<PAGE> 1
VANGUARD
TAX-MANAGED FUNDS(R)
Semiannual - June 30, 2000
[PHOTO]
VANGUARD TAX-MANAGED
BALANCED FUND
VANGUARD TAX-MANAGED
GROWTH AND INCOME FUND
VANGUARD TAX-MANAGED
CAPITAL APPRECIATION FUND
VANGUARD TAX-MANAGED
SMALL-CAP FUND
VANGUARD TAX-MANAGED
INTERNATIONAL FUND
[MEMBERS OF THE VANGUARD GROUP(R) LOGO]
<PAGE> 2
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 counterproductive 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.
<TABLE>
<CAPTION>
----------------------------------------
CONTENTS
<S> <C>
REPORT FROM THE CHAIRMAN ..... 1
THE MARKETS IN PERSPECTIVE ... 5
PERFORMANCE SUMMARIES ........ 7
FUND PROFILES ................ 12
FINANCIAL STATEMENTS ......... 21
----------------------------------------
</TABLE>
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.
<PAGE> 3
REPORT FROM THE CHAIRMAN
[PHOTO]
John J. Brennan
The turbulence in the financial markets produced mixed results for the Vanguard
Tax-Managed Funds during the six months ended June 30, the first half of our
fiscal year. Large-capitalization and international stocks struggled, smaller
stocks posted strong results, and bonds provided solid returns.
<TABLE>
<CAPTION>
-----------------------------------------------------------
TOTAL RETURNS
SIX MONTHS ENDED
JUNE 30, 2000
-----------------------------------------------------------
<S> <C>
TAX-MANAGED BALANCED FUND 3.3%
Average Balanced Fund* 1.3
Balanced Composite Index** 2.1
-----------------------------------------------------------
TAX-MANAGED GROWTH AND INCOME FUND -0.4%
Average Large-Cap Core Fund* 1.3
S&P 500 Index -0.4
-----------------------------------------------------------
TAX-MANAGED CAPITAL APPRECIATION FUND 3.0%
Average Multi-Cap Core Fund* 2.5
Russell 1000 Index 0.8
-----------------------------------------------------------
TAX-MANAGED SMALL-CAP FUND 7.5%
Average Small-Cap Core Fund* 9.2
S&P SmallCap 600 Index 6.9
-----------------------------------------------------------
TAX-MANAGED INTERNATIONAL FUND -4.2%
Average International Fund* -4.6
MSCI EAFE Index -4.0
-----------------------------------------------------------
</TABLE>
*Derived from data provided by Lipper Inc. For the average balanced fund, the
bond component is not tax-exempt.
**50% Russell 1000 Index, 50% Lehman Brothers 7 Year Municipal Bond Index.
<TABLE>
<CAPTION>
INSTITUTIONAL SHARES
-----------------------------------------------------------
<S> <C>
Tax-Managed Growth and Income Fund -0.4%
Tax-Managed Capital Appreciation Fund 3.0
Tax-Managed Small-Cap Fund 7.6
-----------------------------------------------------------
</TABLE>
The table at right shows the six-month total returns (capital change plus
reinvested dividends) for each of our funds along with those of its average
mutual fund peer and unmanaged benchmark index. The returns for three of our
funds surpassed those of their average peers, and four of the five matched or
exceeded the returns of their benchmark indexes. The Small-Cap Fund notched the
best return among the five, earning 7.5%. The Balanced Fund returned 3.3%,
reflecting the stock market's mixed results and a resurgence in bond prices. The
Capital Appreciation Fund's return was a bit lower, while our Growth and Income
Fund and International Fund registered negative total returns.
Also presented is the performance of the Institutional Shares we offer
for three of our funds, which are available for minimum investments of $10
million.
Per-share figures for each fund, including net asset values and income
dividends, are presented in the table that follows this letter. None of the
funds distributed capital gains during the half-year, to the benefit of our
tax-conscious shareholders. Indeed, our tax-managed funds have never made
capital gains distributions since their creation nearly six years ago.
THE PERIOD IN REVIEW
The first half of 2000 was a tumultuous time in financial markets, which were
buffeted by complex 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.
Fearing that rapid economic growth and a tight labor market would trigger
inflation, the Federal Reserve Board continued to raise short-term interest
rates during the
1
<PAGE> 4
half-year. The Fed boosted its target for the federal funds rate three times
during the period 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 investors appeared increasingly worried about the high valuations of
tech and telecommunication stocks and whether they could be sustained. Such
concerns, combined with signs of an acceleration in inflation and a slowdown in
the economy that could cut into corporate earnings, caused stock prices to
plummet. At one point, the tech-heavy Nasdaq Composite Index lost more than a
third of its value before recovering somewhat in June.
The overall stock market, as measured by the Wilshire 5000 Total Market
Index, posted a -0.7% return for the six months. The Standard & Poor's SmallCap
600 Index gained 6.9%, outpacing the large-cap S&P 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. The growth stocks
within the Russell 1000 Index (comprising the 1,000 largest U.S. stocks) earned
4.2%, while its 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 for longer-term Treasuries, prices rose and
yields fell because the government used federal budget surpluses to buy back
some of its long-term debt. By June 30, the 30-year Treasury bond's yield had
fallen 58 basis points, from 6.48% to 5.90%. The yield of the 10-year Treasury
note fell 41 basis points, to 6.03%. Yields on high-quality corporate bonds were
flat to slightly higher. The Lehman Aggregate Bond Index, representing nearly
all of the U.S. taxable bond market, returned 4.0%, consisting of a price
increase of 0.4% and an income return of 3.6% for the six months. The Lehman 7
Year Municipal Bond Index posted a 3.2% return, with 0.6% from capital gains and
2.6% from income.
PERFORMANCE OVERVIEW
The TAX-MANAGED BALANCED FUND'S 3.3% half-year return was 2.0 percentage points
higher than that of the average balanced fund and 1.2 percentage points higher
than that of the composite index. As you may know, slightly less than half the
fund's assets are in growth-oriented large and mid-cap stocks, and--in contrast
to most other balanced funds--the rest are in municipal bonds. Slightly more
than 50% of the fund's assets are in munis to preserve the tax exemption for the
interest we earn on those bonds. This strategy means that, on an after-tax
basis, our performance margin over our peers is even greater, since income
earned by most balanced funds is taxable. During the past six months, the fund
fulfilled its role well--providing the upside potential of stocks with the
downside protection of bonds--a balance that is especially valuable in volatile
periods. The fund's return was bolstered by the solid performance of bonds,
which had been pummeled in 1999.
The TAX-MANAGED GROWTH AND INCOME FUND'S -0.4% return matched that of the
S&P 500 Index, but lagged that of its average peer by 1.7 percentage points. The
lackluster performance of large-cap stocks over the past six months put our fund
at a modest
2
<PAGE> 5
disadvantage versus the average peer fund, which typically has more exposure to
smaller companies than our target S&P 500 Index.
By contrast, exposure to somewhat smaller stocks aided the TAX-MANAGED
CAPITAL APPRECIATION FUND in both absolute and relative terms. The fund posted a
3.0% return, more than triple that of its index and half a percentage point
higher than that of its peers. In addition, because the fund emphasizes the
lowest-yielding stocks within the Russell 1000 Index in order to minimize
taxable dividend income, it is more growth-oriented than the index and many of
its peers. This difference bolstered the fund's relative returns in a market
that favored growth over value.
Given that small-cap stocks outpaced large-caps, it's not surprising that
the TAX-MANAGED SMALL-CAP FUND posted the largest gain among our funds, earning
7.5%. This return outpaced that of the S&P SmallCap 600 Index, but was 1.7
percentage points short of the return of its average peer.
The disappointing performance of overseas markets, combined with a
stronger U.S. dollar, which cuts into returns for U.S. investors, contributed to
negative results for the TAX-MANAGED INTERNATIONAL FUND. The fund's -4.2% return
was slightly worse than that of its index but 0.4 percentage point better than
that of its average peer.
While they are not pure index funds, our tax-managed funds operate with
an index-oriented approach because of its inherent advantages--diversification,
low turnover, and low costs. The funds enhance those tax-efficiencies in a
number of ways: holding low-dividend stocks to minimize current taxable income;
"harvesting" losses to offset potential capital gains; imposing higher minimum
account balances and redemption fees to lower costs caused by shareholder
transactions and to discourage high-turnover investors; and employing other
methods as well. We are confident, therefore, that on both a pre-tax and an
after-tax basis, our funds will provide superior returns over the long term.
IN SUMMARY
During the first half of 2000, we witnessed very 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. Once
you have such a diversified plan in place, 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 27, 2000
3
<PAGE> 6
IN MEMORY
It is with great sadness that I report the death of John C. Sawhill, an
independent trustee of the funds 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.
<TABLE>
<CAPTION>
FUND STATISTICS
--------------------------------------------------------------------------------------------
SIX MONTHS ENDED JUN. 30, 2000
NET ASSET VALUE PER SHARE --------------------------------
------------------------------ INCOME CAPITAL GAINS
TAX-MANAGED FUND DEC. 31, 1999 JUN. 30, 2000 DIVIDENDS DISTRIBUTIONS
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Balanced $18.87 $19.29 $0.210 $0.00
Growth and Income 31.81 31.53 0.140 0.00
Capital Appreciation 34.17 35.20 0.000 0.00
Small-Cap 12.61 13.56 0.000 0.00
International 11.96 11.46 0.000 0.00
--------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
--------------------------------------------------------------------------------------------
Growth and Income $31.81 $31.54 $0.151 $0.00
Capital Appreciation 34.18 35.22 0.000 0.00
Small-Cap 12.61 13.57 0.000 0.00
--------------------------------------------------------------------------------------------
</TABLE>
4
<PAGE> 7
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.
<TABLE>
<CAPTION>
--------------------------------------------------------------------
TOTAL RETURNS
PERIODS ENDED JUNE 30, 2000
---------------------------
6 MONTHS 1 YEAR 5 YEARS*
--------------------------------------------------------------------
<S> <C> <C> <C>
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
--------------------------------------------------------------------
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
--------------------------------------------------------------------
OTHER
Consumer Price Index 2.4% 3.7% 2.5%
--------------------------------------------------------------------
</TABLE>
*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.
5
<PAGE> 8
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%).
6
<PAGE> 9
PERFORMANCE SUMMARIES
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TAX-MANAGED BALANCED FUND
TOTAL INVESTMENT RETURNS: SEPTEMBER 6, 1994-JUNE 30, 2000
---------------------------------------------------------
TAX-MANAGED
BALANCED FUND COMPOSITE*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
---------------------------------------------------------
<S> <C> <C> <C> <C>
1994 -2.3% 0.9% -1.4% -1.8%
1995 21.0 3.5 24.5 25.5
1996 9.0 3.2 12.2 13.2
1997 13.5 3.1 16.6 19.9
1998 14.1 2.8 16.9 17.0
1999 12.7 2.8 15.5 10.2
2000** 2.2 1.1 3.3 2.1
---------------------------------------------------------
</TABLE>
*50% Russell 1000 Index, 50% Lehman 7 Year Municipal Bond Index.
**Six months ended June 30, 2000.
See Financial Highlights table on page 26 for dividend information for the past
five years.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
--------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ---------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Tax-Managed Balanced Fund 9/6/1994 12.07% 14.77% 11.92% 2.96% 14.88%
Fee-Adjusted Returns* 10.95 14.77 11.92 2.96 14.88
--------------------------------------------------------------------------------------------------
</TABLE>
*Reflective of the 2% fee that is assessed on redemptions of shares that are
held in the fund for less than one year and the 1% fee that is assessed on
redemptions of shares that are held in the fund for at least one year but less
than five years.
7
<PAGE> 10
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TAX-MANAGED GROWTH AND INCOME FUND
TOTAL INVESTMENT RETURNS: SEPTEMBER 6, 1994-JUNE 30, 2000
---------------------------------------------------------
TAX-MANAGED
GROWTH AND INCOME FUND S&P 500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
---------------------------------------------------------
<S> <C> <C> <C> <C>
1994 -2.6% 0.9% -1.7% -1.8%
1995 34.7 2.8 37.5 37.6
1996 20.7 2.3 23.0 23.0
1997 31.4 1.9 33.3 33.4
1998 27.2 1.5 28.7 28.6
1999 19.8 1.3 21.1 21.0
2000* -0.9 0.5 -0.4 -0.4
---------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 27 for dividend information for the past
five years.
<TABLE>
<CAPTION>
TAX-MANAGED GROWTH AND INCOME FUND
INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: MARCH 4, 1999-JUNE 30, 2000
-----------------------------------------------------
TAX-MANAGED GROWTH AND
INCOME FUND INSTITUTIONAL SHARES S&P 500
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
-----------------------------------------------------
<S> <C> <C> <C> <C>
1999 17.9% 1.3% 19.2% 19.1%
2000* -0.8% 0.4% -0.4% -0.4%
-----------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 27 for dividend information since
inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
----------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Tax-Managed Growth and Income Fund 9/6/1994 7.36% 23.82% 21.77% 1.90% 23.67%
Fee-Adjusted Returns* 6.29 23.82 21.77 1.90 23.67
----------------------------------------------------------------------------------------------------
Tax-Managed Growth and Income Fund
Institutional Shares 3/4/1999 7.48% -- 12.48% 1.39% 13.87%
Fee-Adjusted Returns* 6.40 -- 11.63 1.38 13.01
----------------------------------------------------------------------------------------------------
</TABLE>
*Reflective of the 2% fee that is assessed on redemptions of shares that are
held in the fund for less than one year and the 1% fee that is assessed on
redemptions of shares that are held in the fund for at least one year but less
than five years.
8
<PAGE> 11
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TAX-MANAGED CAPITAL APPRECIATION FUND
TOTAL INVESTMENT RETURNS: SEPTEMBER 6, 1994-JUNE 30, 2000
---------------------------------------------------------
TAX-MANAGED RUSSELL
CAPITAL APPRECIATION FUND 1000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
---------------------------------------------------------
<S> <C> <C> <C> <C>
1994 -0.9% 0.4% -0.5% -1.9%
1995 33.5 0.9 34.4 37.8
1996 20.1 0.8 20.9 22.4
1997 26.5 0.8 27.3 32.9
1998 27.3 0.7 28.0 27.0
1999 33.0 0.5 33.5 20.9
2000* 3.0 0.0 3.0 0.8
---------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 28 for dividend information for the past
five years.
<TABLE>
<CAPTION>
TAX-MANAGED CAPITAL APPRECIATION FUND
INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: FEBRUARY 24, 1999-JUNE 30, 2000
---------------------------------------------------------
TAX-MANAGED CAPITAL APPRECIATION RUSSELL
FUND INSTITUTIONAL SHARES 1000
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
---------------------------------------------------------
<S> <C> <C> <C> <C>
1999 29.9% 0.5% 30.4% 19.7%
2000* 3.0% 0.0% 3.0% 0.8%
---------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 28 for dividend information since
inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
---------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION --------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Tax-Managed Capital Appreciation Fund 9/6/1994 18.96% 24.83% 24.08% 0.69% 24.77%
Fee-Adjusted Returns* 17.77 24.83 24.08 0.69 24.77
---------------------------------------------------------------------------------------------------
Tax-Managed Capital Appreciation Fund
Institutional Shares 2/24/1999 19.06% -- 24.15% 0.40% 24.55%
Fee-Adjusted Returns* 17.87 -- 23.23 0.39 23.62
---------------------------------------------------------------------------------------------------
</TABLE>
*Reflective of the 2% fee that is assessed on redemptions of shares that are
held in the fund for less than one year and the 1% fee that is assessed on
redemptions of shares that are held in the fund for at least one year but less
than five years.
9
<PAGE> 12
PERFORMANCE SUMMARIES (continued)
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TAX-MANAGED SMALL-CAP FUND
TOTAL INVESTMENT RETURNS: MARCH 25, 1999-JUNE 30, 2000
------------------------------------------------------
TAX-MANAGED S&P
SMALL-CAP FUND SMALLCAP 600
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
------------------------------------------------------
<S> <C> <C> <C> <C>
1999 25.7% 0.6% 26.3% 24.9%
2000* 7.5% 0.0% 7.5% 6.9%
------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 29 for dividend information since
inception.
<TABLE>
<CAPTION>
TAX-MANAGED SMALL-CAP FUND INSTITUTIONAL SHARES
TOTAL INVESTMENT RETURNS: APRIL 21, 1999-JUNE 30, 2000
------------------------------------------------------
TAX-MANAGED SMALL-CAP FUND S&P
INSTITUTIONAL SHARES SMALLCAP 600
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
------------------------------------------------------
<S> <C> <C> <C> <C>
1999 17.2% 0.6% 17.8% 16.9%
2000* 7.6% 0.0% 7.6% 6.9%
------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 29 for dividend information since
inception.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED JUNE 30, 2000
----------------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION -------------------------
DATE 1 YEAR CAPITAL INCOME TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Tax-Managed Small-Cap Fund 3/25/1999 15.62% 26.87% 0.44% 27.31%
Fee-Adjusted Returns* 13.90 25.37 0.44 25.81
----------------------------------------------------------------------------------------------------
Tax-Managed Small-Cap Fund Institutional Shares 4/21/1999 15.77% 21.47% 0.50% 21.97%
Fee-Adjusted Returns* 14.04 19.94 0.50 20.44
----------------------------------------------------------------------------------------------------
</TABLE>
*Reflective of the 0.5% fee on purchases, the 2% fee that is assessed on
redemptions of shares that are held in the fund for less than one year and the
1% fee that is assessed on redemptions of shares that are held in the fund for
at least one year but less than five years.
10
<PAGE> 13
All of the data on this page represent past performance, which cannot be used to
predict future returns that may be achieved by the fund. Note, too, that both
share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost.
<TABLE>
<CAPTION>
TAX-MANAGED INTERNATIONAL FUND
TOTAL INVESTMENT RETURNS: AUGUST 17, 1999-JUNE 30, 2000
-------------------------------------------------------
TAX-MANAGED
INTERNATIONAL FUND MSCI EAFE
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
-------------------------------------------------------
<S> <C> <C> <C> <C>
1999 19.6% 0.4% 20.0% 19.7%
2000* -4.2% 0.0% -4.2% -4.0%
-------------------------------------------------------
</TABLE>
*Six months ended June 30, 2000.
See Financial Highlights table on page 30 for dividend information since
inception.
<TABLE>
<CAPTION>
TOTAL RETURNS: PERIOD ENDED JUNE 30, 2000
-----------------------------------------------------------------------------------------------
SINCE INCEPTION
INCEPTION ------------------------------
DATE CAPITAL INCOME TOTAL
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Tax-Managed International Fund 8/17/1999 14.60% 0.39% 14.99%
Fee-Adjusted Returns* 12.03 0.38 12.41
-----------------------------------------------------------------------------------------------
</TABLE>
*Reflective of the 0.25% fee on purchases and the 2% fee that is assessed on
redemptions of shares that are held in the fund for less than one year.
11
<PAGE> 14
FUND PROFILE
TAX-MANAGED BALANCED 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 14-15.
<TABLE>
<CAPTION>
TOTAL FUND CHARACTERISTICS
--------------------------------------------
<S> <C>
Yield 2.7%
Turnover Rate 17%*
Expense Ratio 0.20%*
Cash Investments 0.0%
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
FUND ASSET ALLOCATION
--------------------------------------------
<S> <C>
STOCKS 47%
BONDS 53%
</TABLE>
<TABLE>
<CAPTION>
TOTAL FUND VOLATILITY MEASURES
--------------------------------------------
BALANCED S&P 500
--------------------------------------------
<S> <C> <C>
R-Squared 0.89 1.00
Beta 0.54 1.00
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST STOCKS
(% OF EQUITIES)
--------------------------------------------
<S> <C>
General Electric Co. 4.2%
Cisco Systems, Inc. 3.5
Intel Corp. 3.4
Microsoft Corp. 2.4
Pfizer, Inc. 2.3
Citigroup, Inc. 1.7
Oracle Corp. 1.6
Exxon Mobil Corp. 1.5
Lucent Technologies, Inc. 1.5
EMC Corp. 1.4
--------------------------------------------
Top Ten 23.5%
--------------------------------------------
Top Ten as % of Total Net Assets 11.2%
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
-------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
-----------------------------------------------
RUSSELL
BALANCED BALANCED 1000
-----------------------------------------------
<S> <C> <C> <C>
Auto & Transportation ..... 3.3% 2.2% 1.7%
Consumer Discretionary .... 17.2 14.1 11.8
Consumer Staples .......... 5.2 1.9 5.1
Financial Services ........ 11.5 10.1 14.2
Health Care ............... 12.6 14.2 12.3
Integrated Oils ........... 2.1 2.1 3.3
Other Energy .............. 3.2 4.6 2.0
Materials & Processing .... 3.4 1.6 2.0
Producer Durables ......... 4.0 3.1 3.2
Technology ................ 23.2 33.5 30.6
Utilities ................. 9.6 7.6 9.0
Other ..................... 4.7 5.0 4.8
-------------------------------------------------------------------------------
</TABLE>
12
<PAGE> 15
<TABLE>
<CAPTION>
EQUITY CHARACTERISTICS
---------------------------------------------
BALANCED RUSSELL 1000
---------------------------------------------
<S> <C> <C>
Number of Stocks 434 1,000
Median Market Cap $53.3B $65.6B
Price/Earnings Ratio 40.4x 30.7x
Price/Book Ratio 5.9x 5.1x
Dividend Yield 0.4% 1.1%
Return on Equity 22.6% 24.1%
Earnings Growth Rate 20.5% 17.2%
Foreign Holdings 0.0% 0.0%
</TABLE>
<TABLE>
<CAPTION>
EQUITY INVESTMENT FOCUS
---------------------------------------------
<S> <C> <C>
STYLE--BLEND
MARKET CAP--LARGE
</TABLE>
<TABLE>
<CAPTION>
FIXED INCOME CHARACTERISTICS
---------------------------------------------
BALANCED LEHMAN*
---------------------------------------------
<S> <C> <C>
Number of Bonds 159 39,177
Yield to Maturity 4.9% --
Average Coupon 5.5% 5.5%
Average Maturity 6.8 years 13.6 years
Average Quality AA+ AA+
Average Duration 5.3 years 7.5 years
</TABLE>
*Lehman Municipal Bond Index.
<TABLE>
<CAPTION>
FIXED INCOME INVESTMENT FOCUS
---------------------------------------------
<S> <C> <C>
AVERAGE MATURITY--
MEDIUM
CREDIT QUALITY--
HIGH
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY MATURITY
(% OF BONDS)
---------------------------------------------
<S> <C>
Under 1 Year 6.3%
1-5 Years 37.0
5-10 Years 39.4
10-20 Years 16.4
20-30 Years 0.9
Over 30 Years 0.0
---------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF BONDS)
---------------------------------------------
<S> <C>
AAA 70.3%
AA 24.6
A 1.7
BBB 3.2
BB 0.0
B 0.0
Not Rated 0.2
---------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
LARGEST STATE CONCENTRATIONS
(% OF BONDS)
---------------------------------------------
<S> <C>
Texas 16.9%
New York 12.1
New Jersey 8.3
Ohio 8.1
Pennsylvania 4.8
California 4.6
Massachusetts 4.1
Michigan 4.0
Georgia 3.8
District of Columbia 3.3
---------------------------------------------
Top Ten 70.0%
</TABLE>
13
<PAGE> 16
ALLOCATION BY REGION. This chart shows the geographic distribution of a fund's
holdings.
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.
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 and
bond investment.
COUNTRY DIVERSIFICATION. The percentages of a fund's common stock invested in
securities of various countries.
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 MATURITY. An indicator of interest-rate risk. In general, the
higher the concentration of longer-maturity issues, the more a fund's share
price will fluctuate in response to changes in interest rates.
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 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 in terms
of two attributes: average maturity (short, medium, or long) and average credit
quality (high, medium, or low).
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks
or American Depositary Receipts of companies based outside the United States.
FUND ASSET ALLOCATION. This chart shows the proportions of a fund's holdings
allocated to different types of assets.
14
<PAGE> 17
LARGEST STATE CONCENTRATIONS. An indicator of diversification. The less
concentrated a fund's holdings of bonds, the less the fund will be hurt by any
financial problems in a single state or region.
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/HOLDINGS. 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. The index yield is based on the current annualized rate of
dividends paid on stocks in the index.
YIELD TO MATURITY. The rate of return an investor would receive if the
securities held by a fund were held to their maturity dates.
15
<PAGE> 18
FUND PROFILE
TAX-MANAGED GROWTH AND INCOME 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 14-15.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
---------------------------------------------------
GROWTH AND
INCOME S&P 500
---------------------------------------------------
<S> <C> <C>
Number of Stocks 522 500
Median Market Cap $94.9B $94.9B
Price/Earnings Ratio 28.6x 28.7x
Price/Book Ratio 5.2x 5.2x
Yield 1.0% 1.1%
Yield--Institutional Shares 1.0% 1.1%
Return on Equity 24.5% 24.5%
Earnings Growth Rate 17.2% 17.3%
Foreign Holdings 1.2% 1.2%
Turnover Rate 3%* --
Expense Ratio 0.18%* --
Expense Ratio--
Institutional Shares 0.11%* --
Cash Investments 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
EQUITY INVESTMENT FOCUS
---------------------------------------------
<S> <C> <C>
STYLE--BLEND
MARKET CAP--LARGE
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
-------------------------------------------
<S> <C>
General Electric Co. 4.2%
Intel Corp. 3.6
Cisco Systems, Inc. 3.5
Microsoft Corp. 3.4
Pfizer, Inc. 2.4
Exxon Mobil Corp. 2.2
Wal-Mart Stores, Inc. 2.1
Oracle Corp. 1.9
Citigroup, Inc. 1.6
Nortel Networks Corp. 1.6
-------------------------------------------
Top Ten 26.5%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
-------------------------------------------
GROWTH AND
INCOME S&P 500
-------------------------------------------
<S> <C> <C>
R-Squared 1.00 1.00
Beta 1.00 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
--------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 20
------------------------------------------------
GROWTH AND INCOME GROWTH AND INCOME S&P 500
------------------------------------------------
<S> <C> <C> <C>
Auto & Transportation...... 2.5% 1.9% 1.6%
Consumer Discretionary..... 12.8 11.5 11.8
Consumer Staples........... 7.8 5.8 5.7
Financial Services......... 16.5 13.4 13.4
Health Care................ 11.0 11.7 11.7
Integrated Oils............ 5.4 4.5 4.5
Other Energy............... 1.1 1.8 1.8
Materials & Processing..... 3.7 2.2 2.2
Producer Durables.......... 4.2 2.9 2.9
Technology................. 18.4 29.8 29.9
Utilities.................. 11.3 8.6 8.6
Other...................... 5.3 5.9 5.9
--------------------------------------------------------------------------------
</TABLE>
16
<PAGE> 19
FUND PROFILE
TAX-MANAGED CAPITAL APPRECIATION 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 14-15.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
--------------------------------------------------
CAPITAL RUSSELL
APPRECIATION 1000
--------------------------------------------------
<S> <C> <C>
Number of Stocks 517 1,000
Median Market Cap $64.0B $65.6B
Price/Earnings Ratio 38.3x 30.7x
Price/Book Ratio 5.8x 5.1x
Yield 0.4% 1.1%
Yield--Institutional Shares 0.5% 1.1%
Return on Equity 23.2% 24.1%
Earnings Growth Rate 19.7% 17.2%
Foreign Holdings 0.0% 0.0%
Turnover Rate 24%* --
Expense Ratio 0.18%* --
Expense Ratio--
Institutional Shares 0.10%* --
Cash Investments 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
EQUITY INVESTMENT FOCUS
---------------------------------------------
<S> <C> <C>
STYLE
MARKET CAP
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
---------------------------------------------
<S> <C>
General Electric Co. 4.2%
Intel Corp. 3.6
Cisco Systems, Inc. 3.5
Microsoft Corp. 2.5
Pfizer, Inc. 2.5
Citigroup, Inc. 1.7
Exxon Mobil Corp. 1.7
International Business Machines Corp. 1.6
Lucent Technologies, Inc. 1.6
Oracle Corp. 1.5
---------------------------------------------
Top Ten 24.4%
</TABLE>
<TABLE>
<CAPTION>
VOLATILITY MEASURES
---------------------------------------------
CAPITAL S&P
APPRECIATION 500
---------------------------------------------
<S> <C> <C>
R-Squared 0.91 1.00
Beta 1.11 1.00
</TABLE>
<TABLE>
<CAPTION>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
--------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
----------------------------------------------
CAPITAL CAPITAL RUSSELL
APPRECIATION APPRECIATION 1000
----------------------------------------------
<S> <C> <C> <C>
Auto & Transportation ..... 3.0% 2.1% 1.7%
Consumer Discretionary .... 16.7 13.8 11.8
Consumer Staples .......... 5.5 3.3 5.1
Financial Services ........ 11.2 10.7 14.2
Health Care ............... 12.1 13.1 12.3
Integrated Oils ........... 1.8 2.4 3.3
Other Energy .............. 3.3 4.3 2.0
Materials & Processing .... 3.9 1.7 2.0
Producer Durables ......... 4.8 3.0 3.2
Technology ................ 23.4 33.1 30.6
Utilities ................. 9.3 7.7 9.0
Other ..................... 5.0 4.8 4.8
--------------------------------------------------------------------------------
</TABLE>
17
<PAGE> 20
FUND PROFILE
TAX-MANAGED SMALL-CAP 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 14-15.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
---------------------------------------------------
SMALL-CAP S&P*
---------------------------------------------------
<S> <C> <C>
Number of Stocks 620 600
Median Market Cap $1.0B $0.9B
Price/Earnings Ratio 21.8x 21.1x
Price/Book Ratio 2.7x 2.6x
Yield 0.5% 0.7%
Yield--Institutional Shares 0.6% 0.7%
Return on Equity 15.0% 15.7%
Earnings Growth Rate 15.8% 15.4%
Foreign Holdings 0.4% 0.2%
Turnover Rate 35%** --
Expense Ratio 0.20%** --
Expense Ratio--
Institutional Shares 0.10%** --
Cash Investments 0.0% --
</TABLE>
*S&P SmallCap 600 Index.
**Annualized.
<TABLE>
<CAPTION>
EQUITY INVESTMENT FOCUS
---------------------------------------------
<S> <C> <C>
STYLE--BLEND
MARKET CAP--SMALL
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
---------------------------------------------
<S> <C>
Mercury Interactive Corp. 1.8%
IDEC Pharmaceuticals Corp. 1.2
International Rectifier Corp. 0.9
Lattice Semiconductor Corp. 0.8
Protein Design Labs, Inc. 0.8
Vertex Pharmaceuticals, Inc. 0.7
RSA Security Inc. 0.7
Digital Microwave Corp. 0.7
Techne 0.7
Jones Pharma, Inc. 0.7
---------------------------------------------
Top Ten 9.0%
</TABLE>
<TABLE>
SECTOR DIVERSIFICATION (% OF COMMON STOCKS)
--------------------------------------------------------------------------------
JUNE 30, 1999 JUNE 30, 2000
----------------------------------------------
S&P
SMALL-CAP SMALL-CAP SMALLCAP 600
----------------------------------------------
<S> <C> <C> <C>
Auto & Transportation....... 5.9% 4.8% 5.0%
Consumer Discretionary...... 20.3 16.6 17.7
Consumer Staples............ 3.1 2.8 2.9
Financial Services.......... 17.1 12.6 13.4
Health Care................. 11.1 15.3 13.7
Integrated Oils............. 0.3 0.0 0.0
Other Energy................ 3.2 4.4 4.6
Materials & PROCESSING...... 10.2 8.0 8.8
Producer Durables........... 9.2 10.5 11.0
Technology.................. 14.1 21.4 19.3
Utilities................... 4.8 2.9 3.1
Other....................... 0.7 0.7 0.5
--------------------------------------------------------------------------------
</TABLE>
18
<PAGE> 21
FUND PROFILE
TAX-MANAGED INTERNATIONAL 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 14-15.
<TABLE>
<CAPTION>
PORTFOLIO CHARACTERISTICS
-------------------------------------------
INTERNATIONAL MSCI EAFE
-------------------------------------------
<S> <C> <C>
Number of Stocks 935 953
Turnover Rate 4%* --
Expense Ratio 0.35%* --
Cash Investments 0.0% --
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
ALLOCATION BY REGION
-------------------------------------------
<S> <C>
EUROPE 67%
PACIFIC 33%
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST HOLDINGS
(% OF TOTAL NET ASSETS)
-------------------------------------------
<S> <C>
Nokia Oyj 2.5%
Vodafone Airtouch PLC 2.5
BP Amoco PLC 2.2
Deutsche Telekom AG 1.8
Toyota Motor Corp. 1.7
Nippon Telegraph and Telephone Corp. 1.7
Telefonaktiebolaget
LM Ericsson AB Class B 1.6
France Telecom SA 1.5
Royal Dutch Petroleum Co. 1.4
TotalFinaElf 1.2
-------------------------------------------
Top Ten 18.1%
</TABLE>
Country Diversification table is on page 20.
19
<PAGE> 22
FUND PROFILE (continued)
<TABLE>
<CAPTION>
COUNTRY DIVERSIFICATION (% OF COMMON STOCKS)
-------------------------------------------------------------
JUNE 30, 2000
-------------------------------
INTERNATIONAL MSCI EAFE INDEX
-------------------------------
<S> <C> <C>
Australia .......... 2.7% 2.8%
Austria ............ 0.2 0.2
Belgium ............ 0.7 0.8
Denmark ............ 0.8 0.8
Finland ............ 3.1 3.1
France ............. 10.9 11.4
Germany ............ 8.6 8.6
Hong Kong .......... 2.1 2.1
Ireland ............ 0.3 0.4
Italy .............. 4.4 4.4
Japan .............. 27.0 26.7
Netherlands ........ 6.0 5.4
New Zealand ........ 0.2 0.1
Norway ............. 0.4 0.4
Portugal ........... 0.5 0.5
Singapore .......... 1.0 1.0
Spain .............. 2.6 2.7
Sweden ............. 3.3 3.3
Switzerland ........ 5.8 5.8
United Kingdom ..... 19.1 19.5
United States ...... 0.3 0.0
-------------------------------------------------------------
TOTAL 100.0% 100.0%
</TABLE>
20
<PAGE> 23
FINANCIAL STATEMENTS
JUNE 30, 2000 (UNAUDITED)
The Statements of Net Assets, integral parts of the Financial Statements for
each of the Vanguard Tax-Managed Funds, are included as an insert to this
report.
STATEMENT OF OPERATIONS
This Statement shows dividend and interest income earned by each fund during the
reporting period, and details the operating expenses charged to each class of
its shares. These expenses directly reduce the amount of investment income
available to pay to shareholders as dividends. This Statement also shows any Net
Gain (Loss) realized on the sale of investments, and the increase or decrease in
the Unrealized Appreciation (Depreciation) on investments during the period. If
a fund invested in futures contracts during the period, the results of these
investments are shown separately.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
TAX-MANAGED
BALANCED
FUND
-----------------
SIX MONTHS ENDED
JUNE 30, 2000
(000)
-----------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
INCOME
Dividends $ 332
Interest 4,639
Security Lending 17
---------
Total Income 4,988
---------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 19
Management and Administrative 291
Marketing and Distribution 23
Custodian Fees 8
Auditing Fees 4
Shareholders' Reports 21
Trustees' Fees and Expenses --
---------
Total Expenses 366
Expenses Paid Indirectly--Note C (11)
---------
Net Expenses 355
-----------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,633
-----------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) ON INVESTMENT SECURITIES SOLD 3,138
-----------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF INVESTMENT SECURITIES 4,502
-----------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 12,273
=========================================================================================
</TABLE>
21
<PAGE> 24
STATEMENT OF OPERATIONS (continued)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED TAX-MANAGED
GROWTH AND CAPITAL TAX-MANAGED TAX-MANAGED
INCOME APPRECIATION SMALL-CAP INTERNATIONAL
FUND FUND FUND FUND
-----------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 2000
-----------------------------------------------------------------
(000) (000) (000) (000)
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends* $ 13,810 $ 6,585 $ 927 $ 1,660
Interest 65 134 39 29
Security Lending 23 374 48 --
-----------------------------------------------------------------
Total Income 13,898 7,093 1,014 1,689
-----------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 25 25 8 8
Management and Administrative--
Investor Shares 1,832 2,126 182 69
Management and Administrative--
Institutional Shares 50 79 7
Marketing and Distribution--Investor Shares 156 146 16 10
Marketing and Distribution--Institutional Shares 5 8 1
Custodian Fees 35 28 39 195
Auditing Fees 5 5 4 4
Shareholders' Reports--Investor Shares 17 14 1 --
Shareholders' Reports--Institutional Shares -- -- -- --
Trustees' Fees and Expenses 1 1 -- --
-----------------------------------------------------------------
Total Expenses 2,126 2,432 258 286
Expenses Paid Indirectly--Note C -- (3) -- --
-----------------------------------------------------------------
Net Expenses 2,126 2,429 258 286
-----------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 11,772 4,664 756 1,403
-----------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (18,880) (14,017) 1,729 (967)
Foreign Currencies -- -- -- (15)
-----------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (18,880) (14,017) 1,729 (982)
-----------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 747 97,243 17,011 (6,713)
Foreign Currencies -- -- -- (7)
-----------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 747 97,243 17,011 (6,720)
-----------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (6,361) $ 87,890 $ 19,496 $(6,299)
=============================================================================================================================
</TABLE>
*Dividends for the Tax-Managed International Fund are net of foreign withholding
taxes of $191,000.
22
<PAGE> 25
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the amount shareholders invested in the
fund, either by purchasing shares or by reinvesting distributions, as well as
the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed
are shown at the end of the Statement. Distributions, Capital Share
Transactions, and Shares Issued and Redeemed are shown separately for each class
of shares.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED TAX-MANAGED
BALANCED GROWTH AND INCOME
FUND FUND
-------------------------------- -----------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, 2000 DEC. 31, 1999 JUNE 30, 2000 DEC. 31, 1999
(000) (000) (000) (000)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 4,633 $ 6,649 $ 11,772 $ 20,396
Realized Net Gain (Loss) 3,138 (600) (18,880) (22,026)
Change in Unrealized Appreciation (Depreciation) 4,502 34,103 747 367,353
---------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 12,273 40,152 (6,361) 365,723
---------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (4,091) (6,810) (10,561) (20,158)
Institutional Shares* -- -- (521) (829)
Realized Capital Gain
Investor Shares -- -- -- --
Institutional Shares* -- -- -- --
---------------------------------------------------------------------------
Total Distributions (4,091) (6,810) (11,082) (20,987)
---------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 55,420 95,687 291,757 704,246
Issued in Lieu of Cash Distributions 3,572 5,935 8,833 16,735
Redeemed** (9,560) (12,215) (94,421) (167,468)
---------------------------------------------------------------------------
Net Increase--Investor Shares 49,432 89,407 206,169 553,513
---------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- -- 4,029 100,931
Issued in Lieu of Cash Distributions -- -- 151 425
Redeemed** -- -- (1,925) (3,823)
---------------------------------------------------------------------------
Net Increase--Institutional Shares* -- -- 2,255 97,533
-----------------------------------------------------------------------------------------------------------------------------------
Total Increase 57,614 122,749 190,981 995,782
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 329,681 206,932 2,348,213 1,352,431
---------------------------------------------------------------------------
End of Period $ 387,295 $ 329,681 $ 2,539,194 $ 2,348,213
===================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 2,932 5,480 9,452 24,799
Issued in Lieu of Cash Distributions 183 335 275 577
Redeemed (510) (704) (3,104) (5,867)
---------------------------------------------------------------------------
Net Increase in Shares Outstanding 2,605 5,111 6,623 19,509
===================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- -- 128 3,511
Issued in Lieu of Cash Distributions -- -- 5 15
Redeemed -- -- (63) (137)
---------------------------------------------------------------------------
Net Increase in Shares Outstanding* -- -- 70 3,389
===================================================================================================================================
</TABLE>
*The Tax-Managed Balanced Fund does not offer Institutional Shares.
**Net of redemption fees of $114,000, $125,000, $978,000 and $814,000,
respectively (fund totals by period).
23
<PAGE> 26
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED TAX-MANAGED
CAPITAL APPRECIATION SMALL-CAP
FUND FUND
---------------------------------- ---------------------------------
SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED FEB. 25* TO
JUNE 30, 2000 DEC. 31, 1999 JUNE 30, 2000 DEC. 31, 1999
(000) (000) (000) (000)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 4,664 $ 8,877 $ 756 $ 795
Realized Net Gain (Loss) (14,017) (21,987) 1,729 (1,869)
Change in Unrealized Appreciation (Depreciation) 97,243 598,867 17,011 33,471
-------------------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 87,890 585,757 19,496 32,397
-------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (8,469) -- (788)
Institutional Shares -- (703) -- (90)
Realized Capital Gain
Investor Shares -- -- -- --
Institutional Shares -- -- -- --
-------------------------------------------------------------------------
Total Distributions -- (9,172) -- (878)
-------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 415,620 500,092 81,478 181,354
Issued in Lieu of Cash Distributions -- 7,351 -- 711
Redeemed** (54,850) (148,263) (3,774) (16,758)
-------------------------------------------------------------------------
Net Increase--Investor Shares 360,770 359,180 77,704 165,307
-------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued 19,700 128,423 22,505 16,312
Issued in Lieu of Cash Distributions -- 563 -- 90
Redeemed** (10) -- -- --
-------------------------------------------------------------------------
Net Increase--Institutional Shares 19,690 128,986 22,505 16,402
-----------------------------------------------------------------------------------------------------------------------------------
Total Increase 468,350 1,064,751 119,705 213,228
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 2,543,550 1,478,799 213,228 --
-------------------------------------------------------------------------
End of Period $ 3,011,900 $ 2,543,550 $ 332,933 $ 213,228
===================================================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 12,163 17,329 6,188 16,893
Issued in Lieu of Cash Distributions -- 219 -- 59
Redeemed (1,618) (5,527) (293) (1,550)
-------------------------------------------------------------------------
Net Increase in Shares Outstanding 10,545 12,021 5,895 15,402
===================================================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued 585 4,817 1,744 1,500
Issued in Lieu of Cash Distributions -- 17 -- 7
Redeemed -- -- -- --
-------------------------------------------------------------------------
Net Increase in Shares Outstanding 585 4,834 1,744 1,507
===================================================================================================================================
</TABLE>
*Initial share purchase date. Subscription period for the fund was February 22,
1999, to March 24, 1999, during which time all assets were held in money
market instruments.
**Net of redemption fees of $474,000, $380,000, $51,000, and $36,000,
respectively (fund totals by period).
24
<PAGE> 27
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------
TAX-MANAGED
INTERNATIONAL
FUND
----------------------------------
SIX MONTHS
ENDED AUG. 17* TO
JUNE 30, 2000 DEC. 31, 1999
(000) (000)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 1,403 $ 353
Realized Net Loss (982) (819)
Change in Unrealized Appreciation (Depreciation) (6,720) 19,399
----------------------------------
Net Increase (Decrease) in Net Assets Resulting from Operations (6,299) 18,933
----------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares -- (432)
Institutional Shares -- --
Realized Capital Gain
Investor Shares -- --
Institutional Shares -- --
----------------------------------
Total Distributions -- (432)
----------------------------------
CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1)
Issued 60,569 116,067
Issued in Lieu of Cash Distributions -- 308
Redeemed** (2,631) (44)
----------------------------------
Net Increase--Investor Shares 57,938 116,331
----------------------------------
CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(2)
Issued -- --
Issued in Lieu of Cash Distributions -- --
Redeemed -- --
----------------------------------
Net Increase--Institutional Shares -- --
-----------------------------------------------------------------------------------------------------------
Total Increase 51,639 134,832
-----------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 134,832 --
----------------------------------
End of Period $ 186,471 $ 134,832
===========================================================================================================
(1)Shares Issued (Redeemed)--Investor Shares
Issued 5,232 11,252
Issued in Lieu of Cash Distributions -- 26
Redeemed (232) (3)
----------------------------------
Net Increase in Shares Outstanding 5,000 11,275
===========================================================================================================
(2)Shares Issued (Redeemed)--Institutional Shares
Issued -- --
Issued in Lieu of Cash Distributions -- --
Redeemed -- --
----------------------------------
Net Increase in Shares Outstanding -- --
===========================================================================================================
</TABLE>
*Inception.
**Net of redemption fees of $52,000 and $1,000, respectively.
25
<PAGE> 28
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
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>
---------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED BALANCED FUND
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ----------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2000 1999 1998 1997 1996 1995
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 18.87 $ 16.74 $ 14.67 $ 12.92 $ 11.85 $ 9.79
---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .23 .43 .39 .37 .36 .31
Net Realized and Unrealized Gain (Loss)
on Investments .40 2.13 2.07 1.75 1.07 2.07
--------------------------------------------------------------------------------
Total from Investment Operations .63 2.56 2.46 2.12 1.43 2.38
--------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.21) (.43) (.39) (.37) (.36) (.32)
Distributions from Realized Capital Gains -- -- -- -- -- --
--------------------------------------------------------------------------------
Total Distributions (.21) (.43) (.39) (.37) (.36) (.32)
---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 19.29 $ 18.87 $ 16.74 $ 14.67 $ 12.92 $ 11.85
=================================================================================================================================
TOTAL RETURN* 3.33% 15.49% 16.93% 16.55% 12.21% 24.52%
=================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 387 $ 330 $ 207 $ 120 $ 63 $ 39
Ratio of Total Expenses to
Average Net Assets 0.20%** 0.20% 0.19% 0.17% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 2.57%** 2.52% 2.63% 2.77% 3.04% 3.06%
Portfolio Turnover Rate 17%** 13% 7% 7% 5% 5%
=================================================================================================================================
</TABLE>
*Total returns do not reflect the 2% redemption fee on shares held less than
one year, or the 1% redemption fee on shares held at least one year but less
than five years.
**Annualized.
26
<PAGE> 29
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED GROWTH AND INCOME FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ---------------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2000 1999 1998 1997 1996 1995
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 31.81 $ 26.55 $ 20.88 $ 15.89 $ 13.16 $ 9.77
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .15 .307 .29 .29 .27 .25
Net Realized and Unrealized Gain (Loss)
on Investments (.29) 5.267 5.67 4.98 2.74 3.39
------------------------------------------------------------------------------------
Total from Investment Operations (.14) 5.574 5.96 5.27 3.01 3.64
------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.14) (.314) (.29) (.28) (.28) (.25)
Distributions from Realized Capital Gains -- -- -- -- -- --
------------------------------------------------------------------------------------
Total Distributions (.14) (.314) (.29) (.28) (.28) (.25)
------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 31.53 $ 31.81 $ 26.55 $ 20.88 $ 15.89 $ 13.16
====================================================================================================================================
TOTAL RETURN* -0.45% 21.12% 28.67% 33.31% 23.03% 37.53%
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 2,430 $ 2,240 $ 1,352 $ 579 $ 235 $ 98
Ratio of Total Expenses to
Average Net Assets 0.18%** 0.19% 0.19% 0.17% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 0.97%** 1.11% 1.32% 1.62% 2.04% 2.37%
Portfolio Turnover Rate 3%** 4% 4% 2% 7% 6%
====================================================================================================================================
</TABLE>
*Total returns do not reflect the 2% redemption fee on shares held less than
one year, or the 1% redemption fee on shares held at least one year but less
than five years.
**Annualized.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
TAX-MANAGED GROWTH AND INCOME FUND
INSTITUTIONAL SHARES
FOR A SHARE OUTSTANDING SIX MONTHS ENDED MAR. 4* TO
THROUGHOUT EACH PERIOD JUNE 30, 2000 DEC. 31, 1999
-----------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 31.81 $ 26.99
-----------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .170 .274
Net Realized and Unrealized Gain (Loss) on Investments (.289) 4.882
-----------------------------
Total from Investment Operations (.119) 5.156
-----------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.151) (.336)
Distributions from Realized Capital Gains -- --
-----------------------------
Total Distributions (.151) (.336)
-----------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 31.54 $ 31.81
===============================================================================================
TOTAL RETURN** -0.38% 19.23%
===============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 109 $ 108
Ratio of Total Expenses to Average Net Assets 0.11%+ 0.10%+
Ratio of Net Investment Income to Average Net Assets 1.04%+ 1.18%+
Portfolio Turnover Rate 3%+ 4%
===============================================================================================
</TABLE>
*Inception.
**Total returns do not reflect the 2% redemption fee on shares held less than
one year, or the 1% redemption fee on shares held at least one year but less
than five years.
+Annualized.
27
<PAGE> 30
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED CAPITAL APPRECIATION FUND INVESTOR SHARES
YEAR ENDED DECEMBER 31,
FOR A SHARE OUTSTANDING SIX MONTHS ENDED ---------------------------------------------------------------------
THROUGHOUT EACH PERIOD JUNE 30, 2000 1999 1998 1997 1996 1995
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 34.17 $ 25.69 $ 20.18 $ 15.95 $ 13.28 $ 9.95
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .06 .117 .13 .11 .12 .08
Net Realized and Unrealized Gain (Loss)
on Investments .97 8.487 5.51 4.24 2.66 3.34
-------------------------------------------------------------------------------------
Total from Investment Operations 1.03 8.604 5.64 4.35 2.78 3.42
-------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.124) (.13) (.12) (.11) (.09)
Distributions from Realized Capital Gains -- -- -- -- -- --
-------------------------------------------------------------------------------------
Total Distributions -- (.124) (.13) (.12) (.11) (.09)
------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 35.20 $ 34.17 $ 25.69 $ 20.18 $ 15.95 $ 13.28
====================================================================================================================================
TOTAL RETURN* 3.01% 33.50% 27.95% 27.29% 20.92% 34.38%
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 2,821 $ 2,378 $ 1,479 $ 893 $ 517 $ 254
Ratio of Total Expenses to
Average Net Assets 0.18%** 0.19% 0.19% 0.17% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 0.33%** 0.47% 0.62% 0.70% 0.91% 0.97%
Portfolio Turnover Rate 24%** 12% 5% 4% 12% 7%
====================================================================================================================================
</TABLE>
*Total returns do not reflect the 2% redemption fee on shares held less than
one year, or the 1% redemption fee on shares held at least one year but less
than five years.
**Annualized.
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
TAX-MANAGED CAPITAL APPRECIATION FUND
INSTITUTIONAL SHARES
SIX MONTHS ENDED FEB. 24* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2000 DEC. 31, 1999
----------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 34.18 $ 26.32
----------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .07 .129
Net Realized and Unrealized Gain (Loss) on Investments .97 7.877
----------------------------
Total from Investment Operations 1.04 8.006
----------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.146)
Distributions from Realized Capital Gains -- --
----------------------------
Total Distributions -- (.146)
----------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 35.22 $ 34.18
==============================================================================================
TOTAL RETURN** 3.04% 30.43%
==============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 191 $ 165
Ratio of Total Expenses to Average Net Assets 0.10%+ 0.10%+
Ratio of Net Investment Income to Average Net Assets 0.41%+ 0.56%+
Portfolio Turnover Rate 24%+ 12%
==============================================================================================
</TABLE>
*Inception.
**Total returns do not reflect the 2% redemption fee on shares held less than
one year, or the 1% redemption fee on shares held at least one year but less
than five years.
+Annualized.
28
<PAGE> 31
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
TAX-MANAGED SMALL-CAP FUND
INVESTOR SHARES
SIX MONTHS ENDED FEB. 25* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2000 DEC. 31, 1999
----------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.61 $ 10.00
----------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .03 .049
Net Realized and Unrealized Gain (Loss) on Investments .92 2.615
----------------------------
Total from Investment Operations .95 2.664
----------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.054)
Distributions from Realized Capital Gains -- --
----------------------------
Total Distributions -- (.054)
----------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.56 $ 12.61
==============================================================================================
TOTAL RETURN** 7.53% 26.28%
==============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 289 $ 194
Ratio of Total Expenses to Average Net Assets 0.20%+ 0.19%+
Ratio of Net Investment Income to Average Net Assets 0.55%+ 0.70%+
Portfolio Turnover Rate 35%+ 27%
==============================================================================================
</TABLE>
*Initial share purchase date. Subscription period for the fund was February 22,
1999, to March 24, 1999, during which time all assets were held in money
market instruments. Performance measurement begins March 25, 1999.
**Total returns do not reflect the transaction fee on purchases (0.5% beginning
4/1/2000, 1% through 3/31/2000), or the 2% redemption fee on shares held less
than one year or the 1% redemption fee on shares held at least one year but
less than five years.
+Annualized.
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
TAX-MANAGED SMALL-CAP FUND
INSTITUTIONAL SHARES
SIX MONTHS ENDED APR. 21* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2000 DEC. 31, 1999
--------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.61 $ 10.76
--------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .04 .044
Net Realized and Unrealized Gain (Loss) on Investments .92 1.866
--------------------------
Total from Investment Operations .96 1.910
--------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.060)
Distributions from Realized Capital Gains -- --
--------------------------
Total Distributions -- (.060)
--------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.57 $ 12.61
============================================================================================
TOTAL RETURN** 7.61% 17.77%
============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 44 $ 19
Ratio of Total Expenses to Average Net Assets 0.10%+ 0.10%+
Ratio of Net Investment Income to Average Net Assets 0.66%+ 0.74%+
Portfolio Turnover Rate 35%+ 27%
============================================================================================
</TABLE>
*Inception.
**Total returns do not reflect the transaction fee on purchases (0.5% beginning
4/1/2000, 1% through 3/31/2000), or the 2% redemption fee on shares held less
than one year or the 1% redemption fee on shares held at least one year but
less than five years.
+Annualized.
29
<PAGE> 32
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
TAX-MANAGED INTERNATIONAL FUND
SIX MONTHS ENDED AUG. 17* TO
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2000 DEC. 31, 1999
---------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.96 $ 10.00
---------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .09 .03
Net Realized and Unrealized Gain (Loss) on Investments (.59) 1.97
---------------------------
Total from Investment Operations (.50) 2.00
---------------------------
DISTRIBUTIONS
Dividends from Net Investment Income -- (.04)
Distributions from Realized Capital Gains -- --
---------------------------
Total Distributions -- (.04)
---------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.46 $ 11.96
=============================================================================================
TOTAL RETURN** -4.18% 20.01%
=============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 186 $ 135
Ratio of Total Expenses to Average Net Assets 0.35%+ 0.35%+
Ratio of Net Investment Income to Average Net Assets 1.71%+ 0.96%+
Portfolio Turnover Rate 4%+ 7%
=============================================================================================
</TABLE>
*Inception.
**Total returns do not reflect the transaction fee on purchases (0.25% beginning
4/1/2000, 0.75% through 3/31/2000), or the 2% redemption fee.
+Annualized.
30
<PAGE> 33
NOTES TO FINANCIAL STATEMENTS
Vanguard Tax-Managed Funds comprise the Tax-Managed Balanced, Tax-Managed Growth
and Income, Tax-Managed Capital Appreciation, Tax-Managed Small-Cap, and
Tax-Managed International Funds, each of which is registered under the
Investment Company Act of 1940 as a diversified open-end investment company, or
mutual fund.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The funds consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Equity securities listed on an exchange 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 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. Temporary cash investments are valued at cost, which
approximates market value. Securities for which market quotations are not
available are valued by methods deemed by the board of trustees to represent
fair value.
2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
3. REPURCHASE AGREEMENTS: Each fund, along with other members of The
Vanguard Group, transfers uninvested cash balances to a pooled cash account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
4. FOREIGN CURRENCY: Securities and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars at the
exchange rates on the valuation date as employed by Morgan Stanley Capital
International in the calculation of its indexes.
Realized gains (losses) and unrealized appreciation (depreciation) on
investment securities include the effects of changes in exchange rates since the
securities were purchased, combined with the effects of changes in security
prices. Fluctuations in the value of other assets and liabilities resulting from
changes in exchange rates are recorded as unrealized foreign currency gains
(losses) until the asset or liability is settled in cash, when they are recorded
as realized foreign currency gains (losses).
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date. Distributions are determined on a tax basis and may differ
from net investment income and realized capital gains for financial reporting
purposes.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold. Premiums and original issue discounts
on municipal bonds are amortized and accreted, respectively, to interest income
over the lives of the respective securities. Fees assessed on capital share
transactions are credited to paid in capital.
31
<PAGE> 34
NOTES TO FINANCIAL STATEMENTS (continued)
B. The Vanguard Group provides investment advisory, corporate management,
administrative, marketing, and distribution services. The costs of such services
are allocated to each fund under methods approved by the board of trustees. Each
fund has committed to provide up to 0.40% of its assets in capital contributions
to Vanguard. At June 30, 2000, the funds had contributed capital to Vanguard
(included in Other Assets) of:
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
CAPITAL CONTRIBUTED PERCENTAGE PERCENTAGE
TO VANGUARD OF FUND OF VANGUARD'S
TAX-MANAGED FUND (000) NET ASSETS CAPITALIZATION
-----------------------------------------------------------------------
<S> <C> <C> <C>
Balanced $ 72 0.02% 0.07%
Growth and Income 482 0.02 0.48
Capital Appreciation 557 0.02 0.56
Small-Cap 58 0.02 0.06
International 34 0.02 0.03
-----------------------------------------------------------------------
</TABLE>
The funds' trustees and officers are also directors and officers of Vanguard.
C. The Tax-Managed Balanced Fund's investment adviser may direct new issue
purchases, subject to obtaining the best price and execution, to underwriters
who have agreed to rebate or credit to the fund part of the underwriting fees
generated. Such rebates or credits are used solely to reduce the fund's
management and administrative expenses. The funds' custodian banks have also
agreed to reduce their fees when the funds maintain cash on deposit in their
non-interest-bearing custody accounts. For the six months ended June 30, 2000,
these arrangements reduced expenses by:
<TABLE>
<CAPTION>
----------------------------------------------------------------------
EXPENSE
REDUCTION
(000)
-------------------------------
MANAGEMENT AND CUSTODIAN
TAX-MANAGED FUND ADMINISTRATIVE FEES
----------------------------------------------------------------------
<S> <C> <C>
Balanced $9 $2
Capital Appreciation -- 3
----------------------------------------------------------------------
</TABLE>
D. Each fund, except the Tax-Managed Balanced Fund, offers two classes of
shares, Investor Shares and Institutional Shares. As of June 30, 2000, the
Tax-Managed International Fund has not issued Institutional Shares.
Institutional shares are designed primarily for institutional investors that
meet certain administrative and servicing criteria and have a minimum investment
of $10 million. Investor Shares are offered to all other investors. Both classes
of shares have equal rights to assets and earnings, except that each class bears
certain class-specific expenses related to maintenance of shareholder accounts
(included in Management and Administrative expense), marketing and distribution,
and shareholder reporting. Class-specific expenses for the six months ended June
30, 2000, represented the following percentages of average net assets:
<TABLE>
<CAPTION>
----------------------------------------------------------------------
INVESTOR INSTITUTIONAL
TAX-MANAGED FUND SHARES* SHARES*
----------------------------------------------------------------------
<S> <C> <C>
Growth and Income 0.12% 0.05%
Capital Appreciation 0.12 0.04
Small-Cap 0.14 0.04
----------------------------------------------------------------------
*Annualized.
</TABLE>
32
<PAGE> 35
Income, expenses not attributable to a specific class, and realized and
unrealized gains and losses on investments are allocated to each class of shares
based on its relative net assets.
E. During the six months ended June 30, 2000, purchases and sales of investment
securities other than temporary cash investments were:
<TABLE>
<CAPTION>
---------------------------------------------------------------------
(000)
-----------------------------
TAX-MANAGED FUND PURCHASES SALES
---------------------------------------------------------------------
<S> <C> <C>
Balanced $ 83,079 $ 27,256
Growth and Income 252,467 35,388
Capital Appreciation 730,120 331,886
Small-Cap 150,911 47,107
International 61,847 3,077
---------------------------------------------------------------------
</TABLE>
During the six months ended June 30, 2000, the Tax-Managed International
Fund realized net foreign currency losses of $15,000, which decreased
distributable net income for tax purposes; accordingly, such losses have been
reclassified from accumulated net realized losses to overdistributed net
investment income.
At December 31, 1999, the funds had available realized capital losses to
offset future net capital gains through the following fiscal year-ends:
<TABLE>
<CAPTION>
---------------------------------------------------------------------
EXPIRATION
FISCAL YEAR(s) ENDING AMOUNT
TAX-MANAGED FUND DECEMBER 31, (000)
---------------------------------------------------------------------
<S> <C> <C>
Balanced 2003-2008 $ 4,032
Growth and Income 2004-2008 24,461
Capital Appreciation 2004-2008 52,452
Small-Cap 2007-2008 1,869
International 2007 816
---------------------------------------------------------------------
</TABLE>
F. At June 30, 2000, net unrealized appreciation of investment securities for
financial reporting and federal income tax purposes was:
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
(000)
------------------------------------------------
APPRECIATED DEPRECIATED NET UNREALIZED
TAX-MANAGED FUND SECURITIES SECURITIES APPRECIATION
-----------------------------------------------------------------------
<S> <C> <C> <C>
Balanced $ 89,550 $ (4,110) $ 85,440
Growth and Income 856,771 (106,567) 750,204
Capital Appreciation 1,314,050 (30,528) 1,283,522
Small-Cap 73,318 (22,836) 50,482
International 21,723 (9,036) 12,687
-----------------------------------------------------------------------
</TABLE>
The Tax-Managed International Fund had net unrealized foreign currency
losses of $8,000 resulting from the translation of other assets and liabilities
at June 30, 2000.
33
<PAGE> 36
NOTES TO FINANCIAL STATEMENTS (continued)
G. The market value of securities on loan to broker/dealers at June 30, 2000,
and collateral received with respect to such loans were:
<TABLE>
<CAPTION>
----------------------------------------------------------------------
(000)
----------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
TAX-MANAGED FUND SECURITIES RECEIVED
----------------------------------------------------------------------
<S> <C> <C>
Balanced $ 434 $ 471
Growth and Income 249 266
Capital Appreciation 15,466 15,782
Small-Cap 651 992
----------------------------------------------------------------------
</TABLE>
Cash collateral received is invested in repurchase agreements.
34
<PAGE> 37
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 Fund
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> 38
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 &
JohnsonoMerck Consumer Pharmaceuticals Co., The Medical Center at Princeton, and
Women's Research and Education Institute.
BRUCE K. MACLAURY - (1990) President Emeritus of The Brookings Institution;
Director of American Express Bank Ltd., The St. Paul Companies, Inc., and
National Steel Corp.
BURTON G. MALKIEL - (1977) Chemical Bank Chairman's Professor of Economics,
Princeton University; Director of Prudential Insurance Co. of America, Banco
Bilbao Gestinova, Baker Fentress & Co., The Jeffrey Co., and Select Sector SPDR
Trust.
ALFRED M. RANKIN, JR. - (1993) Chairman, President, Chief Executive Officer, and
Director of NACCO Industries, Inc.; Director of The BFGoodrich Co.
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> 39
[SHIP]
[THE VANGUARD GROUP(R) LOGO]
Post Office Box 2600
Valley Forge, Pennsylvania 19482-2600
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.
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
This report is intended for the funds' shareholders. It may not be distributed
to prospective investors unless it is preceded or accompanied by the current
fund prospectus.
Q872 082000
(C) 2000 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
<PAGE> 40
VANGUARD TAX-MANAGED FUNDS
STATEMENT OF NET ASSETS - JUNE 30, 2000 (UNAUDITED)
The Statement of Net Assets should be read in conjunction with the Statement of
Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes
to Financial Statements, which begin on page 21 of the accompanying report.
This Statement provides a detailed list of each fund's holdings,
including each security's market value on the last day of the reporting period.
Securities are grouped and subtotaled by asset type (common stocks, bonds,
etc.), with common stocks listed in descending market value order. 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 of each fund, you will find a
table displaying the composition of the fund's net assets. Because all income
and any realized gains must be distributed to shareholders each year, the bulk
of net assets consists of Paid in Capital (money invested by shareholders). The
amounts shown for Undistributed Net Investment Income and Accumulated Net
Realized Gains usually approximate the sums the fund had available to distribute
to shareholders as income dividends or capital gains as of the statement date.
Any Accumulated Net Realized Losses, and any cumulative excess of distributions
over net income or net realized gains, will appear as negative balances.
Unrealized Appreciation (Depreciation) is the difference between the market
value of the fund's investments and their cost, and reflects the gains (losses)
that would be realized if the fund were to sell all of its investments at their
statement-date values.
<TABLE>
<CAPTION>
CONTENTS
<S> <C>
Tax-Managed Balanced Fund ..................... 1
Tax-Managed Growth and Income Fund ............ 10
Tax-Managed Capital Appreciation Fund ......... 15
Tax-Managed Small-Cap Fund .................... 20
Tax-Managed International Fund ................ 26
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
TAX-MANAGED VALUE*
BALANCED FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (47.5%)
-------------------------------------------------------------------------------
General Electric Co. 145,209 $ 7,696
- Cisco Systems, Inc. 100,700 6,401
Intel Corp. 47,000 6,283
- Microsoft Corp. 56,000 4,480
Pfizer, Inc. 88,725 4,259
Citigroup, Inc. 51,395 3,097
- Oracle Corp. 34,750 2,921
Exxon Mobil Corp. 35,672 2,800
Lucent Technologies, Inc. 47,041 2,787
- EMC Corp. 32,800 2,524
Wal-Mart Stores, Inc. 43,100 2,484
American International Group, Inc. 20,718 2,434
International Business
Machines Corp. 20,700 2,268
- Sun Microsystems, Inc. 24,800 2,255
- America Online, Inc. 35,660 1,881
Home Depot, Inc. 36,500 1,823
- Viacom Inc. Class B 26,429 1,802
Merck & Co., Inc. 22,600 1,732
Hewlett-Packard Co. 13,800 1,723
Texas Instruments, Inc. 25,000 1,717
Johnson & Johnson 16,694 1,701
- Dell Computer Corp. 33,500 1,652
- WorldCom, Inc. 35,265 1,618
Morgan Stanley Dean Witter & Co. 18,960 1,578
Eli Lilly & Co. 15,800 1,578
Time Warner, Inc. 18,900 1,436
Corning, Inc. 5,000 1,349
- Applied Materials, Inc. 14,600 1,323
The Walt Disney Co. 32,600 1,265
- Amgen, Inc. 17,700 1,243
SBC Communications Inc. 26,444 1,144
Pharmacia Corp. 21,075 1,089
- AT&T Corp.-Liberty Media Class A 43,594 1,057
Medtronic, Inc. 20,300 1,011
- Veritas Software Corp. 8,700 983
- JDS Uniphase Corp. 8,100 971
- Micron Technology, Inc. 10,600 933
Motorola, Inc. 31,806 924
- Siebel Systems, Inc. 5,400 883
McDonald's Corp. 23,100 761
- Sprint PCS 12,700 756
- Analog Devices, Inc. 9,934 755
The Coca-Cola Co. 13,000 747
- Yahoo!, Inc. 6,000 743
- MediaOne Group, Inc. 11,200 743
- ADC Telecommunications, Inc. 8,800 738
</TABLE>
1
<PAGE> 41
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
TAX-MANAGED VALUE*
BALANCED FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Xilinx, Inc. 8,800 $ 727
Charles Schwab Corp. 20,650 694
Bristol-Myers Squibb Co. 11,900 693
Linear Technology Corp. 10,800 691
- QUALCOMM, Inc. 11,300 678
Merrill Lynch & Co., Inc. 5,700 656
- NEXTEL Communications, Inc. 10,600 649
Sprint Corp. 12,700 648
BellSouth Corp. 14,700 627
- Comcast Corp.-Special Class A 15,400 624
- Altera Corp. 6,100 622
- Sepracor Inc. 5,000 603
Fannie Mae 11,500 600
Adobe Systems, Inc. 4,600 598
- Immunex Corp. 12,000 593
- Maxim Integrated Products, Inc. 8,600 584
- IVAX Corp. 13,950 579
- Calpine Corp. 8,800 579
- Level 3 Communications, Inc. 6,500 572
- 3Com Corp. 9,900 570
- Rowan Cos., Inc. 18,700 568
Computer Associates
International, Inc. 11,046 565
- Infinity Broadcasting Corp. 14,975 546
- Advanced Micro Devices, Inc. 7,000 541
- Tellabs, Inc. 7,900 541
PepsiCo, Inc. 12,000 533
- Ocean Energy, Inc. 37,500 532
Bank of America Corp. 12,205 525
- Juniper Networks, Inc. 3,600 524
- Network Appliance, Inc. 6,500 523
- Continental Airlines, Inc. Class B 11,000 517
- AES Corp. 11,200 511
- MedImmune Inc. 6,900 511
- LSI Logic Corp. 9,400 509
- Clear Channel
Communications, Inc. 6,730 505
- Solectron Corp. 12,000 503
- Safeway, Inc. 11,134 502
American Express Co. 9,600 500
- Waters Corp. 4,000 499
- BJ Services Co. 7,900 494
- R & B Falcon Corp. 20,904 493
- Atmel Corp. 13,200 487
- Nabors Industries, Inc. 11,600 482
Automatic Data Processing, Inc. 9,000 482
- Apple Computer, Inc. 9,200 482
- Kohl's Corp. 8,600 478
- Watson Pharmaceuticals, Inc. 8,800 473
Compaq Computer Corp. 18,181 465
Baxter International, Inc. 6,600 464
- The Kroger Co. 21,000 463
Dynegy, Inc. 6,762 462
- General Motors Corp. Class H 5,254 461
- Comverse Technology, Inc. 4,900 456
- VoiceStream Wireless Corp. 3,900 454
UnitedHealth Group Inc. 5,200 446
- Convergys Corp. 8,500 441
- National Semiconductor Corp. 7,700 437
Paychex, Inc. 10,350 435
- KLA-Tencor Corp. 7,400 433
- Grant Prideco, Inc. 17,215 430
- Forest Laboratories, Inc. 4,200 424
Bell Atlantic Corp. 8,300 422
The Gap, Inc. 13,425 420
- Global Marine, Inc. 14,800 417
State Street Corp. 3,900 414
- Noble Drilling Corp. 10,000 412
Alcoa Inc. 13,888 403
- McLeodUSA, Inc. Class A 19,200 397
- Teradyne, Inc. 5,400 397
- Smith International, Inc. 5,400 393
- Agilent Technologies, Inc. 5,263 388
Lehman Brothers Holdings, Inc. 4,100 388
Schering-Plough Corp. 7,600 384
First Data Corp. 7,684 381
Harley-Davidson, Inc. 9,500 366
Abbott Laboratories 8,200 365
Kansas City Southern
Industries, Inc. 4,100 364
- Gateway, Inc. 6,400 363
- CDW Computer Centers, Inc. 5,800 363
Coastal Corp. 5,900 359
- Guidant Corp. 7,100 351
Providian Financial Corp. 3,900 351
Cardinal Health, Inc. 4,727 350
- AMFM Inc. 5,000 345
- Best Buy Co., Inc. 5,400 342
- NEXTLINK Communications, Inc. 9,000 341
- Starbucks Corp. 8,900 340
- ALZA Corp. 5,700 337
- BEA Systems, Inc. 6,800 336
- Seagate Technology Inc. 6,090 335
AFLAC, Inc. 7,200 331
- Chiron Corp. 6,840 325
- Biogen, Inc. 5,000 323
- Thermo Electron Corp. 15,300 322
- Oxford Health Plan 13,500 321
- Costco Wholesale Corp. 9,600 317
Lowe's Cos., Inc. 7,700 316
- FedEx Corp. 8,300 315
ENSCO International, Inc. 8,800 315
- Exodus Communications, Inc. 6,800 313
Southwest Airlines Co. 16,512 313
- American Tower Corp. Class A 7,400 308
- Cooper Cameron Corp. 4,600 304
- Weatherford International, Inc. 7,615 303
- Genzyme Corp. 5,100 303
- Robert Half International, Inc. 10,600 302
Telephone & Data Systems, Inc. 3,000 301
- Cox Communications, Inc. Class A 6,600 301
- VeriSign, Inc. 1,700 300
Capital One Financial Corp. 6,700 299
Stryker Corp. 6,800 298
- Lexmark International Group, Inc.
Class A 4,400 296
- Citizens Communications Co. 17,137 296
- Trigon Healthcare, Inc. 5,700 294
American Home Products Corp. 5,000 294
- i2 Technologies, Inc. 2,800 292
- Electronic Arts Inc. 4,000 292
- Computer Sciences Corp. 3,900 291
</TABLE>
2
<PAGE> 42
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Waste Management, Inc. 15,301 $ 291
- SPX Corp. 2,400 290
- SCI Systems, Inc. 7,400 290
- Univision Communications Inc. 2,800 290
E.I. du Pont de Nemours & Co. 6,600 289
- Qwest Communications
International Inc. 5,794 288
- Sycamore Networks, Inc. 2,600 287
- Bed Bath & Beyond, Inc. 7,900 286
- Metromedia Fiber Network, Inc. 7,200 286
The Goldman Sachs Group, Inc. 3,000 285
- BroadVision, Inc. 5,600 285
- Universal Health Services Class B 4,300 282
Tenet Healthcare Corp. 10,427 282
- Dollar Tree Stores, Inc. 7,050 279
- Santa Fe Snyder Corp. 24,500 279
- American Power Conversion Corp. 6,800 278
Molex, Inc. 5,766 277
- St. Jude Medical, Inc. 5,992 275
- Metropolitan Life Insurance Co. 13,000 274
The Boeing Co. 6,540 273
Starwood Hotels & Resorts
Worldwide, Inc. 8,400 271
- Millennium Pharmaceuticals, Inc. 2,400 267
BroadWing Inc. 10,300 267
- Human Genome Sciences, Inc. 2,000 267
The Pepsi Bottling Group, Inc. 9,100 266
AXA Financial, Inc. 7,800 265
- Cablevision Systems Corp. Class B 3,900 265
Apache Corp. 4,500 265
- Western Wireless Corp. Class A 4,800 262
Golden West Financial Corp. 6,400 261
- Intuit, Inc. 6,300 261
- Federated Department Stores, Inc. 7,700 260
Walgreen Co. 8,000 258
- Brocade Communications
Systems, Inc. 1,400 257
- Boston Scientific Corp. 11,700 257
Illinois Tool Works, Inc. 4,500 256
Anadarko Petroleum Corp. 5,200 256
Keebler Foods Co. 6,900 256
- BMC Software, Inc. 7,000 255
- Fiserv, Inc. 5,850 253
Lyondell Chemical Co. 15,000 251
- Safeguard Scientifics, Inc. 7,800 250
- Allegiance Telecom, Inc. 3,900 250
- Wellpoint Health Networks Inc.
Class A 3,433 249
- TIBCO Software Inc. 2,300 247
Union Pacific Resources
Group, Inc. 11,200 246
Progressive Corp. of Ohio 3,300 244
- ICOS Corp. 5,500 242
Danaher Corp. 4,800 237
- HEALTHSOUTH Corp. 32,900 236
- Smurfit-Stone Container Corp. 18,288 235
EOG Resources, Inc. 7,000 234
- Cendant Corp. 16,626 233
Wells Fargo Co. 6,000 233
- Andrx Corp. 3,600 230
- Celgene Corp. 3,900 230
- Pacificare Health Systems, Inc. 3,800 229
Kerr-McGee Corp. 3,874 228
- Jabil Circuit, Inc. 4,600 228
Ford Motor Co. 5,300 228
CenturyTel, Inc. 7,875 226
Millipore Corp. 3,000 226
Circuit City Stores, Inc. 6,800 226
- American Standard Cos., Inc. 5,500 226
M & T Bank Corp. 500 225
Franklin Resources Corp. 7,400 225
Expeditors International of
Washington, Inc. 4,700 223
- AMR Corp. 8,400 222
- BISYS Group, Inc. 3,600 221
- Sealed Air Corp. 4,220 221
- International Game Technology 8,300 220
Amerada Hess Corp. 3,500 216
Newmont Mining Corp. 9,989 216
Cintas Corp. 5,850 215
- US Airways Group, Inc. 5,500 214
- U.S. Cellular Corp. 3,400 214
- Conexant Systems, Inc. 4,400 214
General Motors Corp. 3,679 214
- Winstar Communications, Inc. 6,300 213
- Powertel Inc. 3,000 213
- Concord EFS, Inc. 8,175 213
- MiniMed, Inc. 1,800 212
- Jones Apparel Group, Inc. 9,000 211
- Tech Data Corp. 4,800 209
The PMI Group Inc. 4,350 207
Minnesota Mining &
Manufacturing Co. 2,500 206
- King Pharmaceuticals, Inc. 4,700 206
- DST Systems, Inc. 2,700 206
- TV Guide, Inc. 6,000 205
- Health Management Associates
Class A 15,712 205
- PRIMEDIA Inc. 9,000 205
Allmerica Financial Corp. 3,900 204
- Tritel, Inc. 6,800 202
Manpower Inc. 6,300 202
Noble Affiliates, Inc. 5,400 201
ALLTEL Corp. 3,230 200
- Republic Services, Inc. Class A 12,500 200
- Energizer Holdings, Inc. 10,900 199
- KEMET Corp. 7,800 195
Northeast Utilities 8,900 194
- AutoNation, Inc. 27,400 194
- Gentex Corp. 7,700 193
- Quanta Services, Inc. 3,500 192
Fastenal Co. 3,800 192
Delta Air Lines, Inc. 3,800 192
The St. Joe Co. 6,400 192
- Kmart Corp. 28,100 191
- FMC Corp. 3,300 191
NSTAR 4,700 191
- PanAmSat Corp. 4,344 190
Conoco Inc. Class B 7,700 189
- Litton Industries, Inc. 4,500 189
- Plug Power, Inc. 3,000 188
- Kopin Corp. 2,700 187
</TABLE>
3
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
TAX-MANAGED VALUE*
BALANCED FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Focal Communications Corp. 5,200 $ 186
Transatlantic Holdings, Inc. 2,200 184
- Fox Entertainment Group, Inc.
Class A 6,000 182
- USA Networks, Inc. 8,400 182
- BJ's Wholesale Club, Inc. 5,500 182
Coca-Cola Enterprises, Inc. 11,100 181
- Niagara Mohawk Holdings Inc. 12,800 178
- Wireless Facilities, Inc. 3,500 178
Kimberly-Clark Corp. 3,072 176
Homestake Mining Co. 25,400 175
- Metro-Goldwyn-Mayer Inc. 6,600 172
AMBAC Financial Group Inc. 3,100 170
- Dobson Communications Corp. 8,800 169
Sysco Corp. 4,000 169
- Saks Inc. 16,000 168
- Navistar International Corp. 5,400 168
Comdisco, Inc. 7,500 167
- Sybron International Corp. 8,400 166
- PeopleSoft, Inc. 9,700 162
- AT&T Wireless Group 5,800 162
- Brinker International, Inc. 5,500 161
- UnitedGlobalCom Inc. Class A 3,400 159
Sabre Holdings Corp. 5,540 158
Biomet, Inc. 4,100 158
- CNA Financial Corp. 4,600 156
- Genentech, Inc. 900 155
- NCR Corp. 3,968 155
- Golden State Bancorp Inc. 8,500 153
Mylan Laboratories, Inc. 8,200 150
AT&T Corp. 4,630 146
- PSINet, Inc. 5,800 146
MGIC Investment Corp. 3,200 146
Emerson Electric Co. 2,400 145
- Outback Steakhouse 4,950 145
General Dynamics Corp. 2,700 141
International Paper Co. 4,658 139
- Citrix Systems, Inc. 7,200 136
- Centennial Communications Corp.
Class A 9,849 135
- Parametric Technology Corp. 12,100 133
- TeleCorp PCS, Inc. 3,200 129
- Cadence Design Systems, Inc. 6,300 128
MGM Grand, Inc. 3,914 126
- John Hancock Financial
Services, Inc. 5,300 126
- At Home Corp. 6,000 125
- Adaptec, Inc. 5,300 121
IMS Health, Inc. 6,400 115
Honeywell International Inc. 3,400 115
- Chris-Craft Industries, Inc. 1,721 114
Baker Hughes, Inc. 3,540 113
Martin Marietta Materials, Inc. 2,800 113
The Hartford Financial Services
Group Inc. 2,000 112
- Synopsys, Inc. 3,200 111
Nucor Corp. 3,300 110
- Novell, Inc. 11,800 109
Darden Restaurants Inc. 6,500 106
- Dycom Industries, Inc. 2,200 101
HCA - The Healthcare Co. 3,302 100
- CIENA Corp. 600 100
- Ventiv Health, Inc. 8,900 99
Columbia Energy Group 1,500 98
Freddie Mac 2,400 97
Caterpillar, Inc. 2,800 95
- Toys R Us, Inc. 6,500 95
- Compuware Corp. 9,000 93
UAL Corp. 1,600 93
- Hispanic Broadcasting Corp. 2,800 93
- AutoZone Inc. 4,200 92
- eBay Inc. 1,700 92
Diamond Offshore Drilling, Inc. 2,600 91
Rouse Co. REIT 3,600 89
- InfoSpace, Inc. 1,500 83
Electronic Data Systems Corp. 1,900 78
Plum Creek Timber Co. Inc. 3,000 78
Fort James Corp. 3,300 76
BHC Communications, Inc. Class A 500 75
DENTSPLY International Inc. 2,400 74
USG Corp. 2,400 73
- NTL Inc. 1,206 72
Praxair, Inc. 1,900 71
Sigma-Aldrich Corp. 2,400 70
- Park Place Entertainment 5,600 68
Bank One Corp. 2,564 68
- Affiliated Computer Services, Inc.
Class A 2,000 66
- Arrow Electronics, Inc. 2,100 65
- Harrah's Entertainment, Inc. 3,100 65
American General Corp. 975 59
Senior Housing Properties
Trust REIT 7,100 56
Autodesk, Inc. 1,600 56
Hilton Hotels Corp. 5,778 54
Total System Services, Inc. 3,400 54
- Cabletron Systems, Inc. 2,100 53
- Triton PCS, Inc. 900 52
- Northwest Airlines Corp. Class A 1,700 52
Mattel, Inc. 3,680 49
- Quantum Corp.-DLT &
Storage Systems 5,000 48
Dollar General Corp. 2,460 48
NIKE, Inc. Class B 1,200 48
Burlington Northern Santa Fe Corp. 2,038 47
- Unisys Corp. 3,200 47
The Limited, Inc. 2,138 46
Zions Bancorp 1,000 46
Delphi Automotive Systems Corp. 2,935 43
Dime Bancorp, Inc. 2,600 41
Procter & Gamble Co. 700 40
Marriott International, Inc. Class A 1,100 40
- PE Corp.-Celera Genomics Group 400 37
- SunGard Data Systems, Inc. 1,200 37
W.W. Grainger, Inc. 1,200 37
Texaco Inc. 688 37
Aetna Inc. 569 37
Johns Manville Corp. 2,500 33
Wrigley, (Wm.) Jr. Co. 400 32
Newell Rubbermaid, Inc. 1,218 31
Sealed Air Corp. $2.00 Cvt. Pfd. 617 31
- Consolidated Stores, Inc. 2,600 31
</TABLE>
4
<PAGE> 44
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
GTE Corp. 500 $ 31
Hasbro, Inc. 2,025 31
Archer-Daniels-Midland Co. 3,059 30
Scientific-Atlanta, Inc. 400 30
Tenneco Automotive, Inc. 5,600 29
- MIPS Technologies, Inc. Class B 762 29
CVS Corp. 728 29
- Thermo Instrument Systems, Inc. 1,500 28
The Chase Manhattan Corp. 600 28
Becton, Dickinson & Co. 900 26
Nordstrom, Inc. 1,000 24
- Ceridian Corp. 1,000 24
- Allied Waste Industries, Inc. 2,300 23
- Network Associates, Inc. 1,050 21
21st Century Insurance Group 1,300 20
Burlington Resources, Inc. 500 19
RadioShack Corp. 400 19
ITT Industries, Inc. 600 18
- Office Depot, Inc. 2,900 18
Cinergy Corp. 700 18
U S WEST, Inc. 207 18
FirstEnergy Corp. 700 16
TXU Corp. 472 14
Union Pacific Corp. 359 13
First Union Corp. 468 12
El Paso Energy Corp. 222 11
- Visteon Corp. 694 8
- Gartner Group, Inc. Class B 633 6
- Circle.com 1,572 6
Allegheny Technologies Inc. 288 5
Autoliv, Inc. 211 5
Wesco Financial Corp. 10 2
Associates First Capital Corp. 76 2
Raytheon Co. Class A 83 2
- Staples, Inc. 37 1
-------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $96,957) 183,850
-------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS (52.5%)
-------------------------------------------------------------------------------
ALASKA (0.7%)
Matanuska-Susitna Borough AK GO
5.50%, 3/1/2012 (3) $1,695 $ 1,736
North Slope Borough AK GO
7.50%, 6/30/2001 (3) 1,000 1,029
---------
2,765
---------
ARIZONA (0.6%)
Arizona Transp. Board Highway Rev.
6.50%, 7/1/2011 1,000 1,049
Arizona Transp. Excise Tax Rev.
6.50%, 7/1/2004 1,250 1,330
---------
2,379
---------
CALIFORNIA (2.4%)
California Dept. of Water
(Central Valley Project)
8.25%, 12/1/2003 290 326
California GO
6.40%, 2/1/2006 (1) 500 548
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
California Health Fac. Finance Auth.
(Catholic Healthcare West)
6.25%, 7/1/2006 (1) 395 430
California Public Works Board
Lease Rev. (Dept. of Corrections)
5.00%, 9/1/2011 (2) 1,535 1,552
Central Coast CA Water Auth.
6.00%, 10/1/2008 (2) 1,000 1,089
Clovis CA Unified School Dist. GO
0.00%, 8/1/2005 (3) 2,000 1,586
Los Angeles CA Unified School
Dist. GO
6.00%, 7/1/2008 (3) 1,000 1,091
Los Angeles CA Wastewater
System Rev.
5.75%, 6/1/2010 (1) 400 417
San Bernardino CA Medical
Center COP
5.50%, 8/1/2005 (1) 500 524
South Orange County CA Public
Finance Auth.
7.00%, 9/1/2006 (1) 875 992
Southern California Public Power
Auth. VRDO
(Southern Transmission Project)
4.30%, 7/5/2000 (2) LOC 150 150
Univ. of California Rev.
(Multiple Purpose Project)
12.00%, 9/1/2003 (2) 500 609
---------
9,314
---------
COLORADO (1.1%)
Colorado Health Fac. Auth. Rev.
(Sisters of Charity Health
System Inc.)
5.25%, 12/1/2012 (1) 2,250 2,222
Denver CO City & County School
Dist. GO
5.25%, 12/1/2016 (3) 2,080 2,018
---------
4,240
---------
CONNECTICUT (0.5%)
Connecticut GO
6.00%, 5/15/2003 1,000 1,035
South Central Connecticut Regional
Water Auth. Water System Rev.
5.75%, 8/1/2006 (3) 900 936
---------
1,971
---------
DISTRICT OF COLUMBIA (1.7%)
District of Columbia GO
5.40%, 6/1/2012 (2) 455 455
5.50%, 6/1/2004 (4) 1,000 1,021
5.50%, 6/1/2007 2,000 2,050
6.75%, 6/1/2005 (1) 5 5
District of Columbia Rev.
(George Washington Univ.)
6.00%, 9/15/2011 (1) 3,000 3,178
---------
6,709
---------
FLORIDA (1.4%)
Broward County FL School Dist. GO
5.30%, 2/15/2004 1,295 1,319
Florida Dept. of General Services
6.00%, 7/1/2002 (2) (Prere.) 1,000 1,036
</TABLE>
5
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
FACE MARKET
TAX-MANAGED AMOUNT VALUE*
BALANCED FUND (000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Florida Turnpike Auth. Rev.
5.25%, 7/1/2009 (3) $ 485 $ 494
5.25%, 7/1/2010 (3) 825 838
Lee County FL School Board COP
6.00%, 8/1/2005 (3) 800 842
Tampa FL Health System Rev.
(Catholic Health)
5.00%, 11/15/2009 (2) 1,000 986
---------
5,515
---------
GEORGIA (2.0%)
Atlanta GA Airport Rev.
5.75%, 1/1/2013 (3) 3,370 3,496
Georgia GO
6.00%, 3/1/2004 1,000 1,043
Georgia Muni. Electric Auth.
6.25%, 1/1/2012 (1) 3,000 3,254
---------
7,793
---------
ILLINOIS (1.4%)
Chicago IL GO (City Colleges
Improvement Projects)
0.00%, 1/1/2012 (3) 2,380 1,265
Chicago IL Water Rev. VRDO
4.65%, 7/5/2000 LOC 1,000 1,000
Illinois Dev. Finance Auth. PCR PUT
(Commonwealth Edison)
4.40%, 12/1/2006 (2) 1,500 1,432
Illinois Health Fac. Auth. Rev.
(Hosp. Sisters Services Inc.)
5.00%, 6/1/2002 1,635 1,642
---------
5,339
---------
KANSAS (0.5%)
Kansas Dev. Finance Auth.
Board of Regents
5.50%, 10/1/2003 1,800 1,841
---------
KENTUCKY (0.1%)
Kentucky Property & Buildings
Comm. Rev.
5.80%, 9/1/2006 400 414
---------
LOUISIANA (1.1%)
Louisiana Public Fac. Auth. Hosp. Rev.
(Franciscan Missionaries)
5.00%, 7/1/2002 (4) 2,000 2,008
St. Charles Parish LA PCR PUT
(Entergy Inc.)
5.35%, 10/1/2003 2,400 2,368
---------
4,376
---------
MARYLAND (0.9%)
Maryland Dept. of Transp.
5.20%, 9/15/2004 400 407
Maryland Health & Higher Educ. Fac.
Auth. Rev. (Johns Hopkins Univ.)
6.00%, 7/1/2005 2,740 2,898
---------
3,305
---------
MASSACHUSETTS (2.2%)
Chelsea MA GO
5.50%, 6/15/2011 (2) 740 761
5.50%, 6/15/2012 (2) 735 751
Massachusetts Bay Transp. Auth.
5.125%, 3/1/2013 1,695 1,662
Massachusetts Bay Transp. Auth.
6.25%, 3/1/2005 1,000 1,062
Massachusetts Health & Educ. Fac.
Auth. Rev. (Northeastern Univ.)
5.00%, 10/1/2017 (1) 1,000 924
Massachusetts Ind. Finance
Agency Resource Recovery Rev.
(Refusetech Inc. Project)
6.30%, 7/1/2005 1,000 1,029
Massachusetts Water Pollution
Abatement Trust
6.00%, 8/1/2010 1,780 1,915
Massachusetts Water
Resources Auth.
5.75%, 8/1/2004 (1) (Prere.) 300 315
---------
8,419
---------
MICHIGAN (2.1%)
Dickinson County MI Memorial
Hosp. System Rev.
7.625%, 11/1/2005 370 394
Greater Detroit MI Resource
Recovery Auth.
6.25%, 12/13/2006 (2) 1,200 1,289
Michigan Building Auth.
5.125%, 10/15/2011 3,015 2,998
5.30%, 10/1/2010 1,250 1,268
Michigan Environmental Protection
Program GO
6.25%, 11/1/2008 (Prere.) 1,000 1,052
Michigan Housing Dev. Auth. Rev.
6.30%, 4/1/2004 1,000 1,033
---------
8,034
---------
MISSISSIPPI (0.9%)
Mississippi GO
6.00%, 12/1/2004 3,330 3,490
---------
NEBRASKA (0.6%)
Nebraska Public Power Dist. Rev.
5.25%, 1/1/2005 (1) 2,000 2,034
5.25%, 1/1/2010 (1) 125 126
5.25%, 1/1/2011 (1) 225 226
---------
2,386
---------
NEVADA (1.0%)
Clark County NV Airport
Improvement Rev. VRDO
(McCarran International Airport)
4.70%, 7/5/2000 LOC 284 284
Clark County NV Airport Rev.
5.00%, 7/1/2005 (1) 1,705 1,718
Clark County NV Passenger Fac.
Charge Rev. (Las Vegas McCarran
International Airport)
6.00%, 7/1/2002 (2) (Prere.) 1,000 1,044
Clark County NV School Dist. GO
5.90%, 6/15/2006 (3) (Prere.) 750 796
---------
3,842
---------
</TABLE>
6
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
NEW JERSEY (4.3%)
New Jersey Econ. Dev. Auth. Market
Transition Fac. Rev.
5.70%, 7/1/2005 (1) $ 400 $ 416
New Jersey Health Care Fac. Auth.
Rev. (Atlantic City Medical Center)
6.80%, 7/1/2005 1,000 1,051
New Jersey Sports & Exposition
Auth. Rev. VRDO
4.35%, 7/6/2000 (1) LOC 285 285
New Jersey Transp. Corp. Grant
Anticipation Notes
5.50%, 9/1/2003 2,500 2,547
New Jersey Transp. Trust Fund Auth.
5.00%, 6/15/2014 1,555 1,484
6.00%, 6/15/2005 (2) 2,500 2,632
6.00%, 6/15/2008 250 267
New Jersey Turnpike Auth. Rev.
5.625%, 1/1/2015(1) 8,000 8,144
---------
16,826
---------
NEW YORK (6.4%)
Erie County NY GO
6.125%, 1/15/2011 (3) 610 659
Hempstead NY GO
5.625%, 2/1/2011 (3) 840 866
Huntington NY GO
6.70%, 2/1/2010 (3) 375 422
Long Island NY Power Auth.
Electric System Rev.
5.50%, 12/1/2009(2) 2,000 2,061
Metro. NY Transp. Auth.
6.00%, 7/1/2006 (1) 1,000 1,057
Metro. NY Transp. Auth.
Dedicated Tax Fund
6.125%, 4/1/2014 (3) 2,110 2,240
New York City NY GO
6.375%, 8/15/2005 (Prere.) 135 146
6.375%, 8/15/2009 505 536
7.10%, 8/15/2004 (Prere.) 500 548
New York City NY IDA
(USTA National Tennis Center)
6.25%, 11/15/2006 2,000 2,138
New York City NY Muni. Water
Finance Auth. Water & Sewer
System Rev. VRDO
4.45%, 7/5/2000 (3) 965 965
New York City NY Transitional
Finance Auth.
5.875%, 11/1/2012 3,305 3,490
New York State Dormitory Auth. Rev.
(State Univ.)
5.375%, 5/15/2007 (2) 400 410
New York State Dormitory Auth. Rev.
(Vassar Brothers Hosp.)
5.10%, 7/1/2010 (4) 1,500 1,491
New York State Dormitory Auth.
VRDO (Cornell Univ.)
4.45%, 7/5/2000 1,015 1,015
New York State Environmental
Fac. Corp. PCR (State Water
Recovery Fund)
6.35%, 6/15/2004 (Prere.) 295 316
6.35%, 6/15/2006 225 239
New York State GO
4.50%, 9/15/2000 1,600 1,600
New York State Local Govt.
Assistance Corp. VRDO
4.30%, 7/5/2000 LOC 850 850
New York State Thruway Auth.
(Service Contract)
5.40%, 4/1/2005 (1) 400 409
Suffolk County NY GO
5.00%, 4/1/2007 (3) 1,120 1,126
Triborough Bridge & Tunnel NY
Auth. Rev.
5.50%, 1/1/2006 (4) 2,000 2,060
---------
24,644
---------
OHIO (4.2%)
Butler County OH Transp.
Improvement Dist. Rev.
6.00%, 4/1/2012 2,250 2,390
Clermont County OH Hosp. Rev.
VRDO (Mercy Health Systems)
4.85%, 7/5/2000 915 915
Cleveland OH Public Power
System Rev.
7.00%, 11/15/2004 (1) (Prere.) 2,750 3,033
Hamilton County OH Hosp. Fac.
Rev. VRDO (Health Alliance of
Greater Cincinnati)
4.90%, 7/5/2000 (1) 1,150 1,150
Lorain County OH Hosp. Rev.
(Catholic Healthcare Partners)
5.625%, 9/1/2013 (1) 1,775 1,810
6.00%, 9/1/2004 (1) 1,080 1,129
Ohio Air Quality Dev. Auth.
VRDO (Cincinnati Gas & Electric
Co. Project)
4.75%, 7/5/2000 585 585
Ohio Housing Finance Agency
Mortgage Rev.
5.025%, 3/1/2021 1,800 1,765
Ohio Public Fac. Comm. Higher
Educ. Fac.
5.50%, 12/1/2006 (1) 400 410
Ohio Water Dev, Auth.
5.00%, 6/1/2015 (1) 2,000 1,893
5.75%, 12/1/2005 (1) 540 560
6.00%, 12/1/2004 (2) (Prere.) 315 329
6.00%, 12/1/2008 (2) 435 452
---------
16,421
---------
OKLAHOMA (0.3%)
Oklahoma Dev. Finance Auth. Rev.
(Hillcrest Healthcare)
5.00%, 8/15/2009 1,185 985
---------
</TABLE>
7
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
FACE MARKET
TAX-MANAGED AMOUNT VALUE*
BALANCED FUND (000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
OREGON (0.6%)
Oregon Dept. of Administrative
Services Lottery Rev.
5.75%, 4/1/2014 (4) $ 2,400 $ 2,479
---------
PENNSYLVANIA (2.5%)
Montgomery County PA IDA PCR
(PECO Energy)
5.20%, 10/1/2004 2,000 1,967
Pennsylvania Convention Center Auth.
6.70%, 9/1/2014 (1) 500 538
Pennsylvania GO
5.90%, 11/15/2001 1,000 1,019
Pennsylvania Higher Educ. Fac. Auth.
Rev. (Allegheny/Delaware Valley)
5.00%, 11/15/2006 (1) 1,125 1,118
Pennsylvania Higher Educ. Fac. Auth.
Rev. VRDO (Carnegie Mellon Univ.)
4.50%, 7/5/2000 85 85
Pennsylvania Turnpike Comm. Oil
Franchise Tax Rev.
5.25%, 12/1/2009 (2) 615 626
5.25%, 12/1/2011 (2) 455 460
Philadelphia PA Airport Parking Auth.
5.75%, 9/1/2008 (2) 1,150 1,205
Philadelphia PA School Dist. GO
6.25%, 9/1/2005 (2) 870 925
Philadelphia PA Water &
Wastewater Rev.
6.25%, 8/1/2009 (1) 1,000 1,084
Pittsburgh PA GO
5.20%, 3/1/2010 (3) 580 582
Pittsburgh PA Water & Sewer
Auth. Rev.
5.60%, 9/1/2005 (3) (Prere.) 235 243
---------
9,852
---------
SOUTH DAKOTA (0.3%)
South Dakota Building Auth.
Lease Rev.
5.25%, 12/1/2010 (2) 1,000 1,005
---------
TENNESSEE (0.6%)
Metro. Govt. & Davidson County TN
Water & Sewer Rev.
6.50%, 1/1/2009 (3) 2,000 2,200
---------
TEXAS (8.9%)
Austin TX Combined Util. System Rev.
5.60%, 5/15/2005 (1) (Prere.) 1,205 1,243
Austin Texas Water & Waste System
5.75%, 5/15/2011 (1) 2,200 2,303
Carrollton TX Independent
School Dist.
6.00%, 2/15/2012 2,925 3,086
Dallas TX Civic Center Refunding &
Improvement
4.60%, 8/15/2009 (1) 110 104
4.70%, 8/15/2010 (1) 815 773
Dallas TX Waterworks & Sewer Rev.
7.75%, 4/1/2003 3,800 4,088
Fort Worth TX Water & Sewer Rev.
5.25%, 2/15/2011 3,800 3,812
Grand Prairie TX GO
5.50%, 2/15/2003 3,065 3,122
Gulf Coast TX Waste Disposal Auth.
PCR VRDO (Exxon Project)
4.55%, 7/5/2000 660 660
Harris County TX Health Fac. Dev.
Corp. Rev. (Christus Health)
5.25%, 7/1/2004 3,945 3,938
Houston TX GO
5.70%, 3/1/2001 500 504
Houston TX Hotel Occupancy Tax Rev.
5.25%, 7/1/2007 (4) 500 505
Lower Colorado River Auth. TX
5.75%, 5/15/2011 (4) 3,000 3,119
Lubbock TX Health Fac. Corp.
(St. Joseph Health System)
5.00%, 7/1/2008 1,645 1,599
Northwest Texas Independant
School Dist.
0.00%, 8/15/2004 2,205 1,791
San Antonio TX Electric & Gas Rev.
5.125%, 2/1/2009 1,000 1,004
San Antonio TX Water Rev.
6.50%, 5/15/2002 (1) (Prere.) 145 152
6.50%, 5/15/2010 (1) 280 293
6.50%, 5/15/2010 (1) (ETM) 75 81
Texas Water Finance Assistance GO
5.00%, 8/1/2008 690 689
5.00%, 8/1/2009 1,050 1,042
Univ. of Texas Permanent Fund
6.60%, 7/1/2001 (Prere.) 500 520
---------
34,428
---------
UTAH (0.4%)
Intermoutain Power Agency Utah
Power Supply Rev.
5.20%, 7/1/2006 1,150 1,157
Salt Lake County UT Building Auth.
Lease Rev.
5.90%, 10/1/2006 (1) 260 272
---------
1,429
---------
VIRGINIA (0.5%)
Henrico County VA Water &
Sewer Rev.
5.25%, 5/1/2011 1,485 1,496
Virginia Transp. Board
6.00%, 5/15/2007 500 523
---------
2,019
---------
WASHINGTON (1.2%)
King County WA Library System GO
6.05%, 12/1/2007 1,000 1,059
Seattle WA Muni. Light & Power Rev.
6.25%, 7/1/2004 (Prere.) 700 748
Seattle WA Water System Rev.
5.20%, 12/1/2005 2,320 2,356
Tacoma WA Electric System Rev.
5.50%, 1/1/2012 (2) 500 502
---------
4,665
---------
</TABLE>
8
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
WEST VIRGINIA (0.5%)
West Virginia Building Comm. Rev.
5.25%, 7/1/2008 (1) $ 1,150 $ 1,168
West Virginia School Building Auth.
Capital Improvement Rev.
5.625%, 7/1/2002 655 668
---------
1,836
---------
WISCONSIN (0.4%)
Wisconsin GO
7.75%, 11/1/2004 1,570 1,748
---------
WYOMING (0.2%)
Lincoln County WY PCR VRDO
(Exxon Project)
4.55%, 7/5/2000 665 665
---------
-------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(COST $204,787) 203,334
-------------------------------------------------------------------------------
TEMPORARy CASH INVESTMENT (0.1%)
-------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
6.71%, 7/3/2000--Note G
(COST $471) 471 471
-------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(COST $302,215) 387,655
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
-------------------------------------------------------------------------------
Other Assets--Note B 11,328
Liabilities--Note G (11,688)
---------
(360)
-------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
(000)
-------------------------------------------------------------------------------
<S> <C> <C>
NET ASSETS (100%)
-------------------------------------------------------------------------------
Applicable to 20,080,651 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $387,295
===============================================================================
NET ASSET VALUE PER SHARE $19.29
===============================================================================
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
ADR--American Depositary Receipt.
COP--Certificate of Participation.
GO--General Obligation Bond.
IDA--Industrial Development Authority Bond.
PCR--Pollution Control Revenue Bond.
PUT--Put Option Obligation.
REIT--Real Estate Investment Trust.
VRDO--Variable Rate Demand Obligation.
(ETM)--Escrowed to Maturity.
(Prere.)--Prerefunded.
Scheduled principal and interest payments are guaranteed by:
(1)MBIA (Municipal Bond Insurance Association).
(2)AMBAC (AMBAC Indemnity Corporation).
(3)FGIC (Financial Guaranty Insurance Company).
(4)FSA (Financial Security Assurance).
The insurance does not guarantee the market value of the municipal bonds.
LOC--Scheduled principal and interest payments are guaranteed by bank letter of
credit.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
-------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $302,767 $15.08
Undistributed Net
Investment Income 285 .01
Accumulated Net Realized
Losses (1,197) (.06)
Unrealized Appreciation--Note F 85,440 4.26
------------------------------------------------------------------------------
NET ASSETS $387,295 $19.29
==============================================================================
</TABLE>
9
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<CAPTION>
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MARKET
TAX-MANAGED VALUE*
GROWTH AND INCOME FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (100.3%)
-------------------------------------------------------------------------------
General Electric Co. 2,001,116 $ 106,059
Intel Corp. 679,468 90,836
- Cisco Systems, Inc. 1,410,698 89,667
- Microsoft Corp. 1,067,184 85,375
Pfizer, Inc. 1,282,339 61,552
Exxon Mobil Corp. 701,947 55,103
Wal-Mart Stores, Inc. 905,186 52,161
- Oracle Corp. 573,836 48,238
Citigroup, Inc. 685,507 41,302
Nortel Networks Corp. 602,296 41,107
International Business
Machines Corp. 360,336 39,479
Lucent Technologies, Inc. 662,110 39,230
American International
Group, Inc. 314,836 36,993
Merck & Co., Inc. 467,358 35,811
- EMC Corp. 441,250 33,949
SBC Communications Inc. 693,170 29,980
- Sun Microsystems, Inc. 320,792 29,172
Johnson & Johnson 282,888 28,819
The Coca-Cola Co. 501,726 28,818
Royal Dutch Petroleum Co. ADR 435,816 26,830
- WorldCom, Inc. 577,091 26,474
- Dell Computer Corp. 521,200 25,702
Hewlett-Packard Co. 204,252 25,506
- America Online, Inc. 463,700 24,460
Bristol-Myers Squibb Co. 403,276 23,491
Home Depot, Inc. 467,829 23,362
Texas Instruments, Inc. 330,508 22,702
Eli Lilly & Co. 221,596 22,132
- Viacom Inc. Class B 309,529 21,106
AT&T Corp. 649,252 20,533
Time Warner, Inc. 261,582 19,880
Morgan Stanley Dean
Witter & Co. 231,578 19,279
The Walt Disney Co. 420,596 16,324
BellSouth Corp. 382,472 16,303
Tyco International Ltd. 343,771 16,286
Bell Atlantic Corp. 315,514 16,032
American Home Products Corp. 265,436 15,594
Procter & Gamble Co. 267,368 15,307
Corning, Inc. 56,013 15,117
Schering-Plough Corp. 298,172 15,058
- Applied Materials, Inc. 163,200 14,790
- Amgen, Inc. 207,352 14,566
Bank of America Corp. 336,901 14,487
American Express Co. 273,164 14,239
Abbott Laboratories 312,594 13,930
- Yahoo!, Inc. 106,800 13,230
Pharmacia Corp. 254,492 13,154
PepsiCo, Inc. 295,552 13,134
Wells Fargo Co. 327,504 12,691
Motorola, Inc. 432,573 12,572
Philip Morris Cos., Inc. 464,779 12,346
GTE Corp. 197,664 12,305
Medtronic, Inc. 242,236 12,066
The Chase Manhattan Corp. 250,938 11,559
Chevron Corp. 133,224 11,299
U S WEST, Inc. 128,360 11,007
Fannie Mae 208,432 10,878
- Sprint PCS 181,572 10,804
Ford Motor Co. 245,618 10,562
- Micron Technology, Inc. 110,300 9,713
- NEXTEL Communications, Inc. 154,000 9,423
Enron Corp. 145,500 9,385
E.I. du Pont de Nemours & Co. 210,332 9,202
McDonald's Corp. 274,930 9,056
Charles Schwab Corp. 269,176 9,051
Sprint Corp. 176,944 9,024
- QUALCOMM, Inc. 147,900 8,874
Compaq Computer Corp. 344,039 8,794
Merrill Lynch & Co., Inc. 75,392 8,670
Schlumberger Ltd. 111,610 8,329
- MediaOne Group, Inc. 124,446 8,253
Gillette Co. 218,316 7,627
- Broadcom Corp. 34,400 7,531
- Veritas Software Corp. 66,000 7,459
The Boeing Co. 176,783 7,392
- Comcast Corp.-Special Class A 178,392 7,225
Colgate-Palmolive Co. 118,812 7,114
Anheuser-Busch Cos., Inc. 94,614 7,067
The Bank of New York Co., Inc. 150,100 6,980
Automatic Data Processing, Inc. 128,336 6,874
- Agilent Technologies, Inc. 91,801 6,770
Minnesota Mining &
Manufacturing Co. 81,245 6,703
Walgreen Co. 203,660 6,555
General Motors Corp. 112,602 6,538
Kimberly-Clark Corp. 113,344 6,503
- Siebel Systems, Inc. 38,900 6,363
FleetBoston Financial Corp. 186,753 6,350
Bank One Corp. 233,254 6,196
Computer Associates
International, Inc. 119,001 6,091
Texaco Inc. 112,868 6,010
- ADC Telecommunications, Inc. 68,600 5,754
Freddie Mac 141,460 5,729
United Technologies Corp. 96,789 5,698
Marsh & McLennan Cos., Inc. 54,056 5,645
- Tellabs, Inc. 81,600 5,585
Honeywell International Inc. 161,028 5,425
The Gap, Inc. 173,185 5,412
- Analog Devices, Inc. 70,800 5,381
- Xilinx, Inc. 65,100 5,375
Emerson Electric Co. 87,232 5,267
Target Corp. 89,364 5,183
- Clear Channel
Communications, Inc. 68,457 5,134
Alcoa Inc. 176,656 5,123
The Seagram Co. Ltd. 87,672 5,085
- Solectron Corp. 120,000 5,025
First Union Corp. 200,904 4,985
- Network Appliance, Inc. 61,800 4,975
Unilever NV ADR 115,621 4,972
- Safeway, Inc. 103,100 4,652
MBNA Corp. 162,495 4,408
- Global Crossing Ltd. 165,040 4,343
Cardinal Health, Inc. 57,679 4,268
Halliburton Co. 89,778 4,236
First Data Corp. 85,038 4,220
Firstar Corp. 198,506 4,181
</TABLE>
10
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Duke Energy Corp. 74,103 $ 4,178
Baxter International, Inc. 59,044 4,152
- Altera Corp. 40,500 4,128
- Seagate Technology Inc. 74,400 4,092
- 3Com Corp. 70,250 4,048
Linear Technology Corp. 63,200 4,041
Dow Chemical Co. 133,320 4,025
- AES Corp. 88,000 4,015
Household International, Inc. 95,311 3,961
Fifth Third Bancorp 62,614 3,960
Electronic Data Systems Corp. 95,900 3,956
ALLTEL Corp. 63,636 3,941
Bestfoods 56,722 3,928
J.P. Morgan & Co., Inc. 35,060 3,861
- Maxim Integrated Products, Inc. 56,200 3,818
Eastman Kodak Co. 64,028 3,810
Mellon Financial Corp. 103,256 3,762
- The Kroger Co. 167,676 3,699
- Kohl's Corp. 66,200 3,682
Williams Cos., Inc. 88,261 3,679
- Gateway, Inc. 64,300 3,649
HCA-The Healthcare Co. 114,486 3,478
Illinois Tool Works, Inc. 60,938 3,473
State Street Corp. 32,500 3,447
- Apple Computer, Inc. 65,600 3,436
Sara Lee Corp. 176,764 3,414
Gannett Co., Inc. 56,504 3,380
Allstate Corp. 151,380 3,368
Associates First Capital Corp. 147,916 3,300
- LSI Logic Corp. 60,400 3,269
Washington Mutual, Inc. 111,354 3,215
CIGNA Corp. 34,338 3,211
Omnicom Group Inc. 36,000 3,206
Southern Co. 136,812 3,189
Lowe's Cos., Inc. 77,506 3,183
CVS Corp. 79,524 3,181
Paychex, Inc. 75,375 3,166
H.J. Heinz Co. 71,788 3,141
Adobe Systems, Inc. 24,100 3,133
Conoco Inc. Class B 127,251 3,126
- Guidant Corp. 62,400 3,089
American General Corp. 50,276 3,067
UnitedHealth Group Inc. 35,064 3,007
- Costco Wholesale Corp. 90,052 2,972
SunTrust Banks, Inc. 64,952 2,967
Northern Trust Corp. 45,288 2,947
U.S. Bancorp 152,941 2,944
International Paper Co. 98,033 2,923
- Comverse Technology, Inc. 31,100 2,892
Albertson's, Inc. 86,101 2,863
Sysco Corp. 67,158 2,829
PNC Financial Services Group 59,801 2,803
PE Corp.-PE Biosystems Group 41,800 2,754
Xerox Corp. 131,630 2,731
Coastal Corp. 44,214 2,692
- Best Buy Co., Inc. 41,500 2,625
Phillips Petroleum Co. 51,592 2,615
Providian Financial Corp. 29,014 2,611
- Teradyne, Inc. 34,700 2,550
- Sanmina Corp. 29,760 2,544
- Computer Sciences Corp. 34,044 2,543
Campbell Soup Co. 86,712 2,525
The Hartford Financial Services
Group Inc. 44,802 2,506
AFLAC, Inc. 54,200 2,490
Interpublic Group of Cos., Inc. 57,370 2,467
Kellogg Co. 82,536 2,455
Caterpillar, Inc. 72,190 2,445
Carnival Corp. 125,300 2,443
Scientific-Atlanta, Inc. 32,256 2,403
El Paso Energy Corp. 46,897 2,389
Harley-Davidson, Inc. 61,800 2,379
Sears, Roebuck & Co. 71,699 2,339
General Mills, Inc. 60,982 2,333
- Advanced Micro Devices, Inc. 30,008 2,318
Lehman Brothers Holdings, Inc. 24,500 2,317
Waste Management, Inc. 120,851 2,296
Transocean Sedco Forex Inc. 42,700 2,282
NIKE, Inc. Class B 57,012 2,270
- FedEx Corp. 59,284 2,253
The Chubb Corp. 36,409 2,239
Wachovia Corp. 41,263 2,239
- KLA-Tencor Corp. 37,900 2,220
The McGraw-Hill Cos., Inc. 40,476 2,186
Avon Products, Inc. 49,084 2,184
General Dynamics Corp. 41,432 2,165
Tribune Co. 61,791 2,163
The Clorox Co. 48,214 2,161
Pitney Bowes, Inc. 53,980 2,159
Baker Hughes, Inc. 67,191 2,150
National City Corp. 125,560 2,142
Dominion Resources, Inc. 49,233 2,111
The Quaker Oats Co. 27,356 2,055
Weyerhaeuser Co. 47,769 2,054
- Cendant Corp. 145,937 2,043
Allergan, Inc. 27,236 2,029
Kansas City Southern
Industries, Inc. 22,700 2,013
- National Semiconductor Corp. 35,251 2,000
Burlington Northern
Santa Fe Corp. 87,027 1,996
American Electric Power Co., Inc. 67,037 1,986
- Biogen, Inc. 30,700 1,980
Lockheed Martin Corp. 79,476 1,972
Molex, Inc. 40,625 1,955
Southwest Airlines Co. 102,855 1,948
ConAgra, Inc. 100,492 1,916
PG&E Corp. 77,558 1,910
The Limited, Inc. 87,594 1,894
Wrigley, (Wm.) Jr. Co. 23,597 1,892
Union Pacific Corp. 50,700 1,885
Aetna Inc. 29,259 1,878
- Boston Scientific Corp. 85,582 1,877
Marriott International, Inc. Class A 51,968 1,874
RadioShack Corp. 39,464 1,870
- MedImmune Inc. 24,800 1,835
Capital One Financial Corp. 40,800 1,821
- BMC Software, Inc. 49,785 1,816
FPL Group, Inc. 36,649 1,814
Reliant Energy, Inc. 59,987 1,773
Deere & Co. 47,779 1,768
- Lexmark International Group, Inc.
Class A 26,000 1,749
</TABLE>
11
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
TAX-MANAGED VALUE*
GROWTH AND INCOME FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Tenet Healthcare Corp. 64,366 $ 1,738
Dover Corp. 41,980 1,703
Nabisco Group Holdings Corp. 65,600 1,702
Delphi Automotive Systems Corp. 116,373 1,695
BB&T Corp. 70,902 1,693
Burlington Resources, Inc. 43,917 1,680
TXU Corp. 56,844 1,677
May Department Stores Co. 68,820 1,652
Textron, Inc. 30,404 1,651
Unocal Corp. 49,723 1,647
Masco Corp. 91,168 1,647
USX-Marathon Group 64,878 1,626
Aon Corp. 51,750 1,607
KeyCorp 90,348 1,592
St. Paul Cos., Inc. 46,566 1,589
Occidental Petroleum Corp. 75,245 1,585
PPG Industries, Inc. 35,425 1,570
Franklin Resources Corp. 51,400 1,561
Unicom Corp. 40,329 1,560
Avery Dennison Corp. 23,084 1,550
Public Service Enterprise
Group, Inc. 44,735 1,549
Rohm & Haas Co. 44,657 1,541
PECO Energy Corp. 38,056 1,534
Edison International 72,828 1,493
Newell Rubbermaid, Inc. 57,673 1,485
Becton, Dickinson & Co. 51,592 1,480
- Staples, Inc. 96,000 1,476
Barrick Gold Corp. 80,879 1,471
- Conexant Systems, Inc. 30,200 1,468
- Federated Department Stores, Inc. 43,000 1,451
Lincoln National Corp. 40,142 1,450
Air Products & Chemicals, Inc. 46,980 1,448
Danaher Corp. 29,200 1,444
Comerica, Inc. 32,050 1,438
Alcan Aluminium Ltd. 44,865 1,391
New York Times Co. Class A 35,130 1,388
Apache Corp. 23,500 1,382
Golden West Financial Corp. 33,854 1,382
Coca-Cola Enterprises, Inc. 84,400 1,377
Ingersoll-Rand Co. 34,190 1,376
Circuit City Stores, Inc. 41,456 1,376
Consolidated Edison Inc. 46,100 1,366
Delta Air Lines, Inc. 26,944 1,362
Hershey Foods Corp. 27,998 1,358
Entergy Corp. 49,886 1,356
Dow Jones & Co., Inc. 18,440 1,351
PaineWebber Group, Inc. 29,400 1,338
Union Carbide Corp. 27,015 1,337
Loews Corp. 21,800 1,308
Dollar General Corp. 67,062 1,308
Anadarko Petroleum Corp. 25,700 1,267
AmSouth Bancorp 80,463 1,267
- Sapient Corp. 11,800 1,262
- ALZA Corp. 21,179 1,252
- American Power Conversion Corp. 30,600 1,249
Raytheon Co. Class B 64,622 1,244
Ralston-Ralston Purina Group 62,126 1,239
- Convergys Corp. 23,800 1,235
Rockwell International Corp. 38,853 1,224
Jefferson-Pilot Corp. 21,529 1,215
SLM Holding Corp. 32,400 1,213
Praxair, Inc. 32,160 1,204
Archer-Daniels-Midland Co. 122,648 1,203
McKesson HBOC, Inc. 56,769 1,189
TJX Cos., Inc. 62,504 1,172
Kerr-McGee Corp. 19,679 1,160
Norfolk Southern Corp. 77,619 1,155
Mattel, Inc. 86,820 1,145
Columbia Energy Group 17,259 1,133
Amerada Hess Corp. 18,317 1,131
Union Pacific Resources
Group, Inc. 50,791 1,117
IMS Health, Inc. 62,060 1,117
FirstEnergy Corp. 47,446 1,109
- Watson Pharmaceuticals, Inc. 20,500 1,102
Progressive Corp. of Ohio 14,800 1,095
TRW, Inc. 24,640 1,069
Cincinnati Financial Corp. 33,700 1,059
Ecolab, Inc. 26,730 1,044
CP&L, INC. 32,411 1,035
Fort James Corp. 44,679 1,033
- Bed Bath & Beyond, Inc. 28,300 1,026
T. Rowe Price 24,100 1,024
- Starbucks Corp. 26,818 1,024
Synovus Financial Corp. 57,100 1,006
Bear Stearns Co., Inc. 24,101 1,003
Eaton Corp. 14,959 1,002
Tiffany & Co. 14,700 992
MGIC Investment Corp. 21,800 992
Constellation Energy Group 30,398 990
MBIA, Inc. 20,500 988
Northrop Grumman Corp. 14,768 978
- Wellpoint Health Networks Inc.
Class A 13,500 978
Charter One Financial 42,500 978
UnumProvident Corp. 48,362 970
J.C. Penney Co., Inc. 52,406 966
- Cabletron Systems, Inc. 38,000 960
Ameren Corp. 28,405 959
- Novellus Systems, Inc. 16,900 956
Florida Progress Corp. 20,300 952
Dun & Bradstreet Corp. 32,880 941
- Unisys Corp. 64,581 940
Biomet, Inc. 24,185 930
- PeopleSoft, Inc. 54,600 915
Georgia Pacific Group 34,700 911
DTE Energy Co. 29,502 902
Johnson Controls, Inc. 17,276 886
Vulcan Materials Co. 20,700 884
- Sealed Air Corp. 16,836 882
Regions Financial Corp. 44,100 876
Summit Bancorp 35,200 867
- Tricon Global Restaurants, Inc. 30,475 861
Tosco Corp. 29,800 844
Knight Ridder 15,770 839
Bausch & Lomb, Inc. 10,802 836
- Mercury Interactive Corp. 8,600 832
CenturyTel, Inc. 28,800 828
Cinergy Corp. 32,006 814
- St. Jude Medical, Inc. 17,546 805
Union Planters Corp. 28,700 802
</TABLE>
12
<PAGE> 52
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Young & Rubicam Inc. 14,000 $ 801
- AMR Corp. 30,118 796
Parker Hannifin Corp. 23,173 794
Harcourt General, Inc. 14,566 792
SouthTrust Corp. 34,800 787
Eastman Chemical Co. 16,282 777
Old Kent Financial Corp. 28,875 772
- NCR Corp. 19,780 770
Fortune Brands, Inc. 33,188 765
Brown-Forman Corp. Class B 14,235 765
Sabre Holdings Corp. 26,831 765
Equifax, Inc. 29,000 761
The BFGoodrich Co. 22,154 755
Whirlpool Corp. 15,853 739
Newmont Mining Corp. 33,909 733
Huntington Bancshares Inc. 46,373 733
GPU, Inc. 26,600 720
Genuine Parts Co. 35,837 717
Countrywide Credit Industries, Inc. 23,400 709
Tektronix, Inc. 9,576 709
- Toys R Us, Inc. 48,591 708
Sherwin-Williams Co. 33,394 708
Dana Corp. 33,293 705
- Citrix Systems, Inc. 37,200 704
- Ceridian Corp. 29,202 703
Sempra Energy 41,184 700
New Century Energies, Inc. 23,300 699
Hilton Hotels Corp. 74,267 696
Millipore Corp. 9,194 693
- Thermo Electron Corp. 32,700 689
Black & Decker Corp. 17,486 687
Leggett & Platt, Inc. 40,700 672
H & R Block, Inc. 20,400 660
Nordstrom, Inc. 27,348 660
Conseco Inc. 67,530 658
Torchmark Corp. 26,498 654
PPL Corp. 29,780 653
Mallinckrodt, Inc. 14,962 650
Phelps Dodge Corp. 17,456 649
Maytag Corp. 17,464 644
Northern States Power Co. 31,856 643
- Kmart Corp. 94,350 643
International Flavors &
Fragrances, Inc. 21,182 639
- AutoZone Inc. 28,900 636
The Goodyear Tire & Rubber Co. 31,716 634
PerkinElmer, Inc. 9,590 634
Placer Dome, Inc. 66,252 634
PACCAR, Inc. 15,960 633
- US Airways Group, Inc. 16,202 632
Cooper Industries, Inc. 18,995 619
Willamette Industries, Inc. 22,500 613
Nucor Corp. 18,097 601
W.W. Grainger, Inc. 19,346 596
Sigma-Aldrich Corp. 20,300 594
- Inco Ltd. 38,597 593
CSX Corp. 27,914 591
Pinnacle West Capital Corp. 17,100 579
R.R. Donnelley & Sons Co. 25,541 576
CMS Energy Corp. 25,900 573
- Andrew Corp. 16,960 569
VF Corp. 23,842 568
- Rowan Cos., Inc. 18,686 568
Sunoco, Inc. 19,245 567
Hasbro, Inc. 37,525 565
- Parametric Technology Corp. 50,500 556
- Harrah's Entertainment, Inc. 26,049 545
- Novell, Inc. 58,800 544
- HEALTHSOUTH Corp. 75,442 542
ITT Industries, Inc. 17,801 541
SuperValu Inc. 28,192 537
The Mead Corp. 20,704 523
SAFECO Corp. 26,120 519
Westvaco Corp. 20,243 502
- Niagara Mohawk Holdings Inc. 35,993 502
Ashland, Inc. 14,306 502
C.R. Bard, Inc. 10,377 499
Fluor Corp. 15,380 486
Adolph Coors Co. Class B 7,928 480
- Adaptec, Inc. 20,900 475
Temple-Inland Inc. 11,300 475
Pall Corp. 24,995 462
Winn-Dixie Stores, Inc. 31,708 454
Engelhard Corp. 26,490 452
- Navistar International Corp. 14,156 440
Wendy's International, Inc. 24,551 437
Shared Medical Systems Corp. 5,976 436
The Stanley Works 18,106 430
Autodesk, Inc. 12,360 429
Darden Restaurants Inc. 26,341 428
Liz Claiborne, Inc. 11,869 418
Crown Cork & Seal Co., Inc. 27,003 405
- Visteon Corp. 32,160 390
- Allied Waste Industries, Inc. 38,800 388
Bemis Co., Inc. 11,375 382
Homestake Mining Co. 53,068 365
- FMC Corp. 6,223 361
Meredith Corp. 10,496 354
Eastern Enterprises 5,572 351
Great Lakes Chemical Corp. 11,143 351
Deluxe Corp. 14,882 351
- Office Depot, Inc. 55,800 349
Alberto-Culver Co. Class B 11,386 348
UST, Inc. 23,499 345
Snap-On Inc. 12,767 340
USX-U.S. Steel Group 18,200 338
Crane Co. 13,454 327
NICOR, Inc. 9,580 313
- Freeport-McMoRan Copper &
Gold Inc. Class B 33,200 307
Brunswick Corp. 18,526 307
Hercules, Inc. 21,617 304
Allegheny Technologies Inc. 16,873 304
Tupperware Corp. 13,717 302
- Quintiles Transnational Corp. 21,200 299
Boise Cascade Corp. 11,530 298
Centex Corp. 12,116 285
Rite Aid Corp. 42,502 279
- Pactiv Corp. 34,977 275
- Consolidated Stores, Inc. 22,752 273
Cummins Engine Co., Inc. 8,941 244
The Timken Co. 13,010 242
</TABLE>
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MARKET
TAX-MANAGED VALUE*
GROWTH AND INCOME FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Peoples Energy Corp. 7,419 $ 240
Louisiana-Pacific Corp. 22,000 239
Ryder System, Inc. 12,164 230
Thomas & Betts Corp. 11,828 226
- Reebok International Ltd. 13,691 218
American Greetings Corp. Class A 10,847 206
Ball Corp. 6,401 206
ONEOK, Inc. 7,891 205
Pulte Corp. 9,388 203
Potlatch Corp. 5,900 195
Kaufman & Broad Home Corp. 9,811 194
Worthington Industries, Inc. 18,402 193
National Service Industries, Inc. 9,369 183
Dillard's Inc. 14,886 182
- W.R. Grace & Co. 15,020 182
Longs Drug Stores, Inc. 8,142 177
Cooper Tire & Rubber Co. 15,685 174
- Compuware Corp. 16,600 172
- Humana, Inc. 34,400 168
Polaroid Corp. 9,160 165
Briggs & Stratton Corp. 4,798 164
- Comcast Corp. Class A 4,100 159
- Manor Care, Inc. 21,313 149
Russell Corp. 6,820 136
Great Atlantic & Pacific
Tea Co., Inc. 8,030 133
Springs Industries Inc. Class A 3,860 124
McDermott International, Inc. 12,741 112
Raytheon Co. Class A 5,497 107
Owens Corning 11,247 104
Armstrong Holdings, Inc. 6,427 98
NACCO Industries, Inc. Class A 1,731 61
- Owens-Illinois, Inc. 5,200 61
IKON Office Solutions, Inc. 11,166 43
Milacron Inc. 1,915 28
- Bethlehem Steel Corp. 4,231 15
- Viacom Inc. Class A 200 14
-------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $1,797,424) 2,547,628
-------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT
-------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000--Note G
(COST $266) $266 266
-------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.3%)
(COST $1,797,690) 2,547,894
-------------------------------------------------------------------------------
MARKET
VALUE*
(000)
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.3%)
-------------------------------------------------------------------------------
Other Assets--Note B $ 6,787
Liabilities--Note G (15,487)
-----------
(8,700)
-------------------------------------------------------------------------------
NET ASSETS (100%) $2,539,194
-------------------------------------------------------------------------------
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
ADR--American Depositary Receipt
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-------------------------------------------------------------------------------
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C>
Paid in Capital $1,832,433
Overdistributed Net Investment Income (102)
Accumulated Net Realized Losses (43,341)
Unrealized Appreciation--Note F 750,204
-------------------------------------------------------------------------------
NET ASSETS $2,539,194
===============================================================================
Investor Shares--Net Assets
Applicable to 77,062,678 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,430,114
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $31.53
===============================================================================
Institutional Shares--Net Assets
Applicable to 3,459,019 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $109,080
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $31.54
===============================================================================
</TABLE>
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MARKET
TAX-MANAGED VALUE*
CAPITAL APPRECIATION FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (100.5%)
-------------------------------------------------------------------------------
General Electric Co. 2,382,134 $ 126,253
Intel Corp. 806,600 107,832
- Cisco Systems, Inc. 1,669,700 106,130
- Microsoft Corp. 943,000 75,440
Pfizer, Inc. 1,556,500 74,712
Citigroup, Inc. 831,977 50,127
Exxon Mobil Corp. 633,367 49,719
International Business
Machines Corp. 438,000 47,988
Lucent Technologies, Inc. 795,754 47,148
- Oracle Corp. 537,524 45,186
- EMC Corp. 533,300 41,031
Wal-Mart Stores, Inc. 682,700 39,341
American International
Group, Inc. 331,935 39,002
- Sun Microsystems, Inc. 396,500 36,057
Merck & Co., Inc. 470,500 36,052
- WorldCom, Inc. 726,198 33,314
- America Online, Inc. 583,022 30,754
The Coca-Cola Co. 527,300 30,287
Home Depot, Inc. 572,700 28,599
Texas Instruments, Inc. 414,100 28,443
Johnson & Johnson 273,248 27,837
- Dell Computer Corp. 553,600 27,299
Hewlett-Packard Co. 216,900 27,085
- Viacom Inc. Class B 373,130 25,443
Morgan Stanley Dean
Witter & Co. 293,600 24,442
Time Warner, Inc. 297,550 22,614
SBC Communications Inc. 498,420 21,557
Corning, Inc. 77,000 20,780
- Amgen, Inc. 275,100 19,326
- Applied Materials, Inc. 212,100 19,222
American Express Co. 356,600 18,588
- JDS Uniphase Corp. 145,600 17,454
Pharmacia Corp. 328,100 16,959
The Walt Disney Co. 435,309 16,895
- AT&T Corp.-Liberty Media
Class A 675,832 16,389
Medtronic, Inc. 314,000 15,641
Schering-Plough Corp. 297,700 15,034
AT&T Corp. 437,557 13,838
- Micron Technology, Inc. 154,400 13,597
- Veritas Software Corp. 118,450 13,387
Enron Corp. 203,300 13,113
Bristol-Myers Squibb Co. 224,100 13,054
American Home Products Corp. 218,800 12,855
Charles Schwab Corp. 369,314 12,418
Motorola, Inc. 417,646 12,138
PepsiCo, Inc. 265,600 11,803
- MediaOne Group, Inc. 173,200 11,486
- QUALCOMM, Inc. 176,700 10,602
- ADC Telecommunications, Inc. 124,600 10,451
- Siebel Systems, Inc. 61,000 9,977
- Sprint PCS 165,100 9,823
- Analog Devices, Inc. 128,666 9,779
- Comcast Corp.-Special Class A 238,832 9,673
Sprint Corp. 189,500 9,665
Fannie Mae 180,100 9,399
- Juniper Networks, Inc. 64,500 9,389
- Yahoo!, Inc. 74,500 9,229
- Xilinx, Inc. 109,200 9,016
- NEXTEL Communications, Inc. 144,400 8,835
Bell Atlantic Corp. 167,700 8,521
Computer Associates
International, Inc. 162,989 8,343
- Altera Corp. 81,388 8,296
BellSouth Corp. 185,400 7,903
- Tellabs, Inc. 115,400 7,898
Merrill Lynch & Co., Inc. 68,000 7,820
Walgreen Co. 241,300 7,767
McDonald's Corp. 235,700 7,763
Eli Lilly & Co. 77,400 7,730
- Agilent Technologies, Inc. 104,225 7,687
Linear Technology Corp. 118,800 7,596
- Safeway, Inc. 168,084 7,585
Adobe Systems, Inc. 57,800 7,514
- Maxim Integrated Products, Inc. 110,600 7,514
- Solectron Corp. 176,700 7,399
- Level 3 Communications, Inc. 83,400 7,339
- Calpine Corp. 111,200 7,311
- Clear Channel
Communications, Inc. 95,720 7,179
- VoiceStream Wireless Corp. 61,500 7,152
- The Kroger Co. 321,700 7,098
Compaq Computer Corp. 276,930 7,079
Alcoa Inc. 242,128 7,022
The Boeing Co. 165,470 6,919
- Apple Computer, Inc. 130,000 6,809
- 3Com Corp. 117,375 6,764
- Waters Corp. 52,900 6,603
- General Motors Corp. Class H 74,961 6,578
UnitedHealth Group Inc. 76,700 6,577
- Network Appliance, Inc. 81,400 6,553
- Kohl's Corp. 117,800 6,553
Bank of America Corp. 151,575 6,518
- IVAX Corp. 156,600 6,499
- Advanced Micro Devices, Inc. 84,100 6,497
Abbott Laboratories 145,700 6,493
- Mercury Interactive Corp. 67,000 6,482
- LSI Logic Corp. 119,600 6,473
Procter & Gamble Co. 112,500 6,441
- Forest Laboratories, Inc. 62,400 6,302
- MedImmune Inc. 84,000 6,216
Dynegy, Inc. 90,909 6,210
- PMC Sierra Inc. 34,700 6,166
State Street Corp. 58,000 6,152
E.I. du Pont de Nemours & Co. 140,600 6,151
- BEA Systems, Inc. 124,000 6,130
- Sepracor Inc. 50,800 6,128
- Infinity Broadcasting Corp. 167,400 6,100
- Redback Networks Inc. 34,200 6,088
- Sanmina Corp. 69,200 5,917
- Teradyne, Inc. 77,800 5,718
Conoco Inc. Class B 232,500 5,711
Freddie Mac 139,800 5,662
- AES Corp. 124,000 5,658
HCA-The Healthcare Co. 185,821 5,644
- Immunex Corp. 114,026 5,637
First Data Corp. 111,262 5,521
Paychex, Inc. 131,380 5,518
</TABLE>
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MARKET
TAX-MANAGED VALUE*
CAPITAL APPRECIATION FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Cardinal Health, Inc. 74,275 $ 5,496
Waste Management, Inc. 286,697 5,447
- Qwest Communications
International Inc. 109,076 5,420
- TIBCO Software Inc. 49,900 5,351
- CIENA Corp. 32,000 5,334
Providian Financial Corp. 59,100 5,319
- National Semiconductor Corp. 93,200 5,289
- Nabors Industries, Inc. 127,000 5,278
ENSCO International, Inc. 147,000 5,264
- Comverse Technology, Inc. 56,600 5,264
Automatic Data Processing, Inc. 98,100 5,254
Chevron Corp. 61,500 5,216
- Guidant Corp. 105,300 5,212
- Seagate Technology Inc. 94,670 5,207
Coastal Corp. 85,000 5,174
Kansas City Southern
Industries, Inc. 57,400 5,091
Lehman Brothers Holdings, Inc. 53,800 5,087
- Cablevision Systems Corp.
Class B 74,800 5,077
Kimberly-Clark Corp. 87,496 5,020
- AMFM Inc. 72,100 4,975
- Computer Sciences Corp. 65,900 4,922
- Costco Wholesale Corp. 149,100 4,920
Harley-Davidson, Inc. 127,700 4,916
- FedEx Corp. 128,900 4,898
- CDW Computer Centers, Inc. 78,000 4,875
AFLAC, Inc. 104,500 4,800
- NEXTLINK Communications, Inc. 126,200 4,788
- Exodus Communications, Inc. 103,600 4,772
- Rational Software Corp. 51,300 4,768
- Global Marine, Inc. 169,100 4,767
Tenet Healthcare Corp. 175,437 4,737
- Brocade Communications
Systems, Inc. 25,800 4,734
- KLA-Tencor Corp. 80,600 4,720
- BJ Services Co. 75,000 4,688
- Best Buy Co., Inc. 73,300 4,636
- Noble Drilling Corp. 112,100 4,617
- E-Tek Dynamics, Inc. 17,500 4,617
- St. Jude Medical, Inc. 100,108 4,592
- ALZA Corp. 77,600 4,588
- Chiron Corp. 94,840 4,505
- Sycamore Networks, Inc. 40,700 4,492
- Biogen, Inc. 69,600 4,489
- Smith International, Inc. 61,500 4,478
- R & B Falcon Corp. 189,746 4,471
- McLeodUSA, Inc. Class A 215,400 4,456
- Vitesse Semiconductor Corp. 60,400 4,443
- Rowan Cos., Inc. 146,000 4,435
The Gap, Inc. 141,187 4,412
Southwest Airlines Co. 232,925 4,411
- Starbucks Corp. 115,476 4,410
Philip Morris Cos., Inc. 163,800 4,351
Starwood Hotels & Resorts
Worldwide, Inc. REIT 133,724 4,321
- Tech Data Corp. 99,000 4,313
Emerson Electric Co. 71,200 4,299
- Atmel Corp. 115,400 4,255
- Metromedia Fiber Network, Inc. 107,200 4,255
Wells Fargo Co. 109,300 4,235
- Watson Pharmaceuticals, Inc. 78,400 4,214
Capital One Financial Corp. 94,300 4,208
- Cooper Cameron Corp. 63,700 4,204
Gillette Co. 119,816 4,186
- Univision Communications Inc. 40,300 4,171
- Bed Bath & Beyond, Inc. 114,500 4,151
Molex, Inc. 85,656 4,122
- Robert Half International, Inc. 144,400 4,115
- Lexmark International Group, Inc.
Class A 61,000 4,102
- American Power
Conversion Corp. 100,400 4,098
- Andrx Corp. 64,100 4,097
- i2 Technologies, Inc. 39,000 4,066
- Citizens Communications Co. 235,002 4,054
Lowe's Cos., Inc. 98,700 4,053
- BMC Software, Inc. 110,600 4,035
- Dollar Tree Stores, Inc. 101,250 4,006
- SCI Systems, Inc. 102,200 4,005
- American Tower Corp. Class A 96,000 4,002
- Gateway, Inc. 70,400 3,995
Apache Corp. 67,200 3,952
- Intuit, Inc. 95,400 3,947
- Convergys Corp. 75,900 3,937
- Oxford Health Plan 163,900 3,903
Anadarko Petroleum Corp. 79,100 3,901
CVS Corp. 97,428 3,897
Honeywell International Inc. 114,500 3,857
- SPX Corp. 31,800 3,846
- BroadVision, Inc. 75,600 3,841
GTE Corp. 61,100 3,803
Golden West Financial Corp. 92,800 3,787
- Concord EFS, Inc. 144,850 3,766
Stryker Corp. 86,000 3,763
Sysco Corp. 89,200 3,758
- Ocean Energy, Inc. 263,540 3,739
Telephone & Data Systems, Inc. 36,900 3,699
- Boston Scientific Corp. 168,600 3,699
- Genzyme Corp. 62,200 3,697
- Wellpoint Health Networks Inc.
Class A 50,703 3,673
- Northwest Airlines Corp. Class A 120,200 3,659
- Fiserv, Inc. 84,500 3,655
- Cox Communications, Inc. Class A 80,200 3,654
- Universal Health Services Class B 55,700 3,648
- Trigon Healthcare, Inc. 70,200 3,620
The Goldman Sachs Group, Inc. 38,100 3,615
- Jabil Circuit, Inc. 72,800 3,613
- Federated Department
Stores, Inc. 106,700 3,601
- MiniMed, Inc. 30,500 3,599
AXA Financial, Inc. 105,800 3,597
Delta Air Lines, Inc. 70,800 3,580
- Thermo Electron Corp. 168,700 3,553
The Pepsi Bottling Group, Inc. 120,700 3,523
- US Airways Group, Inc. 90,200 3,518
- Allegiance Telecom, Inc. 54,750 3,504
Lyondell Chemical Co. 208,200 3,487
- Republic Services, Inc. Class A 212,000 3,392
EOG Resources, Inc. 101,100 3,387
</TABLE>
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MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Staples, Inc. 218,130 $ 3,354
- Santa Fe Snyder Corp. 292,470 3,327
- Electronic Arts Inc. 45,600 3,326
Estee Lauder Cos. Class A 67,200 3,322
MGIC Investment Corp. 72,600 3,303
- Fox Entertainment Group, Inc.
Class A 108,200 3,287
- Continental Airlines, Inc. Class B 69,900 3,285
- International Game Technology 123,900 3,283
- Pacificare Health Systems, Inc. 54,328 3,270
Danaher Corp. 66,100 3,268
Electronic Data Systems Corp. 78,800 3,251
The Chase Manhattan Corp. 70,500 3,247
Keebler Foods Co. 87,200 3,237
Illinois Tool Works, Inc. 56,600 3,226
- PRIMEDIA Inc. 141,200 3,212
- Celgene Corp. 54,500 3,209
- Western Wireless Corp. Class A 58,200 3,172
- Niagara Mohawk Holdings Inc. 226,800 3,161
RadioShack Corp. 66,600 3,155
Devon Energy Corp. 55,600 3,124
- Health Management Associates
Class A 238,868 3,120
- Grant Prideco, Inc. 124,800 3,120
Cintas Corp. 84,500 3,100
MGM Grand, Inc. 96,132 3,088
- Time Warner Telecom Inc. 47,900 3,084
BroadWing Inc. 117,800 3,055
- Tricon Global Restaurants, Inc. 107,640 3,041
- American Standard Cos., Inc. 74,000 3,034
Kinder Morgan, Inc. 87,400 3,021
- Smurfit-Stone Container Corp. 234,602 3,021
Millipore Corp. 40,000 3,015
- Weatherford International, Inc. 75,500 3,006
Kerr-McGee Corp. 50,649 2,985
Franklin Resources Corp. 97,400 2,959
- AMR Corp. 111,700 2,953
Expeditors International of
Washington, Inc. 62,000 2,945
- Sealed Air Corp. 55,636 2,914
- DST Systems, Inc. 38,200 2,908
Newmont Mining Corp. 133,656 2,890
- ICOS Corp. 65,200 2,869
Rouse Co. REIT 115,900 2,869
Jones Pharma, Inc. 71,600 2,860
- Park Place Entertainment 234,600 2,859
- Amazon.com, Inc. 78,400 2,847
CenturyTel, Inc. 98,400 2,829
UAL Corp. 48,500 2,822
Circuit City Stores, Inc. 85,000 2,821
- AutoZone Inc. 127,700 2,809
- SunGard Data Systems, Inc. 90,500 2,806
- Safeguard Scientifics, Inc. 87,200 2,796
Biomet, Inc. 72,700 2,794
- BJ's Wholesale Club, Inc. 84,600 2,792
The Hartford Financial
Services Group Inc. 49,200 2,752
Manpower Inc. 85,100 2,723
- HEALTHSOUTH Corp. 376,100 2,703
- Adelphia Communications Corp.
Class A 57,550 2,698
- Jones Apparel Group, Inc. 114,500 2,691
Allmerica Financial Corp. 51,344 2,689
The MONY Group Inc. 79,500 2,688
- CNA Financial Corp. 79,000 2,686
- FMC Corp. 46,300 2,685
- Hanover Compressor Co. 70,400 2,675
- NTL Inc. 44,506 2,665
The PMI Group Inc. 56,100 2,665
- NCR Corp. 68,337 2,661
ALLTEL Corp. 42,953 2,660
- Marine Drilling Co., Inc. 95,000 2,660
- Winstar Communications, Inc. 78,400 2,656
Noble Affiliates, Inc. 71,200 2,652
- Portal Software, Inc. 41,400 2,644
- King Pharmaceuticals, Inc. 60,200 2,641
- Conexant Systems, Inc. 54,200 2,635
SCANA Corp. 108,800 2,625
- Tritel, Inc. 88,300 2,621
- USA Networks, Inc. 121,160 2,620
- National-Oilwell, Inc. 79,400 2,610
- Golden State Bancorp Inc. 145,000 2,610
General Motors Corp. 44,682 2,594
- Outback Steakhouse 88,650 2,593
- Ariba, Inc. 26,400 2,588
- Knight Trading Group, Inc. 86,050 2,565
Legg Mason Inc. 51,100 2,555
Vastar Resources, Inc. 31,000 2,546
- Gentex Corp. 101,200 2,543
The St. Joe Co. 84,500 2,535
- U.S. Cellular Corp. 40,200 2,533
Progressive Corp. of Ohio 34,200 2,531
Dollar General Corp. 128,687 2,509
- Energizer Holdings, Inc. 137,328 2,506
- BISYS Group, Inc. 40,400 2,485
Radian Group, Inc. 47,910 2,479
Minnesota Mining &
Manufacturing Co. 29,900 2,467
- TeleCorp PCS, Inc. 61,100 2,463
- Navistar International Corp. 78,600 2,442
- Litton Industries, Inc. 58,000 2,436
- Quanta Services, Inc. 44,100 2,426
- Consolidated Stores, Inc. 201,106 2,413
- Harrah's Entertainment, Inc. 115,200 2,412
- Varco International, Inc. 103,700 2,411
- Vignette Corp. 46,200 2,403
Comdisco, Inc. 107,400 2,396
Herman Miller, Inc. 92,200 2,386
Delphi Automotive Systems Corp. 162,994 2,374
- Powertel Inc. 33,200 2,355
Transatlantic Holdings, Inc. 28,100 2,353
AMBAC Financial Group Inc. 42,900 2,351
IBP, Inc. 151,500 2,339
- KEMET Corp. 93,300 2,338
Northeast Utilities 107,400 2,336
- TV Guide, Inc. 68,200 2,336
Amerada Hess Corp. 37,800 2,334
Wrigley, (Wm.) Jr. Co. 29,100 2,333
- Pride International Inc. 94,100 2,329
- Brinker International, Inc. 79,400 2,322
Becton, Dickinson & Co. 80,600 2,312
- AutoNation, Inc. 325,700 2,300
</TABLE>
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MARKET
TAX-MANAGED VALUE*
CAPITAL APPRECIATION FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
NSTAR 56,500 $ 2,299
- Dycom Industries, Inc. 49,575 2,280
- PanAmSat Corp. 52,100 2,276
- Affiliated Computer Services,
Inc. Class A 68,000 2,248
- Metro-Goldwyn-Mayer Inc. 86,000 2,247
- Sybron International Corp. 110,300 2,185
Zions Bancorp 47,600 2,184
- Kopin Corp. 31,400 2,174
International Paper Co. 72,238 2,154
Donaldson, Lufkin & Jenrette, Inc. 50,700 2,152
- eBay Inc. 39,600 2,151
Sigma-Aldrich Corp. 72,900 2,132
- Dobson Communications Corp. 110,700 2,131
Whitman Corp. 172,000 2,129
- Plug Power, Inc. 33,600 2,100
M & T Bank Corp. 4,620 2,079
- PSINet, Inc. 82,000 2,060
- Hispanic Broadcasting Corp. 61,800 2,047
General Dynamics Corp. 39,100 2,043
- Arrow Electronics, Inc. 65,500 2,031
- Chris-Craft Industries, Inc. 30,695 2,028
- Adaptec, Inc. 87,700 1,995
Wesco Financial Corp. 9,710 1,991
Columbia Energy Group 30,300 1,988
Praxair, Inc. 53,100 1,988
Total System Services, Inc. 124,650 1,979
Baker Hughes, Inc. 60,480 1,935
Burlington Resources, Inc. 50,500 1,932
Mylan Laboratories, Inc. 104,350 1,904
Fastenal Co. 37,500 1,898
- Owens-Illinois, Inc. 161,800 1,891
Marriott International, Inc. Class A 51,700 1,864
- Synopsys, Inc. 53,827 1,860
- Metropolitan Life Insurance Co. 87,700 1,847
- Focal Communications Corp. 51,400 1,838
Williams Cos., Inc. 43,789 1,825
- Unisys Corp. 124,500 1,813
- Cadence Design Systems, Inc. 88,900 1,811
- AT&T Wireless Group 64,400 1,795
- Global Industries Ltd. 92,300 1,742
- Newfield Exploration Co. 41,800 1,635
Darden Restaurants Inc. 99,900 1,623
Florida East Coast Railway Co. 39,300 1,572
- Compuware Corp. 151,200 1,569
- Citrix Systems, Inc. 80,200 1,519
- Wireless Facilities, Inc. 29,600 1,508
Caterpillar, Inc. 44,000 1,491
- Novell, Inc. 159,800 1,478
Coca-Cola Enterprises, Inc. 90,400 1,475
Martin Marietta Materials, Inc. 35,900 1,452
Beckman Coulter, Inc. 24,500 1,430
- Thermo Electron Corp. 64,734 1,428
- John Hancock Financial
Services, Inc. 59,700 1,414
- At Home Corp. 67,600 1,403
ITT Industries, Inc. 45,900 1,394
Rite Aid Corp. 211,200 1,386
Autodesk, Inc. 39,900 1,384
IMS Health, Inc. 76,000 1,368
- LHS Group, Inc. 39,400 1,359
- PeopleSoft, Inc. 81,100 1,358
MBIA, Inc. 28,000 1,349
- Centennial Communications
Corp. Class A 97,700 1,343
FirstEnergy Corp. 55,900 1,307
- Toys R Us, Inc. 89,100 1,298
The Limited, Inc. 56,874 1,230
Diamond Offshore Drilling, Inc. 33,700 1,184
Tenneco Automotive, Inc. 221,705 1,164
Union Pacific Corp. 31,253 1,162
Johns Manville Corp. 87,000 1,147
BHC Communications, Inc.
Class A 7,500 1,126
DENTSPLY International Inc. 36,400 1,122
- Lamar Advertising Co. Class A 24,660 1,068
- Art Technology Group, Inc. 10,000 1,009
Senior Housing Properties
Trust REIT 127,000 1,008
Reinsurance Group of
America, Inc. 33,200 1,000
- Broadcom Corp. 4,515 989
Autoliv, Inc. 40,847 983
W.W. Grainger, Inc. 31,400 968
- Viacom Inc. Class A 13,688 936
Hasbro, Inc. 62,100 935
- Allied Waste Industries, Inc. 89,900 899
Shaw Industries, Inc. 71,600 895
Bank One Corp. 32,959 875
- Mastec Inc. 22,800 871
Ford Motor Co. 20,200 869
Hertz Corp. Class A 30,300 850
- Sapient Corp. 7,900 845
- CMGI Inc 18,400 843
Newell Rubbermaid, Inc. 32,660 841
- Snyder Communications, Inc. 35,300 838
USG Corp. 26,900 817
Federated Investors, Inc. 22,900 803
- SDL, Inc. 2,700 770
American General Corp. 12,461 760
Fort James Corp. 32,687 756
ServiceMaster Co. 66,000 751
E.W. Scripps Co. Class A 15,235 750
21st Century Insurance Group 47,300 745
- Quantum Corp.-DLT &
Storage Systems 76,000 736
Mallinckrodt, Inc. 16,800 730
- Network Associates, Inc. 34,050 694
- Cendant Corp. 49,325 691
Rohm & Haas Co. 19,950 688
- Kmart Corp. 99,600 679
A. H. Belo Corp. Class A 38,400 665
Hilton Hotels Corp. 69,750 654
- Ventiv Health, Inc. 58,446 650
Dime Bancorp, Inc. 40,700 641
NIKE, Inc. Class B 14,800 589
McKesson HBOC, Inc. 27,524 576
- Cabletron Systems, Inc. 21,700 548
- 7-Eleven, Inc. 39,080 537
Sealed Air Corp. $2.00 Cvt. Pfd. 10,117 512
C.H. Robinson Worldwide, Inc. 10,300 510
Host Marriott Corp. REIT 50,543 474
</TABLE>
18
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Ceridian Corp. 19,100 $ 460
- Genentech, Inc. 2,600 447
Global TeleSystems, Inc. 36,200 437
Reynolds & Reynolds Class A 23,500 429
Albertson's, Inc. 12,800 426
Texaco Inc. 7,960 424
- Scient Corp. 9,000 397
Nucor Corp. 11,900 395
- Office Depot, Inc. 60,500 378
Young & Rubicam Inc. 6,500 372
- Saks Inc. 35,000 368
Loews Corp. 5,900 354
Tootsie Roll Industries, Inc. 10,000 350
Burlington Northern Santa Fe Corp. 14,493 332
Nordstrom, Inc. 13,500 326
Homestake Mining Co. 43,100 296
Financial Security Assurance
Holdings Ltd. 3,800 288
The Clorox Co. 6,420 288
- Mandalay Resort Group 14,200 284
Plum Creek Timber Company Inc. 10,500 273
U S WEST, Inc. 3,009 258
Sabre Holdings Corp. 8,936 255
Allegheny Technologies Inc. 13,571 244
Associates First Capital Corp. 10,688 238
TXU Corp. 7,965 235
- NRG Energy, Inc. 11,500 210
- Spectrasite Holdings, Inc. 7,000 199
St. Paul Cos., Inc. 4,800 164
- Parametric Technology Corp. 14,000 154
- Circle.com 40,950 151
Cinergy Corp. 5,700 145
Baxter International, Inc. 2,000 141
Aetna Inc. 1,497 96
- Triton PCS, Inc. 1,000 58
Sotheby's Holdings Class A 2,500 44
- MIPS Technologies, Inc. Class B 1,136 44
Archer-Daniels-Midland Co. 4,330 42
- Visteon Corp. 2,645 32
- Gartner Group, Inc. Class B 2,895 29
Union Pacific Resources Group, Inc. 239 5
- Priceline.com Inc. 100 4
New Century Energies, Inc. 100 3
Kellogg Co. 100 3
Lockheed Martin Corp. 100 2
- Premier Parks Inc. 100 2
Mattel, Inc. 132 2
Raytheon Co. Class A 84 2
Nabisco Group Holdings Corp. 60 2
Crown Cork & Seal Co., Inc. 100 2
R.J. Reynolds Tobacco Holdings, Inc. 53 1
IMC Global Inc. 106 1
- Freeport-McMoRan Copper &
Gold, Inc. Class A 138 1
J.C. Penney Co., Inc. 54 1
-------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $1,742,245) 3,025,767
-------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT (0.5%)
-------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000--Note G
(COST $15,782) $15,782 $ 15,782
-------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.0%)
(COST $1,758,027) 3,041,549
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.0%)
-------------------------------------------------------------------------------
Receivables for Investment Securities Sold 111,020
Other Assets--Note B 4,798
Payables for Investment Securities Purchased (123,489)
Other Liabilities--Note G (21,978)
-----------
(29,649)
-------------------------------------------------------------------------------
NET ASSETS (100%) $3,011,900
-------------------------------------------------------------------------------
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
ADR--American Depositary Receipt.
REIT--Real Estate Investment Trust.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-------------------------------------------------------------------------------
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C>
Paid in Capital $1,790,994
Undistributed Net Investment Income 3,853
Accumulated Net Realized Losses (66,469)
Unrealized Appreciation--Note F 1,283,522
-------------------------------------------------------------------------------
NET ASSETS $3,011,900
===============================================================================
Investor Shares--Net Assets
Applicable to 80,139,337 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,821,044
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $35.20
===============================================================================
Institutional Shares--Net Assets
Applicable to 5,418,962 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $190,856
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $35.22
===============================================================================
</TABLE>
19
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<TABLE>
<CAPTION>
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MARKET
TAX-MANAGED VALUE*
SMALL-CAP FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (100.1%)
-------------------------------------------------------------------------------
- Mercury Interactive Corp. 62,500 $ 6,047
- IDEC Pharmaceuticals Corp. 33,400 3,918
- International Rectifier Corp. 51,200 2,867
- Lattice Semiconductor Corp. 40,900 2,827
- Protein Design Labs, Inc. 16,300 2,689
- Vertex Pharmaceuticals, Inc. 21,800 2,297
- RSA Security Inc. 32,900 2,278
- Digital Microwave Corp. 58,600 2,234
- Techne 17,100 2,223
Jones Pharma, Inc. 54,725 2,186
Dallas Semiconductor Corp. 50,000 2,038
Expeditors International of
Washington, Inc. 42,300 2,009
- Cor Therapeutics, Inc. 22,000 1,877
- Cognex Corp. 35,700 1,847
- National Instruments Corp. 42,100 1,837
- KEMET Corp. 72,400 1,815
True North Communications 41,100 1,808
Alpharma, Inc. Class A 29,000 1,805
SEI Corp. 44,400 1,768
- Coherent, Inc. 20,900 1,753
- Plexus Corp. 15,200 1,718
Jack Henry & Associates 34,000 1,704
- Universal Health Services Class B 25,800 1,690
- Cephalon, Inc. 28,200 1,688
- Aspect Communications Corp. 42,700 1,679
- Silicon Valley Bancshares 38,300 1,633
Radian Group, Inc. 31,300 1,620
- Plantronics, Inc. 13,600 1,571
- Catalina Marketing Corp. 15,400 1,571
- Gentex Corp. 61,700 1,550
- Dycom Industries, Inc. 32,500 1,495
- ChoicePoint Inc. 33,390 1,486
- Alpha Industries, Inc. 33,500 1,476
- Enzo Biochem, Inc. 21,100 1,456
- Remedy Corp. 25,900 1,444
- Patterson Dental Co. 28,300 1,443
- Snyder Communications, Inc. 60,000 1,425
- BISYS Group, Inc. 23,100 1,421
- Medicis Pharmaceutical Corp. 24,600 1,402
- CommScope, Inc. 33,800 1,386
- HNC Software, Inc. 22,400 1,383
- Newfield Exploration Co. 35,200 1,377
Eaton Vance Corp. 29,600 1,369
Technitrol, Inc. 14,000 1,356
- Pride International Inc. 54,200 1,341
- Priority Healthcare Corp. Class B 18,050 1,341
- Insight Enterprises, Inc. 22,200 1,317
- Smithfield Foods, Inc. 46,900 1,316
National Computer Systems, Inc. 26,700 1,315
- Black Box Corp. 16,500 1,306
- Barr Labs Inc. 29,100 1,304
Arthur J. Gallagher & Co. 30,900 1,298
C & D Technology Inc. 22,400 1,266
- Timberland Co. 17,600 1,246
- Vicor Corp. 35,300 1,229
- Michaels Stores, Inc. 26,100 1,196
- Kulicke & Soffa Industries, Inc. 20,100 1,193
Vintage Petroleum, Inc. 52,600 1,187
- Xircom, Inc. 24,900 1,183
Cullen/Frost Bankers, Inc. 44,600 1,174
Commerce Bancorp, Inc. 25,505 1,173
Methode Electronics, Inc. Class A 30,300 1,170
- Zebra Technologies Corp. Class A 26,200 1,161
- Adaptive Broadband Corp. 31,500 1,158
United Water Resources, Inc. 32,700 1,140
- American Management
Systems, Inc. 34,600 1,136
Centura Banks, Inc. 33,100 1,123
- S3, Inc. 75,900 1,119
- 99 Cents Only Stores 27,933 1,114
Applied Power, Inc. 33,000 1,106
- Dendrite International, Inc. 33,100 1,103
- AmeriCredit Corp. 62,900 1,069
- Zale Corp. 29,200 1,066
- Louis Dreyfus Natural Gas Corp. 33,800 1,058
CTS Corp. 23,200 1,044
- Proxim, Inc. 10,500 1,039
- Three-Five Systems, Inc. 17,549 1,035
Fidelity National Financial, Inc. 55,800 1,022
- Varian Medical Systems, Inc. 26,000 1,017
- Verity, Inc. 26,200 996
- Electro Scientific Industries, Inc. 22,300 982
Investors Financial Services Corp. 24,600 976
- Aware, Inc. 18,700 956
Hudson United Bancorp 42,527 954
- Interim Services, Inc. 53,190 944
- Pioneer Group, Inc. 22,200 941
- Trimble Navigation Ltd. 19,200 937
- Pinnacle Systems, Inc. 41,600 935
Cambrex Corp. 20,700 931
Penton Media, Inc. Class A 26,500 927
- United Stationers, Inc. 28,500 923
- Renal Care Group, Inc. 37,600 919
- Burr-Brown Corp. 10,600 919
- Aeroflex, Inc. 18,400 914
- Stone Energy Corp. 15,300 914
- Orthodontic Centers of
America, Inc. 40,300 912
- Whole Foods Market, Inc. 22,000 909
- Linens 'n Things, Inc. 33,300 903
- Stillwater Mining Co. 32,000 892
Cross Timbers Oil Co. 40,300 892
- Hain Celestial Group, Inc. 24,300 892
- Actel Corp. 19,300 881
OM Group, Inc. 20,000 880
- Hyperion Solutions Corp. 27,100 879
- Artesyn Technologies, Inc. 31,500 876
Harman International
Industries, Inc. 14,300 872
- Regeneron Pharmaceuticals, Inc. 29,200 871
- AnnTaylor Stores Corp. 26,200 868
- Alliance Semiconductor Corp. 35,300 867
Raymond James Financial, Inc. 38,400 864
- Heidrick & Struggles
International, Inc. 13,600 858
- Scotts Co. 23,500 858
- Aspen Technologies, Inc. 21,700 835
Corn Products International, Inc. 31,500 835
Aptargroup Inc. 30,800 832
- Barrett Resources Corp. 27,200 828
</TABLE>
20
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Mueller Industries Inc. 29,500 $ 826
- Shire Pharmaceuticals Group ADR 15,744 817
Ethan Allen Interiors, Inc. 33,700 809
- Anixter International Inc. 30,500 808
First Midwest Bancorp 34,700 807
Delta & Pine Land Co. 32,100 804
- Cable Design Technologies 24,000 804
Pier 1 Imports Inc. 82,200 801
- RadiSys Corp. 14,100 800
- Jack in the Box Inc. 32,300 795
Washington Federal Inc. 43,400 792
IDEX Corp. 25,000 789
- Men's Wearhouse, Inc. 34,700 774
First American Corp. 53,900 771
- Cerner Corp. 28,100 766
- Micrel, Inc. 17,600 764
- Canandaigua Brands, Inc. Class A 15,100 762
Skywest, Inc. 20,500 760
- C-COR Electronics, Inc. 28,100 759
FactSet Research Systems Inc. 26,700 754
Commercial Federal Corp. 48,200 750
Bindly Western Industries, Inc. 28,366 750
- EGL, Inc. 24,300 747
- Startek, Inc. 14,800 746
- Tetra Tech, Inc. 32,575 745
Pogo Producing Co. 33,500 741
Helix Technology Corp. 18,900 737
- MarchFirst, Inc. 40,300 735
- Syncor International Corp. 10,100 727
- Copart, Inc. 45,400 726
- Silicon Valley Group, Inc. 28,000 724
- Administaff, Inc. 11,400 724
Central Parking Corp. 30,500 722
- C-Cube Microsystems Inc. 36,800 722
- Apex Inc. 16,500 722
- ADVO, Inc. 17,100 718
- Cal Dive International, Inc. 13,200 715
Dain Rauscher Corp. 10,800 713
La-Z-Boy Inc. 50,820 711
- The Cheesecake Factory 25,800 710
- IDEXX Laboratories Corp. 30,900 707
Philadelphia Suburban Corp. 34,300 703
D. R. Horton, Inc. 51,700 701
- Photronics Labs Inc. 24,700 701
- Kent Electronics Corp. 23,500 701
Applebee's International, Inc. 23,000 697
Piedmont Natural Gas, Inc. 26,100 693
Earthgrains Co. 35,500 690
- American Xtal Technology, Inc. 15,900 688
- The Profit Recovery Group
International, Inc. 41,250 686
- ResMed Inc. 25,400 679
Downey Financial Corp. 23,400 679
Community First Bankshares 41,200 672
- Dril-Quip, Inc. 14,300 669
Invacare Corp. 25,400 667
- Southern Union Co. 41,790 661
- Ciber, Inc. 49,600 657
Roper Industries Inc. 25,600 656
- Coventry Health Care Inc. 48,600 648
Ruby Tuesday, Inc. 51,500 647
Polaris Industries, Inc. 20,200 646
Whitney Holdings 18,800 643
United Bankshares, Inc. 35,300 642
- Cybex Computer Products Corp. 14,850 639
- Buckeye Technology, Inc. 29,100 638
- ZixIt Corp. 13,800 636
Lennox International Inc. 47,938 635
- Primark Corp. 17,000 633
National Data Corp. 27,500 633
- Toll Brothers, Inc. 30,600 627
Brady Corp. Class A 18,900 614
MacDermid, Inc. 26,100 613
- Biotechnology General 46,000 607
- Shaw Group, Inc. 12,800 603
- Visual Networks, Inc. 21,100 601
Mutual Risk Management Ltd. 34,600 599
Tredegar Corp. 31,500 599
- O'Reilly Automotive, Inc. 42,800 594
- Delphi Financial Group, Inc. 17,466 593
- Beringer Wine Estates
Holdings, Inc. 16,700 590
Lilly Industries Inc. Class A 19,500 586
- Elan Corp. PLC ADR 12,089 586
- Barra, Inc. 11,700 580
- Mercury Computer Systems, Inc. 17,900 578
- CEC Entertainment Inc. 22,550 578
Chittenden Corp. 23,600 577
Staten Island Bancorp, Inc. 32,500 573
Manitowac Co., Inc. 21,350 571
- On Assignment, Inc. 18,700 570
- Footstar Inc. 17,100 569
- Insituform Technologies Class A 20,900 567
- Pre-Paid Legal Services, Inc. 18,800 562
Trustco Bank 44,746 559
- Veritas DGC Inc. 21,500 559
- Aztar Corp. 36,000 558
- SEACOR SMIT Inc. 14,400 557
- Wesley Jessen VisionCare, Inc. 14,800 556
New Jersey Resources Corp. 14,600 556
Mentor Corp. 20,300 552
USFreightways Corp. 22,400 550
Baldor Electric Co. 29,500 549
Florida Rock Industries, Inc. 15,400 549
Graco, Inc. 16,800 546
Energen Corp. 25,000 545
- Progress Software Corp. 30,400 545
- Noven Pharmaceuticals, Inc. 18,100 544
- Systems & Computer
Technology Corp. 27,000 540
- Alliant Techsystems, Inc. 8,000 540
- Concord Communications, Inc. 13,500 538
- Dura Pharmaceuticals, Inc. 36,800 529
- Avant! Corp. 28,000 525
- Valence Technology 28,400 524
Fair Issac & Co. 11,900 524
Belden, Inc. 20,400 523
- FileNet Corp. 28,400 522
- eLoyalty Corp. 40,900 521
- Fossil, Inc. 26,800 521
United Illuminating Co. 11,900 521
The South Financial Group, Inc. 35,800 519
</TABLE>
21
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<TABLE>
<CAPTION>
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MARKET
TAX-MANAGED VALUE*
SMALL-CAP FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Atwood Oceanics, Inc. 11,600 $ 516
- ESS Technology, Inc. 35,300 512
Texas Industries, Inc. 17,600 508
Cabot Oil & Gas Corp. Class A 23,900 506
Oshkosh Truck Corp. 14,000 501
- Cost Plus, Inc. 17,400 499
- Southwest Bancorporation of
Texas, Inc. 24,000 498
- Benchmark Electronics, Inc. 13,600 497
- Pacific Sunwear of California 26,400 495
- Dionex Corp. 18,500 495
- Atlantic Coast Airlines
Holdings Inc. 15,500 492
- Tower Automotive, Inc. 39,300 491
- Anchor Gaming 10,200 489
- MedImmune Inc. 6,570 486
UniSource Energy Corp. 32,400 486
- Simpson Manufacturing Co. 10,100 483
Justin Industries, Inc. 22,000 481
Kellwood Co. 22,700 480
CH Energy Group, Inc. 14,000 475
- General Semiconductor, Inc. 32,000 472
- HS Resources Inc. 15,700 471
Owens & Minor, Inc. Holding Co. 27,400 471
Northwest Natural Gas Co. 21,000 470
- National Discount Brokers
Group, Inc. 14,700 469
Enhance Financial Services
Group, Inc. 32,400 466
- Paxar Corp. 39,000 466
Susquehanna Bancshares, Inc. 32,670 466
- Landstar System 7,800 465
Southwest Gas Corp. 26,500 464
- NVR, Inc. 8,100 462
UGI Corp. Holding Co. 22,500 461
Cohu, Inc. 17,100 461
Datascope Corp. 12,800 461
Atmos Energy Corp. 26,200 459
- Sonic Corp. 15,600 458
- MemberWorks, Inc. 13,500 454
Werner Enterprises, Inc. 39,100 452
- Biomatrix, Inc. 19,900 450
- Respironics, Inc. 25,000 450
- SpeedFam-IPEC, Inc. 24,700 449
Casey's General Stores 43,250 449
Northwestern Corp. 19,400 449
- Specialty Equipment Cos., Inc. 16,500 448
Cooper Cos., Inc. 12,300 447
Reliance Steel & Aluminum Co. 23,350 447
Southwest Securities Group, Inc. 11,900 443
- Alliance Pharmaceutical Corp. 39,400 443
JLG Industries, Inc. 37,200 442
Libbey, Inc. 13,700 440
Hooper Holmes, Inc. 54,900 439
- Pharmaceutical Product
Development, Inc. 20,800 437
First Bancorp/Puerto Rico 23,500 436
- SPS Technologies, Inc. 10,600 435
G & K Services, Inc. 17,300 434
- Kirby Corp. 20,300 431
ABM Industries 18,700 430
Selective Insurance Group 22,600 429
- PolyMedica Corp. 9,900 428
Milacron Inc. 29,500 428
- Pinnacle Entertainment, Inc. 22,000 428
Fleming Cos., Inc. 32,700 427
Analogic Corp. 10,600 424
Regis Corp. 33,800 422
- Volt Information Sciences Inc. 12,800 422
- Triarc Cos., Inc. Class A 20,400 418
- F.Y.I. Inc. 12,400 418
- Heartland Express, Inc. 25,000 417
- ADAC Laboratories 17,300 415
- Allen Telecom Inc. 23,400 414
- Advanced Tissue Sciences Inc. 51,400 413
- Audiovox Corp. 18,700 413
- Ionics, Inc. 13,400 410
Michael Foods Group, Inc. 16,700 409
St. Mary Land & Exploration Co. 9,700 408
Jefferies Group, Inc. 20,200 408
Clarcor Inc. 20,500 407
- Astec Industries, Inc. 16,000 406
Roadway Express Inc. 17,300 405
A.O. Smith Corp. 19,300 404
Arch Chemicals, Inc. 18,400 403
- Brightpoint, Inc. 46,200 400
MascoTech Inc. 36,700 397
- MAXIMUS, Inc. 17,700 392
- American Freightways 27,000 392
Hughes Supply, Inc. 19,800 391
- ShopKo Stores, Inc. 25,000 384
Fleetwood Enterprises, Inc. 26,900 383
Diagnostic Products Corp. 11,900 381
Valmont Industries, Inc. 19,100 380
- Teledyne Technologies, Inc. 22,600 379
- US Oncology, Inc. 75,700 378
- Orbital Sciences Corp. 30,800 375
Elcor Corp. 16,300 375
- Prime Hospitality Corp. 39,700 375
Hilb, Rogal and Hamilton Co. 10,800 375
- Stein Mart, Inc. 36,300 372
Geon Co. 20,100 372
John H. Harland Co. 24,800 370
- Electroglas, Inc. 17,200 370
Circle International Group, Inc. 14,700 369
- Performance Food Group Co. 11,500 368
- Steel Dynamics, Inc. 40,400 366
- Advance Paradigm, Inc. 17,800 365
- Oceaneering International, Inc. 19,200 365
- P-Com, Inc. 64,100 365
- Phoenix Technologies LTD. 22,300 364
- ViaStat, Inc. 6,700 363
AMCOL International Corp. 22,000 363
- MedQuist, Inc. 10,683 363
- Imperial Bancorp 23,200 362
- Salton, Inc. 9,800 361
- Friede Goldman Halter, Inc. 40,279 360
Morgan Keegan, Inc. 24,400 360
ChemFirst Inc. 14,900 359
- Input/Output, Inc. 42,400 358
SLI, Inc. 29,400 356
MAF Bancorp, Inc. 19,600 356
</TABLE>
22
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<TABLE>
<CAPTION>
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MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Wynn's International Inc. 15,700 $ 356
Inter-Tel, Inc. 22,000 353
- NBTY, Inc. 55,300 353
The Toro Co. 10,700 352
- Agribrands International, Inc. 8,300 348
- The Dress Barn, Inc. 15,700 347
Wolverine World Wide, Inc. 35,000 346
MDC Holdings, Inc. 18,500 345
Coca-Cola Bottling Co. 7,500 341
Pioneer Standard Electronics Inc. 23,000 339
Rollins Truck Leasing 48,500 336
- Project Software &
Development, Inc. 18,600 335
Russ Berrie and Co., Inc. 17,100 329
- Conmed Corp. 12,700 329
- SCP Pool Corp. 13,950 328
Commercial Metals Co. 11,900 327
- Morrison Knudsen Corp. 45,100 327
Caraustar Industries, Inc. 21,600 327
- CDI Corp. 16,000 326
- Organogenesis, Inc. 28,300 324
- Sanmina Corp. 3,780 323
Queens County Bancorp, Inc. 17,400 321
- Symmetricom Inc. 12,700 321
- TALK.com, Inc. 55,000 320
- Fritz Cos., Inc. 30,800 318
- Peregrine Systems, Inc. 9,150 317
- CUNO Inc. 13,700 317
- American Italian Pasta Co. 15,300 317
- Nautica Enterprises, Inc. 29,600 316
Laclede Gas Co. 16,300 314
Park Electrochemical Corp. 8,700 314
- Yellow Corp. 21,200 313
Anchor Bancorp Wisconsin Inc. 20,400 312
- Cygnus Inc. 21,900 312
Watsco, Inc. 24,900 311
- Ralcorp Holdings, Inc. 25,100 307
- Hutchinson Technology, Inc. 21,500 306
Bowne & Co., Inc. 30,300 305
The Marcus Corp. 25,000 303
Provident Bankshares Corp. 22,304 301
Zenith National Insurance Corp. 14,100 300
- HA-LO Industries, Inc. 53,000 298
R.L.I. Corp. 8,500 295
Foster Wheeler Corp. 34,000 293
Riggs National Corp. 23,200 293
GenCorp, Inc. 36,300 290
- Quiksilver, Inc. 18,500 288
- Incyte Genomics, Inc. 3,500 288
Watts Industries Class A 22,100 279
WD-40 Co. 13,400 278
- Kronos, Inc. 10,685 278
Applied Industrial Technology, Inc. 16,900 277
- MICROS Systems, Inc. 14,900 277
- IHOP Corp. 16,500 276
Regal-Beloit Corp. 17,200 274
- Nuevo Energy Co. 14,500 274
Midas Inc. 13,600 272
The Pep Boys
(Manny, Moe & Jack) 44,700 268
AAR Corp. 22,200 266
- Immune Response 24,200 263
- Powerwave Technologies, Inc. 5,900 260
Chemed Corp. 9,200 259
Cato Corp. Class A 22,300 259
- Ultratech Stepper, Inc. 17,300 257
- Midway Games Inc. 31,900 257
Ryland Group, Inc. 11,600 257
- Ryan's Family Steak Houses, Inc. 29,700 251
Barnes Group, Inc. 15,300 250
- Midwest Express Holdings, Inc. 11,600 249
- Offshore Logistics, Inc. 17,300 249
- Scott Technologies, Inc. 14,400 247
Arctic Cat, Inc. 20,500 243
- Avid Technology, Inc. 20,200 242
Winnebago Industries, Inc. 18,400 240
- Telxon Corp. 13,400 240
Standard Pacific Corp. 23,800 238
Universal Forest Products, Inc. 17,200 236
- Gardner Denver Inc. 13,200 236
American States Water Co. 7,900 235
- JAKKS Pacific, Inc. 15,900 235
- Plains Resources 14,700 234
- Labor Ready, Inc. 35,150 233
Fremont General Corp. 58,600 231
Thomas Industries, Inc. 13,000 230
Deltic Timber Corp. 10,600 227
Wabash National Corp. 18,900 226
- Group 1 Automotive, Inc. 18,600 223
Trenwick Group Inc. 15,300 223
- Theragenics Corp. 25,900 222
- General Communication, Inc. 43,000 220
Chiquita Brands International, Inc. 55,800 220
- Consolidated Products Inc. 24,390 220
- Applica Inc. 19,400 219
Lawson Products, Inc. 8,900 219
- Pegasus Solutions Inc. 20,100 219
The Stride Rite Corp. 35,500 217
- Esterline Technologies Corp. 14,500 216
- Intermagnetics General Corp. 11,300 214
Gerber Scientific, Inc. 18,600 214
Phillips-Van Heusen Corp. 22,400 213
Robbins & Myers, Inc. 9,300 212
Omnova Solutions Inc. 33,800 211
- Monaco Coach Corp. 15,500 211
Kaman Corp. Class A 19,700 211
Thor Industries, Inc. 9,900 208
Brush Engineered Materials Inc. 13,300 208
Interpublic Group of Cos., Inc. 4,806 207
- United Natural Foods, Inc. 15,000 206
- Insurance Auto Auctions, Inc. 9,700 205
Pope & Talbot, Inc. 12,800 205
Aaron Rents, Inc. Class B 16,300 205
SCPIE Holdings Inc. 9,900 203
- PAREXEL International Corp. 21,200 203
Lindsay Manufacturing Co. 10,300 202
Sturm, Ruger & Co., Inc. 22,700 201
- AVT Corp. 27,000 199
- Standard Microsystem 12,900 198
- RTI International Metals 17,300 197
New England Business
Service, Inc. 12,100 197
</TABLE>
23
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<TABLE>
<CAPTION>
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MARKET
TAX-MANAGED VALUE*
SMALL-CAP FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Brown Shoe Company, Inc. 15,000 $ 195
- Checkpoint Systems, Inc. 25,600 192
- Wolverine Tube, Inc. 11,200 190
- URS Corp. 13,600 190
- Champion Enterprises, Inc. 38,600 188
Vital Signs, Inc. 10,100 183
National Presto Industries, Inc. 5,900 181
CPI Corp. 8,500 180
Landry's Seafood Restaurants, Inc. 21,000 178
- Network Equipment
Technologies, Inc. 17,600 177
Myers Industries, Inc. 16,360 176
Oshkosh B Gosh, Inc. Class A 10,700 175
Standex International Corp. 11,000 175
- M.S. Carriers, Inc. 9,800 173
Quanex Corp. 11,600 173
Analysts International Corp. 18,400 171
Morrison Management
Specialists, Inc. 6,000 169
Fedders Corp. 29,000 169
X-Rite Inc. 18,100 165
- TETRA Technologies, Inc. 11,500 163
Interface, Inc. 42,700 163
- Seitel, Inc. 20,000 162
- Arkansas Best Corp. 16,300 162
Schweitzer-Mauduit
International, Inc. 12,900 161
- Pediatrix Medical Group, Inc. 13,800 160
Cash America International Inc. 21,100 156
Cascade Natural Gas Corp. 9,300 155
- McWorter Technologies Inc. 7,900 154
- Billing Concepts Corp. 34,500 153
- Mesa Air Group Inc. 27,600 153
Skyline Corp. 7,100 153
Bangor Hydro-Electric Co. 6,500 152
Intermet Corp. 22,000 151
Tenneco Automotive, Inc. 28,700 151
- WetSeal, Inc. Class A 11,300 148
- Centigram Communications 5,800 148
- GC Cos. 6,600 148
Luby's, Inc. 18,400 147
Coachmen Industries, Inc. 12,600 145
- Discount Auto Parts Inc. 14,400 144
- Lydall, Inc. 13,500 143
- ePresence, Inc. 19,600 142
- Remington Oil & Gas Corp. 18,900 142
- J & J Snack Foods Corp. 7,900 141
K-Swiss, Inc. 8,800 140
- BE Avionics Inc. 20,000 137
- Griffon Corp. 24,700 137
Penford Corp. 6,300 135
- Cone Mills Corp. 21,800 135
- Material Sciences Corp. 13,100 131
Bassett Furniture Industries, Inc. 10,300 130
- Osteotech, Inc. 12,300 129
Southwestern Energy Co. 20,500 128
- Flow International Corp. 12,700 127
Quaker Chemical Corp. 7,300 127
- DAMARK International, Inc. 5,800 125
CKE Restaurants Inc. 41,200 124
- Auspex Systems, Inc. 24,700 122
Harmon Industries, Inc. 9,200 122
Oxford Industries, Inc. 6,700 121
- K2 Inc. 14,500 121
- Franklin Covey Co. 17,300 120
Innovex, Inc. 11,900 116
Simpson Industries, Inc. 15,200 114
Central Vermont Public
Service Corp. 10,400 114
- Consolidated Graphics, Inc. 12,000 113
- Itron, Inc. 13,300 110
- Panera Bread Co. Class A 10,700 108
Thomas Nelson, Inc. 12,200 104
- Jo-Ann Stores, Inc. Class A 14,700 103
Butler Manufacturing Co. 5,900 100
- Sunrise Medical, Inc. 20,500 100
A.M. Castle & Co. 12,000 100
Nature's Sunshine Inc. 14,100 99
- Action Performance Cos., Inc. 13,500 98
- Building Materials Holding Corp. 11,100 98
Birmingham Steel Corp. 24,500 95
- Davox Corp. 7,100 92
Titan International, Inc. 17,000 90
- SpaceLabs Medical, Inc. 8,000 90
BMC Industries, Inc. 22,000 89
- Epicor Software Corp. 35,700 89
- Hologic, Inc. 13,100 88
- Digi International, Inc. 13,400 87
- Bombay Co. 29,200 86
- TBC Corp. 18,500 86
Republic Group Inc. 9,400 85
- Royal Appliance
Manufacturing Co. 14,800 84
Lillian Vernon Corp. 7,800 82
- Exabyte Corp. 18,100 81
J. Baker, Inc. 13,800 80
Commonwealth Industries Inc. 13,600 80
- Komag, Inc. 44,300 78
- Coeur D'Alene Mines Corp. 31,700 77
Dimon Inc. 35,900 76
Oakwood Homes Corp. 41,500 75
Nash-Finch Co. 9,000 74
- Books-a-Million Inc. 15,000 69
Guilford Mills, Inc. 16,200 69
- WHX Corp. 12,500 69
- Great Plains Software, Inc. 3,500 69
- Cyrk International, Inc. 13,600 68
- Taco Cabana 10,100 67
- A.T. Cross Co. Class A 13,500 67
Standard Motor Products, Inc. 7,800 66
Steel Technologies, Inc. 9,300 66
Hancock Fabrics, Inc. 15,300 65
- E. Gottschalk & Co., Inc. 10,300 65
Amcast Industrial Corp. 7,200 63
- Hartmarx Corp. 24,500 63
Angelica Corp. 7,700 62
Haggar Corp. 5,200 61
- Goody's Family Clothing 10,500 58
- The Kroll-O'Gara Co. 8,600 58
Insteel Industries, Inc. 9,200 57
- Ashworth, Inc. 12,500 56
Pillowtex Designs 12,800 54
</TABLE>
24
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
- Hanger Orthopedic Group, Inc. 10,300 $ 51
- Curative Health Services Inc. 8,300 50
- Ames Department Stores, Inc. 6,100 47
- Jan Bell Marketing Inc. 19,700 47
Spartan Motors, Inc. 11,000 46
- Priority Healthcare Corp. Class A 600 45
- Read Rite Corp. 19,700 44
Nashua Corp. 4,800 40
E.W. Blanch Holdings, Inc. 1,800 37
- The Dixie Group, Inc. 9,200 36
- Saga Systems, Inc. 2,800 35
Green Mountain Power Corp. 4,100 34
- Swiss Army Brands, Inc. 6,500 33
- Laser Vision Centers, Inc. 5,300 33
- StaffMark, Inc. 4,300 29
- THQ Inc. 2,300 28
- Department 56 Inc. 2,300 25
Enesco Group, Inc. 5,100 24
- Sola International Inc. 4,600 22
Frozen Food Express Industries, Inc. 6,600 20
Apogee Enterprises, Inc. 4,400 16
- Carmike Cinemas, Inc. Class A 3,400 13
- Elan Corp. 25,900 13
- Information Resources, Inc. 3,200 13
- The Gymboree Corp. 3,900 12
- Sierra Health Services 3,400 11
Huffy Corp. 2,200 9
IMCO Recycling, Inc. 1,600 9
-------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $282,876) 333,358
-------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT (0.3%)
-------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000--Note G
(COST $992) $992 992
-------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.4%)
(COST $283,868) 334,350
-------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
(000)
-------------------------------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-0.4%)
-------------------------------------------------------------------------------
Other Assets--Note B 3,843
Liabilities--Note G (5,260)
-----------
(1,417)
-------------------------------------------------------------------------------
NET ASSETS (100%) $332,933
-------------------------------------------------------------------------------
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
ADR--American Depositary Receipt.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-------------------------------------------------------------------------------
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C>
Paid in Capital $281,918
Undistributed Net Investment Income 673
Accumulated Net Realized Losses (140)
Unrealized Appreciation--Note F 50,482
-------------------------------------------------------------------------------
NET ASSETS $332,933
===============================================================================
Investor Shares--Net Assets
Applicable to 21,296,675 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $288,816
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $13.56
===============================================================================
Institutional Shares--Net Assets
Applicable to 3,251,687 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $44,117
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $13.57
===============================================================================
</TABLE>
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<CAPTION>
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MARKET
TAX-MANAGED VALUE*
INTERNATIONAL FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (99.9%)
-------------------------------------------------------------------------------
AUSTRALIA (2.7%)
Telstra Corp. Ltd. 146,597 $ 597
News Corp. Ltd. 37,710 521
News Corp. Ltd. Pfd. 40,590 491
National Australia Bank Ltd. 29,332 491
Commonwealth Bank of Australia 25,411 422
Broken Hill Proprietary Co. Ltd. 31,538 374
Westpac Banking Corp., Ltd. 39,221 284
AMP Ltd. 20,732 212
Brambles Industries Ltd. 3,471 107
North Ltd. 41,820 99
Foster's Brewing Group Ltd. 34,389 97
Westfield Trust (Units) 43,548 85
WMC Ltd. 18,370 82
Rio Tinto Ltd. 4,869 81
Aristocrat Leisure Ltd. 23,600 80
Woolworths Ltd. 21,461 79
Coles Myer Ltd. 20,183 78
Computershare Ltd. 12,953 67
Suncorp-Metway Ltd. 11,316 59
Sons of Gwalia Ltd. 17,600 55
CSR Ltd. 17,540 49
Stockland Trust Group Ltd. 22,723 48
Australian Gas Light Co., Ltd. 6,680 40
Amcor Ltd. 11,503 40
Mayne Nickless Ltd. 19,097 39
Coca-Cola Amatil Ltd. 19,553 38
CSL Ltd. 1,928 38
QBE Insurance Group Ltd. 7,027 34
Normandy Mining Ltd. 55,060 30
Tabcorp Holdings Ltd. 5,226 30
Wesfarmers Ltd. 3,467 28
Orica Ltd. 5,770 26
Santos Ltd. 8,600 26
Erg Ltd. 3,262 25
British American Tobacco
Australasia Ltd. 3,878 24
Southcorp Ltd. 8,084 23
Hardie (James) Industries Ltd. 7,880 21
Cochlear Ltd. 1,144 20
Goodman Fielder Ltd. 27,440 20
Transurban Group 8,389 19
Mirvac Group 8,111 17
Gandel Retail Trust 25,531 17
- Boral Ltd. 11,605 15
David Jones Ltd. 17,000 13
Delta Gold Ltd. 13,790 10
Pacific Dunlop Ltd. 9,500 8
M.I.M. Holdings Ltd. 15,500 8
- Paperlinx Ltd. 3,834 7
Westralian Sands Ltd. 2,420 7
F.H. Faulding & Co., Ltd. 1,190 6
Leighton Holdings Ltd. 1,810 6
- Newcrest Mining Ltd. 2,160 6
Howard Smith Ltd. 1,260 6
Futuris Corp., Ltd. 3,905 4
-----------
5,109
-----------
AUSTRIA (0.2%)
Bank Austria AG 2,217 108
Oesterreichische
Elektrizitaetswirtschafts AG
Class A 586 60
BWT Best Water Technology AG 100 35
Wienerberger Baustoffindustrie AG 1,190 27
OMV AG 260 23
EA-Generali AG 130 21
Austria Tabak AG 550 20
VA Technologies AG 319 17
Bau Holding AG 300 13
Bau Holding AG Pfd. 300 12
Lenzing AG 200 12
Mayr-Melnhof Karton AG 120 6
Flughafen Wien AG 140 5
Oesterreichische
Brau-Beteiligungs AG 120 5
RHI AG 210 5
Boehler-Uddeholm AG 110 4
Austrian Airlines AG 250 4
-----------
377
-----------
BELGIUM (0.7%)
Fortis AG (B) 15,477 452
Electrabel SA 1,095 272
Groupe Bruxelles Lambert SA 512 128
Solvay SA 1,720 116
UCB SA 3,126 115
Delhaize-Le Lion SA 1,425 86
Colruyt NV 857 36
Barco NV 253 28
Bekaert NV 500 26
Union Miniere SA 680 25
D'Ieteren SA 90 23
Compagnie Maritime Belge
SA (CMB) 340 18
Glaverbel SA 236 18
Suez Lyonnaise VVPR 1,000 0
-----------
1,343
-----------
DENMARK (0.8%)
Tele Danmark A/S 4,033 273
Novo Nordisk A/S B Shares 1,424 243
D/S 1912 B Shares 20 213
D/S Svendborg B Shares 14 208
Den Danske Bank A/S 1,326 160
Vestas Wind Systems AS 1,500 55
Danisco A/S 1,623 54
- ISS A/S 652 50
Carlsberg A/S A Shares 1,545 46
Group 4 Falck A/S 200 32
William Demant A/S 1,000 30
NKT Holding A/S 148 25
- Navision Software A/S 400 17
- East Asiatic Co. A/S 1,000 15
Carlsberg A/S B Shares 460 14
FLS Industries A/S B Shares 899 14
SAS Danmark A/S 545 5
Radiometer A/S B Shares 126 4
</TABLE>
26
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Bang & Olufsen Holding A/S B Shares 96 $ 3
- Topdanmark A/S 200 3
-----------
1,464
-----------
FINLAND (3.1%)
Nokia Oyj 92,152 4,722
Sonera Oyj 14,141 647
UPM-Kymmene Oyj 5,070 126
Tieto Corp. B Shares 1,700 57
Sampo Insurance Co., Ltd. A Shares 860 35
Kemira Oyj 7,040 34
Hartwall Oyj 1,640 33
Kesko Oyj 2,760 28
Metso Oyj 2,040 25
Kone Corp. Oyj B shares 420 25
Pohjola Group Insurance Corp.
B Shares 690 24
Outokumpu Oyj A Shares 2,200 21
Rautaruuki Oyj 2,870 14
Instrumentarium Corp. 550 13
Metra Oyj A Shares 600 12
Amer Group Ltd. 370 10
Pohjola Group Insurance Corp.
A Shares 200 7
Uponor Oyj 340 6
Raisio Group PLC 3,000 6
Stockmann AB Oyj B Shares 370 6
Metra Oyj B Shares 270 5
Finnlines Oyj 190 4
Stockmann AB Oyj A Shares 280 4
-----------
5,864
-----------
FRANCE (10.9%)
France Telecom SA 19,422 2,726
TotalFinaElf 14,059 2,164
Alcatel 22,470 1,480
AXA 7,487 1,184
L'Oreal SA 1,290 1,122
Aventis SA 14,732 1,080
Vivendi 11,234 996
Carrefour SA 13,146 902
BNP Paribas 8,820 852
LVMH Moet Hennessy
Louis Vuitton SA 1,878 778
Sanofi-Synthelabo SA 14,037 671
Suez Lyonnaise des Eaux 3,792 667
Pinault-Printemps-Redoute SA 2,263 505
Societe Generale Class A 7,956 480
Bouygues SA 607 407
Cap Gemini SA 2,270 401
Canal Plus SA 2,346 396
Groupe Danone 2,660 354
Sagem SA 198 233
- Cie de St. Gobain SA 1,682 228
L'Air Liquide SA (Registered) 1,663 218
Schneider Electric SA 2,965 207
Dassault Systemes SA 2,194 205
Lagardere SCA 2,596 199
PSA Peugeot Citroen SA 832 168
Lafarge SA 1,942 152
Accor SA 3,658 151
Etablissements Economiques du
Casino Guichard-Perrachon SA 1,475 137
Thomson-CSF SA 2,992 118
Sodexho Alliance SA 630 115
Compagnie Generale des
Etablissements Michelin SA
B Shares 2,770 89
Valeo SA 1,489 80
Pernod Ricard SA 1,324 72
Essilor International SA 215 62
Publicis SA 155 61
Sidel SA 751 61
Eridania Beghin-Say SA 595 58
Usinor Sacilor SA 4,752 58
Pechiney SA A Shares 1,312 55
Gecina 468 50
Club Mediterranee SA 346 47
Societe BIC SA 903 44
Coflexip SA 326 40
- Imerys 260 30
Cie Francaise d'Etudes et de
Construction SA 220 27
Simco SA 350 26
Groupe GTM 230 22
Zodiac SA 100 20
Chargeurs SA 343 20
Etablissements Economiques du
Casino Guichard-Perrachon
SA Pfd. 274 17
Cie Parisienne de Reescompte SA 440 16
Groupe SEB SA 186 11
Nord-Est SA 400 10
-----------
20,272
-----------
GERMANY (8.6%)
Deutsche Telekom AG 57,313 3,285
Siemens AG 11,231 1,701
Allianz AG 4,598 1,659
Muenchener Rueckversicherungs-
Gesellschaft AG (Registered) 3,301 1,041
DaimlerChrysler AG 18,950 992
Deutsche Bank AG 11,550 954
Bayer AG 13,410 526
Bayerische Hypo-und
Vereinsbank AG 7,963 516
SAP AG 3,426 514
SAP AG Pfd. 2,475 460
BASF AG 11,356 458
- E.On AG 9,154 443
Dresdner Bank AG 9,942 411
RWE AG 8,963 305
E.On AG Fractions 5,133 248
Volkswagen AG Pfd. 9,674 228
Volkswagen AG 5,061 193
Schering AG 3,417 188
Metro AG Pfd. 7,474 175
Deutsche Lufthansa AG New 7,021 163
Thyssen Krupp AG 9,062 148
Fresenius Medical Care AG 1,700 136
Beiersdorf AG 1,497 126
EM.TV & Merchandising AG 2,100 124
</TABLE>
27
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<CAPTION>
-------------------------------------------------------------------------------
MARKET
TAX-MANAGED VALUE*
INTERNATIONAL FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Preussag AG 3,111 $ 101
WCM Beteiligungs-und
Grundbesitz AG 4,250 99
Merck KGaA 3,137 96
Linde AG 1,837 74
Heidelberger Zement AG 1,029 64
Man AG 1,739 53
Karstadt Quelle AG 1,931 51
Hochtief AG 1,500 45
Adidas-Salomon AG 750 42
Kamps AG 1,200 39
Continental AG 2,255 38
Gehe AG 1,150 37
RWE AG Pfd. 1,238 34
- SGL Carbon AG 416 28
Douglas Holding AG 654 19
Buderus AG 1,223 19
Dyckerhoff AG Pfd. 648 16
Man AG Pfd. 610 13
Escada AG 100 12
- Brau und Brunnen AG 250 11
Rheinmetall AG 900 11
Escada AG Pfd. 100 10
Rheinmetall AG Pfd. 1,050 10
Holsten-Brauerei AG 550 10
IWKA AG 550 9
- Kloeckner-Humbolt-Deutz AG 1,700 8
Fag Kugelfischer Georg
Schaefer AG 506 4
AGIV AG 246 3
Bilfinger & Berger Bau AG 220 3
- Holsten-Brauerei AG Rights
Exp. 7/12/2000 550 1
-----------
15,954
-----------
HONG KONG (2.1%)
Hutchison Whampoa Ltd. 80,000 1,006
Cable & Wireless Ltd. 234,400 516
Sun Hung Kai Properties Ltd. 48,000 345
Hang Seng Bank Ltd. 36,200 344
- Pacific Century Cyberworks Ltd. 102,000 202
CLP Holdings Ltd. 39,500 184
Johnson Electric Holdings Ltd. 18,000 170
Swire Pacific Ltd. A Shares 28,500 167
Li & Fung Ltd. 24,000 120
Cathay Pacific Airways Ltd. 61,000 113
Henderson Land Development
Co. Ltd. 24,000 106
Hong Kong & China Gas Co., Ltd. 94,600 106
Wharf Holdings Ltd. 42,000 75
Bank of East Asia Ltd. 30,600 71
Shangri-La Asia Ltd. 48,078 57
Television Broadcasts Ltd. 8,000 53
New World Development Co., Ltd. 39,000 44
Hysan Development Co., Ltd. 33,000 35
Hang Lung Development Co., Ltd. 41,000 32
ASM Pacific Technology Ltd. 8,000 30
South China Morning Post Ltd. 24,000 19
Esprit Holdings Ltd. 16,000 17
- QPL International Holdings Ltd. 11,000 16
Varitronix International Ltd. 7,000 12
Giordano International Ltd. 6,000 9
Hong Kong and Shanghai
Hotels Ltd. 8,000 5
- Oriental Press Group Ltd. 30,000 5
Hopewell Holdings Ltd. 8,000 3
-----------
3,862
-----------
IRELAND (0.3%)
Allied Irish Banks PLC 20,020 180
CRH PLC 8,320 151
Irish Life & Permanent PLC 11,160 94
- Ryanair Holdings PLC 8,240 60
Kerry Group PLC A Shares 3,709 49
Jefferson Smurfit Group PLC 19,710 34
Independent News & Media PLC 7,040 26
Greencore Group PLC 6,617 18
- Tullow Oil PLC 10,000 8
DCC PLC 780 7
Irish Continental Group PLC 900 7
Waterford Wedgewood PLC 5,700 6
Jurys Hotel Group PLC 690 4
Fyffes PLC 2,770 3
-----------
647
-----------
ITALY (4.4%)
Telecom Italia Mobile SpA 126,234 1,295
Telecom Italia SpA 71,747 990
Ente Nazionale Idrocarburi SpA 154,389 895
Assicurazioni Generali SpA 24,876 856
Enel SpA 141,272 628
San Paolo-IMI SpA 30,600 545
Banco Intesa SpA 113,279 463
- Olivetti SpA 95,500 349
Mediaset SpA 22,300 342
Fiat SpA 6,590 172
Telecom Italia Mobile SpA Risp. 33,600 170
Riunione Adriatica di Sicurta SpA 14,820 163
Banca di Roma SpA 119,600 147
Pirelli SpA 47,090 124
Telecom Italia SpA Risp. 18,000 120
Bulgari SpA 6,500 87
Benetton Group SpA 37,500 79
Banco Popolare di Milano SpA 9,700 70
Parmalat Finanziaria SpA 48,700 69
Autogrill SpA 6,100 65
- Alitalia SpA 29,800 62
Italgas SpA 13,500 60
Mondadori (Arnoldo) Editore SpA 2,500 57
- La Rinascente SpA 8,410 48
Magneti Marelli SpA 9,000 47
Fiat SpA Pfd. 2,750 45
Fiat SpA Risp. 2,670 37
SNIA BPD SpA 34,900 35
Italcementi SpA 3,744 35
Danieli & Co. SpA 5,900 27
Danieli & Co. SpA Risp. 12,000 27
Societa Assicuratrice
Industriale SpA 1,525 27
Impregilo SpA 35,000 20
Societa Assicuratrice
Industriale SpA Risp. 2,475 19
Italcementi SpA Risp. 5,200 18
</TABLE>
28
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Reno De Medici SpA 6,900 $ 14
Marzotto & Figli SpA Risp. 1,250 11
Sirti SpA 5,400 9
Cementir SpA 5,100 8
Marzotto & Figli SpA 800 7
Pirelli SpA Risp. 2,900 6
- La Rinascente SpA Risp. 1,500 5
-----------
8,253
-----------
JAPAN (26.9%)
Toyota Motor Corp. 71,000 3,241
Nippon Telegraph and
Telephone Corp. 241 3,212
Sony Corp. 16,700 1,563
Fujitsu Ltd. 37,000 1,283
Takeda Chemical Industries Ltd. 17,000 1,118
The Bank of Tokyo - Mitsubishi Ltd. 89,000 1,078
Matsushita Electric Industrial
Co., Ltd. 39,000 1,014
NEC Corp. 31,000 976
Nomura Securities Co., Ltd. 38,000 932
Hitachi Ltd. 63,000 911
Softbank Corp. 6,200 844
Canon, Inc. 16,000 798
Sumitomo Bank Ltd. 60,000 737
Murata Manufacturing Co., Ltd. 5,000 719
Toshiba Corp. 61,000 690
Honda Motor Co., Ltd. 19,000 648
Rohm Co., Ltd. 2,200 645
Tokyo Electric Power Co. 26,200 640
Kyocera Corp. 3,600 612
Sakura Bank Ltd. 77,000 533
Fuji Bank Ltd. 66,000 503
Ito-Yokado Co., Ltd. 8,000 482
Nintendo Co. 2,700 473
Fanuc Co., Ltd. 4,500 459
East Japan Railway Co. 76 442
- Nissan Motor Co., Ltd. 74,000 437
Mitsubishi Electric Corp. 40,000 434
Advantest Corp. 1,900 425
Denso Corp. 17,000 415
Tokyo Electron Ltd. 3,000 412
Fuji Photo Film Co., Ltd. 10,000 410
Shin-Etsu Chemical Co., Ltd. 8,000 407
Kao Corp. 13,000 398
Industrial Bank of Japan Ltd. 52,000 395
Yamanouchi Pharmaceuticals
Co., Ltd. 7,000 383
Sharp Corp. 21,000 372
Takefuji Corp. 3,000 363
Kansai Electric Power Co., Inc. 19,600 352
Daiwa Securities Group Inc. 26,000 344
Bridgestone Corp. 16,000 340
Tokio Marine & Fire Insurance Co. 29,000 335
Japan Tobacco, Inc. 38 334
Sanyo Electric Co., Ltd. 36,000 325
Mitsubishi Estate Co., Ltd. 26,000 307
Secom Co., Ltd. 4,000 293
Nippon Steel Corp. 135,000 285
Mitsubishi Heavy Industries Ltd. 64,000 284
Mitsubishi Corp. 30,000 272
Nikon Corp. 7,000 260
Furukawa Electric Co. 12,000 251
Taisho Pharmaceutical Co. 7,000 251
Central Japan Railway Co. 44 250
Kirin Brewery Co., Ltd. 20,000 250
Dai-Nippon Printing Co., Ltd. 14,000 247
Asahi Glass Co., Ltd. 22,000 246
Mitsui & Co., Ltd. 32,000 245
SMC Corp. 1,300 245
Sumitomo Electric Industries Ltd. 14,000 241
Sumitomo Corp. 21,000 237
Asahi Bank Ltd. 56,000 236
Yamato Transport Co., Ltd. 9,000 224
Tokai Bank Ltd. 45,000 222
Oriental Land Co.,Ltd. 2,000 205
Sankyo Co., Ltd. 9,000 204
Mitsubishi Trust & Banking Corp. 26,000 202
Eisai Co., Ltd. 6,000 193
Sumitomo Chemical Co. 32,000 193
Asahi Chemical Industry Co., Ltd. 26,000 184
Promise Co.,Ltd. 2,300 182
Hoya Corp. 2,000 180
Nidec Corp. 2,000 174
Tohoku Electric Power Co. 12,300 166
Mitsui Fudosan Co., Ltd. 15,000 163
Hirose Electric Co., Ltd. 1,000 156
Mitsubishi Chemical Corp. 38,000 156
Pioneer Corporation 4,000 156
Ajinomoto Co., Inc. 12,000 154
Daiichi Pharmaceutical Co., Ltd. 6,000 153
Tokyo Gas Co., Ltd. 54,000 152
Trans Cosmos, Inc. 1,000 150
Toppan Printing Co., Ltd. 14,000 148
OJI Paper Co., Ltd. 21,000 145
Shizuoka Bank Ltd. 17,000 145
- Itochu Corp. 28,000 142
Benesse Corp. 2,000 139
Konami Co., Ltd. 2,200 139
Omron Corp. 5,000 136
Terumo Corp. 4,000 136
Osaka Gas Co., Ltd. 47,000 135
Komatsu Ltd. 19,000 134
Marui Co., Ltd. 7,000 134
Asahi Breweries Ltd. 11,000 132
Tokyo Broadcasting System, Inc. 3,000 130
Japan Air Lines Co., Ltd. 33,000 126
Taiyo Yuden Co., Ltd. 2,000 126
Nippon Mitsubishi Oil Corp. 27,000 124
Shiseido Co., Ltd. 8,000 124
Nippon Paper Industries Co. 18,000 123
Kinki Nippon Railway Co. 30,000 122
Sekisui House Ltd. 13,000 121
Nippon Express Co., Ltd. 19,000 117
Shimamura Co., Ltd. 1,000 117
Daikin Industries Ltd. 5,000 116
Nitto Denko Corp. 3,000 116
Jusco Co., Ltd. 6,000 114
Shionogi & Co., Ltd. 6,000 114
Nippon Sheet Glass Co., Ltd. 8,000 111
Nippon Yusen Kabushiki
Kaisha Co. 23,000 111
</TABLE>
29
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
TAX-MANAGED VALUE*
INTERNATIONAL FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Tokyu Corp. 22,000 $ 109
Toray Industries, Inc. 26,000 106
Bank of Yokohama Ltd. 23,000 103
Kubota Corp. 28,000 102
- Marubeni Corp. 29,000 100
Takara Shuzo Co. 4,000 100
NGK Insulators Ltd. 8,000 99
Chugai Pharmaceutical Co., Ltd. 5,000 95
Daiwa Bank, Ltd. 36,000 94
Mitsubishi Materials Corp. 23,000 94
Kawasaki Steel Corp. 63,000 91
Uni-Charm Corp. 1,500 91
Olympus Optical Co., Ltd. 5,000 90
Bank of Fukuoka, Ltd. 13,000 89
Gunma Bank Ltd. 17,000 88
NSK Ltd. 10,000 88
Minebea Co., Ltd. 7,000 88
Teijin Ltd. 18,000 88
Daiwa House Industry Co., Ltd. 11,000 80
Kuraray Co., Ltd. 7,000 80
The Chuo Mitsui Trust and
Banking Co., Ltd. 18,100 79
Skylark Co., Ltd. 2,000 79
NGK Spark Plug Co. 5,000 78
Sumitomo Marine & Fire
Insurance Co. 13,000 76
Toyo Seikan Kaisha Ltd. 4,000 75
Alps Electric Co., Ltd. 4,000 74
Nippon Meat Packers, Inc. 5,000 73
77 Bank Ltd. 9,000 72
Ohbayashi Corp. 16,000 71
Joyo Bank Ltd. 18,000 69
Kyowa Hakko Kogyo Co. 7,000 69
Ebara Corp. 5,000 68
Mitsui Mining & Smelting Co., Ltd. 9,000 68
Toho Co., Ltd. 400 68
Kaneka Corp. 6,000 66
Kurita Water Industries Ltd. 3,000 66
Tostem Corp. 4,000 65
Kajima Corp. 20,000 64
Nissin Food Products Co., Ltd. 2,500 64
Shimano, Inc. 2,600 63
Mitsui Marine & Fire Insurance Co. 13,000 63
Dai-Nippon Ink & Chemicals, Inc. 13,000 61
Isetan Co. 5,000 61
Nisshin Flour Milling Co., Ltd. 6,000 60
Yokogawa Electric Corp. 6,000 60
Fuji Soft ABC Inc. 1,000 59
Citizen Watch Co., Ltd. 6,000 58
Takashimaya Co. 6,000 56
Toyo Information Systems Co., Ltd. 1,000 56
Tosoh Corp. 11,000 56
Ube Industries Ltd. 18,000 56
- Kawasaki Heavy Industries Ltd. 36,000 55
Uny Co., Ltd. 4,000 55
Onward Kashiyama Co., Ltd. 4,000 54
Toto Ltd. 7,000 54
- Daiei, Inc. 14,000 53
Fuji Machine Manufacturing
Co., Ltd. 1,000 53
Meiji Seika Kaisha Ltd. 8,000 53
Sanrio Co., Ltd. 2,000 53
- Sumitomo Metal Industries Ltd. 76,000 52
Sumitomo Metal Mining Co. 11,000 52
Amada Co., Ltd. 6,000 51
Yamazaki Baking Co., Ltd. 5,000 49
House Foods Industry Corp. 3,000 47
Sekisui Chemical Co. 12,000 46
Casio Computer Co. 4,000 45
Daito Trust Construction Co., Ltd. 2,700 45
Showa Shell Sekiyu K.K. 9,000 45
Yamaha Corp. 4,000 44
CSK Corp. 1,400 43
Konica Corp. 5,000 43
Nippon Comsys Corp. 2,000 43
Sumitomo Osaka Cement Co., Ltd. 7,000 42
Asatsu-DK Inc. 1,000 41
- Ishikawajima-Harima Heavy
Industries Co. 22,000 40
Meitec Corp. 1,000 40
Shimizu Corp. 14,000 40
Yakult Honsha Co., Ltd. 3,000 40
NTN Corp. 9,000 39
- Dai-Nippon Screen
Manufacturing Co., Ltd. 4,000 38
Kinden Corp. 6,000 38
Toda Corp. 8,000 38
Mitsubishi Gas Chemical Co. 11,000 37
Denki Kagaku Kogyo K.K. 8,000 36
Namco Ltd. 1,000 36
Toyobo Ltd. 18,000 36
- Kanebo Ltd. 11,000 34
- Seiyu Ltd. 8,000 34
Autobacs Seven Co., Ltd. 1,000 33
Daifuku Co., Ltd. 3,000 33
Fujikura Ltd. 5,000 33
Kokuyo Co., Ltd. 2,000 33
Nippon Shokubai K.K. 5,000 32
Kamigumi Co., Ltd. 6,000 32
Nisshinbo Industries, Inc. 6,000 32
Tobu Railway Co., Ltd. 11,000 32
INAX Corp. 5,000 31
Kikkoman Corp. 4,000 31
Mitsubishi Rayon Co., Ltd. 10,000 31
- Mitsukoshi Ltd. 7,000 31
Mori Seiki Co. 2,000 31
Taiheiyo Cement Corp. 15,000 31
Wacoal Corp. 3,000 31
Keihin Electric Express Railway
Co., Ltd. 8,000 30
Sumitomo Heavy Industries Ltd. 9,000 30
Makita Corp. 3,000 29
Kawasaki Kisen Kaisha Ltd. 14,000 28
- Sega Enterprises Ltd. 1,800 28
Meiji Milk Products Co., Ltd. 5,000 27
Mitsubishi Logistics Corp. 3,000 27
Snow Brand Milk Products Co. 5,000 27
- Hokuriku Bank Ltd. 11,000 26
Koyo Seiko Co., Ltd. 3,000 26
- Japan Energy Corp. 24,000 26
</TABLE>
30
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Katokichi Co., Ltd. 1,000 $ 25
- Mitsui Engineering &
Shipbuilding Co., Ltd. 26,000 25
Okumura Corp. 7,000 25
Sapparo Breweries Ltd. 6,000 25
- Showa Denko K.K. 17,000 25
Cosmo Oil Co., Ltd. 13,000 24
- Hitachi Zosen Corp. 26,000 24
Taisei Corp. 14,000 22
- Ashikaga Bank Ltd. 10,000 21
Hankyu Department Stores, Inc. 4,000 21
Shimachu Co. 1,000 21
Kyowa Exeo Corp. 2,000 20
Nippon Shinpan Co. 8,000 20
Sumitomo Forestry Co. 3,000 20
Tsubakimoto Chain Co. 4,000 20
Daicel Chemical Industries Ltd. 6,000 19
Komori Corp. 1,000 18
Nichiei Co., Ltd. 1,100 18
Mycal Corp. 5,000 17
Nishimatsu Construction Co. 4,000 16
Sanden Corp. 2,000 16
Sho-Bond Corp. 1,000 15
Toei Co. 2,000 15
Aoyama Trading Co., Ltd. 1,000 14
Nitto Boseki Co., Ltd. 8,000 14
Oyo Corp. 1,000 14
- Unitika Ltd. 15,000 12
Amano Corp. 1,000 11
- Fujita Corp. 20,000 10
Makino Milling Machine Co. 1,000 10
Toa Corp. 8,000 10
- Haseko Corp. 23,000 9
Nichirei Corp. 2,000 9
Takuma Co., Ltd. 1,000 9
Tokyo Style Co. 1,000 9
Gunze Ltd. 2,000 8
JGC Corp. 2,000 8
Kaken Pharmaceutical Co. 1,000 8
Daimaru, Inc. 2,000 7
Daiwa Kosho Lease Co., Ltd. 2,000 7
- Japan Steel Works Ltd. 5,000 7
Mitsubishi Paper Mills Ltd. 3,000 7
Teikoku Oil Co., Ltd. 2,000 7
Brother Industries Ltd. 2,000 6
Iwatani International Corp. 3,000 6
Kureha Chemical Industry Co. 2,000 6
NOF Corp. 2,000 6
Nippon Suisan Kaisha Ltd. 3,000 6
Noritake Co., Ltd. 1,000 6
- Renown, Inc. 4,000 6
Tokyo Tatemono Co., Ltd. 3,000 6
- Daikyo, Inc. 2,000 5
- Ishihara Sangyo Kaisha Ltd. 3,000 5
- Tokyo Dome Corp. 1,000 5
Maeda Road Construction Co., Ltd. 1,000 5
Penta-Ocean Construction Co. 3,000 5
Seino Transportation Co., Ltd. 1,000 5
- Kumagai Gumi Co., Ltd. 6,000 4
Mitsui Soko Co., Ltd. 2,000 4
Nippon Light Metal Co. 4,000 4
Nippon Sharyo Ltd. 2,000 4
Okuma Corp. 1,000 4
Takara Standard Co. 1,000 4
Tokyotokeiba Co. 3,000 4
- Arabian Oil Co., Ltd. 1,000 3
- Chiyoda Corp. 3,000 3
Sanwa Shutter Corp. 1,000 3
-----------
50,110
-----------
NETHERLANDS (6.0%)
Royal Dutch Petroleum Co. 40,527 2,529
ING Groep NV 19,084 1,295
Koninklijke (Royal) Philips
Electronics NV 25,606 1,213
STMicroelectronics NV 16,434 1,040
Aegon NV 25,222 901
Koninklijke KPN NV 18,100 813
ABN-AMRO Holding NV 28,708 706
Unilever NV 10,906 502
Koninklijke Ahold NV 14,022 414
Heineken NV 5,864 358
- ASM Lithography Holdings NV 8,073 348
Akzo Nobel NV 5,593 239
TNT Post Group NV 8,792 238
Elsevier NV 13,167 160
Wolters Kluwer NV 5,320 142
Getronics NV 6,075 94
Hagemeyer NV 1,898 53
Buhrmann NV 1,610 46
Vedior NV 2,240 28
Oce NV 1,690 28
KLM Royal Dutch Airlines NV 1,000 27
IHC Caland NV 460 22
Koninklijke Vopak NV 901 20
Hollandsche Beton Groep NV 1,000 12
- Baan Co. NV 3,119 9
Nedlloyd Groep NV 210 4
Stork NV 240 3
-----------
11,244
-----------
NEW ZEALAND (0.2%)
Telecom Corp. of New Zealand Ltd. 37,470 131
Lion Nathan Ltd. 17,160 38
Fletcher Challenge Ltd. Paper 32,200 37
Carter Holt Harvey Ltd. 40,830 36
The Warehouse Group Ltd. 8,585 21
Contact Energy Ltd. 13,831 19
Auckland International Airport Ltd. 13,991 17
Fletcher Challenge Ltd. Energy 2,060 7
Fisher & Paykel Industries Ltd. 1,890 6
Brierley Investments Ltd. 27,700 4
- Fletcher Challenge Ltd. Forest 12,410 4
Fletcher Challenge Ltd. Building 4,020 4
-----------
324
-----------
NORWAY (0.4%)
Norsk Hydro ASA 4,620 195
Christiania Bank Og
Kreditkasse ASA 17,240 93
DNB Holding ASA 15,860 66
Orkla ASA 3,170 60
Smedvig ASA B Shares 2,449 40
Tomra Systems ASA 1,500 40
</TABLE>
31
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
TAX-MANAGED VALUE*
INTERNATIONAL FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Bergesen D.Y. ASA B Shares 1,920 $ 37
Bergesen D.Y. ASA A Shares 1,540 32
Storebrand ASA 4,300 31
- Petro Geo-Services ASA 1,700 29
Schibsted ASA 1,030 19
- Merkantildata ASA 2,640 14
- Lief Hoegh & Co. ASA 1,410 13
- Unitor ASA 1,600 12
Hafslund ASA A Shares 1,900 9
Hafslund ASA B Shares 2,800 9
Smedvig ASA A Shares 460 8
Elkem ASA 360 7
Norske Skogindustrier ASA
B Shares 300 7
- Kvaerner ASA B Shares 700 6
Norske Skogindustrier ASA
A Shares 200 6
SAS Norge ASA B Shares 630 5
- Kvaerner ASA 330 3
-----------
741
-----------
PORTUGAL (0.5%)
Electricidade de Portugal SA 11,818 215
Portugal Telecom SA (Registered) 18,919 213
Banco Comercial Portugues SA 22,645 118
Banco Espirito Santo SA 2,620 65
Sonae SGPS SA 30,500 54
Brisa-Auto Estradas de
Portugal SA 5,731 50
Cimpor-Cimento de Portugal SA 2,517 48
Jeronimo Martins & Filho,
SGPS, SA 2,248 37
CIN Corporacao Industrial 3,200 18
- Efacec-Empresa Fabrilde
Maquinas Electricas SA 1,700 11
Corticeira Amorin SA 1,100 10
- Sociedade Construcoes Soares
da Costa SA 3,200 9
Inapa-Investimentos
Participacoes e Gestao SA 1,320 8
- Sonae SGPS SA Rights
Exp. 7/19/2000 7,625 7
Companhia de Seguros
Tranquilidade 190 6
Portucel Industrial-Empresa
Productora de Cellulosa SA 850 5
-----------
874
-----------
SINGAPORE (1.0%)
DBS Group Holdings Ltd. 24,978 321
- Chartered Semiconductor
Manufacturing Ltd. 23,000 201
Singapore Airlines Ltd. 20,000 198
Singapore Telecommunications
Ltd. 124,900 183
Oversea-Chinese Banking
Corp., Ltd. 24,650 170
United Overseas Bank Ltd. 18,504 121
Singapore Press Holdings Ltd. 6,000 94
Singapore Technologies
Engineering Ltd. 60,000 88
Natsteel Electronics Ltd. 17,000 52
Venture Manufacturing
(Singapore) Ltd. 5,000 51
City Developments Ltd. 12,000 47
Creative Technology Ltd. 1,650 40
First Capital Corp., Ltd. 37,000 35
Cycle & Carriage Ltd. 11,000 26
Parkway Holdings Ltd. 10,000 26
Sembcorp Industries Ltd. 21,000 23
Fraser & Neave Ltd. 6,000 21
Hotel Properties Ltd. 24,000 21
Omni Industries Ltd. 12,000 20
United Industrial Corp., Ltd. 43,000 20
Wing Tai Holdings Ltd. 25,000 18
Keppel Corp., Ltd. 6,000 13
- Neptune Orient Lines Ltd. 14,000 13
Singapore Computer Systems Ltd. 6,000 13
Comfort Group Ltd. 21,000 10
Haw Par Brothers International Ltd. 6,000 10
Overseas Union Enterprise Ltd. 2,000 5
-----------
1,840
-----------
SPAIN (2.6%)
- Telefonica SA 61,409 1,324
Banco Bilbao Vizcaya
Argentaria SA 60,804 912
Banco Santander Central
Hispano SA 79,031 837
Repsol SA 21,463 429
Endesa SA 19,004 370
Iberdrola SA 16,227 210
Gas Natural SDG SA 8,430 152
Altadis SA 7,706 119
Union Electrica Fenosa SA 5,374 98
Fomento de Construc y Contra SA 2,417 46
- Sol Melia SA 4,022 45
Corporacion Financiera Alba SA 1,200 32
Autopista Concesionaria
Espanola SA 3,568 31
ACS, Actividades de Construccion
y Servicios, SA 1,100 31
Acerinox SA 1,025 30
Sociedad General de Aguas de
Barcelona SA 2,011 27
Metrovacesa SA 1,329 22
- TelePizza SA 3,516 20
Vallehermoso SA 3,086 18
Azucarera Ebro Agricolas SA 1,400 17
Grupo Dragados SA 2,200 16
Corporacion Mapfre SA 1,100 14
Fabrica Espanola de Productos
Quimicos y Farmaceuticos, SA 1,210 13
- Ercros SA 22,000 12
Viscofan Industria Navarra de
Envolturas Celulosicas SA 1,896 12
Portland Valderrivas SA 600 11
- Puleva SA 7,000 11
Uralita SA 1,600 10
- El Aguila SA 1,300 9
Grupo Empresarial Ence SA 500 8
Prosegur Cia de Seguridad SA
(Registered) 600 7
Cortefiel, SA 300 7
</TABLE>
32
<PAGE> 72
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Zardoya Otis SA 800 $ 7
- Asturiana de Zinc, SA 400 4
Immobiliaria Urbis SA 900 4
Autopista Concesionaria
Espanola SA Rights Exp. 7/5/2000 3,568 2
-----------
4,917
-----------
SWEDEN (3.3%)
Telefonaktiebolaget LM Ericsson
AB Class B 146,548 2,916
Skandia Forsakrings AB 19,396 515
Nordic Baltic Holding AB 57,315 435
Hennes & Mauritz AB B Shares 15,667 329
- Telia AB 22,300 211
Svenska Handelsbanken A Shares 11,970 175
ForeningsSparbanken AB 10,690 157
Skandinaviska Eeskilda Banken
AB A Shares 12,660 151
OM Gruppen AB 2,960 133
Securitas AB B shares 6,090 130
- NetCom AB B Shares 1,740 129
Volvo AB B Shares 5,270 115
Electrolux AB B Shares 6,250 97
- Sandvik AB 4,283 90
Svenska Cellulosa AB B Shares 3,970 76
Skanska AB B Shares 2,090 74
Volvo AB A Shares 2,550 54
Atlas Copco AB A Shares 2,400 47
Gambro AB 5,400 44
Atlas Copco AB B Shares 1,730 33
WM-Data AB Class B 5,400 30
Drott AB B Shares 2,370 26
Swedish Match AB 8,006 25
Svenska Handelsbanken AB
B Shares 1,590 23
Assidoman AB 1,500 21
SKF AB A Shares 1,060 17
SKF AB B Shares 870 15
Svenskt Stal AB (SSAB)-A Shares 1,530 15
Svenskt Stal AB (SSAB) 1,180 11
Esselte AB A Shares 1,500 9
Esselte AB B Shares 1,500 9
SAPA AB 290 5
Gambro AB B Shares 600 5
Trelleborg AB B Shares 620 4
-----------
6,126
-----------
SWITZERLAND (5.8%)
Novartis AG (Registered) 1,362 2,164
Nestle SA (Registered) 736 1,478
Roche Holding AG 132 1,289
UBS AG (Registered) 8,498 1,249
Credit Suisse Group AG
(Registered) 5,211 1,040
ABB Ltd. 5,749 690
Schweizerische
Rueckversicherungs-Gesellschaft 275 562
Swisscom AG 1,428 496
Zurich Allied AG 988 490
Roche Holding AG (Bearer) 32 340
Adecco SA (Bearer) 330 281
Holderbank Financiere Glarus AG
(Bearer) 105 129
The Swatch Group AG (Bearer) 69 88
Lonza AG 137 72
- Alusuisse Group AG (Registered) 105 69
The Swatch Group AG (Registered) 221 58
Holderbank Financiere Glarus AG
(Registered) 162 53
Sulzer AG (Registered) 77 51
- Givaudan 162 49
Sairgroup 213 36
SGS Societe Generale de
Surveillance Holding SA (Bearer) 16 28
Georg Fischer AG (Registered) 79 25
SGS Societe Generale de
Surveillance Holding SA
(Registered) 60 25
Schindler Holding AG (Registered) 15 23
Kuoni Reisen Holding AG
(Registered) 47 22
Grands Magasins Jelmoli SA
(Registered) 50 13
Grands Magasins Jelmoli SA (Bearer) 6 8
Valora Holding AG 27 8
Forbo Holding AG (Registered) 14 6
Schindler Holding AG (Ptg. Ctf.) 4 6
Sika Finanz AG (Bearer) 19 6
Moevenpick Holding AG (Bearer) 12 5
-----------
10,859
-----------
UNITED KINGDOM (19.1%)
Vodafone Airtouch PLC 1,155,701 4,671
BP Amoco PLC 375,569 3,605
Glaxo Wellcome PLC 68,472 1,998
HSBC Holdings PLC 161,465 1,847
British Telecommunications PLC 122,838 1,588
AstraZeneca Group PLC 33,966 1,586
SmithKline Beecham PLC 107,254 1,405
Lloyds TSB Group PLC 104,516 987
Royal Bank of Scotland
Group PLC 50,602 847
Barclays PLC 29,230 727
- British Sky Broadcasting
Group PLC 35,730 699
CGNU PLC 41,315 688
Marconi PLC 50,653 659
Diageo PLC 65,028 584
Prudential PLC 37,662 552
Reuters Group PLC 26,399 450
BG PLC 66,437 429
Halifax PLC 44,460 427
Tesco PLC 128,100 399
Pearson PLC 12,019 382
Allied Zurich PLC 30,759 364
British Aerospace PLC 56,686 354
Abbey National PLC 29,204 349
Rio Tinto PLC 21,024 344
Granada Group PLC 33,821 338
Unilever PLC 52,933 321
3i Group PLC 13,693 282
British American Tobacco PLC 40,695 272
</TABLE>
33
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<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
MARKET
TAX-MANAGED VALUE*
INTERNATIONAL FUND SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
Cadbury Schweppes PLC 40,258 $ 264
Centrica PLC 73,846 246
Kingfisher PLC 25,414 231
Legal & General Group PLC 98,006 229
Amvesco PLC 13,704 220
Bass PLC 19,569 220
National Grid Group PLC 27,591 218
Scottish Power PLC 25,021 212
WPP Group PLC 14,098 206
The Sage Group PLC 24,265 197
Marks & Spencer PLC 55,037 194
- ARM Holdings PLC 17,883 192
Hays PLC 33,625 188
Reed International PLC 21,301 185
Logica PLC 7,493 177
GKN PLC 13,200 168
Compass Group PLC 12,579 166
J. Sainsbury PLC 35,986 163
BAA PLC 20,115 161
Carlton Communications PLC 12,415 160
National Power PLC 23,079 147
Railtrack Group PLC 9,467 147
EMI Group PLC 15,848 144
British Airways PLC 24,272 140
Land Securities PLC 11,280 135
Boots Co. PLC 17,590 134
Schroders PLC 7,179 129
Rentokil Initial PLC 56,684 129
Imperial Chemical Industries PLC 15,813 126
New Dixons Group PLC 30,455 124
BOC Group PLC 8,492 122
Nycomed Amersham PLC 11,893 118
Great Universal Stores PLC 17,810 115
Sema Group PLC 7,931 113
- Celltech Group PLC 5,441 105
Blue Circle Industries PLC 16,151 104
United Utilities PLC 10,264 102
Hilton Group PLC 28,225 99
Hanson PLC 13,147 93
- Corus Group PLC 62,007 91
Capita Group PLC 3,640 89
Thames Water PLC 6,304 82
Misys PLC 9,579 81
Smiths Industries PLC 6,235 81
Electrocomponents PLC 7,871 80
Williams PLC 13,519 79
- Canary Wharf Finance PLC 13,818 77
Ocean Group PLC 4,659 77
Smith & Nephew PLC 19,957 74
British Land Co., PLC 11,716 72
MEPC PLC 8,325 69
New Unigate PLC 15,600 68
Arjo Wiggins Appleton PLC 16,907 66
Lasmo PLC 30,581 65
RMC Group PLC 4,747 62
Psion PLC 5,965 58
Burmah Castrol PLC 2,269 57
Johnson Matthey PLC 3,948 56
TI Group PLC 10,057 55
Airtours PLC 10,209 54
BBA Group PLC 8,313 54
Slough Estates PLC 9,758 54
Wolseley PLC 10,059 54
Bunzl PLC 9,662 52
Hammerson PLC 7,099 48
- Anglian Water PLC 4,880 45
SSL International PLC 3,812 41
FKI PLC 10,728 38
Tate & Lyle PLC 6,930 35
Barratt Developments PLC 8,630 34
IMI PLC 7,247 31
Rank Group PLC 11,900 28
Rexam PLC 6,860 27
Taylor Woodrow PLC 9,900 23
Pilkington PLC 15,260 22
London Bridge Software
Holdings PLC 2,815 21
Jarvis PLC 7,350 20
Caradon PLC 8,080 18
The Berkeley Group PLC 1,600 15
Hepworth PLC 5,380 15
George Wimpey PLC 8,820 15
- Eidos PLC 1,550 11
De La Rue PLC Group 1,250 7
Coats Viyella PLC 6,500 5
Amec PLC 1,360 4
BICC PLC 3,710 4
Lex Service PLC 640 3
-----------
35,694
-----------
UNITED STATES (0.3%)
BP Amoco PLC ADR 9,184 519
ScottishPower PLC ADR 2,320 78
- Infocus Corp. 506 16
-----------
613
-----------
-------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $173,800) 186,487
-------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT (0.1%)
-------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
6.71%, 7/3/2000
(COST $247) $247 247
-------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(COST $174,047) 186,734
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
-------------------------------------------------------------------------------
Other Assets--Note B 718
Liabilities (981)
-----------
(263)
-------------------------------------------------------------------------------
NET ASSETS (100%) $186,471
-------------------------------------------------------------------------------
</TABLE>
* See Note A in Notes to Financial Statements.
- Non-income-producing security.
ADR--American Depositary Receipt.
34
<PAGE> 74
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
AMOUNT
(000)
-------------------------------------------------------------------------------
AT JUNE 30, 2000, NET ASSETS CONSISTED OF:
-------------------------------------------------------------------------------
<S> <C>
Paid in Capital $174,269
Undistributed Net Investment Income--Note E 1,306
Accumulated Net Realized Losses--Note E (1,783)
Unrealized Appreciation (Depreciation)--Note F
Investment Securities 12,687
Foreign Currency (8)
-------------------------------------------------------------------------------
NET ASSETS $186,471
===============================================================================
Investor Shares--Net Assets
Applicable to 16,274,380 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $186,471
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $11.46
===============================================================================
</TABLE>
35
<PAGE> 75
(C) 2000 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor. F872 082000
36
