Holdings, Inc. 3,200 65
o High Speed Access Corp. 9,900 65
o Insignia Financial Group,
Inc. 6,466 65
o Kensey Nash Corp. 5,800 65
Bryn Mawr Bank Corp. 3,200 64
Sovran Self Storage, Inc.
REIT 3,000 64
Arvin Industries, Inc. 3,700 64
Burlington Coat Factory
Warehouse Corp. 5,940 64
o Pegasus Solutions Inc. 5,900 64
JP Realty Inc. REIT 3,600 64
o DVI, Inc. 4,000 64
White Mountains Insurance
Group Inc. 400 64
o Atlanta Sosnoff Capital 6,400 64
Owens Corning 6,900 64
Regal-Beloit Corp. 4,000 64
o ProBusiness Services, Inc. 2,400 64
o Hexcel Corp. 6,700 64
Owens & Minor, Inc. Holding
Co. 3,700 64
o SeaChange International,
Inc. 2,200 64
o Liquid Audio, Inc. 6,700 63
o SCG Holding Corp. 2,900 63
o Collins & Aikman Corp. 12,200 63
o MICROS Systems, Inc. 3,400 63
o Geoworks 4,000 63
Invacare Corp. 2,400 63
Advanta Corp. Class A 5,163 63
o Marimba, Inc. 4,500 63
o Polo Ralph Lauren Corp. 4,400 63
Prison Realty Trust, Inc.
REIT 20,462 63
o Sensory Science Corp. 20,400 62
Interpool, Inc. 6,400 62
Maine Public Service Co. 3,100 62
IRT Property Co. REIT 7,300 62
Cubic Corp. 3,300 62
o Playboy Enterprises, Inc.
Class B 4,800 62
o Calico Commerce Inc. 3,800 62
o Garden Fresh Restaurant
Corp. 5,900 62
German American Bancorp 4,236 61
CPI Corp. 2,900 61
Anchor Bancorp Wisconsin
Inc. 4,000 61
Madison Gas & Electric Co. 3,100 61
o Berlitz International, Inc. 6,801 61
Oil-Dri Corp. of America 6,800 61
o Covance, Inc. 6,925 61
o Pacific Gateway Exchange,
Inc. 17,900 61
o Caliber Learning Network,
Inc. 15,000 61
Lawrence Savings Bank 8,700 61
o Ventas, Inc. REIT 19,100 61
o P-Com, Inc. 10,700 61
o ClickAction, Inc. 3,800 61
o Value City Department
Stores, Inc. 6,400 61
o The IT Group, Inc. 12,436 61
o National Discount Brokers
Group, Inc. 1,900 61
Analysts International Corp. 6,500 61
BeautiControl Cosmetics 15,000 60
o Arch Communications Group,
Inc 9,300 60
o Versant Corp. 12,400 60
Timberline Software Corp. 8,258 60
o Viador, Inc. 3,800 60
The Trust Co. of New Jersey 3,300 60
o StaffMark, Inc. 9,000 60
Fleming Cos., Inc. 4,600 60
o LendingTree, Inc. 8,000 60
o About.Com, Inc. 1,900 60
NYMAGIC, Inc. 4,200 60
Southwest Bancorp, Inc. 3,700 60
o Lydall, Inc. 5,600 60
o Inprise Corp. 9,700 59
Haven Bancorp, Inc. 3,200 59
o Cambridge Technology
Partners 6,800 59
o Ulticom, Inc. 2,468 59
o Plains Resources 3,717 59
o Sykes Enterprises, Inc. 4,600 59
o Aetrium, Inc. 10,300 59
o Per-Se Technologies, Inc. 6,284 59
o Perficient, Inc. 4,200 59
AAR Corp. 4,900 59
o MyPoints.com, Inc. 3,100 59
o ePresence, Inc. 8,100 59
Barnes Group, Inc. 3,600 59
o MedicaLogic/Medscape, Inc. 6,348 59
Public Service Co. of
New Mexico 3,800 59
o Ampex Corp. Class A 34,700 59
o InterVoice-Brite, Inc. 8,888 58
Pulaski Financial Corp. 4,800 58
Marion Capital Holdings 2,800 58
Omega Financial Corp. 2,300 58
o I-Link, Inc. 10,800 58
Penford Corp. 2,700 58
o 24/7 Media, Inc. 3,700 58
o Fritz Cos., Inc. 5,600 58
<PAGE>
31
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
CH Energy Group, Inc. 1,700 $ 58
o Be Free, Inc. 6,400 58
o National Processing, Inc. 4,600 58
o Offshore Logistics, Inc. 4,000 58
o New Focus, Inc. 700 57
o Delphi Financial Group, Inc. 1,691 57
o eMerge Interactive, Inc. 3,199 57
o Kronos, Inc. 2,200 57
o Net Perceptions, Inc. 3,600 57
Harleysville National Corp. 1,743 57
AREA Bancshares Corp. 2,558 57
o ShopKo Stores, Inc. 3,700 57
Ottawa Financial Corp. 3,345 57
o Comshare 11,953 57
o American Axle & Manufacturing
Holdings, Inc. 4,000 57
o iManage, Inc. 5,699 57
o Daisytek International Corp. 6,000 57
o Bluestone Software Inc. 2,200 57
Meditrust Corp. 15,033 56
o Luminant Worldwide Corp. 6,300 56
o Thermo Fibertek, Inc. 11,850 56
o Expedia Inc. 3,800 56
Sizzlers Property Investors,
Inc. REIT 7,500 56
o Tech-Sym Corp. 1,998 56
o Aftermarket Technology Corp. 6,600 56
Foster Wheeler Corp. 6,500 56
First International Bancorp,
Inc. 6,900 56
o Jenny Craig Inc. 16,300 56
Redwood Trust, Inc. REIT 4,000 56
o Amerco, Inc. 2,800 56
o USDATA Corp., Inc. 6,297 56
o American Access Technologies
Inc. 9,000 56
o Sequa Corp. Class A 1,456 56
o Success Bancshares, Inc. 5,100 55
o Bethlehem Steel Corp. 15,540 55
o 1-800-FLOWERS.COM, Inc. 10,800 55
o The Children's Place Retail
Stores, Inc. 2,700 55
WSFS Financial Corp. 5,300 55
o Insmed Inc. 17,000 55
Grove Property Trust REIT 3,400 55
o Intergraph Corp. 7,300 55
o Del Monte Foods Co. 8,100 55
o Medplus, Inc. 8,600 55
o Mediacom Communications
Corp. 3,580 55
o Total-Tel USA Communications,
Inc. 5,500 55
o Aspect Medical Systems, Inc. 2,036 55
M.A. Hanna Co. 6,100 55
Flushing Financial Corp. 3,600 55
Northwest Natural Gas Co. 2,450 55
o MTR Gaming Group Inc. 11,000 55
o Kendle International Inc. 6,900 54
Watts Industries Class A 4,300 54
Bassett Furniture Industries,
Inc. 4,300 54
Harbor Florida Bancshares,
Inc. 5,200 54
o Headway Corporate Resources,
Inc. 16,700 54
o Rudolph Technologies, Inc. 1,400 54
Corporate Office Properties
Trust, Inc. REIT 5,900 54
CB Bancshares Inc./Hawaii 2,200 54
o Neoforma.com, Inc. 7,700 54
o PRWW, Ltd. 3,900 54
o Noven Pharmaceuticals, Inc. 1,800 54
Coachmen Industries, Inc. 4,704 54
o Schein Pharmaceutical, Inc. 2,500 54
The Ackerley Group, Inc. 4,600 54
o Radiant Systems, Inc. 2,250 54
Spartech Corp. 2,000 54
Lindsay Manufacturing Co. 2,750 54
o QCF Bancorp, Inc. 2,200 54
o Healthcare.com Corp. 19,100 54
o Caldera Systems, Inc. 4,100 54
SL Green Realty Corp. REIT 2,000 54
o Applix, Inc. 6,900 53
Summit Bancshares, Inc. 3,100 53
SJNB Financial Corp. 1,900 53
o Inforte Corp. 1,484 53
o WorldPages.com, Inc. 8,900 53
Ambanc Holding Co., Inc. 3,500 53
Hughes Supply, Inc. 2,700 53
FNB Financial Services Corp. 4,100 53
Getty Realty Holding Corp. 4,900 53
o SpectRx, Inc. 5,074 53
o Internet.com Corp. 2,700 53
Trenwick Group Inc. 3,650 53
o Aerosonic Corp. 5,100 53
BNP Residential Properties,
Inc. 6,300 53
o Information Architects Corp. 7,600 53
G & K Services, Inc. 2,100 53
o Z-Tel Technologies, Inc. 4,380 53
o Telular Corp. 4,375 53
o Bio-Rad Laboratories, Inc.
Class A 2,100 53
o Advantage Learning Systems,
Inc. 3,400 52
o barnesandnoble.com inc. 8,000 52
Peoples Holding Co. 2,600 52
o Teligent, Inc. 2,200 52
Hunt Corp. 5,000 52
o Zebra Technologies Corp.
Class B 1,170 52
Wolverine World Wide, Inc. 5,250 52
Gerber Scientific, Inc. 4,500 52
Harmon Industries, Inc. 3,900 52
o Labor Ready, Inc. 7,800 52
o Duramed Pharmaceuticals,
Inc. 9,500 52
Hopfed Bancorp, Inc. 5,400 52
Prime Group Realty Trust
REIT 3,400 52
o Provident Financial Holdings,
Inc. 3,700 52
o First Consulting Group, Inc. 9,255 51
Superior Uniform Group, Inc. 5,900 51
o FairMarket, Inc. 7,240 51
o V.I. Technologies, Inc. 7,300 51
o PTEK Holdings, Inc. 15,700 51
o Immucor Inc. 9,054 51
Bandag, Inc. 2,100 51
o Park-Ohio Holdings Corp. 5,900 51
<PAGE>
32
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
First Financial Holdings,
Inc. 3,700 $ 51
o Source Media, Inc. 13,000 51
Arrow Financial Corp. 3,381 51
o Catalytica, Inc. 4,600 51
o Education Management Corp. 2,800 51
Chesapeake Corp. of Virginia 1,700 50
Glimcher Realty Trust REIT 3,500 50
o Momentum Business
Applications, Inc. 6,814 50
o Wackenhut Corrections Corp. 6,700 50
o AMBI, Inc. 16,400 50
o Chalone Wine Group Ltd. 6,260 50
Ameron International Corp. 1,400 50
o Cyberian Outpost, Inc. 10,400 50
o Perrigo Co. 7,900 50
o STAR Telecommunications,
Inc. 19,700 50
o IKOS Systems, Inc. 4,600 50
o Daily Journal Corp. 1,700 50
o Hollywood Entertainment
Corp. 6,300 50
o Department 56 Inc. 4,505 50
o Kaneb Services, Inc. 12,384 50
o Boyd Gaming Corp. 8,900 50
o PLATO Learning, Inc. 3,600 50
Commercial Metals Co. 1,800 50
HMN Financial, Inc. 4,500 50
Gainsco, Inc. 9,900 50
o Acceptance Insurance Cos.
Inc. 9,900 50
o Rochester Medical Corp. 5,900 49
o Nortek, Inc. 2,500 49
Katy Industries, Inc. 4,200 49
Correctional Properties Trust
REIT 4,700 49
o Prime Hospitality Corp. 5,200 49
First Commonwealth Financial
Corp. 5,400 49
Fidelity Bancorp, Inc. 2,800 49
o Todhunter International,
Inc. 6,200 49
GenCorp, Inc. 6,100 49
o Orbital Sciences Corp. 4,000 49
Kramont Realty Trust 5,200 49
o Itron, Inc. 5,900 49
o Rohn Industries Inc. 11,500 49
o The Boyds Collection, Ltd. 5,700 48
o Credit Management Solutions,
Inc. 8,100 48
o TCSI Corp. 23,800 48
Associated Estates Realty
Corp. REIT 6,900 48
The Warnaco Group, Inc.
Class A 6,220 48
o eMachines, Inc. 17,936 48
Libbey, Inc. 1,500 48
RFS Hotel Investors, Inc.
REIT 4,100 48
o Dave & Busters 7,777 48
o Ace Cash Express, Inc. 4,050 48
Interface, Inc. 12,600 48
o IGEN International, Inc. 2,900 48
Myers Industries, Inc. 4,466 48
Argonaut Group, Inc. 2,800 48
o Lazare Kaplan International,
Inc. 5,900 48
Milacron Inc. 3,300 48
UMB Financial Corp. 1,455 48
Lance, Inc. 5,300 48
Ryerson Tull, Inc. 4,591 48
o NextCard, Inc. 5,600 48
o Waste Connections, Inc. 2,400 47
o Information Resources, Inc. 12,006 47
FBL Financial Group, Inc.
Class A 3,000 47
o Right Management Consultants 4,500 47
The Stride Rite Corp. 7,700 47
Wabash National Corp. 3,950 47
o Stein Mart, Inc. 4,600 47
International Shipholding
Corp. 5,375 47
o Sonic Automotive, Inc. 4,400 47
o Ocular Sciences, Inc. 4,000 47
Republic Security Financial
Corp. 9,388 47
o eShare Communications, Inc. 6,700 47
Ziegler Cos., Inc. 3,000 47
o Consolidated Graphics, Inc. 5,000 47
Sun Communities, Inc. REIT 1,400 47
Reckson Associates Realty
Corp. Class B REIT 1,840 47
o Ogden Corp. 5,200 47
o Interneuron Pharmaceutical,
Inc. 24,900 47
o E-LOAN, Inc. 9,800 47
o Total Renal Care Holdings,
Inc. 7,735 46
o Scott Technologies, Inc. 2,700 46
o Voyager.net, Inc. 5,800 46
o ebix.com Inc. 9,100 46
Century Bancorp, Inc.
Class A 3,700 46
o TriPath Imaging, Inc. 7,500 46
o On2.com Inc. 9,000 46
o Buckeye Technology, Inc. 2,100 46
o WetSeal, Inc. Class A 3,500 46
o Packard BioScience Co. 2,700 46
o Acmat Corp. Class A 5,600 46
o Laser Vision Centers, Inc. 7,400 46
o Media Metrix, Inc. 1,800 46
Walter Industries, Inc. 4,000 46
o Kaiser Aluminum & Chemical
Corp. 11,400 46
o net.Genesis Corp. 2,524 46
o HotJobs.com Ltd. 3,300 46
o Information Management
Associates, Inc. 10,400 46
Team Financial, Inc. 5,600 46
o Keystone Consolidated
Industries, Inc. 12,100 45
Centex Construction Products,
Inc. 2,000 45
United Mobile Homes, Inc.
REIT 5,500 45
o American Classic Voyager Co. 2,200 45
NACCO Industries, Inc.
Class A 1,291 45
o Encompass Services Corp. 7,880 45
o Applied Graphics Technologies,
Inc. 10,660 45
Nashua Corp. 5,486 45
o Alpine Group, Inc. 6,700 45
Stewart & Stevenson Services,
Inc. 3,000 45
o Sizzler International 17,600 45
UniSource Energy Corp. 3,000 45
o Palm Harbor Homes, Inc. 3,100 45
o Engineering Animation, Inc. 4,800 45
Arch Chemicals, Inc. 2,050 45
Massbank Corp. 1,600 45
<PAGE>
33
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Wellsford Real Properties
Inc. 2,956 $ 45
Zenith National Insurance
Corp. 2,100 45
o Coventry Health Care Inc. 3,345 45
Oneida Ltd. 2,500 44
o International Specialty
Products, Inc. 7,800 44
o Highlands Insurance Group 4,730 44
o MAXIMUS, Inc. 2,000 44
EastGroup Properties, Inc.
REIT 2,100 44
o Metrocall, Inc. 4,900 44
o Martha Stewart Living
Omnimedia, Inc. 2,000 44
o Auspex Systems, Inc. 8,900 44
o SpaceLabs Medical, Inc. 3,900 44
o Fourth Shift Corp. 14,600 44
o Drugstore.com, Inc. 5,800 44
o Eclipsys Corp. 5,800 44
o Nastech Pharmaceutical Co.,
Inc. 9,600 44
o TCI Satellite Entertainment,
Inc. Class A 5,004 43
o WHX Corp. 7,900 43
Crawford & Co. Class B 3,950 43
o Curative Health Services
Inc. 7,200 43
Petroleum Helicopters, Inc. 4,500 43
o Ralcorp Holdings, Inc. 3,533 43
Wolohan Lumber Co. 4,222 43
o GC Cos. 1,930 43
o DT Industries, Inc. 4,600 43
Kansas City Life Insurance
Co. 1,600 43
AmerUs Life Holdings, Inc. 2,084 43
o Imperial Credit 10,100 43
o Volt Information Sciences
Inc. 1,300 43
o Boston Beer Co., Inc.
Class A 5,000 43
o Layne Christensen Co. 9,500 43
o Thermedics, Inc. 4,300 43
National Steel Corp.
Class B 10,200 43
o Tyler Technologies, Inc. 16,600 43
o Lifecore Biomedical Inc. 5,400 43
o eGain Communications Corp. 3,500 42
Mississippi Chemical Corp. 8,900 42
o FLIR Systems, Inc. 6,500 42
o Mail.Com, Inc. 7,418 42
MascoTech Inc. 3,900 42
o Integral Vision, Inc. 16,842 42
o FirstWorld Communications
Inc. 4,000 42
o Cellular Technical Services 5,160 42
o Zoltek Cos., Inc. 4,900 42
First South Bancorp, Inc. 2,100 41
o Aurora Foods Inc. 10,300 41
Tecumseh Products Co.
Class B 1,000 41
Wainwright Bank & Trust Co. 5,600 41
o Shoe Carnival, Inc. 6,550 41
o Juno Online Services, Inc. 3,800 41
Crown American Realty Trust
REIT 7,600 41
o Cheap Tickets, Inc. 3,400 41
FFY Financial Corp. 3,700 41
Cato Corp. Class A 3,500 41
Financial Industries Corp. 5,000 41
o Charles River Associates
Inc. 2,300 41
o Checkpoint Systems, Inc. 5,400 41
o Stratus Properties, Inc. 9,500 40
o Globe Business Resources,
Inc. 3,100 40
o Ames Department Stores, Inc. 5,200 40
Enhance Financial Services
Group, Inc. 2,800 40
L. S. Starrett Co. Class A 2,300 40
o Hoenig Group, Inc. 4,100 40
o Troy Group, Inc. 2,700 40
o Active Voice Corp. 5,000 40
Exide Corp. 5,000 40
First Financial Corp.-
Indiana 1,300 40
o Numerex Corp. 3,200 40
BankAtlantic Bancorp, Inc.
Class A 10,535 40
o Sunbeam Corp. 11,488 39
Cascade Bancorp 3,520 39
o Correctional Services Corp. 9,997 39
o Granite State Bankshares,
Inc. 2,600 39
SportsLine.com, Inc. 2,300 39
State Financial Services
Corp. Class A 4,100 39
Berry Petroleum Class A 2,300 39
o Old Dominion Freight Line,
Inc. 4,000 39
o SEEC, Inc. 8,900 39
o The TriZetto Group, Inc. 2,400 39
o Dura Automotive Systems,
Inc. 3,593 39
o Wesco International, Inc. 4,050 39
o Intraware, Inc. 2,400 39
o InVision Technologies, Inc. 8,800 39
o eLEC Communications Corp. 14,000 39
o BankUnited Financial Corp. 5,300 38
o Optika Inc. 6,400 38
Springs Industries Inc.
Class A 1,200 38
Strayer Education, Inc. 1,600 38
o Aviall Inc. 7,775 38
o Gadzoox Networks, Inc. 2,800 38
o Microwave Power Devices,
Inc. 7,300 38
o Griffin Land & Nurseries,
Inc. 3,100 38
Omnova Solutions Inc. 6,100 38
o Vornado Operating Inc. REIT 4,895 38
o NZ CORP. 7,777 38
o FARO Technologies, Inc. 12,100 38
o Allied Holdings, Inc. 6,300 38
Southern Peru Copper Corp. 3,100 38
o UTStarcom, Inc. 1,240 38
United Wisconsin Services,
Inc. 6,800 38
o i3 Mobile, Inc. 2,040 37
o Preview Systems, Inc. 2,880 37
o Great Plains Software, Inc. 1,900 37
o iVillage Inc. 4,400 37
o InfoCure Corp. 6,600 37
o PJ America Inc. 3,800 37
o Genrad, Inc. 4,100 37
o kforce.com, Inc. 5,300 37
Tech/Ops Sevcon, Inc. 4,200 37
o Digital Impact, Inc. 2,600 37
EDO Corp. 5,800 37
o PETsMART, Inc. 10,848 37
o Lumisys, Inc. 12,200 37
<PAGE>
34
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
o New Frontier Media, Inc. 5,000 $ 37
Schnitzer Steel Industries,
Inc. Class A 2,300 37
Alico, Inc. 2,300 37
o Western Digital Corp. 7,300 37
Mid Atlantic Realty Trust
REIT 3,650 37
Donnelly Corp. 2,800 36
Cooper Cos., Inc. 1,000 36
US Bancorp, Inc. 10,200 36
o infoUSA Inc. 5,584 36
A. Schulman Inc. 3,000 36
NCH Corp. 1,000 36
o Danielson Holdings Corp. 7,400 36
Presidential Life Corp. 2,600 36
o TBC Corp. 7,800 36
Superior Industries
International, Inc. 1,400 36
Bank of the Ozarks, Inc. 2,200 36
o Cyberonics, Inc. 3,000 36
BCSB Bankcorp, Inc. 6,000 36
o Embrex, Inc. 2,600 36
o CSK Auto Corp. 4,700 36
o Meridian Gold Co. 5,800 36
o Maxxam Inc. 2,000 36
o Cypress Communications, Inc. 4,880 35
Thornburg Mortgage, Inc. 4,900 35
o Capital Trust Class A 8,800 35
o ONI Sytems Corp. 300 35
o Sunrise Assisted Living,
Inc. 1,900 35
Mueller (Paul) Co. 1,400 35
Watsco, Inc. 2,800 35
o Alcide Corp. 2,000 35
o Bush Boake Allen, Inc. 800 35
o Lifeline Systems, Inc. 2,500 35
HEICO Corp. Class A 2,850 35
o Jan Bell Marketing Inc. 14,700 35
Arch Coal, Inc. 4,536 35
Enesco Group, Inc. 7,300 35
o CyberSource Corp. 2,500 35
o Microtouch Systems, Inc. 4,000 35
Lone Star Steakhouse & Saloon,
Inc. 3,400 34
Luby's, Inc. 4,300 34
LSI Industries Inc. 2,264 34
o UNOVA, Inc. 4,700 34
o SciQuest.com, Inc. 3,000 34
o Clintrials Research, Inc. 9,800 34
o Thermotrex Corp. 3,100 34
The Standard Register Co. 2,400 34
o ActionPoint, Inc. 4,400 34
o The InterCept Group, Inc. 2,000 34
Medford Bancorp, Inc. 2,400 34
o Digital River, Inc. 4,400 34
o Global Vacation Group, Inc. 11,500 34
W.R. Berkley Corp. 1,800 34
o Jo-Ann Stores, Inc. Class A 4,800 34
o Gaylord Container Corp. 12,500 34
o Genome Therapeutics Corp. 1,100 33
o Parker Drilling Co. 5,400 33
o Baldwin Technology Class A 15,700 33
o Trammell Crow Co. 3,100 33
o U.S. Franchise Systems, Inc.
Class A 6,900 33
Queens County Bancorp, Inc. 1,800 33
o ThermoLase Corp. 11,800 33
o Sunrise Medical, Inc. 6,800 33
BMC Industries, Inc. 8,137 33
o Fresh Del Monte Produce Inc. 4,800 33
o K2 Inc. 3,964 33
o The Buckle, Inc. 2,800 33
o AT Comm Corp. 1,900 33
o UICI 5,000 33
o Thermo TerraTech, Inc. 4,100 33
o ABC-NACO, INC. 4,100 33
F & M Bancorp 1,657 33
Spartan Motors, Inc. 7,800 33
o Chesapeake Energy Corp. 4,200 33
Phoenix Investment Partners
Ltd. 3,100 33
o COMARCO, Inc. 1,000 33
Brown Shoe Company, Inc. 2,500 33
o CDnow Inc. 10,500 32
o Airgas, Inc. 5,700 32
Movado Group, Inc. 2,700 32
Titanium Metals Corp. 6,900 32
o Hartmarx Corp. 12,600 32
o URS Corp. 2,300 32
Oak Hill Financial, Inc. 2,300 32
Energy West Inc. 4,000 32
o Cellstar Corp. 11,500 32
o NetManage, Inc. 7,147 32
o Medialink Worldwide, Inc. 4,600 32
o Visual Data Corp. 8,800 32
G & L Realty Corp. REIT 4,383 32
o SoftNet Systems, Inc. 3,300 32
Ethyl Corp. 12,700 32
First Union Real Estate
REIT 10,780 32
o COMFORCE Corp. 20,213 32
o YouthStream Media Networks,
Inc. 5,600 32
Hancock Fabrics, Inc. 7,400 31
o NS Group Inc. 1,500 31
Computer Task Group, Inc. 6,200 31
o Earthshell Corp. 10,300 31
Senior Housing Properties
Trust REIT 3,930 31
o TheStreet.com, Inc. 5,350 31
Apogee Enterprises, Inc. 8,800 31
o Shoney's Inc. 24,795 31
o U.S. Interactive, Inc. 2,391 31
o Sunburst Hospitality Corp. 6,966 31
Health Care REIT, Inc. 1,900 31
HF Financial Corp. 3,400 31
o Jones Lang Lasalle Inc. 2,300 31
o Track Data Corp. 24,000 31
Codorus Valley Bancorp, Inc. 2,756 31
o The A Consulting Team, Inc. 4,000 31
o GetThere.com, Inc. 2,897 31
o Freeport-McMoRan Copper &
Gold, Inc. Class A 3,348 31
o C-bridge Internet Solutions,
Inc. 1,756 31
o PriceSmart, Inc. 800 30
o School Specialty, Inc. 1,627 30
o Ventiv Health, Inc. 2,706 30
<PAGE>
35
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
HEICO Corp. 2,100 $ 30
o EEX Corp. 5,148 30
o 3DO Co. 3,800 30
o GraphOn Corp. 3,500 30
o onlinetradinginc.com 5,800 30
o Exabyte Corp. 6,600 30
o Vyyo Inc. 1,100 30
The Pep Boys (Manny, Moe
& Jack) 4,940 30
o MTI Technology Corp. 3,700 30
o Integrated Electrical
Services, Inc. 5,700 29
o Hayes Lemmerz International,
Inc. 2,420 29
o Loislaw.com, Inc. 3,400 29
o Bell & Howell Co. 1,200 29
o Pediatrix Medical Group,
Inc. 2,500 29
o Superior Consultant Holdings
Corp. 6,100 29
o Carrington Labs Inc. 13,400 29
o Life Financial Corp. 7,300 29
o National Bancshares Corp.
of Texas 2,100 29
National City Bancorporation 1,968 29
o Stamps.Com Inc. 3,900 29
o Cumulus Media Inc. 3,100 28
o NeoMedia Technologies, Inc. 4,800 28
o Cyberguard Corp. 4,500 28
o M&F Worldwide Corp. 5,000 28
o SMC Corp. 9,000 28
o Steel Dynamics, Inc. 3,100 28
Standard Motor Products,
Inc. 3,300 28
o Ceres Group, Inc. 4,700 28
Big Dog Holdings, Inc. 6,700 28
Flagstar Bancorp, Inc. 3,400 28
o Micrografx, Inc. 11,900 28
Alamo Group, Inc. 2,200 28
o Integrated Circut Systems,
Inc. 1,600 27
o Crescendo Pharmaceuticals
Corp. 1,360 27
o Coeur D'Alene Mines Corp. 11,200 27
o Egghead.com, Inc. 9,268 27
o Hawthorne Financial Corp. 3,500 27
o Stoneridge,Inc. 3,100 27
Anthracite Capital Inc. 3,800 27
o General Magic, Inc. 3,300 27
o Beverly Enterprises, Inc. 9,600 27
o Navigators Group, Inc. 3,000 27
o Quintel Communications, Inc. 8,800 27
o Storage Computer Corp. 3,300 27
o JFAX.COM, Inc. 16,800 27
o Silicon Laboratories Inc. 500 27
o Fairchild Corp. 5,441 27
o Castle & Cooke Inc. 1,366 26
Mills Corp. REIT 1,400 26
Cadmus Communications 2,700 26
o HealthAxis, Inc. 6,900 26
Synalloy Corp. 3,700 26
o Hector Communications Corp. 2,000 26
Waddell & Reed Financial,
Inc. 800 26
o T/R Systems, Inc. 4,100 26
o American Skiing Co. 9,500 26
o Wackenhut Corp. 2,008 26
o bebe stores, inc. 3,100 26
o Circle.com 7,030 26
o Lancer Corp. 5,902 26
o Miller Industries, Inc. 14,200 26
Merchants Bancshares, Inc. 1,300 26
Angelica Corp. 3,200 26
Tremont Corp. 1,142 26
o Webco Industries, Inc. 8,300 25
o TSR, Inc. 4,600 25
City Holding Co. 4,295 25
o Perry Ellis International
Corp. 3,150 25
Konover Property Trust, Inc.
REIT 5,300 25
MTS Systems Corp. 4,020 25
Circle International Group,
Inc. 1,000 25
o HMT Technology Corp. 16,400 25
InterWest Bancorp Inc. 1,786 25
o Docucorp International 6,661 25
o Champion Enterprises, Inc. 5,100 25
o Norstan, Inc. 6,200 25
o Omni Nutraceuticals Inc. 6,500 25
Vesta Insurance Group, Inc. 4,000 25
o The Good Guys, Inc. 6,800 25
o Hecla Mining Co. 21,900 25
o Winter Sports Inc. 2,425 25
Ampco-Pittsburgh Corp. 2,200 24
o INSO Corp. 4,700 24
o Consolidated Freightways
Corp. 6,000 24
Atlantic Tele-Network, Inc. 2,580 24
Westbanco Inc. 1,000 24
o Quokka Sports, Inc. 3,000 24
o Phoenix Technologies LTD. 1,470 24
o Veterinary Centers of America,
Inc. 1,740 24
o Ashford.com, Inc. 8,300 24
Holly Corp. 2,000 24
o Urocor, Inc. 5,000 24
o Huntco Inc. Class A 8,800 24
Patriot Bank Corp. 3,400 24
Roadway Express Inc. 1,000 23
o Consumer Portfolio Services,
Inc. 22,700 23
o Crescent Operating, Inc.
REIT 16,260 23
o Ocwen Financial Corp. 4,200 23
World Fuel Services Corp. 2,700 23
A.M. Castle & Co. 2,800 23
Equity Inns, Inc. REIT 3,800 23
o Somera Communications, Inc. 1,700 23
Lillian Vernon Corp. 2,200 23
o Goody's Family Clothing 4,200 23
o Innotrac Corp. 4,500 23
o Material Sciences Corp. 2,300 23
o Concentrex, Inc. 5,731 23
o Technisource, Inc. 5,900 23
o HA-LO Industries, Inc. 4,050 23
o MessageMedia Inc. 6,500 23
o Northwest Pipe Co. 1,900 23
State Auto Financial Corp. 1,900 23
o OneMain.com, Inc. 2,000 23
o QAD Inc. 6,000 23
o ReSourcePhoenix.com, Inc. 13,800 22
o Acclaim Entertainment Inc. 15,591 22
o US SEARCH.com Inc. 11,200 22
General Cable Corp. 2,750 22
o Personnel Group of America,
Inc. 7,600 22
o Stratos Lightwave, Inc. 800 22
<PAGE>
36
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
TransPro Inc. 4,400 $ 22
Bridge View Bancorp 1,638 22
o BE Avionics Inc. 3,200 22
o Wiser Oil Co. 7,000 22
o Deltek Systems, Inc. 3,700 22
Resource Bancshares Mortgage
Group, Inc. 5,200 22
CVB Financial Corp. 1,375 22
Omega Healthcare Investors,
Inc. REIT 4,800 22
o Careerbuilder, Inc. 6,500 22
o Workflow Management, Inc. 1,809 21
American Residential
Investment Trust, Inc. REIT 5,200 21
o Conrad Industries, Inc. 3,300 21
Humphrey Hospitality Trust,
Inc. REIT 2,700 21
Tenneco Automotive, Inc. 4,060 21
Bradley Real Estate Inc.
REIT 1,000 21
o Impreso.com, Inc. 5,300 21
o Entrade Inc. 3,000 21
o Cornerstone Internet
Solutions Co. 12,100 21
o Alysis Technologies Inc. 6,700 21
Capstead Mortgage Corp. 2,525 21
BankAtlantic Bancorp, Inc.
Class B 3,592 21
Santander BanCorp 1,650 21
o Microwave Systems Corp. 8,200 21
Investors Title Co. 2,000 21
o Waste Systems International,
Inc. 12,000 21
o Carmike Cinemas, Inc.
Class A 5,411 21
o autobytel.com inc. 3,400 21
First Mariner Bancorp, Inc. 3,800 21
Guilford Mills, Inc. 4,900 21
o ImproveNet, Inc. 8,300 21
LandAmerica Financial Group,
Inc. 900 21
Chiquita Brands International,
Inc. 5,200 20
Dimon Inc. 9,600 20
o Navigant Consulting, Inc. 4,800 20
o Gilman & Ciocia, Inc. 4,400 20
o RWD Technologies, Inc. 3,500 20
Tejon Ranch Co. 900 20
o OAO Technology Solutions,
Inc. 6,061 20
o Designs, Inc. 12,050 20
o Mobile Mini, Inc. 900 20
o Centura Software Corp. 3,600 20
Conoco Inc. Class A 900 20
Oxford Industries, Inc. 1,100 20
Blimpie International, Inc. 10,900 20
o U.S. Energy Corp. 7,900 20
o PICO Holdings, Inc. 1,402 20
Landmark Bancshare, Inc. 1,300 20
o Vestcom International, Inc. 5,500 20
o Cidco, Inc. 5,800 20
o Nextel Partners, Inc. 600 20
o Audible, Inc. 4,700 20
o Activision, Inc. 3,000 20
o Able Telcom Holding Corp. 9,400 19
o Rehabilicare, Inc. 6,880 19
Crown Crafts, Inc. 16,200 19
o Quaker City Bancorp, Inc. 1,250 19
o Health Systems Design Corp. 4,800 19
o Comdial Corp. 4,300 19
o INSpire Insurance Solutions,
Inc. 6,350 19
o Specialty Equipment Cos.,
Inc. 700 19
o Trump Hotels & Casino Resorts,
Inc. 6,700 19
o Synagro Technologies Inc. 5,100 19
o Paragon Technologies, Inc. 2,500 19
Titan International, Inc. 3,500 19
o Metromedia International
Group, Inc. 3,900 19
o Syms Corp. 4,700 19
LTV Corp. 6,400 18
o Creative Host Services, Inc. 1,500 18
General Binding Corp. 2,728 18
o Epicor Software Corp. 7,274 18
UniFirst Corp. 2,300 18
o iTurf Inc. 6,300 18
o Infogrames, Inc. 2,220 18
o Capstone Turbine Corp. 400 18
o Rainmaker Systems, Inc. 6,700 18
o Quality Systems, Inc. 2,400 18
o Eco Soil Systems, Inc. 9,900 18
o NPC International Class A 2,000 18
Home Bancorp 1,000 18
o DA Consulting Group, Inc. 8,800 18
o Catalina Lighting, Inc. 3,700 18
o Hologic, Inc. 2,600 18
o Read Rite Corp. 7,900 18
Tandycrafts, Inc. 6,200 17
Great Southern Bancorp, Inc. 1,000 17
J.M. Smucker Co. Class A 900 17
o Pets.com 7,700 17
o Ezenia!, Inc. 3,900 17
o Regent Communications, Inc. 2,000 17
o Schuler Homes Inc. 2,800 17
o Aksys, Ltd. 2,000 17
o Marvell Technology Group Ltd. 300 17
o Accelerated Networks, Inc. 400 17
o National Dentex Corp. 1,000 17
Oregon Trail Financial Corp. 1,500 17
Amcast Industrial Corp. 1,904 17
Stephan Co. 3,700 17
o GP Strategies Corp. 3,500 17
o RailAmerica, Inc. 2,596 17
o Advanced Magnetics, Inc. 2,700 17
York Financial Corp. 1,344 16
o Billing Concepts Corp. 3,700 16
o Profile Technologies, Inc. 6,800 16
o Century Business Services,
Inc. 8,400 16
o ISCO, Inc. 3,800 16
o Forcenergy Inc. 800 16
o Marvel Enterprises Inc. 2,600 16
o Toymax International, Inc. 6,200 16
o Navigant International, Inc. 1,644 16
Nash-Finch Co. 1,900 16
o Harken Energy Corp. 24,900 16
o Digital Generation Systems 2,300 16
o Fresh America Corp. 7,200 15
o Fresh Choice, Inc. 5,100 15
o Mesaba Holdings, Inc. 1,600 15
o iPrint.com, Inc. 3,100 15
o Precision Optics Corp. 900 15
<PAGE>
37
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Noodle Kidoodle Inc. 5,000 $ 15
o Lason Holdings, Inc. 6,000 15
o Frontline Communications
Corp. 9,600 15
o Travelocity.com Inc. 900 15
Greater Community Bancorp 1,785 15
Horizon Financial Corp. 1,635 15
CKE Restaurants Inc. 4,851 15
o Marketing Specialists Corp. 8,300 15
o Drug Emporium, Inc. 10,528 14
Transcontinental Realty
Investors, Inc. REIT 1,185 14
Three Rivers Bancorp, Inc. 2,200 14
o National Western Life
Insurance Co. Class A 200 14
EZCORP, Inc. 8,200 14
Urstadt Biddle Properties
REIT 2,100 14
o Tickets.com, Inc. 4,200 14
o Pure Resources, Inc. 800 14
Hudson River Bancorp. Inc. 1,200 14
Winston Hotels, Inc. REIT 1,900 14
o Staff Leasing,Inc. 4,000 14
o Applied Microsystems Corp. 1,900 14
o Selectica, Inc. 200 14
o UniView Technologies Corp. 8,000 14
o Health Management Systems,
Inc. 4,453 14
o Redhook Ale Brewery, Inc. 8,000 14
o Interleukin Genetics, Inc. 3,000 14
o Labtec, Inc. 1,400 14
o Lifeway Foods, Inc. 2,000 14
o Niku Corp. 400 14
o Handspring, Inc. 500 14
o Rainforest Cafe, Inc. 4,525 13
Herbalife International
Class A 1,533 13
o Alliance Gaming Corp. 5,500 13
o International Assets Holding
Corp. 2,395 13
o Paging Network, Inc. 18,100 13
o Badger Paper Mills, Inc. 3,200 13
Burlington Industries, Inc. 7,703 13
Birmingham Steel Corp. 3,350 13
o HomeBase, Inc. 8,300 13
o LCA-Vision, Inc. 5,300 13
Foothill Independent
Bancorp. 1,391 13
Superior Telecom Inc. 1,288 13
U.S.B. Holding Co., Inc. 905 13
o Polyvision Corp. 4,800 13
o United Leisure Corp. 1,800 13
o Carriage Services, Inc. 3,700 12
o Colonial Downs Holdings,
Inc. 13,300 12
o Huttig Building Products,
Inc. 3,022 12
o PRT Group Inc. 11,000 12
Primex Technologies, Inc. 560 12
o Phoenix International Ltd.,
Inc. 4,100 12
o Central Financial Acceptance
Corp. 3,000 12
Urstadt Biddle Properties
REIT Class A 1,700 12
o Mossimo, Inc. 15,400 12
o Network-1 Security Solutions,
Inc. 2,000 12
o Navarre Corp. 9,100 12
o Hotel Reservations Network,
Inc. 400 12
o Black Hawk Gaming &
Development Co., Inc. 1,900 12
Bell Industries, Inc. 4,500 12
o Proxymed Pharmacy, Inc. 7,000 12
o Planet Polymer Technology,
Inc. 5,200 12
o Beyond.com Corp. 8,700 12
o General Chemical Group,
Inc. 17,000 12
Greater Delaware Valley
Savings Bank 1,500 12
o I-Link Inc. Series N Pfd. 6 12
o Lechters Corp. 9,000 12
o Seven Seas Petroleum Inc. 9,700 12
Phillips-Van Heusen Corp. 1,200 11
o PlanetRx.com, Inc. 7,600 11
Imperial Sugar Co. 8,664 11
o Vysis, Inc. 1,000 11
o Scherer Health 3,200 11
Landry's Seafood Restaurants,
Inc. 1,300 11
Virco Manufacturing Corp. 847 11
o ZapMe! Corp. 4,000 11
Prime Retail, Inc. REIT 8,800 11
o Samsonite Corp. 2,442 11
o Respironics, Inc. 600 11
Heilig-Meyers Co. 9,000 11
o CD Warehouse, Inc. 6,500 11
o Aqua Care Systems, Inc. 6,700 10
o Lakes Gaming, Inc. 1,162 10
o Blue Wave Systems, Inc. 1,000 10
o Women.com Networks, Inc. 5,000 10
o InsWeb Corp. 4,850 10
o Lanier Worldwide, Inc. 10,200 10
Meridian Diagnostics, Inc. 1,300 10
o Omega Worldwide, Inc. 2,795 10
Public Storage, Inc. REIT -
Depositary Shares A 488 10
o Kevco, Inc. 7,200 10
o Vlasic Foods International,
Inc. 6,226 10
Herbalife International
Class B 1,267 10
o SkillSoft Corp. 700 10
o Universal Access, Inc. 400 10
Reliance Group Holdings 13,000 10
Clarion Commercial Holdings,
Inc. 1,800 10
o Echo Bay Mines Ltd. 9,400 9
o ZeroPlus.com, Inc. 3,000 9
o Omtool, Ltd. 6,000 9
o Renaissance Worldwide, Inc. 6,000 9
o Innovative Gaming Corp. 10,000 9
o Launch Media, Inc. 1,000 9
Oakwood Homes Corp. 5,100 9
o Gulf West Banks, Inc. 1,155 9
o IGI, Inc. 6,710 9
o Jupiter Communications, Inc. 400 9
o Encore Wire Corp. 1,700 9
o Anthony & Sylvan Pools Corp. 1,170 9
o Charles River Laboratories,
Inc. 400 9
o Maxicare Health Plans Inc. 10,100 9
o CardioDynamics International
Corp. 1,400 9
o Electronic Retailing Systems
International, Inc. 9,900 9
o Pegasystems Inc. 1,700 9
o York Research Corp. 5,900 8
o Capital Title Group, Inc. 6,000 8
o PowerCerv Corp. 5,600 8
<PAGE>
38
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND SHARES (000)
----------------------------------------------------
o Aztec Technology Partners,
Inc. 3,789 $ 8
o Internet Pictures Corp. 547 8
o Darling International, Inc. 6,600 8
o Netivation.com, Inc. 6,000 8
o Manufacturers' Services
Limited 400 8
o Systemax Inc. 2,100 8
Met-Pro Corp. 900 8
o Global Payment Tech Inc. 1,200 8
o AmeriPath, Inc. 900 8
o Avenue A, Inc. 900 8
o PictureTel Corp. 3,000 8
Cavalier Homes, Inc. 4,840 8
o Jos. A. Bank Clothiers, Inc. 2,000 8
Carolina Southern Bank 630 8
Cole National Corp. Class A 1,100 8
o Scheid Vineyards, Inc.
Class A 2,300 8
o Prize Energy Corp. 285 8
o LMI Aerospace, Inc. 3,000 8
o Sonic Innovations, Inc. 400 7
o TransMontaigne Inc. 1,200 7
o Sola International Inc. 1,500 7
o Virage, Inc. 400 7
o Trans World Airlines 3,300 7
o Alterra Healthcare Corp. 3,600 7
Bedford Bancshares, Inc. 800 7
o Cardima, Inc. 6,000 7
o Egreetings Network, Inc. 5,100 7
o dELiA*s Inc. 2,900 7
o Professional Detailing, Inc. 200 7
o Gentiva Health Services, Inc. 831 7
Avado Brands, Inc. 4,500 7
o Dispatch Management Services
Corp. 5,100 7
o William Lyon Homes, Inc. 1,000 7
o Merisel, Inc. 8,800 7
o Emergent Information
Technologies, Inc. 3,100 7
o E-Stamp Corp. 3,500 7
o Cannondale Corp. 1,000 7
o UniCapital Corp. 12,800 6
o Terra Industries, Inc. 5,900 6
o LINC Capital, Inc. 9,100 6
o Chesapeake Biological
Laboratories, Inc. 1,300 6
o Hauser, Inc. 3,500 6
o Crown Media Holdings, Inc. 400 6
o 360networks Inc. 400 6
o International Microcomputer
Software, Inc. 7,500 6
o Rocky Mountain Chocolate
Factory, Inc. 1,243 6
Unity Bancorp, Inc. 1,500 6
o Hanover Direct, Inc. 3,700 6
o Collagenex Pharmaceuticals,
Inc. 600 6
o Komag, Inc. 3,200 6
Farrel Corp. 4,000 6
o American Medical Security
Group, Inc. 800 6
o Magellan Health Services,
Inc. 4,300 5
o Cytrx Corp. 5,000 5
o eCollege.com Inc. 1,200 5
o Gallery of History, Inc. 1,200 5
o Royal Precision Inc. 2,000 5
o Capital Corp. of the West 500 5
o SkyePharma PLC ADR 374 5
o Value America, Inc. 4,600 5
o Fidelity Holdings, Inc. 4,000 5
o Film Roman, Inc. 5,000 5
o Elan Corp. Contingent Value
Rights 9,900 5
Sauer-Danfoss, Inc. 500 5
o Excel Legacy Corp. 1,800 5
o Heartland Technology, Inc 5,500 5
o Comfort Systems USA, Inc. 1,200 5
o Genesis Health Ventures
Inc. 26,500 5
o SIGA Technologies, Inc. 1,000 5
o Leapnet, Inc. 1,500 5
o AdStar.com, Inc. 1,000 5
o Adams Golf, Inc. 3,300 5
o Click Commerce, Inc. 200 5
o The Gymboree Corp. 1,500 5
o Capital Pacific Holdings,
Inc. 1,700 4
o Viisage Technology, Inc. 1,500 4
o CRIIMI MAE, Inc. REIT 3,200 4
Jefferson Savings Bancorp,
Inc. 400 4
o I.D. Systems, Inc. 1,000 4
o ATEC Group, Inc. 2,000 4
Autoweb.com, Inc. 2,000 4
o Alanco Technologies, Inc. 1,986 4
o Laser Mortgage Management,
Inc. 1,100 4
o The TesseracT Group, Inc. 10,600 4
o United PanAm Financial Corp. 4,000 4
o Budget Group, Inc. 1,000 4
o CD&L, INC. 2,800 4
o Total Containment 2,100 4
o Aames Financial Corp. 4,320 4
o All American Semiconductor,
Inc. 200 4
o Geerlings & Wade Inc. 1,200 4
o GST Telecommunications Inc. 3,700 4
o Onvia.com, Inc. 400 3
o Technical Chemicals and
Products, Inc. 4,200 3
o Astea International, Inc. 1,000 3
o Davel Communications, Inc. 9,657 3
o Mobius Management Systems,
Inc. 700 3
o Continucare Corp. 4,600 3
Transworld Healthcare Inc. 1,574 3
Oregon Steel Mills, Inc. 1,600 3
o Sunterra Corp. 10,400 3
o SeraCare, Inc. 1,200 3
o PhyCor, Inc. 4,750 3
o Agritope, Inc. 460 3
o Alyn Corp. 7,700 3
o Heartport Inc. 1,000 3
o Radio Unica Corp. 400 3
o GSE Systems, Inc. 600 3
o Natural Wonders 2,000 3
o Styling Technology Corp. 4,400 3
o IEC Electronics Corp. 1,682 3
o Alteon, Inc. 1,200 3
o Sunbeam Corp. Warrants Exp.
8/24/2003 3,683 3
o Ascent Pediatrics, Inc. 2,200 2
<PAGE>
39
----------------------------------------------------
MARKET
VALUE*
SHARES (000)
----------------------------------------------------
o Insilco Holding Corp. 87 $ 2
Frontier Insurance Group,
Inc. 3,080 2
o Fogdog, Inc. 1,800 2
o Lightspan Inc. 400 2
o Interstate Hotels Corp. REIT 720 2
Pittsburgh & West Virginia
Railroad 300 2
o ValueClick, Inc. 200 2
o Amresco, Inc. 3,600 2
o VisionAmerica Inc. 4,000 2
o Checkers Drive-In Restaurants,
Inc. 450 2
o ARTISTdirect, Inc. 600 2
o Juno Lighting, Inc. 293 2
Allied Products Corp. 1,000 2
o Base Ten Systems, Inc.
Class A 1,600 2
o Audio Visual Services Corp. 2,200 2
o NCS HealthCare, Inc. 1,900 1
o Regent Assisted Living, Inc. 1,500 1
o Merry Land Properties, Inc.
REIT 242 1
o AMF Bowling, Inc. 6,468 1
o The Knot, Inc. 300 1
o Blount International, Inc. 137 1
o Integra, Inc. 1,600 1
o Computer Learning Centers,
Inc. 1,200 1
o U.S. Office Products Co. 2,761 1
o ProcureNet, Inc. 6,800 1
o Dataware Technologies, Inc. 200 1
o Response Oncology, Inc. 1,000 1
o Horizon Group Properties,
Inc. REIT 270 1
o Stage Stores, Inc. 4,700 1
o Safety-Kleen Corp. 9,350 1
o Inacom Corp. 10,632 1
o Centennial Technologies,
Inc. 70 1
o CRIIMI MAE, Inc. 12% Series
F Cvt. Pfd. 96 1
----------------------------------------------------
TOTAL COMMON STOCKS
(COST $1,337,395) 2,084,295
----------------------------------------------------
FACE
AMOUNT
(000)
----------------------------------------------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (24.0%)
----------------------------------------------------
U.S. GOVERNMENT SECURITIES (8.3%)
U.S. Treasury Bonds
6.625%, 2/15/2027 3,110 3,297
6.75%, 8/15/2026 24,910 26,764
7.50%, 11/15/2024 4,250 4,942
7.625%, 11/15/2022 30,425 35,529
8.00%, 11/15/2021 5,270 6,358
8.125%, 8/15/2019 18,705 22,569
8.125%, 8/15/2021 8,575 10,454
8.50%, 2/15/2020 2,230 2,791
8.75%, 5/15/2017 2,415 3,037
8.75%, 5/15/2020 6,650 8,522
8.75%, 8/15/2020 1,600 2,050
8.875%, 8/15/2017 1,050 1,336
9.25%, 2/15/2016 50 65
9.375%, 2/15/2006 6,075 6,953
10.375%, 11/15/2009 24,020 27,507
10.375%, 11/15/2012 21,030 25,849
10.625%, 8/15/2015 9,000 12,792
10.75%, 8/15/2005 12,750 15,205
11.125%, 8/15/2003 100 113
12.75%, 11/15/2010 10,375 13,276
14.00%, 11/15/2011 2,465 3,424
U.S. Treasury Notes
5.75%, 4/30/2003 450 443
5.75%, 8/15/2003 5,125 5,041
5.875%, 10/31/2001 2,800 2,778
6.25%, 10/31/2001 1,000 997
6.625%, 4/30/2002 10,325 10,360
6.625%, 5/15/2007 5,725 5,849
7.25%, 5/15/2004 8,850 9,128
7.50%, 11/15/2001 13,450 13,625
7.50%, 5/15/2002 12,125 12,351
-------------
293,405
-------------
AGENCY BONDS AND NOTES (1.8%)
Federal Farm Credit Bank
4.80%, 11/6/2003 3,500 3,276
Federal Home Loan Bank
5.575%, 9/2/2003 4,800 4,611
5.675%, 8/18/2003 5,000 4,819
5.865%, 9/2/2008 2,000 1,844
5.88%, 11/25/2008 1,200 1,101
6.50%, 8/15/2007 3,500 3,363
Federal Home Loan Mortgage Corp.
5.75%, 3/15/2009 14,000 12,735
6.45%, 4/29/2009 2,000 1,854
7.09%, 6/1/2005 400 395
Federal National Mortgage Assn.
5.64%, 12/10/2008 3,500 3,167
5.75%, 4/15/2003 3,845 3,724
5.90%, 7/9/2003 3,000 2,912
5.91%, 8/25/2003 1,300 1,262
5.96%, 4/23/2003 600 584
5.97%, 7/3/2003 2,000 1,945
6.00%, 1/14/2005 150 144
6.09%, 2/20/2009 4,000 3,687
6.18%, 2/19/2009 1,000 928
6.40%, 5/14/2009 5,700 5,282
6.56%, 4/23/2008 2,750 2,617
Tennessee Valley Auth.
5.375%, 11/13/2008 2,400 2,131
-------------
62,381
-------------
MORTGAGE OBLIGATIONS (13.9%)
Federal Home Loan Mortgage Corp.
(3) 5.00%, 4/1/2030-7/1/2024 1,714 1,768
(3) 5.50%, 11/1/2000-12/1/2028 4,109 3,792
(3) 6.00%, 7/1/2000-8/1/2029 53,891 50,282
(3) 6.50%, 8/1/2001-8/1/2029 85,925 81,613
(3) 7.00%, 6/1/2003-10/1/2029 49,935 48,477
(3) 7.50%, 9/1/2003-5/1/2028 21,242 21,075
(3) 8.00%, 11/1/2001-7/1/2029 10,394 10,473
(3) 8.50%, 11/1/2006-8/1/2027 1,418 1,449
(3) 9.00%, 1/1/2005-4/1/2030 1,336 1,383
(3) 9.50%, 8/1/2003-4/1/2025 339 349
(3) 10.00%, 3/1/2017-4/1/2025 122 129
Federal National Mortgage Assn.
(3) 5.50%, 1/1/2001-12/1/2014 2,990 2,771
(3) 6.00%, 8/1/2000-9/1/2029 24,690 22,800
(3) 6.50%, 11/1/2000-11/1/2029 41,347 39,143
(3) 7.00%, 1/1/2003-2/1/2030 39,830 38,561
(3) 7.50%, 7/1/2001-5/1/2030 29,460 29,062
(3) 8.00%, 7/1/2007-6/1/2030 9,492 9,544
(3) 8.50%, 10/1/2004-6/1/2030 4,603 4,692
<PAGE>
40
----------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
----------------------------------------------------
(3) 9.00%, 9/1/2004-8/1/2026 $ 476 $ 491
(3) 9.50%, 4/1/2005-2/1/2025 233 243
(3) 10.00%, 7/1/2005-8/1/2021 73 77
(3) 10.50%, 8/1/2020 16 17
Government National Mortgage Assn.
(3) 6.00%, 3/15/2009-8/15/2029 9,760 9,028
(3) 6.50%, 9/15/2008-8/15/2029 33,719 32,019
(3) 7.00%, 5/15/2008-10/15/2029 35,876 34,990
(3) 7.25%, 10/15/2029 991 985
(3) 7.50%, 5/15/2008-3/15/2030 23,228 23,125
(3) 8.00%, 4/15/2002-3/1/2030 16,771 16,999
(3) 8.50%, 7/15/2001-11/15/2029 3,792 3,848
(3) 9.00%, 2/15/2004-2/15/2030 3,781 3,910
(3) 9.50%, 9/15/2018-12/15/2025 332 347
(3) 10.00%, 10/15/2017-2/15/2026 131 140
(3) 10.50%, 9/15/2019 10 11
(3) 11.00%, 7/15/2013-12/15/2015 24 26
(3) 12.00%, 2/15/2014 8 9
-------------
493,629
-------------
----------------------------------------------------
TOTAL U.S. GOVERNMENT and AGENCY OBLIGATIONS
(COST $860,611) 849,415
----------------------------------------------------
CORPORATE BONDS (13.4%)
----------------------------------------------------
ASSET-BACKED (1.1%)
ARG Funding Corp.
(3) 5.88%, 3/5/2002 2,800 2,750
Advanta Mortgage Loan Trust
(3) 6.21%, 11/25/2016 2,600 2,555
American Express Credit Card
Master Trust
(3) 6.40%, 9/15/2002 3,000 2,962
(3) 6.80%, 12/15/2003 2,500 2,501
California Infrastructure & Econ.
Dev. Bank SP Trust PG&E
(3) 6.42%, 3/25/2005 900 872
CIT RV Trust
(3) 5.78%, 7/15/2008 1,500 1,489
(3) 5.96%, 4/15/2011 1,325 1,306
Citibank Credit Card Master Trust
(3) 5.875%, 3/10/2011 900 802
Citicorp Lease Pass-Through Trust
(3) 7.22%, 6/15/2005 600 589
(3) 8.04%, 12/15/2019 1,700 1,692
Discover Card Master Trust
(3) 5.65%, 11/15/2004 3,600 3,506
First Bank Corp. Card Master Trust
(3) 6.40%, 2/15/2002 1,000 989
Honda Auto Lease Trust
(3) 6.45%, 2/6/2001 2,000 1,986
(3) 6.65%, 7/15/2005 2,000 1,977
MMCA Automobile Trust
(3) 6.80%, 8/15/2003 2,600 2,587
Mach One CDO Series
(3) 6.70%, 3/15/2030 2,400 2,228
PECO Energy Transition Trust
(3) 5.63%, 6/29/2002 4,800 4,667
(3) 6.05%, 7/4/2006 1,100 1,019
Sears Credit Account Master Trust
(3) 6.05%, 2/15/2004 500 488
(3) 6.35%, 2/15/2007 2,500 2,467
-------------
39,432
-------------
FINANCE (5.4%)
ABN-AMRO Bank
7.125%, 10/15/2093 1,000 848
Allstate Corp.
7.20%, 12/1/2009 3,000 2,849
American General Capital II
8.50%, 7/1/2030 1,300 1,302
Associates Corp.
6.50%, 10/15/2002 1,125 1,101
7.50%, 4/15/2002 350 350
Bank of New York Capital I
7.97%, 12/31/2026 1,000 903
Banc One Corp.
6.25%, 10/1/2001 2,500 2,468
BankAmerica Corp.
7.50%, 10/15/2002 1,600 1,604
8.07%, 12/31/2026 500 447
8.125%, 2/1/2002 1,125 1,137
9.375%, 9/15/2009 2,000 2,181
10.00%, 2/1/2003 200 211
Bear Stearns Co., Inc.
6.625%, 1/15/2004 300 288
6.70%, 8/1/2003 1,300 1,261
BT Capital Trust B
7.90%, 1/15/2027 500 430
CIGNA Corp.
7.875%, 5/15/2027 500 448
CIT Group Inc.
7.375%, 3/15/2003 3,800 3,750
CNA Financial Corp.
6.50%, 4/15/2005 2,300 2,071
Camden Property Trust
7.00%, 11/15/2006 750 693
Case Credit Corp.
6.15%, 3/1/2002 4,250 4,102
Chase Capital I
7.67%, 12/1/2026 1,600 1,397
The Chase Manhattan Corp.
6.375%, 4/1/2008 1,870 1,713
8.50%, 2/15/2002 1,856 1,886
Chrysler Financial Corp.
5.69%, 11/15/2001 3,000 2,935
Citicorp
7.625%, 5/1/2005 700 706
8.625%, 12/1/2002 2,500 2,565
9.50%, 2/1/2002 1,000 1,029
Citicorp Capital II
8.015%, 2/15/2027 1,050 953
Comdisco Inc.
6.00%, 1/30/2002 2,650 2,541
7.25%, 9/20/2001 2,250 2,211
Commercial Credit Corp.
5.90%, 9/1/2003 450 431
Conseco Inc.
9.00%, 10/15/2006 2,925 1,968
CoreStates Capital Corp.
6.625%, 3/15/2005 700 664
Donaldson, Lufkin & Jenrette, Inc.
6.00%, 12/1/2001 6,750 6,586
6.875%, 11/1/2005 2,000 1,903
8.00%, 3/1/2005 2,500 2,506
<PAGE>
41
----------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
----------------------------------------------------
ERAC USA Finance Co.
7.95%, 12/15/2009 $ 1,400 $ 1,357
Equity Residential Properties
6.55%, 11/15/2001 1,350 1,323
Equitable Companies Inc.
7.00%, 4/1/2028 350 306
Finova Capital Corp.
6.25%, 11/1/2002 3,000 2,595
7.25%, 11/8/2004 5,000 4,375
First Chicago Corp.
11.25%, 2/20/2001 400 409
First Union Corp.
8.125%, 6/24/2002 500 504
Fleet Capital Trust II
7.92%, 12/11/2026 500 440
Fleet Financial Group, Inc.
6.875%, 3/1/2003 400 393
7.125%, 4/15/2006 500 482
Ford Motor Credit Co.
5.75%, 2/23/2004 5,000 4,711
6.375%, 2/1/2029 1,250 1,023
7.375%, 10/28/2009 1,000 967
8.20%, 2/15/2002 600 606
General Electric Capital Corp.
6.90%, 9/15/2015 1,000 946
7.375%, 1/19/2010 3,500 3,528
General Motors Acceptance Corp.
6.625%, 1/10/2002 2,500 2,471
6.625%, 10/1/2002 2,850 2,805
7.125%, 5/1/2001 2,000 2,000
7.75%, 1/19/2010 4,200 4,170
9.00%, 10/15/2002 350 361
9.625%, 12/15/2001 600 620
HRPT Properties Trust
6.75%, 12/18/2002 1,750 1,660
John Hancock Global Funding II Notes
7.90%, 7/2/2010 4,000 4,023
Household Finance Corp.
6.40%, 6/17/2008 375 339
7.625%, 1/15/2003 1,500 1,493
7.65%, 5/15/2007 350 346
Inter-American Dev. Bank
7.375%, 1/15/2010 6,200 6,344
International Lease Finance
6.375%, 8/1/2001 1,480 1,467
6.875%, 5/1/2001 1,145 1,142
JDN Realty Corp.
6.80%, 8/1/2004 840 674
Lehman Brothers Holdings Inc.
6.25%, 4/1/2003 2,000 1,917
6.625%, 2/5/2006 1,765 1,638
7.75%, 1/15/2005 4,500 4,441
Liberty Financial Co.
6.75%, 11/15/2008 2,000 1,769
Mack-Cali Realty
7.00%, 3/15/2004 2,000 1,906
Mellon Financial Co.
5.75%, 11/15/2003 600 568
Mellon Capital II
7.995%, 1/15/2027 1,250 1,126
Merrill Lynch & Co., Inc.
5.71%, 1/15/2002 1,600 1,562
5.87%, 11/15/2001 1,650 1,620
5.88%, 1/15/2004 1,400 1,334
6.00%, 2/17/2009 700 619
6.07%, 10/15/2001 3,000 2,955
8.30%, 11/1/2002 375 382
MONY Group Inc.
8.35%, 3/15/2010 3,600 3,555
Morgan Stanley
6.375%, 8/1/2002 1,000 981
7.125%, 1/15/2003 7,800 7,744
NB Capital Trust IV
8.25%, 4/15/2027 1,000 912
NCNB Corp.
9.50%, 6/1/2004 275 291
National Rural Utilities
6.42%, 5/1/2008 700 648
NationsBank Corp.
6.50%, 3/15/2006 300 283
7.00%, 9/15/2001 1,500 1,494
PaineWebber Group, Inc.
6.375%, 5/15/2004 1,250 1,178
7.625%, 12/1/2009 1,600 1,508
Popular Inc.
7.375%, 9/15/2001 3,400 3,381
Private Export Funding Corp.
7.20%, 11/15/2010 10,500 10,527
Reckson Operating Partnership LP
7.75%, 3/15/2009 1,300 1,212
Republic New York Corp.
7.75%, 5/15/2002 500 501
7.75%, 5/15/2009 300 292
Salomon, Inc.
6.65%, 7/15/2001 1,200 1,193
Salomon Smith Barney Holdings, Inc.
6.875%, 6/15/2005 200 194
Security Capital Pacific Trust
8.05%, 4/1/2017 350 313
Simon DeBartolo Group, Inc.
6.75%, 7/15/2004 750 703
Summit Properties Inc.
6.95%, 8/15/2004 1,800 1,676
SunTrust Banks, Inc.
7.375%, 7/1/2006 2,100 2,061
Susa Partnership
7.50%, 12/1/2027 400 327
Toyota Motor Credit Corp.
5.625%, 11/13/2003 3,750 3,590
Travelers Property Casualty Corp.
7.75%, 4/15/2026 450 426
US Bancorp
7.00%, 3/15/2003 2,450 2,412
U S WEST Capital Funding, Inc.
6.875%, 8/15/2001 3,000 2,979
Wells Fargo & Co.
6.50%, 9/3/2002 3,500 3,440
6.875%, 4/1/2006 600 578
Wells Fargo Capital I
7.96%, 12/15/2026 600 541
-------------
191,095
-------------
<PAGE>
42
----------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
----------------------------------------------------
INDUSTRIAL (4.9%)
American Airlines
(Equipment Trust Certificates)
6.855%, 4/15/2009 $ 1,123 $ 1,088
7.024%, 10/15/2009 600 561
Anadarko Petroleum Corp.
7.20%, 3/15/2029 1,500 1,374
Anheuser-Busch Cos., Inc.
7.10%, 6/15/2007 1,100 1,079
7.125%, 7/1/2017 400 369
7.375%, 7/1/2023 125 116
Apache Corp.
7.625%, 7/1/2019 1,000 955
Applied Materials, Inc.
8.00%, 9/1/2004 125 127
Archer-Daniels-Midland Co.
8.875%, 4/15/2011 295 318
Auburn Hills
12.00%, 5/1/2020 175 246
Baker Hughes Inc.
6.875%, 1/15/2029 1,350 1,186
C.R. Bard, Inc.
6.70%, 12/1/2026 1,100 1,040
Bayer Corp.
6.65%, 2/15/2028 850 740
Black & Decker Corp.
7.50%, 4/1/2003 1,700 1,691
The Boeing Co.
6.625%, 2/15/2038 900 759
Burlington Northern Santa Fe Corp.
6.375%, 12/15/2005 150 142
6.75%, 3/15/2029 750 637
6.875%, 2/15/2016 500 450
7.00%, 12/15/2025 100 88
7.25%, 8/1/2097 300 257
CSX Corp.
7.05%, 5/1/2002 1,000 986
8.10%, 9/15/2022 300 288
8.625%, 5/15/2022 1,100 1,114
CVS Corp.
5.50%, 2/15/2004 1,250 1,171
Caterpillar Co.
7.375%, 3/1/2097 750 659
Centerpoint Properties
7.90%, 1/15/2003 2,500 2,483
Chrysler Corp.
7.45%, 2/1/2097 300 275
Clear Channel Communications
7.875%, 6/15/2005 1,000 1,004
Coastal Corp.
6.50%, 5/15/2006 500 471
Comcast Cablevision
8.875%, 5/1/2017 850 910
Conoco Inc.
5.90%, 4/15/2004 3,500 3,329
Conrail Corp.
9.75%, 6/15/2020 120 133
Continental Airlines, Inc.
(Equipment Trust Certificates)
6.648%, 3/15/2019 798 724
Continental Airlines, Inc.
Pass-Through Trust
(3) 6.331%, 4/25/2001 900 875
(3) 6.41%, 8/8/2004 797 742
Cyprus Minerals
6.625%, 10/15/2005 600 552
Daimler-Chrysler North
America Holding Corp.
6.90%, 9/1/2004 3,000 2,939
7.20%, 9/1/2009 1,000 963
7.40%, 1/20/2005 1,500 1,493
Dayton Hudson Corp.
6.65%, 8/1/2028 500 424
6.75%, 1/1/2028 1,000 859
Deere & Co.
8.50%, 1/9/2022 100 104
Delta Air Lines, Inc.
8.30%, 12/15/2029 2,000 1,755
Delta Air Lines, Inc.
(Equipment Trust Certificates)
(3) 8.54%, 1/2/2007 337 339
Dillard's Inc.
5.79%, 11/15/2001 2,000 1,908
The Walt Disney Co.
7.55%, 7/15/2093 850 794
Dow Chemical Co.
7.375%, 11/1/2029 2,000 1,943
E.I. du Pont de Nemours & Co.
6.875%, 10/15/2009 900 873
Eastman Chemical Co.
6.375%, 1/15/2004 300 286
7.25%, 1/15/2024 450 395
Enterprise Products
8.25%, 3/15/2005 8,300 8,305
Federated Department Stores, Inc.
7.45%, 7/15/2017 975 893
8.50%, 6/15/2003 2,000 2,036
Ford Capital BV
9.50%, 6/1/2010 100 111
Georgia-Pacific Corp.
7.75%, 11/15/2029 2,000 1,817
Harrahs Operating Co., Inc.
7.50%, 1/15/2009 1,500 1,384
Imperial Tobacco
7.125%, 4/1/2009 4,000 3,564
International Business
Machines Corp.
7.125%, 12/1/2096 1,125 1,029
International Paper Co.
7.875%, 8/1/2006 100 99
Kroger Co.
7.625%, 9/15/2006 1,450 1,413
7.65%, 4/15/2007 570 556
8.00%, 9/15/2029 425 404
8.05%, 2/1/2010 2,000 1,986
8.15%, 7/15/2006 500 500
Lafarge Corp.
6.375%, 7/15/2005 1,750 1,621
Lockheed Martin Corp.
6.50%, 4/15/2003 1,000 966
6.85%, 5/15/2001 1,500 1,490
7.70%, 6/15/2008 1,300 1,274
<PAGE>
43
----------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
----------------------------------------------------
Lucent Technologies, Inc.
6.50%, 1/15/2028 $ 500 $ 444
May Department Stores Co.
9.75%, 2/15/2021 120 135
9.875%, 12/1/2002 225 237
McDonald's Corp.
6.75%, 2/15/2003 300 297
Mobil Corp.
7.625%, 2/23/2033 175 166
Monsanto Co.
5.625%, 12/1/2001 2,500 2,438
6.00%, 12/1/2005 1,000 927
News America Holdings
7.75%, 1/20/2024 200 182
8.50%, 2/15/2005 700 716
9.25%, 2/1/2013 1,000 1,067
Noble Drilling Corp.
7.50%, 3/15/2019 2,000 1,896
Norfolk Southern Corp.
6.875%, 5/1/2001 2,250 2,240
7.40%, 9/15/2006 535 522
7.70%, 5/15/2017 100 96
7.80%, 5/15/2027 300 287
7.90%, 5/15/2097 100 92
8.375%, 2/15/2005 1,800 1,850
8.625%, 5/15/2010 900 939
Northrop Grumman Corp.
7.00%, 3/1/2006 500 476
9.375%, 10/15/2024 650 656
Occidental Petroleum Corp.
8.50%, 11/9/2001 1,200 1,211
J.C. Penney & Co., Inc.
6.125%, 11/15/2003 130 118
Petro-Canada
8.60%, 10/15/2001 2,000 2,021
Philip Morris Cos., Inc.
7.00%, 7/15/2005 500 473
8.25%, 10/15/2003 450 450
Phillips Petroleum Co.
8.50%, 5/25/2005 3,050 3,153
8.75%, 5/25/2010 3,000 3,162
9.00%, 6/1/2001 1,000 1,014
Praxair, Inc.
6.75%, 3/1/2003 2,250 2,203
6.90%, 11/1/2006 350 334
Raytheon Co.
5.70%, 11/1/2003 1,100 1,037
6.45%, 8/15/2002 3,500 3,416
7.00%, 11/1/2028 300 257
7.90%, 3/1/2003 3,000 3,008
Republic Service
7.125%, 5/15/2009 2,500 2,242
Rohm & Haas Co.
6.95%, 7/15/2004 600 591
7.40%, 7/15/2009 200 199
7.85%, 7/15/2029 1,025 1,037
Safeway Inc.
5.875%, 11/15/2001 800 784
6.85%, 9/15/2004 1,500 1,457
Sears, Roebuck & Co.
Acceptance Corp.
6.125%, 1/15/2006 350 323
6.25%, 1/15/2004 650 620
6.75%, 9/15/2005 400 381
Sprint Capital Corp.
6.50%, 11/15/2001 6,500 6,423
TCI Communications Inc.
6.375%, 5/1/2003 2,675 2,610
7.25%, 8/1/2005 475 467
7.875%, 8/1/2013 500 498
8.25%, 1/15/2003 2,000 2,039
Texaco Capital Corp.
7.50%, 3/1/2043 150 139
8.875%, 9/1/2021 100 114
Texas Instruments Inc.
6.125%, 2/1/2006 600 562
Time Warner Inc.
8.18%, 8/15/2007 500 512
8.375%, 3/15/2023 1,500 1,531
Tosco Corp.
8.125%, 2/15/2030 2,400 2,420
Tyco International Group SA
6.875%, 9/5/2002 3,000 2,949
6.875%, 1/15/2029 1,000 855
US Airways Pass-Through Trust
8.11%, 2/20/2017 2,000 1,889
Union Carbide Corp.
6.70%, 4/1/2009 1,000 943
6.75%, 4/1/2003 1,550 1,524
7.75%, 10/1/2096 875 830
7.875%, 4/1/2023 200 196
Union Oil of California
6.375%, 2/1/2004 150 144
7.50%, 2/15/2029 910 848
Union Pacific Corp.
6.625%, 2/1/2029 1,000 829
8.625%, 5/15/2022 225 232
US West Communications
7.625%, 6/9/2003 4,200 4,192
United Technologies Corp.
8.875%, 11/15/2019 575 647
Viacom Inc.
6.75%, 1/15/2003 1,000 980
7.75%, 6/1/2005 4,000 4,027
Wal-Mart Stores
7.55%, 2/15/2030 2,500 2,557
Westvaco Corp.
8.20%, 1/15/2030 2,300 2,233
Worldcom Inc.
7.875%, 5/15/2003 6,000 6,047
8.00%, 5/15/2006 1,200 1,217
Yosemite Security Trust
8.25%, 11/15/2004 4,000 3,972
-------------
173,042
-------------
UTILITIES (2.0%)
AT&T Corp.
5.625%, 3/15/2004 150 141
8.35%, 1/15/2025 210 209
<PAGE>
44
----------------------------------------------------
FACE MARKET
AMOUNT VALUE*
BALANCED INDEX FUND (000) (000)
----------------------------------------------------
Ameritech Capital Funding
7.50%, 4/1/2005 $ 600 $ 599
Arizona Public Service Co.
7.25%, 8/1/2023 400 357
Baltimore Gas & Electric Co.
8.375%, 8/15/2001 800 807
CMS Panhandle Holding Co.
6.125%, 3/15/2004 300 282
6.50%, 7/15/2009 800 718
7.00%, 7/15/2029 475 418
Cinergy Corp.
6.125%, 4/15/2004 6,000 5,607
Coastal Corp.
6.50%, 6/1/2008 1,000 923
7.42%, 2/15/2037 325 296
7.75%, 10/15/2035 750 711
Commonwealth Edison
7.375%, 9/15/2002 1,000 993
7.50%, 7/1/2013 250 240
Consolidated Edison Co.
of New York, Inc.
6.625%, 2/1/2002 1,000 990
Detroit Edison
7.50%, 2/1/2005 6,000 5,970
Dominion Resources Inc.
8.125%, 6/15/2010 1,500 1,513
Edison International
6.875%, 9/15/2004 2,900 2,823
El Paso Energy Corp.
6.75%, 5/15/2009 3,500 3,258
Enron Corp.
6.40%, 7/15/2006 1,500 1,409
6.75%, 8/1/2009 1,050 981
6.875%, 10/15/2007 1,000 956
7.125%, 5/15/2007 300 291
9.125%, 4/1/2003 700 725
9.65%, 5/15/2001 400 406
GTE North Inc.
5.65%, 11/15/2008 200 174
6.125%, 6/15/2007 1,500 1,372
Illinois Power Co.
7.50%, 7/15/2025 500 444
KN Energy, Inc.
6.45%, 3/1/2003 750 727
MCI Communications Corp.
6.50%, 4/15/2010 850 771
7.50%, 8/20/2004 2,075 2,067
7.75%, 3/23/2025 350 326
Michigan Bell Telephone Co.
7.50%, 2/15/2023 175 158
NRG Northeast Generating
9.292%, 12/15/2024 2,500 2,453
National Rural Utility Co.
6.20%, 2/1/2008 1,500 1,373
New England Telephone &
Telegraph Co.
6.875%, 10/1/2023 200 168
7.875%, 11/15/2029 750 738
9.00%, 8/1/2031 1,000 1,078
New York Telephone Co.
6.125%, 1/15/2010 1,500 1,331
PPL Capital Funding
7.75%, 4/15/2005 6,500 6,403
Pacific Bell Telephone Co.
7.25%, 7/1/2002 275 276
Reliant Energy Resources
8.125%, 7/15/2005 3,450 3,445
Southern California Edison
5.625%, 10/1/2002 1,500 1,446
7.625%, 1/15/2010 3,500 3,516
Southwestern Bell Telephone Co.
7.25%, 7/15/2025 400 360
7.625%, 3/1/2023 725 674
Sprint Capital Corp.
6.875%, 11/15/2028 1,700 1,477
Texas Utilities Co.
7.875%, 3/1/2023 225 208
8.125%, 2/1/2002 400 403
Union Electric Power Co.
7.65%, 7/15/2003 250 250
US West Capital Funding, Inc.
6.125%, 7/15/2002 1,000 974
US West Communications Inc.
7.20%, 11/1/2004 2,400 2,360
7.25%, 9/15/2025 1,000 909
Virginia Electric & Power Co.
6.625%, 4/1/2003 1,250 1,226
6.75%, 10/1/2023 500 414
Worldcom Inc.
6.125%, 8/15/2001 3,500 3,456
-------------
72,600
-------------
----------------------------------------------------
TOTAL CORPORATE BONDS
(COST $492,610) 476,169
----------------------------------------------------
FOREIGN AND INTERNATIONAL AGENCY BONDS
(U.S. DOLLAR-DENOMINATED)(2.2%)
----------------------------------------------------
ABN-AMRO BK NV (Chicago)
7.25%, 5/31/2005 1,000 995
Abbey National PLC
7.95%, 10/26/2029 2,200 2,163
Ahold Finance USA Inc.
6.875%, 5/1/2029 1,200 1,002
Bank of Nova Scotia
6.875%, 5/1/2003 250 244
Bank of Tokyo-Mitsubishi
8.40%, 4/15/2010 1,400 1,415
Canadian National Railway Co.
6.80%, 7/15/2018 1,075 944
6.90%, 7/15/2028 400 345
China Telecom
7.875%, 11/2/2004 5,800 5,798
The Development
Bank of Singapore Ltd.
7.875%, 8/10/2009 1,825 1,807
DBS Group Holdings Ltd.
7.875%, 4/15/2010 1,000 990
Embotelladora Andina SA
7.875%, 10/1/2097 650 487
Grand Metropolitan Investment Corp.
8.625%, 8/15/2001 1,000 1,014
9.00%, 8/15/2011 1,000 1,100
<PAGE>
45
----------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
----------------------------------------------------
Hanson Overseas
7.375%, 1/15/2003 $ 1,850 $ 1,831
Inter-American Development Bank
8.50%, 3/15/2011 175 192
Israel Electric Corp.
7.25%, 12/15/2006 1,235 1,184
7.75%, 3/1/2009 1,300 1,254
KFW International Finance, Inc.
7.20%, 3/15/2014 300 298
7.625%, 2/15/2004 400 407
Korean Development Bank
6.625%, 11/21/2003 1,500 1,439
7.125%, 4/22/2004 5,200 5,024
Korea Electric Power
7.00%, 2/1/2007 650 598
7.75%, 4/1/2013 1,400 1,271
Kowloon-Canton Railway
8.00%, 3/15/2010 1,500 1,513
National Westminster Bancorp Inc.
9.375%, 11/15/2003 500 531
Noranda, Inc.
8.625%, 7/15/2002 550 553
Noranda Forest
7.50%, 7/15/2003 500 488
Northern Telecom Ltd.
6.875%, 9/1/2023 500 452
Pemex Finance Ltd. Notes
6.125%, 2/15/2002 1,213 1,181
9.03%, 9/29/2008 1,575 1,601
9.14%, 5/15/2003 1,600 1,622
9.69%, 3/31/2007 2,500 2,595
Petro-Canada
9.25%, 10/15/2021 2,650 2,971
Petro Geo-Services
6.25%, 11/19/2003 500 474
7.125%, 3/30/2028 1,075 894
7.50%, 3/31/2007 250 241
8.15%, 7/15/2029 750 703
Petroliam Nasional Berhad
8.875%, 8/1/2004 1,350 1,384
Pohang Iron & Steel Co. Ltd.
7.125%, 7/15/2004 1,300 1,251
Province of British Columbia
7.00%, 1/15/2003 630 624
Province of Manitoba
6.875%, 9/15/2002 2,500 2,483
7.75%, 2/1/2002 825 831
8.75%, 5/15/2001 300 304
9.625%, 12/1/2018 400 484
Province of New Brunswick
8.75%, 5/1/2022 400 454
9.75%, 5/15/2020 500 616
Province of Newfoundland
7.32%, 10/13/2023 600 567
10.00%, 12/1/2020 250 305
Province of Ontario
7.375%, 1/27/2003 175 176
7.75%, 6/4/2002 275 278
Province of Quebec
7.125%, 2/9/2024 400 375
Province of Saskatchewan
6.625%, 7/15/2003 2,250 2,212
8.00%, 7/15/2004 1,600 1,647
Republic of Chile
6.875%, 4/28/2009 2,300 2,128
Republic of Finland
7.875%, 7/28/2004 850 878
Republic of Portugal
5.75%, 10/8/2003 1,000 967
Republic of South Africa
9.125%, 5/19/2009 450 441
The State of Qatar
9.75%, 6/15/2030 2,000 1,962
9.50%, 5/21/2009 1,500 1,542
Swiss Bank Corp.
7.00%, 10/15/2015 500 463
7.375%, 7/15/2015 250 240
TPSA Finance BV
7.75%, 12/10/2008 360 340
Telecomunicaciones de Puerto Rico
6.15%, 5/15/2002 500 485
6.65%, 5/15/2006 1,000 939
6.80%, 5/15/2009 400 367
United Mexican States
11.375%, 9/15/2016 1,600 1,834
Vodafone Airtouch PLC
7.625%, 2/15/2005 1,700 1,707
7.875%, 2/15/2030 1,250 1,231
----------------------------------------------------
TOTAL FOREIGN and INTERNATIONAL AGENCY BONDS
(COST $78,723) 77,136
----------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.4%)(1)
----------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.
(2) 6.22%, 8/17/2000 2,000 1,984
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 6.56%, 8/10/2000 1,000 993
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000 51,743 51,743
6.71%-6.73%, 7/3/2000
--Note F 30,296 30,296
----------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $85,039) 85,016
----------------------------------------------------
TOTAL INVESTMENTS (100.8%)
(COST $2,854,378) 3,572,031
----------------------------------------------------
<PAGE>
46
----------------------------------------------------
MARKET
VALUE*
BALANCED INDEX FUND (000)
----------------------------------------------------
----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.8%)
----------------------------------------------------
Other Assets--Note B $ 10,993
Liabilities--Note F (39,988)
-------------
(28,995)
----------------------------------------------------
NET ASSETS (100%)
----------------------------------------------------
Applicable to 175,828,045 outstanding
$.001 par value shares of beneficial interest
(unlimited authorization) $3,543,036
====================================================
NET ASSET VALUE PER SHARE $20.15
====================================================
*See Note A in Notes to Financial Statements.
oNon-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash
investment positions represent 59.9% and 1.3%, respectively, of net
assets. See Note E in Notes to Financial Statements.
(2)Securities with an aggregate value of $2,977,000 have been segregated as
initial margin for open futures contracts.
(3)The average maturity is shorter than the final maturity shown due to
scheduled interim payments.
REIT--Real Estate Investment Trust.
ADR--American Depositary Receipt.
----------------------------------------------------
AMOUNT PER
(000) SHARE
----------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
----------------------------------------------------
Paid in Capital $2,817,802 $16.02
Undistributed Net
Investment Income 3,132 .02
Accumulated Net
Realized Gains 4,981 .03
Unrealized Appreciation
(Depreciation)--Note E
Investment Securities 717,653 4.08
Futures Contracts (532) --
----------------------------------------------------
NET ASSETS $3,543,036 $20.15
====================================================
<PAGE>
47
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
SIX MONTHS ENDED JUNE 30, 2000
(000)
--------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $10,280
Interest 47,689
Security Lending 463
-----------
Total Income 58,432
-----------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 86
Management and Administrative 3,203
Marketing and Distribution 265
Custodian Fees 70
Auditing Fees 5
Shareholders' Reports 47
Trustees' Fees and Expenses 2
-----------
Total Expenses 3,678
Expenses Paid Indirectly--Note C (15)
-----------
Net Expenses 3,663
--------------------------------------------------------------------------------
NET INVESTMENT INCOME 54,769
--------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold 3,696
Futures Contracts 2,692
--------------------------------------------------------------------------------
REALIZED NET GAIN 6,388
--------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (17,330)
Futures Contracts (1,428)
--------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (18,758)
--------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $42,399
================================================================================
<PAGE>
48
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
------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUN. 30, 2000 DEC. 31, 1999
(000) (000)
--------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 54,769 $ 78,907
Realized Net Gain 6,388 13,174
Change in Unrealized Appreciation (Depreciation) (18,758) 243,199
------------------------------
Net Increase in Net Assets Resulting from
Operations 42,399 335,280
------------------------------
DISTRIBUTIONS
Net Investment Income (50,839) (78,758)
Realized Capital Gain (1,646) (18,381)
------------------------------
Total Distributions (52,485) (97,139)
------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 768,013 1,388,874
Issued in Lieu of Cash Distributions 49,131 91,589
Redeemed (392,500) (593,711)
------------------------------
Net Increase from Capital Share Transactions 424,644 886,752
--------------------------------------------------------------------------------
Total Increase 414,558 1,124,893
--------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,128,478 2,003,585
------------------------------
End of Period $3,543,036 $3,128,478
================================================================================
(1)Shares Issued (Redeemed)
Issued 38,302 72,741
Issued in Lieu of Cash Distributions 2,397 4,801
Redeemed (19,578) (31,232)
------------------------------
Net Increase in Shares Outstanding 21,121 46,310
================================================================================
<PAGE>
49
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>
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------
BALANCED INDEX FUND
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED --------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2000 1999 1998 1997 1996 1995
--------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $20.22 $18.48 $16.29 $13.92 $12.77 $10.34
--------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .33 .58 .54 .520 .50 .45
Net Realized and Unrealized Gain
(Loss) on Investments (.09) 1.88 2.33 2.525 1.26 2.48
-----------------------------------------------------
Total from Investment Operations .24 2.46 2.87 3.045 1.76 2.93
-----------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.30) (.58) (.54) (.530) (.49) (.45)
Distributions from Realized Capital Gains (.01) (.14) (.14) (.145) (.12) (.05)
-----------------------------------------------------
Total Distributions (.31) (.72) (.68) (.675) (.61) (.50)
--------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $20.15 $20.22 $18.48 $16.29 $13.92 $12.77
==================================================================================================
TOTAL RETURN* 1.17% 13.61% 17.85% 22.24% 13.95% 28.64%
==================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $3,543 $3,128 $2,004 $1,260 $826 $590
Ratio of Total Expenses to
Average Net Assets 0.22%** 0.20% 0.21% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 3.29%** 3.18% 3.29% 3.56% 3.69% 3.85%
Portfolio Turnover Rate 20%** 29% 25% 18% 37%+ 16%
==================================================================================================
*Total return figures do not reflect the annual account maintenance fee of $10.
**Annualized.
+Portfolio turnover rate excluding in-kind redemptions was 30%
</TABLE>
<PAGE>
50
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. Distributions are determined on a tax basis and may differ
from net investment income and realized capital gains for financial reporting
purposes.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date 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
<PAGE>
51
under methods approved by the board of trustees. The fund has committed to
provide up to 0.40% of its net assets in capital contributions to Vanguard. At
June 30, 2000, the fund had contributed capital of $665,000 to Vanguard
(included in Other Assets), representing 0.02% of the fund's net assets and
0.70% 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
six months ended June 30, 2000, custodian fee offset arrangements reduced
expenses by $15,000.
D. During the six months ended June 30, 2000, the fund purchased $425,698,000 of
investment securities and sold $88,407,000 of investment securities other than
U.S. government securities and temporary cash investments. Purchases and sales
of U.S. government securities were $340,722,000 and $245,017,000, respectively.
E. At June 30, 2000, net unrealized appreciation of investment securities for
financial reporting and federal income tax purposes was $717,653,000, consisting
of unrealized gains of $876,289,000 on securities that had risen in value since
their purchase and $158,636,000 in unrealized losses on securities that had
fallen in value since their purchase.
At June 30, 2000, the aggregate settlement value of open futures contracts
expiring in September 2000 and the related unrealized depreciation were:
--------------------------------------------------------------------------------
(000)
-------------------------------------
AGGREGATE
NUMBER OF SETTLEMENT UNREALIZED
FUTURES CONTRACTS LONG CONTRACTS VALUE DEPRECIATION
--------------------------------------------------------------------------------
S&P 500 Index 67 $24,591 $(279)
S&P MidCap 400 Index 35 8,545 (249)
Russell 2000 Index 16 4,181 (4)
--------------------------------------------------------------------------------
F. The market value of securities on loan to broker/dealers at June 30, 2000,
was $38,495,000, for which the fund held cash collateral of $30,296,000 and U.S.
Treasury securities with a market value of $10,032,000. 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.
<PAGE>
52
THE VANGUARD(R) FAMILY OF FUNDS
STOCK FUNDS
---------------------------------------
500 Index Fund
Calvert Social Index(TM) Fund*
Capital Opportunity Fund
Convertible Securities Fund
Developed Markets Index Fund
Emerging Markets Stock
Index Fund*
Energy Fund
Equity Income Fund
European Stock Index Fund*
Explorer(TM) Fund
Extended Market Index Fund*
Global Equity Fund
Gold and Precious Metals Fund
Growth and Income Fund
Growth Equity Fund
Growth Index Fund*
Health Care Fund
Institutional Developed Markets Index
Fund
Institutional Index Fund*
International Growth Fund
International Value Fund
Mid-Cap Index Fund*
Morgan(TM) Growth Fund
Pacific Stock Index Fund*
PRIMECAP Fund
REIT Index Fund
Selected Value Fund
Small-Cap Growth Index Fund*
Small-Cap Index Fund*
Small-Cap Value Index Fund*
Strategic Equity Fund
Tax-Managed Capital Appreciation Fund*
Tax-Managed Growth and Income Fund*
Tax-Managed International Fund*
Tax-Managed Small-Cap Fund*
Total International Stock
Index Fund
Total Stock Market Index Fund*
U.S. Growth Fund
U.S. Value
Utilities Income Fund
Value Index Fund*
Windsor(TM) Fund
Windsor(TM) II Fund
BALANCED FUNDS
---------------------------------------
Asset Allocation Fund
Balanced Index Fund
Global Asset Allocation Fund
LifeStrategy(R) Conservative
Growth Fund
LifeStrategy(R) Growth Fund
LifeStrategy(R) Income Fund
LifeStrategy(R) Moderate
Growth Fund
STAR(TM) Fund
Tax-Managed Balanced Fund
Wellesley(R) Income Fund
Wellington(TM) Fund
BOND FUNDS
---------------------------------------
Admiral(TM) Intermediate-Term
Treasury Fund
Admiral(TM)Long-Term Treasury Fund
Admiral(TM)Short-Term Treasury Fund
GNMA Fund
High-Yield Corporate Fund
High-Yield Tax-Exempt Fund
Inflation-Protected Securities Fund
Insured Long-Term Tax-Exempt Fund
Intermediate-Term Bond Index Fund
Intermediate-Term Corporate Fund
Intermediate-Term Tax-Exempt Fund
Intermediate-Term Treasury Fund
Limited-Term Tax-Exempt Fund
Long-Term Bond Index Fund
Long-Term Corporate Fund
Long-Term Tax-Exempt Fund
Long-Term Treasury Fund
Preferred Stock Fund
Short-Term Bond Index Fund
Short-Term Corporate Fund*
Short-Term Federal Fund
Short-Term Tax-Exempt Fund
Short-Term Treasury Fund
State Tax-Exempt Bond Funds
(California, Florida,
Massachusetts, New Jersey,
New York, Ohio, Pennsylvania)
Total Bond Market Index Fund*
MONEY MARKET FUNDS
---------------------------------------
Admiral(TM) Treasury Money
Market Fund
Federal Money Market Fund
Prime Money Market Fund*
State Tax-Exempt Money Market Funds
(California, New Jersey, New York,
Ohio, Pennsylvania)
Tax-Exempt Money Market Fund
Treasury Money Market Fund
VARIABLE ANNUITY PLAN
---------------------------------------
Balanced Portfolio
Diversified Value Portfolio
Equity Income Portfolio
Equity Index Portfolio
Growth Portfolio
High-Grade Bond Portfolio
High Yield Bond Portfolio
International Portfolio
Mid-Cap Index Portfolio
Money Market Portfolio
REIT Index Portfolio
Short-Term Corporate Portfolio
Small Company Growth Portfolio
*Offers Institutional Shares.
For information about Vanguard funds and our variable annuity plan, including
charges and expenses, obtain a prospectus from The Vanguard Group, P.O. Box
2600, Valley Forge, PA 19482-2600. Read it carefully before you invest or send
money.
<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.
Six of Vanguard's seven board members are independent, meaning that they
have no affiliation with Vanguard or the funds they oversee, apart from the
sizable personal investments they have made as private individuals. They bring
distinguished backgrounds in business, academia, and public service to their
task of working with Vanguard officers to establish the policies and oversee the
activities of the funds.
Among board members' responsibilities are selecting investment advisers for
the funds; monitoring fund operations, performance, and costs; reviewing
contracts; nominating and selecting new trustees/directors; and electing
Vanguard officers.
The list below provides a brief description of each trustee's professional
affiliations. Noted in parentheses is the year in which the trustee joined the
Vanguard board.
TRUSTEES
JOHN J. BRENNAN (1987) Chairman of the Board, Chief Executive Officer, and
Director/Trustee of The Vanguard Group, Inc., and each of the investment
companies in The Vanguard Group.
JOANN HEFFERNAN HEISEN (1998) Vice President, Chief Information Officer, and a
member of the Executive Committee of Johnson & Johnson; Director of Johnson &
Johnson*Merck Consumer Pharmaceuticals Co., The Medical Center at Princeton, and
Women's Research and Education Institute.
BRUCE K. MACLAURY (1990) President Emeritus of The Brookings Institution;
Director of American Express Bank Ltd., The St. Paul Companies, Inc., and
National Steel Corp.
BURTON G. MALKIEL (1977) Chemical Bank Chairman's Professor of Economics,
Princeton University; Director of Prudential Insurance Co. of America, Banco
Bilbao Gestinova, Baker Fentress & Co., The Jeffrey Co., and Select Sector SPDR
Trust.
ALFRED M. RANKIN, JR. (1993) Chairman, President, Chief Executive Officer, and
Director of NACCO Industries, Inc.; Director of The BFGoodrich Co.
JAMES O. WELCH, JR. (1971) Retired Chairman of Nabisco Brands, Inc.; retired
Vice Chairman and Director of RJR Nabisco; Director of TECO Energy, Inc., and
Kmart Corp.
J. LAWRENCE WILSON (1985) Retired Chairman of Rohm & Haas Co.; Director of
AmeriSource Health Corporation, Cummins Engine Co., and The Mead Corp.; Trustee
of Vanderbilt University.
--------------------------------------------------------------------------------
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY Secretary; Managing Director and Secretary of The
Vanguard Group, Inc.; Secretary of each of the investment companies in The
Vanguard Group.
THOMAS J. HIGGINS Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of
each of the investment companies in The Vanguard Group.
VANGUARD MANAGING DIRECTORS
R. GREGORY BARTON - Legal Department.
ROBERT A. DISTEFANO - Information Technology.
JAMES H. GATELY - Individual Investor Group.
KATHLEEN C. GUBANICH - Human Resources.
IAN A. MACKINNON - Fixed Income Group.
F. WILLIAM MCNABB, III - Institutional Investor Group.
MICHAEL S. MILLER - Planning and Development.
RALPH K. PACKARD - Chief Financial Officer.
GEORGE U. SAUTER - Quantitative Equity Group.
<PAGE>
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]
[THE VANGUARD GROUP(R) LOGO]
Post Office Box 2600
Valley Forge, Pennsylvania 19482-2600
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
This report is intended for the fund's
shareholders. It may not be distributed
to prospective investors unless it
is preceded or accompanied by the
current fund prospectus.
Q022 082000
(C)2000 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
