N-30D 1 b41861stn-30d.txt STREETTRACKS SEMI ANNUAL REPORT [streetTRACKS(SM) Logo] semi-annual report december 31, 2001 [streetTRACKS semi-annual report] PRESIDENT'S LETTER TO SHAREHOLDERS Dear streetTRACKS Shareholders, 2001 is a year we will never forget. The events of September 11th demonstrated that the U.S. is not immune to the threat of global terrorism. The attacks took the lives of thousands of innocent people reporting to work in the World Trade Center (WTC) and the Pentagon that fateful morning together with the hundreds of rescue operators who bravely made their way into the WTC before the buildings collapsed. The attacks also brought the financial markets of Wall Street to a close for several days. Thanks to the dedicated efforts of many working round the clock the markets were able to reopen the Monday following the attack with strong volumes and orderly trading. Like the rest of the United States, Wall Street proved that instead of bringing the nation to its knees, the attacks unified the country in purpose and spirit and the country would rebuild and continue to be a symbol of freedom, tolerance, and opportunity for all. Equity markets suffered the second consecutive annual decline in market values. The S&P 500 was off 11.89%, after having lost 9.10% in 2000. The broader based Dow Jones Total Market Index also suffered returns of -11.95% for the year. Growth stocks suffered heavy losses with the Dow Jones U.S. Large Cap Growth and Dow Jones U.S. Small Cap Growth Indexes off 25.46% and 8.50% respectively for the year. Value stocks, by comparison, fared much better as investors found their relative valuations and stable earnings prospects much more attractive. The Dow Jones U.S. Large Cap Value Index returned -6.12% for the year and the Dow Jones Small Value Index enjoyed a strong performance of 12.78%. Exchange Traded Funds (ETFs) continued to gain attention throughout the year as many new funds were launched. We closed the year with 101 ETFs listed in the U.S. with total assets of $83 billion. Particularly exciting was the rapid increase in trading volumes across the industry. It is clear that investors are beginning to appreciate the role ETFs can play in managing asset allocation as well as the attractive risk management applications they present. Registered investment advisers, retail broker/dealers, and financial planners are focussing on the products as effective tools to manage their customer accounts, especially as they continue the shift from commissions to a fee for service compensation model. The diversification the funds offer, coupled with the ability to trade them as stocks and their inherent tax efficiency provide powerful tools allowing advisers to bring traditionally institutional investment strategies to their retail customer base. The streetTRACKS Series Trust experienced strong growth in trading volumes during the last half of the year. The Trust's assets increased 36% in the fourth quarter to $285 million. All of the funds performed in line with their investment objectives, again demonstrating that they are highly effective vehicles to gain asset exposure to well-defined segments of the market. We are looking forward to continuing to work with the market in promoting the benefits and applications of ETFs. It is clear that ETFs will continue to be a major focus of investors as we all search for tools to gain market exposure and control risks in our client's portfolios. Thank you for your continuing support of our efforts. Agustin J. Fleites President streetTRACKS Series Trust [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS STREETTRACKS DOW JONES U.S. LARGE CAP GROWTH INDEX FUND The streetTRACKS Dow Jones U.S. Large Cap Growth Index Fund (the "Fund") seeks to replicate the total return of the Dow Jones U.S. Large Cap Growth Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. For the six months ended December 31, 2001, the Fund was down -12.06% versus the Index return of -11.95%. The Federal Reserve continued with its attempts to pump stimulus into the economy in the hopes of staving off a recession. By year end, the Federal Funds rate had been cut eleven times, by a total of 475 basis points, to 1.75%, its lowest level in over forty years. The period will, of course, be most remembered for the tragic events of September 11th. The attack helped to send the already struggling equity markets reeling around the globe and led to fears that it would cause a severe jolt to consumer spending, which was believed to be the last pillar supporting the economy from a full blown recession. A flurry of layoffs resulted causing the unemployment rate to spike up to 5.8%. However, as has been the case historically in times of crisis events, this proved to be an opportune time to shift cash into the equity markets. By the end of the quarter, the major indices were able to recoup all of the losses they had suffered in early to mid September, and then some. The fourth quarter saw the Fund gain over 17% after losing close to 25% in the quarter ended September 30, 2001. Looking ahead, we are beginning to see some faint signs that the 475 basis points worth of rate cuts this year, the summer's tax rebate, and the cost cutting and inventory reduction measures at the firm level may be starting to provide the stimulus to the economy that was expected. The biggest gainers in the Fund during the period included Guidant Corp. (+38.33%), Target Corp. (+18.96%), and Maxim Integrated Products, Inc. (18.77%). The biggest detractors to the Fund's performance were, once again, mainly technology stocks. Leading the laggards were Global Crossing Ltd. (-90.28%), Ciena Corp. (-62.34%), The AES Corporation (-62.02%), and Comverse Technology, Inc. (-60.82%). Less than a quarter of the constituents in the Fund were able to muster positive returns over the six month period. In terms of sector performance, only two sectors were able to end the period with gains, Consumer Staples (+3.63%), and Health Care (+1.79%). The Technology (-12.57%), Consumer Discretionary (-12.90%), and Industrial (-14.15%) sectors accounted for over 85% of the Fund's decline. COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT DOW JONES U.S. LARGE CAP GROWTH INDEX FUND [LINE GRAPH]
DOW JONES US LARGE CAP GROWTH INDEX FUND DOW JONES LARGE CAP INDEX ---------------------- ------------------------- 9/25/00 10000.00 10000.00 9/30/00 9800.00 9969.00 10/31/00 9285.50 9854.36 11/30/00 7792.86 8908.34 12/31/00 7394.87 8882.15 1/31/00 8050.80 9209.01 2/28/00 6528.39 8231.93 3/31/00 5703.20 7628.53 4/30/01 6512.27 8248.73 5/31/01 6406.12 8270.18 6/30/01 6251.80 8038.62 7/31/01 5971.10 7943.73 8/31/01 5339.35 7402.75 9/30/01 4696.50 6847.26 10/31/01 4971.71 6957.50 11/30/01 5566.33 7491.84 12/31/01 5497.86 7507.57
2 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 ----------------------------------------------------------------------------------------------- DESCRIPTION GENERAL MICROSOFT PFIZER, INTEL AMERICAN ELECTRIC CO. CORP. INC. CORP. INTERNATIONAL GROUP, INC. --------------------------------------------------------------------------------------------------------- MARKET VALUE $2,746,402 2,106,816 1,461,198 1,431,185 1,737,101 --------------------------------------------------------------------------------------------------------- % OF 12.86% 9.86 8.13 6.84 6.70 NET ASSETS ---------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES U.S. LARGE CAP DOW JONES LARGE CAP INDEX VALUE VALUE GROWTH INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -25.66% -25.87% -25.46% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -43.90% -43.99% -43.74% -24.68% (1) ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES U.S. LARGE CAP DOW JONES LARGE CAP INDEX VALUE VALUE GROWTH INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED -25.66% -25.87% -25.46% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -36.91% -36.99% -36.88% -20.29% (1) ------------------------------------------------------------------------------------------------------------------
(1) For the period September 29, 2000 (commencement of trading on the AMEX) to December 31, 2001. 3 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS STREETTRACKS DOW JONES U.S. LARGE CAP VALUE INDEX FUND The streetTRACKS Dow Jones U.S. Large Cap Value Index Fund (the "Fund") seeks to replicate the total return of the Dow Jones U.S. Large Cap Value Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. For the six months ended December 31, 2001, the Fund and its Index declined by -2.02% and -1.92%, respectively. Value stocks, small cap in particular, continued to outperform growth stocks during the period. The Dow Jones U.S. Large Cap Value Index outpaced its growth counterpart by over 10% during the period, while it trailed the Dow Jones U.S. Small Cap Value Index by 467 basis points. With all of the stimulus in the economy and some faint signs of a turnaround starting to appear, investors flocked to some beaten down stocks in what are normally viewed as growth oriented sectors such as Health Care and Information Technology. On the flip side, the Consumer Discretionary and Financial sectors felt much of the damage, especially after the terrorist attacks in the U.S. As might be expected, the securities that suffered the most at this time were those in the Travel & Tourism and Insurance industries. The biggest gainers in the Fund during the period included FedEx Corp. (+29.05%), Lowe's Companies, Inc. (+28.05%), and The Procter & Gamble Co. (+25.22%). FedEx Corp. was boosted by the online sales boom during the holiday period, while Lowe's continued to enjoy the by-products of a resilient housing market. The biggest losers for the Fund were Xerox Corp. (-35.04%), Ford Motor Co. (-34.13%), and The Boeing Co. (-29.64%). Ford was hurt by the tire controversy, some product recalls, and the zero percent financing deals being offered in the fourth quarter. These things helped lead to the ousting of CEO Jacques Nasser. Boeing was hurt by the events of the September 11th tragedy and the effects that it had on the airline industry. As mentioned above, the Financial sector (-4.76%), which makes up nearly a third of the Index, and the Consumer Discretionary sector (-15.94%) were hit the hardest. Consumer Staples (+6.57%), Information Technology (+6.44%), and Health Care (+4.94%) were able to provide some support. COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT DOW JONES U.S. LARGE CAP VALUE INDEX FUND [LINE GRAPH]
DOW JONES US LARGE CAP VALUE INDEX FUND DOW JONES LARGE CAP INDEX ---------------------------- ------------------------- 9/25/00 10000.00 10000.00 9/30/00 10175.00 9969.00 10/31/00 10518.90 9854.36 11/30/00 10244.40 8908.34 12/31/00 10591.70 8882.15 1/31/01 10512.20 9209.01 2/28/01 10166.40 8231.93 3/31/01 9811.56 7628.53 4/30/01 10243.60 8248.73 5/31/01 10444.40 8270.18 6/30/01 10127.90 8038.62 7/31/01 10231.20 7943.73 8/31/01 9802.52 7402.75 9/30/01 9422.18 6847.26 10/31/01 9313.82 6957.50 11/30/01 9791.62 7491.84 12/31/01 9924.79 7507.57
4 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 ------------------------------------------------------------------------------------------------------------------ DESCRIPTION EXXON MOBIL CITIGROUP, INTERNATIONAL JOHNSON & MERCK & CO., CORP. INC. BUSINESS JOHNSON INC. MACHINES CORP. ------------------------------------------------------------------------------------------------------------------ MARKET VALUE $2,937,007 2,846,416 2,276,467 1,980,559 1,461,239 ------------------------------------------------------------------------------------------------------------------ % OF 5.84% 5.66 4.53 3.94 2.91 NET ASSETS ------------------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES U.S. LARGE CAP DOW JONES LARGE CAP INDEX VALUE VALUE VALUE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -6.30% -5.63% -6.12% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -2.47% -2.01% -2.28% -24.68% (1) ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES U.S. LARGE CAP DOW JONES LARGE CAP INDEX VALUE VALUE VALUE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -6.30% -5.63% -6.12% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -1.98% -1.60% -1.83% -20.29% (1) ------------------------------------------------------------------------------------------------------------------
(1) For the period September 29, 2000 (commencement of trading on the AMEX) to December 31, 2001. [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS STREETTRACKS DOW JONES U.S. SMALL CAP GROWTH INDEX FUND The streetTRACKS Dow Jones U.S. Small Cap Growth Index Fund (the "Fund") seeks to replicate the total return of the Dow Jones U.S. Small Cap Growth Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. For the six month period ending December 31, 2001, the Fund return was -7.43% versus its Index return of -7.26%. The economic outlook continued to look weak in the second half of 2001 as recessionary pressures mounted and companies struggled to realize profits. Companies continued to trim their workforce with massive layoffs as the U.S. unemployment rates rose to 5.8% in December, the highest level since August 1995. The terrorist attacks of September 11th along with dim economic conditions allowed the Fed to aggressively cut rates to stimulate the economy. The Fed initiated eleven rate cuts in 2001, lowering the Fed Funds rate to 1.75%. For the second half of 2001, the small cap segment outperformed large cap both in value and growth style. The Dow Jones U.S. Small Cap Growth Index return of -7.26% outperformed the Dow Jones U.S. Large Cap Growth Index by 469 basis points. The Dow Jones U.S. Large Cap Growth Index return for the period was -11.95%. The Dow Jones U.S. Small Cap Growth Index underperformed the Dow Jones U.S. Small Cap Value Index by 1,001 basis with the Dow Jones U.S. Small Cap Value Index return of 2.75% for the period. The sector with the strongest return for the six month period was Consumer Staples (+4.24%). The biggest contributors were Dean Foods Co. (+28.4%) and Constellation Brands, Inc. (+4.51%). The biggest detractor from return was Rite Aid Corp. (-43.78%). Consumer Staples had the best return for the period but the sector that provided the largest contribution to total return, with a weight of 29.21%, was Information Technology. The biggest contributors to return for Information Technology were Network Assocs, Inc. (+107.63%), Overture Services, Inc. (+82.16%), and Ariba, Inc. (+12.0%). The biggest detractors were Foundry Networks, Inc. (-59.21%), Cirrus Logic, Inc. (-42.60%), and Retek, Inc. (-37.69%). The Health Care sector proved to be the biggest negative contributor to return with a sector return of -10.15%. The best performing stocks in the sector were Ligand Pharmaceuticals, Inc. (+58.41%), and Cyberonics, Inc. (+56.98%). The worst performing stocks in the sector were Pharmacyclics, Inc. (-70.68%), and Guilford Pharmaceuticals, Inc. (-64.71%). COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT DOW JONES U.S. SMALL CAP GROWTH INDEX FUND [LINE GRAPH]
DOW JONES U.S. SMALL CAP GROWTH INDEX FUND DOW JONES SMALL CAP INDEX ------------------------ ------------------------- 9/25/00 10000.00 10000.00 9/30/00 9988.00 10104.00 10/31/00 9320.80 9683.67 11/30/00 7567.56 8620.41 12/31/00 8019.34 9448.83 1/31/00 8628.81 9880.83 2/28/00 7390.58 9161.01 3/31/00 6585.00 8594.13 4/30/01 7498.60 9385.90 5/31/01 7690.56 9634.16 6/30/01 7893.44 9831.76 7/31/01 7235.13 9501.61 8/31/01 6709.13 9155.04 9/30/01 5499.48 7943.14 10/31/01 6113.77 8438.00 11/30/01 6808.90 9129.07 12/31/01 7307.31 9678.64
6 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 ------------------------------------------------------------------------------------------------------------------ DESCRIPTION NETWORK EXPEDITORS DEAN OXFORD ROSS STORES, ASSOCS, INC. INTERNATIONAL OF FOODS CO. HEALTH INC. WASHINGTON, INC. PLANS, INC. -------------------------------------------------------------------------------------------------------- MARKET VALUE $263,773 219,713 213,807 205,284 191,485 ------------------------------------------------------------------------------------------------------------------ % OF 1.20% 1.00 0.97 0.93 0.87 NET ASSETS ------------------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES U.S.SMALL CAP DOW JONES SMALL CAP INDEX VALUE VALUE GROWTH INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -8.88% -8.72% -8.50% 2.43% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING(1) -26.84% -27.00% -26.57% -4.21% ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES U.S.SMALL CAP DOW JONES SMALL CAP INDEX VALUE VALUE GROWTH INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -8.88% -8.72% -8.50% 2.43% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -22.05% -22.18% -21.90% -3.38% (1) ------------------------------------------------------------------------------------------------------------------
(1) For the period September 29, 2000 (commencement of trading on the AMEX) to December 31, 2001. 7 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS STREETTRACKS DOW JONES U.S. SMALL CAP VALUE INDEX FUND The streetTRACKS Dow Jones U.S. Small Cap Value Index Fund (the "Fund") seeks to replicate the total return of the Dow Jones U.S. Small Cap Value Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. For the six month period ending December 31, 2001, the Fund and its Index returned a positive 2.63% and 2.75% respectively. The economic outlook continued to look weak in the second half of 2001 as recessionary pressures mounted and companies struggled to realize profits. Companies continued to trim their workforce with massive layoffs as the U.S. unemployment rates rose to 5.8% in December, the highest level since August 1995. The terrorist attacks of September 11th along with dim economic conditions allowed the Fed to aggressively cut rates to stimulate the economy. The Fed initiated eleven rate cuts in 2001, lowering the Fed Funds rate to 1.75%. For the second half of 2001, the small cap segment outperformed large cap both in value and growth style. The Dow Jones Small Cap Value Index return of 2.75% outperformed the Dow Jones U.S. Large Cap Value Index by 467 basis points. The Dow Jones U.S. Large Cap Value Index return for the period was -1.92%. The Dow Jones U.S. Small Cap Value Index outperformed the Dow Jones U.S. Small Cap Growth Index by 1,001 basis points with the Dow Jones U.S. Small Growth Index return of -7.26% for the period. The best performing sector for the six month period ending December 31, 2001 was Information Technology with a return of 13.81%. The biggest contributors to return for the period were Storage Technology Corp. (+50.22%), CACI International Inc. (+68.02%), and IKON Office Solutions, Inc. (+20.32%). The biggest detractors from return were Axcelis Technologies, Inc. (-12.91%), and Intergraph Corp (-10.78%). The worst performing sector was Health Care with a sector return of -3.71%. The positive contributors to return in Health Care were Omnicare, Inc. (+23.41%), and Edwards Lifesciences Corp. (+4.82%). Negative contributors included Manor Care, Inc. (-25.32%), and Service Corp. International (-21.54%). The sector with the largest weight was Financials (41.83%). The return for the sector was 2.76% with notable mentions for RenaissanceRe Holdings, Inc. (+30.12%), W.R. Berkley Corp. (+30.38%), and Allied Capital Corp. (+17.11%). Some of the worst performers included Trenwick Group (-55.30%), CNA Financial Corp. (-26.06%), and Provident Financial Group, Inc. (-18.70%). COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT DOW JONES U.S. SMALL CAP VALUE INDEX FUND [LINE GRAPH]
DOW JONES US SMALL CAP VALUE INDEX FUND DOW JONES SMALL CAP INDEX ---------------------------- ------------------------- 9/25/00 10000.00 10000.00 9/30/00 10194.70 10104.00 10/31/00 10249.10 9683.67 11/30/00 10233.70 8620.41 12/31/00 11575.10 9448.83 1/31/01 11598.90 9880.83 2/28/01 11740.20 9161.01 3/31/01 11449.20 8594.13 4/30/01 11964.50 9385.90 5/31/01 12425.50 9634.16 6/30/01 12668.70 9831.76 7/31/01 12790.30 9501.61 8/31/01 12735.30 9155.04 9/30/01 11503.80 7943.14 10/31/01 11667.20 8438.00 11/30/01 12417.40 9129.07 12/31/01 13002.20 9678.64
8 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 -------------------------------------------------------------------------------------------------------------------- DESCRIPTION VALERO ENERGY PLUM CREEK SOVEREIGN TYSON ALLIED CORP. TIMBER CO., INC. BANCORP, INC. FOODS, INC. CAPITAL CORP. -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $292,533 281,203 217,982 191,372 185,406 -------------------------------------------------------------------------------------------------------------------- % OF 1.16% 1.11 0.86 0.76 0.73 NET ASSETS --------------------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES U.S. SMALL CAP DOW JONES SMALL CAP INDEX VALUE VALUE VALUE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 12.33% 14.23% 12.78% 2.43% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING 27.54% 27.29% 28.33% -4.21% (1) ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES U.S. SMALL CAP DOW JONES SMALL CAP INDEX VALUE VALUE VALUE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 12.33% 14.23% 12.78% 2.43% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING 21.39% 21.20% 22.09% -3.38% (1) ------------------------------------------------------------------------------------------------------------------
(1) For the period September 29, 2000 (commencement of trading on the AMEX) to December 31, 2001. 9 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS STREETTRACKS DOW JONES GLOBAL TITANS INDEX FUND The streetTRACKS Dow Jones Global Titans Index Fund (the "Fund") seeks to replicate the total return of the Dow Jones Global Titans Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. For the six months ended December 31, 2001, the Fund and its Index returned -5.68% and -5.04%, respectively. As of year end, the Fund had 67.3% of its assets invested in U.S. stocks, 27.7% in Europe, and 2.8% in Japan. Continued economic problems and the tragic events of September 11th combined to create a difficult environment for the equity markets. Despite all of this, the U.S. and European region stocks were both down only 3% for the second half of 2001. Among the European countries, Netherlands had the largest negative return (-16.9%). Alternatively, Finland propelled by a rebounding Nokia was the best performer (10.5%) within the Euroland countries. The declines for the U.S. and the European regions paled in comparison to Japan which had a return of -27.4%. All three Japanese stocks in the Index posted negative returns greater than -23.5%. With all of the regions down during the second half of the year, it is hardly surprising that the ratio of double digit declining issues to gaining was greater than 3:1. The three stocks with the largest declines were AOL Time Warner, Inc. (-39.5%), Ford Motor Co. (-34.1%), and Sony Corp. (-31.3%). These stocks impact on the Fund's performance was partially offset by the three best performing stocks in this Fund which were The Procter & Gamble Co. (+25.2%), Johnson & Johnson (+18.9%), and Wal-Mart Stores, Inc. (+18.2%). Led by The Procter & Gamble Co., the best performing sector during the second half of 2001 was Consumer Staples (+3.1%). The Technology sector was also able to post a positive return (+1.5%) during this period. The two worst performing sectors were Consumer Discretionary (-16.2%) and Industrials (-9.4%). Sony Corp. and Ford Motor Co. were significant contributors to Consumer Discretionary's decline whereas General Electric Co. (-16.8%) was the primary cause of Industrial's decline. COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT DOW JONES GLOBAL TITANS INDEX FUND [LINE GRAPH]
DOW JONES GLOBAL TITANS INDEX FUND DOW JONES LARGE CAP INDEX ----------------------------- ------------------------- 9/25/00 10000.00 10000.00 9/31/00 9982.00 9969.00 10/31/00 10110.80 9854.36 11/30/00 9346.39 8908.34 12/31/00 9147.32 8882.15 1/31/01 9502.23 9209.01 2/28/01 8601.42 8231.93 3/31/01 8106.84 7628.53 4/30/01 8814.80 8248.73 5/31/01 8701.97 8270.18 6/30/01 8446.14 8038.62 7/31/01 8300.86 7943.73 8/31/01 7798.66 7402.75 9/30/01 7377.53 6847.26 10/31/01 7550.90 6957.50 11/30/01 7939.78 7491.84 12/31/01 7966.77 7507.57
10 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 ------------------------------------------------------------------------------------------------------ DESCRIPTION GENERAL MICROSOFT EXXON MOBIL CITIGROUP, PFIZER, ELECTRIC CO. CORP. CORP. INC. INC. ------------------------------------------------------------------------------------------------------ MARKET VALUE $1,367,089 1,047,346 923,471 893,244 864,745 ------------------------------------------------------------------------------------------------------ % OF 6.87% 5.26 4.64 4.49 4.34 NET ASSETS ------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES GLOBAL TITANS DOW JONES LARGE CAP INDEX VALUE VALUE U.S. CLOSE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -12.92% -12.11% -12.56% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -20.20% -20.04% -19.71% -24.68% (1) ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET DOW JONES GLOBAL TITANS DOW JONES LARGE CAP INDEX VALUE VALUE U.S. CLOSE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -12.92% -12.11% -12.56% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -16.46% -16.33% -16.11% -20.29% (1) ------------------------------------------------------------------------------------------------------------------
(1) For the period September 29, 2000 (commencement of trading on the AMEX) to December 31, 2001. 11 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS STREETTRACKS WILSHIRE REIT INDEX FUND The streetTRACKS Wilshire REIT Index Fund (the "Fund") seeks to replicate the total return of the Wilshire REIT Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. For the six month period ending December 31, 2001, the Fund and its Index returned 2.18% and 2.37%, respectively. The REIT market was up 4.90% in the fourth quarter of 2001 as measured by the Wilshire REIT Index. However, the S&P 500 managed to gain nearly 11% during this same period while the NASDAQ rose more than 30% during the fourth quarter. While the REIT market lagged these indices during the quarter, REITs performed exceptionally well during the full year of 2001. The Wilshire REIT Index was up 12.36% for the year, while the S&P 500 was down 13.04% and the NASDAQ was down 21.05%. At the start of 2001 many investors were skeptical of the REIT market's ability to repeat the positive returns the group generated in 2000. REITs were up 31% in 2000. With returns for 2001 at 12.36%, REITs have more than met most optimists' expectations, and have also outperformed the broader equity markets by a wide margin for the second consecutive year. At the beginning of 2001 REITs were well positioned to generate attractive returns, and while we have found this prognostication to be more prescient than even we could have imagined, we now are in the unenviable position of looking out yet another year. Before discussing our 2002 expectations, it seems appropriate to mention some of the notable events that transpired in the REIT market in 2001. Arguably the most notable event to impact the REIT market this past year was Standard & Poors decision to include REITs in the S&P 500 Index. On October 9th Standard & Poors added Equity Office Properties to the S&P 500, and stated their intention of adding more REITs to the index in the future. S&P made good on this promise by adding Equity Residential Properties to the index the following month. S&P had long considered REITs to be passive investment vehicles, and not entities where management teams were bound by the same economic and strategic forces found in main stream corporate structures. In reversing this position, S&P has given support to the argument that recent legislation and macro changes in the REIT market have allowed REITs to become competitive entities with the potential to create significant shareholder value. One of the most important aspects of this inclusion comes from the added exposure REITs will gain, and the fact that most money managers who are benchmarked against the S&P 500 will no longer be able to totally ignore REITs. The second event worth touching on is the economic recession that transpired in the U.S. in 2001. The health of the real estate market in the U.S. changed drastically during 2001 as a direct result of the economic downturn. Most property types experienced an abrupt and precipitous fall-off in demand, and in turn vacancy rates increased while market rent levels subsided. For example, the office vacancy rate started the year at approximately 7.3% (an all time low) and will probably end the year above 13%. This was the greatest erosion of office occupancy levels ever witnessed in a twelve-month period. Many tenants leased space in the fourth quarter of 2000 in anticipation of growth that never materialized. As these companies went from rapid expansion (or hiring) to a swift contraction (or layoffs), it became apparent that space needs were grossly overestimated. In an effort to cut costs these tenants put space back on the market in an attempt to sublease the space. It has been estimated that over 3% of the office vacancy in the country is due to companies attempting to sublease space. While the other major property types have not experienced the same relative slackening in demand, vacancies have ticked up across the board. No one expected REITs to be immune to this economic slowdown, and in fact REIT earnings growth expectations for 2001 and 2002 are currently half of what they were at the beginning of 2001. The 12 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS consensus growth rate for both 2001 and 2002 fell to between 4%-5% down from an expectation of between 8%-9% growth. While the revisions are by no means positive for the group, relative to other sectors the absence of negative earnings growth should prove attractive. This lower but still positive growth rate is continued proof that the limited new supply of real estate developed in the past few years, combined with the contractual nature of REIT revenues, or leases, positions REITs to produce stable cash flows in changing economic environments. Finally, a review of 2001 would not be complete without discussing the impact the September 11th terrorist attacks had on real estate. Even without the tragic events of September 11th, as mentioned, real estate fundamentals had been declining rather rapidly. The slowing economy was causing vacancy rates to rise and rental rate growth to come to a halt across most property types and in most geographic regions. The events of September 11th only accelerated this slide. Indeed, real estate fundamentals deteriorated throughout 2001. With that said, we feel this deterioration is much less dramatic than was previously expected given the economic downturn experienced in the U.S. For example, the vacancy rate of 13% in the office sector remains below the long-term average of over 14%, and well below the 17% level reached during the last recession. Rental growth rates have come to a halt, but the underlying cashflows of the portfolios remain strong, as tenant default levels remain at all time lows. Therefore, while we do not expect to see any big upside surprises in the earnings expectations previously mentioned, the underlying stability of the cash flows generated by REITs remains very healthy, and should continue to attract investors. Given the contractual nature of the leases in REIT portfolios, changes to REIT earnings generally lag the changes in the overall economy. Therefore, growth rates could begin to accelerate as early as the second half of 2002, depending on when economic growth returns. This would mean that growth would bottom out at 4%, which is very attractive relative to the broader market. While REIT share prices have continued to move towards what we would consider fair value, we believe REITs are still not near the level of overvaluation we experienced in 1997, which led to two years of significant under-performance in 1998 and 1999. Multiples are still nowhere near the highs reached during the REIT peak of 1997. REITs currently trade at approximately 9 times next year's cash flow, which is well below the 13.5 times multiple witnessed in 1997. REIT share prices are currently trading in-line with the estimated underlying value of their respective real estate portfolios, and the dividend is still attractive at just under 7%. This dividend yield remains extremely safe on average as the group is retaining more cash than it has in the past ten years. Outside of the hotel sector, we estimate earnings would have to decline by more than 15% for the groups average dividend to be cut. With all of these factors present we see attractive dividends being the major portion of REIT returns for 2002, with additional upside coming in the form of modest price appreciation. The biggest gainers in the Fund included New Plan Excel Realty Trust (+23.02%), Sovran Self Storage, Inc. (+17.42%), and Mills Corporation (+13.45%). The biggest losers for the Fund were Meristar Hospitality (-34.55%), LaSalle Hotel Properties (-32.05%), and Host Marriot Corp. (-24.94%). 13 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT WILSHIRE REIT INDEX FUND [LINE GRAPH]
DOW JONES SMALL CAP INDEX WILSHIRE REIT INDEX FUND (BROAD-BASED COMPARATIVE INDEX) ------------------------ ------------------------------- 4/23/01 10000.00 10000.00 4/30/01 10259.10 10548.40 5/31/01 10504.60 10827.40 6/30/01 11121.60 11049.50 7/31/01 10898.10 10678.40 8/31/01 11325.30 10288.90 9/30/01 10848.50 8926.93 10/31/01 10461.20 9483.07 11/30/01 11086.80 10259.70 12/31/01 11364.00 10877.40
14 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 -------------------------------------------------------------------------------------------------------------- DESCRIPTION EQUITY OFFICE EQUITY SIMON ARCHSTONE- VORNADO PROPERTIES RESIDENTIAL PROPERTY SMITH REALTY TRUST PROPERTIES TRUST GROUP, INC. TRUST TRUST -------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,700,092 1,062,557 704,331 634,225 566,883 -------------------------------------------------------------------------------------------------------------- % OF 9.59% 5.99 3.97 3.58 3.20 NET ASSETS --------------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET WILSHIRE REIT DOW JONES SMALL CAP INDEX VALUE VALUE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING 10.88% 11.43% 11.18% 3.76% (1) ------------------------------------------------------------------------------------------------------------------
(1) For the period April 27, 2001 (commencement of trading on the AMEX) to December 31, 2001. 15 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS STREETTRACKS MORGAN STANLEY TECHNOLOGY INDEX FUND The streetTRACKS Morgan Stanley Technology Index Fund (the "Fund") seeks to replicate the total return of the Morgan Stanley Technology Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. The Fund dropped -12.53% for the second half of 2001. The Index returned -12.38% for the same period. The third quarter brought the Fund and Index down 35.46% and 35.45%, while the fourth quarter gained 35.54% and 35.74%, respectively. The fight on terrorism, additional interest rate cuts, and an expected recovery, helped boost the fourth quarter performance. Both the Information Technology sector, consisting of close to ninety percent of the Fund's weight, and the Consumer Discretionary sector contributed negatively to the Fund's performance. The Industrial sector, weighing slightly over five percent, was not a significant enough positive contributor to keep the Index in positive territory. For the six month period, the largest positive performers in the Index included First Data Corp. (+22.0%), Automatic Data Processing, Inc. (+19.0%), and Electronic Data Systems Corp. (+10.2%). The largest negative performers in the Index over the same period were EMC Corp. (-54.1%), Sycamore Networks, Inc. (-42.5%), and AOL Time Warner, Inc. (-39.4%). COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT MORGAN STANLEY TECHNOLOGY INDEX FUND [LINE GRAPH]
MORGAN STANLEY TECHNOLOGY INDEX FUND DOW JONES LARGE CAP INDEX ------------------------- ------------------------- 9/25/00 10000.00 10000.00 9/30/00 9725.00 9969.00 10/31/00 9484.79 9854.36 11/30/00 7242.59 8908.34 12/31/00 6875.75 8882.15 1/31/00 8096.20 9209.01 2/28/00 6106.15 8231.93 3/31/00 5391.12 7628.53 4/30/01 6244.82 8248.73 5/31/01 5851.40 8270.18 6/30/01 5947.95 8038.62 7/31/01 5599.40 7943.73 8/31/01 4921.31 7402.75 9/30/01 3839.11 6847.26 10/31/01 4533.61 6957.50 11/30/01 5271.68 7491.84 12/31/01 5203.15 7507.57
16 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 -------------------------------------------------------------------------------------------------------------- DESCRIPTION SOLECTRON SYCAMORE NORTEL SUN YAHOO!, CORP. NETWORKS, NETWORKS MICROSYSTEMS, INC. INC. CORP. INC. -------------------------------------------------------------------------------------------------------------- MARKET VALUE $2,059,615 2,051,422 1,968,660 1,960,817 1,957,893 -------------------------------------------------------------------------------------------------------------- % OF 3.11% 3.10 2.98 2.96 2.96 NET ASSETS --------------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET MORGAN STANLEY DOW JONES LARGE CAP INDEX VALUE VALUE TECHNOLOGY INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -24.33% -24.01% -23.94% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -46.50% -46.28% -46.55% -24.68% (1) ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET MORGAN STANLEY DOW JONES LARGE CAP INDEX VALUE VALUE TECHNOLOGY INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -24.33% -24.01% -23.94% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -39.26% -39.06% -39.36% -20.29% (1) ------------------------------------------------------------------------------------------------------------------
(1) For the period September 29, 2000 (commencement of trading on the AMEX) to December 31, 2001. 17 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS STREETTRACKS MORGAN STANLEY INTERNET INDEX FUND The streetTRACKS Morgan Stanley Internet Index Fund (the "Fund") seeks to replicate the total return of the Morgan Stanley Internet Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. The Fund returned a disappointing -30.59% for the second half of 2001. The Index returned -29.32% for the same period. During the six month time period, each sector contributed negative returns. The Information Technology sector, weighing over 75 percent, led the way. In taking a closer look, the Fund dropped 56.33% for the third quarter, while it produced double-digit returns of 58.93% in the fourth quarter. The fight on terrorism, additional interest rate cuts, and an expected recovery, helped boost the last quarter's performance. For the second half of 2001, the only positive performers in the Index were McAfee.com Corp. (+176.1%), FreeMarkets, Inc. (+19.9%), Intuit, Inc. (+7.0%), and WebMD Corp. (+0.9%). The largest negative performers in the Index over the same period included Ciena Corp. (-62.3%), i2 Technologies, Inc. (-60.1%), and EMC Corp. (-54.1%). COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT MORGAN STANLEY INTERNET INDEX FUND [LINE GRAPH]
MORGAN STANLEY INTERNET INDEX FUND DOW JONES LARGE CAP INDEX ----------------------------- ------------------------- 9/25/00 10000.00 10000.00 9/30/00 9539.00 9969.00 10/31/00 7594.00 9854.36 11/30/00 4928.50 8908.34 12/31/00 4147.34 8882.15 1/31/01 4625.52 9209.01 2/28/01 3321.59 8231.93 3/31/01 2422.77 7628.53 4/30/01 2916.44 8248.73 5/31/01 2921.98 8270.18 6/30/01 2808.02 8038.62 7/31/01 2255.97 7943.73 8/31/01 1717.47 7402.75 9/30/01 1226.44 6847.26 10/31/01 1564.33 6957.50 11/30/01 1892.68 7491.84 12/31/01 1949.08 7507.57
18 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 -------------------------------------------------------------------------------------------------------------------- DESCRIPTION I2 TECHNOLOGIES, CNET WEBMD AMAZON.COM, E.PIPHANY, INC. NETWORKS, INC. CORP. INC. INC. -------------------------------------------------------------------------------------------------------------------- MARKET VALUE $151,135 146,857 137,176 136,256 134,404 -------------------------------------------------------------------------------------------------------------------- % OF 4.50% 4.37 4.08 4.05 4.00 NET ASSETS --------------------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET MORGAN STANLEY DOW JONES LARGE CAP INDEX VALUE VALUE INTERNET INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -53.00% -51.64% -51.85% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -79.57% -79.54% -78.92% -24.68% (1) ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET MORGAN STANLEY DOW JONES LARGE CAP INDEX VALUE VALUE INTERNET INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -53.00% -51.64% -51.85% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -71.79% -71.76% -71.22% -20.29% (1)
(1) For the period September 29, 2000 (commencement of trading on the AMEX) to December 31, 2001. [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS FORTUNE 500(R) INDEX FUND The FORTUNE 500(R) Index Fund (the "Fund") seeks to replicate the total return of the FORTUNE 500(R) Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. The Fund returned -5.34% for the second half of 2001, while the Index and the S&P 500 Index returned -5.31% and -5.56%, respectively, for the same period. A drop in returns of 13.53% for the Fund and Index occurred in the third quarter. In the last quarter, the Fund and Index gained 9.47% and 9.55%, respectively. The fight on terrorism, additional interest rate cuts, and an expected recovery, helped boost fourth quarter performance. Utilities and Information Technology were the worst performing sectors in the second half of 2001. The best performing sectors were Consumer Staples and Health Care. During the sixth month period, the largest positive performers in the Index included Autozone, Inc. (+91.5%), Office Depot, Inc. (+78.6%), and PG&E Corp. (+71.8%). The largest negative performers in the Index over the same period were Enron Corp. (-98.4%), US Airways Group, Inc. (-73.9%), and Halliburton Co. (-62.8%). COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT FORTUNE 500(R) INDEX FUND [LINE GRAPH]
FORTUNE 500 INDEX FUND S&P 500 INDEX ---------------------- ------------- 10/4/00 10000.00 10000.00 10/31/00 10061.00 9971.31 11/30/00 9407.04 9185.17 12/31/00 9467.24 9230.18 1/31/01 9761.67 9557.85 2/28/01 9017.83 8686.17 3/31/01 8515.54 8135.47 4/30/01 9116.84 8767.60 5/31/01 9187.95 8826.34 6/30/01 8978.46 8611.86 7/31/01 8929.08 8527.46 8/31/01 8379.05 7993.64 9/30/01 7763.19 7347.76 10/31/01 7857.12 7488.10 11/30/01 8441.69 8062.44 12/31/01 8498.25 8133.39
20 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 ----------------------------------------------------------------------------------------------------------- DESCRIPTION GENERAL MICROSOFT EXXON MOBIL CITIGROUP, WAL-MART ELECTRIC CO. CORP. CORP. INC. STORES, INC. ----------------------------------------------------------------------------------------------------------- MARKET VALUE $1,864,882 1,674,933 1,261,530 1,216,921 1,202,220 ----------------------------------------------------------------------------------------------------------- % OF 4.14% 3.72 2.80 2.70 2.67 NET ASSETS -----------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET FORTUNE 500(R) S&P 500 INDEX VALUE VALUE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -10.23% -10.16% -10.10% -11.89% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -12.36% -12.57% -12.15% -15.91% (1) ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET FORTUNE 500(R) S&P 500 INDEX VALUE VALUE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -10.23% -10.16% -10.10% -11.89% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -10.21% -10.39% -10.04% -13.17% (1) ------------------------------------------------------------------------------------------------------------------
(1) For the period October 10, 2000 (commencement of trading on the AMEX) to December 31, 2001. [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS FORTUNE E-50(R) INDEX FUND The FORTUNE e-50(R) Index Fund (the "Fund") seeks to replicate the total return of the FORTUNE e-50(R) Index (the "Index"). To accomplish this, the Fund utilizes a "passive" or indexing approach and attempts to approximate the investment performance of its benchmark index, before expenses, by investing in a portfolio of stocks to replicate the Index. The Fund returned -16.28% for the second half of 2001, while the Index returned -16.18% for the same period. In this internet economy based index, most of the component members contributed negative returns. Only fifteen of the fifty stocks had positive returns over the six month time period. For the third quarter, the Fund and Index dropped 36.01% and 35.96%, respectively. However, double-digit gains of 30.83% and 30.95% in the fourth quarter were not enough to keep the annual returns of -32.00% for the Fund and -31.79% for the Index out of negative territory. For the second half of 2001, the largest positive performers in the Index included Network Associates, Inc. (107.6%), Network Appliance, Inc. (+59.6%), and E*TRADE Group, Inc. (+58.9%). The largest negative performers in the Index over the same period were Openwave Systems, Inc. (-71.8%), Qwest Communications International, Inc. (-55.7%), and EMC Corp. (-54.1%). COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT FORTUNE e-50(R) INDEX FUND [LINE GRAPH]
FORTUNE E-50(R) INDEX FUND DOW JONES LARGE CAP INDEX -------------------------- ------------------------- 10/4/00 10000.00 10000.00 10/31/00 9322.00 9916.00 11/30/00 6735.15 8963.77 12/31/00 5885.17 8937.41 1/31/01 6908.60 9266.31 2/28/01 4973.50 8283.15 3/31/01 4127.51 7676.00 4/30/01 4916.02 8300.06 5/31/01 4800.99 8321.64 6/30/01 4780.34 8088.63 7/31/01 4407.48 7993.16 8/31/01 3667.46 7448.81 9/30/01 3059.03 6889.86 10/31/01 3457.62 7000.79 11/30/01 4078.26 7538.45 12/31/01 4002.41 7554.28
22 [streetTRACKS semi-annual report] MANAGEMENT'S DISCUSSION AND ANALYSIS TOP FIVE HOLDINGS AS OF DECEMBER 31, 2001 ------------------------------------------------------------------------------------------------------------- DESCRIPTION CISCO INTEL CORP. MICROSOFT AOL TIME ORACLE CORP. SYSTEMS, INC. CORP. WARNER, CO. ------------------------------------------------------------------------------------------------------------- MARKET VALUE $1,103,388 1,055,493 1,009,584 786,257 755,835 ------------------------------------------------------------------------------------------------------------- % OF 8.16% 7.80 7.46 5.81 5.59 NET ASSETS -------------------------------------------------------------------------------------------------------------
The following Performance chart is provided to compare the Fund's total return at NAV to the total return based on market price and its benchmark Index. The following chart is for comparative purposes only and represents the period noted. The Fund's past performance is no guarantee of future results. The investment return and principal value of Fund shares will vary with changes in market conditions, and may be worth more or less than their original cost when they are redeemed or sold in the market. PERFORMANCE AS OF DECEMBER 31, 2001
-------------------------------------------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET FORTUNE e-50(R) DOW JONES LARGE CAP INDEX VALUE VALUE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -32.00% -31.66% -31.79% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -56.98% -57.03% -56.92% -21.51% (1) ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- AVERAGE TOTAL RETURN ----------------------------------------------------------------------------------- NET ASSET MARKET FORTUNE e-50(R) DOW JONES LARGE CAP INDEX VALUE VALUE INDEX (BROAD-BASED COMPARATIVE INDEX) ------------------------------------------------------------------------------------------------------------------ ONE YEAR ENDED 12/31/01 -32.00% -31.66% -31.79% -15.47% ------------------------------------------------------------------------------------------------------------------ SINCE INCEPTION OF TRADING -49.78% -49.83% -49.72% -17.90% (1) ------------------------------------------------------------------------------------------------------------------
(1) For the period October 10, 2000 (commencement of trading on the AMEX) to December 31, 2001. 23 STREETTRACKS DOW JONES U.S. LARGE CAP GROWTH INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.8% AIRLINES -- 0.4% Southwest Airlines Co.................. 5,228 $ 96,613 ----------- BEVERAGES (NON-ALCOHOLIC) -- 3.5% The Coca-Cola Co....................... 15,749 742,565 ----------- BIOTECHNOLOGY -- 2.2% Amgen, Inc. (a)........................ 7,182 405,352 MedImmune, Inc. (a).................... 1,364 63,222 ----------- 468,574 ----------- BROADCASTING (TV, RADIO & CABLE) -- 3.3% Clear Channel Communications, Inc. (a).................................. 3,740 190,403 Comcast Corp. (Class A) (a)............ 6,274 225,864 General Motors Corp. (Class H) (a)..... 4,395 67,903 Liberty Media Corp. (Class A) (a)...... 16,313 228,382 ----------- 712,552 ----------- CELLULAR/WIRELESS TELECOMMUNICATIONS -- 1.6% AT&T Wireless Services, Inc. (a)....... 17,404 250,096 Sprint Corp. (PCS Group) (a)........... 4,056 99,007 ----------- 349,103 ----------- COMMUNICATIONS EQUIPMENT -- 2.2% JDS Uniphase Corp. (a)................. 8,069 70,039 Lucent Technologies, Inc............... 23,443 147,456 QUALCOMM, Inc. (a)..................... 5,223 263,762 ----------- 481,257 ----------- COMPUTERS (HARDWARE) -- 3.3% Dell Computer Corp. (a)................ 15,879 431,591 Sun Microsystems, Inc. (a)............. 22,466 276,332 ----------- 707,923 ----------- COMPUTERS (NETWORKING) -- 4.3% Cisco Systems, Inc. (a)................ 50,176 908,687 ----------- COMPUTERS (PERIPHERALS) -- 1.0% EMC Corp. (a).......................... 15,190 204,154 ----------- COMPUTER SOFTWARE/SERVICES -- 13.0% Microsoft Corp. (a).................... 31,801 2,106,816 Oracle Corp. (a)....................... 29,451 406,718 Siebel Systems, Inc. (a)............... 2,861 80,051 VeriSign, Inc. (a)..................... 1,446 55,006 VERITAS Software Corp. (a)............. 2,702 121,131 ----------- 2,769,722 ----------- CONSUMER FINANCE -- 0.4% Capital One Financial Corp............. 1,517 81,842 ----------- ELECTRICAL EQUIPMENT -- 12.9% General Electric Co.................... 68,523 2,746,402 ----------- ELECTRONICS (INSTRUMENT) -- 0.4% Agilent Technologies, Inc. (a)......... 2,839 80,940 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- ELECTRONICS (SEMICONDUCTORS) -- 11.1% Altera Corp. (a)....................... 2,643 $ 56,085 Analog Devices, Inc. (a)............... 2,446 108,578 Intel Corp............................. 46,461 1,461,198 Linear Technology Corp................. 2,154 84,092 Maxim Integrated Products, Inc. (a).... 2,225 116,835 Micron Technology, Inc. (a)............ 3,647 113,057 Texas Instruments, Inc................. 11,997 335,916 Xilinx, Inc. (a)....................... 2,344 91,533 ----------- 2,367,294 ----------- ENTERTAINMENT -- 6.6% AOL Time Warner, Inc. (a).............. 29,362 942,520 Viacom, Inc. (Class B) (a)............. 10,666 470,904 ----------- 1,413,424 ----------- EQUIPMENT (SEMICONDUCTORS) -- 1.0% Applied Materials, Inc. (a)............ 5,608 224,881 ----------- HEALTH CARE (DRUGS/PHARMACEUTICALS) -- 9.0% Forest Laboratories, Inc. (a).......... 1,192 97,685 Genentech, Inc. (a).................... 1,487 80,670 Pfizer, Inc............................ 43,591 1,737,101 ----------- 1,915,456 ----------- HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) -- 2.5% Guidant Corp. (a)...................... 2,087 103,932 Medtronic, Inc......................... 8,318 425,965 ----------- 529,897 ----------- INSURANCE (MULTI-LINE) -- 6.7% American International Group, Inc...... 18,025 1,431,185 ----------- INVESTMENT BANKING/BROKERAGE -- 0.5% The Charles Schwab Corp................ 7,159 110,750 ----------- OIL & GAS (DRILLING & EQUIPMENT) -- 0.3% Transocean Sedco Forex, Inc............ 2,162 73,119 ----------- RETAIL (BUILDING SUPPLIES) -- 3.8% The Home Depot, Inc.................... 15,984 815,344 ----------- RETAIL (DEPARTMENT STORES) -- 0.6% Kohl's Corp. (a)....................... 1,712 120,593 ----------- RETAIL (GENERAL MERCHANDISING CHAIN) -- 6.3% Target Corp............................ 6,191 254,140 Wal-Mart Stores, Inc................... 19,056 1,096,673 ----------- 1,350,813 ----------- RETAIL (SPECIALTY APPAREL) -- 0.3% The Gap, Inc........................... 4,212 58,715 ----------- RETAIL STORES (DRUG STORE) -- 1.1% Walgreen Co............................ 7,006 235,822 ----------- SERVICES (DATA PROCESSING) -- 0.9% Concord EFS, Inc. (a).................. 3,420 112,107 Paychex, Inc........................... 2,250 78,413 ----------- 190,520 ----------- TELEPHONE -- 0.6% Qwest Communications International, Inc.................................. 9,231 130,434 ----------- TOTAL COMMON STOCKS -- (Cost $30,855,497)................... 21,318,581 -----------
See accompanying notes to financial statements. 24 STREETTRACKS DOW JONES U.S. LARGE CAP GROWTH INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2000 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- SHORT TERM INVESTMENTS -- 0.0% MONEY MARKET FUND -- 0.0% AIM Short Term Investment Class Prime Fund (Cost $1,975)................... 1,975 $ 1,975 ----------- TOTAL INVESTMENTS -- 99.8% (Cost $30,857,472)................... 21,320,556 OTHER ASSETS AND LIABILITIES -- 0.2%... 40,591 ----------- NET ASSETS -- 100.0%................... $21,361,147 ===========
(a) Non-income producing security See accompanying notes to financial statements. 25 STREETTRACKS DOW JONES U.S. LARGE CAP VALUE INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----------- COMMON STOCKS -- 100.2% AEROSPACE/DEFENSE -- 1.0% General Dynamics Corp. ................ 2,013 $ 160,315 The Boeing Co. ........................ 8,862 343,669 ----------- 503,984 ----------- AIR FREIGHT -- 0.3% FedEx Corp. (a)........................ 3,066 159,064 ----------- ALUMINUM -- 0.7% Alcoa, Inc. ........................... 9,325 331,504 ----------- AUTOMOBILES -- 1.1% Ford Motor Co. ........................ 19,037 299,262 General Motors Corp. .................. 4,837 235,078 ----------- 534,340 ----------- BANKS (MAJOR REGIONAL) -- 7.7% Bank One Corp. ........................ 12,707 496,208 BB&T Corp. ............................ 4,866 175,711 Fifth Third Bancorp.................... 5,340 328,837 FleetBoston Financial Corp. ........... 11,395 415,918 Mellon Financial Corp. ................ 5,148 193,668 National City Corp. ................... 5,669 165,762 Northern Trust Corp. .................. 2,294 138,145 PNC Financial Services Group........... 3,085 173,377 SunTrust Banks, Inc. .................. 2,769 173,616 The Bank of New York Co., Inc. ........ 8,141 332,153 U.S. Bancorp........................... 21,429 448,509 Wells Fargo & Co. ..................... 18,692 812,167 ----------- 3,854,071 ----------- BANKS (MONEY CENTER) -- 3.1% Bank of America Corp. ................. 17,189 1,082,048 Wachovia Corp. ........................ 14,868 466,260 ----------- 1,548,308 ----------- BEVERAGES (ALCOHOLIC) -- 0.9% Anheuser-Busch Cos., Inc. ............. 9,661 436,774 ----------- BEVERAGES (NON-ALCOHOLIC) -- 1.9% PepsiCo, Inc. ......................... 19,132 931,537 ----------- CHEMICALS -- 1.6% E. I. du Pont de Nemours & Co. ........ 11,390 484,189 The Dow Chemical Co. .................. 9,774 330,166 ----------- 814,355 ----------- COMPUTERS (HARDWARE) -- 4.5% International Business Machines Corp. (IBM)................................ 18,820 2,276,467 ----------- COMPUTER SOFTWARE/SERVICES -- 0.3% Computer Associates International, Inc. ................................ 4,923 169,794 ----------- CONSUMER FINANCE -- 1.2% Household International, Inc. ......... 4,999 289,642 MBNA Corp. ............................ 8,281 291,491 ----------- 581,133 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----------- ELECTRIC COMPANIES -- 2.3% American Electric Power Co., Inc. ..... 3,484 $ 151,658 Dominion Resources, Inc. .............. 2,800 168,280 Duke Energy Corp. ..................... 8,403 329,902 Exelon Corp. .......................... 3,500 167,580 The Southern Co. ...................... 7,433 188,427 TXU Corp. ............................. 2,896 136,546 ----------- 1,142,393 ----------- ELECTRICAL EQUIPMENT -- 0.5% Emerson Electric Co. .................. 4,715 269,226 ----------- ENTERTAINMENT -- 0.9% The Walt Disney Co. ................... 22,727 470,903 ----------- FINANCIAL (DIVERSIFIED) -- 13.0% American Express Co. .................. 12,860 458,973 Citigroup, Inc. ....................... 56,387 2,846,416 Equity Office Properties Trust......... 4,485 134,909 Fannie Mae............................. 10,925 868,538 Freddie Mac............................ 7,611 497,759 J.P. Morgan Chase & Co. ............... 21,727 789,776 Morgan Stanley Dean Witter & Co. ...... 10,927 611,256 State Street Corp. .................... 3,546 185,279 USA Education, Inc. ................... 1,713 143,926 ----------- 6,536,832 ----------- FOODS -- 1.4% ConAgra Foods, Inc. ................... 5,865 139,411 General Mills, Inc. ................... 3,940 204,920 H.J. Heinz Co. ........................ 3,824 157,243 Sara Lee Corp. ........................ 8,597 191,111 ----------- 692,685 ----------- HEALTH CARE (DRUGS/PHARMACEUTICALS) -- 6.9% Eli Lilly & Co. ....................... 10,512 825,613 Merck & Co., Inc. ..................... 24,851 1,461,239 Pharmacia Corp. ....................... 14,073 600,213 Schering-Plough Corp. ................. 15,978 572,172 ----------- 3,459,237 ----------- HEALTH CARE (HOSPITAL MANAGEMENT) -- 0.8% HCA-The Healthcare Co. ................ 4,997 192,584 Tenet Healthcare Corp. (a)............. 3,564 209,278 ----------- 401,862 ----------- HEALTH CARE (MANAGED CARE) -- 0.3% CIGNA Corp. ........................... 1,580 146,387 ----------- HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) -- 0.7% Baxter International, Inc. ............ 6,490 348,059 ----------- HEALTH CARE DIVERSIFIED -- 9.6% Abbott Laboratories.................... 15,859 884,139 American Home Products Corp. .......... 14,311 878,123 Bristol-Myers Squibb Co. .............. 21,138 1,078,038 Johnson & Johnson...................... 33,512 1,980,559 ----------- 4,820,859 ----------- HOUSEHOLD PRODUCTS (NON-DURABLE) -- 2.9% Kimberly-Clark Corp. .................. 5,751 343,910 The Procter & Gamble Co. .............. 14,235 1,126,415 ----------- 1,470,325 -----------
See accompanying notes to financial statements. 26 STREETTRACKS DOW JONES U.S. LARGE CAP VALUE INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----------- INSURANCE BROKERS -- 0.6% Marsh & McLennan Cos., Inc. ........... 3,030 $ 325,573 ----------- INSURANCE (LIFE/HEALTH) -- 0.8% AFLAC, Inc. ........................... 5,738 140,926 MetLife, Inc. ......................... 7,918 250,842 ----------- 391,768 ----------- INSURANCE (MULTI-LINE) -- 0.3% The Hartford Financial Services Group, Inc. ................................ 2,607 163,798 ----------- INSURANCE (PROPERTY/CASUALTY) -- 0.7% The Allstate Corp. .................... 7,337 247,257 The Chubb Corp. ....................... 1,855 127,995 ----------- 375,252 ----------- INVESTMENT BANKING/BROKERAGE -- 1.3% Merrill Lynch & Co., Inc. ............. 8,697 453,288 The Goldman Sachs Group, Inc. ......... 2,383 221,023 ----------- 674,311 ----------- MACHINERY (DIVERSIFIED) -- 0.4% Caterpillar, Inc. ..................... 3,715 194,109 ----------- MANUFACTURING (DIVERSIFIED) -- 5.3% Honeywell International, Inc. ......... 8,851 299,341 Illinois Tool Works, Inc. ............. 3,319 224,763 Minnesota Mining & Manufacturing Co. (3M)................................. 4,321 510,785 Tyco International Ltd. ............... 21,862 1,287,672 United Technologies Corp. ............. 5,176 334,525 ----------- 2,657,086 ----------- NATURAL GAS (DISTRIBUTION/PIPE LINE) -- 0.3% The Williams Cos., Inc. ............... 5,678 144,903 ----------- OIL (DOMESTIC INTEGRATED) -- 0.8% Conoco, Inc. .......................... 6,823 193,091 Phillips Petroleum Co. ................ 3,777 227,602 ----------- 420,693 ----------- OIL (INTERNATIONAL INTEGRATED) -- 7.9% ChevronTexaco Corp. ................... 11,619 1,041,178 Exxon Mobil Corp. ..................... 74,733 2,937,007 ----------- 3,978,185 ----------- PAPER & FOREST PRODUCTS -- 0.7% International Paper Co. ............... 5,292 213,532 Weyerhaeuser Co. ...................... 2,354 127,305 ----------- 340,837 ----------- PERSONAL CARE -- 0.7% The Gillette Co. ...................... 10,426 348,228 ----------- PHOTOGRAPHY/IMAGING -- 0.2% Eastman Kodak Co. ..................... 3,139 92,381 ----------- PUBLISHING -- 0.3% The McGraw-Hill Cos., Inc. ............ 2,142 130,619 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----------- PUBLISHING (NEWSPAPERS) -- 0.4% Gannett Co., Inc. ..................... 2,898 $ 194,833 ----------- RAILROADS -- 0.3% Union Pacific Corp. ................... 2,580 147,060 ----------- RESTAURANTS -- 0.7% McDonald's Corp. ...................... 14,120 373,756 ----------- RETAIL (GENERAL MERCHANDISING CHAIN) -- 0.3% Sears, Roebuck & Co. .................. 3,564 169,789 ----------- RETAIL STORES (DRUG STORE) -- 0.3% CVS Corp. ............................. 4,296 127,162 ----------- RETAIL STORES (FOOD CHAINS) -- 0.7% Albertson's, Inc. ..................... 4,101 129,140 Safeway, Inc. (a)...................... 5,509 230,001 ----------- 359,141 ----------- SAVINGS & LOAN COMPANIES -- 0.6% Washington Mutual, Inc. ............... 9,650 315,555 ----------- SERVICES (ADVERTISING/MARKETING) -- 0.2% The Interpublic Group of Cos., Inc. ... 4,004 118,278 ----------- TELEPHONE -- 7.6% ALLTEL Corp. .......................... 3,257 201,055 BellSouth Corp. ....................... 20,489 781,655 SBC Communications, Inc. .............. 36,945 1,447,136 Verizon Communications, Inc. .......... 29,477 1,398,978 ----------- 3,828,824 ----------- TELEPHONE (LONG DISTANCE) -- 2.6% AT&T Corp. ............................ 38,646 701,039 Sprint Corp. .......................... 8,701 174,716 WorldCom, Inc. (a)..................... 32,078 451,658 ----------- 1,327,413 ----------- TOBACCO -- 2.2% Philip Morris Cos., Inc. .............. 23,671 1,085,315 ----------- WASTE MANAGEMENT -- 0.4% Waste Management, Inc. ................ 6,835 218,105 ----------- TOTAL COMMON STOCKS -- (Cost $51,438,843)................... 50,403,073 ----------- SHORT TERM INVESTMENTS -- 0.0% MONEY MARKET FUND -- 0.0% AIM Short Term Investment Class Prime Fund (Cost $16)...................... 16 16 ----------- TOTAL INVESTMENTS -- 100.2% (Cost $51,438,859)................... 50,403,089 OTHER ASSETS AND LIABILITIES -- (0.2)%............................... (120,911) ----------- NET ASSETS -- 100.0%................... $50,282,178 ===========
(a) Non-income producing security See accompanying notes to financial statements. 27 STREETTRACKS DOW JONES U.S. SMALL CAP GROWTH INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.7% AIR FREIGHT -- 1.2% EGL, Inc. (a).......................... 2,828 $ 39,451 Expeditors International of Washington, Inc. .................... 3,858 219,713 ----------- 259,164 ----------- AIRLINES -- 0.7% SkyWest, Inc. ......................... 3,762 95,743 UAL Corp. ............................. 4,021 54,283 ----------- 150,026 ----------- AUTO PARTS & EQUIPMENT -- 0.7% Gentex Corp. (a)....................... 5,626 150,383 ----------- BANKS (REGIONAL) -- 1.4% Investors Financial Services Corp. .... 2,351 155,660 Silicon Valley Bancshares (a).......... 3,418 91,363 Southwest Bancorporation of Texas, Inc. (a)............................. 2,298 69,560 ----------- 316,583 ----------- BEVERAGES (ALCOHOLIC) -- 0.5% Constellation Brands, Inc. (Class A) (a).................................. 2,765 118,480 ----------- BIOTECHNOLOGY -- 7.2% Advanced Tissue Sciences, Inc. (a)..... 3,569 15,561 Alexion Pharmaceuticals, Inc. (a)...... 1,303 31,845 Aviron (a)............................. 2,331 115,921 Biosite Diagnostics, Inc. (a).......... 1,010 18,554 Cell Genesys, Inc. (a)................. 2,586 60,099 COR Therapeutics, Inc. (a)............. 4,177 99,956 CV Therapeutics, Inc. (a).............. 1,512 78,654 CYTOGEN Corp. (a)...................... 5,723 17,226 Enzo Biochem, Inc. (a)................. 1,648 38,728 Enzon, Inc. (a)........................ 3,193 179,702 Gene Logic, Inc. (a)................... 2,020 38,057 Genome Therapeutics Corp. (a).......... 1,674 11,400 Geron Corp. (a)........................ 1,565 13,615 Hyseq, Inc. (a)........................ 929 7,172 Immunomedics, Inc. (a)................. 2,918 59,119 Incyte Genomics, Inc. (a).............. 4,955 96,920 Lexicon Genetics, Inc. (a)............. 2,038 23,519 Myriad Genetics, Inc. (a).............. 1,668 87,803 Nabi (a)............................... 2,888 29,804 Northfield Laboratories, Inc. (a)...... 901 7,731 NPS Pharmaceuticals, Inc. (a).......... 2,244 85,945 Organogenesis, Inc. (a)................ 2,643 12,686 OSI Pharmaceuticals, Inc. (a).......... 2,600 118,924 Pharmacyclics, Inc. (a)................ 1,228 12,206 Regeneron Pharmaceuticals, Inc. (a).... 2,224 62,628 SangStat Medical Corp. (a)............. 1,583 31,090 SuperGen, Inc. (a)..................... 2,173 31,117 Transkaryotic Therapies, Inc. (a)...... 1,762 75,414 Trimeris, Inc. (a)..................... 1,316 59,180 XOMA, Ltd. (a)......................... 5,309 52,294 ----------- 1,572,870 ----------- BROADCASTING (TV, RADIO & CABLE) -- 1.5% Comcast Corp. (Class A) (a)............ 1,662 59,832 Cox Radio, Inc. (Class A) (a).......... 3,116 79,396 Insight Communications Co., Inc. (a)... 3,696 89,295
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Pegasus Communications Corp. (Class A) (a).................................. 2,570 $ 26,754 RCN Corp. (a).......................... 3,121 9,145 Sirius Satellite Radio, Inc. (a)....... 3,226 37,518 UnitedGlobalCom, Inc. (Class A) (a).... 4,788 23,940 ----------- 325,880 ----------- CELLULAR/WIRELESS TELECOMMUNICATIONS -- 2.5% AirGate PCS, Inc. (a).................. 2,007 91,419 Leap Wireless International, Inc. (a).................................. 2,780 58,296 Nextel Partners, Inc. (Class A) (a).... 10,574 126,888 Rural Celluar Corp. (Class A) (a)...... 784 17,444 TeleCorp PCS, Inc. (Class A) (a)....... 10,879 135,661 Triton PCS Holdings, Inc. (Class A) (a).................................. 2,239 65,715 United States Cellular Corp. (a)....... 1,153 52,173 ----------- 547,596 ----------- COMMUNICATIONS EQUIPMENT -- 4.3% Aspect Communications Corp. (a)........ 3,890 15,093 AudioCodes, Ltd. (a)................... 2,998 16,939 Audiovox Corp. (Class A) (a)........... 1,298 9,683 Avanex Corp. (a)....................... 4,226 24,933 Corvis Corp. (a)....................... 20,489 66,179 Ditech Communications Corp. (a)........ 2,254 13,569 Harmonic, Inc. (a)..................... 4,404 52,936 IDT Corp. (Class B) (a)................ 3,387 56,258 Inter-Tel, Inc. ....................... 1,430 27,485 Loral Space & Communications Ltd. (a).................................. 25,186 75,306 Metromedia Fiber Network, Inc. (Class A) (a)............................... 39,268 17,278 Netro Corp. (a)........................ 2,622 9,623 NMS Communications Corp. (a)........... 2,739 13,202 ONI Systems Corp. (a).................. 9,521 59,697 Oplink Communications, Inc. (a)........ 9,302 17,534 Proxim, Inc. (a)....................... 2,024 20,078 REMEC, Inc. (a)........................ 3,417 34,136 SonicWall, Inc. (a).................... 4,002 77,799 Spectrasite Holdings, Inc. (a)......... 10,222 36,697 Sycamore Networks, Inc. (a)............ 13,704 73,453 Tekelec (a)............................ 3,519 63,729 Terayon Communication Systems, Inc (a).................................. 4,686 38,758 UTStarcom, Inc. (a).................... 4,247 121,040 Wireless Facilities, Inc. (a).......... 1,544 10,391 ----------- 951,796 ----------- COMPUTERS (HARDWARE) -- 2.2% Computer Network Technology Corp. (a).................................. 2,240 39,850 Concurrent Computer Corp. (a).......... 4,421 65,652 Echelon Corp. (a)...................... 2,547 36,065 Handspring, Inc. (a)................... 5,017 33,815 McDATA Corp. (Class B) (a)............. 1,457 36,585 National Instruments Corp. (a)......... 2,251 84,322 Riverstone Networks, Inc. (a).......... 8,527 141,548 Silicon Graphics, Inc. (a)............. 12,957 27,210 SONICblue, Inc. (a).................... 6,293 25,424 ----------- 490,471 ----------- COMPUTERS (PERIPHERALS) -- 2.0% Advanced Digital Information Corp. (a).................................. 4,647 74,538 M-Systems Flash Disk Pioneers, Ltd. (a).................................. 2,082 24,339 Maxtor Corp. (a)....................... 14,790 93,769
See accompanying notes to financial statements. 28 STREETTRACKS DOW JONES U.S. SMALL CAP GROWTH INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- MICROS Systems, Inc. (a)............... 1,317 $ 33,057 Oak Technology, Inc. (a)............... 3,806 52,332 SanDisk Corp. (a)...................... 4,716 67,910 Western Digital Corp. (a).............. 13,823 86,670 ----------- 432,615 ----------- COMPUTER SOFTWARE/SERVICES -- 18.2% Acuate Corp. (a)....................... 4,158 21,913 Aether Systems, Inc. (a)............... 2,483 22,844 Agile Software Corp. (a)............... 3,251 55,982 Akamai Technologies, Inc. (a).......... 6,589 39,139 Answerthink, Inc. (a).................. 3,151 20,576 Ariba, Inc. (a)........................ 17,982 110,769 Aspen Technology, Inc. (a)............. 2,319 38,959 BroadVision, Inc. (a).................. 16,820 46,087 Clarent Corp. (a)...................... 1,659 830 CMGI, Inc. (a)......................... 20,339 33,153 CNET Networks, Inc. (a)................ 8,834 79,241 Commerce One, Inc. (a)................. 21,103 75,338 Covansys Corp. (a)..................... 2,227 19,932 Dendrite International, Inc. (a)....... 2,750 38,583 Documentum, Inc. (a)................... 2,882 62,597 E.piphany, Inc. (a).................... 5,358 46,668 Earthlink, Inc. (a).................... 9,613 116,990 Entrust Technologies, Inc. (a)......... 3,616 36,847 F5 Networks, Inc. (a).................. 1,389 29,919 Foundry Networks, Inc. (a)............. 7,415 60,432 HNC Software, Inc. .................... 2,623 54,034 HomeStore.com, Inc. (a)................ 4,666 8,399 Hyperion Solutions Corp. (a)........... 2,430 48,260 Informatica Corp. (a).................. 5,186 75,249 InfoSpace, Inc. (a).................... 18,160 37,228 Inktomi Corp. (a)...................... 10,299 69,106 Internap Network Services Corp. (a).... 9,689 11,239 Internet Security Systems, Inc. (a).... 2,954 94,705 Interwoven, Inc. (a)................... 7,781 75,787 Kana Software, Inc. (a)................ 1,168 22,729 Keynote Systems, Inc. (a).............. 1,759 16,447 Legato Systems, Inc. (a)............... 6,687 86,730 Liberate Technologies, Inc. (a)........ 4,689 53,830 Macromedia, Inc. (a)................... 4,391 78,160 Macrovision Corp. (a).................. 3,249 114,430 Manugistics Group, Inc. (a)............ 4,322 91,108 MatrixOne, Inc. (a).................... 3,163 41,087 Micromuse, Inc. (a).................... 5,400 81,000 MicroStrategy, Inc. (Class A) (a)...... 2,896 11,150 MRO Software, Inc. (a)................. 1,193 27,892 Multex.com, Inc. (a)................... 2,228 10,026 Netegrity, Inc. (a).................... 2,336 45,225 NetIQ Corp. (a)........................ 3,986 140,546 Network Assocs, Inc. (a)............... 10,204 263,773 Nuance Communications, Inc. (a)........ 2,206 20,075 OpenTV Corp. (Class A) (a)............. 1,954 16,160 Overture Services, Inc. (a)............ 2,952 104,589 Packeteer, Inc. (a).................... 2,098 15,462 PC-Tel, Inc. (a)....................... 1,287 12,497 Perot Systems Corp. (Class A) (a)...... 5,062 103,366 Pharmacopeia, Inc. (a)................. 1,624 22,557 Portal Software, Inc (a)............... 9,619 20,008 Priceline.com, Inc. (a)................ 6,241 36,323
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Quest Software, Inc. (a)............... 2,568 $ 56,778 RadiSys Corp. (a)...................... 1,114 21,901 RealNetworks, Inc. (a)................. 8,076 47,971 Red Hat, Inc. (a)...................... 8,964 63,644 Redback Networks, Inc. (a)............. 11,733 46,345 Retek, Inc. (a)........................ 3,816 113,984 RSA Security, Inc. (a)................. 3,843 67,099 S1 Corp. (a)........................... 4,089 66,160 SeeBeyond Technology Corp. (a)......... 2,702 26,209 SERENA Software, Inc. (a).............. 1,550 33,697 Sonus Networks, Inc. (a)............... 14,125 65,257 SpeechWorks International, Inc. (a).... 2,127 23,929 Stellent, Inc. (a)..................... 1,491 44,074 StorageNetworks, Inc. (a).............. 4,196 25,931 Take-Two Interactive Software, Inc. (a).................................. 2,395 38,727 THQ, Inc. (a).......................... 1,826 88,506 TIBCO Software, Inc. (a)............... 4,957 74,008 Transaction Systems Architects, Inc. (Class A) (a)........................ 2,775 34,022 Verity, Inc. (a)....................... 2,699 54,655 Viewpoint Corp. (a).................... 2,616 17,815 Vitria Technology, Inc. (a)............ 6,950 44,410 WatchGuard Technologies, Inc. (a)...... 1,806 11,757 webMethods, Inc. (a)................... 3,534 59,230 ZixIt Corp. (a)........................ 1,160 5,870 ----------- 3,997,955 ----------- CONSUMER (JEWELRY/NOVELTIES) -- 0.4% Blyth, Inc. ........................... 2,618 60,868 Fossil, Inc. (a)....................... 1,270 26,670 ----------- 87,538 ----------- DISTRIBUTORS (FOOD & HEALTH) -- 2.1% Patterson Dental Co. (a)............... 4,617 188,974 Performance Food Group Co. (a)......... 3,023 106,319 Priority Healthcare Corp. (Class B) (a).................................. 2,468 86,849 Scios, Inc. (a)........................ 3,355 79,748 ----------- 461,890 ----------- ELECTRICAL EQUIPMENT -- 2.1% American Superconductor Corp. (a)...... 1,420 17,409 C&D Technologies, Inc. ................ 1,993 45,540 C-COR.net Corp. (a).................... 2,441 35,565 Plexus Corp. (a)....................... 3,148 83,611 Plug Power, Inc. (a)................... 1,006 8,793 Power-One, Inc. (a).................... 5,099 53,081 Stratos Lightwave, Inc. (a)............ 4,865 29,920 Technitrol, Inc. ...................... 2,328 64,299 Three-Five Systems, Inc. (a)........... 1,631 25,949 Veeco Instruments, Inc. (a)............ 2,046 73,758 Vicor Corp. (a)........................ 1,553 25,159 ----------- 463,084 ----------- ELECTRONICS (DEFENSE) -- 0.4% Aeroflex, Inc. (a)..................... 4,406 83,406 ----------- ELECTRONICS (INSTRUMENT) -- 1.3% Alpha Industries, Inc. (a)............. 3,295 71,831 Caliper Technologies Corp. (a)......... 1,835 28,644 Molecular Devices Corp. (a)............ 1,202 25,086 Newport Corp. ......................... 2,759 53,194
See accompanying notes to financial statements. 29 STREETTRACKS DOW JONES U.S. SMALL CAP GROWTH INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Orbotech Ltd. (a)...................... 2,410 $ 75,072 Trimble Navigation, Ltd. (a)........... 1,888 30,604 ----------- 284,431 ----------- ELECTRONICS (SEMICONDUCTORS) -- 4.0% ANADIGICS, Inc. (a).................... 2,269 34,602 Centillium Communications, Inc. (a).... 2,430 19,100 Cirrus Logic, Inc. (a)................. 5,084 67,210 DSP Group, Inc. (a).................... 1,829 42,543 GlobespanVirata, Inc. (a).............. 8,118 105,128 hi/fn, Inc. (a)........................ 771 11,156 Integrated Circuit Systems, Inc. (a)... 4,067 91,874 Kopin Corp. (a)........................ 4,798 67,172 New Focus, Inc. (a).................... 4,821 18,368 PLX Technology, Inc. (a)............... 1,625 20,491 Semtech Corp. (a)...................... 5,212 186,016 Silicon Image, Inc. (a)................ 4,506 16,943 Silicon Laboratories, Inc. (a)......... 1,787 60,240 Silicon Storage Technology, Inc. (a)... 6,045 58,274 Transmeta Corp. (a).................... 7,672 17,569 TranSwitch Corp. (a)................... 6,437 28,966 Zoran Corp. (a)........................ 1,328 43,346 ----------- 888,998 ----------- ENGINEERING & CONSTRUCTION -- 0.7% Dycom Industries, Inc. (a)............. 3,224 53,873 EMOR Group, Inc. (a)................... 1,122 50,939 SBA Communications Corp. (a)........... 3,152 41,039 ----------- 145,851 ----------- ENTERTAINMENT -- 0.3% Metro-Goldwyn-Mayer, Inc. ............. 3,238 70,912 ----------- EQUIPMENT (SEMICONDUCTORS) -- 1.1% Asyst Technologies, Inc. (a)........... 2,658 33,916 Brooks Automation, Inc. (a)............ 1,297 52,749 Cymer, Inc. (a)........................ 2,312 61,800 EMCORE Corp. (a)....................... 2,021 27,182 LTX Corp. (a).......................... 3,632 76,054 ----------- 251,701 ----------- FINANCIAL (DIVERSIFIED) -- 0.1% CompuCredit Corp. (a).................. 1,335 15,700 ----------- FOODS -- 1.8% American Italian Pasta Co. (Class A) (a).................................. 1,322 55,564 Dean Foods Co. (a)..................... 3,135 213,807 Dreyer's Grand Ice Cream, Inc. ........ 1,562 60,152 Hain Celestial Group, Inc. (a)......... 2,080 57,117 ----------- 386,640 ----------- FOOTWEAR -- 0.3% Kenneth Cole Productions, Inc. (Class A) (a)............................... 748 13,240 The Timberland Co. (Class A) (a)....... 1,612 59,773 ----------- 73,013 ----------- GAMING, LOTTERY, & PARIMUTUEL -- 0.3% Aztar Corp. (a)........................ 2,780 50,874 Ticketmaster Online-CitySearch, Inc. (Class B) (a)........................ 1,235 20,242 ----------- 71,116 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- GOLD/PRECIOUS METALS MINING -- 0.2% Stillwater Mining Co. (a).............. 2,908 $ 53,798 ----------- HARDWARE & TOOLS -- 0.5% The Scotts Co. (Class A) (a)........... 2,151 102,388 ----------- HEALTH CARE (DRUGS) -- 0.8% Medicis Pharmaceutical Corp. (Class A) (a).................................. 2,222 143,519 Noven Pharmaceuticals, Inc. (a)........ 1,676 29,749 ----------- 173,268 ----------- HEALTH CARE (DRUGS/PHARMACEUTICALS) -- 2.7% Cell Pathways, Inc. (a)................ 2,210 15,382 Cell Therapeutics, Inc. (a)............ 2,154 51,998 Cubist Pharmaceuticals, Inc. (a)....... 2,132 76,667 Emisphere Technologies, Inc. (a)....... 1,231 39,281 EntreMed, Inc. (a)..................... 1,351 11,416 Guilford Pharmaceuticals, Inc. (a)..... 2,140 25,680 Inhale Therapeutic Systems, Inc. (a)... 4,163 77,224 Kos Pharmaceuticals, Inc. (a).......... 390 13,494 Ligand Pharmaceuticals, Inc. (Class B) (a)........................ 3,858 69,058 PRAECIS Pharmaceuticals, Inc. (a)...... 3,854 22,430 SICOR, Inc. (a)........................ 5,704 89,439 Tularik, Inc. (a)...................... 2,767 66,463 United Therapeutics Corp. (a).......... 1,255 13,064 ViroPharma, Inc. (a)................... 1,379 31,648 ----------- 603,244 ----------- HEALTH CARE (HOSPITAL MANAGEMENT) -- 1.0% Province Healthcare Co. (a)............ 2,224 68,633 Triad Hospitals, Inc. (a).............. 4,943 145,077 ----------- 213,710 ----------- HEALTH CARE (MANAGED CARE) -- 1.8% Oxford Health Plans, Inc. (a).......... 6,811 205,284 Trigon Healthcare, Inc. (a)............ 2,652 184,181 ----------- 389,465 ----------- HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) -- 2.4% ArthroCare Corp. (a)................... 1,709 30,642 Cyberonics, Inc. (a)................... 1,340 35,550 Cygnus, Inc. (a)....................... 2,331 12,238 DENTSPLY International, Inc. .......... 3,381 169,726 I-STAT Corp. (a)....................... 1,399 11,038 Novoste Corp. (a)...................... 1,204 10,523 PolyMedica Corp. (a)................... 981 16,285 ResMed, Inc. (a)....................... 2,061 111,129 Syncor International Corp. (a)......... 1,505 43,103 Theragenics Corp. (a).................. 2,300 22,678 Visible Genetics, Inc. (a)............. 1,145 12,767 VISX, Inc. (a)......................... 4,176 55,332 ----------- 531,011 ----------- HEALTH CARE (SPECIAL SERVICES) -- 3.1% AdvancePCS (a)......................... 5,359 157,287 CuraGen Corp. (a)...................... 2,830 63,307 FuelCell Energy, Inc. (a).............. 2,506 45,459 Impath, Inc. (a)....................... 1,210 53,857 Maxygen, Inc. (a)...................... 2,079 36,528 Orthodontics Centers of America, Inc. (a).................................. 3,167 96,594
See accompanying notes to financial statements. 30 STREETTRACKS DOW JONES U.S. SMALL CAP GROWTH INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Pharmaceutical Product Development, Inc. (a)............................. 3,427 $ 110,726 Renal Care Group, Inc. (a)............. 3,683 118,224 ----------- 681,982 ----------- HOMEBUILDING -- 1.0% Catellus Development Corp. (a)......... 5,900 108,560 KB HOME................................ 2,982 119,578 ----------- 228,138 ----------- HOUSEHOLD FURNISHINGS & APPLIANCES -- 0.5% Ethan Allen Interiors, Inc. ........... 2,719 113,083 ----------- INVESTMENT BANKING/BROKERAGE -- 0.4% Ameritrade Holding Corp. (Class A) (a).................................. 9,839 58,247 Interactive Data Corp. ................ 2,639 37,315 ----------- 95,562 ----------- INVESTMENT MANAGEMENT -- 1.2% Affiliated Managers Group, Inc. (a).... 1,673 117,913 Eaton Vance Corp. ..................... 4,309 153,185 ----------- 271,098 ----------- LEISURE TIME (PRODUCTS) -- 1.0% Bally Total Fitness Holding Corp. (a).................................. 2,191 47,238 International Speedway Corp. (Class A)................................... 1,470 57,477 JAKKS Pacific, Inc. (a)................ 1,382 26,189 Monaco Coach Corp. (a)................. 2,157 47,174 Winnebago Industries, Inc. ............ 963 35,573 ----------- 213,651 ----------- LODGING (HOTELS) -- 0.5% Extended Stay America, Inc. (a)........ 6,982 114,505 ----------- MACHINERY (DIVERSIFIED) -- 0.6% MSC Industrial Direct Co., Inc. (Class A) (a)............................... 2,718 53,681 Presstek, Inc. (a)..................... 2,185 20,036 The Manitowoc Co., Inc. ............... 1,842 57,286 ----------- 131,003 ----------- MANUFACTURING (SPECIALIZED) -- 1.0% Astec Industries, Inc. (a)............. 1,134 16,397 CTS Corp. ............................. 2,163 34,392 Dionex Corp. (a)....................... 1,682 42,908 Roper Industries, Inc. ................ 2,308 114,246 Valence Technology, Inc. (a)........... 2,184 7,360 ----------- 215,303 ----------- NATURAL GAS (DISTRIBUTION/PIPE LINE) -- 0.2% Western Gas Resources, Inc. ........... 1,585 51,227 ----------- OFFICE EQUIPMENT & SUPPLIES -- 0.4% United Stationers, Inc. (a)............ 2,541 85,505 ----------- OIL & GAS (DRILLING & EQUIPMENT) -- 0.5% Atwood Oceanics, Inc. (a).............. 839 29,239 Grey Wolf, Inc. (a).................... 13,696 40,677 Superior Energy Services, Inc. (a)..... 4,477 38,726 ----------- 108,642 ----------- OIL & GAS (EXPLORATION/PRODUCTS) -- 1.8% Chesapeake Energy Corp. (a)............ 11,069 73,166 Evergreen Resources, Inc. (a).......... 1,140 44,015 Forest Oil Corp. ...................... 2,402 67,760 Stone Energy Corp. (a)................. 1,861 73,510
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- The Meridian Resource Corp. (a)........ 3,094 $ 12,345 Tom Brown, Inc. (a).................... 2,256 60,935 Vintage Petroleum, Inc. ............... 4,028 58,205 ----------- 389,936 ----------- PUBLISHING -- 0.7% Meredith Corp. ........................ 2,200 78,430 PRIMEDIA, Inc. (a)..................... 18,071 78,609 ----------- 157,039 ----------- RESTAURANTS -- 1.8% CEC Entertainment, Inc. (a)............ 2,103 91,249 Jack in the Box, Inc. (a).............. 2,933 80,775 Papa John's International, Inc. (a).... 1,224 33,636 Sonic Corp. (a)........................ 2,000 72,000 The Cheesecake Factory, Inc. (a)....... 3,399 118,183 ----------- 395,843 ----------- RETAIL (DISCOUNTERS) -- 0.9% Ross Stores, Inc. ..................... 5,969 191,485 ----------- RETAIL (HOME SHOPPING) -- 0.7% Insight Enterprises, Inc. (a).......... 2,984 73,406 Stamps.com, Inc. (a)................... 3,411 12,211 ValueVision International, Inc. (Class A) (a)............................... 2,935 57,497 ----------- 143,114 ----------- RETAIL (SPECIALTY) -- 2.6% Barnes & Noble, Inc. (a)............... 3,869 114,522 Genesco, Inc. (a)...................... 1,660 34,462 Guitar Center, Inc. (a)................ 1,689 23,038 Linen 'n Things, Inc. (a).............. 3,049 77,749 O'Reilly Automotive, Inc. (a).......... 3,682 134,283 OfficeMax, Inc. (a).................... 6,583 29,623 Williams-Sonoma, Inc. (a).............. 3,440 147,576 ----------- 561,253 ----------- RETAIL (SPECIALTY APPAREL) -- 1.2% American Eagle Outfitters, Inc. (a).... 3,645 95,390 AnnTaylor Stores Corp. (a)............. 2,180 76,300 Pacific Sunwear of California, Inc. (a).................................. 2,463 50,294 The Children's Place Retail Stores, Inc. (a)............................. 1,119 30,381 ----------- 252,365 ----------- RETAIL STORES (DRUG STORE) -- 0.2% Duane Reade, Inc. (a).................. 1,730 52,505 ----------- RETAIL STORES (FOOD CHAINS) -- 0.8% Krispy Kreme Doughnuts, Inc. (a)....... 3,350 148,070 Wild Oats Markets, Inc. (a)............ 1,638 16,265 ----------- 164,335 ----------- SAVINGS & LOAN COMPANIES -- 0.1% Net.B@nk, Inc. (a)..................... 2,292 24,020 ----------- SERVICES (ADVERTISING/MARKETING) -- 2.3% ADVO, Inc. (a)......................... 1,536 66,048 Catalina Marketing Corp. (a)........... 3,886 134,844 DoubleClick, Inc. (a).................. 9,303 105,496 Harte-Hanks, Inc. ..................... 2,759 77,721 Metris Cos., Inc. ..................... 4,799 123,382 ----------- 507,491 -----------
See accompanying notes to financial statements. 31 STREETTRACKS DOW JONES U.S. SMALL CAP GROWTH INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- SERVICES (COMMERCIAL & CONSUMER) -- 3.8% Copart, Inc. (a)....................... 3,185 $ 115,838 DeVry, Inc. (a)........................ 4,491 127,769 DiamondCluster International, Inc. (Class A) (a)........................ 1,767 23,148 FreeMarkets, Inc. (a).................. 2,780 66,637 Getty Images, Inc. (a)................. 3,032 69,675 IGEN International, Inc. (a)........... 1,084 43,468 InterDigital Communications Corp. (a).................................. 4,219 40,924 Learning Tree International, Inc. (a).................................. 925 25,808 NCO Group, Inc. (a).................... 1,793 41,060 Pre-Paid Legal Services, Inc. (a)...... 1,619 35,456 Rambus, Inc. (a)....................... 7,151 57,137 Sunrise Assisted Living, Inc. (a)...... 1,430 41,627 Sylvan Learning Systems, Inc. (a)...... 2,640 58,265 TeleTech Holdings, Inc. (a)............ 2,918 41,815 The Profit Recovery Group International, Inc. (a).............. 3,369 27,457 Universal Access Global Holdings, Inc. (a)............................. 3,506 16,443 ----------- 832,527 ----------- SERVICES (COMPUTER SYSTEMS) -- 0.8% Digital River, Inc. (a)................ 1,752 27,892 Keane, Inc. (a)........................ 4,063 73,256 MedQuist, Inc. (a)..................... 850 24,862 Sapient Corp. (a)...................... 6,162 47,571 ----------- 173,581 ----------- SERVICES (DATA PROCESSING) -- 1.5% CSG Systems International, Inc. (a).... 3,766 152,334 Global Payments, Inc. ................. 1,957 67,321 NDCHealth Corp. ....................... 2,544 87,895 ProBusiness Services, Inc. (a)......... 1,556 29,253 ----------- 336,803 ----------- SERVICES (ENVIRONMENTAL) -- 0.3% Tetra Tech, Inc. (a)................... 3,792 75,499 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- TELEPHONE (LONG DISTANCE) -- 1.1% Allegiance Telecom, Inc. (a)........... 7,918 $ 65,640 IDT Corp. (Class B) (a)................ 1,527 29,792 NTL, Inc. ............................. 7,096 6,670 Time Warner Telecom, Inc. (Class A) (a).................................. 3,674 64,993 Williams Communications Group, Inc. (a).................................. 36,135 84,918 ----------- 252,013 ----------- TEXTILES (APPAREL) -- 0.1% Quiksilver, Inc. (a)................... 1,738 29,894 ----------- TEXTILES (HOME FURNISHINGS) -- 0.8% Mohawk Industries, Inc. (a)............ 3,134 171,994 ----------- TRUCKERS -- 0.6% Landstar Systems, Inc. (a)............. 621 45,029 Swift Transportation Co., Inc. (a)..... 4,459 95,913 ----------- 140,942 ----------- TRUCKS & PARTS -- 0.1% Wabash National Corp. ................. 1,745 13,611 ----------- WASTE MANAGEMENT -- 0.4% Stericycle, Inc. (a)................... 1,278 77,805 ----------- TOTAL COMMON STOCKS -- (Cost $22,587,984)................... 21,918,737 ----------- SHORT TERM INVESTMENTS -- 0.0% MONEY MARKET FUND -- 0.0% AIM Short Term Investment Class Prime Fund (Cost $188)..................... 188 188 ----------- TOTAL INVESTMENTS -- 99.7% (Cost $22,588,172)................... 21,918,925 OTHER ASSETS AND LIABILITIES -- 0.3%... 65,535 ----------- NET ASSETS -- 100.0%................... $21,984,460 ===========
(a) Non-income producing security See accompanying notes to financial statements. 32 STREETTRACKS DOW JONES U.S. SMALL CAP VALUE INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.6% AEROSPACE/DEFENSE -- 1.0% AAR Corp. ............................. 2,022 $ 18,218 Alliant Techsystems, Inc. (a).......... 1,559 120,355 Curtiss-Wright Corp. (Class B)......... 347 16,142 Precision Castparts Corp. ............. 3,461 97,773 ----------- 252,488 ----------- AGRICULTURE -- 0.6% Corn Products International, Inc. ..... 2,401 84,635 Universal Corp. ....................... 1,925 70,089 ----------- 154,724 ----------- AIR FREIGHT -- 0.2% Airborne, Inc. ........................ 3,453 51,208 ----------- AIRLINES -- 0.8% AirTran Holdings, Inc. (a)............. 5,087 33,574 Alaska Air Group, Inc. (a)............. 1,903 55,377 Continental Airlines, Inc. (Class B) (a).................................. 3,994 104,683 ----------- 193,634 ----------- AUTO PARTS & EQUIPMENT -- 2.8% Actuant Corp. ......................... 615 20,664 ArvinMeritor, Inc. .................... 4,792 94,115 BorgWarner, Inc. ...................... 1,888 98,648 Cooper Tire & Rubber Co. .............. 5,225 83,391 Modine Manufacturing Co. .............. 2,081 48,550 Snap-on, Inc. ......................... 4,168 140,295 Superior Industries International, Inc. ................................ 1,414 56,913 Tower Automotive, Inc. (a)............. 3,419 30,873 Visteon Corp. ......................... 9,444 142,038 ----------- 715,487 ----------- BANKS (REGIONAL) -- 10.4% AMCORE Financial, Inc. ................ 1,892 42,286 BancorpSouth, Inc. .................... 5,500 91,300 BSB Bancorp, Inc. ..................... 775 18,375 Chittenden Corp. ...................... 2,312 63,811 Citizens Banking Corp. ................ 2,779 91,374 City National Corp. ................... 2,954 138,395 Colonial Bancgroup, Inc. .............. 7,850 110,606 Commercial Federal Corp. .............. 3,339 78,467 Community First Bankshares, Inc. ...... 2,895 74,373 Cullen/Frost Bankers, Inc. ............ 3,733 115,275 Dime Community Bancshares.............. 1,101 30,894 First Midwest Bancorp, Inc. ........... 3,383 98,750 FirstMerit Corp. ...................... 6,172 167,199 Fulton Financial corp. ................ 5,955 129,998 GBC Bancorp. .......................... 908 26,786 Hudson United Bancorp.................. 3,328 95,514 Independence Community Bank Corp. ..... 3,873 88,149 Old National Bancorp................... 3,950 99,737 Pacific Century Financial Corp. ....... 5,538 143,379 Park National Corp. ................... 817 75,777 Provident Bankshares Corp. ............ 1,849 44,931 Provident Financial Group, Inc. ....... 2,201 57,842 Republic Bancorp, Inc. ................ 3,922 54,320 Sky Financial Group, Inc. ............. 5,319 108,188 South Financial Group, Inc. ........... 3,152 55,948 Sterling Bancshares, Inc. ............. 3,228 40,415
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Trustmark Corp. ....................... 4,103 $ 99,416 UnionBanCal Corp. ..................... 3,829 145,502 United Bankshares, Inc. ............... 2,735 78,932 Westamerica Bancorp.................... 2,492 98,608 Whitney Holding Corp. ................. 1,787 78,360 ----------- 2,642,907 ----------- BROADCASTING (TV, RADIO & CABLE) -- 0.1% Hearst-Argyle Television, Inc. (a)..... 1,199 25,850 ----------- BUILDING MATERIALS GROUP -- 0.3% Lafarge Corp. ......................... 2,078 78,070 ----------- CHEMICALS -- 0.7% Georgia Gulf Corp. .................... 2,400 44,400 Lyondell Chemical Co. ................. 8,475 121,447 ----------- 165,847 ----------- CHEMICALS (DIVERSIFIED) -- 0.6% FMC Corp. (a).......................... 1,886 112,217 Olin Corp. ............................ 3,150 50,841 ----------- 163,058 ----------- CHEMICALS SPECIALTY -- 3.8% A. Schulman, Inc. ..................... 2,197 29,989 Crompton Corp. ........................ 8,113 73,017 Cytec Industries, Inc. (a)............. 2,859 77,193 Ferro Corp. ........................... 2,040 52,632 Great Lakes Chemical Corp. ............ 2,761 67,037 H.B. Fuller Co. ....................... 2,032 58,461 Hercules, Inc. ........................ 7,786 77,860 Lubrizol Corp. ........................ 3,690 129,482 Millennium Chemicals, Inc. ............ 4,563 57,494 Monsanto Co. .......................... 2,739 92,578 RPM, Inc. ............................. 7,354 106,339 Valspar Corp. ......................... 3,249 128,660 ----------- 950,742 ----------- COMMUNICATIONS EQUIPMENT -- 0.1% Brightpoint, Inc. (a).................. 4,316 13,552 ----------- COMPUTERS (HARDWARE) -- 0.1% MRV Communications, Inc. (a)........... 5,911 25,063 ----------- COMPUTERS (PERIPHERALS) -- 0.6% Storage Technology Corp. (a)........... 7,500 155,025 ----------- COMPUTER SOFTWARE/SERVICES -- 0.1% Roxio, Inc. (a)........................ 1,279 21,167 ----------- CONSTRUCTION -- 0.2% Texas Industries, Inc. ................ 1,495 55,166 ----------- CONSUMER (JEWELRY/NOVELTIES) -- 0.6% American Greetings Corp. (Class A)..... 4,516 62,230 Lancaster Colony Corp. ................ 2,266 80,466 ----------- 142,696 ----------- CONTAINERS (METALS & GLASS) -- 0.6% Ball Corp. ............................ 1,988 140,552 Crown Cork & Seal Co., Inc. ........... 9,500 24,130 ----------- 164,682 ----------- CONTAINERS/PACKAGING (PAPER) -- 0.1% Chesapeake Corp. ...................... 1,172 32,593 -----------
See accompanying notes to financial statements. 33 STREETTRACKS DOW JONES U.S. SMALL CAP VALUE INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- DISTRIBUTORS (FOOD & HEALTH) -- 0.4% Fleming Cos., Inc. .................... 3,192 $ 59,052 PSS World Medical, Inc. (a)............ 5,511 44,970 ----------- 104,022 ----------- ELECTRIC COMPANIES -- 5.4% ALLETE................................. 5,345 134,694 Avista Corp. .......................... 3,394 45,004 Black Hills Corp. ..................... 1,898 64,228 Cleco Corp. ........................... 3,239 71,161 Conectiv, Inc. ........................ 5,976 146,352 El Paso Electric Co. (a)............... 3,623 52,534 Hawaiian Electric Industries, Inc. .... 2,551 102,754 IDACORP, Inc. ......................... 2,697 109,498 NRG Energy, Inc. ...................... 3,847 59,629 OGE Energy Corp. ...................... 5,614 129,571 PNM Resources, Inc. ................... (216) (6,037) Public Service Co. of New Mexico....... 3,031 84,716 RSG Energy Group, Inc. ................ 2,491 93,662 Sierra Pacific Resources............... 7,359 110,753 The Montana Power Co. ................. 7,451 42,843 Unisource Energy Corp. ................ 2,403 43,711 Western Resources, Inc. ............... 4,046 69,591 ----------- 1,354,664 ----------- ELECTRICAL EQUIPMENT -- 1.1% Acuity Brands, Inc. (a)................ 3,083 37,304 APW Ltd. (a)........................... 3,318 5,508 Checkpoint Systems, Inc. (a)........... 2,454 32,884 Cohu, Inc. ............................ 1,474 29,111 Garmin Ltd. (a)........................ 3,226 68,778 National Service Industries, Inc. ..... 3,083 6,228 Thomas & Betts Corp. .................. 4,178 88,365 ----------- 268,178 ----------- ELECTRONICS (COMPONENT DISTRIBUTION) -- 0.1% Pioneer Standard Electronics, Inc. .... 2,400 30,480 ----------- ELECTRONICS (INSTRUMENT) -- 0.1% Methode Electronics, Inc. (Class A).... 2,506 20,048 ----------- ELECTRONICS (SEMICONDUCTORS) -- 0.6% Adaptec, Inc. ......................... 7,614 110,403 ESS Technology, Inc. (a)............... 2,099 44,625 ----------- 155,028 ----------- ENGINEERING & CONSTRUCTION -- 0.7% Jacobs Engineering Group, Inc. (a)..... 1,686 111,276 McDermott International, Inc. (a)...... 4,400 53,988 ----------- 165,264 ----------- FINANCIAL (DIVERSIFIED) -- 13.7% Allied Capital Corp. .................. 7,131 185,406 Arden Realty, Inc. .................... 4,589 121,609 Brandywine Realty Trust................ 2,304 48,545 BRE Properties, Inc. (Class A)......... 3,287 101,766 Camden Property Trust.................. 2,925 107,348 Capital Automotive REIT................ 2,004 39,860 CarrAmerica Realty Corp. .............. 2,470 74,347 CBL & Associates Properties, Inc. ..... 1,717 54,086 CenterPoint Properties Corp. .......... 1,638 81,572 Chelsea Property Group, Inc. .......... 1,259 61,817
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Colonial Properties Trust.............. 1,381 $ 43,018 Cousins Properties, Inc. .............. 2,869 69,889 Developers Diversified Realty Corp. ... 3,692 70,517 Equity Inns, Inc. ..................... 2,973 19,681 Federal Realty Investment Trust........ 2,961 68,103 FelCor Lodging Trust, Inc. ............ 3,013 50,347 First Industrial Realty Trust, Inc. ... 2,831 88,044 General Growth Properties, Inc. ....... 3,504 135,955 Glenborough Realty Trust, Inc. ........ 1,945 37,733 Health Care Property Investors, Inc. ................................ 3,987 144,369 Health Care REIT, Inc. ................ 2,330 56,736 Healthcare Realty Trust, Inc. ......... 2,947 82,516 Highwoods Properties, Inc. ............ 3,809 98,844 Home Properties of New York, Inc. ..... 1,386 43,798 Hospitality Properties Trust........... 4,188 123,546 HRPT Properties Trust.................. 9,287 80,425 iStar Financial, Inc. ................. 2,371 59,156 JDN Realty Corp. ...................... 2,331 28,741 Kilroy Realty Corp. ................... 1,955 51,358 Koger Equity........................... 2,077 33,855 Macerich Co. .......................... 2,429 64,611 Mack-Cali Realty Corp. ................ 4,104 127,306 Manufactured Home Communities, Inc. ... 1,510 47,127 Medallion Financial Corp. ............. 1,213 9,583 MeriStar Hospitality Corp. ............ 3,198 45,412 Mills Corp. ........................... 1,394 36,913 Mutual Risk Management, Ltd. .......... 3,058 22,323 Nationwide Health Properties, Inc. .... 3,563 66,593 Post Properties, Inc. ................. 2,653 94,208 Prentiss Properties Trust.............. 2,513 68,982 Reckson Associates Realty Corp. ....... 3,249 75,897 RFS Hotel Investors, Inc. ............. 2,017 22,953 Security Capital Group, Inc. (Class B) (a).................................. 5,385 136,617 Shurgard Storage Centers, Inc. (Class A)................................... 2,188 70,016 SL Green Realty Corp. ................. 2,149 65,996 Storage USA, Inc. ..................... 1,183 49,804 United Dominion Realty Trust, Inc. .... 7,141 102,830 Weingarten Realty Investors............ 2,163 103,824 ----------- 3,473,982 ----------- FOODS -- 1.9% Dole Food Co., Inc. ................... 3,074 82,475 Flowers Foods, Inc. (a)................ 1,429 57,046 International Multifoods Corp. ........ 1,453 34,727 Interstate Bakeries Corp. ............. 2,558 61,852 Ralcorp Holdings, Inc. (a)............. 2,146 48,714 Tyson Foods, Inc. (Class A)............ 16,569 191,372 ----------- 476,186 ----------- FOOTWEAR -- 0.7% Reebok International, Ltd. (a)......... 3,855 102,158 Stride Rite Corp. ..................... 3,362 22,021 Wolverine World Wide, Inc. ............ 2,988 44,969 ----------- 169,148 ----------- GAMING, LOTTERY, & PARIMUTUEL -- 0.7% GTECH Holdings Corp. (a)............... 2,071 93,796 Mandalay Resort Group (a).............. 4,221 90,329 ----------- 184,125 -----------
See accompanying notes to financial statements. 34 STREETTRACKS DOW JONES U.S. SMALL CAP VALUE INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- HARDWARE & TOOLS -- 0.1% WD-40 Co. ............................. 1,197 $ 31,900 ----------- HEALTH CARE (LONG TERM CARE) -- 0.3% Beverly Enterprises, Inc. (a).......... 7,502 64,517 ----------- HEALTH CARE (MANAGED CARE) -- 0.7% Humana, Inc. (a)....................... 11,594 136,693 US Oncology, Inc. (a).................. 6,790 51,197 ----------- 187,890 ----------- HEALTH CARE (MEDICAL PRODUCTS/ SUPPLIES) -- 0.9% Edwards Lifesciences Corp. (a)......... 4,241 117,179 Henry Schein, Inc. (a)................. 3,054 113,089 ----------- 230,268 ----------- HEALTH CARE (SPECIAL SERVICES) -- 0.9% Omnicare, Inc. ........................ 6,716 167,094 Pediatrix Medical Group, Inc. (a)...... 1,719 58,309 ----------- 225,403 ----------- HOMEBUILDING -- 1.7% Clayton Homes, Inc. ................... 7,167 122,556 Lennar Corp. .......................... 3,898 182,504 LNR Property Corp. .................... 1,741 54,284 Toll Brothers, Inc. (a)................ 1,834 80,513 ----------- 439,857 ----------- HOUSEWARES -- 0.3% Tupperware Corp. ...................... 3,699 71,206 ----------- INSURANCE (LIFE/HEALTH) -- 1.2% AmerUs Group Co. ...................... 1,612 57,774 Nationwide Financial Services, Inc. (Class A)............................ 1,726 71,560 Presidential Life Corp. ............... 1,667 34,274 Reinsurance Group of America, Inc. .... 1,462 48,655 StanCorp Financial Group, Inc. ........ 2,156 101,871 ----------- 314,134 ----------- INSURANCE (MULTI-LINE) -- 0.3% Leucadia National Corp. ............... 2,384 68,826 ----------- INSURANCE (PROPERTY/CASUALTY) -- 5.5% American Financial Group, Inc. ........ 2,955 72,545 CNA Financial Corp. (a)................ 2,090 60,965 Fidelity National Financial, Inc. ..... 5,827 144,510 First American Corp. .................. 4,466 83,693 Fremont General Corp. ................. 4,606 36,019 HCC Insurance Holdings, Inc. .......... 4,103 113,038 Horace Mann Educators Corp. ........... 2,915 61,856 Mercury General Corp. ................. 1,883 82,212 Ohio Casualty Corp. ................... 4,017 64,473 PartnerRe Ltd. ........................ 2,618 141,372 RenaissanceRe Holdings Ltd. ........... 1,498 142,909 Selective Insurance Group, Inc. ....... 1,948 42,330 The Commerce Group, Inc. .............. 2,184 82,315 Trenwick Group Ltd. ................... 2,849 28,974 Unitrin, Inc. ......................... 3,539 139,861 W.R. Berkley Corp. .................... 2,008 107,830 ----------- 1,404,902 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- INVESTMENT BANKING/BROKERAGE -- 0.8% Jefferies Group, Inc. ................. 1,624 $ 68,711 Raymond James Financial, Inc. ......... 2,923 103,825 SWS Group, Inc. ....................... 1,220 31,049 ----------- 203,585 ----------- INVESTMENT MANAGEMENT -- 0.5% American Capital Strategies, Ltd. ..... 2,568 72,803 W.P. Stewart & Co., Ltd. .............. 1,895 49,649 ----------- 122,452 ----------- LEISURE TIME (PRODUCTS) -- 0.4% Polaris Industries, Inc. .............. 1,655 95,576 ----------- LODGING (HOTELS) -- 0.4% La Quinta Properties, Inc. (a)......... 10,320 59,237 Prime Hospitality Corp. (a)............ 3,261 36,034 ----------- 95,271 ----------- MACHINERY (DIVERSIFIED) -- 0.8% Kaydon Corp. .......................... 2,150 48,762 Milacron, Inc. ........................ 2,581 40,806 Terex Corp. (a)........................ 2,686 47,112 Timken Co. ............................ 3,769 60,982 ----------- 197,662 ----------- MANUFACTURING (DIVERSIFIED) -- 2.1% AMETEK, Inc. .......................... 2,374 75,707 Carlisle Cos., Inc. ................... 2,063 76,290 Crane Co. ............................. 3,777 96,842 Esterline Technologies Corp. (a)....... 1,601 25,632 Harsco Corp. .......................... 2,869 98,407 Kaman Corp. (Class A).................. 1,649 25,724 Stewart & Stevenson Services, Inc. .... 1,992 37,470 Trinity Industries, Inc. .............. 3,169 86,102 U.S. Industries, Inc. ................. 5,547 14,200 ----------- 536,374 ----------- MANUFACTURING (SPECIALIZED) -- 2.4% Albany International Corp. (Class A)... 1,927 41,816 Briggs & Stratton Corp. ............... 1,555 66,399 Flowserve Corp. (a).................... 3,193 84,966 IKON Office Solutions, Inc. ........... 10,225 119,530 Ionics, Inc. (a)....................... 1,339 40,210 Regal-Beloit Corp. .................... 1,628 35,490 Teleflex, Inc. ........................ 2,516 119,032 York International Corp. .............. 2,803 106,878 ----------- 614,321 ----------- METAL FABRICATORS -- 0.9% General Cable Corp. ................... 2,534 33,195 Kennametal, Inc. ...................... 2,225 89,601 Mueller Industries, Inc. (a)........... 2,406 80,000 RTI International Metals, Inc. (a)..... 1,600 15,920 Ryerson Tull, Inc. .................... 1,842 20,262 ----------- 238,978 ----------- METALS MINING -- 0.3% Arch Coal, Inc. ....................... 3,598 81,675 ----------- NATURAL GAS (DISTRIBUTION/PIPE LINE) -- 4.1% AGL Resources, Inc. ................... 3,760 86,555 Energen Corp. ......................... 2,222 54,772
See accompanying notes to financial statements. 35 STREETTRACKS DOW JONES U.S. SMALL CAP VALUE INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Equitable Resources, Inc. ............. 4,613 $ 157,165 Northwest Natural Gas Co. ............. 1,809 46,130 NUI Corp. ............................. 1,007 23,866 ONEOK, Inc. ........................... 3,632 64,795 Peoples Energy Corp. .................. 2,550 96,721 Piedmont Natural Gas Co., Inc. ........ 2,330 83,414 Questar Corp. ......................... 5,874 147,144 Southern Union Co. (a)................. 3,129 59,013 Vectren Corp. ......................... 4,881 117,046 WGL Holdings, Inc. .................... 3,498 101,687 ----------- 1,038,308 ----------- OFFICE EQUIPMENT & SUPPLIES -- 0.7% HON Industries, Inc. .................. 3,981 110,075 Steelcase, Inc. (Class A).............. 1,608 23,670 Wallace Computer Services, Inc. ....... 2,946 55,944 ----------- 189,689 ----------- OIL (INTERNATIONAL INTEGRATED) -- 0.2% Tesoro Petroleum Corp. (a)............. 3,207 42,044 ----------- OIL & GAS (DRILLING & EQUIPMENT) -- 0.5% FMC Technologies, Inc. (a)............. 4,680 76,986 Offshore Logistics, Inc. (a)........... 1,594 28,310 Seitel, Inc. (a)....................... 1,877 25,527 ----------- 130,823 ----------- OIL & GAS (EXPLORATION/PRODUCTS) -- 0.5% Pioneer Natural Resources Co. (a)...... 6,687 128,792 ----------- OIL & GAS (REFINING & MARKETING) -- 1.5% Pennzoil-Quaker State Co. ............. 5,727 82,755 Valero Energy Corp. ................... 7,674 292,533 ----------- 375,288 ----------- PAPER & FOREST PRODUCTS -- 2.3% Caraustar Industries, Inc. ............ 2,229 15,447 Louisiana-Pacific Corp. ............... 7,497 63,275 Plum Creek Timber Co., Inc. ........... 9,919 281,203 Pope & Talbot, Inc. ................... 1,127 16,060 Potlatch Corp. ........................ 2,036 59,695 Rayonier, Inc. ........................ 1,953 98,568 Wausau-Mosinee Paper Corp. ............ 3,670 44,407 ----------- 578,655 ----------- PERSONAL CARE -- 0.5% Alberto-Culver Co. (Class B)........... 1,621 72,523 Perrigo Co. (a)........................ 4,846 57,280 ----------- 129,803 ----------- POWER PRODUCERS (INDEPENDENT) -- 0.1% Covanta Energy Corp. (a)............... 3,858 17,438 ----------- PUBLISHING (NEWSPAPERS) -- 0.8% Hollinger International, Inc. ......... 3,952 46,238 Lee Enterprises, Inc. ................. 2,396 87,143 Media General, Inc. ................... 1,442 71,855 ----------- 205,236 ----------- RAILROADS -- 0.6% GATX Corp. ............................ 2,535 82,438 Kansas City Southern Industries, Inc. (a).................................. 4,241 59,926 ----------- 142,364 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- RESTAURANTS -- 1.2% Bob Evans Farms, Inc. ................. 2,495 $ 61,302 CBRL Group, Inc. ...................... 3,969 116,847 IHOP Corp. (a)......................... 1,471 43,100 Lone Star Steakhouse & Saloon, Inc. ... 1,864 27,643 Ryan's Family Steak Houses, Inc. (a)... 2,190 47,414 ----------- 296,306 ----------- RETAIL (BUILDING SUPPLIES) -- 0.2% Hughes Supply, Inc. ................... 1,604 49,515 ----------- RETAIL (DEPARTMENT STORES) -- 0.7% Dillards, Inc. (Class A)............... 5,097 81,552 Saks, Inc. (a)......................... 10,202 95,287 ----------- 176,839 ----------- RETAIL (DISCOUNTERS) -- 0.6% Big Lots, Inc. (a)..................... 8,460 87,984 Dress Barn, Inc. (a)................... 1,123 28,086 ShopKo Stores, Inc. (a)................ 2,225 21,138 Stein Mart, Inc. (a)................... 2,109 17,631 ----------- 154,839 ----------- RETAIL (SPECIALTY) -- 2.0% Casey's General Stores, Inc. .......... 3,320 49,468 Foot Locker, Inc. (a).................. 10,084 157,814 Footstar, Inc. (a)..................... 1,423 44,540 Pep Boys -- Manny, Moe & Jack.......... 3,480 59,682 PETsMART, Inc. (a)..................... 7,072 69,588 Pier 1 Imports, Inc. .................. 6,711 116,369 Trans World Entertainment Corp. (a).... 2,276 17,298 ----------- 514,759 ----------- RETAIL (SPECIALTY APPAREL) -- 0.3% Talbots, Inc. ......................... 1,794 65,032 The Cato Corp. (Class A)............... 1,200 22,680 ----------- 87,712 ----------- RETAIL STORES (DRUG STORE) -- 0.2% Longs Drug Stores Corp. ............... 2,728 63,781 ----------- RETAIL STORES (FOOD CHAINS) -- 0.4% Great Atlantic & Pacific Tea Co., Inc. ................................ 1,200 28,536 Winn-Dixie Stores, Inc. ............... 5,875 83,719 ----------- 112,255 ----------- SAVINGS & LOAN COMPANIES -- 5.0% Anchor BanCorp Wisconsin, Inc. ........ 1,690 29,981 Astoria Financial Corp. ............... 6,655 176,091 Bay View Capital Corp. ................ 4,253 31,175 First Sentinel Bancorp, Inc. .......... 2,270 28,420 Harbor Florida Bancshares, Inc. ....... 1,773 30,141 Hudson City Bancorp, Inc. ............. 2,971 78,286 IndyMac Bancorp, Inc. (a).............. 4,398 102,825 MAF Bancorp, Inc. ..................... 1,621 47,820 OceanFirst Financial Corp. ............ 598 14,448 Pacific Northwest Bancorp.............. 1,201 24,572 People's Bank.......................... 4,413 93,820 Roslyn Bancorp, Inc. .................. 5,883 102,953 Sovereign Bancorp, Inc. ............... 17,809 217,982 Staten Island Bancorp, Inc. ........... 4,228 68,959
See accompanying notes to financial statements. 36 STREETTRACKS DOW JONES U.S. SMALL CAP VALUE INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Washington Federal, Inc. .............. 4,136 $ 106,626 Webster Financial Corp. ............... 3,525 111,143 ----------- 1,265,242 ----------- SERVICES (COMMERCIAL & CONSUMER) -- 1.9% Arbitron, Inc. (a)..................... 2,097 71,613 Chemed Corp. .......................... 700 23,730 G & K Services, Inc. .................. 1,370 44,251 Imagistics International, Inc. (a)..... 1,500 18,525 Navigant Consulting Co. (a)............ 3,200 17,600 Pittston Brink's Group................. 3,909 86,389 Regis Corp. ........................... 2,721 70,147 Service Corp. International (a)........ 20,898 104,281 Stewart Enterprises, Inc. (Class A).... 7,496 44,901 ----------- 481,437 ----------- SERVICES (COMPUTER SYSTEMS) -- 0.8% CACI International, Inc. (a)........... 1,666 65,782 Ingram Micro, Inc. (Class A) (a)....... 5,670 98,204 Safeguard Scientifics, Inc. (a)........ 8,352 29,232 ----------- 193,218 ----------- SERVICES (EMPLOYMENT) -- 0.2% Modis Professional Services, Inc. (a).................................. 7,579 54,114 MPS Group, Inc. (a).................... (550) (3,927) ----------- 50,187 ----------- SHIPPING -- 0.3% Alexander & Baldwin, Inc. ............. 2,580 68,886 ----------- SPECIALTY PRINTING -- 0.3% Banta Corp. ........................... 1,767 52,162 Bowne & Co., Inc. ..................... 2,501 32,013 ----------- 84,175 ----------- STEEL -- 1.2% AK Steel Holding Corp. ................ 7,754 88,241 Allegheny Technologies, Inc. .......... 4,814 80,634 Carpenter Technology Corp. ............ 1,527 40,649 Cleveland-Cliffs, Inc. ................ 808 14,786 Worthington Industries, Inc............ 4,984 70,773 ----------- 295,083 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- TEXTILES (APPAREL) -- 0.8% Kellwood Co. .......................... 1,757 $ 42,186 Nautica Enterprises, Inc. (a).......... 2,257 28,867 Phillips-Van Heusen Corp. ............. 1,741 18,977 Russell Corp. ......................... 1,759 26,403 Tommy Hilfiger Corp. (a)............... 6,062 83,352 ----------- 199,785 ----------- TEXTILES (HOME FURNISHINGS) -- 0.1% Interface, Inc. (Class A).............. 3,578 20,073 ----------- TEXTILES (SPECIALTY) -- 0.3% Unifi, Inc. (a)........................ 4,174 30,261 Wellman, Inc. ......................... 2,400 37,176 ----------- 67,437 ----------- TRUCKERS -- 1.2% J.B. Hunt Transport Services, Inc. (a).................................. 1,605 37,236 Ryder Systems, Inc. ................... 4,055 89,818 USFreightways Corp. ................... 1,894 59,472 Werner Enterprises, Inc. .............. 2,442 59,341 Yellow Corp. (a)....................... 1,872 46,987 ----------- 292,854 ----------- WASTE MANAGEMENT -- 0.1% Casella Waste Systems, Inc. (Class A) (a).................................. 1,720 25,473 ----------- WATER UTILITIES -- 0.4% Philadelphia Suburban Corp. ........... 4,050 91,327 ----------- TOTAL COMMON STOCKS -- (Cost $20,912,913)................... 25,199,504 ----------- SHORT TERM INVESTMENTS -- 0.1% MONEY MARKET FUND -- 0.1% AIM Short Term Investment Class Prime Fund (Cost $22,493).................. 22,493 22,493 ----------- TOTAL INVESTMENTS -- 99.7% (Cost $20,935,406)................... 25,221,997 OTHER ASSETS AND LIABILITIES -- 0.3%... 86,440 ----------- NET ASSETS -- 100.0%................... $25,308,437 ===========
(a) Non-income producing security See accompanying notes to financial statements. 37 STREETTRACKS DOW JONES GLOBAL TITANS INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.8% BERMUDA -- 2.0% Tyco International Ltd. ............... 6,900 $ 406,410 FINLAND -- 2.0% Nokia OYJ ADR.......................... 16,114 395,276 FRANCE -- 2.2% Axa ADR................................ 4,840 101,737 TotalFinaElf S.A. ADR.................. 4,852 340,804 ----------- TOTAL FRANCE........................... 442,541 ----------- GERMANY -- 2.9% Allianz AG ADR......................... 5,320 125,552 DaimlerChrysler AG..................... 2,852 118,843 Deutsche Telekom AG ADR................ 8,234 139,155 Siemens AG ADR (a)..................... 2,880 188,582 ----------- TOTAL GERMANY.......................... 572,132 ----------- JAPAN -- 2.8% Mitsubishi Tokyo Financial Group, Inc. ADR (a).............................. 19,616 126,916 Sony Corp. ADR......................... 2,896 130,610 Toyota Motor Corp. ADR................. 5,914 301,377 ----------- TOTAL JAPAN............................ 558,903 ----------- NETHERLANDS -- 2.5% ING Groep N.V. ADR..................... 5,576 141,909 Royal Dutch Petroleum Co. (N.Y. Shares).............................. 7,282 356,964 ----------- TOTAL NETHERLANDS...................... 498,873 ----------- SWITZERLAND -- 6.0% Credit Suisse Group ADR................ 3,332 142,110 Nestle S.A. ........................... 1,380 294,360 Novartis AG ADR........................ 9,886 360,839 Roche Holding AG....................... 2,400 171,367 UBS AG................................. 4,366 218,300 ----------- TOTAL SWITZERLAND...................... 1,186,976 ----------- UNITED KINGDOM -- 12.1% BP Amoco PLC ADR....................... 12,816 596,072 BT Group PLC ADR (a)................... 2,976 109,368 GlaxoSmithKline PLC ADR................ 10,700 533,074 HSBC Holdings PLC ADR.................. 6,412 382,860 Lloyds TSB Group PLC................... 19,178 207,992 Vodafone Group PLC ADR................. 22,923 588,663 ----------- TOTAL UNITED KINGDOM................... 2,418,029 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- UNITED STATES -- 67.3% American International Group, Inc. .... 8,992 $ 713,965 AOL Time Warner, Inc. (a).............. 14,600 468,660 AT&T Corp. ............................ 12,129 220,020 Bank of America Corp. ................. 5,370 338,041 BellSouth Corp. ....................... 6,408 244,465 Cisco Systems, Inc. (a)................ 25,003 452,804 Citigroup, Inc. ....................... 17,695 893,244 Exxon Mobil Corp. ..................... 23,498 923,471 Ford Motor Co. ........................ 5,966 93,785 General Electric Co. .................. 34,109 1,367,089 Intel Corp. ........................... 23,075 725,709 International Business Machines Corp. (IBM)................................ 5,946 719,228 J.P. Morgan Chase & Co. ............... 6,833 248,380 Johnson & Johnson...................... 10,528 622,205 Merck & Co., Inc. ..................... 7,799 458,581 Microsoft Corp. (a).................... 15,809 1,047,346 Morgan Stanley Dean Witter & Co. ...... 3,428 191,762 Pfizer, Inc. .......................... 21,700 864,745 Philip Morris Cos., Inc. .............. 7,408 339,657 SBC Communications, Inc. .............. 11,632 455,625 The Coca-Cola Co. ..................... 7,800 367,770 The Procter & Gamble Co. .............. 4,454 352,445 The Walt Disney Co. ................... 7,140 147,941 Verizon Communications, Inc. .......... 9,310 441,853 Wal-Mart Stores, Inc. ................. 9,474 545,229 WorldCom, Inc. (a)..................... 10,132 142,659 ----------- TOTAL UNITED STATES.................... 13,386,679 ----------- TOTAL COMMON STOCKS -- (Cost $24,351,197)................... 19,865,819 ----------- TOTAL INVESTMENTS -- 99.8% (Cost $24,351,197)................... 19,865,819 OTHER ASSETS AND LIABILITIES -- 0.2%... 37,382 ----------- NET ASSETS -- 100.0%................... $19,903,201 ===========
(a) Non-income producing security ADR = American Depositary Receipt See accompanying notes to financial statements. 38 STREETTRACKS DOW JONES GLOBAL TITANS INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) ANALYSIS OF INDUSTRY CLASSIFICATIONS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
PERCENT OF INDUSTRY NET ASSETS VALUE -------- ---------- ----------- Automobiles................................................. 2.6% $ 514,006 Banks (Money Center)........................................ 4.3 847,817 Beverages (Non-Alcoholic)................................... 1.8 367,770 Cellular/Wireless Telecommunications........................ 3.0 588,663 Communications Equipment.................................... 2.0 395,276 Computers (Hardware)........................................ 3.6 719,228 Computers (Networking)...................................... 2.3 452,804 Computer Software/Services.................................. 5.3 1,047,346 Electrical Equipment........................................ 8.5 1,686,281 Electronics (Semiconductors)................................ 3.6 725,709 Entertainment............................................... 3.1 616,601 Financial (Diversified)..................................... 8.5 1,683,487 Foods....................................................... 1.5 294,360 Health Care (Drugs/Pharmaceuticals)......................... 12.0 2,388,606 Health Care Diversified..................................... 3.1 622,205 Household Products (Non-Durable)............................ 1.8 352,445 Insurance (Life/Health)..................................... 1.2 243,646 Insurance (Multi-Line)...................................... 3.6 713,965 Insurance (Property/Casualty)............................... 0.6 125,552 Investment Management....................................... 1.1 218,300 Manufacturing (Diversified)................................. 2.0 406,410 Oil (International Integrated).............................. 11.1 2,217,312 Retail (General Merchandising Chain)........................ 2.7 545,229 Telephone................................................... 5.7 1,141,943 Telephone (Long Distance)................................... 3.1 611,201 Tobacco..................................................... 1.7 339,657 ----- ----------- TOTAL.............................................. 99.8% $19,865,819 ===== ===========
See accompanying notes to financial statements. 39 STREETTRACKS WILSHIRE REIT INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 98.9% REAL ESTATE INVESTMENT TRUST -- 98.9% Alexandria Real Estate Equities, Inc. ................................ 2,305 $ 94,736 AMB Property Corp. .................... 11,646 302,796 Amli Residential Properties Trust...... 2,535 63,933 Apartment Investment & Management Co. (Class A)............................ 10,328 472,299 Archstone-Smith Trust.................. 24,115 634,224 Arden Realty, Inc. .................... 8,939 236,883 Associated Estates Realty Corp. ....... 2,660 24,419 Avalonbay Communities, Inc. ........... 9,740 460,799 Bedford Property Investors, Inc. ...... 2,314 52,065 Boston Properties, Inc. ............... 12,700 482,600 Boykin Lodging Co. .................... 2,436 19,415 Brandywine Realty Trust................ 4,967 104,655 BRE Properties, Inc. (Class A)......... 6,379 197,494 Camden Property Trust.................. 5,735 210,475 CarrAmerica Realty Corp. .............. 8,531 256,783 CBL & Associates Properties, Inc. ..... 3,558 112,077 Center Trust, Inc. .................... 3,895 16,554 CenterPoint Properties Corp. .......... 3,165 157,617 Chateau Communities, Inc. ............. 4,050 121,095 Chelsea Property Group, Inc. .......... 2,583 126,825 Colonial Properties Trust.............. 2,946 91,768 Cornerstone Realty Income Trust, Inc. ................................ 6,659 75,580 Corporate Office Properties Trust...... 2,901 34,435 Cousins Properties, Inc. .............. 6,929 168,790 Crescent Real Estate Equities Co. ..... 15,143 274,240 Crown American Realty Trust............ 3,620 28,236 Developers Diversified Realty Corp. ... 7,694 146,955 Duke-Weeks Realty Corp. ............... 18,165 441,954 EastGroup Properties, Inc. ............ 2,253 51,977 Equity Inns, Inc. ..................... 5,129 33,954 Equity Office Properties Trust......... 56,519 1,700,092 Equity Residential Properties Trust.... 37,010 1,062,557 Essex Property Trust, Inc. ............ 2,549 125,946 Federal Realty Investment Trust........ 5,619 129,237 FelCor Lodging Trust, Inc. ............ 7,355 122,902 First Industrial Realty Trust, Inc. ... 5,480 170,428 Gables Residential Trust............... 3,385 100,196 General Growth Properties, Inc. ....... 7,319 283,977 Glenborough Realty Trust, Inc. ........ 3,734 72,440 Glimcher Realty Trust.................. 4,184 78,785 Great Lakes REIT, Inc. ................ 2,276 36,416 Highwoods Properties, Inc. ............ 7,353 190,810 Home Properties of New York, Inc. ..... 3,063 96,791 Hospitality Properties Trust........... 7,919 233,610 Host Marriott Corp. ................... 36,622 329,598 Innkeepers USA Trust................... 4,835 47,383 IRT Property Co. ...................... 4,202 44,541 JDN Realty Corp. ...................... 4,550 56,102 JP Realty, Inc. ....................... 2,274 54,098 Kilroy Realty Corp. ................... 3,759 98,749 Kimco Realty Corp. .................... 13,773 450,239 Koger Equity........................... 3,710 60,473 LaSalle Hotel Properties............... 2,612 30,665 Liberty Property Trust................. 10,256 306,142
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Macerich Co. .......................... 4,754 $ 126,456 Mack-Cali Realty Corp. ................ 7,982 247,602 Manufactured Home Communities, Inc. ... 2,991 93,349 MeriStar Hospitality Corp. ............ 6,221 88,338 Mid-America Apartment Communities, Inc. ................................ 2,481 65,250 Mid-Atlantic Realty Trust.............. 2,068 32,157 Mills Corp. ........................... 4,014 106,291 New Plan Excel Realty Trust............ 12,181 232,048 Pan Pacific Retail Properties, Inc. ... 4,458 128,034 Parkway Properties, Inc. .............. 1,323 43,924 Pennsylvania Real Estate Investment Trust................................ 2,235 51,852 Post Properties, Inc. ................. 5,125 181,989 Prentiss Properties Trust.............. 5,196 142,630 Prime Group Realty Trust............... 2,214 20,435 ProLogis Trust......................... 24,445 525,812 PS Business Parks, Inc. ............... 2,961 93,272 Public Storage, Inc. .................. 15,879 530,359 Reckson Associates Realty Corp. ....... 7,004 163,613 Regency Centers Corp. ................. 8,054 223,499 RFS Hotel Investors, Inc. ............. 3,531 40,183 Rouse Co. ............................. 9,659 282,912 Saul Centers, Inc. .................... 2,068 44,152 Shurgard Storage Centers, Inc. (Class A)................................... 4,521 144,672 Simon Property Group, Inc. ............ 24,014 704,331 SL Green Realty Corp. ................. 4,186 128,552 Sovran Self Storage, Inc. ............. 1,704 53,080 Storage USA, Inc. ..................... 3,843 161,790 Summit Properties, Inc. ............... 3,762 94,125 Sun Communities, Inc. ................. 2,484 92,529 Tanger Factory Outlet Centers, Inc. ... 1,125 23,456 Taubman Centers, Inc. ................. 7,004 104,009 Town & Country Trust................... 2,274 47,527 United Dominion Realty Trust, Inc. .... 13,791 198,590 Vornado Realty Trust................... 13,627 566,883 Washington Real Estate Investment Trust................................ 5,382 133,958 Weingarten Realty Investors............ 4,564 219,072 Winston Hotels, Inc. .................. 2,403 18,599 ----------- 17,533,140 ----------- TOTAL REAL ESTATE INVESTMENT TRUST -- (Cost $16,268,631)................... 17,533,140 ----------- TOTAL COMMON STOCKS -- (Cost $16,268,631)................... 17,533,140 ----------- SHORT TERM INVESTMENTS -- 0.3% MONEY MARKET FUND -- 0.3% AIM Short Term Investment Class Prime Fund (Cost $60,564).................. 60,564 60,564 ----------- TOTAL INVESTMENTS -- 99.2% (Cost $16,329,195)................... 17,593,704 OTHER ASSETS AND LIABILITIES -- 0.8%.................. 138,103 ----------- NET ASSETS -- 100.0%................... $17,731,807 ===========
See accompanying notes to financial statements. 40 STREETTRACKS MORGAN STANLEY TECHNOLOGY INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 17.6% JDS Uniphase Corp. (a)................ 221,484 $ 1,922,481 Lucent Technologies, Inc. ............ 310,749 1,954,611 Motorola, Inc. ....................... 124,853 1,875,292 Nortel Networks Corp. ................ 262,488 1,968,660 Sycamore Networks, Inc. (a)........... 382,728 2,051,422 Tellabs, Inc. (a)..................... 125,019 1,870,285 ----------- 11,642,751 ----------- COMPUTERS (HARDWARE) -- 16.8% Compaq Computer Corp. ................ 188,284 1,837,652 Dell Computer Corp. (a)............... 67,859 1,844,408 Hewlett-Packard Co. .................. 89,120 1,830,525 International Business Machines Corp. (IBM)............................... 15,345 1,856,131 Juniper Networks, Inc. (a)............ 93,531 1,772,412 Sun Microsystems, Inc. (a)............ 159,416 1,960,817 ----------- 11,101,945 ----------- COMPUTERS (NETWORKING) -- 2.8% Cisco Systems, Inc. (a)............... 102,889 1,863,320 ----------- COMPUTERS (PERIPHERALS) -- 2.8% EMC Corp. (a)......................... 135,619 1,822,719 ----------- COMPUTER SOFTWARE/SERVICES -- 25.6% Computer Associates International, Inc................................. 55,535 1,915,402 eBay, Inc. (a)........................ 28,797 1,926,519 Electronic Arts (a)................... 31,402 1,882,550 Intuit, Inc. (a)...................... 43,651 1,867,390 Microsoft Corp. (a)................... 27,751 1,838,504 Oracle Corp. (a)...................... 130,149 1,797,358 Peoplesoft, Inc. (a).................. 46,405 1,865,481 VERITAS Software Corp. (a)............ 42,545 1,907,292 Yahoo!, Inc. (a)...................... 110,366 1,957,893 ----------- 16,958,389 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- ELECTRICAL EQUIPMENT -- 3.1% Solectron Corp. (a)................... 182,590 $ 2,059,615 ----------- ELECTRONICS (SEMICONDUCTORS) -- 17.2% Broadcom Corp. (Class A) (a).......... 47,538 1,942,878 Intel Corp. .......................... 57,720 1,815,294 Micron Technology, Inc. (a)........... 62,053 1,923,643 StMicroelectronics N.V. (N.Y. Shares)............................. 59,774 1,893,043 Texas Instruments, Inc. .............. 66,841 1,871,548 Xilinx, Inc. (a)...................... 49,670 1,939,613 ----------- 11,386,019 ----------- ENTERTAINMENT -- 2.8% AOL Time Warner, Inc. (a)............. 57,817 1,855,926 ----------- EQUIPMENT (SEMICONDUCTORS) -- 2.8% Applied Materials, Inc. (a)........... 46,824 1,877,642 ----------- SERVICES (COMPUTER SYSTEMS) -- 2.8% Electronic Data Systems Corp. ........ 27,123 1,859,281 ----------- SERVICES (DATA PROCESSING) -- 5.7% Automatic Data Processing, Inc. ...... 31,334 1,845,573 First Data Corp. ..................... 24,041 1,886,016 ----------- 3,731,589 ----------- TOTAL COMMON STOCKS -- (Cost $101,871,417)................. 66,159,196 ----------- TOTAL INVESTMENTS -- 100.0% (Cost $101,871,417)................. 66,159,196 OTHER ASSETS AND LIABILITIES -- 0.0%................. (521) ----------- NET ASSETS -- 100.0%.................. $66,158,675 ===========
(a) Non-income producing security See accompanying notes to financial statements. 41 STREETTRACKS MORGAN STANLEY INTERNET INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.9% AIR FREIGHT -- 3.9% Expedia, Inc. (Class A) (a)............. 3,258 $ 132,307 ---------- COMMUNICATIONS EQUIPMENT -- 3.7% Ciena Corp. (a)......................... 8,726 124,869 ---------- COMPUTERS (HARDWARE) -- 7.5% Juniper Networks, Inc. (a).............. 6,292 119,234 Sun Microsystems, Inc. (a).............. 10,721 131,868 ---------- 251,102 ---------- COMPUTERS (NETWORKING) -- 3.7% Cisco Systems, Inc. (a)................. 6,925 125,412 ---------- COMPUTERS (PERIPHERALS) -- 3.6% EMC Corp. (a)........................... 9,122 122,600 ---------- COMPUTER SOFTWARE/SERVICES -- 46.8% Check Point Software Technologies Ltd. (a).............................. 3,058 121,983 CNET Networks, Inc. (a)................. 16,372 146,857 E.piphany, Inc. (a)..................... 15,431 134,404 eBay, Inc. (a).......................... 1,933 129,318 HomeStore.com, Inc. (a)................. 4,368 7,862 i2 Technologies, Inc. (a)............... 19,131 151,135 Intuit, Inc. (a)........................ 2,926 125,174 McAfee.com Corp. (a).................... 3,568 120,991 Microsoft Corp. (a)..................... 1,863 123,424 Oracle Corp. (a)........................ 8,753 120,879 VeriSign, Inc. (a)...................... 3,164 120,358 WebMD Corp. (a)......................... 19,430 137,176 Yahoo!, Inc. (a)........................ 7,443 132,039 ---------- 1,571,600 ----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- ENTERTAINMENT -- 3.7% AOL Time Warner, Inc. (a)............... 3,893 $ 124,965 ---------- INVESTMENT BANKING/BROKERAGE -- 3.7% The Charles Schwab Corp................. 8,094 125,214 ---------- RETAIL (HOME SHOPPING) -- 4.1% Amazon.com, Inc. (a).................... 12,593 136,256 ---------- SERVICES (ADVERTISING/MARKETING) -- 7.7% DoubleClick, Inc. (a)................... 11,187 126,861 TMP Worldwide, Inc. (a)................. 3,067 131,574 ---------- 258,435 ---------- SERVICES (COMMERCIAL & CONSUMER) -- 3.9% FreeMarkets, Inc. (a)................... 5,484 131,451 ---------- SERVICES (COMPUTER SYSTEMS) -- 4.0% Sapient Corp. (a)....................... 17,365 134,058 ---------- TELEPHONE (LONG DISTANCE) -- 3.6% WorldCom, Inc. (a)...................... 8,533 120,145 ---------- TOTAL COMMON STOCKS -- (Cost $5,698,645)..................... 3,358,414 ---------- SHORT TERM INVESTMENTS -- 0.0% MONEY MARKET FUND -- 0.0% AIM Short Term Investment Class Prime Fund (Cost $3)........................ 3 3 ---------- TOTAL INVESTMENTS -- 99.9% (Cost $5,698,648)..................... 3,358,417 OTHER ASSETS AND LIABILITIES -- 0.1%................... 2,064 ---------- NET ASSETS -- 100.0%.................... $3,360,481 ==========
(a) Non-income producing security See accompanying notes to financial statements. 42 FORTUNE 500(R) INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.9% AEROSPACE/DEFENSE -- 0.8% General Dynamics Corp. ................ 948 $ 75,499 Lockheed Martin Corp. ................. 2,030 94,740 Northrop Grumman Corp. ................ 403 40,627 The B.F. Goodrich Co. ................. 497 13,230 The Boeing Co. ........................ 3,780 146,588 ----------- 370,684 ----------- AGRICULTURE -- 0.1% Archer-Daniels-Midland Co. ............ 3,177 45,590 Universal Corp. ....................... 100 3,641 ----------- 49,231 ----------- AIR FREIGHT -- 0.2% Airborne, Inc. ........................ 248 3,678 FedEx Corp. (a)........................ 1,350 70,038 ----------- 73,716 ----------- AIRLINES -- 0.3% AMR Corp. (a).......................... 725 16,073 Continental Airlines, Inc. (Class B) (a).................................. 294 7,706 Delta Air Lines, Inc. ................. 594 17,381 Northwest Airlines Corp. (Class A) (a).................................. 406 6,374 Southwest Airlines Co. ................ 3,586 66,269 UAL Corp. ............................. 253 3,416 US Airways Group, Inc. (a)............. 310 1,965 ----------- 119,184 ----------- ALUMINUM -- 0.3% Alcoa, Inc. ........................... 4,048 143,906 ----------- AUTOMOBILES -- 0.6% Ford Motor Co. ........................ 8,548 134,375 General Motors Corp. .................. 2,559 124,367 ----------- 258,742 ----------- AUTO PARTS & EQUIPMENT -- 0.3% ArvinMeritor, Inc. .................... 341 6,697 Cooper Tire & Rubber Co. .............. 300 4,788 Dana Corp. ............................ 717 9,952 Delphi Automotive Systems Corp. ....... 2,596 35,461 Genuine Parts Co. ..................... 856 31,415 Lear Corp. (a)......................... 328 12,510 The Goodyear Tire & Rubber Co. ........ 750 17,858 TRW, Inc. ............................. 589 21,817 ----------- 140,498 ----------- BANKS (MAJOR REGIONAL) -- 4.2% Amsouth BanCorp........................ 1,698 32,092 Bank One Corp. ........................ 5,439 212,393 BB&T Corp. ............................ 2,125 76,734 Comerica, Inc. ........................ 850 48,705 Fifth Third Bancorp.................... 2,706 166,635 FleetBoston Financial Corp. ........... 4,871 177,791 KeyCorp................................ 1,979 48,169 Mellon Financial Corp. ................ 2,233 84,005 National City Corp. ................... 2,811 82,194 Northern Trust Corp. .................. 1,046 62,990 PNC Financial Services Group........... 1,350 75,870 Regions Financial Corp. ............... 1,038 31,078 Southtrust Corp. ...................... 1,624 40,064
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- SunTrust Banks, Inc. .................. 1,333 $ 83,579 The Bank of New York Co., Inc. ........ 3,435 140,148 U.S. Bancorp........................... 9,221 192,996 Wells Fargo & Co. ..................... 7,939 344,950 ----------- 1,900,393 ----------- BANKS (MONEY CENTER) -- 1.5% Bank of America Corp. ................. 7,326 461,172 Wachovia Corp. ........................ 6,413 201,111 ----------- 662,283 ----------- BEVERAGES (ALCOHOLIC) -- 0.4% Anheuser-Busch Cos., Inc. ............. 4,188 189,339 ----------- BEVERAGES (NON-ALCOHOLIC) -- 2.3% Coca-Cola Enterprises, Inc. ........... 2,016 38,183 PepsiCo, Inc. ......................... 8,228 400,621 The Coca-Cola Co. ..................... 11,627 548,213 The Pepsi Bottling Group, Inc. ........ 1,392 32,712 ----------- 1,019,729 ----------- BIOTECHNOLOGY -- 0.6% Amgen, Inc. (a)........................ 4,932 278,362 ----------- BROADCASTING (TV, RADIO & CABLE) -- 1.6% Cablevision Systems Corp. (Class A) (a).................................. 827 39,241 Charter Communications, Inc. (a)....... 1,312 21,556 Clear Channel Communications, Inc. (a).................................. 2,764 140,716 Comcast Corp. (Class A) (a)............ 4,435 159,660 Cox Communications, Inc. (Class A) (a).................................. 2,698 113,073 Liberty Media Corp. (Class A) (a)...... 12,149 170,086 USA Networks, Inc. (a)................. 3,404 92,963 ----------- 737,295 ----------- BUILDING MATERIALS GROUP -- 0.1% Masco Corp. 2,142 52,479 ----------- CELLULAR/WIRELESS TELECOMMUNICATIONS -- 0.7% AT&T Wireless Services, Inc. (a) 11,938 171,549 Nextel Communications, Inc. (Class A) (a) 3,570 39,127 Sprint Corp. (PCS Group) (a) 4,754 116,045 ----------- 326,721 ----------- CHEMICALS -- 1.1% Air Products & Chemicals, Inc. ........ 1,040 48,786 E. I. du Pont de Nemours & Co. ........ 4,789 203,580 Eastman Chemical Co. .................. 374 14,594 Lyondell Chemical Co. ................. 572 8,197 Praxair, Inc. ......................... 750 41,438 Rohm & Haas Co. ....................... 1,027 35,565 The Dow Chemical Co. .................. 4,198 141,808 ----------- 493,968 ----------- CHEMICALS (DIVERSIFIED) -- 0.1% Engelhard Corp. ....................... 616 17,051 FMC Corp. (a).......................... 143 8,508 PPG Industries, Inc. .................. 753 38,945 ----------- 64,504 ----------- COMMUNICATIONS EQUIPMENT -- 1.1% Anixter International, Inc. (a)........ 204 5,918 Corning, Inc. ......................... 4,310 38,445 Lucent Technologies, Inc. ............. 15,844 99,659
See accompanying notes to financial statements. 43 FORTUNE 500(R) INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Motorola, Inc. ........................ 10,383 $ 155,953 QUALCOMM, Inc. (a)..................... 3,581 180,840 Tellabs, Inc. (a)...................... 1,900 28,424 ----------- 509,239 ----------- COMPUTERS (HARDWARE) -- 4.1% Apple Computer, Inc. (a)............... 1,576 34,515 Compaq Computer Corp. ................. 7,871 76,821 Dell Computer Corp. (a)................ 12,243 332,765 Gateway, Inc. (a)...................... 1,533 12,325 Hewlett-Packard Co. ................... 9,045 185,784 International Business Machines Corp. (IBM)................................ 8,069 976,026 NCR Corp. (a).......................... 455 16,771 Sun Microsystems, Inc. (a)............. 15,319 188,424 ----------- 1,823,431 ----------- COMPUTERS (NETWORKING) -- 1.4% Avaya, Inc. (a)........................ 1,390 16,889 Cisco Systems, Inc. (a)................ 34,265 620,539 ----------- 637,428 ----------- COMPUTERS (PERIPHERALS) -- 0.4% EMC Corp. (a).......................... 10,263 137,935 Lexmark International, Inc. (a)........ 616 36,344 Quantum Corp.-DLT & Storage Systems (a).................................. 722 7,111 ----------- 181,390 ----------- COMPUTER SOFTWARE/SERVICES -- 4.8% Computer Associates International, Inc. ................................ 2,674 92,226 Microsoft Corp. (a).................... 25,282 1,674,932 Oracle Corp. (a)....................... 25,918 357,928 Unisys Corp. (a)....................... 1,498 18,785 ----------- 2,143,871 ----------- CONSUMER FINANCE -- 0.7% Capital One Financial Corp. ........... 941 50,767 Household International, Inc. ......... 2,160 125,150 MBNA Corp. ............................ 3,992 140,519 ----------- 316,436 ----------- CONTAINERS (METALS & GLASS) -- 0.0% Ball Corp. ............................ 152 10,746 ----------- CONTAINERS / PACKAGING (PAPER) -- 0.0% Temple-Inland, Inc. ................... 242 13,729 ----------- DISTRIBUTORS (FOOD & HEALTH) -- 0.7% AmerisourceBergen Corp. ............... 493 31,330 Cardinal Health, Inc. ................. 2,102 135,915 Fleming Cos., Inc. .................... 187 3,460 McKesson HBOC, Inc. ................... 1,375 51,425 Owens & Minor, Inc. ................... 100 1,850 SUPERVALU, Inc. ....................... 638 14,113 SYSCO Corp. ........................... 3,183 83,458 ----------- 321,551 ----------- ELECTRIC COMPANIES -- 2.7% Allegheny Energy, Inc. ................ 600 21,732 Ameren Corp. .......................... 651 27,537 American Electric Power Co., Inc. ..... 1,542 67,123 Avista Corp. .......................... 231 3,063
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Cinergy Corp. ......................... 770 $ 25,741 CMS Energy Corp. ...................... 583 14,010 Conectiv, Inc. ........................ 417 10,212 Consolidated Edison, Inc. ............. 1,014 40,925 Constellation Energy Group, Inc. ...... 726 19,275 Dominion Resources, Inc. .............. 1,250 75,125 DTE Energy Co. ........................ 770 32,294 Duke Energy Corp. ..................... 3,606 141,572 Edison International................... 1,560 23,556 Entergy Corp. ......................... 1,078 42,161 Exelon Corp. .......................... 1,458 69,809 FirstEnergy Corp. ..................... 1,412 49,403 FPL Group, Inc. ....................... 821 46,305 Mirant Corp. (a)....................... 1,602 25,664 Niagara Mohawk Holdings, Inc. (a)...... 759 13,457 Northeast Utilities.................... 617 10,878 OGE Energy Corp. ...................... 300 6,924 PG&E Corp. ............................ 1,839 35,382 Pinnacle West Capital Corp. ........... 400 16,740 PPL Corp. ............................. 684 23,838 Progress Energy, Inc. ................. 977 43,994 Public Service Enterprise Group, Inc. ................................ 970 40,924 Puget Energy, Inc. .................... 400 8,756 Reliant Energy, Inc. .................. 1,398 37,075 SCANA Corp. ........................... 500 13,915 The Southern Co. ...................... 3,233 81,957 TXU Corp. ............................. 1,194 56,297 UtiliCorp United, Inc. ................ 524 13,189 Wisconsin Energy Corp. ................ 500 11,280 Xcel Energy, Inc. ..................... 1,630 45,216 ----------- 1,195,329 ----------- ELECTRICAL EQUIPMENT -- 4.7% Cooper Industries, Inc. ............... 451 15,749 Emerson Electric Co. .................. 2,006 114,543 General Electric Co. .................. 46,529 1,864,882 Rockwell International Corp. .......... 891 15,913 Sanmina Corp. (a)...................... 2,456 48,876 Solectron Corp. (a).................... 3,895 43,936 ----------- 2,103,899 ----------- ELECTRONICS (COMPONENT DISTRIBUTION) -- 0.1% Arrow Electronics, Inc. (a)............ 473 14,143 Avnet, Inc. ........................... 531 13,524 W.W. Grainger, Inc. ................... 447 21,456 ----------- 49,123 ----------- ELECTRONICS (DEFENSE) -- 0.1% Raytheon Co. .......................... 1,806 58,641 ----------- ELECTRONICS (INSTRUMENT) -- 0.1% Agilent Technologies, Inc. (a)......... 2,094 59,700 ----------- ELECTRONICS (SEMICONDUCTORS) -- 3.0% Advanced Micro Devices, Inc. (a)....... 1,602 25,408 Intel Corp. ........................... 31,413 987,939 Micron Technology, Inc. (a)............ 2,809 87,079 Texas Instruments, Inc. ............... 8,158 228,424 ----------- 1,328,850 -----------
See accompanying notes to financial statements. 44 FORTUNE 500(R) INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- ENGINEERING & CONSTRUCTION -- 0.0% Fluor Corp. ........................... 363 $ 13,576 Foster Wheeler Ltd. ................... 198 1,010 Jacobs Engineering Group, Inc. (a)..... 100 6,600 ----------- 21,186 ----------- ENTERTAINMENT -- 2.7% AOL Time Warner, Inc. (a).............. 19,937 639,978 The Walt Disney Co. ................... 9,612 199,161 Viacom, Inc. (Class B) (a)............. 8,342 368,299 ----------- 1,207,438 ----------- EQUIPMENT (SEMICONDUCTORS) -- 0.3% Applied Materials, Inc. (a)............ 3,800 152,380 ----------- FINANCIAL (DIVERSIFIED) -- 6.2% American Express Co. .................. 6,191 220,957 Citigroup, Inc. ....................... 24,107 1,216,921 Fannie Mae............................. 4,686 372,537 Freddie Mac............................ 3,235 211,569 J.P. Morgan Chase & Co. ............... 9,320 338,782 Morgan Stanley Dean Witter & Co. ...... 5,115 286,133 State Street Corp. .................... 1,564 81,719 USA Education, Inc. ................... 757 63,603 ----------- 2,792,221 ----------- FOODS -- 1.2% Campbell Soup Co. ..................... 1,906 56,932 ConAgra Foods, Inc. ................... 2,562 60,899 Dean Foods Co. (a)..................... 207 14,093 Dole Food Co., Inc. ................... 272 7,298 General Mills, Inc. ................... 1,709 88,885 H.J. Heinz Co. ........................ 1,665 68,465 Hershey Foods Corp. ................... 660 44,682 Hormel Foods Corp. .................... 682 18,325 Interstate Bakeries Corp. ............. 221 5,344 Kellogg Co. ........................... 1,947 58,605 Sara Lee Corp. ........................ 3,619 80,450 Smithfield Foods, Inc. (a)............. 476 10,491 Tyson Foods, Inc. (Class A)............ 1,786 20,628 ----------- 535,097 ----------- FOOTWEAR -- 0.2% Nike, Inc. (Class B)................... 1,285 72,268 ----------- GAMING, LOTTERY, & PARIMUTUEL -- 0.1% Harrah's Entertainment, Inc. (a)....... 498 18,431 MGM Mirage, Inc. ...................... 700 20,209 Park Place Entertainment Corp. (a)..... 1,463 13,416 ----------- 52,056 ----------- HARDWARE & TOOLS -- 0.0% The Black & Decker Corp. .............. 414 15,620 ----------- HEALTH CARE (DRUGS/PHARMACEUTICALS) -- 6.0% Eli Lilly & Co. ....................... 5,278 414,534 Merck & Co., Inc. ..................... 10,610 623,868 Pfizer, Inc. .......................... 29,504 1,175,734 Pharmacia Corp. ....................... 6,055 258,246 Schering-Plough Corp. ................. 6,852 245,370 ----------- 2,717,752 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- HEALTH CARE (HOSPITAL MANAGEMENT) -- 0.4% HCA-The Healthcare Co. ................ 2,383 $ 91,841 Tenet Healthcare Corp. (a)............. 1,500 88,080 ----------- 179,921 ----------- HEALTH CARE (MANAGED CARE) -- 0.7% Aetna, Inc. ........................... 682 22,499 Anthem, Inc. (a)....................... 488 24,156 CIGNA Corp. ........................... 700 64,855 Express Scripts, Inc. (Class A) (a).... 374 17,488 Health Net, Inc. (a)................... 594 12,937 Humana, Inc. (a)....................... 781 9,208 Oxford Health Plans, Inc. (a).......... 392 11,815 PacifiCare Health Systems, Inc. (a).... 165 2,640 UnitedHealth Group, Inc. .............. 1,474 104,315 Wellpoint Health Networks, Inc. (a).... 308 35,990 ----------- 305,903 ----------- HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) -- 1.1% Baxter International, Inc. ............ 2,770 148,555 Becton Dickinson & Co. ................ 1,214 40,244 Medtronic, Inc. ....................... 5,640 288,825 ----------- 477,624 ----------- HEALTH CARE (SPECIAL SERVICES) -- 0.1% HealthSouth Corp. (a).................. 1,849 27,402 Quest Diagnostics, Inc. (a)............ 452 32,413 ----------- 59,815 ----------- HEALTH CARE DIVERSIFIED -- 4.6% Abbott Laboratories.................... 7,301 407,031 American Home Products Corp. .......... 6,135 376,444 Bristol-Myers Squibb Co. .............. 9,092 463,692 Johnson & Johnson...................... 14,275 843,652 ----------- 2,090,819 ----------- HOMEBUILDING -- 0.2% Centex Corp. .......................... 290 16,556 D.R. Horton, Inc. ..................... 370 12,010 Fleetwood Enterprises, Inc. ........... 154 1,745 KB HOME................................ 259 10,386 Lennar Corp. .......................... 288 13,484 Pulte Corp. ........................... 298 13,312 ----------- 67,493 ----------- HOUSEHOLD FURNISHINGS & APPLIANCES -- 0.1% Leggett & Platt, Inc. ................. 937 21,551 Maytag Corp. .......................... 374 11,605 Whirlpool Corp. ....................... 259 18,993 ----------- 52,149 ----------- HOUSEHOLD PRODUCTS (NON-DURABLE) -- 1.8% Colgate-Palmolive Co. ................. 2,615 151,016 Kimberly-Clark Corp. .................. 2,488 148,783 The Clorox Co. ........................ 1,124 44,454 The Procter & Gamble Co. .............. 6,064 479,844 ----------- 824,097 ----------- HOUSEWARES -- 0.1% Fortune Brands, Inc. .................. 668 26,446 Newell Rubbermaid, Inc. ............... 1,278 35,235 ----------- 61,681 -----------
See accompanying notes to financial statements. 45 FORTUNE 500(R) INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- INSURANCE BROKERS -- 0.4% Aon Corp. ............................. 1,231 $ 43,725 Marsh & McLennan Cos., Inc. ........... 1,289 138,503 ----------- 182,228 ----------- INSURANCE (LIFE/HEALTH) -- 0.8% AFLAC, Inc. ........................... 2,455 60,295 Jefferson-Pilot Corp. ................. 700 32,389 John Hancock Financial Services, Inc. ................................ 1,431 59,100 Lincoln National Corp. ................ 915 44,441 MetLife, Inc. ......................... 3,434 108,789 The Principal Financial Group, Inc. (a).................................. 1,720 41,280 UnumProvident Corp. ................... 1,166 30,911 ----------- 377,205 ----------- INSURANCE (MULTI-LINE) -- 2.4% American International Group, Inc. .... 12,227 970,824 Loews Corp. ........................... 928 51,392 The Hartford Financial Services Group, Inc. ................................ 1,117 70,181 ----------- 1,092,397 ----------- INSURANCE (PROPERTY/CASUALTY) -- 0.7% Allmerica Financial Corp. ............. 253 11,271 American Financial Group, Inc. ........ 300 7,365 Safeco Corp. .......................... 616 19,188 The Allstate Corp. .................... 3,384 114,041 The Chubb Corp. ....................... 811 55,959 The Progressive Corp. ................. 350 52,255 The St. Paul Cos, Inc. ................ 984 43,267 ----------- 303,346 ----------- INVESTMENT BANKING/BROKERAGE -- 1.4% Lehman Brothers Holdings, Inc. ........ 1,063 71,008 Merrill Lynch & Co., Inc. ............. 3,928 204,727 The Bear Stearns Cos., Inc. ........... 397 23,280 The Charles Schwab Corp. .............. 6,423 99,364 The Goldman Sachs Group, Inc. ......... 2,273 210,821 ----------- 609,200 ----------- LEISURE TIME (PRODUCTS) -- 0.1% Brunswick Corp. ....................... 407 8,857 Hasbro, Inc. .......................... 836 13,568 Mattel, Inc. .......................... 2,046 35,191 ----------- 57,616 ----------- LODGING (HOTELS) -- 0.2% Hilton Hotels Corp. ................... 1,698 18,542 Marriott International, Inc. (Class A)................................... 1,148 46,666 Starwood Hotels & Resorts Worldwide, Inc. (Class B)....................... 935 27,910 ----------- 93,118 ----------- MACHINERY (DIVERSIFIED) -- 0.4% Caterpillar, Inc. ..................... 1,572 82,137 Deere & Co. ........................... 1,120 48,899 Dover Corp. ........................... 970 35,958 Ingersoll-Rand Co. .................... 781 32,654 ----------- 199,648 ----------- MANUFACTURING (DIVERSIFIED) -- 1.8% American Standard Cos., Inc. (a)....... 341 23,266 Danaher Corp. ......................... 673 40,589
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Eaton Corp. ........................... 320 $ 23,811 Honeywell International, Inc. ......... 3,850 130,207 Illinois Tool Works, Inc. ............. 1,443 97,720 ITT Industries, Inc. .................. 429 21,665 Johnson Controls, Inc. ................ 418 33,753 Minnesota Mining & Manufacturing Co. (3M)................................. 1,854 219,161 Parker-Hannifin Corp. ................. 521 23,919 Textron, Inc. ......................... 693 28,732 Thermo Electron Corp. (a).............. 809 19,303 United Technologies Corp. ............. 2,200 142,186 ----------- 804,312 ----------- MANUFACTURING (SPECIALIZED) -- 0.1% Avery Dennison Corp. .................. 539 30,470 Jabil Circuit, Inc. (a)................ 900 20,448 York International Corp. .............. 187 7,130 ----------- 58,048 ----------- METALS MINING -- 0.0% Phelps Dodge Corp. .................... 385 12,474 ----------- NATURAL GAS (DISTRIBUTION/PIPE LINE) -- 0.7% Dynegy, Inc. (Class A)................. 1,529 38,989 El Paso Corp. ......................... 2,382 106,261 KeySpan Corp. ......................... 600 20,790 Kinder Morgan, Inc. ................... 549 30,574 NiSource, Inc. ........................ 978 22,553 ONEOK, Inc. ........................... 200 3,568 Sempra Energy.......................... 990 24,304 The Williams Cos., Inc. ............... 2,396 61,146 Western Gas Resources, Inc. ........... 200 6,464 ----------- 314,649 ----------- OFFICE EQUIPMENT & SUPPLIES -- 0.1% Pitney Bowes, Inc. .................... 1,137 42,763 United Stationers, Inc. (a)............ 165 5,552 ----------- 48,315 ----------- OIL (DOMESTIC INTEGRATED) -- 0.7% Amerada Hess Corp. .................... 415 25,938 Conoco, Inc. .......................... 2,881 81,532 Occidental Petroleum Corp. ............ 1,775 47,091 Phillips Petroleum Co. ................ 1,749 105,395 USX-Marathon Group..................... 1,407 42,210 ----------- 302,166 ----------- OIL (INTERNATIONAL INTEGRATED) -- 3.8% ChevronTexaco Corp. ................... 4,974 445,720 Exxon Mobil Corp. ..................... 32,100 1,261,530 Tesoro Petroleum Corp. (a)............. 154 2,019 ----------- 1,709,269 ----------- OIL & GAS (DRILLING & EQUIPMENT) -- 0.2% Baker Hughes, Inc. .................... 1,575 57,440 Halliburton Co. ....................... 2,043 26,764 ----------- 84,204 ----------- OIL & GAS (EXPLORATION/PRODUCTS) -- 0.3% Anadarko Petroleum Corp. .............. 1,200 68,220 Enron Corp. ........................... 2,124 1,275 Kerr-McGee Corp. ...................... 490 26,852
See accompanying notes to financial statements. 46 FORTUNE 500(R) INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Murphy Oil Corp. ...................... 200 $ 16,808 Unocal Corp. .......................... 1,177 42,454 ----------- 155,609 ----------- OIL & GAS (REFINING & MARKETING) -- 0.1% Ashland, Inc. ......................... 341 15,713 Pennzoil-Quaker State Co. ............. 300 4,335 Sunoco, Inc. .......................... 414 15,459 Ultramar Diamond Shamrock Corp. ....... 336 16,625 Valero Energy Corp. ................... 297 11,322 ----------- 63,454 ----------- PAPER & FOREST PRODUCTS -- 0.6% Boise Cascade Corp. ................... 275 9,353 Georgia-Pacific Corp. (Timber Group)... 1,084 29,929 International Paper Co. ............... 2,229 89,940 Smurfit-Stone Container Corp. (a)...... 1,176 18,781 The Mead Corp. ........................ 504 15,569 Westvaco Corp. ........................ 504 14,339 Weyerhaeuser Co. ...................... 967 52,295 Willamette Industries, Inc. ........... 528 27,519 ----------- 257,725 ----------- PERSONAL CARE -- 0.6% Avon Products, Inc. ................... 1,131 52,591 The Estee Lauder Cos., Inc. (Class A)................................... 1,135 36,388 The Gillette Co. ...................... 4,949 165,297 ----------- 254,276 ----------- PHOTOGRAPHY/IMAGING -- 0.2% Eastman Kodak Co. ..................... 1,355 39,877 Xerox Corp. ........................... 3,240 33,761 ----------- 73,638 ----------- POWER PRODUCERS (INDEPENDENT) -- 0.1% The AES Corp. (a)...................... 2,465 40,303 ----------- PUBLISHING -- 0.1% The McGraw-Hill Cos., Inc. ............ 922 56,224 ----------- PUBLISHING (NEWSPAPERS) -- 0.4% Gannett Co., Inc. ..................... 1,237 83,163 Knight-Ridder, Inc. ................... 384 24,933 The New York Times Co. (Class A)....... 737 31,875 Tribune Co. ........................... 1,399 52,365 ----------- 192,336 ----------- RAILROADS -- 0.4% Burlington Northern Santa Fe Corp. .... 1,870 53,351 CSX Corp. ............................. 956 33,508 Norfolk Southern Corp. ................ 1,837 33,672 Union Pacific Corp. ................... 1,158 66,006 ----------- 186,537 ----------- RESTAURANTS -- 0.5% Darden Restaurants, Inc. .............. 499 17,665 McDonald's Corp. ...................... 6,039 159,852 Tricon Global Restaurants, Inc. (a).... 695 34,194 ----------- 211,711 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- RETAIL (BUILDING SUPPLIES) -- 1.7% Lowe's Cos., Inc. ..................... 3,608 $ 167,447 The Home Depot, Inc. .................. 11,012 561,722 The Sherwin-Williams Co. .............. 781 21,478 ----------- 750,647 ----------- RETAIL (COMPUTERS & ELECTRONICS) -- 0.4% Best Buy Co., Inc. (a)................. 992 73,884 CDW Computer Centers, Inc. (a)......... 396 21,269 Circuit City Stores-Circuit City Group................................ 981 25,457 Radioshack Corp. ...................... 878 26,428 Tech Data Corp. (a).................... 244 10,560 ----------- 157,598 ----------- RETAIL (DEPARTMENT STORES) -- 0.6% Dillards, Inc. (Class A)............... 443 7,088 Federated Department Stores, Inc. (a).................................. 907 37,096 J.C. Penney Co., Inc. ................. 1,254 33,733 Kohl's Corp. (a)....................... 1,586 111,718 Nordstrom, Inc. ....................... 627 12,684 Saks, Inc. (a)......................... 682 6,370 The May Department Stores Co. ......... 1,401 51,809 ----------- 260,498 ----------- RETAIL (DISCOUNTERS) -- 0.1% Big Lots, Inc. (a)..................... 539 5,606 Dollar General Corp. .................. 1,577 23,497 ShopKo Stores, Inc. (a)................ 143 1,358 ----------- 30,461 ----------- RETAIL (GENERAL MERCHANDISING CHAIN) -- 3.5% BJ'S Wholesale Club, Inc. (a).......... 352 15,523 Costco Wholesale Corp. (a)............. 2,144 95,151 Kmart Corp. (a)........................ 2,311 12,618 Sears, Roebuck & Co. .................. 1,468 69,936 Target Corp. .......................... 4,226 173,477 Wal-Mart Stores, Inc. ................. 20,890 1,202,219 ----------- 1,568,924 ----------- RETAIL (SPECIALTY) -- 0.4% Autonation, Inc. (a)................... 1,546 19,062 Autozone, Inc. (a)..................... 522 37,480 Barnes & Noble, Inc. (a)............... 312 9,235 Borders Group, Inc. (a)................ 304 6,031 Foot Locker, Inc. (a).................. 663 10,376 Office Depot, Inc. (a)................. 1,402 25,993 Sonic Automotive, Inc. (Class A) (a)... 209 4,899 Staples, Inc. (a)...................... 2,224 41,589 Toys "R" Us, Inc. (a).................. 890 18,459 ----------- 173,124 ----------- RETAIL (SPECIALTY APPAREL) -- 0.3% The Gap, Inc. ......................... 3,987 55,579 The Limited, Inc. ..................... 1,988 29,263 The TJX Cos., Inc. .................... 1,332 53,094 ----------- 137,936 ----------- RETAIL STORES (DRUG STORE) -- 0.6% Caremark Rx, Inc. (a).................. 1,000 16,310 CVS Corp. ............................. 1,859 55,027 Longs Drug Stores Corp. ............... 200 4,676
See accompanying notes to financial statements. 47 FORTUNE 500(R) INDEX FUND SCHEDULE OF INVESTMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Rite Aid Corp. (a)..................... 2,368 $ 11,982 Walgreen Co. .......................... 4,735 159,380 ----------- 247,375 ----------- RETAIL STORES (FOOD CHAINS) -- 0.6% Albertson's, Inc. ..................... 1,948 61,343 Pathmark Stores, Inc. (a).............. 100 2,466 Safeway, Inc. (a)...................... 2,373 99,073 The Kroger Co. (a)..................... 3,759 78,450 Winn-Dixie Stores, Inc. ............... 682 9,718 ----------- 251,050 ----------- SAVINGS & LOAN COMPANIES -- 0.4% Golden State Bancorp, Inc. ............ 609 15,926 Golden West Financial Corp. ........... 700 41,195 Washington Mutual, Inc. ............... 4,136 135,247 ----------- 192,368 ----------- SERVICES (ADVERTISING/MARKETING) -- 0.3% Omnicom Group, Inc. ................... 858 76,662 The Interpublic Group of Cos., Inc. ... 1,753 51,784 ----------- 128,446 ----------- SERVICES (COMMERCIAL & CONSUMER) -- 0.3% Cendant Corp. (a)...................... 4,528 88,794 Pittston Brink's Group................. 253 5,591 The Service Master Co. ................ 1,472 20,314 ----------- 114,699 ----------- SERVICES (COMPUTER SYSTEMS) -- 0.5% Computer Sciences Corp. (a)............ 814 39,870 Electronic Data Systems Corp. ......... 2,250 154,237 Ingram Micro, Inc. (Class A) (a)....... 704 12,193 ----------- 206,300 ----------- SERVICES (DATA PROCESSING) -- 0.7% Automatic Data Processing, Inc. ....... 2,915 171,694 First Data Corp. ...................... 1,736 136,189 ----------- 307,883 ----------- SERVICES (EMPLOYMENT) -- 0.0% Administaff, Inc. (a).................. 100 2,741 Manpower, Inc. ........................ 363 12,237 Spherion Corp. (a)..................... 317 3,094 ----------- 18,072 ----------- SPECIALTY PRINTING -- 0.0% R.R. Donnelley & Sons Co. ............. 574 17,042 ----------- STEEL -- 0.1% AK Steel Holding Corp. ................ 528 6,009 Nucor Corp. ........................... 314 16,629 ----------- 22,638 ----------- TELEPHONE -- 3.9% ALLTEL Corp. .......................... 1,412 87,163 BellSouth Corp. ....................... 8,815 336,292
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- Qwest Communications International, Inc. ................................ 7,819 $ 110,482 SBC Communications, Inc. .............. 15,768 617,633 Verizon Communications, Inc. .......... 12,748 605,020 ----------- 1,756,590 ----------- TELEPHONE (LONG DISTANCE) -- 1.3% AT&T Corp. ............................ 16,633 301,723 Sprint Corp. .......................... 4,142 83,171 WorldCom, Inc. (a)..................... 13,845 194,938 WorldCom, Inc.-MCI Group............... 606 7,696 ----------- 587,528 ----------- TEXTILES (APPAREL) -- 0.1% Jones Apparel Group, Inc. (a).......... 571 18,940 V. F. Corp. ........................... 550 21,456 ----------- 40,396 ----------- TEXTILES (HOME FURNISHINGS) -- 0.0% Mohawk Industries, Inc. (a)............ 253 13,885 ----------- TOBACCO -- 1.1% Philip Morris Cos., Inc. .............. 10,194 467,395 R.J. Reynolds Tobacco Holdings, Inc. ................................ 491 27,643 ----------- 495,038 ----------- TRUCKERS -- 0.7% CNF Transportation, Inc. .............. 231 7,750 Ryder Systems, Inc. ................... 286 6,335 United Parcel Service, Inc. (Class B)................................... 5,266 286,997 Yellow Corp. (a)....................... 130 3,263 ----------- 304,345 ----------- TRUCKS & PARTS -- 0.1% Cummins Engine Co., Inc. .............. 190 7,322 Navistar International Corp. (a)....... 286 11,297 Paccar, Inc. .......................... 374 24,542 ----------- 43,161 ----------- WASTE MANAGEMENT -- 0.2% Allied Waste Industries, Inc. (a)...... 937 13,174 Waste Management, Inc. ................ 2,891 92,252 ----------- 105,426 ----------- TOTAL COMMON STOCKS -- (Cost $50,552,668)................... 44,991,355 ----------- SHORT TERM INVESTMENTS -- 0.0% MONEY MARKET FUND -- 0.0% AIM Short Term Investment Class Prime Fund (Cost $734)..................... 734 734 ----------- TOTAL INVESTMENTS -- 99.9% (Cost $50,553,402)................... 44,992,089 OTHER ASSETS AND LIABILITIES -- 0.1%... 41,257 ----------- NET ASSETS -- 100.0%................... $45,033,346 ===========
(a) Non-income producing security See accompanying notes to financial statements. 48 FORTUNE e-50(R) INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- COMMON STOCKS -- 99.8% BROADCASTING (TV, RADIO & CABLE) -- 1.3% USA Networks, Inc. (a)................ 6,418 $ 175,276 ----------- COMMUNICATIONS EQUIPMENT -- 6.4% Corning, Inc.......................... 19,730 175,992 JDS Uniphase Corp. (a)................ 29,649 257,353 Lucent Technologies, Inc. ............ 19,621 123,416 QUALCOMM, Inc. (a).................... 3,223 162,761 Tellabs, Inc. (a)..................... 9,709 145,247 ----------- 864,769 ----------- COMPUTERS (HARDWARE) -- 11.3% Dell Computer Corp. (a)............... 16,810 456,896 International Business Machines Corp. (IBM)............................... 4,941 597,663 Juniper Networks, Inc. (a)............ 9,953 188,609 Sun Microsystems, Inc. (a)............ 23,535 289,481 ----------- 1,532,649 ----------- COMPUTERS (NETWORKING) -- 9.9% Cisco Systems, Inc. (a)............... 60,927 1,103,388 Network Appliance, Inc. (a)........... 10,998 240,526 ----------- 1,343,914 ----------- COMPUTERS (PERIPHERALS) -- 1.0% EMC Corp. (a)......................... 10,238 137,599 ----------- COMPUTER SOFTWARE/SERVICES -- 33.6% Adobe Systems, Inc. .................. 3,824 118,735 BEA Systems, Inc. (a)................. 10,457 161,038 Check Point Software Technologies Ltd. (a)................................. 6,335 252,703 Citrix Systems, Inc. (a).............. 4,833 109,516 CNET Networks, Inc. (a)............... 10,075 90,373 Earthlink, Inc. (a)................... 7,354 89,498 eBay, Inc. (a)........................ 5,125 342,862 Intuit, Inc. (a)...................... 2,394 102,415 Macromedia, Inc. (a).................. 5,671 100,944 Microsoft Corp. (a)................... 15,239 1,009,584 Network Assocs, Inc. (a).............. 6,501 168,051 Openwave Systems, Inc. (a)............ 6,935 67,894 Oracle Corp. (a)...................... 54,731 755,835 RealNetworks, Inc. (a)................ 14,381 85,423 RSA Security, Inc. (a)................ 4,898 85,519 S1 Corp. (a).......................... 7,102 114,910 Siebel Systems, Inc. (a).............. 9,972 279,017 TIBCO Software, Inc. (a).............. 11,286 168,500 VeriSign, Inc. (a).................... 5,202 197,884 Yahoo!, Inc. (a)...................... 13,747 243,872 ----------- 4,544,573 ----------- ELECTRONICS (SEMICONDUCTORS) -- 13.3% Broadcom Corp. (Class A) (a).......... 5,908 241,460 Intel Corp. .......................... 33,561 1,055,493 Texas Instruments, Inc. .............. 17,848 499,744 ----------- 1,796,697 -----------
SECURITY DESCRIPTION SHARES VALUE -------------------- ------ ----- ENTERTAINMENT -- 5.8% AOL Time Warner, Inc. (a)............. 24,494 $ 786,257 ----------- INVESTMENT BANKING/BROKERAGE -- 4.7% Ameritrade Holding Corp. (Class A) (a)................................. 16,011 94,785 E*Trade Group, Inc. (a)............... 17,453 178,893 Knight Trading Group, Inc. (a)........ 7,885 86,893 The Charles Schwab Corp. ............. 17,660 273,200 ----------- 633,771 ----------- RETAIL (HOME SHOPPING) -- 1.1% Amazon.com, Inc. (a).................. 12,955 140,173 ----------- SERVICES (ADVERTISING/MARKETING) -- 1.5% DoubleClick, Inc. (a)................. 9,991 113,298 TMP Worldwide, Inc. (a)............... 2,178 93,436 ----------- 206,734 ----------- SERVICES (COMMERCIAL & CONSUMER) -- 0.8% FreeMarkets, Inc.(a).................. 4,535 108,704 ----------- TELEPHONE -- 3.6% Qwest Communications International, Inc. ............................... 7,451 105,283 SBC Communications, Inc. ............. 9,858 386,138 ----------- 491,421 ----------- TELEPHONE (LONG DISTANCE) -- 3.9% AT&T Corp. ........................... 12,553 227,711 WorldCom, Inc. (a).................... 20,897 294,230 ----------- 521,941 ----------- TRUCKERS -- 1.6% United Parcel Service, Inc. (Class B).................................. 4,006 218,327 ----------- TOTAL COMMON STOCKS -- (Cost $14,457,954).................. 13,502,805 ----------- SHORT TERM INVESTMENTS -- 0.0% MONEY MARKET FUND -- 0.0% AIM Short Term Investment Class Prime Fund (Cost $1,122).................. 1,122 1,122 ----------- TOTAL INVESTMENTS -- 99.8% (Cost $14,459,076).................. 13,503,927 OTHER ASSETS AND LIABILITIES -- 0.2%................. 23,840 ----------- NET ASSETS -- 100.0%.................. $13,527,767 ===========
(a) Non-income producing security See accompanying notes to financial statements. 49 STREETTRACKS SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
DOW JONES U.S. DOW JONES U.S. DOW JONES U.S. LARGE CAP GROWTH LARGE CAP SMALL CAP GROWTH INDEX FUND VALUE INDEX FUND INDEX FUND ---------------- ---------------- ---------------- ASSETS Investments in securities at value (Note 2).............. $21,320,556 $50,403,089 $21,918,925 Cash..................................................... 54,200 21,657 17,903 Foreign currency......................................... -- -- -- Receivable for investments sold.......................... -- -- 50,329 Dividends receivable (Note 2)............................ 13,672 48,895 834 ----------- ----------- ----------- TOTAL ASSETS...................................... 21,388,428 50,473,641 21,987,991 ----------- ----------- ----------- LIABILITIES Distributions payable (Note 2)........................... 21,897 182,275 -- Payable for investments purchased........................ -- -- -- Accrued advisory fee (Note 3)............................ 3,676 6,785 3,329 Accrued trustees fee (Note 3)............................ 1,708 2,403 202 ----------- ----------- ----------- TOTAL LIABILITIES................................. 27,281 191,463 3,531 ----------- ----------- ----------- NET ASSETS........................................ $21,361,147 $50,282,178 $21,984,460 =========== =========== =========== NET ASSETS REPRESENTED BY: Paid in capital (Note 4)................................. $38,465,298 $52,164,044 $25,638,307 Undistributed (distribution in excess of) net investment income................................................. 1,111 1,101 -- Net investment loss...................................... -- -- (8,478) Accumulated net realized gain (loss) on investments and foreign currency transactions.......................... (7,568,346) (847,197) (2,976,122) Net unrealized appreciation (depreciation) on: Investments............................................ (9,536,916) (1,035,770) (669,247) Foreign currency....................................... -- -- -- ----------- ----------- ----------- NET ASSETS........................................ $21,361,147 $50,282,178 $21,984,460 =========== =========== =========== NET ASSET VALUE PER streetTRACKS SHARE Net asset value per streetTRACKS share................... $ 53.39 $ 125.68 $ 73.26 =========== =========== =========== Shares outstanding (unlimited amount authorized, $0.01 par value)............................................. 400,103 400,077 300,100 =========== =========== =========== Investments in securities, at cost....................... $30,857,472 $51,438,859 $22,588,172 =========== =========== =========== Foreign currency, at cost................................ $ -- $ -- $ -- =========== =========== ===========
See accompanying notes to financial statements. 50 --------------------------------------------------------------------------------
DOW JONES U.S. DOW JONES WILSHIRE MORGAN STANLEY MORGAN STANLEY FORTUNE FORTUNE SMALL CAP GLOBAL TITANS REIT TECHNOLOGY INTERNET 500(R) E-50(R) VALUE INDEX FUND INDEX FUND INDEX FUND INDEX FUND INDEX FUND INDEX FUND INDEX FUND ---------------- ------------- ----------- -------------- -------------- ----------- ----------- $25,221,997 $19,865,819 $17,593,704 $ 66,159,196 $ 3,358,417 $44,992,089 $13,503,927 30,157 638 33,176 5,461 3,448 9,033 25,512 -- 46,800 -- -- -- -- -- 1,336,782 34,069 435,256 -- -- 107,153 -- 47,527 24,252 113,461 27,708 -- 42,835 1,301 ----------- ----------- ----------- ------------ ------------ ----------- ----------- 26,636,463 19,971,578 18,175,597 66,192,365 3,361,865 45,151,110 13,530,740 ----------- ----------- ----------- ------------ ------------ ----------- ----------- 1,016,760 37,916 439,251 -- -- 108,088 -- 304,239 20,869 -- -- -- -- -- 5,412 8,447 3,789 28,764 1,316 6,524 2,365 1,615 1,145 750 4,926 68 3,152 608 ----------- ----------- ----------- ------------ ------------ ----------- ----------- 1,328,026 68,377 443,790 33,690 1,384 117,764 2,973 ----------- ----------- ----------- ------------ ------------ ----------- ----------- $25,308,437 $19,903,201 $17,731,807 $ 66,158,675 $ 3,360,481 $45,033,346 $13,527,767 =========== =========== =========== ============ ============ =========== =========== $20,852,917 $25,449,555 $16,392,700 $113,910,016 $ 22,310,240 $51,380,181 $19,458,042 119,176 (760) 89,474 -- -- 610 -- -- -- -- (91,865) (12,715) -- (5,374) 49,753 (1,060,563) (14,876) (11,947,255) (16,596,813) (786,132) (4,969,752) 4,286,591 (4,485,378) 1,264,509 (35,712,221) (2,340,231) (5,561,313) (955,149) -- 347 -- -- -- -- -- ----------- ----------- ----------- ------------ ------------ ----------- ----------- $25,308,437 $19,903,201 $17,731,807 $ 66,158,675 $ 3,360,481 $45,033,346 $13,527,767 =========== =========== =========== ============ ============ =========== =========== $ 126.48 $ 66.32 $ 118.14 $ 50.89 $ 13.43 $ 81.86 $ 33.81 =========== =========== =========== ============ ============ =========== =========== 200,096 300,119 150,092 1,300,102 250,145 550,102 400,118 =========== =========== =========== ============ ============ =========== =========== $20,935,406 $24,351,197 $16,329,195 $101,871,417 $ 5,698,648 $50,553,402 $14,459,076 =========== =========== =========== ============ ============ =========== =========== $ -- $ 46,260 $ -- $ -- $ -- $ -- $ -- =========== =========== =========== ============ ============ =========== ===========
51 STREETTRACKS SERIES TRUST STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 2001 (UNAUDITED) --------------------------------------------------------------------------------
DOW JONES U.S. DOW JONES U.S. DOW JONES U.S. LARGE CAP GROWTH LARGE CAP SMALL CAP GROWTH INDEX FUND VALUE INDEX FUND INDEX FUND ---------------- ---------------- ---------------- INVESTMENT INCOME Dividend income (Note 2)................................. $ 60,589 $ 381,016 $ 7,051 Foreign taxes withheld................................... -- -- -- ----------- ----------- --------- TOTAL INVESTMENT INCOME.................................. 60,589 381,016 7,051 ----------- ----------- --------- EXPENSES Advisory fee (Note 3).................................... 21,383 38,202 12,171 Trustees fee (Note 3).................................... 5,150 6,203 3,358 ----------- ----------- --------- NET EXPENSES............................................. 26,533 44,405 15,529 ----------- ----------- --------- NET INVESTMENT INCOME (LOSS)............................. 34,056 336,611 (8,478) ----------- ----------- --------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on: Investments............................................ (3,204,587) (436,365) (169,478) Foreign currency transactions.......................... -- -- -- Net change in unrealized appreciation (depreciation) on: Investments............................................ 234,862 (632,253) (738,110) Foreign currency....................................... -- -- -- ----------- ----------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY.................. (2,969,725) (1,068,618) (907,588) ----------- ----------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $(2,935,669) $ (732,007) $(916,066) =========== =========== =========
See accompanying notes to financial statements. 52 --------------------------------------------------------------------------------
DOW JONES U.S. DOW JONES WILSHIRE MORGAN STANLEY MORGAN STANLEY FORTUNE FORTUNE SMALL CAP GLOBAL TITANS REIT TECHNOLOGY INTERNET 500(R) E-50(R) VALUE INDEX FUND INDEX FUND INDEX FUND INDEX FUND INDEX FUND INDEX FUND INDEX FUND ----------------- ------------- ---------- -------------- -------------- ------------ ------------ $362,093 $ 138,141 $ 672,773 $ 80,758 $ 230 $ 272,067 $ 11,866 (154) (4,421) -- -- -- -- -- -------- ----------- --------- ----------- ----------- ----------- ----------- 361,939 133,720 672,773 80,758 230 272,067 11,866 -------- ----------- --------- ----------- ----------- ----------- ----------- 31,468 49,862 22,323 163,312 9,933 37,050 13,333 5,139 4,557 4,552 9,311 3,012 6,962 3,907 -------- ----------- --------- ----------- ----------- ----------- ----------- 36,607 54,419 26,875 172,623 12,945 44,012 17,240 -------- ----------- --------- ----------- ----------- ----------- ----------- 325,332 79,301 645,898 (91,865) (12,715) 228,055 (5,374) -------- ----------- --------- ----------- ----------- ----------- ----------- 165,354 (138,952) 80,109 (9,252,355) (4,199,656) (1, 991,511) (2,326,269) -- 579 -- -- -- -- -- 187,578 (1,146,664) (352,884) (75,547) 1,621,202 (1,025,104) (298,596) -- 467 -- -- -- -- -- -------- ----------- --------- ----------- ----------- ----------- ----------- 352,932 (1,284,570) (272,775) (9,327,902) (2,578,454) (3,016,615) (2,624,865) -------- ----------- --------- ----------- ----------- ----------- ----------- $678,264 $(1,205,269) $ 373,123 $(9,419,767) $(2,591,169) $(2,788,560) $(2,630,239) ======== =========== ========= =========== =========== =========== ===========
53 streetTRACKS SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
DOW JONES U.S. DOW JONES U.S. LARGE CAP GROWTH LARGE CAP INDEX FUND VALUE INDEX FUND --------------------------------- --------------------------------- SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD 12/31/2001 9/25/2000* - 12/31/2001 9/25/2000* - (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 ---------------- -------------- ---------------- -------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss)...................... $ 34,056 $ 22,466 $ 336,611 $ 568,807 Net realized gain (loss) on investments and foreign currency transactions................... (3,204,587) (4,363,759) (436,365) (48,716) Net change in unrealized appreciation (depreciation) on investments and foreign currency........................................ 234,862 (9,771,778) (632,253) (403,517) ----------- ------------ ----------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................. (2,935,669) (14,113,071) (732,007) 116,574 ----------- ------------ ----------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income............................. (32,945) (22,466) (342,410) (561,907) In excess of net investment income................ -- (969) -- -- Net realized gain................................. -- -- -- -- ----------- ------------ ----------- ------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS............... (32,945) (23,435) (342,410) (561,907) ----------- ------------ ----------- ------------ streetTRACKS TRANSACTIONS: Net proceeds from streetTRACKS sold............... -- 38,466,267 12,514,159 72,053,449 Cost of streetTRACKS redeemed..................... -- -- -- (32,765,680) ----------- ------------ ----------- ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM streetTRACKS TRANSACTIONS......................... -- 38,466,267 12,514,159 39,287,769 ----------- ------------ ----------- ------------ Net increase (decrease) in net assets during period.......................................... (2,968,614) 24,329,761 11,439,742 38,842,436 Net assets at beginning of period................. 24,329,761 -- 38,842,436 -- ----------- ------------ ----------- ------------ NET ASSETS END OF PERIOD (1)........................ $21,361,147 $ 24,329,761 $50,282,178 $ 38,842,436 =========== ============ =========== ============ SHARES OF BENEFICIAL INTEREST: streetTRACKS sold................................. -- 400,103 100,000 550,077 streetTRACKS redeemed............................. -- -- -- (250,000) ----------- ------------ ----------- ------------ NET INCREASE........................................ -- 400,103 100,000 300,077 =========== ============ =========== ============ (1) Including undistributed (distribution in excess of) net investment income..................... $ 1,111 $ -- $ 1,101 $ 6,900 =========== ============ =========== ============
* Commencement of operations See accompanying notes to financial statements. 54 --------------------------------------------------------------------------------
DOW JONES U.S. DOW JONES U.S. DOW JONES SMALL CAP GROWTH SMALL CAP VALUE GLOBAL TITANS INDEX FUND INDEX FUND INDEX FUND --------------------------------- --------------------------------- --------------------------------- SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD 12/31/2001 9/25/2000* - 12/31/2001 9/25/2000* - 12/31/01 9/25/2000* - (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 ---------------- -------------- ---------------- -------------- ---------------- -------------- $ (8,478) $ (22,027) $ 325,332 $ 479,356 $ 79,301 $ 181,985 (169,478) (4,631,577) 165,354 823,341 (138,373) (2,234,793) (738,110) 68,863 187,578 4,099,013 (1,146,197) (3,338,834) ------------ ----------- ----------- ----------- ----------- ----------- (916,066) (4,584,741) 678,264 5,401,710 (1,205,269) (5,391,642) ------------ ----------- ----------- ----------- ----------- ----------- -- -- (223,874) (451,368) (79,301) (185,921) -- -- -- (760) -- -- -- (949,212) -- -- -- ------------ ----------- ----------- ----------- ----------- ----------- -- -- (1,173,086) (451,368) (80,061) (185,921) ------------ ----------- ----------- ----------- ----------- ----------- 14,003,055 31,085,966 -- 20,852,917 -- 33,683,326 (10,896,941) (6,706,813) -- -- -- (6,917,232) ------------ ----------- ----------- ----------- ----------- ----------- 24,379,153 -- 20,852,917 -- 26,766,094 3,106,114 ------------ ----------- ----------- ----------- ----------- ----------- 2,190,048 19,794,412 (494,822) 25,803,259 (1,285,330) 21,188,531 19,794,412 -- 25,803,259 -- 21,188,531 -- ------------ ----------- ----------- ----------- ----------- ----------- $ 21,984,460 $19,794,412 $25,308,437 $25,803,259 $19,903,201 $21,188,531 ============ =========== =========== =========== =========== =========== 200,000 350,100 -- 200,096 -- 400,119 (150,000) (100,000) -- -- -- (100,000) ------------ ----------- ----------- ----------- ----------- ----------- 50,000 250,100 -- 200,096 -- 300,119 ============ =========== =========== =========== =========== =========== $ -- $ -- $ 119,176 $ 17,718 $ (760) $ -- ============ =========== =========== =========== =========== ===========
55 streetTRACKS SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
WILSHIRE REIT MORGAN STANLEY INDEX FUND TECHNOLOGY INDEX FUND ---------------------------------- ---------------------------------- SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD 12/31/2001 4/23/2001* - 12/31/2001 9/25/2000* - (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 ---------------- -------------- ---------------- -------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).............. $ 645,898 $ 211,565 $ (91,865) $ (168,220) Net realized gain (loss) on investments and foreign currency transactions....... 80,109 9,175 (9,252,355) (4,822,273) Net change in unrealized appreciation (depreciation) on investments and foreign currency........................ (352,884) 1,617,393 (75,547) (35,636,674) ----------- ----------- ----------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............... 373,123 1,838,133 (9,419,767) (40,627,167) ----------- ----------- ----------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income..................... (657,769) (110,220) -- -- In excess of net investment income........ -- -- -- -- Net realized gain......................... (104,160) -- -- -- ----------- ----------- ----------- ------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS....... (761,929) (110,220) -- -- ----------- ----------- ----------- ------------ Net proceeds from streetTRACKS sold....... -- 16,392,700 5,400,717 134,025,659 Cost of streetTRACKS redeemed............. -- -- (2,545,802) (20,674,965) ----------- ----------- ----------- ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM streetTRACKS TRANSACTIONS................. -- 16,392,700 2,854,915 113,350,694 ----------- ----------- ----------- ------------ Net increase (decrease) in net assets during period........................... (388,806) 18,120,613 (6,564,852) 72,723,527 Net assets at beginning of period......... 18,120,613 -- 72,723,527 -- ----------- ----------- ----------- ------------ NET ASSETS END OF PERIOD (1)................ $17,731,807 $18,120,613 $66,158,675 $ 72,723,527 =========== =========== =========== ============ SHARES OF BENEFICIAL INTEREST: streetTRACKS sold......................... -- 150,092 100,000 1,500,102 streetTRACKS redeemed..................... -- -- (50,000) (250,000) ----------- ----------- ----------- ------------ NET INCREASE................................ -- 150,092 50,000 1,250,102 =========== =========== =========== ============ (1) Including undistributed (distribution in excess of) net investment income...... $ 89,474 $ 101,345 $ -- $ -- =========== =========== =========== ============
* Commencement of operations See accompanying notes to financial statements. 56 --------------------------------------------------------------------------------
MORGAN STANLEY FORTUNE 500(R) FORTUNE E-50(R) INTERNET INDEX FUND INDEX FUND INDEX FUND --------------------------------- --------------------------------- --------------------------------- SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD 12/31/2001 9/25/2000* - 12/31/01 10/4/2000* - 12/31/2001 10/4/2000* - (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 ---------------- -------------- ---------------- -------------- ---------------- -------------- $ (12,715) $ (75,063) $ 228,055 $ 494,522 $ (5,374) $ (37,639) (4,199,656) (32,755,692) (1,991,511) (1,263,981) (2,326,269) (23,710,339) 1,621,202 (3,961,433) (1,025,104) (4,536,209) (298,596) (656,553) ----------- ------------ ------------ ------------ ----------- ------------ (2,591,169) (36,792,188) (2,788,560) (5,305,668) (2,630,239) (24,404,531) ----------- ------------ ------------ ------------ ----------- ------------ -- -- (233,667) (488,300) -- -- -- -- -- -- -- -- -- -- -- -- -- -- ----------- ------------ ------------ ------------ ----------- ------------ -- -- (233,667) (488,300) -- -- ----------- ------------ ------------ ------------ ----------- ------------ -- 68,751,993 16,405,363 127,125,636 -- 90,209,770 (825,517) (25,182,638) (16,282,831) (73,398,627) -- (49,647,233) ----------- ------------ ------------ ------------ ----------- ------------ (825,517) 43,569,355 122,532 53,727,009 -- 40,562,537 ----------- ------------ ------------ ------------ ----------- ------------ (3,416,686) 6,777,167 (2,899,695) 47,933,041 (2,630,239) 16,158,006 6,777,167 -- 47,933,041 -- 16,158,006 -- ----------- ------------ ------------ ------------ ----------- ------------ $ 3,360,481 $ 6,777,167 $ 45,033,346 $ 47,933,041 $13,527,767 $ 16,158,006 =========== ============ ============ ============ =========== ============ -- 1,350,145 200,000 1,350,102 -- 1,350,118 (100,000) (1,000,000) (200,000) (800,000) -- (950,000) ----------- ------------ ------------ ------------ ----------- ------------ (100,000) 350,145 -- 550,102 -- 400,118 =========== ============ ============ ============ =========== ============ $ -- $ -- $ 610 $ 6,222 $ -- $ -- =========== ============ ============ ============ =========== ============
57 STREETTRACKS SERIES TRUST FINANCIAL HIGHLIGHTS SELECTED DATA FOR A STREETTRACKS SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
DOW JONES U.S. DOW JONES U.S. LARGE CAP GROWTH LARGE CAP INDEX FUND VALUE INDEX FUND ---------------------------------- ---------------------------------- SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD 12/31/2001 9/25/2000* - 12/31/2001 9/25/2000* - (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 ---------------- -------------- ---------------- -------------- Net asset value, beginning of period (Note 7)............................... $ 60.81 $ 97.36 $129.44 $129.48 ------- ------- ------- ------- Income (loss) from investment operations: Net investment income (loss)............. 0.09 0.06 1.12 1.70 Net realized and unrealized gain (loss)................................. (7.43) (36.55) (3.74) (0.06) ------- ------- ------- ------- Total from investment operations......... (7.34) (36.49) (2.62) 1.64 ------- ------- ------- ------- Distributions to shareholders from: Net investment income.................... (0.08) (0.06) (1.14) (1.68) In excess of net investment income....... -- --+ -- -- Net realized gain........................ -- -- -- -- ------- ------- ------- ------- Total distributions...................... (0.08) (0.06) (1.14) (1.68) ------- ------- ------- ------- Net asset value, end of period........... $ 53.39 $ 60.81 $125.68 $129.44 ======= ======= ======= ======= Total return (1)......................... (12.06)% (37.48)% (2.02)% 1.28% Net assets, end of period (in 000's)..... $21,361 $24,330 $50,282 $38,842 Ratio of expenses to average net assets (2).................................... 0.25% 0.22% 0.23% 0.21% Ratio of net investment income (loss) to average net assets (2)................. 0.32% 0.10% 1.76% 1.61% Portfolio turnover rate (3).............. 11% 16% 6% 12%
* Commencement of operations + Amount is less than $0.01 per share. (1) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. (2) Annualized (3) Portfolio Turnover rate excludes securities received or delivered from processing of creations or redemptions on streetTRACKS.
See accompanying notes to financial statements. 58 --------------------------------------------------------------------------------
DOW JONES U.S. DOW JONES U.S. DOW JONES SMALL CAP GROWTH SMALL CAP GLOBAL TITANS INDEX FUND VALUE INDEX FUND INDEX FUND --------------------------------- --------------------------------- --------------------------------- SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD 12/31/2001 9/25/2000* - 12/31/2001 9/25/2000* - 12/31/2001 9/25/2000* - (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 ---------------- -------------- ---------------- -------------- ---------------- -------------- $ 79.15 $100.26 $128.95 $103.71 $ 70.60 $ 84.28 ------- ------- ------- ------- ------- ------- (0.03) (0.09) 1.63 2.40 0.26 0.57 (5.86) (21.02) 1.76 25.10 (4.27) (13.67) ------- ------- ------- ------- ------- ------- (5.89) (21.11) 3.39 27.50 (4.01) (13.10) ------- ------- ------- ------- ------- ------- -- -- (1.12) (2.26) (0.27) (0.58) -- -- -- -- --+ -- -- -- (4.74) -- -- -- ------- ------- ------- ------- ------- ------- -- -- (5.86) (2.26) (0.27) (0.58) ------- ------- ------- ------- ------- ------- $ 73.26 $ 79.15 $126.48 $128.95 $ 66.32 $ 70.60 ======= ======= ======= ======= ======= ======= (7.43)% (21.07)% 2.63% 26.69% (5.68)% (15.54)% $21,984 $19,794 $25,308 $25,803 $19,903 $21,189 0.32% 0.30% 0.29% 0.28% 0.55% 0.52% (0.17)% (0.22)% 2.58% 2.70% 0.80% 0.87% 19% 34% 21% 47% 3% 16%
See accompanying notes to financial statements. 59 STREETTRACKS SERIES TRUST FINANCIAL HIGHLIGHTS (CONTINUED) SELECTED DATA FOR A STREETTRACKS SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
WILSHIRE MORGAN STANLEY REIT TECHNOLOGY INDEX FUND INDEX FUND ---------------------------------- ---------------------------------- SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD 12/31/2001 4/23/2001* - 12/31/2001 9/25/2000* - (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 ---------------- -------------- ---------------- -------------- Net asset value, beginning of period (Note 7)............................... $120.73 $109.22 $ 58.17 $ 97.81 ------- ------- ------- ------- Income (loss) from investment operations: Net investment income (loss)............. 4.30 1.41 (0.07) (0.13) Net realized and unrealized gain (loss)................................. (1.82) 10.83 (7.21) (39.51) ------- ------- ------- ------- Total from investment operations......... 2.48 12.24 (7.28) (39.64) ------- ------- ------- ------- Distributions to shareholders from: Net investment income.................... (4.38) (0.73) -- -- In excess of net investment income....... -- -- -- -- Net realized gain........................ (0.69) -- -- -- ------- ------- ------- ------- Total distributions...................... (5.07) (0.73) -- -- ------- ------- ------- ------- Net asset value, end of period........... $118.14 $120.73 $ 50.89 $ 58.17 ======= ======= ======= ======= Total return (1)......................... 2.18% 11.22% (12.53)% (40.52)% Net assets, end of period (in 000's)..... $17,732 $18,121 $66,159 $72,724 Ratio of expenses to average net assets (2).................................... 0.30% 0.32% 0.53% 0.51% Ratio of net investment income (loss) to average net assets (2)................. (7.23)% 6.88% (0.28)% (0.30)% Portfolio turnover rate (3).............. 7% 2% 32% 26%
* Commencement of operations + Amount is less than $0.01 per share. (1) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. (2) Annualized (3) Portfolio Turnover rate excludes securities received or delivered from processing of creations or redemptions on streetTRACKS.
See accompanying notes to financial statements. 60 --------------------------------------------------------------------------------
MORGAN STANLEY FORTUNE FORTUNE INTERNET 500(R) E-50(R) INDEX FUND INDEX FUND INDEX FUND --------------------------------- --------------------------------- --------------------------------- SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD SIX MONTHS ENDED FOR THE PERIOD 12/31/2001 9/25/2000* - 12/31/2001 10/4/2000* - 12/31/2001 10/4/2000* - (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 (UNAUDITED) 6/30/2001 ---------------- -------------- ---------------- -------------- ---------------- -------------- $ 19.36 $ 68.92 $ 87.13 $ 97.85 $ 40.38 $ 84.48 ------- ------- ------- ------- ------- ------- (0.05) (0.21) 0.59 0.72 (0.01) (0.09) (5.88) (49.35) (5.26) (10.73) (6.56) (44.01) ------- ------- ------- ------- ------- ------- (5.93) (49.56) (4.67) (10.01) (6.57) (44.10) ------- ------- ------- ------- ------- ------- -- -- (0.60) (0.71) -- -- -- -- -- -- -- -- -- -- -- -- -- -- ------- ------- ------- ------- ------- ------- -- -- (0.60) (0.71) -- -- ------- ------- ------- ------- ------- ------- $ 13.43 $ 19.36 $ 81.86 $ 87.13 $ 33.81 $ 40.38 ======= ======= ======= ======= ======= ======= (30.59)% (71.92)% (5.34)% (10.22)% (16.28)% (52.20)% $ 3,360 $ 6,777 $45,033 $47,933 $13,528 $16,158 0.65% 0.53% 0.24% 0.21% 0.26% 0.22% (0.64)% (0.52)% 1.23% 1.06% (0.08)% (0.15)% 37% 76% 3% 6% 16% 30%
See accompanying notes to financial statements. 61 STREETTRACKS SERIES TRUST NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- 1. ORGANIZATION The streetTRACKS Series Trust (the "Trust"), which is registered under the Investment Company Act of 1940, as amended, is an open-end investment management company that was organized as a Massachusetts business trust on June 12, 1998. The Trust currently consists of ten portfolios, (each referred to as a "Fund", collectively as "the Funds") streetTRACKS Dow Jones U.S. Large Cap Growth Index Fund ("Dow Jones U.S. Large Cap Growth Index Fund"), streetTRACKS Dow Jones U.S. Large Cap Value Index Fund ("Dow Jones U.S. Large Cap Value Index Fund"), streetTRACKS Dow Jones U.S. Small Cap Growth Index Fund ("Dow Jones U.S. Small Cap Growth Index Fund"), streetTRACKS Dow Jones U.S. Small Cap Value Index Fund ("Dow Jones U.S. Small Cap Value Index Fund"), streetTRACKS Dow Jones Global Titans Index Fund ("Dow Jones Global Titans Index Fund"), streetTRACKS Wilshire REIT Index Fund ("Wilshire REIT Index Fund"), streetTRACKS Morgan Stanley Technology Index Fund ("Morgan Stanley Technology Index Fund"), (formerly known as the streetTRACKS Morgan Stanley High-Tech 35 Index Fund), streetTRACKS Morgan Stanley Internet Index Fund ("Morgan Stanley Internet Index Fund"), FORTUNE 500(R) Index Fund and FORTUNE e-50(R) Index Fund, each of which represents a separate series of beneficial interest in the Trust. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. SECURITY VALUATION Portfolio securities are valued based on the last sale price on the exchange which is deemed to be the principal market for the security. Securities regularly traded in an over-the-counter market are valued at the latest quoted sale price in such market. Other portfolio securities and assets for which market quotations are not readily available are valued based on fair value as determined in good faith by the Adviser in accordance with procedures approved by the Board of Trustees. INVESTMENT INCOME Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. INVESTMENT TRANSACTIONS Investment transactions are recorded on the trade date. Realized gains and losses from the sale or disposition of securities are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of nonreclaimable foreign tax withholdings. FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS The accounting records of the Funds are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective dates of transactions. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments. Net gains and losses on foreign currency transactions include disposition of foreign currencies, and currency gains and losses between the accrual and receipt dates of portfolio investment income and between the trade and settlement dates of portfolio investment transactions. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. Government. These risks include revaluation of currencies and the risk of appropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. Government. 62 STREETTRACKS SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- EXPENSES Advisory fees, which are directly identifiable to a specific Fund, are applied to that Fund. Trustees fees are allocated in such a manner as deemed equitable, taking into consideration the relative net assets of the Funds. FEDERAL INCOME TAX The Funds intend to qualify for and elect treatment as a "regulated investment company" under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net investment income and capital gains, if any, the Funds will not be subject to Federal excise tax. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These book-tax differences are primarily due to differing treatments for in-kind transactions and losses deferred due to wash sales. At December 31, 2001, the Funds had capital loss carryforwards which may be utilized to offset any net realized capital gains through June 30, 2009 as follows:
CAPITAL LOSS YEAR EXPIRATION CARRYFORWARD INCURRED DATE -------------------------------------------------------------------------------------------------------------- Dow Jones U.S. Large Cap Growth Index Fund $ 12,048 6/30/01 6/30/09 Dow Jones U.S. Large Cap Value Index Fund -- -- -- Dow Jones U.S. Small Cap Growth Index Fund 83,119 6/30/01 6/30/09 Dow Jones U.S. Small Cap Value Index Fund -- -- -- Dow Jones Global Titans Index Fund 12,170 6/30/01 6/30/09 Wilshire REIT Index Fund -- -- -- Morgan Stanley Technology Index Fund 1,836 6/30/01 6/30/09 Morgan Stanley Internet Index Fund 11,495 6/30/01 6/30/09 FORTUNE 500(R) Index Fund -- -- -- FORTUNE e-50(R) Index Fund 71,566 6/30/01 6/30/09
During the six months ended December 31, 2001, the Funds reclassified non-taxable security gains and losses realized on the in-kind redemption of Creation Units (Note 4) as an increase or decrease to paid in capital in the Statements of Assets and Liabilities as follows:
NET GAIN (LOSS) RECLASS AMOUNT ---------------------------------------------------------------------------- Dow Jones U.S. Large Cap Growth Index Fund $ -- Dow Jones U.S. Large Cap Value Index Fund -- Dow Jones U.S. Small Cap Growth Index Fund 862,264 Dow Jones U.S. Small Cap Value Index Fund -- Dow Jones Global Titans Index Fund -- Wilshire REIT Index Fund -- Morgan Stanley Technology Index Fund 247,234 Morgan Stanley Internet Index Fund (314,441) FORTUNE 500(R) Index Fund (1,518,403) FORTUNE e-50(R) Index Fund --
63 STREETTRACKS SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- FEDERAL INCOME TAX -- (CONTINUED) The Funds incurred the following losses during the period November 1, 2000 through June 30, 2001 that are deferred for tax purposes until fiscal 2002:
DEFERRED LOSSES ---------------------------------------------------------------------------- Dow Jones U.S. Large Cap Growth Index Fund $ 3,295,383 Dow Jones U.S. Large Cap Value Index Fund 156,841 Dow Jones U.S. Small Cap Growth Index Fund 1,388,526 Dow Jones U.S. Small Cap Value Index Fund -- Dow Jones Global Titans Index Fund 888,169 Wilshire REIT Index Fund -- Morgan Stanley Technology Index Fund 2,311,656 Morgan Stanley Internet Index Fund 12,059,436 FORTUNE 500(R) Index Fund 277,910 FORTUNE e-50(R) Index Fund 2,054,363
For the year ended June 30, 2001, there were no significant differences between the book basis and the tax basis character of distributions to shareholders. Additionally, there were no significant differences between the book basis and tax basis of components of net assets other than differences in the net unrealized appreciation (depreciation) in value of investments attributable to the tax deferral of losses on wash sales. The tax character of distributions paid during the six months ended December 31, 2001, was as follows:
ORDINARY LONG-TERM INCOME CAPITAL GAIN ---------------------------------------------------------------------------------------- Dow Jones U.S. Large Cap Growth Index Fund $ 32,945 $ -- Dow Jones U.S. Large Cap Value Index Fund 342,410 -- Dow Jones U.S. Small Cap Growth Index Fund -- -- Dow Jones U.S. Small Cap Value Index Fund 1,150,886 22,200 Dow Jones Global Titans Index Fund 80,061 -- Wilshire REIT Index Fund 736,125 25,804 Morgan Stanley Technology Index Fund -- -- Morgan Stanley Internet Index Fund -- -- FORTUNE 500(R) Index Fund 233,667 -- FORTUNE e-50(R) Index Fund -- --
DISTRIBUTIONS The Trust declares and distributes dividends from net investment income to its shareholders quarterly. The Trust will distribute net realized capital gains, if any, at least annually. 3. FEES AND COMPENSATION PAID TO AFFILIATES AND OTHER PARTIES ADVISORY FEE Each Fund has entered into an Investment Advisory Agreement with SSgA Funds Management, Inc. ("The Adviser"). As compensation for the services rendered, facilities furnished, and expenses borne by the Adviser, each 64 STREETTRACKS SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- Fund pays the Advisor a fee accrued daily and paid monthly, based on a percentage of each Funds' average daily net assets as shown in the following table:
ANNUAL RATE --------------------------------------------------------------------------- Dow Jones U.S. Large Cap Growth Index Fund 0.20% Dow Jones U.S. Large Cap Value Index Fund 0.20 Dow Jones U.S. Small Cap Growth Index Fund 0.25 Dow Jones U.S. Small Cap Value Index Fund 0.25 Dow Jones Global Titans Index Fund 0.50 Wilshire REIT Index Fund 0.25 Morgan Stanley Technology Index Fund 0.50 Morgan Stanley Internet Index Fund 0.50 FORTUNE 500(R) Index Fund 0.20 FORTUNE e-50(R) Index Fund 0.20
The Adviser pays all expenses of each Fund other than the management fee, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee's counsel fees), litigation expenses and other extraordinary expenses. DISTRIBUTOR State Street Capital Markets, LLC (the "Distributor") serves as the distributor of the shares of each Fund pursuant to a Distribution Plan and Agreement, pursuant to Rule 12b-1 under the 1940 Act, between the Distributor and the Trust. Each Fund, with the exception of the FORTUNE 500(R) Index Fund and the FORTUNE e-50(R) Index Fund, is authorized to pay an amount of up to 0.25% of its average daily net assets for certain distribution-related activities. However, management has not implemented a 12b-1 fee on any of the Funds at this time, and therefore no such payments have been made to the Distributor. TRUSTEES' FEES The Trust pays each Independent Trustee an annual fee of $12,000, and a meeting fee of $2,000 per meeting attended for the first twelve months of operations and then $4,500 per meeting attended thereafter. The Funds will reimburse the Trustees for any out of pocket expenses related to attending meetings of the Board of Trustees. 4. SHAREHOLDER TRANSACTIONS Except for under the Trust's dividend reinvestment plan, streetTRACKS are issued and redeemed by a Fund only in Creation Unit size aggregations of 50,000 streetTRACKS shares. Such transactions are only permitted on an in-kind basis, with a separate cash payment, which is a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees at scheduled amounts ranging from $500 to $2,000 per Creation Unit are charged to those persons creating or redeeming Creation Units. Transaction fees are received by the Transfer Agent and used to offset the expense of processing orders. 65 STREETTRACKS SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- 5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION The identified cost of investments in securities owned by each Fund for federal income tax purposes, and their respective gross unrealized appreciation and depreciation at December 31, 2001 were as follows:
GROSS GROSS NET UNREALIZED IDENTIFIED UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) --------------------------------------------------------------------------------------------------------------------- Dow Jones U.S. Large Cap Growth Index Fund $ 30,857,472 $ 887,475 $(10,424,391) $ (9,536,916) Dow Jones U.S. Large Cap Value Index Fund 51,438,859 2,093,500 (3,129,270) (1,035,770) Dow Jones U.S. Small Cap Growth Index Fund 22,588,172 1,221,002 (1,890,249) (669,247) Dow Jones U.S. Small Cap Value Index Fund 20,935,406 4,958,686 (672,095) 4,286,591 Dow Jones Global Titans Index Fund 24,351,197 602,997 (5,088,375) (4,485,378) Wilshire REIT Index Fund 16,329,195 1,598,596 (334,087) 1,264,509 Morgan Stanley Technology Index Fund 101,871,417 3,125,806 (38,838,027) (35,712,221) Morgan Stanley Internet Index Fund 5,698,648 65,504 (2,405,735) (2,340,231) FORTUNE 500(R) Index Fund 50,553,402 1,358,135 (6,919,448) (5,561,313) FORTUNE e-50(R) Index Fund 14,459,076 1,222,444 (2,177,593) (955,149)
6. INVESTMENT TRANSACTIONS For the six months ended December 31, 2001, the Trust had net in-kind contributions and net in-kind redemptions as follows:
CONTRIBUTIONS REDEMPTIONS ------------------------------------------------------------------------------------------ Dow Jones U.S. Large Cap Growth Index Fund $ -- $ -- Dow Jones U.S. Large Cap Value Index Fund 12,574,956 -- Dow Jones U.S. Small Cap Growth Index Fund 14,004,038 10,896,811 Dow Jones U.S. Small Cap Value Index Fund -- -- Dow Jones Global Titans Index Fund -- -- Wilshire REIT Index Fund -- -- Morgan Stanley Technology Index Fund 5,400,880 2,545,783 Morgan Stanley Internet Index Fund -- 825,444 FORTUNE 500(R) Index Fund 16,428,881 16,277,533 FORTUNE e-50(R) Index Fund -- --
For the six months ended December 31, 2001, the Trust had purchases and sales of investment securities, excluding short-term securities, as follows:
PURCHASES SALES ---------------------------------------------------------------------------------------- Dow Jones U.S. Large Cap Growth Index Fund $ 2,239,405 $ 2,244,621 Dow Jones U.S. Large Cap Value Index Fund 2,618,791 2,523,574 Dow Jones U.S. Small Cap Growth Index Fund 2,248,949 2,239,225 Dow Jones U.S. Small Cap Value Index Fund 5,165,092 6,036,562 Dow Jones Global Titans Index Fund 604,398 590,393 Wilshire REIT Index Fund 1,399,054 1,302,806 Morgan Stanley Technology Index Fund 20,771,074 20,798,640 Morgan Stanley Internet Index Fund 1,517,360 1,524,059 FORTUNE 500(R) Index Fund 1,272,965 1,289,037 FORTUNE e-50(R) Index Fund 2,172,916 2,187,379
7. INITIAL CAPITALIZATION AND OFFERING OF SHARES On the commencement of operations for each Fund (September 25, 2000, for the Dow Jones U.S. Large Cap Growth Index Fund, Dow Jones U.S. Large Cap Value Index Fund, Dow Jones U.S. Small Cap Growth Index Fund, Dow Jones U.S. Small Cap Value Index Fund, Dow Jones Global Titans Index Fund, Morgan Stanley Technology Index Fund, and Morgan Stanley Internet Index Fund, October 4, 2000, for the FORTUNE 500(R) Index Fund, and FORTUNE e-50(R) Index Fund and April 23, 2001 for the Wilshire REIT Index Fund), the Board of Trustees declared reverse stock splits, which were effective on the date of commencement of operations for each Fund. The 66 STREETTRACKS SERIES TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- reverse stock splits were executed in order to align the net asset value per share of each Fund to an established proportion of its benchmark index. The ratio of the reverse stock splits were as follows:
FUND RATIO ---------------------------------------------------------------------- Dow Jones U.S. Large Cap Growth Index Fund 1:9.736 Dow Jones U.S.Large Cap Value Index Fund 1:12.948 Dow Jones U.S. Small Cap Growth Index Fund 1:10.026 Dow Jones U.S. Small Cap Value Index Fund 1:10.371 Dow Jones Global Titans Index Fund 1:8.428 Wilshire REIT Index Fund 1:10.922 Morgan Stanley Technology Index Fund 1:9.781 Morgan Stanley Internet Index Fund 1:6.892 FORTUNE 500(R) Index Fund 1:9.785 FORTUNE e-50(R) Index Fund 1:8.448
67 STREETTRACKS SERIES TRUST OTHER INFORMATION DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS CLOSING PRICE VS. NAV AS OF DECEMBER 31, 2001 The following Frequency Distribution of Discounts and Premiums charts are provided to show the frequency at which the closing price (last trade) for each of the Funds was at a discount or premium to the daily net asset value (NAV). The following charts are for comparative purposes only and represent the periods noted. DOW JONES U.S. LARGE CAP GROWTH INDEX FUND ------------------------------------------------------------------------------------------------------------ CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- -------------------------------- 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------------------------------------------------------------------------------- 2001 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/01 11 4 0 10 5 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 09/30/01 8 5 9 3 4 2 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 06/30/01 8 9 4 7 2 3 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 03/31/01 8 6 11 3 4 5 ------------------------------------------------------------------------------------------------------------ 2000 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/00* 7 9 13 3 7 14 ------------------------------------------------------------------------------------------------------------
* Trading on the AMEX commenced on September 29, 2000. DOW JONES U.S. LARGE CAP VALUE INDEX FUND ---------------------------------------------------------------------------------------------------------------- CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- ------------------------------------ 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ----------------------------------------------------------------------------------- 2001 ---------------------------------------------------------------------------------------------------------------- QUARTER ENDING: 12/31/01 5 0 0 6 5 0 ---------------------------------------------------------------------------------------------------------------- QUARTER ENDING: 09/30/01 7 11 4 3 7 0 ---------------------------------------------------------------------------------------------------------------- QUARTER ENDING: 06/30/01 4 2 0 5 7 0 ---------------------------------------------------------------------------------------------------------------- QUARTER ENDING: 03/31/01 5 3 3 6 8 1 ---------------------------------------------------------------------------------------------------------------- 2000 ---------------------------------------------------------------------------------------------------------------- QUARTER ENDING: 12/31/00* 8 2 0 5 4 4 ----------------------------------------------------------------------------------------------------------------
* Trading on the AMEX commenced on September 29, 2000. DOW JONES U.S. SMALL CAP GROWTH INDEX FUND ------------------------------------------------------------------------------------------------------------ CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- -------------------------------- 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------------------------------------------------------------------------------- 2001 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/01 8 0 0 3 2 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 09/30/01 5 2 1 2 0 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 06/30/01 8 4 2 6 3 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 03/31/01 7 7 10 7 7 1 ------------------------------------------------------------------------------------------------------------ 2000 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/00* 6 9 3 6 6 12 ------------------------------------------------------------------------------------------------------------
* Trading on the AMEX commenced on September 29, 2000. 68 STREETTRACKS SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- DOW JONES U.S. SMALL CAP VALUE INDEX FUND ------------------------------------------------------------------------------------------------------------ CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- -------------------------------- 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------------------------------------------------------------------------------- 2001 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/01 5 0 0 7 2 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 09/30/01 6 0 0 6 0 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 06/30/01 5 0 2 4 2 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 03/31/01 7 5 1 5 5 2 ------------------------------------------------------------------------------------------------------------ 2000 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/00* 7 4 5 5 7 11 ------------------------------------------------------------------------------------------------------------
* Trading on the AMEX commenced on September 29, 2000. DOW JONES GLOBAL TITANS INDEX FUND ------------------------------------------------------------------------------------------------------------ CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- -------------------------------- 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------------------------------------------------------------------------------- 2001 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/01 12 6 1 9 5 3 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 09/30/01 9 4 0 3 1 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 06/30/01 3 1 1 4 2 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 03/31/01 10 3 2 6 6 2 ------------------------------------------------------------------------------------------------------------ 2000 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/00* 7 10 3 3 2 1 ------------------------------------------------------------------------------------------------------------
* Trading on the AMEX commenced on September 29, 2000. WILSHIRE REIT INDEX FUND ------------------------------------------------------------------------------------------------------------ CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- -------------------------------- 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------------------------------------------------------------------------------- 2001 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/01 1 1 0 4 2 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 09/30/01 8 1 2 7 4 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 06/30/01* 2 1 0 6 7 2 ------------------------------------------------------------------------------------------------------------
* Trading on the AMEX commenced on April 27, 2001. MORGAN STANLEY TECHNOLOGY INDEX FUND ------------------------------------------------------------------------------------------------------------ CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- -------------------------------- 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------------------------------------------------------------------------------- 2001 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/01 8 3 0 6 7 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 09/30/01 12 4 1 6 2 1 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 06/30/01 9 5 1 8 1 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 03/31/01 4 2 0 4 0 1 ------------------------------------------------------------------------------------------------------------ 2000 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/00* 13 3 1 7 1 0
* Trading on the AMEX commenced on September 29, 2000. 69 STREETTRACKS SERIES TRUST OTHER INFORMATION (CONTINUED) DECEMBER 31, 2001 (UNAUDITED) -------------------------------------------------------------------------------- MORGAN STANLEY INTERNET INDEX FUND ------------------------------------------------------------------------------------------------------------ CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- -------------------------------- 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------------------------------------------------------------------------------- 2001 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/01 8 8 5 7 10 5 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 09/30/01 3 6 18 8 9 4 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 06/30/01 8 6 17 9 9 7 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 03/31/01 5 10 19 1 4 12 ------------------------------------------------------------------------------------------------------------ 2000 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/00* 7 14 6 5 6 8 ------------------------------------------------------------------------------------------------------------
* Trading on the AMEX commenced on September 29, 2000. FORTUNE 500(R) INDEX FUND ------------------------------------------------------------------------------------------------------------ CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- -------------------------------- 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------------------------------------------------------------------------------- 2001 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/01 1 0 0 1 0 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 09/30/01 3 1 0 1 0 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 06/30/01 5 0 0 3 1 0 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 03/31/01 4 2 0 7 0 0 ------------------------------------------------------------------------------------------------------------ 2000 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/00* 8 4 0 7 2 4 ------------------------------------------------------------------------------------------------------------
* Trading on the AMEX commenced on October 10, 2000. FORTUNE e-50(R) INDEX FUND ------------------------------------------------------------------------------------------------------------ CLOSING PRICE ABOVE NAV CLOSING PRICE BELOW NAV -------------------------------- -------------------------------- 50-99 100-199 > 200 50-99 100-199 > 200 BASIS BASIS BASIS BASIS BASIS BASIS POINTS POINTS POINTS POINTS POINTS POINTS ------------------------------------------------------------------------------- 2001 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/01 13 5 3 7 4 4 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 09/30/01 8 7 4 7 4 5 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 06/30/01 5 8 7 9 7 3 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 03/31/01 14 8 9 4 5 6 ------------------------------------------------------------------------------------------------------------ 2000 ------------------------------------------------------------------------------------------------------------ QUARTER ENDING: 12/31/00* 5 9 4 5 3 7 ------------------------------------------------------------------------------------------------------------
* Trading on the AMEX commenced on October 10, 2000. 70 streetTRACKS(SM) series trust trustees Timothy B. Harbert (Chairman) Agustin J. Fleites David M. Kelly Frank Nesvet Helen F. Peters officers Agustin J. Fleites, President James E. Ross, Vice President Kathleen C. Cuocolo, Treasurer Mary M. Zeven, Secretary Michael E. Gillespie, Assistant Secretary investment manager SSgA Funds Management, Inc. 2 International Place Boston, MA 02110 distributor State Street Capital Markets, LLC 225 Franklin Street Boston, MA 02110 custodian, administrator and transfer agent State Street Bank and Trust Company 225 Franklin Street Boston, MA 02110 legal counsel Mayer Brown & Platt 1675 Broadway New York, New York 10019 independent auditors Ernst & Young LLP 200 Clarendon Street Boston, MA 02110 streetTRACKS are distributed by State Street Brokerage, a division of State Street Capital Markets, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Capital Markets, LLC is a member of NASD, SIPC, and the Boston Stock Exchange. The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus from the Distributor by calling 1-866-S-TRACKS or visiting www.streettracks.com. Please read the prospectus carefully before you invest. The investment return and principal value of an investment in the streetTRACKS funds will fluctuate in value, so that when shares are sold or redeemed they may be worth more or less than when they were purchased. For streetTRACKS Dow Jones US Small Cap Growth, Dow Jones US Small Cap Value, Morgan Stanley Internet, Morgan Stanley Technology, FORTUNE e-50 and Wilshire REIT Funds: In addition to the normal risks associated with equity investing, narrowly focused investments and investments in smaller companies typically exhibit higher volatility. For streetTRACKS Global Titans Fund: International investments may involve risk of capital loss from unfavorable fluctuations in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. In general, streetTRACKS shares can be expected to move up or down in value with the value of the applicable index. Although streetTRACKS may be bought and sold on the exchange through any brokerage account, streetTRACKS are not individually redeemable from the Fund. Investors may acquire streetTRACKS and tender them for redemption through the Fund in Creation Unit Aggregations only. streetTRACKS are not sponsored, endorsed, sold, or promoted by Dow Jones & Company, Time Inc., Morgan Stanley Dean Witter & Co., and Wilshire Associates. Neither do these companies make any representation regarding the advisability of investing in streetTRACKS. streetTRACKS are distributed by State Street Brokerage, a division of State Street Capital Markets, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Capital Markets, LLC is a member of NASD, SIPC, and the Boston Stock Exchange. References to State Street may include State Street Corporation and its affiliates. Shares of the streetTRACKS funds are not insured by the FDIC or by another governmental agency; they are not obligations of the FDIC nor are they deposits or obligations of or guaranteed by State Street Bank and Trust Company. streetTRACKS shares are subject to investment risks, including possible loss of principal invested. The streetTRACKS funds pay State Street Bank and Trust Company for its services as investment advisor, custodian, transfer agent and shareholder servicing agent. Dow Diamonds(R), SPDRs, and Select Sector SPDRs are distributed by ALPS Mutual Funds Services, Inc., a registered broker-dealer. "Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500(R)", "Standard & Poor's Depositary Receipts(R)," "SPDRs(R)," "Select Sector SPDR(R)," "Select Sector SPDRs(R)" and "Select Sector Standard & Poor's Depositary Receipts(R)" are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use in connection with their listing and trading on the American Stock Exchange. These products are not sponsored, endorsed, sold or promoted by S&P, a division of The McGraw-Hill Companies, Inc., and S&P makes no representation regarding the advisability of investing in them. The stocks included in each Select Sector Index (upon which the products are based) were selected by the index compilation agent in consultation with S&P from the universe of companies represented by the S&P 500 Index. The composition and weighting of the stocks included in each Select Sector Index can be expected to differ from the composition and weighting of stocks included in any similar S&P 500 sector index that is published and disseminated by S&P, "Dow Jones(SM)," "The Dow(SM)," "Dow Jones Industrial Average(SM)," "Dow Jones Industrials(SM)," "DJIA(SM)" and "DIAMONDS(R)" are trademarks of Dow Jones & Company, Inc. ("Dow Jones") and have been licensed for use for certain purposes by the American Stock Exchange LLC and PDR Services LLC pursuant to a License Agreement with Dow Jones. The DIAMONDS Trust, based on the DJIA, is not sponsored, endorsed, sold or promoted by Dow Jones, and Dow Jones makes no representation regarding the advisability of investing in the DIAMONDS Trust. [SSGA LOGO} STATE STREET GLOBAL ADVISORS [STATE STREET LOGO]