State Farm Variable Product Trust



Table of Contents
Message to Variable Product Customers		1

Management’s Discussions
Large Cap Equity Fund		3
Small/Mid Cap Equity Fund		5
International Equity Fund		8
Large Cap Equity Index Fund		11
Small Cap Equity Index Fund		13
International Equity Index Fund		16
Stock and Bond Balanced Fund		19
Bond Fund		22
Money Market Fund		24

Expense Example (unaudited)		25

Board Approval of Investment Sub-Advisory Agreements		27

Policy Total Returns		30

Schedule of Investments
Large Cap Equity Fund		32
Small/Mid Cap Equity Fund		34
International Equity Fund		37
Large Cap Equity Index Fund		41
Small Cap Equity Index Fund		47
International Equity Index Fund		67
Stock and Bond Balanced Fund		80
Bond Fund		81
Money Market Fund		86

Financial Statements
Statements of Assets and Liabilities		88
Statements of Operations		90
Statements of Changes in Net Assets		92
Notes to Financial Statements		96

Financial Highlights		104

Report of Independent Registered Public Accounting Firm		113

Management Information		114

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This report and any financial information contained herein are submitted for the general information of the owners of interests in State Farm Life Insurance Company and State Farm Life and Accident Assurance Company Variable Life Separate Accounts or Variable Annuity Separate Accounts (the “Accounts”). This report provides the results of operations for each of the Funds of the State Farm Variable Product Trust. It is possible to invest in these underlying Funds only through the purchase of a State Farm Variable Universal Life Insurance policy or State Farm Variable Deferred Annuity policy. Please read the prospectus and consider the investment objectives, charges and expenses and other information it contains about the Accounts carefully before investing.

Not
FDIC
Insured

ŸMay lose value

ŸNo bank guarantee

Variable Deferred Annuity (VA) policy series 97040 & 97090 in all states except MA, MT, NY, WI; 97090 in MT; A97040 & A97090 in NY, WI.

Variable Universal Life (VUL) policy series 97035, and also 97036 in TX, except MA, MT, NY, WI; 97085 in MT; A97035 in NY & WI.

This material must be accompanied or preceded by a prospectus.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities, and information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12 month period ended June 30, are available without charge upon request at 1-800-447-4930 and at http://www.sec.gov.

The Funds file complete schedules of portfolio holdings for each Fund with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds make the information on Form N-Q available to shareholders upon request without charge at 1-800-447-4930.

Thank you for investing with State Farm Variable Products. Enclosed is the Annual Report for the 12-month period ended December 31, 2006 for the State Farm Variable Product Trust (the “Trust”). For the Funds offered by the Trust, you will find management’s discussion of investment philosophy and process, market and Fund-specific factors that affected a Fund’s performance over the 12-month period, and benchmark index comparisons to put a Fund’s performance into context. This Annual Report also includes the Trust’s 2006 fiscal year-end audited financial statements and complete lists of portfolio holdings to help you further understand each Fund. We encourage you to review this entire report.

The Annual Report also contains policy total returns for variable deferred annuity and variable universal life policies issued by State Farm Life Insurance Company and State Farm Life and Accident Assurance Company. These policy total returns reflect contract-level fees and expenses, as well as Fund fees and expenses. The contract-level fees and expenses are not included in the performance returns discussed for each Fund.

The Securities and Exchange Commission (SEC) granted an Exemptive Order to the Trust and State Farm Investment Management Corp., the Trust’s investment adviser, allowing the Trust’s Board of Trustees to appoint additional or replacement sub-advisers to Funds within the Trust without the need to hold costly shareholder meetings.

Utilizing this authority, the Board authorized a change in the investment sub-adviser for the Trust’s Small Cap Equity Fund effective December 1, 2006. Two new sub-advisers, Bridgeway Capital Management, Inc. and Rainier Investment Management, Inc. replaced Capital Guardian Trust Company as sub-adviser to the Fund. Furthermore, the name of the Fund was changed from Small Cap Equity Fund to Small/Mid Cap Equity Fund to coincide with a broader investment strategy that includes investment in mid-cap equity securities. Each new sub-adviser manages about one-half of the Fund’s portfolio. More detailed information on this transition and the new sub-advisers is included in Management’s Discussion of Fund Performance for the Small/Mid Cap Equity Fund.

In the U.S., the large cap S&P 500 Index closed out the year with a gain of 15.80%.¹ Market breadth within this Index improved in 2006 with eight of the ten S&P 500 market sectors posting double-digit gains compared with just two sectors in 2005. The Telecommunications sector led the way in 2006 with a return of 32.13% after posting a loss the year earlier. The Energy sector continued its multi-year rise gaining 22.22% followed by the Consumer Discretionary sector’s 17.23% gain. Consumer Discretionary is another sector that had positive returns at the end of 2006 after a loss for 2005.

The small cap market as represented by the Russell 2000^® Index recorded a gain of 18.37% as of December 31, 2006.¹ Performance was stronger among international equities as represented by the MSCI EAFE Free^® Index gained 26.34% for the year.¹ Within the MSCI EAFE Free Index, developed European markets like Spain and Sweden led the way with the highest returns in U.S. dollar terms while the United Kingdom – the largest country weighting in the Index at 23.7% –gained over 30% in U.S. dollar terms. Japan, the second largest country weighting in the Index at 22.6%, gained just 6.3% in U.S. dollar terms.

After seventeen straight increases of 0.25% each to the Fed Funds Rate beginning in June 2004, the Federal Reserve decided to take a break in August 2006, maintaining the Fed Funds Rate at 5.25% for the remainder of 2006. Bond markets as represented by the Lehman Brothers Government/Credit Intermediate Index² gained 4.26% including the reinvestment of interest income from July 1 through December 31, 2006 and finished with a 4.08% gain for the year. During the prior six month period (January 1 through June 30, 2006) as interest rates had generally been rising, the Lehman Brothers Government/Credit Intermediate Index declined –0.17%. For the year, short maturity bonds outperformed both intermediate and long maturity bonds.

While no one knows what the future holds, we believe investors need a long-term perspective, patience, and the discipline to help withstand inevitable short-term market events. Your Registered State Farm Agent is there to help you. Working with someone you know can be a comfort when making important decisions about your financial future.

The Large Cap Equity Fund (the “Fund”) under normal circumstances invests at least 80% of its net assets in common stocks of U.S. companies with market capitalizations of at least $1.5 billion. The Fund’s sub-advisor, Capital Guardian Trust Company (Capital Guardian), chooses stocks for the portfolio for their long-term potential for capital growth. In making investment decisions on specific securities, Capital Guardian looks for companies with one or more of the following characteristics: below-market price-to-earnings, below-market price-to-book value, and/or above market yield. The Fund is benchmarked to the Russell 1000^® Value Index (the “Index”).

Describe the relevant market environment as it related to the Fund for the reporting period.

Value stocks, as defined by the Index, continued to perform better than growth stocks, ending the year up 22.25%, which exceeded the return for the year of the Russell 1000^® Growth Index of 9.07%. This marked the seventh year in a row that value stocks have outperformed growth stocks. Moreover, all ten industry sectors within the Index finished the year with double-digit returns.

During the year, the market environment was influenced by numerous factors including: the Federal Reserve’s decision to leave the Fed Funds rate unchanged after a series of increases, continued volatility in energy prices, and a slow down in the housing market.

Lower energy prices contributed to lower inflationary pressures and an increase in consumer spending, and employment and real wages both increased.

For the 12 months ended December 31, 2006, the Large Cap Equity Fund returned 15.91% and the Russell 1000^® Value Index returned 22.25%. The line graph and table below provide additional perspective on the Fund’s results.

The performance data quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that your account value, when redeemed, may be worth more or less than the premiums you paid. Recent performance may be less than the figures shown. Obtain contract-level standardized total returns current to the most recent month-end on statefarm.com^® for the State Farm Variable Deferred Annuity Policy at http://www.statefarm.com/insurance/life_annuity/annuity/variable/vdapandr.asp and the State Farm Variable Universal Life Insurance Policy at http://www.statefarm.com/insurance/life_annuity/life/vari_univ/vulpandr.asp.

During 2006, stocks from the Financial sector represented the largest segment of both the Index and the Fund. The Fund’s underweight position in financial stocks relative to the Index (33.7% of total net assets versus 36.6% Index weighting) was a mild contributor to results. However, stock selection in this sector was a detractor to performance. Within the sector, Capital One Financial Corp. (1.24% of total net assets) was a large detractor to Fund performance with a loss of over -11% during the year. Likewise, the Fund’s tenth largest holding, SLM Corp. (2.45% of total net assets), posted a loss of over -11% during the year. Not all securities within the Financial sector were detractors, however. The Fund’s fourth largest holding, J.P. Morgan Chase & Co. (3.20% of total net assets), was among the Fund’s largest contributors to results and gained over 21% during the year. The Fund’s second and ninth largest holdings, Washington Mutual (3.46% of total net assets) and Wachovia Corp. (2.49% of total net assets), experienced gains of over 4% and 7%, respectively.

The Energy sector (6.9% of total net assets) was also an area where stock selection detracted from results. The Fund was underweight integrated oil companies, which outperformed oil service companies, where the Fund was overweight. The Fund’s holdings in integrated oil companies included Chevron Corp. (0.78% of total net assets) and Exxon Mobil Corp. (0.99% of total net assets), which both posted gains of over 29% and 36%, respectively. The Fund’s holdings in oil service companies included offshore drilling company, Transocean Inc. (1.35% of total net assets), and Weatherford International Inc. (1.19% of total net assets), which both posted relatively smaller gains of over 16% and 15%, respectively. The Fund’s fifth largest holding, Royal Dutch Shell (2.57% of net assets for ADR Class A&B combined) gained approximately 14% for the year.

The top contributors to the Fund’s returns during the year came from the following sectors: Consumer Staples (10.7% of total net assets), Utilities (3.2% of total net assets), and Health Care (8.2% of total net assets). Within Consumer Staples, the Fund’s third and seventh largest holdings, Altria Group Inc. (3.24% of total net assets) and Kraft Foods Inc. (2.56% of total net assets), posted gains of over 14% and 26%, respectively. Within Utilities, the top contributors included CMS Energy Corp. (0.91% of total net assets) and Duke Energy Corp. (0.55% of total net assets), which both gained over 15% and 20%, respectively. Merck & Co. Inc. (1.79% of total net assets) posted a gain of over 37% during 2006 and was the largest contributor to Fund performance from the Health Care sector.

Among the remaining top ten holdings, the Fund’s eighth largest holding, AT&T Inc. (2.51% of total net assets), posted a gain of over 45% and was the best performing of the top ten holdings in the Fund during the year. The Fund’s exposure to the Information Technology sector (7.2% of total net assets) also detracted from results during the year. Within this sector, the Fund’s sixth largest holding, Intel Corp. (2.56% of total net assets), lost over -18% and was the weakest performer among the Fund’s top ten holdings. The Fund’s overall largest holding, General Electric Co. (3.63% of total net assets) posted a gain of over 6% during the year.

Effective December 1, 2006, the Small Cap Equity Fund was re-named the Small/Mid Cap Equity Fund (the “Fund”). On that same date, Capital Guardian Trust Company ceased serving as investment sub-adviser to the Fund and Bridgeway Capital Management, Inc. (“Bridgeway”) and Rainier Investment Management, Inc. (“Rainier”) began serving as co-investment sub-advisers to the Fund. Bridgeway and Rainier each manages approximately one-half of the Fund’s assets. State Farm Investment Management Corp. monitors the performance of the sub-advisers and the split of the Fund’s portfolio between the sub-advisers. With the change in sub-advisers and the implementation of a broader investment strategy to include mid-cap stocks in the portfolio, the benchmark for the Fund was changed from the Russell 2000^® Index to the Russell 2500^® Index at that time.

The Fund seeks long-term growth of capital. In doing so, the Fund invests primarily in small- and mid-capitalization stocks issued by U.S. companies. An allocation to small- and mid-cap stocks allows for investment exposure to some companies in the earlier stages of development relative to more mature, larger capitalization companies. Bridgeway invests in those companies that are smaller than the largest 500 U.S. companies as measured by market capitalization. Rainier invests in U.S. companies with market capitalizations within the range of companies included in the Russell Midcap^® Index¹.

Bridgeway selects stocks using its proprietary, quantitative investment models to identify small- and mid-cap “value” stocks. Bridgeway defines “value” as stocks that it believes are priced cheaply relative to some financial measures of worth, such as the ratio of price to earnings, price to sales, or price to cash flow. Rainier utilizes fundamental analysis to invest its segment of the Fund in companies it believes have prospects of strong earnings growth and attractive overall business fundamentals, selling at what it believes to be reasonable valuations.

Describe the relevant market environment as it related to the Fund for the reporting period.

From January through April 2006, higher than expected economic growth and corporate earnings were some of the catalysts that helped start the year with double-digit gains for both the Russell 2000 and Russell 2500 Indexes. Growing concerns over inflation, energy prices, rising interest rates and their impact on slowing economic growth helped prompt a decline in these two Indexes from May through July.

Despite these factors, the Russell 2000 and the Russell 2500 Indexes posted gains of 18.37% and 16.16%, respectively, for the period ended December 31, 2006.

For the 12 months ended December 31, 2006, the Small/Mid Cap Equity Fund returned 14.58% while the Russell 2500 and Russell 2000 Indexes returned 16.16% and 18.37%, respectively. The line graph and table below provide additional perspective on the Fund’s long term results.

Under the former sub-adviser and its strategy, the Fund’s performance struggled relative to the Russell 2000 Index. Under the guidance of the two new sub-advisers, Bridgeway and Rainier, the composition of the Fund’s portfolio changed dramatically near the end of the reporting period. During the month of December 2006, every security in the portfolio, except one, was liquidated, and the proceeds from the liquidations were re-invested in equity securities issued by small- and mid-cap companies chosen by Bridgeway and Rainier. The December 2006 reconstitution of the Fund’s portfolio contributed to a higher than normal turnover rate of 160.5% for 2006.

For most of the reporting period and under the guidance of the former sub-adviser, the Fund maintained its largest and most overweight positions relative to the Russell 2000 Index in stocks issued by companies in the Information Technology sector (19.3% of total net assets vs. 18.4% Index weighting as of November 30, 2006) and Consumer Discretionary sector (14.9% of total net assets vs. 15.8% Index weighting as of November 30, 2006). Those two sectors rebounded in 2006 with gains of 14.06% and 15.13% as of December 31, 2006, respectively, after posting a -2.43% loss and 0.60% gain, respectively, as of December 31, 2005. However, the Fund’s overweight positioning in these two sectors, which were the fourth and fifth worst performing sectors within the Russell 2000 Index through December 31, 2006, was a detractor to the Fund’s performance. The Fund’s underweight positioning in the Telecommunication Services sector (0.4% of total net assets) relative to the Russell 2000 Index (1.4% Index weighting) through November 30, 2006, was also a detractor to performance.

From a stock selection perspective, the majority of the underperformance of the Fund relative to the Russell 2000 Index can be attributed to stocks in the Consumer Discretionary, Health Care, and Materials sectors (14.9%, 7.0%, and 6.4% of total net assets as of November 30, 2006, respectively) . Among the individual securities that lost value from January 1 to November 30, 2006 were MDU Communications (0.6% of total net assets as of November 30, 2006) which lost -58.5%, Atherogenics Inc (0.3% of total net assets as of November 30, 2006) which lost -38.4%, and Georgia Gulf (0.8% of total net assets as of November 30, 2006) which lost -33.0%. With the change in sub-advisers mentioned previously, all of these stocks were sold by the Fund in December 2006.

Stock selection was relatively strong in the Energy sector (9.9% of total net assets as of November 30, 2006), specifically for integrated oil/energy producers. Both Delta Petroleum (6.1% of total net assets as of November 30, 2006) and Core Laboratories (0.6% of total net assets as of November 30, 2006) were securities held by the Fund that posted gains of 38.7% and 136.8%, respectively, from January 1 to November 30, 2006. The Fund’s stock selection within the Financials sector (17.6% of total net assets as of November 30, 2006), primarily within the real estate and diversified financial service industries, also positively contributed to the Fund’s performance from January 1 through November 30, 2006. Top contributors within the Financials sector from January 1 through November 30, 2006 were Trammell Crow Co. (1.8% of total net assets as of November 30, 2006) and Banner Corp. (1.8% of total net assets as of November 30, 2006), which gained 92.2% and 46.3%, respectively. All of the stocks listed above were sold by the Fund as part of the Fund’s reconstitution during December 2006.

The International Equity Fund (the “Fund”) seeks long-term growth of capital. In doing so, the Fund seeks to outperform the MSCI EAFE^® Index (the “Index”) over the long-term by investing primarily in large cap stocks in developed international markets.

The Fund’s sub-advisor, Capital Guardian Trust Company (Capital Guardian), has a global network of equity analysts, each specializing in specific sectors and regions, performing in-depth quantitative and qualitative research on thousands of companies worldwide. Based on the research carried out by the analysts, portfolio managers look for quality companies at attractive prices that they hope will outperform their industry-specific peers and benchmark over time. In keeping with Capital Guardian’s bottom-up research philosophy, the weighting of any given company or sector reflects the assessments and outlooks for those securities. While portfolio managers at Capital Guardian are mindful of benchmark characteristics, the benchmark is not central to their decisions.

Describe the relevant market environment as it relates to the Fund for the reporting period.

International equity markets, as represented by the Index, delivered gains of 26.34% for the reporting period, outperforming U.S. equity markets. Stronger economic growth abroad, coupled with a depreciating dollar, helped to push the overseas markets ahead of the U.S. markets. All performance information included in this discussion is quoted in U.S. dollars.

Oil prices, interest rates, and the U.S. dollar continued to generate headlines during the year. Although oil prices continued to escalate for the first six months of the year from over $61/barrel in January to highs of over $77/barrel by July, prices sank in the final six months of the year to end 2006 below $62/barrel. Lower energy prices in the second half of the year helped to ease inflationary pressure both domestically and abroad.

Before August 2006, the Federal Funds Rate had been raised 17 consecutive times in quarter-point increments starting in June 2004. At the August 2006 Federal Open Market Committee (FOMC) meeting (and subsequent meetings since), the Fed elected to keep the Fed Funds Rate unchanged, citing signs of moderating economic growth and a slowing housing market throughout the year as factors in their decision. As of December 31, 2006, the Fed Funds Rate was 5.25%, up from 4.25% as of December 31, 2005 and up from 1% as of June of 2004. In Europe and Japan, short-term interest rates were increased during the year to help curb inflation in their expanding economies. The European Central Bank raised their benchmark interest rate five times in 0.25% increments from 2.25% in January 2006 to 3.50% by the end of December 2006. Similarly, the Bank of England raised short-term rates twice in 0.25% increments from 4.50% in January to 5.00% by the end of December 2006. After seven years of a zero-interest rate policy, the Bank of Japan opted to institute a 0.25% rate in July 2006.

During 2006, the value of the U.S. dollar compared to most foreign currencies declined, falling 11.79% against the Euro and 14.00% against the British Pound. However, the Japanese Yen posted the worst 2006 annual performance among developed market currencies and declined -0.94% against the U.S. dollar. A depreciating U.S. dollar relative to most foreign currencies enhanced the returns that U.S. investors were able to generate in international securities during 2006.

For the 12 months ended December 31, 2006, the International Equity Fund returned 19.41% and the MSCI EAFE Index returned 26.34%. The line graph and table below provide additional perspective on the Fund’s results.

During the year, the Fund underperformed the MSCI EAFE^® Index, primarily due to an overweight position in Japanese securities and an underweight position in securities in the United Kingdom (U.K.) relative to the Index.

Japan was the dominant factor contributing to the Fund’s underperformance relative to the Index in 2006 when taking into consideration both the weightings and performance of the securities within the Fund’s portfolio. Throughout the year, Japan was the heaviest weighted country within the Fund and ended the year with a weighting of 26.4% of total net assets compared to the Index weighting of 22.6%. After being the best performing Index country during 2005, Japanese stocks were relatively weak in 2006. While earnings for Japanese exporters remained steady, the domestic economy showed little improvement from 2005. Japan had the worst country performance during the year and was the only developed market within the Index not to post a double-digit gain, ending 2006 with a gain of only 6.3%. From a stock selection standpoint, three of the Fund’s ten largest holdings were Japanese stocks and two were among the largest detractors to the Fund’s performance during the year. The Fund’s overall largest holding, Sumitomo Mitsui Financial Group Inc. (2.53% of total net assets), lost -3.1%, while Softbank Corporation (1.68% of total net assets), the Fund’s eighth largest holding, lost -53.9% in 2006. Orix Corporation (1.55% of total net assets), another Japanese stock, was the Fund’s ninth largest holding and posted a gain of over 13% for the reporting period.

For the year 2006, European stocks within the Index posted gains of over 34%. Some European markets reached all-time highs as corporate earnings translated into positive market performance. At a country level, Spain was the strongest performing market within the Index and posted a gain in excess of 50% for the year. However, Spain’s impact to performance of both the Index and the Fund was limited due to its relatively small weighting of 4.1% and 3.8%, respectively. Against a backdrop of economic

expansion and a healthy housing market, the U.K. posted gains of over 30% for 2006. However, the Fund was significantly underweight compared to the Index in U.K. stocks (16.4% of total net assets versus 23.7% Index weighting), which was detrimental to the performance of the Fund. From a stock selection standpoint, three of the Fund’s ten largest holdings were U.K. stocks and were among the largest contributors to the Fund’s performance during the year. The Fund’s second largest holding, Royal Bank of Scotland Group (2.12% of total net assets) posted a gain of 35%, while Vodafone Group (1.89% of total net assets), the Fund’s fourth largest holding, gained over 12% in 2006. The Fund’s sixth largest holding, Royal Dutch Shell (1.76% of total net assets), gained over 14%.

Other European countries represented within the Index and the Fund that had gains for the one-year reporting period included:

The Fund’s overweight positions in France, Switzerland, and the Netherlands helped returns while the underweight position in Germany detracted from results. Two French companies were among the top ten holdings of the Fund during the year. The Fund’s tenth largest holding, Bouygues (1.47% of total net assets) gained over 31% for the year while Sanofi-Aventis (2.04% of total net assets), the Fund’s third largest holding, gained over 5%.

From an industry sector perspective, stock selection and an overweight position in Information Technology (7.0% of total net assets versus 5.7% Index weighting) was the biggest detractor to the Fund’s results relative to the Index during 2006. Most of the Fund’s technology holdings that provided large negative returns were located in Japan and included such names as previously mentioned Softbank Corporation (reclassified to Telecommunication Services at the end of the year), Nitto Denko (0.44% of total net assets) which lost approximately -35%, and Yahoo! Japan (0.43% of total net assets) which lost over -47%.

Stock selection within the Fund’s heaviest weighted sector, Financials (28.0% of total net assets versus 30.0% Index weighting), also detracted from results during the year. Sumitomo Mitsui Financial Group Inc. (previously mentioned above) and Mizuho Financial Group (0.86% of total net assets), which lost over -9%, were among the top detractors within the sector and the Fund. The Fund’s underweight position in Utilities (2.2% of total net assets versus 5.5% Index weighting) was another detractor since Utilities was the best performing sector in both the Fund and the Index for 2006.

The Fund’s returns were positively impacted by stock selection in the Consumer Discretionary sector and from being overweight relative to the Index in Telecommunication Services (8.2% of total net assets versus 5.5% Index weighting) and underweight in Energy (6.3% of total net assets versus 7.2% Index weighting). Within the Consumer Discretionary sector (11.0% of total net assets versus 11.9% Index weighting), Volkswagen (0.73% of total net assets) was among the Fund’s largest contributors, with over a 115% gain for 2006.

The Large Cap Equity Index Fund (the “Fund”) seeks to approximate as close as possible, before fees and expenses, the capitalization-weighted total rate of return of the Standard & Poor’s 500 Stock Index¹ (the “Index”). The Index is composed of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The weightings of stocks in the Index are based on each stock’s relative total float-adjusted market capitalization (stock price multiplied by the number of investable shares outstanding). The percentage of the Fund’s assets invested in a given stock is approximately the same as the percentage such stock represents in the Index.

Describe the relevant market environment as it related to the Fund for the reporting period.

The market environment was influenced by numerous factors including: the Federal Reserve’s decision to leave the Fed Funds Rate unchanged after a series of increases, continued volatility in energy prices, and a slow down in the housing market.

Despite these factors, the 12-month gain for the Index was 15.80% for the period ended December 31, 2006. Corporate earnings per share continued to grow while price/earnings valuations for the S&P 500 Index companies remained stable.

For the 12 months ended December 31, 2006, the Large Cap Equity Index Fund returned 15.49% and the Index returned 15.80%. Broadening the timeframe to the 3-year period ended December 31, 2006, the Large Cap Equity Index Fund had a total return of 10.08% versus the S&P 500 Index return of 10.44%. The line graph and table below provide additional perspective on the Fund’s long term results.

The Fund’s return satisfactorily tracked the return of the Index in 2006, before fees and expenses that are not found within the Index.

The Index posted a gain of 2.71% for the first six months of 2006 but finished the year with a gain of 15.80%. In the end, all ten of the industry sectors within the Index finished in positive territory, with eight sectors posting double-digit percentage gains. Telecommunications (3.5% Index weighting) and Energy (10.0% Index weighting) led all sectors with gains of over 32% and 22%, respectively. Meanwhile, six sectors; Financials (22.3% Index weighting), Industrials (10.8% Index weighting), Consumer Discretionary (10.6% Index weighting), Consumer Staples (9.3% Index weighting), Utilities (3.4% Index weighting), and Materials (3.0% Index weighting) had positive gains ranging from 11.0 to 17.2%. Information Technology (15.1% Index weighting) and Health Care (12.0% Index weighting) were the two weakest sectors in the Index, but still posted gains of over 7% and 5%, respectively.

The Fund’s ten largest holdings as of December 31, 2006 all produced gains during the reporting period, with seven experiencing double-digit percentage price increases. The Fund’s largest holding, Exxon Mobil Corp. (3.49% of net assets), was also the biggest contributor to the Fund’s return during the reporting period, gaining over 36%. Number-five holding, Bank of America (1.87% of net assets), had a gain of over 15%. Altria Group (1.40% of net assets), Citigroup, Inc. (2.14% of net assets), and Microsoft Corp. (2.01% of net assets), each advanced over 14% during the reporting period. Pharmaceutical giant Pfizer Inc. (1.46% of total net assets) weighed on the Index and the Fund late in the year but still ended the reporting period with a gain in excess of 11%. Number six and seven-holdings, Proctor & Gamble Co. (1.58% of net assets) and Johnson & Johnson (1.50% of net assets) also posted gains of over 11% and 9%, respectively. Rounding out the top ten, number two and number nine-holdings, General Electric Co. (2.99% of net assets) and insurer American International Group, Inc. (1.45% of net assets) delivered gains of over 6% and 5%, respectively.

The Small Cap Equity Index Fund (the “Fund”) seeks to approximate as closely as possible, before fees and expenses, the capitalization-weighted total rate of return of the Russell 2000^® Index¹ (the “Index”). The Index measures the performance of the small-capitalization sector of the U.S. equity market and consists of the smallest 2,000 companies in the Russell 3000^® Index. The weightings of stocks in the Index are based on each stock’s relative total market capitalization (stock price multiplied by the number of shares outstanding).

Describe the relevant market environment as it related to the Fund for the reporting period.

All major U.S. equity market indexes advanced during the year and small capitalization stocks, as represented by the Index, finished the reporting period with a gain of 18.37%. In comparison, large capitalization stocks, as represented by the Russell 1000^® Index, returned 15.46% for the year. This marks seven out of the past eight years that small capitalization stocks have outperformed large capitalization stocks.

For the 12 months ended December 31, 2006, the Small Cap Equity Index Fund returned 17.75% and the Index returned 18.37%. Broadening the timeframe to the 3-year period ended December 31, 2006, the Small Cap Equity Index Fund had a total return of 13.11% versus the Russell 2000^® Index return of 13.56%. The line graph and table below provide additional perspective on the Fund’s long term results.

The Fund’s return satisfactorily tracked the return of the Index in 2006, before fees and expenses that are not found within the Index.

As of the end of 2006, all ten industry sectors within the Index ended in positive territory, with nine sectors posting double-digit percentage gains. Even the weakest sector within the Index, Health Care (11.8% Index weighting), posted a gain of 8.7% for the year.

Within the Index, Materials (4.7% Index weighting) and Telecommunication Services (1.5% Index weighting) led all sectors for the year with gains of over 41% and 40%, respectively. Within the Materials sector, Chaparral Steel Company (0.14% of total net assets), OM Group Inc. (0.09% of total net assets), NewMarket Corp. (0.08% of total net assets), and Innospec Inc. (0.04% of total net assets) were among the Fund’s best performers during the year with gains of over 193%, 141%, 144%, and 188%, respectively. However, Bowater Inc. (0.09% of total net assets) and Olin Corp. (0.08% of total net assets) were relatively weak in the sector losing over -24% and -12%, respectively. Within the Telecommunication Services sector, Time Warner Telecom Inc. (0.19% of total net assets) was the Fund’s seventh largest holding and gained over 102% during the year. However, FiberTower Corp. (0.05% of total net assets) and USA Mobility Inc. (0.04% of total net assets) were relatively weak in the sector losing nearly -46% and -2%, respectively.

All of the Fund’s ten largest holdings as of December 31, 2006 delivered gains for the reporting period, with three of these largest holdings (including Time Warner Telecom Inc. mentioned above) posting gains in excess of 100%. The Fund’s largest holding, Veritas DGC Inc. (0.22% of total net assets), a leading provider of integrated geophysical information and services to the petroleum industry, gained over 141% during the year.

The Fund’s third largest holding, Polycom, Inc. (0.20% of total net assets) gained over 102%. The Fund’s fifth largest holding, closeout retailer Big Lots Inc. (0.19% of total net assets), gained in excess of 90%.

As mentioned previously, Health Care was the weakest sector within the Index during the year. Within the sector, pharmaceutical company, Neurocrine Biosciences Inc., was among the largest detractors to performance of the Fund in 2006 despite its small weighting of 0.03% of total net assets. The stock fell over -83% during the year. Also weak within the sector were Onyx

Pharmaceuticals (0.03% of total net assets) and CV Therapeutics Inc. (0.05% of total net assets) which were down over -63% and -43% respectively for the year. However, ICOS Corp. (0.16% of total net assets) and the Fund’s tenth largest holding, Hologic Inc. (0.18% of total net assets), helped to offset these losses by posting gains of over 22% and 24%, respectively.

The annual reconstitution of holdings within the Russell indices occurred on June 30, 2006. For the Index, the one-time 2006 reconstitution resulted in 228 companies being added to the Index while 179 companies were removed from the Index. This resulted in a 17.3% turnover, slightly below the 17.8% turnover in 2005.

The International Equity Index Fund (the “Fund”) seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Morgan Stanley Capital International EAFE^® Free Index¹ (the “Index”). The Index is a capitalization-weighted index that currently includes stocks of companies located in 16 European countries, Australia, New Zealand, Hong Kong, Japan and Singapore. The Fund invests primarily in a representative sample of the stocks found in the Index. Barclays Global Fund Advisors sub-advises the Fund.

Describe the relevant market environment as it related to the Fund for the reporting period.

Before August 2006, the Federal Funds Rate had been raised 17 consecutive times in quarter-point increments starting in June 2004. At the August 2006 Federal Open Market Committee (FOMC) meeting (and subsequent meetings since), the Fed elected to keep the Fed Funds Rate unchanged citing signs of moderating economic growth and a slowing housing market throughout the year as factors in their decision. As of December 31, 2006, the Fed Funds Rate was 5.25%, up from 4.25% as of December 31, 2005 and 1% as of June of 2004. In Europe and Japan, short-term interest rates were increased during the year to help curb inflation in their expanding economies. The European Central Bank raised their benchmark interest rate five times in 0.25% increments from 2.25% in January 2006 to 3.50% by the end of December 2006. Similarly, the Bank of England raised short-term rates twice in 0.25% increments from 4.50% in January 2006 to 5.00% by the end of December 2006. After seven years of a zero-interest rate policy, the Bank of Japan opted to institute a 0.25% rate in July 2006.

During 2006, the value of the U.S. dollar compared to most foreign currencies declined, falling 11.79% against the Euro and 14.00% against the British Pound. However, the Japanese Yen posted the worst 2006 performance among developed market currencies and declined -0.94% against the U.S. dollar. A depreciating U.S. dollar relative to most foreign currencies enhanced the returns that U.S. investors were able to generate in international securities during 2006.

For the 12 months ended December 31, 2006, the International Equity Index Fund returned 25.43% and the MSCI EAFE Free Index returned 26.34%. Broadening the timeframe to the 3-year period ended December 31, 2006, the International Equity Index Fund had a total return of 19.27% versus the MSCI EAFE Free Index return of 19.93%. The line graph and table below provide additional perspective on the Fund’s long term results.

The Fund’s return satisfactorily tracked the return of the Index in 2006, before fees and expenses that are not found within the Index.

For the year 2006, European stocks within the Index posted gains of over 34%. At a country level, Spain was the strongest performing market with a gain in excess of 50% for the year. However, with only a weighting of 4.1% of the Index, Spain’s impact to performance of the Index was limited. Against a backdrop of economic expansion and a healthy housing market, the United Kingdom (U.K.) posted gains of over 30% for 2006. The U.K. represented the largest country weighting in the Index at 23.7% as of the end of the year. Other European countries within the Index that had gains for the one-year reporting period included:

The Index’s Pacific region was relatively weak compared to European stocks. However, the region still posted a gain of over 12% for the year. Within the Pacific region, Japan was the second heaviest weighted country within the Index at 22.6%. After being

the best performing Index country during 2005, Japanese stocks were relatively weak in 2006 and had the worst country performance during the year, posting a gain of only 6.3%. Ironically, Toyota Motors (1.51% of total net assets), Japan’s largest stock based upon market capitalization and the Fund’s third largest holding, was among the largest contributors to returns of both the Index and the Fund for the year with a gain of over 28%. However, other Japanese companies did not fare well for the year ended 2006, including: Softbank (0.11% of total net assets) losing -53.9%, Mizuho Financial Group Inc. (0.53% of total net assets) losing -9.7%, and Sumitomo Mitsui Financial Group Inc. (0.49% of total net assets) losing -3.1%.

As of the end of 2006, all ten industry sectors within the Index ended in positive territory and posted double-digit percentage gains. Utilities (5.2% Index weighting) and Materials (8.3% Index weighting) led all sectors with gains of 50% and 32%, respectively. International Power (0.09% of total net assets), a U.K. company, led the Utility sector posting a gain of over 81%. Spain’s Endesa (0.27% of total net assets) followed with a gain of over 80%. Information Technology (5.8% Index weighting) was the weakest sector, but still posted a gain of 12% for the year.

The Financial sector, which is the largest sector by weighting in the Index, representing 29.48% at year end, rose over 29% and was a major contributor to the 2006 performance of the Index and the Fund. In this sector, the Fund’s eleventh largest holding, Royal Bank of Scotland (0.97% of total net assets) posted gains of over 29% for the year.

The Stock and Bond Balanced Fund (the “Fund”) is managed with a combination of stocks and bonds in the pursuit of long-term growth of principal while providing some current income.

The Fund invests all of its assets in the Variable Product Trust Large Cap Equity Index Fund (the “Large Cap Equity Index Fund”) and the Variable Product Trust Bond Fund (the “Bond Fund”). We strive to maintain an investment mix of approximately 60% of assets in the Large Cap Equity Index Fund and 40% of assets in the Bond Fund. The Stock and Bond Balanced Fund never invests more than 75% of its net assets in either underlying fund. Although the Fund is not an asset allocation or market timing portfolio, we do, from time to time, adjust the amount of its assets invested in each underlying Fund as economic, market, and financial conditions warrant.

Describe the relevant market environment as it related to the Fund for the reporting period.

Because the Fund does not invest directly in individual stocks and bonds, the merits of the individual investments are evaluated separately by each underlying Fund’s managers. You may wish to refer to the Management’s Discussion of Fund Performance for the Large Cap Equity Index Fund and the Bond Fund in addition to the commentary provided here.

Fluctuating oil prices continued to be a factor throughout the year. Oil prices began the period at over $61/barrel and touched highs of over $77/barrel in July before slipping to below $62/barrel by the end of December. Despite these factors, the 12-month gain for the S&P 500 Index was 15.80% for the period ended December 31, 2006. Corporate earnings per share continued to grow while price/earnings valuations for S&P 500 Index companies remained stable.

As the Fed continued to raise the Fed Funds Rate from December 31, 2005 to June 30, 2006, bond prices declined and yields rose across all maturities. However, with the Fed’s decision to leave the Fed Funds Rate unchanged since August of 2006, yields on intermediate and long-term U.S. Treasuries moved lower. At the end of December 2005 the yield on the 10-year U.S. Treasury bond stood at 4.39%. By June of 2006, the yield increased to 5.25% before ending 2006 at 4.71%, a decline of 0.54% from the high. Long-term interest rates performed similarly during the period. At the end of December 2005, the yield on the 30-year U.S. Treasury bond was 4.55%. By May, the yield increased to 5.30% before ending 2006 at 4.81%, a decline of 0.49% from the high. Short-maturity bonds outperformed long maturity bonds over the 1-year reporting period.

For the 1-year period ended December 31, 2006, the Stock and Bond Balanced Fund had a total return of 11.03% after expenses. Because of the nature of the Fund (it invests solely in shares of two underlying Funds), a blended benchmark is used for comparison purposes. The blended benchmark is a combination of 60% S&P 500 Index and 40% Lehman Brothers Government/Credit Intermediate Index (rebalanced on a monthly basis). The total return of the blended benchmark was 11.00% for the 1-year period ended December 31, 2006. Broadening the timeframe to the 3-year period ended December 31, 2006, the Stock and Bond Balanced Fund had a total return of 7.13% versus the blended benchmark of 7.43%. The line graph and table below provide additional perspective on the Fund’s long term results.

The Large Cap Equity Index Fund underperformed the benchmark S&P 500 Index after accounting for management fees and expenses for the 1-year period with a return of 15.49% vs. 15.80% for the S&P 500 Index. The S&P 500 Index posted a gain of 2.71% during the first six months of 2006. All ten of the industry sectors of the S&P 500 Index finished 2006 in positive territory, with eight sectors posting double-digit percentage gains. Telecommunications and Energy led all sectors with gains of over 32% and 22%, respectively. Meanwhile, six sectors; Financials, Industrials, Consumer Discretionary, Consumer Staples, Utilities, and Materials had positive gains ranging from 11.0 to 17.2%. Information Technology (15.1% Index Weighting) and Health Care (12.0% Index Weighting) were the two weakest sectors in the Index, but still posted gains of over 7% and 5%, respectively.

Within the Energy sector (9.54% of the Large Cap Equity Index Fund’s net assets), ExxonMobil (the Large Cap Equity Index Fund’s largest holding with 3.48% of net assets), was the biggest contributor to the Large Cap Equity Index Fund’s equity returns during the reporting period, gaining over 36%.

Within the Health Care sector (11.58% of the Large Cap Equity Index Fund’s net assets), pharmaceutical giant Pfizer Inc. (1.46% of the Large Cap Equity Index Fund’s net assets) weighed on the S&P 500 Index and the Large Cap Equity Index Fund late in the year but still ended the reporting period with a gain in excess of 11%. Another top holding in this sector, Johnson & Johnson (1.50% of the Large Cap Equity Index Fund’s net assets), posted a gain of over 9% during the year.

Other top holdings within the Large Cap Equity Index Fund of note include Bank of America (1.87% of the Large Cap Equity Index Fund’s net assets), which gained over 15% for the year. Similarly, Altria Group (1.40% of the Large Cap Equity Index Fund’s net

assets), Citigroup, Inc. (2.14% of the Large Cap Equity Index Fund’s net assets), and Microsoft Corp. (2.01% of the Large Cap Equity Index Fund’s net assets) each advanced over 14% during the reporting period.

General Electric Co. (2.99% of the Large Cap Equity Index Fund’s net assets) and insurer American International Group, Inc. (1.45% of the Large Cap Equity Fund’s net assets) gained over 6% and 5%, respectively for the reporting period.

Fixed Income portion of the Fund (approximately 40% throughout the period)

There were two distinct market environments in 2006 that impacted the performance of the Bond Fund. As highlighted earlier, interest rates rose for the period of January through June 2006, which was detrimental to bond prices and the Bond Fund’s return. During that period the Bond Fund did however manage to generate a positive total return of 0.08% compared to a loss of -0.17% for the benchmark Lehman Brothers Government/Credit Intermediate Index. The slightly higher interest rate earned on corporate bonds, which continued to be the focus of the Bond Fund with 69.37% of net assets as of June 30, 2006, helped to offset the decline in bond prices and achieve the positive total return.

From July through December 2006, interest rates declined and bond prices rose with the best gains coming from long-maturity bonds. During this timeframe the Bond Fund matched the total return of the Lehman Brothers Government/Credit Intermediate Index – both gaining 4.26%.

The option-adjusted duration of the Bond Fund (which attempts to incorporate prepayment possibilities into the duration calculation) stood at approximately 3.41 years at the end of 2006, up from 3.30 years at the end of 2005. Duration is a statistical calculation that measures a bond’s (or in this case, a bond fund’s) price sensitivity relative to general movements in interest rates. The higher duration had a positive effect on performance as interest rates declined during the last half of the year.

An allocation of 4.26% of the Bond Fund’s net assets to bonds of below investment grade credit quality was another positive element that contributed to the Bond Fund’s relative performance during 2006. For the reporting period, low credit quality, below investment grade bonds outperformed high credit quality bonds. The Lehman Brothers Government/Credit Intermediate Index had no exposure to bonds below investment grade credit quality.

The Bond Fund (the “Fund”) is managed in a manner that seeks to achieve over a period of years the highest yield possible that is consistent with low price volatility. In managing the Fund, we are generally buy-and-hold investors who focus on U.S. Government and investment grade corporate debt obligations. While the Fund invests in debt securities of varying maturities, it is structured with a maturity and interest rate risk (duration) profile that is consistent with its benchmark, the Lehman Brothers Government/Credit Intermediate Index (the “Index”).

Describe the relevant market environment as it related to the Fund for the reporting period.

For the first half of the reporting period, interest rates across the maturity spectrum rose while bond prices declined. The intermediate maturity 10-year U.S. Treasury Bond started the year with a yield of 4.39% before reaching a peak of 5.25% in June 2006. Similarly, the long-term 30-year U.S. Treasury Bond yield rose from 4.55% at the start of the year to a peak of 5.31% in May 2006. Through July 2006, the overnight Federal Funds Rate had been raised 17 consecutive times in quarter-point increments beginning at 1.00% in June 2004 to a rate of 5.25%. At the August 2006 Federal Open Market Committee (FOMC) meeting (and subsequent meetings since), the Fed elected to keep the Fed Funds Rate unchanged citing signs of moderating economic growth and a slow down in the housing market throughout the year as factors. Starting in July, intermediate and long-term interest rates began to decline and bond prices rose. By the end of December 2006, the 10-year U.S. Treasury Bond yield declined to 4.71% while the 30-year U.S. Treasury Bond yield declined to 4.81%.

Due primarily to changes in the Treasury market yield curve, short maturity bonds outperformed intermediate maturities which in turn outperformed long maturity bonds over the 1-year reporting period. From a credit standpoint, lower credit quality corporate bonds outperformed higher quality bonds over the reporting period.

For the 1-year period ended December 31, 2006, the Bond Fund had a total return of 4.34% compared to a return of 4.08% for the Lehman Brothers Government/Credit Intermediate Index. Broadening the timeframe to the 3-year period ended December 31, 2006, the Bond Fund had a total return of 2.58% versus 2.90% for the Lehman Brothers Government/Credit Intermediate Index. The line graph and table below provide additional perspective on the Fund’s long term results.

There were two distinct market environments in 2006 that impacted the performance of the Fund. As highlighted earlier, interest rates rose for the period of January through June 2006 which was detrimental to bond prices and the Fund’s return. During that period the Fund did however manage to generate a positive total return of 0.08% compared to a loss of -0.17% for the benchmark Index. The slightly higher interest rate earned on corporate bonds, which continued to be the focus of the Fund with 69.37% of net assets as of June 30, 2006 helped to offset the decline in bond prices and achieve the positive total return.

From July through December 2006, interest rates declined and bond prices rose with the best gains coming from long-maturity bonds. During this timeframe the Fund matched the total return of the Index – both gaining 4.26%.

The option-adjusted duration of the Fund (which attempts to incorporate prepayment possibilities into the duration calculation) stood at approximately 3.41 years at the end of 2006, up from 3.30 years at the end of 2005. Duration is a statistical calculation that measures a bond’s (or in this case, a bond fund’s) price sensitivity relative to general movements in interest rates. The higher duration had a positive effect on performance as interest rates declined the last half of the year.

An allocation of 4.26% of the Fund’s net assets to bonds of below investment grade credit quality was another positive element that contributed to the Fund’s relative performance during 2006. For the reporting period, low credit quality, below investment grade bonds outperformed high credit quality bonds. The Index had no exposure to bonds below investment grade credit quality.

The Money Market Fund seeks to maximize current income to the extent consistent with the preservation of capital and maintenance of liquidity. The Fund pursues this objective by investing in high quality commercial paper and other short-term debt securities. An investment in the Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

As a shareholder of a Fund, you incur ongoing costs, including management fees and other Fund expenses. The Example in the following table is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2006 through December 31, 2006.

The first line under each Fund name in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value for a Fund by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” for the applicable Fund to estimate the expenses you paid on your account for that Fund during this period. If your account has multiple Fund positions, add up the results calculated for each Fund position within your account to estimate the expenses you paid on your total account value.

The second line under each Fund name in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second line under each Fund name in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds, including those that have transactional costs, such as sales charges (loads), redemptions fees, or exchange fees.

At a meeting of the Board of Trustees of State Farm Variable Product Trust (the “Trust”) held on September 15, 2006, all of the Trustees, including all of the Trustees who are not interested persons of the Trust as defined by Section 2(a)(19) of the Investment Company Act of 1940 (the “Independent Trustees”), voted unanimously to approve an Investment Sub-Advisory Agreement between Bridgeway Capital Management, Inc. (“Bridgeway”), the Trust and State Farm Investment Management Corp. (SFIMC), and voted unanimously to approve an Investment Sub-Advisory Agreement between Rainier Investment Management, Inc. (“Rainier” and together with Bridgeway, the “Sub-Advisers”), the Trust and SFIMC. Each sub-advisory agreement appoints the Sub-Adviser to manage a portion of the Trust’s Small/Mid Cap Equity Fund (the “Fund”), which SFIMC indicated to the Board would be maintained by SFIMC at approximately a 50-50 split. These two agreements together are referred to as the “New Sub-Advisory Agreements.”

Prior to the September 15, 2006 meeting, SFIMC had met with representatives of each Sub-Adviser, who provided SFIMC with extensive information regarding the Sub-Adviser and its plans on how it proposed to manage its portion of the Fund. Also prior to the Board’s meeting, legal counsel to the Independent Trustees had sent each Sub-Adviser a request for information to be provided to the Board in connection with the Board’s consideration of approving the New Sub-Advisory Agreements. Each Sub-Adviser provided materials to the Board that included responses to that request, other information the Sub-Adviser and SFIMC believed useful for the Board to evaluate the New Sub-Advisory Agreements and reports prepared by Lipper Inc., an independent fund tracking organization (the “Lipper Report”), relating to the Sub-Advisers’ performance in managing similar accounts and the Fund’s historical expenses. In addition, the Sub-Advisers provided SFIMC and the Board information regarding each Sub-Adviser’s historical performance in managing securities portfolios with investment objectives and strategies similar to the Fund’s investment objectives and strategies, which performance is referred to in this Annual Report as “Related Manager Performance.” Moreover, the Board received and reviewed a memorandum from the independent legal counsel to the Independent Trustees regarding their responsibilities, and met informally with SFIMC prior to the September 15th meeting to discuss all of the aforementioned information.

The Independent Trustees discussed all this information extensively at the September 15th Board meeting, with their independent legal counsel and with other Board members, after which the Board discussed various factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Board’s approval of the Sub-Advisory Agreements are discussed separately below.

In considering whether to approve the New Sub-Advisory Agreements, the Trustees first considered the nature, extent and quality of the services proposed to be provided by Bridgeway and Rainier to the Fund. In that regard, the Board considered Bridgeway’s and Rainier’s general reputation, financial resources and business activities, as well as the education and experience of the investment personnel that would be responsible for the day-to-day management of the Fund. In evaluating Bridgeway’s and Rainier’s proposed services, SFIMC noted that Bridgeway had settled a dispute with the United States Securities and Exchange Commission related to Bridgeway’s miscalculation of its investment advisory fee for its proprietary mutual funds. The Board also considered that Bridgeway had determined to make shareholders impacted by this issue whole and had adopted appropriate and robust procedures to reasonably preclude similar conduct in the future. The Board concluded that Bridgeway’s and Rainier’s proposed investment teams had a satisfactory, long-term track record and could be capable of producing similar results for the Fund. The Board also considered the view of the Trust’s Chief Compliance Officer that Bridgeway’s and Rainier’s compliance policies and procedures were reasonably designed to prevent and detect violations of the federal securities laws.

In connection with considering the nature, extent and quality of the services proposed to be provided by Bridgeway and Rainier, the Board considered Bridgeway’s and Rainier’s Related Manager Performance. Bridgeway’s Related Manager Performance included the performance of the Bridgeway Small Cap Value Fund and the Bridgeway Ultra-Small Company Fund for the one- and three-year time periods, as well as performance year-to-date and annually since 2003. The Board compared Bridgeway’s Related Manager Performance to the performance of the Morningstar Small Value Category, Morningstar Small Growth Category and the Russell 2000 Index for the same time periods. After considering that information, the Board concluded that Bridgeway’s prior performance has been acceptable in this category, and that it appears that Bridgeway can produce similar results for the Fund.

Rainier’s Related Manager Performance included the performance of the Rainier Small/Mid Cap Equity Portfolio for the three-, five- and ten-year time periods, as well as its performance year-to-date and annually since 2003. The Board compared Rainier’s Related Manager Performance to the performance of the Morningstar Mid-Cap Growth Category, Morningstar Small Growth Category, the Russell 2500 Index and the Russell Midcap Index for the same time periods. After considering that information, the Board concluded that Rainier’s prior performance has been acceptable in this category, and that it appears that Rainier can produce similar results for the Fund.

After considering all of this information, the Board concluded that the nature, quality and extent of services proposed to be provided by Bridgeway and Rainier was acceptable.

The Board next considered the costs of the services proposed to be provided by Bridgeway and Rainier. The Board first noted that the overall costs to the Fund’s shareholders would not change because SFIMC was solely responsible for the payment of Bridgeway’s and Rainier’s sub-advisory fees. Nevertheless, the Board examined the proposed sub-advisory fee structure, including the proposed breakpoints as assets in the Fund increase in size. SFIMC indicated to the Board that the proposed sub-advisory fees were very competitive. After considering this information, the Board concluded that Bridgeway’s and Rainier’s proposed sub-advisory fees were reasonable and would be in the best interests of the Fund’s shareholders.

The Board next discussed whether Bridgeway or Rainier would derive any other direct or indirect benefits from serving as investment sub-advisers to the Fund. SFIMC indicated to the Board that it was not aware of any ancillary or other benefits (other than the sub-advisory fees) that Bridgeway or Rainier would receive for serving as investment sub-adviser, particularly because Bridgeway and Rainier did not have any affiliated broker/dealer with whom they might want to execute trades. The Board concluded that the lack of any ancillary or so-called “fallout” benefits would enable Bridgeway and Rainier to sub-advise the assets of the Fund in a manner that appeared to be free of conflicts of interest.

The Board then discussed the extent to which economies of scale would be realized as the Fund grows and whether the fee levels reflect economies of scale for the benefit of the Fund. In that regard, the Board determined that, given the relatively small size of the Fund and the fact that SFIMC continues to reimburse the Fund for excess expenses, economies of scale was not a relevant factor for the Board’s current considerations to retain Bridgeway and Rainier. The Board also did not take into account the projected profits of Bridgeway and Rainier for acting as sub-adviser to the Fund because the proposed relationship had not yet commenced.

Based on the Board’s deliberations and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the New Sub-Advisory Agreements with Bridgeway and Rainier.

Board Approval of Amendment to Investment Advisory and Management Services Agreement, and Amendment to the Barclays Global Fund Advisors Investment Sub-Advisory Agreement

At a Board meeting held on December 15, 2006, all of the Trustees, including the Independent Trustees, considered a proposal by SFIMC to add five new funds to the Trust. SFIMC explained at that time that the proposed new funds will be known as LifePath Income Fund, LifePath 2010 Fund, LifePath 2020 Fund, LifePath 2030 Fund and LifePath 2040 Fund (collectively the “VP LifePath Funds”). SFIMC proposed that it would serve as the investment adviser to the VP LifePath Funds and Barclays Global Fund Advisors, Inc. (“BGFA”) would serve as investment sub-adviser to such funds. BGFA currently serves as the investment sub-adviser to the Trust’s Large Cap Equity Index Fund, Small Cap Equity Index Fund and International Equity Index Fund, and BGFA serves as investment adviser to five other mutual funds known as “master portfolios” with substantially similar investment objectives and strategies to those of the proposed VP LifePath Funds. Those other five funds managed by BGFA are referred to as “Master Portfolios.” SFIMC serves as investment adviser to five other mutual funds that invest exclusively in the Master Portfolios. These five other funds advised by SFIMC are funds within State Farm Mutual Fund Trust, a separate registered investment company, and are known as the “Mutual Fund Trust LifePath Funds.”

Under the proposal to add the VP LifePath Funds to the Trust, BGFA will invest the assets of each VP LifePath Fund in shares of exchange traded funds sponsored by BGFA. The proposal also called for each VP LifePath Fund to pay SFIMC an investment advisory and management services fee of 0.45% of each VP LifePath Fund’s average daily net assets on an annual basis, and for SFIMC to pay BGFA a sub-advisory fee equal to 0.10% of each VP LifePath Fund’s average daily net assets on an annual basis. SFIMC explained to the Board that the launch dated for the VP LifePath Funds is uncertain as a result of unresolved issues related to BGFA.

The proposal to add the VP LifePath Funds to the Trust required the Board to consider:

Prior to the December 15, 2006 meeting, SFIMC provided materials to the Board that the Manager believed would be useful to the Board in evaluating whether to approve amending the Investment Advisory Agreement and the BGFA Sub-Advisory Agreement, including a report prepared by Lipper, Inc., an independent fund tracking organization, relating to performance of various other peer asset allocation funds, Lipper’s Mixed-Asset Target Fund indices, and BGFA’s performance in managing similar accounts such as the Master Portfolios, over various time periods (the “Lipper Report”). The Lipper Report also compared the projected costs and expenses of the proposed VP LifePath Funds with the peer funds. In addition, the Board received and reviewed a memorandum from the independent legal counsel to the Independent Trustees regarding their responsibilities in considering each agreement.

The Independent Trustees discussed all this information extensively at the December 15th Board meeting, with their independent legal counsel and with other Board members, after which the Board discussed various factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Board’s approval of the amendments to the Investment Advisory Agreement and the BGFA Sub-Advisory Agreement are discussed separately below.

In considering whether to approve amendments to the Investment Advisory Agreement and the Barclays Sub-Advisory Agreement, the Board first considered the investment performance of BGFA in managing portfolios of securities with similar investment objectives and strategies, including BGFA’s performance in managing the Master Portfolios. After extensively reviewing all of this information, the Board concluded that BGFA should be able to achieve acceptable performance for the VP LifePath Funds.

The Board next considered the projected costs and expenses of the VP LifePath Funds. They also considered that the proposed advisory and sub-advisory fees are consistent with what currently is charged to the Mutual Fund Trust LifePath Funds, and that SFIMC would be reimbursing expenses in the proposed VP LifePath Funds until sufficient assets were attained to cover expenses. As a result, the Board concluded that the proposed expenses and fees were acceptable.

The Board next considered the quality of services proposed to be provided by SFIMC and BGFA. In that regard, the Board considered the general reputation, financial resources and business activities of each organization. The Board discussed the fact that it recently had considered BGFA’s compliance function. After considering all of this information, the Board concluded that both SFIMC and BGFA have more than sufficient resources and expertise to provide acceptable services to the proposed VP LifePath Funds.

The Board then discussed whether either SFIMC or BGFA would derive any other direct or indirect benefits from serving as investment adviser or investment sub-adviser to the proposed VP LifePath Funds, other than such firm’s receipt of investment advisory or sub-advisory fees. SFIMC noted that BGFA is the investment adviser to the exchange traded funds in which the proposed VP LifePath Funds will invest, so BGFA will earn additional investment advisory fees as a result of the VP LifePath Funds’ investing in the exchange traded funds. Other than those additional investment fees, SFIMC indicated to the Board that it was not aware of any ancillary or other benefits that either SFIMC or BGFA would receive for serving as investment adviser or sub-adviser to the proposed VP LifePath Funds. SFIMC also advised the Board that BGFA does not engage in soft dollar transactions. The Board concluded that the lack of any material, ancillary, or so-called “fallout” benefits would enable each entity to manage the assets of the VP LifePath Funds in a manner that appeared to be free of conflicts of interest.

The Board then discussed the extent to which economies of scale would be realized as the VP LifePath Funds grow and whether the fee levels reflect economies of scale for the benefit of the VP LifePath Funds. The Board determined that because the proposed VP LifePath Funds had not yet commenced operations, this factor was not a determinative factor.

Based on the Board’s deliberations and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the amendments to the Investment Advisory Agreement and the BGFA Sub-Advisory Agreement.

Standardized returns reflect all contract-level and underlying fund fees and expenses (including the daily Mortality and Expense Risk Charge at a current annual rate of 1.15% of net assets, the investment advisory fees and other expenses incurred by the funds), including the $30 annual administrative fee (waived if total premiums of at least $50,000 have been paid) and surrender charges (7% in year 1, declining by 1% each following year until it reaches 0% in year 8). The fees and expenses are based on an assumed average account size of $13,200 as of 12/31/2006. The since inception standardized return period begins on the Inception Date (as noted).

The State Farm Variable Universal Life policy total returns reflect all contract-level and underlying fund fees and expenses (including the 5% Premium Charge, the daily Mortality and Expense Risk Charge at a current annual rate of 0.8% of net assets, the current monthly expense charge of $8, and the investment advisory fees and other expenses incurred by the funds), except for surrender charges and the cost of insurance. If the surrender charges (if applicable) or the cost of insurance were reflected, the performance quoted would be significantly lower than shown. We encourage you to obtain from your State Farm registered representative agent a personalized illustration that will reflect all applicable fees and charges, including the cost of insurance. For policies purchased prior to July 1, 2004, the monthly expense charge is $6. The monthly expense charge reflected above is $8, which is the monthly expense charge for policies purchased on or after July 1, 2004. The fees and expenses reflected in this calculation are based on an assumed average account size of $5,400 as of 12/31/2006. The total returns since inception period begins on the Inception Date (as noted).

The returns on this page apply only to the State Farm Life Insurance Company products. This performance data represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that your account value, when redeemed, may be worth more or less than the premiums you paid. Recent performance may be less than the figures shown. Obtain total returns current to the most recent month-end at the following pages on statefarm.com^®: http://www.statefarm.com/insurance/life_annuity/annuity/variable/vdapandr.asp and http://www.statefarm.com/insurance/life_annuity/life/vari_univ/vulpandr.asp

Standardized returns reflect all contract-level and underlying fund fees and expenses (including the daily Mortality and Expense Risk Charge at a current annual rate of 1.15% of net assets, the investment advisory fees and other expenses incurred by the funds), including the $30 annual administrative fee (waived if total premiums of at least $50,000 have been paid) and surrender charges (7% in year 1, declining by 1% each following year until it reaches 0% in year 8). The fees and expenses are based on an assumed average account size of $12,400 as of 12/31/2006. The since inception standardized return period begins on the Inception Date (as noted).

Variable Universal Life Performance and Returns Standardized Returns for Period Ending 12/31/2006

The State Farm Variable Universal Life policy total returns reflect all contract-level and underlying fund fees and expenses (including the 5% Premium Charge, the daily Mortality and Expense Risk Charge at a current annual rate of 0.8% of net assets, the current monthly expense charge of $8, and the investment advisory fees and other expenses incurred by the funds), except for surrender charges and the cost of insurance. If surrender charges (if applicable) and the cost of insurance were reflected, the performance quoted would be significantly lower than shown. We encourage you to obtain from your State Farm registered representative agent a personalized illustration that will reflect all applicable fees and charges, including the cost of insurance. For policies purchased prior to July 1, 2004, the monthly expense charge is $6. The monthly expense charge reflected above is $8, which is the monthly expense charge for policies purchased on or after July 1, 2004. The fees and expenses reflected in this calculation are based on an assumed average account size of $4,000 as of 12/31/2006. The total returns since inception period begins on the Inception Date (as noted).

The returns on this page apply only to the State Farm Life and Accident Assurance Company products. This performance data represents past performance and does not guarantee future results. Investment return and principal value will fluctuate so that your account value, when redeemed, may be worth more or less than the premiums you paid. Recent performance may be less than the figures shown. Obtain total returns current to the most recent month-end at the following pages on statefarm.com^®: http://www.statefarm.com/insurance/life_annuity/annuity/variable/vdapandr.asp and http://www.statefarm.com/insurance/life_annuity/life/vari_univ/vulpandr.asp.


	Shares	Value
Common Stocks (94.74%)
Consumer Discretionary (6.98%)
Carnival Corp.	3,000	$	147,150
Clear Channel Communications Inc.	22,200		788,988
Dollar Tree Stores Inc. (a)	3,600		108,360
General Motors Corp.	6,900		211,968
Hanesbrands Inc. (a)	6,212		146,727
Idearc Inc. (a)	650		18,623
Jarden Corp. (a)	13,800		480,102
Johnson Controls Inc.	3,500		300,720
Leggett & Platt Inc.	9,300		222,270
McDonald’s Corp.	2,900		128,557

			2,553,465

Consumer Staples (10.66%)
Altria Group Inc.	13,800		1,184,316
Avon Products Inc.	6,900		227,976
General Mills Inc.	4,000		230,400
Kraft Foods Inc. Class A	26,200		935,340
Sara Lee Corp.	49,700		846,391
Unilever NV New York Shares	17,400		474,150

			3,898,573

Energy (6.87%)
Chevron Corp.	3,900		286,767
Exxon Mobil Corp.	4,700		360,161
Royal Dutch Shell PLC ADR Class A	1,300		92,027
Royal Dutch Shell PLC ADR Class B	11,900		846,685
Transocean Inc. (a)	6,100		493,429
Weatherford International Ltd. (a)	10,400		434,616

			2,513,685

Financials (33.73%)
American International Group Inc.	8,400		601,944
AmeriCredit Corp. (a)	11,500		289,455
Berkshire Hathaway Inc. Class A (a)	2		219,980
Capital One Financial Corp.	5,900		453,238
Chubb Corp.	4,400		232,804
Compass Bancshares Inc.	1,100		65,615
Douglas Emmett Inc.	10,700		284,513
Fifth Third Bancorp	12,700		519,811
General Growth Properties Inc.	12,900		673,767
Goldman Sachs Group Inc.	900		179,415
Hartford Financial Services Group Inc.	3,700		345,247
Host Hotels & Resorts Inc.	10,000		245,500
Hudson City Bancorp Inc.	42,000		582,960
IndyMac Bancorp Inc.	11,000		496,760
JPMorgan Chase & Co.	24,200		1,168,860
Marsh & McLennan Companies Inc.	29,000		889,140
Merrill Lynch & Co. Inc.	4,300		400,330
RenaissanceRe Holdings Ltd.	6,100		366,000
SLM Corp.	18,400		897,368
St. Paul Travelers Co. Inc.	2,100		112,749
Wachovia Corp.	16,000		911,200


	Shares	Value
Common Stocks (Cont.)
Financials (Cont.)
Washington Mutual Inc.	27,800	$	1,264,622
Wells Fargo & Co.	22,400		796,544
XL Capital Ltd. Class A	4,700		338,494

			12,336,316

Health Care (8.24%)
AstraZeneca PLC ADR	7,400		396,270
Eli Lilly & Co.	1,900		98,990
Merck & Co. Inc.	15,000		654,000
Pfizer Inc.	30,100		779,590
Sanofi-Aventis ADR	7,500		346,275
WellPoint Inc. (a)	9,400		739,686

			3,014,811

Industrials (8.54%)
3M Co.	4,300		335,099
American Standard Cos. Inc.	3,000		137,550
Emerson Electric Co.	5,200		229,164
General Electric Co.	35,700		1,328,397
Hubbell Inc. Class B	3,500		158,235
Illinois Tool Works Inc.	7,800		360,282
Siemens AG ADR	2,100		206,955
Tyco International Ltd.	7,000		212,800
Union Pacific Corp.	1,700		156,434

			3,124,916

Materials (4.80%)
Air Products & Chemicals Inc.	3,100		217,868
Alcoa Inc.	10,900		327,109
E.I. du Pont de Nemours and Co.	2,800		136,388
International Paper Co.	11,600		395,560
Lyondell Chemical Co.	7,900		202,003
Methanex Corp.	5,200		142,324
The Dow Chemical Co.	8,400		335,496

			1,756,748

Technology (7.19%)
Affiliated Computer Services Inc. Class A (a)	4,500		219,780
Fairchild Semiconductor International Inc. (a)	22,800		383,268
Flextronics International Ltd. (a)	43,000		493,640
Hewlett-Packard Co.	7,600		313,044
Intel Corp.	46,300		937,575
International Rectifier Corp. (a)	2,100		80,913
Jabil Circuit Inc.	8,200		201,310

			2,629,530

Telecommunication Services (4.51%)
AT&T Inc.	25,700		918,775
Sprint Nextel Corp.	20,700		391,023


	Shares or principal amount			Value
Common Stocks (Cont.)
Telecommunication Services (Cont.)
Verizon Communications Inc.		9,100		$	338,884

					1,648,682

Utilities (3.22%)
CMS Energy Corp. (a)		19,900			332,330
Duke Energy Corp.		6,100			202,581
Equitable Resources Inc.		3,900			162,825
MDU Resources Group Inc.		3,900			99,996
NiSource Inc.		9,200			221,720
Pinnacle West Capital Corp.		3,100			156,984

					1,176,436

Total Common Stocks
(cost $30,918,528)					34,653,162

Corporate Bonds (1.04%)
Consumer Discretionary (1.04%)
Ford Motor Co. Convertible Corporate Bond
4.250%, 12/15/2036	$	356,000			380,475

Total Corporate Bonds
(cost $358,214)					380,475

Short-term Investments (4.31%)
JPMorgan Prime Money Market Fund		1,073,888			1,073,888
JPMorgan Treasury Plus Money Market Fund		500,193			500,193

Total Short-term Investments
(cost $1,574,081)					1,574,081

TOTAL INVESTMENTS (100.09%)
(cost $32,850,823)					36,607,718
LIABILITIES, NET OF OTHER ASSETS		(-0.09	%)		(31,162	)

NET ASSETS (100.00%)				$	36,576,556

(a)	Non-income producing security.

ADR - American Depository Receipts


	Shares	Value
Common Stocks (90.35%)
Consumer Discretionary (15.18%)
AnnTaylor Stores Corp. (a)	4,800	$	157,632
Big Lots Inc. (a)	14,900		341,508
Books-A-Million Inc.	7,900		179,172
Brightpoint Inc. (a)	12,000		161,400
Carter’s Inc. (a)	4,900		124,950
CEC Entertainment Inc. (a)	4,200		169,050
Chindex International, Inc. (a)	8,700		164,082
Coach Inc. (a)	2,900		124,584
Dillard’s Inc. Class A	7,200		251,784
GameStop Corp. Class A (a)	3,050		168,085
Goodyear Tire & Rubber Co. (a)	9,800		205,702
Hilton Hotels Corp.	5,500		191,950
J.C. Penney Co. Inc.	1,000		77,360
Kohl’s Corp. (a)	2,200		150,546
Midwest Air Group Inc. (a)	20,000		230,000
Nutri/System Inc. (a)	1,200		76,068
OfficeMax Inc.	3,500		173,775
Panera Bread Co. (a)	2,950		164,935
PC Connection Inc. (a)	12,400		183,892
Penn National Gaming Inc. (a)	3,350		139,427
Skechers U.S.A. Inc. (a)	6,200		206,522
Sotheby’s	8,150		252,813
Spartan Motors Inc.	11,100		168,498
Tiffany & Co.	2,700		105,948
Urban Outfitters Inc. (a)	5,600		128,968
Vail Resorts Inc. (a)	3,300		147,906
Warnaco Group Inc. (a)	6,500		164,970

			4,611,527

Consumer Staples (6.11%)
Angeion Corp. (a)	11,900		145,537
Church & Dwight Co. Inc.	2,900		123,685
Corn Products International Inc.	4,600		158,884
CPI Corp.	4,000		185,960
CVS Corp.	3,650		112,821
Deluxe Corp.	6,700		168,840
Fomento Economico Mexicano S.A.B. de C.V. ADR	1,450		167,852
M & F Worldwide Corp. (a)	10,100		255,126
NBTY Inc. (a)	4,500		187,065
TreeHouse Foods Inc. (a)	5,200		162,240
Zoll Medical Corp. (a)	3,200		186,368

			1,854,378

Energy (4.73%)
Diamond Offshore Drilling Inc.	3,200		255,808
Dril-Quip Inc. (a)	2,850		111,606
National-Oilwell Varco Inc. (a)	2,950		180,481
Noble Corp.	5,000		380,750
Noble Energy Inc.	1,850		90,780
Swift Energy Co. (a)	3,200		143,392
TETRA Technologies Inc. (a)	1,500		38,370


	Shares	Value
Common Stocks (Cont.)
Energy (Cont.)
Tidewater Inc.	3,000	$	145,080
Transocean Inc. (a)	1,100		88,979

			1,435,246

Financials (15.10%)
ACE Ltd.	1,650		99,941
Advanta Corp.	3,600		157,068
Affiliated Managers Group Inc. (a)	450		47,309
Alliance Data Systems Corp. (a)	3,300		206,151
Allied World Assurance Holdings Ltd.	3,000		130,890
American Physicians Capital Inc. (a)	4,200		168,168
Ameriprise Financial Inc.	1,750		95,375
Arch Capital Group Ltd. (a)	2,350		158,883
Assurant Inc.	3,250		179,562
Capital One Financial Corp.	1,150		88,343
Chubb Corp.	3,200		169,312
CNA Surety Corp. (a)	8,300		178,450
East West Bancorp Inc.	4,350		154,077
EMC Insurance Group Inc.	4,900		167,188
Franklin Resources Inc.	1,850		203,814
GATX Corp.	3,050		132,157
GFI Group Inc. (a)	2,550		158,763
Investment Technology Group Inc. (a)	3,350		143,648
Knight Capital Group Inc. (a)	9,400		180,198
Lazard Ltd. Class A	2,100		99,414
Mercer Insurance Group Inc.	8,200		165,312
Northern Trust Corp.	4,000		242,760
Odyssey Re Holdings Corp.	4,700		175,310
Redwood Trust Inc.	1,700		98,736
Safety Insurance Group Inc.	4,900		248,479
SEI Investments Co.	1,100		65,516
Sunstone Hotel Investors Inc.	6,950		185,773
Tower Group Inc.	5,000		155,350
Unitrin Inc.	3,400		170,374
W. R. Berkley Corp.	3,550		122,511
Zions Bancorporation	450		37,098

			4,585,930

Health Care (6.05%)
Barr Pharmaceuticals Inc. (a)	3,000		150,360
Caremark Rx Inc.	2,850		162,763
Cytyc Corp. (a)	6,500		183,950
Endo Pharmaceuticals Holdings Inc. (a)	5,000		137,900
Genzyme Corp. (a)	1,700		104,686
Gilead Sciences Inc. (a)	1,500		97,395
HealthExtras Inc. (a)	4,850		116,885
Immucor Inc. (a)	2,050		59,922
Intuitive Surgical Inc. (a)	1,100		105,490
Nektar Therapeutics (a)	4,200		63,882
Omnicare Inc.	2,950		113,959
Psychiatric Solutions Inc. (a)	4,100		153,832
QIAGEN NV (a)	4,900		74,137


	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
Shire PLC ADR	1,250	$	77,200
United Therapeutics Corp. (a)	2,550		138,643
VCA Antech Inc. (a)	2,950		94,961

			1,835,965

Industrials (19.16%)
Acuity Brands Inc.	3,100		161,324
AEP Industries Inc. (a)	3,200		170,592
Ampco-Pittsburgh Corp.	4,800		160,704
Celadon Group Inc. (a)	9,000		150,750
Ceradyne Inc. (a)	4,900		276,850
Commercial Metals Co.	5,700		147,060
CSX Corp.	3,900		134,277
Foster Wheeler Ltd. (a)	3,100		170,934
General Cable Corp. (a)	950		41,525
Greif Inc.	1,700		201,280
Herman Miller Inc.	7,000		254,520
Joy Global Inc.	6,650		321,461
Lindsay Corp.	11,800		385,270
McDermott International Inc. (a)	11,300		574,718
Monster Worldwide Inc. (a)	1,250		58,300
MSC Industrial Direct Co. Inc.	2,650		103,747
Perini Corp. (a)	5,100		156,978
Precision Castparts Corp.	3,900		305,292
PW Eagle Inc.	4,900		169,050
Robbins & Myers Inc.	6,000		275,520
Rockwell Automation Inc.	1,600		97,728
Rogers Corp. (a)	2,400		141,960
SkyWest Inc.	2,700		68,877
Southwest Airlines Co.	7,900		121,028
Thomas & Betts Corp. (a)	3,700		174,936
Wabtec Corp.	3,000		91,140
Washington Group International Inc. (a)	1,500		89,685
Waste Industries USA Inc.	5,500		167,860
Watts Water Technologies Inc.	4,000		164,440
WESCO International Inc. (a)	3,700		217,597
World Fuel Services Corp.	5,950		264,537

			5,819,940

Materials & Processes (8.17%)
Airgas Inc.	850		34,442
Allegheny Technologies Inc.	1,300		117,884
Chaparral Steel Co.	6,400		283,328
Cleveland-Cliffs Inc.	3,500		169,540
Compass Minerals International Inc.	5,000		157,800
Hercules Inc. (a)	8,900		171,859
ICO, Inc. (a)	26,900		151,716
OM Group Inc. (a)	3,500		158,480
Pioneer Companies Inc. (a)	6,100		174,826
Reliance Steel & Aluminum Co.	4,400		173,272
Rock-Tenn Co. Class A	6,600		178,926


	Shares	Value
Common Stocks (Cont.)
Materials & Processes (Cont.)
RTI International Metals Inc. (a)	3,300	$	258,126
Steel Dynamics Inc.	5,100		165,495
UAP Holding Corp.	6,900		173,742
United States Steel Corp.	800		58,512
Weyerhaeuser Co.	750		52,987

			2,480,935

Technology (9.81%)
Adobe Systems Inc. (a)	1,850		76,072
aQuantive Inc. (a)	4,750		117,135
ASML Holding NV NY Shares (a)	3,750		92,363
Autodesk Inc. (a)	4,050		163,863
Citrix Systems Inc. (a)	3,700		100,085
Cognizant Technology Solutions Corp. (a)	850		65,586
CommScope Inc. (a)	4,350		132,588
Comverse Technology Inc. (a)	4,450		93,939
Diodes Inc. (a)	2,900		102,892
F5 Networks Inc. (a)	1,000		74,210
Harris Corp.	1,550		71,083
IKON Office Solutions Inc.	10,200		166,974
Intersil Corp.	5,900		141,128
Marvell Technology Group Ltd. (a)	7,350		141,046
Microchip Technology Inc.	3,550		116,085
MICROS Systems Inc. (a)	2,050		108,035
Microsemi Corp. (a)	4,750		93,338
MKS Instruments Inc. (a)	8,000		180,640
Network Appliance Inc. (a)	3,450		135,516
Paychex Inc.	3,800		150,252
Riverbed Technology Inc. (a)	2,650		81,355
Trimble Navigation Ltd. (a)	2,750		139,507
TriQuint Semiconductor Inc. (a)	51,300		230,850
Ultra Clean Holdings, Inc. (a)	12,400		153,140
VeriFone Holdings Inc. (a)	1,500		53,100

			2,980,782

Telecommunications (3.70%)
Adaptec Inc. (a)	38,400		178,944
Anixter International Inc. (a)	2,800		152,040
Imergent Inc. (a)	11,200		320,768
LodgeNet Entertainment Corp. (a)	7,000		175,210
Mediacom Communications Corp Class A (a)	20,500		164,820
NII Holdings Inc. (a)	2,050		132,102

			1,123,884

Utilities (2.34%)
Constellation Energy Group	950		65,427
El Paso Electric Co. (a)	3,050		74,328
Nicor Inc.	3,300		154,440
PNM Resources Inc.	5,450		169,495
PPL Corp.	4,150		148,736


	Shares	Value
Common Stocks (Cont.)
Utilities (Cont.)
TXU Corp.	1,800	$	97,578

			710,004

Total Common Stocks
(cost $27,462,173)			27,438,591

Short-term Investments (10.20%)
JPMorgan Prime Money Market Fund	1,095,835		1,095,835
JPMorgan Treasury Plus Money Market Fund	2,001,193		2,001,193

Total Short-term Investments
(cost $3,097,028)			3,097,028

TOTAL INVESTMENTS (100.55%)
(cost $30,559,201)			30,535,619
LIABILITIES, NET OF OTHER ASSETS (-0.55%)			(166,770	)

NET ASSETS (100.00%)		$	30,368,849

(a)	Non-income producing security.

ADR - American Depository Receipts


	Shares	Value
Common Stocks (95.27%) (a)
Australia (3.36%)
Amcor Ltd.	11,838	$	67,660
Brambles Ltd. (b)	13,200		133,175
Foster’s Group Ltd.	14,400		78,526
Insurance Australia Group Ltd.	22,468		112,214
Macquarie Bank Ltd.	2,018		125,430
Promina Group Ltd.	8,343		45,469
Qantas Airways Ltd.	21,575		88,927
QBE Insurance Group Ltd.	3,974		90,166
Rinker Group Ltd.	15,113		213,967
Telstra Corp. Ltd.	26,046		85,114
Toll Holdings Ltd.	5,300		76,340
Woolworths Ltd.	10,029		188,911

			1,305,899

Austria (0.20%)
Erste Bank Der Oester Spark	1,000		76,567

Belgium (0.91%)
Fortis	4,300		182,997
SES Global FDR Class A	4,000		69,595
UCB SA	1,500		102,795

			355,387

Canada (6.72%)
Abitibi Consolidated Inc.	10,000		25,640
Alcan Inc.	8,200		399,259
Barrick Gold Corp.	9,800		300,860
CAMECO Corp.	8,400		339,991
Canadian Imperial Bank of Commerce	1,000		84,294
Canadian Natural Resources	6,400		341,088
EnCana Corp.	1,300		59,819
Finning International Inc.	2,000		81,962
Manulife Financial Corp.	1,600		53,990
Methanex Corp.	3,000		82,065
Potash Corp. of Saskatchewan Inc.	2,600		372,336
Rogers Communications Inc. Class B	2,800		83,317
Royal Bank of Canada	1,600		76,148
Suncor Energy Inc.	2,300		181,038
Telus Corp. Non Voting	1,400		62,464
The Toronto Dominion Bank	1,100		65,765

			2,610,036

Denmark (0.36%)
Novo Nordisk A/S	1,700		141,556

Finland (1.10%)
Neste Oil OYJ	2,600		78,788
Nokia OYJ	2,700		54,829
Stora Enso OYJ R Shares	4,300		67,801
UPM-Kymmene OYJ	8,900		224,230

			425,648


	Shares	Value
Common Stocks (Cont.)
France (11.58%)
Accor SA	1,600	$	123,722
Air Liquide	550		130,318
AXA	2,100		84,654
BNP Paribas	3,220		350,300
Bouygues	8,915		570,797
Dassault Systemes SA	1,000		52,864
Essilor International	900		96,623
Groupe Danone	1,200		181,468
L’Oreal	1,700		169,936
Lafarge SA	1,700		252,698
Michelin Class B	1,100		105,076
PagesJaunes SA	1,779		35,355
Renault SA	1,600		191,584
Rhodia SA (b)	24,800		86,245
Safran SA	1,300		30,075
Sanofi-Aventis	8,600		792,929
Schneider Electric SA	3,000		332,016
Societe Generale Class A	945		159,866
Thales SA	3,100		154,284
Total SA	3,800		273,439
Veolia Environnement	2,650		202,100
Vivendi	3,200		124,814

			4,501,163

Germany (5.17%)
Allianz SE Reg.	1,200		243,909
Bayer AG	1,400		74,769
Bayerische Motoren Werke AG	1,100		63,050
Commerzbank AG	2,700		102,098
Continental AG	600		69,509
DaimlerChrysler AG	3,100		190,447
Depfa Bank PLC	4,500		80,351
Deutsche Bank AG	600		79,712
Deutsche Post AG	3,300		99,340
SAP AG	5,200		275,770
SAP AG Sponsored ADR	500		26,550
Siemens AG	4,300		422,004
Volkswagen AG	2,500		283,270

			2,010,779

Greece (0.12%)
Greek Org of Football Prognostics SA	1,200		46,341

Hong Kong (2.34%)
Bank of East Asia Ltd.	28,800		162,576
BOC Hong Kong Holdings Ltd.	30,500		82,608
Hang Lung Properties Ltd. (c)	16,000		40,139
Hang Lung Properties Ltd.	31,000		77,770
Hong Kong & China Gas Co. Ltd.	24,000		53,963
Li & Fung Ltd.	38,800		120,467
Sun Hung Kai Properties Ltd. (c)	2,000		22,908
Sun Hung Kai Properties Ltd.	6,000		68,725


	Shares	Value
Common Stocks (Cont.)
Hong Kong (Cont.)
Swire Pacific Ltd. Class A	26,000	$	278,796

			907,952

Ireland (0.58%)
CRH PLC	5,400		224,610

Italy (0.60%)
Banca Intesa SpA	13,600		104,739
ENI SpA	2,200		73,997
SanPaolo IMI SpA	2,400		55,696

			234,432

Japan (26.41%)
Advantest Corp.	3,000		171,983
Aeon Co. Ltd.	7,800		168,701
Bank of Yokohama Ltd.	13,000		101,530
Bridgestone Corp.	3,400		75,875
Canon Inc.	3,300		185,791
Daiwa House Industry Co. Ltd.	2,000		34,660
Elpida Memory Inc. (b) (c)	300		16,476
Elpida Memory Inc. (b)	600		32,952
Fanuc Ltd.	2,900		284,611
Hankyu Hanshin Holdings Inc.	9,000		51,166
Hirose Electric Co. Ltd.	700		79,381
Hoya Corp.	2,400		93,544
Idemitsu Kosan Co. Ltd. (b)	700		70,468
INPEX Holdings Inc. (b)	8		65,718
Japan Tobacco Inc.	25		120,836
Kao Corp.	5,000		134,555
Keyence Corp.	320		78,988
Millea Holdings Inc.	5,200		184,175
Mitsubishi Corp.	12,900		242,375
Mitsubishi Estate Co. Ltd.	12,000		310,072
Mitsubishi Heavy Industries Ltd.	21,000		95,275
Mitsubishi UFJ Financial Group Inc.	19		235,710
Mitsui & Co. Ltd.	5,000		74,919
Mitsui OSK Lines Ltd.	8,000		79,013
Mizuho Financial Group Inc.	47		335,249
Murata Manufacturing Co. Ltd.	1,000		67,475
NGK Spark Plug Co. Ltd.	4,000		75,157
Nikon Corp.	4,000		87,680
Nintendo Co. Ltd.	1,100		284,777
Nippon Electric Glass Co. Ltd.	8,000		167,749
Nippon Telegraph & Telephone Corp.	15		73,972
Nissan Motor Co. Ltd.	27,800		335,454
Nitto Denko Corp.	3,400		169,844
Nomura Holdings Inc.	4,000		75,459
Orix Corp.	2,080		603,184
Rohm Co. Ltd.	800		79,588
Shimamura Co. Ltd.	900		103,117
Shin-Etsu Chemical Co. Ltd.	1,900		126,828
SMC Corp.	1,600		226,439


	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Softbank Corp.	33,700	$	652,892
Sony Corp.	1,700		72,803
Sumitomo Corp.	17,000		254,485
Sumitomo Mitsui Financial Group Inc.	96		982,899
Sumitomo Realty & Development Co. Ltd.	5,000		160,297
Suzuki Motor Corp.	14,000		394,623
T&D Holdings Inc.	1,050		69,320
Takeda Pharmaceutical Co. Ltd.	2,100		143,926
TDK Corp.	700		55,734
The Daimaru Inc.	6,000		81,389
Tokyo Electric Power Co.	4,200		135,687
Tokyo Electron Ltd.	3,200		251,704
Tokyo Gas Co. Ltd.	22,000		116,809
Tokyu Corp.	17,000		108,775
Toshiba Corp.	43,000		279,423
Trend Micro Inc.	4,000		117,337
Ushio Inc.	2,700		55,436
Yahoo! Japan Corp.	419		166,146
Yamada Denki Co. Ltd.	2,300		195,227
Yamato Holdings Co. Ltd.	11,000		168,824

			10,264,482

Netherlands (4.70%)
ABN AMRO Holdings NV	9,995		320,427
Aegon NV	10,993		208,612
Heineken NV	6,300		299,333
ING Groep NV	14,900		658,406
Koninklijke KPN NV	18,100		256,905
Koninklijke Numico NV (b)	1,506		80,873

			1,824,556

Norway (0.39%)
DNB NOR ASA	5,400		76,410
Telenor ASA	4,100		76,828

			153,238

Singapore (0.99%)
DBS Group Holdings Ltd.	5,000		73,405
Singapore Telecommunications	121,600		259,329
United Overseas Bank Ltd.	4,000		50,451

			383,185

Spain (3.84%)
Altadis SA	2,900		151,506
Banco Bilbao Vizcaya Argentaria SA	20,200		485,317
Banco Santander Central Hispano SA	20,000		372,423
Iberdrola SA	1,100		47,954
Inditex	1,881		101,185
Repsol YPF SA	7,200		248,078


	Shares	Value
Common Stocks (Cont.)
Spain (Cont.)
Telefonica SA	4,100	$	87,046

			1,493,509

Sweden (0.95%)
ASSA Abloy AB Class B	3,800		82,446
Atlas Copco AB Class A	2,200		73,663
Ericsson LM Class B	31,000		124,656
TeliaSonera AB	11,000		90,030

			370,795

Switzerland (8.53%)
Adecco SA	1,001		68,225
Compagnie Financiere Richemont AG Class A	8,768		508,870
Credit Suisse Group	3,671		255,935
Holcim Ltd. (c)	379		34,661
Holcim Ltd.	4,170		381,357
Nestle SA	1,031		365,703
Novartis AG	12,104		695,329
Petroplus Holdings AG (b)	410		24,900
Roche Holding AG	1,307		233,840
Swiss Reinsurance	5,540		469,520
Swisscom AG	417		157,467
Synthes Inc. (b)	471		55,994
UBS AG	1,058		64,028

			3,315,829

United Kingdom (16.42%)
Anglo American PLC	800		38,934
ARM Holdings PLC	23,900		58,616
AstraZeneca PLC	9,700		519,497
BAE Systems PLC	46,600		387,416
BHP Billiton PLC	5,600		102,554
Cadbury Schweppes PLC	6,600		70,492
Carnival PLC	1,500		75,776
Corus Group PLC	7,700		79,590
Daily Mail & General Trust NV	6,500		90,993
HBOS PLC	23,800		526,138
HSBC Holdings PLC	7,600		138,320
Imperial Chemical Industries PLC	5,600		49,467
Kingfisher PLC	15,000		69,940
Lloyds TSB Group PLC	10,300		115,789
National Grid PLC	5,800		83,946
Pearson PLC	5,500		82,896
Reed Elsevier PLC	32,700		358,653
Rio Tinto PLC	2,200		116,593
Royal Bank of Scotland Group	21,200		825,073
Royal Dutch Shell PLC Class A	19,384		682,948
SABMiller PLC	3,700		84,957
Scottish & Southern Energy PLC	6,700		203,471
Standard Chartered PLC	9,400		273,837
Tesco PLC	14,300		113,006


	Principal amount		Value
Repurchase Agreement (5.03%)
Investors Bank & Trust Repurchase Agreement, (d) 3.500%, to be repurchased at $1,955,055 on 01/02/2007	$	1,954,295	$	1,954,295

Total Repurchase Agreement
(cost $1,954,295)				1,954,295

TOTAL INVESTMENTS (100.30%)
(cost $31,380,167)				38,983,838
LIABILITIES, NET OF CASH AND OTHER ASSETS (-0.30%)				(116,864	)

NET ASSETS (100.0%)			$	38,866,974

(a)	Securities valued at fair value.

(b)	Non-income producing security.

(c)	These shares may only be resold to qualified institutional buyers in transactions exempt from registration.

(d)	Repurchase agreement is fully collateralized by U.S. Government Agency securities with a coupon rate of 8.625%, a maturity date of May 25, 2023, and a market value of $2,052,010.

ADR - American Depository Receipt

FDR - Fiduciary Depository Receipt

INTERNATIONAL EQUITY FUND FOREIGN

CURRENCY DENOMINATIONS


Currency	Value		%
Euro	$	11,849,391	30.40
Japanese Yen		10,264,482	26.33
British Pound		5,181,134	13.29
Swiss Franc		3,315,829	8.51
Canadian Dollar		2,309,176	5.92
United States Dollar		2,281,705	5.85
Australian Dollar		1,305,899	3.35
Hong Kong Dollar		907,951	2.33
Swedish Krona		890,292	2.28
Singapore Dollar		383,185	0.98
Norwegian Krone		153,238	0.39
Danish Krone		141,556	0.37

Total Investments	$	38,983,838	100.00	%

INTERNATIONAL EQUITY FUND SECTOR CLASSIFICATIONS


Sector	Value			%
Financials	$	10,879,873		27.99
Consumer Discretionary		4,281,096		11.01
Materials		3,940,749		10.14
Industrials		3,671,192		9.45
Telecommunication Services		3,191,219		8.21
Health Care		2,782,488		7.16
Information Technology		2,722,335		7.00
Energy		2,440,272		6.28
Consumer Staples		2,276,389		5.86
Utilities		843,930		2.17

Total Common Stocks		37,029,543		95.27
Repurchase Agreement		1,954,295		5.03
Liabilities, Net of Cash and Other Assets		(116,864	)	(0.30	)

Net Assets	$	38,866,974		100.00	%


	Shares	Value
Common Stocks (99.09%)
Aerospace/Defense (1.48%)
Boeing Co.	36,933	$	3,281,128
General Dynamics Corp.	18,783		1,396,516
Lockheed Martin Corp.	16,547		1,523,482
Northrop Grumman Corp.	15,963		1,080,695
Raytheon Co.	20,763		1,096,286
Rockwell Collins Inc.	7,920		501,257

			8,879,364

Agriculture, Foods, & Beverage (3.53%)
Anheuser-Busch Companies Inc.	35,743		1,758,556
Archer-Daniels-Midland Co.	30,372		970,689
Campbell Soup Co.	10,614		412,778
Coca-Cola Enterprises Inc.	13,329		272,178
ConAgra Foods Inc.	23,927		646,029
Constellation Brands Inc. (a)	9,665		280,478
Dean Foods Co. (a)	6,210		262,559
General Mills Inc.	16,405		944,928
HJ Heinz Co.	15,406		693,424
Kellogg Co.	11,535		577,442
McCormick & Co. Inc.	6,119		235,949
Molson Coors Brewing Co. Class B	2,284		174,589
Pepsi Bottling Group Inc.	6,206		191,827
PepsiCo Inc.	76,507		4,785,513
Reynolds American Inc.	7,942		519,963
Sara Lee Corp.	34,959		595,352
Sysco Corp.	28,639		1,052,770
The Coca-Cola Co.	94,967		4,582,158
The Hershey Co.	8,239		410,302
Tyson Foods, Inc.	11,639		191,461
Whole Foods Market Inc.	6,485		304,341
WM Wrigley Jr. Co.	10,200		527,544
Yum! Brands Inc.	12,461		732,707

			21,123,537

Airlines (0.09%)
Southwest Airlines Co.	36,605		560,789
Automotive (0.69%)
Ford Motor Co.	87,175		654,684
General Motors Corp.	26,205		805,018
Genuine Parts Co.	7,971		378,064
Goodyear Tire & Rubber Co. (a)	8,187		171,845
Harley-Davidson Inc.	12,312		867,627
ITT Corp.	8,511		483,595
Paccar Inc.	11,542		749,076

			4,109,909

Banks (6.48%)
Bank of America Corp.	210,055		11,214,836
Bank of New York Co. Inc.	35,679		1,404,682
BB&T Corp.	25,193		1,106,729
Comerica Inc.	7,483		439,102


	Shares	Value
Common Stocks (Cont.)
Banks (Cont.)
Fifth Third Bancorp	25,853	$	1,058,163
Huntington Bancshares Inc.	11,426		271,368
JPMorgan Chase & Co.	161,668		7,808,564
M&T Bank Corp.	3,648		445,640
Northern Trust Corp.	8,641		524,422
PNC Financial Services Group Inc.	13,667		1,011,905
State Street Corp.	15,397		1,038,374
SunTrust Banks Inc.	16,866		1,424,334
Synovus Financial Corp.	14,890		459,059
US Bancorp	82,392		2,981,766
Washington Mutual Inc.	44,659		2,031,538
Wells Fargo & Co.	157,273		5,592,628

			38,813,110

Building Materials & Construction (0.59%)
American Standard Cos. Inc.	8,191		375,557
Centex Corp.	5,650		317,926
DR Horton Inc.	12,527		331,840
Fluor Corp.	4,062		331,662
KB Home	3,529		180,967
Leggett & Platt Inc.	8,373		200,115
Lennar Corp.	6,433		337,475
Masco Corp.	18,534		553,611
Pulte Homes Inc.	9,834		325,702
Stanley Works	3,688		185,470
Vulcan Materials Co.	4,615		414,750
			3,555,075
Chemicals (1.54%)
Air Products & Chemicals Inc.	10,348		727,257
Ashland Inc.	2,232		154,410
E.I. du Pont de Nemours and Co.	42,719		2,080,843
Eastman Chemical Co.	3,768		223,480
Hercules Inc. (a)	5,239		101,165
International Flavors & Fragrances Inc.	3,618		177,861
Monsanto Co.	25,232		1,325,437
Pall Corp.	5,768		199,284
PPG Industries Inc.	7,681		493,197
Praxair Inc.	14,963		887,755
Rohm & Haas Co.	6,727		343,884
Sealed Air Corp.	3,737		242,606
Sigma-Aldrich Corp.	3,086		239,844
Temple-Inland Inc.	5,090		234,293
The Dow Chemical Co.	44,518		1,778,049

			9,209,365

Commercial Service/Supply (1.63%)
Allied Waste Industries Inc. (a)	11,619		142,798
Apollo Group Inc. Class A (a)	6,470		252,136
Ball Corp.	4,788		208,757
Cintas Corp.	6,329		251,325
Convergys Corp. (a)	6,466		153,761


	Shares	Value
Common Stocks (Cont.)
Commercial Service/Supply (Cont.)
Eastman Kodak Co.	13,238	$	341,540
Ecolab Inc.	8,378		378,686
Equifax Inc.	5,970		242,382
First Data Corp.	35,454		904,786
Interpublic Group of Companies Inc. (a)	20,096		245,975
Monster Worldwide Inc. (a)	5,939		276,995
Moody’s Corp.	11,170		771,400
Omnicom Group Inc.	7,938		829,839
Pactiv Corp. (a)	6,573		234,590
Paychex Inc.	15,618		617,536
Pitney Bowes Inc.	10,243		473,124
Realogy Corp. (a)	9,873		299,349
Robert Half International Inc.	7,907		293,508
RR Donnelley & Sons Co.	9,956		353,836
Ryder System Inc.	2,788		142,355
Snap-On Inc.	2,697		128,485
Waste Management Inc.	25,035		920,537
WW Grainger Inc.	3,512		245,629
Wyndham Worldwide Corp. (a)	9,279		297,114
Xerox Corp. (a)	45,870		777,496

			9,783,939

Computer Software & Services (4.48%)
Adobe Systems Inc. (a)	27,224		1,119,451
Affiliated Computer Services Inc. Class A (a)	5,513		269,255
Autodesk Inc. (a)	10,637		430,373
Automatic Data Processing Inc.	26,033		1,282,125
BMC Software Inc. (a)	9,820		316,204
CA Inc.	19,076		432,071
Computer Sciences Corp. (a)	8,203		437,794
Compuware Corp. (a)	17,623		146,800
Comverse Technology Inc. (a)	9,319		196,724
eBay Inc. (a)	54,427		1,636,620
Electronic Arts Inc. (a)	14,243		717,277
Electronic Data Systems Corp.	23,929		659,244
EMC Corp. (a)	104,995		1,385,934
Intuit Inc. (a)	15,980		487,550
Juniper Networks Inc. (a)	26,017		492,762
Microsoft Corp.	403,310		12,042,837
Oracle Corp. (a)	187,092		3,206,757
Unisys Corp. (a)	15,818		124,013
Yahoo! Inc. (a)	57,752		1,474,986

			26,858,777

Computers (3.17%)
Apple Computer Inc. (a)	39,590		3,358,816
Dell Inc. (a)	105,674		2,651,361
Hewlett-Packard Co.	127,622		5,256,750
International Business Machines Corp.	70,586		6,857,430


	Shares	Value
Common Stocks (Cont.)
Computers (Cont.)
Sun Microsystems Inc. (a)	162,418	$	880,305

			19,004,662

Consumer & Marketing (4.77%)
Altria Group Inc.	97,684		8,383,241
Avery Dennison Corp.	4,569		310,372
Avon Products Inc.	20,733		685,018
Black & Decker Corp.	2,832		226,475
Brown-Forman Corp. Class B	3,577		236,941
Brunswick Corp.	4,360		139,084
Clorox Co.	6,991		448,473
Colgate-Palmolive Co.	23,924		1,560,802
Danaher Corp.	10,980		795,391
Darden Restaurants Inc.	6,694		268,898
Fortune Brands Inc.	6,957		594,058
Harman International Industries Inc.	3,085		308,222
Hasbro Inc.	7,090		193,203
IAC/InterActiveCorp (a)	10,358		384,903
Kimberly-Clark Corp.	21,287		1,446,452
Mattel Inc.	17,862		404,753
Newell Rubbermaid Inc.	12,856		372,181
Starbucks Corp. (a)	35,442		1,255,356
The Estee Lauder Companies	5,909		241,205
The Procter & Gamble Co.	147,705		9,493,000
UST Inc.	7,542		438,944
Wendy’s International Inc.	3,592		118,859
Whirlpool Corp.	3,583		297,461

			28,603,292

Electronic/Electrical Mfg. (5.40%)
Advanced Micro Devices Inc. (a)	25,147		511,741
Agilent Technologies Inc. (a)	19,329		673,616
Applied Materials Inc.	64,517		1,190,339
Emerson Electric Co.	37,886		1,669,636
General Electric Co.	480,670		17,885,731
Intel Corp.	268,653		5,440,223
KLA-Tencor Corp.	9,194		457,401
Linear Technology Corp.	14,086		427,088
LSI Logic Corp. (a)	18,079		162,711
Micron Technology Inc. (a)	34,621		483,309
Molex Inc.	6,542		206,923
National Semiconductor Corp.	14,268		323,884
PerkinElmer Inc.	6,043		134,336
Rockwell Automation Inc.	8,229		502,627
Texas Instruments Inc.	70,230		2,022,624
Waters Corp. (a)	4,808		235,448

			32,327,637

Financial Services (11.06%)
AMBAC Financial Group Inc.	4,851		432,079
American Express Co.	56,622		3,435,257
Ameriprise Financial Inc.	11,413		622,009


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
Apartment Investment and Management Co.	4,456	$	249,625
Archstone-Smith Trust	10,055		585,302
Bear Stearns Companies Inc.	5,568		906,359
Boston Properties Inc.	5,382		602,138
Capital One Financial Corp.	19,104		1,467,569
CB Richard Ellis Group Inc. Class A (a)	8,516		282,731
Charles Schwab Corp.	47,812		924,684
Chicago Mercantile Exchange Holdings Inc.	1,645		838,539
CIT Group Inc.	9,205		513,363
Citigroup Inc.	229,744		12,796,741
Commerce Bancorp Inc.	8,622		304,098
Compass Bancshares Inc.	5,956		355,275
Countrywide Financial Corp.	28,780		1,221,711
E*Trade Financial Corp. (a)	19,673		441,069
Equity Office Properties Trust	16,543		796,876
Equity Residential	13,471		683,653
Federal Home Loan Mortgage Corp.	32,216		2,187,466
Federal National Mortgage Association	45,358		2,693,812
Federated Investors Inc. Class B	4,104		138,633
Fidelity National Information Services	7,555		302,880
First Horizon National Corp.	5,813		242,867
Franklin Resources Inc.	7,708		849,190
Goldman Sachs Group Inc.	19,717		3,930,584
H&R Block Inc.	15,107		348,065
Janus Capital Group Inc.	9,862		212,921
Keycorp	18,653		709,374
Kimco Realty Corp.	10,373		466,266
Legg Mason Inc.	6,096		579,425
Lehman Brothers Holdings Inc.	24,897		1,944,954
Marshall & Ilsley Corp.	11,736		564,619
MBIA Inc.	6,177		451,292
Mellon Financial Corp.	19,087		804,517
Merrill Lynch & Co. Inc.	41,312		3,846,147
MGIC Investment Corp.	4,025		251,724
Morgan Stanley	49,729		4,049,432
National City Corp.	29,249		1,069,343
Principal Financial Group	12,710		746,077
ProLogis	11,419		693,933
Public Storage Inc.	5,644		550,290
Regions Financial Corp.	33,823		1,264,980
Simon Property Group Inc.	10,232		1,036,399
SLM Corp.	19,079		930,483
Sovereign Bancorp Inc.	17,189		436,429
T Rowe Price Group Inc.	12,308		538,721
Vornado Realty Trust	5,961		724,261
Wachovia Corp.	88,839		5,059,381
Western Union Co.	35,454		794,879
Zions Bancorporation	4,896		403,626

			66,282,048


	Shares	Value
Common Stocks (Cont.)
Forest Products & Paper (0.38%)
International Paper Co.	21,420	$	730,422
MeadWestvaco Corp.	8,350		251,001
OfficeMax Inc.	3,399		168,760
Plum Creek Timber Co. Inc.	8,498		338,645
Weyerhaeuser Co.	11,366		803,008

			2,291,836

Health Care (11.58%)
Abbott Laboratories	71,441		3,479,891
Aetna Inc.	25,045		1,081,443
Allergan Inc.	7,108		851,112
AmerisourceBergen Corp.	9,122		410,125
Amgen Inc. (a)	54,470		3,720,846
Applera Corp.- Applied Biosystems Group	8,585		314,984
Barr Pharmaceuticals Inc. (a)	4,859		243,533
Bausch & Lomb Inc.	2,483		129,265
Baxter International Inc.	30,357		1,408,261
Becton Dickinson & Co.	11,376		798,026
Biogen Idec Inc. (a)	15,828		778,579
Biomet Inc.	11,408		470,808
Boston Scientific Corp. (a)	55,381		951,446
Bristol-Myers Squibb Co.	91,444		2,406,806
Cardinal Health Inc.	18,991		1,223,590
Caremark Rx Inc.	20,010		1,142,771
Celgene Corp. (a)	17,236		991,587
Coventry Health Care Inc. (a)	7,370		368,868
CR Bard Inc.	4,793		397,675
Eli Lilly & Co.	45,869		2,389,775
Express Scripts Inc. (a)	6,363		455,591
Forest Laboratories Inc. (a)	14,642		740,885
Genzyme Corp. (a)	12,109		745,672
Gilead Sciences Inc. (a)	21,329		1,384,892
Health Management Associates Inc.	11,051		233,287
Hospira Inc. (a)	7,237		243,018
Humana Inc. (a)	7,638		422,458
IMS Health Inc.	9,150		251,442
Johnson & Johnson	135,711		8,959,640
King Pharmaceuticals Inc. (a)	11,171		177,842
Laboratory Corp. of America Holdings (a)	5,765		423,555
Manor Care Inc.	3,404		159,716
McKesson Corp.	14,100		714,870
Medco Health Solutions Inc. (a)	13,824		738,755
Medimmune Inc. (a)	11,316		366,299
Medtronic Inc.	53,611		2,868,725
Merck & Co. Inc.	101,100		4,407,960
Mylan Laboratories Inc.	9,700		193,612
Patterson Cos. Inc. (a)	6,396		227,122
Pfizer Inc.	337,545		8,742,416
Quest Diagnostics Inc.	7,486		396,758
Schering-Plough Corp.	68,845		1,627,496


	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
St. Jude Medical Inc. (a)	16,519	$	603,935
Stryker Corp.	13,711		755,613
Tenet Healthcare Corp. (a)	21,722		151,402
UnitedHealth Group Inc.	62,682		3,367,904
Watson Pharmaceuticals Inc. (a)	4,660		121,300
WellPoint Inc. (a)	28,920		2,275,715
Wyeth	62,671		3,191,207
Zimmer Holdings Inc. (a)	11,108		870,645

			69,379,123

Insurance (4.65%)
ACE Ltd.	15,094		914,244
Aflac Inc.	23,051		1,060,346
American International Group Inc.	121,172		8,683,186
Aon Corp.	14,832		524,163
Chubb Corp.	19,158		1,013,650
Cigna Corp.	5,015		659,823
Cincinnati Financial Corp.	8,026		363,658
Genworth Financial Inc.	21,029		719,402
Hartford Financial Services Group Inc.	14,699		1,371,564
Lincoln National Corp.	13,256		880,198
Loews Corp.	21,135		876,468
Marsh & McLennan Companies Inc.	25,377		778,059
MetLife Inc.	35,332		2,084,941
Progressive Corp.	36,236		877,636
Prudential Financial Inc.	22,596		1,940,093
Safeco Corp.	4,444		277,972
St. Paul Travelers Co. Inc.	32,154		1,726,348
The Allstate Corp.	29,049		1,891,380
Torchmark Corp.	4,547		289,917
UnumProvident Corp.	15,829		328,927
XL Capital Ltd. Class A	8,321		599,278

			27,861,253

Leisure, Lodging & Gaming (0.62%)
Carnival Corp.	20,584		1,009,645
Harrah’s Entertainment Inc.	8,552		707,421
Hilton Hotels Corp.	17,787		620,766
Marriott International Inc. Class A	15,865		757,078
Starwood Hotels & Resorts Worldwide Inc.	10,027		626,688

			3,721,598

Machinery & Manufacturing (3.29%)
3M Co.	34,725		2,706,119
Bemis Co. Inc.	4,846		164,667
Caterpillar Inc.	30,617		1,877,741
Cooper Industries Ltd. Class A	4,292		388,126
Cummins Inc.	2,428		286,941
Deere & Co.	10,703		1,017,534
Dover Corp.	9,369		459,268
Eaton Corp.	6,932		520,871


	Shares	Value
Common Stocks (Cont.)
Machinery & Manufacturing (Cont.)
Goodrich Corp.	5,692	$	259,271
Honeywell International Inc.	38,230		1,729,525
Illinois Tool Works Inc.	19,434		897,656
Ingersoll-Rand Co. Ltd. Class A	13,546		530,055
Johnson Controls Inc.	9,066		778,951
Millipore Corp. (a)	2,484		165,434
Parker Hannifin Corp.	5,517		424,147
Terex Corp. (a)	4,743		306,303
Textron Inc.	5,950		557,932
Thermo Fisher Scientific Inc. (a)	18,995		860,284
Tyco International Ltd.	93,146		2,831,638
United Technologies Corp.	46,914		2,933,063

			19,695,526

Media & Broadcasting (3.52%)
CBS Corp. Class B	36,288		1,131,460
Clear Channel Communications Inc.	22,818		810,952
Comcast Corp. Class A (a)	97,503		4,127,302
Dow Jones & Co. Inc.	2,915		110,770
EW Scripps Co. Class A	3,926		196,064
Gannett Co. Inc.	10,950		662,037
Meredith Corp.	1,917		108,023
New York Times Co.	6,703		163,285
News Corp. Class A	109,101		2,343,489
The DIRECTV Group Inc. (a)	35,752		891,655
The McGraw-Hill Companies Inc.	16,534		1,124,643
The Walt Disney Co.	95,639		3,277,549
Time Warner Inc.	187,634		4,086,668
Tribune Co.	9,205		283,330
Univision Communications Inc. (a)	11,550		409,101
Viacom Inc. Class B (a)	32,642		1,339,301

			21,065,629

Mining & Metals (0.90%)
Alcoa Inc.	40,113		1,203,791
Allegheny Technologies Inc.	4,614		418,398
Freeport-McMoRan Copper & Gold Inc.	9,058		504,802
Newmont Mining Corp.	20,838		940,836
Nucor Corp.	14,423		788,361
Phelps Dodge Corp.	9,441		1,130,276
United States Steel Corp.	5,769		421,945

			5,408,409

Oil & Gas (9.54%)
Anadarko Petroleum Corp.	21,319		927,803
Apache Corp.	15,291		1,017,004
Baker Hughes Inc.	15,361		1,146,852
BJ Services Co.	14,238		417,458
Chesapeake Energy Corp.	19,151		556,337
Chevron Corp.	102,097		7,507,192
ConocoPhillips Co.	76,668		5,516,263
Devon Energy Corp.	20,510		1,375,811


	Shares	Value
Common Stocks (Cont.)
Oil & Gas (Cont.)
El Paso Corp.	32,399	$	495,057
EOG Resources Inc.	11,244		702,188
Exxon Mobil Corp.	272,478		20,879,989
Halliburton Co.	47,680		1,480,464
Hess Corp.	12,477		618,485
Kinder Morgan Inc.	4,942		522,616
Marathon Oil Corp.	16,673		1,542,253
Murphy Oil Corp.	8,602		437,412
Nabors Industries Ltd. (a)	14,560		433,597
National-Oilwell Varco Inc. (a)	8,051		492,560
Noble Corp.	6,319		481,192
Occidental Petroleum Corp.	40,036		1,954,958
Questar Corp.	3,981		330,622
Rowan Companies Inc.	5,044		167,461
Schlumberger Ltd.	54,922		3,468,873
Smith International, Inc.	9,303		382,074
Sunoco Inc.	6,123		381,830
Transocean Inc. (a)	13,571		1,097,758
Valero Energy Corp.	28,522		1,459,186
Weatherford International Ltd. (a)	16,067		671,440
Williams Companies Inc.	27,587		720,572

			57,185,307

Retailers (5.69%)
Amazon.com Inc. (a)	14,479		571,341
AutoNation Inc. (a)	6,996		149,155
Autozone Inc. (a)	2,416		279,193
Bed Bath & Beyond Inc. (a)	13,066		497,815
Best Buy Co. Inc.	18,813		925,412
Big Lots Inc. (a)	5,285		121,132
Circuit City Stores Inc.	6,332		120,181
Coach Inc. (a)	17,317		743,938
Costco Wholesale Corp.	21,788		1,151,932
CVS Corp.	38,208		1,181,009
Dillard’s Inc. Class A	2,815		98,441
Dollar General Corp.	14,604		234,540
Family Dollar Stores Inc.	7,126		209,006
Federated Department Stores Inc.	24,980		952,487
GAP Inc.	24,378		475,371
Home Depot Inc.	95,765		3,845,922
J.C. Penney Co. Inc.	10,580		818,469
Kohl’s Corp. (a)	15,367		1,051,564
Kroger Co.	33,419		770,976
Limited Brands	16,006		463,214
Lowe’s Companies Inc.	71,334		2,222,054
McDonald’s Corp.	57,517		2,549,729
Nordstrom Inc.	10,523		519,205
Office Depot Inc. (a)	13,423		512,356
RadioShack Corp.	6,225		104,455
Safeway Inc.	20,721		716,118
Sears Holdings Corp. (a)	3,932		660,301
Staples Inc.	33,562		896,105
Supervalu Inc.	9,710		347,133


	Shares	Value
Common Stocks (Cont.)
Retailers (Cont.)
Target Corp.	39,994	$	2,281,658
The Sherwin-Williams Co.	5,187		329,789
Tiffany & Co.	6,561		257,454
TJX Companies Inc.	21,223		604,431
Wal-Mart Stores Inc.	114,563		5,290,519
Walgreen Co.	46,714		2,143,705

			34,096,110

Technology (3.01%)
Altera Corp. (a)	16,512		324,956
American Power Conversion Corp.	7,885		241,202
Analog Devices Inc.	16,032		526,972
Avaya Inc. (a)	20,905		292,252
Broadcom Corp. (a)	21,651		699,544
Citrix Systems Inc. (a)	8,400		227,220
Cognizant Technology Solutions
Corp. (a)	6,538		504,472
Fiserv Inc. (a)	8,236		431,731
Google Inc. (a)	9,982		4,596,511
International Game Technology	15,673		724,093
Jabil Circuit Inc.	8,446		207,349
L-3 Communications Holdings Inc.	5,733		468,845
Lexmark International Group Inc. (a)	4,768		349,018
Maxim Integrated Products Inc.	14,743		451,431
NCR Corp. (a)	8,364		357,645
Network Appliance Inc. (a)	17,238		677,109
Novell Inc. (a)	16,540		102,548
Novellus Systems Inc. (a)	5,662		194,886
NVIDIA Corp. (a)	16,399		606,927
PMC-Sierra Inc. (a)	9,703		65,107
QLogic Corp. (a)	7,453		163,370
QUALCOMM Inc.	77,006		2,910,057
Sabre Holdings Corp.	6,090		194,210
SanDisk Corp. (a)	10,452		449,749
Sanmina-SCI Corp. (a)	24,632		84,980
Solectron Corp. (a)	41,957		135,101
Symantec Corp. (a)	45,190		942,211
Symbol Technologies Inc.	11,692		174,678
Tektronix Inc.	3,910		114,055
Teradyne Inc. (a)	9,152		136,914
VeriSign Inc. (a)	11,253		270,635
Xilinx Inc.	15,848		377,341

			18,003,119

Telecom & Telecom Equipment (5.43%)
ADC Telecommunications Inc. (a)	5,411		78,622
Alltel Corp.	16,923		1,023,503
AT&T Inc.	180,110		6,438,933
BellSouth Corp.	84,927		4,000,911
CenturyTel Inc.	5,298		231,311
Ciena Corp. (a)	3,843		106,489
Cisco Systems Inc. (a)	283,330		7,743,409


	Shares	Value
Common Stocks (Cont.)
Telecom & Telecom Equipment (Cont.)
Citizens Communications Co.	15,079	$	216,685
Corning Inc. (a)	72,576		1,357,897
Embarq Corp.	6,828		358,880
JDS Uniphase Corp. (a)	9,653		160,819
Motorola Inc.	113,317		2,329,797
Qwest Communications International
Inc. (a)	73,920		618,710
Sprint Nextel Corp.	136,565		2,579,713
Tellabs Inc. (a)	20,769		213,090
Verizon Communications Inc.	135,982		5,063,970

			32,522,739

Textiles & Clothing (0.27%)
Jones Apparel Group Inc.	5,239		175,140
Liz Claiborne Inc.	4,825		209,694
Nike Inc.	8,853		876,713
VF Corp.	4,047		332,178

			1,593,725

Transportation (1.55%)
Burlington Northern Santa Fe Corp.	16,916		1,248,570
CSX Corp.	20,458		704,369
FedEx Corp.	14,241		1,546,857
Norfolk Southern Corp.	17,922		901,297
Union Pacific Corp.	12,480		1,148,410
United Parcel Service Inc. Class B	50,174		3,762,047

			9,311,550

Utilities & Energy (3.75%)
Allegheny Energy Inc. (a)	7,526		345,519
Ameren Corp.	9,531		512,101
American Electric Power Co. Inc.	18,269		777,894
CenterPoint Energy Inc.	14,316		237,359
CMS Energy Corp. (a)	10,200		170,340
CONSOL Energy Inc.	8,458		271,756
Consolidated Edison Inc.	11,819		568,139
Constellation Energy Group Inc.	8,307		572,103
Dominion Resources Inc.	16,407		1,375,563
DTE Energy Co.	8,197		396,817
Duke Energy Corp.	58,350		1,937,804
Dynegy Inc. (a)	17,113		123,898
Edison International	15,009		682,609
Entergy Corp.	9,638		889,780
Exelon Corp.	31,175		1,929,421
FirstEnergy Corp.	15,282		920,129
FPL Group Inc.	18,686		1,016,892
KeySpan Corp.	8,048		331,417
Nicor Inc.	2,047		95,800
NiSource Inc.	12,575		303,057
Peabody Energy Corp.	12,269		495,790
Peoples Energy Corp.	1,779		79,290
PG&E Corp.	16,136		763,717


	Shares or principal amount		Value
Common Stocks (Cont.)
Utilities & Energy (Cont.)
Pinnacle West Capital Corp.		4,578	$	231,830
PPL Corp.		17,519		627,881
Progress Energy Inc.		11,740		576,199
Public Service Enterprise Group Inc.		11,624		771,601
Sempra Energy		12,058		674,886
TECO Energy Inc.		9,621		165,770
The AES Corp. (a)		30,724		677,157
The Southern Co.		34,448		1,269,753
TXU Corp.		21,387		1,159,389
Windstream Corp.		21,786		309,797
Xcel Energy Inc.		18,616		429,285
XTO Energy Corp.		16,962		798,062

				22,488,805

Total Common Stocks
(cost $514,980,024)				593,736,233

Short-term Investments (0.89%)
U.S. Treasury Bills,
4.815%, 03/22/2007 (b)	$	5,409,000		5,351,924

Total Short-term Investments
(cost $5,350,794)				5,351,924

TOTAL INVESTMENTS (99.98%)
(cost $520,330,818)				599,088,157
OTHER ASSETS, NET OF LIABILITIES (0.02%)				125,997

NET ASSETS (100.00%)			$	599,214,154

(a)	Non-income producing security.

(b)	At December 31, 2006, this security has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.


	Shares	Value
Common Stocks (97.13%)
Automotive & Transportation (3.56%)
AAR Corp. (a)	7,637	$	222,924
ABX Air Inc. (a)	12,787		88,614
Accuride Corp. (a)	4,374		49,251
Aftermarket Technology Corp. (a)	4,557		96,973
Airtran Holdings Inc. (a)	19,252		226,018
Alaska Air Group Inc. (a)	8,076		319,002
Amerco Inc. (a)	2,104		183,069
American Axle & Manufacturing Holdings Inc.	10,300		195,597
American Commercial Lines Inc. (a)	6,232		408,258
American Railcar Industries Inc.	2,027		68,999
Arkansas Best Corp.	5,074		182,664
ArvinMeritor Inc.	14,770		269,257
Atlas Air Worldwide Holdings Inc. (a)	3,865		171,992
Bandag Inc.	2,333		117,653
Bristow Group Inc. (a)	4,691		169,298
Celadon Group Inc. (a)	4,880		81,740
Commercial Vehicle Group Inc. (a)	4,307		93,893
Cooper Tire & Rubber Co.	13,280		189,904
Dynamex Inc. (a)	2,260		52,794
EGL Inc. (a)	7,674		228,532
ExpressJet Holdings Inc. (a)	11,515		93,272
Fleetwood Enterprises Inc. (a)	12,543		99,215
Florida East Coast Industries Inc.	7,466		444,974
Forward Air Corp.	7,578		219,232
Freightcar America Inc.	2,754		152,709
Frontier Airlines Holdings Inc. (a)	7,888		58,371
Fuel Systems Solutions Inc. (a)	1,853		40,914
Genesee & Wyoming Inc. (a)	7,543		197,928
Greenbrier Companies Inc.	2,688		80,640
GulfMark Offshore Inc. (a)	3,037		113,614
Heartland Express Inc.	13,417		201,523
Horizon Lines Inc.	2,525		68,074
Hub Group Inc. (a)	8,394		231,255
Interpool Inc.	2,495		58,283
Jetblue Airways Corp. (a)	35,635		506,017
Keystone Automotive Industries Inc. (a)	3,388		115,158
Knight Transportation Inc.	12,657		215,802
Lear Corp.	13,703		404,650
Marine Products Corp.	3,600		42,264
Marten Transport Ltd. (a)	3,359		61,570
Mesa Air Group Inc. (a)	6,593		56,502
Miller Industries Inc. (a)	2,313		55,512
Modine Manufacturing Co.	6,653		166,525
Monaco Coach Corp.	6,305		89,279
Navistar International Corp. (a)	13,375		447,126
Noble International Ltd.	1,914		38,376
Old Dominion Freight Line Inc. (a)	5,608		134,985
P.A.M. Transportation Services Inc. (a)	745		16,405
Pacer International Inc.	7,330		218,214
Patriot Transportation Holding Inc. (a)	173		16,151
PHI Inc. (a)	2,624		85,884
Polaris Industries Inc.	8,455		395,948


	Shares	Value
Common Stocks (Cont.)
Automotive & Transportation (Cont.)
Quality Distribution Inc. (a)	1,071	$	14,266
Quantum Fuel Systems Technologies
Worldwide Inc. (a)	7,025		11,240
RailAmerica Inc. (a)	7,981		128,334
Republic Airways Holdings Inc. (a)	7,099		119,121
Saia Inc. (a)	3,237		75,131
SkyWest Inc.	13,379		341,298
Superior Industries International Inc.	4,674		90,068
Tenneco Inc. (a)	9,740		240,773
Universal Truckload Services Inc. (a)	1,364		32,395
US Xpress Enterprises Inc. Class A (a)	1,521		25,051
USA Truck Inc. (a)	2,083		33,432
Visteon Corp. (a)	28,727		243,605
Wabash National Corp.	6,741		101,789
Werner Enterprises Inc.	10,641		186,005
Winnebago Industries Inc.	6,462		212,664

			10,397,976

Consumer Discretionary (19.58%)
1-800-FLOWERS.COM Inc. (a)	4,082		25,145
24/7 Real Media Inc. (a)	11,223		101,568
99 Cents Only Stores (a)	9,649		117,428
Aaron Rents Inc.	9,250		266,215
ABM Industries Inc.	8,679		197,100
AC Moore Arts & Crafts Inc. (a)	3,021		65,465
Administaff Inc.	4,731		202,345
Advisory Board Co. (a)	4,262		228,187
Advo Inc.	6,670		217,442
Aeropostale Inc. (a)	11,333		349,850
AFC Enterprises (a)	5,387		95,188
Ambassadors Group Inc.	3,754		113,934
Ambassadors International Inc.	1,052		47,992
America’s Car-Mart Inc. (a)	1,696		20,115
American Greetings Corp.	10,801		257,820
American Woodmark Corp.	2,358		98,682
Ameristar Casinos Inc.	4,974		152,901
AMN Healthcare Services Inc. (a)	6,577		181,131
Applebee’s International Inc.	16,494		406,907
aQuantive Inc. (a)	15,678		386,620
Arbitron Inc.	6,618		287,486
Arctic Cat Inc.	3,670		64,555
Asbury Automotive Group Inc.	3,119		73,484
Aztar Corp. (a)	7,509		408,640
Bally Technologies Inc. (a)	11,268		210,486
Bally Total Fitness Holding Corp. (a)	5,895		14,443
Banta Corp.	5,071		184,584
Barrett Business Services Inc.	1,117		26,160
bebe stores inc.	4,576		90,559
Belo Corp.	18,287		336,115
Big 5 Sporting Goods Corp.	4,749		115,971
Big Lots Inc. (a)	24,290		556,727
BJ’s Restaurant Inc. (a)	2,861		57,821


	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Blockbuster Inc. (a)	39,781	$	210,442
Blue Nile Inc. (a)	2,926		107,940
Blyth Inc.	5,123		106,302
Bob Evans Farms Inc.	8,007		274,000
Bon-Ton Stores Inc.	1,319		45,703
Books-A-Million Inc.	3,389		76,863
Borders Group Inc.	13,011		290,796
Bowne & Co. Inc.	8,388		133,705
Bright Horizons Family Solutions Inc. (a)	5,986		231,419
Brightpoint Inc. (a)	11,682		157,123
Brown Shoe Co. Inc.	5,800		276,892
Buckle Inc.	1,875		95,344
Buffalo Wild Wings Inc. (a)	1,490		79,268
Build-A-Bear Workshop Inc. (a)	3,308		92,690
Cabela’s Inc. (a)	6,580		158,775
Cache Inc. (a)	1,987		50,152
California Pizza Kitchen Inc. (a)	4,158		138,503
Callaway Golf Co.	14,933		215,185
Carmike Cinemas Inc.	2,268		46,245
Carter’s Inc. (a)	9,805		250,028
Casella Waste Systems Inc. (a)	4,100		50,143
Casual Male Retail Group Inc. (a)	6,376		83,207
Catalina Marketing Corp.	10,842		298,155
Cato Corp. Class A	6,313		144,631
CBIZ Inc. (a)	13,252		92,366
CBRL Group Inc.	3,181		142,382
CDI Corp.	2,940		73,206
CEC Entertainment Inc. (a)	7,241		291,450
Central European Distribution Corp. (a)	6,569		195,099
Central Garden & Pet Co. (a)	4,409		213,484
Central Parking Corp.	5,770		103,860
Century Casinos Inc. (a)	3,826		42,698
Cenveo Inc. (a)	10,882		230,698
Charlotte Russe Holding Inc. (a)	3,391		104,273
Charming Shoppes Inc. (a)	25,532		345,448
Charter Communications Inc. (a)	75,191		230,084
Chattem Inc. (a)	3,845		192,558
Chemed Corp.	5,367		198,472
Cherokee Inc.	1,566		67,197
Children’s Place Retail Stores Inc. (a)	4,607		292,637
Chipolte Mexican Grill Inc. Class B (a)	3,111		161,772
Christopher & Banks Corp.	8,159		152,247
Churchill Downs Inc.	1,791		76,547
Citadel Broadcasting Corp.	6,903		68,754
Citi Trends Inc. (a)	1,054		41,781
CKE Restaurants Inc.	14,549		267,702
CKX Inc. (a)	11,784		138,226
Clark Inc.	4,368		72,640
CMGI Inc. (a)	87,372		117,078
CNET Networks Inc. (a)	30,591		278,072
Cogent Inc. (a)	8,911		98,110
Coinmach Service Corp.	4,729		56,275


	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Coinstar Inc. (a)	5,579	$	170,550
Columbia Sportswear Co.	2,850		158,745
Compass Diversified Trust	2,551		43,750
Conn’s Inc. (a)	2,019		46,982
Consolidated Graphics Inc. (a)	2,663		157,303
Core-Mark Holding Co. Inc. (a)	2,148		71,851
Corinthian Colleges Inc. (a)	17,401		237,176
Cornell Co. Inc. (a)	2,663		48,600
Cosi Inc. (a)	6,970		35,477
Cost Plus Inc. (a)	4,871		50,171
CoStar Group Inc. (a)	3,782		202,564
Courier Corp.	1,897		73,926
Covad Communications Group Inc. (a)	54,586		75,329
Cox Radio Inc. (a)	8,697		141,761
CRA International Inc. (a)	2,301		120,572
Crocs Inc. (a)	2,401		103,723
Cross Country Healthcare Inc. (a)	5,825		127,102
Crown Media Holdings Inc. (a)	5,600		20,328
CSK Auto Corp. (a)	9,855		169,013
CSS Industries Inc.	1,471		52,029
Cumulus Media Inc. (a)	11,129		115,630
Deb Shops Inc.	1,160		30,624
Deckers Outdoor Corp. (a)	2,473		148,256
dELiA*s Inc. (a)	4,058		42,568
Denny’s Corp. (a)	25,949		122,220
DeVry Inc.	12,315		344,820
Diamond Management & Technology
Consultants Inc.	5,535		68,855
Directed Electronics Inc. (a)	1,606		18,389
Dollar Thrifty Automotive Group Inc. (a)	5,304		241,915
Domino’s Pizza Inc.	8,024		224,672
Dover Downs Gaming & Entertainment Inc.	3,524		47,116
Dover Motorsports Inc.	3,660		19,435
Dress Barn Inc. (a)	10,218		238,386
drugstore.com inc. (a)	14,097		51,595
DSW Inc. (a)	3,258		125,661
DTS Inc. (a)	4,082		98,744
DynCorp International Inc. (a)	5,757		91,364
Earthlink Inc. (a)	27,623		196,123
Educate Inc. (a)	2,378		16,931
Elizabeth Arden Inc. (a)	5,056		96,317
Emmis Communications Corp.	8,342		68,738
Ennis Inc.	5,527		135,190
Entercom Communications Corp.	7,088		199,740
Entravision Communications Corp. (a)	12,260		100,777
Ethan Allen Interiors Inc.	6,829		246,595
Exponent Inc. (a)	2,718		50,718
EZCORP Inc. (a)	7,935		128,944
First Advantage Corp. Class A (a)	1,494		34,302
First Consulting Group Inc. (a)	3,183		43,798
Fisher Communications Inc. (a)	1,361		60,170
Forrester Research Inc. (a)	3,838		104,048


	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Fossil Inc. (a)	8,929	$	201,617
Fred’s Inc.	8,903		107,192
FTD Group Inc. (a)	3,199		57,230
FTI Consulting Inc. (a)	9,153		255,277
Furniture Brands International Inc.	10,124		164,313
G&K Services Inc. Class A	4,109		159,799
Gaiam Inc. (a)	2,834		38,769
GateHouse Media Inc.	500		9,280
Gaylord Entertainment Co. (a)	8,759		446,096
Gemstar-TV Guide International Inc. (a)	49,783		199,630
Genesco Inc. (a)	4,771		177,958
Geo Group Inc. (a)	3,891		145,990
Gevity HR Inc.	5,450		129,111
Gray Television Inc.	9,926		72,758
Great Wolf Resorts Inc. (a)	6,249		87,236
Group 1 Automotive Inc.	5,092		263,358
GSI Commerce Inc. (a)	8,180		153,375
Guess ? Inc. (a)	4,222		267,801
Guitar Center Inc. (a)	6,433		292,444
Gymboree Corp. (a)	7,043		268,761
Harris Interactive Inc. (a)	9,415		47,452
Hartmarx Corp. (a)	7,061		49,851
Haverty Furniture Companies Inc.	4,011		59,363
Heidrick & Struggles International Inc. (a)	4,556		192,992
Hibbett Sporting Goods Inc. (a)	7,470		228,059
Home Solutions of America Inc. (a)	8,899		52,148
Hooker Furniture Corp.	3,283		51,477
Hot Topic Inc. (a)	9,783		130,505
Hudson Highland Group Inc. (a)	4,990		83,233
Iconix Brand Group Inc. (a)	6,619		128,342
ICT Group Inc. (a)	1,112		35,128
IHOP Corp.	4,312		227,242
Ikanos Communications (a)	4,604		40,009
IKON Office Solutions Inc.	21,831		357,373
Infospace Inc. (a)	6,787		139,201
InfoUSA Inc.	6,127		72,973
Insight Enterprises Inc. (a)	10,607		200,154
Inter Parfums Inc.	958		18,384
Internap Network Services Corp. (a)	6,289		124,962
inVentiv Health Inc. (a)	5,963		210,792
iPass Inc. (a)	14,482		85,154
Isle of Capri Casinos Inc. (a)	3,984		105,895
J Crew Group Inc. (a)	4,586		176,790
Jack in the Box Inc. (a)	7,402		451,818
Jackson Hewitt Tax Service Inc.	8,248		280,185
Jakks Pacific Inc. (a)	5,548		121,168
Jo-Ann Stores Inc. (a)	4,446		109,372
John H Harland Co.	5,461		274,142
Jos. A. Bank Clothiers Inc. (a)	3,634		106,658
Journal Communications Inc. Class A	8,723		109,997
Journal Register Co.	9,571		69,868
K-Swiss Inc. Class A	5,677		174,511


	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
K2 Inc. (a)	9,036	$	119,185
Kellwood Co.	6,037		196,323
Kelly Services Inc. Class A	3,924		113,561
Kenexa Corp. (a)	2,978		99,048
Kenneth Cole Productions Inc.	2,255		54,097
Kforce Inc. (a)	6,303		76,708
Kimball International Inc. Class B	7,187		174,644
Korn/Ferry International (a)	8,943		205,331
Krispy Kreme Doughnuts Inc. (a)	12,179		135,187
La-Z-Boy Inc.	11,437		135,757
Labor Ready Inc. (a)	11,525		211,253
Lakes Entertainment Inc. (a)	3,985		42,998
Lancaster Colony Corp.	5,051		223,810
Landry’s Restaurants Inc.	3,494		105,134
Lawson Products Inc.	834		38,272
Leapfrog Enterprises Inc. (a)	7,131		67,602
LECG Corp. (a)	5,269		97,371
Lee Enterprises Inc. Class A	9,358		290,660
Life Time Fitness Inc. (a)	6,212		301,344
Lifetime Brands Inc.	2,013		33,074
Lin TV Corp. (a)	6,690		66,566
Lincoln Educational Services (a)	1,342		18,104
Liquidity Services Inc. (a)	1,286		22,132
Lithia Motors Inc. Class A	3,598		103,478
Live Nation Inc. (a)	13,012		291,469
LKQ Corp. (a)	8,944		205,623
LodgeNet Entertainment Corp. (a)	3,076		76,992
Lodgian Inc. (a)	5,278		71,781
LoJack Corp. (a)	4,364		74,537
Luby’s Inc. (a)	3,857		42,003
Magna Entertainment Corp. (a)	9,510		42,890
Maidenform Brands Inc. (a)	3,670		66,500
Mannatech Inc.	3,189		46,974
Marchex Inc. Class B (a)	4,237		56,691
Marcus Corp.	4,820		123,296
MarineMax Inc. (a)	3,499		90,729
Martha Stewart Living Omnimedia Inc.	5,601		122,662
Marvel Entertainment Inc. (a)	9,659		259,924
Matthews International Corp.	6,924		272,459
MAXIMUS Inc.	4,123		126,906
McCormick & Schmick’s Seafood
Restaurants Inc. (a)	2,356		56,638
Media General Inc.	4,463		165,890
Mediacom Communications Corp.
Class A (a)	13,610		109,424
Midas Inc. (a)	4,172		95,956
Midway Games Inc. (a)	7,861		54,870
Monarch Casino & Resort Inc. (a)	1,854		44,274
Monro Muffler Brake Inc.	2,557		89,751
Morgans Hotel Group (a)	3,681		62,319
Morton’s Restaurant Group Inc. (a)	2,755		45,871
Movado Group Inc.	4,600		133,400
MPS Group Inc. (a)	23,326		330,763


	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
MTR Gaming Group Inc. (a)	4,420	$	54,012
Multimedia Games Inc. (a)	4,908		47,117
MWI Veterinary Supply Inc. (a)	934		30,168
National Presto Industries Inc.	1,399		83,758
Nautilus Inc.	6,852		95,928
Navigant Consulting Inc. (a)	10,787		213,151
Net 1 UEPS Technologies Inc. (a)	10,000		295,600
Netflix Inc. (a)	9,198		237,860
Netratings Inc. (a)	2,858		50,044
New York & Co. Inc. (a)	4,860		63,569
NIC Inc. (a)	6,215		30,889
Nu Skin Enterprises Inc.	11,710		213,473
O’Charley’s Inc. (a)	5,111		108,762
Oakley Inc.	6,009		120,541
On Assignment Inc. (a)	4,408		51,794
Outdoor Channel Holdings Inc. (a)	2,708		34,744
Overstock.com Inc. (a)	2,553		40,337
Oxford Industries Inc.	3,029		150,390
Pacific Sunwear of California Inc. (a)	15,091		295,482
Pantry Inc. (a)	4,605		215,698
Papa John’s International Inc. (a)	5,214		151,258
ParkerVision Inc. (a)	3,327		37,096
Parlux Fragrances Inc. (a)	2,418		13,468
Payless Shoesource Inc. (a)	13,985		458,988
PeopleSupport Inc. (a)	3,332		70,139
PEP Boys-Manny Moe & Jack	11,861		176,254
Perficient Inc. (a)	3,075		50,461
Perry Ellis International Inc. (a)	1,408		57,728
PetMed Express Inc. (a)	3,497		46,685
PF Chang’s China Bistro Inc. (a)	6,183		237,304
PHH Corp. (a)	11,415		329,551
Phillips-Van Heusen Corp.	11,446		574,246
Pier 1 Imports Inc.	18,372		109,313
Pinnacle Entertainment Inc. (a)	9,813		325,203
Playboy Enterprises Inc. (a)	4,731		54,217
Playtex Products Inc. (a)	11,414		164,247
Pre-Paid Legal Services Inc. (a)	2,426		94,929
Prestige Brands Holdings Inc. (a)	7,260		94,525
Priceline.com Inc. (a)	5,410		235,930
PriceSmart Inc. (a)	863		15,456
Primedia Inc. (a)	36,110		61,026
Private Media Group Inc. (a)	5,369		21,637
Progressive Gaming International Corp. (a)	8,300		75,281
ProQuest Co. (a)	5,371		56,127
Quiksilver Inc. (a)	24,704		389,088
Radio One Inc. Class D (a)	15,513		104,558
Rare Hospitality International Inc. (a)	7,548		248,556
RC2 Corp. (a)	4,257		187,308
Reader’s Digest Association Inc.	20,592		343,886
Red Robin Gourmet Burgers Inc. (a)	3,548		127,196
Regis Corp.	9,820		388,283
Renaissance Learning Inc.	2,288		40,566


	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
Rent-A-Center Inc. (a)	14,134	$	417,094
Resources Connection Inc. (a)	10,294		327,761
Restoration Hardware Inc. (a)	5,593		47,596
Retail Ventures Inc. (a)	4,470		85,109
Revlon Inc. (a)	29,760		38,093
Revlon Inc. Rights (a)	29,760		1,488
Riviera Holdings Corp. (a)	1,916		46,291
Rollins Inc.	6,979		154,306
Ruby Tuesday Inc.	12,694		348,323
Rush Enterprises Inc. Class A (a)	4,241		71,758
Russ Berrie & Co. Inc. (a)	2,502		38,656
Ruth’s Chris Steak House (a)	4,036		73,778
Salem Communications Corp.	2,749		32,851
Schawk Inc.	3,691		72,122
Scholastic Corp. (a)	7,252		259,912
School Specialty Inc. (a)	4,835		181,264
Sealy Corp.	4,201		61,965
Select Comfort Corp. (a)	12,297		213,845
Shoe Carnival Inc. (a)	2,178		68,825
Shuffle Master Inc. (a)	7,748		202,998
Sinclair Broadcast Group Inc.	8,907		93,524
SIRVA Inc. (a)	10,628		36,985
Sitel Corp. (a)	9,533		40,229
Six Flags Inc. (a)	21,290		111,560
Skechers U.S.A. Inc. (a)	4,990		166,217
Sohu.com Inc. (a)	5,148		123,552
Sonic Automotive Inc.	6,306		183,126
Sonic Corp. (a)	18,298		438,237
Sotheby’s	13,053		404,904
Source Interlink Co. Inc. (a)	7,606		62,065
Spanish Broadcasting System Inc. (a)	7,500		30,825
Spectrum Brands Inc. (a)	7,378		80,420
Speedway Motorsports Inc.	2,732		104,909
Spherion Corp. (a)	13,991		103,953
Stage Stores Inc.	5,907		179,514
Stamps.com Inc. (a)	4,132		65,079
Standard Parking Corp. (a)	761		29,230
Standard Register Co.	4,163		49,956
Stanley Furniture Co. Inc.	2,360		50,622
Star Maritime Acquisition Corp. (a)	2,559		25,104
Startek Inc.	2,775		37,574
Stein Mart Inc.	5,275		69,947
Steinway Musical Instruments Inc. (a)	1,659		51,412
Steven Madden Ltd.	4,246		148,992
Stewart Enterprises Inc.	23,831		148,944
Strayer Education Inc.	3,064		324,937
Stride Rite Corp.	8,174		123,264
Sun-Times Media Group Inc.	15,457		75,894
Syms Corp. (a)	462		9,198
Synagro Technologies Inc.	12,041		53,221
Systemax Inc. (a)	2,362		41,217
Take-Two Interactive Software Inc. (a)	14,623		259,704
Talbots Inc.	4,332		104,401


	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
TeleTech Holdings Inc. (a)	8,630	$	206,084
Tempur-Pedic International Inc. (a)	9,891		202,370
Texas Roadhouse Inc. Class A (a)	11,250		149,175
The Finish Line Inc. Class A	8,734		124,722
The Knot Inc. (a)	3,699		97,062
The Men’s Wearhouse Inc.	10,286		393,542
The Providence Service Corp. (a)	2,249		56,517
The Steak n Shake Co. (a)	5,678		99,933
The Yankee Candle Co. Inc.	9,391		321,924
THQ Inc. (a)	12,991		422,467
Timberland Co. (a)	10,014		316,242
TiVo Inc. (a)	17,318		88,668
Topps Co. Inc.	7,818		69,580
Town Sports International Holdings Inc. (a)	1,833		30,208
Travelzoo Inc. (a)	667		19,977
Triarc Companies Inc. Class B	12,860		257,200
True Religion Apparel Inc. (a)	2,337		35,779
Trump Entertainment Resorts Inc. (a)	5,921		107,999
Tuesday Morning Corp.	7,095		110,327
Tupperware Brands Corp.	13,717		310,141
Tween Brands Inc. (a)	7,200		287,496
Under Armour Inc. Class A (a)	4,235		213,656
Unifirst Corp.	2,415		92,760
United Online Inc.	13,650		181,272
United Stationers Inc. (a)	6,583		307,360
Universal Electronics Inc. (a)	2,900		60,958
Universal Technical Institute Inc. (a)	4,584		101,811
USANA Health Sciences Inc. (a)	2,409		124,449
Vail Resorts Inc. (a)	6,366		285,324
Valassis Communications Inc. (a)	9,964		144,478
Value Line Inc.	444		20,180
ValueClick Inc. (a)	20,970		495,521
ValueVision Media Inc. Class A (a)	5,214		68,512
Vertrue Inc. (a)	2,069		79,470
Viad Corp.	4,497		182,578
Volcom Inc. (a)	2,802		82,855
Volt Information Sciences Inc. (a)	2,248		112,872
Warnaco Group Inc. (a)	9,760		247,709
Waste Connections Inc. (a)	9,157		380,473
Waste Industries USA Inc.	1,344		41,019
Waste Services Inc. (a)	11,808		116,309
Watson Wyatt Worldwide Inc.	8,995		406,124
WD-40 Co.	3,862		134,668
WebSideStory Inc. (a)	3,007		38,069
West Marine Inc. (a)	3,131		54,072
Westwood One Inc.	14,738		104,050
Wet Seal Inc. (a)	15,511		103,458
Weyco Group Inc.	704		17,494
Wireless Facilities Inc. (a)	11,848		33,767
WMS Industries Inc. (a)	5,507		191,974
Wolverine World Wide Inc.	12,115		345,520
World Fuel Services Corp.	6,173		274,452


	Shares	Value
Common Stocks (Cont.)
Consumer Discretionary (Cont.)
World Wrestling Entertainment Inc.	4,787	$	78,028
Zale Corp. (a)	10,302		290,619
Zumiez Inc. (a)	3,066		90,570

			57,199,132
Consumer Staples (1.94%)
Alliance One International Inc. (a)	18,054		127,461
Arden Group Inc. Class A	163		20,181
Boston Beer Co. Inc. (a)	2,003		72,068
Casey’s General Stores Inc.	11,095		261,287
Chiquita Brands International Inc.	8,830		141,015
Coca-Cola Bottling Co. Consolidated	657		44,959
Diamond Foods Inc.	3,840		72,999
Farmer Brothers Co.	2,000		42,700
Flowers Foods Inc.	10,473		282,666
Green Mountain Coffee Roasters Inc. (a)	840		41,353
Hain Celestial Group Inc. (a)	6,043		188,602
Imperial Sugar Co.	2,143		51,882
Ingles Markets Inc.	2,553		76,054
J&J Snack Foods Corp.	2,580		106,812
Jones Soda Co. (a)	4,600		56,580
Lance Inc.	6,161		123,713
Longs Drug Stores Corp.	6,377		270,257
M & F Worldwide Corp. (a)	2,173		54,890
Maui Land & Pineapple Co. Inc. (a)	639		21,675
Medifast Inc. (a)	2,221		27,940
Nash Finch Co.	2,910		79,443
National Beverage Corp.	1,832		25,703
Pathmark Stores Inc. (a)	11,125		124,044
Peet’s Coffee & Tea Inc. (a)	2,997		78,641
Performance Food Group Co. (a)	9,236		255,283
Pilgrim’s Pride Corp.	8,304		244,387
Premium Standard Farms Inc.	1,876		34,837
Ralcorp Holdings Inc. (a)	6,082		309,513
Reddy Ice Holdings Inc.	3,432		88,614
Ruddick Corp.	8,461		234,793
Sanderson Farms Inc.	3,496		105,894
Seaboard Corp.	73		128,845
Sensient Technology Corp.	10,133		249,272
Smart & Final Inc. (a)	3,327		62,880
Spartan Stores Inc.	3,740		78,278
The Great Atlantic & Pacific Tea Co. Inc.	4,050		104,247
Tiens Biotech Group USA Inc. (a)	361		1,419
Tootsie Roll Industries Inc.	7,120		232,824
TreeHouse Foods Inc. (a)	6,296		196,435
United Natural Foods Inc. (a)	8,850		317,892
Universal Corp.	5,153		252,549
Vector Group Ltd.	8,595		152,561
Village Super Market Inc.	182		15,559
Weis Markets Inc.	2,964		118,886


	Shares	Value
Common Stocks (Cont.)
Consumer Staples (Cont.)
Wild Oats Markets Inc. (a)	6,559		$ 94,319
			5,672,212
Durable Products (7.22%)
ACCO Brands Corp. (a)	9,191		243,286
Actuant Corp. Class A	6,008		286,281
Advanced Energy Industries Inc. (a)	7,170		135,298
Albany International Corp. Class A	5,940		195,485
American Ecology Corp.	2,924		54,123
American Superconductor Corp. (a)	6,503		63,794
Andrew Corp. (a)	32,458		332,045
AO Smith Corp.	3,921		147,273
Applied Industrial Technologies Inc.	9,601		252,602
ARGON ST Inc. (a)	2,672		57,555
Arris Group Inc. (a)	21,954		274,645
Astec Industries Inc. (a)	3,167		111,162
ASV Inc. (a)	4,218		68,627
Asyst Technologies Inc. (a)	11,241		82,172
ATMI Inc. (a)	7,809		238,409
Audiovox Corp. (a)	4,114		57,966
Axcelis Technologies Inc. (a)	22,063		128,627
Badger Meter Inc.	2,827		78,308
Baldor Electric Co.	6,930		231,601
Basin Water Inc. (a)	574		3,886
BE Aerospace Inc. (a)	15,761		404,743
Belden CDT Inc.	9,814		383,629
Blount International Inc. (a)	7,322		98,554
Brady Corp.	9,037		336,899
Briggs & Stratton Corp.	10,425		280,954
Brooks Automation Inc. (a)	17,239		248,242
Bucyrus International Inc. Class A	6,577		340,426
C-COR Inc. (a)	10,381		115,644
CalAmp Corp. (a)	3,819		32,232
Capstone Turbine Corp. (a)	17,462		21,478
Cascade Corp.	2,454		129,817
Cavco Industries Inc. (a)	948		33,218
Champion Enterprises Inc. (a)	15,801		147,897
Chart Industries Inc. (a)	2,610		42,308
Cognex Corp.	9,321		222,026
Cohu Inc.	5,526		111,404
Color Kinetics Inc. (a)	2,499		53,354
Columbus McKinnon Corp. (a)	3,624		76,176
CompX International Inc.	800		16,128
Credence Systems Corp. (a)	18,526		96,335
CTS Corp.	8,673		136,166
Curtiss-Wright Corp.	8,850		328,158
Cymer Inc. (a)	7,994		351,336
Darling International Inc. (a)	15,599		85,951
Dionex Corp. (a)	4,189		237,558
DXP Enterprises Inc. (a)	175		6,132
Electro Scientific Industries Inc. (a)	6,747		135,885
Emcore Corp. (a)	9,231		51,047


	Shares	Value
Common Stocks (Cont.)
Durable Products (Cont.)
EnPro Industries Inc. (a)	4,856	$	161,268
Entegris Inc. (a)	28,275		305,936
ESCO Technologies Inc. (a)	5,246		238,378
Esterline Technologies Corp. (a)	5,226		210,242
Federal Signal Corp.	10,679		171,291
FEI Co. (a)	5,355		141,211
Flanders Corp. (a)	1,978		19,582
Franklin Electric Co. Inc.	4,362		224,163
Gehl Co. (a)	2,033		55,969
GenCorp Inc. (a)	11,119		155,888
General Cable Corp. (a)	10,285		449,557
GenTek Inc. (a)	1,907		65,963
Global Imaging Systems Inc. (a)	10,408		228,456
Heico Corp.	4,283		166,309
Herman Miller Inc.	13,692		497,841
Houston Wire & Cable Co. (a)	1,608		33,607
Hovnanian Enterprises Inc. (a)	10,154		344,221
InterDigital Communications Corp. (a)	11,667		391,428
Interface Inc. (a)	9,451		134,393
Intevac Inc. (a)	3,972		103,073
Itron Inc. (a)	5,284		273,923
K&F Industries Holdings Inc. (a)	3,925		89,137
Kadant Inc. (a)	3,068		74,798
Kaman Corp.	4,732		105,949
Knoll Inc.	6,140		135,080
Kulicke & Soffa Industries Inc. (a)	11,745		98,658
Levitt Corp Class A	3,711		45,423
Lindsay Corp.	3,428		111,924
Littelfuse Inc. (a)	4,897		156,116
LTX Corp. (a)	13,895		77,812
M/I Homes Inc.	2,631		100,478
MasTec Inc. (a)	8,064		93,059
Mattson Technology Inc. (a)	10,971		102,250
Measurement Specialties Inc. (a)	2,636		57,043
Meritage Homes Corp. (a)	4,591		219,083
Middleby Corp. (a)	1,356		141,933
Mine Safety Appliances Co.	6,144		225,178
MKS Instruments Inc. (a)	7,339		165,715
Mobile Mini Inc. (a)	7,292		196,446
Moog Inc. (a)	7,783		297,233
MTC Technologies Inc. (a)	1,923		45,287
NACCO Industries Inc.	1,150		157,090
Nordson Corp.	6,023		300,126
Orbital Sciences Corp. (a)	12,034		221,907
Orleans Homebuilders Inc.	448		8,422
OYO Geospace Corp. (a)	696		40,431
Palm Harbor Homes Inc. (a)	3,557		49,869
Paxar Corp. (a)	8,571		197,647
Photon Dynamics Inc. (a)	4,018		46,970
Photronics Inc. (a)	7,762		126,831
Plantronics Inc.	9,312		197,414
Powell Industries Inc. (a)	1,390		43,882
Power-One Inc. (a)	14,905		108,508


	Shares	Value
Common Stocks (Cont.)
Durable Products (Cont.)
Powerwave Technologies Inc. (a)	24,055	$	155,155
Presstek Inc. (a)	6,899		43,878
Radyne Corp. (a)	2,903		31,178
RAE Systems Inc. (a)	6,795		21,744
Raser Technologies Inc. (a)	3,119		19,088
Regal-Beloit Corp.	6,131		321,939
Robbins & Myers Inc.	3,398		156,036
Rofin-Sinar Technologies Inc. (a)	3,409		206,108
Rudolph Technologies Inc. (a)	6,160		98,067
Sauer-Danfoss Inc.	2,992		96,492
Semitool Inc. (a)	3,500		46,585
Sequa Corp. (a)	1,427		164,191
Skyline Corp.	1,829		73,562
Smith & Wesson Holding Corp. (a)	6,836		70,684
Sonic Solutions (a)	4,946		80,620
Standex International Corp.	2,910		87,678
Symmetricom Inc. (a)	9,478		84,544
TAL International Group Inc.	3,230		86,209
Taser International Inc. (a)	13,059		99,379
Team Inc. (a)	1,070		37,268
Technical Olympic USA Inc.	3,909		39,755
Technitrol Inc.	9,172		219,119
Tecumseh Products Co. (a)	3,622		61,212
Teledyne Technologies Inc. (a)	7,209		289,297
Tennant Co.	4,292		124,468
The Gormann-Rupp Co.	2,483		91,797
Titan International Inc.	3,577		72,077
TransDigm Group Inc. (a)	2,067		54,796
Triumph Group Inc.	3,668		192,313
TurboChef Technologies Inc. (a)	2,646		45,035
Ultratech Inc. (a)	4,871		60,790
United Industrial Corp.	2,458		124,744
Varian Semiconductor Equipment Associates Inc. (a)	12,247		557,483
Veeco Instruments Inc. (a)	6,137		114,946
Vicor Corp.	4,537		50,406
Wabtec Corp.	9,713		295,081
Watts Water Technologies Inc.	5,341		219,569
WCI Communities Inc. (a)	7,273		139,496
Woodward Governor Co.	6,285		249,577
X-Rite Inc.	5,284		64,993
Zygo Corp. (a)	4,163		68,481
			21,093,080
Financial Services (22.55%)
1st Source Corp.	4,173		134,079
21st Century Insurance Group	6,158		108,689
Acadia Realty Trust	5,906		147,768
Accredited Home Lenders Holding Co. (a)	4,967		135,500
Advance America Cash Advance Centers Inc.	13,658		200,090


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
Advanta Corp.	4,700	$	205,061
Advent Software Inc. (a)	5,332		188,166
Affirmative Insurance Holding Inc.	911		14,822
Agree Realty Corp.	1,738		59,735
Alabama National Bancorporation	2,877		197,736
Alexander’s Inc. (a)	600		251,790
Alexandria Real Estate Equities Inc.	5,526		554,810
Alfa Corp.	10,104		190,056
Amcore Financial Inc.	5,293		172,922
American Campus Communities Inc.	4,095		116,585
American Equity Investment Life Holdings Co.	11,347		147,851
American Financial Realty Trust	26,437		302,439
American Home Mortgage Investment Corp.	9,396		329,988
American Physicians Capital Inc. (a)	3,783		151,471
AmericanWest Bancorp	2,034		49,263
Ameris Bancorp	2,760		77,777
Anchor Bancorp Wisconsin Inc.	4,474		128,941
Anthracite Capital Inc.	11,331		144,244
Anworth Mortgage Asset Corp.	8,846		84,125
Apollo Investment Corp.	16,542		370,541
Arbor Realty Trust Inc.	2,445		73,570
Ares Capital Corp.	9,742		186,170
Argonaut Group Inc. (a)	6,169		215,051
Arrow Financial Corp.	2,531		62,693
Ashford Hospitality Trust Inc.	11,987		149,238
Asset Acceptance Capital Corp. (a)	3,791		63,765
Asta Funding Inc.	2,534		77,135
Avatar Holdings Inc. (a)	1,175		94,999
Baldwin & Lyons Inc.	2,266		57,874
BancFirst Corp.	1,654		89,316
BancTrust Financial Group Inc.	3,517		89,754
Bank Mutual Corp.	16,887		204,502
Bank of Granite Corp.	3,657		69,373
Bank of the Ozarks Inc.	2,305		76,203
BankAtlantic Bancorp Inc.	9,926		137,078
BankFinancial Corp.	4,257		75,817
Bankrate Inc. (a)	1,869		70,929
BankUnited Financial Corp.	6,189		173,044
Banner Corp.	2,260		100,208
Berkshire Hills Bancorp Inc.	2,118		70,868
BFC Financial Corp. (a)	3,447		22,026
BioMed Realty Trust Inc.	13,086		374,260
Boston Private Financial Holdings Inc.	7,087		199,924
Bristol West Holdings Inc.	3,812		60,344
Brookline Bancorp Inc.	13,097		172,488
Cadence Financial Corp.	2,127		46,092
Calamos Asset Management Inc. Class A	5,009		134,391
Camden National Corp.	2,196		101,280
Capital City Bank Group Inc.	2,640		93,192
Capital Corp. of the West	1,411		45,279


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
Capital Lease Funding Inc.	6,611	$	76,688
Capital Southwest Corp.	519		65,519
Capital Trust Inc.	2,780		138,833
Capitol Bancorp Ltd.	2,504		115,685
Cardinal Financial Corp.	4,141		42,445
Cascade Bancorp	5,971		185,280
Cash America International Inc.	6,725		315,402
Cass Information Systems Inc.	832		30,102
Cathay General Bancorp	10,283		354,866
Cedar Shopping Centers Inc.	6,690		106,438
Centennial Bank Holdings Inc. (a)	11,968		113,217
Center Financial Corp.	2,454		58,822
Centerstate Banks of Florida Inc.	1,024		21,402
CentraCore Properties Trust	3,238		104,685
Central Pacific Financial Corp.	6,519		252,676
Charter Financial Corp.	800		41,216
CharterMac	10,590		227,367
Chemical Financial Corp.	5,577		185,714
Chittenden Corp.	9,351		286,982
Citizens Banking Corp.	8,906		236,009
Citizens First Bancorp Inc.	1,632		50,168
City Bank	3,895		139,441
City Holding Co.	3,800		155,382
Clayton Holdings Inc. (a)	1,203		22,508
Clifton Savings Bancorp Inc.	389		4,742
CNA Surety Corp. (a)	3,023		64,995
Coastal Financial Corp.	6,127		102,627
CoBiz Inc.	3,520		77,581
Cohen & Steers Inc.	2,349		94,359
Columbia Bancorp	1,522		40,257
Columbia Banking Systems Inc.	3,077		108,064
Commerce Group Inc.	11,049		328,708
Community Bancorp NV (a)	914		27,594
Community Bank System Inc.	6,669		153,387
Community Banks Inc.	5,838		162,063
Community Trust Bancorp Inc.	3,207		133,187
CompuCredit Corp. (a)	4,225		168,197
Consolidated-Tomoka Land Co.	1,490		107,876
Corporate Office Properties Trust	7,224		364,595
Corus Bankshares Inc.	7,973		183,937
Cousins Properties Inc.	7,972		281,172
Crawford & Co.	6,408		46,778
Credit Acceptance Corp. (a)	2,250		74,993
Crescent Real Estate Equities Co.	15,813		312,307
Crystal River Capital Inc.	1,100		28,083
CVB Financial Corp.	12,296		177,800
CyberSource Corp. (a)	6,286		69,272
Darwin Professional Underwriters Inc. (a)	571		13,390
Deerfield Triarc Capital Corp.	10,114		171,230
Delphi Financial Group Inc.	8,277		334,887
Deluxe Corp.	4,631		116,701
DiamondRock Hospitality Co.	12,743		229,501


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
Digital Realty Trust Inc.	3,244	$	111,042
Dime Community Bancshares	7,452		104,403
Direct General Corp.	4,380		90,403
Dollar Financial Corp. (a)	2,145		59,760
Donegal Group Inc.	2,137		41,864
Doral Financial Corp.	18,699		53,666
Downey Financial Corp.	4,276		310,352
EastGroup Properties Inc.	5,207		278,887
Education Realty Trust Inc.	5,496		81,176
eFunds Corp. (a)	10,332		284,130
Electro Rent Corp. (a)	4,030		67,301
EMC Insurance Group Inc.	1,379		47,051
Enstar Group Inc. (a)	497		47,662
Enterprise Financial Services Corp.	1,672		54,474
Entertainment Properties Trust	5,697		332,933
Equity Inns Inc.	10,784		172,113
Equity Lifestyle Properties Inc.	4,674		254,406
Equity One Inc.	8,642		230,396
Euronet Worldwide Inc. (a)	7,164		212,699
Extra Space Storage Inc.	10,968		200,276
Farmers Capital Bank Corp.	2,132		72,765
FBL Financial Group Inc.	2,632		102,859
Federal Agricultural Mortgage Corp. Class C	2,848		77,266
FelCor Lodging Trust Inc.	12,771		278,919
Fidelity Bankshares Inc.	5,895		233,855
Fieldstone Investment Corp.	10,223		44,777
Financial Federal Corp.	6,120		179,989
First Acceptance Corp. (a)	3,296		35,333
First Bancorp (North Carolina)	2,385		52,088
First BanCorp (Puerto Rico)	13,830		131,800
First Busey Corp.	2,920		67,306
First Cash Financial Services Inc. (a)	6,181		159,902
First Charter Corp.	6,755		166,173
First Commonwealth Financial Corp.	15,434		207,279
First Community Bancorp (CA)	4,361		227,949
First Community Bancshares Inc.	2,481		98,148
First Financial Bancorp	8,035		133,461
First Financial Bankshares Inc.	4,383		183,472
First Financial Corp. Indiana	2,948		104,507
First Financial Holdings Inc.	3,007		117,814
First Indiana Corp.	3,395		86,097
First Industrial Realty Trust Inc.	9,041		423,932
First Merchants Corp.	3,557		96,715
First Midwest Bancorp Inc.	10,601		410,047
First Niagara Financial Group Inc.	26,430		392,750
First Place Financial Corp. Ohio	2,670		62,718
First Potomac Realty Trust	4,666		135,827
First Regional Bancorp (a)	1,341		45,715
First Republic Bank	4,812		188,053
First South Bancorp Inc.	1,543		49,206
First State Bancorporation	2,998		74,201
FirstFed Financial Corp. (a)	3,413		228,569


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
FirstMerit Corp.	17,320	$	418,105
Flagstar Bancorp Inc.	7,650		113,526
Flushing Financial Corp.	3,870		66,061
FNB Corp. (PA)	11,454		209,265
FNB Corp. (VA)	1,400		58,170
FPIC Insurance Group Inc. (a)	1,833		71,432
Franklin Bank Corp. (a)	4,265		87,603
Franklin Street Properties Corp.	11,619		244,580
Fremont General Corp.	13,119		212,659
Friedman Billings Ramsey Group Inc.	30,254		242,032
Frontier Financial Corp.	8,632		252,313
GAMCO Investors Inc.	1,858		71,459
GB&T Bancshares Inc.	2,592		57,465
Getty Realty Corp.	4,299		132,839
GFI Group Inc. (a)	2,461		153,222
Glacier Bancorp Inc.	10,743		262,559
Gladstone Capital Corp.	2,249		53,661
Gladstone Investment Corp.	2,002		30,651
Glimcher Realty Trust	8,490		226,768
Global Cash Access Holdings Inc. (a)	7,094		115,136
GMH Communities Trust	7,821		79,383
Gramercy Capital Corp.	3,506		108,300
Great American Financial Resources Inc.	3,261		75,166
Great Southern Bancorp Inc.	2,520		74,365
Greater Bay Bancorp	10,356		272,673
Greene County Bancshares Inc.	1,837		72,984
Greenhill & Co. Inc.	3,609		266,344
H&E Equipment Services Inc. (a)	2,479		61,405
Hancock Holding Co.	6,036		318,942
Hanmi Financial Corp.	7,950		179,114
Harleysville Group Inc.	5,091		177,269
Harleysville National Corp.	6,484		125,206
Harris & Harris Group Inc. (a)	4,007		48,445
Healthcare Realty Trust Inc.	9,906		391,683
Heartland Financial USA Inc.	2,886		83,261
Heartland Payment Systems Inc.	3,026		85,485
Heritage Commerce Corp.	2,529		67,373
Hersha Hospitality Trust	6,983		79,187
Highland Hospitality Corp.	12,241		174,434
Highwoods Properties Inc.	10,597		431,934
Hilb Rogal & Hobbs Co.	7,246		305,202
Home Bancshares Inc.	2,166		52,071
Home Federal Bancorp Inc.	299		5,131
Home Properties Inc.	6,910		409,556
HomeBanc Corp.	11,240		47,545
Horace Mann Educators Corp.	9,608		194,082
Horizon Financial Corp.	1,637		39,386
HouseValues Inc. (a)	2,018		11,361
Huron Consulting Group Inc. (a)	3,863		175,148
IBERIABANK Corp.	1,951		115,207
IMPAC Mortgage Holdings Inc.	16,054		141,275
Independence Holding Co.	641		13,993


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
Independent Bank Corp. (MA)	3,051	$	109,928
Independent Bank Corp. (MI)	5,355		135,428
Infinity Property & Casualty Corp.	4,650		225,013
Inland Real Estate Corp.	13,848		259,235
Innkeepers USA Trust	8,183		126,837
Integra Bank Corp.	3,758		103,420
Interactive Data Corp.	6,821		163,977
Interchange Financial Services Corp.	3,772		86,718
International Bancshares Corp.	9,921		306,658
International Securities Exchange Holdings Inc.	7,786		364,307
Intervest Bancshares Corp. (a)	781		26,874
Investors Bancorp Inc. (a)	9,357		147,186
Investors Real Estate Trust	8,373		85,907
Irwin Financial Corp.	4,272		96,675
ITLA Capital Corp.	1,001		57,968
James River Group Inc. (a)	1,473		47,607
Jer Investors Trust Inc.	5,844		120,795
Kansas City Life Insurance Co.	1,029		51,532
Kearny Financial Corp.	3,222		51,745
Kite Realty Group Trust	5,816		108,294
KKR Financial Corp.	16,538		443,053
KNBT Bancorp Inc.	5,843		97,753
Knight Capital Group Inc. (a)	25,204		483,161
LaBranche & Co. Inc. (a)	11,613		114,156
Lakeland Bancorp Inc.	3,037		45,251
Lakeland Financial Corp.	2,400		61,272
LandAmerica Financial Group Inc.	3,533		222,968
LaSalle Hotel Properties	8,042		368,726
Lexington Corporate Properties Trust	10,684		239,642
Longview Fibre Co.	13,988		307,037
LTC Properties Inc.	4,218		115,194
Luminent Mortgage Capital Inc.	7,770		75,447
Macatawa Bank Corp.	3,048		64,800
MAF Bancorp Inc.	6,288		281,011
Maguire Properties Inc.	8,081		323,240
MainSource Financial Group Inc.	3,088		52,311
MarketAxess Holdings Inc. (a)	6,670		90,512
Marlin Business Services Inc. (a)	1,721		41,356
MB Financial Inc.	6,077		228,556
MBT Financial Corp.	3,195		48,947
MCG Capital Corp.	11,083		225,207
McGrath Rentcorp	4,226		129,442
Meadowbrook Insurance Group Inc. (a)	4,943		48,886
Medallion Financial Corp.	2,260		27,956
Medical Properties Trust Inc.	8,394		128,428
Mercantile Bank Corp.	1,681		63,374
MetroCorp Bancshares Inc.	802		16,874
MFA Mortgage Investments Inc.	15,396		118,395
Mid-America Apartment Communities Inc.	4,803		274,924
Mid-State Bancshares	5,523		200,982
Midland Co.	2,099		88,053


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
Midwest Banc Holdings Inc.	3,307	$	78,541
Morningstar Inc. (a)	2,824		127,221
MortgageIT Holdings Inc.	6,721		99,135
Move Inc. (a)	27,287		150,351
MVC Capital Inc.	2,871		38,357
Nara Bancorp Inc.	4,152		86,860
NASB Financial Inc.	1,288		53,259
National Financial Partners Corp.	7,565		332,633
National Health Investors Inc.	6,437		212,421
National Interstate Corp.	3,252		79,024
National Penn Bancshares Inc.	9,896		200,394
National Retail Properties Inc.	11,463		263,076
National Western Life Insurance Co.	400		92,056
Nationwide Health Properties Inc.	17,069		515,825
Navigators Group Inc. (a)	2,633		126,858
NBT Bancorp Inc.	7,609		194,106
Netbank Inc.	11,231		52,112
NewAlliance Bancshares Inc.	20,545		336,938
Newcastle Investment Corp.	9,709		304,086
NGP Capital Resources Co.	3,754		62,880
Northern Empire Bancshares (a)	2,161		63,836
NorthStar Realty Finance Corp.	9,736		161,326
Northwest Bancorp Inc.	2,921		80,211
Novastar Financial Inc.	7,005		186,683
NYMAGIC Inc.	1,234		45,164
OceanFirst Financial Corp.	3,690		84,612
Ocwen Financial Corp. (a)	8,551		135,619
Odyssey Re Holdings Corp.	2,367		88,289
Ohio Casualty Corp.	13,129		391,375
Old National Bancorp	14,434		273,091
Old Second Bancorp Inc.	3,260		95,518
Omega Financial Corp.	2,624		83,758
Omega Healthcare Investors Inc.	10,993		194,796
Online Resources Corp. (a)	3,802		38,818
Open Solutions Inc. (a)	3,804		143,183
optionsXpress Holdings Inc.	4,390		99,609
Oriental Financial Group Inc.	4,655		60,282
Pacific Capital Bancorp	9,334		313,436
Park National Corp.	2,364		234,036
Parkway Properties Inc.	3,495		178,280
Partners Trust Financial Group Inc.	12,685		147,653
Pennfed Financial Services Inc.	2,872		55,487
Pennsylvania Real Estate Investment Trust	7,421		292,239
Penson Worldwide Inc. (a)	872		23,902
Peoples Bancorp Inc.	2,565		76,181
PFF Bancorp Inc.	5,249		181,143
Phoenix Co. Inc.	22,432		356,444
PICO Holdings Inc. (a)	2,922		101,598
Pinnacle Financial Partners Inc. (a)	3,033		100,635
Piper Jaffray Co. (a)	4,530		295,129
Placer Sierra Bancshares	2,386		56,715
PMA Capital Corp. (a)	5,628		51,890


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
Portfolio Recovery Associates Inc. (a)	3,489	$	162,901
Post Properties Inc.	8,412		384,428
Potlatch Corp.	7,891		345,784
Preferred Bank	631		37,917
Premierwest Bancorp	4,121		65,771
Presidential Life Corp.	4,502		98,819
PrivateBancorp Inc.	3,769		156,903
ProAssurance Corp. (a)	7,096		354,232
Prosperity Bancshares Inc.	4,997		172,446
Provident Bankshares Corp.	6,897		245,533
Provident Financial Services Inc.	15,513		281,251
Provident New York Bancorp	7,980		119,540
PS Business Parks Inc.	3,930		277,890
QC Holdings, Inc. (a)	878		14,013
R&G Financial Corp. Class B	6,171		47,208
RAIT Investment Trust	5,992		206,604
Ramco-Gershenson Properties Trust	3,737		142,529
Realty Income Corp.	18,953		524,998
Redwood Trust Inc.	4,366		253,577
Renasant Corp.	3,738		114,495
Republic Bancorp Inc.	17,188		231,350
Republic Bancorp Inc. (Kentucky)	1,389		34,850
Republic Property Trust	3,936		45,421
Resource America Inc.	3,464		91,450
Rewards Network Inc. (a)	4,522		31,428
RLI Corp.	4,812		271,493
Rockville Financial Inc.	1,779		31,755
Roma Financial Corp. (a)	1,569		25,983
Royal Bancshares of Pennsylvania Inc.	281		7,385
S&T Bancorp Inc.	5,946		206,148
Safety Insurance Group Inc.	2,804		142,191
Sanders Morris Harris Group Inc.	1,455		18,580
Sandy Spring Bancorp Inc.	2,977		113,662
Santander BanCorp	1,863		33,255
Saul Centers Inc.	3,342		184,445
SCBT Financial Corp.	1,848		77,117
SCPIE Holdings Inc. (a)	1,535		40,125
Seabright Insurance Holdings (a)	2,677		48,213
Seacoast Banking Corp. of Florida	2,970		73,656
Security Bank Corp. (Georgia)	2,901		66,201
Selective Insurance Group Inc.	5,806		332,626
Senior Housing Properties Trust	13,009		318,460
Shore Bancshares Inc.	1,213		36,584
Sierra Bancorp	887		26,025
Signature Bank (a)	5,989		185,539
Simmons First National Corp.	2,940		92,757
Smithtown Bancorp Inc.	1,129		30,618
Southside Bancshares Inc.	1,757		45,208
Southwest Bancorp Inc.	3,288		91,604
Sovran Self Storage Inc.	3,730		213,654
Spirit Finance Corp.	19,751		246,295
State Auto Financial Corp.	2,612		90,715
State National Bancshares Inc.	2,168		83,446


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
Sterling Bancorp NY	5,023	$	98,953
Sterling Bancshares Inc. TX	13,672		178,009
Sterling Financial Corp. PA	5,546		131,274
Sterling Financial Corp. WA	7,825		264,563
Stewart Information Services Corp.	3,762		163,120
Stifel Financial Corp. (a)	2,456		96,349
Strategic Hotels & Resorts Inc.	14,844		323,451
Suffolk Bancorp	2,500		95,325
Sun Bancorp Inc. (New Jersey) (a)	2,810		59,207
Sun Communities Inc.	4,293		138,921
Sunstone Hotel Investors Inc.	11,426		305,417
Superior Bancorp (a)	2,313		26,229
Susquehanna Bancshares Inc.	10,424		280,197
SVB Financial Group (a)	7,353		342,797
SWS Group Inc.	4,306		153,724
SY Bancorp Inc.	3,299		92,372
Tanger Factory Outlet Centers Inc.	6,964		272,153
Tarragon Corp.	2,135		25,983
Taylor Capital Group Inc.	733		26,835
Technology Investment Capital Corp.	4,615		74,486
Texas Capital Bancshares Inc. (a)	4,531		90,076
Texas United Bancshares Inc.	1,998		68,611
The Bancorp Inc. (a)	1,793		53,073
The BISYS Group Inc. (a)	24,394		314,927
The Mills Corp.	11,713		234,260
TheStreet.com Inc.	3,182		28,320
Thomas Weisel Partners Group Inc. (a)	1,731		36,524
TierOne Corp.	5,285		167,059
TNS Inc. (a)	5,069		97,578
Tompkins Trustco Inc.	2,345		106,580
Tower Group Inc.	3,282		101,972
TradeStation Group Inc. (a)	5,184		71,280
Triad Guaranty Inc. (a)	2,232		122,470
Trico Bancshares	2,400		65,304
Trustco Bank Corp. NY	16,513		183,625
Trustmark Corp.	9,905		323,993
Trustreet Properties Inc.	13,241		223,111
U-Store-It Trust	9,610		197,485
UCBH Holdings Inc.	19,011		333,833
UMB Financial Corp.	5,898		215,336
Umpqua Holdings Corp.	11,291		332,294
Union Bankshares Corp.	2,550		78,005
United Bankshares Inc.	7,424		286,938
United Community Banks Inc.	6,409		207,139
United Community Financial Corp.	6,815		83,416
United Fire & Casualty Co.	4,007		141,247
United PanAm Financial Corp. (a)	1,625		22,360
United Security Bancshares	1,100		26,510
Universal American Financial Corp. (a)	7,592		141,515
Universal Health Realty Income Trust	3,690		143,836
Univest Corp. of Pennsylvania	2,362		71,994
Urstadt Biddle Properties Inc.	4,525		86,382
USB Holding Co. Inc.	3,612		87,049


	Shares	Value
Common Stocks (Cont.)
Financial Services (Cont.)
USI Holdings Corp. (a)	9,331	$	143,324
Vineyard National Bancorp	1,282		29,512
Virginia Commerce Bancorp (a)	2,724		54,153
Virginia Financial Group Inc.	2,400		67,176
W Holding Co. Inc.	20,940		124,802
Waddell & Reed Financial Inc.	17,987		492,124
Washington Real Estate Investment Trust	10,227		409,080
Washington Trust Bancorp Inc.	2,810		78,371
Wauwatosa Holdings Inc. (a)	1,638		29,189
WesBanco Inc.	4,478		150,147
West Bancorporation Inc.	2,949		52,433
West Coast Bancorp (Oregon)	3,410		118,122
Westamerica Bancorporation	6,683		338,360
Western Alliance Bancorp (a)	2,651		92,175
Westfield Financial Inc.	1,364		47,194
Williams Scotsman International Inc. (a)	6,059		118,878
Willow Grove Bancorp Inc.	2,592		38,673
Wilshire Bancorp Inc.	3,218		61,045
Winston Hotels Inc.	5,936		78,652
Winthrop Realty Trust	2,970		20,345
Wintrust Financial Corp.	5,153		247,447
World Acceptance Corp. (a)	3,745		175,828
Wright Express Corp. (a)	8,206		255,781
WSFS Financial Corp.	1,900		127,167
Yardville National Bancorp	2,149		81,060
Zenith National Insurance Corp.	7,436		348,823
			65,871,839
Health Care (11.10%)
Abaxis Inc. (a)	4,211		81,062
Abiomed Inc. (a)	4,713		66,453
Acadia Pharmaceuticals Inc. (a)	4,283		37,648
Adams Respiratory Therapeutics Inc. (a)	6,297		256,981
Adeza Biomedical Corp. (a)	2,622		39,094
Adolor Corp. (a)	9,490		71,365
Advanced Magnetics Inc. (a)	1,484		88,624
ADVENTRX Pharmaceuticals Inc. (a)	15,648		46,162
Affymetrix Inc. (a)	13,861		319,635
Air Methods Corp. (a)	1,867		52,127
Akorn Inc. (a)	8,495		53,094
Albany Molecular Research Inc. (a)	6,083		64,236
Alexion Pharmaceuticals Inc. (a)	6,940		280,307
Align Technology Inc. (a)	11,801		164,860
Alkermes Inc. (a)	19,816		264,940
Alliance Imaging Inc. (a)	5,240		34,846
Allscripts Healthcare Solution Inc. (a)	9,706		261,965
Alnylam Pharmaceuticals Inc. (a)	6,494		138,972
Alpharma Inc.	8,830		212,803
Altus Pharmaceuticals Inc. (a)	1,103		20,792


	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
Amedisys Inc. (a)	4,607	$	151,432
American Medical Systems Holdings Inc. (a)	14,367		266,077
American Oriental Bioengineering Inc. (a)	8,559		99,884
AMERIGROUP Corp. (a)	10,595		380,255
Amsurg Corp. (a)	6,561		150,903
Anadys Pharmaceuticals Inc. (a)	4,476		22,022
Analogic Corp.	2,699		151,522
Angiodynamics Inc. (a)	2,208		47,450
Applera Corp. - Celera Genomics Group (a)	16,826		235,396
Apria Healthcare Group Inc. (a)	9,623		256,453
Arena Pharmaceuticals Inc. (a)	10,230		132,069
Ariad Pharmaceuticals Inc. (a)	11,990		61,629
Array Biopharma Inc. (a)	9,688		125,169
Arrow International Inc.	4,653		164,623
Arthrocare Corp. (a)	5,553		221,676
Aspect Medical Systems Inc. (a)	3,206		60,305
Atherogenics Inc. (a)	9,636		95,493
Auxilium Pharmaceuticals Inc. (a)	6,911		101,523
AVANIR Pharmaceuticals (a)	6,718		15,519
AVI BioPharma Inc. (a)	10,883		34,608
Bentley Pharmaceuticals Inc. (a)	3,806		38,707
Bio-Rad Laboratories Inc. (a)	3,741		308,707
Bio-Reference Labs Inc. (a)	2,005		45,092
BioCryst Pharmaceuticals Inc. (a)	6,200		71,672
Bioenvision Inc. (a)	7,070		32,805
BioMarin Pharmaceutical Inc. (a)	18,177		297,921
Biosite Inc. (a)	3,614		176,544
Bradley Pharmaceuticals Inc. (a)	2,570		52,891
Bruker BioSciences Corp. (a)	7,785		58,465
Cadence Pharmaceuticals Inc. (a)	847		10,435
Cambrex Corp.	6,070		137,910
Candela Corp. (a)	5,467		67,627
Capital Senior Living Corp. (a)	3,478		36,902
Caraco Pharmaceutical Laboratories Inc. (a)	2,208		30,912
Cell Genesys Inc. (a)	9,941		33,700
Centene Corp. (a)	8,926		219,312
Cepheid Inc. (a)	10,103		85,876
Cerus Corp. (a)	4,814		28,210
Coley Pharmaceutical Group Inc. (a)	2,955		28,634
Combinatorx Inc. (a)	4,917		42,581
Computer Programs & Systems Inc.	1,713		58,225
Conceptus Inc. (a)	4,203		89,482
Conmed Corp. (a)	6,417		148,361
Conor Medsystems Inc. (a)	6,276		196,627
Corvel Corp. (a)	2,100		99,897
Cotherix Inc. (a)	3,398		45,839
Cubist Pharmaceuticals Inc. (a)	11,282		204,317
CV Therapeutics Inc. (a)	11,134		155,431


	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
Cyberonics Inc. (a)	4,573	$	94,387
Cypress Bioscience Inc. (a)	6,588		51,057
Cytokinetics Inc. (a)	4,038		30,204
Datascope Inc.	2,422		88,258
deCODE genetics Inc. (a)	11,966		54,206
Dendreon Corp. (a)	16,522		68,897
DepoMed Inc. (a)	7,614		26,268
Dexcom Inc. (a)	2,986		29,442
Digene Corp. (a)	3,660		175,387
Diversa Corp. (a)	5,480		59,622
DJO Inc. (a)	4,628		198,171
Durect Corp. (a)	13,012		57,773
Eclipsys Corp. (a)	10,158		208,848
Emeritus Corp. (a)	938		23,309
Emisphere Technologies Inc. (a)	4,091		21,641
Encysive Pharmaceuticals Inc. (a)	12,926		54,418
Enzo Biochem Inc. (a)	6,053		86,376
Enzon Pharmaceuticals Inc. (a)	10,170		86,547
eResearch Technology Inc. (a)	10,352		69,669
ev3 Inc. (a)	3,269		56,325
Exelixis Inc. (a)	17,432		156,888
Five Star Quality Care Inc. (a)	5,825		64,949
Foxhollow Technologies Inc. (a)	4,085		88,154
Genesis HealthCare Corp. (a)	4,288		202,522
Genitope Corp. (a)	4,238		14,918
Genomic Health Inc. (a)	2,472		45,979
Genta Inc. (a)	22,610		10,005
Gentiva Health Services Inc. (a)	5,079		96,806
Geron Corp. (a)	14,658		128,697
Greatbatch Inc. (a)	4,859		130,804
GTx Inc. (a)	1,965		35,056
Haemonetics Corp. (a)	5,392		242,748
Hana Biosciences Inc. (a)	7,111		45,297
Healthcare Services Group Inc.	5,726		165,825
HealthExtras Inc. (a)	5,728		138,045
Healthspring Inc. (a)	4,071		82,845
HealthTronics Inc. (a)	8,062		53,693
Healthways Inc. (a)	7,253		346,041
Hi-Tech Pharmacal Co. Inc. (a)	1,865		22,697
Hologic Inc. (a)	10,909		515,778
Horizon Health Corp. (a)	3,473		67,967
Human Genome Sciences Inc. (a)	28,454		353,968
Hythiam Inc. (a)	5,362		49,545
I-Flow Corp. (a)	6,140		91,793
ICOS Corp. (a)	13,865		468,498
ICU Medical Inc. (a)	2,946		119,843
Idenix Pharmaceuticals Inc. (a)	6,098		52,992
Illumina Inc. (a)	9,472		372,344
Immucor Inc. (a)	14,787		432,224
Incyte Corp. (a)	17,709		103,421
Indevus Pharmaceuticals Inc. (a)	10,729		76,176
Integra LifeSciences Holdings Corp. (a)	4,654		198,214
InterMune Inc. (a)	7,007		215,465


	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
IntraLase Corp. (a)	4,822	$	107,916
Invacare Corp.	6,206		152,357
Inverness Medical Innovations Inc. (a)	5,816		225,079
IRIS International Inc. (a)	2,906		36,761
Isis Pharmaceuticals Inc. (a)	18,910		210,279
Kendle International Inc. (a)	2,253		70,857
Kensey Nash Corp. (a)	2,164		68,815
Keryx Biopharmaceuticals Inc. (a)	9,273		123,331
Kindred Healthcare Inc. (a)	6,739		170,160
KV Pharmaceutical Co. (a)	8,226		195,614
Kyphon Inc. (a)	9,115		368,246
Landauer Inc.	2,101		110,239
LCA-Vision Inc.	4,310		148,092
Lexicon Genetics Inc. (a)	13,789		49,778
LHC Group Inc. (a)	1,925		54,882
Lifecell Corp. (a)	6,974		168,352
Luminex Corp. (a)	6,896		87,579
Magellan Health Services Inc. (a)	7,396		319,655
MannKind Corp. (a)	5,423		89,425
Martek Biosciences Corp. (a)	6,568		153,297
Matria Healthcare Inc. (a)	4,976		142,960
Maxygen Inc. (a)	6,920		74,528
Medarex Inc. (a)	24,997		369,706
Medcath Corp. (a)	1,553		42,490
Medical Action Industries Inc. (a)	1,444		46,555
Medicines Co. (a)	10,633		337,279
Medicis Pharmaceutical Corp.	11,406		400,693
Mentor Corp.	7,858		384,020
Meridian Bioscience Inc.	4,433		108,741
Merit Medical Systems Inc. (a)	5,181		82,067
Metabasis Therapeutics Inc. (a)	3,883		29,200
MGI Pharma Inc. (a)	16,124		296,843
Molecular Devices Corp. (a)	3,456		72,818
Molina Healthcare Inc. (a)	2,671		86,834
Momenta Pharmaceuticals Inc. (a)	4,304		67,702
Monogram Biosciences Inc. (a)	22,344		39,772
Myriad Genetics Inc. (a)	8,111		253,874
Nabi Biopharmaceuticals (a)	13,137		89,069
Nastech Pharmaceutical Co. Inc. (a)	4,200		63,546
National Healthcare Corp.	1,800		99,360
Natus Medical Inc. (a)	4,092		67,968
NBTY Inc. (a)	11,373		472,776
Nektar Therapeutics (a)	18,487		281,187
Neurocrine Biosciences Inc. (a)	7,498		78,129
Neurometrix Inc. (a)	2,404		35,844
New River Pharmaceuticals Inc. (a)	3,169		173,376
Nighthawk Radiology Holdings Inc. (a)	907		23,129
Northfield Laboratories Inc. (a)	5,228		21,278
Northstar Neuroscience Inc. (a)	2,307		33,175
Novavax Inc. (a)	17,180		70,438
Noven Pharmaceuticals Inc. (a)	5,363		136,488
NPS Pharmaceuticals Inc. (a)	10,809		48,965
NuVasive Inc. (a)	7,263		167,775


	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
Nuvelo Inc. (a)	10,934	$	43,736
NxStage Medical Inc. (a)	2,164		18,134
Odyssey HealthCare Inc. (a)	8,465		112,246
Omnicell Inc. (a)	5,553		103,452
Onyx Pharmaceuticals Inc. (a)	8,803		93,136
Option Care Inc.	5,803		82,693
OraSure Technologies Inc. (a)	10,376		85,706
OSI Pharmaceuticals Inc. (a)	11,717		409,861
Osiris Therapeutics Inc. (a)	532		13,470
Owens & Minor Inc.	8,074		252,474
Pain Therapeutics Inc. (a)	6,766		60,217
Palomar Medical Technologies Inc. (a)	3,734		189,202
Panacos Pharmaceuticals Inc. (a)	10,049		40,296
Par Pharmaceutical Cos Inc. (a)	7,490		167,551
Parexel International Corp. (a)	6,168		178,687
Penwest Pharmaceutical Co. (a)	4,460		74,125
Per-Se Technologies Inc. (a)	7,156		198,794
Peregrine Pharmaceuticals Inc. (a)	31,652		36,716
Perrigo Co.	15,981		276,471
Pharmanet Development Group Inc. (a)	3,765		83,094
Pharmion Corp. (a)	5,367		138,147
Phase Forward Inc. (a)	6,245		93,550
PolyMedica Corp.	5,608		226,619
Pozen Inc. (a)	5,400		91,746
PRA International (a)	3,601		90,997
Progenics Pharmaceuticals Inc. (a)	4,780		123,037
PSS World Medical Inc. (a)	15,040		293,731
Psychiatric Solutions Inc. (a)	10,828		406,267
Quality Systems Inc.	3,348		124,780
Quidel Corp. (a)	6,131		83,504
Radiation Therapy Services Inc. (a)	2,822		88,949
Regeneron Pharmaceutical Inc. (a)	9,922		199,135
RehabCare Group Inc. (a)	3,964		58,865
Renovis Inc. (a)	4,512		14,258
Replidyne Inc. (a)	1,632		9,368
Res-Care Inc. (a)	4,554		82,655
Rigel Pharmaceuticals Inc. (a)	5,136		60,964
Salix Pharmaceuticals Ltd. (a)	10,254		124,791
Sangamo BioSciences Inc. (a)	4,735		31,251
Santarus Inc. (a)	11,623		91,008
Savient Pharmaceuticals Inc. (a)	13,554		151,940
Sciele Pharma Inc. (a)	6,014		144,336
Sirna Therapeutics Inc. (a)	7,893		102,688
Sirona Dental Systems Inc.	3,893		149,919
Solexa Inc. (a)	4,002		52,626
Somaxon Pharmaceuticals Inc. (a)	991		14,062
SonoSite Inc. (a)	3,456		106,894
Spectranetics Corp. (a)	5,734		64,737
Stereotaxis Inc. (a)	4,198		43,323
STERIS Corp.	14,186		357,062
Sun Healthcare Group Inc. (a)	3,750		47,363
Sunrise Senior Living Inc. (a)	9,022		277,156
SuperGen Inc. (a)	12,498		63,490


	Shares	Value
Common Stocks (Cont.)
Health Care (Cont.)
SurModics Inc. (a)	3,380	$	105,186
Symbion Inc. (a)	3,833		70,949
Symmetry Medical Inc. (a)	7,158		98,995
Tanox Inc. (a)	5,970		118,803
Telik Inc. (a)	11,478		50,848
ThermoGenesis Corp. (a)	14,764		63,633
Thoratec Corp. (a)	11,086		194,892
Trimeris Inc. (a)	4,008		50,942
Trubion Pharmaceuticals Inc. (a)	711		12,805
United Surgical Partners International Inc. (a)	9,121		258,580
United Therapeutics Corp. (a)	4,987		271,143
Valeant Pharmaceuticals International	19,081		328,956
Ventana Medical Systems Inc. (a)	6,650		286,149
Viasys Healthcare Inc. (a)	6,977		194,100
ViroPharma Inc. (a)	14,662		214,652
Visicu Inc. (a)	1,116		12,499
VistaCare Inc. Class A (a)	2,846		28,887
Vital Images Inc. (a)	2,350		81,780
Vital Signs Inc.	1,233		61,551
Volcano Corp. (a)	1,844		30,223
West Pharmaceutical Services Inc.	6,569		336,530
Wright Medical Group Inc. (a)	7,211		167,872
Xenoport Inc. (a)	4,094		100,508
Young Innovations Inc.	881		29,337
Zoll Medical Corp. (a)	2,443		142,280
ZymoGenetics Inc. (a)	7,664		119,328

			32,434,064

Materials & Processes (8.54%)
A. Schulman Inc.	7,612		169,367
Aaon Inc.	2,100		55,188
Acuity Brands Inc.	9,260		481,890
AEP Industries Inc. (a)	1,269		67,650
Affordable Residential Communities (a)	5,591		65,135
AK Steel Holding Corp. (a)	24,860		420,134
Alico Inc.	700		35,441
AM Castle & Co.	2,147		54,641
AMCOL International Corp.	4,867		135,011
American Vanguard Corp.	3,191		50,737
Ameron International Corp.	2,237		170,840
Ampco-Pittsburgh Corp.	1,373		45,968
AMREP Corp.	461		56,472
Apogee Enterprises Inc.	5,880		113,543
AptarGroup Inc.	6,979		412,040
Arch Chemicals Inc.	5,202		173,279
Balchem Corp.	1,903		48,869
Barnes Group Inc.	7,645		166,279
Beacon Roofing Supply Inc. (a)	8,887		167,253
Bluegreen Corp. (a)	3,876		49,729
BlueLinx Holdings Inc.	2,332		24,253
Bowater Inc.	11,270		253,575


	Shares	Value
Common Stocks (Cont.)
Materials & Processes (Cont.)
Brookfield Homes Corp.	3,387	$	127,182
Brush Engineered Materials Inc. (a)	4,752		160,475
Buckeye Technologies Inc. (a)	6,119		73,306
Builders Firstsource Inc. (a)	2,655		47,339
Building Materials Holding Corp.	5,984		147,745
Cabot Microelectronics Corp. (a)	5,235		177,676
Calgon Carbon Corp. (a)	6,895		42,749
California Coastal Communities Inc. (a)	1,935		41,506
Caraustar Industries Inc. (a)	6,462		52,278
Century Aluminum Co. (a)	4,516		201,639
Ceradyne Inc. (a)	5,630		318,095
CF Industries Holdings Inc.	10,945		280,630
Chaparral Steel Co.	9,422		417,112
Chesapeake Corp.	4,435		75,484
China BAK Battery Inc. (a)	5,353		34,902
CIRCOR International Inc.	3,578		131,635
Clarcor Inc.	10,549		356,662
Clean Harbors Inc. (a)	3,243		156,994
Cleveland-Cliffs Inc.	8,880		430,147
Coeur d’Alene Mines Corp. (a)	57,863		286,422
Comfort Systems USA Inc.	8,227		103,989
Compass Minerals International Inc.	6,358		200,658
Delta & Pine Land Co.	8,182		330,962
Deltic Timber Corp.	2,486		138,669
Drew Industries Inc. (a)	3,792		98,630
Dycom Industries Inc. (a)	10,264		216,776
Dynamic Materials Corp.	2,593		72,863
ElkCorp	4,649		191,027
EMCOR Group Inc. (a)	6,624		376,574
Encore Wire Corp. (a)	4,904		107,937
Energy Conversion Devices Inc. (a)	8,034		272,995
EnerSys (a)	9,376		150,016
ENGlobal Corp. (a)	2,647		17,020
Ferro Corp.	9,029		186,810
Genlyte Group Inc. (a)	5,224		408,047
Georgia Gulf Corp.	7,283		140,635
Gibraltar Industries Inc.	5,149		121,053
Glatfelter	8,697		134,803
Gold Kist Inc. (a)	10,196		214,320
Goodman Global Inc. (a)	4,649		79,963
GrafTech International Ltd. (a)	22,152		153,292
Granite Construction Inc.	7,157		360,140
Graphic Packaging Corp. (a)	13,034		56,437
Greif Inc.	3,281		388,470
Griffon Corp. (a)	6,174		157,437
HB Fuller Co.	12,492		322,543
Hecla Mining Co. (a)	26,746		204,874
Hercules Inc. (a)	24,049		464,386
Hexcel Corp. (a)	19,003		330,842
Infrasource Services Inc. (a)	5,291		115,185
Innerworkings Inc. (a)	2,401		38,320
Innospec Inc.	2,646		123,171
Insituform Technologies Inc. (a)	6,255		161,754


	Shares	Value
Common Stocks (Cont.)
Materials & Processes (Cont.)
Insteel Industries Inc.	2,943	$	52,356
Integrated Electrical Services Inc. (a)	3,010		53,548
Interline Brands Inc. (a)	5,549		124,686
Jacuzzi Brands Inc. (a)	16,491		204,983
Kaydon Corp.	5,748		228,425
Koppers Holdings Inc.	1,691		44,084
Kronos Worldwide Inc.	1,333		43,402
L.B. Foster Co. (a)	2,105		54,541
Ladish Co. Inc. (a)	2,978		110,424
Lamson & Sessions Co. (a)	2,845		69,020
Layne Christensen Co. (a)	2,544		83,520
LSI Industries Inc.	3,668		72,810
MacDermid Inc.	6,355		216,705
Medis Technologies Ltd. (a)	4,644		80,945
Mercer International Inc.-SBI (a)	5,765		68,431
Metal Management Inc.	5,377		203,519
MGP Ingredients Inc.	2,308		52,184
Minerals Technologies Inc.	3,980		233,984
Mueller Industries Inc.	8,098		256,707
Mueller Water Products Inc.	20,051		298,158
Myers Industries Inc.	5,005		78,378
NCI Building Systems Inc. (a)	4,496		232,668
Neenah Paper Inc.	3,551		125,421
Newkirk Realty Trust Inc.	3,993		72,034
NewMarket Corp.	3,704		218,721
NL Industries Inc.	2,829		29,252
NN Inc.	2,400		29,832
Nuco2 Inc. (a)	3,339		82,106
Olin Corp.	14,669		242,332
Olympic Steel Inc.	1,653		36,746
OM Group Inc. (a)	6,046		273,763
Omnova Solutions Inc. (a)	9,441		43,240
Oregon Steel Mills Inc. (a)	7,746		483,428
Perini Corp. (a)	4,570		140,665
PGT Inc. (a)	2,169		27,438
Pioneer Companies Inc. (a)	2,214		63,453
PolyOne Corp. (a)	20,012		150,090
PW Eagle Inc.	2,475		85,387
Quanex Corp.	7,483		258,837
Raven Industries Inc.	3,363		90,128
RBC Bearings Inc. (a)	4,281		122,693
Resource Capital Corp.	1,063		18,018
Rock-Tenn Co.	6,469		175,375
Rockwood Holdings Inc. (a)	6,672		168,535
Royal Gold Inc.	3,579		128,772
RTI International Metals Inc. (a)	5,039		394,151
Ryerson Inc.	5,256		131,873
SAIC Inc. (a)	14,906		265,178
Schnitzer Steel Industries Inc.	4,389		174,243
Schweitzer-Mauduit International Inc.	3,607		93,962
Senomyx Inc. (a)	6,797		88,293
Shiloh Industries Inc. (a)	164		3,108
Silgan Holdings Inc.	4,992		219,249


	Shares	Value
Common Stocks (Cont.)
Materials & Processes (Cont.)
Simpson Manufacturing Co. Inc.	7,527	$	238,230
Spartech Corp.	6,088		159,627
Steel Technologies Inc.	2,058		36,118
Stepan Co.	1,373		43,483
Sterling Construction Co. Inc. (a)	1,488		32,379
Stillwater Mining Co. (a)	10,526		131,470
Superior Essex Inc. (a)	3,902		129,741
Symyx Technologies Inc. (a)	6,713		144,934
Tejon Ranch Co. (a)	1,924		107,436
Terra Industries Inc. (a)	19,040		228,099
Texas Industries Inc.	4,711		302,588
The Andersons Inc.	2,923		123,906
Tredegar Corp.	7,219		163,222
Trex Co. Inc. (a)	2,368		54,204
Tronox Inc. Class B	8,545		134,926
UAP Holding Corp.	10,187		256,509
Universal Forest Products Inc.	3,617		168,625
US Concrete Inc. (a)	6,775		48,238
USEC Inc. (a)	18,311		232,916
Valley National Gases Inc. (a)	323		8,543
Valmont Industries Inc.	3,664		203,315
Washington Group International Inc. (a)	6,168		368,785
Watsco Inc.	5,577		263,011
Wausau Paper Corp.	9,963		149,345
Wheeling-Pittsburgh Corp. (a)	2,010		37,647
Worthington Industries Inc.	15,780		279,622
WR Grace & Co. (a)	14,063		278,447
Xerium Technologies Inc.	4,525		44,300
Zoltek Companies Inc. (a)	3,264		64,203

			24,951,540

Oil & Gas (4.50%)
Allis-Chalmers Energy Inc. (a)	3,774		86,953
Alon USA Energy Inc.	2,585		68,011
Alpha Natural Resources Inc. (a)	10,157		144,534
Arena Resources Inc. (a)	2,485		106,134
ATP Oil & Gas Corp. (a)	4,344		171,892
Atwood Oceanics Inc. (a)	5,500		269,335
Aurora Oil & Gas Corp. (a)	14,193		45,560
Aventine Renewable Energy Holdings Inc. (a)	6,323		148,970
Basic Energy Services Inc. (a)	2,676		65,963
Berry Petroleum Co.	7,678		238,095
Bill Barrett Corp. (a)	5,860		159,451
Bois d’Arc Energy Inc. (a)	3,890		56,911
Brigham Exploration Co. (a)	10,466		76,507
Bronco Drilling Co. Inc. (a)	2,280		39,193
Callon Petroleum Co. (a)	4,612		69,318
CARBO Ceramics Inc.	4,134		154,488
Carrizo Oil & Gas Inc. (a)	4,577		132,825
Clayton Williams Energy Inc. (a)	1,425		51,742
Complete Production Services Inc. (a)	5,443		115,392


	Shares	Value
Common Stocks (Cont.)
Oil & Gas (Cont.)
Comstock Resources Inc. (a)	8,815	$	273,794
Dawson Geophysical Co. (a)	1,330		48,452
Delek US Holdings Inc.	1,880		30,813
Delta Petroleum Corp. (a)	11,271		261,036
Dril-Quip Inc. (a)	4,376		171,364
Edge Petroleum Corp. (a)	3,371		61,487
Encore Acquisition Co. (a)	10,885		267,009
Energy Partners Ltd. (a)	7,883		192,503
Evergreen Solar Inc. (a)	13,988		105,889
EXCO Resources Inc. (a)	11,122		188,073
Exploration Co. of Delaware (a)	5,610		74,837
FuelCell Energy Inc. (a)	9,957		64,322
Gasco Energy Inc. (a)	14,482		35,481
GeoGlobal Resources Inc. (a)	6,013		47,202
Geomet Inc. (a)	2,627		27,321
Giant Industries Inc. (a)	3,086		231,296
GMX Resources Inc. (a)	1,560		55,380
Goodrich Petroleum Corp. (a)	2,606		94,285
Grey Wolf Inc. (a)	40,399		277,137
Gulf Island Fabrication Inc.	2,700		99,630
Hanover Compressor Co. (a)	20,862		394,083
Harvest Natural Resources Inc. (a)	8,515		90,515
Hercules Offshore Inc. (a)	4,209		121,640
Hornbeck Offshore Services Inc. (a)	4,984		177,929
Houston Exploration Co. (a)	5,514		285,515
Hydril (a)	3,939		296,173
Input/Output Inc. (a)	14,134		192,646
James River Coal Co. (a)	3,427		31,803
Lone Star Technologies Inc. (a)	6,421		310,841
Lufkin Industries Inc.	2,978		172,962
Mariner Energy Inc. (a)	15,035		294,686
Markwest Hydrocarbon Inc.	1,493		72,485
Matrix Service Co. (a)	4,949		79,679
McMoRan Exploration Co. (a)	5,939		84,453
Meridian Resource Corp. (a)	17,737		54,807
Metretek Technologies Inc. (a)	3,045		37,514
NATCO Group Inc. (a)	3,133		99,880
Newpark Resources Inc. (a)	17,316		124,848
Oil States International Inc. (a)	10,068		324,492
Pacific Ethanol Inc. (a)	5,375		82,721
Parallel Petroleum Corp. (a)	7,586		133,286
Parker Drilling Co. (a)	22,138		180,868
Penn Virginia Corp.	4,279		299,701
PetroHawk Energy Corp. (a)	30,994		356,431
Petroleum Development Corp. (a)	3,588		154,463
Petroquest Energy Inc. (a)	8,556		109,003
Pioneer Drilling Co. (a)	8,643		114,779
Plug Power Inc. (a)	15,276		59,424
PrimeEnergy Corp. (a)	212		13,674
Quest Resource Corp. (a)	4,250		42,925
RAM Energy Resources Inc. (a)	4,527		24,944
Rosetta Resources Inc. (a)	10,573		197,398
RPC Inc.	10,720		180,954


	Shares	Value
Common Stocks (Cont.)
Oil & Gas (Cont.)
Stone Energy Corp. (a)	4,962	$	175,407
SulphCo Inc. (a)	6,761		31,912
Superior Well Services Inc. (a)	2,581		65,970
Swift Energy Co. (a)	6,110		273,789
Syntroleum Corp. (a)	7,549		26,120
Tetra Tech Inc. (a)	12,592		227,789
Toreador Resources Corp. (a)	2,859		73,676
Transmeridian Exploration Inc. (a)	13,603		46,930
Trico Marine Services Inc. (a)	2,055		78,727
Union Drilling Inc. (a)	2,169		30,540
Universal Compression Holdings Inc. (a)	6,570		408,063
VAALCO Energy Inc. (a)	11,183		75,485
Veritas DGC Inc. (a)	7,415		634,947
W-H Energy Services Inc. (a)	6,189		301,342
Warren Resources Inc. (a)	11,621		136,198
Western Refining Inc.	5,127		130,533
Westmoreland Coal Co. (a)	1,125		22,129
Whiting Petroleum Corp. (a)	8,214		382,772

			13,128,436

Technology (13.71%)
@Road Inc. (a)	10,738		78,387
3Com Corp. (a)	80,442		330,617
3D Systems Corp. (a)	2,708		43,220
Acacia Research - Acacia Technologies (a)	5,115		68,439
Access Integrated Technologies Inc. (a)	2,686		23,422
Acme Packet Inc. (a)	558		11,517
Actel Corp. (a)	6,191		112,429
Actuate Corp. (a)	9,210		54,707
Adaptec Inc. (a)	24,212		112,828
Adtran Inc.	13,963		316,960
Advanced Analogic Technologies Inc. (a)	7,946		42,829
Aeroflex Inc. (a)	14,642		171,604
Agile Software Corp. (a)	11,074		68,105
Agilysys Inc.	6,388		106,935
Altiris Inc. (a)	4,945		125,504
American Reprographics Co. (a)	5,510		183,538
American Science & Engineering Inc. (a)	2,007		119,437
AMIS Holdings Inc. (a)	10,103		106,789
Amkor Technology Inc. (a)	21,010		196,233
ANADIGICS Inc. (a)	11,215		99,365
Anaren Inc. (a)	5,020		89,155
Anixter International Inc. (a)	6,768		367,502
Ansoft Corp. (a)	3,692		102,638
Ansys Inc. (a)	6,835		297,254
Applied Micro Circuits Corp. (a)	58,895		209,666
Ariba Inc. (a)	14,630		113,236
Art Technology Group Inc. (a)	26,855		62,572


	Shares	Value
Common Stocks (Cont.)
Technology (Cont.)
Aspen Technology Inc. (a)	10,682	$	117,716
Atheros Communications (a)	10,835		231,002
Audible Inc. (a)	4,806		38,112
Avanex Corp. (a)	29,405		55,575
Avid Technology Inc. (a)	8,679		323,380
Avocent Corp. (a)	10,215		345,778
BearingPoint Inc. (a)	37,804		297,517
Bel Fuse Inc.	2,350		81,756
Benchmark Electronics Inc. (a)	12,985		316,315
Black Box Corp.	3,630		152,424
Blackbaud Inc.	8,900		231,400
Blackboard Inc. (a)	5,760		173,030
Blue Coat Systems Inc. (a)	3,804		91,106
Bookham Inc. (a)	9,696		39,463
Borland Software Corp. (a)	17,494		95,167
Bottomline Technologies Inc. (a)	5,258		60,204
Broadwing Corp. (a)	15,988		249,733
Brocade Communications Systems Inc. (a)	58,390		479,382
CACI International Inc. (a)	6,627		374,425
Carrier Access Corp. (a)	3,425		22,468
Cbeyond Inc. (a)	3,321		101,589
Checkpoint Systems Inc. (a)	8,406		169,801
Chordiant Software Inc. (a)	13,591		44,986
Ciber Inc. (a)	11,916		80,790
Cirrus Logic Inc. (a)	18,121		124,672
Cogent Communications Group Inc. (a)	5,355		86,858
Coherent Inc. (a)	6,529		206,121
CommScope Inc. (a)	11,891		362,438
Commvault Systems Inc. (a)	1,028		20,570
COMSYS IT Partners Inc. (a)	3,278		66,248
Comtech Group Inc. (a)	2,650		48,204
Comtech Telecommunications Corp. (a)	4,655		177,216
Concur Technologies Inc. (a)	5,835		93,593
Conexant Systems Inc. (a)	100,366		204,747
Convera Corp. (a)	4,557		20,917
Covansys Corp. (a)	6,172		141,647
CPI International Inc. (a)	747		11,205
CSG Systems International Inc. (a)	10,931		292,186
Cubic Corp.	3,573		77,534
Daktronics Inc.	8,008		295,095
DealerTrack Holdings Inc. (a)	2,431		71,520
Dendrite International Inc. (a)	8,069		86,419
Digi International Inc. (a)	4,320		59,573
Digital Insight Corp. (a)	7,663		294,949
Digital River Inc. (a)	8,148		454,577
Digitas Inc. (a)	18,672		250,392
Diodes Inc. (a)	3,947		140,040
Ditech Networks Inc. (a)	6,645		45,983
DivX Inc. (a)	1,053		24,293
DSP Group Inc. (a)	6,214		134,844
Eagle Test Systems Inc. (a)	1,935		28,212
Echelon Corp. (a)	6,800		54,400


	Shares	Value
Common Stocks (Cont.)
Technology (Cont.)
eCollege.com Inc. (a)	3,810	$	59,627
EDO Corp.	3,549		84,253
Electronics for Imaging Inc. (a)	12,678		336,981
Emageon Inc. (a)	3,629		55,741
EMS Technologies Inc. (a)	3,386		67,822
Emulex Corp. (a)	17,312		337,757
Epicor Software Corp. (a)	10,426		140,855
EPIQ Systems Inc. (a)	2,947		50,011
Equinix Inc. (a)	5,886		445,099
eSpeed Inc. (a)	5,972		52,136
Essex Corp. (a)	3,550		84,880
Exar Corp. (a)	9,648		125,424
Excel Technology Inc. (a)	2,261		57,859
Extreme Networks Inc. (a)	23,871		100,019
FalconStor Software Inc. (a)	7,660		66,259
Finisar Corp. (a)	46,968		151,707
First Solar Inc. (a)	1,416		42,197
Flir Systems Inc. (a)	14,113		449,217
Formfactor Inc. (a)	9,376		349,256
Foundry Networks Inc. (a)	30,066		450,389
Gartner Inc. (a)	13,623		269,599
Gateway Inc. (a)	59,134		118,859
Genesis Microchip Inc. (a)	7,324		74,265
Gerber Scientific Inc. (a)	4,955		62,235
Harmonic Inc. (a)	16,117		117,171
Herley Industries Inc. (a)	2,500		40,475
Hittite Microwave Corp. (a)	2,555		82,578
Hutchinson Technology Inc. (a)	5,357		126,264
Hypercom Corp. (a)	10,454		66,383
Hyperion Solutions Corp. (a)	12,027		432,250
I.D. Systems Inc. (a)	2,116		39,823
i2 Technologies Inc. (a)	3,640		83,065
iGate Corp. (a)	4,500		30,960
IHS Inc. (a)	4,628		182,713
II-VI Inc. (a)	5,190		145,009
Imation Corp.	7,025		326,171
Infocrossing Inc. (a)	4,006		65,298
Informatica Corp. (a)	19,047		232,564
Innovative Solutions & Support Inc. (a)	2,682		45,674
InPhonic Inc. (a)	4,797		53,199
Integral Systems Inc.	2,327		53,917
Inter-Tel Inc.	4,842		107,299
Intermec Inc. (a)	10,346		251,097
Internet Capital Group Inc. (a)	10,730		110,090
InterVoice Inc. (a)	8,226		63,011
Interwoven Inc. (a)	9,466		138,866
Ionatron Inc. (a)	7,517		30,820
iRobot Corp. (a)	1,851		33,429
Ixia (a)	9,654		92,678
IXYS Corp. (a)	5,453		48,532
j2 Global Communications Inc. (a)	10,251		279,340
Jack Henry & Associates Inc.	15,865		339,511
JDA Software Group Inc. (a)	6,519		89,767


	Shares	Value
Common Stocks (Cont.)
Technology (Cont.)
Jupitermedia Corp. (a)	3,630	$	28,750
Kanbay International Inc. (a)	7,087		203,893
Keane Inc. (a)	10,923		130,093
Kemet Corp. (a)	19,185		140,050
Komag Inc. (a)	6,237		236,258
Kopin Corp. (a)	14,780		52,765
Kronos Inc. (a)	6,774		248,877
L-1 Identity Solutions Inc. (a)	13,244		200,382
Lattice Semiconductor Corp. (a)	26,509		171,778
Lawson Software Inc. (a)	24,882		183,878
Lightbridge Inc. (a)	4,743		64,220
Lionbridge Technologies Inc. (a)	14,135		91,029
Loral Space & Communications Inc. (a)	2,059		83,842
Macrovision Corp. (a)	10,561		298,454
Magma Design Automation Inc. (a)	6,186		55,241
Manhattan Associates Inc. (a)	6,403		192,602
ManTech International Corp. (a)	3,812		140,396
Mapinfo Corp. (a)	4,393		57,329
Maxwell Technologies Inc. (a)	2,431		33,912
McDATA Corp. (a)	32,009		177,650
Mentor Graphics Corp. (a)	17,540		316,246
Mercury Computer Systems Inc. (a)	4,775		63,794
Merge Technologies Inc. (a)	6,896		45,238
Methode Electronics Inc.	7,655		82,904
Micrel Inc. (a)	14,305		154,208
MICROS Systems Inc. (a)	8,384		441,837
Microsemi Corp. (a)	14,303		281,054
MicroStrategy Inc. (a)	2,754		313,984
Microtune Inc. (a)	10,783		50,680
Mindspeed Technologies Inc. (a)	25,734		49,152
MIPS Technologies Inc. (a)	8,453		70,160
Mobility Electronics Inc. (a)	5,610		18,794
Monolithic Power Systems Inc. (a)	3,637		40,407
MoSys Inc. (a)	3,224		29,822
MRV Communications Inc. (a)	25,245		89,367
MTS Systems Corp.	4,421		170,739
Multi-Fineline Electronix Inc. (a)	1,433		29,076
Neoware Inc. (a)	4,944		65,310
Ness Technologies Inc. (a)	5,853		83,464
Netgear Inc. (a)	7,563		198,529
Netlogic Microsystems Inc. (a)	3,463		75,112
NetScout Systems Inc. (a)	4,042		33,549
Newport Corp. (a)	9,538		199,821
Nextest Systems Corp. (a)	582		6,559
Novatel Wireless Inc. (a)	6,071		58,707
Nuance Communications Inc. (a)	25,936		297,227
Omniture Inc. (a)	2,959		41,663
Omnivision Technologies Inc. (a)	12,302		167,922
ON Semiconductor Corp. (a)	31,146		235,775
Openwave Systems Inc. (a)	19,410		179,154
Oplink Communications Inc. (a)	4,561		93,774
OPNET Technologies Inc. (a)	1,828		26,415
Opsware Inc. (a)	17,456		153,962


	Shares	Value
Common Stocks (Cont.)
Technology (Cont.)
Optical Communication Products Inc. (a)	5,452	$	8,941
OSI Systems Inc. (a)	3,260		68,232
Packeteer Inc. (a)	7,597		103,319
Palm Inc. (a)	18,943		266,907
Parametric Technology Corp. (a)	23,798		428,840
Park Electrochemical Corp.	4,627		118,683
PDF Solutions Inc. (a)	4,950		71,528
Pegasystems Inc.	1,660		16,384
Pericom Semiconductor Corp. (a)	4,853		55,664
Perot Systems Corp. (a)	16,874		276,565
Plexus Corp. (a)	9,724		232,209
PLX Technology Inc. (a)	4,846		63,192
Polycom Inc. (a)	18,526		572,639
PortalPlayer Inc. (a)	5,616		75,535
Progress Software Corp. (a)	8,211		229,333
QAD Inc.	2,688		22,552
Quantum Corp. (a)	41,194		95,570
Quest Software Inc. (a)	13,424		196,662
Rackable Systems Inc. (a)	5,777		178,914
Radiant Systems Inc. (a)	6,039		63,047
Radisys Corp. (a)	4,488		74,815
RealNetworks Inc. (a)	24,155		264,256
Redback Networks Inc. (a)	13,026		324,868
RF Micro Devices Inc. (a)	41,239		280,013
RightNow Technologies Inc. (a)	2,770		47,699
Rogers Corp. (a)	3,490		206,433
S1 Corp. (a)	17,187		94,700
Safeguard Scientifics Inc. (a)	20,360		49,271
SafeNet Inc. (a)	5,455		130,593
Sapient Corp. (a)	18,229		100,077
SAVVIS Inc. (a)	6,660		237,829
Scansource Inc. (a)	5,632		171,213
Secure Computing Corp. (a)	9,933		65,160
Semtech Corp. (a)	14,588		190,665
SI International Inc. (a)	2,869		93,013
Sigma Designs Inc. (a)	5,808		147,814
Silicon Image Inc. (a)	17,024		216,545
Silicon Storage Technology Inc. (a)	19,095		86,118
Sirenza Microdevices Inc. (a)	5,796		45,557
SiRF Technology Holdings Inc. (a)	10,539		268,955
Skyworks Solutions Inc. (a)	33,221		235,205
Smith Micro Software Inc. (a)	3,737		53,028
SonicWALL Inc. (a)	12,457		104,888
Sonus Networks Inc. (a)	52,226		344,169
SPSS Inc. (a)	3,950		118,776
SRA International Inc. (a)	7,753		207,315
Staktek Holdings Inc. (a)	660		3,399
Standard Microsystems Corp. (a)	4,526		126,637
Stratasys Inc. (a)	2,083		65,427
Stratex Networks Inc. (a)	22,908		110,646
SunPower Corp. Class A (a)	2,009		74,675
Supertex Inc. (a)	2,250		88,312


	Shares	Value
Common Stocks (Cont.)
Technology (Cont.)
Sybase Inc. (a)	19,185	$	473,869
Sycamore Networks Inc. (a)	38,016		142,940
Sykes Enterprises Inc. (a)	6,492		114,519
Synaptics Inc. (a)	5,239		155,546
Synchronoss Technologies Inc. (a)	2,500		34,300
Syniverse Holdings Inc. (a)	5,164		77,408
SYNNEX Corp. (a)	2,607		57,198
Syntel Inc.	1,389		37,225
Taleo Corp. (a)	1,861		25,440
Talx Corp.	6,649		182,515
Techwell Inc. (a)	1,603		25,744
Tekelec (a)	12,096		179,384
Terremark Worldwide Inc. (a)	8,681		58,336
Tessera Technologies Inc. (a)	10,004		403,561
TIBCO Software Inc. (a)	43,699		412,519
Transaction Systems Architects Inc. (a)	8,146		265,315
Transmeta Corp. (a)	33,422		37,098
TranSwitch Corp. (a)	30,091		42,127
Trident Microsystems Inc. (a)	12,092		219,833
TriQuint Semiconductor Inc. (a)	30,310		136,395
TriZetto Group Inc. (a)	9,327		171,337
TTM Technologies Inc. (a)	9,371		106,173
Tyler Technologies Inc. (a)	9,374		131,798
Ulticom Inc. (a)	2,460		23,591
Ultimate Software Group Inc. (a)	5,307		123,441
Universal Display Corp. (a)	4,950		74,299
UTStarcom Inc. (a)	24,517		214,524
VA Software Corp. (a)	10,858		54,616
Varian Inc. (a)	6,743		302,019
VASCO Data Security International Inc. (a)	5,715		67,723
Verint Systems Inc. (a)	2,781		95,333
ViaSat Inc. (a)	5,029		149,914
Vignette Corp. (a)	7,075		120,770
Virage Logic Corp. (a)	4,469		41,517
Volterra Semiconductor Corp. (a)	3,764		56,460
Vonage Holdings Corp. (a)	7,227		50,155
WebEx Communications Inc. (a)	8,604		300,194
webMethods Inc. (a)	11,142		82,005
Websense Inc. (a)	9,956		227,295
Wind River Systems Inc. (a)	15,279		156,610
Witness Systems Inc. (a)	6,990		122,535
Zhone Technologies Inc. (a)	27,125		35,534
Zoran Corp. (a)	9,600		139,968

			40,060,535

Telecommunications (1.19%)
Alaska Communications Systems Group Inc.	8,151		123,814
Atlantic Tele-Network Inc.	750		21,975
Centennial Communications Corp.	4,340		31,205
Cincinnati Bell Inc. (a)	54,384		248,535


	Shares	Value
Common Stocks (Cont.)
Telecommunications (Cont.)
Commonwealth Telephone
Enterprises Inc.	4,733	$	198,123
Consolidated Communications
Holdings Inc.	4,067		85,000
CT Communications Inc.	3,973		91,061
Dobson Communications Corp. (a)	30,686		267,275
Eschelon Telecom Inc. (a)	1,549		30,686
FairPoint Communications Inc.	6,126		116,088
FiberTower Corp. (a)	24,543		144,313
General Communication Inc. Class A (a)	10,992		172,904
Golden Telecom Inc.	4,180		195,791
IDT Corp. Class B (a)	10,343		135,286
Iowa Telecommunications Service Inc.	6,861		135,230
iPCS Inc. (a)	3,270		181,027
North Pittsburgh Systems Inc.	3,186		76,910
NTELOS Holdings Corp. (a)	3,010		53,819
Premiere Global Services Inc. (a)	16,217		153,088
RCN Corp. (a)	5,651		170,378
Shenandoah Telecommunications Co.	1,600		75,216
SureWest Communications	3,514		96,776
Time Warner Telecom Inc. (a)	27,829		554,632
USA Mobility Inc.	5,606		125,406

			3,484,538

Utilities & Energy (3.24%)
Allete Inc.	5,446		253,457
American States Water Co.	3,874		149,614
Aquila Inc. (a)	75,285		353,840
Atlas America Inc. (a)	3,726		189,914
Avista Corp.	11,156		282,358
Black Hills Corp.	6,753		249,456
California Water Service Group	4,151		167,700
Cascade Natural Gas Corp.	2,786		72,213
CH Energy Group Inc.	3,726		196,733
Cleco Corp.	11,570		291,911
Crosstex Energy Inc.	6,405		202,974
Duquesne Light Holdings Inc.	18,141		360,099
El Paso Electric Co. (a)	10,936		266,510
Empire District Electric Co.	6,968		172,040
EnergySouth Inc.	1,800		72,180
Evergreen Energy Inc. (a)	14,399		142,406
Headwaters Inc. (a)	8,604		206,152
Idacorp Inc.	9,197		355,464
International Coal Group Inc. (a)	22,655		123,470
ITC Holdings Corp.	2,754		109,885
Laclede Group Inc.	4,929		172,663
MGE Energy Inc.	3,939		144,089
New Jersey Resources Corp.	5,670		275,449
Nicor Inc.	6,739		315,385
Northwest Natural Gas Co.	5,415		229,813
NorthWestern Corp.	7,055		249,606
Ormat Technologies Inc.	1,507		55,488


	Shares or principal amount		Value
Common Stocks (Cont.)
Utilities & Energy (Cont.)
Otter Tail Corp.		6,139	$	191,291
Peoples Energy Corp.		8,041		358,387
Piedmont Natural Gas Co. Inc.		15,746		421,205
Pike Electric Corp. (a)		3,152		51,472
PNM Resources Inc.		14,190		441,309
Portland General Electric Co.		4,941		134,642
Rentech Inc. (a)		28,541		107,600
SJW Corp.		3,882		150,466
South Jersey Industries Inc.		7,100		237,211
Southwest Gas Corp.		7,714		295,986
Southwest Water Co.		3,892		53,554
UIL Holdings Corp.		5,449		229,893
Unisource Energy Corp.		7,134		260,605
VeraSun Energy (a)		3,804		75,129
Westar Energy Inc.		17,880		464,165
WGL Holdings Inc.		10,151		330,720

				9,464,504

Total Common Stocks
(cost $224,205,825)				283,757,856

Short-term Investments (2.90%)
U.S. Treasury Bills,
4.815%, 03/22/2007 (b)	$	8,575,000		8,484,517

Total Short-term Investments
(cost $8,482,729)				8,484,517

TOTAL INVESTMENTS (100.03%)
(cost $232,688,554)				292,242,373
LIABILITIES, NET OF OTHER ASSETS (-0.03%)				(85,999	)

NET ASSETS (100.00%)			$	292,156,374

(a)	Non-income producing security.

(b)	At December 31, 2006, this security has been pledged to cover, in whole or in part, initial margin requirements for open futures contracts.


	Shares	Value
Common Stocks (99.28%) (a)
Australia (5.54%)
ABC Learning Centres Ltd.	10,075	$	66,622
AGL Energy Ltd. (b)	12,931		165,151
Alinta Ltd.	15,187		141,697
Alumina Ltd.	33,907		169,274
Amcor Ltd.	25,724		147,025
AMP Ltd.	52,913		420,386
Ansell Ltd.	5,217		46,270
APN News & Media Ltd.	7,974		38,013
Aristocrat Leisure Ltd.	9,841		123,049
Australia & New Zealand Banking Group Ltd	52,280		1,160,375
Australian Stock Exchange	4,863		146,118
AXA Asia Pacific Holdings	24,556		140,752
Babcock & Brown Ltd.	6,177		120,358
BHP Billiton Ltd.	99,443		1,977,840
Billabong International Ltd.	4,111		56,368
Bluescope Steel	21,227		143,945
Boral Ltd.	17,910		107,391
Brambles Ltd. (b)	46,381		467,937
Caltex Australian Ltd.	4,281		77,585
Centro Properties Group	22,727		163,114
CFS Retail Property Trust	42,893		78,866
Challenger Financial Service	13,847		44,865
Coca-Cola Amatil Ltd.	14,114		86,277
Cochlear Ltd.	1,423		64,942
Coles Group Ltd.	34,161		376,817
Commonwealth Bank of Australia	36,762		1,431,595
Commonwealth Property Office	35,774		41,482
Computershare Ltd.	12,356		86,413
CSL Ltd.	5,146		264,859
CSR Ltd.	27,982		82,730
DB RREEF Trust	71,145		99,471
Downer Edi Ltd.	7,006		38,579
Foster’s Group Ltd.	59,741		325,780
Futuris Corp. Ltd.	14,491		22,450
Goodman Fielder Ltd.	29,539		51,668
GPT Group	54,468		240,396
Harvey Norman Holdings Ltd.	13,901		41,592
Iluka Resources Ltd.	6,645		34,781
ING Industrial Fund	20,392		38,039
Insurance Australia Group Ltd.	45,834		228,913
Investa Property Group	40,599		80,367
James Hardie Industries Ltd.	14,248		107,286
John Fairfax Holdings Ltd.	26,931		102,552
Leighton Holdings Ltd.	4,775		76,081
Lend Lease Corp. Ltd.	10,206		148,204
Lion Nathan Ltd.	7,514		48,233
Macquarie Airports	17,111		48,534
Macquarie Bank Ltd.	6,961		432,666
Macquarie Communications Infrastructure Group	7,433		36,856
Macquarie Goodman Group	38,958		232,958
Macquarie Infrastructure Grp.	68,680		186,993


	Shares	Value
Common Stocks (Cont.)
Australia (Cont.)
Macquarie Office Trust	54,067	$	65,540
Mayne Pharma Ltd.	18,392		59,017
Mirvac Group	28,118		123,681
Multiplex Group	20,140		63,284
National Australia Bank Ltd.	45,676		1,454,179
Newcrest Mining Ltd.	9,618		199,193
Onesteel Ltd.	18,539		68,364
Orica Ltd.	9,036		172,748
Origin Energy Ltd.	21,858		142,107
Pacific Brands Ltd.	15,740		32,379
Paladin Resources Ltd. (b)	11,612		81,190
Paperlinx Ltd.	12,720		39,297
Perpetual Trustees Australia	1,149		70,701
Publishing & Broadcasting	3,610		60,512
Qantas Airways Ltd.	25,282		104,207
QBE Insurance Group Ltd.	22,706		515,174
Rinker Group Ltd.	26,312		372,520
Rio Tinto Ltd.	8,044		468,312
Santos Ltd.	17,611		137,056
Sonic Healthcare Ltd.	6,818		79,954
Stockland	38,517		251,077
Suncorp-Metway Ltd.	15,949		255,612
Sydney Roads Group	22,893		23,810
Symbion Health Ltd.	18,392		54,883
Tabcorp Holding Ltd.	15,578		206,912
Tattersall’s Ltd.	30,108		92,709
Telstra Corp. Ltd.	81,949		267,797
Telstra Corp. Ltd. Inst Receipt (b)	42,480		90,200
Toll Holdings Ltd.	14,560		209,719
Tower Australia Group Ltd. (b)	5,894		14,190
Transurban Group	22,782		136,796
Wesfarmers Ltd.	10,678		316,077
Westfield Group	43,126		712,908
Westpac Banking Corp.	52,210		996,177
Woodside Petroleum Ltd.	13,254		397,075
Woolworths Ltd.	33,315		627,536
WorleyParsons Ltd.	4,972		83,495
Zinifex Ltd.	13,604		200,513

			20,307,416

Austria (0.61%)
Andritz AG	285		61,779
BETandWIN.com Interactive
Entertainment AG (b)	614		12,963
Boehler-Uddeholm	1,174		82,042
Erste Bank Der Oester Spark	5,211		398,993
Flughafen Wien AG	288		28,326
IMMOEAST Immobilien Anlagen AG (b)	7,867		110,463
Immofinanz Immobilien Anlagen AG (b)	12,797		182,243
Mayr-Melnhof Karton AG	179		33,536
Meinl European Land Ltd. (b)	4,561		117,051
Oest Elektrizatswirts AG Class A	2,180		115,971


	Shares	Value
Common Stocks (Cont.)
Austria (Cont.)
OMV AG	4,698	$	266,392
Raiffeisen International Bank Holding	991		150,687
RHI AG (b)	901		46,030
Telekom Austria AG	10,442		278,825
VoestAlpine AG	2,507		141,331
Wiener Staedtische Allgemeine Versicherung AG	1,135		79,658
Wienerberger AG	1,992		118,155

			2,224,445

Belgium (1.24%)
Agfa Gevaert NV	2,844		72,483
Barco NV	307		27,965
Bekaert NV	405		50,531
Belgacom SA	5,019		220,725
Cofinimmo	189		37,967
Colruyt SA	497		106,040
Compagnie Maritime Belge SA	530		22,827
D’Ieteren NV	84		29,873
Delhaize Group	2,131		177,249
Dexia	16,266		444,507
Euronav SA	636		19,001
Fortis	33,450		1,423,822
Groupe Bruxelles Lambert SA	2,094		251,141
InBev NV	5,187		341,297
KBC GROEP NV	5,248		642,456
Mobistar SA	836		71,225
Omega Pharma SA	599		45,076
Solvay SA	1,760		269,684
UCB SA	2,453		168,104
Umicore	655		111,296

			4,533,269

Denmark (0.83%)
A P Moller-Maersk A/S	31		290,870
Bang & Olufsen Class B	395		50,792
Carlsberg A/S Class B	899		89,024
Codan A/S	387		37,529
Coloplast Class B	708		63,887
Dampskibsselskabet Torm A/S	450		29,404
Danisco A/S	1,515		128,746
Danske Bank	13,976		619,341
DSV De Sammenslut Vogn Class B	580		105,723
East Asiatic Co. Ltd. A/S	700		39,119
FLSmidth & Co. A/S (b)	1,216		77,180
GN Store Nord	6,110		90,011
H. Lundbeck A/S	1,542		42,430
Jyske Bank A/S (b)	1,743		123,294
NKT Holding A/S	538		47,461
Novo Nordisk A/S	6,860		571,219
Novozymes A/S Class B	1,549		132,829
Sydbank A/S	1,850		88,249


	Shares	Value
Common Stocks (Cont.)
Denmark (Cont.)
Topdanmark A/S (b)	514	$	84,770
Trygvesta A/S	700		53,268
Vestas Wind Systems A/S (b)	5,315		223,680
William DeMant Holding (b)	774		62,679

			3,051,505

Finland (1.42%)
Amer Group	2,082		45,812
Cargotec Corp.	1,028		56,947
Elisa Corp. Class A	4,593		125,592
Fortum OYJ	12,443		353,387
KCI Konecranes OYJ	1,388		40,714
Kesko OYJ	1,987		104,815
Kone Corp. OYJ Class B	2,056		116,267
Metso OYJ	3,638		183,186
Neste Oil OYJ	3,731		113,061
Nokia OYJ	116,891		2,373,717
Nokian Renkaat OYJ	2,750		56,167
OKO Bank	2,696		45,093
Orion OYJ Class B (b)	2,045		44,381
Outokumpu OYJ	2,996		116,794
Rautaruukki OYJ	2,314		91,657
Sampo Insurance Co.	11,757		314,011
SanomaWSOY OYJ	1,789		50,310
Stora Enso OYJ R Shares	17,225		271,597
Tietoenator Corp. OYJ	2,312		74,366
UPM-Kymmene OYJ	14,893		375,221
Uponor OYJ	1,644		61,280
Wartsila OYJ Class B	1,724		92,457
YIT OYJ	3,407		93,922

			5,200,754

France (9.81%)
Accor SA	5,884		454,986
Air France	3,523		147,896
Air Liquide	3,408		807,498
Alcatel-Lucent	65,933		940,669
Alstom (b)	3,161		426,628
Atos Origin (b)	1,969		116,433
AXA	47,436		1,912,218
BIC SA	856		59,561
BNP Paribas	23,712		2,579,597
Bouygues	5,791		370,778
Business Objects SA (b)	2,599		101,951
Cap Gemini	3,630		227,111
Carrefour SA	17,116		1,035,941
Casino Guichard Perrachon	1,199		111,147
CNP Assurances	1,115		124,134
Compagnie De Saint-Gobain	8,863		742,646
Credit Agricole SA	17,019		713,404
Dassault Systemes SA	1,552		82,045
Essilor International	2,805		301,141


	Shares	Value
Common Stocks (Cont.)
France (Cont.)
Euronext	2,520	$	296,818
European Aeronautic Defense	9,283		318,516
France Telecom SA	48,334		1,333,546
Gaz de France	5,689		261,162
Gecina SA	342		65,303
Groupe Danone	6,802		1,028,623
Hermes International SCA	1,859		232,397
Imerys SA	948		84,240
Klepierre	508		95,769
L’Oreal	8,183		817,991
Lafarge SA	4,261		633,380
Lagardere SCA	3,419		274,579
LVMH Moet Hennessy Louis Vuitton SA	6,940		730,056
M6 Metropole Television	1,858		66,283
Michelin Class B	4,088		390,499
Neopost SA	924		115,923
PagesJaunes SA	3,355		66,675
Pernod-Ricard	2,145		491,759
Peugeot SA	4,351		288,080
PPR SA	1,952		291,045
Publicis Groupe SA	3,766		158,637
Renault SA	5,263		630,193
Safran SA	4,878		112,852
Sanofi-Aventis	28,944		2,668,667
Schneider Electric SA	6,491		718,373
SCOR SA	26,745		78,971
Societe des Autoroutes Paris	809		64,507
Societe Generale Class A	10,391		1,757,853
Societe Television Francaise 1	3,413		126,482
Sodexho Alliance	2,848		178,394
STMicroelectronics NV	19,301		356,334
Suez SA	29,048		1,501,309
Technip-Coflexip SA	2,907		199,398
Thales SA	2,430		120,939
Thomson SA	7,396		144,460
Total SA	63,137		4,543,192
Unibail	1,275		310,950
Valeo	2,176		90,398
Vallourec SA	1,032		298,234
Veolia Environnement	8,203		625,595
Vinci SA	6,103		777,840
Vivendi	32,959		1,285,548
Zodiac SA	1,102		73,892

			35,961,446

Germany (7.12%)
Adidas-Salomon AG	5,800		288,871
Allianz SE Reg.	12,313		2,502,710
Altana AG	1,971		121,997
BASF AG	14,628		1,421,937
Bayer AG	20,743		1,107,811
Beiersdorf AG	1,383		89,422
Bilfinger Berger AG	1,074		78,282


	Shares	Value
Common Stocks (Cont.)
Germany (Cont.)
Celesio AG	2,376	$	127,056
Commerzbank AG	17,666		668,026
Continental AG	3,712		430,026
DaimlerChrysler AG	26,114		1,604,302
Depfa Bank PLC	9,853		175,933
Deutsche Bank AG	14,742		1,958,534
Deutsche Boerse AG	2,891		531,257
Deutsche Lufthansa	6,549		179,441
Deutsche Post AG	22,194		668,103
Deutsche Postbank AG	2,343		197,369
Deutsche Telekom AG	80,726		1,467,201
Douglas Holding AG	835		43,111
E.On AG	17,737		2,395,291
Fresenius Medical Care	1,875		249,362
Heidelberger Druckmaschinen	1,592		75,082
Hochtief AG	1,361		98,936
Hypo Real Estate Holding	3,803		238,629
Infineon Technologies AG (b)	21,306		298,969
IVG Immobilien AG	2,488		106,497
Karstadtquelle AG (b)	1,592		45,874
Linde AG	3,075		316,847
MAN AG	3,787		340,819
Merck KGaA	1,394		144,323
Metro AG	4,208		267,639
MLP AG	1,705		33,661
Muenchener Rueckvers AG	5,560		953,758
Premiere AG (b)	1,686		28,262
Puma AG	334		129,691
QIAGEN NV (b)	4,066		62,432
Rheinmetall AG	969		73,332
RWE AG	12,709		1,393,796
Salzgitter AG	1,108		143,548
SAP AG	25,236		1,338,331
Siemens AG	24,114		2,366,558
Solarworld AG	1,100		68,553
Suedzucker AG	1,682		40,582
ThyssenKrupp AG	10,318		483,849
TUI AG (b)	6,201		123,679
Volkswagen AG	4,867		551,470
Wincor Nixdorf AG	523		80,801

			26,111,960

Greece (0.65%)
Alpha Bank AE	11,289		340,358
Bank of Piraeus	6,097		195,942
Coca-Cola Hellenic Bottling	2,970		115,878
Cosmote Mobile Telecommunication	2,750		81,153
EFG Eurobank Ergasias	6,732		243,229
Folli-Follie SA	400		15,755
Greek Org of Football Prognostics SA	6,370		245,994
Hellenic Exchanges SA	1,570		28,890
Hellenic Petroleum SA	3,019		41,404
Hellenic Technodomiki Tev SA	3,096		34,482


	Shares	Value
Common Stocks (Cont.)
Greece (Cont.)
Hellenic Telecommunications Org. (b)	8,819	$	263,839
Intracom SA (b)	2,430		16,392
Motor Oil (Hellas) Corinth Refineries SA	1,010		26,025
National Bank of Greece	10,788		494,826
Public Power Corp.	3,059		77,343
Technical Olympic SA	2,490		8,310
Titan Cement Co. SA	1,870		101,587
Viohalco, Hellenic Copper and
Aluminum Industry SA	2,850		35,395

			2,366,802

Hong Kong (1.76%)
ASM Pacific Technology	6,000		33,358
Bank of East Asia Ltd.	42,005		237,117
BOC Hong Kong Holdings Ltd.	105,000		284,387
Cathay Pacific Airways Ltd.	30,000		73,791
Cheung Kong Holdings Ltd.	44,000		540,509
Cheung Kong Infrastructure	12,000		37,182
CLP Holdings Ltd.	51,283		378,539
Esprit Holdings Ltd.	28,000		311,877
Foxconn International Holdings Ltd. (b)	61,000		198,956
Giordano International Ltd.	44,000		23,963
Hang Lung Properties Ltd.	52,000		130,453
Hang Seng Bank Ltd.	21,774		297,285
Henderson Land Development Co. Ltd.	21,000		117,069
Hong Kong & China Gas Co. Ltd.	106,534		239,539
Hong Kong Electric	40,000		195,596
Hong Kong Exchange & Clearing	30,000		328,414
Hopewell Holdings	16,000		56,009
Hutchison Telecommunications
International Ltd. (b)	38,000		95,858
Hutchison Whampoa Ltd.	61,210		620,556
Hysan Development Co.	17,000		44,441
Johnson Electric Holdings	44,716		30,594
Kerry Properties Ltd.	16,000		74,795
Kingboard Chemicals Holdings Co. Ltd.	16,000		62,829
Li & Fung Ltd.	63,000		195,604
Link REIT	60,000		123,301
Melco International Development Ltd.	21,000		49,710
MTR Corp.	40,000		100,444
New World Development	70,800		141,900
Orient Overseas International Ltd.	6,600		41,906
PCCW Ltd.	106,000		64,447
Shangri-La Asia Ltd.	38,271		98,449
Shun Tak Holdings Ltd.	26,000		39,657
Sino Land Co.	42,000		97,680
Solomon Systech International Ltd.	46,000		7,135
Sun Hung Kai Properties Ltd.	39,000		446,710
Swire Pacific Ltd. Class A	27,000		289,518
Techtronic Industries	33,500		43,308
Television Broadcasts Ltd.	8,000		48,857
Texwinca Holdings Ltd.	18,000		12,473


	Shares	Value
Common Stocks (Cont.)
Hong Kong (Cont.)
Wharf Holdings Ltd.	35,114	$	129,488
Wing Hang Bank Ltd.	5,500		64,554
Yue Yuen Industrial Holdings	19,000		60,282

			6,468,540

Ireland (0.89%)
Allied Irish Bank PLC	25,032		747,122
Bank of Ireland	27,794		639,975
C&C Group PLC	8,633		153,155
CRH PLC	15,344		638,226
DCC PLC	2,156		73,234
Elan Corp. PLC (b)	11,939		173,029
Fyffes PLC	8,271		19,492
Grafton Group PLC (b)	6,064		101,107
Greencore Group PLC	4,782		29,615
IAWS Group PLC	2,956		75,721
Independent News & Media PLC	16,318		64,810
Irish Life & Permanent PLC	7,589		209,151
Kerry Group PLC Class A	3,805		95,032
Kingspan Group PLC	3,636		96,407
Paddy Power PLC	1,406		27,919
Ryanair Holdings PLC (b)	9,352		128,759

			3,272,754

Italy (3.84%)
Alleanza Assicurazioni	12,056		160,636
Arnoldo Mondadori Editore	3,562		37,192
Assicurazione Generali Itl	27,150		1,189,013
Autogrill SpA	3,779		69,353
Autostrade SpA	8,046		230,853
Banca Intesa	26,794		195,140
Banca Intesa SpA	111,404		857,966
Banca Monte Dei Paschi Siena SpA	32,096		207,257
Banca Popolare Di Verona SpA	10,569		302,787
Banche Popolari Unite SCRL	9,845		270,029
Banco Popolare di Milano SCRL	11,828		204,550
Benetton Group	1,758		33,498
Bulgari SpA	4,232		59,900
Capitalia SpA	48,740		459,895
Enel SpA	123,320		1,270,994
ENI SpA	74,328		2,500,042
Fiat SpA (b)	15,710		299,706
Finmeccanica SpA	8,476		229,178
Fondiaria-Sai SpA	1,993		95,077
Gruppo Editoriale L’Espresso	5,499		29,845
Italcementi SpA	2,020		56,853
Lottomatica SpA	1,528		63,428
Luxottica Group SpA	3,880		118,933
Mediaset SpA	22,348		264,662
Mediobanca SpA	13,878		326,995
Mediolanum SpA	7,055		57,359
Pirelli & Co. SpA	76,738		76,296


	Shares	Value
Common Stocks (Cont.)
Italy (Cont.)
SanPaolo IMI SpA	31,865	$	739,480
Seat Pagine Gaille	118,660		70,566
Snam Rete Gas	26,949		152,692
Telecom Italia RNC SpA	174,119		440,941
Telecom Italia SpA	308,185		928,499
Terna SpA	34,180		115,693
Tiscali SpA (b)	7,820		26,058
UniCredito Italiano SpA	222,809		1,947,742

			14,089,108

Japan (22.50%)
77 Bank Ltd.	10,000		63,320
ACCESS Co. Ltd. (b)	6		27,585
Acom Co. Ltd.	2,080		69,705
Aderans Co. Ltd.	900		22,311
Advantest Corp.	4,580		262,560
Aeon Co. Ltd.	18,200		393,636
Aeon Credit Service Co. Ltd.	2,400		45,454
Aiful Corp.	2,300		64,495
Aisin Seiki Co. Ltd.	5,500		184,404
Ajinomoto Co. Inc.	17,000		224,708
Alfresa Holdings Corp.	600		36,291
All Nippon Airways Co. Ltd.	19,000		67,122
Alps Electric Co. Ltd.	5,000		54,194
Amada Co. Ltd.	10,000		105,876
Amano Corp.	2,000		25,075
Aoyama Trading Co. Ltd.	1,600		47,998
ARRK Corp.	1,500		22,484
Asahi Breweries Ltd.	11,100		177,378
Asahi Glass Co. Ltd.	27,000		323,567
Asahi Kasei Corp.	35,000		229,468
Asatsu DK Inc.	800		25,364
ASICS Corp.	4,000		50,174
Astellas Pharma Inc.	15,451		700,394
Autobacs Seven Co. Ltd.	600		21,915
Bank of Fukuoka Ltd.	17,000		123,663
Bank of Kyoto	7,000		65,118
Bank of Yokohama Ltd.	34,000		265,540
Benesse Corp.	1,900		72,405
Bridgestone Corp.	17,400		388,301
Canon Inc.	30,500		1,717,155
Canon Sales Co. Inc.	2,000		45,404
Casio Computer Co. Ltd.	6,200		140,565
Central Glass Co. Ltd.	6,000		34,347
Central Japan Railway Co.	44		453,494
Chiba Bank Ltd.	21,000		177,236
Chiyoda Corp.	4,000		78,196
Chubu Electric Power Co. Inc.	19,000		567,730
Chugai Pharmaceutical Co. Ltd.	8,000		164,702
Circle K Sunkus Co. Ltd.	1,100		19,519
Citizen Watch Co. Ltd.	10,300		78,619
Coca-Cola West Japan Co. Ltd.	1,200		27,788
Comsys Holdings Corp.	3,000		33,147


	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Credit Saison Co. Ltd.	4,600	$	158,015
CSK Corp.	1,900		80,958
Dai Nippon Printing Co. Ltd.	18,000		277,515
Daicel Chemical Industries	8,000		56,462
Daido Steel Co. Ltd.	10,000		66,380
DAIFUKU Co. Ltd.	2,000		31,534
Daiichi Sanyko Co. Ltd.	20,713		646,118
Daikin Industries Ltd.	6,700		232,685
Dainippon Ink & Chemical Inc.	18,000		70,161
Dainippon Screen Manufacturing Co. Ltd.	7,000		62,778
Daito Trust Construction Co. Ltd.	2,600		119,360
Daiwa House Industry Co. Ltd.	15,000		259,949
Daiwa Securities Group Inc.	36,000		402,919
Denki Kagaku Kogyo KK	14,000		58,096
Denso Corp.	15,200		602,692
Dentsu Inc.	52		152,486
Dowa Mining Co. Ltd.	8,000		68,529
E*Trade Securities Co. Ltd.	42		39,829
eAccess Ltd.	34		19,143
East Japan Railway Co.	97		646,588
Ebara Corp.	9,000		34,445
EDION Corp.	1,900		28,162
Eisai Co. Ltd.	7,200		395,534
Electric Power Development	4,680		205,933
Elpida Memory Inc. (b)	2,700		148,285
Familymart Co. Ltd.	1,900		51,649
Fanuc Ltd.	5,200		510,337
Fast Retailing	1,500		142,905
Fuji Electric Holdings Co. Ltd.	15,000		81,196
Fuji Photo Film Co. Ltd.	13,900		572,515
Fuji Soft ABC Inc.	800		18,981
Fuji Television Network Inc.	20		45,605
Fujikura Ltd.	11,000		96,701
Fujitsu Ltd.	54,000		423,116
Furukawa Electric Co. Ltd.	18,000		112,876
Glory Ltd.	1,600		28,073
Goodwill Group Inc.	36		29,323
Gunma Bank Ltd.	11,000		66,128
Gunze Ltd.	5,000		25,103
Hakuhodo DY Holdings Inc.	760		49,346
Hankyu Department Stores	5,000		41,620
Hankyu Hanshin Holdings Inc.	34,000		193,294
HASEKO Corp. (b)	21,000		74,939
Hikari Tsushin Inc.	600		26,327
Hino Motors Ltd.	8,000		41,029
Hirose Electric Co. Ltd.	900		102,062
Hitachi Cable Ltd.	4,000		22,459
Hitachi Capital Corp.	1,400		26,678
Hitachi Chemical Co. Ltd.	3,100		85,424
Hitachi Construction Machine	3,000		80,563
Hitachi High-Technologies Corp.	1,500		44,494
Hitachi Ltd.	95,000		591,745


	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Hokkaido Electric Power	5,300	$	135,358
Hokuhoku Financial Group Inc.	36,000		131,715
Honda Motor Co. Ltd.	44,600		1,760,325
House Foods Corp.	2,200		36,237
Hoya Corp.	11,700		456,029
Ibiden Co. Ltd.	3,800		191,131
Index Corp.	30		17,569
INPEX Holdings Inc. (b)	23		188,940
Isetan Co. Ltd.	5,000		90,040
Ishikawajima-Harima Heavy Industries Co. Ltd.	35,000		118,163
Ito En Ltd.	1,600		48,771
Itochu Corp.	43,000		352,473
Itochu Techno-Science Corp.	900		47,848
JAFCO Co. Ltd.	1,000		49,350
Japan Airlines Corp. (b)	23,000		40,925
Japan Prime Investment Corp.	11		39,937
Japan Real Estate Investment	11		118,214
Japan Retail Fund Investment	10		81,471
Japan Steel Works Ltd.	11,000		85,912
Japan Tobacco Inc.	130		628,349
JFE Holdings Inc.	15,800		812,398
JGC Corp.	6,000		102,946
Joyo Bank Ltd.	21,000		115,887
JS Group Corp.	7,500		157,719
JSR Corp.	5,000		129,454
JTEKT Corp.	5,100		107,962
Kajima Corp.	25,000		109,458
Kaken Pharmaceutical Co. Ltd.	2,000		15,598
Kamigumi Co. Ltd.	7,000		57,291
Kaneka Corp.	8,000		72,695
Kansai Electric Power	21,700		584,165
Kansai Paint Co. Ltd.	7,000		55,442
Kao Corp.	14,000		376,753
Katokichi Co. Ltd.	2,700		21,889
Kawasaki Heavy Industries Ltd.	37,000		138,593
Kawasaki Kisen Kaisha Ltd.	14,000		109,431
KDDI Corp.	69		468,415
Keihin Electric Express Railway	12,000		82,637
Keio Corp.	15,000		97,057
Keisei Electric Co.	8,000		45,431
Keyence Corp.	1,068		263,624
Kikkoman Corp.	4,000		48,247
Kinden Corp.	4,000		32,364
Kintetsu Corp.	45,000		131,026
Kirin Brewery Co. Ltd.	22,000		345,677
KK DaVinci Advisors (b)	31		30,724
Kobe Steel Ltd.	78,000		266,884
Kokuyo Co. Ltd.	2,100		33,181
Komatsu Ltd.	26,000		526,237
Komori Corp.	2,000		37,249
Konami Corp.	2,600		78,652
Konica Minolta Holdings Inc. (b)	14,000		197,578


	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Kose Corp.	880	$	26,596
Kubota Corp.	31,000		287,090
Kuraray Co. Ltd.	11,000		129,748
Kurita Water Industries Ltd.	3,000		64,706
Kyocera Corp.	4,600		434,850
Kyowa Hakko Kogyo Co. Ltd.	10,000		85,466
Kyushu Electric Power	11,400		300,630
Lawson Inc.	1,600		57,246
Leopalace21 Corp.	3,600		114,997
Mabuchi Motor Co. Ltd.	800		47,532
Makita Corp.	3,000		91,949
Marubeni Corp.	42,000		212,791
Marui Co. Ltd.	9,000		104,783
Matsui Securities Co. Ltd.	3,000		22,769
Matsumotokiyoshi Co. Ltd.	1,000		22,171
Matsushita Electric Industries	56,000		1,122,883
Matsushita Electric Works	9,114		105,689
Mediceo Paltac Holdings Co. Ltd.	4,900		92,732
Meiji Dairies Corp.	7,000		55,021
Meiji Seika Kaisha Ltd.	9,000		43,025
Meitec Corp.	1,000		30,307
Millea Holdings Inc.	20,900		740,242
Minebea Co. Ltd.	10,000		69,733
Mitsubishi Chemical Holdings Corp.	33,500		210,944
Mitsubishi Corp.	38,500		723,367
Mitsubishi Electric Corp.	55,000		501,184
Mitsubishi Estate Co. Ltd.	33,000		852,699
Mitsubishi Gas Chem Co.	11,000		115,092
Mitsubishi Heavy Industries Ltd.	92,000		417,393
Mitsubishi Logistics Corp.	3,000		46,395
Mitsubishi Materials Corp.	27,000		101,295
Mitsubishi Rayon Co. Ltd.	15,000		100,686
Mitsubishi UFJ Financial Group Inc.	246		3,051,826
Mitsubishi UFJ Securities Co. Ltd.	8,000		88,970
Mitsui & Co. Ltd.	44,000		659,291
Mitsui Chemicals Inc.	19,000		146,075
Mitsui Engineering & Shipbuilding	19,000		61,718
Mitsui Fudosan Co. Ltd.	24,000		584,741
Mitsui Mining & Smelting Co.	17,000		85,143
Mitsui OSK Lines Ltd.	31,000		306,177
Mitsui Sumitomo Insurance Co.	35,000		381,804
Mitsui Trust Holding Inc.	17,000		194,220
Mitsukoshi Ltd.	12,000		56,095
Mitsumi Electric Co. Ltd.	1,600		35,148
Mizuho Financial Group Inc.	274		1,954,433
Murata Manufacturing Co. Ltd.	5,800		391,357
Namco Bandai Holdings Inc.	6,000		88,243
NEC Corp.	58,000		278,120
NEC Electronics Corp. (b)	1,000		29,147
Net One Systems Co. Ltd.	13		17,164
NGK Insulators Ltd.	8,000		123,691
NGK Spark Plug Co. Ltd.	5,000		93,946
NHK Spring Co. Ltd.	4,000		41,953


	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Nichirei Corp.	8,000	$	44,805
Nidec Corp.	3,000		232,183
Nikko Cordial Corp.	23,500		269,500
Nikon Corp.	8,000		175,359
Nintendo Co. Ltd.	2,800		724,888
Nippon Building Fund Inc.	13		172,639
Nippon Electric Glass Co. Ltd.	6,000		125,812
Nippon Express Co. Ltd.	22,000		120,370
Nippon Kayaku Co. Ltd.	5,000		39,939
Nippon Light Metal Co. Ltd.	15,000		38,442
Nippon Meat Packers Inc.	5,000		54,499
Nippon Mining Holdings Inc.	25,000		179,666
Nippon Oil Corp.	37,000		247,435
Nippon Paper Group Inc.	25		94,145
Nippon Sheet Glass Co. Ltd.	10,000		46,830
Nippon Shokubai Co. Ltd.	3,000		31,934
Nippon Steel Corp.	174,000		998,243
Nippon Telegraph & Telephone Corp.	148		729,860
Nippon Yusen Kabushiki Kaish	30,000		219,389
Nishi-Nippon City Bank Ltd.	16,000		69,018
Nishimatsu Construction Co.	7,000		23,084
Nissan Chemical Industries	5,000		62,059
Nissan Motor Co. Ltd.	64,100		773,476
Nisshin Seifun Group Inc.	5,500		56,759
Nisshin Steel Co. Ltd.	26,000		96,412
Nisshinbo Industries Inc.	5,000		51,763
Nissin Food Products Co. Ltd.	2,600		96,302
Nitori Co. Ltd.	900		38,951
Nitto Denko Corp.	4,700		234,784
NOK Corp.	3,100		61,135
Nomura Holdings Inc.	50,300		948,897
Nomura Real Estate Office Fund Inc.	7		64,133
Nomura Research Institute	600		86,933
NSK Ltd.	13,000		128,065
NTN Corp.	12,000		107,494
NTT Data Corp.	35		175,217
NTT DoCoMo Inc.	531		840,217
NTT Urban Development Corp.	35		67,651
Obayashi Corp.	18,000		116,690
OBIC Co. Ltd.	200		41,450
Odakyu Electric Railway Co.	18,000		114,916
Oji Paper Co. Ltd.	21,000		111,255
Oki Electric Industries Co. Ltd.	16,000		35,507
OKUMA Corp.	4,000		46,107
Okumura Corp.	5,000		24,649
Olympus Corp.	7,000		219,691
Omron Corp.	6,500		183,896
Onward Kashiyama Co. Ltd.	4,000		50,993
Oracle Corp.	900		41,644
Oriental Land Co. Ltd.	1,400		73,196
Orix Corp.	2,580		748,180
Osaka Gas Co. Ltd.	57,000		211,861
OSG Corp.	2,000		32,737


	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
OTSUKA Corp.	400	$	40,588
Park24 Co. Ltd.	2,400		30,683
Pioneer Corp.	4,400		60,236
Promise Co. Ltd.	2,500		77,411
QP Corp.	4,300		37,193
Rakuten Inc.	185		86,174
Resona Holdings Inc.	131		357,364
Ricoh Co. Ltd.	19,000		386,941
Rinnai Corp.	900		26,875
Rohm Co. Ltd.	3,100		308,405
Round One Corp.	12		35,400
Ryohin Keikaku Co. Ltd.	700		53,566
Sanken Electric Co. Ltd.	3,000		36,928
Sankyo Co. Ltd.	1,400		77,286
Santen Pharmaceutical Co. Ltd.	2,100		59,073
Sanwa Shutter Corp.	6,000		35,409
Sanyo Electric Co. Ltd. (b)	44,000		55,738
Sapporo Breweries	7,000		39,889
Sapporo Hokuyo Holdings Inc.	8		77,208
SBI Holdings Inc.	283		95,160
Secom Co. Ltd.	6,000		310,647
Sega Sammy Holdings Inc.	5,068		136,237
Seiko Epson Corp.	3,700		89,762
Seino Holdings Co. Ltd.	4,000		37,606
Sekisui Chemical	14,000		111,430
Sekisui House Ltd.	15,000		217,849
Seven & I Holdings Co. Ltd.	23,640		735,086
SFCG Co. Ltd.	160		24,853
Sharp Corp.	29,000		498,628
Shimachu Co. Ltd.	1,500		43,461
Shimamura Co. Ltd.	600		68,744
Shimano Inc.	2,200		63,856
Shimizu Corp.	17,000		84,871
Shin-Etsu Chemical Co. Ltd.	11,100		740,940
Shinko Electric Industries Co. Ltd.	1,900		49,514
Shinko Securities Co. Ltd.	13,000		50,428
Shinsei Bank Ltd.	38,000		223,356
Shionogi & Co. Ltd.	9,000		176,752
Shiseido Co. Ltd.	10,000		216,482
Shizuoka Bank Ltd.	17,000		168,438
Showa Denko K.K.	31,000		118,907
Showa Shell Sekiyu K.K.	5,200		58,198
SMC Corp.	1,600		226,439
Softbank Corp.	21,100		408,784
Sojitz Corp. (b)	10,000		30,366
Sompo Japan Insurance Inc.	24,000		292,350
Sony Corp.	28,600		1,224,802
Stanley Electric Co. Ltd.	4,900		97,891
SUMCO Corp.	1,300		109,864
Sumitomo Bakelite Co. Ltd.	5,000		34,532
Sumitomo Chemical Co. Ltd.	42,000		325,015
Sumitomo Corp.	30,000		449,092
Sumitomo Electric Industries	20,600		320,820


	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Sumitomo Heavy Industries	17,000	$	178,156
Sumitomo Metal Industries Ltd.	116,000		503,639
Sumitomo Metal Mining Co. Ltd.	15,000		192,385
Sumitomo Mitsui Financial Group Inc.	175		1,791,743
Sumitomo Osaka Cement Co. Ltd.	11,000		35,959
Sumitomo Realty & Development Co. Ltd.	11,000		352,652
Sumitomo Rubber Industries	4,900		63,208
Sumitomo Titanium Corp.	600		66,980
Sumitomo Trust & Banking	36,000		376,935
Suruga Bank Ltd.	6,000		74,307
Suzuken Co. Ltd.	2,040		76,699
T&D Holdings Inc.	6,700		442,326
Taiheiyo Cement Corp.	26,000		101,825
Taisei Corp.	28,000		85,230
Taisho Pharmaceutical Co. Ltd.	5,000		90,739
Taiyo Nippon Sanso Corp.	8,000		71,844
Taiyo Yuden Co. Ltd.	3,000		53,009
Takara Holdings Inc.	5,000		32,187
Takashimaya Co. Ltd.	8,000		113,007
Takeda Pharmaceutical Co. Ltd.	25,400		1,740,815
Takefuji Corp.	3,100		122,624
Tanabe Seiyaku Co. Ltd.	6,000		78,461
TDK Corp.	3,700		294,596
Teijin Ltd.	23,000		141,607
Terumo Corp.	4,700		184,315
The Daimaru Inc.	6,000		81,389
THK Co. Ltd.	3,500		90,093
TIS Inc.	1,000		23,671
Tobu Railway Co. Ltd.	24,000		115,904
Toda Corp.	6,000		25,404
Toho Co. Ltd.	3,800		68,485
Toho Titanium Co. Ltd.	900		47,259
Tohoku Electric Power	12,700		317,441
Tokai Rika Co. Ltd.	1,700		43,217
Tokuyama Corp.	7,000		106,128
Tokyo Broadcasting System	1,000		33,320
Tokyo Electric Power Co.	34,700		1,121,029
Tokyo Electron Ltd.	4,700		369,691
Tokyo Gas Co. Ltd.	64,000		339,807
Tokyo Seimitsu Co. Ltd.	900		42,431
Tokyo Steel Mfg. Co. Ltd.	3,000		46,775
Tokyo Style Co. Ltd.	2,000		21,606
Tokyo Tatemono Co. Ltd.	8,000		88,963
Tokyu Corp.	31,000		198,355
Tokyu Land Corp.	12,000		112,851
TonenGeneral Sekiyu KK	9,000		89,085
Toppan Printing Co. Ltd.	16,000		176,272
Toray Industries Inc.	38,000		284,193
Toshiba Corp.	83,000		539,351
Tosoh Corp.	14,000		61,744
Toto Ltd.	9,000		89,730
Toyo Seikan Kaisha Ltd.	4,600		76,102


	Shares	Value
Common Stocks (Cont.)
Japan (Cont.)
Toyo Suisan Kaisha Ltd.	3,000	$	48,058
Toyobo Co. Ltd.	17,000		51,305
Toyoda Gosei Co. Ltd.	2,000		46,280
Toyota Industries Corp.	5,500		252,610
Toyota Motor Corp.	82,500		5,521,478
Toyota Tsusho Corp.	5,500		147,137
Trend Micro Inc. (b)	3,000		88,003
UBE Industries Ltd.	25,000		71,649
Uni-Charm Corp.	1,200		71,264
Uniden Corp.	2,000		13,699
UNY Co. Ltd.	5,000		65,199
Ushio Inc.	3,000		61,596
USS Co. Ltd.	710		46,218
Wacoal Corp.	3,000		40,771
West Japan Railway Co.	48		204,906
Yahoo! Japan Corp.	432		171,300
Yakult Honsha Co. Ltd.	3,200		91,767
Yamada Denki Co. Ltd.	2,390		202,866
Yamaha Corp.	5,100		108,048
Yamaha Motor Co. Ltd.	5,500		172,886
Yamato Holdings Co. Ltd.	11,000		168,824
Yamazaki Baking Co. Ltd.	3,000		29,119
Yaskawa Electric Corp.	6,000		69,355
Yokogawa Electric Corp.	6,000		94,979
Zeon Corp.	5,000		53,944

			82,493,537

Netherlands (3.59%)
ABN AMRO Holdings NV	51,827		1,661,508
Aegon NV	41,054		779,074
Akzo Nobel NV	7,693		468,774
ASML Holding NV (b)	13,963		344,586
Buhrmann NV	3,065		45,471
Corio NV	1,172		95,655
Fugro NV	1,585		75,605
Getronics NV	3,414		27,594
Hagemeyer NV (b)	15,589		78,793
Heineken NV	6,931		329,313
ING Groep NV	53,392		2,359,305
Koninklijke Ahold NV (b)	44,041		467,204
Koninklijke DSM NV	4,280		211,092
Koninklijke KPN NV	54,804		777,868
Koninklijke Numico NV (b)	4,932		264,850
Mittal Steel Co. NV	19,871		837,590
OCE NV	2,286		37,357
Philips Electronics NV	33,366		1,254,670
Randstad Holding NV (b)	1,345		92,744
Reed Elsevier NV	20,378		346,974
Rodamco Europe NV	1,495		198,522
SBM Offshore NV	3,900		133,832
TNT NV	11,852		509,495
Unilever NV-CVA	48,984		1,335,771


	Shares	Value
Common Stocks (Cont.)
Netherlands (Cont.)
Vedior NV-CVA	4,907	$	101,443
Wereldhave NV	663		88,159
Wolters Kluwer - CVA	8,109		232,630

			13,155,879

New Zealand (0.16%)
Auckland International Airport	37,656		58,074
Contact Energy Ltd.	8,708		51,030
Fisher & Paykel Appliances Class H	6,917		18,704
Fisher & Paykel Healthcare Class C	13,842		41,539
Fletcher Building Ltd.	12,305		95,764
Kiwi Income Property Trust	13,307		14,428
Sky City Entertainment Group	11,467		41,558
Sky Network Television Ltd.	3,770		17,373
Telecom Corp. of New Zealand	55,573		187,950
The Warehouse Group Ltd.	6,267		31,721
Tower Ltd. (b)	4,743		7,381
Vector Ltd.	3,324		5,897

			571,419

Norway (0.92%)
Acergy SA (b)	5,345		101,972
Aker Kvaerner ASA	812		100,714
Det Norske Oljeselskap (DNO) ASA (b)	24,000		43,957
DNB NOR ASA	19,036		269,359
Frontline Ltd.	1,500		48,258
Norsk Hydro ASA	20,508		633,025
Norske Skogindustrier ASA	4,521		77,572
Ocean Rig ASA (b)	5,300		38,857
Orkla AS Class A	5,298		298,771
Pan Fish ASA (b)	70,946		64,516
Petroleum Geo-Services (b)	4,986		117,149
Prosafe ASA	5,735		81,157
Schibsted ASA	1,284		45,828
SeaDrill Ltd. (b)	6,200		104,045
Statoil ASA	18,814		495,381
Stolt-Nielsen SA	1,018		31,021
Storebrand ASA	6,883		87,154
Tandberg ASA	3,586		53,798
Tandberg Television ASA (b)	2,212		27,593
Telenor ASA	22,252		416,971
TGS Nopec Geophysical Co. ASA (b)	2,600		53,636
Tomra Systems ASA	5,858		40,175
Yara International ASA	6,266		141,816

			3,372,725

Portugal (0.35%)
Banco BPI SA	10,426		81,221
Banco Comercial Portugues-R	61,545		227,154
Banco Espirito Santo	5,669		101,853
Brisa-Auto Estradas de Portugal SA	8,564		106,630
Cimpor-Cimentos De Portugal	6,758		55,998


	Shares	Value
Common Stocks (Cont.)
Portugal (Cont.)
Energias De Portugal SA	55,925	$	283,404
Jeronimo Martins	1,113		24,962
Portugal Telecom SGPS SA	22,585		292,860
PT Multimedia Servicos	2,826		36,375
Sonae Industria SGPS SA (b)	1,818		17,999
Sonae SGPS SA	26,818		53,366

			1,281,822

Singapore (0.95%)
Allgreen Properties Ltd.	21,000		17,900
Ascendas Real Estate Investment Trust	28,000		48,644
Capitaland Ltd.	36,128		145,383
Capitamall Trust	19,000		35,994
Chartered Semiconductor Mfg. Ltd. (b)	30,600		25,504
City Developments Ltd.	15,031		123,889
Comfortdelgro Corp. Ltd.	46,000		48,192
Cosco Corp. Singapore Ltd.	26,000		38,833
Creative Technology Ltd.	1,500		9,943
DBS Group Holdings Ltd.	32,445		476,325
Fraser and Neave Ltd.	26,500		77,394
Haw Par Corp. Ltd.	3,374		15,581
Jardine Cycle & Carriage Ltd.	4,015		38,612
Keppel Corp. Ltd.	16,001		182,951
Keppel Land Ltd.	9,000		40,391
Neptune Orient Lines Ltd.	13,000		17,644
Noble Group Ltd.	25,000		17,865
Olam International Ltd.	19,000		26,257
Oversea-Chinese Banking Corp.	72,000		360,414
Parkway Holdings Ltd.	23,100		47,091
Sembcorp Industries Ltd.	28,200		70,396
Sembcorp Marine Ltd.	13,000		28,787
Singapore Airlines Ltd.	15,000		170,808
Singapore Exchange Ltd.	25,000		92,299
Singapore Land Ltd.	6,000		33,538
Singapore Petroleum Co. Ltd.	4,000		11,371
Singapore Post Ltd.	38,000		26,934
Singapore Press Holdings Ltd.	44,200		123,024
Singapore Technologies Engineering	39,381		78,925
Singapore Telecommunications	202,150		431,113
SMRT Corp. Ltd.	28,000		21,699
Stats Chippac Ltd. (b)	36,000		27,660
Suntec REIT	28,000		33,121
United Overseas Bank Ltd.	32,616		411,380
United Overseas Land Ltd.	12,461		35,131
Venture Corp. Ltd.	6,397		56,107
Want Want Holdings Ltd.	13,000		21,190
Wing Tai Holdings Ltd.	14,000		20,812

			3,489,102

Spain (4.09%)
Abertis Infraestructuras SA	6,713		198,976
AC. Acerinox	5,152		156,425


	Shares	Value
Common Stocks (Cont.)
Spain (Cont.)
Acciona SA	801	$	148,701
ACS Actividades de Cons Y Serv	7,179		403,728
Aguas de Barcelona SA	1,669		60,996
Aguas de Barcelona SA Temp Share (b)	16		586
Altadis SA	7,639		399,088
Antena 3 de Television SA	2,372		55,700
Banco Bilbao Vizcaya Argentaria SA	101,483		2,438,191
Banco Popular Espanol	24,475		442,773
Banco Santander Central Hispano SA	169,559		3,157,383
Cintra Concesiones De Infrae	5,768		96,448
Corporacion Mapfre SA	14,625		65,890
Ebro Puleva SA	2,485		62,851
Endesa SA	21,175		1,001,522
Fadesa Inmobiliaria SA	1,400		64,804
Fomento De Construct Y Contra	1,379		140,239
Gamesa Corp Technologica	4,907		134,633
Gas Natural SDG SA	5,124		202,324
Grupo Ferrovial	1,726		167,919
Iberdrola SA	23,080		1,006,161
Iberia (Lineas Aer De Espana)	12,205		44,389
Inditex	6,268		337,176
Indra Sistemas SA	3,438		84,242
NH Hoteles SA	2,552		50,494
Promotora De Infom SA	2,292		39,877
Repsol YPF SA	26,147		900,901
Sacyr Vallehermoso SA	2,839		168,097
Sogecable (b)	1,287		45,758
Telefonica SA	127,066		2,697,710
Union Fenosa SA	3,885		191,927
Zeltia SA (b)	4,768		35,045

			15,000,954

Sweden (2.61%)
Alfa Laval AB	2,743		123,359
Assa Abloy AB Class B	8,948		194,139
Atlas Copco AB Class A	9,768		327,063
Atlas Copco AB Class B	6,060		195,850
Axfood AB	665		27,466
Billerud Aktiebolag	1,796		31,846
Boliden AB	8,439		215,104
Castellum AB	3,916		52,132
D. Carnegie & Co. AB	1,887		40,519
Electrolux AB Class B	7,753		155,152
Elekta AB Class B	2,505		52,621
Eniro AB	4,693		61,902
Ericsson LM Class B	423,455		1,702,781
Fabege AB	2,719		72,762
Getinge AB Class B	4,985		111,593
Hennes & Mauritz AB Class B	13,578		684,809
Hoganas AB Class B	736		19,272
Holmen AB Class B	1,523		66,138


	Shares	Value
Common Stocks (Cont.)
Sweden (Cont.)
Husqvarna AB Class B (b)	7,753	$	120,932
Kungsleden AB	3,900		59,730
Lundin Petroleum AB (b)	5,750		66,740
Modern Times Group MTG AB
Class B (b)	1,492		97,752
Nobia AB	1,404		53,880
Nordea Bank AB	60,181		925,230
OMX AB (b)	2,116		38,826
Oriflame Cosmetics SA	1,050		43,109
Sandvik AB (b)	29,125		421,808
SAS AB (b)	2,285		38,708
Scania AB Class B	2,814		197,446
Securitas AB Class B (b)	8,524		131,624
Securitas Direct AB Class B (b)	8,524		27,019
Securitas Systems AB Class B (b)	8,524		34,490
Skandinaviska Enskilda Bank Class A	13,526		428,594
Skanska AB Class B	10,525		206,752
SKF AB Class B	11,481		211,205
SSAB Svenskt Stal AB Series A	4,584		108,224
SSAB Svenskt Stal AB Series B	1,956		43,926
Svenska Cellulosa AB Class B	5,263		274,246
Svenska Handelsbanken	14,716		443,979
Swedish Match AB	8,415		157,127
Tele2 AB Class B	8,751		127,474
Telelogic AB (b)	6,418		14,344
TeliaSonera AB	53,640		439,019
Trelleborg AB Class B	2,394		57,147
Volvo AB Class A	2,774		196,497
Volvo AB Class B	6,232		427,961
Wihlborgs Fastigheter AB	1,330		27,669

			9,555,966

Switzerland (6.89%)
ABB Ltd.	56,068		1,004,041
Adecco SA	3,841		261,789
Ciba Specialty Chemicals AG	1,902		126,274
Clariant AG (b)	6,575		98,107
Compagnie Financiere Richemont AG
Class A	14,936		866,843
Credit Suisse Group	33,787		2,355,561
Geberit AG Reg	112		172,114
Givaudan	190		175,449
Holcim Ltd.	5,680		519,451
Kudelski SA Bearer	1,008		37,835
Kuehne & Nagel International AG	1,535		111,513
Kuoni Reisen Holding (b)	78		41,712
Logitech International SA (b)	4,888		140,741
Lonza Group AG	1,044		89,987
Micronas Semiconductor (b)	1,010		22,183
Nestle SA	11,527		4,088,710
Nobel Biocare Holding AG (b)	645		190,254
Novartis AG	66,511		3,820,808


	Shares	Value
Common Stocks (Cont.)
Switzerland (Cont.)
Phonak Holding AG	1,309	$	103,872
PSP Swiss Property AG (b)	1,255		72,031
Rieter Holding AG	136		70,961
Roche Holding AG	20,070		3,590,795
Schindler Holding AG	1,560		97,759
Serono SA Class B	153		136,697
SGS SA	120		133,317
SIG Holding AG (b)	155		51,696
Straumann Holding AG	224		54,114
Sulzer AG	107		121,577
Swiss Reinsurance	9,668		819,372
Swisscom AG	571		215,621
Syngenta AG (b)	3,038		564,340
Synthes Inc. (b)	1,342		159,541
The Swatch Group AG	1,683		75,048
The Swatch Group AG Class B	971		213,940
UBS AG	57,011		3,450,175
Unaxis Holding AG (b)	184		90,706
Zurich Financial Services	4,135		1,109,367

			25,254,301

United Kingdom (23.51%)
3I Group PLC	13,887		273,804
Aegis Group PLC	27,692		75,676
Aggreko PLC	7,557		64,375
Alliance Boots PLC	24,050		393,678
AMEC PLC	9,756		80,182
Amvescap PLC	21,079		245,861
Anglo American PLC	40,696		1,980,581
ARM Holdings PLC	39,814		97,646
Arriva PLC	6,186		92,176
AstraZeneca PLC	44,726		2,396,954
Aviva PLC	72,376		1,161,087
BAE Systems PLC	92,030		765,105
Balfour Beatty PLC	11,946		103,282
Barclays PLC	185,273		2,645,348
Barratt Developments PLC	6,776		163,350
BBA Aviation PLC	11,914		63,432
Bellway PLC	3,184		96,034
BG Group PLC	99,528		1,353,380
BHP Billiton PLC	69,817		1,278,567
Biffa PLC	9,855		59,239
Bovis Homes Group PLC	3,401		71,983
BP PLC	569,458		6,350,134
British Airways PLC (b)	15,321		157,970
British American Tobacco PLC	44,432		1,244,164
British Land Co. PLC	14,703		491,893
British Sky Broadcasting PLC	33,808		345,643
Brixton PLC	6,836		76,856
BT Group PLC	238,500		1,409,078
Bunzl PLC	9,724		119,325
Burberry Group PLC	13,665		172,123
Cadbury Schweppes PLC	59,360		634,004


	Shares	Value
Common Stocks (Cont.)
United Kingdom (Cont.)
Capita Group PLC	18,672	$	221,394
Carnival PLC	4,845		244,757
Carphone Warehouse PLC	10,723		65,713
Cattles PLC	9,132		78,328
Centrica PLC	103,198		714,143
Charter PLC (b)	4,587		80,998
Close Brothers Group PLC	3,443		68,382
Cobham PLC	31,040		117,287
Collins Stewart PLC (b)	6,126		30,467
Compass Group PLC	60,741		344,112
Cookson Group PLC (b)	5,722		70,150
Corus Group PLC	25,082		259,256
CSR PLC (b)	3,553		44,970
Daily Mail & General Trust NV	8,451		118,304
De La Rue PLC	4,638		58,360
Diageo PLC	79,965		1,571,140
DSG International PLC	55,280		206,651
Electrocomponents PLC	13,264		75,898
EMAP PLC	6,223		97,966
EMI Group PLC	22,028		114,211
Enterprise Inns	9,836		260,040
Experian Group Ltd. (b)	29,139		341,224
First Choice Holidays PLC	13,633		75,743
FirstGroup PLC	11,683		131,039
FKI PLC	14,846		29,891
Friends Provident PLC	49,951		211,809
Galiform PLC (b)	17,686		47,413
Gallaher Group PLC	18,708		420,709
GKN PLC	20,220		109,752
GlaxoSmithKline PLC	166,060		4,370,874
Great Portland Estates	4,679		63,384
Group 4 Securicor PLC	32,208		117,994
Hammerson PLC	8,306		255,948
Hanson PLC	21,009		316,575
Hays PLC	44,196		137,448
HBOS PLC	108,527		2,399,166
HMV Group PLC	10,940		30,565
Home Retail Group	24,878		199,716
HSBC Holdings PLC	327,658		5,963,379
ICAP PLC	13,866		129,587
IMI PLC	11,221		110,947
Imperial Chemical Industries PLC	34,241		302,463
Imperial Tobacco Group PLC	20,004		787,332
Inchcape PLC	13,002		128,331
InterContinental Hotels Group PLC	11,109		274,418
International Power PLC	42,307		315,116
Intertek Group PLC	4,333		70,553
Invensys PLC (b)	21,360		114,580
Investec PLC	9,455		121,677
ITV PLC	116,811		242,947
Johnson Matthey PLC	6,371		175,305
Kelda Group PLC	10,762		194,593
Kesa Electricals PLC	15,494		102,650


	Shares	Value
Common Stocks (Cont.)
United Kingdom (Cont.)
Kingfisher PLC	66,462	$	309,892
Ladbrokes PLC	17,309		141,083
Land Securities Group PLC	13,452		610,093
Legal and General Group PLC	186,027		571,719
Liberty International PLC	7,551		206,083
Lloyds TSB Group PLC	159,726		1,795,584
LogicaCMG PLC	42,236		153,287
London Stock Exchange Group	4,510		115,302
Man Group PLC	50,436		514,809
Marks & Spencer Group PLC	47,889		671,117
Meggitt PLC	12,910		78,141
Michael Page International PLC	10,184		89,946
Misys PLC	15,108		63,772
National Express Group PLC	4,162		91,722
National Grid PLC	76,998		1,114,428
Next PLC	6,640		233,379
Old Mutual PLC	148,981		507,052
PartyGaming PLC	29,461		18,247
Pearson PLC	22,945		345,825
Persimmon PLC	7,881		235,141
Premier Farnell PLC	9,371		36,124
Provident Financial PLC	7,546		103,287
Prudential PLC	69,255		946,184
Punch Taverns PLC	7,142		178,586
Rank Group PLC	17,010		77,653
Reckitt Benckiser PLC	17,332		790,643
Reed Elsevier PLC	36,492		400,244
Rentokil Intial PLC	51,130		165,358
Resolution PLC	19,449		243,857
Reuters Group PLC	38,818		337,425
Rexam PLC	16,028		164,573
Rio Tinto PLC	30,061		1,593,133
Rolls Royce Group (b)	50,106		437,871
Royal Bank of Scotland Group	91,026		3,542,600
Royal Dutch Shell PLC Class A	107,370		3,743,754
Royal Dutch Shell PLC Class B	78,627		2,749,045
SABMiller PLC	25,720		590,566
Sage Group PLC	35,706		188,832
Sainsbury	41,658		333,185
Schroders PLC	3,763		82,102
Scottish & Newcastle PLC	22,809		249,395
Scottish & Southern Energy PLC	24,329		738,843
Scottish Power PLC	42,092		615,502
Serco Group PLC	12,989		96,895
Severn Trent PLC	6,570		189,009
Signet Group PLC	48,078		112,033
Slough Estates PLC	13,321		204,289
Smith & Nephew PLC	26,701		278,532
Smiths Group PLC	15,985		309,771
SSL International PLC	5,753		41,597
Stagecoach Group	23,953		71,592
Standard Life PLC (b)	58,968		341,012
Tate & Lyle PLC	13,646		205,011


	Shares	Value
Common Stocks (Cont.)
United Kingdom (Cont.)
Taylor Woodrow PLC	16,699	$	138,837
Tesco PLC	225,384		1,781,095
The Berkeley Group Holdings PLC (b)	2,941		98,318
The Davis Service Group PLC	4,720		46,503
TI Automotive Ltd. (b)	12,271		—
Tomkins PLC	22,763		109,274
Travis Perkins PLC	3,101		120,174
Trinity Mirror PLC	8,304		76,191
Tullett Prebon PLC (b)	6,126		77,966
Unilever PLC	35,214		979,408
United Business Media PLC	7,938		107,333
United Utilities PLC	24,914		380,051
Vodafone Group PLC	1,503,443		4,152,050
Whitbread PLC	6,157		201,287
William Hill PLC	11,422		140,974
Wimpey (George) PLC	10,939		119,065
Wolseley PLC	18,802		453,457
WPP Group PLC	34,077		459,882
Xstrata PLC	17,496		870,601
Yell Group PLC	21,540		239,832

			86,176,008

Total Common Stocks
(cost $253,643,354)			363,939,712

Preferred Stocks (0.28%) (a)
Germany (0.26%)
Henkel KGaA	1,703		250,039
Porsche AG PFD	223		282,911
ProSiebenSat.1 Media AG	2,408		78,748
RWE AG-Non Voting PFD	1,153		109,250
Volkswagen AG PFD	3,066		228,876

			949,824

Italy (0.02%)
Compagnia Assicuratrice Unipol SpA	25,461		82,367

Total Preferred Stocks
(cost $498,692)			1,032,191


	Principal amount		Value
Repurchase Agreement (0.16%)
Investors Bank & Trust Repurchase Agreement, (c) 4.450%, to be repurchased at $600,938 on 01/02/2007	$	600,641	$	600,641

Total Repurchase Agreement
(cost $600,641)				600,641

TOTAL INVESTMENTS (99.72%)
(cost $254,742,687)				365,572,544
CASH AND OTHER ASSETS, NET OF LIABILITIES (0.28%)				1,015,695

NET ASSETS (100.0%)			$	366,588,239

(a)	Securities valued at fair value.

(b)	Non-income producing security .

(c)	Repurchase agreement is fully collateralized by U.S. Treasury securities with a coupon rate of 2.75%, a maturity date of August 15, 2007 and a market value of $612,654 as of December 31, 2006.

INTERNATIONAL EQUITY INDEX FUND FOREIGN CURRENCY DENOMINATIONS


Currency	Value		%
Euro	$	124,231,384	33.98
British Pound		86,176,008	23.57
Japanese Yen		82,493,537	22.57
Swiss Franc		25,254,301	6.91
Australian Dollar		20,307,416	5.56
Swedish Krona		9,555,966	2.61
Hong Kong Dollar		6,468,540	1.77
Singapore Dollar		3,467,912	0.95
Norwegian Krone		3,372,725	0.92
Danish Krone		3,051,505	0.83
United States Dollar		621,831	0.17
New Zealand Dollar		571,419	0.16


Total Investments	$	365,572,544	100.00	%

INTERNATIONAL EQUITY INDEX FUND SECTOR CLASSIFICATIONS


Sector	Value		%
Financials	$	108,652,734	29.64
Consumer Discretionary		43,712,904	11.93
Industrials		40,355,165	11.01
Materials		30,697,141	8.37
Consumer Staples		28,685,415	7.83
Energy		26,622,665	7.26
Health Care		25,701,026	7.01
Information Technology		20,469,565	5.58
Utilities		20,379,670	5.56
Telecommunication Services		19,695,618	5.37

Total Stocks		364,971,903	99.56
Repurchase Agreement		600,641	0.16
Cash and Other Assets, Net of Liabilities		1,015,695	0.28

Net Assets	$	366,588,239	100.00	%


	Shares	Value
Registered Investment Companies (99.85%)
State Farm Variable Product Trust Bond Fund (37.17%) (a)	3,616,362	$	35,874,310
State Farm Variable Product Trust Large Cap Equity Index Fund (62.68%) (a)	4,209,667		60,492,912

Total Registered Investment Companies
(cost $89,865,541)			96,367,222

TOTAL INVESTMENTS (99.85%)
(cost $89,865,541)			96,367,222
OTHER ASSETS, NET OF LIABILITIES (0.15%)			140,366

NET ASSETS (100.00%)		$	96,507,588

(a)	The Stock and Bond Balanced Fund’s investment adviser is an affiliate of the issuer.


	Principal amount		Value
Corporate Bonds (73.24%)
Aerospace/Defense (1.05%)
TRW Inc.
6.730%, 07/11/2007	$	900,000	$	905,426
General Dynamics Corp.
3.000%, 05/15/2008		1,000,000		968,258

				1,873,684

Agriculture, Foods, & Beverage (5.66%)
General Mills Inc.
5.125%, 02/15/2007		1,000,000		999,294
Dean Foods Co.
8.150%, 08/01/2007		1,000,000		1,012,500
Sara Lee Corp.
2.750%, 06/15/2008		1,000,000		960,861
Kraft Foods Inc.
4.125%, 11/12/2009		1,000,000		969,942
Campbell Soup Co.
6.750%, 02/15/2011		1,000,000		1,050,258
PepsiAmericas Inc.
5.625%, 05/31/2011		1,000,000		1,006,615
HJ Heinz Co.
6.625%, 07/15/2011		1,000,000		1,040,088
Hershey Co.
5.300%, 09/01/2011		500,000		501,596
ConAgra Foods Inc.
6.750%, 09/15/2011		1,000,000		1,053,132
Kraft Foods Inc.
5.625%, 11/01/2011		1,000,000		1,010,629
Hershey Co.
5.450%, 09/01/2016		500,000		501,448

				10,106,363

Automotive (2.79%)
Toyota Motor Credit
5.650%, 01/15/2007		1,000,000		1,000,214
General Motors Acceptance Corp.
6.150%, 04/05/2007		1,500,000		1,500,047
Ford Motor Credit Co.
4.950%, 01/15/2008		1,000,000		983,107
7.375%, 02/01/2011		1,000,000		989,943
Toyota Motor Credit Corp.
5.450%, 05/18/2011		500,000		506,876

				4,980,187

Banks (6.94%)
JPMorgan Chase & Co.
5.350%, 03/01/2007		1,000,000		999,798
Bank One Corp.
2.625%, 06/30/2008		1,000,000		961,633
Bank of New York
5.050%, 03/03/2009		500,000		496,613
Wells Fargo & Co.
4.200%, 01/15/2010		1,000,000		974,197


	Principal amount		Value
Corporate Bonds (Cont.)
Banks (Cont.)
Bank of America Corp.
4.250%, 10/01/2010	$	1,500,000	$	1,452,564
Wells Fargo & Co.
4.875%, 01/12/2011		500,000		495,035
Bank of New York
4.950%, 01/14/2011		1,000,000		990,179
Wachovia Corp.
5.350%, 03/15/2011		500,000		501,408
Charter One Bank FSB
5.500%, 04/26/2011		1,000,000		1,008,336
Royal Bank of Canada
5.650%, 07/20/2011		500,000		509,510
Bank of America Corp.
5.375%, 08/15/2011		500,000		503,456
Wachovia Corp.
5.700%, 08/01/2013		500,000		508,689
US Bank NA
4.950%, 10/30/2014		500,000		486,897
Fifth Third Bank
4.750%, 02/01/2015		500,000		476,980
Suntrust Banks Inc.
5.000%, 09/01/2015		500,000		485,145
Wachovia Bank NA
5.600%, 03/15/2016		500,000		504,888
Wells Fargo Bank NA
5.750%, 05/16/2016		500,000		512,083
Bank of America NA
6.000%, 06/15/2016		500,000		520,192

				12,387,603

Building Materials & Construction (2.76%)
Lafarge SA
6.150%, 07/15/2011		500,000		511,775
CRH America Inc.
5.625%, 09/30/2011		500,000		502,099
Hanson Australia Funding
5.250%, 03/15/2013		1,000,000		975,278
Leggett & Platt Inc.
4.700%, 04/01/2013		1,000,000		956,063
Masco Corp.
4.800%, 06/15/2015		500,000		456,592
Hanson PLC
6.125%, 08/15/2016		500,000		508,932
CRH America Inc.
6.000%, 09/30/2016		1,000,000		1,009,395

				4,920,134

Chemicals (3.34%)
The Dow Chemical Co.
5.750%, 12/15/2008		1,000,000		1,007,881
Great Lakes Chemical Corp.
7.000%, 07/15/2009		2,000,000		2,060,000


	Principal amount		Value
Corporate Bonds (Cont.)
Chemicals (Cont.)
Air Products & Chemicals Inc.
4.125%, 12/01/2010	$	1,000,000	$	958,968
E.I. du Pont de Nemours and Co.
4.125%, 03/06/2013		1,000,000		936,075
Praxair Inc.
5.375%, 11/01/2016		1,000,000		995,775

				5,958,699

Commercial Service/Supply (1.10%)
RR Donnelley & Sons Co.
3.750%, 04/01/2009		1,000,000		962,595
4.950%, 05/15/2010		500,000		489,416
Dun & Bradstreet Corp.
5.500%, 03/15/2011		500,000		501,254

				1,953,265

Consumer & Marketing (4.21%)
Newell Rubbermaid Inc.
4.625%, 12/15/2009		1,000,000		976,685
Unilever Capital Corp.
7.125%, 11/01/2010		1,000,000		1,062,224
Avon Products Inc.
5.125%, 01/15/2011		500,000		495,247
Clorox Co.
6.125%, 02/01/2011		1,000,000		1,027,254
Whirlpool Corp.
6.125%, 06/15/2011		1,000,000		1,018,018
Reed Elsevier Capital
4.625%, 06/15/2012		500,000		477,556
Kimberly-Clark Corp.
5.000%, 08/15/2013		1,000,000		978,888
The Procter & Gamble Co.
4.950%, 08/15/2014		1,000,000		976,615
Black & Decker Corp.
5.750%, 11/15/2016		500,000		495,885

				7,508,372

Electronic/Electrical Mfg. (1.68%)
Emerson Electric Co.
5.500%, 09/15/2008		500,000		501,468
5.750%, 11/01/2011		1,000,000		1,020,985
General Electric Co.
5.000%, 02/01/2013		1,000,000		988,901
Emerson Electric Co.
5.125%, 12/01/2016		500,000		487,667

				2,999,021

Financial Services (5.82%)
Citigroup Inc.
5.000%, 03/06/2007		1,000,000		999,298
Household Finance Corp.
4.125%, 11/16/2009		1,000,000		972,215


	Principal amount		Value
Corporate Bonds (Cont.)
Financial Services (Cont.)
Citigroup Inc.
4.125%, 02/22/2010	$	500,000	$	485,024
SLM Corp.
4.500%, 07/26/2010		1,000,000		973,361
John Deere Capital Corp.
4.875%, 10/15/2010		1,000,000		982,558
American Express Credit
5.000%, 12/02/2010		1,000,000		993,333
SLM Corp.
5.450%, 04/25/2011		500,000		501,942
HSBC Finance Corp.
5.700%, 06/01/2011		500,000		508,640
John Deere Capital Corp.
5.650%, 07/25/2011		500,000		505,491
American Express Co.
5.250%, 09/12/2011		500,000		500,540
Western Union Co. (a)
5.400%, 11/17/2011		500,000		493,038
HSBC Finance Corp.
5.250%, 01/15/2014		500,000		495,286
General Electric Capital Corp.
4.875%, 03/04/2015		500,000		486,304
Citigroup Inc.
5.300%, 01/07/2016		500,000		496,032
Western Union Co. (a)
5.930%, 10/01/2016		500,000		495,213
General Electric Capital Corp.
5.375%, 10/20/2016		500,000		500,666

				10,388,941

Forest Products & Paper (0.83%)
Weyerhaeuser Co.
6.125%, 03/15/2007		1,000,000		1,000,710
International Paper Co.
4.000%, 04/01/2010		500,000		479,904

				1,480,614

Health Care (7.42%)
GlaxoSmithKline
2.375%, 04/16/2007		1,000,000		991,211
Eli Lilly & Co.
2.900%, 03/15/2008		1,000,000		973,376
Bristol-Myers Squibb Co.
4.000%, 08/15/2008		1,000,000		979,994
Abbott Laboratories
5.400%, 09/15/2008		500,000		501,551
3.500%, 02/17/2009		500,000		483,845
Hillenbrand Industries
4.500%, 06/15/2009		1,000,000		979,733
Amgen Inc.
4.000%, 11/18/2009		1,000,000		970,183


	Principal amount		Value
Corporate Bonds (Cont.)
Health Care (Cont.)
Baxter FinCo BV
4.750%, 10/15/2010	$	1,000,000	$	980,981
Abbott Laboratories
5.600%, 05/15/2011		500,000		506,905
Merck & Co. Inc.
4.375%, 02/15/2013		1,000,000		949,344
Becton Dickinson & Co.
4.550%, 04/15/2013		1,000,000		955,880
Schering-Plough Corp.
5.550%, 12/01/2013		500,000		501,448
AstraZeneca PLC SP
5.400%, 06/01/2014		1,000,000		1,004,304
Boston Scientific Corp.
5.450%, 06/15/2014		1,000,000		960,099
Merck & Co. Inc.
4.750%, 03/01/2015		500,000		476,259
Abbott Laboratories
5.875%, 05/15/2016		500,000		515,015
Baxter International Inc.
5.900%, 09/01/2016		500,000		513,641

				13,243,769

Machinery & Manufacturing (6.58%)
Cooper Industries Inc.
5.250%, 07/01/2007		1,000,000		996,932
Dover Corp.
6.250%, 06/01/2008		1,425,000		1,441,241
BF Goodrich Co.
6.600%, 05/15/2009		1,000,000		1,022,379
3M Co.
5.125%, 11/06/2009		2,000,000		2,000,200
Honeywell International Inc.
7.500%, 03/01/2010		1,000,000		1,066,295
United Technologies Corp.
4.375%, 05/01/2010		1,500,000		1,465,264
Johnson Controls Inc.
5.250%, 01/15/2011		1,000,000		992,117
Caterpillar Inc.
6.550%, 05/01/2011		1,000,000		1,046,870
Bemis Co. Inc.
4.875%, 04/01/2012		500,000		484,903
Johnson Controls Inc.
4.875%, 09/15/2013		750,000		716,119
Caterpillar Inc.
5.700%, 08/15/2016		500,000		506,979

				11,739,299

Media & Broadcasting (2.82%)
New York Times Co.
4.500%, 03/15/2010		500,000		483,554
Gannett Co.
5.750%, 06/01/2011		1,000,000		1,006,504


	Principal amount		Value
Corporate Bonds (Cont.)
Media & Broadcasting (Cont.)
Knight-Ridder Inc.
7.125%, 06/01/2011	$	1,000,000	$	1,047,658
The Walt Disney Co.
5.700%, 07/15/2011		1,000,000		1,017,513
New York Times Co.
5.000%, 03/15/2015		500,000		464,582
The Walt Disney Co.
5.625%, 09/15/2016		1,000,000		1,006,959

				5,026,770

Mining & Metals (2.17%)
Rio Tinto Finance USA Ltd.
2.625%, 09/30/2008		1,000,000		956,523
Alcan Inc.
6.450%, 03/15/2011		500,000		517,536
BHP Billiton Finance
4.800%, 04/15/2013		1,000,000		967,953
Barrick Gold Finance Inc.
4.875%, 11/15/2014		1,000,000		947,672
Alcan Inc.
5.000%, 06/01/2015		500,000		475,567

				3,865,251

Oil & Gas (3.39%)
ChevronTexaco Capital Co.
3.500%, 09/17/2007		1,000,000		988,267
Shell International Finance
5.625%, 06/27/2011		1,500,000		1,530,311
Conoco Funding Co.
6.350%, 10/15/2011		1,000,000		1,045,446
National Fuel Gas Co.
5.250%, 03/01/2013		1,000,000		978,036
Anadarko Petroleum Corp.
5.950%, 09/15/2016		1,000,000		1,002,093
ConocoPhillips Canada
5.625%, 10/15/2016		500,000		502,377

				6,046,530

Retailers (4.68%)
Safeway Inc.
4.125%, 11/01/2008		1,000,000		976,734
May Department Stores Co.
4.800%, 07/15/2009		1,000,000		984,045
CVS Corp.
4.000%, 09/15/2009		1,000,000		966,787
Home Depot Inc.
3.750%, 09/15/2009		1,000,000		963,986
Wal-Mart Stores Inc.
4.000%, 01/15/2010		500,000		484,489
Home Depot Inc.
4.625%, 08/15/2010		500,000		489,486
5.200%, 03/01/2011		500,000		497,383


	Principal amount		Value
Corporate Bonds (Cont.)
Retailers (Cont.)
CVS Corp.
5.750%, 08/15/2011	$	500,000	$	506,013
Lowe’s Companies Inc.
5.000%, 10/15/2015		1,000,000		963,302
Target Corp.
5.875%, 07/15/2016		1,000,000		1,031,996
Lowe’s Companies Inc.
5.400%, 10/15/2016		500,000		492,940

				8,357,161

Telecom & Telecom Equipment (3.07%)
SBC Communications Inc.
5.300%, 11/15/2010		1,000,000		1,000,138
Verizon Communications
5.350%, 02/15/2011		1,000,000		1,001,619
Cisco Systems Inc.
5.250%, 02/22/2011		1,000,000		1,002,509
Deutsche Telekom International Finance
5.375%, 03/23/2011		500,000		498,486
Vodafone Group PLC
5.500%, 06/15/2011		1,000,000		1,002,539
BellSouth Corp.
5.200%, 09/15/2014		1,000,000		975,917

				5,481,208

Utilities & Energy (6.93%)
Virginia Electric & Power
5.375%, 02/01/2007		1,000,000		999,801
Georgia Power
4.875%, 07/15/2007		1,000,000		996,908
Pacificorp
4.300%, 09/15/2008		1,000,000		983,866
Atmos Energy Corp.
4.000%, 10/15/2009		1,000,000		962,000
Commonwealth Edison
4.740%, 08/15/2010		1,000,000		975,230
Southern California Gas
4.375%, 01/15/2011		1,000,000		967,743
Appalachian Power Co.
5.550%, 04/01/2011		500,000		500,625
Duke Energy Corp.
6.250%, 01/15/2012		500,000		520,626
Vectren Utility Holdings
5.250%, 08/01/2013		500,000		484,913
Union Electric Co.
5.500%, 05/15/2014		1,000,000		981,684
Carolina Power & Light
5.250%, 12/15/2015		1,000,000		983,319
Ohio Power Co.
6.000%, 06/01/2016		1,000,000		1,026,818
Commonwealth Edison
5.950%, 08/15/2016		500,000		505,503


	Principal amount		Value
Corporate Bonds (Cont.)
Utilities & Energy (Cont.)
Baltimore Gas & Electric Co. (a)
5.900%, 10/01/2016	$	500,000	$	502,225
Consolidated Edison Co. NY
5.300%, 12/01/2016		1,000,000		982,732

				12,373,993

Total Corporate Bonds
(cost $ 131,332,235)				130,690,864

Taxable Municipal Bonds (0.55%)
New Jersey State Turnpike
Authority Transportation
2.840%, 01/01/2008		1,000,000		977,470

Total Taxable Municipal Bonds
(cost $1,000,000)				977,470

Government Agency Securities (10.63%) (b)
Federal Home Loan Mortgage Corp.
5.125%, 10/15/2008		4,000,000		4,005,124
6.625%, 09/15/2009		2,000,000		2,082,998
4.500%, 07/15/2013		1,500,000		1,460,220
5.200%, 03/05/2019		2,000,000		1,944,424
5.300%, 05/12/2020		2,000,000		1,908,792
Federal National Mortgage Association
7.125%, 03/15/2007		2,000,000		2,007,612
6.625%, 10/15/2007		2,000,000		2,020,782
3.250%, 08/15/2008		1,500,000		1,457,905
6.625%, 09/15/2009		2,000,000		2,082,486

Total Government Agency Securities
(cost $18,946,751)				18,970,343

U.S. Treasury Obligations (9.58%)
U.S. Treasury Notes
6.625%, 05/15/2007		3,000,000		3,016,758
6.000%, 08/15/2009		3,000,000		3,090,585
6.500%, 02/15/2010		3,000,000		3,151,524
5.000%, 08/15/2011		3,000,000		3,041,952
4.000%, 11/15/2012		2,000,000		1,931,016
3.875%, 02/15/2013		3,000,000		2,871,210

Total U.S. Treasury Obligations
(cost $17,618,696)				17,103,045


	Shares	Value
Short-term Investments (4.85%)
JPMorgan Prime Money Market Fund	8,656,221	$	8,656,221

Total Short-term Investments
(cost $8,656,221)			8,656,221

TOTAL INVESTMENTS (98.85%)
(cost $177,553,903)			176,397,943
OTHER ASSETS, NET OF LIABILITIES (1.15%)			2,058,128

NET ASSETS (100.00%)		$	178,456,071

(a)	Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2006, the value of these securities amounted to $1,490,476 or 0.84% of net assets.

(b)	The obligations of certain U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury.


	Principal amount		Value
Short-term Investments (100.17%)
Automotive (19.73%)
New Center Asset Trust
5.240%, 01/03/2007	$	2,376,000	$	2,375,308
FCAR Owner Trust Series I
5.260%, 02/23/2007		2,377,000		2,358,593
American Honda Finance Corp.
5.220%, 02/26/2007		2,400,000		2,380,512
Toyota Motor Credit Corp.
5.220%, 03/21/2007		2,400,000		2,372,508

				9,486,921

Financial Services (21.61%)
Chevron Funding Corp.
5.180%, 02/06/2007		2,300,000		2,288,086
Citigroup Funding
5.240%, 02/12/2007		2,379,000		2,364,457
General Electric Capital Corp.
5.230%, 02/27/2007		2,393,000		2,373,184
HSBC Finance Corp.
5.230%, 02/28/2007		2,400,000		2,379,777
Caterpillar Financial Services Corp.
5.220%, 03/19/2007		1,000,000		988,835

				10,394,339

Government Agency Securities (43.42%) (a)
Federal Home Loan Bank
5.155%, 01/24/2007		3,450,000		3,438,638
5.151%, 01/31/2007		2,000,000		1,991,415
Federal Home Loan Mortgage Corp.
5.150%, 01/09/2007		2,000,000		1,997,711
5.145%, 01/16/2007		3,500,000		3,492,521
5.155%, 02/13/2007		1,500,000		1,490,764
5.155%, 03/23/2007		1,000,000		988,401
Federal National Mortgage Association
5.130%, 01/03/2007		1,500,000		1,499,572
5.155%, 01/10/2007		3,000,000		2,996,134
5.153%, 02/01/2007		3,000,000		2,986,688

				20,881,844

Health Care (4.93%)
Abbott Laboratories (b)
5.200%, 03/13/2007		1,000,000		989,744
5.200%, 03/29/2007		1,400,000		1,382,407

				2,372,151


	Shares or principal amount		Value
Short-term Investments (Cont.)
Registered Investment Companies (2.86%)
JPMorgan Prime Money Market Fund		1,375,977	$	1,375,977

Telecom & Telecom Equipment (7.62%)
AT&T Inc. (b)
5.260%, 01/18/2007	$	1,379,000		1,375,575
BellSouth Corp.
5.270%, 02/09/2007		2,300,000		2,286,869

				3,662,444

Total Short-term Investments
(cost $ 48,173,676)				48,173,676

TOTAL INVESTMENTS (100.17%)
(cost $ 48,173,676)				48,173,676

LIABILITIES, NET OF OTHER ASSETS (-0.17%)				(80,748	)

NET ASSETS (100.00%)			$	48,092,928

(a)	The obligations of certain U.S. Government-sponsored entities are neither issued nor guaranteed by the United States Treasury.

(b)

Securities exempt from registration under section 4(2) of the Securities Act of 1933. These securities are purchased as part of the normal course of business, valued at amortized cost and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2006, the value of these securities amounted to $3,747,726 or 7.79% of net assets.

State Farm Variable Product Trust (the “Trust”) has nine separate investment portfolios (each a “Fund” and together, the “Funds”) as of December 31, 2006. Shares of each Fund are offered exclusively in connection with variable deferred annuity and variable universal life insurance policies issued by State Farm Life Insurance Company and State Farm Life and Accident Assurance Company. Each Fund is a separate investment portfolio with its own investment objective, investment policies, restrictions and attendant risks.

The Large Cap Equity Fund seeks long-term growth of capital. The Fund invests under normal circumstances at least 80% of its net assets plus any borrowing in common stocks and other equity securities of U.S. companies with market capitalizations of at least $1.5 billion.

The Small/Mid Cap Equity Fund (formerly the Small Cap Equity Fund) seeks long-term growth of capital. The Fund invests primarily in a diversified portfolio of small and mid-capitalization stocks issued by U.S. companies.

The International Equity Fund seeks long-term growth of capital. The Fund invests primarily in common stocks of companies located in Europe, Canada, Australia and the Far East. The Fund may also invest in companies located in other countries. There is no restriction on the size of the companies in which the Fund invests.

The Large Cap Equity Index Fund (Large Cap Index Fund) seeks to match the performance of the Standard and Poor’s Composite Index of 500 Stocks^® (the “S&P 500”) by investing in the securities that make up the S&P 500. The S&P 500 tracks the common stock performance of 500 large U.S. companies.

The Small Cap Equity Index Fund (Small Cap Index Fund) seeks to match the performance of the Russell 2000. The Small Cap Index Fund invests primarily in some of the stocks found in the Russell 2000. The Russell 2000 tracks the common stock performance of about 2,000 small U.S. companies.

The International Equity Index Fund (International Index Fund) seeks to match the performance of the Morgan Stanley Capital International Europe, Australasia and Far East Free Index^® (the “EAFE Free”). The International Index Fund invests primarily in some of the stocks found in the EAFE Free. The EAFE Free is a capitalization-weighted index that currently includes stocks of companies in 16 European countries, Australia, New Zealand, Hong Kong, Japan and Singapore.

The Stock and Bond Balanced Fund (Balanced Fund) seeks long-term growth of capital, balanced with current income. The Balanced Fund invests in the Large Cap Index and Bond Funds of the Trust.

The Bond Fund seeks to realize over a period of years the highest yield consistent with prudent investment management through current income and capital gains. The Fund invests primarily in bonds issued by U.S. companies.

The Money Market Fund seeks to maximize current income to the extent consistent with the preservation of capital and maintenance of liquidity.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”).

Investments are stated at market value. Stocks traded on securities exchanges, or in an over-the-counter market in which transaction prices are reported, are valued at the last sales price on the day of valuation or, if there are no reported sales on that day, at the last reported bid price for the day. Stocks traded on NASDAQ are valued at the NASDAQ Official Closing Price. Portfolio securities that are primarily traded on foreign securities exchanges are generally valued at the closing values of such securities on the respective exchanges where the security is primarily traded. Long-term debt securities and U.S. Treasury bills are generally valued using quotations provided by an independent pricing service. All of the securities and assets of the Money Market Fund and short-term debt securities with remaining maturities of 60 days or less (other than U.S. Treasury bills) held by any of the other Funds are generally valued on an amortized cost basis, which approximates market value. Investments in open-end investment companies are valued each day based on the closing net asset value of the respective fund. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. Forward foreign currency contracts are valued daily using quoted forward exchange rates. Short sales are valued at market value.

Securities not valued as described above, and securities for which market prices are not readily available or are considered unreliable, are fair valued pursuant to procedures established by the Trust’s Board of Trustees. Fair value, as a general principle, means the value the Fund might reasonably expect to receive upon sale of that security. These fair value procedures require SFIMC, the Trust’s investment adviser, to obtain bid price quotations from brokers or dealers in the securities or quotations from an independent pricing service for non-U.S. equity securities in certain circumstances. If SFIMC cannot obtain a quotation for the security or if SFIMC believes the quotation does not represent the security’s fair value, then SFIMC will determine the security’s fair value in its reasonable judgment.

In making a fair value judgment, SFIMC may use different methodologies, including multiple of earnings, multiple of book value, discount from market of a similar freely traded security or, for debt securities, yield to maturity. Other factors SFIMC may consider in determining fair value for a security include, but are not limited to, fundamental analytical data relating to the security, the nature and duration of any restrictions on disposition of the security, the last traded price of the security, significant global or regional events such as political unrest, natural disasters, and war, and significant movements in major market indices, exchange traded funds, index futures or other financial instruments in the U.S. or other markets.

The Funds may enter into repurchase agreements with banks, brokers, dealers, and other financial institutions in accordance with a Fund’s investment restrictions. Repurchase agreements involve the purchase of securities with a simultaneous commitment to resell the securities to the seller at an agreed-upon price and date. A Fund will invest only in repurchase agreements collateralized in an amount at least equal to the repurchase price plus accrued interest. To the extent that the proceeds from any sale of such collateral upon a default in the obligation to repurchase were less than the repurchase price, the Fund would suffer a loss. If the financial institution which is the party to the repurchase agreement petitions for bankruptcy or otherwise becomes subject to bankruptcy or other liquidation proceedings, there may be restrictions on the ability to sell the collateral and the Fund could suffer a loss. Each Fund’s Schedule of Investments reflects the repurchase agreements, if any, entered into as of December 31, 2006.

For financial reporting purposes, security transactions are accounted for on trade date (date the order to buy or sell is executed). Dividend income is recorded on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon as the information is available to the Funds. Interest income is recorded on the accrual basis and includes amortization of discounts and premiums on money market instruments and long-term debt instruments. Realized gains and losses from security transactions are reported on an identified cost basis.

Fund shares are sold and redeemed on a continuous basis at net asset value. Net asset value per share is determined daily on each day the New York Stock Exchange is open, except that a Fund need not compute a net asset value on any day when no purchase or redemption order has been received by the Fund. The net asset values are determined as of the close of regular session trading on the New York Stock Exchange (usually 3:00 p.m., Central Standard time). The net asset value per share is computed by dividing the total value of the Fund’s investments and other assets, less liabilities, by the number of Fund shares outstanding.

It is the Funds’ policy to comply with the special provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and, in the manner provided therein, to distribute substantially all of their taxable income, including any net realized gain on sales of investments reportable for federal income tax purposes. The Funds intend to comply with this policy and, accordingly, no provision for federal income taxes has been made.

As of December 31, 2006, the Funds’ aggregate unrealized gains and losses on securities based on cost for federal income tax purposes were as follows:

The differences between the cost of investments for Federal tax purposes and the cost of investments reflected on the Schedules of Investments are primarily related to the timing of recognition of gains and losses and investment income.

Dividends and distributions payable to shareholders are recorded by the Large Cap Equity, Small/Mid Cap Equity, International Equity, Large Cap Index, Small Cap Index, International Index, and Balanced Funds on the ex-dividend date. The Bond and Money Market Funds declare daily dividends equal to each Fund’s respective net investment income, and distribute such amounts at the end of each calendar month.

At December 31, 2006, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:

The Large Cap Index Fund, Balanced Fund and Bond Fund utilized $3,682,478, $64 and $218,085 respectively, of capital loss carryforwards to offset realized capital gains in 2006.

As of December 31, 2006, in accordance with federal tax regulations the components of distributable earnings on a tax basis were as follows:

Differences between these amounts and the undistributed net investment income reported on the Statements of Assets and Liabilities as of December 31, 2006 relate to current year estimates for return of capital from Real Estate Investment Trusts (“REITs”), accumulated capital losses, post-October loss deferrals, short term capital gains and mark-to-market of PFICs, and/or forward foreign currency and futures contract adjustments. The tax character of undistributed net investment income and capital gain for the remaining Funds was the same as reflected in the Analysis of Net Assets as of December 31, 2006.

The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal income tax regulations which may differ from GAAP. These differences are primarily due to differing treatment for futures contracts, the recognition of net realized losses, the timing of fund distributions, and foreign currency transactions. As a result, net investment income and net realized gain or loss on investment transactions for a reporting period may differ from distributions during such period. Accordingly, each Fund may periodically make reclassifications among certain of its capital accounts without impacting its net asset value.

The tax character of distributions for certain Funds was as follows for the years ended December 31, 2006 and 2005 respectively:

For the remaining Funds, the tax distributions of ordinary income were the same as the distributions from net investment income reflected in the Statements of Changes in Net Assets for the year ended December 31, 2006.

For the remaining Funds, the tax distributions of ordinary income were the same as the distributions from net investment income reflected in the Statement of Changes in Net Assets for the year ended December 31, 2005.

The International Equity Fund and International Index Fund have elected to mark-to-market their investments in Passive Foreign Investment Companies (“PFICs”) for federal income tax purposes. In accordance with this election, the International Equity Fund recognized unrealized appreciation of $166,974 and $184,827, during 2006 and 2005, respectively, and realized gains of $411 and $1,149 during 2006 and 2005, respectively, as ordinary income for federal income tax purposes. The International Index Fund recognized unrealized appreciation of $1,695,511 and $706,309 during 2006 and 2005, respectively, and realized gains of $75,377 and $7,012 during 2006 and 2005, respectively, as ordinary income for federal income tax purposes. The cumulative amount of mark-to-market adjustments recognized on PFICs at December 31, 2006, was $351,801 for the International Equity Fund and $4,552,813 for the International Index Fund.

From November 1, 2006 through December 31, 2006, the International Equity Fund incurred $8,080 in foreign exchange losses. As permitted by tax regulations, the Fund intends to elect to defer these losses and treat them as arising on January 1, 2007.

From November 1, 2006 through December 31, 2006, the Large Cap Index Fund incurred $2,009,530 in net realized losses. As permitted by tax regulations, the Fund intends to elect to defer these losses and treat them as arising on January 1, 2007.

Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing foreign exchange rates at December 31, 2006. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollars at the prevailing foreign exchange rates on the respective dates of transactions. That portion of realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed, but is included with realized and unrealized gains and losses on investment securities.

Expenses arising in connection with a specific Fund are allocated to that Fund. Common Trust expenses are generally allocated between the Funds in proportion to each Fund’s relative net assets.

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts on behalf of the Funds that may contain provisions for general indemnifications. Each Fund’s maximum exposure under these indemnification provisions is unknown, as this would involve future claims that may be made against each Fund that are not known at this time. However, based on past experience, the Funds believe the risk of loss from these indemnification provisions is improbable.

The Large Cap Index, Small Cap Index, and International Index Funds, and, indirectly, the Balanced Fund, may enter into stock index futures contracts to gain exposure to market changes as this may be more efficient or cost effective than actually buying the securities. These contracts obligate a Fund to make or take delivery of a financial instrument or the cash value of a securities index at a specified future date at a specified price. Additionally, the International Equity and International Index Funds may enter into forward foreign currency contracts to purchase or sell foreign currencies. The Funds bear the market risk that arises from changes in the value of financial instruments and securities indices (futures contracts) or from changes in foreign currency rates (forward foreign currency contracts) and the credit risk should a counterparty fail to perform under such contracts.

The Large Cap Index, Small Cap Index, and International Index Funds and, indirectly, the Balanced Fund, may enter into short sale transactions to dispose of non-index securities received as a result of corporate actions such as mergers or spinoffs.

In June 2006, the Financial Accounting Standards Board (FASB) issued FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years in the first reporting period after the effective date. In addition, in September 2006, Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (SFAS 157) was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value, and expands disclosure about fair value measurements. At this time, the Trust’s management is evaluating the implications of FIN 48 and SFAS 157 and their impact in the financial statements has not yet been determined.

The Trust has entered into an investment advisory and management services agreement with SFIMC pursuant to which each Fund pays SFIMC an annual fee (computed on a daily basis and paid quarterly) at the following annual rates:

SFIMC has agreed not to be paid an investment advisory and management services fee for performing its services for the Balanced Fund and has agreed to reimburse any other expenses incurred by that Fund. This expense limitation arrangement is voluntary and may be eliminated by SFIMC at any time. However, SFIMC receives investment advisory fees from managing the underlying Funds in which the Balanced Fund invests. With respect to each Fund, other than the Balanced, International Equity and International Index Funds, SFIMC has agreed to reimburse the expenses incurred by each Fund, other than the investment advisory and management services fee, that exceed 0.10% of such Fund’s average

daily net assets. With respect to the International Equity and International Index Funds, SFIMC has agreed to reimburse the expenses incurred by these Funds, other than the investment advisory and management services fee, that exceed 0.20% of the Fund’s average daily net assets. These expense limitation arrangements are voluntary and may be eliminated by SFIMC at any time.

The Funds do not pay any direct or indirect discount, commission or other compensation for transfer agent services provided by SFIMC or for distribution and underwriting services provided by State Farm VP Management Corp.

SFIMC has engaged Capital Guardian Trust Company (“Capital Guardian”) as the investment sub-adviser to provide day-to-day portfolio management for the Large Cap Equity and International Equity Funds, Barclays Global Fund Advisors (“Barclays”) as the investment sub-adviser to provide day-to-day portfolio management for the Large Cap Index, Small Cap Index and International Index Funds and Bridgeway Capital Management, Inc. (“Bridgeway”) and Rainier Investment Management, Inc. (“Rainier”) as the investment sub-advisers to provide day-to-day portfolio management for the Small/Mid Cap Equity Fund. In accordance with the overall investment objectives of each respective Fund, Capital Guardian, Barclays, Bridgeway and Rainier determine which securities to buy and sell for each of these Funds, selects the brokers and dealers to effect the transactions, and negotiates commissions.

For the year ended December 31, 2006, the following fees were earned by Capital Guardian, Barclays, Bridgeway (beginning December 1, 2006) and Rainier (beginning December 1, 2006) for sub-advisory services (not all amounts earned were paid during the period):

Certain officers and/or trustees of the Trust are also officers and/or directors of SFIMC. The Trust made no payments to its officers or trustees except for trustees’ fees paid to or accrued for the Trust’s independent trustees and the Trust’s portion of the compensation paid to or accrued for the Trust’s Chief Compliance Officer.

The International Index Fund had no open forward foreign currency contracts at December 31, 2006.

The International Equity Fund had the following open forward foreign currency contracts at December 31, 2006:

The Large Cap Index, Small Cap Index and International Index Funds had the following open futures contracts at December 31, 2006:

The following financial highlights tables are intended to help you understand the financial performance of each Fund. Certain information reflects financial results for a single Fund share. The total returns within each table represent the rate that an investor would have earned (or lost) on an investment in the Fund (assuming reinvestment of all dividends and distributions).

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Large Cap Equity Fund, Small/Mid Cap Equity Fund (formerly Small Cap Equity Fund), International Equity Fund, Large Cap Equity Index Fund, Small Cap Equity Index Fund, International Equity Index Fund, Stock and Bond Balanced Fund, Bond Fund and Money Market Fund, comprising the State Farm Variable Product Trust (collectively, the “Funds”) as of December 31, 2006, and the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds of the State Farm Variable Product Trust at December 31, 2006, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

I. Information about Non-Interested (Independent) Trustees of State Farm Variable Product Trust

II. Information about Interested Trustees/Officers of State Farm Variable Product Trust

The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees of the Trust, and the SAI is available without charge upon request. Call toll-free 1-800-702-2307 to request a copy of the SAI.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrants’ principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (each a “covered person”). During the period covered by this Form N-CSR, registrant did not make any amendment to any provisions of such code of ethics that applies to a covered person and that relates to any element of such code set forth in paragraph (b) of Item 2 of Form N-CSR, and registrant did not grant any waiver from such code of ethics provisions. Registrant hereby undertakes to provide a copy of such code of ethics to any person upon request, without charge. To request a copy of the code of ethics, contact the registrant at 1-888-702-2307.

Registrant’s board of trustees has determined that Alan Latshaw and Anita Nagler, members of the registrant’s Committee of Independent Trustees, each have all of the attributes to be deemed an “audit committee financial expert,” as such term is defined in Instruction 2(b) to Item 3 of Form N-CSR. Mr. Latshaw and Ms. Nagler are “independent” as such term is defined in paragraph (a)(2) of Item 3 of Form N-CSR.

As indicated in Instruction 2(d) to Item 3 of Form N-CSR, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert pursuant to this Item 3 of Form N-CSR. The designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations, or liability that are greater than the duties, obligations, and liability imposed on such person as a member of the Committee of Independent Trustees and board of trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not affect the duties, obligations, or liability of any other member of the Committee of Independent Trustees or board of trustees.

The audit fees for December 31, 2006 are based on amounts billed and expected to be billed to registrant by the registrant’s independent registered public accountant and include an estimated amount from the registrant’s independent registered public accountant for the out-of-pocket expenses it expects to bill to registrant for that time period.

The nature of the services comprising the fees disclosed under this category: not applicable

Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X:

The nature of the services comprising the fees disclosed under this category: not applicable

Includes fees for reviewing the registrant’s compliance with tax qualification tests relating to asset diversification, gross income, and distribution requirements to maintain the registrant’s status as a Regulated Investment Company under current provisions of the Internal Revenue Code. Also includes fees for reviewing the registrant’s tax returns (federal, state, and excise).

Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X:

The nature of the services comprising the fees disclosed under this category: not applicable

The nature of the services comprising the fees disclosed under this category include: not applicable

Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X:

The fees approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Reg. S-X for December 31, 2006, are based on amounts expected to be billed to registrant’s transfer agent, State Farm Investment Management Corp., by the registrant’s independent registered public accountant and include an estimated amount from the registrant’s independent registered public accountant for the out-of-pocket expenses it expects to bill to registrant’s transfer agent for that time period. These fees relate to the performance of an internal control review of the internal controls of the registrant’s transfer agent and issuance of a report in accordance with Rule 17Ad-13 under the Securities Exchange Act of 1934 by the registrant’s independent registered public accountant.

The Committee of Independent Trustees (the “Committee”) will approve and recommend to the Board, the selection, retention or termination of the independent registered public accountants of the Trust, and review the independent registered public accountant’s fees to determine whether those fees appear to be appropriate for the services rendered.

The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X:

Aggregate non-audit fees billed by the registrant’s accountant for services rendered to registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser):

Aggregate non-audit fees billed by the registrant’s accountant for services rendered to an entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant:

The non-audit fees of $24,303 for December 31, 2006, are based on amounts expected to be billed to registrant’s transfer agent, State Farm Investment Management Corp., by the registrant’s independent registered public accountant and include an estimated amount from the registrant’s independent registered public accountant for the out-of-pocket expenses it expects to bill to registrant’s transfer agent for that time period.

The information required by this Item 6 is included as part of the report to shareholders under Item 1 of this Form N-CSR.

There were no material changes to the procedures by which shareholders may recommend nominees to the State Farm Variable Product Trust Board of Trustees.

(a) The registrant’s principal executive officer and principal financial officer evaluated the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”) (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of this report (the “Evaluation Date”), and based on their evaluation as of the Evaluation Date of these controls and procedures as required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)) (as applicable), concluded that the registrant’s disclosure controls and procedures are effective.

(b) No change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto as EX-99.CERT.

(b) Certification of principal executive officer and principal financial officer required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-14(b) or 240.15d-14(b))(as applicable), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350): Attached hereto as EX-99.906CERT.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


Three State Farm Plaza		61719-0001
Bloomington, IL
(Address of principal executive offices)		(Zip code)

		Alan Goldberg
		Bell, Boyd & Lloyd LLP
Michael L. Tipsord		Three First National Plaza
One State Farm Plaza		70 West Madison St., Suite 3100
Bloomington, Illinois 61710-0001		Chicago, Illinois 60602


	Beginning Account Value July 1, 2006		Ending Account Value December 31, 2006			Annualized Expense Ratio Based on the Period July 1, 2006 to December 31, 2006	Expenses Paid During Period July 1, 2006 to December 31, 2006²




Large Cap Equity Fund
Actual	$	1,000.00	$	1,113.81		0.70%	$3.73
Hypothetical (5% return before expenses)		1,000.00		1,021.68		0.70%	3.57
Small/Mid Cap Equity Fund
Actual		1,000.00		1,120.23		0.90%	4.81
Hypothetical (5% return before expenses)		1,000.00		1,020.67		0.90%	4.58
International Equity Fund
Actual		1,000.00		1,123.57	*	1.00%	5.35
Hypothetical (5% return before expenses)		1,000.00		1,020.16		1.00%	5.09
Large Cap Equity Index Fund
Actual		1,000.00		1,125.49		0.32%	1.71
Hypothetical (5% return before expenses)		1,000.00		1,023.59		0.32%	1.63
Small Cap Equity Index Fund
Actual		1,000.00		1,089.94		0.51%	2.69
Hypothetical (5% return before expenses)		1,000.00		1,022.63		0.51%	2.60
International Equity Index Fund
Actual		1,000.00		1,143.88	**	0.73%	3.94
Hypothetical (5% return before expenses)		1,000.00		1,021.53		0.73%	3.72


	Beginning Account Value July 1, 2006	Ending Account Value December 31, 2006	Annualized Expense Ratio Based on the Period July 1, 2006 to December 31, 2006	Expenses Paid During Period July 1, 2006 to December 31, 2006²
Stock and Bond Balanced Fund³
Actual	$1,000.00	$1,092.99	0.43%	$2.27
Hypothetical (5% return before expenses)	1,000.00	1,023.04	0.43%	2.19
Bond Fund
Actual	1,000.00	1,042.51	0.59%	3.04
Hypothetical (5% return before expenses)	1,000.00	1,022.23	0.59%	3.01
Money Market Fund
Actual	1,000.00	1,024.46	0.50%	2.55
Hypothetical (5% return before expenses)	1,000.00	1,022.68	0.50%	2.55


		Average Annual Returns
Fund	Inception Date	1-Year	5-Year	Since Inception
Large Cap Equity Index Fund	1/22/1998	5.69%	3.96%	4.32%
Small Cap Equity Index Fund	1/29/1998	7.97%	8.97%	6.32%
International Equity Index Fund	1/22/1998	13.85%	12.50%	6.31%
Stock and Bond Balanced Fund	1/29/1998	2.42%	3.58%	3.80%
Bond Fund	1/22/1998	-2.71%	2.40%	3.63%
Large Cap Equity Fund	8/1/2005	6.61%	-	7.63%
Small/Mid Cap Equity Fund	8/1/2005	4.83%	-	1.52%
International Equity Fund	8/1/2005	8.01%	-	18.35%


		Average Annual Returns
Fund	Inception Date	1-Year	5-Year	Since Inception
Large Cap Equity Index Fund	1/22/1998	4.98%	1.82%	2.56%
Small Cap Equity Index Fund	1/29/1998	7.37%	6.96%	4.43%
International Equity Index Fund	1/22/1998	13.22%	10.49%	4.37%
Stock and Bond Balanced Fund	1/29/1998	1.74%	1.57%	2.00%
Bond Fund	1/22/1998	-3.36%	0.52%	1.88%
Large Cap Equity Fund	8/1/2005	5.91%	-	6.73%
Small/Mid Cap Equity Fund	8/1/2005	4.28%	-	0.63%
International Equity Fund	8/1/2005	7.26%	-	17.48%


Country	% of Total Net Assets of the Fund		Index Weighting		2006 Index Gain
France	11.6	%	10.1	%	35.4	%
Switzerland	8.5	%	6.9	%	28.2	%
Germany	5.2	%	7.4	%	36.8	%
Netherlands	4.7	%	3.4	%	32.4	%


Country	Index Weighting		2006 Gain
France	10.1	%	35.4	%
Germany	7.4	%	36.8	%
Switzerland	6.9	%	28.2	%
Italy	3.9	%	34.1	%
Netherlands	3.4	%	32.4	%
Sweden	2.6	%	44.6	%


Holding	% of Total Net Assets		2006 Gain
BP PLC	1.73	%	4.5	%
HSBC Holdings	1.63	%	13.8	%
Total SA	1.24	%	15.2	%
GlaxoSmithKline	1.19	%	4.3	%
Vodafone Group PLC	1.13	%	12.5	%
Nestle SA	1.12	%	19.0	%
Novartis	1.04	%	9.8	%
Royal Dutch Shell	1.02	%	14.9	%
Roche Holding AG	0.98	%	19.6	%


	Large Cap Equity Fund		Small/Mid Cap Equity Fund		International Equity Fund
Assets
Investments in securities at identified cost	$	32,850,823	30,559,201		31,380,167

Investments in securities at market value	$	36,607,718	30,535,619		38,983,838
Cash		—	—		—
Foreign currencies at value (cost $102, $1,197,144, respectively)		—	—		109
Receivable for:
Dividends and interest		75,597	26,135		38,227
Shares of the Fund sold		2,545	1,231		1,936
Securities sold		—	73,652		18,008
SFIMC		847	3,970		15,436
Unrealized gain on forward foreign currency contracts		—	—		6,036
Variation margin		—	—		—
Prepaid expenses		749	708		849

Total assets		36,687,456	30,641,315		39,064,439

Liabilities and Net Assets
Payable for:
Shares of the Fund redeemed		1,106	58		—
Securities purchased		29,338	182,191		34,818
Variation margin		—	—		—
Unrealized loss on forward foreign currency contracts		—	—		13,487
Due to affiliates		61,647	68,876		120,216
Accrued liabilities		18,809	21,341		28,944

Total Liabilities		110,900	272,466		197,465

Net assets applicable to shares outstanding of common stock	$	36,576,556	30,368,849		38,866,974

Fund shares outstanding (no par value, unlimited number of shares authorized)		3,198,738	2,815,455		3,007,109
Net asset value, offering price and redemption price per share	$	11.43	10.79		12.93

Analysis of Net Assets
Paid-in-capital	$	32,687,822	28,244,429		31,384,235
Accumulated net realized gain (loss)		119,835	2,143,431		198,508
Net unrealized appreciation (depreciation)		3,756,895	(23,582	)	7,597,074
Undistributed (distributions in excess of) net investment income		12,004	4,571		(312,843	)

Net assets applicable to shares outstanding	$	36,576,556	30,368,849		38,866,974


Large Cap Equity Index Fund	Small Cap Equity Index Fund	International Equity Index Fund		Stock and Bond Balanced Fund	Bond Fund		Money Market Fund
520,330,818	232,688,554	254,742,687		89,865,541	177,553,903		48,173,676

599,088,157	292,242,373	365,572,544		96,367,222	176,397,943		48,173,676
609	131,437	—		54,291	—		—
—	—	1,231,764		—	—		—
812,631	322,516	504,575		—	2,398,625		3,865
4,719	1,319	13,113		13,092	660		1,308
92,729	29	51,689		200,000	—		—
—	—	—		14,838	—		9,348
—	—	—		—	—		—
—	—	30,418		—	—		—
14,388	7,133	9,022		1,536	4,526		1,140

600,013,233	292,704,807	367,413,125		96,650,979	178,801,754		48,189,337

228,287	29,735	1,036		127,017	51,119		8,652
—	—	57,744		—	—		—
20,561	60,211	—		—	—		—
—	—	—		—	—		—
471,701	368,207	673,014		—	259,925		65,395
78,530	90,280	93,092		16,374	34,639		22,362

799,079	548,433	824,886		143,391	345,683		96,409

599,214,154	292,156,374	366,588,239		96,507,588	178,456,071		48,092,928

41,697,379	22,571,581	22,461,785		7,444,214	17,990,696		48,094,030
14.37	12.94	16.32		12.96	9.92		1.00

528,062,982	230,007,466	259,114,001		87,253,975	180,073,315		48,094,030
(7,750,342)	2,418,606	204,888		297,964	(461,284	)	(1,102	)
78,752,319	59,462,784	110,904,954		6,501,681	(1,155,960	)	—
149,195	267,518	(3,635,604	)	2,453,968	—		—

599,214,154	292,156,374	366,588,239		96,507,588	178,456,071		48,092,928


	Large Cap Equity Fund			Small/Mid Cap Equity Fund		International Equity Fund
Investment Income:
Dividends	$	723,153		165,144		859,406
Interest		67,577		79,804		43,872

		790,730		244,948		903,278
Less: foreign withholding taxes		(4,471	)	(1,301	)	(62,657	)

Total investment income		786,259		243,647		840,621
Expenses:
Investment advisory and management fees		186,780		216,390		270,928
Professional fees		26,387		29,472		30,563
Reports to shareholders (a)		(1,471	)	(1,583	)	1,156
Custodian fees		3,705		6,988		80,189
Securities valuation fees		1,679		2,298		25,751
Errors & omissions insurance		1,433		1,366		1,611
Trustees’ fees and expenses		950		851		1,061
Regulatory fees		721		980		380
ICI dues		444		370		473
Fidelity bond expense		252		237		174
Chief Compliance Officer expense		143		131		158
License index fees		—		—		—

Total expenses		221,023		257,500		412,444
Less: expense reimbursement from SFIMC		(3,113	)	(14,061	)	(73,784	)

Net expenses		217,910		243,439		338,660

Net investment income		568,349		208		501,961
Realized and unrealized gain (loss):
Net realized gain (loss) on sales of investments		1,184,582		2,632,606		1,988,881
Net realized gain (loss) on forward foreign currency contracts		—		—		405
Net realized gain (loss) on foreign currency transactions		—		—		8,339
Net realized gain (loss) on futures contracts		—		—		—
Change in unrealized gain (loss) on open futures contracts		—		—		—
Change in net unrealized appreciation (depreciation) on investments and foreign currency transactions		2,974,359		1,088,897		3,503,358

Net realized and unrealized gain (loss) on investments		4,158,941		3,721,503		5,500,983

Net change in net assets resulting from operations	$	4,727,290		3,721,711		6,002,944


	Large Cap Equity Fund
Years ended December 31,	2006			2005 (a)
From operations:
Net investment income	$	568,349		189,622
Net realized gain (loss)		1,184,582		75,038
Change in net unrealized appreciation or depreciation		2,974,359		782,536

Net change in net assets resulting from operations		4,727,290		1,047,196
Distributions to shareholders from:
Net investment income		(559,259	)	(186,165	)
Net realized gain		(1,109,182	)	(31,146	)

Total distributions to shareholders		(1,668,441	)	(217,311	)
From Fund share transactions:
Proceeds from shares sold		5,313,407		25,880,871
Reinvestment of distributions		1,668,442		217,311

		6,981,849		26,098,182
Less payments for shares redeemed		(342,449	)	(49,760	)

Net increase (decrease) in net assets from Fund share transactions		6,639,400		26,048,422

Total increase (decrease) in net assets		9,698,249		26,878,307

Net assets:
Beginning of year		26,878,307		—

	$	36,576,556		26,878,307

End of year*	$	12,004		3,457

* Including undistributed (distribution in excess of) net investment income
Share Information
Sold		481,575		2,586,804
Issued in reinvestment of distributions		145,082		20,915
Redeemed		(30,618	)	(5,020	)

Net increase (decrease)		596,039		2,602,699


Small/Mid Cap Equity Fund				International Equity Fund					Large Cap Equity Index Fund				Small Cap Equity Index Fund
2006		2005 (a)		2006			2005 (a)		2006		2005		2006		2005

208		21,749		$	501,961		59,554		9,073,677		7,877,266		2,230,446		1,600,944
2,632,606		318,001			1,997,625		195,981		1,546,817		5,849,525		22,776,752		16,193,523
1,088,897		(1,112,479	)		3,503,358		4,093,716		69,810,728		9,451,055		19,461,964		(7,996,287	)

3,721,711		(772,729	)		6,002,944		4,349,251		80,431,222		23,177,846		44,469,162		9,798,180

(2	)	(18,475	)		(743,085	)	(154,953	)	(8,912,394	)	(7,809,443	)	(2,067,374	)	(1,484,603	)
(707,065	)	(99,020	)		(1,885,322	)	(86,096	)	—		—		(21,629,382	)	(16,058,116	)

(707,067	)	(117,495	)		(2,628,407	)	(241,049	)	(8,912,394	)	(7,809,443	)	(23,696,756	)	(17,542,719	)

2,322,417		25,403,385			3,456,249		25,468,247		17,869,871		30,289,204		7,464,234		12,233,417
707,067		117,495			2,628,408		241,049		8,912,394		7,809,441		23,696,756		17,542,718

3,029,484		25,520,880			6,084,657		25,709,296		26,782,265		38,098,645		31,160,990		29,776,135
(267,307	)	(38,628	)		(386,104	)	(23,614	)	(21,052,581	)	(28,947,212	)	(12,849,847	)	(33,028,203	)

2,762,177		25,482,252			5,698,553		25,685,682		5,729,684		9,151,433		18,311,143		(3,252,068	)

5,776,821		24,592,028			9,073,090		29,793,884		77,248,512		24,519,836		39,083,549		(10,996,607	)


24,592,028		—			29,793,884		—		521,965,642		497,445,806		253,072,825		264,069,432

30,368,849		24,592,028			38,866,974		29,793,884		599,214,154		521,965,642		292,156,374		253,072,825

4,571		3,274			(312,843	)	(80,874	)	149,195		105,626		267,518		283,173



226,895		2,541,839			273,575		2,542,489		1,343,684		2,481,773		570,701		1,023,590
65,107		12,113			202,966		20,727		618,058		611,546		1,814,453		1,457,036
(26,513	)	(3,986	)		(30,483	)	(2,165	)	(1,576,621	)	(2,353,316	)	(991,126	)	(2,753,825	)

265,489		2,549,966			446,058		2,561,051		385,121		740,003		1,394,028		(273,199	)


Stock and Bond Balanced Fund			Bond Fund				Money Market Fund
2006	2005		2006		2005		2006		2005

2,453,971	2,266,262		7,716,465		7,420,975		2,068,780		1,331,874
298,028	(64	)	218,085		(166,544	)	—		(1,102	)
7,000,562	485,566		(457,001	)	(5,538,599	)	—		—

9,752,561	2,751,764		7,477,549		1,715,832		2,068,780		1,330,772

(2,266,245)	(2,058,064	)	(7,716,465	)	(7,420,975	)	(2,068,780	)	(1,331,874	)
—	—		—		—		—		—

(2,266,245)	(2,058,064	)	(7,716,465	)	(7,420,975	)	(2,068,780	)	(1,331,874	)

4,013,175	6,333,570		8,157,301		11,815,152		8,951,387		5,300,814
2,266,245	2,058,064		7,716,465		7,039,984		2,068,780		1,312,025

6,279,420	8,391,634		15,873,766		18,855,136		11,020,167		6,612,839
(6,319,425)	(4,059,549	)	(6,992,862	)	(20,192,834	)	(6,832,865	)	(18,594,617	)

(40,005)	4,332,085		8,880,904		(1,337,698	)	4,187,302		(11,981,778	)

7,446,311	5,025,785		8,641,988		(7,042,841	)	4,187,302		(11,982,880	)


89,061,277	84,035,492		169,814,083		176,856,924		43,905,626		55,888,506

96,507,588	89,061,277		178,456,071		169,814,083		48,092,928		43,905,626

2,453,968	2,266,242		—		—		—		—


325,277	533,835		827,650		1,169,663		8,951,387		5,300,814
180,290	178,962		783,005		700,522		2,068,780		1,312,025
(510,946)	(341,862	)	(710,588	)	(1,997,067	)	(6,832,865	)	(18,594,617	)

(5,379)	370,935		900,067		(126,882	)	4,187,302		(11,981,778	)


Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Large Cap Equity Fund	$	32,843,598	$	4,121,830	$	(357,710	)	$	3,764,120
Small/Mid Cap Equity Fund		30,563,631		721,354		(749,366	)		(28,012	)
International Equity Fund		31,731,988		7,546,557		(294,707	)		7,251,850
Large Cap Index Fund		520,787,196		142,148,115		(63,847,154	)		78,300,961
Small Cap Index Fund		232,577,997		81,664,315		(21,999,939	)		59,664,376
International Index Fund		259,408,840		128,569,773		(22,406,069	)		106,163,704
Balanced Fund		89,865,541		7,141,998		(640,317	)		6,501,681
Bond Fund		177,553,903		1,362,883		(2,518,843	)		(1,155,960	)
Money Market Fund		48,173,676		—		—			—


Expiration year	Large Cap Index Fund		Bond Fund	Money Market Fund
2010	$	5,267,019	—	—
2011		—	294,740	—
2012		—	—	—
2013		—	166,544	1,102

Total:	$	5,267,019	461,284	1,102


Fund	Undistributed Ordinary Income		Undistributed Long-term Gain		Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Total
Large Cap Equity Fund	$	38,229	$	86,385	$	3,764,120		$	—		$	3,888,734
Small/Mid Cap Equity Fund		1,708,117		444,315		(28,012	)		—			2,124,420
International Equity Fund		78,163		159,923		7,252,733			(8,080	)		7,482,739
Large Cap Index Fund		126,760		—		78,300,961			(7,276,549	)		71,151,172
Small Cap Index Fund		271,072		2,213,460		59,664,376			—			62,148,908
International Index Fund		917,209		326,728		106,230,301			—			107,474,238


Fund	Paid in Capital		Accumulated Net Realized Gain (Loss)			Undistributed (Accumulated) Net Investment Income (Loss)
Large Cap Equity Fund	$	—	$	543		$	(543	)
Small/Mid Cap Equity Fund		—		(1,091	)		1,091
International Equity Fund		—		(9,155	)		9,155
Large Cap Index Fund		—		117,714			(117,714	)
Small Cap Index Fund		2,914		175,813			(178,727	)
International Index Fund		—		(222,819	)		222,819


2006	Ordinary Income		Long-term Capital Gain		Total
Large Cap Equity Fund	$	1,465,027	$	203,414	$	1,668,441
Small/Mid Cap Equity Fund		705,611		1,456		707,067
International Equity Fund		1,941,940		686,467		2,628,407
Small Cap Index Fund		3,206,090		20,490,666		23,696,756
International Index Fund		9,182,677		5,298,273		14,480,950


Large Cap Equity Fund		0.60% of average daily net assets

Small/Mid Cap Equity Fund		0.80% of average daily net assets

International Equity Fund		0.80% of average daily net assets

Large Cap Index Fund		0.26% of average daily net assets

Small Cap Index Fund		0.40% of average daily net assets

International Index Fund		0.55% of average daily net assets

Balanced Fund		None

Bond Fund		0.50% of average daily net assets

Money Market Fund		0.40% of average daily net assets


	Capital Guardian			Barclays		Bridgeway		Rainier
Large Cap Equity Fund	$	79,204		$	—	$	—	$	—
Small/Mid Cap Equity Fund		85,174	(a)		—		7,706		7,706
International Equity Fund		117,507			—		—		—
Large Cap Index Fund		—			432,920		—		—
Small Cap Index Fund		—			351,281		—		—
International Index Fund		—			596,616		—		—

Total Sub-Advisory Fees	$	281,885		$	1,380,817	$	7,706	$	7,706


	Year ended December 31, 2006

	Purchases		Sales
Large Cap Equity Fund	$	15,531,560	$	10,242,275
Small/Mid Cap Equity Fund		41,849,377		40,998,052
International Equity Fund		12,465,956		9,910,260
Large Cap Index Fund		24,699,455		19,034,969
Small Cap Index Fund		59,963,326		62,032,905
International Index Fund		17,387,110		9,792,080
Balanced Fund		2,868,864		2,635,000
Bond Fund		38,896,680		32,495,085


Foreign amount	Currency	Contracts	Settlement Date	U.S. Dollar	Unrealized Gain (Loss)
185,341	Australian Dollar	1	01/25/2007	146,072	$	5,963
9,397	Canadian Dollar	2	01/02/2007	8,058		39
198,249	Euro	2	01/11/2007-01/25/2007	261,757		(10,455	)
16,720,658	Japanese Yen	4	01/04/2007-01/11/2007	140,565		(3,026	)
19,229	Singapore Dollar	1	01/03/2007	12,537		28

				Total	$	(7,451	)


Fund	Type	Number of contracts	Notional Value		Market Value		Position	Expiration Month	Unrealized Gain (Loss)
Large Cap Index Fund	S&P 500 Index Mini	78	$	5,575,780	$	5,570,760	Long	March ‘07	$	(5,020	)

Small Cap Index Fund	Russell 2000 Index Mini	111		8,914,425		8,823,390	Long	March ‘07	$	(91,035	)

International Index Fund	TOPIX Index	2		268,725		282,405	Long	March ‘07		13,680
International Index Fund	DJ Euro Stoxx 50	6		322,793		328,898	Long	March ‘07		6,105
International Index Fund	EMINI MSCI EAFE Index	4		411,400		419,900	Long	March ‘07		8,500
International Index Fund	FTSE 100 Index	3		362,836		364,969	Long	March ‘07		2,133

Total									$	30,418


	Year ended December 31, 2006			From commencement of investment operations July 26, 2005 to December 31, 2005
Net asset value, beginning of period	$	10.33		10.00
Income from Investment Operations
Net investment income (a)		0.20		0.07
Net gain (loss) on investments (both realized and unrealized)		1.45		0.34

Total from investment operations		1.65		0.41

Less Distributions
Net investment income		(0.18	)	(0.07	)
Net realized gain		(0.37	)	(0.01	)

Total distributions		(0.55	)	(0.08	)

Net asset value, end of period	$	11.43		10.33

Total Return		15.91	%	4.14	%(b)
Net assets, end of period (millions)	$	36.6		26.9
Ratios to average net assets assuming expense reductions
Expenses		0.70	%	0.70	%(c)
Net investment income		1.83	%	1.71	%(c)
Ratios to average net assets absent expense reductions
Expenses		0.71	%	0.85	%(c)
Net investment income		1.82	%	1.56	%(c)
Portfolio turnover rate		34	%	15	%


	Year ended December 31,
	2006			2005		2004		2003		2002
Net asset value, beginning of period	$	12.63		12.26		11.27		8.89		11.62
Income from Investment Operations
Net investment income (a)		0.22		0.19		0.20		0.14		0.13
Net gain (loss) on investments (both realized and unrealized)		1.74		0.37		0.98		2.38		(2.73	)

Total from investment operations		1.96		0.56		1.18		2.52		(2.60	)

Less Distributions
Net investment income		(0.22	)	(0.19	)	(0.19	)	(0.14	)	(0.13	)

Total distributions		(0.22	)	(0.19	)	(0.19	)	(0.14	)	(0.13	)

Net asset value, end of period	$	14.37		12.63		12.26		11.27		8.89

Total Return		15.49	%	4.57	%	10.46	%	28.31	%	(22.41	)%
Net assets, end of period (millions)	$	599.2		522.0		497.4		395.8		284.1
Ratios to average net assets
Expenses		0.31	%	0.32	%	0.30	%	0.31	%	0.31	%
Net investment income		1.64	%	1.57	%	1.73	%	1.47	%	1.31	%
Portfolio turnover rate		3	%	4	%	3	%	1	%	3	%


Name, Address, and Age	Position(s) Held with Fund	Length of Time Served and Term of Office	Principal Occupation(s) During the Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Thomas M. Mengler One State Farm Plaza Bloomington, Illinois 61710 Age 53	Trustee	Began service in 1997 and serves until successor is elected or appointed.	DEAN and PROFESSOR OF LAW – University of St. Thomas School of Law (since 6/2002); DEAN – University of Illinois College of Law (8/1993-6/2002); TRUSTEE – State Farm Mutual Fund Trust, State Farm Associates’ Funds Trust.	28	None
James A. Shirk One State Farm Plaza Bloomington, Illinois 61710 Age 62	Trustee	Began service in 1997 and serves until successor is elected or appointed.	DIRECTOR and PRESIDENT (since 6/1981) –Beer Nuts, Inc. (manufacturer of snack foods); TRUSTEE – State Farm Mutual Fund Trust, State Farm Associates’ Funds Trust.	28	None
Victor J. Boschini One State Farm Plaza Bloomington, Illinois 61710 Age 50	Trustee	Began service in 2001 and serves until successor is elected or appointed.	CHANCELLOR (since 2003) – Texas Christian University; PRESIDENT (1999-2003) – Illinois State University; TRUSTEE – State Farm Mutual Fund Trust, State Farm Associates’ Funds Trust.	28	None
David L. Vance One State Farm Plaza Bloomington, Illinois 61710 Age 54	Trustee	Began service in 2001 and serves until successor is elected or appointed.	PRESIDENT (since 2000) – Caterpillar University; CHIEF ECONOMIST AND MANAGER of the Business Intelligence Group (since 1994) – Caterpillar, Inc. (manufacturer of heavy equipment and earth-moving machinery); TRUSTEE – State Farm Mutual Fund Trust, State Farm Associates’ Funds Trust.	28	None
Donald A. Altorfer One State Farm Plaza Bloomington, Illinois 61710 Age 63	Trustee	Began service in 2001 and serves until successor is elected or appointed.	CHAIRMAN (since 1/1998) – Altorfer, Inc. (dealer in heavy machinery and equipment); TRUSTEE – State Farm Mutual Fund Trust, State Farm Associates’ Funds Trust.	28	None
Alan R. Latshaw One State Farm Plaza Bloomington, Illinois 61710 Age 55	Trustee	Began service in 2005 and serves until successor is elected or appointed.	RETIRED (since 12/2003); PARTNER – Ernst & Young LLP (public accounting firm) (6/2002-12/2003); PARTNER – Arthur Andersen LLP (public accounting firm) (before 6/2002); TRUSTEE – State Farm Mutual Fund Trust, State Farm Associates’ Funds Trust.	28	TRUSTEE – Utopia Funds (4 portfolios) TRUSTEE – MainStay Funds (19 portfolios)
Anita M. Nagler One State Farm Plaza Bloomington, Illinois 61710 Age 50	Trustee	Began service effective 12/1/2006, and serves until successor is elected or appointed.	PRIVATE INVESTOR; CHIEF EXECUTIVE OFFICER and CHAIRMAN (until 2005) – Harris Alternatives, L.L.C. (investment adviser to funds of hedge funds); MANAGING DIRECTOR, INTERNATIONAL AND ALTERNATIVE INVESTING GROUP (2001-2003) – Harris Associates, L.P. (registered investment adviser); EXECUTIVE VICE PRESIDENT (until 2003) – Harris Associates Investment Trust – The Oakmark Family of Funds (mutual funds); and TRUSTEE – State Farm Mutual Fund Trust, State Farm Associates’ Funds Trust.	28	None


	Paragraph (b)	Paragraph (c)	Paragraph (d)
Fiscal year ending December 31, 2006:	not applicable	0%	not applicable
Fiscal year ending December 31, 2005:	not applicable	0%	not applicable



BY		/S/ MICHAEL L. TIPSORD
		Michael L. Tipsord
		Senior Vice President and Treasurer