485BPOS 1 c25693_485bpos.txt FORM 485BPOS File Nos. 333-76651, 811-09301 AS FILED WITH THE SECURITIES AND EXCHANGE COMMISSION ON SEPTEMBER 27, 2002 U.S. SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-1A REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 [ ] Pre-Effective Amendment No. __ Post-Effective Amendment No. 5 and/or REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940 [ ] Amendment No. 8 (CHECK APPROPRIATE BOX OR BOXES.) ----------------------------------- TIAA-CREF Institutional Mutual Funds (EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER) 730 Third Avenue New York, New York 10017-3206 (ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (800) 842-2733 Lisa Snow, Esq. TIAA-CREF Institutional Mutual Funds 730 Third Avenue New York, New York 10017-3206 (NAME AND ADDRESS OF AGENT FOR SERVICE) COPY TO: David S. Goldstein, Esq. Sutherland Asbill & Brennan LLP 1275 Pennsylvania Avenue, N.W. Washington, D.C. 20004-2415 APPROXIMATE DATE OF PROPOSED PUBLIC OFFERING: As soon as practicable after effectiveness of the Registration Statement. It is proposed that this filing will become effective (check appropriate box): [ ] Immediately upon filing pursuant to paragraph (b) [X] On October 1, 2002 pursuant to paragraph (b) [ ] 60 days after filing pursuant to paragraph (a)(1) [ ] 75 days after filing pursuant to paragraph (a)(2) [ ] On (date) pursuant to paragraph (a)(1) [ ] On (date) pursuant to paragraph (a)(2) of rule 485 If appropriate, check the following box: [X] This post-effective amendment designates a new effective date for a previously filed post-effective amendment. OCTOBER 1, 2002 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS PROSPECTUS GROWTH EQUITY FUND MID-CAP VALUE INDEX FUND GROWTH & INCOME FUND MID-CAP BLEND INDEX FUND INTERNATIONAL EQUITY FUND SMALL-CAP GROWTH INDEX FUND LARGE-CAP VALUE FUND SMALL-CAP VALUE INDEX FUND MID-CAP GROWTH FUND SMALL-CAP BLEND INDEX FUND MID-CAP VALUE FUND INTERNATIONAL EQUITY INDEX FUND SMALL-CAP EQUITY FUND REAL ESTATE SECURITIES FUND LARGE-CAP GROWTH INDEX FUND SOCIAL CHOICE EQUITY FUND LARGE-CAP VALUE INDEX FUND BOND FUND EQUITY INDEX FUND INFLATION-LINKED BOND FUND S&P 500 INDEX FUND MONEY MARKET FUND MID-CAP GROWTH INDEX FUND ----------------- [TIAA-CREF LOGO] ----------------- The TIAA-CREF Institutional Mutual Funds consists of twenty-three investment portfolios, or "Funds," and currently offers three classes of shares: Retirement Class, Institutional Class and Retail Class shares. Each of these classes is described in this prospectus. The Funds' share classes have different expenses. As a result, each Fund's share classes will have different share prices and different investment performance. An investment in TIAA-CREF Institutional Mutual Funds is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. An investor can lose money in any of the Funds, or the Funds could perform more poorly than other investments. The Securities and Exchange Commission has not approved or disapproved these securities or passed upon the adequacy of this prospectus. Any representation to the contrary is a criminal offense. TABLE OF CONTENTS SUMMARY INFORMATION ......................................................... 1 OVERVIEW OF THE FUNDS .................................................. 1 GENERAL INFORMATION ABOUT THE FUNDS .................................... 2 THE EQUITY FUNDS ....................................................... 2 Risks of Investing in the Equity Funds ............................ 2 ACTIVE EQUITY FUNDS USING THE DUAL INVESTMENT MANAGEMENT STRATEGY(SM) .. 4 Dual Investment Management Strategy(SM) ........................... 4 Growth Equity Fund ................................................ 5 Growth & Income Fund .............................................. 6 International Equity Fund ......................................... 6 Large-Cap Value Fund .............................................. 8 Mid-Cap Growth Fund ............................................... 8 Mid-Cap Value Fund ................................................ 9 ACTIVE EQUITY FUNDS USING THE QUANTITATIVE MANAGEMENT STRATEGY ......... 10 Quantitative Management Strategy .................................. 10 Small-Cap Equity Fund ............................................. 11 EQUITY INDEX FUNDS ..................................................... 11 Large-Cap Growth Index Fund ....................................... 13 Large-Cap Value Index Fund ........................................ 13 Equity Index Fund ................................................. 13 S&P 500 Index Fund ................................................ 13 Mid-Cap Growth Index Fund ......................................... 14 Mid-Cap Value Index Fund .......................................... 14 Mid-Cap Blend Index Fund .......................................... 15 Small-Cap Growth Index Fund ....................................... 15 Small-Cap Value Index Fund ........................................ 15 Small-Cap Blend Index Fund ........................................ 16 International Equity Index Fund ................................... 16 SPECIALTY EQUITY FUNDS ................................................. 17 Social Choice Equity Fund ......................................... 17 i REAL ESTATE SECURITIES FUND ............................................ 19 Risks of Investing in the Real Estate Securities Fund ............. 19 Real Estate Securities Fund ....................................... 20 FIXED-INCOME FUNDS ..................................................... 21 Risks of Investing in the Fixed-Income Funds ...................... 21 Bond Fund ......................................................... 22 Inflation-Linked Bond Fund ........................................ 24 MONEY MARKET FUND ...................................................... 25 Money Market Fund ................................................. 25 PAST PERFORMANCE ....................................................... 26 FEES AND EXPENSES ...................................................... 30 Fees and Expenses for the Retirement Class Shares ................. 30 Fees and Expenses for the Institutional Class Shares .............. 32 Fees and Expenses for the Retail Class Shares ..................... 34 INVESTMENT OBJECTIVES, STRATEGIES AND RISKS ................................. 36 INVESTMENT MANAGEMENT STYLES ........................................... 36 MORE ABOUT BENCHMARK AND OTHER INDICES ................................. 37 Active Equity Funds Using the Dual Investment Management Strategy ............................................ 37 Growth Equity Fund ................................................ 37 Growth & Income Fund .............................................. 37 International Equity Fund ......................................... 37 Large-Cap Value Fund .............................................. 38 Mid-Cap Growth Fund ............................................... 38 Mid-Cap Value Fund ................................................ 38 Active Equity Funds Using the Quantitative Management Strategy .... 39 Small-Cap Equity Fund ............................................. 39 Equity Index Funds ................................................ 39 Large-Cap Growth Index Fund ....................................... 39 Large-Cap Value Index Fund ........................................ 39 Equity Index Fund ................................................. 40 S&P 500 Index Fund ................................................ 40 Mid-Cap Growth Index Fund ......................................... 40 ii Mid-Cap Value Index Fund .......................................... 40 Mid-Cap Blend Index Fund .......................................... 41 Small-Cap Growth Index Fund ....................................... 41 Small-Cap Value Index Fund ........................................ 41 Small-Cap Blend Index Fund ........................................ 42 International Equity Index Fund ................................... 42 Specialty Equity Funds ............................................ 42 Social Choice Equity Fund ......................................... 42 ADDITIONAL INVESTMENT STRATEGIES FOR THE EQUITY FUNDS .................. 43 The Real Estate Securities Fund ................................... 43 Real Estate Securities Fund ....................................... 43 The Fixed Income Funds ............................................ 44 Bond Fund ......................................................... 44 Inflation-Linked Bond Fund ........................................ 44 ADDITIONAL INVESTMENT STRATEGIES FOR THE FIXED INCOME FUNDS ............ 44 The Money Market Fund ............................................. 44 Money Market Fund ................................................. 44 SHARE CLASSES ............................................................... 45 MANAGEMENT OF THE FUNDS ..................................................... 46 THE FUNDS' INVESTMENT ADVISER .......................................... 46 OTHER SERVICES ......................................................... 47 CALCULATING SHARE PRICE ..................................................... 48 DIVIDENDS AND DISTRIBUTIONS ................................................. 49 TAXES ....................................................................... 50 YOUR ACCOUNT: BUYING, SELLING OR EXCHANGING SHARES ......................... 52 RETIREMENT CLASS SHARES ................................................ 52 How to Purchase Shares ............................................ 52 How to Exchange Shares ............................................ 54 How to Redeem Shares .............................................. 55 Other Investor Information ........................................ 56 Electronic Prospectuses ........................................... 57 iii INSTITUTIONAL CLASS SHARES ............................................. 57 How to Purchase Shares ............................................ 57 How to Redeem Shares .............................................. 59 How to Exchange Shares ............................................ 60 Other Investor Information ........................................ 60 RETAIL CLASS SHARES .................................................... 61 Types Of Accounts ................................................. 61 How To Open An Account And Make Subsequent Investments ............ 62 Points To Remember For All Purchases .............................. 64 How To Redeem Shares .............................................. 65 How To Exchange Shares ............................................ 66 Other Investor Information: ....................................... 68 ELECTRONIC PROSPECTUSES ..................................................... 70 GLOSSARY .................................................................... 70 FINANCIAL HIGHLIGHTS ........................................................ 71 iv SUMMARY INFORMATION OVERVIEW OF THE FUNDS The twenty-three Funds offered by the TIAA-CREF Institutional Mutual Funds are divided into three general types: o Nineteen Equity Funds that invest primarily in equity securities. The Equity Funds consist of four subcategories of Equity Funds reflecting different investment management techniques. They are: o ACTIVE EQUITY FUNDS USING THE DUAL INVESTMENT MANAGEMENT STRATEGY: Growth Equity Fund Growth & Income Fund International Equity Fund Large-Cap Value Fund Mid-Cap Growth Fund Mid-Cap Value Fund o ACTIVE EQUITY FUNDS USING THE QUANTITATIVE MANAGEMENT STRATEGY: Small-Cap Equity Fund o EQUITY INDEX FUNDS: Large-Cap Growth Index Fund Large-Cap Value Index Fund Equity Index Fund S&P 500 Index Fund Mid-Cap Growth Index Fund Mid-Cap Value Index Fund Mid-Cap Blend Index Fund Small-Cap Growth Index Fund Small-Cap Value Index Fund Small-Cap Blend Index Fund International Equity Index Fund o SPECIALTY EQUITY FUNDS: Social Choice Equity Fund 1 o The REAL ESTATE SECURITIES FUND, which invests primarily in equity and fixed-income securities of companies principally engaged in or related to the real estate industry. o Two FIXED INCOME FUNDS that primarily invest in fixed-income securities: Bond Fund Inflation-Linked Bond Fund o The Money Market Fund, which invests primarily in high-quality, short-term money market instruments. GENERAL INFORMATION ABOUT THE FUNDS This Prospectus describes the twenty-three Funds offered by the TIAA-CREF Institutional Mutual Funds. Each Fund is a separate investment portfolio or mutual fund, and has its own investment objective, investment strategies, restrictions and attendant risks. An investor should consider each Fund separately to determine if it is an appropriate investment. The investment objective of each Fund, the investment strategies by which it seeks its objective, and those investment restrictions not specifically designated as fundamental, may be changed by the Board of Trustees of the TIAA-CREF Institutional Mutual Funds (the "Board of Trustees") without shareholder approval. Certain investment restrictions described in the Statement of Additional Information ("SAI") are fundamental and may only be changed with shareholder approval. The use of a particular benchmark index by a Fund is not a fundamental policy and can be changed without shareholder approval. We will notify you before we make such a change. Each Fund has a policy of investing at least 80% of its net assets in the particular type of securities implied by its name. Shareholders will receive at least 60 days prior notice before changes are made to this policy. Each Fund may, for temporary defensive purposes, invest all of its assets in cash and money market instruments. In doing so, the Fund may be successful in avoiding market losses but may otherwise fail to achieve its investment objective. THE EQUITY FUNDS TIAA-CREF Institutional Mutual Funds consists of nineteen Funds that invest primarily in equity securities. There are four subcategories of Equity Funds: Active Equity Funds Using the Dual Investment Management Strategy, Active Equity Funds Using the Quantitative Management Strategy, Equity Index Funds and Specialty Equity Funds. RISKS OF INVESTING IN THE EQUITY FUNDS In general, the value of equity securities fluctuate in response to the fortune of individual companies and in response to general market and economic conditions. An investment in an Equity Fund will be subject to the following principal investment risks described below: 2 o MARKET RISK-- The risk that the price of equity securities may decline in response to general market and economic conditions or events. Accordingly, the value of the equity securities that a Fund holds may decline over short or extended periods of time. Any stock is subject to the risk that the stock market as a whole may decline in value, thereby depressing the stock's price. This is known as MARKET RISK. U.S. equity markets tend to be cyclical, with periods when prices generally rise and periods when prices generally decline. Foreign equity markets tend to reflect local economic and financial conditions and therefore such trends often vary from country to country and region to region. o COMPANY RISK (often called FINANCIAL RISK)-- The risk that the issuer's earnings prospects and overall financial position will deteriorate, causing a decline in the security's value over short or extended periods of time. Therefore, the value of an investment in those Funds that hold equity securities may increase or decrease. The Funds that make foreign investments are subject to: o FOREIGN INVESTMENT RISK--The risks of investing in securities of foreign issuers, securities or contracts traded on foreign exchanges or in foreign markets, or securities or contracts payable in foreign currency. Investing in foreign investments entails risks beyond those of domestic investing. These include: (1) changes in currency exchange rates; (2) possible imposition of market controls or currency exchange controls; (3) possible imposition of withholding taxes on dividends and interest; (4) possible seizure, expropriation or nationalization of assets; (5) more limited foreign financial information or difficulty in interpreting it because of foreign regulations and accounting standards; (6) the lower liquidity and higher volatility in some foreign markets; (7) the impact of political, social or diplomatic events; (8) the difficulty of evaluating some foreign economic trends; and (9) the possibility that a foreign government could restrict an issuer from paying principal and interest to investors outside the country. Brokerage commissions and transaction costs are often higher for foreign investments, and it may be harder to use foreign laws and courts to enforce financial or legal obligations. The risks described above often increase in countries with emerging markets. For example, these countries may have more unstable governments than developed countries, and their economies may be based on only a few industries. Because their securities markets may be very small, share prices may be volatile and difficult to establish. In addition, foreign investors such as the Fund are subject to a variety of special restrictions in many such countries. The Funds that are managed according to a growth or value investment style are subject to: o STYLE RISK--Funds that use either a GROWTH INVESTING or a VALUE INVESTING style entail the risk that equity securities representing either style may be out of favor in the marketplace for various periods of time. When this occurs, investors, such as the Funds, holding such securities may experience significant declines in the value of their portfolios. STYLE RISK, 3 therefore, is the risk that a Fund's GROWTH INVESTING or VALUE INVESTING style falls out of favor with investors for a period of time. The Equity Index Funds are subject to: o INDEX RISK. This is the risk that a Fund's performance will not match its index for any period of time. Although each Equity Index Fund attempts to closely track the investment performance of its respective index, an Equity Index Fund may not duplicate the exact composition of its index. In addition, unlike a Fund, the returns of an index are not reduced by investment and other operating expenses, and therefore, the ability of an Equity Index Fund to match the performance of its index is adversely affected by the costs of buying and selling investments as well as other expenses. Therefore, none of the Equity Index Funds can guarantee that its performance will match its index for any period of time. In addition to the principal investment risks set forth above, special risks associated with a particular Active Equity Fund using the Dual Investment Management Strategy((SM)) are discussed in the following Fund summaries. The use of a particular benchmark index by a Fund is not a fundamental policy and can be changed. NO ONE CAN ASSURE THAT A FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE AND INVESTORS SHOULD NOT CONSIDER ANY ONE FUND TO BE A COMPLETE INVESTMENT PROGRAM. AS WITH ALL MUTUAL FUNDS, THERE IS A RISK THAT AN INVESTOR COULD LOSE MONEY BY INVESTING IN A FUND. ACTIVE EQUITY FUNDS USING THE DUAL INVESTMENT MANAGEMENT STRATEGY(SM) DUAL INVESTMENT MANAGEMENT STRATEGY(SM) The Dual Investment Management Strategy(SM) seeks to achieve higher returns over each Fund's benchmark index, while attempting to maintain a risk profile for each Fund similar to its benchmark index. Each Fund selects a benchmark that represents the universe of securities in which it may invest. This provides a degree of transparency to investors while simultaneously helping to protect against style drift from each Fund's benchmark. The Dual Investment Management Strategy(SM) uses a portfolio investment management team approach combining active management and quantitative methods to select securities. o Certain team members focus on active stock selection within the Fund's benchmark universe. They select stocks that they believe offer superior returns. They also identify stocks to avoid or underweight that are less attractive. o Other team members use quantitative analysis to build an overall portfolio that incorporates recommendations of the active team managers, staying within the Fund's guidelines for relative risk versus the benchmark. The quantitative team managers may also attempt to 4 outperform the benchmark indices by over- or under-weighting certain stocks relative to the respective benchmark index by small amounts, based on proprietary scoring models. Using the Dual Investment Management Strategy(SM), we have the flexibility to allocate between active and quantitative management, based upon investment opportunities that we perceive to be available at any particular time. Team members seek to create value and limit the additional volatility usually associated with active stock selection. Overall, the approach enables the Funds to remain fully invested when investment opportunities for active management are limited, and more diversified than active management alone would typically provide. The Growth Equity, Growth & Income, International Equity, Large-Cap Value, Mid-Cap Growth and Mid-Cap Value Funds use TIAA-CREF's Dual Investment Management Strategy(SM). GROWTH EQUITY FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, primarily from equity securities. PRINCIPAL INVESTMENT STRATEGIES: The Fund uses the Dual Investment Management Strategy(SM) and invests at least 80% of its net assets in equity securities that present the opportunity for growth. Generally, these equity securities will be those of large capitalized companies in new and emerging areas of the economy and companies with distinctive products or promising markets. The active managers look for companies that they believe have the potential for strong earnings or sales growth, or that appear to be mispriced based on current earnings, assets or growth prospects. The Fund may invest in large, well-known, established companies, particularly when we believe that the companies offer new or innovative products, services or processes that may enhance their future earnings. The Fund also seeks to invest in companies expected to benefit from prospective acquisitions, reorganizations, corporate restructurings or other special situations. The Fund may invest up to 20% of its total assets in foreign investments. Using the Dual Investment Management Strategy(SM), the Fund also invests a portion of its assets through quantitative techniques to maintain similar overall financial characteristics to the Fund's benchmark, the Russell 1000(R) Growth Index (Russell 1000 is a trademark and a service mark of the Frank Russell Company). The quantitative team attempts to control the risk of the Fund underperforming the benchmark while providing an opportunity for incremental gains. SPECIAL INVESTMENT RISKS: The Fund is subject to market risk, company risk and foreign investment risk. It is also subject to special risks of investing in growth stocks. Funds investing in securities of large companies also have the risk that these companies may grow more slowly than the economy as a whole or not at all. Similarly, by focusing on the securities of large companies, the Fund carries with it the risk that it may have fewer opportunities to identify securities that the market misprices. In addition, stocks of companies involved in reorganizations and other special situations can often involve more risk than ordinary securities. Accordingly, the Fund's performance is often more volatile than the overall stock market, and it could significantly outperform or underperform the stock market during any particular period. As with any mutual fund, you can lose money by investing in this Fund. 5 WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who want a favorable long-term total return through capital appreciation but are willing to tolerate fluctuations in value and who want to invest in a fund with a profile similar to the Fund's benchmark index. GROWTH & INCOME FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return through both capital appreciation and investment income, primarily from income-producing equity securities. PRINCIPAL INVESTMENT STRATEGIES: The Fund uses the Dual Investment Management Strategy(SM) and invests at least 80% of its net assets in income-producing equity securities. The Fund looks for equity securities of larger, well-established, mature growth companies that we believe are attractively priced, show the potential to increase in value faster than the rest of the market, and offer a growing stream of dividend income. In particular, we look for companies that are leaders in their industries, with premium product lines. We also look for companies with management dedicated to creating shareholder value. The Fund also may invest in rapidly growing smaller companies and may invest up to 20% of its total assets in foreign investments. Using the Dual Investment Management Strategy(SM), the Fund also invests a portion of its assets through quantitative techniques to maintain similar overall financial characteristics to the Fund's benchmark, the Standard & Poor's 500 ("S&P 500") Index. The quantitative team attempts to control the risk of the Fund underperforming the benchmark while providing an opportunity for incremental gains. SPECIAL INVESTMENT RISKS: The Fund is subject to market risk, company risk, modest foreign investment risk and income risk. In addition, there are special risks associated with investments in stocks paying relatively high dividends. These stocks may significantly underperform other stocks during periods of rapid market appreciation. As with any mutual fund, you can lose money by investing in this Fund. WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who want capital appreciation and income but who also can accept the risk of market fluctuations and who want to invest in a fund with a profile similar to the Fund's benchmark index. INTERNATIONAL EQUITY FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, primarily from equity securities of foreign issuers. PRINCIPAL INVESTMENT STRATEGIES: The Fund uses the Dual Investment Management Strategy(SM) and invests at least 80% of its net assets in equity securities of foreign issuers. The Fund has a policy of maintaining investments of equity securities of foreign issuers located in at least three countries other than the United States. The active managers select individual stocks, and let the Fund's country and regional asset allocations evolve from their stock selection. We do, however, regularly manage the Fund's sector and country exposure against the Fund's benchmark, the Morgan Stanley Capital International EAFE(R) (Europe, Australasia, Far East) Index (the "MSCI EAFE Index"), in order to control risk. The Fund looks for companies of all sizes with: 6 o sustainable earnings growth o focused management with successful track records o unique and easy-to-understand franchises (brands) o stock prices that don't fully reflect the stock's potential value, based on current earnings, assets, and long-term growth prospects o consistent generation of free cash flow Using the Dual Investment Management Strategy(SM), the Fund also invests a portion of its assets through quantitative techniques to maintain similar overall financial characteristics to the Fund's benchmark. The quantitative team attempts to control the risk of the Fund underperforming the benchmark while providing an opportunity for incremental gains. SPECIAL INVESTMENT RISKS: The Fund is subject to substantial foreign investment risk and above-average market risk and company risk. These risks are even more pronounced for investments in issuers located in countries with emerging economies and securities markets. While the Fund currently does not anticipate having many investments in emerging markets based on active stock selection, emerging market securities may be selected through quantitative analysis which is designed to track the performance of the emerging markets segment of the MSCI EAFE Index. The Fund may sometimes hold a significant amount of stocks of smaller, lesser-known companies whose stock prices may fluctuate more than those of larger companies. As with any mutual fund, you can lose money by investing in this Fund. Investing in foreign investments entails risks beyond those of domestic investing. These include: (1) changes in currency exchange rates; (2) possible imposition of market controls or currency exchange controls; (3) possible imposition of withholding taxes on dividends and interest; (4) possible seizure, expropriation or nationalization of assets; (5) more limited foreign financial information or difficulty in interpreting it because of foreign regulations and accounting standards; (6) the lower liquidity and higher volatility in some foreign markets; (7) the impact of political, social or diplomatic events; (8) the difficulty of evaluating some foreign economic trends; and (9) the possibility that a foreign government could restrict an issuer from paying principal and interest to investors outside the country. Brokerage commissions and transaction costs are often higher for foreign investments, and it may be harder to use foreign laws and courts to enforce financial or legal obligations. The risks described above often increase in countries with emerging markets. For example, these countries may have more unstable governments than developed countries, and their economies may be based on only a few industries. Because their securities markets may be very small, share prices may be volatile and difficult to establish. In addition, foreign investors such as the Fund are subject to a variety of special restrictions in many such countries. WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who seek high long-term total returns, understand the advantages of diversification across international markets, who are willing to tolerate the greater risks of foreign investments and who want to invest in a fund with a profile similar to the Fund's benchmark index. 7 LARGE-CAP VALUE FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, primarily from equity securities of large domestic companies. PRINCIPAL INVESTMENT STRATEGIES: The Fund uses the Dual Investment Management Strategy(SM) and invests at least 80% of its net assets in equity securities of large domestic companies, as defined by the Fund's benchmark index (the Russell 1000 Value Index), that appear undervalued by the market based on our evaluation of their potential worth. The Fund uses a variety of comparative valuation criteria to determine whether shares of a particular company might be undervalued, including: o analyses of previous historical valuations of the same security; o valuations of comparable securities in the same sector or the overall market; o various financial ratios such as stock price-to-book value, stock price-to-earnings, and dividend yield; and o free cash flow generated by the company. The Fund may invest up to 20% of its total assets in foreign investments. Using the Dual Investment Management Strategy(SM), the Fund also invests a portion of its assets through quantitative techniques to maintain similar overall financial characteristics to the Fund's benchmark. The quantitative team attempts to control the risk of the Fund underperforming the benchmark while providing an opportunity for incremental gains. SPECIAL INVESTMENT RISKS: The Fund is subject to market risk, company risk and moderate foreign investment risk. In addition, the Fund is subject to substantial style risk in that value investing may fall out of favor with investors. Likewise, equity securities that we believe are undervalued are subject to the risks that: (1) the issuer's potential business prospects are not realized; (2) their potential values are never recognized by the market; and (3) due to unanticipated or unforeseen problems associated with the issuer or industry, they were appropriately priced (or over-priced) when acquired. As with any mutual fund, you can lose money by investing in this Fund. WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who are looking for long-term total return through capital appreciation using a value investment style and who want to invest in a fund with a profile similar to the Fund's benchmark index. MID-CAP GROWTH FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, primarily from equity securities of medium-sized domestic companies. PRINCIPAL INVESTMENT STRATEGIES: The Fund uses the Dual Investment Management Strategy(SM) and invests at least 80% of its net assets in equity securities of medium-sized domestic companies, as defined by the Fund's benchmark index (the Russell Mid-Cap Growth Index), that present the opportunity for growth. 8 The Fund seeks equity securities of companies believed to have prospects for strong earnings or sales growth. The Fund invests in equity securities of companies that are in new and emerging areas of the economy, that have distinctive products or services, and those that are growing faster than the overall equity market. The Fund may also invest in companies that we believe to be undervalued based on current earnings, assets or growth prospects. These investments could include companies likely to benefit from prospective acquisitions, reorganizations, corporate restructurings or special situations. We also use proprietary quantitative models to take positions in securities that represent modest deviations from the benchmark based on relative value, price or potential earnings growth. The Fund may invest up to 20% of its total assets in foreign investments. Using the Dual Investment Management Strategy(SM), the Fund also invests a portion of its assets through quantitative techniques to maintain similar overall financial characteristics to the Fund's benchmark. The quantitative team attempts to control the risk of the Fund underperforming the benchmark while providing an opportunity for incremental gains. SPECIAL INVESTMENT RISKS: The Fund is subject to market risk, substantial company risk and moderate foreign investment risk. The Fund also is subject to substantial style risk in that growth investing may fall out of favor with investors. In addition, stocks of medium-sized companies entail greater risk and are usually more volatile than the shares of larger companies. Securities issued by medium-sized companies also may be more difficult to buy or sell than the securities issued by larger, more established companies. The stocks of "growth" oriented companies can be volatile for similar reasons. Because the value of "growth" companies is a function of their expected earnings growth, there is a risk that such earnings growth may not occur or cannot be sustained. As with any mutual fund, you can lose money by investing in this Fund. WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who desire capital appreciation and seek additional exposure to medium-sized domestic companies through a growth investment style and who want to invest in a fund with a profile similar to the Fund's benchmark index. MID-CAP VALUE FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, primarily from equity securities of medium-sized domestic companies. PRINCIPAL INVESTMENT STRATEGIES: The Fund uses the Dual Investment Management Strategy(SM) and invests at least 80% of its net assets in equity securities of medium-sized domestic companies, as defined by the Fund's benchmark index (the Russell Mid-Cap Value Index), that appear undervalued by the market based on our evaluation of their potential worth. The Fund uses a variety of comparative valuation criteria to determine whether shares of a particular company might be undervalued, including: o analyses of previous historical valuations of the same security; 9 o valuations of comparable securities in the same sector or the overall market; o various financial ratios such as stock price-to-book value, stock price-to-earnings, and dividend yield; and o free cash flow generated by the company. We also use proprietary quantitative models to take positions in securities that represent modest deviations from the benchmark based on relative value, price or potential earnings growth. The Fund may invest up to 20% of its total assets in foreign investments. Using the Dual Investment Management Strategy(SM), the Fund also invests a portion of its assets through quantitative techniques to maintain similar overall financial characteristics to the Fund's benchmark. The quantitative team attempts to control the risk of the Fund underperforming the benchmark while providing an opportunity for incremental gains. SPECIAL INVESTMENT RISKS: The Fund is subject to market risk, substantial company risk and moderate foreign investment risk. In addition, the Fund is subject to substantial style risk in that value investing may fall out of favor with investors. Equity securities that we believe undervalued are subject to the risks that: (1) the issuer's potential business prospects are not realized; (2) their potential values are never recognized by the market; and (3) due to unanticipated or unforeseen problems associated with the issuer or industry, they were appropriately priced (or over-priced) when acquired. In addition, equity securities of medium-sized companies entail greater risk and are usually more volatile than those of larger companies. Securities issued by medium-sized companies also may be more difficult to buy or sell than the securities issued by larger, more established companies. As with any mutual fund, you can lose money by investing in this Fund. WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who desire capital appreciation and seek additional exposure to medium-sized domestic companies through a value investment style, and who want to invest in a fund with a profile similar to the Fund's benchmark index. ACTIVE EQUITY FUNDS USING THE QUANTITATIVE MANAGEMENT STRATEGY QUANTITATIVE MANAGEMENT STRATEGY TIAA-CREF's Quantitative Management Strategy works differently from either the Dual Investment Management Strategy(SM) or indexing in how it builds a portfolio of stocks. Essentially, quantitative management uses proprietary mathematical models based on financial and investment theories to evaluate and score a broad universe of the stocks in which the Fund invests. These models typically weight many different variables, including: o the valuation of the individual stock versus the market or its peers; o future earnings and sustainable growth prospects; and o the price and volume trends of the stock 10 The score, combined with additional inputs listed below, are used to form the portfolio. o weightings of the stock, and its corresponding sector, in the benchmark; o correlations between the performance of the stocks in the universe; and o trading costs Overall, the goal of TIAA-CREF's quantitative management area is to build a portfolio of stocks that adds return versus the Fund's stated benchmark index, while also managing the relative risk of the Fund versus its benchmark. SMALL-CAP EQUITY FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, primarily from equity securities of smaller domestic companies. PRINCIPAL INVESTMENT STRATEGIES: The Fund uses the Quantitative Management Strategy and invests at least 80% of its net assets in equity securities of smaller domestic companies, across a wide range of sectors, growth rates and valuations, which appear to have favorable prospects for significant long-term capital appreciation. The Fund seeks to add incremental return over its stated benchmark, the Russell 2000 Index, while also managing the relative risk of the Fund versus its benchmark. SPECIAL INVESTMENT RISKS: The Fund is subject to market risk and very substantial company risk. The Fund is exposed to the risks of investing in equity securities of smaller companies. Small company securities may experience steeper fluctuations in price than the securities of larger companies. From time to time, the Fund may have to sell securities at a discount from current market prices or in small lots over an extended period. In addition, it may sometimes be difficult to find buyers for securities the Fund wishes to sell when a company is not perceived favorably in the marketplace or during periods of poor economic or market conditions. The costs of purchasing and selling securities of smaller companies are sometimes greater than those of more widely traded securities. As with any mutual fund, you can lose money by investing in this Fund. WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who desire capital appreciation and who are comfortable with the risks of investing in small domestic companies. EQUITY INDEX FUNDS Each of the Equity Index Funds seeks a favorable long-term total return from a diversified portfolio of equity securities selected to track the various U.S. or foreign markets of publicly traded stocks, as represented by a broad stock market index. The Equity Index Funds may use a sampling approach to create a portfolio that closely matches the overall investment characteristics (for example, market capitalization and industry weightings of securities) of its index without investing in all of the stocks in the index. These Funds do NOT use either the Dual Investment Management Strategy(SM) or the Quantitative Management Strategy. Each of these Funds is described below. 11 PRINCIPAL INVESTMENT STRATEGY: Each Equity Index Fund is designed to track various U.S. or foreign equity markets as a whole or a segment of these markets. Each Fund invests substantially all of its net assets in equity securities selected to track a designated broad stock market index. Because the return of an index is not reduced by investment and other operating expenses, a Fund's ability to match its index is negatively affected by the costs of buying and selling securities as well as other expenses. The use of a particular index by an Equity Index Fund is not a fundamental policy of the Fund and may be changed without shareholder approval. SPECIAL INVESTMENT RISKS: Each Equity Index Fund is subject to substantial market and index risk as well as modest company risk. Although each Equity Index Fund attempts to closely track the investment performance of its index, it does not duplicate the composition of the index. Therefore, none of the Equity Index Funds can guarantee that its performance will match its index for any period of time. WHO MAY WANT TO INVEST: Each of the Equity Index Funds may be appropriate for investors who seek a mutual fund with investment performance that attempts to closely track the performance of its designated index. The index for each Equity Index Fund is shown in the table below. These indices are described in detail below in "More About Benchmark and Other Indices". EQUITY INDEX FUND INDEX ----------------- ----- Large-Cap Growth Index Fund Russell 1000 Growth Index Large-Cap Value Index Fund Russell 1000 Value Index Equity Index Fund Russell 3000 Index S&P 500 Index Fund S&P 500 Index Mid-Cap Growth Index Fund Russell Mid-Cap Growth Index Mid-Cap Value Index Fund Russell Mid-Cap Value Index Mid-Cap Blend Index Fund Russell Mid-Cap Index Small-Cap Growth Index Fund Russell 2000 Growth Index Small-Cap Value Index Fund Russell 2000 Value Index Small-Cap Blend Index Fund Russell 2000 Index International Equity Index Fund MSCI EAFE Index 12 LARGE-CAP GROWTH INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, by investing primarily in a portfolio of equity securities of large domestic growth companies based on a market index. FUND BENCHMARK: RUSSELL 1000 GROWTH INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the Large-Cap Growth Index Fund is subject to style risk in that growth investing may fall out of favor with investors. The value of equity securities of "growth" oriented companies can fluctuate substantially for similar reasons. In addition, because the value of "growth" companies is a function of their expected earnings growth, there is a risk that such earnings growth may not occur or cannot be sustained. LARGE-CAP VALUE INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, by investing primarily in a portfolio of equity securities of large domestic value companies based on a market index. FUND BENCHMARK: RUSSELL 1000 VALUE INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the Large-Cap Value Index Fund is subject to style risk in that value investing may fall out of favor with investors. Similarly, equity securities that we believe are undervalued are subject to the risks that: (1) the issuer's potential business prospects are not realized; (2) their potential values are never recognized by the market; and (3) due to unanticipated or unforeseen problems associated with the issuer or industry, they were appropriately priced (or over-priced) when acquired. EQUITY INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly from capital appreciation, by investing primarily in a portfolio of equity securities selected to track the overall U.S. equity markets based on a market index. FUND BENCHMARK: RUSSELL 3000 INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the Equity Index Fund is subject to more than moderate company risk. The prices of equity securities of smaller, lesser-known companies, which make up a small portion of the index, may fluctuate more than those of larger companies because smaller companies may depend on narrow product lines, have limited operating histories and lack management depth. Such securities also may be thinly-traded. S&P 500 INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, by investing primarily in a portfolio of equity securities of large domestic companies selected to track U.S. equity markets based on a market index. 13 FUND BENCHMARK: S&P 500 INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: An investment in securities of larger companies carries with it the risk that the company (and its earnings) may grow more slowly than the economy as whole or not at all. Similarly, larger companies offer fewer opportunities to identify securities that the market undervalues or misprices. Also, larger companies have a greater tendency than smaller ones to fall out of favor with the investing public for reasons unrelated to their business or economic fundamentals. MID-CAP GROWTH INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term return, mainly through capital appreciation, by investing primarily in a portfolio of equity securities of medium-sized domestic growth companies based on a market index. FUND BENCHMARK: RUSSELL MID CAP GROWTH INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the Mid-Cap Growth Index Fund is subject to style risk in that growth investing may fall out of favor with investors. In addition, equity securities of medium-sized companies entail greater risk and their prices are usually more volatile than those of large companies. Securities issued by medium-sized companies also may be more difficult to buy or sell than securities issued by larger, more established companies. The value of equity securities of "growth" oriented companies can fluctuate substantially for similar reasons. In addition, because the value of "growth" companies is a function of their expected earnings growth, there is a risk that such earnings growth may not occur or cannot be sustained. MID-CAP VALUE INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, by investing primarily in a portfolio of equity securities of medium-sized domestic value companies based on a market index. FUND BENCHMARK: RUSSELL MID CAP VALUE INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the Mid-Cap Value Index Fund is subject to style risk in that value investing may fall out of favor with investors. Similarly, equity securities that we believe are undervalued are subject to the risks that: (1) the issuer's potential business prospects are not realized; (2) their potential values are never recognized by the market; and (3) due to unanticipated or unforeseen problems associated with the issuer or industry, they were appropriately priced (or over-priced) when acquired. In addition, equity securities of medium-sized companies entail greater risk and their prices are usually more volatile than those of large companies. Securities issued by medium-sized companies also may be more difficult to buy or sell than securities issued by larger, more established companies. 14 MID-CAP BLEND INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, by investing primarily in a very broad portfolio of equity securities of medium-sized domestic companies based on a market index. FUND BENCHMARK: RUSSELL MID CAP INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the Mid-Cap Blend Index Fund is subject to more than modest company risk. Equity securities of medium-sized companies entail greater risk and their prices are usually more volatile than those of large companies. Securities issued by medium-sized companies also may be more difficult to buy or sell than securities issued by larger, more established companies. SMALL-CAP GROWTH INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, by investing primarily in a portfolio of equity securities of smaller domestic growth companies based on a market index. FUND BENCHMARK: RUSSELL 2000 GROWTH INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the Small-Cap Growth Index Fund is subject to very substantial company risk and to style risk in that growth investing may fall out of favor with investors. The Fund is exposed to the risks of investing in equity securities of smaller companies. Small company securities may experience steeper fluctuations in price than the securities of larger companies. From time to time, the Fund may have to sell securities at a discount from current market prices or in small lots over an extended period. In addition, it may sometimes be difficult to find buyers for securities the Fund wishes to sell when a company is not perceived favorably in the marketplace or during periods of poor economic or market conditions. The costs of purchasing and selling securities of smaller companies are sometimes greater than those of more widely traded securities. The value of equity securities of "growth" oriented companies can fluctuate substantially for similar reasons. In addition, because the value of "growth" companies is a function of their expected earnings growth, there is a risk that such earnings growth may not occur or cannot be sustained. SMALL-CAP VALUE INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, by investing primarily in a portfolio of equity securities of smaller domestic value companies based on a market index. FUND BENCHMARK: RUSSELL 2000 VALUE INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the Small-Cap Value Index Fund is subject to very substantial company risk and to style risk in that value investing may fall out of favor with investors. The Fund is 15 exposed to the risks of investing in equity securities of smaller companies. Small company securities may experience steeper fluctuations in price than the securities of larger companies. From time to time, the Fund may have to sell securities at a discount from current market prices or in small lots over an extended period. In addition, it may sometimes be difficult to find buyers for securities the Fund wishes to sell when a company is not perceived favorably in the marketplace or during periods of poor economic or market conditions. The costs of purchasing and selling securities of smaller companies are sometimes greater than those of more widely traded securities. Similarly, equity securities that we believe are undervalued are subject to the risks that: (1) the issuer's potential business prospects are not realized; (2) their potential values are never recognized by the market; and (3) due to unanticipated or unforeseen problems associated with the issuer or industry, they were appropriately priced (or over-priced) when acquired. SMALL-CAP BLEND INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, by investing primarily in a portfolio of equity securities in smaller domestic companies based on a market index. FUND BENCHMARK: RUSSELL 2000 INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the Small-Cap Blend Index Fund is subject to very substantial company risk in that it is exposed to the risks of investing in equity securities of smaller companies. Small company securities may experience steeper fluctuations in price than the securities of larger companies. From time to time, the Fund may have to sell securities at a discount from current market prices or in small lots over an extended period. In addition, it may sometimes be difficult to find buyers for securities the Fund wishes to sell when a company is not perceived favorably in the marketplace or during periods of poor economic or market conditions. The costs of purchasing and selling securities of smaller companies are sometimes greater than those of more widely traded securities. INTERNATIONAL EQUITY INDEX FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return, mainly through capital appreciation, by investing primarily in a portfolio of foreign equity investments based on a market index. FUND BENCHMARK: MSCI EAFE INDEX. ADDITIONAL SPECIAL INVESTMENT RISKS: In addition to the investment risks applicable to all of the Equity Index Funds, the International Equity Index Fund is subject to very substantial foreign investment risk. These risks are even more pronounced for investments in issuers located in countries with emerging economies and securities markets. The Fund may sometimes hold a significant amount of stocks of smaller, lesser-known companies whose stock prices may fluctuate more than those of larger companies. 16 In addition, investing in securities traded on foreign exchanges or in foreign markets can involve risks beyond those of domestic investing. These include: (1) changes in currency exchange rates; (2) possible imposition of market controls or currency exchange controls; (3) possible imposition of withholding taxes on dividends and interest; (4) possible seizure, expropriation or nationalization of assets; (5) more limited foreign financial information or difficulty in interpreting it because of foreign regulations and accounting standards; (6) the lower liquidity and higher volatility in some foreign markets; (7) the impact of political, social or diplomatic events; (8) the difficulty of evaluating some foreign economic trends; and (9) the possibility that a foreign government could restrict an issuer from paying principal and interest to investors outside the country. Brokerage commissions and transaction costs are often higher for foreign investments, and it may be harder to use foreign laws and courts to enforce financial or legal obligations. The risks noted above often increase in countries with emerging markets. For example, these countries may have more unstable governments than developed countries, and their economies may be based on only a few industries. Because their securities markets may be very small, share prices may be volatile and difficult to establish. In addition, foreign investors such as the Fund are subject to a variety of special restrictions in many emerging countries. SPECIALTY EQUITY FUNDS TIAA-CREF Institutional Mutual Funds consists of the following Specialty Equity Fund: the Social Choice Equity Fund. SOCIAL CHOICE EQUITY FUND INVESTMENT OBJECTIVE: The Fund seeks a favorable long-term total return that reflects the investment performance of the overall U.S. stock market while giving special consideration to certain social criteria. PRINCIPAL INVESTMENT STRATEGIES: The Fund invests primarily in equity securities that meet its social criteria. The Fund attempts to track the return of the U.S. stock market as represented by the Russell 3000 Index, while investing only in companies whose activities are consistent with the Fund's social criteria. It does this by investing in companies included in the Kinder, Lydenberg, Domini & Co., Inc.'s ("KLD") Broad Market Social Index (the "BMSI"),(1) which is a ---------- (1) The Social Choice Equity Fund is not promoted, sponsored or endorsed by, nor in any way affiliated with KLD Research & Analytics, Inc. KLD Research & Analytics, Inc. is not responsible for and has not reviewed the Fund, nor any associated literature or publications and it makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise. KLD Research & Analytics, Inc.'s publication of the KLD Indexes in no way suggests or implies an opinion by it as to the attractiveness or appropriateness of investment in any or all securities upon which the KLD Indexes are based. KLD RESEARCH & ANALYTICS, INC. MAKES NO EXPRESS OR IMPLIED WARRANTY, AND EXPRESSLY DISCLAIMS ANY WARRANTY, OF ANY KIND, INCLUDING WITHOUT 17 subset of companies in the Russell 3000 Index screened to eliminate companies that do not meet certain "social" criteria. In this way, the Fund's portfolio approaches the overall investment characteristics of the Russell 3000 Index. Companies that are currently excluded from the BMSI include: o Companies that derive any revenues from the manufacture of alcohol or tobacco products; o Companies that derive any revenues from gambling; o Companies that derive significant revenues from the production of military weapons; and o Electric utilities that own interests in nuclear power plants or derive electricity from nuclear power plants in which they have any interest. The remaining companies are then evaluated for their records in certain qualitative areas. Concerns in one area will not automatically eliminate the company from the BMSI. The following are some of the principal social criteria that KLD currently considers when selecting companies for inclusion in the BMSI: o Safe and useful products, including a company's record with respect to product safety, marketing practices, commitment to quality and research and development; o Employee relations, including a company's record with respect to labor matters, workplace safety, equal employment opportunities, employee benefit programs, non-U.S. operations, and meaningful participation in company profits either through stock purchase or profit sharing plans; o Corporate citizenship, including a company's record with respect to philanthropic activities and community relations; o Environmental performance, including a company's record with respect to fines or penalties, waste disposal, toxic emissions, efforts in waste reduction and emissions reduction, recycling, and environmentally beneficial fuels, products and services; and o Diversity, including a company's record with respect to appointment of women and minorities to its board of directors and senior management positions. -------------------------------------------------------------------------------- LIMITATION, ANY WARRANTY OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE KLD INDEXES OR ANY DATA OR ANY SECURITY (OR COMBINATION THEREOF) INCLUDED THEREIN. KLD Broad Market Social Index(SM) is derived from the constituents of the Russell 3000 Index. The Russell 3000 Index is a trademark/service mark of the Frank Russell Company ("FRC"). The use of the Russell 3000 Index as the universe for the KLD Broad Market Social Index in no way suggests or implies an opinion by FRC as to the attractiveness of the KLD Broad Market Social Index or of the investment in any or all of the securities upon which the Russell Indexes or KLD Indexes are based. 18 The BMSI is reconstituted once a year based on an updated list of the companies comprising the Russell 3000 Index. As of January 2002, the BMSI comprised approximately 2,346 companies in the Russell 3000 that passed certain exclusionary and qualitative screens. The Fund may invest in U.S. Government securities and in securities issued by foreign governments or their agencies or instrumentalities as approved by our Corporate Governance and Social Responsibility Committee. The Fund may invest up to 15% of its total assets in foreign investments. SPECIAL INVESTMENT RISKS: The Fund is subject to market risk, company risk, moderate index risk and moderate foreign investment risk. In addition, because its social criteria exclude securities of certain issuers for non-financial reasons, this Fund may forgo some market opportunities available to Funds that don't use these criteria. As with any mutual fund, you can lose money by investing in this Fund. WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who seek a broadly-based equity investment that excludes companies based on certain "social" criteria. REAL ESTATE SECURITIES FUND RISKS OF INVESTING IN THE REAL ESTATE SECURITIES FUND An investment in the Real Estate Securities Fund will be subject to the following principal investment risks described below: o MARKET RISK-- An investment in the Real Estate Securities Fund will be subject to MARKET RISK, which is described above on page 3. o COMPANY RISK (often called FINANCIAL RISK)-- An investment in the Real Estate Securities Fund will be subject to COMPANY RISK, which is described above on page 3. To the extent that the Real Estate Securities Fund invests in fixed-income securities, an investment in the Real Estate Securities Fund will be subject to the principal investment risks associated with the Fixed-Income Funds (namely, INCOME VOLATILITY, CREDIT RISK, INTEREST RATE RISK and PREPAYMENT RISK AND EXTENSION RISK), which are described below on page 21. In addition to the principal investment risks set forth above, special risks associated with the Real Estate Securities Fund are discussed in the following Fund summary. The use of a particular benchmark index by the Real Estate Securities Fund is not a fundamental policy and can be changed. NO ONE CAN ASSURE THAT A FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE AND INVESTORS SHOULD NOT CONSIDER ANY ONE FUND TO BE A COMPLETE INVESTMENT PROGRAM. AS WITH ALL MUTUAL FUNDS, THERE IS A RISK THAT AN INVESTOR COULD LOSE MONEY BY INVESTING IN A FUND. 19 REAL ESTATE SECURITIES FUND INVESTMENT OBJECTIVE: The Fund seeks to obtain a favorable long-term total return through both capital appreciation and current income, by investing primarily in equity and fixed-income securities of companies principally engaged in or related to the real estate industry. PRINCIPAL INVESTMENT STRATEGIES: The Fund invests at least 80% of its net assets in the equity and fixed-income securities of companies that are principally engaged in or related to the real estate industry ("real estate securities"), including those that own significant real estate assets, such as real estate investment trusts ("REITs"). The Fund is actively managed using a research-oriented process with a focus on cash flows, asset values and our belief of managements' ability to increase shareholder value. The Fund does not invest directly in real estate. The Fund concentrates its investments in the real estate industry and is not diversified (see "Special Investment Risks" below). An issuer is principally "engaged in" or principally "related to" the real estate industry if at least 50% of its total assets, gross income, or net profits are attributable to ownership, construction, management or sale of residential, commercial or industrial real estate, or to products or services related to the real estate industry. The Fund typically invests in securities issued by equity REITs (which directly own real estate), mortgage REITs (which make short-term construction or real estate development loans or invest in long-term mortgages or mortgage pools), real estate brokers and developers, homebuilders, companies that manage real estate, and companies that own substantial amounts of real estate. Businesses related to the real estate industry include manufacturers and distributors of building supplies and financial institutions that make or service mortgage loans. The Fund also may invest up to 10% of its total assets in real estate securities of foreign issuers and up to 20% of its total assets in equity and debt securities of issuers that are not engaged in or related to the real estate industry. The benchmark index for the Fund is the Wilshire Real Estate Securities Index. SPECIAL INVESTMENT RISKS: The Fund is subject to interest rate risk, income risk, substantial market risk and very substantial company risk. It is also subject to risks arising from the fact that, unlike the other Funds, it is not a diversified investment company. As a "non-diversified" investment company, the Fund can invest in fewer individual companies than a diversified company. Because it concentrates its investments in only one industry and often holds securities of relatively few issuers, the value of its portfolio is likely to experience greater fluctuations and may be subject to a greater risk of loss than those of other mutual funds. There are significant risks inherent in the investment objective and strategies of the Real Estate Securities Fund. Because of its objective of investing in, among other things, the securities of companies that own, construct, manage or sell residential, commercial or industrial real estate, it is subject to all of the risks associated with the ownership of real estate. These risks include: declines in the value of real estate, negative changes in the climate for real estate, risks related to general and local economic conditions, over-building and increased competition, decreases in property revenues, increases in property taxes and operating expenses, changes in zoning laws, 20 casualty or condemnation losses, limitations on rents, changes in neighborhood values, the appeal of properties to tenants, leveraging of interests in real estate, increases in prevailing interest rates, and costs resulting from the clean-up of environmental problems. Because of its objective of investing in the securities of issuers whose products and services are engaged in or related to the real estate industry, it is subject to the risk that the value of such securities will be negatively affected by one or more of these risks. In addition to these risks, equity REITs may be affected by changes in the value of the underlying property of the trusts, while mortgage REITs may be affected by changes in the quality of any credit extended. Both equity and mortgage REITs are dependent upon management skill and may not be diversified themselves. REITs are also subject to heavy cash flow dependency, defaults by borrowers, self-liquidation, and the possibility of failing to qualify for special tax treatment under the Code or failing to meet other applicable regulatory requirements. Finally, certain REITs may be self-liquidating in that a specific term of existence is provided for in their trust document. In acquiring the securities of REITs, the Fund runs the risk that they will sell them at an inopportune time. The Fund is also exposed to the risks associated with investing in the securities of smaller companies, as often companies in the real estate industry are smaller, lesser-known companies. These securities may fluctuate in value more than those of larger companies because some smaller companies may depend on narrow product lines, have limited track records, lack depth of management, or have thinly-traded securities. As with any mutual fund, you can lose money by investing in this Fund. WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who want capital appreciation and income, who are looking to diversify their investments by investing in real estate securities, and who are willing to accept the risk of investing in real estate securities. FIXED-INCOME FUNDS TIAA-CREF Institutional Mutual Funds consists of two Funds that primarily invest in fixed-income securities: the Bond Fund and the Inflation-Linked Bond Fund. RISKS OF INVESTING IN THE FIXED-INCOME FUNDS An investment in a Fixed-Income Fund will be subject to the following principal investment risks described below: o INCOME VOLATILITY--INCOME VOLATILITY refers to the degree and speed with which changes in prevailing market interest rates diminish the level of current income from a portfolio of fixed-income securities. The risk of INCOME VOLATILITY is the risk that the level of current income from a portfolio of fixed-income securities declines in certain interest rate environments. o CREDIT RISK (a type of COMPANY RISK)--The risk that a decline in a company's financial position may prevent it from making principal and interest payments on fixed-income securities when due. CREDIT RISK relates to the ability of an issuer of a fixed-income security 21 to pay principal and interest on the security on a timely basis and is the risk that the issuer could default on its obligations, thereby causing a Fund to lose its investment in the security. o INTEREST RATE RISK (A TYPE OF MARKET RISK)--The risk that the value or yield of fixed-income securities may decline if interest rates change. In general, when prevailing interest rates decline, the market value of fixed-income securities (particularly those paying a fixed rate of interest) tends to increase. Conversely, when prevailing interest rates increase, the market value of fixed-income securities (particularly those paying a fixed rate of interest) tends to decline. Depending on the timing of the purchase of a fixed-income security and the price paid for it, changes in prevailing interest rates may increase or decrease the security's yield. o PREPAYMENT RISK AND EXTENSION RISK--PREPAYMENT RISK AND EXTENSION RISK are normally present in adjustable-rate mortgage loans, mortgage-backed securities and other asset-backed securities. For example, homeowners have the option to prepay their mortgages. Therefore, the duration of a security backed by home mortgages can either shorten (PREPAYMENT RISK) or lengthen (EXTENSION RISK). If interest rates on new mortgage loans fall sufficiently below the interest rates on existing outstanding mortgage loans, the rate of prepayment generally increases. Conversely, if mortgage loan interest rates rise above the interest rates on existing outstanding mortgage loans, the rate of prepayment generally decreases. In either case, a change in the prepayment rate and the resulting change in duration of fixed-income securities held by a Fund can result in losses to investors in the Fund. In addition to the principal investment risks set forth above, special risks associated with a particular Fixed-Income Fund are discussed in the following Fund summaries. The use of a particular benchmark index by a Fund is not a fundamental policy and can be changed. NO ONE CAN ASSURE THAT A FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE AND INVESTORS SHOULD NOT CONSIDER ANY ONE FUND TO BE A COMPLETE INVESTMENT PROGRAM. AS WITH ALL MUTUAL FUNDS, THERE IS A RISK THAT AN INVESTOR COULD LOSE MONEY BY INVESTING IN A FUND. BOND FUND INVESTMENT OBJECTIVE: The Fund seeks as favorable a long-term total return through income as is consistent with preserving capital, primarily from investment grade fixed-income securities. PRINCIPAL INVESTMENT STRATEGIES: The Fund invests at least 80% of its net assets in investment grade bonds and other fixed-income securities. Bonds of this type may include U.S. Government securities, corporate bonds and mortgage-backed or other asset-backed securities. We don't rely exclusively on rating agencies when making investment decisions. Instead, we also do our own credit analysis, paying particular attention to economic trends and other market events. The Fund overweights or underweights individual securities or sectors relative to its benchmark index, the Lehman Brothers Aggregate Bond Index, when we believe that we can take advantage of what appear to be undervalued, overlooked or misunderstood issuers that offer the potential to boost returns above that of the index. The Fund is managed to maintain a duration that is similar to the Lehman Brothers Aggregate Bond Index. Duration is the approximate percentage change in the price of a bond in response to a change in prevailing interest rates. As of August 31, 2002, the duration of the Lehman Brothers Aggregate Bond Index was 4.02 years. By keeping the 22 duration of the Fund close to that of the index, the returns due to changes in interest rates should be similar between the Fund and the index. The Fund may invest up to 15% of its total assets in fixed-income securities of foreign issuers. The Bond Fund's investments in mortgage-backed securities can include pass-through securities sold by private, governmental and government-related organizations and collateralized mortgage obligations ("CMOs"). Mortgage pass-through securities are created when mortgages are pooled together and interests in the pool are sold to investors. The cash flow from the underlying mortgages is "passed through" to investors in periodic principal and interest payments. CMOs are obligations that are fully collateralized directly or indirectly by a pool of mortgages from which payments of principal and interest are dedicated to the payment of principal and interest. The Fund may use an investment strategy called "mortgage rolls" (also referred to as "dollar rolls"), in which the Fund sells securities for delivery in the current month and simultaneously contracts with a counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund would benefit to the extent of any price received for the securities sold and the lower forward price for the future purchase (often referred to as the "drop") plus the interest earned on the short-term investment awaiting the settlement date of the forward purchase. If such benefits exceed the income and gain or loss due to mortgage repayments that would have been realized on the securities sold as part of the mortgage roll, the use of this technique will enhance the investment performance of the Fund compared with what such performance would have been without the use of mortgage rolls. Realizing benefits from the use of mortgage rolls depends upon Advisors' ability to predict correctly mortgage prepayments and interest rates. The Fund may also engage in duration-neutral relative value trading, a strategy in which we buy and sell government bonds of identical credit quality but different maturity dates in an attempt to take advantage of spread differentials along the yield curve. The duration-neutral relative value trading strategy is designed to enhance the Fund's returns but increases the Fund's portfolio turnover rate. SPECIAL INVESTMENT RISKS: The Fund is subject to substantial interest rate risk and significant prepayment/extension risk as well as company risk, income risk, moderate credit risk, moderate foreign investment risk and moderate index risk. The value of securities held by the Fund changes in response to daily changes in prevailing market interest rates. Although the Fund invests primarily in investment grade securities, market values for such securities can still vary independent of interest rate changes, depending upon the market evaluation of general credit conditions and liquidity. Under the Fund's mortgage roll investment strategy, there is a risk that Advisors will not correctly predict mortgage prepayments and interest rates, which will diminish the investment performance of the Fund compared with what such performance would have been without the use of the strategy. 23 Securities originally rated "investment grade" are sometimes downgraded later on, should a ratings agency like Moody's or S&P believe the issuer's business outlook or creditworthiness has deteriorated. We will attempt to sell any security held by the Fund which is downgraded to a below investment grade rating as promptly as possible, consistent with the best interests of the Fund. Lower-rated bonds can at times be harder to sell than investment grade bonds, and their prices can be more volatile and more difficult to determine than the prices of higher-quality securities. As with any mutual fund, you can lose money by investing in this Fund. Also, the Fund may experience high portfolio turnover, which can have a negative impact on the Fund's performance. WHO MAY WANT TO INVEST: The Fund may be appropriate for those who want to invest in a general high-quality fixed-income mutual fund. INFLATION-LINKED BOND FUND INVESTMENT OBJECTIVE: The Fund seeks a long-term rate of return that outpaces inflation, primarily through investment in inflation-indexed bonds. PRINCIPAL INVESTMENT STRATEGIES: The Fund invests at least 80% of its net assets in inflation-indexed bonds - fixed-income securities whose returns are designed to track a specified inflation index over the life of the security. Typically, the Fund will invest in U.S. Treasury Inflation-Indexed Securities ("TIIS"). The Fund can also invest in (1) other inflation-indexed bonds issued or guaranteed by the U.S. Government or its agencies, by corporations and other U.S. domiciled issuers, as well as foreign governments, and (2) money market instruments or other short-term securities. Like conventional bonds, inflation-indexed bonds generally pay interest at fixed intervals and return the principal at maturity. Unlike conventional bonds, an inflation-indexed bond's principal or interest is adjusted periodically to reflect changes in a specified inflation index. Inflation-indexed bonds are designed to preserve purchasing power over the life of the bond while paying a "real" rate of interest (I.E., a return over and above the inflation rate). These bonds are generally issued at a fixed interest rate that is lower than that of conventional bonds of comparable maturity and quality, but they generally retain their value against inflation over time. The principal amount of a TIIS bond is adjusted periodically for inflation using the Consumer Price Index for All Urban Consumers ("CPI-U"). Interest is paid twice a year. The interest rate is fixed, but the amount of each interest payment varies as the principal is adjusted for inflation. The principal amount of a TIIS instrument may diminish in times of deflation. However, the U.S. Treasury guarantees that the final principal payment at maturity is at least the original principal amount of the bond. The interest and principal components of the bonds may be "stripped" or sold separately. The Fund can buy or sell either component. The Fund may also invest in inflation-indexed bonds issued or guaranteed by foreign governments and their agencies, as well as other foreign issuers. These investments are usually designed to track the inflation rate in the issuing country. Under most circumstances, the Fund's 24 investments in inflation-linked bonds of foreign issuers is generally less than 25% of its total assets. The Fund is managed to maintain a duration that is similar to its benchmark index, the Salomon Smith Barney Inflation-Linked Bond Index. Duration is the approximate percentage change in the price of a bond in response to a change in prevailing interest rates. As of August 31, 2002, the duration of the Salomon Smith Barney Inflation-Linked Bond Index was 9.81 years. By keeping the duration of the Fund close to that of the index, the returns due to changes in interest rates should be similar between the Fund and the index. Typically, the Fund will invest in corporate and foreign inflation-indexed bonds that are similar in duration and maturity as those of domestic inflation-indexed bonds. The Fund also may invest in any of the fixed-income securities in which the Bond Fund invests, provided that no more than 5% of its total assets are invested in fixed-income securities rated below investment grade. The benchmark index for the Fund is the Salomon Smith Barney Inflation-Linked Bond Index. SPECIAL INVESTMENT RISKS: The Fund is subject to interest rate risk. As a result, its total return may not actually track the selected inflation index every year. Market values of inflation-indexed bonds can be affected by changes in the market's inflation expectations or changes in real rates of interest. Also, the CPI-U may not accurately reflect the true rate of inflation. If the market perceives that the index used by TIIS does not accurately reflect inflation, the market value of those bonds could be adversely affected. In addition, the Fund may be subject to certain tax risks that are described below in "Taxes." As with any mutual fund, you can lose money by investing in this Fund. WHO MAY WANT TO INVEST: The Fund may be appropriate for investors who are especially concerned about protecting their investments from the adverse effects of inflation, seek a modest "real" rate of return (I.E., greater than the inflation rate) and want to balance their holdings in stocks, conventional fixed-income securities, and other investments with an investment in a "value preservation" option. MONEY MARKET FUND TIAA-CREF Institutional Mutual Funds consists of one Fund that primarily invests in high-quality, short-term money market instruments. This Fund is described below. MONEY MARKET FUND INVESTMENT OBJECTIVE: The Fund seeks high current income consistent with maintaining liquidity and preserving capital. PRINCIPAL INVESTMENT STRATEGIES: The Fund invests primarily in high-quality short-term money market instruments. It limits its investments to securities that present minimal credit risk and are rated in the highest rating categories for short-term instruments. The benchmark index for the Fund is the iMoneyNet Money Fund Report Average - All Taxable. 25 SPECIAL INVESTMENT RISKS: The principal risk of investing in the Money Market Fund is CURRENT INCOME RISK--that is, the income the Fund receives may fall as a result of a decline in interest rates. To a lesser extent, the Fund is also subject to MARKET RISK and COMPANY RISK, which are described above on page 3, and INCOME VOLATILITY, INTEREST RATE RISK and PREPAYMENT RISK AND EXTENSION RISK, which are described above on page 21. The use of the Money Market Fund's benchmark index by a Fund is not a fundamental policy and can be changed. No one can assure that a Fund will achieve its investment objective and investors should not consider any one Fund to be a complete investment program. An investment in the Money Market Fund, like the other Funds, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. WHO MAY WANT TO INVEST: The Fund may be suitable for conservative investors who are looking for a high degree of principal stability and liquidity, and are willing to accept returns that may be lower than those offered by longer-term fixed-income investments. PAST PERFORMANCE The bar charts and performance table help illustrate some of the risks of investing in the Funds, and how investment performance varies. The bar charts present information for the Institutional Class shares of the Growth Equity Fund, the Growth & Income Fund, the International Equity Fund, the Equity Index Fund, the Social Choice Equity Fund, the Bond Fund and the Money Market Fund only, because the other Funds comprising the TIAA-CREF Institutional Mutual Funds were formed in 2002 and thus do not have annual returns for at least one calendar year. The bar charts and performance table also do not present information about Retirement Class and Retail Class shares because shares of the Retirement Class and Retail Class were not available during the time periods shown. The bar charts show each Fund's performance, before taxes, in 2000 and 2001, and below each chart we note each Fund's best and worst returns for a calendar quarter since 2000 and the Fund's performance for the six month period ended June 30, 2002. The performance table following the charts shows each Fund's returns (before and after taxes) over the 2001 calendar year and since inception for the Institutional Class shares only, and how those returns compare to those of broad-based securities market indexes. How the Funds have performed (before and after taxes) in the past is not necessarily an indication of how they will perform in the future. GROWTH EQUITY FUND [bar chart] -20.34% -22.88% 2000 2001 Best quarter: 15.69%, for the quarter ended December 31, 2001. Worst quarter: -22.50%, for the quarter ended March 31, 2001. The Fund's performance for the period of January 1, 2002 to June 30, 2002 was -22.76%. 26 GROWTH & INCOME FUND [bar chart] -7.94% -12.79% 2000 2001 Best quarter: 10.79%, for the quarter ended December 31, 2001. Worst quarter: -14.53%, for the quarter ended September 30, 2001. The Fund's performance for the period of January 1, 2002 to June 30, 2002 was -15.19%. INTERNATIONAL EQUITY FUND [bar chart] -19.14% -23.07% 2000 2001 Best quarter: 7.21%, for the quarter ended December 31, 2001. Worst quarter: -14.92%, for the quarter ended March 31, 2001. The Fund's performance for the period of January 1, 2002 to June 30, 2002 was -0.82%. EQUITY INDEX FUND [bar chart] -7.74% -11.40% 2000 2001 Best quarter: 11.57%, for the quarter ended December 31, 2001. Worst quarter: -15.16%, for the quarter ended September 30, 2001. The Fund's performance for the period of January 1, 2002 to June 30, 2002 was -12.32%. SOCIAL CHOICE EQUITY FUND [bar chart] -6.64% -12.54% 2000 2001 Best quarter: 10.23%, for the quarter ended December 31, 2001. Worst quarter: -13.38%, for the quarter ended September 30, 2001. The Fund's performance for the period of January 1, 2002 to June 30, 2002 was -12.56%. 27 BOND FUND [bar chart] 11.71% 8.20% 2000 2001 Best quarter: 5.02%, for the quarter ended September 30, 2001. Worst quarter: -0.37%, for the quarter ended December 31, 2001. The Fund's performance for the period of January 1, 2002 to June 30, 2002 was 3.76%. MONEY MARKET FUND [bar chart] 6.45% 4.09% 2000 2001 Best quarter: 1.65%, for the quarter ended December 31, 2000. Worst quarter: 0.61%, for the quarter ended December 31, 2001. The Fund's performance for the period of January 1, 2002 to June 30, 2002 was 0.84%. 28 AVERAGE ANNUAL TOTAL RETURNS FOR INSTITUTIONAL CLASS SHARES (BEFORE AND AFTER TAXES) ONE YEAR SINCE INCEPTION (JANUARY 1, 2001 TO (JULY 1, 1999 TO DECEMBER 31, 2001) DECEMBER 31, 2001) ------------------ ------------------ GROWTH EQUITY FUND Return Before Taxes -22.88% -11.82% Return After Taxes on Distributions -22.97% -12.10% Return After Taxes on Distributions -13.93% -9.26% and Sale of Fund Shares Russell 1000 Growth Index -20.42% -25.58% GROWTH & INCOME FUND Return Before Taxes -12.79% -5.46% Return After Taxes on Distributions -13.12% -5.99% Return After Taxes on Distributions -7.79% -4.51% and Sale of Fund Shares S&P 500 Index -11.89% -5.72% INTERNATIONAL EQUITY FUND Return Before Taxes -23.07% -3.18% Return After Taxes on Distributions -23.29% -3.92% Return After Taxes on Distributions -13.99% -2.71% and Sale of Fund Shares MSCI EAFE Index -21.55% -7.51% EQUITY INDEX FUND Return Before Taxes -11.40% -4.76% Return After Taxes on Distributions -11.64% -5.23% Return After Taxes on Distributions -6.94% -3.96% and Sale of Fund Shares Russell 3000 Index -11.46% -4.56% SOCIAL CHOICE EQUITY FUND Return Before Taxes -12.54% -5.43% Return After Taxes on Distributions -12.89% -6.08% Return After Taxes on Distributions -7.63% -4.60% and Sale of Fund Shares Russell 3000 Index -11.46% -4.56% S&P 500 Index -11.89% -5.72% BOND FUND Return Before Taxes 8.20% 8.12% Return After Taxes on Distributions 5.15% 5.14% Return After Taxes on Distributions 4.98% 5.00% and Sale of Fund Shares Lehman Brothers Aggregate Bond Index 8.44% 8.16% 29 MONEY MARKET FUND Return Before Taxes 4.09% 5.29% iMoneyNet Money Fund Report Average - All Taxable 3.65% 4.78% -------------------------------------------------------------------------------- After-tax returns are calculated using the historical highest individual federal marginal income tax rates in effect during the periods shown, and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor's tax situation and may differ from those shown. The after-tax returns shown are not relevant to investors who hold their Fund shares through tax-deferred arrangements such as 401(a), 401(k) or 403(b) plans or IRAs. The table only presents the after-tax returns of the Institutional Class shares. After-tax returns of Retirement Class and Retail Class shares will vary. The benchmark indices reflect no deductions for fees, expenses or taxes. On July 1, 2002, the Social Choice Equity Fund began to use the Russell 3000 Index as its benchmark index. Prior to that date, the benchmark index for the Social Choice Equity Fund was the S&P 500 Index Fund. Because the Social Choice Equity Fund began investing in the KLD BMSI, a socially screened subset of companies in the Russell 3000 Index, the Social Choice Equity Fund believed it was more appropriate to use the Russell 3000 Index, as opposed to the S&P 500 Index, as its benchmark index. For the Money Market Fund's most current 7-day yield, please call us at 800 897-9069. FEES AND EXPENSES The Funds offer three different classes of shares. Although your money will be invested the same way no matter which class of shares you buy, there are differences among the fees and expenses associated with each class. Not everyone is eligible to buy every class. After determining which classes you are eligible to buy, decide which class best suits your needs. FEES AND EXPENSES FOR THE RETIREMENT CLASS SHARES The following tables describe the fees and expenses that you pay if you buy and hold Retirement Class shares of the Funds: 30 SHAREHOLDER FEES (DEDUCTED DIRECTLY RETIREMENT FROM GROSS AMOUNT OF TRANSACTION) CLASS -------------------------------------------------------------------------------- Maximum Sales Charge Imposed on Purchases (percentage of offering price) 0% Maximum Deferred Sales Charge 0% Maximum Sales Charge Imposed on Reinvested Dividends and Other Distributions 0% Redemption Fee 0% Exchange Fee 0% Maximum Account Fee 0% -------------------------------------------------------------------------------- ANNUAL FUND OPERATING EXPENSES (DEDUCTED FROM FUND ASSETS) -------------------------------------------------------------------------------- Total Annual Manage- Distribution Fund ment (12b-1) Other Operating Fees Fees(1) Expenses Expenses -------------------------------------------------------------------------------- Growth & Income Fund 0.08% 0.04% 0.31% 0.43% International Equity Fund 0.09% 0.04% 0.37% 0.50% Large-Cap Value Fund 0.08% 0.04% 0.31% 0.43% Mid-Cap Growth Fund 0.08% 0.04% 0.31% 0.43% Mid-Cap Value Fund 0.08% 0.04% 0.31% 0.43% Small-Cap Equity Fund 0.08% 0.04% 0.31% 0.43% Large-Cap Growth Index Fund 0.04% 0.04% 0.29% 0.37% Large-Cap Value Index Fund 0.04% 0.04% 0.29% 0.37% S&P 500 Index Fund 0.04% 0.04% 0.29% 0.37% Mid-Cap Growth Index Fund 0.04% 0.04% 0.29% 0.37% Mid-Cap Value Index Fund 0.04% 0.04% 0.29% 0.37% Mid-Cap Blend Index Fund 0.04% 0.04% 0.29% 0.37% Small-Cap Growth Index Fund 0.04% 0.04% 0.29% 0.37% Small-Cap Value Index Fund 0.04% 0.04% 0.29% 0.37% Small-Cap Blend Index Fund 0.04% 0.04% 0.29% 0.37% International Equity Index Fund 0.04% 0.04% 0.36% 0.44% Social Choice Equity Fund 0.04% 0.04% 0.29% 0.37% Real Estate Securities Fund 0.09% 0.04% 0.31% 0.44% (1) The Funds have adopted distribution plans pursuant to 12b-1 under the Investment Company Act of 1940, as amended (the "1940 Act") that permits Retirement Class shares to reimburse Teachers Personal Investors Services, Inc. ("TPIS"), a subsidiary of TIAA and principal underwriter for the Funds, for certain promotional expenses of selling Retirement Class shares in an amount up to 0.04% of the net asset value of the shares on an annual basis. 31 EXAMPLE The following example is intended to help you compare the cost of investing in Retirement Class shares of the following Funds with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in a Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5 percent return each year and that the Fund's operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years ------------------------------------------------------------------------------- Growth & Income Fund $44 $138 International Equity Fund $51 $160 Large-Cap Value Fund $44 $138 Mid-Cap Growth Fund $44 $138 Mid-Cap Value Fund $44 $138 Small-Cap Equity Fund $44 $138 Large-Cap Growth Index Fund $38 $119 Large-Cap Value Index Fund $38 $119 S&P 500 Index Fund $38 $119 Mid-Cap Growth Index Fund $38 $119 Mid-Cap Value Index Fund $38 $119 Mid-Cap Blend Index Fund $38 $119 Small-Cap Growth Index Fund $38 $119 Small-Cap Value Index Fund $38 $119 Small-Cap Blend Index Fund $38 $119 International Equity Index Fund $45 $141 Social Choice Equity Fund $38 $119 Real Estate Securities Fund $45 $141 FEES AND EXPENSES FOR THE INSTITUTIONAL CLASS SHARES The following tables describe the fees and expenses that you pay if you buy and hold Institutional Class shares of the Funds: SHAREHOLDER FEES (DEDUCTED DIRECTLY INSTITUTIONAL FROM GROSS AMOUNT OF TRANSACTION) CLASS -------------------------------------------------------------------------------- Maximum Sales Charge Imposed on Purchases (percentage of offering price) 0% Maximum Deferred Sales Charge 0% Maximum Sales Charge Imposed on Reinvested Dividends and Other Distributions 0% Redemption Fee 0% Exchange Fee 0% Maximum Account Fee 0% 32 ANNUAL FUND OPERATING EXPENSES (DEDUCTED FROM FUND ASSETS) -------------------------------------------------------------------------------- Total Annual Manage- Fund ment Other Operating Fees Expenses Expenses -------------------------------------------------------------------------------- Growth Equity Fund 0.08% 0.06% 0.14% Growth & Income Fund 0.08% 0.06% 0.14% International Equity Fund 0.09% 0.11% 0.20% Large-Cap Value Fund 0.08% 0.06% 0.14% Mid-Cap Growth Fund 0.08% 0.06% 0.14% Mid-Cap Value Fund 0.08% 0.06% 0.14% Small-Cap Equity Fund 0.08% 0.06% 0.14% Large-Cap Growth Index Fund 0.04% 0.04% 0.08% Large-Cap Value Index Fund 0.04% 0.04% 0.08% Equity Index Fund 0.04% 0.04% 0.08% S&P 500 Index Fund 0.04% 0.04% 0.08% Mid-Cap Growth Index Fund 0.04% 0.04% 0.08% Mid-Cap Value Index Fund 0.04% 0.04% 0.08% Mid-Cap Blend Index Fund 0.04% 0.04% 0.08% Small-Cap Growth Index Fund 0.04% 0.04% 0.08% Small-Cap Value Index Fund 0.04% 0.04% 0.08% Small-Cap Blend Index Fund 0.04% 0.04% 0.08% International Equity Index Fund 0.04% 0.11% 0.15% Social Choice Equity Fund 0.04% 0.04% 0.08% Real Estate Securities Fund 0.09% 0.06% 0.15% Inflation-Linked Bond Fund 0.09% 0.05% 0.14% Money Market Fund 0.04% 0.05% 0.09% 33 EXAMPLE The following example is intended to help you compare the cost of investing in Institutional Class shares of the following Funds with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in a Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5 percent return each year and that the Fund's operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years -------------------------------------------------------------------------------- Growth Equity Fund $14 $45 $79 $179 Growth & Income Fund $14 $45 $79 $179 International Equity Fund $20 $64 $113 $255 Large-Cap Value Fund $14 $45 N/A N/A Mid-Cap Growth Fund $14 $45 N/A N/A Mid-Cap Value Fund $14 $45 N/A N/A Small-Cap Equity Fund $14 $45 N/A N/A Large-Cap Growth Index Fund $ 8 $26 N/A N/A Large-Cap Value Index Fund $ 8 $26 N/A N/A Equity Index Fund $ 8 $26 $45 $103 S&P 500 Index Fund $ 8 $26 N/A N/A Mid-Cap Growth Index Fund $ 8 $26 N/A N/A Mid-Cap Value Index Fund $ 8 $26 N/A N/A Mid-Cap Blend Index Fund $ 8 $26 N/A N/A Small-Cap Growth Index Fund $ 8 $26 N/A N/A Small-Cap Value Index Fund $ 8 $26 N/A N/A Small-Cap Blend Index Fund $ 8 $26 N/A N/A International Equity Index Fund $15 $48 N/A N/A Social Choice Equity Fund $ 8 $26 $45 $103 Real Estate Securities Fund $15 $48 N/A N/A Inflation-Linked Bond Fund $14 $45 $79 $179 Money Market Fund $ 9 $29 $51 $115 FEES AND EXPENSES FOR THE RETAIL CLASS SHARES The following tables describe the fees and expenses that you pay if you buy and hold Retail Class shares of the Funds: 34 SHAREHOLDER FEES (DEDUCTED DIRECTLY RETAIL FROM GROSS AMOUNT OF TRANSACTION) CLASS -------------------------------------------------------------------------------- Maximum Sales Charge Imposed on Purchases (percentage of offering price) 0% Maximum Deferred Sales Charge 0% Maximum Sales Charge Imposed on Reinvested Dividends and Other Distributions 0% Redemption Fee 0% Exchange Fee 0% Maximum Annual Account Fee $25(1) (1) This low balance fee is assessed annually on all accounts below $1,500, and is waived for investors who either have $50,000 or more invested with TIAA-CREF entities or who have set up an automatic investment program investing at least $100 per month. ANNUAL FUND OPERATING EXPENSES (DEDUCTED FROM FUND ASSETS) -------------------------------------------------------------------------------- Total Annual Management Fund Fees Other Operating Expenses Expenses -------------------------------------------------------------------------------- Large-Cap Value Fund 0.08% 0.36% 0.44% Mid-Cap Growth Fund 0.08% 0.36% 0.44% Mid-Cap Value Fund 0.08% 0.36% 0.44% Small-Cap Equity Fund 0.08% 0.22% 0.30% Real Estate Securities Fund 0.09% 0.36% 0.45% Inflation-Linked Bond Fund 0.09% 0.21% 0.30% EXAMPLE The following example is intended to help you compare the cost of investing in Retail Class shares of the following Funds with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in a Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5 percent return each year and that the Fund's operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 35 1 Year 3 Years -------------------------------------------------------------------------------- Large-Cap Value Fund $45 $141 Mid-Cap Growth Fund $45 $141 Mid-Cap Value Fund $45 $141 Small-Cap Equity Fund $31 $ 97 Real Estate Securities Fund $46 $144 Inflation-Linked Bond Fund $31 $ 97 INVESTMENT OBJECTIVES, STRATEGIES AND RISKS INVESTMENT MANAGEMENT STYLES GROWTH INVESTING. This is a portfolio management style that involves seeking securities of issuers with above-average recent earnings growth rates and a reasonable likelihood of maintaining such rates in the foreseeable future. Typically, such securities are those of issuers with favorable long-term growth prospects. Such issuers often are companies with a strong competitive position within their industry or a competitive position within a very strong industry. Generally, growth investing entails analyzing the quality of an issuer's earnings (I.E., the degree to which earnings are derived from sustainable, cash-based sources), and analyzing issuers as if one would be buying the company or its business, not simply trading its securities. Growth investing may also involve fundamental research about and qualitative analysis of particular companies in order to identify and take advantage of potential short-term earnings increases that are not reflected in the current price of the company's securities. VALUE INVESTING. This is a portfolio management style that typically involves seeking securities that: o Exhibit low relative financial ratios (such as stock price-to-book value, stock price-to-earnings and stock price-to-cash flow); o Can be acquired for less than what one believes is the issuer's potential value; and o Appear attractive using discounted cash flow models. Value oriented investments may include securities of companies in cyclical industries during periods when such securities appear to have strong potential for capital appreciation, or securities of "special situation" companies. A special situation company is one that is believed to have potential for significant future earnings growth, but has not performed well in the recent past. Such companies may include ones undergoing management changes, corporate or asset restructuring, or ones having significantly undervalued assets. Identifying special situation companies and establishing an issuer's potential value involves fundamental research and analysis of such companies and issuers. 36 MORE ABOUT BENCHMARK AND OTHER INDICES ACTIVE EQUITY FUNDS USING THE DUAL INVESTMENT MANAGEMENT STRATEGY GROWTH EQUITY FUND The benchmark index for the GROWTH EQUITY FUND is the Russell 1000 Growth Index. The Russell 1000 Growth Index is a sub-set of the Russell 1000 Index, which represents the top 1,000 U.S. equity securities in market capitalization. The Russell 1000 Growth Index represents those Russell 1000 Index securities with higher relative forecasted growth rates and price/book ratios. The Russell 1000 Growth Index has higher weightings in those sectors of the market with typically higher relative valuations and higher growth rates, including sectors such as technology, health care and telecommunications. As of June 30, 2002, the market capitalization of companies in the Russell 1000 Growth Index ranged from $420 million to $296.2 billion, with a mean market capitalization of $11.9 billion and a median market capitalization of $3.2 billion. The Frank Russell Company determines the composition of the index based on a combination of factors including market capitalization, price/book ratio and long-term growth rate, and can change its composition at any time. The Russell 1000 Growth Index is not a mutual fund and you cannot invest directly in the index. GROWTH & INCOME FUND The benchmark index for the GROWTH & INCOME FUND is the S&P 500 Index. The S&P 500 Index is a market capitalization-weighted index of the 500 largest capitalized stocks in the U.S. that is widely recognized as a guide to the overall health of the U.S. stock market. The index covers industrial, utility, transportation and financial companies of the U.S. markets. The index represents over 75% of the New York Stock Exchange ("NYSE") market capitalization and 15% of NYSE issues. Standard & Poor's determines the composition of the index based on a combination of factors including market capitalization, liquidity and industry group representation and can change its composition at any time. The S&P 500 Index is not a mutual fund and you cannot invest directly in the index. INTERNATIONAL EQUITY FUND The benchmark index for the INTERNATIONAL EQUITY FUND is the MSCI EAFE Index. The MSCI EAFE Index tracks the performance of the leading stocks in 21 MSCI developed countries outside of North America - in Europe, Australasia and the Far East. The MSCI EAFE Index constructs indices country by country, then assembles the country indices into regional indices. To construct an MSCI country index, the MSCI EAFE Index analyzes each stock in that country's market based on its price, trading volume and significant owners. The stocks are sorted by industry group, and the most "investable" stocks (as determined by size and trading volume) are selected until 85 percent of the free float adjusted market representation of each industry is reached. MSCI country indices capture 85 percent of each country's free float adjusted market capitalization while maintaining the overall industry exposure of the market. When combined as the MSCI EAFE Index, the regional index captures 85 percent of the free float adjusted market capitalization of 21 developed countries around the world. The MSCI EAFE Index is primarily a large-capitalization index, with approximately 65 percent of its stocks falling in this category. Morgan Stanley determines the composition of the index 37 based on a combination of factors including regional/country exposure, price, trading volume and significant owners, and can change its composition at any time. The MSCI EAFE Index is not a mutual fund and you cannot invest directly in the index. LARGE-CAP VALUE FUND The benchmark for LARGE CAP VALUE FUND is the Russell 1000 Value Index. The Russell 1000 Value Index is a subset of the Russell 1000 Index which represents the top 1,000 U.S. equity securities in market capitalization. The Russell 1000 Value Index contains higher weightings of roughly one-third of the Russell 1000 securities with lower relative growth rates and price/book values and lower weightings of the roughly middle third of companies. The Russell 1000 Value Index has higher weightings in those sectors of the market with typically lower relative valuations and growth rates, including sectors such as financial services and energy. As of June 30, 2002, the market capitalization of companies in the Russell 1000 Value Index ranged from $420 million to $277.5 billion, with a mean market capitalization of $8.9 billion and a median market capitalization of $3.0 billion. The market capitalization ranges and overall risk and return profile of the Fund are likely to be roughly comparable to the Fund's Russell 1000 Value Index benchmark. MID-CAP GROWTH FUND The benchmark for the MID-CAP GROWTH FUND is the Russell Mid-Cap Growth Index. The Russell Mid-Cap Growth Index is a subset of the Russell Mid-Cap Index which represents the 800 U.S. equity securities in market capitalization following the top 200 U.S. equity securities. The Russell Mid-Cap Growth Index contains higher weightings in roughly one-third of these 800 Russell Mid-Cap securities with higher relative growth rates and price/book values and lower weightings of the roughly middle third of companies. The Russell Mid-Cap Growth Index has higher weightings in those sectors of the market with typically higher relative valuations and growth rates, including sectors such as technology, health care and telecommunications. As of June 30, 2002, the market capitalization of companies in the Russell Mid-Cap Growth Index ranged from $420 million to $11.3 billion, with a mean market capitalization of $3.3 billion and a median market capitalization of $2.5 billion. The market capitalization ranges and overall risk and return profile of the Fund are likely to be roughly comparable to the Fund's Russell Mid-Cap Growth Index benchmark. MID-CAP VALUE FUND The benchmark for the MID-CAP VALUE Fund is the Russell Mid-Cap Value Index. The Russell Mid-Cap Value Index is a subset of the Russell Mid-Cap Index which represents the 800 largest U.S. equity securities in market capitalization after the largest 200 U.S. equity securities. The Russell Mid-Cap Value Index contains higher weightings of roughly one-third of these 800 Russell Mid-Cap securities with lower relative growth rates and price/book values and lower weightings of the roughly middle third of companies. The Russell Mid-Cap Value Index has higher weightings in those sectors of the market with typically lower relative valuations, including sectors such as financial services and energy. As of June 30, 2002, the market capitalization of companies in the Russell Mid-Cap Value Index ranged from $420 million to $10.5 billion, with a mean market capitalization of $3.2 billion and a median market capitalization of $2.5 billion. The market capitalization ranges and overall risk and return profile 38 of the Fund are likely to be roughly comparable to the Fund's Russell Mid-Cap Value Index benchmark. ACTIVE EQUITY FUNDS USING THE QUANTITATIVE MANAGEMENT STRATEGY SMALL-CAP EQUITY FUND The benchmark for the SMALL-CAP EQUITY FUND is the Russell 2000 Index. The Russell 2000 Index represents the largest 2,000 U.S. equities in market capitalization following the top 1,000 U.S. equities. As of June 30, 2002, the market capitalization of companies in the Russell 2000 Index ranged from $30 million to $1.8 billion, with a mean market capitalization of $470 million and a median market capitalization of $380 million. The Frank Russell Company determines the composition of the index based solely on market capitalization, and can change its composition at any time. The Russell 2000 Index is not a mutual fund and you cannot invest directly in the index. EQUITY INDEX FUNDS The Equity Index Funds are not promoted, endorsed, sponsored or sold by or affiliated with the companies that maintain their respective index. LARGE-CAP GROWTH INDEX FUND The benchmark for the LARGE-CAP GROWTH INDEX FUND is the Russell 1000 Growth Index. The Russell 1000 Growth Index is a sub-set of the Russell 1000 Index, which represents the top 1,000 U.S. equity securities in market capitalization. The Russell 1000 Growth Index represents those Russell 1000 Index securities with higher relative forecasted growth rates and price/book ratios. The Russell 1000 Growth Index has higher weightings in those sectors of the market with typically higher relative valuations and higher growth rates, including sectors such as technology, health care and telecommunications. As of June 30, 2002, the market capitalization of companies in the Russell 1000 Growth Index ranged from $420 million to $296.2 billion, with a mean market capitalization of $11.9 billion and a median market capitalization of $3.2 billion. The frank russell company determines the composition of the index based on a combination of factors including market capitalization, price/book ratio and long-term growth rate, and can change its composition at any time. The russell 1000 growth index is not a mutual fund and you cannot invest directly in the index. LARGE-CAP VALUE INDEX FUND The benchmark for the LARGE-CAP VALUE INDEX FUND is the Russell 1000 Value Index. The Russell 1000 Value Index is a sub-set of the Russell 1000 Index, which represents the top 1,000 U.S. equity securities in market capitalization. The Russell 1000 Value Index represents those Russell 1000 Index securities with lower relative forecasted growth rates and price/book ratios. The Russell 1000 Value Index has higher weightings in those sectors of the market with typically lower relative valuations and higher growth rates, including sectors such as financial services and energy. As of June 30, 2002, the market capitalization of companies in the Russell 1000 Value Index ranged from $420 million to $277.5 billion, with a mean market capitalization of $8.9 billion and a median market capitalization of $3.0 billion. The Frank Russell Company determines the composition of the index based on a combination of factors including market 39 capitalization, price/book ratio and long-term growth rate, and can change its composition at any time. The Russell 1000 Value Index is not a mutual fund and you cannot invest directly in the index. EQUITY INDEX FUND The benchmark for the EQUITY INDEX FUND is the Russell 3000(R) Index. The Russell 3000 Index is an unmanaged index of stocks of the 3,000 largest publicly traded U.S. companies, based on market capitalization. Russell 3000 companies represent about 98 percent of the total market capitalization of the publicly traded U.S. equity market. As of June 30, 2002, the market capitalization of companies in the Russell 3000 Index ranged from $30 million to $296.2 billion, with a mean market capitalization of $3.8 billion and a median market capitalization of $660 million. The Frank Russell Company determines the composition of the index based only on market capitalization and can change its composition at any time. The Russell 3000 Index is not a mutual fund and you cannot invest directly in the index. S&P 500 INDEX FUND The benchmark for the S&P 500 INDEX FUND is the S&P 500 Index. The S&P 500 Index is a market capitalization-weighted index of the 500 largest capitalized stocks in the U.S. that is widely recognized as a guide to the overall health of the U.S. stock market. The index covers industrial, utility, transportation and financial companies of the U.S. markets. The index represents over 75% of the New York Stock Exchange ("NYSE") market capitalization and 15% of NYSE issues. Standard & Poor's determines the composition of the index based on a combination of factors including market capitalization, liquidity and industry group representation and can change its composition at any time. The S&P 500 Index is not a mutual fund and you cannot invest directly in the index. MID-CAP GROWTH INDEX FUND The benchmark for the MID-CAP GROWTH INDEX FUND is the Russell Mid-Cap Growth Index. The Russell Mid-Cap Growth Index is a sub-set of the Russell Mid-Cap Index, which represents the 800 U.S. equity securities in market capitalization following the top 200 U.S. equity securities of the Russell 1000 Index. The Russell Mid-Cap Growth Index has higher weightings in those 800 Russell Mid-Cap securities with higher relative growth rates and price/book values. The Russell Mid-Cap Growth Index has higher weightings in those sectors of the market with typically higher relative valuations and higher growth rates, including sectors such as technology, health care and telecommunications. As of June 30, 2002, the market capitalization of companies in the Russell Mid-Cap Growth Index ranged from $420 million to $11.3 billion, with a mean market capitalization of $3.3 billion and a median market capitalization of $2.5 billion. The Frank Russell Company determines the composition of the index based on a combination of factors including market capitalization, price/book ratio and long-term growth rate, and can change its composition at any time. The Russell Mid-Cap Growth Index is not a mutual fund and you cannot invest directly in the index. MID-CAP VALUE INDEX FUND The benchmark for the MID-CAP VALUE INDEX FUND is the Russell Mid-Cap Value Index. The Russell Mid-Cap Value Index is a sub-set of the Russell Mid-Cap Index, which represents the 800 U.S. equity securities in market capitalization following the top 200 U.S. equity securities of 40 the Russell 1000 Index. The Russell Mid-Cap Value Index has higher weightings in those 800 Russell Mid-Cap securities with lower relative growth rates and price/book values. The Russell Mid-Cap Value Index has higher weightings in those sectors of the market with typically lower relative valuations and lower growth rates, including sectors such as financial services and energy. As of June 30, 2002, the market capitalization of companies in the Russell Mid-Cap Value Index ranged from $420 million to $10.5 billion, with a mean market capitalization of $3.2 billion and a median market capitalization of $2.5 billion. The Frank Russell Company determines the composition of the index based on a combination of factors including market capitalization, price/book ratio and long-term growth rate, and can change its composition at any time. The Russell Mid-Cap Value Index is not a mutual fund and you cannot invest directly in the index. MID-CAP BLEND INDEX FUND The benchmark for the MID-CAP BLEND INDEX FUND is the Russell Mid-Cap Index. The Russell Mid-Cap Index represents the 800 largest U.S. equity securities in market capitalization after the largest 200 U.S. equity securities. As of June 30, 2002, the market capitalization of companies in the Russell Mid-Cap Index ranged from $420 million to $11.3 billion, with a mean market capitalization of $3.4 billion and a median market capitalization of $2.5 billion. The Frank Russell Company determines the composition of the index based on a combination of factors including market capitalization, price/book ratio and long-term growth rate, and can change its composition at any time. The Russell Mid-Cap Index is not a mutual fund and you cannot invest directly in the index. SMALL-CAP GROWTH INDEX FUND The benchmark for the SMALL-CAP GROWTH INDEX FUND is the Russell 2000 Growth Index. The Russell 2000 Growth Index is a sub-set of the Russell 2000 Index, which represents the largest 2,000 U.S. equities in market capitalization following the top 1,000 U.S. equities. As of June 30, 2002, the market capitalization of companies in the Russell 2000 Growth Index ranged from $30 million to $1.8 billion, with a mean market capitalization of $480 million and a median market capitalization of $390 million. The Frank Russell Company determines the composition of the index based on a combination of factors including market capitalization, price/book ratio and long-term growth rate, and can change its composition at any time. The Russell 2000 Growth Index is not a mutual fund and you cannot invest directly in the index. SMALL-CAP VALUE INDEX FUND The benchmark for the SMALL-CAP VALUE INDEX FUND is the Russell 2000 Value Index. The Russell 2000 Value Index is a sub-set of the Russell 2000 Index, which represents the largest 2,000 U.S. equities in market capitalization following the top 1,000 U.S. equities. As of June 30, 2002, the market capitalization of companies in the Russell 2000 Value Index ranged from $30 million to $1.8 billion, with a mean market capitalization of $470 million and a median market capitalization of $380 million. The Frank Russell Company determines the composition of the index based on a combination of factors including market capitalization, price/book ratio and long-term growth rate, and can change its composition at any time. The Russell 2000 Growth Index is not a mutual fund and you cannot invest directly in the index. 41 SMALL-CAP BLEND INDEX FUND The benchmark for the SMALL-CAP BLEND INDEX FUND is the Russell 2000 Index. The Russell 2000 Index represents the largest 2,000 U.S. equities in market capitalization following the top 1,000 U.S. equities. As of June 30, 2002, the market capitalization of companies in the Russell 2000 Index ranged from $30 million to $1.8 billion, with a mean market capitalization of $470 million and a median market capitalization of $380 million. The Frank Russell Company determines the composition of the index based solely on market capitalization, and can change its composition at any time. The Russell 2000 Index is not a mutual fund and you cannot invest directly in the index. INTERNATIONAL EQUITY INDEX FUND The benchmark for the INTERNATIONAL EQUITY INDEX FUND is the MSCI EAFE Index. The MSCI EAFE Index tracks the performance of the leading stocks in 21 MSCI developed countries outside of North America - in Europe, Australasia and the Far East. The MSCI EAFE Index constructs indices country by country, then assembles the country indices into regional indices. To construct an MSCI country index, the MSCI EAFE Index analyzes each stock in that country's market based on its price, trading volume and significant owners. The stocks are sorted by industry group, and the most "investable" stocks (as determined by size and trading volume) are selected until 85 percent of the free float adjusted market representation of each industry is reached. MSCI country indices capture 85 percent of each country's free float adjusted market capitalization while maintaining the overall industry exposure of the market. When combined as the MSCI EAFE Index, the regional index captures 85 percent of the free float adjusted market capitalization of 21 developed countries around the world. The MSCI EAFE Index is primarily a large-capitalization index, with approximately 65 percent of its stocks falling in this category. Morgan Stanley determines the composition of the index based on a combination of factors including regional/country exposure, price, trading volume and significant owners, and can change its composition at any time. The MSCI EAFE Index is not a mutual fund and you cannot invest directly in the index. SPECIALTY EQUITY FUNDS SOCIAL CHOICE EQUITY FUND The benchmark for the SOCIAL CHOICE EQUITY FUND is the Russell 3000 Index. The Russell 3000 Index is an unmanaged index of stocks of the 3,000 largest publicly traded U.S. companies, based on market capitalization. Russell 3000 companies represent about 98 percent of the total market capitalization of the publicly traded U.S. equity market. As of June 30, 2002, the market capitalization of companies in the Russell 3000 Index ranged from $30 million to $296.2 billion, with a mean market capitalization of $3.8 billion and a median market capitalization of $660 million. The Frank Russell Company determines the composition of the index based only on market capitalization and can change its composition at any time. The Russell 3000 Index is not a mutual fund and you cannot invest directly in the index. 42 ADDITIONAL INVESTMENT STRATEGIES FOR THE EQUITY FUNDS The Equity Funds may invest in short-term debt securities of the same type as those held by the Money Market Fund and other kinds of short-term instruments. These help the Funds maintain liquidity, use cash balances effectively, and take advantage of attractive investment opportunities. The Equity Funds also may invest up to 20% of their total assets in fixed-income securities. Each Equity Fund also may buy and sell: (1) put and call options on securities of the types they each may invest in and on securities indices composed of such securities, (2) futures contracts on securities indices composed of securities of the types in which each may invest, and (3) put and call options on such futures contracts. We use such options and futures contracts for hedging, cash management and to increase total return. Futures contracts permit the Fund to gain exposure to groups of securities and thereby have the potential to earn returns that are similar to those that would be earned by direct investments in those securities or instruments. To manage currency risk, these Funds also may enter into forward currency contracts and currency swaps and may buy or sell put and call options and futures contracts on foreign currencies. The Equity Funds can also invest in derivatives and other newly-developed financial instruments, such as equity swaps (including arrangements where the return is linked to a stock market index) and equity-linked fixed-income securities, so long as these are consistent with the Fund's investment objective and restrictions. THE REAL ESTATE SECURITIES FUND REAL ESTATE SECURITIES FUND The benchmark for the REAL ESTATE SECURITIES FUND is the Wilshire Real Estate Securities Index. The Wilshire Real Estate Securities Index is a broad measure of the performance of publicly traded real estate securities, such as REITs and real estate operating companies ("REOCs"). The Wilshire Real Estate Securities Index is capitalization weighted, is rebalanced monthly, and its returns are calculated on a buy and hold basis. The constituents of the Wilshire Real Estate Securities Index are equity owners and operators of commercial real estate deriving 75 percent or more of their total revenues from the ownership and operation of real estate assets. Excluded from the Wilshire Real Estate Securities Index are mortgage REITs, health care REITs, real estate finance companies, home builders, large land owners and sub-dividers, hybrid REITs, and companies with more than 25 percent of their assets in direct mortgage investments. Companies in the Wilshire Real Estate Securities Index generally have market capitalizations of at least $100 million, and hold real estate assets with book values of at least $100 million. The market capitalization ranges and overall risk and return profile of the Fund are likely to be roughly comparable to the Fund's benchmark. The Real Estate Securities Fund may utilize the investment strategies used by the Equity Funds that are described above in the section entitled "Additional Investment Strategies for the Equity Funds" as well as the investment strategies used by the Fixed-Income Funds that are described below in the section entitled "Additional Investment Strategies for the Fixed Income Funds." 43 THE FIXED INCOME FUNDS BOND FUND The benchmark for the BOND FUND is the Lehman Brothers Aggregate Bond Index. The Lehman Brothers Aggregate Bond Index covers the U.S. investment-grade fixed-rate bond market, including government and credit securities, agency mortgage pass through securities, asset-backed securities, and commercial mortgage-based securities. INFLATION-LINKED BOND FUND The benchmark for the INFLATION-LINKED BOND FUND is the Salomon Smith Barney Inflation-Linked Bond Index. The Salomon Smith Barney Inflation-Linked Bond Index measures the return of fixed-income securities with fixed-rate coupon payments that adjust for inflation as measured by the Consumer Price Index ("CPI"). To be selected for inclusion in the Salomon Smith Barney Inflation-Linked Bond Index, the securities must have a minimum maturity of one year and a minimum amount outstanding of $1 billion for both entry and exit. ADDITIONAL INVESTMENT STRATEGIES FOR THE FIXED INCOME FUNDS The Fixed Income Funds may make certain other investments, but not as principal strategies. For example, these Funds may invest in interest-only and principal-only mortgage-backed securities. These instruments have unique characteristics and are more sensitive to prepayment and extension risks than traditional mortgage-backed securities. Similarly, the Fixed Income Funds may also buy and sell put and call options, futures contracts, and options on futures. We intend to use options and futures primarily as a hedging technique or for cash management. To manage currency risk, these Funds can also enter into forward currency contracts, and buy or sell options and futures on foreign currencies. These Funds can also buy and sell swaps and options on swaps, so long as these are consistent with each Fund's investment objective and restrictions. THE MONEY MARKET FUND MONEY MARKET FUND The MONEY MARKET FUND seeks high current income to the extent consistent with maintaining liquidity and preserving capital. We seek to maintain a stable net asset value of $1.00 per share of the Money Market Fund by investing in assets that present minimal credit risk, maintaining an average weighted maturity of 90 days or less, and investing all of the Fund's assets in U.S. dollar-denominated securities or other instruments maturing in 397 days or less. WE CAN'T ASSURE YOU THAT WE WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00 PER SHARE FOR THIS FUND. The Fund will invest primarily in: (1) Commercial paper (short-term "IOUs" issued by corporations and others) or variable-rate, floating-rate, or variable-amount securities of domestic or foreign companies; 44 (2) Obligations of commercial banks, savings banks, savings and loan associations, and foreign banks whose latest annual financial statements show more than $1 billion in assets. These include certificates of deposit, time deposits, bankers' acceptances, and other short-term debt; (3) Securities issued by or whose principal and interest are guaranteed by the U.S. Government or one of its agencies or instrumentalities; (4) Other debt obligations with a remaining maturity of 397 days or less issued by domestic or foreign companies; (5) Repurchase agreements involving securities issued or guaranteed by the U.S. Government or one of its agencies or instrumentalities, or involving certificates of deposit, commercial paper, or bankers' acceptances; (6) Participation interests in loans banks have made to the issuers of (1) and (4) above (these may be considered illiquid); (7) Asset-backed securities issued by domestic corporations or trusts; (8) Obligations issued or guaranteed by foreign governments or their political subdivisions, agencies, or instrumentalities; and (9) Obligations of international organizations (and related government agencies) designated or supported by the U.S. or foreign government agencies to promote economic development or international banking. The Money Market Fund will only purchase money market instruments that at the time of purchase are "First Tier Securities," that is rated within the highest category by at least two nationally recognized statistical rating organizations ("NRSROs"), or rated within the highest category by one NRSRO if it is the only NRSRO to have issued a rating for the security, or unrated securities of comparable quality. The Fund can also invest up to 30 percent of its assets in money-market and debt instruments of foreign issuers denominated in U.S. dollars. The above list of investments is not exclusive and the Fund may make other investments consistent with its investment objective and policies. SHARE CLASSES TIAA-CREF Institutional Mutual Funds offers the following share classes for investors (a Fund may not offer all classes of shares): o Retirement Class shares are offered exclusively through accounts established by employers, or the trustees of plans sponsored by employers, with TIAA-CREF Individual and Institutional Services, Inc. ("Services"), a broker-dealer affiliate of Teachers Insurance and Annuity Association of America ("TIAA") and its 45 companion organization, the College Retirement Equities Fund ("CREF" and, together with TIAA, "TIAA-CREF") in connection with certain employee benefit plans, such as 401(a) (including 401(k) and Keogh plans), 403(a), 403(b) and 457 plans. Retirement Class shares also may be offered through custody accounts established by individuals with Services as Individual Retirement Accounts ("IRAs"). o Institutional Class shares are available for purchase only by certain intermediaries affiliated with TIAA-CREF ("TIAA-CREF Intermediaries") or other persons, such as state-sponsored tuition savings plans, who have entered into a contract with a TIAA-CREF Intermediary that enables them to purchase Institutional Class shares, or other affiliates of TIAA-CREF that the TIAA-CREF Institutional Mutual Funds may approve from time to time. o Retail Class shares are offered directly to the investing public. MANAGEMENT OF THE FUNDS THE FUNDS' INVESTMENT ADVISER Teachers Advisors, Inc. ("Advisors") manages the assets of TIAA-CREF Institutional Mutual Funds, under the supervision of the Board of Trustees. Advisors is an indirect wholly-owned subsidiary of TIAA. It is registered as an investment adviser with the U.S. Securities and Exchange Commission (the "SEC") under the Investment Advisers Act of 1940. Advisors also manages the investments of TIAA Separate Account VA-1, the TIAA-CREF Life Funds and the TIAA-CREF Mutual Funds. Through an affiliated investment adviser, TIAA-CREF Investment Management, LLC ("Investment Management"), the personnel of Advisors also manage the investment accounts of CREF. As of December 31, 2001, Advisors and Investment Management together had $145 billion of registered investment company assets under management. Advisors is located at 730 Third Avenue, New York, NY 10017. Advisors' duties include conducting research, recommending investments, and placing orders to buy and sell securities. Advisors also supervises and acts as liaison among the various service providers to the Funds, such as the custodian and transfer agent. Under the terms of an Investment Management Agreement between TIAA-CREF Institutional Mutual Funds and Advisors, Advisors is entitled to an annual fee for the investment management services it provides to each of the Funds. The annual fees with respect to each Fund are as follows: 46 ANNUAL FEE (AS A PERCENTAGE OF THE AVERAGE FUND DAILY NET ASSETS OF THE FUND) -------------------------------------------------------------------------------- Growth Equity Fund 0.08% Growth & Income Fund 0.08% International Equity Fund 0.09% Large-Cap Value Fund 0.08% Mid-Cap Growth Fund 0.08% Mid-Cap Value Fund 0.08% Small-Cap Equity Fund 0.08% Large-Cap Growth Index Fund 0.04% Large-Cap Value Index Fund 0.04% Equity Index Fund 0.04% S&P 500 Index Fund 0.04% Mid-Cap Growth Index Fund 0.04% Mid-Cap Value Index Fund 0.04% Mid-Cap Blend Index Fund 0.04% Small-Cap Growth Index Fund 0.04% Small-Cap Value Index Fund 0.04% Small-Cap Blend Index Fund 0.04% International Equity Index Fund 0.04% Social Choice Equity Fund 0.04% Real Estate Securities Fund 0.09% Bond Fund 0.08% Inflation-Linked Bond Fund 0.09% Money Market Fund 0.04% Each Fund is managed by a team of fund managers, whose members are jointly responsible for the day-to-day management of the Fund, with expertise in the area(s) applicable to the Fund's investments. OTHER SERVICES TIAA-CREF Institutional Mutual Funds has entered into a Service Agreement with Advisors, under which Advisors has agreed to provide or arrange for a number of services to the Funds, including transfer agency, dividend disbursing, accounting, administrative and shareholder services. The Funds' compensation to Advisors for these services is reflected as an administrative expense of the Funds. Services that are provided to a particular class of shares are borne only by that class. Advisors may rely on affiliated or unaffiliated persons to fulfill its obligations under the Service Agreement. TIAA-CREF Institutional Mutual Funds has adopted a Distribution Plan ("Distribution Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940 with respect to the Retirement Class shares of the Funds. Under the Distribution Plan, TIAA-CREF Institutional 47 Mutual Funds may reimburse TPIS for all or part of certain expenses that are incurred in connection with the promotion and distribution of the Retirement Class shares of a Fund, up to an annual rate of 0.04% of the average daily net asset value of such Fund attributable to Retirement Class shares. Fees to be paid with respect to the Funds under the Distribution Plan will be calculated daily and paid monthly. The annual fees payable with respect to the Retirement Class shares of a Fund are intended to reimburse TPIS for expenses it incurs promoting the sale of Retirement Class shares and provide ongoing servicing and maintenance of the accounts of Retirement Class shares, and for providing personal and account maintenance services to Retirement Class shareholders and salaries and other expenses relating to the Retirement Class account servicing efforts. Because the fees are paid out of a Fund's assets on an on-going basis, over time, these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. CALCULATING SHARE PRICE We determine the net asset value ("NAV") per share, or share price, of a Fund on each day the New York Stock Exchange is open for business. The NAV for each Fund is calculated as of the time when regular trading closes on all U.S. national exchanges (generally, 4:00 p.m. Eastern Time) where securities or other investments of a Fund are principally traded. We will not price Fund shares on days that the NYSE is closed. This remains the case for Funds that invest in foreign securities, even though such securities may continue to trade and their values may fluctuate. We compute a Fund's NAV by dividing the value of the Fund's assets, less its liabilities, by the number of outstanding shares of that Fund. For Funds other than the Money Market Fund, we usually use market quotations or independent pricing services to value securities and other instruments held by the Funds. If market quotations or independent pricing services aren't readily available, we'll use a security's "fair value," as determined in good faith by or under the direction of the Board of Trustees. Money market instruments (other than those in the Money Market Fund) with maturities of one year or less are valued using market quotations or independent pricing sources or derived from a pricing matrix that has various types of money market instruments along one axis and various maturities along the other. We may also use fair value if events that have a significant effect on the value of an investment (as determined in our sole discretion) occur between the time when its price is determined and the time a Fund's NAV is calculated. To calculate the Money Market Fund's NAV per share, we value its portfolio securities at their amortized cost. This valuation method does not take into account unrealized gains or losses on the Fund's portfolio securities. Amortized cost valuation involves first valuing a security at cost, and thereafter assuming an amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the security's market value. While this method provides certainty in valuation, there may be times when the value of a security, as determined by amortized cost, may be higher or lower than the price the Money Market Fund would receive if it sold the security. 48 DIVIDENDS AND DISTRIBUTIONS Each Fund expects to declare and distribute to shareholders substantially all of its net investment income and net realized capital gains, if any. The amount distributed will vary according to the income received from securities held by the Fund and capital gains realized from the sale of securities. The following table shows how often we plan to pay dividends on each Fund: FUND DIVIDEND PAID -------------------------------------------------------------------------------- Growth Equity Fund Annually Growth & Income Fund Quarterly International Equity Fund Annually Large-Cap Value Fund Annually Mid-Cap Growth Fund Annually Mid-Cap Value Fund Annually Small-Cap Equity Fund Annually Large-Cap Growth Index Fund Annually Large-Cap Value Index Fund Annually Equity Index Fund Annually S&P 500 Index Fund Annually Mid-Cap Growth Index Fund Annually Mid-Cap Value Index Fund Annually Mid-Cap Blend Index Fund Annually Small-Cap Growth Index Fund Annually Small-Cap Value Index Fund Annually Small-Cap Blend Index Fund Annually International Equity Index Fund Annually Social Choice Equity Fund Annually Real Estate Securities Fund Quarterly Bond Fund Monthly Inflation-Linked Bond Fund Quarterly Money Market Fund Monthly Although we pay dividends monthly from the Money Market Fund, these dividends are calculated and declared daily. We intend to pay net capital gains from Funds that have them once a year. Dividends and capital gain distributions paid to holders of Retirement Class shares of a Fund will automatically be reinvested in additional shares of the Fund. Holders of Institutional Class or Retail Class shares can elect from among the following distribution options: 1. REINVESTMENT OPTION, SAME FUND. We'll automatically reinvest your dividend and capital gain distributions in additional shares of the Fund. Unless you elect otherwise, this will be your distribution option. 49 2. REINVESTMENT OPTION, DIFFERENT FUND. We'll automatically reinvest your dividend and capital gain distributions in additional shares of another Fund in which you already hold shares. 3. INCOME-EARNED OPTION. We'll automatically reinvest your long-term capital gain distributions, but you will be sent a check for each dividend and short-term capital gain distribution. 4. CAPITAL GAINS OPTION. We'll automatically reinvest your dividend and short-term capital gain distributions, but you will be sent a check for each long-term capital gain distribution. 5. CASH OPTION. We'll send a check for your dividend and each capital gain distribution. We make distributions for each Fund on a per share basis to the shareholders of record on the Fund's distribution date. We do this regardless of how long the shares have been held. That means if you buy shares just before or on a record date, you will pay the full price for the shares and then you may receive a portion of the price back as a taxable distribution (see the discussion of "Buying a dividend" below). Cash distribution checks will be mailed within seven days of the distribution date. TAXES As with any investment, you should consider how your investment in any Fund will be taxed. TAXES ON DIVIDENDS AND DISTRIBUTIONS. Unless you are tax-exempt or hold Fund shares in a tax-deferred account, you must pay federal income tax on dividends and taxable distributions each year. Your dividends and taxable distributions generally are taxable when they are paid, whether you take them in cash or reinvest them. However, distributions declared in October, November or December of a year and paid in January of the following year are taxable as if they were paid on December 31 of the prior year. For federal tax purposes, income and short-term capital gain distributions from a Fund are taxed as ordinary income, and long-term capital gain distributions are taxed as long-term capital gains. Every January, we will send you and the Internal Revenue Service ("IRS") a statement showing the taxable distributions paid to you in the previous year from each Fund. Long-term capital gain distributions generally may be taxed at a maximum federal rate of 20 percent to individual investors (or at 10 percent to individual investors who are in the 10-percent or 15-percent tax bracket). Whether or not a capital gain distribution is considered long-term or short-term depends on how long the Fund held the securities the sale of which led to the gain. TAXES ON TRANSACTIONS. Unless a transaction involves Fund shares held in a tax-deferred account, redemptions, including sales and exchanges to other Funds, may also give rise to capital gains or losses. The amount of any capital gain or loss will be the difference, if any, between the adjusted cost basis of your shares and the price you receive when you sell or exchange them. In 50 general, a capital gain or loss will be treated as a long-term capital gain or loss if you have held your shares for more than one year. Whenever you sell shares of a Fund, we will send you a confirmation statement showing how many shares you sold and at what price. However, you or your tax preparer must determine whether this sale resulted in a capital gain or loss and the amount of tax to be paid on any gain. Be sure to keep your regular account statements; the information they contain will be essential in calculating the amount of your capital gains or losses. BACKUP WITHHOLDING. If you fail to provide a correct taxpayer identification number or fail to certify that it is correct, we are required by law to withhold 30 percent of all the taxable distributions and redemption proceeds paid from your account. We are also required to begin backup withholding if instructed by the IRS to do so. "BUYING A DIVIDEND." If you buy shares just before a Fund deducts a distribution from its net asset value, you will pay the full price for the shares and then receive a portion of the price back in the form of a taxable distribution. This is referred to as "buying a dividend." For example, assume you bought shares of a Fund for $10.00 per share the day before the Fund paid a $0.25 dividend. After the dividend was paid, each share would be worth $9.75, and you would have to include the $0.25 dividend in your gross income for tax purposes. EFFECT OF FOREIGN TAXES. Foreign governments may impose taxes on a Fund and its investments and these taxes generally will reduce such Fund's distributions. If a Fund qualifies to pass through a credit for such taxes paid and elects to do so, an offsetting tax credit or deduction may be available to you. If so, your tax statement will show more taxable income than was actually distributed by the Fund, but will also show the amount of the available offsetting credit or deduction. OTHER RESTRICTIONS. There are tax requirements that all mutual funds must follow in order to avoid federal taxation. In its effort to adhere to these requirements, a Fund may have to limit its investment in some types of instruments. SPECIAL CONSIDERATIONS FOR CERTAIN INSTITUTIONAL INVESTORS. If you are a corporate investor, a portion of the dividends from net investment income paid by a Fund may qualify in your hands for the corporate dividends-received deduction. However, the portion of the dividends that will qualify for this treatment will depend on the aggregate qualifying dividend income received by the Fund from domestic (U.S.) sources. Certain holding period and debt financing restrictions may apply to corporate investors seeking to claim the deduction. SPECIAL CONSIDERATIONS FOR INFLATION-LINKED BOND FUND SHAREHOLDERS. Periodic adjustments for inflation to the principal amount of an inflation-indexed bond held by the Inflation-Linked Bond Fund may give rise to original issue discount, which will be includable in the Fund's gross income. Due to original issue discount, the Fund may be required to make annual distributions to shareholders that exceed the cash received, which may cause the Fund to liquidate certain investments when it is not advantageous to do so. Also, if the principal value of an inflation- 51 indexed bond is adjusted downward due to deflation, amounts previously distributed in the taxable year of the adjustment may be characterized in some circumstances as a return of capital. CLIENTS OF TIAA-CREF TRUST COMPANY, FSB. If you purchased Fund shares through TIAA-CREF Trust Company, FSB, it is responsible for providing you with a statement showing taxable distributions paid to you from each Fund. TAXES RELATED TO RETIREMENT CLASS SHARES. Generally, individuals are not subject to federal income tax in connection with Retirement Class shares they hold (or that are held on their behalf) in participant or custody accounts under Code section 401(a) employee benefit plans (including 401(k) and Keogh plans), Code section 403(b) or 457 employee benefit plans, or IRAs. Distributions from such plan participant or custody accounts may, however, be subject to ordinary income taxation in the year of the distribution. For information about the tax aspects of your plan or IRA or Keogh account, please consult your plan administrator, Services or your tax advisor. This information is only a brief summary of certain federal income tax information about your investment in a Fund. The investment may have state, local or foreign tax consequences, and you should consult your tax advisor about the effect of your investment in a Fund in your particular situation. Additional tax information can be found in the SAI. YOUR ACCOUNT: BUYING, SELLING OR EXCHANGING SHARES RETIREMENT CLASS SHARES HOW TO PURCHASE SHARES ELIGIBLE RETIREMENT CLASS INVESTORS Retirement Class shares of the TIAA-CREF Institutional Mutual Funds are offered exclusively through accounts established by employers, or the trustees of plans sponsored by employers, with Services in connection with certain employee benefit plans (the "plan(s)"), such as plans described in sections 401(a) (including 401(k) and Keogh plans), 403(b)(7) and 457 of the Code. Retirement Class shares also may be offered through custody accounts established by individuals with Services as IRAs pursuant to section 408 of the Code. STARTING OUT If you are a participant in such a plan and your employer or plan trustee has established a plan account with Services, then you may direct the purchase of Retirement Class shares of the Funds offered under the plan for your account. You should contact your employer to learn how to enroll in the plan. Your employer must notify TIAA-CREF that you are eligible to enroll. In many cases, you will be able to use TIAA-CREF Web Center's online enrollment feature at www.tiaa-cref.org. 52 PURCHASE OF RETIREMENT CLASS SHARES You may direct the purchase of Retirement Class shares of the Funds by allocating single or ongoing retirement plan contribution amounts made on your behalf by your employer pursuant to the terms of your plan or through a currently effective salary or payroll reduction agreement with your employer to a particular Fund or Funds offering Retirement Class shares (see "Allocating Retirement Contributions to a Fund" below). You may also direct the purchase of Retirement Class shares of the Funds by reinvesting retirement plan proceeds that were previously invested in another investment vehicle available under your employer's plan. There is currently no minimum investment requirement for Retirement Class shares. We also do not currently restrict the frequency of investments made in the Funds by participant accounts, although we reserve the right to impose such restrictions in the future. Your employer's plan may limit the amount that you may invest in your participant account. In addition, the Code limits total annual contributions to most types of plans. Services accepts purchase payments only in U.S. dollars. Each investment in your participant account must be for a specified dollar amount. Services does not accept purchase requests specifying a certain price, date, or number of shares. Services has the right to reject your custody application and to refuse to sell additional Retirement Class shares of any Fund to any investor for any reason. Services treats all orders to purchase Retirement Class shares as being received by it when they are received in "good order" (see page 56). We may suspend or terminate the offering of Retirement Class shares of one or more Funds to your employer's plan. ALLOCATING RETIREMENT CONTRIBUTIONS TO A FUND If you are just starting out and are initiating contributions to your employer's plan, you may allocate single or ongoing contribution amounts to Retirement Class shares of the Funds by completing an account application or enrollment form (paper or online) and selecting the Funds you wish to invest in and the amounts you wish to contribute to the Funds. You may be able to change your allocation for future contributions by: o using the TIAA-CREF Web Center at www.tiaa-cref.org; o calling our Automated Telephone Service (available 24 hours a day) at 800 842-2252; o calling a TIAA-CREF representative (available weekdays from 8:00 a.m. Eastern Time to 11:00 p.m. Eastern Time and weekends from 9:00 a.m. Eastern Time to 6:00 p.m. Eastern Time) at 800 842-2776; o faxing us at: 800 914-8922; or o writing to us at: TIAA-CREF, P.O. Box 1259, Charlotte, N.C. 28201. OPENING AN IRA OR KEOGH ACCOUNT Any plan participant or person eligible to participate in a plan may open an IRA or Keogh custody account with Services and purchase Retirement Class shares for their account. For more information about opening an IRA, please call our Telephone Counseling Center at 800 842- 53 2888 or go to the TIAA-CREF Web Center at www.tiaa-cref.org. We reserve the right to limit the availability of the Retirement Class shares of certain Funds to IRAs and Keogh accounts. HOW TO EXCHANGE SHARES GENERAL INFORMATION ABOUT EXCHANGES FOR RETIREMENT CLASS SHARES Subject to the limitations outlined below and any limitations under your employer's plan, you may exchange Retirement Class shares of a Fund for those of another Fund available under the plan. An "exchange" means: o a sale of Retirement Class shares of one Fund held in your participant or IRA account and the use of the proceeds to purchase Retirement Class shares of another Fund for your account; o a sale of interests in a CREF Account, the TIAA Real Estate Account, or the TIAA Traditional Annuity, and the use of the proceeds to purchase an equivalent dollar amount of Retirement Class shares of a Fund for your participant, IRA or Annuity account; o a sale of Retirement Class shares held in a participant account and the use of the proceeds to purchase an interest in a CREF Account, the TIAA Real Estate Account, or the TIAA Traditional Annuity. Because interests in a CREF Account, a TIAA Real Estate Account, and the TIAA Traditional Annuity are not offered through participant accounts, you must withdraw redemption proceeds held in your participant account and use them to purchase one of these investments. You can make exchanges in any of the following ways: o using the TIAA-CREF Web Center at www.tiaa-cref.org; o calling our Automated Telephone Service (available 24 hours a day) at 800 842-2252; o calling a TIAA-CREF representative (available weekdays from 8:00 a.m. Eastern Time to 11:00 p.m. Eastern Time and weekends from 9:00 a.m. Eastern Time to 6:00 p.m. Eastern Time) at 800 842-2776; o faxing us at: 800 914-8922; or o writing to us at: TIAA-CREF, P.O. Box 1259, Charlotte, N.C. 28201. Services may, in its sole discretion, reject any exchange request for any reason and modify, suspend, or terminate the exchange privilege at any time. 54 EXCHANGE LIMITATION Retirement Class shares are subject to the following exchange limitation: o ELECTRONIC EXCHANGES INVOLVING INTERNATIONAL FUNDS. You may not make electronic exchanges (I.E., over the Internet, by telephone or by fax) involving the International Equity Fund and the International Equity Index Fund (collectively, the "International Funds") after 2:30 p.m. Eastern Time or the close of the NYSE, if earlier. Any exchange request placed after 2:30 p.m. or the close of the NYSE, if earlier, will be rejected. Similarly, any instructions to change or cancel a previously submitted request will be rejected if those instructions are submitted electronically after 2:30 p.m. Eastern Time or the close of the NYSE, if earlier. HOW TO REDEEM SHARES RETIREMENT CLASS INVESTORS You may redeem (sell) your Retirement Class shares at any time, subject to the terms of your employer's plan. A redemption can be part of an exchange. If it is, follow the procedures in the "How to Exchange Shares" Section above. Otherwise, to request a redemption, you can do one of the following: o call a TIAA-CREF representative (available weekdays from 8:00 a.m. Eastern Time to 11:00 p.m. Eastern Time and weekends from 9:00 a.m. Eastern Time to 6:00 p.m. Eastern Time) at 800 842-2776; o fax us at: 800 914-8922; or o write to us at: TIAA-CREF, P.O. Box 1259, Charlotte, N.C. 28201 You may be required to complete and return certain forms to effect your redemption. Before you complete your redemption request, please make sure you understand the possible federal and other income tax consequences of a redemption. We accept redemption requests that specify a dollar amount or number of shares to be redeemed. All other requests, including those specifying a certain price or date, will be returned. Pursuant to your instructions, Services reinvests redemption proceeds in (1) Retirement Class shares of other Funds available under your plan, or (2) shares of other mutual funds available under your plan. Redemptions are effected as of the day that Services receives your request in good order (see page 56), and credits your participant or IRA account within seven days thereafter. If you request a redemption shortly after a recent purchase of Retirement Class shares by check, Services may delay payment of the redemption proceeds until the check clears. This can take up to ten days. If you request a distribution of redemption proceeds from your participant account, Services will send the proceeds by check to the address, or by wire to the bank account, of record. If you want to send the redemption proceeds elsewhere, you must instruct Services by letter with a signature guarantee. 55 Services also may postpone payment of redemption proceeds if a Fund does not redeem shares tendered by Services for redemption. This can happen if: (1) the NYSE is closed for other than usual weekends or holidays, or trading on the NYSE is restricted; (2) an emergency exists as defined by the SEC, or the SEC requires that trading be restricted; or (3) the SEC permits a delay for the protection of Fund shareholders. IN-KIND REDEMPTIONS OF SHARES The Fund, in its sole discretion, may pay "in kind" any redemption requests made by Services on your behalf that exceed the lesser of $250,000 or 1% of the Fund's total assets during any 90-day period. A payment "in kind" means a payment of a pro-rata portion of the Fund's portfolio securities instead of cash. In such an event, Services will distribute these securities to you from your participant account. If you have an IRA custody account, Services will leave these securities in your account. OTHER INVESTOR INFORMATION GOOD ORDER. Purchase, redemption and exchange requests from participants and IRA account owners are not processed by Services until it receives them in good order. "Good order" means actual receipt of the order along with all information and supporting legal documentation necessary to effect the transaction. The share price used by Services for all transactions is the NAV per share next calculated after the Fund's transfer agent, Boston Financial Data Services ("BFDS"), receives a purchase or redemption order from Services on your behalf. Except as described above for the International Funds, if you place a purchase, redemption or exchange order for Retirement Class shares with Services in connection with your participant or IRA custody account anytime before the close of regular trading on the NYSE (usually 4:00 p.m. New York time), Services executes the transaction using the NAV per share for that day. TIAA-CREF WEB CENTER AND TELEPHONIC TRANSACTIONS. The Funds and Services aren't liable for losses from unauthorized TIAA-CREF Web Center and telephonic transactions so long as the Funds and Services follow reasonable procedures designed to verify the identity of the person effecting the transaction. Services takes the following precautions to ensure your instructions are genuine. Services requires the use of personal identification numbers, codes, and other procedures designed to reasonably confirm that instructions given through TIAA-CREF's Web Center or by telephone are genuine. Services also tape records telephone instructions and provides written confirmations of such instructions. Services accepts all telephone instructions that it reasonably believes are genuine and accurate. However, you should verify the accuracy of your confirmation statements immediately after you receive them. Services may suspend or terminate Internet or telephone transaction facilities at any time, for any reason. 56 ELECTRONIC PROSPECTUSES If you received this prospectus electronically and would like a paper copy, please contact us using the TIAA-CREF Web Center at www.tiaa-cref.org and we will send one to you. INSTITUTIONAL CLASS SHARES HOW TO PURCHASE SHARES ELIGIBLE INVESTORS Institutional class shares of TIAA-CREF Institutional Mutual Funds are only available for purchase by certain intermediaries affiliated with TIAA-CREF ("TIAA-CREF Intermediaries"), such as TIAA-CREF Trust Company, FSB (the "Trust Company"), or other persons, such as state-sponsored tuition savings plans, who have entered into a contract with a TIAA-CREF Intermediary that enables them to purchase shares of the Funds, or other affiliates of TIAA-CREF that the TIAA-CREF Institutional Mutual Funds may approve from time to time. Collectively with TIAA-CREF Intermediaries, these contractually eligible investors are referred to as "Eligible Investors" in the rest of this prospectus. PURCHASE OF FUND SHARES There is no minimum investment requirement for Eligible Investors. All purchases must be in U.S. dollars. We consider all requests for purchases to be received when they are received in "good order" (see page 60). There may be circumstances when we will not permit Eligible Investors to invest in one or more of the Funds. We reserve the right to suspend or terminate the offering of shares by one or more Funds. We also reserve the right to reject any specific purchase request. PURCHASES BY ELIGIBLE INVESTORS Only Eligible Investors may invest in the Funds. All other prospective investors should contact their TIAA-CREF Intermediary for applicable purchase requirements. To purchase shares, an Eligible Investor should instruct its bank to wire money to State Street Bank and Trust Company ABA Number 011000028 DDA Number 9905-454-6. Specify on the wire: (1) TIAA-CREF Institutional Mutual Funds; (2) account registration (names of registered owners), address and social security number(s) or taxpayer identification number; 57 (3) whether the investment is for a new or existing account (provide Fund account number if existing); and (4) the Fund or Funds in which you want to invest, and amount to be invested in each. INVESTING THROUGH THE TRUST COMPANY Clients of the Trust Company may invest in TIAA-CREF Institutional Mutual Funds only through the Trust Company, which is an Eligible Investor and serves as the TIAA-CREF Intermediary for its clients. Contact the Trust Company regarding how investments in Fund shares are held for your benefit. In addition to the fees and expenses deducted by the Funds, you may be charged a fee by the Trust Company for the services it provides you. POINTS TO REMEMBER FOR ALL PURCHASES o Each investment by an Eligible Investor in TIAA-CREF Institutional Mutual Funds must be for a specified dollar amount. We can't accept purchase requests specifying a certain price, date, or number of shares; we'll return these investments. o If you invest in TIAA-CREF Institutional Mutual Funds through an Eligible Investor, the Eligible Investor may charge you a fee in connection with your investment (in addition to the fees and expenses deducted by the Funds). Contact the Eligible Investor to learn whether there are any other conditions, such as a minimum investment requirement, on your transactions. In addition, Eligible Investors that are not themselves affiliated with TIAA-CREF may be charged a fee by their TIAA-CREF Intermediary (in addition to the fees and expenses deducted by the Funds). o If we do not receive good funds through wire transfer, we will treat this as a redemption of the shares purchased when your wire transfer is received. You will be responsible for any resulting loss incurred by any of the Funds. If you are already a shareholder, we can redeem shares from any of your account(s) as reimbursement for all losses. We also reserve the right to restrict you from making future purchases in any of the Funds. IN-KIND PURCHASES OF SHARES Advisors, at its sole discretion, may permit an Eligible Investor to purchase shares with investment securities (instead of cash), if: (1) Advisors believes the securities are appropriate investments for the particular Fund; (2) the securities offered to the Fund are not subject to any restrictions upon their sale by the Fund under the Securities Act of 1933, or otherwise; and (3) the securities are permissible holdings under the Fund's investment restrictions. If the Fund accepts the securities, the Eligible Investor's account will be credited with Fund shares equal in net asset value to the market value of the securities received. Eligible Investors interested in making in-kind purchases should contact their TIAA-CREF Intermediary. 58 HOW TO REDEEM SHARES REDEMPTIONS BY ELIGIBLE INVESTORS Eligible Investors can redeem (sell) their Fund shares at any time. If your shares were purchased through an Eligible Investor, contact the Eligible Investor for applicable redemption requirements. Shares purchased through an Eligible Investor must be redeemed by the Eligible Investor. For further information, contact your TIAA-CREF Intermediary. We will only accept redemption requests that specify a dollar amount or number of shares to be redeemed. All other requests, including those specifying a certain price or date, will be returned. We accept redemption orders through a telephone request made by calling 800 897-9069. Usually, we send redemption proceeds to the Eligible Investor on the second business day after we receive a redemption request, but not later than seven days afterwards, assuming the request is in good order (see page 60). If a redemption is requested shortly after a recent purchase by check, the redemption proceeds may not be paid until payment for the purchase is collected. This can take up to ten days. We can postpone payment if: (a) the NYSE is closed for other than usual weekends or holidays, or trading on the NYSE is restricted; (b) an emergency exists as defined by the SEC, or the SEC requires that trading be restricted; or (c) the SEC permits a delay for the protection of investors. We send redemption proceeds to the Eligible Investor at the address or bank account of record. If proceeds are to be sent elsewhere, we will require a letter of instruction from the Eligible Investor with a signature guarantee. We can send the redemption proceeds by check to the address of record or by wire transfer. REDEEMING SHARES THROUGH THE TRUST COMPANY If you purchased shares through the Trust Company, it is responsible for making any redemption proceeds available to you. In addition, the Trust Company may impose its own restrictions on your ability to redeem shares. Please contact the Trust Company directly for more information. IN-KIND REDEMPTIONS OF SHARES Large redemptions by any Eligible Investor that exceed the lesser of $250,000 or 1% of a Fund's assets during any 90-day period may be considered detrimental to the Fund's other shareholders. Therefore, at its sole discretion, the Fund may require that you take a "distribution in kind" upon redemption and may give you portfolio securities instead of cash. The securities you receive in this manner represent a pro-rata portion of the Fund's entire portfolio. 59 HOW TO EXCHANGE SHARES EXCHANGES BY ELIGIBLE INVESTORS Eligible Investors can exchange shares in a Fund for shares of any other Fund at any time. (An exchange is a simultaneous redemption of shares in one Fund and a purchase of shares in another Fund.) If you hold shares through a TIAA-CREF Intermediary or other Eligible Investor, contact the Eligible Investor for applicable exchange requirements. Exchanges between accounts can be made only if the accounts are registered in the same name(s), address and social security number(s) or taxpayer identification number. An exchange is considered a sale of securities, and therefore is a taxable event. We reserve the right, at our sole discretion, to reject any exchange request and to modify, suspend, or terminate the exchange privilege at any time for any shareholder or class of shareholders. Eligible Investors can make an exchange through a telephone request by calling 800 897-9069. Once made, an exchange request cannot be modified or canceled. MAKING EXCHANGES THROUGH THE TRUST COMPANY If you purchased shares through the Trust Company, it is responsible for making any exchanges on your behalf. In addition, the Trust Company may impose its own restrictions on your ability to make exchanges. Please contact the Trust Company directly for more information. ELECTRONIC EXCHANGES INVOLVING INTERNATIONAL FUNDS You may not make electronic exchanges involving the International Equity Fund and the International Equity Index Fund by telephone after 2:30 p.m. Eastern Time, or the close of the NYSE, if earlier. Any exchange request placed after 2:30 p.m. or the close of the NYSE, if earlier, will be rejected. Similarly, any instructions to change or cancel a previously submitted request will be rejected if those instructions are submitted electronically after 2:30 p.m. Eastern Time or the close of the NYSE, if earlier. OTHER INVESTOR INFORMATION GOOD ORDER. Requests for transactions by Eligible Investors will not be processed until they are received in good order by our transfer agent, BFDS. "Good order" means that an Eligible Investor's transaction request includes its Fund account number, the amount of the transaction (in dollars or shares), signatures of all account owners exactly as registered on the account, and any other supporting legal documentation that may be required. SHARE PRICE. The share price we use for transactions will be the NAV per share next calculated after BFDS receives an Eligible Investor's request in good order. If an Eligible Investor purchases or redeems shares anytime before the NYSE closes (usually 4:00 p.m. Eastern Time), the transaction price will be the NAV per share for that day. If an Eligible Investor makes a purchase or redemption request after the NYSE closes, the transaction price will be the NAV per share for the next business day. If you purchased shares through an Eligible Investor, the Eligible Investor (including the Trust Company) may require you to communicate to it any 60 purchase, redemption, or exchange request before a specified deadline earlier than 4:00 p.m. in order to receive that day's NAV per share as the transaction price. TAXPAYER IDENTIFICATION NUMBER. Each Eligible Investor must provide its taxpayer identification number (which, for most individuals, is your social security number) to us and indicate whether or not it is subject to back-up withholding. If an Eligible Investor doesn't furnish its taxpayer identification number, redemptions and exchanges of shares, as well as dividends and capital gains distributions, will be subject to back-up tax withholding. SIGNATURE GUARANTEE. For some transaction requests by an Eligible Investor, we may require a letter of instruction from the Eligible Investor with a signature guarantee. This requirement is designed to protect you and the TIAA-CREF Institutional Mutual Funds from fraud, and to comply with rules on stock transfers. TRANSFERRING SHARES. An Eligible Investor may transfer ownership of its shares to another person or organization that also qualifies as an Eligible Investor or may change the name on its account by sending us written instructions. All registered owners of the account must sign the request and provide signature guarantees. ADVICE ABOUT YOUR ACCOUNT. Representatives of TPIS may recommend that you buy Fund shares. TPIS, a TIAA subsidiary, is considered the principal underwriter for the funds. TPIS representatives are only authorized to recommend securities of TIAA or its affiliates. They get no commissions for these recommendations. RETAIL CLASS SHARES TYPES OF ACCOUNTS Retail Class shares of the TIAA-CREF Institutional Mutual Funds are available for purchase in the following types of accounts: o Individual accounts (for one person) or joint accounts (more than one person) including Transfer on Death (TOD) accounts (see page 69 for more details). o Trust accounts (other than foreign trust accounts). o Accounts for a minor child under the Uniform Gift to Minors Act (UGMA) or Uniform Transfer to Minors Act (UTMA). o Traditional IRAs and Roth IRAs. These accounts let you shelter investment income from federal income tax while saving for retirement. o Coverdell Education Savings Accounts ("Coverdell" accounts, formerly Education IRAs). This account lets you shelter investment income from federal income tax while saving to pay qualified higher education expenses of a designated beneficiary. o Corporate and institutional accounts. 61 We will only accept accounts with a U.S. address of record. We will not accept a post office box as the address of record for accounts. We will not accept accounts with a foreign address of record. For more information about opening an IRA or corporate or institutional account, please call us at 800 223-1200, Monday through Friday, from 8:00 a.m. Eastern Time to 11:00 p.m. Eastern Time, and Saturday from 9:00 a.m. Eastern Time to 6:00 p.m. Eastern Time. HOW TO OPEN AN ACCOUNT AND MAKE SUBSEQUENT INVESTMENTS To open an account, send us a completed application with your initial investment. If you want an application, or if you have any questions or need help completing the application, call one of our consultants at 800 223-1200. You can also download and print the application from our website at www.tiaa-cref.org. The minimum initial investment is $1,500 per Fund for all accounts, with the following exceptions. The minimum initial investment for Traditional IRA, Roth IRA, Coverdell, UGMA or UTMA accounts is $500 per Fund. Beginning November 1, 2002, the minimum initial investment will be $2,500 per Fund for all accounts, including Custodial (UGMA/UTMA) accounts, with the following exceptions. The minimum initial investment for Traditional IRA, Roth IRA or Coverdell accounts will be $2,000 per Fund. You can also establish an Automatic Investment Plan ("AIP") where the minimum initial and subsequent investment per Fund is $50, with each contribution to be invested no less frequently than monthly. We reserve the right to deduct a $10 semi-annual fee for all AIP accounts that cease contributions before reaching the account minimums by account type as stated above. Before imposing any such fee, we will provide you with 60 days advance written notice. Subsequent investments per Fund for all account types is at least $50. All purchases must be in U.S. dollars and checks must be drawn on U.S. banks. We will not accept payment in the following forms: travelers checks, money orders, credit card convenience checks, cash or starter checks. We consider all requests for purchases, checks and other forms of payments to be received when they are received in "good order". (See page 68.) We won't accept third party checks to establish a new account (we consider any check not made payable directly to TIAA-CREF Institutional Mutual Funds-Retail Class as a third party check). In addition, once established, we won't accept any subsequent third party checks over $10,000. TO OPEN AN ACCOUNT ON-LINE: Please visit our Web Center at www.tiaa-cref.org and click on Mutual Funds. You can establish an individual, joint, custodian (UGMA or UTMA), Traditional IRA and Roth IRA account. For assistance in completing these transactions, please call 800 223-1200. Once completed, your transaction cannot be modified or canceled. TO OPEN AN ACCOUNT BY MAIL: Send your check, made payable to TIAA-CREF Institutional Mutual Funds-Retail Class, and application to: 62 First Class Mail: The TIAA-CREF Institutional Mutual Funds-Retail Class c/o State Street Bank P.O. Box 8009 Boston, MA 02266-8009 Overnight Mail: The TIAA-CREF Institutional Mutual Funds-Retail Class c/o State Street Bank 66 Brooks Drive Braintree, MA 02184-3839 TO OPEN AN ACCOUNT BY WIRE: Send us your application by mail, then call us to confirm that your account has been established. Instruct your bank to wire money to: State Street Bank ABA Number 011000028 DDA Number 99052771 Specify on the wire: o The TIAA-CREF Institutional Mutual Funds-Retail Class o Account registration (names of registered owners), address and social security number(s) or taxpayer identification number o Indicate if this is for a new or existing account (provide Fund account number if existing) o The Fund or Funds in which you want to invest, and amount per Fund to be invested You can purchase additional shares in any of the following ways: BY MAIL: Send a check to either of the addresses listed above with an investment coupon from a previous confirmation statement. If you don't have an investment coupon, use a separate piece of paper to give us your name, address, Fund account number, and the Fund or Funds you want to invest in and the amount to be invested in each Fund. BY AUTOMATIC INVESTMENT PLAN: You can make subsequent investments automatically by electing this service on your initial application or later upon request. By electing this option you authorize us to take regular, automatic withdrawals from your bank. To begin this service, send us a voided check or savings account investment slip. It will take us up to 10 days from the time we receive it to set up your automatic investment plan. You can make automatic investments semi-monthly or monthly (on the 1st and 15th of each month or on the next following business day if those days are not business days). Investments must be for at least $50 per Fund. 63 You can change the date or amount of your investment, or terminate the Automatic Investment Plan, at any time by letter or by telephone. The change will take effect approximately 5 business days after we receive your request. BY TELEPHONE: Call 800 223-1200. You can make electronic withdrawals from your designated bank account to buy additional Retail Class shares of the TIAA-CREF Institutional Mutual Funds over the telephone. There is a $100,000 limit on these purchases. Telephone requests can't be modified or canceled. All shareholders automatically have the right to buy shares by telephone. If you don't want the telephone purchase option, you can indicate this on the application or call us at 800 223-1200 any time after opening your account. OVER THE INTERNET: With TIAA-CREF's Web Center, you can make electronic withdrawals from your designated bank account to buy additional shares over the Internet. There is a $100,000 limit on these purchases. TIAA-CREF's Web Center can be accessed through TIAA-CREF's homepage at www.tiaa-cref.org. Before you can use TIAA-CREF's Web Center, you must enter your social security number, date of birth and active account number. You will then be given an opportunity to create a user name and password. TIAA-CREF's Web Center will lead you through the transaction process, and we will use reasonable procedures to confirm that the instructions given are genuine. All transactions over TIAA-CREF's Web Center are recorded electronically. Once made, your transactions cannot be modified or cancelled. BY WIRE: To buy additional shares by wire, follow the instructions above for opening an account by wire (you do not have to send us an application again). POINTS TO REMEMBER FOR ALL PURCHASES o Your investment must be for a specified dollar amount. We can't accept purchase requests specifying a certain price, date, or number of shares; we'll return these investments. o We reserve the right to reject any application or investment. There may be circumstances when we will not accept new investments in one or more of the Funds. o Your ability to purchase shares may be restricted due to restrictions on exchange. See "Exchange Limitations" below on page 67. o If you have a securities dealer (including a mutual fund "supermarket"), bank, or other financial institution handle your transactions, they may charge you a fee. Contact them to find out if they impose any other conditions, such as a higher minimum investment requirement, on your transaction. 64 o If your purchase check does not clear or payment on it is stopped, or if we do not receive good funds through electronic funds transfer, we will treat this as a redemption of the shares purchased when your check or electronic funds were received. You will be responsible for any resulting loss incurred by any of the Funds or Advisors. If you are already a shareholder, we can redeem shares from any of your account(s) as reimbursement for all losses. We also reserve the right to restrict you from making future purchases in any of the Funds. There is a $15 fee for all returned items, including checks and electronic funds transfers. HOW TO REDEEM SHARES You can redeem (sell) your Retail Class shares at any time. Redemptions must be for at least $250 or the balance of your investment in a Fund, if less. Usually, we send your redemption proceeds to you on the second business day after we receive your request, but not later than seven days afterwards, assuming the request is in good order (see page 68). If you request a redemption of shares shortly after you have purchased those shares by check or automatic investment plan, we will process your redemption but will hold your redemption proceeds for up to 10 calendar days to allow the check or automatic investment to clear. We send redemption proceeds to the shareholder of record at his/her address or bank of record. If proceeds are to be sent to someone else, a different address, or a different bank, we will require a letter of instruction with a signature guarantee for each account holder (see page 69). We can send your redemption proceeds in several different ways: by check to the address of record; by electronic transfer to your bank; or by wire transfer (minimum of $5,000). Before calling, read "Points to Remember When Redeeming," below. We can postpone payment if: (a) the NYSE is closed for other than usual weekends or holidays, or trading on the NYSE is restricted; (b) an emergency exists as defined by the SEC, or the SEC requires that trading be restricted; or (c) the SEC permits a delay for the protection of investors. YOU CAN REDEEM SHARES IN ANY OF THE FOLLOWING WAYS: BY MAIL: Send your written request to either of the addresses listed in the "How to Open an Account and Make Subsequent Investments" section. Requests must include: account number, transaction amount (in dollars or shares), signatures of all owners exactly as registered on the account, signature guarantees (if required), and any other required supporting legal documentation. Once mailed to us, your redemption request is irrevocable and cannot be modified or canceled. BY TELEPHONE: Call 800 223-1200 to redeem shares in amounts under $50,000. Once made, your telephone request cannot be modified or canceled. All shareholders have the telephone redemption option automatically. If you do not want to be able to redeem by telephone, indicate this on your application or call us any time after opening your account. Telephone redemptions are not available for IRA accounts. 65 BY SYSTEMATIC REDEMPTION PLAN: You can elect this feature only from Funds with balances of at least $5,000. We'll automatically redeem enough shares in a particular Fund each month or quarter (on the 1st or 15th of the month or on the following business day if those days are not business days) to provide you with a check or electronic transfer to your bank. You must specify the dollar amount (minimum $250) of the redemption and from which Fund you want to redeem shares. If you want to set up a systematic redemption plan, contact us and we'll send you the necessary forms. All owners of an account must sign the systematic redemption plan request. Similarly, all owners must sign any request to increase the amount or frequency of the systematic redemptions or a request for payments to be sent to an address other than the address of record. A signature guarantee is required for this address change. We can terminate the systematic redemption plan option at any time, although we will notify you if we do. You can terminate the plan or reduce the amount or frequency of the redemptions by writing or calling us. Requests to establish, terminate, or change the amount or frequency of redemptions will become effective within 5 days after we receive your instructions. POINTS TO REMEMBER WHEN REDEEMING: o We can't accept redemption requests specifying a certain price or date; these requests will be returned. o If you request a redemption by telephone within 30 days of changing your address, or if you would like the proceeds sent to someone else, you must send us your request in writing with a signature guarantee of all owners exactly as registered on the account. o For redemptions of more than $250,000, we reserve the right to give you marketable securities instead of cash. HOW TO EXCHANGE SHARES Investors holding Retail Class shares of a Fund are accorded certain exchange privileges involving their Retail Class shares of a Fund. For purposes of making an exchange involving Retail Class shares, an "exchange" means: o a sale (redemption) of Retail Class shares of one Fund and the use of the proceeds to purchase Retail Class shares of another Fund; o a sale (redemption) of Retail Class shares of one Fund and the use of the proceeds to purchase shares of a mutual fund of TIAA-CREF Mutual Funds; and o a sale (redemption) of shares of a mutual fund of TIAA-CREF Mutual Funds and the use of the proceeds to purchase of Retail Class shares of a Fund. 66 In each case, these exchanges may be made at any time, subject to the exchange privilege limitations described below. The minimum investment amounts that apply to purchases also apply to exchanges. In other words, for any account, an exchange to a Fund in which you already own shares must be at least $50. An exchange to a new Fund must meet the account minimums as stated by account type above (I.E., $1,500 per Fund for all accounts, except for Traditional IRA, Roth IRA, Coverdell, UGMA or UTMA accounts, where the minimum initial investment is $500 per Fund, and beginning November 1, 2002, $2,500 per Fund for all accounts, including Custodial (UGMA/UTMA) accounts, with the following exceptions. The minimum initial investment for Traditional IRA, Roth IRA or Coverdell accounts will be $2,000 per Fund). Exchanges between accounts can be made only if the accounts are registered identically in the same name(s), address and social security number or taxpayer identification number. YOU CAN MAKE EXCHANGES IN ANY OF THE FOLLOWING WAYS: BY MAIL: Send a letter of instruction to either of the addresses in the "How to Open an Account and Make Subsequent Investments" section. The letter must include your name, address, and the Funds and accounts you want to exchange between. BY TELEPHONE: Call 800 223-1200. Once made, your telephone request cannot be modified or canceled. OVER THE INTERNET: You can exchange shares using TIAA-CREF's Web Center, which can be accessed through TIAA-CREF's homepage at www.tiaa-cref.org. Once made, your transaction cannot be modified or canceled. BY SYSTEMATIC EXCHANGE: You can elect this feature only if the balance of the Fund from which you are transferring shares is at least $5,000. We automatically redeem shares from a specified Fund and purchase shares in another Fund each month or quarter (on the 1st or 15th of the month or on the following business day if those days are not business days). You must specify the dollar amount and the Funds involved in the exchange. An exchange to a Fund in which you already own shares must be for at least $50, and an exchange to a new Fund must meet the account minimums as stated by account type above (I.E., $1,500 per Fund for all accounts, except for Traditional IRA, Roth IRA, Coverdell, UGMA or UTMA accounts, where the minimum initial investment is $500 per Fund, and beginning November 1, 2002, $2,500 per Fund for all accounts, including Custodial (UGMA/UTMA) accounts, with the following exceptions. The minimum initial investment for Traditional IRA, Roth IRA or Coverdell accounts will be $2,000 per Fund). If you want to set up a systematic exchange, you can contact us and we will send you the necessary forms. All owners of an account must sign the systematic exchange request. Similarly, all account owners must sign any request to increase the amount or frequency of systematic exchanges. You can terminate the plan or change the amount or frequency of the exchanges by writing or calling us. Requests to establish, terminate, or change the amount or frequency of exchanges will become effective within 5 days after we receive your instructions. 67 POINTS TO REMEMBER WHEN EXCHANGING: o Make sure you understand the investment objective of the Fund you exchange shares into. The exchange option is not designed to allow you to time the market. It gives you a convenient way to adjust the balance of your account so that it more closely matches your overall investment objectives and risk tolerance level. o We reserve the right to suspend the exchange privileges if you have made more than 12 exchanges within a 12-month period for any Fund. We count each purchase or sale order as one exchange. For example, an exchange out of one Fund and purchase of another Fund would count as one exchange for each Fund. We also reserve the right to reject any exchange request and to modify or terminate the exchange option at any time. o An exchange is considered a sale of securities, and therefore is taxable. OTHER INVESTOR INFORMATION: GOOD ORDER. Your initial application and later requests for transactions will not be processed until they are received in good order by our transfer agent, BFDS. Good order means that your application is properly completed or your transaction request includes your Fund account number, the amount of the transaction (in dollars or shares), signatures of all owners exactly as registered on the account, and any other supporting legal documentation that may be required. SHARE PRICE. If you buy shares from us directly, including through the Internet, the share price we use will be the NAV per share next calculated after BFDS receives your application or request in good order. If you buy shares through an intermediary, such as a securities dealer (including a mutual fund "supermarket"), bank or investment adviser, the share price we use will be the NAV per share next calculated after the intermediary accepts the order. If this occurs before the NYSE closes (usually 4:00 p.m. Eastern Time), your price will be the NAV per share for that day. If it's after the NYSE closes, your price will be the NAV per share for the next business day. An intermediary could require you to place an order before 4:00 p.m. to get the NAV per share for that day. If you are opening an account on-line and are transferring assets from another institution, your transaction will be processed at the NAV per share next calculated after BFDS receives your check or wire in good order. LOW BALANCE FEE. For all accounts below $1,500, we annually assess a low balance fee of $25.00. This fee will be assessed and charged beginning November 15, 2003, and at the end of every twelve month period thereafter. We waive the low balance fee if you have $50,000 or more invested with us. For the purpose of determining this $50,000, we include any amount that you have invested in a TIAA-CREF mutual fund or annuity contract. We will also waive the low balance fee if you have established a monthly AIP of at least $100 a month. TAXPAYER IDENTIFICATION NUMBER. You must give us your taxpayer identification number (which, for most individuals, is your social security number) and tell us whether or not you are subject to back-up withholding for prior under-reporting. If you don't furnish your taxpayer 68 identification number, redemptions or exchanges of shares, as well as dividends and capital gains distributions, will be subject to back-up tax withholding. CHANGING YOUR ADDRESS. To change the address on your account, please call us or send us a written notification signed by all registered owners of your account. SIGNATURE GUARANTEE. For some transaction requests (for example, when you're redeeming shares within 30 days of changing your address, bank or bank account or adding certain new services to an existing account), we require a signature guarantee of each owner of record of an account. This requirement is designed to protect you and the TIAA-CREF Institutional Mutual Funds from fraud, and to comply with rules on stock transfers. You can get a signature guarantee from a bank or trust company, savings bank, savings and loan association, or a member of a national stock exchange. A notary public can't provide a signature guarantee. For more information about when a signature guarantee is required, please contact us. TRANSFERRING SHARES. You can transfer ownership of your account to another person or organization or change the name on your account by sending us written instructions. All registered owners of the account must sign the request and provide signature guarantees. When you change the name on an account, shares in that account are transferred to a new account. TRANSFER ON DEATH. If you live in certain states, you can designate one or more persons ("beneficiaries") to whom your TIAA-CREF Institutional Mutual Funds shares can be transferred upon death. You can set up your account with a Transfer On Death ("TOD") registration upon request. (Call us to get the necessary forms.) A TOD registration avoids probate if the beneficiary(ies) survives all shareholders. You maintain total control over your account during your lifetime. Currently, all states except Louisiana, New York and North Carolina allow transfer on death. Transfer on death is also currently unavailable in the District of Columbia. TELEPHONE AND TIAA-CREF WEB CENTER TRANSACTIONS. The Funds aren't liable for losses from unauthorized telephone and TIAA-CREF Web Center transactions so long as we follow reasonable procedures designed to verify the identity of the person effecting the transaction. We therefore take the following precautions to ensure your instructions are genuine: we require the use of personal identification numbers, codes, and other procedures designed to reasonably confirm that instructions given by telephone or through TIAA-CREF's Web Center are genuine. We also tape record telephone instructions and provide written confirmations. We accept all telephone instructions we reasonably believe are genuine and accurate. However, you should verify the accuracy of your confirmation statements immediately after you receive them. If you do not want to be able to effect transactions over the telephone, call us for instructions. ADVICE ABOUT YOUR ACCOUNT. Representatives of TPIS may recommend that you buy Fund shares. TPIS, a TIAA subsidiary, is considered the principal underwriter for the Funds. TPISrepresentatives are only authorized to recommend securities of TIAA or its affiliates. They get no commissions for these recommendations. 69 ELECTRONIC PROSPECTUSES If you received this prospectus electronically and would like a paper copy, please contact us and we will send one to you. GLOSSARY CODE: The Internal Revenue Code of 1986, as amended, including any applicable regulations and Revenue Rulings. DURATION: The approximate percentage change in the price of a fixed-income security in response to a change in prevailing interest rates. It can be understood as the weighted average of the time to each coupon and principal payment of such a security. For an investment portfolio of fixed-income securities, Duration is the weighted average of each security's Duration. EQUITY SECURITIES: Common stock, preferred stock, and securities convertible or exchangeable into common stock, including convertible debt securities, convertible preferred stock and warrants or rights to acquire common stock. FIXED-INCOME SECURITIES: Bonds and notes (such as corporate and government debt obligations), mortgage-backed securities, asset-backed securities, and structured securities that pay fixed or variable rates of interest; debt obligations issued at a discount from face value (I.E., that have an imputed rate of interest); and preferred stock or other securities that pay dividends. FOREIGN INVESTMENTS: Securities of foreign issuers, securities or contracts traded or acquired in foreign markets or on foreign exchanges, or securities or contracts payable or denominated in foreign currencies. FOREIGN ISSUERS: Foreign issuers generally include (1) companies whose securities are principally traded outside of the United States, (2) companies having their principal business operations outside of the United States, (3) companies organized outside the United States, and (4) foreign governments and agencies or instrumentalities of foreign governments. U. S. GOVERNMENT SECURITIES: Securities issued or guaranteed by the U.S. Government or its agencies or instrumentalities. INVESTMENT GRADE: A security is Investment Grade if it is rated in the four highest categories by a nationally-recognized statistical rating organization ("NRSRO") or unrated securities that the investment adviser determines are of comparable quality. 70 FINANCIAL HIGHLIGHTS TIAA-CREF INSTITUTIONAL MUTUAL FUNDS The Financial Highlights table is intended to help you understand the Funds' financial performance since they began operations on June 14, 1999 through the period ended March 31, 2002. The table reflects the financial results for the Institutional Class shares of the Growth Equity Fund, the Growth & Income Fund, the International Equity Fund, the Equity Index Fund, the Social Choice Equity Fund, the Bond Fund and the Money Market Fund only, because the other Funds were formed in 2002 and do not have financial results for the reportable period. Certain information reflects financial results for a single share of a Fund. The total returns in the table show the rates that an investor would have earned or lost on an investment in a Fund (assuming reinvestment of all dividends and distributions). The information through the period ended September 30, 2001 has been audited by Ernst & Young LLP, independent auditors. Their report appears in TIAA-CREF Institutional Mutual Funds' Annual Report. It is available without charge upon request. 71
INTERNATIONAL EQUITY FUND GROWTH EQUITY FUND --------------------------------- ----------------------------------------------- ------------------------------------------------ For the June 14, 1999 For the June 14, 1999 Six Commencement Six (Commencement Months Year Year of Months Year Year of Ended Ended Ended Operations) Ended Ended Ended Operations) March 31, Sept. 30, Sept. 30, to Sept. 30, March 31, Sept. 30, Sept. 30, to Sept. 30, 2002 (a) 2001 2000 1999 (a) 2002 (a) 2001 2000 1999 (a) --------------------------------- --------- --------- --------- ------------ --------- --------- --------- ------------ (Unaudited) (Unaudited) SELECTED PER SHARE DATA Net asset value, beginning of period $ 8.08 $ 12.55 $ 10.66 $ 10.00 $ 6.40 $ 12.55 $ 10.14 $ 10.00 -------- -------- ------- ------- -------- -------- -------- ------- Gain (loss) from investment operations: Net investment income 0.02 0.10 0.07 0.04 0.01 0.02 0.03 0.02 Net realized and unrealized gain (loss) on total investments 0.65 (4.06) 1.94 0.62 0.74 (5.90) 2.40 0.12 -------- -------- ------- ------- -------- -------- -------- ------- Total gain (loss) from investment operations 0.67 (3.96) 2.01 0.66 0.75 (5.88) 2.43 0.14 -------- -------- ------- ------- -------- -------- -------- ------- Less distributions from: Net investment income (0.08) (0.04) (0.05) -- (0.02) (0.02) (0.02) -- Net realized gains -- (0.47) (0.07) -- -- (0.25) -- -- -------- -------- ------- ------- -------- -------- -------- ------- Total distributions (0.08) (0.51) (0.12) -- (0.02) (0.27) (0.02) -- -------- -------- ------- ------- -------- -------- -------- ------- Net asset value, end of period $ 8.67 $ 8.08 $ 12.55 $ 10.66 $ 7.13 $ 6.40 $ 12.55 $ 10.14 ======== ======== ======= ======= ======== ======== ======== ======= TOTAL RETURN 8.33% (32.63)% 18.58% 6.60% 11.77% (47.57)% 24.01% 1.40% RATIOS AND SUPPLEMENTAL DATA Net assets at end of period (in thousands) $209,469 $120,436 $83,841 $27,472 $153,886 $149,981 $130,529 $30,535 Ratio of expenses to average net assets before expense waiver and reimbursement 0.21% 0.52% 0.70% 0.39% 0.19% 0.41% 0.56% 0.35% Ratio of expenses to average net assets after expense waiver and reimbursement 0.14% 0.29% 0.29% 0.09% 0.11% 0.22% 0.22% 0.07% Ratio of net investment income to average net assets 0.56% 1.51% 0.94% 0.45% 0.23% 0.38% 0.30% 0.20% Portfolio turnover rate 31.01% 77.83% 105.37% 21.35% 33.55% 34.44% 56.67% 21.08%
(a) The percentages shown for this period are not annualized. GROWTH & INCOME FUND ---------------------------------------------------- For the Six June 14, 1999 Months (Commencement Ended Year Year of Operations) March 31, Ended Ended to 2002 Sept. 30, Sept. 30, Sept. 30, (a) 2001 2000 1999 (a) --------- --------- --------- -------------- (Unaudited) $ 7.91 $ 11.24 $ 9.76 $ 10.00 -------- -------- ------- ------- 0.04 0.09 0.10 0.04 0.71 (3.15) 1.49 (0.25) -------- -------- ------- ------- 0.75 (3.06) 1.59 (0.21) -------- -------- ------- ------- (0.04) (0.09) (0.10) (0.03) -- (0.18) (0.01) -- -------- -------- ------- ------- (0.04) (0.27) (0.11) (0.03) -------- -------- ------- ------- $ 8.62 $ 7.91 $ 11.24 $ 9.76 ======== ======== ======= ======= 9.59% (27.66)% 16.18% (2.05)% $392,237 $169,880 $65,334 $25,174 0.17% 0.44% 0.78% 0.38% 0.11% 0.22% 0.22% 0.07% 0.54% 1.10% 1.02% 0.36% 63.79% 49.56% 37.95% 10.95% (a) The percentages shown for this period are not annualized. 72
EQUITY INDEX FUND -------------------------------------------- -------------------------------------------------------------- June 14, 1999 (Commencement For the Six Months Year Ended Year Ended of Operations) Ended March 31, Sept. 30, Sept. 30, to Sept. 30, 2002 (a) 2001 2000 1999 (a) ------------------ ---------- ---------- -------------- SELECTED PER SHARE DATA (Unaudited) Net asset value, beginning of period $8.06 $11.37 $9.76 $10.00 ------ ------ ------ ------ Gain (loss) from investment operations: Net investment income 0.02 0.09 0.10 0.04 Net realized and unrealized gain (loss) on total investments 0.98 (3.20) 1.61 (0.28) ------ ------ ------ ------ Total gain (loss) from investment operations 1.00 (3.11) 1.71 (0.24) ------ ------ ------ ------ Less distributions from: Net investment income (0.06) (0.10) (0.07) -- Net realized gains -- (0.10) (0.03) -- ------ ------ ------ ------ Total distributions (0.06) (0.20) (0.10) -- ------ ------ ------ ------ Net asset value, end of period $9.00 $8.06 $11.37 $ 9.76 ====== ====== ====== ====== TOTAL RETURN 12.44% (27.71)% 17.49% (2.40)% RATIOS AND SUPPLEMENTAL DATA Net assets at end of period (in thousands) $344,253 $101,247 $51,669 $25,064 Ratio of expenses to average net assets before expense waiver 0.16% 0.51% 0.71% 0.36% and reimbursement Ratio of expenses to average net assets after expense waiver and 0.08% 0.17% 0.17% 0.05% reimbursement Ratio of net investment income to average net assets 0.64% 1.19% 1.04% 0.39% Portfolio turnover rate 1.01% 7.19% 11.58% 9.51%
(a) The percentages shown for this period are not annualized. SOCIAL CHOICE EQUITY FUND ------------------------------------------------------------------------------ June 14, 1999 For the Six Months Year Ended Year Ended (Commencement of Ended March 31, Sept 30, Sept. 30, Operations) to 2002 (a) 2001 2000 Sept. 30, 1999 (a) -------------------- ---------- ---------- ------------------------------ (Unaudited) $8.03 $11.16 $9.86 $10.00 ------ ------ ------ ------ 0.04 0.10 0.11 0.04 0.83 (2.94) 1.25 (0.18) ------ ------ ------ ------ 0.87 (2.84) 1.36 (0.14) ------ ------ ------ ------ (0.09) (0.11) (0.06) -- -- (0.18) -- -- ------ ------ ------ ------ (0.09) (0.29) (0.06) -- ------ ------ ------ ------ $8.81 $8.03 $11.16 $9.86 ====== ====== ====== ====== 10.86% (25.99)% 13.84% (1.40)% $37,911 $26,460 $29,307 $24,731 0.37% 0.97% 0.90% 0.37% 0.09% 0.18% 0.18% 0.05% 0.61% 1.12% 1.00% 0.37% 0.57% 4.96% 16.22% 0.06% (a) The percentages shown for this period are not annualized. 73
BOND FUND -------------------------------------------- --------------------------------------------------------------- June 14, 1999 (Commencement For the Six Months Year Ended Year Ended of Operations) Ended March 31, Sept. 30, Sept. 30, to Sept. 30, 2002 (a) 2001 2000 1999 (a) -------------------------------------------- -------------------- ------------ ------------ ---------------- SELECTED PER SHARE DATA (Unaudited) Net asset value, beginning of period $10.58 $10.04 $9.97 $10.00 ------ ------ ----- ------ Gain (loss) from investment operations: Net investment income 0.25 0.61 0.61 0.17 Net realized and unrealized gain (loss) on total investments (0.29) 0.67 0.07 (0.03) ------ ---- ---- ------ Total gain (loss) from investment operations (0.04) 1.28 0.68 0.14 ------ ---- ---- ---- Less distributions from: Net investment income (0.25) (0.61) (0.61) (0.17) Net realized gains (0.19) (0.13) -- -- ------ ------ ----- ------ Total distributions (0.44) (0.74) (0.61) (0.17) ------ ------ ------ ------ Net asset value, end of period $10.10 $10.58 $10.04 $9.97 ====== ====== ====== ===== TOTAL RETURN (0.33%) 13.21% 7.07% 1.42% RATIOS AND SUPPLEMENTAL DATA Net assets at end of period (in thousands) $537,596 $304,541 $151,697 $30,354 Ratio of expenses to average net assets before expense waiver 0.14% 0.30% 0.48% 0.35% and reimbursement Ratio of expenses to average net assets after expense waiver and 0.09% 0.19% 0.19% 0.06% reimbursement Ratio of net investment income to average net assets 2.54% 5.99% 6.59% 1.77% Portfolio turnover rate 120.23% 266.50% 301.93%(b) 173.31%
(a) The percentages shown for this period are not annualized. (b) During the year ended September 30, 2000, the Bond Fund began structuring dollar roll transactions as financing transactions. Had these transactions been treated for the entire year as purchases and sales, rather than as financing transactions, the portfolio turnover ratio for the year ended September 30, 2000 would have been 477.22%. MONEY MARKET FUND ------------------------------------------------------------------------------ June 14, 1999 For the Six Months Year Ended Year Ended (Commencement of Ended March 31, Sept. 30, Sept. 30, Operations) to 2002 (a) 2001 2000 Sept. 30, 1999 (a) --------------------- ------------ ------------ ------------------------------ (Unaudited) $1.00 $1.00 $1.00 $ 1.00 ------ ------ ------ ------ 0.01 0.05 0.06 0.02 -- -- -- -- ------ ------ ------ ------ 0.01 0.05 0.06 0.02 ------ ------ ------ ------ (0.01) (0.05) (0.06) (0.02) -- -- -- -- ------ ------ ------ ------ (0.01) (0.05) (0.06) (0.02) ------ ------ ------ ------ $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== 1.02% 5.16% 6.19% 1.51% $213,769 $35,037 $25,293 $25,378 0.16% 0.94% 0.91% 0.36% 0.08% 0.16% 0.16% 0.05% 0.86% 4.91% 6.00% 1.52% n/a n/a n/a n/a (a) The percentages shown for this period are not annualized. 74 FOR MORE INFORMATION ABOUT TIAA-CREF INSTITUTIONAL MUTUAL FUNDS The following documents contain more information about the Funds and are available free upon request: STATEMENT OF ADDITIONAL INFORMATION ("SAI"). The SAI contains more information about all aspects of the Funds. A current SAI has been filed with the U.S. Securities and Exchange Commission ("SEC") and is incorporated in this prospectus by reference. ANNUAL AND SEMI-ANNUAL REPORTS. The Funds' annual and semi-annual reports provide additional information about the Funds' investments. In the Funds' annual report, you will find a discussion of the market conditions and investment strategies that significantly affected each Fund's performance during the preceding fiscal year. REQUESTING DOCUMENTS. You can request a copy of the SAI or these reports without charge, or contact us for any other purpose, in any of the following ways:
RETIREMENT CLASS INSTITUTIONAL CLASS RETAIL CLASS BY TELEPHONE: Call 800 842-2776 Call 800 478-2966 Call 800 223-1200 IN WRITING: TIAA-CREF Institutional TIAA-CREF Institutional Mutual TIAA-CREF Institutional Mutual Mutual Funds Funds Funds-Retail Class P.O. Box 1259 P.O. Box 4674 c/o State Street Bank Charlotte, NC 28201 New York, NY 10164 P.O. Box 8009 Boston, MA 02266-8009 OVER THE INTERNET: www.tiaa-cref.org www.tiaa-cref.org/mfs www.tiaa-cref.org ----------------- --------------------- -----------------
Information about TIAA-CREF Institutional Mutual Funds (including the SAI) can be reviewed and copied at the SEC's public reference room (1-202-942-8090) in Washington, D.C. The reports and other information are also available through the EDGAR Database on the SEC's internet website at www.sec.gov. Copies of the information can also be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov, or by writing the SEC's Public Reference Section, Washington, D.C. 20549-0102. To lower costs and eliminate duplicate documents sent to your home, we may begin mailing only one copy of the TIAA-CREF Institutional Mutual Funds prospectus, prospectus supplements, annual and semi-annual reports, or any other required documents, to your household, even if more than one shareholder lives there. If you would prefer to continue receiving your own copy of any of these documents, you may call us toll-free or write to us as follows: 75
RETIREMENT CLASS INSTITUTIONAL CLASS RETAIL CLASS BY TELEPHONE: Call 800 842-2776 Call 800 478-2966 Call 800 223-1200 IN WRITING: TIAA-CREF Institutional TIAA-CREF Institutional Mutual TIAA-CREF Institutional Mutual Mutual Funds Funds Funds-Retail Class P.O. Box 1259 P.O. Box 4674 c/o State Street Bank Charlotte, NC 28201 New York, NY 10164 P.O. Box 8009 Boston, MA 02266-8009
811-9301 [LOGO] "Printed on recycled paper TCIMFPOS-10/02 76 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS STATEMENT OF ADDITIONAL INFORMATION This Statement of Additional Information ("SAI") contains additional information that you should consider before investing in TIAA-CREF Institutional Mutual Funds. It is not a prospectus and should be read carefully in conjunction with the TIAA-CREF Institutional Mutual Funds' prospectus dated October 1, 2002 (the "Prospectus"), which may be obtained by writing us at TIAA-CREF Institutional Mutual Funds, P.O. Box 4674, New York, NY 10164 or by calling 800 478-2966. Capitalized terms used, but not defined, herein have the same meaning as in the Prospectus. The audited financial statements of the TIAA-CREF Institutional Mutual Funds for the fiscal year ended September 30, 2001 are incorporated into this SAI by reference to the Funds' Annual Report to shareholders, and the unaudited financial statements of the TIAA-CREF Institutional Mutual Funds for the six months ended March 31, 2002 are incorporated into this SAI by reference to the Funds' Semi-Annual Report to shareholders. We will furnish you, without charge, a copy of the Annual Report and Semi-Annual Report on request. The date of this SAI is October 1, 2002. ----------------- [TIAA-CREF LOGO] ----------------- TABLE OF CONTENTS INVESTMENT OBJECTIVES, POLICIES, AND RESTRICTIONS ......................... 1 FUNDAMENTAL POLICIES ................................................... 1 INVESTMENT POLICIES .................................................... 2 MANAGEMENT OF TIAA-CREF INSTITUTIONAL MUTUAL FUNDS ........................ 22 TRUSTEES AND OFFICERS OF THE TIAA-CREF INSTITUTIONAL MUTUAL FUNDS ...... 22 EQUITY OWNERSHIP OF TIAA-CREF INSTITUTIONAL MUTUAL FUNDS TRUSTEES ...... 29 TRUSTEE AND OFFICER COMPENSATION ....................................... 30 BOARD COMMITTEES ....................................................... 31 RESPONSIBILITIES OF THE BOARD .......................................... 33 PRINCIPAL HOLDERS OF SECURITIES ........................................... 33 INVESTMENT ADVISORY AND OTHER SERVICES .................................... 37 ABOUT THE TIAA-CREF INSTITUTIONAL MUTUAL FUNDS AND THE SHARES ............. 44 CLASS STRUCTURE ........................................................ 44 DISTRIBUTION (12B-1) PLAN .............................................. 45 INDEMNIFICATION OF SHAREHOLDERS ........................................ 46 INDEMNIFICATION OF TRUSTEES ............................................ 47 LIMITATION OF FUND LIABILITY ........................................... 47 SHAREHOLDER MEETINGS AND VOTING RIGHTS ................................. 47 ADDITIONAL FUNDS OR CLASSES ............................................ 48 DIVIDENDS AND DISTRIBUTIONS ............................................ 48 PRICING OF SHARES ......................................................... 48 INVESTMENTS FOR WHICH MARKET QUOTATIONS ARE READILY AVAILABLE .......... 48 FOREIGN INVESTMENTS .................................................... 48 DEBT SECURITIES ........................................................ 49 SPECIAL VALUATION PROCEDURES FOR THE MONEY MARKET FUND ................. 49 OPTIONS AND FUTURES .................................................... 50 INVESTMENTS FOR WHICH MARKET QUOTATIONS ARE NOT READILY AVAILABLE ...... 50 TAX STATUS ................................................................ 51 BROKERAGE ALLOCATION ...................................................... 57 CALCULATION OF PERFORMANCE DATA ........................................... 66 YIELD CALCULATIONS ..................................................... 66 ALL FUNDS OTHER THAN THE MONEY MARKET FUND ............................. 66 YIELD INFORMATION ABOUT THE MONEY MARKET FUND .......................... 66 TOTAL RETURNS .......................................................... 67 PERFORMANCE COMPARISONS ................................................ 71 ILLUSTRATING COMPOUNDING ............................................... 72 NET ASSET VALUE ........................................................ 72 MOVING AVERAGES ........................................................ 72 FUND STATISTICS ........................................................ 72 ACCOUNT PERFORMANCE .................................................... 72 ECONOMIC CONDITIONS .................................................... 72 VOTING RIGHTS ............................................................. 73 LEGAL MATTERS ............................................................. 73 EXPERTS ................................................................... 73 CONSIDERATIONS CONCERNING THE FUNDS ....................................... 73 ADDITIONAL CONSIDERATIONS ................................................. 80 FINANCIAL STATEMENTS ...................................................... 81 INVESTMENT OBJECTIVES, POLICIES, AND RESTRICTIONS The following discussion of investment policies and restrictions supplements the Prospectus descriptions of the investment objective and principal investment strategies of each of the TIAA-CREF Institutional Mutual Funds' twenty-three separate investment portfolios or funds (the "Funds"). Under the Investment Company Act of 1940, as amended (the "1940 Act"), any fundamental policy of a registered investment company may not be changed without the vote of a majority of the outstanding voting securities (as defined in the 1940 Act) of that series. However, each Fund's investment objective, policies and principal investment strategies described in the Prospectus, as well as the investment restrictions contained in "Investment Policies and Risk Considerations" below, are not fundamental and therefore may be changed by the TIAA-CREF Institutional Mutual Funds' board of trustees (the "Board of Trustees" or the "Board") at any time. Each Fund, with the exception of the Real Estate Securities Fund, will be "diversified" within the meaning of the 1940 Act. Unless stated otherwise, each of the following investment policies and risk considerations apply to each Fund. FUNDAMENTAL POLICIES The following restrictions are fundamental policies of each Fund: 1. The Fund will not issue senior securities except as permitted by law. 2. The Fund will not borrow money, except: (a) each Fund may purchase securities on margin, as described in restriction 7 below; and (b) from banks (only in amounts not in excess of 33 1/3 percent of the market value of that Fund's assets at the time of borrowing), and, from other sources, for temporary purposes (only in amounts not exceeding 5 percent, or such greater amount as may be permitted by law, of that Fund's total assets taken at market value at the time of borrowing). 3. The Fund will not underwrite the securities of other companies, except to the extent that it may be deemed an underwriter in connection with the disposition of securities from its portfolio. 4. The Fund will not purchase real estate or mortgages directly. 5. The Fund will not purchase commodities or commodities contracts, except to the extent futures are purchased as described herein. B-1 6. The Fund will not lend any security or make any other loan if, as a result, more than 33 1/3 percent of its total assets would be lent to other parties, but this limit does not apply to repurchase agreements. 7. The Fund will not purchase any security on margin except that the Fund may obtain such short-term credit as may be necessary for the clearance of purchases and sales of portfolio securities. 8. The Fund will not, with respect to at least 75 percent of the value of its total assets, invest more than 5 percent of its total assets in the securities of any one issuer, other than securities issued or guaranteed by the U.S. Government, its agencies or instrumentalities, or hold more than 10 percent of the outstanding voting securities of any one issuer. The following restriction is a fundamental policy of each Fund other than the Real Estate Securities Fund. 9. The Fund will not invest 25 percent or more of its total assets in the securities of one or more issuers conducting their principal business activities in the same industry (excluding the U.S. Government or any of its agencies or instrumentalities). The Real Estate Securities Fund has a non-fundamental policy of investing more than 25 percent of its total assets in securities of issuers in the real estate industry. INVESTMENT POLICIES The following restrictions are non-fundamental policies of each Fund. These restrictions may be changed without the approval of the shareholders in the affected Fund. B-2 NON-EQUITY INVESTMENTS OF THE EQUITY FUNDS. The Equity Funds can, in addition to stocks, hold other types of securities with equity characteristics, such as convertible bonds, preferred stock, warrants and depository receipts or rights. Pending more permanent investments or to use cash balances effectively, these Funds can hold the same types of money market instruments the Money Market Fund invests in (see Retail Share Class Prospectus, page __, Institutional Share Class Prospectus, page __, Retirement Share Class Prospectus (18 funds), page __, and Retirement Share Class Prospectus (9 funds), page __), as well as other short-term instruments. These other instruments are the same type of instruments the Money Market Fund holds, but they have longer maturities than the instruments allowed in the Money Market Fund, or else do not meet the requirements for "First Tier Securities." When market conditions warrant, the Equity Funds can invest directly in debt securities similar to those the Bond Fund may invest in. The Equity Funds can also hold debt securities that they acquire because of mergers, recapitalizations or otherwise. TEMPORARY DEFENSIVE POSITIONS. During periods when Teachers Advisors, Inc. ("Advisors"), the investment manager for the Funds, believes there are unstable market, economic, political or currency conditions domestically or abroad, Advisors may assume, on behalf of a Fund, a temporary defensive posture and (1) without limitation hold cash and/or invest in money market instruments, or (2) restrict the securities markets in which the Fund's assets will be invested by investing those assets in securities markets deemed by Advisors to be conservative in light of the Fund's investment objective and policies. Under normal circumstances, each Fund may invest a portion of its total assets in cash or money market instruments for cash management purposes, pending investment in accordance with the Fund's investment objective and policies and to meet operating expenses. To the extent that a Fund holds cash or invests in money market instruments, it may not achieve its investment objective. LIQUIDITY FACILITY. The Equity Funds participate in a $2.25 billion unsecured revolving credit facility, for temporary or emergency purposes, including, without limitation, funding of shareholder redemptions that otherwise might require the untimely disposition of securities. The College Retirement Equities Fund ("CREF"), TIAA-CREF Mutual Funds, TIAA-CREF Life Funds and TIAA Separate Account VA-1, each of which is managed by Advisors or an affiliate of Advisors, also participate in this facility. An annual commitment fee for the credit facility is borne by the participating Funds. Interest associated with any borrowing under the facility will be charged to the borrowing Funds at rates that are based on the Federal Funds Rate in effect during the time of the borrowing. B-3 If a Fund borrows money, it could leverage its portfolio by keeping securities it might otherwise have had to sell. Leveraging exposes a Fund to special risks, including greater fluctuations in net asset value in response to market changes. ILLIQUID INVESTMENTS. The Board has delegated responsibility to Advisors for determining the value and liquidity of investments held by each Fund. Investments may be illiquid because of the absence of a trading market, making it difficult to value them or dispose of them promptly at an acceptable price. A Fund will not purchase or otherwise acquire any investment, if as a result, more than 15 percent (10 percent in the case of the Money Market Fund) of its net assets (taken at current value) would be invested in illiquid investments. RESTRICTED SECURITIES. The Funds may invest in restricted securities. A restricted security is one that has a contractual restriction on resale or cannot be resold publicly until it is registered under the Securities Act of 1933, as amended (the "1933 Act"). From time to time, restricted securities can be considered illiquid. For example, they may be considered illiquid if they are not eligible for sale to qualified institutional purchasers in reliance upon Rule 144A under the 1933 Act. However, purchases by a Fund of securities of foreign issuers offered and sold outside the United States may be considered liquid even though they are restricted. The Board of Trustees from time to time may determine the liquidity of restricted securities. PREFERRED STOCK. The Funds can invest in preferred stock consistent with their investment objectives. OPTIONS AND FUTURES. Each of the Funds may engage in options and futures strategies to the extent permitted by the Securities and Exchange Commission ("SEC") and Commodity Futures Trading Commission ("CFTC"). We do not intend for any Fund to use options and futures strategies in a speculative manner but rather we would use them primarily as hedging techniques or for cash management purposes. OPTION-RELATED ACTIVITIES COULD INCLUDE: (1) selling of covered call option contracts and the purchase of call option contracts for the purpose of a closing purchase transaction; (2) buying covered put option contracts, and selling put option contracts to close out a position acquired through the purchase of such options; and (3) selling call option contracts or buying put option contracts on groups of securities and on futures on groups of securities, and buying similar call option contracts or selling put option contracts to close out a position acquired through a sale of such options. This list of options-related activities is not intended to be exclusive, and each Fund may engage in other types of options transactions consistent with its investment objective and policies and applicable law. A call option is a short-term contract (generally for nine months or less) which gives the purchaser of the option the right but not the obligation to purchase the underlying security at a fixed exercise price at any time (American style) or at a set time (European style) prior to the B-4 expiration of the option regardless of the market price of the security during the option period. As consideration for the call option, the purchaser pays the seller a premium, which the seller retains whether or not the option is exercised. The seller of a call option has the obligation, upon the exercise of the option by the purchaser, to sell the underlying security at the exercise price. Selling a call option would benefit the seller if, over the option period, the underlying security declines in value or does not appreciate above the aggregate of the exercise price and the premium. However, the seller risks an "opportunity loss" of profits if the underlying security appreciates above the aggregate value of the exercise price and the premium. A Fund may close out a position acquired through selling a call option by buying a call option on the same security with the same exercise price and expiration date as the call option that it had previously sold on that security. Depending on the premium for the call option purchased by the Fund, the Fund will realize a profit or loss on the transaction. A put option is a similar short-term contract that gives the purchaser of the option the right to sell the underlying security at a fixed exercise price prior to the expiration of the option regardless of the market price of the security during the option period. As consideration for the put option, the purchaser pays the seller a premium, which the seller retains whether or not the option is exercised. The seller of a put option has the obligation, upon the exercise of the option by the purchaser, to purchase the underlying security at the exercise price. The buying of a covered put contract limits the downside exposure for the investment in the underlying security. The risk of purchasing a put is that the market price of the underlying stock prevailing on the expiration date may be above the option's exercise price. In that case, the option would expire worthless and the entire premium would be lost. A Fund may close out a position acquired through buying a put option by selling an identical put option on the same security with the same exercise price and expiration date as the put option that it had previously bought on the security. Depending on the premiums of the put options bought and sold, the Fund would realize a profit or loss on the transaction. In addition to options (both calls and puts) on individual securities, there are also options on groups of securities, such as the Standard & Poor's 100 Index traded on the Chicago Board Options Exchange. There are also options on futures of groups of securities such as the Standard & Poor's 500 Stock Index and the New York Stock Exchange Composite Index. The selling of calls can be used in anticipation of, or in, a general market or market sector decline that may adversely affect the market value of a Fund's portfolio of securities. To the extent that a Fund's portfolio of securities changes in value in correlation with a given stock index, the sale of call options on the futures of that index would substantially reduce the risk to the portfolio of a market decline, and, by so doing, provides an alternative to the liquidation of securities positions in the portfolio with resultant transaction costs. A risk in all options, particularly the relatively new options on groups of securities and on futures on groups of securities, is a possible lack of liquidity. This will be a major consideration before a Fund deals in any option. B-5 There is another risk in connection with selling a call option on a group of securities or on the futures of groups of securities. This arises because of the imperfect correlation between movements in the price of the call option on a particular group of securities and the price of the underlying securities held in the portfolio. Unlike a covered call on an individual security, where a large movement on the upside for the call option will be offset by a similar move on the underlying stock, a move in the price of a call option on a group of securities may not be offset by a similar move in the price of securities held due to the difference in the composition of the particular group and the portfolio itself. To the extent permitted by applicable regulatory authorities, each Fund may purchase and sell futures contracts on securities or other instruments, or on groups or indices of securities or other instruments. The purpose of hedging techniques using financial futures is to protect the principal value of a Fund against adverse changes in the market value of securities or instruments in its portfolio, and to obtain better returns on investments than available in the cash market. Since these are hedging techniques, the gains or losses on the futures contract normally will be offset by losses or gains, respectively, on the hedged investment. Futures contracts may be offset prior to the future date by executing an opposite futures contract transaction. A futures contract on an investment is a binding contractual commitment that, if held to maturity, will result in an obligation to make or accept delivery, during a particular future month, of the securities or instrument underlying the contract. By purchasing a futures contract -- assuming a "long" position -- a Fund legally will obligate itself to accept the future delivery of the underlying security or instrument and pay the agreed price. By selling a futures contract -- assuming a "short" position -- it legally will obligate itself to make the future delivery of the security or instrument against payment of the agreed price. Positions taken in the futures markets are not normally held to maturity, but are instead liquidated through offsetting transactions that may result in a profit or a loss. While futures positions taken by a Fund usually will be liquidated in this manner, a Fund may instead make or take delivery of the underlying securities or instruments whenever it appears economically advantageous to the Fund to do so. A clearing corporation associated with the exchange on which futures are traded assumes responsibility for closing out positions and guarantees that the sale and purchase obligations will be performed with regard to all positions that remain open at the termination of the contract. A stock index futures contract, unlike a contract on a specific security, does not provide for the physical delivery of securities, but merely provides for profits and losses resulting from changes in the market value of the contract to be credited or debited at the close of each trading day to the respective accounts of the parties to the contract. On the contract's expiration date, a final cash settlement occurs and the futures positions are closed out. Changes in the market value of a B-6 particular stock index futures contract reflect changes in the specified index of equity securities on which the future is based. Stock index futures may be used to hedge the equity investments of each Fund with regard to market risk (involving the market's assessment of overall economic prospects), as distinguished from company risk (involving the market's evaluation of the merits of the issuer of a particular security). By establishing an appropriate "short" position in stock index futures, a Fund may seek to protect the value of its securities portfolio against an overall decline in the market for equity securities. Alternatively, in anticipation of a generally rising market, a Fund can seek to avoid losing the benefit of apparently low current prices by establishing a "long" position in stock index futures and later liquidating that position as particular equity securities are in fact acquired. To the extent that these hedging strategies are successful, a Fund will be affected to a lesser degree by adverse overall market price movements, unrelated to the merits of specific portfolio equity securities, than would otherwise be the case. Unlike the purchase or sale of a security, no price is paid or received by a Fund upon the purchase or sale of a futures contract. Initially, the Fund will be required to deposit in a custodial account an amount of cash, U.S. Treasury securities, or other permissible assets equal to approximately 5 percent of the contract amount. This amount is known as "initial margin." The nature of initial margin in futures transactions is different from that of margin in security transactions in that futures contract margin does not involve the borrowing of funds by the customer to finance the transactions. Rather, the initial margin is in the nature of a performance bond or good faith deposit on the contract that is returned to the Fund upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments to and from the broker, called "variation margin," will be made on a daily basis as the price of the underlying stock index fluctuates making the long and short positions in the futures contract more or less valuable, a process known as "marking to the market." For example, when a Fund has purchased a stock index futures contract and the price of the underlying stock index has risen, that position will have increased in value, and the Fund will receive from the broker a variation margin payment equal to that increase in value. Conversely, where a Fund has purchased a stock index futures contract and the price of the underlying stock index has declined, the position would be less valuable and the Fund would be required to make a variation margin payment to the broker. At any time prior to expiration of the futures contract, the Fund may elect to close the position by taking an opposite position that will operate to terminate the Fund's position in the futures contract. A final determination of variation margin is then made, additional cash is required to be paid by or released to the Fund, and the Fund realizes a loss or a gain. There are several risks in connection with the use of a futures contract as a hedging device. One risk arises because of the imperfect correlation between movements in the prices of the futures contracts and movements in the securities or instruments that are the subject of the hedge. Each Fund will attempt to reduce this risk by engaging in futures transactions, to the extent possible, B-7 where, in our judgment, there is a significant correlation between changes in the prices of the futures contracts and the prices of each Fund's portfolio securities or instruments sought to be hedged. Successful use of futures contracts for hedging purposes also is subject to the user's ability to predict correctly movements in the direction of the market. For example, it is possible that where a Fund has sold futures to hedge its portfolio against declines in the market, the index on which the futures are written may advance and the values of securities or instruments held in the Fund's portfolio may decline. If this occurred, the Fund would lose money on the futures and also experience a decline in value in its portfolio investments. However, we believe that over time the value of a Fund's portfolio will tend to move in the same direction as the market indices that are intended to correlate to the price movements of the portfolio securities or instruments sought to be hedged. It also is possible that, for example, if a Fund has hedged against the possibility of the decline in the market adversely affecting stocks held in its portfolio and stock prices increased instead, the Fund will lose part or all of the benefit of increased value of those stocks that it has hedged because it will have offsetting losses in its futures positions. In addition, in such situations, if the Fund has insufficient cash, it may have to sell securities or instruments to meet daily variation margin requirements. Such sales may be, but will not necessarily be, at increased prices that reflect the rising market. The Fund may have to sell securities or instruments at a time when it may be disadvantageous to do so. In addition to the possibility that there may be an imperfect correlation, or no correlation at all, between movements in the futures contracts and the portion of the portfolio being hedged, the prices of futures contracts may not correlate perfectly with movements in the underlying security or instrument due to certain market distortions. First, all transactions in the futures market are subject to margin deposit and maintenance requirements. Rather than meeting additional margin deposit requirements, investors may close futures contracts through offsetting transactions that could distort the normal relationship between the index and futures markets. Second, the margin requirements in the futures market are less onerous than margin requirements in the securities market, and as a result the futures market may attract more speculators than the securities market does. Increased participation by speculators in the futures market also may cause temporary price distortions. Due to the possibility of price distortion in the futures market and also because of the imperfect correlation between movements in the futures contracts and the portion of the portfolio being hedged, even a correct forecast of general market trends by Advisors still may not result in a successful hedging transaction over a very short time period. Each Fund may also use futures contracts and options on futures contracts to manage its cash flow more effectively. To the extent that a Fund enters into non-hedging positions, it will do so only in accordance with certain CFTC exemptive provisions. Thus, pursuant to CFTC Rule 4.5, the aggregate initial margin and premiums required to establish non-hedging positions in commodity futures or commodity options contracts may not exceed 5 percent of the liquidation value of the Fund's portfolio, after-taking into account unrealized profits and unrealized losses B-8 on any such contracts it has entered into (provided that the in-the-money amount of an option that is in-the-money when purchased may be excluded in computing such 5 percent). Options and futures transactions may increase a Fund's transaction costs and portfolio turnover rate and will be initiated only when consistent with its investment objectives. INVESTMENT COMPANIES. Each Fund can invest up to 5 percent of its assets in any single investment company and up to 10 percent of its assets in all other investment companies in the aggregate. However, no Fund can hold more than 3 percent of the total outstanding voting stock of any single investment company. FIRM COMMITMENT AGREEMENTS AND PURCHASE OF "WHEN-ISSUED" SECURITIES. Each Fund can enter into firm commitment agreements for the purchase of securities on a specified future date. When a Fund enters into a firm commitment agreement, liability for the purchase price -- and the rights and risks of ownership of the securities -- accrues to the Fund at the time it becomes obligated to purchase such securities, although delivery and payment occur at a later date. Accordingly, if the market price of the security should decline, the effect of the agreement would be to obligate the Fund to purchase the security at a price above the current market price on the date of delivery and payment. During the time the Fund is obligated to purchase such securities, it will be required to segregate assets. See below, "Segregated Accounts." DEBT INSTRUMENTS GENERALLY A debt instrument held by a Fund will be affected by general changes in interest rates that will in turn result in increases or decreases in the market value of the instrument. The market value of non-convertible debt instruments (particularly fixed-income instruments) in a Fund's portfolio can be expected to vary inversely to changes in prevailing interest rates. In periods of declining interest rates, the yield of a Fund holding a significant amount of debt instruments will tend to be somewhat higher than prevailing market rates, and in periods of rising interest rates, the Fund's yield will tend to be somewhat lower. In addition, when interest rates are falling, money received by such a Fund from the continuous sale of its shares will likely be invested in portfolio instruments producing lower yields than the balance of its portfolio, thereby reducing the Fund's current yield. In periods of rising interest rates, the opposite result can be expected to occur. RATINGS AS INVESTMENT CRITERIA. Nationally recognized statistical ratings organizations ("NRSRO") ratings represent the opinions of those organizations as to the quality of securities that they rate. Although these ratings, which are relative and subjective and are not absolute standards of quality, are used by Advisors as one of many criteria for the selection of portfolio securities on behalf of the Funds, Advisors also relies upon its own analysis to evaluate potential investments. B-9 Subsequent to its purchase by a Fund, an issue of securities may cease to be rated or its rating may be reduced below the minimum required for purchase by the Fund. Although neither event will require the sale of the securities by a Fund, Advisors will consider the event in its determination of whether the Fund should continue to hold the securities. To the extent that a NRSRO's ratings change as a result of a change in the NRSRO or its rating system, the Funds will attempt to use comparable ratings as standards for their investments in accordance with their investment objectives and policies. CERTAIN INVESTMENT GRADE DEBT OBLIGATIONS. Although obligations rated Baa by Moody's Investors Service, Inc. ("Moody's") or BBB by Standard & Poor's ("S&P") are considered investment grade, they may be viewed as being subject to greater risks than other investment grade obligations. Obligations rated Baa by Moody's are considered medium-grade obligations that lack outstanding investment characteristics and have speculative characteristics as well, while those obligations rated BBB by S&P are regarded as having only an adequate capacity to pay principal and interest. U.S. GOVERNMENT DEBT SECURITIES. Some of the Funds may invest in U.S. Government securities. These include: debt obligations of varying maturities issued by the U.S. Treasury or issued or guaranteed by the Federal Housing Administration, Farmers Home Administration, Import-Export Bank of the United States, Small Business Administration, Government National Mortgage Association ("GNMA"), General Services Administration, Central Bank for Cooperatives, Federal Farm Credit Banks, Federal Home Loan Banks, Federal Home Loan Mortgage Corporation ("FHLMC"), Federal Intermediate Credit Banks, Federal Land Banks, Federal National Mortgage Association ("FNMA"), Federal Deposit Insurance Corporation, Maritime Administration, Tennessee Valley Authority, District of Columbia Armory Board, Student Loan Marketing Association, and Resolution Trust Corporation. Direct obligations of the U.S. Treasury include a variety of securities that differ in their interest rates, maturities and issue dates. Certain of the foregoing U.S. Government securities are supported by the full faith and credit of the United States, whereas others are supported by the right of the agency or instrumentality to borrow an amount limited to a specific line of credit from the U.S. Treasury or by the discretionary authority of the U.S. Government or GNMA to purchase financial obligations of the agency or instrumentality. In contrast, certain of the foregoing U.S. Government securities are only supported by the credit of the issuing agency or instrumentality. Because the U.S. Government is not obligated by law to support an agency or instrumentality that it sponsors, a Fund only invests in U.S. Government securities when Advisors determines that the credit risk associated with the obligation is suitable for the Fund. RISKS OF LOWER-RATED, LOWER QUALITY DEBT INSTRUMENTS. Lower-rated debt securities (I.E., those rated Ba or lower by Moody's or BB or lower by S&P) are considered, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation and will generally involve more credit risk than securities in the higher rated categories. Reliance on credit ratings entails greater risks with B-10 regard to lower-rated securities than it does with regard to higher-rated securities, and Advisors' success is more dependent upon its own credit analysis with regard to lower-rated securities than is the case with regard to higher-rated securities. The market values of such securities tend to reflect individual corporate developments to a greater extent than do higher-rated securities, which react primarily to fluctuations in the general level of interest rates. Such lower-rated securities also tend to be more sensitive to economic conditions than are higher-rated securities. Adverse publicity and investor perceptions, whether or not based on fundamental analysis, regarding lower-rated bonds may depress prices and liquidity for such securities. To the extent a Fund invests in these securities, factors adversely affecting the market value of lower-rated securities will adversely affect the Funds' net asset value ("NAV"). In addition, a Fund may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal or interest on its portfolio holdings. Although some risk is inherent in all securities ownership, holders of debt securities have a claim on the assets of the issuer prior to the holders of common stock. Therefore, an investment in debt securities generally entails less risk than an investment in common stock of the same issuer. A Fund may have difficulty disposing of certain lower-rated securities for which there is a thin trading market. Because not all dealers maintain markets in lower-rated securities, there is no established retail secondary market for many of these securities, and the TIAA-CREF Institutional Mutual Funds anticipates that they could be sold only to a limited number of dealers or institutional investors. To the extent there is a secondary trading market for lower-rated securities, it is generally not as liquid as that for higher-rated securities. The lack of a liquid secondary market for certain securities may make it more difficult for the TIAA-CREF Institutional Mutual Funds to obtain accurate market quotations for purposes of valuing a Fund's assets. Market quotations are generally available on many lower-rated issues only from a limited number of dealers and may not necessarily represent firm bids of such dealers or prices for actual sales. When market quotations are not readily available, lower-rated securities must be valued by (or under the direction of) the Board of Trustees. This valuation is more difficult and judgment plays a greater role in such valuation when there is less reliable objective data available. ZERO COUPON OBLIGATIONS. Some of the Funds may invest in zero coupon obligations. Zero coupon securities generally pay no cash interest (or dividends in the case of preferred stock) to their holders prior to maturity. Accordingly, such securities usually are issued and traded at a deep discount from their face or par value and generally are subject to greater fluctuations of market value in response to changing interest rates than securities of comparable maturities and credit quality that pay cash interest (or dividends in the case of preferred stock) on a current basis. Although a Fund will receive no payments on its zero coupon securities prior to their maturity or disposition, it will be required for federal income tax purposes generally to include in its dividends each year an amount equal to the annual income that accrues on its zero coupon securities. Such dividends will be paid from the cash assets of the Fund, from borrowings or by liquidation of portfolio securities, if necessary, at a time that the Fund otherwise would not have B-11 done so. To the extent a Fund is required to liquidate thinly traded securities, the Fund may be able to sell such securities only at prices lower than if such securities were more widely traded. The risks associated with holding securities that are not readily marketable may be accentuated at such time. To the extent the proceeds from any such dispositions are used by a Fund to pay distributions, that Fund will not be able to purchase additional income-producing securities with such proceeds, and as a result its current income ultimately may be reduced. STRUCTURED OR INDEXED SECURITIES. Some of the Funds may invest in structured or indexed securities. The value of the principal of and/or interest on such securities is determined by reference to changes in the value of specific currencies, interest rates, commodities, indices or other financial indicators (the "Reference") or the relative change in two or more References. The interest rate or the principal amount payable upon maturity or redemption may be increased or decreased depending upon changes in the applicable Reference. The terms of the structured or indexed securities may provide that in certain circumstances no principal is due at maturity and, therefore, may result in a loss of the Fund's investment. Structured or indexed securities may be positively or negatively indexed, so that appreciation of the Reference may produce an increase or a decrease in the interest rate or value of the security at maturity. In addition, changes in interest rates or the value of the security at maturity may be some multiple of the change in the value of the Reference. Consequently, structured or indexed securities may entail a greater degree of market risk than other types of debt securities because a Fund bears the risk of the Reference. Structured or indexed securities may also be more volatile, less liquid and more difficult to accurately price than less complex securities. MORTGAGED-BACKED AND ASSET-BACKED SECURITIES MORTGAGE-BACKED AND ASSET-BACKED SECURITIES GENERALLY. Some of the Funds may invest in mortgage-backed and asset-backed securities, which represent direct or indirect participation in, or are collateralized by and payable from, mortgage loans secured by real property or instruments derived from such loans. Mortgage-backed securities include various types of mortgage related securities such as government stripped mortgage related securities, adjustable- rate mortgage related securities and collateralized mortgage obligations. Some of the Funds may also invest in asset-backed securities, which represent participation in, or are secured by and payable from, assets such as motor vehicle installment sales contracts, installment loan contracts, leases of various types of real and personal property, receivables from revolving credit (I.E., credit card) agreements and other categories of receivables. Such assets are securitized through the use of trusts and special purpose corporations. Payments or distributions of principal and interest may be guaranteed up to certain amounts and for certain time periods by letters of credit or pool insurance policies issued by a financial institution unaffiliated with the trust or corporation. Other credit enhancements also may exist. Mortgage related securities represent pools of mortgage loans assembled for sale to investors by various governmental agencies, such as GNMA, by government related organizations, such as B-12 FNMA and FHLMC, as well as by private issuers, such as commercial banks, savings and loan institutions, mortgage bankers and private mortgage insurance companies. The average maturity of pass-through pools of mortgage related securities in which some of the Funds may invest varies with the maturities of the underlying mortgage instruments. In addition, a pool's stated maturity may be shortened by unscheduled payments on the underlying mortgages. Factors affecting mortgage prepayments include the level of interest rates, general economic and social conditions, the location of the mortgaged property and age of the mortgage. For example, in periods of falling interest rates, the rate of prepayment tends to increase, thereby shortening the actual average life of the mortgage related security. Conversely, when interest rates are rising, the rate of prepayment tends to decrease, thereby lengthening the actual average life of the mortgage related security. Accordingly, it is not possible to accurately predict the average life of a particular pool. Reinvestment of prepayments may occur at higher or lower rates than the original yield on the certificates. Therefore, the actual maturity and realized yield on pass-through or modified pass-through mortgage related securities will vary based upon the prepayment experience of the underlying pool of mortgages. For purposes of calculating the average life of the assets of the relevant Fund, the maturity of each of these securities will be the average life of such securities based on the most recent estimated annual prepayment rate. ASSET-BACKED AND RECEIVABLE-BACKED SECURITIES. Some of the Funds may invest in asset-backed and receivable-backed securities. To date, several types of asset-backed and receivable-backed securities have been offered to investors including automobile receivables and interests in pools of credit card receivables. MORTGAGE ROLLS. Some of the Funds may enter into mortgage "dollar rolls" in which the Fund sells securities for delivery in the current month and simultaneously contracts with a counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund would benefit to the extent of any price received for the securities sold and the lower forward price for the future purchase (often referred to as the "drop") plus the interest earned on the short-term investment awaiting the settlement date of the forward purchase. Unless such benefits exceed the income and gain or loss due to mortgage repayments that would have been realized on the securities sold as part of the mortgage roll, the use of this technique will diminish the investment performance of the Fund compared with what such performance would have been without the use of mortgage rolls. The Fund will hold and maintain in a segregated account until the settlement date cash or liquid assets in an amount equal to the forward purchase price. The benefits derived from the use of mortgage rolls may depend upon Advisors' ability to predict correctly mortgage prepayments and interest rates. There is no assurance that mortgage rolls can be successfully employed. For financial reporting and tax purposes, some of the Funds treat mortgage rolls as a financing transaction. B-13 LENDING OF SECURITIES. Subject to investment policy 6 on page B-2 (relating to loans of portfolio securities), each Fund may lend its securities to brokers and dealers that are not affiliated with Teachers Insurance and Annuity Association of America ("TIAA"), are registered with the SEC and are members of the National Association of Securities Dealers, Inc. ("NASD"), and also to certain other financial institutions. All loans will be fully collateralized. In connection with the lending of its securities, a Fund will receive as collateral cash, securities issued or guaranteed by the U.S. Government (I.E., Treasury securities), or other collateral permitted by applicable law, which at all times while the loan is outstanding will be maintained in amounts equal to at least 102 percent of the current market value of the loaned securities, or such lesser percentage as may be permitted by the SEC (not to fall below 100 percent of the market value of the loaned securities), as reviewed daily. By lending its securities, a Fund will receive amounts equal to the interest or dividends paid on the securities loaned and in addition will expect to receive a portion of the income generated by the short-term investment of cash received as collateral or, alternatively, where securities or a letter of credit are used as collateral, a lending fee paid directly to the Fund by the borrower of the securities. Such loans will be terminable by the Fund at any time and will not be made to affiliates of TIAA. The Fund may terminate a loan of securities in order to regain record ownership of, and to exercise beneficial rights related to, the loaned securities, including, but not necessarily limited to, voting or subscription rights, and may, in the exercise of its fiduciary duties, terminate a loan in the event that a vote of holders of those securities is required on a material matter. The Fund may pay reasonable fees to persons unaffiliated with the Fund for services or for arranging such loans. Loans of securities will be made only to firms deemed creditworthy. As with any extension of credit, however, there are risks of delay in recovering the loaned securities, should the borrower of securities default, become the subject of bankruptcy proceedings, or otherwise be unable to fulfill its obligations or fail financially. REPURCHASE AGREEMENTS. Repurchase agreements have the characteristics of loans, and will be fully collateralized (either with physical securities or evidence of book entry transfer to the account of the custodian bank) at all times. During the term of the repurchase agreement, the Fund entering into the agreement retains the security subject to the repurchase agreement as collateral securing the seller's repurchase obligation, continually monitors the market value of the security subject to the agreement, and requires the Fund's seller to deposit with the Fund additional collateral equal to any amount by which the market value of the security subject to the repurchase agreement falls below the resale amount provided under the repurchase agreement. Each Fund will enter into repurchase agreements only with member banks of the Federal Reserve System, and with primary government securities dealers or other domestic or foreign broker-dealers whose creditworthiness has been reviewed and found satisfactory by Advisors and who have, therefore, been determined to present minimal credit risk. Securities underlying repurchase agreements will be limited to certificates of deposit, commercial paper, bankers' acceptances, or obligations issued or guaranteed by the U.S. B-14 Government or its agencies or instrumentalities, in which the Fund entering into the agreement may otherwise invest. If a seller of a repurchase agreement defaults and does not repurchase the security subject to the agreement, the Fund entering into the agreement would look to the collateral security underlying the seller's repurchase agreement, including the securities subject to the repurchase agreement, for satisfaction of the seller's obligation to the Fund. In such event, the Fund might incur disposition costs in liquidating the collateral and might suffer a loss if the value of the collateral declines. In addition, if bankruptcy proceedings are instituted against a seller of a repurchase agreement, realization upon the collateral may be delayed or limited. SWAP TRANSACTIONS. Each Fund may, to the extent permitted by the SEC, enter into privately negotiated "swap" transactions with other financial institutions in order to take advantage of investment opportunities generally not available in public markets. In general, these transactions involve "swapping" a return based on certain securities, instruments, or financial indices with another party, such as a commercial bank, in exchange for a return based on different securities, instruments, or financial indices. By entering into a swap transaction, a Fund may be able to protect the value of a portion of its portfolio against declines in market value. Each Fund may also enter into swap transactions to facilitate implementation of allocation strategies between different market segments or countries or to take advantage of market opportunities that may arise from time to time. A Fund may be able to enhance its overall performance if the return offered by the other party to the swap transaction exceeds the return swapped by the Fund. However, there can be no assurance that the return a Fund receives from the counterparty to the swap transaction will exceed the return it swaps to that party. While a Fund will only enter into swap transactions with counterparties it considers creditworthy (and will monitor the creditworthiness of parties with which it enters into swap transactions), a risk inherent in swap transactions is that the other party to the transaction may default on its obligations under the swap agreement. If the other party to the swap transaction defaults on its obligations, the Fund entering into the agreement would be limited to the agreement's contractual remedies. There can be no assurance that a Fund will succeed when pursuing its contractual remedies. To minimize a Fund's exposure in the event of default, it will usually enter into swap transactions on a net basis (I.E., the parties to the transaction will net the payments payable to each other before such payments are made). When a Fund enters into swap transactions on a net basis, the net amount of the excess, if any, of the Fund's obligations over its entitlements with respect to each such swap agreement will be accrued on a daily basis and an amount of liquid assets having an aggregate market value at least equal to the accrued excess will be segregated by the Fund's custodian. To the extent a Fund enters into swap transactions other than on a net basis, the amount segregated will be the full amount of the Fund's obligations, if B-15 any, with respect to each such swap agreement, accrued on a daily basis. See "Segregated Accounts," below. Swap agreements may be considered illiquid by the SEC staff and subject to the limitations on illiquid investments. To the extent that there is an imperfect correlation between the return a Fund is obligated to swap and the securities or instruments representing such return, the value of the swap transaction may be adversely affected. No Fund therefore will enter into a swap transaction unless it owns or has the right to acquire the securities or instruments representative of the return it is obligated to swap with the counterparty to the swap transaction. It is not the intention of any Fund to engage in swap transactions in a speculative manner, but rather primarily to hedge or manage the risks associated with assets held in, or to facilitate the implementation of portfolio strategies of purchasing and selling assets for, the Fund. SEGREGATED ACCOUNTS. In connection with when-issued securities, firm commitment and certain other transactions in which a Fund incurs an obligation to make payments in the future, a Fund may be required to segregate assets with its custodian bank in amounts sufficient to settle the transaction. To the extent required, such segregated assets can consist of liquid assets, including equity or other securities, or other instruments such as cash, U.S. Government securities or other securities as may be permitted by law. CURRENCY TRANSACTIONS. The value of a Fund's assets as measured in U.S. dollars may be affected favorably or unfavorably by changes in foreign currency exchange rates and exchange control regulations, and the Fund may incur costs in connection with conversions between various currencies. To minimize the impact of such factors on net asset values, the Fund may engage in foreign currency transactions in connection with their investments in foreign securities. The Funds will not speculate in foreign currency exchange, and will enter into foreign currency transactions only to "hedge" the currency risk associated with investing in foreign securities. Although such transactions tend to minimize the risk of loss due to a decline in the value of the hedged currency, they also may limit any potential gain that might result should the value of such currency increase. The Funds will conduct their currency exchange transactions either on a spot (I.E., cash) basis at the rate prevailing in the currency exchange market, or through forward contracts to purchase or sell foreign currencies. A forward currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are entered into with large commercial banks or other currency traders who are participants in the interbank market. B-16 By entering into a forward contract for the purchase or sale of foreign currency involved in underlying security transactions, a Fund is able to protect itself against possible loss between trade and settlement dates for that purchase or sale resulting from an adverse change in the relationship between the U.S. dollar and such foreign currency. This practice is sometimes referred to as "transaction hedging." In addition, when it appears that a particular foreign currency may suffer a substantial decline against the U.S. dollar, a Fund may enter into a forward contract to sell an amount of foreign currency approximating the value of some or all of its portfolio securities denominated in such foreign currency. This practice is sometimes referred to as "portfolio hedging." Similarly, when it appears that the U.S. dollar may suffer a substantial decline against a foreign currency, a Fund may enter into a forward contract to buy that foreign currency for a fixed dollar amount. The Funds may also hedge their foreign currency exchange rate risk by engaging in currency financial futures, options and "cross-hedge" transactions. In "cross-hedge" transactions, a Fund holding securities denominated in one foreign currency will enter into a forward currency contract to buy or sell a different foreign currency (one that generally tracks the currency being hedged with regard to price movements). Such cross-hedges are expected to help protect a Fund against an increase or decrease in the value of the U.S. dollar against certain foreign currencies. The Funds may hold a portion of their respective assets in bank deposits denominated in foreign currencies, so as to facilitate investment in foreign securities as well as protect against currency fluctuations and the need to convert such assets into U.S. dollars (thereby also reducing transaction costs). To the extent these monies are converted back into U.S. dollars, the value of the assets so maintained will be affected favorably or unfavorably by changes in foreign currency exchange rates and exchange control regulations. The forecasting of short-term currency market movement is extremely difficult and whether a short-term hedging strategy will be successful is highly uncertain. Moreover, it is impossible to forecast with absolute precision the market value of portfolio securities at the expiration of a foreign currency forward contract. Accordingly, a Fund may be required to buy or sell additional currency on the spot market (and bear the expense of such transaction) if its predictions regarding the movement of foreign currency or securities markets prove inaccurate. In addition, the use of cross-hedging transactions may involve special risks, and may leave a Fund in a less advantageous position than if such a hedge had not been established. Because foreign currency forward contracts are privately negotiated transactions, there can be no assurance that a Fund will have flexibility to roll-over the foreign currency forward contract upon its expiration if it desires to do so. Additionally, there can be no assurance that the other party to the contract will perform its obligations thereunder. There is no express limitation on the percentage of a Fund's assets that may be committed to foreign currency exchange contracts. A Fund will not enter into foreign currency forward contracts or maintain a net exposure in such contracts where that Fund would be obligated to B-17 deliver an amount of foreign currency in excess of the value of that Fund's portfolio securities or other assets denominated in that currency or, in the case of a cross-hedge transaction, denominated in a currency or currencies that the Fund's investment adviser believes will correlate closely to the currency's price movements. The Funds generally will not enter into forward contracts with terms longer than one year. REAL ESTATE SECURITIES. As described more fully in the Prospectus, the Real Estate Securities Fund will invest primarily in the equity and fixed-income securities of companies that are principally engaged in or related to the real estate industry, including those that own significant real estate assets, such as real estate investment trusts ("REITs"). An issuer is principally "engaged in" or principally "related to" the real estate industry if at least 50 percent of its total assets, gross income, or net profits are attributable to ownership, construction, management or sale of residential, commercial or industrial real estate, or to products or services related to the real estate industry. Issuers engaged in the real estate industry include equity REITs (which directly own real estate), mortgage REITs (which make short-term construction or real estate development loans or invest in long-term mortgages or mortgage pools), real estate brokers and developers, homebuilders, companies that manage real estate, and companies that own substantial amounts of real estate. Businesses related to the real estate industry include manufacturers and distributors of building supplies and financial institutions that make or service mortgage loans. The Real Estate Securities Fund generally invests in common stocks, but may also, without limitation, invest in preferred stock, convertible securities, rights and warrants, and debt securities of issuers that are principally engaged in or related to the real estate industry, as well as publicly-traded limited partnerships that are principally engaged in or related to the real estate industry. In addition to these securities, the Real Estate Securities Fund may invest up to 20% of its total assets in equity and debt securities of issuers that are not principally engaged in or related to the real estate industry, including debt securities and convertible preferred stock and convertible debt securities rated less than Baa by Moody's or BBB by S&P. If held by the Real Estate Securities Fund in significant amounts, such lower-rated debt securities would increase financial risk and income volatility. The Real Estate Securities Fund may make investments or engage in investment practices that involve special risks, which include convertible securities, "when-issued" securities, securities issued on a delayed-delivery basis, options on securities and securities indices, financial futures contracts and options thereon, restricted securities, illiquid investments, repurchase agreements, structured or indexed securities and lending portfolio securities. These investment practices and attendant risks are described in "Investment Policies and Risk Considerations" in this SAI. Investments in the securities of companies that own, construct, manage or sell residential, commercial or industrial real estate will be subject to all of the risks associated with the ownership of real estate. These risks include: declines in the value of real estate, negative changes in the climate for real estate, risks related to general and local economic conditions, B-18 over-building and increased competition, decreases in property revenues, increases in property taxes and operating expenses, changes in zoning laws, casualty or condemnation losses, limitations on rents, changes in neighborhood values, the appeal of properties to tenants, leveraging of interests in real estate, increases in prevailing interest rates, and costs resulting from the clean-up of environmental problems. In addition to the risks discussed above, equity REITs may be affected by changes in the value of the underlying property of the trusts, while mortgage REITs may be affected by changes in the quality of any credit extended. Both equity and mortgage REITs are dependent upon management skill and may not be diversified themselves. REITs are also subject to heavy cash flow dependency, defaults by borrowers, self liquidation, and the possibility of failing to qualify for special tax treatment under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code") or failing to meet other applicable regulatory requirements. Finally, certain REITs may be self-liquidating in that a specific term of existence is provided for in their trust document. In acquiring the securities of REITs, the Real Estate Securities Fund runs the risk that it will sell them at an inopportune time. FOREIGN INVESTMENTS. As described more fully in the Prospectus, certain Funds may invest in foreign securities, including those in emerging markets. In addition to the general risk factors discussed in the Prospectus, there are a number of country- or region-specific risks and other considerations that may affect these investments. INVESTMENT IN EUROPE. The total European market (consisting of the European Union, the European Free Trade Association and Eastern European countries) contains over 450 million consumers, a market larger than either the U.S. or Japan. European businesses compete both intra-regionally and globally in a wide range of industries, and recent political and economic changes throughout Europe are likely further to expand the role of Europe in the global economy. As a result, a great deal of interest and activity has been generated aimed at understanding and benefiting from the "new" Europe that may result. The incipient aspects of major developments in Europe as well as other considerations means that there can be no guarantee that outcomes will be as anticipated or will have results that investors would regard as favorable. THE EUROPEAN UNION. The European Union ("EU") consists of Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal, Spain, Sweden, and the United Kingdom (the "EU Nations"), with a total population exceeding 370 million. The EU Nations have undertaken to establish, among themselves, a single market that is largely free of internal barriers and hindrances to the free movement of goods, persons, services and capital. Although it is difficult to predict when this goal will be fully realized, macro- and micro-economic adjustments already in train are indicative of significant increases in efficiency and the ability of the EU Nations to compete globally by simplifying product distribution networks, promoting economies of scale, and increasing labor mobility, among other effects. B-19 The establishment of the eleven-country European Monetary Union, a subset of the European Union countries, with its own central bank (the European Central Bank), its own currency (the Euro) and a single interest rate structure, represents a new economic entity, the Euro-area. While authority for monetary policy thus shifts from national hands to an independent supranational body, sovereignty elsewhere remains largely at the national level. Uncertainties with regard to balancing of monetary policy against national fiscal and other political issues and their extensive ramifications represent important risk considerations for investors in these countries. INVESTMENT IN THE PACIFIC BASIN. The economies of the Pacific Basin vary widely in their stages of economic development. Some countries, such as Japan, Australia, Singapore, and Hong Kong, are considered advanced by Western standards. Others, such as Thailand, Indonesia, and Malaysia, are considered "emerging" -- rapidly shifting from natural resource- and agriculture-based systems to more technologically advanced systems oriented toward manufacturing and services. The major reform of China's economy and political system continues to be an important influence on economic growth internally, and, through trade, across the region. Intra-regional trade has become increasingly important to a number of these economies. Japan, the second largest economy in the world, is the dominant economy in the Pacific Basin, with one of the highest per capita incomes in the world. Its extensive trade relationships also contribute to expectations for regional and global economic growth. Economic growth has historically been relatively strong in the region, but recent economic turmoil among the emerging economies, and unmitigated recessionary impulses in Japan, in the recent past have raised important questions with regard to prospective longer-term outcomes. Potential policy miscalculations or other events could pose important risks to equity investors in any of these economies. INVESTMENT IN CANADA. Canada, a country rich in natural resources and a leading industrial country of the world, is by far the most important trading partner of the U.S. The U.S., Canada, and Mexico have entered into the North American Free Trade Agreement ("NAFTA"), which is expected to significantly benefit the economies of each of the countries through the more rational allocation of resources and production over the region. The trade adjustment process can be highly complex and controversial and could result in significant risks to all parties. INVESTMENT IN LATIN AMERICA. Latin America (including Mexico and Central America) has a population of approximately 455 million and is rich in natural resources. Important gains in the manufacturing sector have developed in several of the major countries in the region. A number of countries in the region have taken steps to reduce impediments to trade, most notably through NAFTA between the U.S., Canada and Mexico and the Mercosur agreement between Argentina, Brazil, Paraguay and Uruguay, with Chile as an associate member. Restrictions on international capital flows, intermittent problems with capital flight, and in some instances issues with regard to the repayment of sovereign debt and currency stability, however, remain important concerns in the region -- exacerbating the risks in these equity markets. As a result, Latin American equity markets have been extremely volatile. Efforts to restructure these economies through privatization and fiscal and monetary reform have been met with some success, with gains in B-20 output growth and slowing rates of inflation in some countries. These efforts may result in attractive investment opportunities. However, history shows that large shifts in sentiment in markets elsewhere on the globe may very quickly reverberate among these markets, adding greater risk to already volatile markets. There can be no assurance that attempted reforms will ultimately be successful or will bring about results investors would regard as favorable. OTHER REGIONS. There are developments in other regions and countries around the world that could lead to additional investment opportunities. We will monitor these developments and may invest when appropriate. DEPOSITORY RECEIPTS. The Equity Funds can invest in American, European and Global Depository Receipts ("ADRs," "EDRs" and "GDRs"). They are alternatives to the purchase of the underlying securities in their national markets and currencies. Although their prices are quoted in U.S. dollars, they do not eliminate all the risks of foreign investing. ADRs represent the right to receive securities of foreign issuers deposited in a domestic bank or a foreign correspondent bank. To the extent that a Fund acquires ADRs through banks which do not have a contractual relationship with the foreign issuer of the security underlying the ADR to issue and service such ADRs, there may be an increased possibility that the Fund would not become aware of, and be able to respond to, corporate actions such as stock splits or rights offerings involving the foreign issuer in a timely manner. In addition, the lack of information may result in inefficiencies in the valuation of such instruments. However, by investing in ADRs rather than directly in the stock of foreign issuers, a Fund will avoid currency risks during the settlement period for either purchases or sales. In general, there is a large, liquid market in the U.S. for ADRs quoted on a national securities exchange or the NASD's national market system. The information available for ADRs is subject to the accounting, auditing and financial reporting standards of the domestic market or exchange on which they are traded, which standards are more uniform and more exacting than those to which many foreign issuers may be subject. EDRs and GDRs are receipts evidencing an arrangement with a non-U.S. bank similar to that for ADRs and are designed for use in non-U.S. securities markets. EDRs and GDRs are not necessarily quoted in the same currency as the underlying security. OTHER INVESTMENT TECHNIQUES AND OPPORTUNITIES. Each Fund may take certain actions with respect to merger proposals, tender offers, conversion of equity-related securities and other investment opportunities with the objective of enhancing the portfolio's overall return, regardless of how these actions may affect the weight of the particular securities in the Fund's portfolio. INDUSTRY CONCENTRATIONS. None of the Funds, with the exception of the Real Estate Securities Fund, will concentrate more than 25 percent of its total assets in any one industry. B-21 PORTFOLIO TURNOVER. The transactions engaged in by the Funds are reflected in the Funds' portfolio turnover rates. The rate of portfolio turnover is calculated by dividing the lesser of the amount of purchases or sales of portfolio securities during the fiscal year by the monthly average of the value of the Funds' portfolio securities (excluding from the computation all securities, including options, with maturities at the time of acquisition of one year or less). A high rate of portfolio turnover generally involves correspondingly greater brokerage commission expenses, which must be borne directly by the Funds and ultimately by the Funds' shareholders. However, because portfolio turnover is not a limiting factor in determining whether or not to sell portfolio securities, a particular investment may be sold at any time, if investment judgment or account operations make a sale advisable. During 2000, the Bond Fund began accounting for dollar roll transactions as financing transactions. This had the effect of significantly lowering the portfolio turnover rate of the Fund for the year ended September 30, 2001 to 266.50 percent as compared to the Fund's portfolio turnover rate for the year ended September 30, 2000 of 301.93 percent. MANAGEMENT OF TIAA-CREF INSTITUTIONAL MUTUAL FUNDS TRUSTEES AND OFFICERS OF THE TIAA-CREF INSTITUTIONAL MUTUAL FUNDS The following table includes certain information about the TIAA-CREF Institutional Mutual Funds' trustees and officers, including positions held with the Funds, length of office and time served, and principal occupations in the last five years. The table also includes the number of portfolios in the fund complex overseen by each trustee and certain directorships held by each of them. The first table includes information about the Funds' disinterested trustees and the second table includes information about the Funds' interested trustees and officers. DISINTERESTED TRUSTEES
NUMBER OF PORTFOLIOS IN FUND POSITIONS(S) TERM OF OFFICE PRINCIPAL COMPLEX OTHER HELD WITH AND LENGTH OF OCCUPATIONS(S) OVERSEEN BY DIRECTORSHIPS NAME, ADDRESS AND AGE FUND TIME SERVED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEES ------------------------------- ------------ ------------------ ----------------------- ------------- ------------------ Elizabeth E. Bailey Trustee Indefinite term. John C. Hower 51 Director, CSX The Wharton School Trustee since Professor of Public Corporation and University of Pennsylvania 1999. Policy and Philip Morris Suite 3100 Management, The Companies Inc. Steinberg-Dietrich Hall Wharton School, Philadelphia, PA 19104-6372 University of Age: 63 Pennsylvania.
B-22
NUMBER OF PORTFOLIOS IN FUND POSITIONS(S) TERM OF OFFICE PRINCIPAL COMPLEX OTHER HELD WITH AND LENGTH OF OCCUPATIONS(S) OVERSEEN BY DIRECTORSHIPS NAME, ADDRESS AND AGE FUND TIME SERVED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEES ------------------------------- ------------ ------------------ ----------------------- ------------- ------------------ Joyce A. Fecske Trustee Indefinite term. Vice President 51 None 11603 Briarwood Lane Trustee since Emerita, DePaul Burr Ridge, IL 60527 1999. University. Age: 55 Formerly, Vice President for Human Resources, DePaul University. Edes P. Gilbert Trustee Indefinite term. Formerly, Acting 51 None Independent Educational Trustee since President, Services 1999. Independent 49 East 78th Street, Suite 4A Educational Services, New York, NY 10021 Consultant, Age: 70 Independent Educational Services, and Head, The Spence School. Martin J. Gruber Trustee Indefinite term. Nomura Professor of 51 Director, New York University Trustee since Finance, New York Deutsche Asset Stern School of Business 2000. University, Stern Management B.T. Henry Kaufman Management School of Business. Funds, Japan Education Center Formerly, Chairman, Equity Fund, 44 West 4th Street, Suite 988 Department of Inc., Singapore New York, NY 10012 Finance, New York Equity Fund, Age: 65 University, Stern Inc., the Thai School of Business, Equity Fund, and Trustee of TIAA, Inc. and the DB 1996 - 2000. Hedge Securities Fund, L.L.C. Nancy L. Jacob Trustee Indefinite term. President and 51 None Windermere Investment Trustee since Managing Principal, Associates 1999. Windermere Investment 121 S.W. Morrison Street Associates. Suite 925 Formerly, Chairman Portland, OR 97204 and Chief Executive Age: 59 Officer, CTC Consulting, Inc., and Executive Vice President, U.S. Trust of the Pacific Northwest. Marjorie Fine Knowles Trustee Indefinite term. Professor of Law, 51 None College of Law Trustee since Georgia State Georgia State University 1999. University College of P.O. Box 4037 Law. Atlanta, GA 30303-4037 Age: 63 Stephen A. Ross Trustee Indefinite term. Franco Modigliani 51 Director, Sloan School of Management Trustee since Professor of Finance Freddie Mac; Massachusetts Institute of 1999. and Economics, Sloan Co-Chairman, Technology School of Management, Roll & Ross 77 Massachusetts Avenue Massachusetts Asset Management Cambridge, MA 02139 Institute of Corp.; and Age: 58 Technology, Principal, IV Co-Chairman, Roll & Capital, Ltd. Ross Asset Management Corp. Formerly, Sterling Professor of Economics and Finance, Yale School of Management, Yale University.
B-23
NUMBER OF PORTFOLIOS IN FUND POSITIONS(S) TERM OF OFFICE PRINCIPAL COMPLEX OTHER HELD WITH AND LENGTH OF OCCUPATIONS(S) OVERSEEN BY DIRECTORSHIPS NAME, ADDRESS AND AGE FUND TIME SERVED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEES ------------------------------- ------------ ------------------ ----------------------- ------------- ------------------ Nestor V. Santiago Trustee Indefinite term. Vice President and 51 Director, Howard Hughes Medical Trustee since Chief Investment Bank-Fund Credit Institute 2000. Officer, Howard Union and 4000 Jones Bridge Road Hughes Medical Emerging Markets Chevy Chase, MD 20815 Institute. Growth Fund, Inc. Age: 53 Formerly, Investment Advisor/Head of Investment Office, International Monetary Fund. Eugene C. Sit Trustee Indefinite term. Chairman, Chief 51 Chairman and Sit Investment Associates, Trustee since Executive Officer and Director of Inc. 1999. Chief Investment registered 4600 Norwest Center Officer, Sit investment 90 South Seventh Street Investment companies Minneapolis, MN 55402-4130 Associates, Inc. and managed by Sit Age: 64 Sit/Kim International Investment Investment Associates, Inc. Associates, Inc. Maceo K. Sloan Trustee Indefinite term. Chairman and Chief 51 Director, SCANA NCM Capital Management Group, Trustee since Executive Officer, Corporation and Inc. 1999. Sloan Financial M&F Bancorp. Inc. 103 West Main Street, Suite Group, Inc., and NCM 400 Capital Management Durham, NC 27701-3638 Group, Inc., since Age: 52 1991. David K. Storrs Trustee Indefinite term. President and Chief 51 Director of Alternative Investment Group, Trustee since Executive Officer, thirteen money LLC 1999. Alternative market funds 2960 Post Road Investment Group, LLC sponsored by Southport, CT 06890 Alliance Capital Age: 58 Management Robert W. Vishny Trustee Indefinite term. Eric J. Gleacher 51 None University of Chicago Trustee since Distinguished Service Graduate School of Business 1999. Professor of Finance, 1101 East 58th Street University of Chicago, IL 60627 Chicago, Graduate Age: 43 School of Business. Founding Partner, LSV Asset Management.
INTERESTED TRUSTEES AND OFFICERS
NUMBER OF PORTFOLIOS IN FUND POSITIONS(S) TERM OF OFFICE PRINCIPAL COMPLEX OTHER HELD WITH AND LENGTH OF OCCUPATIONS(S) OVERSEEN BY DIRECTORSHIPS NAME, ADDRESS AND AGE FUND TIME SERVED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEES ------------------------------- ------------ ------------------ ----------------------- ------------- ------------------ John H. Biggs(1) Chairman Indefinite term. Chairman, President 51 Director, The TIAA-CREF Trustee since and Chief Executive Boeing Company 730 Third Avenue 1999. Officer of CREF, TIAA, New York, NY 10017-3206 TIAA-CREF Mutual Age: 66 Funds, TIAA-CREF Institutional Mutual Funds,
B-24
NUMBER OF PORTFOLIOS IN FUND POSITIONS(S) TERM OF OFFICE PRINCIPAL COMPLEX OTHER HELD WITH AND LENGTH OF OCCUPATIONS(S) OVERSEEN BY DIRECTORSHIPS NAME, ADDRESS AND AGE FUND TIME SERVED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEES ------------------------------- ------------ ------------------ ----------------------- ------------- ------------------ TIAA-CREF Life Funds and TIAA Separate Account VA-1 (these funds are collectively referred to as the "TIAA-CREF Funds"). Trustee of TIAA-CREF Individual & Institutional Services, Inc. ("Services") Member of Board of Managers of TIAA-CREF Investment Management LLC ("Investment Management"). Director of Teachers Personal Investors Services, Inc. ("TPIS"), Teachers Advisors, Inc. ("Advisors") and TIAA-CREF Trust Company, FSB ("TIAA-CREF Trust Company"). Martin L. Leibowitz(1) Vice Indefinite term Vice Chairman and 51 None TIAA-CREF Chairman Trustee and Chief Investment 730 Third Avenue and Chief Chief Officer of the New York, NY 10017-3206 Investment Investment TIAA-CREF Funds. Age: 66 Officer Officer since Vice Chairman of the 1999/ Board and Chief Indefinite term Investment Officer of as officer. TIAA. Member of Board of Managers and President of Investment Management. Director and President of Advisors. Director of TIAA-CREF Life Insurance Company ("TIAA-CREF Life"). Bevis Longstreth(2) Trustee Indefinite term. Retired Partner, 51 Member of the Debevoise & Plimpton Trustee since Debevoise & Board of 919 Third Avenue 1999. Plimpton. Formerly, Directors of New York, NY 10022-6225 Partner and Of AMVESCAP, PLC Age: 68 Counsel of Debevoise and Chairman of & Plimpton, Adjunct the Finance Professor at Columbia Committee of the University School of Rockefeller Law and Commissioner Family Fund of the U.S. Securities and Exchange Commission.
B-25
NUMBER OF PORTFOLIOS IN FUND POSITIONS(S) TERM OF OFFICE PRINCIPAL COMPLEX OTHER HELD WITH AND LENGTH OF OCCUPATIONS(S) OVERSEEN BY DIRECTORSHIPS NAME, ADDRESS AND AGE FUND TIME SERVED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEES ------------------------------- ------------ ------------------ ----------------------- ------------- ------------------ Richard J. Adamski(1) Vice Indefinite term. Vice President and N/A N/A TIAA-CREF President Vice President Treasurer of the 730 Third Avenue and and Treasurer TIAA-CREF Funds and New York, NY 10017-3206 Treasurer since 1999. TIAA. Vice President Age: 60 and Treasurer of Investment Management, Services, TPIS, Advisors, TIAA-CREF Life, and TIAA-CREF Tuition Financing, Inc. ("Tuition Financing"). C. Victoria Apter(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 2000. TIAA. Formerly, Vice Age: 59 President, Retirement Services, CREF and TIAA. Scott C. Evans(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President, of the 730 Third Avenue President President since TIAA-CREF Funds. New York, NY 10017-3206 1999. Executive Vice Age: 43 President of Investment Management and Advisors and Director of TIAA-CREF Life Martin E. Galt, III(1) President Indefinite term. Executive Vice N/A N/A TIAA-CREF Executive Vice President and 730 Third Avenue President since President, TIAA-CREF New York, NY 10017-3206 2000. Investment Products, Age: 60 CREF and TIAA. President of TIAA-CREF Mutual Funds, TIAA-CREF Institutional Mutual Funds, TIAA-CREF Life Funds and TIAA Separate Account VA-1. Formerly, Executive Vice President and President, Institutional Investments, Bank of America, and Principal Investment Officer, NationsBank. Director and President of Tuition Financing and TPIS and Director of TIAA-CREF Life and TIAA-CREF Trust Company. Richard L. Gibbs(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 1999. TIAA. Executive Vice Age: 55 President, Investment Management, Advisors and Tuition Financing and Director of TIAA-CREF and Life and Tuition Financing.
B-26
NUMBER OF PORTFOLIOS IN FUND POSITIONS(S) TERM OF OFFICE PRINCIPAL COMPLEX OTHER HELD WITH AND LENGTH OF OCCUPATIONS(S) OVERSEEN BY DIRECTORSHIPS NAME, ADDRESS AND AGE FUND TIME SERVED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEES ------------------------------- ----------- ------------------- ----------------------- ------------- ------------------ Don W. Harrell(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 1999. TIAA. Director of Age: 64 TIAA-CREF Life. Ira J. Hoch(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 2000. TIAA. Formerly, Vice Age: 52 President, Retirement Services, CREF and TIAA. Matina S. Horner(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 1999. TIAA. Director of Age: 63 TIAA-CREF Life. E. Laverne Jones(1) Vice Indefinite term. Vice President and N/A N/A TIAA-CREF President Vice President Corporate Secretary 730 Third Avenue and and Corporate of the TIAA-CREF New York, NY 10017-3206 Corporate Secretary since Funds and TIAA. Age: 53 Secretary 1999. Harry I. Klaristenfeld(1) Executive Indefinite Term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President and Chief 730 Third Avenue President President and Actuary of the New York, NY 10017-3206 and Chief Chief Actuary TIAA-CREF Funds and Age: 52 Actuary since 2000. TIAA. Formerly, Vice President and Chief Actuary, Retirement Services, CREF and TIAA. Executive Vice President and Chief Actuary of Services. Frances Nolan(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 2000. TIAA. Formerly, Vice Age: 45 President, Retirement Services, CREF and TIAA. Bertram L. Scott(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 2000. TIAA and Chairman of Age: 51 the Board, President and Chief Executive Officer of TIAA-CREF Life. Formerly, President and Chief Executive Officer, Horizon Mercy. Deanne J. Shallcross(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 1999. TIAA. Formerly, Vice Age: 53 President, Marketing, CREF and TIAA. Executive Vice President of Services.
B-27
NUMBER OF PORTFOLIOS IN FUND POSITIONS(S) TERM OF OFFICE PRINCIPAL COMPLEX OTHER HELD WITH AND LENGTH OF OCCUPATIONS(S) OVERSEEN BY DIRECTORSHIPS NAME, ADDRESS AND AGE FUND TIME SERVED DURING PAST 5 YEARS TRUSTEE HELD BY TRUSTEES ------------------------------- ----------- ------------------- ----------------------- ------------- ------------------ David A. Shunk(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 1999. TIAA. Formerly, Vice Age: 55 President, Institutional & Individual Consulting Services, CREF and TIAA. President and Chief Executive Officer of Services and Director of TIAA-CREF Trust Company. John A. Somers(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 1999. TIAA. Executive Vice Age: 58 President of Investment Management and Advisors and Director of TIAA-CREF Life. Charles H. Stamm(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President and General 730 Third Avenue President President since Counsel of the New York, NY 10017-3206 1999. TIAA-CREF Funds and Age: 63 TIAA. Trustee of Services. Directors of TPIS, Advisors, TIAA-CREF Trust Company, Tuition Financing and TIAA-CREF Life. Member of Board of Managers of Investment Management. Mary Ann Werner(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 2000. TIAA and President, Age: 57 TIAA Shared Services. Formerly, Vice President, CREF and TIAA. Executive Vice President of Services and Director of TIAA-CREF Life. James A. Wolf(1) Executive Indefinite term. Executive Vice N/A N/A TIAA-CREF Vice Executive Vice President of the 730 Third Avenue President President since TIAA-CREF Funds and New York, NY 10017-3206 2000. TIAA and President, Age: 57 Retirement Services. Formerly, Vice President, Retirement Services, CREF and TIAA. Trustee of Services and Director of TIAA-CREF Life.
B-28 (1) The following individuals are "interested persons" under the 1940 Act because they are officers of the TIAA-CREF Mutual Funds: Mses. Apter, Horner, Jones, Nolan, Shallcross and Werner; and Messrs. Adamski, Biggs, Evans, Galt, Gibbs, Harrell, Hoch, Klaristenfeld, Leibowitz, Scott, Shunk, Somers, Stamm and Wolf. (2) Mr. Longstreth may be considered an "interested person" under the 1940 Act because he is associated with a law firm that has acted as counsel to the TIAA-CREF Institutional Mutual Funds or their affiliates. EQUITY OWNERSHIP OF TIAA-CREF INSTITUTIONAL MUTUAL FUNDS TRUSTEES The following chart includes information relating to equity securities beneficially owned by the TIAA-CREF Institutional Mutual Funds trustees in the TIAA-CREF Institutional Mutual Funds and in the same "family of investment companies" as the TIAA-CREF Institutional Mutual Funds.(1) The TIAA-CREF Institutional Mutual Funds' family of investment companies includes TIAA-CREF Institutional Mutual Funds, CREF, TIAA-CREF Mutual Funds, TIAA-CREF Life Funds and TIAA Separate Account VA-1. DISINTERESTED TRUSTEES AGGREGATE DOLLAR RANGE OF EQUITY SECURITIES IN ALL REGISTERED INVESTMENT COMPANIES OVERSEEN BY DOLLAR RANGE OF EQUITY TRUSTEE IN FAMILY OF NAME OF TRUSTEE SECURITIES IN FUND INVESTMENT COMPANIES -------------------------------------------------------------------------------- Robert H. Atwell None Over $100,000 Elizabeth E. Bailey None Over $100,000 Joyce A. Fecske None Over $100,000 Edes P. Gilbert None $50,001 - $100,000 Martin J. Gruber None Over $100,000 Nancy L. Jacob None Over $100,000 Marjorie Fine Knowles None Over $100,000 Stephen A. Ross None Over $100,000 Nestor V. Santiago None $50,001 - $100,000 Eugene C. Sit None $50,001 - $100,000 Maceo K. Sloan None $50,001 - $100,000 David K. Storrs None Over $100,000 Robert W. Vishny None $10,001 - $50,000 B-29 INTERESTED TRUSTEES AGGREGATE DOLLAR RANGE OF EQUITY SECURITIES IN ALL REGISTERED INVESTMENT COMPANIES OVERSEEN BY DOLLAR RANGE OF EQUITY TRUSTEE IN FAMILY OF NAME OF TRUSTEE SECURITIES IN FUND INVESTMENT COMPANIES -------------------------------------------------------------------------------- John H. Biggs International Equity Fund - Over $100,000 Over $100,000 Growth Equity Fund - $50,001-$100,000 Growth & Income Fund - Over $100,000 Bond Fund - Over $100,000 Martin L. Leibowitz None Over $100,000 Bevis Longstreth None Over $100,000 (1) Beneficial ownership information is as of December 31, 2001. TRUSTEE AND OFFICER COMPENSATION The following table shows the compensation received from the Funds and the TIAA-CREF fund complex by each non-officer trustee for the year ended December 31, 2001. The Funds' officers receive no compensation from any fund in the TIAA-CREF fund complex. The TIAA-CREF fund complex consists of: CREF, TIAA Separate Account VA-1, TIAA-CREF Life Funds, TIAA-CREF Institutional Mutual Funds and TIAA-CREF Mutual Funds, each a registered investment company. TIAA-CREF Institutional Mutual Funds has a long-term performance deferred compensation plan for non-employee trustees. Under this unfunded plan, annual contributions equal to half the amount of the basic annual trustee stipend are allocated to notional CREF and TIAA accounts, in predetermined percentages. Benefits will be paid in a lump sum after the Trustee leaves the Board. Pursuant to a separate deferred compensation plan, non-employee Trustees also have the option to defer payment of their basic stipend and allocate it to notional TIAA and CREF accounts chosen by the individual trustee. Benefits under that plan are also paid in a lump sum after the trustee leaves the Board. B-30 DISINTERESTED TRUSTEES LONG-TERM PERFORMANCE DEFERRED COMPENSATION TOTAL AGGREGATE CONTRIBUTION COMPENSATION COMPENSATION AS PART OF PAID FROM NAME FROM THE FUND EXPENSES TIAA-CREF COMPLEX(1) -------------------------------------------------------------------------------- Robert H. Atwell $326 $52 $79,500 Elizabeth E. Bailey $325 $52 $77,250 Joyce A. Fecske $276 $52 $67,500 Edes P. Gilbert $294 $52 $71,250 Martin J. Gruber $233 $44 $50,625 Nancy L. Jacob $261 $52 $63,750 Majorie Fine Knowles(2) $246 $52 $61,500 Stephen A. Ross(2) $279 $52 $69,000 Nestor V. Santiago $257 $44 $56,625 Eugene C. Sit $263 $52 $64,500 Maceo K. Sloan $269 $52 $66,750 David K. Storrs $289 $52 $69,000 Robert W. Vishny $264 $52 $64,500 -------------------------------------------------------------------------------- INTERESTED TRUSTEES LONG-TERM PERFORMANCE DEFERRED COMPENSATION TOTAL AGGREGATE CONTRIBUTION COMPENSATION COMPENSATION AS PART OF PAID FROM NAME FROM THE FUND EXPENSES TIAA-CREF COMPLEX(1) -------------------------------------------------------------------------------- Bevis Longstreth(2) $285 $52 $67,500 (1) Includes portion of fees attributed to service on the CREF board, TIAA-CREF Mutual Funds board, and the TIAA-CREF Life Funds board, as applicable. (2) This compensation, or a portion of it, was not actually paid based on prior election of trustee to defer receipt of payment in accordance with the provisions of deferred compensation plan for non-officer trustees. Excluding this year's deferrals, a total of $3,298,203 earned across the fund complex has been deferred for prior years' service, including interest through year-end 2000, for all current trustees who had elected to defer their compensation. BOARD COMMITTEES Every year, the Board of Trustees appoints certain committees with specific responsibilities for aspects of the TIAA-CREF Institutional Mutual Funds' operations. Included among these are: B-31 (1) An Audit Committee, consisting solely of independent trustees who are not officers of the TIAA-CREF Institutional Mutual Funds, which audits and examines the records and affairs of the TIAA-CREF Institutional Mutual Funds as it deems necessary, using independent auditors or others. The Audit Committee has adopted a formal written charter that is available upon request. During 2001, the Audit Committee held six meetings. The current members of the Audit Committee are Mr. Sloan (chair), Dr. Gruber, Mr. Santiago and Mr. Storrs. (2) A Finance Committee, which oversees the management of the TIAA-CREF Institutional Mutual Funds' investments subject to appropriate oversight by the full Board of Trustees. During 2001, the Finance Committee held four meetings. The current members of the Finance Committee are Mr. Biggs (chair), Dr. Gruber, Dr. Jacob, Ms. Knowles, Mr. Leibowitz, Mr. Longstreth, Dr. Ross, Mr. Santiago, Mr. Sit, Mr. Sloan, Mr. Storrs and Dr. Vishny. (3) A Corporate Governance and Social Responsibility Committee, consisting solely of independent trustees who are not officers of the TIAA-CREF Institutional Mutual Funds, which addresses all corporate social responsibility and corporate governance issues, including the voting of the TIAA-CREF Institutional Mutual Funds' shares and the initiation of appropriate shareholder resolutions. During 2001, the Corporate Governance and Social Responsibility Committee held five meetings. The current members of the Corporate Governance and Social Responsibility Committee are Ms. Knowles (chair), Dr. Bailey, Ms. Fecske, Ms. Gilbert, Mr. Longstreth and Mr. Storrs. (4) An Executive Committee, which generally is vested with full board powers between board meetings on matters not specifically addressed by the full Board. During 2001, the Executive Committee held five meetings. The current members of the Executive Committee are Mr. Biggs (chair), Dr. Bailey, Ms. Fecske, Dr. Gruber, Ms. Knowles, Mr. Leibowitz and Mr. Longstreth. (5) A Nominating and Personnel Committee, consisting solely of independent trustees who are not officers of the TIAA-CREF Institutional Mutual Funds, which nominates certain TIAA-CREF Institutional Mutual Funds' officers and the standing committees of the Board, and recommends candidates for election as trustees. During 2001, the Nominating and Personnel Committee held five meetings. The current members of the Nominating and Personnel Committee are Dr. Ross (chair), Ms. Gilbert, Dr. Jacob, Mr. Sit and Dr. Vishny. The Nominating and Personnel Committee will consider potential nominees for trustees recommended by investors. Investors can recommend nominees by writing to the Secretary of the TIAA-CREF Institutional Mutual Funds. The Secretary's address is: 730 Third Avenue, New York, New York 10017-3206. B-32 RESPONSIBILITIES OF THE BOARD The Funds' trustees are responsible for overseeing the Funds' corporate policies and for adhering to fiduciary standards under the 1940 Act. Most significantly, the Board is responsible for the initial approval and annual renewal of the Fund's investment management agreement with Advisors. Under the agreement, Advisors assumes responsibility for providing to, or obtaining for, the Funds investment advisory services. In considering whether to initially approve the investment management agreement and renew the agreement annually thereafter, the Board considered the investment management fee structure of each of the Funds in light of a variety of factors, including (a) the nature and quality of services provided to the Fund and its shareholders, (b) Advisors' anticipated costs in providing those services, (c) the reasonableness of the investment management fees and how such fees compared to fees paid by other similar mutual funds, and (d) other benefits derived in connection with Advisors' relationship with the Fund. As part of its consideration of the quality of services provided by Advisors to the Fund and its shareholders, the Board reviewed the relative performance of each Fund. The Board also reviewed Advisors' anticipated profit/loss situation in providing the services to the Funds. The Board considered Advisors' anticipated profit/loss situation to be reasonable in relation to the nature, quality and cost of Advisors' services. In considering the investment management fees charged under the agreement, the Board reviewed the investment management fees of other similarly situated fund complexes. The Board further reviewed the expense ratios of each Fund relative to other mutual funds, and noted that that the expense ratios compared favorably to those of other funds. PRINCIPAL HOLDERS OF SECURITIES As of September 1, 2002, the following persons are known by the Fund to hold beneficially 5% or more of the outstanding shares of the following classes of Funds: Teachers Insurance and Annuity Association of America* 730 Third Avenue New York, NY 10017 PERCENT OF INSTITUTIONAL FUND CLASS SHARES ------------------------------------------------------------------------------- Social Choice Equity Fund 37.64% B-33 TIAA-CREF Trust Company, FSB ("Trust Company")** 211 North Broadway - Suite 1000 St. Louis, MO 63102 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- Growth Equity Fund 6.88% Growth & Income Fund 31.43% International Equity Fund 21.93% Equity Index Fund 12.43% Social Choice Equity Fund 9.83% Bond Fund 17.33% Golden State ScholarShare College Savings Trust c/o ScholarShare Investment Board California State Treasurers Office 915 Capitol Mall Sacramento, CA 95814 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- Growth & Income Fund 16.13% International Equity Fund 7.55% Social Choice Equity Fund 25.31% Missouri Saving for Tuition Program The Missouri Higher Education Savings Program Board c/o TIAA Tuition Financing, Inc. P.O. Box 66797 St. Louis, MO 63166-6797 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- Growth & Income Fund 7.87% B-34 New York's College Savings Program P.O. Box 1010 New York, NY 10021-1010 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- Growth Equity Fund 55.97% International Equity Fund 21.93% Equity Index Fund 21.19% Bond Fund 11.84% Money Market Fund 37.96% Community Funds, Inc. 2 Park Avenue New York, NY 10016 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- Growth & Income Fund 8.01% The Danforth Foundation 211 N. Broadway, Suite 2390 St. Louis, MO 63102 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- Bond Fund 6.82% Equity Index Fund 20.33% Money Market Fund 20.36% Fleet Asset Management 50 Kennedy Plaza RIDE03611E Providence, RI 02903-2305 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- Social Choice Equity Fund 14.22% B-35 The International Centre for Diarrhoeal Disease Research, Bangladesh/Centre for Health & Population Research Endowment Fund 10630 Little Patuxent Parkway Century Plaza, Suite 126 Columbia, MD 21044 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- Social Choice Equity Fund 7.14% James S. McDonnell Foundation 1034 S. Brentwood Blvd., Suite 1860 St. Louis, MO 63117 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- International Equity Fund 14.94% The New York Academy of Medicine 1216 5th Avenue New York, NY 10029 PERCENT OF INSTITUTIONAL FUND CLASS SHARES -------------------------------------------------------------------------------- International Equity Fund 5.50% * TIAA, a New York State chartered insurance company, holds these shares in exchange for providing the initial seed capital to this Fund. ** The Trust Company, a federal savings bank, holds these shares in a fiduciary capacity for its clients. The Trust Company has investment discretion over these shares. The current trustees and officers of the Fund, as a group, beneficially own less than 1% of the shares of each class of each Fund. Any person owning more than 25% of each Fund's shares may be considered a "controlling person" of that Fund. A controlling person's vote could have a more significant effect on matters presented to shareholders for approval than the vote of other Fund shareholders. B-36 INVESTMENT ADVISORY AND OTHER SERVICES As explained in the Prospectus, investment advisory and related services for each of the Funds are provided by personnel of Advisors. Advisors manages the investment and reinvestment of the assets of each Fund, subject to the direction and control of the Finance Committee of the Board of Trustees. TIAA, an insurance company, holds all of the shares of TIAA-CREF Enterprises, Inc. ("Enterprises"), which in turn holds all of the shares of Advisors and of Teachers Personal Investors Services, Inc. ("TPIS"), the principal underwriter for the TIAA-CREF Institutional Mutual Funds. TIAA also holds all the shares of TIAA-CREF Individual & Institutional Services, Inc. ("Services") and TIAA-CREF Investment Management, LLC ("Investment Management"). Services acts as the principal underwriter, and Investment Management provides investment advisory services, to CREF, a companion organization to TIAA. All of the foregoing are affiliates of the TIAA-CREF Institutional Mutual Funds and Advisors. Investment management fees are payable monthly to Advisors. They are calculated as a percentage of the average value of the net assets each day for each Fund, and are accrued daily proportionately at 1/365th (1/366th in a leap year) of the rates set forth in the Prospectus. Prior to October 1, 2002, under the investment management agreement between the TIAA-CREF Institutional Mutual Funds and Advisors, Advisors had agreed to waive a portion of the investment management fees payable to Advisors for services it provided under the investment management agreement. The tables below reflect, for the periods June 14, 1999 (commencement of operations) through September 30, 1999 (the Fund's fiscal year end) and for the Fund's fiscal years ended September 30, 2000 and 2001, (i) the total dollar amount of investment management fees for each Fund, (ii) the amount of the waiver of the portion of the investment management fee attributable to each Fund, and (iii) the net investment management fees for each Fund after such waivers. Information for the Large-Cap Value Fund, Mid-Cap Growth Fund, Mid-Cap Value Fund, Small-Cap Equity Fund, Large-Cap Growth Index Fund, Large-Cap Value Index Fund, Equity Index Fund, S&P 500 Index Fund, Mid-Cap Growth Index Fund, Mid-Cap Value Index Fund, Mid-Cap Blend Index Fund, Small-Cap Growth Index Fund, Small-Cap Value Index Fund, Small-Cap Blend Index Fund, International Equity Index Fund, Real Estate Securities Fund and Inflation-Linked Bond Fund is not provided because these Funds were introduced in 2002. B-37
GROSS WAIVED NET ---------------------------------- ---------------------------------- ---------------------------------- June 14, June 14, June 14, Fiscal Year Fiscal Year 1999 - Fiscal Year Fiscal Year 1999 - Fiscal Year Fiscal Year 1999 - Ended Sept. Ending Sept. Sept. Ended Sept. Ending Sept. Sept. Ended Sept. Ending Sept. Sept. 30, 2001 30, 2000 30, 1999 30, 2001 30, 2000 30, 1999 30, 2001 30, 2000 30, 1999 ---------------------------------------------------------------------------------------------------------- Growth Equity Fund $333,725 $183,021 $19,527 $101,568 $55,702 $5,943 $232,157 $127,319 $13,584 Growth & Income Fund $282,856 $ 87,801 $17,716 $ 86,087 $26,722 $5,392 $196,769 $ 61,079 $12,324 International Equity Fund $272,038 $143,811 $21,048 $ 90,679 $47,937 $7,016 $181,359 $ 95,874 $14,032 Equity Index Fund $138,133 $ 72,448 $13,865 $ 53,718 $28,174 $5,392 $ 84,415 $ 44,274 $ 8,473 Social Choice Equity Fund $ 53,985 $ 53,059 $14,659 $ 19,889 $19,548 $5,401 $ 34,096 $ 33,511 $ 9,258 Bond Fund $411,567 $170,515 $14,462 $114,324 $47,365 $4,017 $297,243 $123,150 $10,445 Money Market Fund $ 46,735 $ 38,243 $11,262 $ 15,578 $12,747 $3,754 $ 31,157 $ 25,496 $ 7,508
B-38 SERVICE AGREEMENT In 2002, the TIAA-CREF Institutional Mutual Funds entered into a Service Agreement ("Service Agreement") with Advisors, whereby Advisors has agreed to provide or arrange for the provision of a variety of services for the ordinary operation of the TIAA-CREF Institutional Mutual Funds, including, but not limited to, transfer agency, accounting and administrative services. Specific transfer agency services include: (1) receiving orders for the purchase of Fund shares, issuing shares upon receipt of such orders, and recording the issuance of shares; (2) receiving redemption requests; (3) effecting transfers of shares; (4) preparing and transmitting payments for dividends and distributions; (5) maintaining records for shareholder accounts; (6) maintaining shareholder relations, including preparing necessary reports and other information and services; (7) performing shareholder services funded by any shareholder service plan; and (8) performing any other customary services of a transfer agent or dividend-disbursing agent for a registered investment company. Specific accounting services include: (1) monitoring expenses and preparation and updating expense budgets; (2) preparing and filing Forms N-SAR; (3) preparing financial information for meetings of the Board of Trustees; (4) calculating the net asset value of each Fund and the net asset value per share of each class of shares; (5) calculating total return and other statistical information; (6) calculating dividend amounts available for distribution and notifying transfer agent of authorized dividend rates; (7) preparing financial statements; (8) monitoring portfolio activity; (9) determining the allocation of invoices among Funds and authorizing payment of expenses; (10) maintaining accounting records for each Fund and making appropriate representations in conjunction with audits; (11) preparing federal, state and local tax returns and reports; (12) coordinating review and approval of dividends by management and auditors and portfolio listings to be included in financial statements; and (13) performing any other customary accounting services for a registered investment company. Specific administrative services include: (1) preparing materials and minutes for meetings of Board of Trustees, including assistance in presentations to Board of Trustees; (2) providing regulatory compliance advice to the distributor and the Funds regarding sales literature and marketing plans; (3) monitoring portfolio activity; (4) preparing responses to performance questionnaires; (5) preparing semi-annual and annual shareholder reports, and coordinating auditor and management review; (6) filing notices with state securities regulators regarding sales of Fund shares; (7) developing and implementing procedures to monitor and test compliance with regulatory requirements and with Fund investment objective, policies and restrictions; (8) approving dividend rates, distributions, and tax positions; (9) coordinating activities of other service providers; (10) coordinating, preparing, filing and printing of registration statements for the TIAA-CREF Institutional Mutual Funds; (11) preparing management letter and coordinating production of Management Discussion and Analysis with respect to the preparation and printing of shareholder reports; (12) reviewing tax returns; (13) creating and maintaining business B-39 records; and (14) performing any other customary administrative services for a registered investment company. For the services rendered, the facilities furnished and expenses assumed by Advisors, the Fund will pay to Advisors at the end of each calendar month a fee for each Fund calculated as a percentage of the daily net assets of the Fund at the annual rates set forth in the table below: B-40 NAME OF FUND SERVICES FEE RATE ----------------------------------------------------------------------- GROWTH EQUITY FUND Institutional Class 0.04% GROWTH & Income Fund Retirement Class 0.29% Institutional Class 0.04% INTERNATIONAL EQUITY FUND Retirement Class 0.29% Institutional Class 0.03% LARGE-CAP VALUE FUND Retirement Class 0.29% Institutional Class 0.04% Retail Class 0.33% MID-CAP GROWTH FUND Retirement Class 0.29% Institutional Class 0.04% Retail Class 0.33% MID-CAP VALUE FUND Retirement Class 0.29% Institutional Class 0.04% Retail Class 0.33% SMALL-CAP EQUITY FUND Retirement Class 0.29% Institutional Class 0.04% Retail Class 0.19% LARGE-CAP GROWTH INDEX FUND Retirement Class 0.27% Institutional Class 0.02% LARGE-CAP VALUE INDEX FUND Retirement Class 0.27% Institutional Class 0.02% EQUITY INDEX FUND Institutional Class 0.02% S&P 500 INDEX FUND Retirement Class 0.27% Institutional Class 0.02% MID-CAP GROWTH INDEX FUND Retirement Class 0.27% Institutional Class 0.02% B-41 MID-CAP VALUE INDEX FUND Retirement Class 0.27% Institutional Class 0.02% MID-CAP BLEND INDEX FUND Retirement Class 0.27% Institutional Class 0.02% SMALL-CAP GROWTH INDEX FUND Retirement Class 0.27% Institutional Class 0.02% SMALL-CAP VALUE INDEX FUND Retirement Class 0.27% Institutional Class 0.02% SMALL-CAP BLEND INDEX FUND Retirement Class 0.27% Institutional Class 0.02% INTERNATIONAL EQUITY INDEX FUND Retirement Class 0.28% Institutional Class 0.03% SOCIAL CHOICE EQUITY FUND Retirement Class 0.27% Institutional Class 0.02% REAL ESTATE SECURITIES FUND Retirement Class 0.29% Institutional Class 0.04% Retail Class 0.33% BOND FUND Institutional Class 0.04% INFLATION-LINKED BOND FUND Institutional Class 0.03% Retail Class 0.18% MONEY MARKET FUND Institutional Class 0.03% The Service Agreement fee is accrued daily at 1/365th of the applicable annual rate set forth in the above table. The Service Agreement will continue in effect from year to year so long as such continuance is specifically approved for the Fund at least annually by the Board of Trustees, or by the vote of a majority of the outstanding votes attributable to the shares of such Fund. The Service Agreement provides that it may be terminated without penalty, by the Board of Trustees or by vote of a B-42 majority of the outstanding votes attributable to the shares of the applicable Fund, or by Advisors, in each case on sixty (60) days' written notice to the other party. The Service Agreement may also be amended as to each Fund by the parties only if such amendment is specifically approved by the Board of Trustees, or by the vote of a majority of the outstanding votes attributable to the shares of such Fund. UNDERWRITERS TPIS, 730 Third Avenue, New York, NY 10017-3206, may be considered the "principal underwriter" for the TIAA-CREF Institutional Mutual Funds. TIAA holds all of the shares of Enterprises, which in turn holds all the shares of Advisors and of TPIS. Shares of the TIAA-CREF Institutional Mutual Funds are offered on a continuous basis with no sales load. Pursuant to a Distribution Agreement with the TIAA-CREF Institutional Mutual Funds, TPIS has the right to distribute shares of the TIAA-CREF Institutional Mutual Funds for the two-year period beginning June 1, 1999, and thereafter from year to year subject to approval by the Board of Trustees. TPIS may enter into selling agreements with one or more broker-dealers, which may or may not be affiliated with TPIS, to provide distribution-related services to the TIAA-CREF Institutional Mutual Funds. CUSTODIAN AND TRANSFER AGENT JPMorgan Chase Bank ("JPMorgan"), 4 Chase MetroTech Center, Brooklyn, NY 11245, acts as custodian for TIAA-CREF Institutional Mutual Funds. JPMorgan is responsible for the safekeeping of the Funds' portfolio securities. Boston Financial Data Services, Inc., 2 Heritage Drive, Quincy, MA 02171, acts as the transfer and dividend paying agent for the Funds. INDEPENDENT AUDITORS Ernst & Young LLP, 5 Times Square, New York, NY 10036, serves as the independent auditor of the TIAA-CREF Institutional Mutual Funds. PERSONAL TRADING POLICY Personnel of Advisors and members of their households are limited in trading for their own accounts pursuant to the TIAA-CREF Institutional Mutual Funds' Personal Trading Policy (the "Policy"). Some transactions they make must be reported and approved, and they must send duplicates of all confirmation statements and other account reports to a special compliance unit for review. The Policy can be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information about the Public Reference Room may be obtained by calling the SEC at 1-202-942-8090. The Policy is also available on the EDGAR Database on the SEC's Internet site at http://www.sec.gov. Copies of the Policy may be obtained, after paying a B-43 duplication fee, by electronic request, at the following e-mail address: publicinfo@sec.gov, or by writing the SEC's Public Reference Section, Washington, D.C. 20549-0102. ABOUT THE TIAA-CREF INSTITUTIONAL MUTUAL FUNDS AND THE SHARES TIAA-CREF Institutional Mutual Funds was organized as a Delaware business trust on April 15, 1999. A copy of TIAA-CREF Institutional Mutual Funds' Certificate of Trust, dated April 15, 1999, as amended, is on file with the Office of the Secretary of State of the State of Delaware. As a Delaware business trust, the TIAA-CREF Institutional Mutual Funds' operations are governed by its Declaration of Trust. Upon the initial purchase of shares of beneficial interest in TIAA-CREF Institutional Mutual Funds, each shareholder agrees to be bound by the Declaration of Trust, as amended from time to time. CLASS STRUCTURE The TIAA-CREF Institutional Mutual Funds offers three classes of shares (Retirement Class, Institutional Class and Retail Class), which have the distribution and service fee arrangements described below. A Fund may not offer all classes of shares. RETIREMENT CLASS SHARES. Retirement Class shares of the Funds are offered exclusively through accounts established by employees with Services in connection with certain employee benefit plans, such as 401(a) (including 401(k) and Keogh plans), 403(b) and 457 plans. Retirement Class shares are also offered through custody accounts established by individuals with Services as Individual Retirement Accounts ("IRAs"). Retirement Class shares are offered with a distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act, which is described below. In addition, Retirement Class shares are offered with a separate shareholder servicing plan providing for a shareholder service expense of up to 0.35% of the value of the average daily net assets of the Fund attributable to Retirement Class shares. For more information about the servicing plan, see "Service Agreement" on page B-39. INSTITUTIONAL CLASS SHARES. Institutional Class shares of the Funds are available for purchase by certain intermediaries affiliated with TIAA-CREF ("TIAA-CREF Intermediaries") or other persons, such as state-sponsored tuition savings plans, who have entered into a contract with a TIAA-CREF Intermediary that enables them to purchase Institutional Class shares, or other affiliates of TIAA-CREF who the TIAA-CREF Institutional Mutual Funds may approve from time to time. Institutional Class shares are offered without distribution plan or shareholder service plan expenses or fees. All expenses or costs of distributing or promoting the Institutional Class shares are paid by Advisors. RETAIL CLASS SHARES. Retail Class shares of the Funds are offered directly to the investing public. Retail Class shares are offered without distribution plan or shareholder service plan expenses or fees. All expenses or costs of distributing or promoting the Retail Class shares are paid by Advisors. B-44 DISTRIBUTION (12b-1) PLAN The TIAA-CREF Institutional Mutual Funds' Board of Trustees has adopted a Distribution Plan with respect to the Retirement Class shares of each Fund (the "Distribution Plan") pursuant to Rule 12b-1 under the 1940 Act. Under the Distribution Plan, each Fund reimburses TPIS for all or part of certain expenses that TPIS incurs in connection with the promotion and distribution of its Retirement Class shares. The expenses for which a Fund may reimburse TPIS under the Distribution Plan include, but are not limited to, compensation of dealers and others for the expenses of their various activities primarily intended to promote the sale of its Retirement Class shares, and for providing personal and account maintenance services to holders of Retirement Class shares and salaries and other expenses relating to the Retirement Class account servicing efforts. Reimbursements by a Fund under the Distribution Plan are calculated daily and paid monthly up to a rate or rates approved from time to time by the Board of Trustees, provided that no rate approved by the Board of Trustees for any Fund may exceed the annual rate of 0.04% of the average daily net asset value of shares of such Fund. For purposes of determining the reimbursements payable under the Distribution Plan, the NAV of the outstanding Retirement Class shares of a Fund are computed in accordance with the Declaration of Trust. The Distribution Plan was approved by the shareholders of the TIAA-CREF Institutional Mutual Funds. The Distribution Plan has also been approved by a majority of the Trustees, including a majority of the Trustees who are not interested persons of the TIAA-CREF Institutional Mutual Funds and who have no direct or indirect financial interest in the operation of the Distribution Plan (the "Independent Trustees"), by votes cast in person at meetings called for the purpose of voting on such Distribution Plan. Pursuant to the Distribution Plan, at least quarterly, TPIS provides the TIAA-CREF Institutional Mutual Funds with a written report of the amounts expended under the Distribution Plan and the purpose for which these expenditures were made. The trustees review these reports on a quarterly basis to determine their continued appropriateness. The Distribution Plan provides that it continues in effect only so long as their continuance is approved at least annually by a majority of both the trustees and the Independent Trustees. The Distribution Plan provides that it may be terminated without penalty: (a) by vote of a majority of the Independent Trustees; (b) by a vote of a majority of the votes attributable to the Fund's outstanding shares of the Retirement Class in each case on not more than sixty (60) days' written notice to TPIS; and (c) automatically in the event of assignment. The Distribution Plan further provides that it may not be amended to increase the maximum amount of the fees for the services described therein without the approval of a majority of the votes of the outstanding shares of the Retirement Class of the TIAA-CREF Institutional Mutual Funds that have voting rights with respect to the Distribution Plan. In addition, the Distribution Plan provides that no material amendment to the Distribution Plan will, in any event, be effective unless it is approved by a majority vote of both the trustees and the Independent Trustees of the TIAA-CREF Institutional Mutual Funds. The holders of Retirement Class shares have exclusive voting rights with respect B-45 to the Distribution Plan applicable to the Retirement Class shares. In adopting the Distribution Plan, the Trustees concluded that, in their judgment, there is a reasonable likelihood that the Distribution Plan will benefit the holders of the Retirement Class shares of each Fund. Amounts paid to TPIS by the Retirement Class will not be used to pay the expenses incurred with respect to any other class of shares of the TIAA-CREF Institutional Mutual Funds; provided, however, that expenses attributable to the TIAA-CREF Institutional Mutual Funds as a whole will be allocated, to the extent permitted by law, according to a formula based upon gross sales dollars or average daily net assets of each such class, as may be approved from time to time. INDEMNIFICATION OF SHAREHOLDERS Generally, Delaware business trust shareholders are not personally liable for obligations of the Delaware business trust under Delaware law. The Delaware Business Trust Act ("DBTA") provides that a shareholder of a Delaware business trust shall be entitled to the same limitation of liability extended to shareholders of private for-profit corporations. The Declaration of Trust expressly provides that TIAA-CREF Institutional Mutual Funds has been organized under the DBTA and that the Declaration of Trust is to be governed by and interpreted in accordance with Delaware law. It is nevertheless possible that a Delaware business trust, such as TIAA-CREF Institutional Mutual Funds, might become a party to an action in another state whose courts refuse to apply Delaware law, in which case shareholders of the TIAA-CREF Institutional Mutual Funds could possibly be subject to personal liability. To guard against this risk, the Declaration of Trust (i) contains an express disclaimer of shareholder liability for acts or obligations of TIAA-CREF Institutional Mutual Funds and provides that notice of such disclaimer may be given in each agreement, obligation and instrument entered into or executed by TIAA-CREF Institutional Mutual Funds or its trustees, (ii) provides for the indemnification out of property of the TIAA-CREF Institutional Mutual Funds of any shareholders held personally liable for any obligations of TIAA-CREF Institutional Mutual Funds or any series of TIAA-CREF Institutional Mutual Funds, and (iii) provides that TIAA-CREF Institutional Mutual Funds shall, upon request, assume the defense of any claim made against any shareholder for any act or obligation of TIAA-CREF Institutional Mutual Funds and satisfy any judgment thereon. Thus, the risk of a TIAA-CREF Institutional Mutual Funds shareholder incurring financial loss beyond his or her investment because of shareholder liability is limited to circumstances in which all of the following factors are present: (1) a court refuses to apply Delaware law; (2) the liability arose under tort law or, if not, no contractual limitation of liability was in effect; and (3) TIAA-CREF Institutional Mutual Funds itself would be unable to meet its obligations. In the light of DBTA, the nature of TIAA-CREF Institutional Mutual Funds' business, and the nature of its assets, the risk of personal liability to a TIAA-CREF Institutional Mutual Funds shareholder is remote. B-46 INDEMNIFICATION OF TRUSTEES The Declaration of Trust further provides that TIAA-CREF Institutional Mutual Funds shall indemnify each of its Trustees and officers against liabilities and expenses reasonably incurred by them, in connection with, or arising out of, any action, suit or proceeding, threatened against or otherwise involving such trustee or officer, directly or indirectly, by reason of being or having been a trustee or officer of TIAA-CREF Institutional Mutual Funds. The Declaration of Trust does not authorize TIAA-CREF Institutional Mutual Funds to indemnify any trustee or officer against any liability to which he or she would otherwise be subject by reason of or for willful misfeasance, bad faith, gross negligence or reckless disregard of such person's duties. LIMITATION OF FUND LIABILITY All persons dealing with a Fund must look solely to the property of that particular Fund for the enforcement of any claims against that Fund, as neither the trustees, officers, agents nor shareholders assume any personal liability for obligations entered into on behalf of a Fund or TIAA-CREF Institutional Mutual Funds. No Fund is liable for the obligations of any other Fund. Since the Funds use a combined Prospectus, however, it is possible that one Fund might become liable for a misstatement or omission in the Prospectus regarding another Fund with which its disclosure is combined. The trustees have considered this factor in approving the use of the combined Prospectus. SHAREHOLDER MEETINGS AND VOTING RIGHTS Under the Declaration of Trust, TIAA-CREF Institutional Mutual Funds is not required to hold annual meetings to elect trustees or for other purposes. It is not anticipated that TIAA-CREF Institutional Mutual Funds will hold shareholders' meetings unless required by law or the Declaration of Trust. TIAA-CREF Institutional Mutual Funds will be required to hold a meeting to elect trustees to fill any existing vacancies on the Board if, at any time, fewer than a majority of the trustees holding office were elected by the shareholders of TIAA-CREF Institutional Mutual Funds. Shares of TIAA-CREF Institutional Mutual Funds do not entitle their holders to cumulative voting rights, so that the holders of more than 50 percent of the net asset value represented by the outstanding shares of TIAA-CREF Institutional Mutual Funds may elect all of the trustees, in which case the holders of the remaining shares would not be able to elect any trustees. Shareholders are entitled to one vote for each dollar of net asset value (number of shares held times the net asset value of the applicable Fund). B-47 ADDITIONAL FUNDS OR CLASSES Pursuant to the Declaration of Trust, the trustees may establish additional Funds (technically "series" of shares) or "classes" of shares in TIAA-CREF Institutional Mutual Funds without shareholder approval. The establishment of additional Funds or classes would not affect the interests of current shareholders in the existing twenty-three Funds. As of the date of this SAI, the trustees do not have any plan to establish another Fund or class. DIVIDENDS AND DISTRIBUTIONS Each share of a Fund is entitled to such dividends and distributions out of the income earned on the assets belonging to that Fund as are declared in the discretion of the trustees. In the event of the liquidation or dissolution of TIAA-CREF Institutional Mutual Funds as a whole or any individual Fund, shares of the affected Fund are entitled to receive their proportionate share of the assets that are attributable to such shares and which are available for distribution as the trustees in their sole discretion may determine. Shareholders are not entitled to any preemptive, conversion or subscription rights. All shares, when issued, will be fully paid and non-assessable. PRICING OF SHARES The assets of the Funds are valued as of the close of each valuation day in the following manner: INVESTMENTS FOR WHICH MARKET QUOTATIONS ARE READILY AVAILABLE Investments for which market quotations are readily available are valued at the market value of such investments, determined as follows: Equity securities listed or traded on a national market or exchange are valued based on their sale price on such market or exchange at the close of business (usually 4:00 p.m. Eastern Time) on the date of valuation, or at the mean of the closing bid and asked prices if no sale is reported. Such an equity security may also be valued at fair value as determined in good faith by the Finance Committee of the Board of Trustees if events materially affecting its value occur between the time its price is determined and the time a Fund's net asset value is calculated. FOREIGN INVESTMENTS Investments traded on a foreign exchange or in foreign markets are valued at the closing values of such securities as of the date of valuation under the generally accepted valuation method in the country where traded, converted to U.S. dollars at the prevailing rates of exchange on the date of valuation. Since the trading of investments on a foreign exchange or in foreign markets is normally completed before the end of a valuation day, such valuation does not take place contemporaneously with the determination of the valuation of certain other investments held by the Fund. If events materially affecting the value of foreign investments occur between the time B-48 their share price is determined and the time when a Fund's net asset value is calculated, such investments will be valued at fair value as determined in good faith by the Finance Committee of the Board of Trustees and in accordance with the responsibilities of the Board of Trustees as a whole. DEBT SECURITIES Debt securities (excluding money market instruments) for which market quotations are readily available are valued based on the most recent bid price or the equivalent quoted yield for such securities (or those of comparable maturity, quality and type). These values will be derived utilizing an independent pricing service, except when we believe the prices do not accurately reflect the security's fair value. Values for money market instruments (other than those in the Money Market Fund) with maturities of one year or less are valued in the same manner as debt securities stated in the preceding paragraph, or derived from a pricing matrix that has various types of money market instruments along one axis and various maturities along the other. All debt securities may also be valued at fair value as determined in good faith by the Finance Committee of the Board of Trustees. SPECIAL VALUATION PROCEDURES FOR THE MONEY MARKET FUND For the Money Market Fund, all of its assets are valued on the basis of amortized cost in an effort to maintain a constant net asset value per share of $1.00. The Board has determined that such valuation is in the best interests of the Fund and its shareholders. Under the amortized cost method of valuation, securities are valued at cost on the date of their acquisition, and thereafter a constant accretion of any discount or amortization of any premium to maturity is assumed. While this method provides certainty in valuation, it may result in periods in which value as determined by amortized cost is higher or lower than the price the Fund would receive if it sold the security. During such periods, the quoted yield to investors may differ somewhat from that obtained by a similar fund that uses available market quotations to value all of its securities. The Board of Trustees has established procedures reasonably designed, taking into account current market conditions and the Money Market Fund's investment objective, to stabilize the net asset value per share for purposes of sales and redemptions at $1.00. These procedures include review by the Board of Trustees, at such intervals as it deems appropriate, to determine the extent, if any, to which the net asset value per share calculated by using available market quotations deviates by more than 1/2 of one percent from $1.00 per share. In the event such deviation should exceed 1/2 of one percent, the Board of Trustees will promptly consider initiating corrective action. If the Board of Trustees believes that the extent of any deviation from a $1.00 amortized cost price per share may result in material dilution or other unfair results to new or existing shareholders, it will take such steps as it considers appropriate to eliminate or reduce these consequences to the extent reasonably practicable. Such steps may include: (1) selling B-49 securities prior to maturity; (2) shortening the average maturity of the Fund; (3) withholding or reducing dividends; or (4) utilizing a net asset value per share determined from available market quotations. Even if these steps were taken, the Money Market Fund's net asset value might still decline. OPTIONS AND FUTURES Portfolio investments underlying options are valued as described above. Stock options written by a Fund are valued at the last quoted sale price, or at the closing bid price if no sale is reported for the day of valuation as determined on the principal exchange on which the option is traded. The value of a Fund's net assets will be increased or decreased by the difference between the premiums received on written options and the costs of liquidating such positions measured by the closing price of the options on the date of valuation. For example, when a Fund writes a call option, the amount of the premium is included in the Fund's assets and an equal amount is included in its liabilities. The liability thereafter is adjusted to the current market value of the call. Thus, if the current market value of the call exceeds the premium received, the excess would be unrealized depreciation; conversely, if the premium exceeds the current market value, such excess would be unrealized appreciation. If a call expires or if the Fund enters into a closing purchase transaction, it realizes a gain (or a loss if the cost of the transaction exceeds the premium received when the call was written) without regard to any unrealized appreciation or depreciation in the underlying securities, and the liability related to such call is extinguished. If a call is exercised, the Fund realizes a gain or loss from the sale of the underlying securities and the proceeds of the sale increased by the premium originally received. A premium paid on the purchase of a put will be deducted from a Fund's assets and an equal amount will be included as an investment and subsequently adjusted to the current market value of the put. For example, if the current market value of the put exceeds the premium paid, the excess would be unrealized appreciation; conversely, if the premium exceeds the current market value, such excess would be unrealized depreciation. Stock and bond index futures, and options thereon, which are traded on commodities exchanges, are valued at their last sale prices as of the close of such commodities exchanges. INVESTMENTS FOR WHICH MARKET QUOTATIONS ARE NOT READILY AVAILABLE Portfolio securities or other assets for which market quotations are not readily available will be valued at fair value, as determined in good faith under the direction of the Trustees. B-50 TAX STATUS The following is a brief summary of some of the principal U.S. federal income, and certain state and local, tax considerations pertaining to investments in the Funds. This summary does not address special tax rules applicable to certain classes of investors, such as tax-exempt entities, dealers in securities, pension plans and trusts, and financial institutions. Each prospective shareholder is urged to consult his or her own tax adviser with respect to specific federal, state, local and foreign tax consequences of investing in the Funds. This summary is based on the laws in effect on the date of this SAI, which are subject to change. Although TIAA-CREF Institutional Mutual Funds is organized as a Delaware business trust, neither TIAA-CREF Institutional Mutual Funds nor the Funds will be subject to any corporate excise or franchise tax in the State of Delaware, nor will they be liable for Delaware income taxes provided that each Fund qualifies as a "regulated investment company" (a "RIC") for federal income tax purposes and satisfies certain income source requirements of Delaware law. If each Fund so qualifies and distributes all its income and capital gains, it will also be exempt from applicable New York State taxes and the New York City general corporation tax, except for small minimum taxes. Each existing Fund qualifies as a RIC under Subchapter M of the Code and intends to continue to so qualify. Each new Fund intends to elect to be treated and to qualify as a RIC for 2002 and subsequent taxable years. In general, for a Fund to qualify as a RIC for a taxable year: (a) at least 90 percent of the gross income of the Fund for the year must be derived from dividends, interest, payments with respect to loans of securities, gains from the sale or other disposition of securities or foreign currencies, or other income derived with respect to its business of investing in securities; and (b) the Fund must diversify its assets so that, at the close of each quarter of the year, (i) at least 50 percent of the fair market value of its total assets is comprised of cash, cash items, U.S. Government securities, securities of other regulated investment companies and other securities limited in respect of any one issuer to no more than 5 percent of the fair market value of the Fund's total assets and 10 percent of the outstanding voting securities of such issuer, and (ii) no more than 25 percent of the fair market value of its total assets is invested in the securities of any one issuer (other than U.S. Government securities and securities of other regulated investment companies) or of two or more issuers controlled by the Fund and engaged in the same, similar, or related trades or businesses. If, for any taxable year, a Fund should not qualify as a RIC under the Code: (a) that Fund would be taxed at normal corporate rates on the entire amount of its taxable income without deduction for dividends or other distributions to its shareholders; and (b) that Fund's distributions to the extent made out of its current or accumulated "earnings and profits" would be taxable to its shareholders (other than tax-exempt shareholders and shareholders in tax deferred accounts) as ordinary dividends (regardless of whether they would otherwise have been considered capital gains dividends). B-51 If a Fund qualifies as a RIC for a taxable year and distributes to its shareholders at least 90 percent of its "investment company taxable income" (which is defined in the Code generally as ordinary income plus the excess of realized net short-term capital gain over realized net long-term capital loss), then the Fund generally will not be subject to federal income tax on the portion of its investment company taxable income and "net capital gain" (which the Code defines as the excess of realized net long-term capital gain over realized net short-term capital loss) it distributes (or is treated as having distributed) to its shareholders. For every calendar year, a Fund must declare and distribute dividends equal in amount to at least the sum of (a) 98 percent of its ordinary income (as of the twelve months ending December 31), (b) 98 percent of its capital gain net income (as of the twelve months ending October 31), and (c) any income realized, but not distributed, in prior years, in order to avoid a 4-percent nondeductible federal excise tax. Each Fund intends to make the required distributions, but cannot guarantee that it will do so. Generally, dividends from a Fund are taxable to shareholders in the year in which they are received; however, dividends declared in October, November or December of a year and paid in January of the following year are taxable as if they were paid on the prior December 31. Distributions by a Fund (whether paid in cash or reinvested in additional shares) generally are taxable to U.S. shareholders as ordinary income or capital gains. Distributions of investment company taxable income will be taxable as ordinary income to U.S. shareholders to the extent of the Fund's current or accumulated earnings and profits, whether paid in cash or reinvested in additional shares. Distributions of net capital gains properly designated as "capital gain dividends" will be taxable to U.S. shareholders as long-term capital gains regardless of the shareholder's holding period for his, her or its shares. Distributions in excess of a Fund's earnings and profits first will reduce a U.S. shareholder's adjusted tax basis in such shareholder's shares and, after the adjusted basis is reduced to zero, will constitute capital gains to such shareholder. For federal income tax purposes, each Fund is permitted to carry forward a net capital loss in any year to offset its own capital gains, if any, during the eight years following the year of the loss. At September 30, 2001, the Growth & Income Fund, the International Equity Fund and the Social Choice Equity Fund had capital loss carryovers of approximately $38,200, $243,300 and $11,900, respectively, which will expire in 2009. These amounts are available to be carried forward to offset future capital gains to the extent permitted by the Code and applicable tax regulations. Foreign exchange gains and losses realized by a Fund in connection with certain transactions involving non-U.S. dollar debt securities, certain foreign currency futures contracts, foreign currency option contracts, foreign currency forward contracts, foreign currencies, or payables or receivables denominated in a foreign currency are subject to Code provisions that generally treat such gains and losses as ordinary income and losses and may affect the amount, timing and character of distributions to shareholders. Any such transactions that are not directly related to a B-52 Fund's investment in securities (possibly including speculative currency positions or currency derivatives not used for hedging purposes) could, under future Treasury regulations, produce income not among the types of "qualifying income" from which the Fund must derive at least 90 percent of its annual gross income. If a Fund acquires or is deemed to have acquired debt obligations that were issued originally at a discount or that otherwise are treated under applicable tax rules as having original issue discount (including certain "payment-in-kind" instruments ("PIKs"), zero coupon securities or deferred interest securities), it must include in income each year a portion of the original issue discount that accrues over the life of the obligation, regardless of whether cash representing such income is received by it in the same taxable year. Any amount accrued as original issue discount will be included in a Fund's investment company taxable income for the year of accrual and may have to be distributed to the shareholders in order to satisfy the 90-percent distribution requirement even though the Fund has not received any cash representing such income. As a result, a Fund may have to dispose of its portfolio investments under disadvantageous circumstances to generate cash, or it may have to leverage itself by borrowing the cash, to satisfy this distribution requirement. Adjustments for inflation to the principal amounts of inflation-indexed securities held by the Inflation-Linked Bond Fund may give rise to original issue discount, with the aforementioned consequences. Under certain circumstances, if the Inflation-Linked Bond Fund has paid dividends during a taxable year, subsequent adjustments for deflation to the principal amounts of such securities in that year may cause such dividends to be characterized as returns of capital to the shareholders, rather than dividends, for tax purposes. If a Fund were to acquire or invest in certain options, futures, or forward contracts, it may be required to report income from such investments on a mark-to-market basis, which could result in a Fund recognizing unrealized gains and losses for federal income tax purposes even though it may not realize such gains and losses when it ultimately disposes of such investments. The Fund could also be required to treat such gains and losses as 60 percent long-term capital gain or loss and 40 percent short-term capital gain or loss regardless of its holding period for the investments. In addition, if a Fund were to engage in certain hedging transactions, including hedging transactions in options, future contracts or straddles, or other similar transactions, it would be subject to special tax rules (including constructive sale, mark-to-market, straddle, wash sale, and short sale rules), the effect of which may be to accelerate the recognition of income or loss to the Fund, defer losses to the Fund, cause adjustments in the holding periods of the Fund's securities, convert long-term capital gains into short-term capital gains or convert short-term capital losses into long-term capital losses. These rules (a) could affect the character, amount and timing of distributions to shareholders of a Fund, and (b) may cause the Fund to recognize income without receiving cash with which to make distributions in amounts necessary to satisfy the 90-percent distribution requirement and the excise tax avoidance requirements described above. TIAA-CREF Institutional Mutual Funds seeks to monitor transactions of each Fund, to make the appropriate tax elections on behalf of each Fund, and to make the appropriate entries in each Fund's books and records when the Fund acquires any option, futures or forward contract or B-53 hedged investment to mitigate the effect of these rules and prevent disqualification of the Fund as a RIC. At the time a shareholder purchases shares of a Fund, such Fund's net asset value may reflect undistributed income or net capital gains. A subsequent distribution to the shareholder of such amounts, although constituting a return of his, her or its investment, generally would be taxable as either ordinary income or capital gain. Investors may recognize taxable gain or loss if they sell or exchange their shares in a Fund. The amount of the gain or loss will be measured by the difference between an investor's adjusted tax basis in the shares sold or exchanged and the amount of the proceeds received in exchange therefor. Any gain or loss arising from or, in the case of distributions in excess of earnings and profits, treated as arising from the sale or exchange of such shares generally will be a capital gain or loss, provided the investor held the shares as a capital asset at the time of sale or exchange. This capital gain or loss normally will be treated as a long-term capital gain or loss, if an investor has held the shares for more than one year. Otherwise, it will be classified as short-term capital gain or loss. However, any capital loss arising from the sale or exchange of shares held for six months or less generally will be treated as a long-term capital loss to the extent of any prior capital gain distribution with respect to such shares, and for this purpose special rules in the Code generally apply in determining the holding period of such shares. In addition, all or a portion of any loss realized upon a taxable disposition of a Fund's shares may be disallowed if other shares of that Fund are purchased (including through a dividend reinvestment plan) within 30 days before or after the disposition. In such a case, the basis of the shares acquired will be adjusted to reflect the disallowed loss. In general, individual U.S. shareholders currently are subject to a maximum U.S. federal income tax rate of 20 percent (10 percent to individuals who are in the 10-percent or 15-percent tax bracket) on their net capital gains, including a long-term capital gain derived from an investment in the shares of a Fund. Such rate is lower than the maximum rate on ordinary income currently payable by individuals. Corporate U.S. shareholders currently are subject to U.S. federal income tax on net capital gain at the maximum 35-percent rate also applied to ordinary income. Tax rates imposed by states and local jurisdictions on capital gain and ordinary income may differ. Non-corporate shareholders with net capital losses for a year (I.E., capital losses in excess of capital gains) generally may deduct up to $3,000 of such losses against their ordinary income each year; any net capital losses of a non-corporate stockholder in excess of $3,000 generally may be carried forward and used in subsequent years as provided in the Code. Corporate stockholders generally may not deduct any net capital losses for a year, but may carry back such losses for three years and carry forward any excess losses for five years. A Fund will send to each of its U.S. shareholders, as promptly as possible after the end of each taxable year, a notice detailing, on a per share and per distribution basis, the amounts includible in such U.S. shareholder's taxable income for such year as ordinary income and as long-term capital gain. In addition, the U.S. federal tax status of each year's distributions generally will be B-54 reported to the IRS. Distributions may also be subject to additional state, local or foreign taxes depending on a shareholder's particular situation. For corporate investors, a portion of the ordinary income dividends paid by a Fund may, if certain conditions are met, qualify for the dividends-received deduction to the extent that the Fund has received qualifying dividend income during the taxable year. Capital gain dividends made by the Funds are not eligible for the corporate dividends-received deduction. In order to constitute a qualifying dividend, a dividend must be from a U.S. domestic corporation in respect of stock of such corporation that has been held by the Fund, for federal income tax purposes, for at least 46 days during the 90-day period that begins 45 days before the stock becomes ex-dividend (or, in the case of preferred stock, 91 days during the 180-day period that begins 90 days before the stock becomes ex-dividend). A Fund must also designate the portion of any distribution that is eligible for the dividends-received deduction in a written notice within 60 days of the close of the relevant taxable year. In order to be eligible to claim the dividends-received deduction with respect to distributions from a Fund, corporate shareholders must meet the foregoing minimum holding period requirements with respect to their shares of the applicable Fund. If a corporation borrows to acquire shares of a Fund, it may be denied a portion of the dividends-received deduction it would otherwise be eligible to claim. The entire qualifying dividend, including the otherwise deductible amount, will be included in determining the excess (if any) of a corporate shareholder's adjusted current earnings over its alternative minimum taxable income, which may increase its alternative minimum tax liability. Income received by any Fund from sources within various foreign countries may be subject to foreign income taxes withheld at the source. Under the Code, if more than 50 percent of the value of a Fund's total assets at the close of its taxable year consists of securities issued by foreign corporations or foreign governments, the Fund may file an election with the IRS to "pass through" to the Fund's shareholders the amount of any foreign income taxes paid by the Fund. Only the International Equity Fund and the International Equity Index Fund are expected to be eligible to make this election, and TIAA-CREF Institutional Mutual Funds anticipates that both of those Funds will make the election if available. If a Fund makes this election, shareholders will be required to include in gross income their pro rata share of foreign taxes paid by the Fund even though they do not actually receive a distribution of such amounts; however, such shareholders will generally be entitled to either deduct their pro rata share of foreign taxes paid in computing their taxable income or claim a foreign tax credit against their federal income tax liability, if any. No deduction for foreign taxes may be claimed by a shareholder who does not itemize deductions. Certain additional limitations may apply that could limit the extent to which the foreign tax credit or deductions may be claimed. Each shareholder will be notified within 60 days after the close of each taxable year of a Fund if that Fund will "pass through" foreign taxes paid for that year, and, if so, the amount of each shareholder's pro rata share of (a) the foreign taxes paid, and (b) the Fund's gross income from foreign sources. Shareholders who are not liable for federal income taxes, such as qualified retirement plans, will not benefit from any such "pass through" of foreign tax deductions or credits. B-55 Certain of the Funds may invest in the stock of "passive foreign investment companies" ("PFICs"). In general, a PFIC is a foreign corporation that meets either of the following tests: (a) at least 75 percent of its gross income is passive; or (b) an average of at least 50 percent of its assets produce, or are held for the production of, passive income. If a Fund holds stock in a PFIC, such Fund may be required to pay federal income tax on a portion of any "excess distribution" received with respect to such PFIC stock or any gain on disposition of that stock (collectively, "PFIC income"), plus interest thereon, even if the Fund distributes the PFIC income as a taxable dividend to its shareholders. Shareholders will not be entitled to deduct any portion of the taxes or interest paid by a Fund with respect to its PFIC income. Certain elections, if available, may ameliorate these adverse tax consequences, but any such elections will require the applicable Fund to recognize taxable income or gain without the concurrent receipt of cash and may limit a Fund's ability to make these elections. TIAA-CREF Institutional Mutual Funds may limit and/or manage the Funds' investments in PFICs to minimize their tax liability or maximize their return from these investments. A Fund may be required to withhold U.S. federal income tax at a rate of 30 percent ("backup withholding") from all taxable distributions (which may include ordinary income dividends, capital gains distributions, and share redemption proceeds) payable to (a) any shareholder who fails to furnish to the Fund (either on the application form or on a separate IRS Form W-9) its correct taxpayer identification number or a certificate that the shareholder is exempt from backup withholding, and (b) any shareholder with respect to whom the IRS notifies the Fund that the shareholder has failed to properly report certain interest and dividend income to the IRS and to respond to notices to that effect. An individual's taxpayer identification number is his or her social security number. Backup withholding is not an additional tax and may be credited against a taxpayer's regular federal income tax liability, if any, or may be refunded if the appropriate information is supplied to the IRS. The foregoing discussion does not address the special tax rules applicable to non-U.S. persons. Each shareholder who is not a U.S. person should carefully consider the U.S. and foreign tax consequences of ownership of shares of the Funds, including the possibility that such a shareholder may be subject to a U.S. withholding tax at a rate of 30 percent (or lower applicable treaty rate) on Fund distributions treated as ordinary dividends. Shareholders who are not U.S. persons should consult their tax advisers regarding the U.S. and non-U.S. tax consequences of ownership of shares of, and receipt of distributions from, the Funds. Shares held in accounts under Code section 401(a) plans (including 401(k) and Keogh plans), section 403(b) or 457 plans, and IRAs are subject to special tax treatment. The federal income tax on earnings in those accounts is deferred, and there may be restrictions on the amounts that can be contributed each year. Distributions from such accounts may be subject to ordinary income taxation in the year of distribution, and investors in these accounts may have to pay a penalty for early withdrawals. Shareholders should consult their tax advisers, the plan administrator or Services for more information. B-56 BROKERAGE ALLOCATION Advisors is responsible for decisions to buy and sell securities for the Funds as well as for selecting brokers and, where applicable negotiating the amount of the commission rate paid. It is the intention of Advisors to place brokerage orders with the objective of obtaining the best execution, which includes such factors as best price, research and available data. When purchasing or selling securities traded on the over-the-counter market, Advisors generally will execute the transactions with a broker engaged in making a market for such securities. When Advisors deems the purchase or sale of a security to be in the best interests of a Fund, its personnel may, consistent with their fiduciary obligations, decide either to buy or to sell a particular security for the Fund at the same time as for other funds it may be managing, or that may be managed by its affiliate, Investment Management, another investment adviser subsidiary of TIAA. In that event, allocation of the securities purchased or sold, as well as the expenses incurred in the transaction, will be made in an equitable manner. Domestic brokerage commissions are negotiated, as there are no standard rates. All brokerage firms provide the service of execution of the order made; some brokerage firms also provide research and statistical data, and research reports on particular companies and industries are customarily provided by brokerage firms to large investors. In negotiating commissions, consideration is given by Advisors to the quality of execution provided and to the use and value of the data. The valuation of such data may be judged with reference to a particular order or, alternatively, may be judged in terms of its value to the overall management of the portfolio. Advisors will place orders with brokers providing useful research and statistical data services if reasonable commissions can be negotiated for the total services furnished even though lower commissions may be available from brokers not providing such services. Advisors follows guidelines established by the Board of Trustees for the placing of orders with the brokers providing such services. During the fiscal year ending September 30, 2001, the aggregate amount of brokerage commissions paid by the Growth & Income Fund as a result of such allocation was $41,000. Research or service obtained for one Fund may be used by Advisors in managing the other Funds. In such circumstances, the expenses incurred will be allocated equitably consistent with Advisors' fiduciary duty to the other Funds. Research or services obtained for TIAA-CREF Institutional Mutual Funds also may be used by personnel of Advisors in managing other investment company accounts, or by Investment Management for the CREF accounts. Under such circumstances, the expenses incurred will be allocated in an equitable manner consistent with the fiduciary obligations of personnel of Advisors to the TIAA-CREF Institutional Mutual Funds. B-57 The aggregate amount of brokerage commissions paid by the Funds for the partial fiscal year ending September 30, 1999 was as follows: FUND COMMISSIONS ------------------------------------------------------------- Growth Equity Fund $10,252 Growth & Income Fund $10,316 International Equity Fund $51,345 Equity Index Fund $ 6,421 Social Choice Equity Fund $ 4,816 The aggregate amount of brokerage commissions paid by the Funds for the fiscal year ending September 30, 2000 was as follows: FUND COMMISSIONS ------------------------------------------------------------- Growth Equity Fund $51,051 Growth & Income Fund $24,755 International Equity Fund $261,018 Equity Index Fund $12,302 Social Choice Equity Fund $ 1,731 The aggregate amount of brokerage commissions paid by the Funds for the fiscal year ending September 30, 2001 was as follows: FUND COMMISSIONS ------------------------------------------------------------- Growth Equity Fund $85,288 Growth & Income Fund $153,025 International Equity Fund $334,415 Equity Index Fund $20,915 Social Choice Equity Fund $ 2,004 During the fiscal year ending September 30, 2001, certain of the Funds acquired securities of certain regular brokers or dealers or their parents. These entities and the value of a Fund's aggregate holdings in the securities of those entities are set forth below: B-58 REGULAR BROKER OR DEALER BASED ON BROKERAGE COMMISSIONS PAID
HOLDINGS FUND BROKER PARENT (US$) ---------------------------------------------------------------------------------------------------------------------- Growth Equity Fund Morgan Stanley & Co. Inc. Morgan Stanley Dean Witter & Co. $ 37,080 Growth & Income Fund Morgan Stanley & Co. Inc. Morgan Stanley Dean Witter & Co. $1,082,318 Merrill Lynch, Pierce, Merrill Lynch Co., Inc. $ 682,323 Fenner & Smith International Equity Fund ABN AMRO Inc. ABN AMRO Holdings N.V. $ 304,030 Equity Index Fund Morgan Stanley & Co. Inc. Morgan Stanley Dean Witter & Co. $ 501,507 Merrill Lynch, Pierce, Merrill Lynch Co., Inc $ 328,494 Fenner & Smith Social Choice Equity Fund Morgan Stanley & Co. Inc. Morgan Stanley Dean Witter & Co. $ 166,860 Merrill Lynch, Pierce, Merrill Lynch Co., Inc $ 109,620 Fenner & Smith
REGULAR BROKER OR DEALER BASED ON ENTITIES ACTING AS PRINCIPAL
HOLDINGS FUND BROKER PARENT (US$) ---------------------------------------------------------------------------------------------------------------------- Growth Equity Fund JP Morgan Chase Morgan (JP) & Co., Inc. $ 280,030 Lehman Brothers, Inc. Lehman Brothers Holdings, Inc. $ 233,085 Morgan Stanley & Co. Inc. Morgan Stanley Dean Witter & Co. $ 37,080 Citigroup Citigroup, Inc. $1,741,581 Knight Trading Group Knight Trading Group, Inc. $ 5,397 Instinet Instinet Group $ 979 Growth & Income Fund Bank of America Corp. Bank of America Corp. $2,496,191 JP Morgan Chase Morgan (JP) & Co., Inc. $1,420,161 Morgan Stanley & Co. Inc. Morgan Stanley Dean Witter & Co. $1,082,318 Lehman Brothers, Inc. Lehman Brothers Holdings, Inc. $ 631,887 Suntrust Banks, Inc. Suntrust Banks, Inc. $ 159,840
B-59 International Equity Fund ABN AMRO Inc. ABN AMRO Holdings N.V $ 304,040 Credit Suisse First Boston Credit Suisse Group $1,054,490 Corp. HSBC Holdings HSBC Holdings PLC (UK) $1,466,264 Equity Index Fund JP Morgan Chase Morgan (JP) & Co., Inc. $ 655,475 Morgan Stanley & Co. Inc. Morgan Stanley Dean Witter & Co. $ 501,507 Bank of America Corp. Bank of America Corp. $ 905,900 Citigroup Citigroup, Inc. $2,041,646 Instinet Instinet Group $ 2,467 Investment Technology Investment Technology Group $ 19,033 Knight Trading Group Knight Trading Group, Inc. $ 6,553 Social Choice Equity Fund Bank of America Corp. Bank of America Corp. $ 362,080 Suntrust Suntrust Banks, Inc. $ 79,920 BankOne Corp. BankOne Corp. $ 129,027 Citigroup Citigroup, Inc. $ 695,790 Morgan Stanley & Co. Inc. Morgan Stanley Dean Witter & Co. $ 166,860 Bond Fund Bank of America Corp. Bank of America Corp. $2,155,480 JP Morgan Chase Morgan (JP) & Co., Inc. $1,048,510 Chase Securities, Inc. Chase Manhattan Corp. $1,061,450 Citigroup Citigroup, Inc. $3,097,830 Morgan Stanley & Co. Inc. Morgan Stanley Dean Witter & Co. $2,062,430
CALCULATION OF PERFORMANCE DATA We may quote a Fund's performance in various ways. All performance information in advertising is historical and is not intended to indicate future returns. A Fund's share price, yield, and total return fluctuate in response to market conditions and other factors, and the value of Fund shares when redeemed may be more or less than their original cost. B-60 TOTAL RETURN CALCULATIONS Total returns quoted in advertising reflect all aspects of a Fund's returns, including the effect of reinvesting dividends and capital gain distributions, and any change in the Fund's NAV over a stated period. Average annual returns are calculated by determining the growth or decline in value of a hypothetical historical investment in a Fund over a stated period, and then calculating the annually compounded percentage rate that would have produced the same result if the rate of growth or decline in value had been constant over the period. AVERAGE ANNUAL TOTAL RETURN (BEFORE TAXES) Average annual total return is calculated by finding the average annual compounded rates of return over the 1-, 5-, and 10-year periods (or for the periods of the Fund's operations) that would equate the initial amount invested to the ending redeemable value, according to the following formula: n P (1 + T) = ERV where: P = a hypothetical initial investment of $1,000 T = average annual total return n = number of years ERV = ending redeemable value of a hypothetical $1,000 investment made at the beginning of the 1-, 5-, or 10-year periods at the end of the 1-, 5-, or 10-year periods (or fractional portion thereof) How the above return is calculated: 1. Assume the maximum sales load (or other charges deducted from payments) is deducted from the initial $1,000 investment. 2. Assume all distributions by the Fund are reinvested at the price stated in the Prospectus (including any sales load imposed upon reinvestment of dividends) on the reinvestment dates during the period. Adjustments may be made for subsequent re-characterizations of distributions. 3. Include all recurring fees that are charged to all shareholder accounts. For any account fees that vary with the size of the account, assume an account size equal to the Fund's mean (or median) account size. Reflect, as appropriate, any recurring fees charged to shareholder accounts that are paid other than by redemption of the Fund's shares. 4. Determine the ending value by assuming a complete redemption at the end of the 1-, 5-, or 10-year periods (or fractional portion thereof) and the deduction of all nonrecurring B-61 charges deducted at the end of each period. If shareholders are assessed a deferred sales load, assume the maximum deferred sales load is deducted at the times, in the amounts, and under the terms disclosed in the Prospectus. AVERAGE ANNUAL TOTAL RETURN (AFTER TAXES ON DISTRIBUTIONS) We calculate a Fund's average annual total return (after taxes on distributions) by finding the average annual compounded rates of return over the 1-, 5-, and 10-year periods (or for the periods of the Fund's operations) that would equate the initial amount invested to the after-tax ending value, according to the following formula: n P (1 + T) = ATV(D) where: P = a hypothetical initial investment of $1,000 T = average annual total return (after taxes on distributions) n = number of years ATV(D) = ending value of a hypothetical $1,000 investment made at the beginning of the 1-, 5-, or 10-year periods at the end of the 1-, 5-, or 10-year periods (or fractional portion thereof), after taxes on fund distributions but not after taxes on redemption How the above return is calculated: 1. Assume the maximum sales load (or other charges deducted from payments) is deducted from the initial $1,000 investment. 2. Assume all distributions by the Fund, less the taxes due on such distributions, are reinvested at the price stated in the Prospectus (including any sales load imposed upon reinvestment of dividends) on the reinvestment dates during the period. Adjustments may be made for subsequent re-characterizations of distributions. 3. Include all recurring fees that are charged to all shareholder accounts. For any account fees that vary with the size of the account, assume an account size equal to the Fund's mean (or median) account size. Reflect, as appropriate, any recurring fees charged to shareholder accounts that are paid other than by redemption of the Fund's shares. 4. Calculate the taxes due on any distributions by the Fund by applying the highest individual marginal federal income tax rates in effect on the reinvest date, to each component of distributions on the reinvestment date (e.g., ordinary income, short-term capital gain, long-term capital gain). Note that the applicable tax rates may vary over the measurement period. Distributions should be adjusted to reflect the federal tax impact the distribution would have on an individual taxpayer on the reinvestment date. Assume B-62 no taxes are due on the portion of any distribution that would not result in federal income tax on an individual (e.g., tax-exempt interest or non-taxable returns of capital). The effect of applicable tax credits, such as the foreign tax credit, should be taken into account in accordance with federal tax law. Disregard any potential tax liabilities other than federal tax liabilities (e.g., state and local taxes); the effect of phaseouts of certain exemptions, deductions and credits at various income levels; and the impact of the federal alternative minimum tax. 5. Determine the ending value by assuming a complete redemption at the end of the 1-, 5-, or 10-year periods (or fractional portion thereof) and the deduction of all nonrecurring charges deducted at the end of each period. If shareholders are assessed a deferred sales load, assume the maximum deferred sales load is deducted at the times, in the amounts, and under the terms disclosed in the Prospectus. Assume that the redemption has no tax consequences. AVERAGE ANNUAL TOTAL RETURN (AFTER TAXES ON DISTRIBUTIONS AND REDEMPTION) We calculate a Fund's average annual total return (after taxes on distributions and redemption) by finding the average annual compounded rates of return over the 1-, 5-, and 10-year periods (or for the periods of the Fund's operations) that would equate the initial amount invested to the after-tax ending value, according to the following formula: n P (1 + T) = ATV(DR) where: P = a hypothetical initial investment of $1,000 T = average annual total return (after taxes on distributions and redemption) n = number of years ATV(DR) = ending value of a hypothetical $1,000 investment made at the beginning of the 1-, 5-, or 10-year periods at the end of the 1-, 5-, or 10-year periods (or fractional portion thereof), after taxes on fund distributions and redemption How the above return is calculated: 1. Assume the maximum sales load (or other charges deducted from payments) is deducted from the initial $1,000 investment. 2. Assume all distributions by the Fund, less the taxes due on such distributions, are reinvested at the price stated in the Prospectus (including any sales load imposed upon reinvestment of dividends) on the reinvestment dates during the period. B-63 3. Include all recurring fees that are charged to all shareholder accounts. For any account fees that vary with the size of the account, assume an account size equal to the Fund's mean (or median) account size. Assume that no additional taxes or tax credits result from any redemption of shares required to pay such fees. Reflect, as appropriate, any recurring fees charged to shareholder accounts that are paid other than by redemption of the Fund's shares. 4. Calculate the taxes due on any distributions by the Fund by applying the highest individual marginal federal income tax rates in effect on the reinvest date, to each component of distributions on the reinvestment date (E.G., ordinary income, short-term capital gain, long-term capital gain). Note that the applicable tax rates may vary over the measurement period. Distributions should be adjusted to reflect the federal tax impact the distribution would have on an individual taxpayer on the reinvestment date. Assume no taxes are due on the portion of any distribution that would not result in federal income tax on an individual, E.G., tax-exempt interest or non-taxable returns of capital. The effect of applicable tax credits, such as the foreign tax credit, should be taken into account in accordance with federal tax law. Disregard any potential tax liabilities other than federal tax liabilities (E.G., state and local taxes); the effect of phaseouts of certain exemptions, deductions and credits at various income levels; and the impact of the federal alternative minimum tax. 5. Determine the ending value by assuming a complete redemption at the end of the 1-, 5-, or 10-year periods (or fractional portion thereof) and the deduction of all nonrecurring charges deducted at the end of each period. If shareholders are assessed a deferred sales load, assume the maximum deferred sales load is deducted at the times, in the amounts, and under the terms disclosed in the Prospectus. 6. Determine the ending value by subtracting capital gains taxes resulting from the redemption and adding the tax benefit from capital losses resulting from the redemption. (a) Calculate the capital gain or loss upon redemption by subtracting the tax basis from the redemption proceeds (after deducting any nonrecurring charges as specified by Instruction 5). (b) The Fund should separately track the basis of shares acquired through the $1,000 initial investment and each subsequent purchase through reinvested distributions. In determining the basis for a reinvested distribution, include the distribution net of taxes assumed paid from the distribution, but not net of any sales loads imposed upon reinvestment. Tax basis should be adjusted for any distributions representing returns of capital and any other tax basis adjustments that would apply to an individual taxpayer, as permitted by applicable federal tax law. (c) The amount and character (E.G., short-term or long-term) of capital gain or loss upon redemption should be separately determined for shares acquired through the B-64 $1,000 initial investment and each subsequent purchase through reinvested distributions. The Fund should not assume that shares acquired through reinvestment of distributions have the same holding period as the initial $1,000 investment. The tax character should be determined by the length of the measurement period in the case of the initial $1,000 investment and the length of the period between reinvestment and the end of the measurement period in the case of reinvested distributions. (d) Calculate the capital gains taxes (or the benefit resulting from tax losses) using the highest federal individual capital gains tax rate for gains of the character in effect on the redemption date and in accordance with federal tax law applicable on the redemption date. For example, applicable federal tax law should be used to determine whether and how gains and losses from the sale of shares with different holding periods should be netted, as well as the tax character (e.g., short-term or long-term) of any resulting gains or losses. Assume that a shareholder has sufficient capital gins of the same character from other investments to offset any capital losses from the redemption so that the taxpayer may deduct the capital losses in full. In addition to average annual returns, we may quote a Fund's unaveraged or cumulative total returns reflecting the actual change in value of an investment over a stated period. Average annual and cumulative total returns may be quoted as a percentage or as a dollar amount, and may be calculated for a single investment, a series of investments, or a series of redemptions, over any time period. Total returns may be broken down into their components of income and capital (including capital gains and changes in share price) in order to illustrate the relationship of these factors and their contributions to total return. Total returns may be quoted on a before or after-tax basis. Total returns, yields, and other performance information may be quoted numerically or in a table, graph or similar illustration. B-65 YIELD CALCULATIONS ALL FUNDS OTHER THAN THE MONEY MARKET FUND Yields are computed by dividing the Fund's net investment income for a given 30-day or one-month period, by the average number of Fund shares, dividing this figure by the Fund's NAV at the end of the period, and annualizing the result (assuming compounding of income) in order to arrive at an annual percentage rate. Income is calculated for purposes of yield quotations in accordance with standardized methods applicable to all stock and bond funds. In general, interest income is reduced with respect to bonds trading at a premium over their par value by subtracting a portion of the premium from income on a daily basis, and is increased with respect to bonds trading at a discount by adding a portion of the discount to daily income. For a Fund's investments denominated in foreign currencies, income and expenses are calculated first in their respective currencies, and are then converted to U.S. dollars, either when they are actually converted or at the end of the 30-day or one-month period, whichever is earlier. Income is adjusted to reflect gains and losses from principal repayments received by the Fund with respect to mortgage-related securities and other asset-backed securities. Other capital gains and losses generally are excluded from the calculation, as are gains and losses currently from exchange rate fluctuations. Income calculated for the purposes of calculating a Fund's yield differs from income as determined for other accounting purposes. Because of the different accounting methods used, and because of the compounding of income assumed in yield calculations, a Fund's yield may not equal its distribution rate, the income paid to your account, or the income reported in a Fund's financial statements. Yield information may be useful in reviewing a Fund's performance and in providing a basis for comparison with other investment alternatives. However, a Fund's yield fluctuates, unlike investments that pay a fixed interest rate over a stated period of time. When comparing investment alternatives, investors should also note the quality and maturity of the portfolio securities of respective investment companies they have chosen to consider. Investors should also recognize that in periods of declining interest rates a Fund's yield will tend to be somewhat higher than prevailing market rates, and in periods of rising interest rates a Fund's yield will tend to be somewhat lower. Also, when interest rates are falling, the inflow of net new money to a Fund from the continuous sale of its shares will likely be invested in instruments producing lower yields than the balance of the Fund's holdings, thereby reducing the Fund's current yield. In periods of rising interest rates, the opposite can be expected to occur. YIELD INFORMATION ABOUT THE MONEY MARKET FUND Yield quotations for the Money Market Fund, including yield quotations based upon the seven-day period ended on the date of calculation, may also be made available. These yield quotations are based on a hypothetical pre-existing account with a balance of one share. In arriving at any such yield quotations, the net change during the period in the value of that hypothetical account B-66 is first determined. Such net change includes net investment income attributable to portfolio securities but excludes realized gains and losses from the sale of securities and unrealized appreciation and depreciation and income other than investment income (which are included in the calculation of Net Asset Value). For this purpose, net investment income includes accrued interest on portfolio securities, plus or minus amortized premiums or purchase discount (including original issue discount), less all accrued expenses. Such net change is then divided by the value of that hypothetical account at the beginning of the period to obtain the base period return, and then the base period return is multiplied by 365/7 to annualize the current yield figure which is carried to at least the nearest hundredth of one percent. The effective yield of the Money Market Fund for the same seven-day period may also be disclosed. The effective yield is obtained by adjusting the current yield to give effect to the compounding nature of the Fund's investments, and is calculated by the use of the following formula: 365/7 Effective Yield = (Base Period Return + 1) - 1 The Money Market Fund's yield fluctuates, unlike many bank deposits or other investments that pay a fixed yield for a stated period of time. The annualization of one period's income is not necessarily indicative of future actual yields. Actual yields will depend on such variables as portfolio quality, average portfolio maturity, the type of instruments held in the portfolio, changes in interest rates on money market instruments, portfolio expenses, and other factors. TOTAL RETURNS Set forth below is the average annual total return information (before and after taxes) for each of the Institutional Class shares of the Funds with performance history (certain of the Funds, and the Retirement Class and Retail Class, were introduced in 2002 and do not have performance history) and the yield quotations for the Bond Fund and the Money Market Fund, which reflects all expense deductions from Fund assets, applied to a hypothetical investment of $1,000 in each Fund: B-67 GROWTH EQUITY FUND (INSTITUTIONAL CLASS) 1 Year Since Inception (April 1, 2001 - (July 1, 1999 - March 31, 2002) March 31, 2002) -------------------------------------------------------------------------------- Return Before Taxes (3.86)% (29.49)% Return After Taxes on Distributions (3.98)% (30.05)% Return After Taxes on Distributions (2.37)% (23.57)% and Sale of Fund Shares GROWTH & INCOME FUND (INSTITUTIONAL CLASS) 1 Year Since Inception (April 1, 2001 - (July 1, 1999 - March 31, 2002) March 31, 2002) -------------------------------------------------------------------------------- Return Before Taxes (1.34)% (14.06)% Return After Taxes on Distributions (1.70)% (15.32)% Return After Taxes on Distributions (0.83)% (11.69)% and Sale of Fund Shares B-68 INTERNATIONAL EQUITY FUND (INSTITUTIONAL CLASS) 1 Year Since Inception (April 1, 2001 - (July 1, 1999 - March 31, 2002) March 31, 2002) -------------------------------------------------------------------------------- Return Before Taxes (8.63)% (6.82)% Return After Taxes on Distributions (8.89)% (8.59)% Return After Taxes on Distributions (5.23)% (5.90)% and Sale of Fund Shares EQUITY INDEX FUND (INSTITUTIONAL CLASS) 1 Year Since Inception (April 1, 2001 - (July 1, 1999 - March 31, 2002) March 31, 2002) -------------------------------------------------------------------------------- Return Before Taxes 1.95% (10.80)% Return After Taxes on Distributions (1.67)% (11.90)% Return After Taxes on Distributions 1.19% (9.07)% and Sale of Fund Shares B-69 SOCIAL CHOICE EQUITY FUND (INSTITUTIONAL CLASS) 1 Year Since Inception (April 1, 2001 - (July 1, 1999 - March 31, 2002) March 31, 2002) -------------------------------------------------------------------------------- Return Before Taxes 0.13% (12.54)% Return After Taxes on Distributions (0.27)% (14.05)% Return After Taxes on Distributions 0.08% (10.72)% and Sale of Fund Shares BOND FUND (INSTITUTIONAL CLASS) 1 Year Since Inception (April 1, 2001 - (July 1, 1999 - March 31, 2002) March 31, 2002) -------------------------------------------------------------------------------- Return Before Taxes 5.34% 21.63% Return After Taxes on Distributions 2.47% 12.88% Return After Taxes on Distributions 3.25% 12.79% and Sale of Fund Shares PERIOD YIELD -------------------------------------------------------------------------------- 30 day period ending March 31, 2002 5.48% B-70 MONEY MARKET FUND (INSTITUTIONAL CLASS) 1 Year Since Inception (April 1, 2001 - (July 1, 1999 - March 31, 2002) March 31, 2002) -------------------------------------------------------------------------------- Return Before Taxes 3.08% 14.25% CURRENT EFFECTIVE PERIOD YIELD YIELD -------------------------------------------------------------------------------- 7 day period ending March 31, 2002 1.66% 1.67% PERFORMANCE COMPARISONS Performance information for the Funds may be compared in advertisements, sales literature, and reports to shareholders to the performance information reported by other investments and to various indices and averages. Such comparisons may be made with, but are not limited to (1) the S&P 500, (2) the Dow Jones Industrial Average ("DJIA"), (3) Lipper Analytical Services, Inc. Mutual Fund Performance Analysis Reports and the Lipper General Equity Funds Average, (4) Money Magazine Fund Watch, (5) Business Week's Mutual Fund Scoreboard, (6) SEI Funds Evaluation Services Equity Fund Report, (7) CDA Mutual Funds Performance Review and CDA Growth Mutual Fund Performance Index, (8) Value Line Composite Average (geometric), (9) Wilshire Associates indices, (10) Frank Russell Co. Inc. indices, (11) the Consumer Price Index, published by the U.S. Bureau of Labor Statistics (measurement of inflation), (12) Morningstar, Inc., (13) the Morgan Stanley Capital International ("MSCI") global market indices, including the EAFE(R) (Europe, Australasia, Far East) Index, the EAFE+Canada Index and the International Perspective Index and Morgan Stanley REIT Index, (14) Kinder, Lydenberg, Domini & Co., Inc's Broad Market Social Index, (15) Salomon Smith Barney Inflation-Linked Bond Index, (16) Lehman Brothers Aggregate Bond Index, (17) i MoneyNet Fund Report Average - All Taxable, and (18) NAREIT Equity REIT Index. We may also discuss ratings or rankings received from these entities, accompanied in some cases by an explanation of those ratings or rankings, when applicable. In addition, advertisements may discuss the performance of the indices listed above. The performance of each of the Funds also may be compared to other indices or averages that measure performance of a pertinent group of securities. Shareholders should keep in mind that the composition of the investments in the reported averages will not be identical to that of the Fund and that certain formula calculations (e.g., yield) may differ from index to index. In addition, there can be no assurance that any of the Funds will continue its performance as compared to such indices. We may also advertise ratings or rankings the Funds receive from various rating services and organizations, including but not limited to any organization listed above. B-71 ILLUSTRATING COMPOUNDING We may illustrate in advertisements, sales literature and reports to shareholders the effects of compounding of earnings on an investment in a Fund. We may do this using a hypothetical investment earning a specified rate of return. To illustrate the effects of compounding, we would show how the total return from an investment of the same dollar amount, earning the same or a different rate of return, varies depending on when the investment was made. NET ASSET VALUE Charts and graphs using a Fund's NAVs, adjusted NAVs, and benchmark indices may be used to exhibit performance. An adjusted NAV includes any distributions paid by the Fund (I.E., assuming reinvestment) and reflects all elements of its return. Unless otherwise indicated, a Fund's adjusted NAVs are not adjusted for sales charges, if any. Currently there are no sales charges. MOVING AVERAGES We may illustrate a Fund's performance using moving averages. A long-term moving average is the average of each week's adjusted closing NAV for a specified period. A short-term moving average is the average of each day's adjusted closing NAV for a specified period. "Moving Average Activity Indicators" combine adjusted closing NAVs from the last business day of each week with moving averages for a specified period to produce indicators showing when an NAV has crossed, stayed above, or stayed below its moving average. FUND STATISTICS Investors may be provided with a sampling of a Fund's statistics, representing aspects of such Fund's performance and portfolio composition. ACCOUNT PERFORMANCE We may also discuss in our sales materials factors that impacted the performance of the TIAA-CREF Institutional Mutual Funds as well as each Fund's specific holdings. ECONOMIC CONDITIONS We may also discuss in advertisements and sales literature general economic and/or market conditions that may impact investments in variable annuities, including the potential benefits of diversification during volatile markets and for those nearing or in retirement. B-72 VOTING RIGHTS We do not plan to hold annual shareholder meetings. However, we may hold special meetings to elect trustees, change fundamental policies, approve a management agreement, or for other purposes. We will mail proxy materials to shareholders for these meetings, and we encourage shareholders who cannot attend to vote by proxy. The number of votes you have on any matter submitted to shareholders depends on the dollar value of your investment in the Funds. LEGAL MATTERS All matters of applicable state law pertaining to the Funds have been passed upon by Charles H. Stamm, Executive Vice President and General Counsel of the TIAA-CREF Institutional Mutual Funds (and TIAA and CREF). Legal matters relating to the federal securities laws have been passed upon by Sutherland Asbill & Brennan LLP of Washington, D.C. EXPERTS The financial statements incorporated by reference in this Statement of Additional Information have been audited by Ernst & Young LLP, independent auditors, as stated in their report appearing therein and have been so included in reliance upon the report of such firm given upon its authority as experts in accounting and auditing. CONSIDERATIONS CONCERNING THE FUNDS TIAA-CREF Institutional Mutual Funds is part of the TIAA-CREF family of companies. TIAA, founded in 1918, is a stock life insurance company. Its companion organization, CREF, founded in 1952, is a non-profit corporation registered with the SEC as an investment company. Together, through the issuance of fixed and variable annuity contracts, TIAA and CREF form the principal retirement system for the nation's education and research communities and one of the largest retirement systems in the U.S. based on assets under management. CLASSES OF MUTUAL FUNDS There are generally three classes of fund shares: Retirement Class, Institutional Class, and Retail Class, although each class may not be offered in every Fund. Each class is designed for use by different groups or individuals for different purposes. In some cases, an individual investor with more than one investment goal may use a Retail Class Fund for one purpose and the Retirement Class of the same Fund for another. Portfolio management is the same among all classes within a Fund. However, certain services with varying expense charges may differ among classes. The result is that net investment performance will vary from class to class to the extent of those different expense charges. For example, the Institutional Class shares charge lower expenses than other classes because the Institutional Class shares do not bear the transfer agency and shareholder servicing expenses that other classes incur. In addition, Institutional Class shares are B-73 generally offered through intermediaries, who may charge additional expenses directly to the individuals who invest through these intermediaries. Prospective investors considering an investment in one or more Funds should consider the differences between the share classes available to them and alternative investments. If more than one share class is available to you, you should consider the differences between the available classes as explained in this statement of additional information and in the prospectuses for the respective classes. Retirement Class shares of certain Funds may be offered in addition to TIAA's and CREF's fixed and variable annuity accounts under a retirement plan. Please contact your retirement plan administrator, other fiduciary or Services to learn which of these Funds are offered under your plan, or for more information. Tax treatment is another factor that may differ for certain investors among the three classes. Because Funds in the Retirement Class are offered through tax-deferred retirement plans, IRAs and Keogh plans, these Funds have the same basic tax deferral advantages as variable annuities offered through such a plan or account. Similarly, Funds in the Retail or Institutional Classes that are offered under an IRA, custodial account, 529 college savings plan, or other tax-deferred product have the tax deferral advantages for which the investor qualifies by virtue of the "wrapper" or type of investment product or account through which the Fund is offered. On the other hand, after-tax investors in Funds in the Retail and Institutional Fund Classes are currently subject to taxes on capital gains and dividend distributions, depending on their particular circumstances. Please see "TAXES" in the prospectus and "TAX STATUS" in this Statement of Additional Information for additional disclosure about the tax consequences of your investment or consult your tax advisor for additional information. EQUITY INVESTMENTS Equity investments can serve a valuable purpose, particularly for retirement plan participants and other investors with long time horizons, although they generally present more risk and volatility than fixed-income investments and money market instruments. Generally, returns of broad domestic stock market indices have outperformed other asset classes, such as fixed-income investments and money market instruments. For example, data prepared by Ibbotson, Inc. indicate that from 1926 to the end of 2001, average annual returns were: 10.71% for the S&P 500, 5.77% for Long-term Corporate Bonds, 5.30% for Long-Term Government Bonds, and 3.81% for U.S. 30-Day T-Bills.* ---------- * These returns are for illustrative purposes only and do not reflect TIAA-CREF performance or the returns that various kinds of investments may earn in the future. Stocks represent shares of ownership in a corporation and bonds are debt obligations. The value of both will fluctuate with market conditions. Treasury bills and government bonds are insured as to timely payment of principal and interest by the U.S. Government, unlike stocks and corporate bonds. T-bills are short-term money market instruments. Past performance does not guarantee future returns. Source: Stocks, Bonds, Bills and Inflation(R) 2000 Yearbook, (C) 2000 Ibbotsen Associates, Inc. Based on copyrighted works by Ibbotsen and Sinquefield. All rights reserved. Used with permission. B-74 TIAA-CREF Institutional Mutual Funds' equity options enable investors to fine-tune their portfolios to suit specific investment objectives, risk-tolerance levels and preferences. The Funds encompass a range of investment methods, markets and types of securities. Some Funds are broadly diversified; others focus on a particular investment method, type of stock, or part of the world. EQUITY INVESTMENT STYLES: - SMALL-, MID- AND LARGE-CAP FUNDS -- Cap (Capitalization) is the total market value of a company's outstanding stock, I.E., the number of outstanding shares multiplied by the current share price. In general, "small-cap" stocks issued by smaller companies often are associated with new enterprises and emerging markets. "Large-cap" companies tend to be larger, more established firms. Large-cap stock Funds tend to be less volatile than small- or medium cap Funds, although each type of Equity Fund can carry considerable risk. The specific capitalization levels of securities held by the TIAA-CREF Institutional Mutual Funds small-, mid-, and large-cap Funds generally are defined according to their respective benchmarks. - GROWTH FUNDS invest in stocks that are issued by companies that typically have exhibited faster-than-average gains in earnings in recent years and are expected to continue to show high levels of profit growth. Because growth stocks often are viewed as having higher price/earnings ratios than other stocks, growth funds tend to be higher risk investments. Growth stocks might be appropriate for investors who can tolerate greater risk and fluctuation in the value of their investment in exchange for the potential for higher returns over time. - GROWTH AND INCOME FUNDS invest in the securities of companies that appear to offer potential for capital appreciation, but that typically also have a record of consistent dividend payments. - VALUE FUNDS invest in stocks that are considered to be trading at less than their potential value based on factors such as price-to-book and price-to-earnings ratios. A stock's price-to-book ratio--which relates a stock's current price to the book value of the company--is a tool analysts use to determine whether a stock is undervalued or overvalued. A stock's price-to-earnings ratio--its current price divided by its earnings per share--provides a measure of the price a stockholder is paying for a company's earning power. Historically, value stocks have comparatively low price-to-earnings and price-to-book ratios, and forecasted lower growth rates than growth stocks. Value stocks may be appropriate for investors who believe stocks with these characteristics may offer superior long-term opportunity for capital appreciation or for regular dividend income. - BLEND FUNDS include both value and growth stocks. These Funds are appropriate for people who want a more diversified stock portfolio than would be obtained from value or growth funds individually, or who want a stock portfolio to focus on other factors, such as capitalization or geography. B-75 - INTERNATIONAL FUNDS invest in stocks traded on foreign markets. GLOBAL FUNDS invest in stocks from around the world, including the U.S. Overseas investing may be appropriate for investors who believe foreign economies and markets offer investment opportunities or who want to add diversification to a domestic equities portfolio. During the past twenty years, adding international investments to a domestic portfolio has typically reduced the overall volatility of the portfolio. During some periods international investments perform better than domestic investments; in other periods the reverse has occurred. EQUITY INVESTMENT STRATEGIES: Equity portfolios of the TIAA-CREF Institutional Mutual Funds use the following investment strategies: o ACTIVE INVESTING employs the skills of expert researchers and analysts to identify individual stocks based on their growth potential and relative value in the market. o INDEXED investing involves purchasing stocks that reflect the investment characteristics of the relevant Fund's benchmark index. o QUANTITATIVE investing involves use of a proprietary mathematical model to evaluate and score a broad universe of stocks in which the Fund invests. o THE DUAL INVESTMENT MANAGEMENT STRATEGY(SM) is an innovative, low-cost investment approach developed by TIAA-CREF that integrates active and quantitative techniques to seek higher incremental returns than a Fund's benchmark index, while attempting to maintain a risk profile similar to the index. FIXED INCOME INVESTMENTS BOND FUNDS may be appropriate for investors who want to diversify their investment holdings beyond equity securities to create a portfolio with less volatility than that of a stock portfolio, for those who seek income in excess of the current level of corporate dividends and distributions, and for those who think that bonds and other fixed-income securities are a good investment for long-term goals. It is expected that the Bond Fund's total return will be relatively stable in comparison with equity returns when interest rates are stable. Bond funds are expected to experience variability when interest rates rise or fall. INFLATION-LINKED BOND FUNDS may be appropriate for investors who want their investments to keep pace with inflation by a relatively predictable margin. These investments can serve as a useful tool for diversifying assets, since the performance of the Fund's underlying investments may not directly correlate with movements in equity securities and conventional bonds. The threat of inflation is of particular concern to retirees who may have limited sources of income, leaving them particularly vulnerable if the cost of living rises sharply. B-76 MONEY MARKET FUNDS may be appropriate for investors who are risk averse or who have short investment time horizons. It is also appropriate for those who seek to keep up with inflation but are not looking for a higher real rate of return (I.E., returns greater than inflation). The Money Market Fund may help diversify a portfolio holding stock and bond funds. TIAA-CREF'S INVESTMENT EXPERTISE The TIAA-CREF Institutional Mutual Funds are managed by the same professionals responsible for the TIAA-CREF group of companies' variable annuity accounts. TIAA-CREF has been investing in equities since CREF was formed in 1952. The TIAA-CREF group of companies' variable annuity equity accounts had a total of over $123 billion in assets under management as of the end of 2001. TIAA-CREF Mutual Funds equity portfolios had over $2.5 billion in assets under management as of the end of 2001. TIAA-CREF was one of the first financial service organizations to invest defined contribution retirement plan assets in foreign securities. TIAA-CREF has been investing in fixed-income securities since TIAA was founded in 1918. TIAA began investing in real estate in 1947. The TIAA-CREF group of companies' variable annuity fixed-income and money market accounts had a total of over $13 billion in assets under management as of the end of 2001, and the TIAA General Account, which supports the TIAA Traditional (fixed) Annuity had over $87 billion in fixed-income and money market investments as of the end of 2001. The TIAA Real Estate variable annuity account had over $3.3 billion in assets under management, and real estate investments in the TIAA General Account totaled over $28 billion as of the end of 2001. Given the broad scope of the TIAA-CREF Group of Companies' equity, fixed-income and real estate investments, we have extensive investment experience with all of these types of asset classes. All of the TIAA-CREF Group of Companies' variable annuity accounts and mutual funds are managed in-house, which enables us to control costs and maintain a consistent approach over time. Expense levels for the TIAA-CREF Institutional Mutual Funds and the TIAA-CREF Group of Companies' variable annuity investments are among the lowest in the insurance and mutual fund industries, based on Standard and Poor's Insurance Rating Analysis, 2002, and quarterly reports from Lipper Analytical Services, Inc., Lipper Directors' Analytical Data, 2002. DECIDING WHICH FUNDS TO USE TIAA-CREF is able to help investors understand the different Funds and investment methods employed by the Funds and assist investors to integrate these Funds into a diversified portfolio that corresponds with the investor's goals, risk-tolerance and overall financial situation. We also offer interactive tools to help people select products and investments through our Web Center and phone centers. When deciding how to invest in mutual funds, it is important for investors to determine their investment goals so they can choose the mutual fund(s) whose objective closely matches their goals. They should also determine their time horizon (I.E., the period of time they plan to keep money invested in the fund). Time horizon affects how much risk an investor may B-77 be willing to take. Risk tolerance in turn affects asset allocation decisions. For example, an aggressive investor who is willing to accept a high level of risk in return for potentially greater returns over the long term probably would invest more heavily in equity funds. A less aggressive investor seeking to preserve the current value of an investment and avoid losses of principal might invest more heavily in non-equity funds. The Funds (which, depending on the terms of your retirement plan, may be used in combination with fixed and variable annuities) are designed to provide additional investment options for investors who want to diversify their accumulations, or who want to focus on certain markets or management styles. Most experts recommend diversification as a good strategy for investing, both because a diversified portfolio can help offset the volatility of specific markets and because it may permit the investor to benefit from the potential for growth in several different types of investments. (Diversification, however, does not guarantee positive investment returns or a better result.) Studies of past performance suggest that the diversification (that is, the spreading) of assets among several broad asset classes has a greater impact overall on long-term returns than the choice of specific funds or accounts within those asset classes. Statistics on fixed-income securities compiled by Ibbotson Associates, Inc. confirm that, historically, fixed-income securities have experienced less volatility than common stocks and greater returns than money market instruments. However, these relationships may vary based on market conditions, time horizons, or other factors. Fluctuations in interest rates can have a significant effect on the Bond and Inflation-Linked Bond Funds' performance. Furthermore, although past performance is no guarantee of future results, equity securities have outperformed fixed-income securities over the long term. With retirement investments, many experts recommend that investors take a long-term view. The Funds represent a variety of equity, fixed-income, money market and asset allocation portfolios. Within the equity category, the Funds provide varying levels of exposure to domestic, foreign, growth-oriented, value-oriented, market capitalization-specific, and industry-specific securities. In general, securities of foreign issuers and securities denominated in foreign currencies are more risky than securities of U.S. issuers. Smaller market capitalization securities are more risky than larger market capitalization securities. Funds that concentrate investments in one or just a few industries are more risky than Funds that diversify their investments across many industries. Within the fixed-income category, securities with longer maturities are generally more risky than those with shorter maturities, and securities with lower credit ratings are generally more risky than those with higher ratings. Money market securities are generally the safest asset class in which the Funds invest. The asset allocation Funds vary their exposure to equities, fixed-income and money market securities. As a result, the risk profile of these Funds depends on the amount invested in each asset class and the types of securities within each class held by the Fund. Nonetheless, we cannot guarantee that the general risk characteristics described here will persist through all market cycles and you can lose money by investing in any of the Funds. The list below groups the Funds within asset classes. The asset classes are arranged in order of relative risk, with the Money Market asset class entailing the least amount of risk and the Equity asset class entailing the most amount of risk. The relative risk levels of the Funds are based on each Fund's benchmark index, as measured using the standard deviation of each Fund's benchmark index. The standard deviation is calculated from the historical average annual returns of each Fund's benchmark index, over the periods, as follows: for Funds in the Equity asset class, from 1926 to 2001; for Funds in the Real Estate asset class, from 1992 to 2001; for Funds in the Fixed-Income and Money Market asset classes (excluding Inflation-Linked Bonds), from 1989 to 2001; and for Inflation-Linked Bonds, from 1997 to 2001. Generally, when we believe the risk levels within an asset class are not easily distinguishable, the Funds are listed in each class in alphabetical order. We may use this information in advertisements, sales literature, and reports to shareholders when comparing and contrasting the Funds' risk levels to those reported by other fund groups and to various indices and averages. MONEY MARKET ASSET CLASS ------------------------ Money Market Fund FIXED INCOME ASSET CLASS ------------------------ Bond Fund Inflation-Linked Bond Fund REAL ESTATE ASSET CLASS ----------------------- Real Estate Securities Fund EQUITY ASSET CLASS ----------------------------- Equity Index Fund Growth & Income Fund Growth Equity Fund International Equity Fund International Equity Index Fund Large-Cap Growth Index Fund Large-Cap Value Fund Large-Cap Value Index Fund Mid-Cap Blend Index Fund Mid-Cap Growth Fund Mid-Cap Growth Index Fund Mid-Cap Value Fund Mid-Cap Value Index Fund S&P 500 Index Fund Small-Cap Blend Index Fund Small-Cap Equity Fund Small-Cap Growth Index Fund Small-Cap Value Index Fund Social Choice Equity Fund CONSIDERATIONS CONCERNING FUNDS IN THE RETIREMENT CLASS CONSIDERATIONS FOR EMPLOYERS: Retirement Plans offered by TIAA-CREF are available at over 13,000 education, research, healthcare, cultural, and other nonprofit institutions across the country. Over the past several years, the TIAA-CREF group of companies has launched a number of new investment options that employers should consider adding to their retirement plans. In considering these options, employers should keep in mind that the overwhelming majority of investors and employers view TIAA-CREF very favorably. Ninety-six percent of the investors who responded to a survey conducted in October 2000 by an independent organization expressed overall satisfaction with TIAA-CREF and said that they would recommend TIAA-CREF to a colleague. Ninety-five percent of these investors said that given the choice between TIAA-CREF and other companies, they would choose TIAA-CREF again (61% would definitely choose TIAA-CREF and 34% would probably do so.) Employer satisfaction is evidenced by the fact that, based on the best available data, a majority of the employers with TIAA-CREF retirement plans had not found it necessary to add other funding vehicles to their plans as of January 1, 1999. B-78 The new demands placed on administrators by new investment options make the support and services received by administrators from the company funding their plans essential. Along with the new options, TIAA-CREF offers employers the pension expertise and high level of services they have come to rely on, and to find new ways to help plan administrators do their jobs in an increasingly complex environment. Services currently provides the following: (1) counseling on retirement plans and planning including recommendations regarding allocation of assets (for administrators, investors and retirees) by professional counselors rather than by commissioned salespeople; (2) services for investors such as annual retirement planners, quarterly transaction reports, newsletters and other publications about retirement planning, pre-retirement seminars, individual counseling, and 24-hour toll-free numbers for investor transactions and inquiries; and (3) services for plan administrators such as the Web Center section for administrators and assistance in plan design and operation, regional offices throughout the country, publications, staff meetings, videos, tax-deferred annuity software to help administrators calculate the maximum amount of salary an investor may tax-defer, and nondiscrimination software to help administrators evaluate their plans. CONSIDERATIONS FOR RETIREMENT PLAN PARTICIPANTS: The TIAA-CREF Institutional Mutual Funds and TIAA fixed and CREF variable annuity accounts provide a broad range of choices to assist in building and receiving retirement income. During the retirement plan accumulation phase, the spectrum of choices enables retirement plan participants to balance the relative safety of a fixed annuity with investment options that range in risk level from money market securities to the higher level of growth stocks. During the payout phase, retirement plan participants that hold their retirement proceeds in a TIAA fixed annuity or CREF account can take advantage of over a dozen income options available through fixed and variable annuity contracts, include lifetime annuity income. Those participants with retirement plan holdings in mutual funds may take systematic and lump-sum withdrawals. Depending on how an institution chooses to structure its retirement plan, retirement plan participants may now have a wide range of choices for allocating contributions that encompasses many of the Funds described in the Funds' Prospectus, as well as the fixed and variable annuity accounts that have been traditionally offered by TIAA and CREF under retirement plans. Generally, all of the major asset classes appropriate for retirement can be present through the Funds or variable annuity accounts. The TIAA Traditional Annuity, which offers guarantees based on TIAA's claims paying ability, provides an additional method for building retirement income. MUTUAL FUNDS IN RETIREMENT PLANS: Outside of tax-deferred retirement plans, mutual funds and variable annuities differ markedly in how they are structured. However, when offered under a tax-deferred retirement plan, tax-deferred annuity or IRA, they serve the same basic purpose--they pool investors' assets and invest the money in various portfolios. Neither a mutual fund nor a variable annuity generally guarantees principal; returns fluctuate with market performance. During the investment phase, B-79 both mutual funds and variable annuities can receive pre-tax contributions and accumulate earnings on a tax-deferred basis. At retirement, amounts paid out from mutual funds and variable annuities may be then subject to federal and state income taxes, depending on the tax status of the recipient. Although mutual funds do not offer lifetime annuity payments, retirement plan participants can use withdrawals from mutual funds to purchase fixed or variable annuities without incurring taxes on the transaction. (Tax treatment on annuity payments, however, depends on the tax status of the individual receiving such payments.) For tax advice on your particular circumstances, please consult your tax advisor. RETIREMENT INCOME OPTIONS: TIAA-CREF can help retirement plan participants use their mutual fund and annuity accumulations to create income plans that suit their goals, lifestyle, and overall financial needs. Over the years, TIAA-CREF has helped millions of people plan for secure and fulfilling retirements. Currently, over 2 million people are building retirement income through TIAA-CREF Retirement and Group Retirement Annuities, and an additional 200,000 people are currently receiving lifetime annuity income from TIAA-CREF. ADDITIONAL CONSIDERATIONS Investors considering purchasing Retail Class shares who also can purchase a Teachers Personal Annuity ("PA") or Teachers Personal Annuity Select ("PA Select") should consider the differences between the Retail Class of Fund shares and a PA or PA Select variable annuity contract. With a PA or PA Select contract an investor acquires an annuity contract issued by TIAA or TIAA-CREF Life Insurance Company. These contracts have different fees and charges--and different provisions--than do the Funds. (With funds included in retirement plans, however, some of these differences may not apply.) The tax treatment of an investment in Retail Class shares of a Fund is significantly different from that of an investment in a PA or PA Select contract. Generally speaking, in contrast with the tax treatment of Retail Class shares held by individuals described here and in the prospectus, owners of PA or PA Select contracts do not incur any current tax liability during accumulation in connection with either realized or unrealized gains invested in the contract, and funds supporting such contracts do not generate dividends. In addition, cash value in a PA or PA Select contract may generally be transferred among and between available investment options without any current tax consequences. Investments in PA or PA Select contracts, however, have certain disadvantages in comparison with Retail Class shares of the Funds. These include the fact that a withdrawal of cash value from a contract before the owner's age of 59 1/2 may generally be subject to penalty taxes and other restrictions. Prospective investors should be aware that the TIAA Real Estate Account is very different from the Real Estate Securities Fund. In addition to the differences between Retirement Class and Retail Class shares of the Funds on the one hand and variable contracts on the other (outlined above), the investment objective, investment strategies and investment restrictions are B-80 significantly different between the TIAA Real Estate Account and the Real Estate Securities Fund. The most significant difference is that the TIAA Real Estate Account invests substantial amounts directly in real estate whereas the Real Estate Securities Fund invests only in securities of companies in the real estate industry. Direct investments in real estate are often more difficult to sell (sometimes substantially more difficult) than securities of real estate companies. In addition, while the Real Estate Securities Fund may only invest up to 10% of its total assets in securities of foreign issuers, the TIAA Real Estate Account may invest up to 25% of its total assets in real estate and other investments in foreign countries. As a separate account of a life insurance company, the TIAA Real Estate Account is subject to sections of the Code (and related regulations and rulings) applicable to life insurance companies whereas the Real Estate Securities Fund is subject to the Code sections (and related regulations and rulings) applicable to mutual funds. These are only some of the differences between the TIAA Real Estate Account and the Real Estate Securities Fund. Prospective investors should read the prospectuses for the TIAA Real Estate Account and the Real Estate Securities Fund carefully before deciding where to invest. FINANCIAL STATEMENTS The audited financial statements of the existing TIAA-CREF Institutional Mutual Funds are incorporated herein by reference to the Funds' Annual Report for the fiscal year ended September 30, 2001, which has been filed with the SEC and provided to all shareholders. In addition, the unaudited financial statements of the existing TIAA-CREF Institutional Mutual Funds are incorporated herein by reference to the Funds' Semi-Annual Report for the six months ended March 31, 2002 which has been filed with the SEC and provided to all shareholders. We will furnish you, without charge, another copy of the Annual Report and Semi-Annual Report on request. The audited financial statements for the Large-Cap Value, Mid-Cap Value, Mid-Cap Growth, Small-Cap Equity, International Equity Index, Large-Cap Value Index, Large-Cap Growth Index, Mid-Cap Value Index, Mid-Cap Growth Index, Mid-Cap Blend Index, Small-Cap Value Index, Small-Cap Growth Index, Small-Cap Blend Index, S&P 500 Index, Real Estate Securities and Inflation-Linked Bond Funds follow. B-81 Statement of Investments -INSTITUTIONAL LARGE-CAP VALUE FUND- September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--97.89% AEROSPACE AND DEFENSE--1.32% 900 Boeing Co ....................................... $ 32,022 400 General Dynamics Corp ........................... 33,208 1,200 * General Motors Corp ............................. 11,328 1,100 Lockheed Martin Corp ............................ 72,303 400 Northrop Grumman Corp ........................... 50,400 1,700 Raytheon Co ..................................... 60,146 300 Rockwell Collins, Inc ........................... 6,075 ----------- TOTAL AEROSPACE AND DEFENSE 265,482 ----------- BASIC INDUSTRIES--7.22% 3,400 Alcoa, Inc ...................................... 74,766 16,600 b* Bethlehem Steel Corp ............................ 1,909 2,100 Du Pont (E.I.) de Nemours & Co .................. 84,168 500 Kimberly-Clark Corp ............................. 29,580 15,900 Monsanto Co ..................................... 259,170 5,400 Newmont Mining Corp ............................. 158,436 6,600 Rohm & Haas Co .................................. 226,050 11,700 Weyerhaeuser Co ................................. 614,952 ----------- TOTAL BASIC INDUSTRIES 1,449,031 ----------- CONSUMER CYCLICAL--10.90% 6,500 * AOL Time Warner, Inc ............................ 83,785 15,900 Autoliv, Inc .................................... 359,181 100 * Cablevision Systems Corp (Class A) .............. 1,098 31,300 * Charter Communications, Inc (Class A) ........... 95,465 4,100 * Clear Channel Communications, Inc ............... 148,625 600 Eastman Kodak Co ................................ 17,016 4,600 General Motors Corp ............................. 202,768 300 Knight Ridder, Inc .............................. 18,957 100 Leggett & Platt, Inc ............................ 2,114 36,400 * Liberty Media Corp (Class A) .................... 302,120 2,300 May Department Stores Co ........................ 62,077 25,200 McDonald's Corp ................................. 517,356 200 McGraw-Hill Cos, Inc ............................ 12,596 100 Nike, Inc (Class B) ............................. 4,173 13,400 * Primedia, Inc ................................... 19,296 3,200 Sears Roebuck & Co .............................. 144,640 4,400 * Viacom, Inc (Class B) ........................... 186,912 100 Wendy's International, Inc ...................... 3,226 200 * Yum! Brands, Inc ................................ 5,866 ----------- TOTAL CONSUMER CYCLICAL 2,187,271 ----------- CONSUMER NON-CYCLICAL--7.69% 4,300 Bunge Ltd ....................................... 89,182 500 Circuit City Stores, Inc (Circuit City Group) ... 8,355 5,400 Coca-Cola Co .................................... 268,110 200 * Costco Wholesale Corp ........................... 6,790 1,400 CVS Corp ........................................ 41,594 100 * Dean Foods Co ................................... 3,896 2,900 General Mills, Inc .............................. 122,525 14,700 Philip Morris Cos, Inc .......................... 680,610 3,500 Procter & Gamble Co ............................. 322,000 ----------- TOTAL CONSUMER NON-CYCLICAL 1,543,062 ----------- ENERGY--10.28% 100 Amerada Hess Corp ............................... 7,012 300 Ashland, Inc .................................... 8,805 10,600 Baker Hughes, Inc ............................... 300,192 8,700 Burlington Resources, Inc ....................... 328,860 3,100 ChevronTexaco Corp .............................. 226,889 27,900 Exxon Mobil Corp ................................ 950,832 100 Halliburton Co .................................. 1,413 1,400 Marathon Oil Corp ............................... 34,482 4,800 Noble Energy, Inc ............................... 155,040 700 Occidental Petroleum Corp ....................... 20,384 300 * Pennzoil-Quaker State Co ........................ 6,549 SHARES VALUE ------ ----- 300 Sunoco, Inc ..................................... $ 9,987 400 Valero Energy Corp .............................. 12,336 ----------- TOTAL ENERGY 2,062,781 ----------- FINANCIAL SERVICES--31.77% 100 21st Century Insurance Group .................... 1,191 200 A.G. Edwards, Inc ............................... 7,310 1,100 Aflac, Inc ...................................... 33,110 200 Allmerica Financial Corp ........................ 4,218 3,800 AMB Property Corp ............................... 110,770 300 Ambac Financial Group, Inc ...................... 17,178 2,100 American Express Co ............................. 71,799 100 American Financial Group, Inc ................... 2,411 1,500 American International Group, Inc ............... 87,900 600 AmSouth Bancorp ................................. 13,026 100 Annaly Mortgage Management, Inc ................. 1,972 1,100 AON Corp ........................................ 23,320 400 Astoria Financial Corp .......................... 10,880 9,500 Bank Of America Corp ............................ 648,850 100 Bank Of Hawaii Corp ............................. 2,856 2,100 Bank Of New York Co, Inc ........................ 68,397 2,900 Bank One Corp ................................... 114,028 200 Banknorth Group, Inc ............................ 4,930 1,700 BB&T Corp ....................................... 63,529 300 Bear Stearns Cos, Inc ........................... 18,333 100 Berkley (W.R.) Corp ............................. 3,435 4,300 Charter One Financial, Inc ...................... 134,031 700 Chubb Corp ...................................... 43,197 600 Cincinnati Financial Corp ....................... 22,110 13,100 Citigroup, Inc .................................. 385,140 100 * CNA Financial Corp .............................. 2,755 3,600 Comerica, Inc ................................... 192,600 100 Compass Bancshares, Inc ......................... 3,187 400 Countrywide Credit Industries, Inc .............. 20,840 100 Cullen/Frost Bankers, Inc ....................... 3,574 100 Downey Financial Corp ........................... 3,597 4,500 Duke Realty Corp ................................ 117,000 600 * E*trade Group, Inc .............................. 2,904 5,700 Equity Office Properties Trust .................. 157,434 1,200 Equity Residential .............................. 32,124 100 Erie Indemnity Co (Class A) ..................... 4,410 400 Fidelity National Financial, Inc ................ 12,036 300 First American Corp ............................. 6,387 400 First Tennessee National Corp ................... 14,700 200 First Virginia Banks, Inc ....................... 7,588 13,500 FleetBoston Financial Corp ...................... 312,795 600 Franklin Resources, Inc ......................... 20,346 2,600 Freddie Mac ..................................... 162,578 300 Fulton Financial Corp ........................... 5,562 300 Golden State Bancorp, Inc ....................... 9,798 600 Golden West Financial Corp ...................... 38,280 400 Greenpoint Financial Corp ....................... 18,388 1,100 Hartford Financial Services Group, Inc .......... 53,020 200 HCC Insurance Holdings, Inc ..................... 5,000 5,700 Hibernia Corp (Class A) ......................... 119,187 100 Hospitality Properties Trust .................... 3,398 600 * Host Marriott Corp .............................. 6,012 1,800 Household International, Inc .................... 62,406 300 Hudson City Bancorp, Inc ........................ 5,253 100 Hudson United Bancorp ........................... 2,796 700 Huntington Bancshares, Inc ...................... 13,545 100 Independence Community Bank Corp ................ 2,790 200 * IndyMac Bancorp, Inc ............................ 4,480 200 Jefferson-Pilot Corp ............................ 8,384 1,000 John Hancock Financial Services, Inc ............ 30,030 SEE NOTES TO FINANCIAL STATEMENTS B-82 Statement of Investments -INSTITUTIONAL LARGE-CAP VALUE FUND- September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 1,900 KeyCorp ......................................... $ 49,932 300 Kimco Realty Corp ............................... 9,480 100 * LaBranche & Co, Inc ............................. 2,208 100 Legg Mason, Inc ................................. 4,601 100 Leucadia National Corp .......................... 3,412 600 Lincoln National Corp ........................... 19,710 300 M & T Bank Corp ................................. 23,988 200 Marsh & McLennan Cos, Inc ....................... 9,310 900 Marshall & Ilsley Corp .......................... 27,090 17,700 Max Re Capital Ltd .............................. 206,736 600 MBIA, Inc ....................................... 27,552 1,000 Mellon Financial Corp ........................... 26,860 2,900 Mercantile Bankshares Corp ...................... 113,419 100 Mercury General Corp ............................ 4,357 1,200 MetLife, Inc .................................... 29,940 400 MGIC Investment Corp ............................ 22,092 2,800 Morgan Stanley .................................. 111,776 2,800 National City Corp .............................. 82,908 900 National Commerce Financial Corp ................ 23,103 300 New York Community Bancorp, Inc ................. 8,445 500 North Fork Bancorp, Inc ......................... 19,190 2,900 Northern Trust Corp ............................. 114,985 200 Old National Bancorp ............................ 5,080 500 Old Republic International Corp ................. 16,150 100 People's Bank ................................... 2,297 400 Phoenix Cos, Inc ................................ 6,232 400 PMI Group, Inc .................................. 12,688 1,300 PNC Financial Services Group, Inc ............... 58,240 300 Popular, Inc .................................... 10,209 1,400 * Principal Financial Group ....................... 39,704 300 Progressive Corp ................................ 16,278 600 * Providian Financial Corp ........................ 3,366 100 Public Storage, Inc ............................. 3,196 400 Radian Group, Inc ............................... 15,976 100 Regions Financial Corp .......................... 3,416 300 Roslyn Bancorp, Inc ............................. 5,640 6,600 Safeco Corp ..................................... 216,678 100 * Silicon Valley Bancshares ....................... 2,134 1,200 SouthTrust Corp ................................. 30,204 1,200 Sovereign Bancorp, Inc .......................... 16,680 800 St. Paul Cos, Inc ............................... 25,680 100 Stancorp Financial Group, Inc ................... 5,475 400 Starwood Hotels & Resorts Worldwide, Inc ........ 9,752 300 State Street Corp ............................... 12,204 800 Stilwell Financial, Inc ......................... 11,696 100 T Rowe Price Group, Inc ......................... 2,700 100 Torchmark Corp .................................. 3,628 100 Transatlantic Holdings, Inc ..................... 7,052 2,700 * Travelers Property Casualty Corp (Class B) ...... 39,015 200 Trizec Properties, Inc .......................... 2,376 19,000 U.S. Bancorp .................................... 388,740 4,400 Union Planters Corp ............................. 128,260 100 UnionBanCal Corp ................................ 4,474 10,000 UnumProvident Corp .............................. 228,300 300 Valley National Bancorp ......................... 8,235 9,300 Wachovia Corp ................................... 326,709 300 Washington Federal, Inc ......................... 6,900 200 Webster Financial Corp .......................... 7,008 100 Weingarten Realty Investors ..................... 3,799 7,400 Wells Fargo & Co ................................ 363,192 100 Whitney Holding Corp ............................ 3,285 200 Wilmington Trust Corp ........................... 5,920 300 Zions Bancorp ................................... 15,300 ----------- TOTAL FINANCIAL SERVICES 6,374,067 ----------- HEALTH CARE--4.87% 13,600 Aetna, Inc ...................................... $ 533,800 300 Becton Dickinson & Co ........................... 9,042 2,000 Bristol-Myers Squibb Co ......................... 52,220 400 McKesson Corp ................................... 12,536 2,500 Merck & Co, Inc ................................. 123,175 100 Mylan Laboratories, Inc ......................... 3,280 10,300 Schering-Plough Corp ............................ 243,801 ----------- TOTAL HEALTH CARE 977,854 ----------- OTHER--1.81% 19,400 * Cendant Corp .................................... 280,718 100 Fortune Brands, Inc ............................. 5,262 200 Loews Corp ...................................... 10,052 100 Textron, Inc .................................... 3,630 1,100 United Technologies Corp ........................ 63,800 ----------- TOTAL OTHER 363,462 ----------- PRODUCER DURABLES--2.38% 300 3M Co ........................................... 35,949 1,600 Caterpillar, Inc ................................ 65,024 4,300 Deere & Co ...................................... 206,357 100 Emerson Electric Co ............................. 4,558 200 Pitney Bowes, Inc ............................... 6,706 5,300 Waste Management, Inc ........................... 133,666 3,500 * Xerox Corp ...................................... 24,850 ----------- TOTAL PRODUCER DURABLES 477,110 ----------- TECHNOLOGY--5.33% 14,600 * Advanced Micro Devices, Inc ..................... 105,266 22,300 * Atmel Corp ...................................... 39,694 200 * Avaya, Inc ...................................... 410 2,300 * EMC Corp ........................................ 14,904 6,600 * Exar Corp ....................................... 87,054 8,300 Hewlett-Packard Co .............................. 112,050 3,700 International Business Machines Corp ............ 268,806 17,200 * Lucent Technologies, Inc ........................ 21,672 12,300 Motorola, Inc ................................... 141,573 100 * National Semiconductor Corp ..................... 1,319 5,900 * Network Associates, Inc ......................... 83,898 23,300 * Nortel Networks Corp (U.S.) ..................... 22,135 35,600 * ON Semiconductor Corp ........................... 58,462 26,800 * Solectron Corp .................................. 87,100 8,200 * Sun Microsystems, Inc ........................... 25,518 ----------- TOTAL TECHNOLOGY 1,069,861 ----------- TRANSPORTATION--0.80% 2,400 Canadian National Railway Co .................... 97,992 1,100 FedEx Corp ...................................... 48,950 900 Southwest Airlines Co ........................... 12,465 ----------- TOTAL TRANSPORTATION 159,407 ----------- UTILITIES--13.52% 50,200 A T & T Corp .................................... 638,544 24,500 * A T & T Wireless Services, Inc .................. 127,155 1,000 * AES Corp ........................................ 3,160 300 Allegheny Energy, Inc ........................... 4,731 400 Alliant Energy Corp ............................. 8,272 500 Alltel Corp ..................................... 23,480 200 Ameren Corp ..................................... 8,346 1,400 American Electric Power Co, Inc ................. 41,160 500 Aquila, Inc ..................................... 2,270 5,400 BellSouth Corp .................................. 124,470 1,100 * Calpine Corp .................................... 4,224 100 CenturyTel, Inc ................................. 2,641 300 Cinergy Corp .................................... 9,705 400 CMS Energy Corp ................................. 3,912 3,500 Consolidated Edison, Inc ........................ 138,775 SEE NOTES TO FINANCIAL STATEMENTS B-83 Statement of Investments -INSTITUTIONAL LARGE-CAP VALUE FUND- September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- UTILITIES--(CONTINUED) 600 Constellation Energy Group, Inc ................. $ 15,918 1,200 Dominion Resources, Inc ......................... 69,600 100 DPL, Inc ........................................ 1,701 200 DTE Energy Co ................................... 8,346 3,700 Duke Energy Corp ................................ 85,026 1,200 * Dynegy, Inc (Class A) ........................... 2,076 1,300 * Edison International ............................ 14,417 2,700 El Paso Corp .................................... 42,120 100 Energy East Corp ................................ 1,995 1,000 Entergy Corp .................................... 40,900 3,100 Equitable Resources, Inc ........................ 110,515 1,400 Exelon Corp ..................................... 61,404 1,100 FirstEnergy Corp ................................ 33,924 700 FPL Group, Inc .................................. 36,309 100 KeySpan Corp .................................... 3,373 16,000 * Level 3 Communications, Inc ..................... 72,160 1,400 * Mirant Corp ..................................... 4,438 300 National Fuel Gas Co ............................ 6,207 200 Nicor, Inc ...................................... 5,706 600 NiSource, Inc ................................... 11,196 200 NSTAR ........................................... 8,034 300 OGE Energy Corp ................................. 5,445 1,800 * P G & E Corp .................................... 23,076 100 Peoples Energy Corp ............................. 3,524 400 Pepco Holdings, Inc ............................. 8,200 300 Pinnacle West Capital Corp ...................... 9,390 600 PPL Corp ........................................ 18,906 600 Progress Energy, Inc ............................ 25,416 300 Public Service Enterprise Group, Inc ............ 9,825 300 Questar Corp .................................... 7,224 SHARES/ PRINCIPAL VALUE --------- ----- 2,800 * Qwest Communications International, Inc ......... $ 9,772 1,200 Reliant Energy, Inc ............................. 13,680 100 * Reliant Resources, Inc .......................... 410 12,200 SBC Communications, Inc ......................... 299,510 300 Sempra Energy ................................... 6,513 3,200 Southern Co ..................................... 86,880 3,600 Sprint Corp (FON Group) ......................... 36,036 300 TECO Energy, Inc ................................ 4,860 1,000 TXU Corp ........................................ 44,300 9,900 Verizon Communications, Inc ..................... 300,465 2,000 Williams Cos, Inc ............................... 5,600 1,800 Xcel Energy, Inc ................................ 16,704 ----------- TOTAL UTILITIES ................................. 2,711,946 ----------- TOTAL COMMON STOCK (COST $19,575,871) 19,641,334 ----------- SHORT TERM INVESTMENT--99.66% U.S. GOVERNMENT AND AGENCY--99.66% Federal Home Loan Bank (FHLB) $20,000,000 1.590%, 09/16/2002 ............................ 19,997,200 ----------- TOTAL SHORT TERM INVESTMENT (COST $19,997,200) 19,997,200 ----------- TOTAL PORTFOLIO--197.55% (COST $39,573,071) 39,638,534 OTHER ASSETS & LIABILITIES, NET--(97.55%) (19,573,612) ----------- NET ASSETS--100.00% $20,064,922 ----------- ---------- * Non-income producing b In bankruptcy SEE NOTES TO FINANCIAL STATEMENTS B-84 Statement of Investments -INSTITUTIONAL MID-CAP GROWTH FUND- September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--99.52% AEROSPACE AND DEFENSE--0.91% 2,600 * Integrated Defense Technology, Inc .............. $ 66,300 400 * L-3 Communications Holdings, Inc ................ 22,792 100 PerkinElmer, Inc ................................ 535 ----------- TOTAL AEROSPACE AND DEFENSE 89,627 ----------- BASIC INDUSTRIES--3.36% 400 * American Standard Cos, Inc ...................... 28,536 600 Avery Dennison Corp ............................. 36,000 200 Black & Decker Corp ............................. 8,774 400 Cabot Corp ...................................... 9,316 1,000 Consol Energy, Inc .............................. 13,550 1,100 Ecolab, Inc ..................................... 48,015 2,200 * Freeport-McMoRan Copper & Gold, Inc (Class A) ... 31,680 3,600 Newmont Mining Corp ............................. 105,624 200 OM Group, Inc ................................... 10,654 1,200 * Sealed Air Corp ................................. 20,568 200 Stanley Works ................................... 6,736 300 Valspar Corp .................................... 11,985 ----------- TOTAL BASIC INDUSTRIES 331,438 ----------- CONSUMER CYCLICAL--17.33% 200 * 99 Cents Only Stores ............................ 4,724 4,000 * Abercrombie & Fitch Co (Class A) ................ 95,200 100 * Advance Auto Parts .............................. 5,336 3,300 * Apollo Group, Inc (Class A) ..................... 140,910 1,000 Applebee's International, Inc ................... 21,060 1,100 Autoliv, Inc .................................... 24,849 5,900 * Bed Bath & Beyond, Inc .......................... 204,022 300 * Big Lots, Inc ................................... 5,625 100 Blockbuster, Inc (Class A) ...................... 2,332 4,000 * Brinker International, Inc ...................... 105,560 400 Callaway Golf Co ................................ 5,920 300 CBRL Group, Inc ................................. 7,006 500 * CEC Entertainment, Inc .......................... 18,280 100 * Columbia Sportswear Co .......................... 3,815 100 * Copart, Inc ..................................... 1,452 2,400 * Cox Radio, Inc (Class A) ........................ 61,464 200 Darden Restaurants, Inc ......................... 4,692 4,800 * Dollar Tree Stores, Inc ......................... 106,032 900 * Foot Locker, Inc ................................ 8,757 900 * Gentex Corp ..................................... 26,919 100 * Harrah's Entertainment, Inc ..................... 4,850 2,600 * International Game Technology ................... 171,340 500 International Speedway Corp (Class A) ........... 20,235 200 Leggett & Platt, Inc ............................ 4,228 2,100 * Lin TV Corp (Class A) ........................... 51,870 900 Marriott International, Inc (Class A) ........... 28,080 100 Maytag Corp ..................................... 2,731 300 * Michaels Stores, Inc ............................ 14,397 100 * MSC Industrial Direct Co (Class A) .............. 1,153 100 New York Times Co (Class A) ..................... 4,877 500 * O'Reilly Automotive, Inc ........................ 15,480 600 * Outback Steakhouse, Inc ......................... 16,596 100 Polaris Industries, Inc ......................... 7,420 500 R R Donnelley & Sons Co ......................... 12,455 100 Reader's Digest Association, Inc (Class A) ...... 1,649 600 Ross Stores, Inc ................................ 24,528 1,100 Ruby Tuesday, Inc ............................... 20,471 100 Scripps (E W ) Co (Class A) ..................... 7,220 7,400 * Starbucks Corp .................................. 152,144 400 * The Cheesecake Factory, Inc ..................... 11,068 900 Tiffany & Co .................................... 22,608 200 * Timberland Co (Class A) ......................... 7,410 4,400 * U S A Networks, Inc ............................. 94,204 SHARES VALUE ------ ----- 3,700 * Univision Communications, Inc (Class A) ......... $ 82,362 700 Wendy's International, Inc ...................... 22,582 100 Wiley (John) & Sons, Inc (Class A) .............. 2,250 400 * Williams-Sonoma, Inc ............................ 10,368 1,200 * Yum! Brands, Inc ................................ 35,196 200 * Zale Corp ....................................... 6,468 ----------- TOTAL CONSUMER CYCLICAL 1,710,195 ----------- CONSUMER NON-CYCLICAL--8.42% 800 * Amazon.Com, Inc ................................. 13,288 600 * Aramark Corp (Class B) .......................... 13,320 1,700 * Autozone, Inc ................................... 126,514 200 * Barnes & Noble, Inc ............................. 4,800 1,400 * Best Buy Co, Inc ................................ 33,824 1,000 * BJ's Wholesale Club, Inc ........................ 22,300 400 * Borders Group, Inc .............................. 7,476 500 * CDW Computer Centers, Inc ....................... 22,280 100 Church & Dwight Co, Inc ......................... 3,231 200 Clorox Co ....................................... 8,600 300 Coca-Cola Enterprises, Inc ...................... 6,330 100 Dial Corp ....................................... 2,030 1,900 * Energizer Holdings, Inc ......................... 58,178 400 Estee Lauder Cos (Class A) ...................... 12,608 700 Fastenal Co ..................................... 23,163 1,000 Herman Miller, Inc .............................. 16,220 200 Hershey Foods Corp .............................. 14,764 400 International Flavors & Fragrances, Inc ......... 12,436 2,700 Loews Corp (Carolina Group) ..................... 61,425 4,900 Mattel, Inc ..................................... 98,147 1,100 McCormick & Co, Inc (Non-Vote) .................. 24,739 4,300 Pepsi Bottling Group, Inc ....................... 112,445 100 * Petco Animal Supplies, Inc ...................... 2,095 600 * Petsmart, Inc ................................... 10,757 4,000 * Rite Aid Corp ................................... 10,600 5,000 * Staples, Inc .................................... 72,550 600 Tootsie Roll Industries, Inc .................... 19,086 300 * Weight Watchers International, Inc .............. 13,425 100 * Whole Foods Market, Inc ......................... 4,700 ----------- TOTAL CONSUMER NON-CYCLICAL 831,331 ----------- ENERGY--4.46% 200 Amerada Hess Corp ............................... 14,024 1,300 Baker Hughes, Inc ............................... 36,816 4,000 * BJ Services Co .................................. 111,080 300 Burlington Resources, Inc ....................... 11,340 800 Devon Energy Corp ............................... 38,728 900 Murphy Oil Corp ................................. 77,202 200 * Newfield Exploration Co ......................... 6,520 1,700 Noble Energy, Inc ............................... 54,910 700 Ocean Energy, Inc ............................... 13,790 2,000 * Weatherford International Ltd ................... 76,000 ----------- TOTAL ENERGY 440,410 ----------- FINANCIAL SERVICES--6.80% 1,400 Ambac Financial Group, Inc ...................... 80,164 400 * AmeriCredit Corp ................................ 5,404 2,300 * Blackrock, Inc .................................. 103,270 600 * Catellus Development Corp ....................... 11,700 300 * ChoicePoint, Inc ................................ 12,582 4,700 Federated Investors, Inc (Class B) .............. 136,770 4,300 Hibernia Corp (Class A) ......................... 89,913 100 * Investment Technology Group, Inc ................ 3,200 3,600 Investors Financial Services Corp ............... 106,261 100 Provident Financial Group, Inc .................. 2,782 600 * Providian Financial Corp ........................ 3,366 800 Rouse Co ........................................ 25,592 SEE NOTES TO FINANCIAL STATEMENTS B-85 Statement of Investments -INSTITUTIONAL MID-CAP GROWTH FUND- September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(Continued) 200 SEI Investments Co .............................. $ 5,956 100 St. Joe Co ...................................... 2,902 100 T Rowe Price Group, Inc ......................... 2,700 2,300 Union Planters Corp ............................. 67,045 200 * United Rentals, Inc ............................. 2,668 500 Waddell & Reed Financial, Inc (Class A) ......... 9,175 ----------- TOTAL FINANCIAL SERVICES ........................ 671,450 ----------- HEALTH CARE--25.93% 300 * AdvancePCS ...................................... 6,597 4,700 Aetna, Inc ...................................... 184,475 2,300 * Alcon, Inc ...................................... 77,280 200 Allergan, Inc ................................... 10,610 2,900 AmerisourceBergen Corp .......................... 208,655 2,900 * Anthem, Inc ..................................... 197,200 200 * Apogent Technologies, Inc ....................... 4,112 5,200 Applera Corp (Applied Biosystems Group) ......... 100,360 100 Beckman Coulter, Inc ............................ 4,055 3,300 Becton Dickinson & Co ........................... 99,462 200 * Biogen, Inc ..................................... 6,624 7,400 Biomet, Inc ..................................... 199,282 1,500 * Caremark Rx, Inc ................................ 25,470 200 * Cephalon, Inc ................................... 8,494 200 * Charles River Laboratories International, Inc ... 7,522 800 * Chiron Corp ..................................... 29,840 100 * Community Health Systems, Inc ................... 2,410 300 * Express Scripts, Inc (Class A) .................. 15,954 600 * First Health Group Corp ......................... 15,840 400 * Fisher Scientific International, Inc ............ 11,648 4,300 * Genzyme Corp (General Division) ................. 79,120 4,100 * Gilead Sciences, Inc ............................ 131,364 1,900 * Guidant Corp .................................... 68,400 300 * Health Management Associates, Inc (Class A) ..... 5,892 3,300 * IDEC Pharmaceuticals Corp ....................... 143,979 300 IMS Health, Inc ................................. 4,839 5,000 * King Pharmaceuticals, Inc ....................... 92,850 1,000 * Laboratory Corp Of America Holdings ............. 33,280 600 * Lincare Holdings, Inc ........................... 19,146 300 McKesson Corp ................................... 9,402 4,400 * Medimmune, Inc .................................. 105,600 200 * Millennium Pharmaceuticals, Inc ................. 2,342 500 * Millipore Corp .................................. 17,210 100 Mylan Laboratories, Inc ......................... 3,280 300 * Oxford Health Plans, Inc ........................ 12,786 100 Pall Corp ....................................... 1,741 500 * Quest Diagnostics, Inc .......................... 28,485 500 * Quintiles Transnational Corp .................... 4,900 200 * Renal Care Group, Inc ........................... 6,646 4,700 Serono S.A. ADR ................................. 61,335 400 * SICOR, Inc ...................................... 6,176 5,000 * St. Jude Medical, Inc ........................... 179,850 700 Stryker Corp .................................... 40,243 3,100 * Universal Health Services, Inc (Class B) ........ 150,598 700 * Waters Corp ..................................... 18,116 1,400 * Wellpoint Health Networks, Inc .................. 108,864 200 * Zimmer Holdings, Inc ............................ 7,360 ----------- TOTAL HEALTH CARE ............................... 2,559,694 ----------- OTHER--4.93% 2,600 Cintas Corp ..................................... 111,670 800 * DeVry, Inc ...................................... 15,104 400 * Dun & Bradstreet Corp ........................... 14,184 300 * GTECH Holdings Corp ............................. 7,206 3,300 H & R Block, Inc ................................ 169,092 400 Manpower, Inc ................................... 12,948 SHARES VALUE ------ ----- 2,700 Moody's Corp .................................... $ 131,598 1,500 * Robert Half International, Inc .................. 25,155 ----------- TOTAL OTHER ..................................... 486,957 ----------- PRODUCER DURABLES--1.56% 100 * AGCO Corp ....................................... 2,106 1,300 * Allied Waste Industries, Inc .................... 10,010 2,400 Danaher Corp .................................... 135,360 200 Pitney Bowes, Inc ............................... 6,706 ----------- TOTAL PRODUCER DURABLES ......................... 154,182 ----------- TECHNOLOGY--23.76% 5,500 Adobe Systems, Inc .............................. 114,235 2,660 * Affiliated Computer Services, Inc (Class A) ..... 123,823 2,300 * Agere Systems, Inc (Class B) .................... 3,059 8,100 * Altera Corp ..................................... 82,701 100 * American Power Conversion Corp .................. 1,164 100 * Amphenol Corp (Class A) ......................... 3,760 400 * Arrow Electronics, Inc .......................... 6,028 15,800 * BEA Systems, Inc ................................ 86,584 300 * Bisys Group, Inc ................................ 6,915 200 * BMC Software, Inc ............................... 2,944 9,500 * Brocade Communications Systems, Inc ............. 117,230 2,600 * Business Objects S.A. (Spon Adr) ................ 37,050 1,500 * Cadence Design Systems, Inc ..................... 20,370 700 * Ceridian Corp ................................... 10,759 800 * Citrix Systems, Inc ............................. 5,072 100 * Comverse Technology, Inc ........................ 781 1,300 * Convergys Corp .................................. 24,557 1,600 * Corning, Inc .................................... 3,216 600 * CSG Systems International, Inc .................. 7,188 2,900 * DST Systems, Inc ................................ 100,050 900 * Electronic Arts, Inc ............................ 56,547 2,800 * Emulex Corp ..................................... 48,020 4,900 Equifax, Inc .................................... 115,199 200 Fair, Isaac & Co, Inc ........................... 7,116 5,400 * Fairchild Semiconductor International, Inc (Class A) 55,080 200 * Fiserv, Inc ..................................... 6,736 100 Henry (Jack) & Associates, Inc .................. 1,618 3,300 * Integrated Circuit Systems, Inc ................. 56,133 200 * International Rectifier Corp .................... 3,770 4,800 * Internet Security Systems, Inc .................. 71,995 500 * Intersil Corp (Class A) ......................... 7,750 200 * Intuit, Inc ..................................... 9,454 300 * Iron Mountain, Inc .............................. 7,818 800 * Jabil Circuit, Inc .............................. 14,312 1,000 * JDS Uniphase Corp ............................... 2,560 1,000 * Juniper Networks, Inc ........................... 6,620 1,800 * KLA-Tencor Corp ................................. 56,970 200 * KPMG Consulting, Inc ............................ 2,004 6,100 * Lam Research Corp ............................... 65,575 2,600 * Lexmark International, Inc ...................... 124,722 800 * LSI Logic Corp .................................. 6,104 300 * Mettler-Toledo International, Inc ............... 9,000 7,300 * Micrel, Inc ..................................... 52,414 1,600 * Microchip Technology, Inc ....................... 27,120 900 Molex, Inc ...................................... 23,580 1,300 * National Semiconductor Corp ..................... 17,147 900 * Network Appliance, Inc .......................... 8,316 7,800 * Network Associates, Inc ......................... 110,916 1,000 * Novellus Systems, Inc ........................... 23,850 500 * Nvidia Corp ..................................... 5,285 8,800 * Peoplesoft, Inc ................................. 136,136 300 * Perot Systems Corp (Class A) .................... 3,687 600 * PMC-Sierra, Inc ................................. 3,504 400 * QLogic Corp ..................................... 13,488 SEE NOTES TO FINANCIAL STATEMENTS B-86 Statement of Investments -INSTITUTIONAL MID-CAP GROWTH FUND- September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(Continued) 200 Reynolds & Reynolds Co (Class A) ................ $ 5,250 400 * RF Micro Devices, Inc ........................... 2,596 1,900 * Sanmina-SCI Corp ................................ 6,310 300 * Semtech Corp .................................... 3,252 12,277 * Siebel Systems, Inc ............................. 100,917 3,200 * Solectron Corp .................................. 10,400 5,700 * Sungard Data Systems, Inc ....................... 130,929 3,490 * Symantec Corp ................................... 118,590 400 * Synopsys, Inc ................................... 17,908 600 * Tellabs, Inc .................................... 3,018 900 * Teradyne, Inc ................................... 11,070 500 Total System Services, Inc ...................... 7,890 100 * Utstarcom, Inc .................................. 1,441 400 * Veritas Software Corp ........................... 7,096 ----------- TOTAL TECHNOLOGY ................................ 2,344,699 ----------- TRANSPORTATION--0.54% 500 C.H. Robinson Worldwide, Inc .................... 13,522 300 Expeditors International Of Washington, Inc ..... 8,097 100 * JetBlue Airways Corp ............................ 4,336 900 * Sabre Holdings Corp ............................. 22,554 200 Skywest, Inc .................................... 2,910 100 * Swift Transportation Co, Inc .................... 1,838 ----------- TOTAL TRANSPORTATION ............................ 53,257 ----------- UTILITIES--1.52% 3,300 b* Adelphia Business Solutions, Inc ................ $ 165 1,700 * AES Corp ........................................ 5,372 500 * Calpine Corp .................................... 1,920 100 Kinder Morgan, Inc .............................. 4,153 17,300 * Level 3 Communications, Inc ..................... 78,023 1,700 * Mirant Corp ..................................... 5,389 800 * Nextel Communications, Inc (Class A) ............ 6,632 4,400 * Qwest Communications International, Inc ......... 15,356 7,500 * Sprint Corp (PCS Group) ......................... 25,125 200 * West Corp ....................................... 3,034 1,800 Williams Cos, Inc ............................... 5,040 ----------- TOTAL UTILITIES ................................. 150,209 ----------- TOTAL COMMON STOCK (COST $9,952,229) 9,823,449 ----------- TOTAL PORTFOLIO--99.52% (COST $9,952,229) 9,823,449 OTHER ASSETS & LIABILITIES, NET--0.48% 47,123 ----------- NET ASSETS--100.00% $ 9,870,572 =========== ---------- * Non-income producing b In bankruptcy SEE NOTES TO FINANCIAL STATEMENTS B-87 Statement of Investments - INSTITUTIONAL MID-CAP VALUE FUND - September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--100.05% AEROSPACE AND DEFENSE--0.02% 100 Rockwell Collins, Inc ........................... $ 2,025 ----------- TOTAL AEROSPACE AND DEFENSE 2,025 ----------- BASIC INDUSTRIES--9.95% 21,000 Abitibi-Consolidated, Inc ....................... 140,450 1,800 Black & Decker Corp ............................. 78,966 200 D.R. Horton, Inc ................................ 4,404 3,200 Fluor Corp ...................................... 86,080 5,500 * Freeport-McMoRan Copper & Gold, Inc (Class A) ... 79,200 6,500 Lyondell Chemical Co ............................ 94,250 1,600 MeadWestvaco Corp ............................... 35,600 6,000 Monsanto Co ..................................... 97,800 1,900 Newmont Mining Corp ............................. 55,746 3,900 * Pactiv Corp ..................................... 69,966 500 PPG Industries, Inc ............................. 25,735 400 Praxair, Inc .................................... 22,472 3,200 Rohm & Haas Co .................................. 109,600 1,800 Valspar Corp .................................... 71,910 ----------- TOTAL BASIC INDUSTRIES 972,179 ----------- CONSUMER CYCLICAL--12.84% 2,500 * AFC Enterprises, Inc ............................ 47,875 8,700 Autoliv, Inc .................................... 196,533 400 * Cablevision Systems Corp (Class A) .............. 4,392 7,500 Delphi Corp ..................................... 77,175 1,200 Dow Jones & Co, Inc ............................. 51,960 700 Eastman Kodak Co ................................ 19,852 300 * Federated Department Stores, Inc ................ 10,839 500 Hilton Hotels Corp .............................. 5,650 200 J.C. Penney Co, Inc ............................. 3,660 100 Johnson Controls, Inc ........................... 8,168 2,400 * Lamar Advertising Co ............................ 74,664 3,600 * Lear Corp ....................................... 170,280 3,100 Limited Brands, Inc ............................. 48,918 400 Liz Claiborne, Inc .............................. 11,092 4,100 May Department Stores Co ........................ 110,659 7,000 Nordstrom, Inc .................................. 148,680 1,900 * Performance Food Group Co ....................... 62,111 4,600 * Radio One, Inc (Class D) ........................ 80,178 4,400 Reader's Digest Association, Inc (Class A) ...... 72,556 2,300 * U.S.A. Networks, Inc ........................... 49,243 ----------- TOTAL CONSUMER CYCLICAL 1,254,485 ----------- CONSUMER NON-CYCLICAL--7.49% 500 Archer Daniels Midland Co ....................... 6,035 3,700 * Borders Group, Inc .............................. 69,153 3,900 Bunge Ltd ....................................... 80,886 600 Circuit City Stores, Inc (Circuit City Group) ... 10,026 2,900 * Dean Foods Co ................................... 112,984 8,400 Loews Corp (Carolina Group) ..................... 191,100 1,200 Newell Rubbermaid, Inc .......................... 40,656 8,600 * Office Depot, Inc ............................... 118,508 100 * Smithfield Foods, Inc ........................... 1,816 6,200 Winn-Dixie Stores, Inc .......................... 100,874 ----------- TOTAL CONSUMER NON-CYCLICAL 732,038 ----------- ENERGY--6.49% 2,500 Apache Corp ..................................... 143,225 600 Burlington Resources, Inc ....................... 22,680 2,800 Devon Energy Corp ............................... 135,548 2,600 Diamond Offshore Drilling, Inc .................. 54,366 2,100 Ensco International, Inc ........................ 53,025 1,400 Marathon Oil Corp ............................... 34,482 2,800 Noble Energy, Inc ............................... 90,440 SHARES VALUE ------ ----- 400 Unocal Corp ..................................... $ 13,096 4,900 * Varco International, Inc ........................ 86,926 ----------- TOTAL ENERGY 633,788 ----------- FINANCIAL SERVICES--30.56% 100 21st Century Insurance Group .................... 1,191 2,100 A.G. Edwards, Inc ............................... 76,755 4,100 AMB Property Corp ............................... 119,515 200 Ambac Financial Group, Inc ...................... 11,452 1,600 AmSouth Bancorp ................................. 34,736 1,700 AON Corp ........................................ 36,040 1,400 Archstone-Smith Trust ........................... 36,330 3,600 Astoria Financial Corp .......................... 97,920 100 Bear Stearns Cos, Inc ........................... 6,111 400 Charter One Financial, Inc ...................... 12,468 1,100 Cincinnati Financial Corp ....................... 40,535 300 Countrywide Credit Industries, Inc .............. 15,630 4,400 Developers Diversified Realty Corp .............. 100,672 4,600 Duke Realty Corp ................................ 119,600 200 * E*trade Group, Inc .............................. 968 1,800 Equity Office Properties Trust .................. 49,716 300 Equity Residential .............................. 8,031 4,600 FelCor Lodging Trust, Inc ....................... 66,240 300 First Tennessee National Corp ................... 11,025 100 First Virginia Banks, Inc ....................... 3,794 300 Fulton Financial Corp ........................... 5,562 2,300 General Growth Properties, Inc .................. 115,000 1,800 Greenpoint Financial Corp ....................... 82,746 9,000 Hibernia Corp (Class A) ......................... 188,190 300 Hudson City Bancorp, Inc ........................ 5,253 3,700 * IndyMac Bancorp, Inc ............................ 82,880 100 Jefferson-Pilot Corp ............................ 4,192 9,800 * La Quinta Corp .................................. 51,254 3,800 Legg Mason, Inc ................................. 174,838 100 Lincoln National Corp ........................... 3,285 1,500 Marshall & Ilsley Corp .......................... 45,150 11,600 Max Re Capital Ltd .............................. 135,488 400 MBIA, Inc ....................................... 18,368 2,200 Mercantile Bankshares Corp ...................... 86,042 300 MGIC Investment Corp ............................ 16,569 4,100 National Commerce Financial Corp ................ 105,247 300 New York Community Bancorp, Inc ................. 8,445 4,000 North Fork Bancorp, Inc ......................... 153,520 100 Old National Bancorp ............................ 2,540 400 Phoenix Cos, Inc ................................ 6,232 600 PMI Group, Inc .................................. 19,032 500 Popular, Inc .................................... 17,015 800 * Providian Financial Corp ........................ 4,488 200 Regions Financial Corp .......................... 6,832 5,900 Safeco Corp ..................................... 193,697 600 SouthTrust Corp ................................. 15,102 200 Sovereign Bancorp, Inc .......................... 2,780 100 St. Paul Cos, Inc ............................... 3,210 3,500 Starwood Hotels & Resorts Worldwide, Inc ........ 85,330 600 Stilwell Financial, Inc ......................... 8,772 6,400 Union Planters Corp ............................. 186,560 1,800 UnionBanCal Corp ................................ 80,532 9,400 UnumProvident Corp .............................. 214,602 300 Wilmington Trust Corp ........................... 8,880 ----------- TOTAL FINANCIAL SERVICES 2,986,362 ----------- HEALTH CARE--4.71% 4,600 Aetna, Inc ...................................... 180,550 1,100 * Anthem, Inc ..................................... 74,800 3,600 Becton Dickinson & Co ........................... 108,504 3,000 * Genzyme Corp (General Division) ................. 55,200 SEE NOTES TO FINANCIAL STATEMENTS B-88 Statement of Investments - INSTITUTIONAL MID-CAP VALUE FUND - September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 1,100 * Healthsouth Corp ................................ $ 5,159 200 * Millennium Pharmaceuticals, Inc ................. 2,342 1,600 * NPS Pharmaceuticals, Inc ........................ 31,520 100 * Vertex Pharmaceuticals, Inc ..................... 1,980 ----------- TOTAL HEALTH CARE ............................... 460,055 ----------- OTHER--3.40% 2,900 Crane Co ........................................ 61,770 200 Dover Corp ...................................... 5,520 2,700 Fortune Brands, Inc ............................. 142,074 1,096 Manpower, Inc ................................... 35,478 300 Supervalu, Inc .................................. 6,288 3,600 Viad Corp ....................................... 80,676 ----------- TOTAL OTHER ..................................... 331,806 ----------- PRODUCER DURABLES--3.82% 1,200 Deere & Co ...................................... 57,588 100 Eaton Corp ...................................... 6,746 2,400 Kennametal, Inc ................................. 80,880 3,100 Paccar, Inc ..................................... 106,392 3,100 Pitney Bowes, Inc ............................... 103,943 2,500 * Xerox Corp ...................................... 17,750 ----------- TOTAL PRODUCER DURABLES ......................... 373,299 ----------- TECHNOLOGY--6.67% 8,800 * Advanced Micro Devices, Inc ..................... 63,448 26,400 * Agere Systems, Inc (Class A) .................... 34,056 300 * Apple Computer, Inc ............................. 4,251 29,500 * Atmel Corp ...................................... 52,510 3,300 * Broadcom Corp (Class A) ......................... 50,325 1,300 Computer Associates International, Inc .......... 14,417 400 * Computer Sciences Corp .......................... 13,960 300 * Gateway, Inc .................................... 957 4,600 Helix Technology Corp ........................... 47,610 27,400 * JDS Uniphase Corp ............................... 70,144 2,200 Molex, Inc ...................................... 57,640 15,300 * ON Semiconductor Corp ........................... 25,126 3,200 * Peoplesoft, Inc ................................. 49,504 17,200 * Solectron Corp .................................. 55,900 19,900 * Sycamore Networks, Inc .......................... 53,929 1,800 * Tech Data Corp .................................. 58,392 ----------- TOTAL TECHNOLOGY ................................ 652,169 ----------- TRANSPORTATION--1.79% 5,500 CSX Corp ........................................ 159,115 700 Norfolk Southern Corp ........................... 14,903 100 * Northwest Airlines Corp ......................... 885 ----------- TOTAL TRANSPORTATION ............................ 174,903 ----------- UTILITIES--12.31% 2,000 * AES Corp ........................................ 6,320 800 Allegheny Energy, Inc ........................... 12,616 500 Allete, Inc ..................................... 11,965 600 Alliant Energy Corp ............................. 12,408 1,000 Ameren Corp ..................................... 41,730 1,100 Aquila, Inc ..................................... 4,994 2,000 * Calpine Corp .................................... 7,680 500 CenturyTel, Inc ................................. 13,205 SHARES/ PRINCIPAL VALUE --------- ----- 1,100 Cinergy Corp .................................... $ 35,585 800 CMS Energy Corp ................................. 7,824 2,900 Consolidated Edison, Inc ........................ 114,985 1,200 Constellation Energy Group, Inc ................. 31,836 700 DPL, Inc ........................................ 11,907 900 DTE Energy Co ................................... 37,557 2,100 * Dynegy, Inc (Class A) ........................... 3,633 7,300 * Edison International ............................ 80,957 700 Energy East Corp ................................ 13,965 1,500 Entergy Corp .................................... 61,350 1,900 Equitable Resources, Inc ........................ 67,735 2,100 FirstEnergy Corp ................................ 64,764 200 Idacorp, Inc .................................... 4,892 800 KeySpan Corp .................................... 26,984 200 Kinder Morgan, Inc .............................. 8,306 9,800 * Level 3 Communications, Inc ..................... 44,198 400 MDU Resources Group, Inc ........................ 9,332 2,700 * Mirant Corp ..................................... 8,559 3,100 National Fuel Gas Co ............................ 64,139 300 Nicor, Inc ...................................... 8,559 1,500 NiSource, Inc ................................... 27,990 600 Northeast Utilities ............................. 10,182 3,000 * P G & E Corp .................................... 38,460 700 Pepco Holdings, Inc ............................. 14,350 300 Pinnacle West Capital Corp ...................... 9,390 1,100 PPL Corp ........................................ 34,661 1,000 Public Service Enterprise Group, Inc ............ 32,750 500 Puget Energy, Inc ............................... 10,240 500 Questar Corp .................................... 12,040 5,400 * Qwest Communications International, Inc ......... 18,846 2,100 Reliant Energy, Inc ............................. 23,940 300 * Reliant Resources, Inc .......................... 1,230 1,100 Sempra Energy ................................... 23,881 14,600 * Sprint Corp (PCS Group) ......................... 48,910 1,000 TECO Energy, Inc ................................ 16,200 400 Vectren Corp .................................... 9,396 3,600 Williams Cos, Inc ............................... 10,080 500 Wisconsin Energy Corp ........................... 12,555 3,200 Xcel Energy, Inc ................................ 29,696 ----------- TOTAL UTILITIES ................................. 1,202,782 ----------- TOTAL COMMON STOCK (COST $9,994,727) 9,775,891 ----------- SHORT TERM INVESTMENT--5.12% U.S. GOVERNMENT AND AGENCY--5.12% Federal Home Loan Bank (FHLB) $ 500,000 1.590%, 09/16/02 .............................. 499,930 ----------- TOTAL SHORT TERM INVESTMENT (COST $499,930) 499,930 ----------- TOTAL PORTFOLIO--105.17% (COST $10,494,657) 10,275,821 OTHER ASSETS & LIABILITIES, NET--(5.17%) (504,971) ----------- NET ASSETS--100.00% $ 9,770,850 ----------- ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-89 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--95.33% AEROSPACE AND DEFENSE--0.75% 3,100 AAR Corp ........................................ $ 18,476 200 * Armor Holdings, Inc ............................. 3,150 600 * Aviall, Inc ..................................... 6,780 200 * Ducommun, Inc ................................... 3,298 200 * Dynamics Research Corp .......................... 3,640 300 Engineered Support Systems, Inc ................. 17,442 400 Heico Corp ...................................... 4,188 1,300 * Hexcel Corp ..................................... 3,380 1,100 Kaman Corp (Class A) ............................ 13,816 100 * Ladish Co, Inc .................................. 800 500 * Moog, Inc (Class A) ............................. 15,430 1,400 * Remec, Inc ...................................... 4,872 200 * Sequa Corp (Class A) ............................ 10,960 900 * Teledyne Technologies, Inc ...................... 16,560 400 * Triumph Group, Inc .............................. 12,960 600 * United Defense Industries, Inc .................. 13,734 ----------- TOTAL AEROSPACE AND DEFENSE ..................... 149,486 ----------- BASIC INDUSTRIES--8.49% 500 * Aaon, Inc ....................................... 8,575 100 * AEP Industries, Inc ............................. 3,350 1,700 * Airgas, Inc ..................................... 24,038 1,300 Albany International Corp (Class A) ............. 28,093 100 Alico, Inc ...................................... 2,800 600 Amcol International Corp ........................ 3,660 100 American Woodmark Corp .......................... 4,776 100 Ameron International Corp ....................... 4,890 100 * Applied Films Corp .............................. 1,047 600 Arch Chemicals, Inc ............................. 11,868 1,400 Arch Coal, Inc .................................. 24,234 100 * Avatar Holdings, Inc ............................ 2,620 100 * Baker (Michael) Corp ............................ 1,274 500 * Brush Engineered Materials, Inc ................. 4,500 200 * Buckeye Technologies, Inc ....................... 1,520 700 * Building Materials Holding Corp ................. 8,911 400 Butler Manufacturing Co ......................... 8,880 300 * BWAY Corp ....................................... 4,218 1,000 * Cabot Microelectronics Corp ..................... 44,120 1,000 Calgon Carbon Corp .............................. 5,990 700 Cambrex Corp .................................... 26,544 800 * Caraustar Industries, Inc ....................... 8,056 900 Carlisle Cos, Inc ............................... 39,609 600 Carpenter Technology Corp ....................... 11,736 200 Castle (A.M.) & Co .............................. 1,530 400 Centex Construction Products, Inc ............... 14,436 100 Century Aluminum Co ............................. 780 6,000 * Champion Enterprises, Inc ....................... 17,100 200 * Chase Industries, Inc ........................... 2,366 300 Chemed Corp ..................................... 9,915 300 ChemFirst, Inc .................................. 8,640 800 Clarcor, Inc .................................... 24,760 300 * Cleveland-Cliffs, Inc ........................... 8,040 200 * Collins & Aikman Corp ........................... 1,030 2,800 * Comfort Systems U.S.A., Inc ..................... 9,380 1,700 Commercial Metals Co ............................ 32,997 3,400 Crompton Corp ................................... 38,590 4,800 * Crown Cork & Seal Co, Inc ....................... 33,552 1,200 * Cytec Industries, Inc ........................... 31,080 300 Deltic Timber Corp .............................. 7,695 1,000 * Dionex Corp ..................................... 27,210 100 * Dominion Homes, Inc ............................. 2,035 200 * Drew Industries, Inc ............................ 2,990 700 * Earthshell Corp ................................. 651 600 ElkCorp ......................................... 9,870 SHARES VALUE ------ ----- 700 * EMCOR Group, Inc ................................ $ 36,393 100 * Encore Wire Corp ................................ 930 500 * Energy Conversion Devices, Inc .................. 5,575 1,000 Ferro Corp ...................................... 23,800 1,100 * Fleetwood Enterprises, Inc ...................... 8,261 600 Florida Rock Industries, Inc .................... 21,582 500 * FMC Corp ........................................ 14,505 700 * Foamex International, Inc ....................... 4,200 800 Georgia Gulf Corp ............................... 21,168 300 Glatfelter ...................................... 3,837 1,000 Granite Construction, Inc ....................... 17,810 1,100 Great Lakes Chemical Corp ....................... 31,042 400 Greif Brothers Corp (Class A) ................... 11,060 900 H.B. Fuller Co .................................. 25,731 2,600 * Hecla Mining Co ................................. 11,570 500 * Hovnanian Enterprises, Inc (Class A) ............ 19,575 300 * Imco Recycling, Inc ............................. 1,986 700 * Insituform Technologies, Inc (Class A) .......... 11,459 1,600 * Integrated Electrical Services, Inc ............. 6,960 300 * International Specialty Products, Inc ........... 2,922 600 Interpool, Inc .................................. 8,730 300 * Jarden Corp ..................................... 8,025 1,300 Lennox International, Inc ....................... 19,851 3,400 * Longview Fibre Co ............................... 26,384 3,200 * Louisiana-Pacific Corp .......................... 23,616 400 LSI Industries, Inc ............................. 4,136 400 * Lydall, Inc ..................................... 4,620 700 M/I Schottenstein Homes, Inc .................... 24,577 800 MacDermid, Inc .................................. 16,592 1,900 Massey Energy Co ................................ 14,763 300 * Material Sciences Corp .......................... 3,834 200 * Mattson Technology, Inc ......................... 460 100 * Maui Land & Pineapple Co ........................ 1,885 600 MDC Holdings, Inc ............................... 24,840 100 * Mestek, Inc ..................................... 1,891 1,900 Millennium Chemicals, Inc ....................... 23,066 600 Minerals Technologies, Inc ...................... 24,570 300 * Modtech Holdings, Inc ........................... 3,000 200 * Mueller Industries, Inc ......................... 5,380 600 * NCI Building Systems, Inc ....................... 11,160 300 NL Industries, Inc .............................. 4,767 1,000 * Nortek, Inc ..................................... 44,050 200 * Northwest Pipe Co ............................... 3,550 500 * NS Group, Inc ................................... 3,575 300 Octel Corp ...................................... 6,450 700 Olin Corp ....................................... 12,992 1,200 * Omnova Solutions, Inc ........................... 6,600 2,300 * Oregon Steel Mills, Inc ......................... 15,962 300 * Osmonics, Inc ................................... 3,900 500 * Palm Harbor Homes, Inc .......................... 6,685 300 Penford Corp .................................... 4,155 400 Penn Engineering & Manufacturing Corp ........... 5,056 200 Penn Virginia Corp .............................. 6,708 400 * Penwest Pharmaceuticals Co ...................... 3,968 1,100 PolyOne Corp .................................... 10,857 500 Pope & Talbot, Inc .............................. 6,590 900 Potlatch Corp ................................... 27,153 200 Quaker Chemical Corp ............................ 4,222 100 Quanex Corp ..................................... 3,937 700 Reliance Steel & Aluminum Co .................... 16,835 300 Roanoke Electric Steel Corp ..................... 3,528 100 Rock-Tenn Co (Class A) .......................... 1,682 1,100 Royal Gold, Inc ................................. 19,855 600 * RTI International Metals, Inc ................... 6,840 200 Ryerson Tull, Inc ............................... 1,502 SEE NOTES TO FINANCIAL STATEMENTS B-90 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- BASIC INDUSTRIES--(CONTINUED) 100 Schnitzer Steel Industries, Inc (Class A) ....... $ 1,811 1,300 * Silgan Holdings, Inc ............................ 37,856 200 Skyline Corp .................................... 5,458 3,200 Solutia, Inc .................................... 22,176 400 Southern Peru Copper Corp ....................... 5,316 400 Spartech Corp ................................... 8,092 1,000 Standard-Pacific Corp ........................... 27,480 1,000 * Steel Dynamics, Inc ............................. 14,700 400 * Stillwater Mining Co ............................ 2,576 100 * Technical Olympic U.S.A., Inc ................... 1,625 1,700 * Terra Industries, Inc ........................... 3,502 600 Texas Industries, Inc ........................... 17,664 800 Tredegar Corp ................................... 14,440 400 * Trex Co, Inc .................................... 11,800 600 * U.S. Concrete, Inc .............................. 3,282 400 Universal Forest Products, Inc .................. 7,556 400 * URS Corp ........................................ 6,936 2,500 USEC, Inc ....................................... 16,750 2,900 b* USG Corp ........................................ 14,761 300 * Water Pik Technologies, Inc ..................... 3,600 1,800 Watsco, Inc ..................................... 26,496 1,100 Wausau-Mosinee Paper Corp ....................... 11,242 200 * WCI Communities, Inc ............................ 3,498 100 WD-40 Co ........................................ 2,740 1,000 Wellman, Inc .................................... 15,200 400 West Pharmaceutical Services, Inc ............... 9,456 2,000 Worthington Industries, Inc ..................... 36,500 8,900 * WR Grace & Co ................................... 18,423 ----------- TOTAL BASIC INDUSTRIES 1,684,057 ----------- CONSUMER CYCLICAL--12.07% 100 * 1-800 Contacts, Inc ............................. 965 100 Aaron Rents, Inc ................................ 2,250 2,100 * Acclaim Entertainment, Inc ...................... 4,809 300 * Acme Communication, Inc ......................... 2,400 500 * Action Performance Cos, Inc ..................... 14,750 500 Advanced Marketing Services, Inc ................ 6,575 400 * Aeropostale, Inc ................................ 7,820 400 * AFC Enterprises, Inc ............................ 7,660 100 * Aftermarket Technology Corp ..................... 1,699 1,300 * Alliance Gaming Corp ............................ 20,813 300 * AMC Entertainment, Inc .......................... 2,517 500 * Amerco .......................................... 5,720 100 * Ameristar Casinos, Inc .......................... 2,214 600 Angelica Corp ................................... 11,160 1,300 * AnnTaylor Stores Corp ........................... 33,475 900 Apogee Enterprises, Inc ......................... 10,152 1,000 Arctic Cat, Inc ................................. 14,280 800 * Argosy Gaming Co ................................ 20,680 1,000 * Aztar Corp ...................................... 13,090 300 * Bally Total Fitness Holding Corp ................ 3,210 300 Bandag, Inc ..................................... 10,704 300 Barnes Group, Inc ............................... 5,973 300 Bassett Furniture Industries, Inc ............... 4,497 200 * Beasley Broadcast Group, Inc (Class A) .......... 2,700 100 * Bebe Stores, Inc ................................ 1,575 100 * Benihana, Inc (Class A) ......................... 1,200 600 Blair Corp ...................................... 12,060 1,100 Bob Evans Farms, Inc ............................ 25,872 900 * Boca Resorts, Inc (Class A) ..................... 9,747 1,000 Bowne & Co, Inc ................................. 11,040 900 * Boyd Gaming Corp ................................ 16,020 500 * Boyds Collection Ltd ............................ 3,000 300 * Brookstone, Inc ................................. 3,693 1,400 Brown Shoe Co, Inc .............................. 28,966 SHARES VALUE ------ ----- 200 * Buca, Inc ....................................... $ 1,690 200 * Buckle, Inc ..................................... 4,058 500 Burlington Coat Factory Warehouse Corp .......... 10,050 500 Bush Industries, Inc (Class A) .................. 3,885 200 * Cache, Inc ...................................... 2,020 400 * California Pizza Kitchen, Inc ................... 8,556 200 * Carmike Cinemas, Inc ............................ 3,400 300 * Cascade Corp .................................... 4,347 400 Cato Corp (Class A) ............................. 7,504 400 * Central Garden & Pet Co ......................... 6,488 300 * Championship Auto Racing Teams, Inc ............. 1,407 300 * Champps Entertainment, Inc ...................... 3,030 200 * Charlotte Russe Holding, Inc .................... 2,622 3,600 * Charming Shoppes, Inc ........................... 26,244 200 * Checkers Drive-In Restaurant .................... 1,638 100 * Cherokee, Inc ................................... 1,758 300 * Children's Place Retail Stores, Inc ............. 5,661 700 * Choice Hotels International, Inc ................ 16,800 1,100 * Christopher & Banks Corp ........................ 39,160 200 Churchill Downs, Inc ............................ 7,250 1,500 * CKE Restaurants, Inc ............................ 7,485 1,300 Claire's Stores, Inc ............................ 30,251 400 Coachmen Industries, Inc ........................ 6,776 300 * Cole National Corp .............................. 4,497 200 CPI Corp ........................................ 2,830 300 * Cross Media Marketing Corp ...................... 294 100 * CSS Industries, Inc ............................. 3,678 200 * Culp, Inc ....................................... 1,802 300 * Dave & Buster's, Inc ............................ 3,918 2,200 * Department 56, Inc .............................. 25,212 200 * DHB Industries, Inc ............................. 460 200 * Dollar Thrifty Automotive Group, Inc ............ 3,538 300 Dover Downs Gaming & Entertainment, Inc ......... 2,661 800 * Dress Barn, Inc ................................. 9,104 1,400 * Dura Automotive Systems, Inc .................... 19,446 100 * Elizabeth Arden, Inc ............................ 960 400 Equity Inns, Inc ................................ 2,568 100 * Escalade, Inc ................................... 2,000 2,000 * EUniverse, Inc .................................. 7,280 600 Factset Research Systems, Inc ................... 13,794 600 * Finish Line, Inc (Class A) ...................... 5,760 100 * Fisher Communications, Inc ...................... 4,965 600 * Footstar, Inc ................................... 6,360 600 * Fossil, Inc ..................................... 13,842 700 Fred's, Inc ..................................... 22,295 200 Friedman's, Inc (Class A) ....................... 1,710 600 G & K Services, Inc (Class A) ................... 20,682 700 * Gaylord Entertainment Co ........................ 15,477 300 GenCorp, Inc .................................... 3,294 600 * Genesco, Inc .................................... 8,700 500 * Goody's Family Clothing, Inc .................... 2,925 300 Gray Television, Inc (Class A) .................. 3,978 200 * Group 1 Automotive, Inc ......................... 5,820 200 * Guess?, Inc ..................................... 1,022 400 * Guitar Center, Inc .............................. 6,960 100 * Gulfmark Offshore, Inc .......................... 1,664 1,200 * Gymboree Corp ................................... 22,560 500 Hancock Fabrics, Inc ............................ 7,695 800 * Handleman Co .................................... 8,704 500 Haverty Furniture Cos, Inc ...................... 6,735 200 * Hibbett Sporting Goods, Inc ..................... 4,520 1,600 Hollinger International, Inc .................... 16,192 300 * Hollywood Casino Corp (Class A) ................. 3,660 1,600 * Hollywood Entertainment Corp .................... 23,088 1,000 * Hot Topic, Inc .................................. 19,520 SEE NOTES TO FINANCIAL STATEMENTS B-91 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 1,000 * iDine Rewards Network, Inc ...................... $ 9,900 600 * IHOP Corp ....................................... 14,790 1,200 * Insight Communications Co, Inc .................. 11,399 1,700 Intermet Corp ................................... 11,135 700 * Intertan, Inc ................................... 5,054 400 * Isle Of Capri Casinos, Inc ...................... 6,920 1,100 * Jack In The Box, Inc ............................ 26,114 800 * Jo-Ann Stores, Inc (Class A) .................... 26,480 100 * Johnson Outdoors, Inc (Class A) ................. 1,172 800 * Journal Register Co ............................. 15,632 500 * K2, Inc ......................................... 4,290 800 Kellwood Co ..................................... 20,008 700 * Kenneth Cole Productions, Inc (Class A) ......... 16,030 300 * Keystone Automotive Industries, Inc ............. 4,254 1,000 Kimball International, Inc (Class B) ............ 14,860 600 * Kirby Corp ...................................... 13,950 15,100 b* Kmart Corp ..................................... 9,211 700 * Kroll, Inc ...................................... 14,490 400 K-Swiss, Inc (Class A) .......................... 7,551 700 Landry's Restaurants, Inc ....................... 15,155 500 Libbey, Inc ..................................... 15,495 100 * Liberty Livewire Corp (Class A) ................. 208 600 * Linens `n Things, Inc ........................... 13,188 600 * Lodgenet Entertainment Corp ..................... 5,562 500 Lone Star Steakhouse & Saloon, Inc .............. 9,420 700 * Luby's, Inc ..................................... 3,745 600 Marcus Corp ..................................... 8,730 200 Marine Products Corp ............................ 1,980 400 * Maxwell Shoe Co, Inc (Class A) .................. 4,844 1,600 * Mediacom Communications Corp .................... 10,160 300 * Medis Technologies Ltd .......................... 1,497 900 * Men's Wearhouse, Inc ............................ 15,399 600 * Metro One Telecommunications, Inc ............... 7,200 500 * Micros Systems, Inc ............................. 12,625 200 * Midas, Inc ...................................... 1,380 900 Modine Manufacturing Co ......................... 18,999 200 * Monaco Coach Corp ............................... 4,046 100 * Monarch Casino & Resort, Inc .................... 1,294 200 * Monro Muffler Brake, Inc ........................ 3,682 700 * Mossimo, Inc .................................... 3,885 100 * Mothers Work, Inc ............................... 3,765 500 * Movie Gallery, Inc .............................. 7,125 600 * MTR Gaming Group, Inc ........................... 5,094 1,000 * Multimedia Games, Inc ........................... 17,190 1,000 Myers Industries, Inc ........................... 12,660 100 National Presto Industries, Inc ................. 2,977 800 * Nautica Enterprises, Inc ........................ 9,640 1,300 * Nautilus Group, Inc ............................. 38,935 200 * Netratings, Inc ................................. 1,100 800 * Oakley, Inc ..................................... 8,840 500 * O'Charley's, Inc ................................ 9,500 300 Oshkosh B'gosh, Inc (Class A) ................... 10,053 700 Oshkosh Truck Corp .............................. 41,440 200 Oxford Industries, Inc .......................... 3,960 500 * P.F. Chang's China Bistro, Inc .................. 14,620 900 * Pacific Sunwear Of California, Inc .............. 20,997 700 * Panera Bread Co (Class A) ....................... 17,487 1,000 * Papa John's International, Inc .................. 28,260 500 * Parkervision, Inc ............................... 8,000 700 * Payless Shoesource, Inc ......................... 40,782 600 * Penn National Gaming, Inc ....................... 12,072 500 * Penton Media, Inc ............................... 135 900 Phillips-Van Heusen Corp ........................ 12,105 700 * Pinnacle Entertainment, Inc ..................... 5,880 SHARES VALUE ------ ----- 3,100 * Pinnacle Systems, Inc ........................... $ 31,062 500 * PLATO Learning, Inc ............................. 3,275 400 * Playboy Enterprises, Inc (Class B) .............. 4,104 900 * Presstek, Inc ................................... 2,853 100 * Pricesmart, Inc ................................. 2,427 1,400 * Primedia, Inc ................................... 2,016 400 * Private Media Group, Inc ........................ 1,184 300 Pulitzer, Inc ................................... 13,920 400 * Quaker Fabric Corp .............................. 3,156 600 * Quiksilver, Inc ................................. 14,550 400 * Racing Champions Ertl Corp ...................... 7,384 600 * Rare Hospitality International, Inc ............. 14,214 1,600 * Raytech Corp .................................... 10,544 800 * Regent Communications, Inc ...................... 4,048 1,300 Regis Corp ...................................... 36,061 600 * Resources Connection, Inc ....................... 10,680 300 * Rex Stores Corp ................................. 3,252 200 Riviana Foods, Inc .............................. 4,374 700 Russell Corp .................................... 10,969 1,300 * Ryan's Family Steak Houses, Inc ................. 15,886 500 * Saga Communications, Inc (Class A) .............. 8,850 300 * Salem Communications Corp (Class A) ............. 6,720 200 * Salton, Inc ..................................... 1,702 200 Schawk, Inc ..................................... 2,000 1,300 * Scientific Games Corp (Class A) ................. 9,528 800 * SCP Pool Corp ................................... 22,919 200 * Shoe Carnival, Inc .............................. 3,200 1,700 * ShopKo Stores, Inc .............................. 25,942 900 * Sinclair Broadcast Group, Inc (Class A) ......... 11,781 700 * Sirius Satellite Radio, Inc ..................... 1,078 1,100 * Sonic Corp ...................................... 24,474 1,400 * Sotheby's Holdings, Inc (Class A) ............... 12,320 1,100 * Spanish Broadcasting System, Inc (Class A) ...... 8,800 1,100 Spartan Motors, Inc ............................. 12,364 400 * Speedway Motorsports, Inc ....................... 9,592 700 * Sports Resorts International, Inc ............... 3,255 600 * Stage Stores, Inc ............................... 14,190 400 Standard Motor Products, Inc .................... 4,856 200 * Stanley Furniture Co, Inc ....................... 4,020 2,500 * Station Casinos, Inc ............................ 35,375 700 * Stein Mart, Inc ................................. 5,390 900 * Stoneridge, Inc ................................. 15,066 1,200 Stride Rite Corp ................................ 9,600 600 Sturm Ruger & Co, Inc ........................... 8,034 600 Superior Industries International, Inc .......... 28,692 1,000 * Sylvan Learning Systems, Inc .................... 13,300 600 Tanger Factory Outlet Centers, Inc .............. 16,788 500 * TBC Corp ........................................ 5,465 1,100 * Tenneco Automotive, Inc ......................... 6,226 1,000 * The Sports Authority, Inc ....................... 5,900 700 * The Steak n Shake Co ............................ 9,142 700 * Thomas Nelson, Inc .............................. 6,993 800 Thor Industries, Inc ............................ 27,520 600 * THQ, Inc ........................................ 14,220 1,000 * Too, Inc ........................................ 23,510 1,100 * Topps Co, Inc ................................... 9,570 600 * Tower Automotive, Inc ........................... 4,800 1,000 * Tyler Technologies, Inc ......................... 4,530 3,900 * Unifi, Inc ...................................... 28,977 400 * Universal Electronics, Inc ...................... 4,116 200 * Urban Outfitters, Inc ........................... 5,476 300 * Vail Resorts, Inc ............................... 4,785 200 * Vans, Inc ....................................... 1,390 1,000 * Vastera, Inc .................................... 3,889 2,400 * Wabash National Corp ............................ 12,600 SEE NOTES TO FINANCIAL STATEMENTS B-92 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 300 * West Marine, Inc ................................ $ 3,810 6,700 * Westpoint Stevens, Inc .......................... 7,973 300 * Wet Seal, Inc (Class A) ......................... 3,756 100 * Wilsons The Leather Experts, Inc ................ 769 400 Winnebago Industries, Inc ....................... 16,996 1,500 * WMS Industries, Inc ............................. 23,100 1,300 Wolverine World Wide, Inc ....................... 21,671 300 Woodward Governor Co ............................ 14,655 300 * World Wrestling Federation Entertainment, Inc ... 2,910 1,600 * XM Satellite Radio Holdings, Inc ................ 8,464 900 * Zomax, Inc ...................................... 3,780 ----------- TOTAL CONSUMER CYCLICAL 2,394,675 ----------- CONSUMER NON-CYCLICAL--4.97% 400 * 1-800-Flowers.com, Inc (Class A) ................ 3,424 700 * 7-Eleven, Inc ................................... 6,335 400 * AC Moore Arts & Crafts, Inc ..................... 8,860 500 * American Italian Pasta Co (Class A) ............. 19,000 500 * Applica, Inc .................................... 2,475 200 * Asbury Automotive Group, Inc .................... 2,276 1,600 * Aurora Foods, Inc ............................... 2,128 1,000 Blyth, Inc ...................................... 27,950 300 * Boston Beer Co, Inc (Class A) ................... 4,230 100 Bridgford Foods Corp ............................ 1,049 400 * Cadiz, Inc ...................................... 1,560 1,200 Casey's General Stores, Inc ..................... 15,000 1,000 Corn Products International, Inc ................ 28,550 600 * Cost Plus, Inc .................................. 15,834 100 Deb Shops, Inc .................................. 2,772 100 * DEL Laboratories, Inc ........................... 1,920 800 * Del Monte Foods Co .............................. 7,352 1,100 Delta & Pine Land Co ............................ 20,724 1,200 DIMON, Inc ...................................... 7,656 1,400 * Drugstore.Com, Inc .............................. 2,688 700 * Duane Reade, Inc ................................ 11,543 300 * Electronics Boutique Holdings Corp .............. 8,712 400 * Factory 2-U Stores, Inc ......................... 960 500 * FAO, Inc ........................................ 1,910 600 * Finlay Enterprises, Inc ......................... 10,740 500 Fleming Cos, Inc ................................ 2,850 1,200 * Flowers Foods, Inc .............................. 26,028 600 * FTI Consulting, Inc ............................. 23,418 300 * Galyans Trading Co, Inc ......................... 3,264 500 * Great Atlantic & Pacific Tea Co, Inc ............ 5,010 100 * Green Mountain Coffee, Inc ...................... 1,430 700 * Hain Celestial Group, Inc ....................... 11,508 200 * Horizon Organic Holding Corp .................... 2,926 700 Hughes Supply, Inc .............................. 21,637 500 Ingles Markets, Inc (Class A) ................... 5,825 400 * Insight Enterprises, Inc ........................ 4,748 100 Inter Parfums, Inc .............................. 650 1,300 Interface, Inc (Class A) ........................ 6,500 1,400 * International Multifoods Corp ................... 29,092 1,700 Interstate Bakeries Corp ........................ 38,675 200 * J & J Snack Foods Corp .......................... 8,052 1,300 JM Smucker Co ................................... 49,868 700 Lance, Inc ...................................... 9,002 100 * Lithia Motors, Inc (Class A) .................... 1,990 900 Longs Drug Stores Corp .......................... 22,500 200 * MarineMax, Inc .................................. 2,240 2,200 * Marvel Enterprises, Inc ......................... 13,970 400 * Monterey Pasta Co ............................... 2,388 300 Movado Group, Inc ............................... 5,157 100 Nash Finch Co ................................... 1,645 100 * National Beverage Corp .......................... 1,365 SHARES VALUE ------ ----- 300 Nature's Sunshine Products, Inc ................. $ 3,288 1,200 * NBTY, Inc ....................................... 20,028 200 * Netflix, Inc .................................... 2,460 3,500 * OfficeMax, Inc .................................. 16,975 400 Oneida Ltd ...................................... 6,160 100 * Overstock.com, Inc .............................. 605 200 * Party City Corp ................................. 3,018 900 * Pathmark Stores, Inc ............................ 10,170 200 * PC Connection, Inc .............................. 1,182 300 * Penn Traffic Co ................................. 2,295 1,500 Pep Boys-Manny Moe & Jack ....................... 21,570 1,900 * Perrigo Co ...................................... 20,773 1,200 Pilgrim's Pride Corp (Class B) .................. 10,764 800 * Playtex Products, Inc ........................... 7,960 3,800 * Priceline.com, Inc .............................. 8,664 900 * Ralcorp Holdings, Inc ........................... 20,772 100 * Revlon, Inc (Class A) ........................... 378 300 * Robert Mondavi Corp (Class A) ................... 10,197 900 Ruddick Corp .................................... 16,029 300 Russ Berrie & Co, Inc ........................... 10,062 200 Sanderson Farms, Inc ............................ 3,620 500 Schweitzer-Mauduit International, Inc ........... 11,025 600 * Seminis, Inc (Class A) .......................... 1,800 1,300 Sensient Technologies Corp ...................... 29,679 700 * Sharper Image Corp .............................. 14,456 1,100 * Shop At Home, Inc ............................... 2,354 200 * Skechers U.S.A., Inc (Class A) .................. 2,066 600 * Smart & Final, Inc .............................. 3,150 1,800 * Stamps.com, Inc ................................. 7,866 300 Standard Commercial Corp ........................ 5,868 100 * Steinway Musical Instruments, Inc ............... 1,670 200 Stepan Co ....................................... 5,460 200 Tasty Baking Co ................................. 3,018 1,000 * The Bombay Co, Inc .............................. 2,770 400 Thomas Industries, Inc .......................... 10,800 400 * Tractor Supply Co ............................... 13,372 1,000 * Trans World Entertainment Corp .................. 5,070 400 * Triarc Cos, Inc ................................. 9,720 900 * Tuesday Morning Corp ............................ 16,380 1,600 Tupperware Corp ................................. 28,592 200 * Tweeter Home Entertainment Group, Inc ........... 1,636 200 * United Auto Group, Inc .......................... 3,220 600 * United Natural Foods, Inc ....................... 11,988 800 Universal Corp .................................. 30,720 600 * Valuevision International, Inc (Class A) ........ 7,979 300 * Virbac Corp ..................................... 1,506 300 Weis Markets, Inc ............................... 9,987 300 * Whitehall Jewelers, Inc ......................... 3,696 600 * Wild Oats Markets, Inc .......................... 6,960 1,100 * Yankee Candle Co, Inc ........................... 19,470 ----------- TOTAL CONSUMER NON-CYCLICAL 986,634 ----------- ENERGY--3.06% 300 * 3TEC Energy Corp ................................ 4,470 100 * Atwood Oceanics, Inc ............................ 3,080 500 Berry Petroleum Co (Class A) .................... 8,275 800 Cabot Oil & Gas Corp (Class A) .................. 17,680 500 * Cal Dive International, Inc ..................... 10,630 100 CARBO Ceramics, Inc ............................. 3,308 4,300 * Chesapeake Energy Corp .......................... 26,746 700 * Comstock Resources, Inc ......................... 4,340 700 * Denbury Resources, Inc .......................... 7,063 400 * Dril-Quip, Inc .................................. 7,280 300 * Encore Acquisition Co ........................... 5,250 600 * Energy Partners Ltd ............................. 4,770 600 * Evergreen Resources, Inc ........................ 23,028 SEE NOTES TO FINANCIAL STATEMENTS B-93 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- ENERGY--(CONTINUED) 500 * Exploration Co Of Delaware, Inc ................. $ 2,950 2,100 Frontier Oil Corp ............................... 27,300 500 Getty Realty Corp ............................... 9,925 9,000 * Grey Wolf, Inc .................................. 28,800 200 * Gulf Island Fabrication, Inc .................... 2,336 500 * Hanover Compressor Co ........................... 5,440 2,200 * Harvest Natural Resources, Inc .................. 8,734 300 Holly Corp ...................................... 5,250 200 * Horizon Offshore, Inc ........................... 1,018 300 * Houston Exploration Co .......................... 9,150 4,000 * Input/Output, Inc ............................... 27,280 2,900 * Key Energy Services, Inc ........................ 23,055 400 * Key Production Co, Inc .......................... 6,804 200 Lufkin Industries, Inc .......................... 5,542 1,000 * Meridian Resource Corp .......................... 2,490 500 * Nuevo Energy Co ................................. 5,620 700 * Oceaneering International, Inc .................. 17,360 2,300 * Parker Drilling Co .............................. 5,474 1,200 Patina Oil & Gas Corp ........................... 34,188 100 * Petroleum Helicopters (Vote) .................... 2,935 1,000 * Plains Resources, Inc ........................... 25,430 300 * Prima Energy Corp ............................... 6,198 400 * Pure Resources, Inc ............................. 9,200 1,500 * Range Resources Corp ............................ 7,125 600 * Remington Oil & Gas Corp ........................ 8,706 300 RPC, Inc ........................................ 3,750 500 * Seacor Smit, Inc ................................ 19,500 300 * Spinnaker Exploration Co ........................ 9,015 1,400 St. Mary Land & Exploration Co .................. 32,900 300 * Stone Energy Corp ............................... 9,960 1,500 * Superior Energy Services, Inc ................... 11,955 200 * Swift Energy Co ................................. 2,454 600 * Tesoro Petroleum Corp ........................... 1,962 1,000 * Tom Brown, Inc .................................. 24,140 800 * Transmontaigne, Inc ............................. 4,080 700 * Trico Marine Services, Inc ...................... 2,254 1,800 * Unit Corp ....................................... 31,788 200 * Universal Compression Holdings, Inc ............. 4,040 300 * Veritas DGC, Inc ................................ 3,522 1,500 Vintage Petroleum, Inc .......................... 15,570 700 * W-H Energy Services, Inc ........................ 10,857 300 World Fuel Services Corp ........................ 5,610 ----------- TOTAL ENERGY 607,587 ----------- FINANCIAL SERVICES--21.67% 300 1st Source Corp ................................. 5,070 400 ABC Bancorp ..................................... 5,356 400 Acadia Realty Trust ............................. 3,000 700 Advanta Corp (Class A) .......................... 6,615 300 Alabama National Bancorp ........................ 13,335 200 Alexandria Real Estate Equities, Inc ............ 8,600 1,100 Alfa Corp ....................................... 14,166 700 Amcore Financial, Inc ........................... 16,100 1,500 American Capital Strategies Ltd ................. 28,770 700 American Financial Holdings, Inc ................ 21,665 100 American Home Mortgage Holdings, Inc ............ 1,183 200 American National Bankshares, Inc ............... 5,320 300 * American Physicians Capital, Inc ................ 5,355 900 * Ameritrade Holding Corp ......................... 3,339 400 AMLI Residential Properties Trust ............... 8,840 300 Anchor Bancorp Wisconsin, Inc ................... 6,270 500 Anthracite Capital, Inc ......................... 6,175 2,100 Anworth Mortgage Asset Corp ..................... 28,308 2,300 Apex Mortgage Capital, Inc ...................... 30,107 700 Argonaut Group, Inc ............................. 11,228 SHARES VALUE ------ ----- 200 Arrow Financial Corp ............................ $ 6,410 500 Associated Estates Realty Corp .................. 4,140 200 Baldwin & Lyons, Inc (Class B) .................. 4,170 300 * Banc Corp ....................................... 2,370 100 Bancfirst Corp .................................. 4,800 300 Bank Mutual Corp ................................ 6,411 400 Bank Of Granite Corp ............................ 7,520 200 Bank Of The Ozarks, Inc ......................... 5,122 400 BankAtlantic Bancorp, Inc (Class A) ............. 3,840 600 * Bankunited Financial Corp (Class A) ............. 9,114 300 Banner Corp ..................................... 6,090 600 * Bay View Capital Corp ........................... 3,408 400 Bedford Property Investors, Inc ................. 10,240 300 Berkshire Hills Bancorp, Inc .................... 7,497 200 * BKF Capital Group, Inc .......................... 4,460 100 Bostonfed Bancorp, Inc .......................... 3,040 200 Boykin Lodging Co ............................... 1,876 800 Brandywine Realty Trust ......................... 17,896 2,800 Brookline Bancorp, Inc .......................... 34,160 100 California First National Bancorp ............... 1,362 200 Camden National Corp ............................ 4,900 1,100 Capital Automotive REIT ......................... 27,500 100 Capital City Bank Group, Inc .................... 3,565 100 Capitol Bancorp Ltd ............................. 2,096 600 Capstead Mortgage Corp .......................... 12,750 800 Cascade Bancorp ................................. 11,200 1,600 Cash America International, Inc ................. 12,704 500 Cathay Bancorp, Inc ............................. 21,615 100 CB Bancshares, Inc .............................. 3,796 300 CBL & Associates Properties, Inc ................ 11,805 300 CCBT Financial Cos, Inc ......................... 7,803 300 * CCC Information Services Group, Inc ............. 3,987 600 Centennial Bancorp .............................. 5,352 200 Center Trust, Inc ............................... 1,160 200 * Central Coast Bancorp ........................... 3,838 100 Century Bancorp, Inc (Class A) .................. 2,680 600 * Ceres Group, Inc ................................ 1,332 500 CFS Bancorp, Inc ................................ 7,025 500 Charter Municipal Mortgage Acceptance Co ........ 8,945 700 Chateau Communities, Inc ........................ 19,565 1,200 Chelsea Property Group, Inc ..................... 40,848 700 Chemical Financial Corp ......................... 20,251 900 Chittenden Corp ................................. 27,180 400 Citizens First Bancorp, Inc ..................... 7,840 700 * Citizens, Inc ................................... 5,957 200 City Bank ....................................... 5,878 900 City Holding Co ................................. 22,968 500 CNA Surety Corp ................................. 6,530 100 Coastal Bancorp, Inc ............................ 2,983 300 Coastal Financial Corp .......................... 4,332 200 CoBiz, Inc ...................................... 3,180 400 Colonial Properties Trust ....................... 14,420 200 Columbia Bancorp ................................ 3,790 400 * Columbia Banking System, Inc .................... 4,612 700 Commerce Group, Inc ............................. 26,418 2,100 Commercial Federal Corp ......................... 49,056 1,900 Commercial Net Lease Realty, Inc ................ 30,495 300 Commonwealth Bancorp, Inc ....................... 8,892 100 Community Bank System, Inc ...................... 2,981 200 Community Banks, Inc ............................ 5,338 1,200 Community First Bankshares, Inc ................. 32,340 300 Community Trust Bancorp, Inc .................... 8,214 200 * CompuCredit Corp ................................ 1,034 300 Connecticut Bancshares, Inc ..................... 11,175 1,500 Cornerstone Realty Income Trust, Inc ............ 14,385 SEE NOTES TO FINANCIAL STATEMENTS B-94 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 1,400 Corporate Office Properties Trust ............... $ 19,460 700 Correctional Properties Trust ................... 15,050 800 * Corrections Corp Of America ..................... 12,720 300 Corus Bankshares, Inc ........................... 12,981 100 CPB, Inc ........................................ 4,488 500 Crawford & Co (Class B) ......................... 3,835 400 * Credit Acceptance Corp .......................... 3,860 800 Crown American Realty Trust ..................... 7,632 300 * CSK Auto Corp ................................... 3,903 500 CVB Financial Corp .............................. 11,715 400 Delphi Financial Group, Inc (Class A) ........... 15,552 700 Dime Community Bancshares ....................... 15,512 700 East West Bancorp, Inc .......................... 22,883 400 Eastgroup Properties, Inc ....................... 10,500 500 * Electro Rent Corp ............................... 5,550 100 EMC Insurance Group, Inc ........................ 1,488 1,100 Entertainment Properties Trust .................. 24,739 200 Equity One, Inc ................................. 2,746 400 Essex Property Trust, Inc ....................... 20,716 1,100 * Euronet Worldwide, Inc .......................... 8,415 300 F & M Bancorp ................................... 9,600 200 Farmers Capital Bank Corp ....................... 6,920 300 FBL Financial Group, Inc (Class A) .............. 5,454 1,000 FBR Asset Investment Corp ....................... 34,500 100 * Federal Agricultural Mortgage Corp (Class C) .... 2,851 700 Federal Realty Investment Trust ................. 19,096 500 FelCor Lodging Trust, Inc ....................... 7,200 700 Fidelity Bankshares, Inc ........................ 14,224 300 * Financial Federal Corp .......................... 10,014 200 Financial Industries Corp ....................... 3,070 200 Financial Institutions, Inc ..................... 5,540 200 First Bancorp North Carolina .................... 5,000 700 First Bancorp Puerto Rico ....................... 28,357 300 First Busey Corp ................................ 6,675 900 First Charter Corp .............................. 15,453 300 First Citizens Bancshares, Inc (Class A) ........ 31,527 1,800 First Commonwealth Financial Corp ............... 22,752 200 First Community Bancorp ......................... 5,790 300 First Community Bancshares ...................... 9,090 200 First Defiance Financial Corp ................... 3,678 200 First Essex Bancorp, Inc ........................ 6,600 500 First Federal Capital Corp ...................... 9,625 1,100 First Financial Bancorp ......................... 19,646 400 First Financial Bankshares, Inc ................. 15,196 200 First Financial Corp (Indiana) .................. 10,108 400 First Financial Holdings, Inc ................... 11,744 400 First Indiana Corp .............................. 7,400 300 First Merchants Corp ............................ 8,271 200 First National Corp ............................. 5,800 200 First Niagara Financial Group, Inc .............. 5,900 100 First Oak Brook Bancshares, Inc ................. 3,189 100 First Of Long Island Corp ....................... 3,395 400 First Place Financial Corp ...................... 7,000 1,100 * First Republic Bank ............................. 24,244 700 First Sentinel Bancorp, Inc ..................... 9,709 100 First South Bancorp, Inc ........................ 3,517 100 First State Bancorp ............................. 2,426 100 Firstfed America Bancorp, Inc ................... 2,400 1,200 * FirstFed Financial Corp ......................... 30,960 1,200 Flagstar Bancorp, Inc ........................... 24,828 300 Flushing Financial Corp ......................... 5,229 200 FNB Corp (Virginia) ............................. 6,360 700 * FPIC Insurance Group, Inc ....................... 6,328 100 Franklin Financial Corp ......................... 2,465 SHARES VALUE ------ ----- 5,200 Fremont General Corp ............................ $ 26,416 1,200 * Friedman, Billings, Ramsey Group, Inc ........... 11,880 500 Frontier Financial Corp ......................... 12,701 200 * Gabelli Asset Management, Inc (Class A) ......... 6,058 700 Gables Residential Trust ........................ 20,069 2,500 * Gartner, Inc (Class A) .......................... 23,725 100 GBC Bancorp ..................................... 2,055 300 German American Bancorp ......................... 5,427 500 Glacier Bancorp, Inc ............................ 11,500 300 Gladstone Capital Corp .......................... 5,115 500 Glenborough Realty Trust, Inc ................... 10,270 300 Glimcher Realty Trust ........................... 5,700 1,400 Gold Banc Corp, Inc ............................. 13,930 200 Granite State Bankshares, Inc ................... 6,800 300 Great American Financial Resources, Inc ......... 4,785 400 Great Lakes REIT, Inc ........................... 7,000 200 Great Southern Bancorp, Inc ..................... 7,200 700 Hancock Holding Co .............................. 33,936 300 * Hanmi Financial Corp ............................ 4,635 1,000 Harbor Florida Bancshares, Inc .................. 22,400 900 Harleysville Group, Inc ......................... 21,042 600 Harleysville National Corp ...................... 15,534 200 * Hawthorne Financial Corp ........................ 5,196 1,600 Health Care REIT, Inc ........................... 44,800 1,300 Healthcare Realty Trust, Inc .................... 41,080 700 Hilb, Rogal & Hamilton Co ....................... 31,325 800 Home Properties Of New York, Inc ................ 27,400 800 * Homestore, Inc .................................. 320 1,600 Hooper Holmes, Inc .............................. 10,032 400 Horace Mann Educators Corp ...................... 6,428 6,100 HRPT Properties Trust ........................... 50,691 500 Hudson River Bancorp, Inc ....................... 13,110 500 Humboldt Bancorp ................................ 6,370 200 IBERIABANK Corp ................................. 7,926 400 IMPAC Mortgage Holdings, Inc .................... 4,896 100 Independence Holding Co ......................... 1,850 400 Independent Bank Corp (Massachusetts) ........... 8,652 400 Independent Bank Corp (Michigan) ................ 13,360 200 Innkeepers U.S.A. Trust ......................... 1,706 300 * Insurance Auto Auctions, Inc .................... 5,400 500 Integra Bank Corp ............................... 10,380 300 Interchange Financial Services Co ............... 5,025 700 International Bancshares Corp ................... 27,825 800 Investors Real Estate Trust ..................... 8,184 1,000 IRT Property Co ................................. 12,240 200 Irwin Financial Corp ............................ 3,458 200 * Itla Capital Corp ............................... 6,000 1,300 * ITT Educational Services, Inc ................... 23,725 1,100 JDN Realty Corp ................................. 14,014 100 * Jones Lang LaSalle, Inc ......................... 2,150 100 Kansas City Life Insurance Co ................... 3,904 400 Keystone Property Trust ......................... 6,696 200 Kilroy Realty Corp .............................. 4,880 7,500 * Knight Trading Group, Inc ....................... 31,875 600 Koger Equity, Inc ............................... 10,620 600 Kramont Realty Trust ............................ 9,180 4,200 * La Quinta Corp .................................. 21,966 200 Lakeland Bancorp, Inc ........................... 3,828 200 Lakeland Financial Corp ......................... 4,950 1,400 Landamerica Financial Group, Inc ................ 49,210 1,000 * LendingTree, Inc ................................ 15,990 700 Lexington Corporate Properties Trust ............ 11,480 500 Liberty Corp .................................... 18,970 600 * Local Financial Corp ............................ 8,814 300 LSB Bancshares, Inc ............................. 5,085 SEE NOTES TO FINANCIAL STATEMENTS B-95 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 400 LTC Properties, Inc ............................. $ 2,808 1,000 Macerich Co ..................................... 30,900 600 MAF Bancorp, Inc ................................ 20,580 300 Main Street Banks, Inc .......................... 5,775 200 MainSource Financial Group, Inc ................. 4,906 400 Manufactured Home Communities, Inc .............. 13,240 100 MASSBANK Corp ................................... 3,145 700 MCG Capital Corp ................................ 11,109 400 Medford Bancorp, Inc ............................ 13,968 100 Merchants Bancshares, Inc ....................... 2,500 900 Metris Cos, Inc ................................. 3,159 1,300 MFA Mortgage Investments, Inc ................... 12,597 500 Mid Atlantic Realty Trust ....................... 7,750 400 Mid-America Apartment Communities, Inc .......... 10,240 200 Midland Co ...................................... 4,086 600 Mid-State Bancshares ............................ 10,680 300 Midwest Banc Holdings, Inc ...................... 5,706 200 Mills Corp ...................................... 5,800 100 Mission West Properties, Inc .................... 1,199 200 Mississippi Valley Bancshares, Inc .............. 10,314 100 Nara Bancorp, Inc ............................... 1,839 100 NASB Financial, Inc ............................. 2,075 700 National Health Investors, Inc .................. 10,654 200 National Health Realty, Inc ..................... 3,276 400 National Penn Bancshares, Inc ................... 11,340 100 * National Western Life Insurance Co (Class A) .... 10,300 2,600 Nationwide Health Properties, Inc ............... 45,110 100 * Navigators Group, Inc ........................... 2,305 200 NBC Capital Corp ................................ 5,230 300 NBT Bancorp, Inc ................................ 5,472 1,500 New Century Financial Corp ...................... 46,815 300 Northwest Bancorp, Inc .......................... 4,110 400 Novastar Financial, Inc ......................... 11,800 300 OceanFirst Financial Corp ....................... 7,020 800 * Ocwen Financial Corp ............................ 2,536 200 Odyssey Re Holdings Corp ........................ 3,420 1,500 * Ohio Casualty Corp .............................. 25,680 200 Old Second Bancorp, Inc ......................... 7,364 200 Omega Financial Corp ............................ 6,696 400 Oriental Financial Group, Inc ................... 8,800 1,100 Pacific Capital Bancorp ......................... 30,140 500 Pacific Northwest Bancorp ....................... 14,930 300 * Pacific Union Bank .............................. 3,672 1,400 Pan Pacific Retail Properties, Inc .............. 47,460 100 Parkvale Financial Corp ......................... 2,470 200 Parkway Properties, Inc ......................... 7,226 200 Partners Trust Financial Group, Inc ............. 2,792 100 Peapack Gladstone Financial Corp ................ 6,325 200 Pennfed Financial Services, Inc ................. 5,400 200 Pennrock Financial Services Corp ................ 5,800 400 Pennsylvania Real Estate Investment Trust ....... 10,396 200 Peoples Bancorp, Inc ............................ 5,710 200 Peoples Holding Co .............................. 8,200 300 PFF Bancorp, Inc ................................ 8,970 200 * Pico Holdings, Inc .............................. 2,580 300 Port Financial Corp ............................. 11,418 1,000 Post Properties, Inc ............................ 28,990 900 Prentiss Properties Trust ....................... 26,667 300 Presidential Life Corp .......................... 4,803 600 * ProAssurance Corp ............................... 9,960 300 Prosperity Bancshares, Inc ...................... 5,385 100 Provident Bancorp, Inc .......................... 2,915 700 Provident Bankshares Corp ....................... 15,652 200 PS Business Parks, Inc .......................... 6,930 SHARES VALUE ------ ----- 200 * Quaker City Bancorp, Inc ........................ $ 6,830 100 R & G Financial Corp (Class B) .................. 2,194 1,000 RAIT Investment Trust ........................... 23,150 300 Ramco-Gershenson Properties ..................... 5,913 600 Realty Income Corp .............................. 20,430 300 Redwood Trust, Inc .............................. 8,868 1,400 Republic Bancorp, Inc ........................... 18,270 200 Republic Bancorp, Inc (Kentucky) (Class A) ...... 2,356 200 * Republic Bancshares, Inc ........................ 4,018 500 Resource America, Inc (Class A) ................. 4,075 900 RFS Hotel Investors, Inc ........................ 10,395 200 Royal Bancshares Of Pennsylvania (Class A) ...... 3,770 800 S & T Bancorp, Inc .............................. 20,560 200 S.Y. Bancorp, Inc ............................... 7,240 300 Sandy Spring Bancorp, Inc ....................... 9,990 400 Santander Bancorp ............................... 6,412 300 Saul Centers, Inc ............................... 6,972 800 * Saxon Capital, Inc .............................. 10,600 300 Seacoast Banking Corp Of Florida ................ 5,925 700 Seacoast Financial Services Corp ................ 15,106 300 Second Bancorp, Inc ............................. 8,169 800 Selective Insurance Group, Inc .................. 19,920 2,900 Senior Housing Properties Trust ................. 36,540 200 Simmons First National Corp (Class A) ........... 7,596 300 Sizeler Property Investors ...................... 3,114 800 SL Green Realty Corp ............................ 26,024 1,100 * SoundView Technology Group, Inc ................. 1,584 1,200 South Financial Group, Inc ...................... 25,404 900 * Southwest Bancorp Of Texas, Inc ................. 33,795 200 Southwest Bancorp, Inc .......................... 5,320 500 Sovran Self Storage, Inc ........................ 15,365 200 St. Francis Capital Corp ........................ 4,484 400 State Auto Financial Corp ....................... 6,040 200 State Bancorp, Inc .............................. 3,464 1,700 Staten Island Bancorp, Inc ...................... 30,872 300 Sterling Bancorp ................................ 8,466 600 Sterling Financial Corp (Pennsylvania) .......... 15,048 400 * Sterling Financial Corp/Spokane ................. 7,600 1,800 * Stewart Information Services Corp ............... 35,460 400 Suffolk Bancorp ................................. 12,800 200 Summit Bancshares, Inc .......................... 4,540 200 Summit Properties, Inc .......................... 4,110 200 Sun Bancorp, Inc ................................ 3,645 400 Sun Communities, Inc ............................ 14,796 200 Superior Financial Corp ......................... 3,800 1,200 Susquehanna Bancshares, Inc ..................... 27,312 200 * Syntroleum Corp ................................. 346 900 Taubman Centers, Inc ............................ 13,050 700 Texas Regional Bancshares, Inc (Class A) ........ 25,375 2,900 Thornburg Mortgage, Inc ......................... 56,753 300 Three Rivers Bancorp, Inc ....................... 5,040 200 Tompkins Trustco, Inc ........................... 9,610 400 Town & Country Trust ............................ 8,720 400 * Triad Guaranty, Inc ............................. 16,200 200 Trico Bancshares ................................ 5,066 400 Troy Financial Corp ............................. 11,108 600 Trust Co Of New Jersey .......................... 14,982 2,200 Trustco Bank Corp NY ............................ 25,850 600 U.S. Restaurant Properties, Inc ................. 8,850 400 U.S.B. Holding Co, Inc .......................... 6,768 500 UCBH Holdings, Inc .............................. 19,195 2,900 * UICI ............................................ 51,040 500 UMB Financial Corp .............................. 20,225 300 * Union Acceptance Corp (Class A) ................. 1,245 SEE NOTES TO FINANCIAL STATEMENTS B-96 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 200 Union Bankshares Corp ........................... $ 4,646 1,100 United Bankshares, Inc .......................... 32,668 500 United Community Banks, Inc ..................... 12,870 900 United Community Financial Corp ................. 7,992 200 United Fire & Casualty Co ....................... 7,254 500 United National Bancorp ......................... 10,800 700 * Universal American Financial Corp ............... 4,326 300 Universal Health Realty Income Trust ............ 8,148 700 Unizan Financial Corp ........................... 13,888 1,500 Vesta Insurance Group, Inc ...................... 4,320 300 * VIB Corp ........................................ 4,485 200 Virginia Financial Group, Inc ................... 6,020 2,000 W Holding Co, Inc ............................... 35,260 100 Warwick Community Bancorp ....................... 2,560 1,100 Washington Real Estate Investment Trust ......... 28,996 400 Washington Trust Bancorp, Inc ................... 8,200 1,100 Waypoint Financial Corp ......................... 19,414 300 Wesbanco, Inc ................................... 7,494 500 West Coast Bancorp .............................. 7,919 400 Westcorp ........................................ 8,108 200 Westfield Financial, Inc ........................ 3,100 500 * WFS Financial, Inc .............................. 10,825 300 Willow Grove Bancorp, Inc ....................... 3,600 500 Winston Hotels, Inc ............................. 3,970 600 * World Acceptance Corp ........................... 4,896 200 WSFS Financial Corp ............................. 5,298 4,500 * Wyndham International, Inc (Class A) ............ 2,385 200 Yardville National Bancorp ...................... 3,520 100 Zenith National Insurance Corp .................. 2,632 ----------- TOTAL FINANCIAL SERVICES ........................ 4,299,942 ----------- HEALTH CARE--12.94% 300 * aaiPharma, Inc .................................. 4,800 4,000 * Abgenix, Inc .................................... 29,040 100 * Abiomed, Inc .................................... 510 2,000 * Adolor Corp ..................................... 27,000 1,400 * Advanced Tissue Sciences, Inc ................... 1,568 100 * Advisory Board Co/The ........................... 3,325 400 * Alaris Medical, Inc ............................. 2,024 600 * Albany Molecular Research, Inc .................. 11,910 1,900 * Alderwoods Group, Inc ........................... 12,673 3,200 * Alexion Pharmaceuticals, Inc .................... 38,890 1,600 * Alkermes, Inc ................................... 12,400 400 * Alliance Imaging, Inc ........................... 5,312 300 Alpharma, Inc (Class A) ......................... 3,003 300 * American Healthways, Inc ........................ 5,100 200 * American Medical Security Group, Inc ............ 3,000 600 * American Medical Systems Holdings, Inc .......... 13,110 300 * American Pharmaceutical Partners, Inc ........... 5,010 300 * AMERIGROUP Corp ................................. 8,652 300 * Ameripath, Inc .................................. 4,935 900 * Amylin Pharmaceuticals, Inc ..................... 11,682 700 * Antigenics, Inc ................................. 6,300 200 * Aphton Corp ..................................... 910 2,100 * Applera Corp (Celera Genomics Group) ............ 18,375 500 * Applied Molecular Evolution ..................... 2,300 1,200 * Apria Healthcare Group, Inc ..................... 28,080 600 * Arena Pharmaceuticals, Inc ...................... 3,792 900 * Ariad Pharmaceuticals, Inc ...................... 2,952 600 * Arqule, Inc ..................................... 3,972 600 * Array Biopharma, Inc ............................ 4,692 300 Arrow International, Inc ........................ 9,999 700 * Arthrocare Corp ................................. 9,086 800 * Atherogenics, Inc ............................... 5,600 600 * Atrix Laboratories, Inc ......................... 8,880 SHARES VALUE ------ ----- 1,800 * AVANIR Pharmaceuticals (Class A) ................ $ 2,574 100 * Avigen, Inc ..................................... 860 400 * Benthley Pharmaceuticals, Inc ................... 3,800 3,000 * Beverly Enterprises, Inc ........................ 7,470 1,100 * BioMarin Pharmaceutical, Inc .................... 4,740 600 * Biopure Corp .................................... 2,520 500 * Bio-Rad Laboratories, Inc (Class A) ............. 21,050 200 * Bio-Reference Labs, Inc ......................... 1,364 100 * Bioreliance Corp ................................ 2,026 300 * Biosite, Inc .................................... 8,820 1,800 * Bio-Technology General Corp ..................... 6,210 300 * Bradley Pharmaceuticals, Inc .................... 2,547 400 * Britesmile, Inc ................................. 420 300 * Bruker AXS, Inc ................................. 675 700 * Caliper Technologies Corp ....................... 3,080 200 * Cantel Medical Corp ............................. 2,600 1,000 * Cardiodynamics International Corp ............... 2,780 1,000 * Cell Genesys, Inc ............................... 12,200 1,000 * Cell Therapeutics, Inc .......................... 4,770 200 * Centene Corp .................................... 4,700 400 * Cerus Corp ...................................... 7,160 200 * Chattem, Inc .................................... 7,600 400 * Cima Labs, Inc .................................. 9,348 600 * Ciphergen Biosystems, Inc ....................... 2,010 200 * Closure Medical Corp ............................ 2,610 300 * Cobalt Corp ..................................... 5,295 900 * Coherent, Inc ................................... 18,558 800 * Columbia Laboratories, Inc ...................... 3,600 100 * Computer Programs & Systems, Inc ................ 2,329 800 * Conmed Corp ..................................... 16,440 900 * Connetics Corp .................................. 9,324 500 Cooper Cos, Inc ................................. 26,040 1,400 * Corixa Corp ..................................... 9,716 300 * Corvel Corp ..................................... 8,715 1,900 * Covance, Inc .................................... 36,518 1,000 * Cross County, Inc ............................... 14,050 200 * CryoLife, Inc ................................... 642 800 * Cubist Pharmaceuticals, Inc ..................... 3,960 7,900 * CuraGen Corp .................................... 38,386 1,700 * CV Therapeutics, Inc ............................ 36,856 200 * Cyberonics, Inc ................................. 3,700 100 D&K Healthcare Resources, Inc ................... 2,365 400 Datascope Corp .................................. 11,484 400 * Decode Genetics, Inc ............................ 912 200 * Deltagen, Inc ................................... 300 500 * Discovery Partners International, Inc ........... 1,835 700 * Diversa Corp .................................... 6,279 200 * DJ Orthopedics, Inc ............................. 816 1,400 * Durect Corp ..................................... 6,244 400 * DVI, Inc ........................................ 5,424 200 * Dynacq International, Inc ....................... 2,782 1,000 * Eclipsys Corp ................................... 6,650 800 * Embrex, Inc ..................................... 9,360 600 * Endo Pharmaceuticals Holdings, Inc .............. 5,580 700 * Enzo Biochem, Inc ............................... 9,800 1,300 * Enzon, Inc ...................................... 28,145 300 * Eon Labs, Inc ................................... 6,231 400 * EPIX Medical, Inc ............................... 2,008 700 * eResearch Technology, Inc ....................... 12,901 800 * Exact Sciences Corp ............................. 10,424 800 * Gene Logic, Inc ................................. 6,856 300 * Genencor International, Inc ..................... 2,835 2,100 * Genesis Health Ventures, Inc .................... 31,080 1,300 * Genta, Inc ...................................... 9,489 1,100 * Genzyme Corp (Biosurgery Division) .............. 3,080 SEE NOTES TO FINANCIAL STATEMENTS B-97 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 1,700 * Geron Corp ...................................... $ 8,058 700 * Guilford Pharmaceuticals, Inc ................... 2,870 500 * Haemonetics Corp ................................ 12,920 1,300 * Hanger Orthopedic Group, Inc .................... 22,672 500 * Harvard Bioscience, Inc ......................... 2,400 300 * Healthcare Services Group ....................... 3,600 500 * HealthExtras, Inc ............................... 2,130 200 * HealthTronics Surgical Services, Inc ............ 2,500 300 * ICU Medical, Inc ................................ 11,388 1,000 * Idexx Laboratories, Inc ......................... 30,310 500 * IDX Systems Corp ................................ 6,295 1,000 * Ilex Oncology, Inc .............................. 5,050 1,200 * Illumina, Inc ................................... 4,020 400 * I-many, Inc ..................................... 1,016 3,100 * ImClone Systems, Inc ............................ 23,777 200 * Immucor, Inc .................................... 5,350 1,200 * Immunogen, Inc .................................. 4,416 1,200 Immunomedics, Inc ............................... 6,828 500 * Impath, Inc ..................................... 5,410 800 * Impax Laboratories, Inc ......................... 4,712 400 * Inamed Corp ..................................... 9,460 2,000 * Incyte Genomics, Inc ............................ 9,840 3,600 * Inhale Therapeutic Systems, Inc ................. 22,680 600 * Integra LifeSciences Holding .................... 9,360 800 * Integrated Silicon Solution, Inc ................ 3,864 800 * InterMune, Inc .................................. 23,432 500 * Interpore International ......................... 3,285 900 * Intuitive Surgical, Inc ......................... 7,290 800 Invacare Corp ................................... 28,520 200 * Inverness Medical Innovations, Inc .............. 2,778 300 * Kendle International, Inc ....................... 2,331 200 * Kensey Nash Corp ................................ 3,200 800 * Kindred Healthcare, Inc ......................... 29,872 100 * Kos Pharmaceuticals, Inc ........................ 1,229 500 * Kosan Biosciences, Inc .......................... 3,310 700 * KV Pharmaceutical Co (Class A) .................. 13,223 200 * Kyphon, Inc ..................................... 2,760 300 * La Jolla Pharmaceutical Co ...................... 1,527 200 * LabOne, Inc ..................................... 3,778 200 Landauer, Inc ................................... 6,424 1,000 * Lexicon Genetics, Inc ........................... 4,990 300 * Lifecore Biomedical, Inc ........................ 2,427 1,600 * Ligand Pharmaceuticals, Inc (Class B) ........... 10,640 200 * Luminex Corp .................................... 1,506 700 * Magellan Health Services, Inc ................... 483 600 * Martek Biosciences Corp ......................... 10,008 100 * Matria Healthcare, Inc .......................... 855 1,200 * MAXIMUS, Inc .................................... 26,700 900 * Maxygen, Inc .................................... 7,083 2,100 * Medarex, Inc .................................... 11,214 200 * Medcath Corp .................................... 3,088 200 * Medical Staffing Network Holdings, Inc .......... 3,260 200 * Medicines Co .................................... 1,998 300 * MedQuist, Inc ................................... 7,692 300 * MedSource Technologies, Inc ..................... 2,694 600 Mentor Corp ..................................... 17,994 100 * Meridian Medical Technologies, Inc .............. 2,551 300 * Merit Medical Systems, Inc ...................... 5,238 500 * Molecular Devices Corp .......................... 6,005 200 * Mright Medical Group, Inc ....................... 3,750 1,200 * Mykrolis Corp ................................... 8,712 700 * Myriad Genetics, Inc ............................ 11,850 1,200 * Nabi Biopharmaceuticals ......................... 6,707 300 * Napro Biotherapeutics, Inc ...................... 609 SHARES VALUE ------ ----- 200 * Nastech Pharmaceutical Co ....................... $ 1,612 300 * National Healthcare Corp ........................ 5,619 200 * Neoforma, Inc ................................... 1,858 300 * Neopharm, Inc ................................... 4,005 300 * Neose Technologies, Inc ......................... 2,070 900 * Neurocrine Biosciences, Inc ..................... 34,650 400 * Neurogen Corp ................................... 3,600 600 * Noven Pharmaceuticals, Inc ...................... 7,380 2,300 * NPS Pharmaceuticals, Inc ........................ 45,310 500 * Ocular Sciences, Inc ............................ 12,315 400 * Odyssey HealthCare, Inc ......................... 11,220 400 * Omnicell, Inc ................................... 2,468 400 * Onyx Pharmaceuticals, Inc ....................... 1,700 300 * OraSure Technologies, Inc ....................... 1,310 1,000 * Orthologic Corp ................................. 4,150 1,900 * OSI Pharmaceuticals, Inc ........................ 29,488 1,000 Owens & Minor, Inc .............................. 15,050 1,100 * Pacificare Health Systems, Inc .................. 26,224 500 * Pain Therapeutics, Inc .......................... 2,951 700 * Parexel International Corp ...................... 6,601 200 * PDI, Inc ........................................ 994 700 * Pediatrix Medical Group, Inc .................... 23,968 2,900 * Peregrine Pharmaceuticals, Inc .................. 1,711 900 * Per-Se Technologies, Inc ........................ 7,837 500 * Pharmaceutical Resources, Inc ................... 14,100 800 * PolyMedica Corp ................................. 19,209 300 * Possis Medical, Inc ............................. 3,669 300 * Pozen, Inc ...................................... 1,539 500 * PracticeWorks, Inc .............................. 7,450 3,900 * Praecis Pharmaceuticals, Inc .................... 11,817 400 * Prime Medical Services, Inc ..................... 4,224 700 * Priority Healthcare Corp (Class B) .............. 17,185 200 * Progenics Pharmaceuticals ....................... 1,128 2,700 * Protein Design Labs, Inc ........................ 27,513 1,400 * Province Healthcare Co .......................... 23,800 100 * Proxymed, Inc ................................... 1,498 2,200 * PSS World Medical, Inc .......................... 17,710 200 * QMed, Inc ....................................... 1,430 5,300 * Quadramed Corp .................................. 10,229 800 * Quidel Corp ..................................... 3,799 600 * Radiologix, Inc ................................. 6,858 3,100 * Regeneron Pharmaceuticals, Inc .................. 45,415 500 * RehabCare Group, Inc ............................ 11,950 1,100 * Res-Care, Inc ................................... 5,302 900 * Resmed, Inc ..................................... 27,612 900 * Respironics, Inc ................................ 29,385 800 * Rigel Pharmaceuticals, Inc ...................... 1,768 200 * Salix Pharmaceuticals Ltd ....................... 1,594 1,800 * Sangamo Biosciences, Inc ........................ 4,356 800 * Sangstat Medical Corp ........................... 15,720 1,400 * Scios, Inc ...................................... 36,078 1,000 * Seattle Genetics, Inc ........................... 3,540 500 * Select Medical Corp ............................. 7,400 2,100 * Sepracor, Inc ................................... 10,584 700 * Serologicals Corp ............................... 8,421 8,900 * Service Corp International ...................... 29,370 2,000 * Sierra Health Services, Inc ..................... 37,040 200 * Sola International, Inc ......................... 2,128 300 * Sonic Innovations, Inc .......................... 1,659 100 * Specialty Laboratories, Inc ..................... 800 400 * Stericycle, Inc ................................. 12,280 2,900 * Stewart Enterprises, Inc (Class A) .............. 14,529 500 * Sunrise Assisted Living, Inc .................... 11,515 900 * SuperGen, Inc ................................... 2,754 400 * SurModics, Inc .................................. 11,312 SEE NOTES TO FINANCIAL STATEMENTS B-98 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 1,100 * Sybron Dental Specialties, Inc .................. $ 17,226 500 * Syncor International Corp ....................... 17,075 2,100 * Tanox, Inc ...................................... 26,985 1,300 * Techne Corp ..................................... 39,780 800 * Telik, Inc ...................................... 10,800 1,300 * Texas Biotechnology Corp ........................ 2,990 900 * Theragenics Corp ................................ 4,365 700 * Therasense, Inc ................................. 9,520 1,500 * Thoratec Corp ................................... 12,000 800 * Transkaryotic Therapies, Inc .................... 27,528 600 * Triangle Pharmaceuticals, Inc ................... 2,399 400 * Trimeris, Inc ................................... 18,480 200 * TriPath Imaging, Inc ............................ 398 1,200 * Tularik, Inc .................................... 9,528 4,400 * U.S. Oncology, Inc .............................. 38,940 300 * U.S. Physical Therapy, Inc ...................... 4,590 600 * Umilab Corp ..................................... 10,560 500 * United Surgical Partners International, Inc ..... 14,030 500 * United Therapeutics Corp ........................ 8,250 400 * Urologix, Inc ................................... 1,996 1,300 * Varian, Inc ..................................... 42,833 500 * VCA Antech, Inc ................................. 7,020 400 * Ventana Medical Systems, Inc .................... 8,132 1,800 Ventas, Inc ..................................... 23,490 600 * Versicor, Inc ................................... 5,472 800 * Viasys Healthcare, Inc .......................... 12,912 600 * Vical, Inc ...................................... 3,114 1,500 * Visx, Inc ....................................... 14,925 200 Vital Signs, Inc ................................ 5,888 2,800 * VitalWorks, Inc ................................. 21,504 1,000 * Vivus, Inc ...................................... 4,070 500 X-Rite, Inc ..................................... 4,340 100 * Young Innovations, Inc .......................... 2,570 300 * Zoll Medical Corp ............................... 9,987 300 * Zymogenetics, Inc ............................... 2,355 ----------- TOTAL HEALTH CARE 2,567,577 ----------- OTHER--3.78% 100 * 4Kids Entertainment, Inc ........................ 2,060 1,100 ABM Industries, Inc ............................. 16,093 600 * Acacia Research Corp ............................ 2,370 1,300 Acuity Brands, Inc .............................. 19,890 200 * Administaff, Inc ................................ 476 600 * Advo, Inc ....................................... 20,550 1,200 Alexander & Baldwin, Inc ........................ 26,520 200 * Ambassadors Group, Inc .......................... 2,648 800 Banta Corp ...................................... 29,592 600 Brady Corp (Class A) ............................ 21,000 300 * Bright Horizons Family Solutions, Inc ........... 8,925 500 * CDI Corp ........................................ 13,590 500 Central Parking Corp ............................ 10,130 2,400 * Century Business Services, Inc .................. 6,576 200 * Charles River Associates, Inc ................... 3,230 1,500 * Corinthian Colleges, Inc ........................ 55,200 100 * Cornell Cos, Inc ................................ 800 1,100 * Corporate Executive Board Co .................... 31,064 100 Courier Corp .................................... 3,983 600 Curtiss-Wright Corp ............................. 33,780 200 * Daisytek International Corp ..................... 2,600 500 Ennis Business Forms, Inc ....................... 6,390 900 * Fidelity National Information Solutions, Inc .... 21,636 500 * First Consulting Group, Inc ..................... 3,495 200 * General Binding Corp ............................ 3,460 200 Gentiva Health Services, Inc .................... 1,570 300 * Hall Kinion & Associates, Inc ................... 1,725 SHARES VALUE ------ ----- 900 Harland (John H.) Co ............................ $ 24,210 500 * Heidrick & Struggles International, Inc ......... 8,560 800 * infoUSA, Inc .................................... 4,080 300 * Invision Technologies, Inc ...................... 10,728 600 * Itron, Inc ...................................... 10,068 500 Kelly Services, Inc (Class A) ................... 11,275 1,100 * Korn/Ferry International ........................ 8,393 3,000 * Labor Ready, Inc ................................ 21,630 100 * Lifeline Systems, Inc ........................... 2,247 600 Matthews International Corp (Class A) ........... 15,000 100 McGrath RentCorp ................................ 2,085 300 * Memberworks, Inc ................................ 4,995 2,800 * MPS Group, Inc .................................. 14,896 300 * MSC.Software Corp ............................... 3,123 1,200 * Navigant Consulting, Inc ........................ 7,104 600 * NCO Group, Inc .................................. 10,344 900 New England Business Services, Inc .............. 18,810 600 * Offshore Logistics, Inc ......................... 11,160 1,100 * Pre-Paid Legal Services, Inc .................... 23,551 200 * ProQuest Co ..................................... 7,024 400 * Protection One, Inc ............................. 1,116 800 * R.H. Donnelley Corp ............................. 20,400 200 * Remedytemp, Inc (Class A) ....................... 2,278 800 * Rent-Way, Inc ................................... 2,448 300 * Right Management Consultants .................... 6,947 400 Rollins, Inc .................................... 7,928 400 * School Specialty, Inc ........................... 9,356 1,800 * Spherion Corp ................................... 13,500 500 Standard Register Co ............................ 13,005 300 Standex International Corp ...................... 6,003 300 * Startek, Inc .................................... 7,305 200 Strayer Education, Inc .......................... 11,400 1,500 * Symyx Technologies, Inc ......................... 15,707 400 Talx Corp ....................................... 5,444 1,200 * TeleTech Holdings, Inc .......................... 7,656 2,000 * U.S. Industries, Inc ............................ 5,900 200 Unifirst Corp ................................... 4,886 900 * United Stationers, Inc .......................... 24,984 300 * Wackenhut Corrections Corp ...................... 3,495 800 Walter Industries, Inc .......................... 10,520 ----------- TOTAL OTHER ..................................... 748,914 ----------- PRODUCER DURABLES--4.38% 1,000 * Active Power, Inc ............................... 1,710 1,100 * Actuant Corp .................................... 41,052 200 Alamo Group, Inc ................................ 2,704 900 American States Water Co ........................ 23,562 1,000 Ametek, Inc ..................................... 31,990 600 Applied Industrial Technologies, Inc ............ 11,256 500 * Astec Industries, Inc ........................... 6,575 200 * August Technology Corp .......................... 860 900 Baldor Electric Co .............................. 17,928 700 Briggs & Stratton Corp .......................... 27,153 400 California Water Service Group .................. 9,816 5,100 * Capstone Turbine Corp ........................... 4,998 500 * Casella Waste Systems, Inc (Class A) ............ 3,175 300 Circor International, Inc ....................... 4,950 700 * Coinstar, Inc ................................... 18,024 700 * Columbus Mckinnon Corp .......................... 4,172 300 * Consolidated Graphics, Inc ...................... 5,307 200 * CTB International Corp .......................... 2,548 800 * Cuno, Inc ....................................... 26,168 1,400 * Dycom Industries, Inc ........................... 14,728 1,400 Federal Signal Corp ............................. 27,258 800 * Flow International Corp ......................... 2,872 300 Franklin Electric Co, Inc ....................... 13,650 SEE NOTES TO FINANCIAL STATEMENTS B-99 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- PRODUCER DURABLES--(CONTINUED) 400 * Genlyte Group, Inc .............................. $ 13,880 700 * Global Power Equipment Group, Inc ............... 3,668 200 Gorman-Rupp Co .................................. 4,640 700 * Graphic Packaging International Corp ............ 5,670 1,700 * Headwaters, Inc ................................. 22,117 800 IDEX Corp ....................................... 26,448 500 * Imagistics International, Inc ................... 9,215 1,300 JLG Industries, Inc ............................. 11,570 1,300 * Joy Global, Inc ................................. 14,170 800 Kaydon Corp ..................................... 17,168 700 Kennametal, Inc ................................. 23,590 100 Lawson Products, Inc ............................ 2,745 1,000 Lincoln Electric Holdings, Inc .................. 24,490 100 * Littelfuse, Inc ................................. 2,175 400 * Magna Entertainment Corp (Class A) .............. 2,060 200 * Magnetek, Inc ................................... 830 700 Manitowoc Co, Inc ............................... 22,645 3,100 Milacron, Inc ................................... 19,375 200 Mine Safety Appliances Co ....................... 8,020 500 Nacco Industries, Inc (Class A) ................. 20,400 2,200 * Newpark Resources, Inc .......................... 9,328 300 NN, Inc ......................................... 2,976 700 Nordson Corp .................................... 16,961 500 * Plug Power, Inc ................................. 3,110 4,300 * Power-One, Inc .................................. 12,427 1,000 * Quanta Services, Inc ............................ 2,940 1,000 * Rayovac Corp .................................... 13,750 200 Richardson Electronics Ltd ...................... 1,638 900 Roper Industries, Inc ........................... 31,743 300 Sauer-Danfoss, Inc .............................. 2,940 100 SJW Corp ........................................ 8,108 100 * SPS Technologies, Inc ........................... 2,810 200 Starrett (L.S.) Co (Class A) .................... 3,496 300 Stewart & Stevenson Services, Inc ............... 3,666 200 * Strattec Security Corp .......................... 10,580 500 Tecumseh Products Co (Class A) .................. 24,270 300 Tennant Co ...................................... 11,280 1,500 * Tetra Tech, Inc ................................. 13,995 400 * Tetra Technologies, Inc ......................... 8,472 1,300 * Thomas & Betts Corp ............................. 19,981 400 Toro Co ......................................... 22,712 2,600 * UNOVA, Inc ...................................... 14,560 600 Valhi, Inc ...................................... 7,176 500 Valmont Industries, Inc ......................... 12,175 1,000 Wabtec Corp ..................................... 13,510 800 * Waste Connections, Inc .......................... 27,752 500 Watts Industries, Inc (Class A) ................. 8,700 ----------- TOTAL PRODUCER DURABLES 868,388 ----------- TECHNOLOGY--16.36% 200 * 3D Systems Corp ................................. 1,410 600 * Actel Corp ...................................... 6,900 800 * Acterna Corp .................................... 376 1,300 * Actuate Corp .................................... 2,197 300 * ADE Corp ........................................ 1,950 600 * Adtran, Inc ..................................... 11,292 600 * Advanced Digital Information Corp ............... 3,180 500 * Advanced Energy Industries, Inc ................. 5,925 200 * Advanced Power Technology, Inc .................. 912 1,800 * Aeroflex, Inc ................................... 9,414 1,100 * Aether Systems, Inc ............................. 3,029 1,100 * Agile Software Corp ............................. 7,117 1,000 * Akamai Technologies, Inc ........................ 920 700 * Alliance Semiconductor Corp ..................... 3,178 300 * Alloy, Inc ...................................... 2,928 SHARES VALUE ------ ----- 200 * Altiris, Inc .................................... $ 2,266 1,200 * American Management Systems, Inc ................ 18,299 600 * American Superconductor Corp .................... 1,890 200 Analogic Corp ................................... 8,612 700 * Anaren Microwave, Inc ........................... 5,971 900 * Anixter International, Inc ...................... 21,285 1,400 * Answerthink, Inc ................................ 3,052 400 * Ansys, Inc ...................................... 9,100 500 * Anteon International Corp ....................... 12,000 1,400 * APAC Customer Services, Inc ..................... 4,340 1,800 * Arbitron, Inc ................................... 58,698 8,000 * Ariba, Inc ...................................... 15,200 2,000 * Arris Group, Inc ................................ 7,600 4,200 * Artesyn Technologies, Inc ....................... 9,996 7,700 * Ascential Software Corp ......................... 17,787 900 * Asiainfo Holdings, Inc .......................... 3,924 3,900 * Aspect Communications Corp ...................... 7,215 1,100 * Aspen Technology, Inc ........................... 4,224 600 * AstroPower, Inc ................................. 5,460 1,200 * Asyst Technologies, Inc ......................... 10,788 800 * ATMI, Inc ....................................... 12,408 1,300 * Audiovox Corp (Class A) ......................... 9,386 1,800 * Avanex Corp ..................................... 3,384 1,600 * Avenue A, Inc ................................... 4,288 800 * Avid Technology, Inc ............................ 8,929 1,300 * Avocent Corp .................................... 18,759 3,000 * Axcelis Technologies, Inc ....................... 17,190 600 * AXT, Inc ........................................ 2,496 500 * Barra, Inc ...................................... 17,000 300 BEI Technologies, Inc ........................... 3,936 300 Bel Fuse, Inc (Class B) ......................... 6,657 700 Belden, Inc ..................................... 10,990 700 * Benchmark Electronics, Inc ...................... 18,410 600 * Black Box Corp .................................. 20,568 500 * Borland Software Corp ........................... 4,660 400 * Boston Communications Group ..................... 3,800 800 C&D Technologies, Inc ........................... 12,640 400 * Cable Design Technologies Corp .................. 2,728 900 * CACI International, Inc (Class A) ............... 32,940 2,500 * Caminus Corp .................................... 5,275 600 * Carreker Corp ................................... 4,939 200 * Catapult Communications Corp .................... 2,272 1,000 * C-COR.net Corp .................................. 4,850 8,900 * Centillium Communications, Inc .................. 19,580 2,700 * Checkpoint Systems, Inc ......................... 31,590 500 * ChipPAC, Inc .................................... 1,390 1,700 * Ciber, Inc ...................................... 10,999 700 * Cirrus Logic, Inc ............................... 2,044 3,800 * CNET Networks, Inc .............................. 4,560 1,000 * Cognex Corp ..................................... 15,750 200 * Cognizant Technology Solutions Corp ............. 12,506 600 Cohu, Inc ....................................... 8,808 500 * CommScope, Inc .................................. 3,575 1,300 * Compucom Systems, Inc ........................... 7,423 1,600 * Computer Horizons Corp .......................... 6,400 800 * Computer Network Technology Corp ................ 5,600 100 Compx International, Inc ........................ 945 700 * Concord Camera Corp ............................. 3,360 500 * Concord Communications, Inc ..................... 3,595 1,900 * Concurrent Computer Corp ........................ 6,061 300 * CoorsTek, Inc ................................... 5,250 1,500 * Covansys Corp ................................... 3,405 1,800 * Credence Systems Corp ........................... 20,934 2,200 * Cree, Inc ....................................... 29,590 3,300 CTS Corp ........................................ 19,800 SEE NOTES TO FINANCIAL STATEMENTS B-100 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 400 * Daktronics, Inc. ................................ $ 3,960 500 * Datastream Systems, Inc ......................... 2,630 1,500 * DDI Corp ........................................ 570 1,000 * dELiA*s Corp (Class A) .......................... 1,320 200 * DiamondCluster International, Inc (Class A) ..... 776 300 * Digimarc Corp ................................... 3,318 2,300 * Digital River, Inc .............................. 20,608 300 * Digitas, Inc .................................... 978 1,100 * DocuCorp International, Inc ..................... 14,367 1,200 * Documentum, Inc ................................. 17,568 3,600 * DoubleClick, Inc ................................ 20,412 300 * Drexler Technology Corp ......................... 5,238 800 * DSP Group, Inc .................................. 13,544 400 * Dupont Photomasks, Inc .......................... 10,052 1,900 * E.piphany, Inc .................................. 7,771 7,100 * Earthlink, Inc .................................. 41,677 800 * Echelon Corp .................................... 9,840 2,700 * eFunds Corp ..................................... 25,434 800 * Electro Scientific Industries, Inc .............. 14,208 1,600 * Electronics For Imaging, Inc .................... 25,970 200 * Embarcadero Technologies, Inc ................... 1,376 300 * EMS Technologies, Inc ........................... 6,660 1,400 * Entegris, Inc ................................... 12,502 1,600 * Enterasys Networks, Inc ......................... 2,016 300 * EPIQ Systems, Inc ............................... 5,355 700 * eSpeed, Inc (Class A) ........................... 7,175 2,100 * ESS Technology, Inc ............................. 16,128 600 * Esterline Technologies Corp ..................... 10,740 1,200 * Exar Corp ....................................... 15,828 300 * Excel Technology, Inc ........................... 6,540 3,100 * Extreme Networks, Inc ........................... 27,063 700 * F5 Networks, Inc ................................ 7,553 1,000 * FalconStor Software, Inc ........................ 5,131 700 * FEI Co .......................................... 12,684 1,000 * Filenet Corp .................................... 13,950 4,000 * Finisar Corp .................................... 3,920 500 * Flir Systems, Inc ............................... 18,815 2,600 * Foundry Networks, Inc ........................... 21,580 1,200 * Freemarkets, Inc ................................ 7,032 300 * FSI International, Inc .......................... 1,260 300 General Cable Corp .............................. 1,419 200 * Global Imaging Systems, Inc ..................... 3,830 600 * GrafTech International Ltd ...................... 5,520 2,400 * Griffon Corp .................................... 28,728 400 * Handspring, Inc ................................. 476 1,800 * Harmonic, Inc ................................... 4,068 300 Helix Technology Corp ........................... 3,105 800 * Hutchinson Technology, Inc ...................... 13,616 1,000 * Hypercom Corp ................................... 4,300 1,000 * Hyperion Solutions Corp ......................... 24,450 600 * iGate Corp ...................................... 2,393 300 * II-VI, Inc ...................................... 3,972 1,100 * Imation Corp .................................... 34,573 700 * Inet Technologies, Inc .......................... 3,325 1,100 * InFocus Corp .................................... 10,835 200 * Infogrames, Inc ................................. 506 1,900 * Infonet Services Corp (Class B) ................. 4,465 1,700 * Informatica Corp ................................ 6,783 1,800 * Information Resources, Inc ...................... 8,010 200 * Inforte Corp .................................... 1,378 1,400 * Inktomi Corp .................................... 630 1,900 * Inrange Technologies Corp (Class B) ............. 7,676 100 * Integral Systems, Inc ........................... 1,875 200 * Intercept, Inc .................................. 2,682 SHARES VALUE ------ ----- 3,000 * Interdigital Communications Corp ................ $ 28,260 3,300 * Intergraph Corp ................................. 56,100 400 * Intermagnetics General Corp ..................... 5,960 1,200 * Internet Security Systems, Inc .................. 17,999 1,100 Inter-Tel, Inc .................................. 27,994 4,500 * Intertrust Technologies Corp .................... 12,510 3,200 * Interwoven, Inc ................................. 8,640 500 * Intrado, Inc .................................... 6,825 1,700 * Iomega Corp ..................................... 21,454 600 * ITXC Corp ....................................... 2,244 700 * Ixia ............................................ 4,053 800 * j2 Global Communications, Inc ................... 16,888 800 * JDA Software Group, Inc ......................... 10,312 1,800 * Keane, Inc ...................................... 15,678 200 Keithley Instruments, Inc ....................... 3,050 700 * Keynote Systems, Inc ............................ 4,858 1,000 * Kforce, Inc ..................................... 3,430 2,100 * Kopin Corp ...................................... 12,451 600 * Kronos, Inc ..................................... 16,050 1,500 * Kulicke & Soffa Industries, Inc ................. 6,375 2,600 * Lattice Semiconductor Corp ...................... 17,758 400 * Lawson Software, Inc ............................ 1,560 300 * Learning Tree International, Inc ................ 4,890 2,100 * Lexar Media, Inc ................................ 9,009 3,200 * Liberate Technologies ........................... 5,376 900 * Lightbridge, Inc ................................ 6,570 3,600 * Looksmart Ltd ................................... 4,122 1,400 * LTX Corp ........................................ 10,934 1,300 * Macrovision Corp ................................ 17,069 600 * Magma Design Automation, Inc .................... 6,924 5,200 * Mail-Well, Inc .................................. 5,720 600 * Manhattan Associates, Inc ....................... 12,306 200 * Mantech International Corp (Class A) ............ 4,704 2,000 * Manufacturers Services Ltd ...................... 7,820 1,800 * Manugistics Group, Inc .......................... 7,416 400 * MAPICS, Inc ..................................... 2,520 500 * Mapinfo Corp .................................... 2,575 600 * Mastec, Inc ..................................... 2,286 1,400 * Matrixone, Inc .................................. 6,930 11,300 * Maxtor Corp ..................................... 38,194 1,900 * McData Corp (Class A) ........................... 15,903 2,000 * Mentor Graphics Corp ............................ 14,560 1,200 * Mercury Computer Systems, Inc ................... 30,612 400 * Merix Corp ...................................... 3,660 900 * MetaSolv, Inc ................................... 1,845 1,000 Methode Electronics, Inc (Class A) .............. 9,510 2,300 * Micromuse, Inc .................................. 7,109 300 * Microsemi Corp .................................. 1,863 1,100 * MIPS Technologies, Inc (Class A) ................ 2,112 500 * Monolithic System Technology, Inc ............... 5,085 500 * MRO Software, Inc ............................... 4,715 900 * MRV Communications, Inc ......................... 990 600 MTS Systems Corp ................................ 7,344 200 * Nanometrics, Inc ................................ 910 200 * Nassda Corp ..................................... 1,556 400 * Navigant International, Inc ..................... 4,260 1,000 NDCHealth Corp .................................. 18,220 600 * Netegrity, Inc .................................. 1,507 1,200 * NETIQ Corp ...................................... 22,536 1,200 * Netro Corp ...................................... 3,144 500 * Netscout Systems, Inc ........................... 2,125 300 * NetScreen Technologies, Inc ..................... 3,732 2,000 * New Focus, Inc .................................. 5,580 1,100 * Newport Corp .................................... 17,710 500 * Next Level Communications, Inc .................. 475 SEE NOTES TO FINANCIAL STATEMENTS B-101 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 700 * NIC, Inc ........................................ $ 1,190 400 * Novadigm, Inc ................................... 1,140 11,000 * Novell, Inc ..................................... 26,180 800 * Nu Horizons Electronics Corp .................... 5,280 800 * NYFIX, Inc ...................................... 3,368 1,700 * Oak Technology, Inc ............................. 6,290 2,000 * Omnivision Technologies, Inc .................... 20,620 800 * ON Semiconductor Corp ........................... 1,314 5,300 * Openwave Systems, Inc ........................... 4,134 3,100 * Oplink Communications, Inc ...................... 2,322 300 * Opnet Technologies, Inc ......................... 2,115 500 * Optical Communication Products, Inc ............. 520 200 * OSI Systems, Inc ................................ 3,886 200 * Overland Storage, Inc ........................... 2,200 1,500 * Overture Services, Inc .......................... 34,170 700 * Packeteer, Inc .................................. 2,947 5,700 * Palm, Inc ....................................... 4,560 800 * Paradyne Networks, Inc .......................... 1,528 15,400 * Parametric Technology Corp ...................... 41,580 500 Park Electrochemical Corp ....................... 10,050 1,000 * Paxar Corp ...................................... 16,020 300 * PEC Solutions, Inc .............................. 7,485 700 * Pegasus Solutions, Inc .......................... 9,827 700 * Pegasystems, Inc ................................ 4,690 600 * Pericom Semiconductor Corp ...................... 5,610 800 * Phoenix Technologies Ltd ........................ 6,128 800 * Photronics, Inc ................................. 10,216 2,500 Pioneer-Standard Electronics, Inc ............... 24,975 1,000 * Pixelworks, Inc ................................. 5,930 400 * Planar Systems, Inc ............................. 7,348 1,100 * Plantronics, Inc ................................ 20,515 3,400 * Plexus Corp ..................................... 47,600 2,600 * PLX Technology, Inc ............................. 4,550 300 * Pomeroy Computer Resources, Inc ................. 3,672 1,200 * Portal Software, Inc ............................ 384 100 * Powell Industries, Inc .......................... 1,900 800 * Power Integrations, Inc ......................... 10,496 2,000 * Powerwave Technologies, Inc ..................... 10,840 900 * Progress Software Corp .......................... 12,726 700 * Proton Energy Systems ........................... 1,785 2,000 * Proxim Corp (Class A) ........................... 4,680 1,400 * PTEK Holdings, Inc .............................. 6,581 400 * QRS Corp ........................................ 3,096 10,100 * Quantum Corp .................................... 30,805 1,100 * Quest Software, Inc ............................. 11,946 200 Quixote Corp .................................... 3,586 1,800 * Radisys Corp .................................... 10,332 700 * Rainbow Technologies, Inc ....................... 2,590 2,700 * Raindance Communications, Inc ................... 8,235 4,800 * Rambus, Inc ..................................... 24,960 1,200 * Read-Rite Corp .................................. 852 3,400 * Red Hat, Inc .................................... 17,850 1,500 * Redback Networks, Inc ........................... 1,410 900 * Register.com, Inc ............................... 3,753 300 * Renaissance Learning, Inc ....................... 4,968 1,600 * Retek, Inc ...................................... 7,312 3,700 * Riverstone Networks, Inc ........................ 2,590 900 * Rogers Corp ..................................... 24,156 200 * Roxio, Inc ...................................... 816 1,400 * RSA Security, Inc ............................... 5,390 300 * Rudolph Technologies, Inc ....................... 4,093 3,600 * Safeguard Scientifics, Inc ...................... 5,364 400 * Sanchez Computer Associates, Inc ................ 1,304 1,800 * Sandisk Corp .................................... 28,314 SHARES VALUE ------ ----- 400 * SBS Technologies, Inc ........................... $ 2,920 4,400 * Scansoft, Inc ................................... 17,732 100 * Scansource, Inc ................................. 6,036 500 * SCM Microsystems, Inc ........................... 3,315 200 * Seachange International, Inc .................... 1,474 500 * Semitool, Inc ................................... 3,050 1,300 * Serena Software, Inc ............................ 20,644 14,700 * Silicon Graphics, Inc ........................... 16,758 1,800 * Silicon Image, Inc .............................. 6,914 1,400 * Silicon Laboratories, Inc ....................... 27,524 2,300 * Silicon Storage Technology, Inc ................. 11,661 200 * Siliconix, Inc .................................. 4,116 900 * Simpletech, Inc ................................. 2,097 300 * Sipex Corp ...................................... 915 3,100 * Sitel Corp ...................................... 6,014 900 * Somera Communications, Inc ...................... 2,385 2,600 * SONICblue, Inc .................................. 775 1,500 * SonicWALL, Inc .................................. 6,840 5,500 * Sonus Networks, Inc ............................. 3,834 500 * Sourcecorp ...................................... 10,455 500 * Spectralink Corp ................................ 3,290 300 * Spectrian Corp .................................. 1,725 100 * SPSS, Inc ....................................... 1,181 200 * SRA International, Inc (Class A) ................ 5,550 700 * SS&C Technologies, Inc .......................... 8,693 600 * Standard Microsystems Corp ...................... 10,686 1,100 * Stratex Networks, Inc ........................... 2,068 700 * Stratos Lightwave, Inc .......................... 413 100 * Suntron Corp .................................... 396 300 * Supertex, Inc ................................... 3,105 1,900 * Surebeam Corp (Class A) ......................... 3,515 4,800 * Sycamore Networks, Inc .......................... 13,008 2,300 * Sykes Enterprises, Inc .......................... 13,800 200 * Synaptics, Inc .................................. 1,190 300 * Synplicity, Inc ................................. 1,497 200 * Syntel, Inc ..................................... 2,622 900 * Systems & Computer Technology Corp .............. 6,291 1,100 * Take-Two Interactive Software, Inc .............. 29,700 200 Technitrol, Inc ................................. 3,660 2,700 * Tekelec ......................................... 22,680 2,400 * Tellium, Inc .................................... 1,200 700 * Therma-Wave, Inc ................................ 924 700 * Three-Five Systems, Inc ......................... 3,920 2,400 * TIBCO Software, Inc ............................. 10,608 100 * Tier Technologies, Inc (Class B) ................ 1,998 600 * Tivo, Inc ....................................... 2,280 400 * Tollgrade Communications, Inc ................... 4,296 3,100 * Touch America Holdings, Inc ..................... 2,263 2,700 * Transaction Systems Architects, Inc (Class A) ... 18,363 3,300 * Transmeta Corp .................................. 3,597 800 * Trimble Navigation Ltd .......................... 10,360 100 * Tripos, Inc ..................................... 667 1,500 * Triquint Semiconductor, Inc ..................... 6,899 200 * Trizetto Group, Inc ............................. 1,382 500 * TTM Technologies, Inc ........................... 1,585 1,400 * Turnstone Systems, Inc .......................... 4,200 300 * Ulticom, Inc .................................... 1,737 700 * Ultratech Stepper, Inc .......................... 8,177 300 United Industrial Corp .......................... 6,030 200 * United Online, Inc .............................. 2,190 1,200 * Universal Display Corp .......................... 6,648 600 * Valueclick, Inc ................................. 1,410 900 * Varian Semiconductor Equipment Associates, Inc .. 16,879 800 * Veeco Instruments, Inc .......................... 10,840 100 * Verint Systems, Inc ............................. 991 SEE NOTES TO FINANCIAL STATEMENTS B-102 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 700 * Verity, Inc ..................................... $ 7,007 600 * Vicor Corp ...................................... 4,440 1,100 * Viewpoint Corp .................................. 4,400 7,100 * Vignette Corp ................................... 6,532 300 * Virage Logic Corp ............................... 3,240 200 Virco Manufacturing Corp ........................ 2,196 6,100 * Vitesse Semiconductor Corp ...................... 7,747 700 * Vitria Technology, Inc .......................... 623 700 * Volt Information Sciences, Inc .................. 11,872 1,100 Wallace Computer Services, Inc .................. 20,284 300 * WatchGuard Technologies, Inc .................... 1,545 700 * WebEx Communications, Inc ....................... 10,178 1,400 * webMethods, Inc ................................. 9,842 600 * Websense, Inc ................................... 9,756 400 * WESCO International, Inc ........................ 2,092 12,800 * Western Digital Corp ............................ 59,388 800 * White Electronic Designs Corp ................... 6,912 600 * Wilson Greatbatch Technologies, Inc ............. 16,290 2,100 * Wind River Systems, Inc ......................... 11,235 700 * Wireless Facilities, Inc ........................ 3,500 300 Woodhead Industries, Inc ........................ 4,800 200 * Xicor, Inc ...................................... 894 800 * Zoran Corp ...................................... 9,200 500 * Zygo Corp ....................................... 2,500 ----------- TOTAL TECHNOLOGY 3,244,666 ----------- TRANSPORTATION--2.13% 1,500 Airborne, Inc ................................... 19,485 1,900 * Airtran Holdings, Inc ........................... 6,555 700 * Alaska Air Group, Inc ........................... 15,645 200 * Arkansas Best Corp .............................. 5,644 500 * ATA Holdings Corp ............................... 1,670 1,200 * Atlantic Coast Airlines Holdings, Inc ........... 14,208 4,900 * Atlas Air Worldwide Holdings, Inc ............... 12,495 2,300 * BE Aerospace, Inc ............................... 15,801 200 * Covenant Transport, Inc (Class A) ............... 3,580 1,000 * EGL, Inc ........................................ 11,800 900 * ExpressJet Holdings, Inc ........................ 10,296 700 Florida East Coast Industries, Inc (Class A) .... 18,557 600 * Forward Air Corp ................................ 13,679 100 * Genesee & Wyoming, Inc (Class A) ................ 2,105 900 * Heartland Express, Inc .......................... 18,126 700 * Hunt (J.B.) Transport Services, Inc ............. 16,422 2,700 * Kansas City Southern Industries, Inc ............ 38,610 700 * Knight Transportation, Inc ...................... 12,866 700 * Landstar System, Inc ............................ 36,365 900 * Mesa Air Group, Inc ............................. 5,292 300 * Mesaba Holdings, Inc ............................ 1,671 400 * Midwest Express Holdings, Inc ................... 2,396 800 Overseas Shipholding Group, Inc ................. 13,232 100 * P.A.M. Transportation Services .................. 2,095 400 Roadway Corp .................................... 13,224 1,000 Shurgard Storage Centers, Inc (Class A) ......... 32,350 200 * U.S. Xpress Enterprises, Inc (Class A) .......... 1,922 1,700 * UAL Corp ........................................ 4,590 800 USFreightways Corp .............................. 23,680 1,200 Werner Enterprises, Inc ......................... 23,268 900 * Yellow Corp ..................................... 24,480 ----------- TOTAL TRANSPORTATION 422,109 ----------- UTILITIES--4.73% 1,700 AGL Resources, Inc .............................. 39,457 700 * AirGate PCS, Inc ................................ 728 2,200 * Alamosa Holdings, Inc ........................... 792 200 * Alaska Communications Systems Group, Inc ........ 514 1,100 * Allegiance Telecom, Inc ......................... 1,023 SHARES VALUE ------ ----- 2,000 * Allen Telecom, Inc .............................. $ 10,240 1,200 Atmos Energy Corp ............................... 26,400 1,400 Avista Corp ..................................... 16,800 13,100 * Broadwing, Inc .................................. 30,785 300 Cascade Natural Gas Corp ........................ 6,342 300 * Centennial Communications Corp .................. 894 400 Central Vermont Public Service Corp ............. 6,736 800 CH Energy Group, Inc ............................ 38,040 1,200 Cleco Corp ...................................... 18,516 300 * Commonwealth Telephone Enterprises, Inc ......... 11,208 300 Connecticut Water Service, Inc .................. 7,536 6,200 * Crown Castle International Corp ................. 15,500 500 CT Communications, Inc .......................... 6,725 600 * Dobson Communications Corp (Class A) ............ 210 1,300 DQE, Inc ........................................ 20,241 1,400 * El Paso Electric Co ............................. 16,660 1,000 Energen Corp .................................... 24,930 200 Energysouth, Inc ................................ 5,366 1,300 * General Communication, Inc (Class A) ............ 3,770 400 * Golden Telecom, Inc ............................. 5,500 400 Hickory Tech Corp ............................... 5,788 600 Laclede Group, Inc .............................. 14,340 600 MGE Energy, Inc ................................. 16,050 200 Middlesex Water Co .............................. 4,594 300 * NATCO Group, Inc (Class A) ...................... 2,211 800 New Jersey Resources Corp ....................... 26,000 2,000 * Nextel Partners, Inc (Class A) .................. 12,800 500 North Pittsburgh Systems, Inc ................... 7,500 1,200 Northwest Natural Gas Co ........................ 33,636 300 Northwestern Corp ............................... 3,594 1,000 * Oil States International, Inc ................... 10,440 2,300 Oneok, Inc ...................................... 44,850 800 Otter Tail Corp ................................. 20,064 300 * Petroquest Energy, Inc .......................... 1,305 900 Piedmont Natural Gas Co, Inc .................... 32,850 1,100 PNM Resources, Inc .............................. 23,254 1,500 * Price Communications Corp ....................... 18,165 300 * Quicksilver Resources, Inc ...................... 5,805 1,900 * RCN Corp ........................................ 1,463 1,200 SEMCO Energy, Inc ............................... 10,692 100 Shenandoah Telecom Co ........................... 5,049 3,100 * Sierra Pacific Resources ........................ 22,568 4,100 * Skyworks Solutions, Inc ......................... 21,566 400 South Jersey Industries, Inc .................... 12,684 1,200 * Southern Union Co ............................... 15,540 1,000 Southwest Gas Corp .............................. 22,200 200 Southwest Water Co .............................. 2,930 400 SureWest Communications ......................... 13,204 2,600 * Talk America Holdings, Inc ...................... 6,552 1,300 * Time Warner Telecom, Inc (Class A) .............. 1,586 600 * Triton PCS Holdings, Inc (Class A) .............. 1,860 2,700 * U.S. Unwired, Inc (Class A) ..................... 3,159 1,800 * Ubiquitel, Inc .................................. 630 800 UGI Corp ........................................ 28,408 800 UIL Holdings Corp ............................... 30,128 2,000 Unisource Energy Corp ........................... 31,680 200 Unitil Corp ..................................... 5,330 1,700 Westar Energy, Inc .............................. 18,785 600 Western Gas Resources, Inc ...................... 19,764 1,800 * Western Wireless Corp (Class A) ................. 5,742 1,500 WGL Holdings, Inc ............................... 36,330 600 WPS Resources Corp .............................. 21,810 ----------- TOTAL UTILITIES ................................. 937,819 ----------- TOTAL COMMON STOCK (COST $19,087,516) 18,911,854 ----------- SEE NOTES TO FINANCIAL STATEMENTS B-103 - INSTITUTIONAL SMALL-CAP EQUITY FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- SHORT TERM INVESTMENT--4.64% U.S. GOVERNMENT AND AGENCY--4.64% Federal Home Loan Bank (FHLB) $ 920,000 1.590%, 09/16/02 .............................. $ 919,871 ----------- TOTAL SHORT TERM INVESTMENT (COST $919,871) 919,871 ----------- TOTAL PORTFOLIO--99.97% (COST $20,007,387) 19,831,725 OTHER ASSETS & LIABILITIES, NET--0.03% 5,489 ----------- NET ASSETS--100.00% $19,837,214 ----------- ---------- * Non-income producing b In bankruptcy SEE NOTES TO FINANCIAL STATEMENTS B-104 - INSTITUTIONAL LARGE-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--99.46% AEROSPACE AND DEFENSE--1.00% 500 * Alliant Techsystems, Inc ........................ $ 35,875 7,700 Boeing Co ....................................... 273,966 3,600 * EchoStar Communications Corp (Class A) .......... 62,424 700 General Dynamics Corp ........................... 58,114 6,900 * General Motors Corp ............................. 65,136 1,000 * L-3 Communications Holdings, Inc ................ 56,980 1,200 Lockheed Martin Corp ............................ 78,876 200 * PanAmSat Corp ................................... 3,558 700 PerkinElmer, Inc ................................ 3,745 300 Rockwell Collins, Inc ........................... 6,075 1,000 * Titan Corp ...................................... 11,000 ----------- TOTAL AEROSPACE AND DEFENSE 655,749 ----------- BASIC INDUSTRIES--1.39% 1,900 Alcoa, Inc ...................................... 41,781 800 * American Standard Cos, Inc ...................... 57,072 1,100 Avery Dennison Corp ............................. 66,000 200 Ball Corp ....................................... 10,780 1,200 Black & Decker Corp ............................. 52,644 100 Cabot Corp ...................................... 2,329 300 Consol Energy, Inc .............................. 4,065 300 D.R. Horton, Inc ................................ 6,606 1,900 Ecolab, Inc ..................................... 82,935 200 Fluor Corp ...................................... 5,380 1,100 * Freeport-McMoRan Copper & Gold, Inc (Class A) ... 15,840 500 * Jacobs Engineering Group, Inc ................... 16,970 3,900 Kimberly-Clark Corp ............................. 230,724 3,400 Masco Corp ...................................... 81,736 4,600 Newmont Mining Corp ............................. 134,964 100 * NVR, Inc ........................................ 32,530 1,100 * Sealed Air Corp ................................. 18,854 400 * Shaw Group, Inc ................................. 6,100 200 Sigma-Aldrich Corp .............................. 10,034 700 Stanley Works ................................... 23,576 200 Valspar Corp .................................... 7,990 100 Vulcan Materials Co ............................. 4,036 ----------- TOTAL BASIC INDUSTRIES 912,946 ----------- CONSUMER CYCLICAL--11.10% 600 * 99 Cents Only Stores ............................ 14,172 1,300 * Abercrombie & Fitch Co (Class A) ................ 30,940 200 * Advance Auto Parts .............................. 10,672 700 * American Eagle Outfitters, Inc .................. 11,487 30,500 * AOL Time Warner, Inc ............................ 393,145 1,800 * Apollo Group, Inc (Class A) ..................... 76,860 200 * Apollo Group, Inc (University Of Phoenix Online) 6,120 800 Applebee's International, Inc ................... 16,848 100 ArvinMeritor, Inc ............................... 2,360 4,400 * Bed Bath & Beyond, Inc .......................... 152,152 1,000 * Big Lots, Inc ................................... 18,750 200 Blockbuster, Inc (Class A) ...................... 4,664 1,400 * Brinker International, Inc ...................... 36,946 200 Callaway Golf Co ................................ 2,960 600 * Catalina Marketing Corp ......................... 18,336 100 CBRL Group, Inc ................................. 2,335 400 * CEC Entertainment, Inc .......................... 14,624 1,100 * Chico's FAS, Inc ................................ 20,152 3,900 * Clear Channel Communications, Inc ............... 141,375 200 * Columbia Sportswear Co .......................... 7,630 900 * Comcast Corp (Class A) Special .................. 21,528 1,000 * Copart, Inc ..................................... 14,520 200 * Cox Communications, Inc (Class A) ............... 5,412 300 * Cox Radio, Inc (Class A) ........................ 7,683 200 * Cumulus Media, Inc (Class A) .................... 3,370 SHARES VALUE ------ ----- 2,600 Darden Restaurants, Inc ......................... $ 60,996 4,300 Dollar General Corp ............................. 57,276 1,700 * Dollar Tree Stores, Inc ......................... 37,553 400 Donaldson Co, Inc ............................... 14,768 500 Dow Jones & Co, Inc ............................. 21,650 100 * Emmis Communications Corp (Class A) ............. 1,757 500 * Entercom Communications Corp .................... 23,010 200 * Extended Stay America, Inc ...................... 2,752 2,400 Family Dollar Stores, Inc ....................... 67,200 800 * Foot Locker, Inc ................................ 7,784 900 * Fox Entertainment Group, Inc (Class A) .......... 20,754 9,300 Gap, Inc ........................................ 116,064 1,700 * Gemstar-TV Guide International, Inc ............. 5,780 1,100 * Gentex Corp ..................................... 32,901 700 Graco, Inc ...................................... 18,375 4,600 Harley-Davidson, Inc ............................ 222,180 400 Harman International Industries, Inc ............ 20,700 1,600 * Harrah's Entertainment, Inc ..................... 77,600 700 Harte-Hanks, Inc ................................ 14,763 1,000 Hilton Hotels Corp .............................. 11,300 600 * Hispanic Broadcasting Corp ...................... 11,142 1,400 * International Game Technology ................... 92,260 200 International Speedway Corp (Class A) ........... 8,094 5,700 Interpublic Group Of Cos, Inc ................... 101,973 200 * Jones Apparel Group, Inc ........................ 7,362 4,400 * Kohl's Corp ..................................... 316,756 600 * Krispy Kreme Doughnuts, Inc ..................... 19,680 800 * Lamar Advertising Co ............................ 24,888 100 La-Z-Boy, Inc ................................... 2,500 900 Leggett & Platt, Inc ............................ 19,026 2,500 Limited Brands, Inc ............................. 39,450 200 * Lin TV Corp (Class A) ........................... 4,940 100 * Mandalay Resort Group ........................... 3,107 1,600 Marriott International, Inc (Class A) ........... 49,920 1,200 Maytag Corp ..................................... 32,772 2,500 McGraw-Hill Cos, Inc ............................ 157,450 100 Meredith Corp ................................... 4,337 300 * Metro-Goldwyn-Mayer, Inc ........................ 3,618 100 * MGM Mirage ...................................... 3,610 1,000 * Michaels Stores, Inc ............................ 47,990 800 * Mohawk Industries, Inc .......................... 40,800 300 * MSC Industrial Direct Co (Class A) .............. 3,459 1,400 New York Times Co (Class A) ..................... 68,278 800 Nike, Inc (Class B) ............................. 33,384 2,800 Omnicom Group, Inc .............................. 172,732 500 * O'Reilly Automotive, Inc ........................ 15,480 500 * Outback Steakhouse, Inc ......................... 13,830 500 * Performance Food Group Co ....................... 16,345 500 Pier 1 Imports, Inc ............................. 9,835 300 * Pixar, Inc ...................................... 13,992 400 Polaris Industries, Inc ......................... 29,680 200 R.R. Donnelley & Sons Co ........................ 4,982 600 * Radio One, Inc (Class D) ........................ 10,458 400 Reader's Digest Association, Inc (Class A) ...... 6,596 100 * Regal Entertainment Group (Class A) ............. 1,820 500 * Rent-A-Center, Inc .............................. 28,870 1,200 Ross Stores, Inc ................................ 49,056 1,000 Ruby Tuesday, Inc ............................... 18,610 200 * Scholastic Corp ................................. 9,344 100 * Scotts Co (Class A) ............................. 4,300 400 Scripps (E.W.) Co (Class A) ..................... 28,880 300 * Sonic Automotive, Inc ........................... 6,282 5,800 * Starbucks Corp .................................. 119,248 300 Talbots, Inc .................................... 9,960 13,700 Target Corp ..................................... 496,214 SEE NOTES TO FINANCIAL STATEMENTS B-105 - INSTITUTIONAL LARGE-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 800 * The Cheesecake Factory, Inc ..................... $ 22,136 1,700 Tiffany & Co .................................... 42,704 300 * Timberland Co (Class A) ......................... 11,115 8,100 TJX Cos, Inc .................................... 167,265 2,400 * U.S.A. Networks, Inc ............................ 51,384 100 * UnitedGlobalcom, Inc (Class A) .................. 174 2,300 * Univision Communications, Inc (Class A) ......... 51,198 9,400 * Viacom, Inc (Class B) ........................... 399,312 41,100 Wal-Mart Stores, Inc ............................ 2,235,840 1,000 Wendy's International, Inc ...................... 32,260 1,200 * Westwood One, Inc ............................... 42,744 700 Wiley (John) & Sons, Inc (Class A) .............. 15,750 1,300 * Williams-Sonoma, Inc ............................ 33,696 5,900 * Yahoo!, Inc ..................................... 61,714 3,600 * Yum! Brands, Inc ................................ 105,588 100 * Zale Corp ....................................... 3,234 ----------- TOTAL CONSUMER CYCLICAL 7,309,628 ----------- CONSUMER NON-CYCLICAL--15.39% 2,900 * Amazon.Com, Inc ................................. 48,169 8,800 Anheuser-Busch Cos, Inc ......................... 462,000 500 * Aramark Corp (Class B) .......................... 11,100 1,100 * Autozone, Inc ................................... 81,862 200 * Barnes & Noble, Inc ............................. 4,800 3,900 * Best Buy Co, Inc ................................ 94,224 1,100 * BJ's Wholesale Club, Inc ........................ 24,530 100 * Borders Group, Inc .............................. 1,869 500 Brown-Forman Corp (Class B) ..................... 34,725 900 * CDW Computer Centers, Inc ....................... 40,104 300 Church & Dwight Co, Inc ......................... 9,693 400 * Circuit City Stores, Inc (Carmax Group) ......... 7,400 400 Circuit City Stores, Inc (Circuit City Group) ... 6,684 1,300 Clorox Co ....................................... 55,900 1,300 * Coach, Inc ...................................... 37,674 26,100 Coca-Cola Co .................................... 1,295,865 3,300 Coca-Cola Enterprises, Inc ...................... 69,630 7,300 Colgate-Palmolive Co ............................ 405,150 500 * Constellation Brands, Inc (Class A) ............. 14,625 3,500 * Costco Wholesale Corp ........................... 118,825 700 Dial Corp ....................................... 14,210 300 Dreyer's Grand Ice Cream, Inc ................... 20,739 2,200 * eBay, Inc ....................................... 127,600 200 * Energizer Holdings, Inc ......................... 6,124 1,200 Estee Lauder Cos (Class A) ...................... 37,824 300 Ethan Allen Interiors, Inc ...................... 10,110 100 * Expedia, Inc (Class A) .......................... 5,374 900 Fastenal Co ..................................... 29,781 500 * Furniture Brands International, Inc ............. 11,650 200 * Gamestop Corp ................................... 3,920 3,900 General Mills, Inc .............................. 164,775 9,400 Gillette Co ..................................... 292,434 1,200 Herman Miller, Inc .............................. 19,464 700 Hershey Foods Corp .............................. 51,674 2,600 H.J. Heinz Co ................................... 93,262 35,500 Home Depot, Inc ................................. 1,187,475 500 International Flavors & Fragrances, Inc ......... 15,545 1,900 Kellogg Co ...................................... 61,921 1,100 Kraft Foods, Inc (Class A) ...................... 43,439 9,200 * Kroger Co ....................................... 167,532 11,700 Lowe's Cos ...................................... 526,149 6,000 Mattel, Inc ..................................... 120,180 1,100 McCormick & Co, Inc (Non-Vote) .................. 24,739 200 Newell Rubbermaid, Inc .......................... 6,776 100 * PayPal, Inc ..................................... 2,242 2,700 Pepsi Bottling Group, Inc ....................... 70,605 SHARES VALUE ------ ----- 26,700 PepsiCo, Inc .................................... $ 1,072,005 200 * Petco Animal Supplies, Inc ...................... 4,190 2,000 * Petsmart, Inc ................................... 35,858 19,800 Philip Morris Cos, Inc .......................... 916,740 11,600 Procter & Gamble Co ............................. 1,067,200 2,600 * RadioShack Corp ................................. 55,198 2,400 * Rite Aid Corp ................................... 6,360 2,900 * Safeway, Inc .................................... 78,300 5,900 Sara Lee Corp ................................... 109,327 7,100 * Staples, Inc .................................... 103,021 300 * Ticketmaster (Class B) .......................... 5,043 400 Tootsie Roll Industries, Inc .................... 12,724 1,300 UST, Inc ........................................ 39,507 15,500 Walgreen Co ..................................... 544,360 400 * Weight Watchers International, Inc .............. 17,900 800 * Whole Foods Market, Inc ......................... 37,600 1,700 Wrigley (Wm.) Jr Co ............................. 86,139 ----------- TOTAL CONSUMER NON-CYCLICAL ..................... 10,131,845 ----------- ENERGY--1.11% 500 Amerada Hess Corp ............................... 35,060 1,700 Anadarko Petroleum Corp ......................... 76,330 4,800 Baker Hughes, Inc ............................... 135,936 2,400 * BJ Services Co .................................. 66,648 600 Burlington Resources, Inc ....................... 22,680 600 * Cooper Cameron Corp ............................. 26,982 500 Diamond Offshore Drilling, Inc .................. 10,455 1,800 Ensco International, Inc ........................ 45,450 200 * Forest Oil Corp ................................. 5,316 1,300 * Grant Prideco, Inc .............................. 12,454 3,300 Halliburton Co .................................. 46,629 400 Murphy Oil Corp ................................. 34,312 800 * National-Oilwell, Inc ........................... 15,136 400 * Newfield Exploration Co ......................... 13,040 500 Noble Energy, Inc ............................... 16,150 1,900 Ocean Energy, Inc ............................... 37,430 1,000 * Patterson-UTI Energy, Inc ....................... 25,300 300 * Pioneer Natural Resources Co .................... 7,653 100 Pogo Producing Co ............................... 3,315 800 * Pride International, Inc ........................ 10,600 800 Rowan Cos, Inc .................................. 15,312 1,500 * Smith International, Inc ........................ 45,870 400 Tidewater, Inc .................................. 11,344 700 * Varco International, Inc ........................ 12,418 100 XTO Energy, Inc ................................. 2,053 ----------- TOTAL ENERGY 733,873 ----------- FINANCIAL SERVICES--10.03% 300 * Affiliated Managers Group, Inc .................. 14,976 3,800 Aflac, Inc ...................................... 114,380 1,200 Allied Capital Corp ............................. 27,384 100 Ambac Financial Group, Inc ...................... 5,726 11,100 American Express Co ............................. 379,509 15,200 American International Group, Inc ............... 890,720 1,000 * AmeriCredit Corp ................................ 13,510 3,800 Bank Of New York Co, Inc ........................ 123,766 300 * Blackrock, Inc .................................. 13,470 700 Brown & Brown, Inc .............................. 20,055 3,100 Capital One Financial Corp ...................... 120,652 1,000 * Catellus Development Corp ....................... 19,500 16,500 Charles Schwab Corp ............................. 165,165 1,300 * ChoicePoint, Inc ................................ 54,522 14,500 Citigroup, Inc .................................. 426,300 900 Commerce Bancorp, Inc ........................... 40,410 400 Doral Financial Corp ............................ 17,036 2,000 * E*trade Group, Inc .............................. 9,680 SEE NOTES TO FINANCIAL STATEMENTS B-106 - INSTITUTIONAL LARGE-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 900 Eaton Vance Corp ................................ $ 25,749 15,000 Fannie Mae ...................................... 1,090,500 1,200 Federated Investors, Inc (Class B) .............. 34,920 7,700 Fifth Third Bancorp ............................. 476,553 9,700 Freddie Mac ..................................... 606,541 1,300 Gallagher (Arthur J.) & Co ...................... 34,060 100 Greater Bay Bancorp ............................. 2,185 100 HCC Insurance Holdings, Inc ..................... 2,500 1,200 Household International, Inc .................... 41,604 200 Hudson United Bancorp ........................... 5,592 700 * Investment Technology Group, Inc ................ 22,400 1,000 Investors Financial Services Corp ............... 29,517 300 John Nuveen Co (Class A) ........................ 6,945 100 * LaBranche & Co, Inc ............................. 2,208 600 Legg Mason, Inc ................................. 27,606 7,800 Marsh & McLennan Cos, Inc ....................... 363,090 16,000 MBNA Corp ....................................... 326,400 3,200 Mellon Financial Corp ........................... 85,952 800 Neuberger Berman, Inc ........................... 24,040 500 New York Community Bancorp, Inc ................. 14,075 600 North Fork Bancorp, Inc ......................... 23,028 1,500 Northern Trust Corp ............................. 59,475 1,700 Progressive Corp ................................ 92,242 300 Provident Financial Group, Inc .................. 8,346 1,600 * Providian Financial Corp ........................ 8,976 200 Rouse Co ........................................ 6,398 1,100 SEI Investments Co .............................. 32,758 100 * Silicon Valley Bancshares ....................... 2,134 2,200 Slm Corp ........................................ 217,668 500 St. Joe Co ...................................... 14,510 1,300 Starwood Hotels & Resorts Worldwide, Inc ........ 31,694 3,300 State Street Corp ............................... 134,244 400 Stilwell Financial, Inc ......................... 5,848 4,500 Synovus Financial Corp .......................... 99,720 500 T Rowe Price Group, Inc ......................... 13,500 700 TCF Financial Corp .............................. 32,340 200 * United Rentals, Inc ............................. 2,668 1,100 Waddell & Reed Financial, Inc (Class A) ......... 20,185 2,300 Wells Fargo & Co ................................ 112,884 100 Westamerica Bancorp ............................. 4,132 ----------- TOTAL FINANCIAL SERVICES ........................ 6,601,948 ----------- HEALTH CARE--26.10% 23,600 Abbott Laboratories ............................. 887,832 400 * Accredo Health, Inc ............................. 20,040 1,100 * AdvancePCS ...................................... 24,189 800 * Affymetrix, Inc ................................. 15,256 2,100 Allergan, Inc ................................... 111,405 1,200 AmerisourceBergen Corp .......................... 86,340 17,800 * Amgen, Inc ...................................... 812,926 200 * AMN Healthcare Services, Inc .................... 4,280 1,000 * Andrx Corp ...................................... 24,650 1,700 * Anthem, Inc ..................................... 115,600 800 * Apogent Technologies, Inc ....................... 16,448 3,000 Applera Corp (Applied Biosystems Group) ......... 57,900 400 * Barr Laboratories, Inc .......................... 26,868 9,100 Baxter International, Inc ....................... 295,204 900 Beckman Coulter, Inc ............................ 36,495 600 Becton Dickinson & Co ........................... 18,084 2,200 * Biogen, Inc ..................................... 72,864 4,000 Biomet, Inc ..................................... 107,720 4,800 * Boston Scientific Corp .......................... 144,864 10,900 Bristol-Myers Squibb Co ......................... 284,599 6,800 Cardinal Health, Inc ............................ 450,500 3,400 * Caremark Rx, Inc ................................ 57,732 SHARES VALUE ------ ----- 1,100 * Celgene Corp .................................... $ 19,415 700 * Cephalon, Inc ................................... 29,729 400 * Cerner Corp ..................................... 15,196 700 * Charles River Laboratories International, Inc ... 26,327 1,400 * Chiron Corp ..................................... 52,220 500 * Community Health Systems, Inc ................... 12,050 300 * Coventry Health Care, Inc ....................... 9,675 1,900 * Cytyc Corp ...................................... 19,000 900 * DaVita, Inc ..................................... 20,493 1,100 Dentsply International, Inc ..................... 44,055 300 Diagnostic Products Corp ........................ 12,645 600 * Edwards Lifesciences Corp ....................... 14,856 1,000 * Express Scripts, Inc (Class A) .................. 53,180 1,500 * First Health Group Corp ......................... 39,600 800 * Fisher Scientific International, Inc ............ 23,296 2,400 * Forest Laboratories, Inc ........................ 187,560 3,000 * Genentech, Inc .................................. 91,290 2,500 * Genzyme Corp (General Division) ................. 46,000 2,600 * Gilead Sciences, Inc ............................ 83,304 4,600 * Guidant Corp .................................... 165,600 7,400 HCA, Inc ........................................ 354,090 3,600 * Health Management Associates, Inc (Class A) ..... 70,704 300 * Health Net, Inc ................................. 6,801 400 * Healthsouth Corp ................................ 1,876 400 * Henry Schein, Inc ............................... 21,692 900 * Human Genome Sciences, Inc ...................... 11,655 300 ICN Pharmaceuticals, Inc ........................ 3,069 1,700 * IDEC Pharmaceuticals Corp ....................... 74,171 4,400 IMS Health, Inc ................................. 70,972 400 * Invitrogen Corp ................................. 14,516 2,300 * IVAX Corp ....................................... 31,165 45,500 Johnson & Johnson ............................... 2,463,370 3,700 * King Pharmaceuticals, Inc ....................... 68,709 2,200 * Laboratory Corp Of America Holdings ............. 73,216 600 * LifePoint Hospitals, Inc ........................ 18,450 13,100 Lilly (Eli) & Co ................................ 760,717 1,600 * Lincare Holdings, Inc ........................... 51,056 600 * Manor Care, Inc ................................. 14,142 3,500 McKesson Corp ................................... 109,690 400 * Medicis Pharmaceutical Corp (Class A) ........... 17,052 3,800 * Medimmune, Inc .................................. 91,200 18,300 Medtronic, Inc .................................. 762,927 19,800 Merck & Co, Inc ................................. 975,546 700 * Mid Atlantic Medical Services, Inc .............. 25,480 2,400 * Millennium Pharmaceuticals, Inc ................. 28,104 700 * Millipore Corp .................................. 24,094 1,800 Mylan Laboratories, Inc ......................... 59,040 700 Omnicare, Inc ................................... 15,820 600 * Orthodontic Centers Of America, Inc ............. 9,000 1,300 * Oxford Health Plans, Inc ........................ 55,406 100 Pall Corp ....................................... 1,741 700 * Patterson Dental Co ............................. 35,105 94,300 Pfizer, Inc ..................................... 2,807,311 700 * Pharmaceutical Product Development, Inc ......... 14,448 19,500 Pharmacia Corp .................................. 778,050 1,100 * Quest Diagnostics, Inc .......................... 62,667 900 * Quintiles Transnational Corp .................... 8,820 600 * Renal Care Group, Inc ........................... 19,938 300 * Ribapharm, Inc .................................. 1,356 8,900 Schering-Plough Corp ............................ 210,663 1,000 * SICOR, Inc ...................................... 15,440 2,700 * St. Jude Medical, Inc ........................... 97,119 1,000 * Steris Corp ..................................... 22,750 2,000 Stryker Corp .................................... 114,980 7,400 * Tenet Healthcare Corp ........................... 378,732 SEE NOTES TO FINANCIAL STATEMENTS B-107 - INSTITUTIONAL LARGE-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 600 * Triad Hospitals, Inc ............................ $ 22,812 4,100 UnitedHealth Group, Inc ......................... 376,380 700 * Universal Health Services, Inc (Class B) ........ 34,006 1,000 * Varian Medical Systems, Inc ..................... 43,680 2,000 * Waters Corp ..................................... 51,760 600 * Watson Pharmaceuticals, Inc ..................... 15,336 2,200 * WebMD Corp ...................................... 13,222 2,200 * Wellpoint Health Networks, Inc .................. 171,072 20,000 Wyeth ........................................... 856,600 2,900 * Zimmer Holdings, Inc ............................ 106,720 ----------- TOTAL HEALTH CARE 17,181,725 ----------- OTHER--1.61% 700 * Career Education Corp ........................... 31,500 1,800 Cintas Corp ..................................... 77,310 900 * DeVry, Inc ...................................... 16,992 900 * Dun & Bradstreet Corp ........................... 31,914 400 * Education Management Corp ....................... 16,456 400 * Getty Images, Inc ............................... 7,756 600 * GTECH Holdings Corp ............................. 14,412 2,800 H & R Block, Inc ................................ 143,472 100 HON Industries, Inc ............................. 2,676 1,100 Honeywell International, Inc .................... 25,916 100 * Hotels.Com (Class A) ............................ 4,694 100 ITT Industries, Inc ............................. 6,640 800 Manpower, Inc ................................... 25,896 2,000 Moody's Corp .................................... 97,480 2,300 * Robert Half International, Inc .................. 38,571 200 * SPX Corp ........................................ 21,522 10,000 Sysco Corp ...................................... 305,000 100 Teleflex, Inc ................................... 4,727 800 * TMP Worldwide, Inc .............................. 8,760 2,600 United Technologies Corp ........................ 150,800 1,100 Viad Corp ....................................... 24,651 ----------- TOTAL OTHER 1,057,145 ----------- PRODUCER DURABLES--7.50% 4,300 3M Co ........................................... 515,269 600 * AGCO Corp ....................................... 12,636 1,700 * Allied Waste Industries, Inc .................... 13,090 1,700 Danaher Corp .................................... 95,880 700 * Flowserve Corp .................................. 12,145 100 * FMC Technologies, Inc ........................... 1,846 150,100 General Electric Co ............................. 4,060,205 1,600 Illinois Tool Works, Inc ........................ 101,280 400 * National Instruments Corp ....................... 10,628 2,200 Pitney Bowes, Inc ............................... 73,766 1,700 Waste Management, Inc ........................... 42,874 ----------- TOTAL PRODUCER DURABLES 4,939,619 ----------- TECHNOLOGY--22.84% 800 * Activision, Inc ................................. 21,592 800 * Acxiom Corp ..................................... 14,736 800 * Adaptec, Inc .................................... 4,480 4,900 * ADC Telecommunications, Inc ..................... 7,154 3,600 Adobe Systems, Inc .............................. 74,772 700 * Advanced Fibre Communications, Inc .............. 11,732 1,600 * Advanced Micro Devices, Inc ..................... 11,536 500 * Advent Software, Inc ............................ 7,250 1,500 * Affiliated Computer Services, Inc (Class A) ..... 69,825 13,600 * Agere Systems, Inc (Class B) .................... 18,088 3,300 * Agilent Technologies, Inc ....................... 49,434 700 * Alliance Data Systems Corp ...................... 10,633 5,800 * Altera Corp ..................................... 59,218 300 * American Power Conversion Corp .................. 3,492 800 * Amkor Technology, Inc ........................... 1,592 SHARES VALUE ------ ----- 300 * Amphenol Corp (Class A) ......................... $ 11,280 5,500 * Analog Devices, Inc ............................. 126,500 24,800 * Applied Materials, Inc .......................... 323,144 2,300 * Applied Micro Circuits Corp ..................... 8,671 400 * Arrow Electronics, Inc .......................... 6,028 4,300 * Atmel Corp ...................................... 7,654 500 Autodesk, Inc ................................... 6,745 9,400 Automatic Data Processing, Inc .................. 353,816 700 * Avaya, Inc ...................................... 1,435 5,400 * BEA Systems, Inc ................................ 29,592 1,700 * Bisys Group, Inc ................................ 39,185 2,000 * BMC Software, Inc ............................... 29,440 1,500 * Broadcom Corp (Class A) ......................... 22,875 3,500 * Brocade Communications Systems, Inc ............. 43,190 4,000 * Cadence Design Systems, Inc ..................... 54,320 1,800 * Ceridian Corp ................................... 27,666 900 * Certegy, Inc .................................... 25,515 500 * Checkfree Corp .................................. 6,525 3,300 * CIENA Corp ...................................... 13,596 110,500 * Cisco Systems, Inc .............................. 1,442,025 2,400 * Citrix Systems, Inc ............................. 15,216 800 Computer Associates International, Inc .......... 8,872 200 * Computer Sciences Corp .......................... 6,980 2,200 * Compuware Corp .................................. 7,348 1,400 * Comverse Technology, Inc ........................ 10,934 7,700 * Concord EFS, Inc ................................ 122,430 1,900 * Conexant Systems, Inc ........................... 2,546 2,600 * Convergys Corp .................................. 49,114 6,200 * Corning, Inc .................................... 12,462 800 * CSG Systems International, Inc .................. 9,584 500 * Cymer, Inc ...................................... 11,175 1,400 * Cypress Semiconductor Corp ...................... 12,796 34,100 * Dell Computer Corp .............................. 913,880 1,000 Deluxe Corp ..................................... 46,590 1,800 * DST Systems, Inc ................................ 62,100 1,800 * Electronic Arts, Inc ............................ 113,094 6,100 Electronic Data Systems Corp .................... 237,534 18,800 * EMC Corp ........................................ 121,824 1,000 * Emulex Corp ..................................... 17,150 2,000 Equifax, Inc .................................... 47,020 800 Fair, Isaac & Co, Inc ........................... 28,464 1,600 * Fairchild Semiconductor International, Inc (Class A) 16,320 11,500 First Data Corp ................................. 390,770 2,900 * Fiserv, Inc ..................................... 97,672 500 Global Payments, Inc ............................ 11,700 500 Harris Corp ..................................... 16,375 1,000 Henry (Jack) & Associates, Inc .................. 16,178 2,300 * i2 Technologies, Inc ............................ 1,764 300 * Ingram Micro, Inc (Class A) ..................... 4,014 700 * Integrated Circuit Systems, Inc ................. 11,907 800 * Integrated Device Technology, Inc ............... 9,480 101,000 Intel Corp ...................................... 1,619,030 12,000 International Business Machines Corp ............ 871,800 800 * International Rectifier Corp .................... 15,080 1,200 * Intersil Corp (Class A) ......................... 18,600 2,900 * Intuit, Inc ..................................... 137,083 600 * Iron Mountain, Inc .............................. 15,636 1,500 * J.D. Edwards & Co ............................... 17,115 2,100 * Jabil Circuit, Inc .............................. 37,569 9,100 * JDS Uniphase Corp ............................... 23,296 4,300 * Juniper Networks, Inc ........................... 28,466 2,900 * KLA-Tencor Corp ................................. 91,785 2,200 * KPMG Consulting, Inc ............................ 22,044 1,900 * Lam Research Corp ............................... 20,425 2,000 * Lexmark International, Inc ...................... 95,940 SEE NOTES TO FINANCIAL STATEMENTS B-108 - INSTITUTIONAL LARGE-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 4,800 Linear Technology Corp .......................... $ 108,096 2,800 * LSI Logic Corp .................................. 21,364 700 * Macromedia, Inc ................................. 5,943 4,900 * Maxim Integrated Products, Inc .................. 136,710 1,200 * Mercury Interactive Corp ........................ 28,500 500 * Mettler-Toledo International, Inc ............... 15,000 900 * Micrel, Inc ..................................... 6,462 3,000 * Microchip Technology, Inc ....................... 50,850 4,200 * Micron Technology, Inc .......................... 69,300 67,600 * Microsoft Corp .................................. 3,238,716 300 * MKS Instruments, Inc ............................ 3,648 1,700 Molex, Inc ...................................... 44,540 22,600 Motorola, Inc ................................... 260,126 100 * National Processing, Inc ........................ 1,967 2,300 * National Semiconductor Corp ..................... 30,337 4,500 * Network Appliance, Inc .......................... 41,580 2,200 * Network Associates, Inc ......................... 31,284 2,000 * Novellus Systems, Inc ........................... 47,700 1,900 * Nvidia Corp ..................................... 20,083 62,200 * Oracle Corp ..................................... 605,206 4,900 Paychex, Inc .................................... 114,709 4,200 * Peoplesoft, Inc ................................. 64,974 1,000 * Perot Systems Corp (Class A) .................... 12,290 2,500 * PMC-Sierra, Inc ................................. 14,600 1,100 * Polycom, Inc .................................... 9,603 1,300 * QLogic Corp ..................................... 43,836 11,600 * Qualcomm, Inc ................................... 330,832 2,300 * Rational Software Corp .......................... 14,191 1,100 * RealNetworks, Inc ............................... 4,675 1,000 Reynolds & Reynolds Co (Class A) ................ 26,250 2,200 * RF Micro Devices, Inc ........................... 14,278 4,200 * Sanmina-SCI Corp ................................ 13,948 900 * Semtech Corp .................................... 9,756 5,900 * Siebel Systems, Inc ............................. 48,498 6,200 * Solectron Corp .................................. 20,150 300 * Storage Technology Corp ......................... 4,014 23,800 * Sun Microsystems, Inc ........................... 74,066 4,300 * Sungard Data Systems, Inc ....................... 98,771 600 * Sybase, Inc ..................................... 7,950 2,200 * Symantec Corp ................................... 74,756 1,700 Symbol Technologies, Inc ........................ 14,943 1,100 * Synopsys, Inc ................................... 49,247 200 * Tech Data Corp .................................. 6,488 200 * Tektronix, Inc .................................. 3,454 2,800 * Tellabs, Inc .................................... 14,084 SHARES VALUE ------ ----- 2,200 * Teradyne, Inc ................................... $ 27,060 26,200 Texas Instruments, Inc .......................... 497,800 800 * Thermo Electron Corp ............................ 13,600 600 Total System Services, Inc ...................... 9,468 800 * Unisys Corp ..................................... 6,800 900 * Utstarcom, Inc .................................. 12,969 1,700 * VeriSign, Inc ................................... 12,869 5,300 * Veritas Software Corp ........................... 94,022 500 * Vishay Intertechnology, Inc ..................... 5,605 5,100 * Xilinx, Inc ..................................... 92,310 300 * Zebra Technologies Corp (Class A) ............... 16,332 ----------- TOTAL TECHNOLOGY 15,038,508 ----------- TRANSPORTATION--0.88% 1,000 C.H. Robinson Worldwide, Inc .................... 27,044 1,400 Expeditors International Of Washington, Inc ..... 37,786 2,200 * Sabre Holdings Corp ............................. 55,132 500 Skywest, Inc .................................... 7,275 5,800 Southwest Airlines Co ........................... 80,330 500 * Swift Transportation Co, Inc .................... 9,190 5,900 United Parcel Service, Inc (Class B) ............ 365,505 ----------- TOTAL TRANSPORTATION 582,262 ----------- UTILITIES--0.51% 16,900 * A T & T Wireless Services, Inc .................. 87,711 2,500 * AES Corp ........................................ 7,900 1,600 * Calpine Corp .................................... 6,144 2,000 * Citizens Communications Co ...................... 13,960 800 Kinder Morgan, Inc .............................. 33,224 4,900 * Level 3 Communications, Inc ..................... 22,099 1,000 * Mirant Corp ..................................... 3,170 10,100 * Nextel Communications, Inc (Class A) ............ 83,729 10,300 * Qwest Communications International, Inc ......... 35,947 10,700 * Sprint Corp (PCS Group) ......................... 35,845 300 * West Corp ....................................... 4,551 600 Williams Cos, Inc ............................... 1,680 ----------- TOTAL UTILITIES 335,960 ----------- TOTAL COMMON STOCK (COST $64,685,569) 65,481,208 ----------- TOTAL PORTFOLIO--99.46% (COST $64,685,569) 65,481,208 OTHER ASSETS & LIABILITIES, NET--0.54% 357,110 ----------- NET ASSETS--100.00% $65,838,318 ----------- ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-109 - INSTITUTIONAL LARGE-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--99.59% AEROSPACE AND DEFENSE--1.88% 4,200 Boeing Co ....................................... $ 149,436 2,000 General Dynamics Corp ........................... 166,040 6,100 * General Motors Corp ............................. 57,584 1,400 Goodrich Corp ................................... 29,806 4,200 Lockheed Martin Corp ............................ 276,066 1,400 Northrop Grumman Corp ........................... 176,400 200 * PanAmSat Corp ................................... 3,558 1,000 PerkinElmer, Inc ................................ 5,350 800 Precision Castparts Corp ........................ 18,760 5,800 Raytheon Co ..................................... 205,204 2,300 Rockwell Collins, Inc ........................... 46,575 100 * Titan Corp ...................................... 1,100 ----------- TOTAL AEROSPACE AND DEFENSE ..................... 1,135,879 ----------- BASIC INDUSTRIES--6.58% 3,300 Air Products & Chemicals, Inc ................... 149,952 1,300 * AK Steel Holding Corp ........................... 12,090 400 Albemarle Corp .................................. 11,576 10,500 Alcoa, Inc ...................................... 230,895 1,200 Allegheny Technologies, Inc ..................... 9,480 100 * American Standard Cos, Inc ...................... 7,134 500 Aptargroup, Inc ................................. 15,200 400 Avery Dennison Corp ............................. 24,000 600 Ball Corp ....................................... 32,340 700 Bemis Co ........................................ 36,617 100 Black & Decker Corp ............................. 4,387 700 Boise Cascade Corp .............................. 17,885 800 Bowater, Inc .................................... 31,088 800 Cabot Corp ...................................... 18,632 900 Centex Corp ..................................... 44,820 1,300 Clayton Homes, Inc .............................. 17,017 13,200 Dow Chemical Co ................................. 382,668 1,300 D.R. Horton, Inc ................................ 28,626 14,400 Du Pont (E.I.) de Nemours & Co .................. 577,152 1,100 Eastman Chemical Co ............................. 47,487 1,900 Engelhard Corp .................................. 49,020 1,000 Fluor Corp ...................................... 26,900 3,300 Georgia-Pacific Corp ............................ 59,400 1,100 * Hercules, Inc ................................... 11,385 1,600 IMC Global, Inc ................................. 22,864 7,000 International Paper Co .......................... 259,280 200 * Jacobs Engineering Group, Inc ................... 6,788 600 KB Home ......................................... 30,990 3,700 Kimberly-Clark Corp ............................. 218,892 500 Lafarge North America, Inc ...................... 16,015 700 Lennar Corp ..................................... 40,698 700 Lubrizol Corp ................................... 21,539 1,800 Lyondell Chemical Co ............................ 26,100 700 Martin Marietta Materials, Inc .................. 26,915 3,800 Masco Corp ...................................... 91,352 2,900 MeadWestvaco Corp ............................... 64,525 3,800 Monsanto Co ..................................... 61,940 500 Newmont Mining Corp ............................. 14,670 1,100 Nucor Corp ...................................... 57,332 400 OM Group, Inc ................................... 21,308 1,600 * Owens-Illinois, Inc ............................. 21,360 900 * Packaging Corp Of America ....................... 15,975 2,300 * Pactiv Corp ..................................... 41,262 300 Peabody Energy Corp ............................. 7,413 1,200 * Phelps Dodge Corp ............................... 34,548 2,700 Plum Creek Timber Co, Inc ....................... 68,337 2,500 PPG Industries, Inc ............................. 128,675 2,400 Praxair, Inc .................................... 134,832 700 Pulte Homes, Inc ................................ 33,110 SHARES VALUE ------ ----- 400 Rayonier, Inc ................................... $ 18,204 2,300 Rohm & Haas Co .................................. 78,775 1,600 RPM, Inc ........................................ 22,960 400 Ryland Group, Inc ............................... 17,360 100 * Sealed Air Corp ................................. 1,714 200 * Shaw Group, Inc ................................. 3,050 1,800 Sherwin-Williams Co ............................. 46,440 900 Sigma-Aldrich Corp .............................. 45,153 2,500 * Smurfit-Stone Container Corp .................... 36,775 800 Snap-On, Inc .................................... 19,248 1,400 Sonoco Products Co .............................. 30,800 400 Stanley Works ................................... 13,472 700 Temple-Inland, Inc .............................. 33,593 700 * Toll Brothers, Inc .............................. 18,004 1,400 United States Steel Corp ........................ 18,606 500 Valspar Corp .................................... 19,975 1,300 Vulcan Materials Co ............................. 52,468 3,200 Weyerhaeuser Co ................................. 168,192 600 York International Corp ......................... 19,008 ----------- TOTAL BASIC INDUSTRIES 3,976,268 ----------- CONSUMER CYCLICAL--10.46% 400 * American Axle & Manufacturing Holdings, Inc ..... 11,980 100 * American Eagle Outfitters, Inc .................. 1,641 1,000 * American Greetings Corp (Class A) ............... 17,550 32,800 * AOL Time Warner, Inc ............................ 422,792 900 ArvinMeritor, Inc ............................... 21,240 1,400 Autoliv, Inc .................................... 31,626 1,300 Belo Corp (Class A) ............................. 30,797 800 * Big Lots, Inc ................................... 15,000 300 Blockbuster, Inc (Class A) ...................... 6,996 400 BorgWarner, Inc ................................. 24,000 100 * Brinker International, Inc ...................... 2,639 1,300 Brunswick Corp .................................. 30,251 1,900 * Cablevision Systems Corp (Class A) .............. 20,862 700 Callaway Golf Co ................................ 10,360 600 CBRL Group, Inc ................................. 14,011 1,800 * Charter Communications, Inc (Class A) ........... 5,490 3,700 * Clear Channel Communications, Inc ............... 134,125 12,900 * Comcast Corp (Class A) Special .................. 308,568 900 Cooper Tire & Rubber Co ......................... 18,639 2,900 * Cox Communications, Inc (Class A) ............... 78,474 200 * Cox Radio, Inc (Class A) ........................ 5,122 200 * Cumulus Media, Inc (Class A) .................... 3,370 2,200 Dana Corp ....................................... 35,398 8,100 Delphi Corp ..................................... 83,349 1,000 Dillard's, Inc (Class A) ........................ 25,480 200 Donaldson Co, Inc ............................... 7,384 200 Dow Jones & Co, Inc ............................. 8,660 4,200 Eastman Kodak Co ................................ 119,112 500 * Emmis Communications Corp (Class A) ............. 8,785 600 * Entravision Communications Corp (Class A) ....... 7,140 800 * Extended Stay America, Inc ...................... 11,008 2,900 * Federated Department Stores, Inc ................ 104,777 1,200 * Foot Locker, Inc ................................ 11,676 26,300 Ford Motor Co ................................... 280,095 300 Forest City Enterprises, Inc (Class A) .......... 10,515 1,000 * Fox Entertainment Group, Inc (Class A) .......... 23,060 3,900 Gannett Co, Inc ................................. 296,868 1,600 * Gemstar-TV Guide International, Inc ............. 5,440 8,100 General Motors Corp ............................. 357,048 2,500 Genuine Parts Co ................................ 80,475 2,100 Goodyear Tire & Rubber Co ....................... 26,166 100 * Harrah's Entertainment, Inc ..................... 4,850 200 Harte-Hanks, Inc ................................ 4,218 200 * Hearst-Argyle Television, Inc ................... 4,862 SEE NOTES TO FINANCIAL STATEMENTS B-110 - INSTITUTIONAL LARGE-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 3,800 Hilton Hotels Corp .............................. $ 42,940 300 * Hispanic Broadcasting Corp ...................... 5,571 500 * Interactive Data Corp ........................... 6,650 200 International Speedway Corp (Class A) ........... 8,094 3,900 J.C. Penney Co, Inc ............................. 71,370 1,300 Johnson Controls, Inc ........................... 106,184 1,600 * Jones Apparel Group, Inc ........................ 58,896 1,200 Knight Ridder, Inc .............................. 75,828 300 * Lamar Advertising Co ............................ 9,333 700 La-Z-Boy, Inc ................................... 17,500 900 * Lear Corp ....................................... 42,570 600 Lee Enterprises, Inc ............................ 20,652 2,000 Leggett & Platt, Inc ............................ 42,280 37,700 * Liberty Media Corp (Class A) .................... 312,910 3,800 Limited Brands, Inc ............................. 59,964 100 * Lin TV Corp (Class A) ........................... 2,470 1,500 Liz Claiborne, Inc .............................. 41,595 500 * Mandalay Resort Group ........................... 15,535 1,300 Marriott International, Inc (Class A) ........... 40,560 4,200 May Department Stores Co ........................ 113,358 300 McClatchy Co (Class A) .......................... 17,763 18,500 McDonald's Corp ................................. 379,805 400 McGraw-Hill Cos, Inc ............................ 25,192 200 Media General, Inc (Class A) .................... 10,510 500 Meredith Corp ................................... 21,685 300 * Metro-Goldwyn-Mayer, Inc ........................ 3,618 900 * MGM Mirage ...................................... 32,490 100 * MSC Industrial Direct Co (Class A) .............. 1,153 500 * Neiman Marcus Group, Inc (Class A) .............. 15,800 600 New York Times Co (Class A) ..................... 29,262 300 Nike, Inc (Class B) ............................. 12,519 1,400 Nordstrom, Inc .................................. 29,736 100 * O'Reilly Automotive, Inc ........................ 3,096 400 * Outback Steakhouse, Inc ......................... 11,064 3,900 * Park Place Entertainment Corp ................... 35,022 200 * Performance Food Group Co ....................... 6,538 900 Pier 1 Imports, Inc ............................. 17,703 400 * Polo Ralph Lauren Corp .......................... 9,452 1,300 R.R. Donnelley & Sons Co ........................ 32,383 500 * Radio One, Inc (Class D) ........................ 8,715 1,000 Reader's Digest Association, Inc (Class A) ...... 16,490 700 * Reebok International Ltd ........................ 16,926 100 * Regal Entertainment Group (Class A) ............. 1,820 1,800 * Saks, Inc ....................................... 21,546 200 * Scholastic Corp ................................. 9,344 200 * Scotts Co (Class A) ............................. 8,600 4,100 Sears Roebuck & Co .............................. 185,320 1,300 * Six Flags, Inc .................................. 6,331 100 * Sonic Automotive, Inc ........................... 2,094 400 Steelcase, Inc (Class A) ........................ 5,180 2,800 Tribune Co ...................................... 117,600 1,500 TRW, Inc ........................................ 88,050 500 * U.S.A. Networks, Inc ............................ 10,705 700 * UnitedGlobalcom, Inc (Class A) .................. 1,218 700 * Valassis Communications, Inc .................... 26,481 1,200 VF Corp ......................................... 47,196 13,600 * Viacom, Inc (Class B) ........................... 577,728 1,900 Visteon Corp .................................... 21,185 29,600 Walt Disney Co .................................. 458,800 100 Washington Post Co (Class B) .................... 63,101 700 Wendy's International, Inc ...................... 22,582 900 Whirlpool Corp .................................. 46,566 900 * Yum! Brands, Inc ................................ 26,397 SHARES VALUE ------ ----- 300 * Zale Corp ....................................... $ 9,702 ----------- TOTAL CONSUMER CYCLICAL 6,320,627 ----------- CONSUMER NON-CYCLICAL--7.57% 500 Alberto-Culver Co (Class B) ..................... 24,975 5,500 Albertson's, Inc ................................ 148,610 4,200 Anheuser-Busch Cos, Inc ......................... 220,500 8,300 Archer Daniels Midland Co ....................... 100,181 2,900 * Autonation, Inc ................................. 36,424 3,400 Avon Products, Inc .............................. 170,034 500 * Barnes & Noble, Inc ............................. 12,000 1,000 * Borders Group, Inc .............................. 18,690 3,300 Campbell Soup Co ................................ 74,448 200 Church & Dwight Co, Inc ......................... 6,462 200 * Circuit City Stores, Inc (Carmax Group) ......... 3,700 2,700 Circuit City Stores, Inc (Circuit City Group) ... 45,117 1,200 Clorox Co ....................................... 51,600 4,400 Coca-Cola Co .................................... 218,460 200 Coca-Cola Enterprises, Inc ...................... 4,220 900 Colgate-Palmolive Co ............................ 49,950 7,800 Conagra Foods, Inc .............................. 197,808 600 * Constellation Brands, Inc (Class A) ............. 17,550 400 Coors (Adolph) Co (Class B) ..................... 24,944 3,200 * Costco Wholesale Corp ........................... 108,640 5,700 CVS Corp ........................................ 169,347 1,300 * Dean Foods Co ................................... 50,648 600 Dial Corp ....................................... 12,180 600 Dole Food Co .................................... 15,366 1,200 * Energizer Holdings, Inc ......................... 36,744 400 Estee Lauder Cos (Class A) ...................... 12,608 200 Ethan Allen Interiors, Inc ...................... 6,740 300 * Furniture Brands International, Inc ............. 6,990 100 * Gamestop Corp ................................... 1,960 1,500 General Mills, Inc .............................. 63,375 6,300 Gillette Co ..................................... 195,993 2,000 Hasbro, Inc ..................................... 25,000 700 Hershey Foods Corp .............................. 51,674 2,600 H.J. Heinz Co ................................... 93,262 1,100 Hormel Foods Corp ............................... 24,167 600 International Flavors & Fragrances, Inc ......... 18,654 1,700 Kellogg Co ...................................... 55,403 3,000 Kraft Foods, Inc (Class A) ...................... 118,470 2,700 * Kroger Co ....................................... 49,167 400 Lancaster Colony Corp ........................... 17,876 400 Loews Corp (Carolina Group) ..................... 9,100 500 Mattel, Inc ..................................... 10,015 1,000 McCormick & Co, Inc (Non-Vote) .................. 22,490 3,700 Newell Rubbermaid, Inc .......................... 125,356 4,400 * Office Depot, Inc ............................... 60,632 1,200 PepsiAmericas, Inc .............................. 17,508 12,100 Philip Morris Cos, Inc .......................... 560,230 7,700 Procter & Gamble Co ............................. 708,400 1,300 R.J. Reynolds Tobacco Holdings, Inc ............. 68,003 3,500 * Rite Aid Corp ................................... 9,275 4,200 * Safeway, Inc .................................... 113,400 5,700 Sara Lee Corp ................................... 105,621 1,600 * Smithfield Foods, Inc ........................... 29,056 100 * Ticketmaster (Class B) .......................... 1,681 2,800 * Toys "R" Us, Inc ................................ 37,268 3,300 Tyson Foods, Inc (Class A) ...................... 40,095 1,200 UST, Inc ........................................ 36,468 900 Winn-Dixie Stores, Inc .......................... 14,643 800 Wrigley (Wm.) Jr Co ............................. 40,536 ----------- TOTAL CONSUMER NON-CYCLICAL ..................... 4,569,714 ----------- SEE NOTES TO FINANCIAL STATEMENTS B-111 - INSTITUTIONAL LARGE-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- ENERGY--10.54% 500 Amerada Hess Corp ............................... $ 35,060 2,000 Anadarko Petroleum Corp ......................... 89,800 2,000 Apache Corp ..................................... 114,580 1,000 Ashland, Inc .................................... 29,350 300 Baker Hughes, Inc ............................... 8,496 2,300 Burlington Resources, Inc ....................... 86,940 15,500 ChevronTexaco Corp .............................. 1,134,445 9,800 ConocoPhillips .................................. 509,110 2,100 Devon Energy Corp ............................... 101,661 300 Diamond Offshore Drilling, Inc .................. 6,273 400 Ensco International, Inc ........................ 10,100 1,700 EOG Resources, Inc .............................. 59,874 98,500 Exxon Mobil Corp ................................ 3,356,880 200 * Forest Oil Corp ................................. 5,316 3,200 Halliburton Co .................................. 45,216 700 Helmerich & Payne, Inc .......................... 24,024 1,500 Kerr-McGee Corp ................................. 66,330 4,500 Marathon Oil Corp ............................... 110,835 100 Murphy Oil Corp ................................. 8,578 400 * National-Oilwell, Inc ........................... 7,568 300 * Newfield Exploration Co ......................... 9,780 400 Noble Energy, Inc ............................... 12,920 5,400 Occidental Petroleum Corp ....................... 157,248 700 Ocean Energy, Inc ............................... 13,790 100 * Patterson-UTI Energy, Inc ....................... 2,530 1,200 * Pennzoil-Quaker State Co ........................ 26,196 1,400 * Pioneer Natural Resources Co .................... 35,714 700 Pogo Producing Co ............................... 23,205 300 * Premcor, Inc .................................... 5,280 800 * Pride International, Inc ........................ 10,600 600 Rowan Cos, Inc .................................. 11,484 1,000 Sunoco, Inc ..................................... 33,290 400 Tidewater, Inc .................................. 11,344 3,600 Unocal Corp ..................................... 117,864 1,500 Valero Energy Corp .............................. 46,260 400 * Varco International, Inc ........................ 7,096 1,500 XTO Energy, Inc ................................. 30,795 ----------- TOTAL ENERGY 6,365,832 ----------- FINANCIAL SERVICES--33.15% 100 21st Century Insurance Group .................... 1,191 1,200 A.G. Edwards, Inc ............................... 43,860 100 * Affiliated Managers Group, Inc .................. 4,992 3,900 Aflac, Inc ...................................... 117,390 300 Allied Capital Corp ............................. 6,846 800 Allmerica Financial Corp ........................ 16,872 10,300 Allstate Corp ................................... 386,353 1,200 AMB Property Corp ............................... 34,980 1,100 Ambac Financial Group, Inc ...................... 62,986 6,400 American Express Co ............................. 218,816 400 American Financial Group, Inc ................... 9,644 18,800 American International Group, Inc ............... 1,101,680 100 American National Insurance Co .................. 7,780 300 * AmeriCredit Corp ................................ 4,053 600 AmerUs Group Co ................................. 18,942 5,300 AmSouth Bancorp ................................. 115,063 1,200 Annaly Mortgage Management, Inc ................. 23,664 3,500 AON Corp ........................................ 74,200 1,200 Apartment Investment & Management Co (Class A) .. 50,148 2,600 Archstone-Smith Trust ........................... 67,470 800 Arden Realty, Inc ............................... 19,680 1,100 Associated Banc-Corp ............................ 36,014 1,200 Astoria Financial Corp .......................... 32,640 900 AvalonBay Communities, Inc ...................... 40,095 1,200 Bancorpsouth, Inc ............................... 24,804 SHARES VALUE ------ ----- 22,400 Bank Of America Corp ............................ $ 1,529,920 1,000 Bank Of Hawaii Corp ............................. 28,560 6,900 Bank Of New York Co, Inc ........................ 224,733 17,100 Bank One Corp ................................... 672,372 2,100 Banknorth Group, Inc ............................ 51,765 7,000 BB&T Corp ....................................... 261,590 1,400 Bear Stearns Cos, Inc ........................... 85,554 500 Berkley (W.R.) Corp ............................. 17,175 200 * BOK Financial Corp .............................. 6,748 1,000 Boston Properties, Inc .......................... 38,550 700 BRE Properties, Inc (Class A) ................... 22,330 500 Camden Property Trust ........................... 17,465 300 Capitol Federal Financial ....................... 7,185 800 CarrAmerica Realty Corp ......................... 21,680 300 * Catellus Development Corp ....................... 5,850 300 Centerpoint Properties Corp ..................... 16,785 3,200 Charter One Financial, Inc ...................... 99,743 2,400 Chubb Corp ...................................... 148,104 2,000 Cincinnati Financial Corp ....................... 73,700 60,800 Citigroup, Inc .................................. 1,787,520 700 Citizens Banking Corp ........................... 17,430 600 City National Corp .............................. 30,258 400 * CNA Financial Corp .............................. 11,020 1,700 Colonial Bancgroup, Inc ......................... 22,406 2,600 Comerica, Inc ................................... 139,100 900 Commerce Bancshares, Inc ........................ 37,980 1,900 Compass Bancshares, Inc ......................... 60,553 1,500 Countrywide Credit Industries, Inc .............. 78,150 500 Cousins Properties, Inc ......................... 11,890 1,200 Crescent Real Estate Equities Co ................ 20,616 700 Cullen/Frost Bankers, Inc ....................... 25,018 800 Developers Diversified Realty Corp .............. 18,304 100 Doral Financial Corp ............................ 4,259 300 Downey Financial Corp ........................... 10,791 2,000 Duke Realty Corp ................................ 52,000 2,100 * E*trade Group, Inc .............................. 10,164 6,100 Equity Office Properties Trust .................. 168,482 4,000 Equity Residential .............................. 107,080 300 Erie Indemnity Co (Class A) ..................... 13,230 1,400 Fidelity National Financial, Inc ................ 42,126 1,000 First American Corp ............................. 21,290 700 First Midwest Bancorp, Inc ...................... 19,481 1,800 First Tennessee National Corp ................... 66,150 1,000 First Virginia Banks, Inc ....................... 37,940 1,200 FirstMerit Corp ................................. 28,836 15,200 FleetBoston Financial Corp ...................... 352,184 600 FNB Corp ........................................ 17,808 2,500 Franklin Resources, Inc ......................... 84,775 700 Freddie Mac ..................................... 43,771 1,500 Fulton Financial Corp ........................... 27,810 900 General Growth Properties, Inc .................. 45,000 1,000 Golden State Bancorp, Inc ....................... 32,660 1,800 Golden West Financial Corp ...................... 114,840 3,500 Goldman Sachs Group, Inc ........................ 255,500 500 Greater Bay Bancorp ............................. 10,925 1,200 Greenpoint Financial Corp ....................... 55,164 3,600 Hartford Financial Services Group, Inc .......... 173,520 800 HCC Insurance Holdings, Inc ..................... 20,000 800 Health Care Property Investors, Inc ............. 34,024 2,300 Hibernia Corp (Class A) ......................... 48,093 700 Highwoods Properties, Inc ....................... 16,625 900 Hospitality Properties Trust .................... 30,582 3,400 * Host Marriott Corp .............................. 34,068 5,500 Household International, Inc .................... 190,685 1,100 Hudson City Bancorp, Inc ........................ 19,261 SEE NOTES TO FINANCIAL STATEMENTS B-112 - INSTITUTIONAL LARGE-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 500 Hudson United Bancorp ........................... $ 13,980 3,600 Huntington Bancshares, Inc ...................... 69,660 800 Independence Community Bank Corp ................ 22,320 800 * IndyMac Bancorp, Inc ............................ 17,920 600 Instinet Group, Inc ............................. 3,156 600 iStar Financial, Inc ............................ 17,088 2,200 Jefferson-Pilot Corp ............................ 92,224 4,300 John Hancock Financial Services, Inc ............ 129,129 28,900 J.P. Morgan Chase & Co .......................... 636,956 6,200 KeyCorp ......................................... 162,936 1,300 Kimco Realty Corp ............................... 41,080 600 * LaBranche & Co, Inc ............................. 13,248 400 Legg Mason, Inc ................................. 18,404 3,500 Lehman Brothers Holdings, Inc ................... 192,290 500 Leucadia National Corp .......................... 17,060 2,700 Lincoln National Corp ........................... 88,695 1,100 M & T Bank Corp ................................. 87,956 600 Mack-Cali Realty Corp ........................... 19,968 100 * Markel Corp ..................................... 20,936 400 Marsh & McLennan Cos, Inc ....................... 18,620 3,100 Marshall & Ilsley Corp .......................... 93,310 2,100 MBIA, Inc ....................................... 96,432 3,300 Mellon Financial Corp ........................... 88,638 1,000 Mercantile Bankshares Corp ...................... 39,110 400 Mercury General Corp ............................ 17,428 12,500 Merrill Lynch & Co, Inc ......................... 454,625 4,300 MetLife, Inc .................................... 107,285 1,300 MGIC Investment Corp ............................ 71,799 700 MONY Group, Inc ................................. 18,690 16,000 Morgan Stanley .................................. 638,720 8,800 National City Corp .............................. 260,568 3,000 National Commerce Financial Corp ................ 77,010 300 Nationwide Financial Services, Inc (Class A) .... 8,700 100 Neuberger Berman, Inc ........................... 3,005 1,400 New Plan Excel Realty Trust ..................... 27,622 1,000 New York Community Bancorp, Inc ................. 28,150 1,800 North Fork Bancorp, Inc ......................... 69,084 1,400 Northern Trust Corp ............................. 55,510 600 Old National Bancorp ............................ 15,240 1,700 Old Republic International Corp ................. 54,910 100 Park National Corp .............................. 9,665 400 People's Bank ................................... 9,188 1,500 Phoenix Cos, Inc ................................ 23,370 1,300 PMI Group, Inc .................................. 41,236 4,100 PNC Financial Services Group, Inc ............... 183,680 2,000 Popular, Inc .................................... 68,060 4,500 * Principal Financial Group ....................... 127,620 1,100 Progressive Corp ................................ 59,686 2,300 Prologis ........................................ 57,868 1,000 Protective Life Corp ............................ 31,770 300 Provident Financial Group, Inc .................. 8,346 2,300 * Providian Financial Corp ........................ 12,903 8,500 * Prudential Financial, Inc ....................... 251,005 1,400 Public Storage, Inc ............................. 44,744 1,300 Radian Group, Inc ............................... 51,922 600 Raymond James Financial, Inc .................... 17,070 800 Reckson Associates Realty Corp .................. 18,800 300 Regency Centers Corp ............................ 9,273 3,300 Regions Financial Corp .......................... 112,728 200 Reinsurance Group Of America, Inc ............... 5,598 1,100 Roslyn Bancorp, Inc ............................. 20,680 900 Rouse Co ........................................ 28,791 1,900 Safeco Corp ..................................... 62,377 600 * Silicon Valley Bancshares ....................... 12,804 SHARES VALUE ------ ----- 1,900 Simon Property Group, Inc ....................... $ 67,032 1,000 Sky Financial Group, Inc ........................ 19,830 5,000 SouthTrust Corp ................................. 125,850 3,800 Sovereign Bancorp, Inc .......................... 52,820 3,300 St. Paul Cos, Inc ............................... 105,930 400 Stancorp Financial Group, Inc ................... 21,900 1,600 Starwood Hotels & Resorts Worldwide, Inc ........ 39,008 1,500 State Street Corp ............................... 61,020 2,900 Stilwell Financial, Inc ......................... 42,398 100 Student Loan Corp ............................... 9,460 3,600 SunTrust Banks, Inc ............................. 234,540 1,000 T Rowe Price Group, Inc ......................... 27,000 400 TCF Financial Corp .............................. 18,480 1,800 Torchmark Corp .................................. 65,304 300 Transatlantic Holdings, Inc ..................... 21,156 13,800 * Travelers Property Casualty Corp (Class B) ...... 199,410 1,300 Trizec Properties, Inc .......................... 15,444 600 Trustmark Corp .................................. 14,340 27,800 U.S. Bancorp .................................... 568,788 2,900 Union Planters Corp ............................. 84,535 700 UnionBanCal Corp ................................ 31,318 1,600 United Dominion Realty Trust, Inc ............... 25,680 600 * United Rentals, Inc ............................. 8,004 700 Unitrin, Inc .................................... 21,742 3,500 UnumProvident Corp .............................. 79,905 1,400 Valley National Bancorp ......................... 38,430 1,000 Vornado Realty Trust ............................ 41,000 19,900 Wachovia Corp ................................... 699,087 900 Washington Federal, Inc ......................... 20,700 14,100 Washington Mutual, Inc .......................... 496,320 700 Webster Financial Corp .......................... 24,528 700 Weingarten Realty Investors ..................... 26,593 22,600 Wells Fargo & Co ................................ 1,109,208 400 Westamerica Bancorp ............................. 16,528 600 Whitney Holding Corp ............................ 19,710 1,000 Wilmington Trust Corp ........................... 29,600 1,300 Zions Bancorp ................................... 66,300 ----------- TOTAL FINANCIAL SERVICES 20,026,885 ----------- HEALTH CARE--4.01% 2,100 Aetna, Inc ...................................... 82,425 300 AmerisourceBergen Corp .......................... 21,585 400 * Anthem, Inc ..................................... 27,200 700 * Apogent Technologies, Inc ....................... 14,392 200 Applera Corp (Applied Biosystems Group) ......... 3,860 800 Bard (C.R.), Inc ................................ 44,128 700 Bausch & Lomb, Inc .............................. 23,282 3,200 Becton Dickinson & Co ........................... 96,448 17,700 Bristol-Myers Squibb Co ......................... 462,147 1,900 Cigna Corp ...................................... 149,397 200 * Community Health Systems, Inc ................... 4,820 300 * Coventry Health Care, Inc ....................... 9,675 300 * Edwards Lifesciences Corp ....................... 7,428 300 * Genentech, Inc .................................. 9,129 400 * Genzyme Corp (General Division) ................. 7,360 1,300 * Health Net, Inc ................................. 29,471 5,300 * Healthsouth Corp ................................ 24,857 200 * Henry Schein, Inc ............................... 10,846 700 Hillenbrand Industries, Inc ..................... 41,195 900 * Human Genome Sciences, Inc ...................... 11,655 2,500 * Humana, Inc ..................................... 33,200 900 ICN Pharmaceuticals, Inc ........................ 9,207 800 * ICOS Corp ....................................... 18,976 400 * Invitrogen Corp ................................. 14,516 1,400 Lilly (Eli) & Co ................................ 81,298 900 * Manor Care, Inc ................................. 21,213 SEE NOTES TO FINANCIAL STATEMENTS B-113 - INSTITUTIONAL LARGE-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 600 McKesson Corp ................................... $ 18,804 100 * Medicis Pharmaceutical Corp (Class A) ........... 4,263 13,800 Merck & Co, Inc ................................. 679,926 1,800 * Millennium Pharmaceuticals, Inc ................. 21,078 100 Mylan Laboratories, Inc ......................... 3,280 500 Omnicare, Inc ................................... 11,300 1,600 Pall Corp ....................................... 27,856 900 * Quintiles Transnational Corp .................... 8,820 200 * Renal Care Group, Inc ........................... 6,646 100 * Ribapharm, Inc .................................. 452 12,800 Schering-Plough Corp ............................ 302,976 100 * SICOR, Inc ...................................... 1,544 100 * Steris Corp ..................................... 2,275 500 * Triad Hospitals, Inc ............................ 19,010 1,000 * Vertex Pharmaceuticals, Inc ..................... 19,800 900 * Watson Pharmaceuticals, Inc ..................... 23,004 2,100 * WebMD Corp ...................................... 12,621 ----------- TOTAL HEALTH CARE 2,423,365 ----------- OTHER--2.45% 15,800 * Cendant Corp .................................... 228,626 700 Crane Co ........................................ 14,910 2,900 Dover Corp ...................................... 80,040 200 * Dun & Bradstreet Corp ........................... 7,092 600 First Industrial Realty Trust, Inc .............. 19,644 2,200 Fortune Brands, Inc ............................. 115,764 100 * Getty Images, Inc ............................... 1,939 300 * GTECH Holdings Corp ............................. 7,206 800 HON Industries, Inc ............................. 21,408 10,800 Honeywell International, Inc .................... 254,448 1,200 ITT Industries, Inc ............................. 79,680 1,100 Liberty Property Trust .......................... 35,266 1,900 Loews Corp ...................................... 95,494 400 Manpower, Inc ................................... 12,948 700 Pentair, Inc .................................... 28,651 800 Pittston Brink's Group .......................... 19,208 4,400 Servicemaster Co ................................ 48,796 300 * SPX Corp ........................................ 32,283 1,900 Supervalu, Inc .................................. 39,824 400 Teleflex, Inc ................................... 18,908 1,700 Textron, Inc .................................... 61,710 400 * TMP Worldwide, Inc .............................. 4,380 4,300 United Technologies Corp ........................ 249,400 200 Viad Corp ....................................... 4,482 ----------- TOTAL OTHER 1,482,107 ----------- PRODUCER DURABLES--2.87% 1,600 3M Co ........................................... 191,728 500 * AGCO Corp ....................................... 10,530 300 * Allied Waste Industries, Inc .................... 2,310 700 American Water Works Co, Inc .................... 31,206 5,000 Caterpillar, Inc ................................ 203,200 500 Cummins, Inc .................................... 13,985 3,500 Deere & Co ...................................... 167,965 1,000 Eaton Corp ...................................... 67,460 6,100 Emerson Electric Co ............................. 278,038 100 * Flowserve Corp .................................. 1,735 700 * FMC Technologies, Inc ........................... 12,922 600 GATX Corp ....................................... 14,178 600 Harsco Corp ..................................... 17,448 700 Hubbell, Inc (Class B) .......................... 21,889 1,700 Illinois Tool Works, Inc ........................ 107,610 800 Navistar International Corp ..................... 19,448 1,600 Paccar, Inc ..................................... 54,912 1,700 Parker Hannifin Corp ............................ 64,413 800 Philadelphia Suburban Corp ...................... 15,000 SHARES VALUE ------ ----- 1,400 Pitney Bowes, Inc ............................... $ 46,942 2,200 * Republic Services, Inc .......................... 42,350 2,400 Rockwell Automation, Inc ........................ 42,816 700 Timken Co ....................................... 12,600 6,800 Waste Management, Inc ........................... 171,496 1,100 WW Grainger, Inc ................................ 47,641 10,500 * Xerox Corp ...................................... 74,550 ----------- TOTAL PRODUCER DURABLES ......................... 1,734,372 ----------- TECHNOLOGY--5.10% 5,200 * 3Com Corp ....................................... 25,636 300 * Acxiom Corp ..................................... 5,526 800 * Adaptec, Inc .................................... 4,480 6,800 * ADC Telecommunications, Inc ..................... 9,928 600 * Advanced Fibre Communications, Inc .............. 10,056 3,400 * Advanced Micro Devices, Inc ..................... 24,514 10,500 * Agere Systems, Inc (Class B) .................... 13,965 3,500 * Agilent Technologies, Inc ....................... 52,430 200 * Alliance Data Systems Corp ...................... 3,038 2,100 * American Power Conversion Corp .................. 24,444 500 * Amkor Technology, Inc ........................... 995 1,400 * Andrew Corp ..................................... 11,704 5,200 * Apple Computer, Inc ............................. 73,684 2,200 * Applied Micro Circuits Corp ..................... 8,294 1,100 * Arrow Electronics, Inc .......................... 16,577 1,700 * Atmel Corp ...................................... 3,026 1,200 Autodesk, Inc ................................... 16,188 4,600 * Avaya, Inc ...................................... 9,430 1,600 * Avnet, Inc ...................................... 22,000 800 AVX Corp ........................................ 8,488 1,600 * BMC Software, Inc ............................... 23,552 1,300 * Broadcom Corp (Class A) ......................... 19,825 500 * Ceridian Corp ................................... 7,685 500 * Checkfree Corp .................................. 6,525 3,100 * CIENA Corp ...................................... 12,772 300 * Citrix Systems, Inc ............................. 1,902 5,800 Computer Associates International, Inc .......... 64,322 2,100 * Computer Sciences Corp .......................... 73,290 2,700 * Compuware Corp .................................. 9,018 1,400 * Comverse Technology, Inc ........................ 10,934 1,900 * Conexant Systems, Inc ........................... 2,546 7,800 * Corning, Inc .................................... 15,678 400 * Cypress Semiconductor Corp ...................... 3,656 1,000 Diebold, Inc .................................... 36,110 1,100 Electronic Data Systems Corp .................... 42,834 14,200 * EMC Corp ........................................ 92,016 200 * Emulex Corp ..................................... 3,430 200 Equifax, Inc .................................... 4,702 100 * Fairchild Semiconductor International, Inc (Class A) 1,020 2,600 * Gateway, Inc .................................... 8,294 400 Harris Corp ..................................... 13,100 39,300 Hewlett-Packard Co .............................. 530,550 2,000 * i2 Technologies, Inc ............................ 1,534 2,100 IKON Office Solutions, Inc ...................... 19,509 900 * Ingram Micro, Inc (Class A) ..................... 12,042 700 * Integrated Device Technology, Inc ............... 8,295 13,300 International Business Machines Corp ............ 966,245 100 * International Rectifier Corp .................... 1,885 600 * Intersil Corp (Class A) ......................... 9,300 300 * Iron Mountain, Inc .............................. 7,818 200 * Jabil Circuit, Inc .............................. 3,578 8,800 * JDS Uniphase Corp ............................... 22,528 600 * Juniper Networks, Inc ........................... 3,972 1,200 * Kemet Corp ...................................... 14,076 2,700 * LSI Logic Corp .................................. 20,601 49,800 * Lucent Technologies, Inc ........................ 62,748 SEE NOTES TO FINANCIAL STATEMENTS B-114 - INSTITUTIONAL LARGE-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 200 * Macromedia, Inc ................................. $ 1,698 3,900 * Micron Technology, Inc .......................... 64,350 300 Molex, Inc ...................................... 7,860 11,300 Motorola, Inc ................................... 130,063 400 * National Semiconductor Corp ..................... 5,276 1,200 * NCR Corp ........................................ 31,596 200 * Novellus Systems, Inc ........................... 4,770 100 * Perot Systems Corp (Class A) .................... 1,229 400 * Polycom, Inc .................................... 3,492 300 * Rational Software Corp .......................... 1,851 200 * RealNetworks, Inc ............................... 850 3,500 * Sanmina-SCI Corp ................................ 11,624 2,300 Scientific-Atlanta, Inc ......................... 31,050 6,000 * Solectron Corp .................................. 19,500 1,300 * Storage Technology Corp ......................... 17,394 24,300 * Sun Microsystems, Inc ........................... 75,622 700 * Sybase, Inc ..................................... 9,275 1,600 Symbol Technologies, Inc ........................ 14,064 500 * Tech Data Corp .................................. 16,220 1,000 * Tektronix, Inc .................................. 17,270 3,300 * Tellabs, Inc .................................... 16,599 600 * Teradyne, Inc ................................... 7,380 1,800 * Thermo Electron Corp ............................ 30,600 3,900 * Unisys Corp ..................................... 33,150 1,600 * VeriSign, Inc ................................... 12,112 800 * Veritas Software Corp ........................... 14,192 1,800 * Vishay Intertechnology, Inc ..................... 20,178 ----------- TOTAL TECHNOLOGY 3,081,560 ----------- TRANSPORTATION--1.60% 2,300 * AMR Corp ........................................ 16,928 5,600 Burlington Northern Santa Fe Corp ............... 152,432 700 CNF, Inc ........................................ 21,847 900 * Continental Airlines, Inc (Class B) ............. 7,695 3,100 CSX Corp ........................................ 89,683 1,800 Delta Air Lines, Inc ............................ 26,946 4,300 FedEx Corp ...................................... 191,350 100 * JetBlue Airways Corp ............................ 4,336 5,600 Norfolk Southern Corp ........................... 119,224 800 * Northwest Airlines Corp ......................... 7,080 800 Ryder System, Inc ............................... 21,048 300 Skywest, Inc .................................... 4,365 5,600 Southwest Airlines Co ........................... 77,560 400 * Swift Transportation Co, Inc .................... 7,352 3,700 Union Pacific Corp .............................. 219,928 ----------- TOTAL TRANSPORTATION 967,774 ----------- UTILITIES--13.38% 55,400 A T & T Corp .................................... 704,688 16,200 * A T & T Wireless Services, Inc .................. 84,078 3,600 * AES Corp ........................................ 11,376 1,800 Allegheny Energy, Inc ........................... 28,386 1,100 Allete, Inc ..................................... 26,323 1,300 Alliant Energy Corp ............................. 26,884 4,500 Alltel Corp ..................................... 211,320 2,100 Ameren Corp ..................................... 87,633 4,700 American Electric Power Co, Inc ................. 138,180 2,600 Aquila, Inc ..................................... 11,804 27,200 BellSouth Corp .................................. 626,960 3,600 * Calpine Corp .................................... 13,824 2,100 CenturyTel, Inc ................................. 55,461 2,400 Cinergy Corp .................................... 77,640 2,200 * Citizens Communications Co ...................... 15,356 1,800 CMS Energy Corp ................................. 17,604 3,100 Consolidated Edison, Inc ........................ 122,915 SHARES VALUE ------ ----- 2,400 Constellation Energy Group, Inc ................. $ 63,672 4,000 Dominion Resources, Inc ......................... 232,000 1,800 DPL, Inc ........................................ 30,618 2,300 DTE Energy Co ................................... 95,979 12,000 Duke Energy Corp ................................ 275,760 3,900 * Dynegy, Inc (Class A) ........................... 6,747 4,700 * Edison International ............................ 52,123 8,500 El Paso Corp .................................... 132,600 2,100 Energy East Corp ................................ 41,895 3,200 Entergy Corp .................................... 130,880 900 Equitable Resources, Inc ........................ 32,085 4,700 Exelon Corp ..................................... 206,142 4,000 FirstEnergy Corp ................................ 123,360 2,600 FPL Group, Inc .................................. 134,862 900 Great Plains Energy, Inc ........................ 17,892 500 Hawaiian Electric Industries, Inc ............... 21,865 500 Idacorp, Inc .................................... 12,230 700 * IDT Corp ........................................ 11,858 2,000 KeySpan Corp .................................... 67,460 500 Kinder Morgan, Inc .............................. 20,765 1,000 MDU Resources Group, Inc ........................ 23,330 4,900 * Mirant Corp ..................................... 15,533 1,000 National Fuel Gas Co ............................ 20,690 600 Nicor, Inc ...................................... 17,118 3,000 NiSource, Inc ................................... 55,980 1,900 Northeast Utilities ............................. 32,243 800 NSTAR ........................................... 32,136 1,100 OGE Energy Corp ................................. 19,965 5,600 * P G & E Corp .................................... 71,792 500 Peoples Energy Corp ............................. 17,620 2,200 Pepco Holdings, Inc ............................. 45,100 1,100 Pinnacle West Capital Corp ...................... 34,430 2,100 PPL Corp ........................................ 66,171 3,200 Progress Energy, Inc ............................ 135,552 3,000 Public Service Enterprise Group, Inc ............ 98,250 1,300 Puget Energy, Inc ............................... 26,624 1,100 Questar Corp .................................... 26,488 9,900 * Qwest Communications International, Inc ......... 34,551 3,900 Reliant Energy, Inc ............................. 44,460 700 * Reliant Resources, Inc .......................... 2,870 48,500 SBC Communications, Inc ......................... 1,190,675 1,500 SCANA Corp ...................................... 38,745 2,600 Sempra Energy ................................... 56,446 10,200 Southern Co ..................................... 276,930 12,900 Sprint Corp (FON Group) ......................... 129,129 2,200 TECO Energy, Inc ................................ 35,640 800 Telephone & Data Systems, Inc ................... 47,288 3,900 TXU Corp ........................................ 172,770 200 * U.S. Cellular Corp .............................. 6,478 1,000 Vectren Corp .................................... 23,490 39,500 Verizon Communications, Inc ..................... 1,198,825 6,400 Williams Cos, Inc ............................... 17,920 1,700 Wisconsin Energy Corp ........................... 42,687 5,800 Xcel Energy, Inc ................................ 53,824 ----------- TOTAL UTILITIES 8,082,975 ----------- TOTAL COMMON STOCK (COST $59,801,852) 60,167,358 ----------- TOTAL PORTFOLIO--99.59% (COST $59,801,852) 60,167,358 OTHER ASSETS & LIABILITIES, NET--0.41% 249,026 ----------- NET ASSETS--100.00% $60,416,384 ----------- ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-115 Statement of Investments - INSTITUTIONAL S&P 500 INDEX FUND - September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--99.31% AEROSPACE AND DEFENSE--1.33% 4,600 Boeing Co ....................................... $ 163,668 1,100 General Dynamics Corp ........................... 91,322 600 Goodrich Corp ................................... 12,774 2,500 Lockheed Martin Corp ............................ 164,325 600 Northrop Grumman Corp ........................... 75,600 700 PerkinElmer, Inc ................................ 3,745 2,200 Raytheon Co ..................................... 77,836 1,000 Rockwell Collins, Inc ........................... 20,250 ----------- TOTAL AEROSPACE AND DEFENSE 609,520 ----------- BASIC INDUSTRIES--3.68% 1,300 Air Products & Chemicals, Inc ................... 59,072 4,700 Alcoa, Inc ...................................... 103,353 400 Allegheny Technologies, Inc ..................... 3,160 400 * American Standard Cos, Inc ...................... 28,536 600 Avery Dennison Corp ............................. 36,000 300 Ball Corp ....................................... 16,170 300 Bemis Co ........................................ 15,693 400 Black & Decker Corp ............................. 17,548 300 Boise Cascade Corp .............................. 7,665 300 Centex Corp ..................................... 14,940 5,000 Dow Chemical Co ................................. 144,950 5,500 Du Pont (E.I.) de Nemours & Co .................. 220,440 400 Eastman Chemical Co ............................. 17,268 700 Ecolab, Inc ..................................... 30,555 700 Engelhard Corp .................................. 18,060 400 Fluor Corp ...................................... 10,760 800 * Freeport-McMoRan Copper & Gold, Inc (Class A) ... 11,520 1,300 Georgia-Pacific Corp ............................ 23,400 300 Great Lakes Chemical Corp ....................... 8,466 600 * Hercules, Inc ................................... 6,210 2,700 International Paper Co .......................... 100,008 300 KB Home ......................................... 15,495 2,900 Kimberly-Clark Corp ............................. 171,564 600 * Louisiana-Pacific Corp .......................... 4,428 2,700 Masco Corp ...................................... 64,908 1,100 MeadWestvaco Corp ............................... 24,475 1,400 Monsanto Co ..................................... 22,820 2,200 Newmont Mining Corp ............................. 64,548 400 Nucor Corp ...................................... 20,848 900 * Pactiv Corp ..................................... 16,146 500 * Phelps Dodge Corp ............................... 14,395 1,000 Plum Creek Timber Co, Inc ....................... 25,310 900 PPG Industries, Inc ............................. 46,323 900 Praxair, Inc .................................... 50,562 300 Pulte Homes, Inc ................................ 14,190 1,200 Rohm & Haas Co .................................. 41,100 500 * Sealed Air Corp ................................. 8,570 800 Sherwin-Williams Co ............................. 20,640 400 Sigma-Aldrich Corp .............................. 20,068 300 Snap-On, Inc .................................... 7,218 500 Stanley Works ................................... 16,840 300 Temple-Inland, Inc .............................. 14,397 600 United States Steel Corp ........................ 7,974 600 Vulcan Materials Co ............................. 24,216 1,200 Weyerhaeuser Co ................................. 63,072 500 Worthington Industries, Inc ..................... 9,125 ----------- TOTAL BASIC INDUSTRIES 1,683,006 ----------- CONSUMER CYCLICAL--11.29% 400 * American Greetings Corp (Class A) ............... 7,020 24,600 * AOL Time Warner, Inc ............................ 317,094 1,000 * Apollo Group, Inc (Class A) ..................... 42,700 1,600 * Bed Bath & Beyond, Inc .......................... 55,328 SHARES VALUE ------ ----- 600 * Big Lots, Inc ................................... $ 11,250 500 Brunswick Corp .................................. 11,635 3,200 Carnival Corp ................................... 81,344 3,400 * Clear Channel Communications, Inc ............... 123,250 5,200 * Comcast Corp (Class A) Special .................. 124,384 400 Cooper Tire & Rubber Co ......................... 8,284 800 Dana Corp ....................................... 12,872 1,000 Darden Restaurants, Inc ......................... 23,460 3,100 Delphi Corp ..................................... 31,899 500 Dillard's, Inc (Class A) ........................ 12,740 1,800 Dollar General Corp ............................. 23,976 500 Dow Jones & Co, Inc ............................. 21,650 1,600 Eastman Kodak Co ................................ 45,376 1,000 Family Dollar Stores, Inc ....................... 28,000 1,100 * Federated Department Stores, Inc ................ 39,743 10,000 Ford Motor Co ................................... 106,500 1,500 Gannett Co, Inc ................................. 114,180 4,800 Gap, Inc ........................................ 59,904 3,100 General Motors Corp ............................. 136,648 1,000 Genuine Parts Co ................................ 32,190 900 Goodyear Tire & Rubber Co ....................... 11,214 1,700 Harley-Davidson, Inc ............................ 82,110 600 * Harrah's Entertainment, Inc ..................... 29,100 2,000 Hilton Hotels Corp .............................. 22,600 500 * International Game Technology ................... 32,950 2,100 Interpublic Group Of Cos, Inc ................... 37,569 1,500 J.C. Penney Co, Inc ............................. 27,450 500 Johnson Controls, Inc ........................... 40,840 700 * Jones Apparel Group, Inc ........................ 25,767 500 Knight Ridder, Inc .............................. 31,595 1,900 * Kohl's Corp ..................................... 136,781 1,100 Leggett & Platt, Inc ............................ 23,254 2,900 Limited Brands, Inc ............................. 45,762 600 Liz Claiborne, Inc .............................. 16,638 1,300 Marriott International, Inc (Class A) ........... 40,560 1,600 May Department Stores Co ........................ 43,184 400 Maytag Corp ..................................... 10,924 7,000 McDonald's Corp ................................. 143,710 1,100 McGraw-Hill Cos, Inc ............................ 69,278 300 Meredith Corp ................................... 13,011 800 New York Times Co (Class A) ..................... 39,016 1,500 Nike, Inc (Class B) ............................. 62,595 700 Nordstrom, Inc .................................. 14,868 1,000 Omnicom Group, Inc .............................. 61,690 600 R.R. Donnelley & Sons Co ........................ 14,946 300 * Reebok International Ltd ........................ 7,254 1,700 Sears Roebuck & Co .............................. 76,840 2,100 * Starbucks Corp .................................. 43,176 5,000 Target Corp ..................................... 181,100 800 Tiffany & Co .................................... 20,096 3,000 TJX Cos, Inc .................................... 61,950 1,700 Tribune Co ...................................... 71,400 700 TRW, Inc ........................................ 41,090 1,300 * Univision Communications, Inc (Class A) ......... 28,938 600 VF Corp ......................................... 23,598 9,800 * Viacom, Inc (Class B) ........................... 416,304 700 Visteon Corp .................................... 7,805 24,600 Wal-Mart Stores, Inc ............................ 1,338,240 11,300 Walt Disney Co .................................. 175,150 600 Wendy's International, Inc ...................... 19,356 400 Whirlpool Corp .................................. 20,696 3,300 * Yahoo!, Inc ..................................... 34,518 1,600 * Yum! Brands, Inc ................................ 46,928 ----------- TOTAL CONSUMER CYCLICAL 5,163,278 ----------- SEE NOTES TO FINANCIAL STATEMENTS B-116 Statement of Investments - INSTITUTIONAL S&P 500 INDEX FUND - September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER NON-CYCLICAL--11.88% 300 Alberto-Culver Co (Class B) ..................... $ 14,985 2,200 Albertson's, Inc ................................ 59,444 4,800 Anheuser-Busch Cos, Inc ......................... 252,000 3,600 Archer Daniels Midland Co ....................... 43,452 600 * Autozone, Inc ................................... 44,652 1,300 Avon Products, Inc .............................. 65,013 1,800 * Best Buy Co, Inc ................................ 43,488 400 Brown-Forman Corp (Class B) ..................... 27,780 2,300 Campbell Soup Co ................................ 51,888 1,200 Circuit City Stores, Inc (Circuit City Group) ... 20,052 1,300 Clorox Co ....................................... 55,900 13,700 Coca-Cola Co .................................... 680,205 2,500 Coca-Cola Enterprises, Inc ...................... 52,750 3,000 Colgate-Palmolive Co ............................ 166,500 3,000 Conagra Foods, Inc .............................. 76,080 200 Coors (Adolph) Co (Class B) ..................... 12,472 2,500 * Costco Wholesale Corp ........................... 84,875 2,200 CVS Corp ........................................ 65,362 1,500 * eBay, Inc ....................................... 87,000 2,000 General Mills, Inc .............................. 84,500 5,800 Gillette Co ..................................... 180,438 1,000 Hasbro, Inc ..................................... 12,500 800 Hershey Foods Corp .............................. 59,056 1,900 H.J. Heinz Co ................................... 68,153 13,000 Home Depot, Inc ................................. 434,850 500 International Flavors & Fragrances, Inc ......... 15,545 2,300 Kellogg Co ...................................... 74,957 4,400 * Kroger Co ....................................... 80,124 4,300 Lowe's Cos ...................................... 193,371 2,400 Mattel, Inc ..................................... 48,072 1,500 Newell Rubbermaid, Inc .......................... 50,820 1,700 * Office Depot, Inc ............................... 23,426 1,600 Pepsi Bottling Group, Inc ....................... 41,840 9,800 PepsiCo, Inc .................................... 393,470 11,800 Philip Morris Cos, Inc .......................... 546,340 7,200 Procter & Gamble Co ............................. 662,400 500 R.J. Reynolds Tobacco Holdings, Inc ............. 26,155 1,000 * RadioShack Corp ................................. 21,230 2,700 * Safeway, Inc .................................... 72,900 4,300 Sara Lee Corp ................................... 79,679 2,600 * Staples, Inc .................................... 37,726 1,200 * Toys "R" Us, Inc ................................ 15,972 300 Tupperware Corp ................................. 5,361 900 UST, Inc ........................................ 27,351 5,700 Walgreen Co ..................................... 200,184 800 Winn-Dixie Stores, Inc .......................... 13,016 1,200 Wrigley (Wm.) Jr Co ............................. 60,804 ----------- TOTAL CONSUMER NON-CYCLICAL ..................... 5,434,138 ----------- ENERGY--5.90% 500 Amerada Hess Corp ............................... 35,060 1,400 Anadarko Petroleum Corp ......................... 62,860 800 Apache Corp ..................................... 45,832 400 Ashland, Inc .................................... 11,740 1,900 Baker Hughes, Inc ............................... 53,808 900 * BJ Services Co .................................. 24,993 1,100 Burlington Resources, Inc ....................... 41,580 5,900 ChevronTexaco Corp .............................. 431,821 3,700 ConocoPhillips .................................. 192,215 900 Devon Energy Corp ............................... 43,569 600 EOG Resources, Inc .............................. 21,132 37,500 Exxon Mobil Corp ................................ 1,278,000 2,400 Halliburton Co .................................. 33,912 600 Kerr-McGee Corp ................................. 26,532 1,700 Marathon Oil Corp ............................... 41,871 SHARES VALUE ------ ----- 300 * McDermott International, Inc .................... $ 2,016 800 * Nabors Industries Ltd ........................... 26,216 700 * Noble Corp ...................................... 21,196 2,100 Occidental Petroleum Corp ....................... 61,152 500 Rowan Cos, Inc .................................. 9,570 3,200 Schlumberger Ltd ................................ 136,384 400 Sunoco, Inc ..................................... 13,316 1,800 * Transocean, Inc ................................. 39,726 1,400 Unocal Corp ..................................... 45,836 ----------- TOTAL ENERGY .................................... 2,700,337 ----------- FINANCIAL SERVICES--20.17% 1,400 ACE Ltd ......................................... 46,928 2,900 Aflac, Inc ...................................... 87,290 3,900 Allstate Corp ................................... 146,289 600 Ambac Financial Group, Inc ...................... 34,356 7,300 American Express Co ............................. 249,587 14,400 American International Group, Inc ............... 843,840 2,000 AmSouth Bancorp ................................. 43,420 1,500 AON Corp ........................................ 31,800 8,500 Bank Of America Corp ............................ 580,550 4,000 Bank Of New York Co, Inc ........................ 130,280 6,500 Bank One Corp ................................... 255,580 2,600 BB&T Corp ....................................... 97,162 600 Bear Stearns Cos, Inc ........................... 36,666 1,200 Capital One Financial Corp ...................... 46,704 7,600 Charles Schwab Corp ............................. 76,076 1,260 Charter One Financial, Inc ...................... 39,274 900 Chubb Corp ...................................... 55,539 900 Cincinnati Financial Corp ....................... 33,165 28,400 Citigroup, Inc .................................. 834,960 1,000 Comerica, Inc ................................... 53,500 700 Countrywide Credit Industries, Inc .............. 36,470 2,300 Equity Office Properties Trust .................. 63,526 1,500 Equity Residential .............................. 40,155 5,500 Fannie Mae ...................................... 399,850 3,300 Fifth Third Bancorp ............................. 204,237 700 First Tennessee National Corp ................... 25,725 5,800 FleetBoston Financial Corp ...................... 134,386 1,400 Franklin Resources, Inc ......................... 47,474 3,800 Freddie Mac ..................................... 237,614 900 Golden West Financial Corp ...................... 57,420 2,600 Goldman Sachs Group, Inc ........................ 189,800 1,400 Hartford Financial Services Group, Inc .......... 67,480 2,500 Household International, Inc .................... 86,675 1,400 Huntington Bancshares, Inc ...................... 27,090 800 Jefferson-Pilot Corp ............................ 33,536 1,600 John Hancock Financial Services, Inc ............ 48,048 11,000 J.P. Morgan Chase & Co .......................... 242,440 2,400 KeyCorp ......................................... 63,072 1,300 Lehman Brothers Holdings, Inc ................... 71,422 1,000 Lincoln National Corp ........................... 32,850 3,000 Marsh & McLennan Cos, Inc ....................... 139,650 1,200 Marshall & Ilsley Corp .......................... 36,120 800 MBIA, Inc ....................................... 36,736 7,100 MBNA Corp ....................................... 144,840 2,400 Mellon Financial Corp ........................... 64,464 4,800 Merrill Lynch & Co, Inc ......................... 174,576 3,900 MetLife, Inc .................................... 97,305 600 MGIC Investment Corp ............................ 33,138 6,100 Morgan Stanley .................................. 243,512 3,400 National City Corp .............................. 100,674 900 North Fork Bancorp, Inc ......................... 34,542 1,200 Northern Trust Corp ............................. 47,580 1,600 PNC Financial Services Group, Inc ............... 71,680 2,000 * Principal Financial Group ....................... 56,720 SEE NOTES TO FINANCIAL STATEMENTS B-117 Statement of Investments - INSTITUTIONAL S&P 500 INDEX FUND - September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 1,200 Progressive Corp ................................ $ 65,112 1,600 * Providian Financial Corp ........................ 8,976 3,200 * Prudential Financial, Inc ....................... 94,496 1,300 Regions Financial Corp .......................... 44,408 700 Safeco Corp ..................................... 22,981 1,000 Simon Property Group, Inc ....................... 35,280 900 Slm Corp ........................................ 89,046 1,900 SouthTrust Corp ................................. 47,823 1,200 St. Paul Cos, Inc ............................... 38,520 1,100 Starwood Hotels & Resorts Worldwide, Inc ........ 26,818 1,800 State Street Corp ............................... 73,224 1,200 Stilwell Financial, Inc ......................... 17,544 1,600 SunTrust Banks, Inc ............................. 104,240 1,600 Synovus Financial Corp .......................... 35,456 700 T Rowe Price Group, Inc ......................... 18,900 700 Torchmark Corp .................................. 25,396 5,500 * Travelers Property Casualty Corp (Class B) ...... 79,475 10,600 U.S. Bancorp .................................... 216,876 1,100 Union Planters Corp ............................. 32,065 1,300 UnumProvident Corp .............................. 29,679 7,600 Wachovia Corp ................................... 266,988 5,400 Washington Mutual, Inc .......................... 190,080 9,500 Wells Fargo & Co ................................ 466,260 700 XL Capital Ltd (Class A) ........................ 52,570 500 Zions Bancorp ................................... 25,500 ----------- TOTAL FINANCIAL SERVICES ........................ 9,221,486 ----------- HEALTH CARE--14.68% 8,600 Abbott Laboratories ............................. 323,532 800 Aetna, Inc ...................................... 31,400 700 Allergan, Inc ................................... 37,135 600 AmerisourceBergen Corp .......................... 43,170 7,100 * Amgen, Inc ...................................... 324,257 800 * Anthem, Inc ..................................... 54,400 1,200 Applera Corp (Applied Biosystems Group) ......... 23,160 300 Bard (C.R.), Inc ................................ 16,548 300 Bausch & Lomb, Inc .............................. 9,978 3,300 Baxter International, Inc ....................... 107,052 1,400 Becton Dickinson & Co ........................... 42,196 800 * Biogen, Inc ..................................... 26,496 1,500 Biomet, Inc ..................................... 40,395 2,200 * Boston Scientific Corp .......................... 66,396 10,700 Bristol-Myers Squibb Co ......................... 279,377 2,500 Cardinal Health, Inc ............................ 165,625 1,000 * Chiron Corp ..................................... 37,300 800 Cigna Corp ...................................... 62,904 1,000 * Forest Laboratories, Inc ........................ 78,150 1,200 * Genzyme Corp (General Division) ................. 22,080 1,700 * Guidant Corp .................................... 61,200 2,800 HCA, Inc ........................................ 133,980 1,300 * Health Management Associates, Inc (Class A) ..... 25,532 2,200 * Healthsouth Corp ................................ 10,318 900 * Humana, Inc ..................................... 11,952 1,600 IMS Health, Inc ................................. 25,808 16,600 Johnson & Johnson ............................... 898,724 1,400 * King Pharmaceuticals, Inc ....................... 25,998 6,200 Lilly (Eli) & Co ................................ 360,034 600 * Manor Care, Inc ................................. 14,142 1,600 McKesson Corp ................................... 50,144 1,400 * Medimmune, Inc .................................. 33,600 6,700 Medtronic, Inc .................................. 279,323 12,500 Merck & Co, Inc ................................. 615,875 300 * Millipore Corp .................................. 10,326 700 Pall Corp ....................................... 12,187 34,500 Pfizer, Inc ..................................... 1,027,065 SHARES VALUE ------ ----- 7,100 Pharmacia Corp .................................. $ 283,290 700 * Quintiles Transnational Corp .................... 6,860 8,100 Schering-Plough Corp ............................ 191,727 1,000 * St. Jude Medical, Inc ........................... 35,970 1,100 Stryker Corp .................................... 63,239 2,700 * Tenet Healthcare Corp ........................... 138,186 1,700 UnitedHealth Group, Inc ......................... 156,060 700 * Waters Corp ..................................... 18,116 600 * Watson Pharmaceuticals, Inc ..................... 15,336 800 * Wellpoint Health Networks, Inc .................. 62,208 7,300 Wyeth ........................................... 312,659 1,100 * Zimmer Holdings, Inc ............................ 40,480 ----------- TOTAL HEALTH CARE 6,711,890 ----------- OTHER--2.19% 5,800 * Cendant Corp .................................... 83,926 900 Cintas Corp ..................................... 38,655 300 Crane Co ........................................ 6,390 1,100 Dover Corp ...................................... 30,360 800 Fortune Brands, Inc ............................. 42,096 1,000 H & R Block, Inc ................................ 51,240 4,500 Honeywell International, Inc .................... 106,020 500 ITT Industries, Inc ............................. 33,200 1,000 Loews Corp ...................................... 50,260 900 Moody's Corp .................................... 43,866 1,000 * Robert Half International, Inc .................. 16,770 700 Supervalu, Inc .................................. 14,672 3,700 Sysco Corp ...................................... 112,850 800 Textron, Inc .................................... 29,040 600 * TMP Worldwide, Inc .............................. 6,570 11,000 Tyco International Ltd .......................... 185,790 2,600 United Technologies Corp ........................ 150,800 ----------- TOTAL OTHER 1,002,505 ----------- PRODUCER DURABLES--5.46% 2,200 3M Co ........................................... 263,626 1,100 * Allied Waste Industries, Inc .................... 8,470 1,900 Caterpillar, Inc ................................ 77,216 500 Cooper Industries Ltd (Class A) ................. 16,535 200 Cummins, Inc .................................... 5,594 800 Danaher Corp .................................... 45,120 1,300 Deere & Co ...................................... 62,387 400 Eaton Corp ...................................... 26,984 2,300 Emerson Electric Co ............................. 104,834 54,900 General Electric Co ............................. 1,485,045 1,700 Illinois Tool Works, Inc ........................ 107,610 900 Ingersoll-Rand Co (Class A) ..................... 33,759 300 Navistar International Corp ..................... 7,293 600 Paccar, Inc ..................................... 20,592 700 Parker Hannifin Corp ............................ 26,523 1,300 Pitney Bowes, Inc ............................... 43,589 400 * Power-One, Inc .................................. 1,156 1,000 Rockwell Automation, Inc ........................ 17,840 300 * Thomas & Betts Corp ............................. 4,611 3,400 Waste Management, Inc ........................... 85,748 500 WW Grainger, Inc ................................ 21,655 4,000 * Xerox Corp ...................................... 28,400 ----------- TOTAL PRODUCER DURABLES ......................... 2,494,587 ----------- TECHNOLOGY--14.43% 4,400 * ADC Telecommunications, Inc ..................... 6,424 1,300 Adobe Systems, Inc .............................. 27,001 1,900 * Advanced Micro Devices, Inc ..................... 13,699 2,600 * Agilent Technologies, Inc ....................... 38,948 2,100 * Altera Corp ..................................... 21,441 1,100 * American Power Conversion Corp .................. 12,804 2,000 * Analog Devices, Inc ............................. 46,000 SEE NOTES TO FINANCIAL STATEMENTS B-118 Statement of Investments - INSTITUTIONAL S&P 500 INDEX FUND - September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 500 * Andrew Corp ..................................... $ 4,180 2,000 * Apple Computer, Inc ............................. 28,340 9,100 * Applied Materials, Inc .......................... 118,573 1,700 * Applied Micro Circuits Corp ..................... 6,409 600 Autodesk, Inc ................................... 8,094 3,400 Automatic Data Processing, Inc .................. 127,976 2,000 * Avaya, Inc ...................................... 4,100 1,300 * BMC Software, Inc ............................... 19,136 1,500 * Broadcom Corp (Class A) ......................... 22,875 2,400 * CIENA Corp ...................................... 9,888 40,500 * Cisco Systems, Inc .............................. 528,525 1,000 * Citrix Systems, Inc ............................. 6,340 3,200 Computer Associates International, Inc .......... 35,488 900 * Computer Sciences Corp .......................... 31,410 2,100 * Compuware Corp .................................. 7,014 1,000 * Comverse Technology, Inc ........................ 7,810 2,800 * Concord EFS, Inc ................................ 44,520 1,000 * Convergys Corp .................................. 18,890 5,300 * Corning, Inc .................................... 10,653 14,300 * Dell Computer Corp .............................. 383,240 400 Deluxe Corp ..................................... 18,636 800 * Electronic Arts, Inc ............................ 50,264 2,600 Electronic Data Systems Corp .................... 101,244 12,300 * EMC Corp ........................................ 79,704 800 Equifax, Inc .................................... 18,808 4,200 First Data Corp ................................. 142,716 1,100 * Fiserv, Inc ..................................... 37,048 1,800 * Gateway, Inc .................................... 5,742 16,700 Hewlett-Packard Co .............................. 225,450 36,900 Intel Corp ...................................... 591,507 9,500 International Business Machines Corp ............ 690,175 1,200 * Intuit, Inc ..................................... 56,724 1,100 * Jabil Circuit, Inc .............................. 19,679 7,500 * JDS Uniphase Corp ............................... 19,200 1,000 * KLA-Tencor Corp ................................. 31,650 700 * Lexmark International, Inc ...................... 33,579 1,800 Linear Technology Corp .......................... 40,536 2,000 * LSI Logic Corp .................................. 15,260 18,900 * Lucent Technologies, Inc ........................ 23,814 1,800 * Maxim Integrated Products, Inc .................. 50,220 500 * Mercury Interactive Corp ........................ 11,875 3,300 * Micron Technology, Inc .......................... 54,450 29,900 * Microsoft Corp .................................. 1,432,509 1,100 Molex, Inc ...................................... 28,820 12,500 Motorola, Inc ................................... 143,875 1,000 * National Semiconductor Corp ..................... 13,190 500 * NCR Corp ........................................ 13,165 1,800 * Network Appliance, Inc .......................... 16,632 2,000 * Novell, Inc ..................................... 4,760 800 * Novellus Systems, Inc ........................... 19,080 800 * Nvidia Corp ..................................... 8,456 30,300 * Oracle Corp ..................................... 294,819 1,400 * Parametric Technology Corp ...................... 3,780 2,100 Paychex, Inc .................................... 49,161 1,700 * Peoplesoft, Inc ................................. 26,299 900 * PMC-Sierra, Inc ................................. 5,256 500 * QLogic Corp ..................................... 16,860 4,300 * Qualcomm, Inc ................................... 122,636 1,100 * Rational Software Corp .......................... 6,787 2,900 * Sanmina-SCI Corp ................................ 9,631 900 Scientific-Atlanta, Inc ......................... 12,150 2,600 * Siebel Systems, Inc ............................. 21,372 4,500 * Solectron Corp .................................. 14,625 SHARES VALUE ------ ----- 17,900 * Sun Microsystems, Inc ........................... $ 55,705 1,600 * Sungard Data Systems, Inc ....................... 36,752 1,300 Symbol Technologies, Inc ........................ 11,427 500 * Tektronix, Inc .................................. 8,635 2,300 * Tellabs, Inc .................................... 11,569 1,000 * Teradyne, Inc ................................... 12,300 9,600 Texas Instruments, Inc .......................... 182,400 1,000 * Thermo Electron Corp ............................ 17,000 1,800 * Unisys Corp ..................................... 15,300 2,300 * Veritas Software Corp ........................... 40,802 1,900 * Xilinx, Inc ..................................... 34,390 ----------- TOTAL TECHNOLOGY 6,598,202 ----------- TRANSPORTATION--1.71% 900 * AMR Corp ........................................ 6,624 2,100 Burlington Northern Santa Fe Corp ............... 57,162 1,200 CSX Corp ........................................ 34,716 700 Delta Air Lines, Inc ............................ 10,479 1,600 FedEx Corp ...................................... 71,200 2,100 Norfolk Southern Corp ........................... 44,709 300 Ryder System, Inc ............................... 7,893 800 * Sabre Holdings Corp ............................. 20,048 4,300 Southwest Airlines Co ........................... 59,555 1,400 Union Pacific Corp .............................. 83,216 6,200 United Parcel Service, Inc (Class B) ............ 384,090 ----------- TOTAL TRANSPORTATION 779,692 ----------- UTILITIES--6.59% 21,000 A T & T Corp .................................... 267,120 15,000 * A T & T Wireless Services, Inc .................. 77,850 3,000 * AES Corp ........................................ 9,480 700 Allegheny Energy, Inc ........................... 11,039 1,700 Alltel Corp ..................................... 79,832 800 Ameren Corp ..................................... 33,384 1,900 American Electric Power Co, Inc ................. 55,860 10,400 BellSouth Corp .................................. 239,720 2,100 * Calpine Corp .................................... 8,064 800 CenturyTel, Inc ................................. 21,128 900 Cinergy Corp .................................... 29,115 1,600 * Citizens Communications Co ...................... 11,168 700 CMS Energy Corp ................................. 6,846 1,200 Consolidated Edison, Inc ........................ 47,580 900 Constellation Energy Group, Inc ................. 23,877 1,500 Dominion Resources, Inc ......................... 87,000 900 DTE Energy Co ................................... 37,557 4,600 Duke Energy Corp ................................ 105,708 2,000 * Dynegy, Inc (Class A) ........................... 3,460 1,800 * Edison International ............................ 19,962 3,200 El Paso Corp .................................... 49,920 1,200 Entergy Corp .................................... 49,080 1,800 Exelon Corp ..................................... 78,948 1,600 FirstEnergy Corp ................................ 49,344 1,000 FPL Group, Inc .................................. 51,870 800 KeySpan Corp .................................... 26,984 700 Kinder Morgan, Inc .............................. 29,071 2,200 * Mirant Corp ..................................... 6,974 5,000 * Nextel Communications, Inc (Class A) ............ 41,450 200 Nicor, Inc ...................................... 5,706 1,100 NiSource, Inc ................................... 20,526 2,200 * P G & E Corp .................................... 28,204 200 Peoples Energy Corp ............................. 7,048 500 Pinnacle West Capital Corp ...................... 15,650 800 PPL Corp ........................................ 25,208 1,200 Progress Energy, Inc ............................ 50,832 1,100 Public Service Enterprise Group, Inc ............ 36,025 SEE NOTES TO FINANCIAL STATEMENTS B-119 Statement of Investments - INSTITUTIONAL S&P 500 INDEX FUND - September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- UTILITIES--(CONTINUED) 9,300 * Qwest Communications International, Inc ......... $ 32,457 1,700 Reliant Energy, Inc ............................. 19,380 18,500 SBC Communications, Inc ......................... 454,175 1,100 Sempra Energy ................................... 23,881 3,900 Southern Co ..................................... 105,885 4,900 Sprint Corp (FON Group) ......................... 49,049 5,500 * Sprint Corp (PCS Group) ......................... 18,425 900 TECO Energy, Inc ................................ 14,580 1,500 TXU Corp ........................................ 66,450 15,000 Verizon Communications, Inc ..................... 453,380 2,900 Williams Cos, Inc ............................... 8,120 2,200 Xcel Energy, Inc ................................ 20,416 ----------- TOTAL UTILITIES ................................. 3,014,788 ----------- TOTAL COMMON STOCK (COST $44,716,201) 45,413,429 ----------- TOTAL PORTFOLIO--99.31% (COST $44,716,201) 45,413,429 OTHER ASSETS & LIABILITIES, NET--0.69% 316,941 ----------- NET ASSETS--100.00% $45,730,370 ----------- ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-120 - INSTITUTIONAL MID-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--97.86% AEROSPACE AND DEFENSE--0.90% 900 * Alliant Techsystems, Inc ........................ $ 64,575 1,900 * L-3 Communications Holdings, Inc ................ 108,262 400 * PanAmSat Corp ................................... 7,116 1,300 PerkinElmer, Inc ................................ 6,955 500 Rockwell Collins, Inc ........................... 10,125 1,800 * Titan Corp ...................................... 19,800 ----------- TOTAL AEROSPACE AND DEFENSE 216,833 ----------- BASIC INDUSTRIES--4.32% 1,400 * American Standard Cos, Inc ...................... 99,876 2,000 Avery Dennison Corp ............................. 120,000 300 Ball Corp ....................................... 16,170 2,100 Black & Decker Corp ............................. 92,127 200 Cabot Corp ...................................... 4,658 600 Consol Energy, Inc .............................. 8,130 600 D.R. Horton, Inc ................................ 13,212 3,600 Ecolab, Inc ..................................... 157,140 400 Fluor Corp ...................................... 10,760 2,100 * Freeport-McMoRan Copper & Gold, Inc (Class A) ... 30,240 1,000 * Jacobs Engineering Group, Inc ................... 33,940 100 Lennar Corp ..................................... 5,814 8,600 Newmont Mining Corp ............................. 252,324 200 * NVR, Inc ........................................ 65,060 100 OM Group, Inc ................................... 5,327 2,100 * Sealed Air Corp ................................. 35,994 700 * Shaw Group, Inc ................................. 10,675 400 Sigma-Aldrich Corp .............................. 20,068 1,200 Stanley Works ................................... 40,416 400 Valspar Corp .................................... 15,980 100 Vulcan Materials Co ............................. 4,036 ----------- TOTAL BASIC INDUSTRIES 1,041,947 ----------- CONSUMER CYCLICAL--16.95% 1,200 * 99 Cents Only Stores ............................ 28,344 2,400 * Abercrombie & Fitch Co (Class A) ................ 57,120 400 * Advance Auto Parts .............................. 21,344 1,400 * American Eagle Outfitters, Inc .................. 22,974 3,300 * Apollo Group, Inc (Class A) ..................... 140,910 400 * Apollo Group, Inc (University Of Phoenix Online) 12,240 1,600 Applebee's International, Inc ................... 33,696 100 ArvinMeritor, Inc ............................... 2,360 8,200 * Bed Bath & Beyond, Inc .......................... 283,556 1,800 * Big Lots, Inc ................................... 33,750 400 Blockbuster, Inc (Class A) ...................... 9,328 2,500 * Brinker International, Inc ...................... 65,975 500 Callaway Golf Co ................................ 7,400 1,000 * Catalina Marketing Corp ......................... 30,560 200 CBRL Group, Inc ................................. 4,670 700 * CEC Entertainment, Inc .......................... 25,592 2,000 * Chico's FAS, Inc ................................ 36,640 300 * Columbia Sportswear Co .......................... 11,445 1,900 * Copart, Inc ..................................... 27,588 600 * Cox Radio, Inc (Class A) ........................ 15,366 400 * Cumulus Media, Inc (Class A) .................... 6,740 4,900 Darden Restaurants, Inc ......................... 114,954 7,900 Dollar General Corp ............................. 105,228 3,200 * Dollar Tree Stores, Inc ......................... 70,688 700 Donaldson Co, Inc ............................... 25,844 900 Dow Jones & Co, Inc ............................. 38,970 100 * Emmis Communications Corp (Class A) ............. 1,757 900 * Entercom Communications Corp .................... 41,418 500 * Extended Stay America, Inc ...................... 6,880 4,500 Family Dollar Stores, Inc ....................... 126,000 1,500 * Foot Locker, Inc ................................ 14,595 SHARES VALUE ------ ----- 3,200 * Gemstar-TV Guide International, Inc ............. $ 10,880 2,100 * Gentex Corp ..................................... 62,811 1,300 Graco, Inc ...................................... 34,125 700 Harman International Industries, Inc ............ 36,225 3,000 * Harrah's Entertainment, Inc ..................... 145,500 1,300 Harte-Hanks, Inc ................................ 27,417 1,900 Hilton Hotels Corp .............................. 21,470 1,100 * Hispanic Broadcasting Corp ...................... 20,427 2,500 * International Game Technology ................... 164,750 400 International Speedway Corp (Class A) ........... 16,188 300 * Jones Apparel Group, Inc ........................ 11,043 1,200 * Krispy Kreme Doughnuts, Inc ..................... 39,360 1,400 * Lamar Advertising Co ............................ 43,554 100 La-Z-Boy, Inc ................................... 2,500 1,700 Leggett & Platt, Inc ............................ 35,938 300 * Lin TV Corp (Class A) ........................... 7,410 100 * Mandalay Resort Group ........................... 3,107 2,900 Marriott International, Inc (Class A) ........... 90,480 2,200 Maytag Corp ..................................... 60,082 200 Meredith Corp ................................... 8,674 600 * Metro-Goldwyn-Mayer, Inc ........................ 7,236 100 * MGM Mirage ...................................... 3,610 1,900 * Michaels Stores, Inc ............................ 91,181 1,400 * Mohawk Industries, Inc .......................... 71,400 500 * MSC Industrial Direct Co (Class A) .............. 5,765 2,600 New York Times Co (Class A) ..................... 126,802 1,000 * O'Reilly Automotive, Inc ........................ 30,960 900 * Outback Steakhouse, Inc ......................... 24,894 900 * Performance Food Group Co ....................... 29,421 900 Pier 1 Imports, Inc ............................. 17,703 500 * Pixar, Inc ...................................... 23,320 700 Polaris Industries, Inc ......................... 51,940 500 R.R. Donnelley & Sons Co ........................ 12,455 1,100 * Radio One, Inc (Class D) ........................ 19,173 800 Reader's Digest Association, Inc (Class A) ...... 13,192 200 * Regal Entertainment Group (Class A) ............. 3,640 900 * Rent-A-Center, Inc .............................. 51,966 2,200 Ross Stores, Inc ................................ 89,936 1,800 Ruby Tuesday, Inc ............................... 33,498 400 * Scholastic Corp ................................. 18,688 100 * Scotts Co (Class A) ............................. 4,300 700 Scripps (E.W.) Co (Class A) ..................... 50,540 500 * Sonic Automotive, Inc ........................... 10,470 10,900 * Starbucks Corp .................................. 224,104 600 Talbots, Inc .................................... 19,920 1,400 * The Cheesecake Factory, Inc ..................... 38,738 3,100 Tiffany & Co .................................... 77,872 500 * Timberland Co (Class A) ......................... 18,525 200 * UnitedGlobalcom, Inc (Class A) .................. 348 4,300 * Univision Communications, Inc (Class A) ......... 95,718 1,900 Wendy's International, Inc ...................... 61,294 2,200 * Westwood One, Inc ............................... 78,364 1,300 Wiley (John) & Sons, Inc (Class A) .............. 29,250 2,500 * Williams-Sonoma, Inc ............................ 64,800 11,000 * Yahoo!, Inc ..................................... 115,060 6,700 * Yum! Brands, Inc ................................ 196,511 200 * Zale Corp ....................................... 6,468 ----------- TOTAL CONSUMER CYCLICAL 4,084,935 ----------- CONSUMER NON-CYCLICAL--9.35% 100 Alberto-Culver Co (Class B) ..................... 4,995 5,400 * Amazon.Com, Inc ................................. 89,694 800 * Aramark Corp (Class B) .......................... 17,760 2,000 * Autozone, Inc ................................... 148,840 400 * Barnes & Noble, Inc ............................. 9,600 SEE NOTES TO FINANCIAL STATEMENTS B-121 - INSTITUTIONAL MID-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER NON-CYCLICAL--(CONTINUED) 2,000 * BJ's Wholesale Club, Inc ........................ $ 44,600 200 * Borders Group, Inc .............................. 3,738 1,000 Brown-Forman Corp (Class B) ..................... 69,450 1,700 * CDW Computer Centers, Inc ....................... 75,752 600 Church & Dwight Co, Inc ......................... 19,386 700 * Circuit City Stores, Inc (Carmax Group) ......... 12,950 700 Circuit City Stores, Inc (Circuit City Group) ... 11,697 2,300 Clorox Co ....................................... 98,900 2,500 * Coach, Inc ...................................... 72,450 6,100 Coca-Cola Enterprises, Inc ...................... 128,710 800 * Constellation Brands, Inc (Class A) ............. 23,400 1,400 Dial Corp ....................................... 28,420 500 Dreyer's Grand Ice Cream, Inc ................... 34,565 300 * Energizer Holdings, Inc ......................... 9,186 2,100 Estee Lauder Cos (Class A) ...................... 66,192 500 Ethan Allen Interiors, Inc ...................... 16,850 300 * Expedia, Inc (Class A) .......................... 16,122 1,700 Fastenal Co ..................................... 56,253 900 * Furniture Brands International, Inc ............. 20,970 300 * Gamestop Corp ................................... 5,880 2,100 Herman Miller, Inc .............................. 34,062 1,300 Hershey Foods Corp .............................. 95,966 900 International Flavors & Fragrances, Inc ......... 27,981 11,200 Mattel, Inc ..................................... 224,336 2,100 McCormick & Co, Inc (Non-Vote) .................. 47,229 400 Newell Rubbermaid, Inc .......................... 13,552 200 * PayPal, Inc ..................................... 4,484 4,900 Pepsi Bottling Group, Inc ....................... 128,135 400 * Petco Animal Supplies, Inc ...................... 8,380 3,800 * Petsmart, Inc ................................... 68,130 4,900 * RadioShack Corp ................................. 104,027 4,500 * Rite Aid Corp ................................... 11,925 13,100 * Staples, Inc .................................... 190,081 700 * Ticketmaster (Class B) .......................... 11,767 700 Tootsie Roll Industries, Inc .................... 22,267 2,400 UST, Inc ........................................ 72,936 700 * Weight Watchers International, Inc .............. 31,325 1,500 * Whole Foods Market, Inc ......................... 70,500 ----------- TOTAL CONSUMER NON-CYCLICAL 2,253,443 ----------- ENERGY--4.12% 1,000 Amerada Hess Corp ............................... 70,120 4,400 * BJ Services Co .................................. 122,188 1,200 Burlington Resources, Inc ....................... 45,360 1,200 * Cooper Cameron Corp ............................. 53,964 1,000 Diamond Offshore Drilling, Inc .................. 20,910 3,400 Ensco International, Inc ........................ 85,850 400 * Forest Oil Corp ................................. 10,632 2,500 * Grant Prideco, Inc .............................. 23,950 6,100 Halliburton Co .................................. 86,193 800 Murphy Oil Corp ................................. 68,624 1,400 * National-Oilwell, Inc ........................... 26,488 700 * Newfield Exploration Co ......................... 22,820 900 Noble Energy, Inc ............................... 29,070 3,500 Ocean Energy, Inc ............................... 68,950 1,900 * Patterson-UTI Energy, Inc ....................... 48,070 500 * Pioneer Natural Resources Co .................... 12,755 200 Pogo Producing Co ............................... 6,630 1,600 * Pride International, Inc ........................ 21,200 1,500 Rowan Cos, Inc .................................. 28,710 2,900 * Smith International, Inc ........................ 88,682 800 Tidewater, Inc .................................. 22,688 1,400 * Varco International, Inc ........................ 24,836 200 XTO Energy, Inc ................................. 4,106 ----------- TOTAL ENERGY 992,796 ----------- SHARES VALUE ------ ----- FINANCIAL SERVICES--5.97% 500 * Affiliated Managers Group, Inc .................. $ 24,960 2,300 Allied Capital Corp ............................. 52,486 200 Ambac Financial Group, Inc ...................... 11,452 1,900 * AmeriCredit Corp ................................ 25,669 500 * Blackrock, Inc .................................. 22,450 1,400 Brown & Brown, Inc .............................. 40,110 1,800 * Catellus Development Corp ....................... 35,100 2,400 * ChoicePoint, Inc ................................ 100,656 1,600 Commerce Bancorp, Inc ........................... 71,840 800 Doral Financial Corp ............................ 34,072 3,700 * E*trade Group, Inc .............................. 17,908 1,600 Eaton Vance Corp ................................ 45,776 2,300 Federated Investors, Inc (Class B) .............. 66,930 2,400 Gallagher (Arthur J.) & Co ...................... 62,880 200 Greater Bay Bancorp ............................. 4,370 300 HCC Insurance Holdings, Inc ..................... 7,500 400 Hudson United Bancorp ........................... 11,184 1,400 * Investment Technology Group, Inc ................ 44,800 1,800 Investors Financial Services Corp ............... 53,131 600 John Nuveen Co (Class A) ........................ 13,890 100 * LaBranche & Co, Inc ............................. 2,208 1,000 Legg Mason, Inc ................................. 46,010 1,500 Neuberger Berman, Inc ........................... 45,075 1,000 New York Community Bancorp, Inc ................. 28,150 1,200 North Fork Bancorp, Inc ......................... 46,056 600 Provident Financial Group, Inc .................. 16,692 2,900 * Providian Financial Corp ........................ 16,269 300 Rouse Co ........................................ 9,597 2,100 SEI Investments Co .............................. 62,538 100 * Silicon Valley Bancshares ....................... 2,134 800 St. Joe Co ...................................... 23,216 2,500 Starwood Hotels & Resorts Worldwide, Inc ........ 60,950 700 Stilwell Financial, Inc ......................... 10,234 8,300 Synovus Financial Corp .......................... 183,928 1,000 T Rowe Price Group, Inc ......................... 27,000 1,300 TCF Financial Corp .............................. 60,060 300 * United Rentals, Inc ............................. 4,002 2,100 Waddell & Reed Financial, Inc (Class A) ......... 38,535 200 Westamerica Bancorp ............................. 8,264 ----------- TOTAL FINANCIAL SERVICES 1,438,082 ----------- HEALTH CARE--24.36% 800 * Accredo Health, Inc ............................. 40,080 2,100 * AdvancePCS ...................................... 46,179 1,400 * Affymetrix, Inc ................................. 26,698 3,900 Allergan, Inc ................................... 206,895 2,300 AmerisourceBergen Corp .......................... 165,485 400 * AMN Healthcare Services, Inc .................... 8,560 1,800 * Andrx Corp ...................................... 44,370 3,200 * Anthem, Inc ..................................... 217,600 1,500 * Apogent Technologies, Inc ....................... 30,840 5,600 Applera Corp (Applied Biosystems Group) ......... 108,080 800 * Barr Laboratories, Inc .......................... 53,736 1,600 Beckman Coulter, Inc ............................ 64,880 1,000 Becton Dickinson & Co ........................... 30,140 4,200 * Biogen, Inc ..................................... 139,104 7,500 Biomet, Inc ..................................... 201,975 6,200 * Caremark Rx, Inc ................................ 105,276 2,100 * Celgene Corp .................................... 37,065 1,300 * Cephalon, Inc ................................... 55,211 800 * Cerner Corp ..................................... 30,392 1,300 * Charles River Laboratories International, Inc ... 48,893 2,600 * Chiron Corp ..................................... 96,980 1,000 * Community Health Systems, Inc ................... 24,100 500 * Coventry Health Care, Inc ....................... 16,125 SEE NOTES TO FINANCIAL STATEMENTS B-122 - INSTITUTIONAL MID-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 3,400 * Cytyc Corp ...................................... $ 34,000 1,700 * DaVita, Inc ..................................... 38,709 2,000 Dentsply International, Inc ..................... 80,100 600 Diagnostic Products Corp ........................ 25,290 1,200 * Edwards Lifesciences Corp ....................... 29,712 1,800 * Express Scripts, Inc (Class A) .................. 95,724 2,800 * First Health Group Corp ......................... 73,920 1,500 * Fisher Scientific International, Inc ............ 43,680 4,700 * Genzyme Corp (General Division) ................. 86,480 4,800 * Gilead Sciences, Inc ............................ 153,792 6,800 * Health Management Associates, Inc (Class A) ..... 133,552 600 * Health Net, Inc ................................. 13,602 800 * Healthsouth Corp ................................ 3,752 700 * Henry Schein, Inc ............................... 37,961 1,700 * Human Genome Sciences, Inc ...................... 22,015 600 ICN Pharmaceuticals, Inc ........................ 6,138 3,200 * IDEC Pharmaceuticals Corp ....................... 139,616 8,100 IMS Health, Inc ................................. 130,653 700 * Invitrogen Corp ................................. 25,403 4,300 * IVAX Corp ....................................... 58,265 7,000 * King Pharmaceuticals, Inc ....................... 129,990 4,000 * Laboratory Corp Of America Holdings ............. 133,120 1,100 * LifePoint Hospitals, Inc ........................ 33,825 3,000 * Lincare Holdings, Inc ........................... 95,730 1,200 * Manor Care, Inc ................................. 28,284 6,500 McKesson Corp ................................... 203,710 700 * Medicis Pharmaceutical Corp (Class A) ........... 29,841 7,000 * Medimmune, Inc .................................. 168,000 1,300 * Mid Atlantic Medical Services, Inc .............. 47,320 4,500 * Millennium Pharmaceuticals, Inc ................. 52,695 1,400 * Millipore Corp .................................. 48,188 3,300 Mylan Laboratories, Inc ......................... 108,240 1,300 Omnicare, Inc ................................... 29,380 1,200 * Orthodontic Centers Of America, Inc ............. 18,000 2,500 * Oxford Health Plans, Inc ........................ 106,550 200 Pall Corp ....................................... 3,482 1,400 * Patterson Dental Co ............................. 70,210 1,300 * Pharmaceutical Product Development, Inc ......... 26,832 2,100 * Quest Diagnostics, Inc .......................... 119,637 1,700 * Quintiles Transnational Corp .................... 16,660 1,100 * Renal Care Group, Inc ........................... 36,553 600 * Ribapharm, Inc .................................. 2,712 1,900 * SICOR, Inc ...................................... 29,336 5,000 * St. Jude Medical, Inc ........................... 179,850 1,900 * Steris Corp ..................................... 43,225 3,800 Stryker Corp .................................... 218,462 1,100 * Triad Hospitals, Inc ............................ 41,822 1,400 * Universal Health Services, Inc (Class B) ........ 68,012 1,900 * Varian Medical Systems, Inc ..................... 82,992 3,700 * Waters Corp ..................................... 95,756 1,100 * Watson Pharmaceuticals, Inc ..................... 28,116 4,000 * WebMD Corp ...................................... 24,040 4,100 * Wellpoint Health Networks, Inc .................. 318,816 5,500 * Zimmer Holdings, Inc ............................ 202,400 ----------- TOTAL HEALTH CARE 5,872,814 ----------- OTHER--4.47% 1,300 * Career Education Corp ........................... 58,500 3,300 Cintas Corp ..................................... 141,735 1,600 * DeVry, Inc ...................................... 30,208 1,700 * Dun & Bradstreet Corp ........................... 60,282 700 * Education Management Corp ....................... 28,798 700 * Getty Images, Inc ............................... 13,573 1,100 * GTECH Holdings Corp ............................. 26,422 5,200 H & R Block, Inc ................................ 266,448 SHARES VALUE ------ ----- 200 HON Industries, Inc ............................. $ 5,352 300 * Hotels.Com (Class A) ............................ 14,082 200 ITT Industries, Inc ............................. 13,280 1,400 Manpower, Inc ................................... 45,318 3,700 Moody's Corp .................................... 180,338 4,300 * Robert Half International, Inc .................. 72,111 400 * SPX Corp ........................................ 43,044 300 Teleflex, Inc ................................... 14,181 1,500 * TMP Worldwide, Inc .............................. 16,425 2,100 Viad Corp ....................................... 47,061 ----------- TOTAL OTHER 1,077,158 ----------- PRODUCER DURABLES--1.69% 1,100 * AGCO Corp ....................................... 23,166 3,100 * Allied Waste Industries, Inc .................... 23,870 3,100 Danaher Corp .................................... 174,840 1,400 * Flowserve Corp .................................. 24,290 200 * FMC Technologies, Inc ........................... 3,692 800 * National Instruments Corp ....................... 21,256 4,100 Pitney Bowes, Inc ............................... 137,473 ----------- TOTAL PRODUCER DURABLES 408,587 ----------- TECHNOLOGY--22.73% 1,500 * Activision, Inc ................................. 40,485 1,600 * Acxiom Corp ..................................... 29,472 1,500 * Adaptec, Inc .................................... 8,400 9,100 * ADC Telecommunications, Inc ..................... 13,286 6,700 Adobe Systems, Inc .............................. 139,159 1,200 * Advanced Fibre Communications, Inc .............. 20,112 3,000 * Advanced Micro Devices, Inc ..................... 21,630 900 * Advent Software, Inc ............................ 13,050 2,700 * Affiliated Computer Services, Inc (Class A) ..... 125,685 25,400 * Agere Systems, Inc (Class B) .................... 33,782 1,300 * Alliance Data Systems Corp ...................... 19,747 10,800 * Altera Corp ..................................... 110,268 600 * American Power Conversion Corp .................. 6,984 1,600 * Amkor Technology, Inc ........................... 3,184 500 * Amphenol Corp (Class A) ......................... 18,800 4,200 * Applied Micro Circuits Corp ..................... 15,834 700 * Arrow Electronics, Inc .......................... 10,549 8,100 * Atmel Corp ...................................... 14,418 900 Autodesk, Inc ................................... 12,141 1,300 * Avaya, Inc ...................................... 2,665 10,100 * BEA Systems, Inc ................................ 55,348 3,100 * Bisys Group, Inc ................................ 71,455 3,800 * BMC Software, Inc ............................... 55,936 2,800 * Broadcom Corp (Class A) ......................... 42,700 6,600 * Brocade Communications Systems, Inc ............. 81,444 7,500 * Cadence Design Systems, Inc ..................... 101,850 3,300 * Ceridian Corp ................................... 50,721 1,800 * Certegy, Inc .................................... 51,030 900 * Checkfree Corp .................................. 11,745 6,100 * CIENA Corp ...................................... 25,132 4,500 * Citrix Systems, Inc ............................. 28,530 1,600 Computer Associates International, Inc .......... 17,744 400 * Computer Sciences Corp .......................... 13,960 4,200 * Compuware Corp .................................. 14,028 2,600 * Comverse Technology, Inc ........................ 20,306 3,600 * Conexant Systems, Inc ........................... 4,824 4,900 * Convergys Corp .................................. 92,561 11,600 * Corning, Inc .................................... 23,316 1,500 * CSG Systems International, Inc .................. 17,970 1,000 * Cymer, Inc ...................................... 22,350 2,700 * Cypress Semiconductor Corp ...................... 24,678 1,800 Deluxe Corp ..................................... 83,862 3,400 * DST Systems, Inc ................................ 117,300 SEE NOTES TO FINANCIAL STATEMENTS B-123 - INSTITUTIONAL MID-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 3,400 * Electronic Arts, Inc ............................ $ 213,622 1,800 * Emulex Corp ..................................... 30,870 3,800 Equifax, Inc .................................... 89,338 1,400 Fair, Isaac & Co, Inc ........................... 49,812 3,000 * Fairchild Semiconductor International, Inc (Class A) 30,600 5,400 * Fiserv, Inc ..................................... 181,872 1,000 Global Payments, Inc ............................ 23,400 900 Harris Corp ..................................... 29,475 1,900 Henry (Jack) & Associates, Inc .................. 30,738 4,300 * i2 Technologies, Inc ............................ 3,298 600 * Ingram Micro, Inc (Class A) ..................... 8,028 1,300 * Integrated Circuit Systems, Inc ................. 22,113 1,500 * Integrated Device Technology, Inc ............... 17,775 1,600 * International Rectifier Corp .................... 30,160 2,200 * Intersil Corp (Class A) ......................... 34,100 5,400 * Intuit, Inc ..................................... 255,258 1,100 * Iron Mountain, Inc .............................. 28,666 2,800 * J.D. Edwards & Co ............................... 31,948 4,000 * Jabil Circuit, Inc .............................. 71,560 17,000 * JDS Uniphase Corp ............................... 43,520 8,000 * Juniper Networks, Inc ........................... 52,960 5,300 * KLA-Tencor Corp ................................. 167,745 4,000 * KPMG Consulting, Inc ............................ 40,080 3,600 * Lam Research Corp ............................... 38,700 3,700 * Lexmark International, Inc ...................... 177,489 5,200 * LSI Logic Corp .................................. 39,676 1,300 * Macromedia, Inc ................................. 11,037 2,200 * Mercury Interactive Corp ........................ 52,250 1,000 * Mettler-Toledo International, Inc ............... 30,000 1,800 * Micrel, Inc ..................................... 12,924 5,600 * Microchip Technology, Inc ....................... 94,920 600 * MKS Instruments, Inc ............................ 7,297 3,100 Molex, Inc ...................................... 81,220 200 * National Processing, Inc ........................ 3,934 4,200 * National Semiconductor Corp ..................... 55,398 8,300 * Network Appliance, Inc .......................... 76,692 4,100 * Network Associates, Inc ......................... 58,302 3,800 * Novellus Systems, Inc ........................... 90,630 3,600 * Nvidia Corp ..................................... 38,052 7,700 * Peoplesoft, Inc ................................. 119,119 1,800 * Perot Systems Corp (Class A) .................... 22,122 4,700 * PMC-Sierra, Inc ................................. 27,448 2,100 * Polycom, Inc .................................... 18,333 2,500 * QLogic Corp ..................................... 84,300 4,200 * Rational Software Corp .......................... 25,914 2,100 * RealNetworks, Inc ............................... 8,925 1,800 Reynolds & Reynolds Co (Class A) ................ 47,250 4,000 * RF Micro Devices, Inc ........................... 25,960 7,900 * Sanmina-SCI Corp ................................ 26,236 1,700 * Semtech Corp .................................... 18,428 11,000 * Siebel Systems, Inc ............................. 90,420 11,600 * Solectron Corp .................................. 37,700 500 * Storage Technology Corp ......................... 6,690 7,900 * Sungard Data Systems, Inc ....................... 181,463 SHARES/ PRINCIPAL VALUE --------- ----- 1,200 * Sybase, Inc ..................................... $ 15,900 4,100 * Symantec Corp ................................... 139,318 3,200 Symbol Technologies, Inc ........................ 28,128 2,100 * Synopsys, Inc ................................... 94,017 400 * Tech Data Corp .................................. 12,976 400 * Tektronix, Inc .................................. 6,908 5,200 * Tellabs, Inc .................................... 26,156 4,000 * Teradyne, Inc ................................... 49,200 1,400 * Thermo Electron Corp ............................ 23,800 1,000 Total System Services, Inc ...................... 15,780 1,500 * Unisys Corp ..................................... 12,750 1,800 * Utstarcom, Inc .................................. 25,938 3,100 * VeriSign, Inc ................................... 23,467 9,900 * Veritas Software Corp ........................... 175,626 1,000 * Vishay Intertechnology, Inc ..................... 11,210 600 * Zebra Technologies Corp (Class A) ............... 32,664 ----------- TOTAL TECHNOLOGY 5,478,046 ----------- TRANSPORTATION--1.07% 1,900 C.H. Robinson Worldwide, Inc .................... 51,383 2,600 Expeditors International Of Washington, Inc ..... 70,174 4,100 * Sabre Holdings Corp ............................. 102,746 1,000 Skywest, Inc .................................... 14,550 1,000 * Swift Transportation Co, Inc .................... 18,380 ----------- TOTAL TRANSPORTATION 257,233 ----------- UTILITIES--1.93% 4,700 * AES Corp ........................................ 14,852 3,000 * Calpine Corp .................................... 11,520 3,700 * Citizens Communications Co ...................... 25,826 1,600 Kinder Morgan, Inc .............................. 66,448 9,100 * Level 3 Communications, Inc ..................... 41,041 1,800 * Mirant Corp ..................................... 5,706 18,900 * Nextel Communications, Inc (Class A) ............ 156,681 19,100 * Qwest Communications International, Inc ......... 66,659 20,000 * Sprint Corp (PCS Group) ......................... 67,000 500 * West Corp ....................................... 7,586 1,100 Williams Cos, Inc ............................... 3,080 ----------- TOTAL UTILITIES 466,399 ----------- TOTAL COMMON STOCK (COST $23,494,151) 23,588,273 ----------- SHORT TERM INVESTMENT--99.55% U.S. GOVERNMENT AND AGENCY--99.55% Federal Home Loan Bank (FHLB) $24,000,000 1.590%, 09/16/2002 ............................ 23,996,640 ----------- TOTAL SHORT TERM INVESTMENT (COST $23,996,640) 23,996,640 ----------- TOTAL PORTFOLIO--197.41% (COST $47,490,791) 47,584,913 OTHER ASSETS & LIABILITIES, NET--(97.41%) (23,480,581) ----------- NET ASSETS--100.00% $24,104,332 ----------- ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-124 - INSTITUTIONAL MID-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--92.09% AEROSPACE AND DEFENSE--0.55% 1,800 Goodrich Corp ................................... $ 38,322 300 * PanAmSat Corp ................................... 5,337 1,200 PerkinElmer, Inc ................................ 6,420 900 Precision Castparts Corp ........................ 21,105 3,000 Rockwell Collins, Inc ........................... 60,750 100 * Titan Corp ...................................... 1,100 ----------- TOTAL AEROSPACE AND DEFENSE 133,034 ----------- BASIC INDUSTRIES--9.95% 1,700 * AK Steel Holding Corp ........................... 15,810 500 Albemarle Corp .................................. 14,470 1,500 Allegheny Technologies, Inc ..................... 11,850 200 * American Standard Cos, Inc ...................... 14,268 700 Aptargroup, Inc ................................. 21,280 500 Avery Dennison Corp ............................. 30,000 800 Ball Corp ....................................... 43,120 900 Bemis Co ........................................ 47,079 100 Black & Decker Corp ............................. 4,387 900 Boise Cascade Corp .............................. 22,995 1,000 Bowater, Inc .................................... 38,860 1,000 Cabot Corp ...................................... 23,290 1,100 Centex Corp ..................................... 54,780 1,700 Clayton Homes, Inc .............................. 22,253 1,400 Eastman Chemical Co ............................. 60,438 2,400 Engelhard Corp .................................. 61,920 1,200 Fluor Corp ...................................... 32,280 4,200 Georgia-Pacific Corp ............................ 75,600 1,500 * Hercules, Inc ................................... 15,525 1,800 D.R. Horton, Inc ................................ 39,636 2,000 IMC Global, Inc ................................. 28,580 200 * Jacobs Engineering Group, Inc ................... 6,788 800 KB Home ......................................... 41,320 600 Lafarge North America, Inc ...................... 19,218 900 Lennar Corp ..................................... 52,326 900 Lubrizol Corp ................................... 27,693 2,300 Lyondell Chemical Co ............................ 33,350 900 Martin Marietta Materials, Inc .................. 34,605 3,700 MeadWestvaco Corp ............................... 82,325 4,800 Monsanto Co ..................................... 78,240 600 Newmont Mining Corp ............................. 17,604 1,400 Nucor Corp ...................................... 72,968 500 OM Group, Inc ................................... 26,635 2,000 * Owens-Illinois, Inc ............................. 26,700 1,100 * Packaging Corp Of America ....................... 19,525 2,900 * Pactiv Corp ..................................... 52,026 400 Peabody Energy Corp ............................. 9,884 1,500 * Phelps Dodge Corp ............................... 43,185 3,400 Plum Creek Timber Co, Inc ....................... 86,054 3,100 PPG Industries, Inc ............................. 159,557 3,000 Praxair, Inc .................................... 168,540 900 Pulte Homes, Inc ................................ 42,570 500 Rayonier, Inc ................................... 22,755 2,900 Rohm & Haas Co .................................. 99,325 2,100 RPM, Inc ........................................ 30,135 500 Ryland Group, Inc ............................... 21,700 100 * Sealed Air Corp ................................. 1,714 300 * Shaw Group, Inc ................................. 4,575 2,400 Sherwin-Williams Co ............................. 61,920 1,100 Sigma-Aldrich Corp .............................. 55,187 3,200 * Smurfit-Stone Container Corp .................... 47,072 1,100 Snap-On, Inc .................................... 26,466 1,800 Sonoco Products Co .............................. 39,600 400 Stanley Works ................................... 13,472 900 Temple-Inland, Inc .............................. 43,191 SHARES VALUE ------ ----- 800 * Toll Brothers, Inc .............................. $ 20,576 1,800 United States Steel Corp ........................ 23,922 600 Valspar Corp .................................... 23,970 1,600 Vulcan Materials Co ............................. 64,576 700 York International Corp ......................... 22,176 ----------- TOTAL BASIC INDUSTRIES 2,401,866 ----------- CONSUMER CYCLICAL--12.02% 500 * American Axle & Manufacturing Holdings, Inc ..... 14,975 100 * American Eagle Outfitters, Inc .................. 1,641 1,200 * American Greetings Corp (Class A) ............... 21,060 1,200 ArvinMeritor, Inc ............................... 28,320 1,800 Autoliv, Inc .................................... 40,662 1,600 Belo Corp (Class A) ............................. 37,904 1,000 * Big Lots, Inc ................................... 18,750 300 Blockbuster, Inc (Class A) ...................... 6,996 500 BorgWarner, Inc ................................. 30,000 100 * Brinker International, Inc ...................... 2,639 1,600 Brunswick Corp .................................. 37,232 2,500 * Cablevision Systems Corp (Class A) .............. 27,450 900 Callaway Golf Co ................................ 13,320 800 CBRL Group, Inc ................................. 18,682 2,300 * Charter Communications, Inc (Class A) ........... 7,015 1,200 Cooper Tire & Rubber Co ......................... 24,852 200 * Cox Radio, Inc (Class A) ........................ 5,122 300 * Cumulus Media, Inc (Class A) .................... 5,055 2,700 Dana Corp ....................................... 43,443 10,300 Delphi Corp ..................................... 105,987 1,300 Dillard's, Inc (Class A) ........................ 33,124 200 Donaldson Co, Inc ............................... 7,384 1,600 R.R. Donnelley & Sons Co ........................ 39,856 300 Dow Jones & Co, Inc ............................. 12,990 5,400 Eastman Kodak Co ................................ 153,144 600 * Emmis Communications Corp (Class A) ............. 10,542 100 * Entercom Communications Corp .................... 4,602 800 * Entravision Communications Corp (Class A) ....... 9,520 1,000 * Extended Stay America, Inc ...................... 13,760 3,700 * Federated Department Stores, Inc ................ 133,681 1,600 * Foot Locker, Inc ................................ 15,568 400 Forest City Enterprises, Inc (Class A) .......... 14,020 2,100 * Gemstar-TV Guide International, Inc ............. 7,140 3,200 Genuine Parts Co ................................ 103,008 2,600 Goodyear Tire & Rubber Co ....................... 32,396 100 * Harrah's Entertainment, Inc ..................... 4,850 300 Harte-Hanks, Inc ................................ 6,327 300 * Hearst-Argyle Television, Inc ................... 7,293 4,800 Hilton Hotels Corp .............................. 54,240 400 * Hispanic Broadcasting Corp ...................... 7,428 600 * Interactive Data Corp ........................... 7,980 300 International Speedway Corp (Class A) ........... 12,141 4,900 J.C. Penney Co, Inc ............................. 89,670 1,600 Johnson Controls, Inc ........................... 130,688 2,000 * Jones Apparel Group, Inc ........................ 73,620 1,500 Knight Ridder, Inc .............................. 94,785 900 La-Z-Boy, Inc ................................... 22,500 400 * Lamar Advertising Co ............................ 12,444 1,200 * Lear Corp ....................................... 56,760 800 Lee Enterprises, Inc ............................ 27,536 2,500 Leggett & Platt, Inc ............................ 52,850 100 * Lin TV Corp (Class A) ........................... 2,470 2,000 Liz Claiborne, Inc .............................. 55,460 700 * Mandalay Resort Group ........................... 21,749 1,600 Marriott International, Inc (Class A) ........... 49,920 5,300 May Department Stores Co ........................ 143,047 300 McClatchy Co (Class A) .......................... 17,763 200 Media General, Inc (Class A) .................... 10,510 SEE NOTES TO FINANCIAL STATEMENTS B-125 - INSTITUTIONAL MID-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 700 Meredith Corp ................................... $ 30,359 400 * Metro-Goldwyn-Mayer, Inc ........................ 4,824 1,200 * MGM Mirage ...................................... 43,320 200 * MSC Industrial Direct Co (Class A) .............. 2,306 700 * Neiman Marcus Group, Inc (Class A) .............. 22,120 800 New York Times Co (Class A) ..................... 39,016 1,700 Nordstrom, Inc .................................. 36,108 100 * O'Reilly Automotive, Inc ........................ 3,096 500 * Outback Steakhouse, Inc ......................... 13,830 5,000 * Park Place Entertainment Corp ................... 44,900 200 * Performance Food Group Co ....................... 6,538 1,200 Pier 1 Imports, Inc ............................. 23,604 600 * Polo Ralph Lauren Corp .......................... 14,178 600 * Radio One, Inc (Class D) ........................ 10,458 1,300 Reader's Digest Association, Inc (Class A) ...... 21,437 900 * Reebok International Ltd ........................ 21,762 200 * Regal Entertainment Group (Class A) ............. 3,640 2,200 * Saks, Inc ....................................... 26,334 300 * Scholastic Corp ................................. 14,016 300 * Scotts Co (Class A) ............................. 12,900 100 Scripps (E.W.) Co (Class A) ..................... 7,220 1,600 * Six Flags, Inc .................................. 7,792 200 * Sonic Automotive, Inc ........................... 4,188 600 Steelcase, Inc (Class A) ........................ 7,770 1,900 TRW, Inc ........................................ 111,530 1,200 * UnitedGlobalcom, Inc (Class A) .................. 2,088 1,600 VF Corp ......................................... 62,928 900 * Valassis Communications, Inc .................... 34,047 2,400 Visteon Corp .................................... 26,760 100 Washington Post Co (Class B) .................... 63,101 900 Wendy's International, Inc ...................... 29,034 1,200 Whirlpool Corp .................................. 62,088 1,100 * Yum! Brands, Inc ................................ 32,263 400 * Zale Corp ....................................... 12,936 ----------- TOTAL CONSUMER CYCLICAL 2,902,362 ----------- CONSUMER NON-CYCLICAL--5.82% 600 Alberto-Culver Co (Class B) ..................... 29,970 10,400 Archer Daniels Midland Co ....................... 125,528 3,600 * Autonation, Inc ................................. 45,216 600 * Barnes & Noble, Inc ............................. 14,400 1,300 * Borders Group, Inc .............................. 24,297 300 Church & Dwight Co, Inc ......................... 9,693 200 * Circuit City Stores, Inc (Carmax Group) ......... 3,700 3,400 Circuit City Stores, Inc (Circuit City Group) ... 56,814 1,600 Clorox Co ....................................... 68,800 300 Coca-Cola Enterprises, Inc ...................... 6,330 800 * Constellation Brands, Inc (Class A) ............. 23,400 500 Coors (Adolph) Co (Class B) ..................... 31,180 1,600 * Dean Foods Co ................................... 62,336 800 Dial Corp ....................................... 16,240 800 Dole Food Co .................................... 20,488 1,500 * Energizer Holdings, Inc ......................... 45,930 300 Ethan Allen Interiors, Inc ...................... 10,110 300 * Furniture Brands International, Inc ............. 6,990 100 * Gamestop Corp ................................... 1,960 2,600 Hasbro, Inc ..................................... 32,500 900 Hershey Foods Corp .............................. 66,438 1,400 Hormel Foods Corp ............................... 30,758 700 International Flavors & Fragrances, Inc ......... 21,763 500 Lancaster Colony Corp ........................... 22,345 500 Estee Lauder Cos (Class A) ...................... 15,760 500 Loews Corp (Carolina Group) ..................... 11,375 700 Mattel, Inc ..................................... 14,021 1,200 McCormick & Co, Inc (Non-Vote) .................. 26,988 SHARES VALUE ------ ----- 4,600 Newell Rubbermaid, Inc .......................... $ 155,848 5,600 * Office Depot, Inc ............................... 77,168 1,600 PepsiAmericas, Inc .............................. 23,344 4,500 * Rite Aid Corp ................................... 11,925 1,700 R.J. Reynolds Tobacco Holdings, Inc ............. 88,927 2,000 * Smithfield Foods, Inc ........................... 36,320 200 * Ticketmaster (Class B) .......................... 3,362 3,600 * Toys "R" Us, Inc ................................ 47,916 4,100 Tyson Foods, Inc (Class A) ...................... 49,815 1,500 UST, Inc ........................................ 45,585 1,200 Winn-Dixie Stores, Inc .......................... 19,524 ----------- TOTAL CONSUMER NON-CYCLICAL 1,405,064 ----------- ENERGY--5.78% 600 Amerada Hess Corp ............................... 42,072 2,500 Apache Corp ..................................... 143,225 1,300 Ashland, Inc .................................... 38,155 2,900 Burlington Resources, Inc ....................... 109,620 100 * Cooper Cameron Corp ............................. 4,497 2,600 Devon Energy Corp ............................... 125,866 400 Diamond Offshore Drilling, Inc .................. 8,364 500 Ensco International, Inc ........................ 12,625 2,100 EOG Resources, Inc .............................. 73,962 300 * Forest Oil Corp ................................. 7,974 4,000 Halliburton Co .................................. 56,520 900 Helmerich & Payne, Inc .......................... 30,888 1,800 Kerr-McGee Corp ................................. 79,596 5,700 Marathon Oil Corp ............................... 140,391 200 Murphy Oil Corp ................................. 17,156 500 * National-Oilwell, Inc ........................... 9,460 300 * Newfield Exploration Co ......................... 9,780 500 Noble Energy, Inc ............................... 16,150 900 Ocean Energy, Inc ............................... 17,730 100 * Patterson-UTI Energy, Inc ....................... 2,530 1,500 * Pennzoil-Quaker State Co ........................ 32,745 1,800 * Pioneer Natural Resources Co .................... 45,918 900 Pogo Producing Co ............................... 29,835 300 * Premcor, Inc .................................... 5,280 1,000 * Pride International, Inc ........................ 13,250 700 Rowan Cos, Inc .................................. 13,398 1,200 Sunoco, Inc ..................................... 39,948 500 Tidewater, Inc .................................. 14,180 4,500 Unocal Corp ..................................... 147,330 1,800 Valero Energy Corp .............................. 55,512 500 * Varco International, Inc ........................ 8,870 2,000 XTO Energy, Inc ................................. 41,060 ----------- TOTAL ENERGY 1,393,887 ----------- FINANCIAL SERVICES--27.98% 600 21st Century Insurance Group .................... 7,146 100 * Affiliated Managers Group, Inc .................. 4,992 100 * Alleghany Corp .................................. 18,490 400 Allied Capital Corp ............................. 9,128 1,000 Allmerica Financial Corp ........................ 21,090 1,500 AMB Property Corp ............................... 43,725 1,400 Ambac Financial Group, Inc ...................... 80,164 600 American Financial Group, Inc ................... 14,466 200 American National Insurance Co .................. 15,560 300 * AmeriCredit Corp ................................ 4,053 700 AmerUs Group Co ................................. 22,099 6,600 AmSouth Bancorp ................................. 143,286 1,500 Annaly Mortgage Management, Inc ................. 29,580 4,400 AON Corp ........................................ 93,280 1,500 Apartment Investment & Management Co (Class A) .. 62,685 3,200 Archstone-Smith Trust ........................... 83,040 1,100 Arden Realty, Inc ............................... 27,060 SEE NOTES TO FINANCIAL STATEMENTS B-126 - INSTITUTIONAL MID-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 1,400 Associated Banc-Corp ............................ $ 45,836 1,500 Astoria Financial Corp .......................... 40,800 1,100 AvalonBay Communities, Inc ...................... 49,005 1,500 Bancorpsouth, Inc ............................... 31,005 1,200 Bank Of Hawaii Corp ............................. 34,272 2,700 Banknorth Group, Inc ............................ 66,555 1,700 Bear Stearns Cos, Inc ........................... 103,887 700 Berkley (W.R.) Corp ............................. 24,045 300 * BOK Financial Corp .............................. 10,122 1,200 Boston Properties, Inc .......................... 46,260 800 BRE Properties, Inc (Class A) ................... 25,520 700 Camden Property Trust ........................... 24,451 400 Capitol Federal Financial ....................... 9,580 1,000 CarrAmerica Realty Corp ......................... 27,100 300 * Catellus Development Corp ....................... 5,850 400 Centerpoint Properties Corp ..................... 22,380 4,200 Charter One Financial, Inc ...................... 130,914 2,500 Cincinnati Financial Corp ....................... 92,125 800 Citizens Banking Corp ........................... 19,920 700 City National Corp .............................. 35,301 500 * CNA Financial Corp .............................. 13,775 2,200 Colonial Bancgroup, Inc ......................... 28,996 1,100 Commerce Bancshares, Inc ........................ 46,420 2,300 Compass Bancshares, Inc ......................... 73,301 1,900 Countrywide Credit Industries, Inc .............. 98,990 700 Cousins Properties, Inc ......................... 16,646 1,500 Crescent Real Estate Equities Co ................ 25,770 900 Cullen/Frost Bankers, Inc ....................... 32,166 1,000 Developers Diversified Realty Corp .............. 22,880 200 Doral Financial Corp ............................ 8,518 400 Downey Financial Corp ........................... 14,388 2,500 Duke Realty Corp ................................ 65,000 2,800 * E*trade Group, Inc .............................. 13,552 1,500 A.G. Edwards, Inc ............................... 54,825 5,000 Equity Residential .............................. 133,850 400 Erie Indemnity Co (Class A) ..................... 17,640 800 FNB Corp ........................................ 23,744 1,700 Fidelity National Financial, Inc ................ 51,153 1,300 First American Corp ............................. 27,677 900 First Midwest Bancorp, Inc ...................... 25,047 2,300 First Tennessee National Corp ................... 84,525 1,300 First Virginia Banks, Inc ....................... 49,322 1,600 FirstMerit Corp ................................. 38,448 1,900 Fulton Financial Corp ........................... 35,226 1,100 General Growth Properties, Inc .................. 55,000 1,300 Golden State Bancorp, Inc ....................... 42,458 700 Greater Bay Bancorp ............................. 15,295 1,600 Greenpoint Financial Corp ....................... 73,552 1,000 HCC Insurance Holdings, Inc ..................... 25,000 1,000 Health Care Property Investors, Inc ............. 42,530 2,900 Hibernia Corp (Class A) ......................... 60,639 1,000 Highwoods Properties, Inc ....................... 23,750 1,100 Hospitality Properties Trust .................... 37,378 4,300 * Host Marriott Corp .............................. 43,086 1,400 Hudson City Bancorp, Inc ........................ 24,514 600 Hudson United Bancorp ........................... 16,776 4,500 Huntington Bancshares, Inc ...................... 87,075 900 Independence Community Bank Corp ................ 25,110 1,000 * IndyMac Bancorp, Inc ............................ 22,400 800 Instinet Group, Inc ............................. 4,208 800 iStar Financial, Inc ............................ 22,784 2,700 Jefferson-Pilot Corp ............................ 113,184 1,700 Kimco Realty Corp ............................... 53,720 800 * LaBranche & Co, Inc ............................. 17,664 SHARES VALUE ------ ----- 500 Legg Mason, Inc ................................. $ 23,005 700 Leucadia National Corp .......................... 23,884 3,400 Lincoln National Corp ........................... 111,690 1,400 M & T Bank Corp ................................. 111,944 800 Mack-Cali Realty Corp ........................... 26,624 100 * Markel Corp ..................................... 20,936 3,900 Marshall & Ilsley Corp .......................... 117,390 2,700 MBIA, Inc ....................................... 123,984 1,300 Mercantile Bankshares Corp ...................... 50,843 500 Mercury General Corp ............................ 21,785 1,700 MGIC Investment Corp ............................ 93,891 800 MONY Group, Inc ................................. 21,360 3,800 National Commerce Financial Corp ................ 97,546 400 Nationwide Financial Services, Inc (Class A) .... 11,600 100 Neuberger Berman, Inc ........................... 3,005 1,700 New Plan Excel Realty Trust ..................... 33,541 2,200 North Fork Bancorp, Inc ......................... 84,436 1,300 New York Community Bancorp, Inc ................. 36,595 1,100 Old National Bancorp ............................ 27,940 2,200 Old Republic International Corp ................. 71,060 200 Park National Corp .............................. 19,330 500 People's Bank ................................... 11,485 1,800 Phoenix Cos, Inc ................................ 28,044 1,600 PMI Group, Inc .................................. 50,752 2,500 Popular, Inc .................................... 85,075 2,900 Prologis ........................................ 72,964 1,300 Protective Life Corp ............................ 41,301 400 Provident Financial Group, Inc .................. 11,128 2,900 * Providian Financial Corp ........................ 16,269 1,800 Public Storage, Inc ............................. 57,528 1,600 Radian Group, Inc ............................... 63,904 700 Raymond James Financial, Inc .................... 19,915 1,000 Reckson Associates Realty Corp .................. 23,500 400 Regency Centers Corp ............................ 12,364 4,200 Regions Financial Corp .......................... 143,472 300 Reinsurance Group Of America, Inc ............... 8,397 1,300 Roslyn Bancorp, Inc ............................. 24,440 1,200 Rouse Co ........................................ 38,388 2,300 Safeco Corp ..................................... 75,509 800 * Silicon Valley Bancshares ....................... 17,072 2,400 Simon Property Group, Inc ....................... 84,672 1,300 Sky Financial Group, Inc ........................ 25,779 6,300 SouthTrust Corp ................................. 158,571 4,800 Sovereign Bancorp, Inc .......................... 66,720 4,100 St. Paul Cos, Inc ............................... 131,610 500 Stancorp Financial Group, Inc ................... 27,375 2,000 Starwood Hotels & Resorts Worldwide, Inc ........ 48,760 3,600 Stilwell Financial, Inc ......................... 52,632 100 Student Loan Corp ............................... 9,460 1,300 T Rowe Price Group, Inc ......................... 35,100 600 TCF Financial Corp .............................. 27,720 2,200 Torchmark Corp .................................. 79,816 400 Transatlantic Holdings, Inc ..................... 28,208 1,600 Trizec Properties, Inc .......................... 19,008 800 Trustmark Corp .................................. 19,120 3,700 Union Planters Corp ............................. 107,855 900 UnionBanCal Corp ................................ 40,266 2,000 United Dominion Realty Trust, Inc ............... 32,100 800 * United Rentals, Inc ............................. 10,672 800 Unitrin, Inc .................................... 24,848 4,400 UnumProvident Corp .............................. 100,452 1,700 Valley National Bancorp ......................... 46,665 1,300 Vornado Realty Trust ............................ 53,300 1,200 Washington Federal, Inc ......................... 27,600 900 Webster Financial Corp .......................... 31,536 SEE NOTES TO FINANCIAL STATEMENTS B-127 - INSTITUTIONAL MID-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 800 Weingarten Realty Investors ..................... $ 30,392 500 Westamerica Bancorp ............................. 20,660 700 Whitney Holding Corp ............................ 22,995 1,200 Wilmington Trust Corp ........................... 35,520 1,700 Zions Bancorp ................................... 86,700 ----------- TOTAL FINANCIAL SERVICES ........................ 6,752,762 ----------- HEALTH CARE--3.85% 2,700 Aetna, Inc ...................................... 105,975 400 AmerisourceBergen Corp .......................... 28,780 500 * Anthem, Inc ..................................... 34,000 900 * Apogent Technologies, Inc ....................... 18,504 200 Applera Corp (Applied Biosystems Group) ......... 3,860 1,000 Bard (C.R.), Inc ................................ 55,160 900 Bausch & Lomb, Inc .............................. 29,934 4,100 Becton Dickinson & Co ........................... 123,574 300 * Community Health Systems, Inc ................... 7,230 400 * Coventry Health Care, Inc ....................... 12,900 300 * Edwards Lifesciences Corp ....................... 7,428 500 * Genzyme Corp (General Division) ................. 9,200 1,600 * Health Net, Inc ................................. 36,272 6,700 * Healthsouth Corp ................................ 31,423 900 Hillenbrand Industries, Inc ..................... 52,965 1,100 * Human Genome Sciences, Inc ...................... 14,245 3,100 * Humana, Inc ..................................... 41,168 1,100 ICN Pharmaceuticals, Inc ........................ 11,253 900 * ICOS Corp ....................................... 21,348 500 * Invitrogen Corp ................................. 18,145 1,100 * Manor Care, Inc ................................. 25,927 800 McKesson Corp ................................... 25,072 100 * Medicis Pharmaceutical Corp (Class A) ........... 4,263 2,200 * Millennium Pharmaceuticals, Inc ................. 25,762 200 Mylan Laboratories, Inc ......................... 6,560 700 Omnicare, Inc ................................... 15,820 2,000 Pall Corp ....................................... 34,820 1,100 * Quintiles Transnational Corp .................... 10,780 200 * Renal Care Group, Inc ........................... 6,646 100 * Ribapharm, Inc .................................. 452 200 * Henry Schein, Inc ............................... 10,846 100 * SICOR, Inc ...................................... 1,544 100 * Steris Corp ..................................... 2,275 600 * Triad Hospitals, Inc ............................ 22,812 1,300 * Vertex Pharmaceuticals, Inc ..................... 25,740 1,200 * Watson Pharmaceuticals, Inc ..................... 30,672 2,600 * WebMD Corp ...................................... 15,626 ----------- TOTAL HEALTH CARE ............................... 928,981 ----------- OTHER--3.95% 900 Crane Co ........................................ 19,170 3,700 Dover Corp ...................................... 102,120 300 * Dun & Bradstreet Corp ........................... 10,638 700 First Industrial Realty Trust, Inc .............. 22,918 2,700 Fortune Brands, Inc ............................. 142,074 100 * Getty Images, Inc ............................... 1,939 400 * GTECH Holdings Corp ............................. 9,608 1,000 HON Industries, Inc ............................. 26,760 1,500 ITT Industries, Inc ............................. 99,600 1,400 Liberty Property Trust .......................... 44,884 2,500 Loews Corp ...................................... 125,650 500 Manpower, Inc ................................... 16,185 900 Pentair, Inc .................................... 36,837 1,000 Pittston Brink's Group .......................... 24,010 5,500 Servicemaster Co ................................ 60,995 400 * SPX Corp ........................................ 43,044 2,400 Supervalu, Inc .................................. 50,304 SHARES VALUE ------ ----- 500 Teleflex, Inc ................................... $ 23,635 2,200 Textron, Inc .................................... 79,860 500 * TMP Worldwide, Inc .............................. 5,475 300 Viad Corp ....................................... 6,723 ----------- TOTAL OTHER ..................................... 952,429 ----------- PRODUCER DURABLES--3.21% 600 * AGCO Corp ....................................... 12,636 400 * Allied Waste Industries, Inc .................... 3,080 900 American Water Works Co, Inc .................... 40,122 600 Cummins, Inc .................................... 16,782 1,300 Eaton Corp ...................................... 87,698 100 * Flowserve Corp .................................. 1,735 900 * FMC Technologies, Inc ........................... 16,614 800 GATX Corp ....................................... 18,904 1,400 WW Grainger, Inc ................................ 60,634 700 Harsco Corp ..................................... 20,356 900 Hubbell, Inc (Class B) .......................... 28,143 1,000 Navistar International Corp ..................... 24,310 2,000 Paccar, Inc ..................................... 68,640 2,200 Parker Hannifin Corp ............................ 83,358 1,000 Philadelphia Suburban Corp ...................... 18,750 1,700 Pitney Bowes, Inc ............................... 57,001 2,800 * Republic Services, Inc .......................... 53,900 3,000 Rockwell Automation, Inc ........................ 53,520 900 Timken Co ....................................... 16,200 13,200 * Xerox Corp ...................................... 93,720 ----------- TOTAL PRODUCER DURABLES ......................... 776,103 ----------- TECHNOLOGY--5.56% 6,500 * 3Com Corp ....................................... 32,045 400 * Acxiom Corp ..................................... 7,368 1,000 * Adaptec, Inc .................................... 5,600 8,600 * ADC Telecommunications, Inc ..................... 12,556 700 * Advanced Fibre Communications, Inc .............. 11,732 4,300 * Advanced Micro Devices, Inc ..................... 31,003 13,400 * Agere Systems, Inc (Class B) .................... 17,822 300 * Alliance Data Systems Corp ...................... 4,557 2,600 * American Power Conversion Corp .................. 30,264 600 * Amkor Technology, Inc ........................... 1,194 1,800 * Andrew Corp ..................................... 15,048 6,500 * Apple Computer, Inc ............................. 92,105 2,700 * Applied Micro Circuits Corp ..................... 10,179 1,400 * Arrow Electronics, Inc .......................... 21,098 2,200 * Atmel Corp ...................................... 3,916 1,500 Autodesk, Inc ................................... 20,235 5,800 * Avaya, Inc ...................................... 11,890 2,100 * Avnet, Inc ...................................... 28,875 1,000 AVX Corp ........................................ 10,610 2,000 * BMC Software, Inc ............................... 29,440 1,700 * Broadcom Corp (Class A) ......................... 25,925 600 * Ceridian Corp ................................... 9,222 600 * Checkfree Corp .................................. 7,830 3,900 * CIENA Corp ...................................... 16,068 400 * Citrix Systems, Inc ............................. 2,536 7,300 Computer Associates International, Inc .......... 80,957 2,700 * Computer Sciences Corp .......................... 94,230 3,400 * Compuware Corp .................................. 11,356 1,700 * Comverse Technology, Inc ........................ 13,277 2,400 * Conexant Systems, Inc ........................... 3,216 9,800 * Corning, Inc .................................... 19,698 500 * Cypress Semiconductor Corp ...................... 4,570 1,300 Diebold, Inc .................................... 46,943 300 * Emulex Corp ..................................... 5,145 200 Equifax, Inc .................................... 4,702 SEE NOTES TO FINANCIAL STATEMENTS B-128 - INSTITUTIONAL MID-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 100 * Fairchild Semiconductor International, Inc (Class A)$ 1,020 3,200 * Gateway, Inc .................................... 10,208 500 Harris Corp ..................................... 16,375 2,500 * i2 Technologies, Inc ............................ 1,918 2,600 IKON Office Solutions, Inc ...................... 24,154 1,100 * Ingram Micro, Inc (Class A) ..................... 14,718 900 * Integrated Device Technology, Inc ............... 10,665 200 * International Rectifier Corp .................... 3,770 800 * Intersil Corp (Class A) ......................... 12,400 400 * Iron Mountain, Inc .............................. 10,424 200 * Jabil Circuit, Inc .............................. 3,578 11,100 * JDS Uniphase Corp ............................... 28,416 700 * Juniper Networks, Inc ........................... 4,634 1,600 * Kemet Corp ...................................... 18,768 3,400 * LSI Logic Corp .................................. 25,942 200 * Macromedia, Inc ................................. 1,698 400 Molex, Inc ...................................... 10,480 500 * National Semiconductor Corp ..................... 6,595 1,500 * NCR Corp ........................................ 39,495 200 * Novellus Systems, Inc ........................... 4,770 100 * Perot Systems Corp (Class A) .................... 1,229 400 * Polycom, Inc .................................... 3,492 400 * Rational Software Corp .......................... 2,468 300 * RealNetworks, Inc ............................... 1,275 4,400 * Sanmina-SCI Corp ................................ 14,612 2,900 Scientific-Atlanta, Inc ......................... 39,150 7,500 * Solectron Corp .................................. 24,375 1,600 * Storage Technology Corp ......................... 21,408 900 * Sybase, Inc ..................................... 11,925 2,100 Symbol Technologies, Inc ........................ 18,459 600 * Tech Data Corp .................................. 19,464 1,300 * Tektronix, Inc .................................. 22,451 4,100 * Tellabs, Inc .................................... 20,623 700 * Teradyne, Inc ................................... 8,610 2,200 * Thermo Electron Corp ............................ 37,400 4,900 * Unisys Corp ..................................... 41,650 2,000 * VeriSign, Inc ................................... 15,140 1,100 * Veritas Software Corp ........................... 19,514 2,300 * Vishay Intertechnology, Inc ..................... 25,783 ----------- TOTAL TECHNOLOGY 1,342,268 ----------- TRANSPORTATION--1.69% 2,800 * AMR Corp ........................................ 20,608 800 CNF, Inc ........................................ 24,968 1,200 * Continental Airlines, Inc (Class B) ............. 10,260 3,900 CSX Corp ........................................ 112,827 2,300 Delta Air Lines, Inc ............................ 34,431 100 * JetBlue Airways Corp ............................ 4,336 7,100 Norfolk Southern Corp ........................... 151,159 1,000 * Northwest Airlines Corp ......................... 8,850 1,000 Ryder System, Inc ............................... 26,310 400 Skywest, Inc .................................... 5,820 500 * Swift Transportation Co, Inc .................... 9,190 ----------- TOTAL TRANSPORTATION 408,759 ----------- UTILITIES--11.73% 4,500 * AES Corp ........................................ 14,220 2,300 Allegheny Energy, Inc ........................... 36,271 1,400 Allete, Inc ..................................... 33,502 1,700 Alliant Energy Corp ............................. 35,156 2,600 Ameren Corp ..................................... 108,498 3,300 Aquila, Inc ..................................... 14,982 4,500 * Calpine Corp .................................... 17,280 2,600 CenturyTel, Inc ................................. 68,666 SHARES/ PRINCIPAL VALUE --------- ----- 3,100 Cinergy Corp .................................... $ 100,285 2,800 * Citizens Communications Co ...................... 19,544 2,300 CMS Energy Corp ................................. 22,494 3,900 Consolidated Edison, Inc ........................ 154,635 3,000 Constellation Energy Group, Inc ................. 79,590 2,300 DPL, Inc ........................................ 39,123 2,900 DTE Energy Co ................................... 121,017 4,900 * Dynegy, Inc (Class A) ........................... 8,477 6,000 * Edison International ............................ 66,540 2,600 Energy East Corp ................................ 51,870 4,100 Entergy Corp .................................... 167,690 1,200 Equitable Resources, Inc ........................ 42,780 5,100 FirstEnergy Corp ................................ 157,284 1,100 Great Plains Energy, Inc ........................ 21,868 700 Hawaiian Electric Industries, Inc ............... 30,611 700 Idacorp, Inc .................................... 17,122 900 * IDT Corp ........................................ 15,246 2,600 KeySpan Corp .................................... 87,698 600 Kinder Morgan, Inc .............................. 24,918 1,300 MDU Resources Group, Inc ........................ 30,329 6,200 * Mirant Corp ..................................... 19,654 1,300 National Fuel Gas Co ............................ 26,897 800 Nicor, Inc ...................................... 22,824 3,800 NiSource, Inc ................................... 70,908 2,400 Northeast Utilities ............................. 40,728 1,000 NSTAR ........................................... 40,170 1,400 OGE Energy Corp ................................. 25,410 600 Peoples Energy Corp ............................. 21,144 2,800 Pepco Holdings, Inc ............................. 57,400 7,100 * P G & E Corp .................................... 91,022 1,400 Pinnacle West Capital Corp ...................... 43,820 2,700 PPL Corp ........................................ 85,077 3,800 Public Service Enterprise Group, Inc ............ 124,450 1,600 Puget Energy, Inc ............................... 32,768 1,400 Questar Corp .................................... 33,712 12,400 * Qwest Communications International, Inc ......... 43,276 4,900 Reliant Energy, Inc ............................. 55,860 900 * Reliant Resources, Inc .......................... 3,690 1,900 SCANA Corp ...................................... 49,077 3,300 Sempra Energy ................................... 71,643 2,800 TECO Energy, Inc ................................ 45,360 1,000 Telephone & Data Systems, Inc ................... 59,110 300 * U.S. Cellular Corp .............................. 9,717 1,200 Vectren Corp .................................... 28,188 8,000 Williams Cos, Inc ............................... 22,400 2,100 Wisconsin Energy Corp ........................... 52,731 7,300 Xcel Energy, Inc ................................ 67,744 ----------- TOTAL UTILITIES 2,832,476 ----------- TOTAL COMMON STOCK (COST $22,101,121) 22,229,991 ----------- SHORT TERM INVESTMENT--99.41% U.S. GOVERNMENT AND AGENCY--99.41% Federal Home Loan Bank (FHLB) $24,000,000 1.590%, 09/16/02 .............................. 23,996,640 ----------- TOTAL SHORT TERM INVESTMENT (COST $23,996,640) 23,996,640 ----------- TOTAL PORTFOLIO--191.50% (COST $46,097,761) 46,226,631 OTHER ASSETS & LIABILITIES, NET-(91.50%) (22,087,542) ----------- NET ASSETS--100.00% $24,139,089 ----------- ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-129 - INSTITUTIONAL MID-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--93.33% AEROSPACE AND DEFENSE--0.68% 400 * Alliant Techsystems, Inc ........................ $ 28,700 1,200 Goodrich Corp ................................... 25,548 800 * L-3 Communications Holdings, Inc ................ 45,584 400 * PanAmSat Corp ................................... 7,116 1,400 PerkinElmer, Inc ................................ 7,490 600 Precision Castparts Corp ........................ 14,070 2,300 Rockwell Collins, Inc ........................... 46,575 900 * Titan Corp ...................................... 9,900 ----------- TOTAL AEROSPACE AND DEFENSE ..................... 184,983 ----------- BASIC INDUSTRIES--7.70% 1,200 * AK Steel Holding Corp ........................... 11,160 400 Albemarle Corp .................................. 11,576 1,000 Allegheny Technologies, Inc ..................... 7,900 800 * American Standard Cos, Inc ...................... 57,072 500 Aptargroup, Inc ................................. 15,200 1,200 Avery Dennison Corp ............................. 72,000 700 Ball Corp ....................................... 37,730 600 Bemis Co ........................................ 31,386 1,000 Black & Decker Corp ............................. 43,870 600 Boise Cascade Corp .............................. 15,330 600 Bowater, Inc .................................... 23,316 800 Cabot Corp ...................................... 18,632 800 Centex Corp ..................................... 39,840 1,200 Clayton Homes, Inc .............................. 15,708 300 Consol Energy, Inc .............................. 4,065 1,400 D.R. Horton, Inc ................................ 30,828 1,000 Eastman Chemical Co ............................. 43,170 1,600 Ecolab, Inc ..................................... 69,840 1,600 Engelhard Corp .................................. 41,280 1,000 Fluor Corp ...................................... 26,900 900 * Freeport-McMoRan Copper & Gold, Inc (Class A) ... 12,960 2,800 Georgia-Pacific Corp ............................ 50,400 1,000 * Hercules, Inc ................................... 10,350 1,300 IMC Global, Inc ................................. 18,577 600 * Jacobs Engineering Group, Inc ................... 20,364 500 KB Home ......................................... 25,825 400 Lafarge North America, Inc ...................... 12,812 700 Lennar Corp ..................................... 40,698 700 Lubrizol Corp ................................... 21,539 1,600 Lyondell Chemical Co ............................ 23,200 600 Martin Marietta Materials, Inc .................. 23,070 2,500 MeadWestvaco Corp ............................... 55,625 3,200 Monsanto Co ..................................... 52,160 4,200 Newmont Mining Corp ............................. 123,228 1,000 Nucor Corp ...................................... 52,120 100 * NVR, Inc ........................................ 32,530 400 OM Group, Inc ................................... 21,308 1,400 * Owens-Illinois, Inc ............................. 18,690 800 * Packaging Corp Of America ....................... 14,200 2,000 * Pactiv Corp ..................................... 35,880 300 Peabody Energy Corp ............................. 7,413 1,000 * Phelps Dodge Corp ............................... 28,790 2,300 Plum Creek Timber Co, Inc ....................... 58,213 2,100 PPG Industries, Inc ............................. 108,087 2,000 Praxair, Inc .................................... 112,360 600 Pulte Homes, Inc ................................ 28,380 400 Rayonier, Inc ................................... 18,204 1,900 Rohm & Haas Co .................................. 65,075 1,400 RPM, Inc ........................................ 20,090 300 Ryland Group, Inc ............................... 13,020 1,000 * Sealed Air Corp ................................. 17,140 500 * Shaw Group, Inc ................................. 7,625 1,600 Sherwin-Williams Co ............................. 41,280 SHARES VALUE ------ ----- 900 Sigma-Aldrich Corp .............................. $ 45,153 2,200 * Smurfit-Stone Container Corp .................... 32,362 700 Snap-On, Inc .................................... 16,842 1,200 Sonoco Products Co .............................. 26,400 800 Stanley Works ................................... 26,944 600 Temple-Inland, Inc .............................. 28,794 500 * Toll Brothers, Inc .............................. 12,860 1,200 United States Steel Corp ........................ 15,948 600 Valspar Corp .................................... 23,970 1,200 Vulcan Materials Co ............................. 48,432 500 York International Corp ......................... 15,840 ----------- TOTAL BASIC INDUSTRIES .......................... 2,101,561 ----------- CONSUMER CYCLICAL--13.65% 500 * 99 Cents Only Stores ............................ 11,810 1,000 * Abercrombie & Fitch Co (Class A) ................ 23,800 200 * Advance Auto Parts .............................. 10,672 300 * American Axle & Manufacturing Holdings, Inc ..... 8,985 700 * American Eagle Outfitters, Inc .................. 11,487 800 * American Greetings Corp (Class A) ............... 14,040 1,500 * Apollo Group, Inc (Class A) ..................... 64,050 200 * Apollo Group, Inc (University Of Phoenix Online) 6,120 700 Applebee's International, Inc ................... 14,742 900 ArvinMeritor, Inc ............................... 21,240 1,200 Autoliv, Inc .................................... 27,108 3,600 * Bed Bath & Beyond, Inc .......................... 124,488 1,100 Belo Corp (Class A) ............................. 26,059 1,400 * Big Lots, Inc ................................... 26,250 400 Blockbuster, Inc (Class A) ...................... 9,328 300 BorgWarner, Inc ................................. 18,000 1,200 * Brinker International, Inc ...................... 31,668 1,100 Brunswick Corp .................................. 25,597 1,700 * Cablevision Systems Corp (Class A) .............. 18,666 800 Callaway Golf Co ................................ 11,840 500 * Catalina Marketing Corp ......................... 15,280 600 CBRL Group, Inc ................................. 14,011 300 * CEC Entertainment, Inc .......................... 10,968 1,500 * Charter Communications, Inc (Class A) ........... 4,575 900 * Chico's FAS, Inc ................................ 16,488 200 * Columbia Sportswear Co .......................... 7,630 800 Cooper Tire & Rubber Co ......................... 16,568 800 * Copart, Inc ..................................... 11,616 400 * Cox Radio, Inc (Class A) ........................ 10,244 400 * Cumulus Media, Inc (Class A) .................... 6,740 1,800 Dana Corp ....................................... 28,962 2,100 Darden Restaurants, Inc ......................... 49,266 7,000 Delphi Corp ..................................... 72,030 900 Dillard's, Inc (Class A) ........................ 22,932 3,500 Dollar General Corp ............................. 46,620 1,400 * Dollar Tree Stores, Inc ......................... 30,926 500 Donaldson Co, Inc ............................... 18,460 600 Dow Jones & Co, Inc ............................. 25,980 3,600 Eastman Kodak Co ................................ 102,096 500 * Emmis Communications Corp (Class A) ............. 8,785 400 * Entercom Communications Corp .................... 18,408 600 * Entravision Communications Corp (Class A) ....... 7,140 900 * Extended Stay America, Inc ...................... 12,384 2,000 Family Dollar Stores, Inc ....................... 56,000 2,500 * Federated Department Stores, Inc ................ 90,325 1,700 * Foot Locker, Inc ................................ 16,541 300 Forest City Enterprises, Inc (Class A) .......... 10,515 2,800 * Gemstar-TV Guide International, Inc ............. 9,520 900 * Gentex Corp ..................................... 26,919 2,200 Genuine Parts Co ................................ 70,818 1,800 Goodyear Tire & Rubber Co ....................... 22,428 600 Graco, Inc ...................................... 15,750 SEE NOTES TO FINANCIAL STATEMENTS B-130 - INSTITUTIONAL MID-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 300 Harman International Industries, Inc ............ $ 15,525 1,400 * Harrah's Entertainment, Inc ..................... 67,900 800 Harte-Hanks, Inc ................................ 16,872 200 * Hearst-Argyle Television, Inc ................... 4,862 4,100 Hilton Hotels Corp .............................. 46,330 700 * Hispanic Broadcasting Corp ...................... 12,999 400 * Interactive Data Corp ........................... 5,320 1,100 * International Game Technology ................... 72,490 400 International Speedway Corp (Class A) ........... 16,188 3,300 J.C. Penney Co, Inc ............................. 60,390 1,100 Johnson Controls, Inc ........................... 89,848 1,500 * Jones Apparel Group, Inc ........................ 55,215 1,000 Knight Ridder, Inc .............................. 63,190 500 * Krispy Kreme Doughnuts, Inc ..................... 16,400 900 * Lamar Advertising Co ............................ 27,999 600 La-Z-Boy, Inc ................................... 15,000 800 * Lear Corp ....................................... 37,840 600 Lee Enterprises, Inc ............................ 20,652 2,500 Leggett & Platt, Inc ............................ 52,850 200 * Lin TV Corp (Class A) ........................... 4,940 1,300 Liz Claiborne, Inc .............................. 36,049 500 * Mandalay Resort Group ........................... 15,535 2,400 Marriott International, Inc (Class A) ........... 74,880 3,600 May Department Stores Co ........................ 97,164 1,000 Maytag Corp ..................................... 27,310 200 McClatchy Co (Class A) .......................... 11,842 200 Media General, Inc (Class A) .................... 10,510 500 Meredith Corp ................................... 21,685 600 * Metro-Goldwyn-Mayer, Inc ........................ 7,236 800 * MGM Mirage ...................................... 28,880 800 * Michaels Stores, Inc ............................ 38,392 600 * Mohawk Industries, Inc .......................... 30,600 400 * MSC Industrial Direct Co (Class A) .............. 4,612 500 * Neiman Marcus Group, Inc (Class A) .............. 15,800 1,700 New York Times Co (Class A) ..................... 82,909 1,200 Nordstrom, Inc .................................. 25,488 500 * O'Reilly Automotive, Inc ........................ 15,480 700 * Outback Steakhouse, Inc ......................... 19,362 3,400 * Park Place Entertainment Corp ................... 30,532 500 * Performance Food Group Co ....................... 16,345 1,200 Pier 1 Imports, Inc ............................. 23,604 200 * Pixar, Inc ...................................... 9,328 300 Polaris Industries, Inc ......................... 22,260 400 * Polo Ralph Lauren Corp .......................... 9,452 1,300 R.R. Donnelley & Sons Co ........................ 32,383 900 * Radio One, Inc (Class D) ........................ 15,687 1,200 Reader's Digest Association, Inc (Class A) ...... 19,788 600 * Reebok International Ltd ........................ 14,508 200 * Regal Entertainment Group (Class A) ............. 3,640 400 * Rent-A-Center, Inc .............................. 23,096 1,000 Ross Stores, Inc ................................ 40,880 800 Ruby Tuesday, Inc ............................... 14,888 1,500 * Saks, Inc ....................................... 17,955 400 * Scholastic Corp ................................. 18,688 200 * Scotts Co (Class A) ............................. 8,600 400 Scripps (E.W.) Co (Class A) ..................... 28,880 1,100 * Six Flags, Inc .................................. 5,357 300 * Sonic Automotive, Inc ........................... 6,282 4,800 * Starbucks Corp .................................. 98,688 400 Steelcase, Inc (Class A) ........................ 5,180 300 Talbots, Inc .................................... 9,960 600 * The Cheesecake Factory, Inc ..................... 16,602 1,400 Tiffany & Co .................................... 35,168 200 * Timberland Co (Class A) ......................... 7,410 SHARES VALUE ------ ----- 1,300 TRW, Inc ........................................ $ 76,310 900 * UnitedGlobalcom, Inc (Class A) .................. 1,566 1,900 * Univision Communications, Inc (Class A) ......... 42,294 600 * Valassis Communications, Inc .................... 22,698 1,100 VF Corp ......................................... 43,263 1,600 Visteon Corp .................................... 17,840 1,400 Wendy's International, Inc ...................... 45,164 1,000 * Westwood One, Inc ............................... 35,620 800 Whirlpool Corp .................................. 41,392 600 Wiley (John) & Sons, Inc (Class A) .............. 13,500 1,100 * Williams-Sonoma, Inc ............................ 28,512 4,800 * Yahoo!, Inc ..................................... 50,208 3,700 * Yum! Brands, Inc ................................ 108,521 400 * Zale Corp ....................................... 12,936 ----------- TOTAL CONSUMER CYCLICAL 3,724,404 ----------- CONSUMER NON-CYCLICAL--7.12% 500 Alberto-Culver Co (Class B) ..................... 24,975 2,400 * Amazon.Com, Inc ................................. 39,864 400 * Aramark Corp (Class B) .......................... 8,880 7,100 Archer Daniels Midland Co ....................... 85,697 2,500 * Autonation, Inc ................................. 31,400 900 * Autozone, Inc ................................... 66,978 500 * Barnes & Noble, Inc ............................. 12,000 900 * BJ's Wholesale Club, Inc ........................ 20,070 1,000 * Borders Group, Inc .............................. 18,690 400 Brown-Forman Corp (Class B) ..................... 27,780 700 * CDW Computer Centers, Inc ....................... 31,192 500 Church & Dwight Co, Inc ......................... 16,155 400 * Circuit City Stores, Inc (Carmax Group) ......... 7,400 2,600 Circuit City Stores, Inc (Circuit City Group) ... 43,446 2,100 Clorox Co ....................................... 90,300 1,100 * Coach, Inc ...................................... 31,878 2,900 Coca-Cola Enterprises, Inc ...................... 61,190 900 * Constellation Brands, Inc (Class A) ............. 26,325 300 Coors (Adolph) Co (Class B) ..................... 18,708 1,100 * Dean Foods Co ................................... 42,856 1,200 Dial Corp ....................................... 24,360 500 Dole Food Co .................................... 12,805 200 Dreyer's Grand Ice Cream, Inc ................... 13,826 1,100 * Energizer Holdings, Inc ......................... 33,682 1,300 Estee Lauder Cos (Class A) ...................... 40,976 400 Ethan Allen Interiors, Inc ...................... 13,480 100 * Expedia, Inc (Class A) .......................... 5,374 700 Fastenal Co ..................................... 23,163 600 * Furniture Brands International, Inc ............. 13,980 200 * Gamestop Corp ................................... 3,920 1,800 Hasbro, Inc ..................................... 22,500 1,000 Herman Miller, Inc .............................. 16,220 1,200 Hershey Foods Corp .............................. 88,584 1,000 Hormel Foods Corp ............................... 21,970 900 International Flavors & Fragrances, Inc ......... 27,981 400 Lancaster Colony Corp ........................... 17,876 300 Loews Corp (Carolina Group) ..................... 6,825 5,400 Mattel, Inc ..................................... 108,162 1,800 McCormick & Co, Inc (Non-Vote) .................. 40,482 3,300 Newell Rubbermaid, Inc .......................... 111,804 3,800 * Office Depot, Inc ............................... 52,364 100 * PayPal, Inc ..................................... 2,242 2,200 Pepsi Bottling Group, Inc ....................... 57,530 1,100 PepsiAmericas Inc ............................... 16,049 200 * Petco Animal Supplies, Inc ...................... 4,190 1,700 * Petsmart, Inc ................................... 30,479 1,100 R.J. Reynolds Tobacco Holdings, Inc ............. 57,541 2,100 * RadioShack Corp ................................. 44,583 5,000 * Rite Aid Corp ................................... 13,250 SEE NOTES TO FINANCIAL STATEMENTS B-131 - INSTITUTIONAL MID-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER NON-CYCLICAL--(CONTINUED) 1,400 * Smithfield Foods, Inc ........................... $ 25,424 5,800 * Staples, Inc .................................... 84,158 400 * Ticketmaster (Class B) .......................... 6,724 300 Tootsie Roll Industries, Inc .................... 9,543 2,400 * Toys "R" Us, Inc ................................ 31,944 2,800 Tyson Foods, Inc (Class A) ...................... 34,020 2,100 UST, Inc ........................................ 63,819 300 * Weight Watchers International, Inc .............. 13,425 600 * Whole Foods Market, Inc ......................... 28,200 800 Winn-Dixie Stores, Inc .......................... 13,016 ----------- TOTAL CONSUMER NON-CYCLICAL 1,942,255 ----------- ENERGY--5.10% 900 Amerada Hess Corp ............................... 63,108 1,700 Apache Corp ..................................... 97,393 900 Ashland, Inc .................................... 26,415 1,900 * BJ Services Co .................................. 52,763 2,500 Burlington Resources, Inc ....................... 94,500 600 * Cooper Cameron Corp ............................. 26,982 1,800 Devon Energy Corp ............................... 87,138 700 Diamond Offshore Drilling, Inc .................. 14,637 1,800 Ensco International, Inc ........................ 45,450 1,400 EOG Resources, Inc .............................. 49,308 400 * Forest Oil Corp ................................. 10,632 1,100 * Grant Prideco, Inc .............................. 10,538 5,400 Halliburton Co .................................. 76,302 600 Helmerich & Payne, Inc .......................... 20,592 1,200 Kerr-McGee Corp ................................. 53,064 3,900 Marathon Oil Corp ............................... 96,057 500 Murphy Oil Corp ................................. 42,890 1,000 * National-Oilwell, Inc ........................... 18,920 600 * Newfield Exploration Co ......................... 19,560 700 Noble Energy, Inc ............................... 22,610 2,200 Ocean Energy, Inc ............................... 43,340 900 * Patterson-UTI Energy, Inc ....................... 22,770 1,000 * Pennzoil-Quaker State Co ........................ 21,830 1,400 * Pioneer Natural Resources Co .................... 35,714 700 Pogo Producing Co ............................... 23,205 300 * Premcor, Inc .................................... 5,280 1,400 * Pride International, Inc ........................ 18,550 1,200 Rowan Cos, Inc .................................. 22,968 1,200 * Smith International, Inc ........................ 36,696 800 Sunoco, Inc ..................................... 26,632 700 Tidewater, Inc .................................. 19,852 3,100 Unocal Corp ..................................... 101,494 1,200 Valero Energy Corp .............................. 37,008 1,000 * Varco International, Inc ........................ 17,740 1,400 XTO Energy, Inc ................................. 28,742 ----------- TOTAL ENERGY 1,390,680 ----------- FINANCIAL SERVICES--19.08% 100 21st Century Insurance Group .................... 1,191 1,000 A.G. Edwards, Inc ............................... 36,550 300 * Affiliated Managers Group, Inc .................. 14,976 1,300 Allied Capital Corp ............................. 29,666 700 Allmerica Financial Corp ........................ 14,763 1,100 AMB Property Corp ............................... 32,065 1,100 Ambac Financial Group, Inc ...................... 62,986 400 American Financial Group, Inc ................... 9,644 100 American National Insurance Co .................. 7,780 1,100 * AmeriCredit Corp ................................ 14,861 500 AmerUs Group Co ................................. 15,785 4,500 AmSouth Bancorp ................................. 97,695 900 Annaly Mortgage Management, Inc ................. 17,748 3,000 AON Corp ........................................ 63,600 1,000 Apartment Investment & Management Co (Class A) .. 41,790 SHARES VALUE ------ ----- 2,200 Archstone-Smith Trust ........................... $ 57,090 700 Arden Realty, Inc ............................... 17,220 1,000 Associated Banc-Corp ............................ 32,740 1,100 Astoria Financial Corp .......................... 29,920 700 AvalonBay Communities, Inc ...................... 31,185 1,100 Bancorpsouth, Inc ............................... 22,737 900 Bank Of Hawaii Corp ............................. 25,704 1,900 Banknorth Group, Inc ............................ 46,835 1,200 Bear Stearns Cos, Inc ........................... 73,332 500 Berkley (W.R.) Corp ............................. 17,175 200 * Blackrock, Inc .................................. 8,980 200 * BOK Financial Corp .............................. 6,748 800 Boston Properties, Inc .......................... 30,840 600 BRE Properties, Inc (Class A) ................... 19,140 600 Brown & Brown, Inc .............................. 17,190 500 Camden Property Trust ........................... 17,465 300 Capitol Federal Financial ....................... 7,185 600 CarrAmerica Realty Corp ......................... 16,260 1,100 * Catellus Development Corp ....................... 21,450 300 Centerpoint Properties Corp ..................... 16,785 2,900 Charter One Financial, Inc ...................... 90,393 1,100 * ChoicePoint, Inc ................................ 46,134 1,700 Cincinnati Financial Corp ....................... 62,645 500 Citizens Banking Corp ........................... 12,450 500 City National Corp .............................. 25,215 400 * CNA Financial Corp .............................. 11,020 1,600 Colonial Bancgroup, Inc ......................... 21,088 700 Commerce Bancorp, Inc ........................... 31,430 800 Commerce Bancshares, Inc ........................ 33,760 1,600 Compass Bancshares, Inc ......................... 50,992 1,300 Countrywide Credit Industries, Inc .............. 67,730 500 Cousins Properties, Inc ......................... 11,890 1,000 Crescent Real Estate Equities Co ................ 17,180 700 Cullen/Frost Bankers, Inc ....................... 25,018 700 Developers Diversified Realty Corp .............. 16,016 500 Doral Financial Corp ............................ 21,295 300 Downey Financial Corp ........................... 10,791 1,700 Duke Realty Corp ................................ 44,200 3,500 * E*trade Group, Inc .............................. 16,940 700 Eaton Vance Corp ................................ 20,027 3,400 Equity Residential .............................. 91,018 200 Erie Indemnity Co (Class A) ..................... 8,820 1,000 Federated Investors, Inc (Class B) .............. 29,100 1,200 Fidelity National Financial, Inc ................ 36,108 900 First American Corp ............................. 19,161 600 First Midwest Bancorp, Inc ...................... 16,698 1,600 First Tennessee National Corp ................... 58,800 900 First Virginia Banks, Inc ....................... 34,146 1,100 FirstMerit Corp ................................. 26,433 400 FNB Corp ........................................ 11,872 600 Fulton Financial Corp ........................... 11,124 1,100 Gallagher (Arthur J.) & Co ...................... 28,820 800 General Growth Properties, Inc .................. 40,000 900 Golden State Bancorp, Inc ....................... 29,394 600 Greater Bay Bancorp ............................. 13,110 1,100 Greenpoint Financial Corp ....................... 50,567 800 HCC Insurance Holdings, Inc ..................... 20,000 700 Health Care Property Investors, Inc ............. 29,771 2,000 Hibernia Corp (Class A) ......................... 41,820 600 Highwoods Properties, Inc ....................... 14,250 800 Hospitality Properties Trust .................... 27,184 2,900 * Host Marriott Corp .............................. 29,058 1,000 Hudson City Bancorp, Inc ........................ 17,510 600 Hudson United Bancorp ........................... 16,776 3,100 Huntington Bancshares, Inc ...................... 59,985 SEE NOTES TO FINANCIAL STATEMENTS B-132 - INSTITUTIONAL MID-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 700 Independence Community Bank Corp ................ $ 19,530 700 * IndyMac Bancorp, Inc ............................ 15,680 600 Instinet Group, Inc ............................. 3,156 600 * Investment Technology Group, Inc ................ 19,200 800 Investors Financial Services Corp ............... 23,614 600 iStar Financial, Inc ............................ 17,088 1,900 Jefferson-Pilot Corp ............................ 79,648 300 John Nuveen Co (Class A) ........................ 6,945 1,100 Kimco Realty Corp ............................... 34,760 600 * LaBranche & Co, Inc ............................. 13,248 800 Legg Mason, Inc ................................. 36,808 500 Leucadia National Corp .......................... 17,060 2,300 Lincoln National Corp ........................... 75,555 1,000 M & T Bank Corp ................................. 79,960 500 Mack-Cali Realty Corp ........................... 16,640 100 * Markel Corp ..................................... 20,936 2,700 Marshall & Ilsley Corp .......................... 81,270 1,900 MBIA, Inc ....................................... 87,248 900 Mercantile Bankshares Corp ...................... 35,199 300 Mercury General Corp ............................ 13,071 1,100 MGIC Investment Corp ............................ 60,753 600 MONY Group, Inc ................................. 16,020 2,600 National Commerce Financial Corp ................ 66,742 300 Nationwide Financial Services, Inc (Class A) .... 8,700 700 Neuberger Berman, Inc ........................... 21,035 1,200 New Plan Excel Realty Trust ..................... 23,676 1,300 New York Community Bancorp, Inc ................. 36,595 2,100 North Fork Bancorp, Inc ......................... 80,598 400 Old National Bancorp ............................ 10,160 1,500 Old Republic International Corp ................. 48,450 100 Park National Corp .............................. 9,665 300 People's Bank ................................... 6,891 1,300 Phoenix Cos, Inc ................................ 20,254 1,100 PMI Group, Inc .................................. 34,892 700 Popular, Inc .................................... 23,821 2,000 Prologis ........................................ 50,320 900 Protective Life Corp ............................ 28,593 600 Provident Financial Group, Inc .................. 16,692 3,300 * Providian Financial Corp ........................ 18,513 1,200 Public Storage, Inc ............................. 38,352 1,100 Radian Group, Inc ............................... 43,934 500 Raymond James Financial, Inc .................... 14,225 600 Reckson Associates Realty Corp .................. 14,100 300 Regency Centers Corp ............................ 9,273 2,900 Regions Financial Corp .......................... 99,064 200 Reinsurance Group Of America, Inc ............... 5,598 1,000 Roslyn Bancorp, Inc ............................. 18,800 900 Rouse Co ........................................ 28,791 1,600 Safeco Corp ..................................... 52,528 900 SEI Investments Co .............................. 26,802 600 * Silicon Valley Bancshares ....................... 12,804 1,600 Simon Property Group, Inc ....................... 56,448 600 Sky Financial Group, Inc ........................ 11,898 4,400 SouthTrust Corp ................................. 110,748 3,200 Sovereign Bancorp, Inc .......................... 44,480 400 St. Joe Co ...................................... 11,608 2,800 St. Paul Cos, Inc ............................... 89,880 400 Stancorp Financial Group, Inc ................... 21,900 2,500 Starwood Hotels & Resorts Worldwide, Inc ........ 60,950 2,800 Stilwell Financial, Inc ......................... 40,936 100 Student Loan Corp ............................... 9,460 3,700 Synovus Financial Corp .......................... 81,992 1,300 T Rowe Price Group, Inc ......................... 35,100 1,000 TCF Financial Corp .............................. 46,200 SHARES VALUE ------ ----- 1,500 Torchmark Corp .................................. $ 54,420 200 Transatlantic Holdings, Inc ..................... 14,104 1,100 Trizec Properties, Inc .......................... 13,068 300 Trustmark Corp .................................. 7,170 2,600 Union Planters Corp ............................. 75,790 700 UnionBanCal Corp ................................ 31,318 1,300 United Dominion Realty Trust, Inc ............... 20,865 700 * United Rentals, Inc ............................. 9,338 600 Unitrin, Inc .................................... 18,636 3,000 UnumProvident Corp .............................. 68,490 700 Valley National Bancorp ......................... 19,215 900 Vornado Realty Trust ............................ 36,900 900 Waddell & Reed Financial, Inc (Class A) ......... 16,515 800 Washington Federal, Inc ......................... 18,400 600 Webster Financial Corp .......................... 21,024 600 Weingarten Realty Investors ..................... 22,794 400 Westamerica Bancorp ............................. 16,528 400 Whitney Holding Corp ............................ 13,140 900 Wilmington Trust Corp ........................... 26,640 1,200 Zions Bancorp ................................... 61,200 ----------- TOTAL FINANCIAL SERVICES 5,205,232 ----------- HEALTH CARE--11.81% 400 * Accredo Health, Inc ............................. 20,040 900 * AdvancePCS ...................................... 19,791 1,800 Aetna, Inc ...................................... 70,650 600 * Affymetrix, Inc ................................. 11,442 1,700 Allergan, Inc ................................... 90,185 1,300 AmerisourceBergen Corp .......................... 93,535 200 * AMN Healthcare Services, Inc .................... 4,280 800 * Andrx Corp ...................................... 19,720 1,800 * Anthem, Inc ..................................... 122,400 1,300 * Apogent Technologies, Inc ....................... 26,728 2,600 Applera Corp (Applied Biosystems Group) ......... 50,180 600 Bard (C.R.), Inc ................................ 33,096 300 * Barr Laboratories, Inc .......................... 20,151 600 Bausch & Lomb, Inc .............................. 19,956 700 Beckman Coulter, Inc ............................ 28,385 3,200 Becton Dickinson & Co ........................... 96,448 1,800 * Biogen, Inc ..................................... 59,616 3,300 Biomet, Inc ..................................... 88,869 2,800 * Caremark Rx, Inc ................................ 47,544 900 * Celgene Corp .................................... 15,885 600 * Cephalon, Inc ................................... 25,482 300 * Cerner Corp ..................................... 11,397 500 * Charles River Laboratories International, Inc ... 18,805 1,200 * Chiron Corp ..................................... 44,760 600 * Community Health Systems, Inc ................... 14,460 500 * Coventry Health Care, Inc ....................... 16,125 1,500 * Cytyc Corp ...................................... 15,000 700 * DaVita, Inc ..................................... 15,939 900 Dentsply International, Inc ..................... 36,045 300 Diagnostic Products Corp ........................ 12,645 700 * Edwards Lifesciences Corp ....................... 17,332 800 * Express Scripts, Inc (Class A) .................. 42,544 1,300 * First Health Group Corp ......................... 34,320 700 * Fisher Scientific International, Inc ............ 20,384 2,400 * Genzyme Corp (General Division) ................. 44,160 2,100 * Gilead Sciences, Inc ............................ 67,284 3,000 * Health Management Associates, Inc (Class A) ..... 58,920 1,400 * Health Net, Inc ................................. 31,738 4,900 * Healthsouth Corp ................................ 22,981 500 * Henry Schein, Inc ............................... 27,115 700 Hillenbrand Industries, Inc ..................... 41,195 1,500 * Human Genome Sciences, Inc ...................... 19,425 2,100 * Humana, Inc ..................................... 27,888 SEE NOTES TO FINANCIAL STATEMENTS B-133 - INSTITUTIONAL MID-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 1,000 ICN Pharmaceuticals, Inc ........................ $ 10,230 600 * ICOS Corp ....................................... 14,232 1,400 * IDEC Pharmaceuticals Corp ....................... 61,082 3,600 IMS Health, Inc ................................. 58,068 700 * Invitrogen Corp ................................. 25,403 1,900 * IVAX Corp ....................................... 25,745 3,100 * King Pharmaceuticals, Inc ....................... 57,567 1,800 * Laboratory Corp Of America Holdings ............. 59,904 500 * LifePoint Hospitals, Inc ........................ 15,375 1,300 * Lincare Holdings, Inc ........................... 41,483 1,200 * Manor Care, Inc ................................. 28,284 3,400 McKesson Corp ................................... 106,556 400 * Medicis Pharmaceutical Corp (Class A) ........... 17,052 3,100 * Medimmune, Inc .................................. 74,400 600 * Mid Atlantic Medical Services, Inc .............. 21,840 3,500 * Millennium Pharmaceuticals, Inc ................. 40,985 600 * Millipore Corp .................................. 20,652 1,600 Mylan Laboratories, Inc ......................... 52,480 1,000 Omnicare, Inc ................................... 22,600 600 * Orthodontic Centers Of America, Inc ............. 9,000 1,100 * Oxford Health Plans, Inc ........................ 46,882 1,400 Pall Corp ....................................... 24,374 600 * Patterson Dental Co ............................. 30,090 600 * Pharmaceutical Product Development, Inc ......... 12,384 900 * Quest Diagnostics, Inc .......................... 51,273 1,500 * Quintiles Transnational Corp .................... 14,700 600 * Renal Care Group, Inc ........................... 19,938 400 * Ribapharm, Inc .................................. 1,808 1,000 * SICOR, Inc ...................................... 15,440 2,200 * St. Jude Medical, Inc ........................... 79,134 900 * Steris Corp ..................................... 20,475 1,700 Stryker Corp .................................... 97,733 900 * Triad Hospitals, Inc ............................ 34,218 600 * Universal Health Services, Inc (Class B) ........ 29,148 800 * Varian Medical Systems, Inc ..................... 34,944 900 * Vertex Pharmaceuticals, Inc ..................... 17,820 1,600 * Waters Corp ..................................... 41,408 1,300 * Watson Pharmaceuticals, Inc ..................... 33,228 3,600 * WebMD Corp ...................................... 21,636 1,800 * Wellpoint Health Networks, Inc .................. 139,968 2,400 * Zimmer Holdings, Inc ............................ 88,320 ----------- TOTAL HEALTH CARE 3,222,704 ----------- OTHER--4.13% 600 * Career Education Corp ........................... 27,000 1,500 Cintas Corp ..................................... 64,425 700 Crane Co ........................................ 14,910 700 * DeVry, Inc ...................................... 13,216 2,500 Dover Corp ...................................... 69,000 900 * Dun & Bradstreet Corp ........................... 31,914 300 * Education Management Corp ....................... 12,342 500 First Industrial Realty Trust, Inc .............. 16,370 1,900 Fortune Brands, Inc ............................. 99,978 400 * Getty Images, Inc ............................... 7,756 700 * GTECH Holdings Corp ............................. 16,814 2,300 H & R Block, Inc ................................ 117,852 800 HON Industries, Inc ............................. 21,408 100 * Hotels.Com (Class A) ............................ 4,694 1,100 ITT Industries, Inc ............................. 73,040 900 Liberty Property Trust .......................... 28,854 1,700 Loews Corp ...................................... 85,442 900 Manpower, Inc ................................... 29,133 1,600 Moody's Corp .................................... 77,984 600 Pentair, Inc .................................... 24,558 700 Pittston Brink's Group .......................... 16,807 SHARES VALUE ------ ----- 1,900 * Robert Half International, Inc .................. $ 31,863 3,800 Servicemaster Co ................................ 42,142 500 * SPX Corp ........................................ 53,805 1,700 Supervalu, Inc .................................. 35,632 400 Teleflex, Inc ................................... 18,908 1,500 Textron, Inc .................................... 54,450 1,000 * TMP Worldwide, Inc .............................. 10,950 1,100 Viad Corp ....................................... 24,651 ----------- TOTAL OTHER 1,125,898 ----------- PRODUCER DURABLES--2.62% 900 * AGCO Corp ....................................... 18,954 1,700 * Allied Waste Industries, Inc .................... 13,090 600 American Water Works Co, Inc .................... 26,748 400 Cummins, Inc .................................... 11,188 1,400 Danaher Corp .................................... 78,960 900 Eaton Corp ...................................... 60,714 700 * Flowserve Corp .................................. 12,145 700 * FMC Technologies, Inc ........................... 12,922 500 GATX Corp ....................................... 11,815 500 Harsco Corp ..................................... 14,540 600 Hubbell, Inc (Class B) .......................... 18,762 400 * National Instruments Corp ....................... 10,628 700 Navistar International Corp ..................... 17,017 1,400 Paccar, Inc ..................................... 48,048 1,500 Parker Hannifin Corp ............................ 56,835 700 Philadelphia Suburban Corp ...................... 13,125 3,000 Pitney Bowes, Inc ............................... 100,590 1,900 * Republic Services, Inc .......................... 36,575 2,000 Rockwell Automation, Inc ........................ 35,680 600 Timken Co ....................................... 10,800 1,000 WW Grainger, Inc ................................ 43,310 8,900 * Xerox Corp ...................................... 63,190 ----------- TOTAL PRODUCER DURABLES 715,636 ----------- TECHNOLOGY--12.17% 4,400 * 3Com Corp ....................................... 21,692 700 * Activision, Inc ................................. 18,893 1,000 * Acxiom Corp ..................................... 18,420 1,300 * Adaptec, Inc .................................... 7,280 9,800 * ADC Telecommunications, Inc ..................... 14,308 2,900 Adobe Systems, Inc .............................. 60,233 1,000 * Advanced Fibre Communications, Inc .............. 16,760 4,200 * Advanced Micro Devices, Inc ..................... 30,282 400 * Advent Software, Inc ............................ 5,800 1,200 * Affiliated Computer Services, Inc (Class A) ..... 55,860 20,300 * Agere Systems, Inc (Class B) .................... 26,999 700 * Alliance Data Systems Corp ...................... 10,633 4,800 * Altera Corp ..................................... 49,008 2,100 * American Power Conversion Corp .................. 24,444 1,100 * Amkor Technology, Inc ........................... 2,189 200 * Amphenol Corp (Class A) ......................... 7,520 1,200 * Andrew Corp ..................................... 10,032 4,400 * Apple Computer, Inc ............................. 62,348 3,700 * Applied Micro Circuits Corp ..................... 13,949 1,300 * Arrow Electronics, Inc .......................... 19,591 5,100 * Atmel Corp ...................................... 9,078 1,400 Autodesk, Inc ................................... 18,886 4,500 * Avaya, Inc ...................................... 9,225 1,400 * Avnet, Inc ...................................... 19,250 700 AVX Corp ........................................ 7,427 4,400 * BEA Systems, Inc ................................ 24,112 1,400 * Bisys Group, Inc ................................ 32,270 3,000 * BMC Software, Inc ............................... 44,160 2,400 * Broadcom Corp (Class A) ......................... 36,600 2,900 * Brocade Communications Systems, Inc ............. 35,786 3,300 * Cadence Design Systems, Inc ..................... 44,814 SEE NOTES TO FINANCIAL STATEMENTS B-134 - INSTITUTIONAL MID-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 1,800 * Ceridian Corp ................................... $ 27,666 800 * Certegy, Inc .................................... 22,680 800 * Checkfree Corp .................................. 10,440 5,300 * CIENA Corp ...................................... 21,836 2,200 * Citrix Systems, Inc ............................. 13,948 5,600 Computer Associates International, Inc .......... 62,104 2,000 * Computer Sciences Corp .......................... 69,800 4,100 * Compuware Corp .................................. 13,694 2,300 * Comverse Technology, Inc ........................ 17,963 3,200 * Conexant Systems, Inc ........................... 4,288 2,100 * Convergys Corp .................................. 39,669 11,700 * Corning, Inc .................................... 23,517 600 * CSG Systems International, Inc .................. 7,188 400 * Cymer, Inc ...................................... 8,940 1,500 * Cypress Semiconductor Corp ...................... 13,710 800 Deluxe Corp ..................................... 37,272 900 Diebold, Inc .................................... 32,499 1,500 * DST Systems, Inc ................................ 51,750 1,500 * Electronic Arts, Inc ............................ 94,245 1,000 * Emulex Corp ..................................... 17,150 1,800 Equifax, Inc .................................... 42,318 600 Fair, Isaac & Co, Inc ........................... 21,348 1,400 * Fairchild Semiconductor International, Inc (Class A) 14,280 2,400 * Fiserv, Inc ..................................... 80,832 2,200 * Gateway, Inc .................................... 7,018 500 Global Payments, Inc ............................ 11,700 800 Harris Corp ..................................... 26,200 800 Henry (Jack) & Associates, Inc .................. 12,942 3,500 * i2 Technologies, Inc ............................ 2,685 1,800 IKON Office Solutions, Inc ...................... 16,722 1,000 * Ingram Micro, Inc (Class A) ..................... 13,380 600 * Integrated Circuit Systems, Inc ................. 10,206 1,300 * Integrated Device Technology, Inc ............... 15,405 800 * International Rectifier Corp .................... 15,080 1,500 * Intersil Corp (Class A) ......................... 23,250 2,400 * Intuit, Inc ..................................... 113,448 800 * Iron Mountain, Inc .............................. 20,848 1,200 * J.D. Edwards & Co ............................... 13,692 1,900 * Jabil Circuit, Inc .............................. 33,991 14,900 * JDS Uniphase Corp ............................... 38,144 4,000 * Juniper Networks, Inc ........................... 26,480 1,100 * Kemet Corp ...................................... 12,903 2,300 * KLA-Tencor Corp ................................. 72,795 1,800 * KPMG Consulting, Inc ............................ 18,036 1,600 * Lam Research Corp ............................... 17,200 1,600 * Lexmark International, Inc ...................... 76,752 4,600 * LSI Logic Corp .................................. 35,098 700 * Macromedia, Inc ................................. 5,943 900 * Mercury Interactive Corp ........................ 21,375 400 * Mettler-Toledo International, Inc ............... 12,000 800 * Micrel, Inc ..................................... 5,744 2,500 * Microchip Technology, Inc ....................... 42,375 300 * MKS Instruments, Inc ............................ 3,648 1,600 Molex, Inc ...................................... 41,920 100 * National Processing, Inc ........................ 1,967 2,200 * National Semiconductor Corp ..................... 29,018 1,000 * NCR Corp ........................................ 26,330 3,700 * Network Appliance, Inc .......................... 34,188 1,800 * Network Associates, Inc ......................... 25,596 1,800 * Novellus Systems, Inc ........................... 42,930 1,600 * Nvidia Corp ..................................... 16,912 3,400 * Peoplesoft, Inc ................................. 52,598 800 * Perot Systems Corp (Class A) .................... 9,832 2,100 * PMC-Sierra, Inc ................................. 12,264 SHARES VALUE ------ ----- 1,200 * Polycom, Inc .................................... $ 10,476 1,100 * QLogic Corp ..................................... 37,092 2,100 * Rational Software Corp .......................... 12,957 1,100 * RealNetworks, Inc ............................... 4,675 800 Reynolds & Reynolds Co (Class A) ................ 21,000 1,800 * RF Micro Devices, Inc ........................... 11,682 6,500 * Sanmina-SCI Corp ................................ 21,587 1,900 Scientific-Atlanta, Inc ......................... 25,650 800 * Semtech Corp .................................... 8,672 4,800 * Siebel Systems, Inc ............................. 39,456 10,200 * Solectron Corp .................................. 33,150 1,300 * Storage Technology Corp ......................... 17,394 3,500 * Sungard Data Systems, Inc ....................... 80,395 1,100 * Sybase, Inc ..................................... 14,575 1,800 * Symantec Corp ................................... 61,164 2,800 Symbol Technologies, Inc ........................ 24,612 900 * Synopsys, Inc ................................... 40,293 600 * Tech Data Corp .................................. 19,464 1,000 * Tektronix, Inc .................................. 17,270 5,100 * Tellabs, Inc .................................... 25,653 2,300 * Teradyne, Inc ................................... 28,290 2,100 * Thermo Electron Corp ............................ 35,700 500 Total System Services, Inc ...................... 7,890 4,000 * Unisys Corp ..................................... 34,000 800 * Utstarcom, Inc .................................. 11,528 2,700 * VeriSign, Inc ................................... 20,439 5,100 * Veritas Software Corp ........................... 90,474 2,000 * Vishay Intertechnology, Inc ..................... 22,420 300 * Zebra Technologies Corp (Class A) ............... 16,332 ----------- TOTAL TECHNOLOGY 3,319,891 ----------- TRANSPORTATION--1.47% 1,900 * AMR Corp ........................................ 13,984 900 C.H. Robinson Worldwide, Inc .................... 24,339 600 CNF, Inc ........................................ 18,726 800 * Continental Airlines, Inc (Class B) ............. 6,840 2,700 CSX Corp ........................................ 78,111 1,500 Delta Air Lines, Inc ............................ 22,455 1,200 Expeditors International Of Washington, Inc ..... 32,388 100 * JetBlue Airways Corp ............................ 4,336 4,900 Norfolk Southern Corp ........................... 104,321 700 * Northwest Airlines Corp ......................... 6,195 700 Ryder System, Inc ............................... 18,417 1,800 * Sabre Holdings Corp ............................. 45,108 700 Skywest, Inc .................................... 10,185 800 * Swift Transportation Co, Inc .................... 14,704 ----------- TOTAL TRANSPORTATION 400,109 ----------- UTILITIES--7.81% 5,100 * AES Corp ........................................ 16,116 1,500 Allegheny Energy, Inc ........................... 23,655 1,000 Allete, Inc ..................................... 23,930 1,100 Alliant Energy Corp ............................. 22,748 1,800 Ameren Corp ..................................... 75,114 2,200 Aquila, Inc ..................................... 9,988 4,300 * Calpine Corp .................................... 16,512 1,800 CenturyTel, Inc ................................. 47,538 2,100 Cinergy Corp .................................... 67,935 3,500 * Citizens Communications Co ...................... 24,430 1,500 CMS Energy Corp ................................. 14,670 2,600 Consolidated Edison, Inc ........................ 103,090 2,000 Constellation Energy Group, Inc ................. 53,060 1,600 DPL, Inc ........................................ 27,216 2,000 DTE Energy Co ................................... 83,460 3,300 * Dynegy, Inc (Class A) ........................... 5,709 4,100 * Edison International ............................ 45,469 1,800 Energy East Corp ................................ 35,910 SEE NOTES TO FINANCIAL STATEMENTS B-135 - INSTITUTIONAL MID-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- UTILITIES--(CONTINUED) 2,800 Entergy Corp .................................... $ 114,520 800 Equitable Resources, Inc ........................ 28,520 3,400 FirstEnergy Corp ................................ 104,856 800 Great Plains Energy, Inc ........................ 15,904 400 Hawaiian Electric Industries, Inc ............... 17,492 500 Idacorp, Inc .................................... 12,230 600 * IDT Corp ........................................ 10,164 1,800 KeySpan Corp .................................... 60,714 1,100 Kinder Morgan, Inc .............................. 45,683 4,000 * Level 3 Communications, Inc ..................... 18,040 900 MDU Resources Group, Inc ........................ 20,997 5,000 * Mirant Corp ..................................... 15,850 1,000 National Fuel Gas Co ............................ 20,690 8,300 * Nextel Communications, Inc (Class A) ............ 68,807 500 Nicor, Inc ...................................... 14,265 2,600 NiSource, Inc ................................... 48,516 1,600 Northeast Utilities ............................. 27,152 700 NSTAR ........................................... 28,119 1,000 OGE Energy Corp ................................. 18,150 4,800 * P G & E Corp .................................... 61,536 400 Peoples Energy Corp ............................. 14,096 1,900 Pepco Holdings, Inc ............................. 38,950 1,000 Pinnacle West Capital Corp ...................... 31,300 1,800 PPL Corp ........................................ 56,718 2,600 Public Service Enterprise Group, Inc ............ 85,150 1,100 Puget Energy, Inc ............................... 22,528 1,000 Questar Corp .................................... 24,080 16,800 * Qwest Communications International, Inc ......... 58,632 3,300 Reliant Energy, Inc ............................. 37,620 SHARES/ PRINCIPAL VALUE --------- ----- 600 * Reliant Resources, Inc .......................... $ 2,460 1,300 SCANA Corp ...................................... 33,579 2,200 Sempra Energy ................................... 47,762 8,800 * Sprint Corp (PCS Group) ......................... 29,480 1,900 TECO Energy, Inc ................................ 30,780 700 Telephone & Data Systems, Inc ................... 41,377 200 * U.S. Cellular Corp .............................. 6,478 900 Vectren Corp .................................... 21,141 300 * West Corp ....................................... 4,551 5,900 Williams Cos, Inc ............................... 16,520 1,400 Wisconsin Energy Corp ........................... 35,154 4,900 Xcel Energy, Inc ................................ 45,472 ----------- TOTAL UTILITIES 2,132,583 ----------- TOTAL COMMON STOCK (COST $25,193,727) 25,465,936 ----------- SHORT TERM INVESTMENT--98.95% U.S. GOVERNMENT AND AGENCY--98.95% Federal Home Loan Bank (FHLB) $27,000,000 1.590%, 09/16/02 ............................... 26,996,220 ----------- TOTAL SHORT TERM INVESTMENT (COST $26,996,220) 26,996,220 ----------- TOTAL PORTFOLIO--192.28% (COST $52,189,947) 52,462,156 OTHER ASSETS & LIABILITIES, NET--(92.28%) (25,178,449) ----------- NET ASSETS--100.00% $27,283,707 ----------- ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-136 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--98.59% AEROSPACE AND DEFENSE--0.89% 3,900 * Armor Holdings, Inc ............................. $ 61,425 2,700 * DRS Technologies, Inc ........................... 103,977 900 * Dynamics Research Corp .......................... 16,380 1,400 Engineered Support Systems, Inc ................. 81,396 2,000 * Herley Industries, Inc .......................... 40,020 2,100 * Hexcel Corp ..................................... 5,460 1,200 * Integrated Defense Technology, Inc .............. 30,600 7,100 * Orbital Sciences Corp ........................... 25,205 1,900 * Remec, Inc ...................................... 6,612 2,900 * Teledyne Technologies, Inc ...................... 53,360 2,000 * Viasat, Inc ..................................... 10,500 ----------- TOTAL AEROSPACE AND DEFENSE 434,935 ----------- BASIC INDUSTRIES--4.74% 1,500 * Aaon, Inc ....................................... 25,725 700 * AEP Industries, Inc ............................. 23,450 8,000 * Airgas, Inc ..................................... 113,120 3,900 Albany International Corp (Class A) ............. 84,279 800 American Woodmark Corp .......................... 38,208 500 * Applied Films Corp .............................. 5,235 3,900 Arch Coal, Inc .................................. 67,509 200 * Baker (Michael) Corp ............................ 2,548 600 * BWAY Corp ....................................... 8,436 3,800 * Cabot Microelectronics Corp ..................... 167,656 2,200 Cambrex Corp .................................... 83,424 2,200 Carlisle Cos, Inc ............................... 96,822 200 Centex Construction Products, Inc ............... 7,218 4,100 Clarcor, Inc .................................... 126,895 1,800 * Collins & Aikman Corp ........................... 9,270 2,200 Crompton Corp ................................... 24,970 800 Deltic Timber Corp .............................. 20,520 2,100 * Dionex Corp ..................................... 57,141 100 * Drew Industries, Inc ............................ 1,495 10,800 * Earthshell Corp ................................. 10,044 3,200 ElkCorp ......................................... 52,640 200 * EMCOR Group, Inc ................................ 10,398 600 * Encore Wire Corp ................................ 5,580 2,500 * Energy Conversion Devices, Inc .................. 27,875 2,800 Ferro Corp ...................................... 66,640 600 Florida Rock Industries, Inc .................... 21,582 2,300 * FMC Corp ........................................ 66,723 1,000 * Foamex International, Inc ....................... 6,000 2,400 Georgia Gulf Corp ............................... 63,504 1,400 Glatfelter ...................................... 17,906 3,500 * WR Grace & Co ................................... 7,245 400 Granite Construction, Inc ....................... 7,124 14,100 * Hecla Mining Co ................................. 62,745 2,500 * Hovnanian Enterprises, Inc (Class A) ............ 97,875 700 * Imco Recycling, Inc ............................. 4,634 3,500 * Insituform Technologies, Inc (Class A) .......... 57,295 1,900 * Jarden Corp ..................................... 50,825 200 * Liquidmetal Technologies ........................ 1,498 3,600 * Lone Star Technologies, Inc ..................... 56,880 1,600 LSI Industries, Inc ............................. 16,544 900 * Lydall, Inc ..................................... 10,395 2,000 MacDermid, Inc .................................. 41,480 300 * Mobile Mini, Inc ................................ 4,665 200 * Northwest Pipe Co ............................... 3,550 7,700 Olin Corp ....................................... 142,912 2,100 * Palm Harbor Homes, Inc .......................... 28,077 900 Penford Corp .................................... 12,465 2,300 * Penwest Pharmaceuticals Co ...................... 22,816 1,300 Quaker Chemical Corp ............................ 27,443 2,100 Royal Gold, Inc ................................. 37,905 SHARES VALUE ------ ----- 2,400 * Simpson Manufacturing Co, Inc ................... $ 80,520 1,200 Spartech Corp ................................... 24,276 2,700 * Steel Dynamics, Inc ............................. 39,690 300 Tredegar Corp ................................... 5,415 900 * Trex Co, Inc .................................... 26,550 400 Wausau-Mosinee Paper Corp ....................... 4,088 1,200 * WCI Communities, Inc ............................ 20,988 2,600 WD-40 Co ........................................ 71,240 1,900 West Pharmaceutical Services, Inc ............... 44,916 100 * William Lyon Homes, Inc ......................... 2,314 ----------- TOTAL BASIC INDUSTRIES 2,327,183 ----------- CONSUMER CYCLICAL--13.30% 900 * 1-800 Contacts, Inc ............................. 8,685 2,100 Aaron Rents, Inc ................................ 47,250 11,400 * Acclaim Entertainment, Inc ...................... 26,106 1,100 * Acme Communication, Inc ......................... 8,800 2,600 * Action Performance Cos, Inc ..................... 76,700 2,000 Advanced Marketing Services, Inc ................ 26,300 1,200 * Aeropostale, Inc ................................ 23,460 2,300 * AFC Enterprises, Inc ............................ 44,045 1,200 * Aftermarket Technology Corp ..................... 20,388 300 * Alexander's, Inc ................................ 19,545 6,200 * Alliance Gaming Corp ............................ 99,262 1,500 * Ameristar Casinos, Inc .......................... 33,210 2,000 * AnnTaylor Stores Corp ........................... 51,500 4,300 Apogee Enterprises, Inc ......................... 48,504 1,100 Arctic Cat, Inc ................................. 15,708 200 * Arden Group, Inc (Class A) ...................... 11,302 3,300 * Argosy Gaming Co ................................ 85,305 600 * Bally Total Fitness Holding Corp ................ 6,420 300 Barnes Group, Inc ............................... 5,973 1,000 * Beasley Broadcast Group, Inc (Class A) .......... 13,500 700 * Bebe Stores, Inc ................................ 11,025 800 * Benihana, Inc (Class A) ......................... 9,600 600 Bob Evans Farms, Inc ............................ 14,112 1,600 * Boyd Gaming Corp ................................ 28,480 2,900 * Boyds Collection Ltd ............................ 17,400 2,500 * Buca, Inc ....................................... 21,125 100 * Buckle, Inc ..................................... 2,029 400 * Cache, Inc ...................................... 4,040 2,300 * California Pizza Kitchen, Inc ................... 49,197 2,400 Cato Corp (Class A) ............................. 45,024 1,400 * Champps Entertainment, Inc ...................... 14,140 1,200 * Charlotte Russe Holding, Inc .................... 15,732 1,100 * Checkers Drive-In Restaurant .................... 9,009 200 * Cherokee, Inc ................................... 3,516 1,700 * Chicago Pizza & Brewery, Inc .................... 12,767 1,900 * Children's Place Retail Stores, Inc ............. 35,853 3,900 * Christopher & Banks Corp ........................ 138,840 1,200 * CKE Restaurants, Inc ............................ 5,988 1,400 Claire's Stores, Inc ............................ 32,578 200 * Coldwater Creek, Inc ............................ 2,992 200 * Cole National Corp .............................. 2,998 800 CPI Corp ........................................ 11,320 1,400 * Cross Media Marketing Corp ...................... 1,372 800 * DHB Industries, Inc ............................. 1,840 800 Dover Downs Gaming & Entertainment, Inc ......... 7,096 700 * Dress Barn, Inc ................................. 7,966 1,800 * Elizabeth Arden, Inc ............................ 17,280 600 * Escalade, Inc ................................... 12,000 1,400 * EUniverse, Inc .................................. 5,096 3,500 Factset Research Systems, Inc ................... 80,465 3,300 * Fossil, Inc ..................................... 76,131 3,600 Fred's, Inc ..................................... 114,660 1,200 G & K Services, Inc (Class A) ................... 41,364 SEE NOTES TO FINANCIAL STATEMENTS B-137 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 2,700 * Genesco, Inc .................................... $ 39,150 100 Gray Television, Inc (Class A) .................. 1,326 100 Grey Global Group, Inc .......................... 57,300 2,500 * Group 1 Automotive, Inc ......................... 72,750 3,100 * GSI Commerce, Inc ............................... 16,058 2,200 * Guitar Center, Inc .............................. 38,280 2,200 * Gulfmark Offshore, Inc .......................... 36,608 3,900 * Gymboree Corp ................................... 73,320 1,500 Hancock Fabrics, Inc ............................ 23,085 1,000 Haverty Furniture Cos, Inc ...................... 13,470 1,200 * Hibbett Sporting Goods, Inc ..................... 27,120 6,000 Hollinger International, Inc .................... 60,720 900 * Hollywood Casino Corp (Class A) ................. 10,980 4,900 * Hollywood Entertainment Corp .................... 70,707 5,200 * Hot Topic, Inc .................................. 101,504 2,800 * iDine Rewards Network, Inc ...................... 27,720 2,900 * IHOP Corp ....................................... 71,485 1,700 * Information Holdings, Inc ....................... 36,125 600 * Insight Communications Co, Inc .................. 5,699 2,900 * Intertan, Inc ................................... 20,938 1,600 * Isle Of Capri Casinos, Inc ...................... 27,680 2,800 * Jack In The Box, Inc ............................ 66,472 200 * Jakks Pacific, Inc .............................. 2,274 200 * Jo-Ann Stores, Inc (Class A) .................... 6,620 1,100 K-Swiss, Inc (Class A) .......................... 20,766 700 * Kenneth Cole Productions, Inc (Class A) ......... 16,030 300 * Keystone Automotive Industries, Inc ............. 4,254 1,700 * Kirby Corp ...................................... 39,525 3,600 * Kroll, Inc ...................................... 74,520 2,500 Libbey, Inc ..................................... 77,475 5,600 * Linens `n Things, Inc ........................... 123,088 600 * Lodgenet Entertainment Corp ..................... 5,562 100 * Steven Madden Ltd ............................... 1,700 1,100 Marine Products Corp ............................ 10,890 1,700 * Martha Stewart Living Omnimedia, Inc (Class A) .. 15,181 8,800 * Mediacom Communications Corp .................... 55,880 1,700 * Medis Technologies Ltd .......................... 8,483 1,600 * Men's Wearhouse, Inc ............................ 27,376 3,100 * Metro One Telecommunications, Inc ............... 37,200 2,800 * Micros Systems, Inc ............................. 70,700 4,800 * Midway Games, Inc ............................... 29,040 2,800 * Monaco Coach Corp ............................... 56,644 500 * Monarch Casino & Resort, Inc .................... 6,470 200 * Mossimo, Inc .................................... 1,110 500 * Mothers Work, Inc ............................... 18,825 2,900 * Movie Gallery, Inc .............................. 41,325 3,200 * MTR Gaming Group, Inc ........................... 27,168 1,700 * Multimedia Games, Inc ........................... 29,223 4,900 * Nautilus Group, Inc ............................. 146,754 4,200 * Oakley, Inc ..................................... 46,410 2,300 * O'Charley's, Inc ................................ 43,700 1,700 Oshkosh B'gosh, Inc (Class A) ................... 56,967 1,500 Oshkosh Truck Corp .............................. 88,800 2,700 * P.F. Chang's China Bistro, Inc .................. 78,948 5,000 * Pacific Sunwear Of California, Inc .............. 116,650 3,800 * Panera Bread Co (Class A) ....................... 94,932 1,900 * Papa John's International, Inc .................. 53,694 1,400 * Parkervision, Inc ............................... 22,400 1,100 * Payless Shoesource, Inc ......................... 64,086 5,000 * Penn National Gaming, Inc ....................... 100,600 1,300 * Penton Media, Inc ............................... 351 9,600 * Pinnacle Systems, Inc ........................... 96,192 2,300 * PLATO Learning, Inc ............................. 15,065 2,300 * Playboy Enterprises, Inc (Class B) .............. 23,598 SHARES VALUE ------ ----- 5,100 * Presstek, Inc ................................... $ 16,167 100 * Pricesmart, Inc ................................. 2,427 15,800 * Primedia, Inc ................................... 22,752 2,400 * Private Media Group, Inc ........................ 7,104 2,300 * Quiksilver, Inc ................................. 55,775 1,400 * Racing Champions Ertl Corp ...................... 25,844 3,100 * Rare Hospitality International, Inc ............. 73,439 2,400 * Regent Communications, Inc ...................... 12,144 5,000 Regis Corp ...................................... 138,695 3,200 * Resources Connection, Inc ....................... 56,960 1,000 Riviana Foods, Inc .............................. 21,870 7,300 * Ryan's Family Steak Houses, Inc ................. 89,206 2,500 * Saga Communications, Inc (Class A) .............. 44,250 1,500 * Salem Communications Corp (Class A) ............. 33,600 1,300 Schawk, Inc ..................................... 13,000 7,200 * Scientific Games Corp (Class A) ................. 52,769 3,000 * SCP Pool Corp ................................... 85,947 400 * Shoe Carnival, Inc .............................. 6,400 2,900 * Shuffle Master, Inc ............................. 54,375 6,000 * Sonic Corp ...................................... 133,494 7,400 * Sotheby's Holdings, Inc (Class A) ............... 65,120 5,900 * Spanish Broadcasting System, Inc (Class A) ...... 47,200 1,600 Spartan Motors, Inc ............................. 17,984 2,100 * Speedway Motorsports, Inc ....................... 50,358 4,000 * Sports Resorts International, Inc ............... 18,600 1,500 * Stage Stores, Inc ............................... 35,475 700 * Stanley Furniture Co, Inc ....................... 14,070 3,300 * Station Casinos, Inc ............................ 46,695 2,100 * Stein Mart, Inc ................................. 16,170 2,800 Sturm Ruger & Co, Inc ........................... 37,492 2,100 Superior Industries International, Inc .......... 100,422 4,300 * Sylvan Learning Systems, Inc .................... 57,190 900 Tanger Factory Outlet Centers, Inc .............. 25,182 2,800 * The Sports Authority, Inc ....................... 16,520 1,200 * The Steak n Shake Co ............................ 15,672 2,600 Thor Industries, Inc ............................ 89,440 6,500 * THQ, Inc ........................................ 154,050 5,600 * Too, Inc ........................................ 131,656 5,600 * Topps Co, Inc ................................... 48,720 800 * Tropical Sportswear International Corp .......... 13,506 5,300 * Tyler Technologies, Inc ......................... 24,009 2,300 * Universal Electronics, Inc ...................... 23,667 1,200 * Urban Outfitters, Inc ........................... 32,856 4,400 * Vastera, Inc .................................... 17,112 2,200 * Westpoint Stevens, Inc .......................... 2,618 3,800 * Wet Seal, Inc (Class A) ......................... 47,576 2,000 Winnebago Industries, Inc ....................... 84,980 200 * WMS Industries, Inc ............................. 3,080 700 Woodward Governor Co ............................ 34,195 1,600 * World Wrestling Federation Entertainment, Inc ... 15,520 900 * Young Broadcasting, Inc (Class A) ............... 9,891 1,600 * Zomax, Inc ...................................... 6,720 ----------- TOTAL CONSUMER CYCLICAL 6,529,935 ----------- CONSUMER NON-CYCLICAL--5.04% 2,100 * 1-800-Flowers.com, Inc (Class A) ................ 17,976 2,100 * 7-Eleven, Inc ................................... 19,005 2,000 * AC Moore Arts & Crafts, Inc ..................... 44,300 2,200 * American Italian Pasta Co (Class A) ............. 83,600 2,100 Blyth, Inc ...................................... 58,695 1,500 * Boston Beer Co, Inc (Class A) ................... 21,150 500 Bridgford Foods Corp ............................ 5,245 6,000 * Cadiz, Inc ...................................... 23,400 5,900 * Chiquita Brands International, Inc .............. 95,167 200 Coca-Cola Bottling Co Consolidated .............. 9,400 3,200 * Cost Plus, Inc .................................. 84,448 SEE NOTES TO FINANCIAL STATEMENTS B-138 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER NON-CYCLICAL--(CONTINUED) 400 Deb Shops, Inc .................................. $ 11,088 600 * DEL Laboratories, Inc ........................... 11,520 2,500 * Del Monte Foods Co .............................. 22,975 3,300 Delta & Pine Land Co ............................ 62,172 2,900 * Duane Reade, Inc ................................ 47,821 1,700 * Electronics Boutique Holdings Corp .............. 49,368 2,700 * FAO, Inc ........................................ 10,314 2,100 * Factory 2-U Stores, Inc ......................... 5,040 6,700 Fleming Cos, Inc ................................ 38,190 200 * Flowers Foods, Inc .............................. 4,338 3,100 * FTI Consulting, Inc ............................. 120,993 900 * Gaiam, Inc ...................................... 10,395 1,600 * Galyans Trading Co, Inc ......................... 17,408 1,000 * Gart Sports Co .................................. 20,580 500 * Green Mountain Coffee, Inc ...................... 7,150 1,100 * Horizon Organic Holding Corp .................... 16,093 6,700 * Insight Enterprises, Inc ........................ 79,529 500 Inter Parfums, Inc .............................. 3,250 300 * International Multifoods Corp ................... 6,234 3,200 Interstate Bakeries Corp ........................ 72,800 600 * J & J Snack Foods Corp .......................... 24,156 3,000 * Jill (J.) Group, Inc ............................ 65,850 3,100 JM Smucker Co ................................... 118,916 4,000 Lance, Inc ...................................... 51,440 2,800 * Marvel Enterprises, Inc ......................... 17,780 2,300 * Monterey Pasta Co ............................... 13,731 1,600 Nash Finch Co ................................... 26,320 500 * National Beverage Corp .......................... 6,825 200 Nature's Sunshine Products, Inc ................. 2,192 6,700 * NBTY, Inc ....................................... 111,823 700 * Netflix, Inc .................................... 8,610 2,100 Nu Skin Enterprises, Inc (Class A) .............. 27,300 1,200 Oneida Ltd ...................................... 18,480 300 * Overstock.com, Inc .............................. 1,815 1,000 * Party City Corp ................................. 15,090 300 * Pathmark Stores, Inc ............................ 3,390 200 * PC Connection, Inc .............................. 1,182 1,400 * Peets Coffee & Tea, Inc ......................... 21,420 10,100 * Perrigo Co ...................................... 110,423 20,700 * Priceline.com, Inc .............................. 47,196 2,600 * Princeton Review, Inc ........................... 16,068 3,000 * Restoration Hardware, Inc ....................... 17,100 300 Russ Berrie & Co, Inc ........................... 10,062 800 Sanderson Farms, Inc ............................ 14,478 2,400 Schweitzer-Mauduit International, Inc ........... 52,920 1,500 Sensient Technologies Corp ...................... 34,245 1,100 * Sharper Image Corp .............................. 22,716 3,200 * Shop At Home, Inc ............................... 6,848 2,400 * Skechers U.S.A., Inc (Class A) .................. 24,792 700 Tasty Baking Co ................................. 10,563 200 Thomas Industries, Inc .......................... 5,400 900 * Tractor Supply Co ............................... 30,087 1,400 * Tuesday Morning Corp ............................ 25,480 4,800 Tupperware Corp ................................. 85,776 300 * Tweeter Home Entertainment Group, Inc ........... 2,454 3,100 * United Natural Foods, Inc ....................... 61,938 700 Universal Corp .................................. 26,880 3,300 * Valuevision International, Inc (Class A) ........ 43,887 3,400 Vector Group Ltd ................................ 55,386 1,400 * Virbac Corp ..................................... 7,028 300 Weis Markets, Inc ............................... 9,987 1,800 * Whitehall Jewellers, Inc ........................ 22,176 3,200 * Wild Oats Markets, Inc .......................... 37,120 SHARES VALUE ------ ----- 4,500 * Yankee Candle Co, Inc ........................... $ 79,650 ----------- TOTAL CONSUMER NON-CYCLICAL 2,476,624 ----------- ENERGY--4.15% 1,500 * Atwood Oceanics, Inc ............................ 46,200 2,700 Berry Petroleum Co (Class A) .................... 44,685 6,100 * Cal Dive International, Inc ..................... 129,686 1,600 CARBO Ceramics, Inc ............................. 52,928 21,700 * Chesapeake Energy Corp .......................... 134,974 1,000 * Dril-Quip, Inc .................................. 18,200 3,100 * Evergreen Resources, Inc ........................ 118,978 2,500 * Exploration Co Of Delaware, Inc ................. 14,750 4,300 Frontier Oil Corp ............................... 55,900 2,500 Getty Realty Corp ............................... 49,625 9,600 * Global Industries Ltd ........................... 43,488 27,600 * Grey Wolf, Inc .................................. 88,320 400 * Gulf Island Fabrication, Inc .................... 4,672 900 * Hanover Compressor Co ........................... 9,792 2,900 * Harvest Natural Resources, Inc .................. 11,513 1,600 * Horizon Offshore, Inc ........................... 8,144 1,300 * Houston Exploration Co .......................... 39,650 1,900 * Hydril Co ....................................... 49,115 14,900 * Key Energy Services, Inc ........................ 118,455 2,200 * Key Production Co, Inc .......................... 37,422 8,000 * Magnum Hunter Resources, Inc .................... 42,320 6,200 * Maverick Tube Corp .............................. 72,168 2,600 * Oceaneering International, Inc .................. 64,480 4,000 Patina Oil & Gas Corp ........................... 113,960 3,900 * Plains Resources, Inc ........................... 99,177 1,700 * Prima Energy Corp ............................... 35,122 2,400 * Pure Resources, Inc ............................. 55,200 2,500 * Remington Oil & Gas Corp ........................ 36,275 1,800 RPC, Inc ........................................ 22,500 3,600 * Spinnaker Exploration Co ........................ 108,180 300 St. Mary Land & Exploration Co .................. 7,050 1,700 * Stone Energy Corp ............................... 56,440 8,000 * Superior Energy Services, Inc ................... 63,760 5,900 * Unit Corp ....................................... 104,194 1,200 Vintage Petroleum, Inc .......................... 12,456 3,800 * W-H Energy Services, Inc ........................ 58,938 400 World Fuel Services Corp ........................ 7,480 ----------- TOTAL ENERGY 2,036,197 ----------- FINANCIAL SERVICES--15.77% 400 Alabama National Bancorp ........................ 17,780 2,900 Alexandria Real Estate Equities, Inc ............ 124,700 2,900 Alfa Corp ....................................... 37,348 300 Allegiant Bancorp, Inc .......................... 4,905 300 American National Bankshares, Inc ............... 7,980 2,200 American Capital Strategies Ltd ................. 42,196 1,400 American Home Mortgage Holdings, Inc ............ 16,562 15,000 * Ameritrade Holding Corp ......................... 55,650 3,500 Anchor Bancorp Wisconsin, Inc ................... 73,150 400 Apex Mortgage Capital, Inc ...................... 5,236 1,000 Arrow Financial Corp ............................ 32,050 300 Bank Of Granite Corp ............................ 5,640 500 Bank Of The Ozarks, Inc ......................... 12,806 100 * BKF Capital Group, Inc .......................... 2,230 2,900 Boston Private Financial Holdings, Inc .......... 64,322 9,600 Brookline Bancorp, Inc .......................... 117,120 600 Bryn Mawr Bank Corp ............................. 23,892 100 BSB Bancorp, Inc ................................ 2,090 200 Camden National Corp ............................ 4,900 1,200 Capitol Bancorp Ltd ............................. 25,152 1,300 Cascade Bancorp ................................. 18,200 2,600 Cathay Bancorp, Inc ............................. 112,398 SEE NOTES TO FINANCIAL STATEMENTS B-139 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 200 CBL & Associates Properties, Inc ................ $ 7,870 200 CCBT Financial Cos, Inc ......................... 5,202 1,600 * CCC Information Services Group, Inc ............. 21,264 500 Centennial Bancorp .............................. 4,460 1,200 * Central Coast Bancorp ........................... 23,028 200 Century Bancorp, Inc (Class A) .................. 5,360 100 Charter Financial Corp .......................... 2,984 3,700 Chateau Communities, Inc ........................ 103,415 4,600 Chelsea Property Group, Inc ..................... 156,584 300 Chemical Financial Corp ......................... 8,679 4,900 Chittenden Corp ................................. 147,980 3,700 * Citizens, Inc ................................... 31,487 800 City Bank ....................................... 23,512 1,700 City Holding Co ................................. 43,384 800 * Clark/Bardes, Inc ............................... 13,840 1,400 Coastal Financial Corp .......................... 20,216 1,200 CoBiz, Inc ...................................... 19,080 900 Columbia Bancorp ................................ 17,055 200 Commonwealth Bancorp, Inc ....................... 5,928 800 Community Banks, Inc ............................ 21,352 2,700 Community First Bankshares, Inc ................. 72,765 700 * CompuCredit Corp ................................ 3,619 1,100 CPB, Inc ........................................ 49,368 4,400 Crawford & Co (Class B) ......................... 33,748 1,700 * Credit Acceptance Corp .......................... 16,405 4,100 Crown American Realty Trust ..................... 39,114 3,300 * CSK Auto Corp ................................... 42,933 4,400 CVB Financial Corp .............................. 103,092 3,700 Dime Community Bancshares ....................... 81,992 2,300 East West Bancorp, Inc .......................... 75,187 2,400 Essex Property Trust, Inc ....................... 124,296 2,400 * Euronet Worldwide, Inc .......................... 18,360 200 F & M Bancorp ................................... 6,400 100 Farmers Capital Bank Corp ....................... 3,460 1,300 * Federal Agricultural Mortgage Corp (Class C) .... 37,063 6,300 Federal Realty Investment Trust ................. 171,864 1,900 * Financial Federal Corp .......................... 63,422 1,300 Financial Institutions, Inc ..................... 36,010 3,700 First Bancorp Puerto Rico ....................... 149,887 1,500 First Busey Corp ................................ 33,375 1,200 First Community Bancorp ......................... 34,740 700 First Community Bancshares ...................... 21,210 100 First Essex Bancorp, Inc ........................ 3,300 200 First Federal Capital Corp ...................... 3,850 400 First Financial Bancorp ......................... 7,144 800 First Financial Bankshares, Inc ................. 30,392 400 First Financial Holdings, Inc ................... 11,744 700 First National Corp ............................. 20,300 1,600 First Niagara Financial Group, Inc .............. 47,200 200 First Oak Brook Bancshares, Inc ................. 6,378 300 First Of Long Island Corp ....................... 10,185 300 * First Republic Bank ............................. 6,612 300 First Sentinel Bancorp, Inc ..................... 4,161 500 First South Bancorp, Inc ........................ 17,585 900 First State Bancorp ............................. 21,834 200 Flagstar Bancorp, Inc ........................... 4,138 200 Flushing Financial Corp ......................... 3,486 100 FNB Corp (Virginia) ............................. 3,180 400 Franklin Financial Corp ......................... 9,860 2,100 * Friedman, Billings, Ramsey Group, Inc ........... 20,790 2,600 Frontier Financial Corp ......................... 66,043 1,000 * Gabelli Asset Management, Inc (Class A) ......... 30,290 500 Gables Residential Trust ........................ 14,335 4,300 * Gartner, Inc (Class A) .......................... 40,807 SHARES VALUE ------ ----- 1,800 Glacier Bancorp, Inc ............................ $ 41,400 500 Gladstone Capital Corp .......................... 8,525 3,900 Glimcher Realty Trust ........................... 74,100 300 Gold Banc Corp, Inc ............................. 2,985 400 Granite State Bankshares, Inc ................... 13,600 900 Great Southern Bancorp, Inc ..................... 32,400 1,400 * Hanmi Financial Corp ............................ 21,630 700 Harbor Florida Bancshares, Inc .................. 15,680 3,100 Harleysville National Corp ...................... 80,259 4,700 Hilb, Rogal & Hamilton Co ....................... 210,325 8,800 Hooper Holmes, Inc .............................. 55,176 1,800 Humboldt Bancorp ................................ 22,932 2,000 Independent Bank Corp (Massachusetts) ........... 43,260 700 Independent Bank Corp (Michigan) ................ 23,380 1,400 Interchange Financial Services Co ............... 23,450 3,800 International Bancshares Corp ................... 151,050 1,200 Investors Real Estate Trust ..................... 12,276 100 Irwin Financial Corp ............................ 1,729 7,000 * ITT Educational Services, Inc ................... 127,750 2,700 Jefferies Group, Inc ............................ 117,720 700 * Jones Lang LaSalle, Inc ......................... 15,050 900 * Knight Trading Group, Inc ....................... 3,825 1,800 Lakeland Bancorp, Inc ........................... 34,452 700 Lakeland Financial Corp ......................... 17,325 200 Leeds Federal Bankshares, Inc ................... 6,320 600 * LendingTree, Inc ................................ 9,594 200 * Local Financial Corp ............................ 2,938 200 LSB Bancshares, Inc ............................. 3,390 5,400 Macerich Co ..................................... 166,860 1,100 MAF Bancorp, Inc ................................ 37,730 1,700 Main Street Banks, Inc .......................... 32,725 2,100 Manufactured Home Communities, Inc .............. 69,510 100 MB Financial, Inc ............................... 3,462 1,200 MCG Capital Corp ................................ 19,044 400 Merchants Bancshares, Inc ....................... 10,000 500 * Meritage Corp ................................... 19,780 1,500 MFA Mortgage Investments, Inc ................... 14,535 2,500 Mid Atlantic Realty Trust ....................... 38,750 500 Mid-State Bancshares ............................ 8,900 1,500 Midwest Banc Holdings, Inc ...................... 28,530 3,600 Mills Corp ...................................... 104,400 900 Mission West Properties, Inc .................... 10,791 1,000 Mississippi Valley Bancshares, Inc .............. 51,570 700 Nara Bancorp, Inc ............................... 12,873 400 NASB Financial, Inc ............................. 8,300 2,900 National Penn Bancshares, Inc ................... 82,215 800 Nationwide Health Properties, Inc ............... 13,880 266 NBC Capital Corp ................................ 6,956 2,500 NBT Bancorp, Inc ................................ 45,600 2,600 * NetBank, Inc .................................... 30,082 2,200 New Century Financial Corp ...................... 68,662 1,800 Northwest Bancorp, Inc .......................... 24,658 900 OceanFirst Financial Corp ....................... 21,060 300 Old Second Bancorp, Inc ......................... 11,046 2,000 Oriental Financial Group, Inc ................... 44,000 5,800 Pacific Capital Bancorp ......................... 158,920 2,100 Pacific Northwest Bancorp ....................... 62,706 1,100 * Pacific Union Bank .............................. 13,464 200 Partners Trust Financial Group, Inc ............. 2,792 500 Peapack Gladstone Financial Corp ................ 31,625 1,100 Pennrock Financial Services Corp ................ 31,900 2,300 Pennsylvania Real Estate Investment Trust ....... 59,777 500 Peoples Bancorp, Inc ............................ 14,275 600 PrivateBancorp, Inc ............................. 18,750 800 Prosperity Bancshares, Inc ...................... 14,360 SEE NOTES TO FINANCIAL STATEMENTS B-140 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 400 Provident Bancorp, Inc .......................... $ 11,660 300 Provident Bankshares Corp ....................... 6,708 1,500 R & G Financial Corp (Class B) .................. 32,910 1,700 Republic Bancorp, Inc ........................... 22,185 400 Royal Bancshares Of Pennsylvania (Class A) ...... 7,540 4,000 S & T Bancorp, Inc .............................. 102,800 900 S.Y. Bancorp, Inc ............................... 32,580 1,200 Sandy Spring Bancorp, Inc ....................... 39,960 400 Saul Centers, Inc ............................... 9,296 400 * Saxon Capital, Inc .............................. 5,300 300 Seacoast Banking Corp Of Florida ................ 5,925 300 Seacoast Financial Services Corp ................ 6,474 300 Second Bancorp, Inc ............................. 8,169 400 Sizeler Property Investors ...................... 4,152 2,600 * Southwest Bancorp Of Texas, Inc ................. 97,630 200 State Bancorp, Inc .............................. 3,464 8,400 Staten Island Bancorp, Inc ...................... 152,543 500 Sterling Bancorp ................................ 14,110 3,000 Sterling Bancshares, Inc ........................ 42,540 2,100 Sterling Financial Corp (Pennsylvania) .......... 52,668 1,900 Suffolk Bancorp ................................. 60,800 200 Summit Bancshares, Inc .......................... 4,540 100 Sun Bancorp, Inc ................................ 2,295 1,500 Sun Communities, Inc ............................ 55,485 800 Susquehanna Bancshares, Inc ..................... 18,208 2,800 * Syntroleum Corp ................................. 4,844 1,500 Texas Regional Bancshares, Inc (Class A) ........ 54,375 100 Three Rivers Bancorp, Inc ....................... 1,680 1,000 Tompkins Trustco, Inc ........................... 48,050 2,400 Town & Country Trust ............................ 52,320 500 * Triad Guaranty, Inc ............................. 20,250 500 Trico Bancshares ................................ 12,665 700 Trust Co Of New Jersey .......................... 17,479 11,900 Trustco Bank Corp NY ............................ 139,825 1,000 U.S.B. Holding Co, Inc .......................... 16,920 3,000 UCBH Holdings, Inc .............................. 115,170 3,300 Umpqua Holdings Corp ............................ 55,440 6,000 United Bankshares, Inc .......................... 178,200 2,700 United Community Banks, Inc ..................... 69,498 2,200 United National Bancorp ......................... 47,520 300 Universal Health Realty Income Trust ............ 8,148 200 Value Line, Inc ................................. 8,100 400 * VIB Corp ........................................ 5,980 1,000 Virginia Financial Group, Inc ................... 30,100 3,300 W Holding Co, Inc ............................... 58,179 100 Warwick Community Bancorp ....................... 2,560 6,100 Washington Real Estate Investment Trust ......... 160,796 2,100 Washington Trust Bancorp, Inc ................... 43,050 700 Westcorp ........................................ 14,189 1,000 * WFS Financial, Inc .............................. 21,650 2,000 Wintrust Financial Corp ......................... 64,178 200 * World Acceptance Corp ........................... 1,632 1,000 WSFS Financial Corp ............................. 26,490 200 Zenith National Insurance Corp .................. 5,264 ----------- TOTAL FINANCIAL SERVICES 7,742,414 ----------- HEALTH CARE--19.63% 1,900 * aaiPharma, Inc .................................. 30,400 5,100 * Adolor Corp ..................................... 68,850 1,500 * Advanced Neuromodulation Systems, Inc ........... 53,565 12,000 * Advanced Tissue Sciences, Inc ................... 13,440 800 * Advisory Board Co/The ........................... 26,600 4,200 * Aksys Ltd ....................................... 24,738 2,000 * Alaris Medical, Inc ............................. 10,120 3,400 * Albany Molecular Research, Inc .................. 67,490 SHARES VALUE ------ ----- 400 * Align Technology, Inc ........................... $ 1,300 9,000 * Alkermes, Inc ................................... 69,750 200 * Alliance Imaging, Inc ........................... 2,656 3,800 * Allos Therapeutics, Inc ......................... 29,336 3,300 * Allscripts Healthcare Solutions, Inc ............ 7,920 3,200 * American Medical Systems Holdings, Inc .......... 69,920 1,800 * American Healthways, Inc ........................ 30,600 1,100 * American Pharmaceutical Partners, Inc ........... 18,370 1,600 * AMERIGROUP Corp ................................. 46,144 3,400 * Ameripath, Inc .................................. 55,930 3,400 * Amsurg Corp ..................................... 104,346 7,400 * Amylin Pharmaceuticals, Inc ..................... 96,052 3,600 * Antigenics, Inc ................................. 32,400 3,000 * Aphton Corp ..................................... 13,650 6,000 * Applera Corp (Celera Genomics Group) ............ 52,500 6,700 * Apria Healthcare Group, Inc ..................... 156,780 4,800 * Ariad Pharmaceuticals, Inc ...................... 15,744 3,200 * Array Biopharma, Inc ............................ 25,024 700 Arrow International, Inc ........................ 23,331 3,300 * Arthrocare Corp ................................. 42,834 4,100 * Atherogenics, Inc ............................... 28,700 3,400 * Atrix Laboratories, Inc ......................... 50,319 7,000 * AVANIR Pharmaceuticals (Class A) ................ 10,010 2,000 * Benthley Pharmaceuticals, Inc ................... 19,000 9,800 * Beverly Enterprises, Inc ........................ 24,402 2,800 * Bio-Rad Laboratories, Inc (Class A) ............. 117,880 900 * Bio-Reference Labs, Inc ......................... 6,139 6,000 * BioMarin Pharmaceutical, Inc .................... 25,854 3,100 * Biopure Corp .................................... 13,020 600 * Bioreliance Corp ................................ 12,156 1,900 * Biosite, Inc .................................... 55,860 1,100 * Bone Care International, Inc .................... 6,589 1,400 * Bradley Pharmaceuticals, Inc .................... 11,886 2,000 * Britesmile, Inc ................................. 2,100 1,200 * Bruker AXS, Inc ................................. 2,700 1,900 * Bruker Daltonics, Inc ........................... 9,101 2,100 * Caliper Technologies Corp ....................... 9,240 1,100 * Cantel Medical Corp ............................. 14,300 7,300 * Cardiac Science, Inc ............................ 9,417 5,200 * Cardiodynamics International Corp ............... 14,456 700 * Centene Corp .................................... 16,450 4,300 * Cepheid, Inc .................................... 18,404 2,300 * Cerus Corp ...................................... 41,170 500 * Chattem, Inc .................................... 19,000 2,000 * Cholestech Corp ................................. 25,400 1,000 * Cima Labs, Inc .................................. 23,370 2,100 * Ciphergen Biosystems, Inc ....................... 7,035 900 * Closure Medical Corp ............................ 11,745 1,600 * Cobalt Corp ..................................... 28,240 3,100 * Columbia Laboratories, Inc ...................... 13,950 400 * Computer Programs & Systems, Inc ................ 9,316 2,800 * Conceptus, Inc .................................. 42,812 2,300 * Conmed Corp ..................................... 47,265 5,100 * Connetics Corp .................................. 52,836 2,500 Cooper Cos, Inc ................................. 130,200 1,100 * Corvel Corp ..................................... 31,955 10,200 * Covance, Inc .................................... 196,044 5,300 * Cross County, Inc ............................... 74,465 2,700 * CryoLife, Inc ................................... 8,667 4,500 * Cubist Pharmaceuticals, Inc ..................... 22,275 3,800 * CuraGen Corp .................................... 18,464 1,700 * Curative Health Services, Inc ................... 20,060 3,600 * Cyberonics, Inc ................................. 66,600 2,100 D&K Healthcare Resources, Inc ................... 49,665 5,100 * Dendrite International, Inc ..................... 37,485 SEE NOTES TO FINANCIAL STATEMENTS B-141 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 1,400 * Dianon Systems, Inc ............................. $ 56,742 2,000 * Digene Corp ..................................... 17,420 2,700 * Diversa Corp .................................... 24,219 4,100 * Durect Corp ..................................... 18,286 900 * Dynacq International, Inc ....................... 12,519 5,700 * Eclipsys Corp ................................... 37,905 1,200 * Embrex, Inc ..................................... 14,040 3,500 * Endo Pharmaceuticals Holdings, Inc .............. 32,550 2,300 * Endocardial Solutions, Inc ...................... 6,762 3,000 * Endocare, Inc ................................... 32,069 3,800 * Enzo Biochem, Inc ............................... 53,200 7,100 * Enzon, Inc ...................................... 153,715 1,200 * Eon Labs, Inc ................................... 24,924 1,700 * EPIX Medical, Inc ............................... 8,534 1,400 * eResearch Technology, Inc ....................... 25,802 2,100 * Esperion Therapeutics, Inc ...................... 12,768 1,900 * Exact Sciences Corp ............................. 24,757 500 * Exelixis, Inc ................................... 2,450 3,700 * First Horizon Pharmaceutical .................... 23,051 1,600 * Genencor International, Inc ..................... 15,120 7,000 * Genta, Inc ...................................... 51,093 4,100 * Geron Corp ...................................... 19,434 3,000 * Haemonetics Corp ................................ 77,520 500 * Hanger Orthopedic Group, Inc .................... 8,720 2,900 * Harvard Bioscience, Inc ......................... 13,920 2,500 * HealthExtras, Inc ............................... 10,650 1,300 * HealthTronics Surgical Services, Inc ............ 16,250 3,000 * Hologic, Inc .................................... 30,000 6,600 * I-many, Inc ..................................... 16,764 1,700 * ICU Medical, Inc ................................ 64,532 5,300 * Idexx Laboratories, Inc ......................... 160,643 2,800 * IDX Systems Corp ................................ 35,252 2,200 * Igen International, Inc ......................... 72,314 4,800 * Ilex Oncology, Inc .............................. 24,240 600 * Illumina, Inc ................................... 2,010 5,200 * ImClone Systems, Inc ............................ 39,884 1,100 * Immucor, Inc .................................... 29,425 6,700 Immunomedics, Inc ............................... 38,123 2,600 * Impath, Inc ..................................... 28,132 4,300 * Impax Laboratories, Inc ......................... 25,327 2,000 * Inamed Corp ..................................... 47,300 6,200 * Indevus Pharmaceuticals, Inc .................... 9,300 3,100 * Integra LifeSciences Holding .................... 48,360 4,100 * InterMune, Inc .................................. 120,089 2,800 * Interpore International ......................... 18,396 5,000 * Intuitive Surgical, Inc ......................... 40,500 4,300 Invacare Corp ................................... 153,295 1,200 * Inverness Medical Innovations, Inc .............. 16,668 7,700 * Isis Pharmaceuticals, Inc ....................... 69,069 300 * Kendle International, Inc ....................... 2,331 1,200 * Kensey Nash Corp ................................ 19,200 700 * Kos Pharmaceuticals, Inc ........................ 8,603 2,800 * Kosan Biosciences, Inc .......................... 18,536 3,800 * KV Pharmaceutical Co (Class A) .................. 71,782 800 * Kyphon, Inc ..................................... 11,040 7,000 * La Jolla Pharmaceutical Co ...................... 35,630 900 * LabOne, Inc ..................................... 17,001 1,300 Landauer, Inc ................................... 41,756 600 * Lannett Co, Inc ................................. 6,360 1,600 * Lifecore Biomedical, Inc ........................ 12,944 6,200 * Ligand Pharmaceuticals, Inc (Class B) ........... 41,230 3,200 * Luminex Corp .................................... 24,096 3,300 * Martek Biosciences Corp ......................... 55,044 600 * Matria Healthcare, Inc .......................... 5,130 SHARES VALUE ------ ----- 2,500 * MAXIMUS, Inc .................................... $ 55,625 1,400 * Med-Design Corp ................................. 6,412 700 * Medical Staffing Network Holdings, Inc .......... 11,410 3,900 * Medicines Co .................................... 38,961 1,700 * MedQuist, Inc ................................... 43,586 1,400 * MedSource Technologies, Inc ..................... 12,572 3,300 Mentor Corp ..................................... 98,967 600 * Meridian Medical Technologies, Inc .............. 15,306 1,900 * Merit Medical Systems, Inc ...................... 33,176 4,100 * MGI Pharma, Inc ................................. 27,798 3,800 * MIM Corp ........................................ 41,990 2,100 * Molecular Devices Corp .......................... 25,221 2,600 * Mright Medical Group, Inc ....................... 48,750 4,900 * Mykrolis Corp ................................... 35,574 3,900 * Myriad Genetics, Inc ............................ 66,019 4,200 * Napro Biotherapeutics, Inc ...................... 8,526 1,300 * Nastech Pharmaceutical Co ....................... 10,478 600 * National Healthcare Corp ........................ 11,238 4,600 * Neurocrine Biosciences, Inc ..................... 177,100 600 * Neurogen Corp ................................... 5,400 3,400 * Noven Pharmaceuticals, Inc ...................... 41,820 4,300 * NPS Pharmaceuticals, Inc ........................ 84,710 2,800 * Ocular Sciences, Inc ............................ 68,964 2,000 * Odyssey HealthCare, Inc ......................... 56,100 2,400 * Omnicell, Inc ................................... 14,808 3,500 * On Assignment, Inc .............................. 34,965 2,000 * Option Care, Inc ................................ 21,960 4,300 * OraSure Technologies, Inc ....................... 18,774 5,200 * Orthologic Corp ................................. 21,580 900 * OSI Pharmaceuticals, Inc ........................ 13,968 2,900 Owens & Minor, Inc .............................. 43,645 2,600 * Pain Therapeutics, Inc .......................... 15,343 1,200 * Parexel International Corp ...................... 11,316 600 * PDI, Inc ........................................ 2,982 3,300 * Pediatrix Medical Group, Inc .................... 112,992 3,800 * Per-Se Technologies, Inc ........................ 33,090 15,600 * Peregrine Pharmaceuticals, Inc .................. 9,204 3,000 * Pharmaceutical Resources, Inc ................... 84,600 1,600 * PolyMedica Corp ................................. 38,418 2,800 * Possis Medical, Inc ............................. 34,244 2,600 * PracticeWorks, Inc .............................. 38,740 4,000 * Priority Healthcare Corp (Class B) .............. 98,200 1,300 * Progenics Pharmaceuticals ....................... 7,332 7,900 * Province Healthcare Co .......................... 134,300 1,300 * QMed, Inc ....................................... 9,295 4,500 * Quadramed Corp .................................. 8,685 4,200 * Quidel Corp ..................................... 19,946 3,300 * Radiologix, Inc ................................. 37,719 5,500 * Regeneron Pharmaceuticals, Inc .................. 80,575 1,800 * RehabCare Group, Inc ............................ 43,020 100 * Res-Care, Inc ................................... 482 5,000 * Resmed, Inc ..................................... 153,400 5,100 * Respironics, Inc ................................ 166,515 4,300 * Rigel Pharmaceuticals, Inc ...................... 9,503 1,600 * Rita Medical Systems, Inc ....................... 8,288 3,000 * Salix Pharmaceuticals Ltd ....................... 23,910 4,400 * Sangstat Medical Corp ........................... 86,460 7,600 * Scios, Inc ...................................... 195,852 1,900 * Seattle Genetics, Inc ........................... 6,726 2,900 * Select Medical Corp ............................. 42,920 8,300 * Sepracor, Inc ................................... 41,832 3,600 * Serologicals Corp ............................... 43,308 4,000 * Sierra Health Services, Inc ..................... 74,080 2,600 * Sangamo Biosciences, Inc ........................ 6,292 1,800 * Sonic Innovations, Inc .......................... 9,954 SEE NOTES TO FINANCIAL STATEMENTS B-142 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 2,400 * SonoSite, Inc ................................... $ 30,000 300 * Specialty Laboratories, Inc ..................... 2,400 5,500 * Stericycle, Inc ................................. 168,845 2,200 * SurModics, Inc .................................. 62,216 3,400 * Sybron Dental Specialties, Inc .................. 53,244 2,900 * Syncor International Corp ....................... 99,035 1,400 * Tanox, Inc ...................................... 17,990 6,800 * Techne Corp ..................................... 208,079 4,300 * Telik, Inc ...................................... 58,050 6,800 * Texas Biotechnology Corp ........................ 15,640 400 * Theragenics Corp ................................ 1,940 3,700 * Therasense, Inc ................................. 50,320 4,600 * Transkaryotic Therapies, Inc .................... 158,286 5,200 * Triangle Pharmaceuticals, Inc ................... 20,795 2,200 * Trimeris, Inc ................................... 101,640 6,300 * Tularik, Inc .................................... 50,022 3,000 * Umilab Corp ..................................... 52,800 2,500 * United Surgical Partners International, Inc ..... 70,150 2,300 * Urologix, Inc ................................... 11,477 1,500 * U.S. Physical Therapy, Inc ...................... 22,950 4,600 * Varian, Inc ..................................... 151,570 1,800 * VCA Antech, Inc ................................. 25,272 2,100 * Ventana Medical Systems, Inc .................... 42,693 2,100 Ventas, Inc ..................................... 27,405 3,500 * Versicor, Inc ................................... 31,920 7,900 * Visx, Inc ....................................... 78,605 1,000 Vital Signs, Inc ................................ 29,440 6,200 * VitalWorks, Inc ................................. 47,616 5,400 * Vivus, Inc ...................................... 21,978 2,500 * Watson Wyatt & Co Holdings ...................... 51,725 2,600 * Women First Healthcare, Inc ..................... 13,806 300 X-Rite, Inc ..................................... 2,604 700 * Young Innovations, Inc .......................... 17,990 1,400 * Zoll Medical Corp ............................... 46,606 1,000 * Zymogenetics, Inc ............................... 7,850 ----------- TOTAL HEALTH CARE ................................. 9,638,403 ----------- OTHER--4.97% 200 * 4Kids Entertainment, Inc ........................ 4,120 6,200 ABM Industries, Inc ............................. 90,706 3,300 * Acacia Research Corp ............................ 13,035 2,000 Acuity Brands, Inc .............................. 30,600 3,100 * Administaff, Inc ................................ 7,378 2,700 * Advo, Inc ....................................... 92,475 900 * Ambassadors Group, Inc .......................... 11,916 1,800 Banta Corp ...................................... 66,582 3,100 Brady Corp (Class A) ............................ 108,500 1,700 * Bright Horizons Family Solutions, Inc ........... 50,575 400 Central Parking Corp ............................ 8,104 100 * Charles River Associates, Inc ................... 1,615 6,200 * Corinthian Colleges, Inc ........................ 228,160 6,100 * Corporate Executive Board Co .................... 172,263 2,200 * CoStar Group, Inc ............................... 45,342 600 Courier Corp .................................... 23,898 600 Curtiss-Wright Corp ............................. 33,780 2,700 Ennis Business Forms, Inc ....................... 34,506 7,800 * Exult, Inc ...................................... 23,400 2,200 * Fidelity National Information Solutions, Inc .... 52,888 2,200 * First Consulting Group, Inc ..................... 15,378 2,400 * Forrester Research, Inc ......................... 40,176 1,000 * General Binding Corp ............................ 17,300 300 * Hall Kinion & Associates, Inc ................... 1,725 2,700 Harland (John H.) Co ............................ 72,630 400 * Heidrick & Struggles International, Inc ......... 6,848 500 * ICT Group, Inc .................................. 9,490 SHARES VALUE ------ ----- 4,200 * infoUSA, Inc .................................... $ 21,420 1,900 * Invision Technologies, Inc ...................... 67,944 3,500 * Itron, Inc ...................................... 58,730 1,300 Kelly Services, Inc (Class A) ................... 29,315 6,700 * Labor Ready, Inc ................................ 48,307 700 * Lifeline Systems, Inc ........................... 15,730 4,500 Matthews International Corp (Class A) ........... 112,500 1,500 McGrath RentCorp ................................ 31,275 800 * Memberworks, Inc ................................ 13,320 4,200 * MSC.Software Corp ............................... 43,722 6,400 * Navigant Consulting, Inc ........................ 37,888 1,900 New England Business Services, Inc .............. 39,710 2,300 * Pre-Paid Legal Services, Inc .................... 49,243 1,700 * ProQuest Co ..................................... 59,704 2,300 * R.H. Donnelley Corp ............................. 58,650 1,500 * Right Management Consultants .................... 34,736 1,900 * Rmh Teleservices, Inc ........................... 13,281 2,300 Rollins, Inc .................................... 45,586 1,800 * School Specialty, Inc ........................... 42,102 2,000 Standard Register Co ............................ 52,020 100 Standex International Corp ...................... 2,001 1,700 * Startek, Inc .................................... 41,395 1,200 Strayer Education, Inc .......................... 68,400 3,800 * Symyx Technologies, Inc ......................... 39,790 2,100 Talx Corp ....................................... 28,581 1,200 * Tejon Ranch Co .................................. 29,520 6,400 * TeleTech Holdings, Inc .......................... 40,832 1,200 * United Stationers, Inc .......................... 33,312 1,400 * Wackenhut Corrections Corp ...................... 16,310 ----------- TOTAL OTHER 2,438,714 ----------- PRODUCER DURABLES--4.14% 3,000 * Active Power, Inc ............................... 5,130 300 American States Water Co ........................ 7,854 5,400 Ametek, Inc ..................................... 172,746 1,200 * August Technology Corp .......................... 5,160 5,000 Baldor Electric Co .............................. 99,600 900 Briggs & Stratton Corp .......................... 34,911 1,600 * Brooks-PRI Automation, Inc ...................... 25,680 100 California Water Service Group .................. 2,454 6,700 * Capstone Turbine Corp ........................... 6,566 3,600 * Coinstar, Inc ................................... 92,696 100 * CTB International Corp .......................... 1,274 1,700 * Cuno, Inc ....................................... 55,607 3,500 Federal Signal Corp ............................. 68,145 700 * Flow International Corp ......................... 2,513 1,100 Franklin Electric Co, Inc ....................... 50,050 3,400 * FuelCell Energy, Inc ............................ 26,010 1,300 * Genlyte Group, Inc .............................. 45,110 3,700 * Global Power Equipment Group, Inc ............... 19,388 800 Gorman-Rupp Co .................................. 18,560 4,100 * Headwaters, Inc ................................. 53,341 2,100 IDEX Corp ....................................... 69,426 1,100 Kaydon Corp ..................................... 23,606 100 Lawson Products, Inc ............................ 2,745 5,200 Lincoln Electric Holdings, Inc .................. 127,348 1,600 Lindsay Manufacturing Co ........................ 38,336 1,800 * Littelfuse, Inc ................................. 39,150 2,600 Manitowoc Co, Inc ............................... 84,110 1,300 Mine Safety Appliances Co ....................... 52,130 10,900 * Newpark Resources, Inc .......................... 46,216 1,900 NN, Inc ......................................... 18,848 1,800 Nordson Corp .................................... 43,614 2,800 * Photon Dynamics, Inc ............................ 63,168 2,800 * Plug Power, Inc ................................. 17,416 4,700 * Power-One, Inc .................................. 13,583 SEE NOTES TO FINANCIAL STATEMENTS B-143 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- PRODUCER DURABLES--(CONTINUED) 3,600 * Rayovac Corp .................................... $ 49,500 4,800 Roper Industries, Inc ........................... 169,296 600 * Strattec Security Corp .......................... 31,740 1,300 Tennant Co ...................................... 48,880 400 * Tetra Tech, Inc ................................. 3,732 1,100 * Tetra Technologies, Inc ......................... 23,298 500 * Thomas & Betts Corp ............................. 7,685 800 Toro Co ......................................... 45,424 1,500 * TRC Cos, Inc .................................... 26,205 1,600 * Trikon Technologies, Inc ........................ 11,760 500 Valhi, Inc ...................................... 5,980 800 Valmont Industries, Inc ......................... 19,480 1,000 Wabtec Corp ..................................... 13,510 3,900 * Waste Connections, Inc .......................... 135,291 600 Watts Industries, Inc (Class A) ................. 10,440 ----------- TOTAL PRODUCER DURABLES 2,034,712 ----------- TECHNOLOGY--22.24% 100 * 3D Systems Corp ................................. 705 3,500 * Actel Corp ...................................... 40,250 1,200 * Acterna Corp .................................... 564 7,300 * Actuate Corp .................................... 12,337 5,700 * Advanced Digital Information Corp ............... 30,210 2,800 * Advanced Energy Industries, Inc ................. 33,180 800 * Advanced Power Technology, Inc .................. 3,648 9,900 * Aeroflex, Inc ................................... 51,777 3,200 * Aether Systems, Inc ............................. 8,813 2,800 * Agile Software Corp ............................. 18,116 16,100 * Akamai Technologies, Inc ........................ 14,812 4,800 * Alloy, Inc ...................................... 46,853 600 * Altiris, Inc .................................... 6,798 3,200 * American Management Systems, Inc ................ 48,797 1,800 * American Superconductor Corp .................... 5,670 3,200 * Anadigics, Inc .................................. 9,632 100 Analogic Corp ................................... 4,306 1,800 * Answerthink, Inc ................................ 3,924 2,500 * Ansys, Inc ...................................... 56,875 1,900 * Anteon International Corp ....................... 45,600 4,300 * APAC Customer Services, Inc ..................... 13,330 3,200 * Arbitron, Inc ................................... 104,352 22,800 * Ariba, Inc ...................................... 43,320 1,700 * Arris Group, Inc ................................ 6,460 2,400 * Artisan Components, Inc ......................... 21,912 19,800 * Ascential Software Corp ......................... 45,738 4,800 * Asiainfo Holdings, Inc .......................... 20,928 4,100 * Aspen Technology, Inc ........................... 15,744 3,100 * AstroPower, Inc ................................. 28,210 5,800 * Asyst Technologies, Inc ......................... 52,142 3,500 * At Road, Inc .................................... 21,000 4,500 * ATMI, Inc ....................................... 69,795 3,000 * Avanex Corp ..................................... 5,640 3,700 * Avid Technology, Inc ............................ 41,296 6,100 * Avocent Corp .................................... 88,023 16,000 * Axcelis Technologies, Inc ....................... 91,680 1,600 * AXT, Inc ........................................ 6,656 2,500 * Barra, Inc ...................................... 85,000 1,800 BEI Technologies, Inc ........................... 23,616 1,300 Bel Fuse, Inc (Class B) ......................... 28,847 1,700 * Benchmark Electronics, Inc ...................... 44,710 2,400 * Black Box Corp .................................. 82,272 10,000 * Borland Software Corp ........................... 93,200 500 C&D Technologies, Inc ........................... 7,900 2,400 * C-COR.net Corp .................................. 11,640 4,700 * CACI International, Inc (Class A) ............... 172,020 900 * Caminus Corp .................................... 1,899 SHARES VALUE ------ ----- 3,200 * Carreker Corp ................................... $ 26,339 900 * Catapult Communications Corp .................... 10,224 4,600 * Centillium Communications, Inc .................. 10,120 300 * Checkpoint Systems, Inc ......................... 3,510 8,000 * ChipPAC, Inc .................................... 22,240 5,900 * Chordiant Software, Inc ......................... 5,310 1,400 * Cirrus Logic, Inc ............................... 4,088 1,300 * ClearOne Communications, Inc .................... 15,080 10,700 * CNET Networks, Inc .............................. 12,840 5,500 * Cognex Corp ..................................... 86,625 1,400 * Cognizant Technology Solutions Corp ............. 87,542 3,400 Cohu, Inc ....................................... 49,912 2,400 * Computer Network Technology Corp ................ 16,800 2,600 * Concord Communications, Inc ..................... 18,694 10,200 * Concurrent Computer Corp ........................ 32,538 1,400 * CoorsTek, Inc ................................... 24,500 3,200 * Covansys Corp ................................... 7,264 7,100 * Cray, Inc ....................................... 29,110 2,500 * Credence Systems Corp ........................... 29,075 6,000 * Cree, Inc ....................................... 80,700 3,400 CTS Corp ........................................ 20,400 2,500 Cubic Corp ...................................... 51,400 2,300 * Daktronics, Inc. ................................ 22,770 2,000 * Datastream Systems, Inc ......................... 10,520 1,600 * DDI Corp ........................................ 608 5,300 * dELiA*s Corp (Class A) .......................... 6,996 1,300 * DiamondCluster International, Inc (Class A) ..... 5,044 1,300 * Digimarc Corp ................................... 14,378 4,700 * Digital Insight Corp ............................ 84,036 4,400 * Digital River, Inc .............................. 39,424 1,000 * Digitas, Inc .................................... 3,260 1,300 * DocuCorp International, Inc ..................... 16,979 6,500 * Documentum, Inc ................................. 95,160 14,000 * DoubleClick, Inc ................................ 79,380 1,400 * Drexler Technology Corp ......................... 24,444 3,000 * DSP Group, Inc .................................. 50,790 400 * Dupont Photomasks, Inc .......................... 10,052 5,400 * E.piphany, Inc .................................. 22,086 4,100 * Echelon Corp .................................... 50,430 1,700 EDO Corp ........................................ 37,995 6,300 * eFunds Corp ..................................... 59,346 4,200 * Electro Scientific Industries, Inc .............. 74,592 2,800 * Electroglas, Inc ................................ 8,624 1,400 * Embarcadero Technologies, Inc ................... 9,632 2,100 * Emcore Corp ..................................... 6,069 1,200 * EMS Technologies, Inc ........................... 26,640 7,500 * Entegris, Inc ................................... 66,975 4,200 * Enterasys Networks, Inc ......................... 5,292 7,400 * Entrust, Inc .................................... 34,107 1,700 * EPIQ Systems, Inc ............................... 30,345 3,700 * espeed, Inc (Class A) ........................... 37,925 5,300 * ESS Technology, Inc ............................. 40,704 5,400 * Exar Corp ....................................... 71,226 1,500 * Excel Technology, Inc ........................... 32,700 16,900 * Extreme Networks, Inc ........................... 147,537 3,700 * F5 Networks, Inc ................................ 39,923 5,600 * FalconStor Software, Inc ........................ 28,734 4,000 * FEI Co .......................................... 72,480 5,100 * Filenet Corp .................................... 71,145 11,500 * Finisar Corp .................................... 11,270 2,500 * Flir Systems, Inc ............................... 94,075 14,100 * Foundry Networks, Inc ........................... 117,030 6,500 * Freemarkets, Inc ................................ 38,090 5,500 General Cable Corp .............................. 26,015 5,000 * Genesis Microchip, Inc .......................... 46,550 SEE NOTES TO FINANCIAL STATEMENTS B-144 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 1,400 * Global Imaging Systems, Inc ..................... $ 26,810 10,300 * GlobespanVirata, Inc ............................ 32,950 1,200 * GrafTech International Ltd ...................... 11,040 600 * Griffon Corp .................................... 7,182 5,300 * Handspring, Inc ................................. 6,307 9,800 * Harmonic, Inc ................................... 22,148 4,300 Helix Technology Corp ........................... 44,505 5,500 * Hyperion Solutions Corp ......................... 134,475 13,800 * Identix, Inc .................................... 97,290 1,300 * II-VI, Inc ...................................... 17,212 2,000 * Inet Technologies, Inc .......................... 9,500 700 * Infogrames, Inc ................................. 1,771 9,400 * Informatica Corp ................................ 37,506 800 * Inforte Corp .................................... 5,512 12,700 * Inktomi Corp .................................... 5,715 1,500 * Inrange Technologies Corp (Class B) ............. 6,060 1,500 * Integral Systems, Inc ........................... 28,125 3,000 Inter-Tel, Inc .................................. 76,347 2,600 * Intercept, Inc .................................. 34,866 8,900 * Interdigital Communications Corp ................ 83,838 7,700 * Intergraph Corp ................................. 130,900 2,500 * Intermagnetics General Corp ..................... 37,250 5,900 * Internet Security Systems, Inc .................. 88,494 9,400 * Interwoven, Inc ................................. 25,380 2,500 * Intrado, Inc .................................... 34,125 3,600 * Ixia ............................................ 20,844 2,000 * IXYS Corp ....................................... 9,980 900 * j2 Global Communications, Inc ................... 18,999 4,600 * JDA Software Group, Inc ......................... 59,294 7,900 * Keane, Inc ...................................... 68,809 1,000 Keithley Instruments, Inc ....................... 15,250 2,100 * Keynote Systems, Inc ............................ 14,574 11,400 * Kopin Corp ...................................... 67,591 3,300 * Kronos, Inc ..................................... 88,275 8,100 * Kulicke & Soffa Industries, Inc ................. 34,425 7,100 * Lattice Semiconductor Corp ...................... 48,493 1,700 * Lawson Software, Inc ............................ 6,630 1,800 * Learning Tree International, Inc ................ 29,340 500 * LeCroy Corp ..................................... 5,055 14,300 * Legato Systems, Inc ............................. 48,620 5,400 * Lexar Media, Inc ................................ 23,166 9,300 * Liberate Technologies ........................... 15,624 400 * Lightbridge, Inc ................................ 2,920 11,200 * Looksmart Ltd ................................... 12,823 4,900 * LTX Corp ........................................ 38,269 7,000 * Macrovision Corp ................................ 91,910 2,300 * Magma Design Automation, Inc .................... 26,542 3,200 * Manhattan Associates, Inc ....................... 65,632 700 * Manufacturers Services Ltd ...................... 2,737 5,300 * Manugistics Group, Inc .......................... 21,836 2,300 * MAPICS, Inc ..................................... 14,490 2,400 * Mapinfo Corp .................................... 12,360 6,000 * Matrixone, Inc .................................. 29,700 4,200 * Maxtor Corp ..................................... 14,196 2,000 * McAfee.com Corp ................................. 35,080 10,400 * McData Corp (Class A) ........................... 87,048 800 * MCSi, Inc ....................................... 4,928 6,500 * MEMC Electronic Materials, Inc .................. 27,690 10,700 * Mentor Graphics Corp ............................ 77,896 3,600 * Mercury Computer Systems, Inc ................... 91,836 1,700 * Merix Corp ...................................... 15,555 900 * MetaSolv, Inc ................................... 1,845 12,300 * Micromuse, Inc .................................. 38,019 4,800 * Microsemi Corp .................................. 29,808 SHARES VALUE ------ ----- 5,900 * MIPS Technologies, Inc (Class A) ................ $ 11,328 3,000 * Monolithic System Technology, Inc ............... 30,510 2,900 * MRO Software, Inc ............................... 27,347 9,000 * MRV Communications, Inc ......................... 9,900 800 * Nassda Corp ..................................... 6,224 3,700 NDCHealth Corp .................................. 67,414 2,700 * Netegrity, Inc .................................. 6,780 3,500 * NETIQ Corp ...................................... 65,730 1,300 * Netro Corp ...................................... 3,406 900 * Netscout Systems, Inc ........................... 3,824 1,700 * NetScreen Technologies, Inc ..................... 21,148 4,900 * New Focus, Inc .................................. 13,671 3,400 * Newport Corp .................................... 54,740 4,000 * NIC, Inc ........................................ 6,800 2,300 * Novadigm, Inc ................................... 6,555 2,500 * Nuance Communications, Inc ...................... 6,875 4,100 * NYFIX, Inc ...................................... 17,261 9,200 * Oak Technology, Inc ............................. 34,040 3,300 * Omnivision Technologies, Inc .................... 34,023 3,200 * ON Semiconductor Corp ........................... 5,255 7,200 * Onyx Software Corp .............................. 19,800 15,000 * Openwave Systems, Inc ........................... 11,700 1,700 * Opnet Technologies, Inc ......................... 11,985 1,100 * Optical Communication Products, Inc ............. 1,144 1,100 * OSI Systems, Inc ................................ 21,373 1,300 * Overland Storage, Inc ........................... 14,300 8,400 * Overture Services, Inc .......................... 191,352 3,700 * Packeteer, Inc .................................. 15,577 33,000 * Palm, Inc ....................................... 26,400 1,600 * Paradyne Networks, Inc .......................... 3,056 23,400 * Parametric Technology Corp ...................... 63,180 700 Park Electrochemical Corp ....................... 14,070 4,900 * Paxar Corp ...................................... 78,498 2,800 * Paxson Communications Corp ...................... 8,260 2,000 * PDF Solutions, Inc .............................. 12,440 1,400 * PEC Solutions, Inc .............................. 34,930 1,000 * Pegasystems, Inc ................................ 6,700 300 * Pericom Semiconductor Corp ...................... 2,805 4,300 * Phoenix Technologies Ltd ........................ 32,938 4,400 * Photronics, Inc ................................. 56,188 5,000 * Pixelworks, Inc ................................. 29,650 2,300 * Planar Systems, Inc ............................. 42,251 6,200 * Plantronics, Inc ................................ 115,630 6,900 * Plexus Corp ..................................... 96,600 2,800 * PLX Technology, Inc ............................. 4,900 19,700 * Portal Software, Inc ............................ 6,304 300 * Powell Industries, Inc .......................... 5,700 4,200 * Power Integrations, Inc ......................... 55,104 10,700 * Powerwave Technologies, Inc ..................... 57,994 5,900 * PRG-Schultz International, Inc .................. 80,771 3,500 * Probusiness Services, Inc ....................... 26,320 5,200 * Progress Software Corp .......................... 73,528 2,300 * QRS Corp ........................................ 17,802 6,100 * Quest Software, Inc ............................. 66,246 1,100 Quixote Corp .................................... 19,723 2,900 * Radiant Systems, Inc ............................ 26,593 1,700 * Radisys Corp .................................... 9,758 800 * Raindance Communications, Inc ................... 2,440 13,700 * Rambus, Inc ..................................... 71,240 16,200 * Red Hat, Inc .................................... 85,050 24,700 * Redback Networks, Inc ........................... 23,218 1,800 * Renaissance Learning, Inc ....................... 29,808 1,600 * Research Frontiers, Inc ......................... 14,384 8,600 * Retek, Inc ...................................... 39,302 17,200 * Riverstone Networks, Inc ........................ 12,040 SEE NOTES TO FINANCIAL STATEMENTS B-145 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 2,600 * Rogers Corp ..................................... $ 69,784 2,900 * Roxio, Inc ...................................... 11,829 1,400 * RSA Security, Inc ............................... 5,390 1,600 * Rudolph Technologies, Inc ....................... 21,827 11,600 * S1 Corp ......................................... 66,700 2,200 * Sanchez Computer Associates, Inc ................ 7,172 5,400 * Sandisk Corp .................................... 84,942 5,500 * Sapient Corp .................................... 7,365 500 * SBS Technologies, Inc ........................... 3,650 8,600 * Scansoft, Inc ................................... 34,658 800 * Scansource, Inc ................................. 48,288 2,300 * Seachange International, Inc .................... 16,951 4,800 * Secure Computing Corp ........................... 20,400 8,600 * Seebeyond Technology Corp ....................... 14,706 2,700 * Semitool, Inc ................................... 16,470 2,900 * Serena Software, Inc ............................ 46,052 9,500 * Silicon Image, Inc .............................. 36,490 4,300 * Silicon Laboratories, Inc ....................... 84,538 12,700 * Silicon Storage Technology, Inc ................. 64,389 1,000 * Siliconix, Inc .................................. 20,580 1,200 * Simpletech, Inc ................................. 2,796 3,787 * SmartForce plc (Spon ADR) ....................... 16,284 4,500 * Somera Communications, Inc ...................... 11,925 3,300 * SonicWALL, Inc .................................. 15,048 29,600 * Sonus Networks, Inc ............................. 20,631 800 * Sourcecorp ...................................... 16,728 2,800 * Spectralink Corp ................................ 18,424 1,100 * Spectrian Corp .................................. 6,325 2,300 * SpeechWorks International, Inc .................. 7,889 600 * SPSS, Inc ....................................... 7,087 700 * SRA International, Inc (Class A) ................ 19,425 1,300 * SS&C Technologies, Inc .......................... 16,145 200 * Standard Microsystems Corp ...................... 3,562 5,700 * StorageNetworks, Inc ............................ 9,633 5,700 * Stratos Lightwave, Inc .......................... 3,363 300 * Suntron Corp .................................... 1,188 1,700 * Supertex, Inc ................................... 17,595 1,600 * Surebeam Corp (Class A) ......................... 2,960 6,500 * Sycamore Networks, Inc .......................... 17,615 1,700 * Sykes Enterprises, Inc .......................... 10,200 400 * Synaptics, Inc .................................. 2,380 1,600 * Synplicity, Inc ................................. 7,984 900 * Syntel, Inc ..................................... 11,799 800 Sypris Solutions, Inc ........................... 8,759 2,900 * Systems & Computer Technology Corp .............. 20,271 6,200 * Take-Two Interactive Software, Inc .............. 167,399 3,100 Technitrol, Inc ................................. 56,730 7,600 * Tekelec ......................................... 63,840 6,800 * Tellium, Inc .................................... 3,400 3,700 * Therma-Wave, Inc ................................ 4,884 9,600 * TIBCO Software, Inc ............................. 42,432 2,400 * Tier Technologies, Inc (Class B) ................ 47,952 3,100 * Tivo, Inc ....................................... 11,780 3,600 * Transaction Systems Architects, Inc (Class A) ... 24,484 10,300 * Transmeta Corp .................................. 11,227 3,300 * Trimble Navigation Ltd .......................... 42,735 1,200 * Tripos, Inc ..................................... 8,004 17,600 * Triquint Semiconductor, Inc ..................... 80,942 3,900 * Trizetto Group, Inc ............................. 26,949 2,400 * TTM Technologies, Inc ........................... 7,608 1,100 * Ulticom, Inc .................................... 6,369 1,800 * Ultimate Electronics, Inc ....................... 21,060 200 * Ultratech Stepper, Inc .......................... 2,336 1,600 United Industrial Corp .......................... 32,160 SHARES VALUE ------ ----- 800 * United Online, Inc .............................. $ 8,760 2,800 * Universal Display Corp .......................... 15,512 5,100 * Varian Semiconductor Equipment Associates, Inc .. 95,645 3,800 * Veeco Instruments, Inc .......................... 51,490 600 * Verint Systems, Inc ............................. 5,946 2,000 * Verity, Inc ..................................... 20,020 1,400 * Vicor Corp ...................................... 10,360 6,100 * Viewpoint Corp .................................. 24,400 19,700 * Vignette Corp ................................... 18,124 1,800 * Virage Logic Corp ............................... 19,440 300 Virco Manufacturing Corp ........................ 3,294 17,300 * Vitesse Semiconductor Corp ...................... 21,971 6,400 * Vitria Technology, Inc .......................... 5,696 2,200 * WatchGuard Technologies, Inc .................... 11,330 3,800 * WebEx Communications, Inc ....................... 55,252 6,100 * webMethods, Inc ................................. 42,883 3,500 * Websense, Inc ................................... 56,910 2,300 * WESCO International, Inc ........................ 12,029 17,900 * Western Digital Corp ............................ 83,056 2,900 * White Electronic Designs Corp ................... 25,056 3,500 * Wilson Greatbatch Technologies, Inc ............. 95,025 8,000 * Wind River Systems, Inc ......................... 42,800 1,500 * Wireless Facilities, Inc ........................ 7,500 2,300 * Witness Systems, Inc ............................ 14,122 500 Woodhead Industries, Inc ........................ 8,000 3,500 * Xicor, Inc ...................................... 15,645 3,200 * Zoran Corp ...................................... 36,800 1,900 * Zygo Corp ....................................... 9,500 ----------- TOTAL TECHNOLOGY 10,918,220 ----------- TRANSPORTATION--1.38% 10,300 * Airtran Holdings, Inc ........................... 35,535 100 * ATA Holdings Corp ............................... 334 6,700 * Atlantic Coast Airlines Holdings, Inc ........... 79,328 2,000 * BE Aerospace, Inc ............................... 13,740 1,600 * EGL, Inc ........................................ 18,880 1,300 * Express Jet Holdings, Inc ....................... 14,872 1,900 * Forward Air Corp ................................ 43,318 3,900 * Frontier Airlines, Inc .......................... 25,896 600 * Genesee & Wyoming, Inc (Class A) ................ 12,630 2,700 * Heartland Express, Inc .......................... 54,378 4,000 * Knight Transportation, Inc ...................... 73,520 2,500 * Landstar System, Inc ............................ 129,875 5,100 * Mesa Air Group, Inc ............................. 29,988 400 * P.A.M. Transportation Services .................. 8,380 4,300 Shurgard Storage Centers, Inc (Class A) ......... 139,105 ----------- TOTAL TRANSPORTATION 679,779 ----------- UTILITIES--2.34% 4,000 * AirGate PCS, Inc ................................ 4,160 3,600 * Alamosa Holdings, Inc ........................... 1,296 9,600 * Allegiance Telecom, Inc ......................... 8,928 10,800 * American Tower Corp (Class A) ................... 24,300 1,900 Black Hills Corp ................................ 51,661 900 Cascade Natural Gas Corp ........................ 19,026 900 * Centennial Communications Corp .................. 2,682 1,800 * Commonwealth Telephone Enterprises, Inc ......... 67,248 1,300 Connecticut Water Service, Inc .................. 32,656 10,400 * Crown Castle International Corp ................. 26,000 2,000 * Dobson Communications Corp (Class A) ............ 700 400 Energysouth, Inc ................................ 10,732 6,800 * General Communication, Inc (Class A) ............ 19,720 2,300 Hickory Tech Corp ............................... 33,281 1,600 MGE Energy, Inc ................................. 42,800 1,300 Middlesex Water Co .............................. 29,861 800 * NATCO Group, Inc (Class A) ...................... 5,896 SEE NOTES TO FINANCIAL STATEMENTS B-146 - INSTITUTIONAL SMALL-CAP GROWTH INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- UTILITIES--(CONTINUED) 400 New Jersey Resources Corp ....................... $ 13,000 11,100 * Nextel Partners, Inc (Class A) .................. 71,040 2,500 North Pittsburgh Systems, Inc ................... 37,500 4,100 Otter Tail Corp ................................. 102,828 4,400 * Petroquest Energy, Inc .......................... 19,140 7,900 * Price Communications Corp ....................... 95,669 1,100 * Quicksilver Resources, Inc ...................... 21,285 5,800 * RCN Corp ........................................ 4,466 500 Shenandoah Telecom Co ........................... 25,245 14,900 * Skyworks Solutions, Inc ......................... 78,374 1,500 Southwest Water Co .............................. 21,975 3,800 * Southwestern Energy Co .......................... 47,234 2,200 SureWest Communications ......................... 72,622 3,300 * Time Warner Telecom, Inc (Class A) .............. 4,026 3,200 * Triton PCS Holdings, Inc (Class A) .............. 9,920 2,000 UGI Corp ........................................ 71,020 200 Unitil Corp ..................................... 5,330 14,600 * U.S. Unwired, Inc (Class A) ..................... 17,082 700 Western Gas Resources, Inc ...................... 23,058 8,800 * Western Wireless Corp (Class A) ................. 28,093 ----------- TOTAL UTILITIES 1,149,854 ----------- TOTAL COMMON STOCK (COST $48,334,676) 48,406,970 ----------- PRINCIPAL VALUE --------- ----- SHORT TERM INVESTMENT--2.44% U.S. GOVERNMENT AND AGENCY--2.44% Federal Home Loan Bank (FHLB) $1,200,000 1.590%, 09/16/02 .............................. $ 1,199,832 ----------- TOTAL SHORT TERM INVESTMENT (COST $1,199,832) 1,199,832 ----------- TOTAL PORTFOLIO--101.03% (COST $49,534,508) 49,606,802 OTHER ASSETS & LIABILITIES, NET--( 1.03%) (506,608) ----------- NET ASSETS--100.00% $49,100,194 ----------- ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-147 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--98.18% AEROSPACE AND DEFENSE--0.97% 3,500 AAR Corp ........................................ $ 20,860 2,500 * Aviall, Inc ..................................... 28,250 900 * Ducommun, Inc ................................... 14,841 200 * Dynamics Research Corp .......................... 3,640 1,900 Heico Corp ...................................... 19,893 1,500 * Hexcel Corp ..................................... 3,900 3,000 Kaman Corp (Class A) ............................ 37,680 1,200 * Ladish Co, Inc .................................. 9,600 2,100 * Moog, Inc (Class A) ............................. 64,806 4,600 * Remec, Inc ...................................... 16,008 800 * Sequa Corp (Class A) ............................ 43,840 1,700 * Teledyne Technologies, Inc ...................... 31,280 1,900 * Triumph Group, Inc .............................. 61,560 2,900 * United Defense Industries, Inc .................. 66,381 900 * Viasat, Inc ..................................... 4,725 ----------- TOTAL AEROSPACE AND DEFENSE 427,264 ----------- BASIC INDUSTRIES--11.85% 1,200 * Airgas, Inc ..................................... 16,968 500 Alico, Inc ...................................... 14,000 2,700 Amcol International Corp ........................ 16,470 500 Ameron International Corp ....................... 24,450 1,100 * Applied Films Corp .............................. 11,517 2,700 Arch Chemicals, Inc ............................. 53,406 3,000 Arch Coal, Inc .................................. 51,930 600 * Avatar Holdings, Inc ............................ 15,720 500 * Baker (Michael) Corp ............................ 6,370 2,200 * Brush Engineered Materials, Inc ................. 19,800 3,300 * Buckeye Technologies, Inc ....................... 25,080 1,600 * Building Materials Holding Corp ................. 20,368 700 Butler Manufacturing Co ......................... 15,540 100 * BWAY Corp ....................................... 1,406 4,500 Calgon Carbon Corp .............................. 26,955 1,300 Cambrex Corp .................................... 49,296 3,600 * Caraustar Industries, Inc ....................... 36,252 2,400 Carlisle Cos, Inc ............................... 105,624 2,600 Carpenter Technology Corp ....................... 50,856 900 Castle (A.M.) & Co .............................. 6,885 700 Centex Construction Products, Inc ............... 25,263 1,600 Century Aluminum Co ............................. 12,482 6,600 * Champion Enterprises, Inc ....................... 18,810 800 * Chase Industries, Inc ........................... 9,464 1,300 Chemed Corp ..................................... 42,965 1,500 ChemFirst, Inc .................................. 43,200 1,900 Chesapeake Corp ................................. 38,798 1,200 * Cleveland-Cliffs, Inc ........................... 32,160 1,900 * Collins & Aikman Corp ........................... 9,785 5,100 * Comfort Systems U.S.A., Inc ..................... 17,085 3,300 Commercial Metals Co ............................ 64,053 13,500 Crompton Corp ................................... 153,225 21,400 * Crown Cork & Seal Co, Inc ....................... 149,586 5,400 * Cytec Industries, Inc ........................... 139,860 700 Deltic Timber Corp .............................. 17,955 700 * Dionex Corp ..................................... 19,047 300 * Dominion Homes, Inc ............................. 6,105 400 Donnelly Corp ................................... 11,172 700 * Drew Industries, Inc ............................ 10,465 1,900 * EMCOR Group, Inc ................................ 98,781 1,300 * Encore Wire Corp ................................ 12,090 2,100 Ferro Corp ...................................... 49,980 4,700 * Fleetwood Enterprises, Inc ...................... 35,297 2,200 Florida Rock Industries, Inc .................... 79,134 2,200 * FMC Corp ........................................ 63,822 2,100 * Foamex International, Inc ....................... 12,600 SHARES VALUE ------ ----- 3,800 H.B. Fuller Co .................................. $ 108,642 1,800 Georgia Gulf Corp ............................... 47,628 1,200 Gibraltar Steel Corp ............................ 25,080 100 Glatfelter ...................................... 1,279 5,900 * WR Grace & Co ................................... 12,213 4,000 Granite Construction, Inc ....................... 71,240 5,100 Great Lakes Chemical Corp ....................... 143,922 1,800 Greif Brothers Corp (Class A) ................... 49,770 900 * Imco Recycling, Inc ............................. 5,958 200 * Insituform Technologies, Inc (Class A) .......... 3,274 4,400 * Integrated Electrical Services, Inc ............. 19,140 1,400 * International Specialty Products, Inc ........... 13,636 800 Interpool, Inc .................................. 11,640 5,800 Lennox International, Inc ....................... 88,566 600 * Liquidmetal Technologies ........................ 4,494 1,000 * Lone Star Technologies, Inc ..................... 15,800 6,900 * Longview Fibre Co ............................... 53,544 14,200 * Louisiana-Pacific Corp .......................... 104,796 600 LSI Industries, Inc ............................. 6,204 1,200 * Lydall, Inc ..................................... 13,860 1,600 M/I Schottenstein Homes, Inc .................... 56,176 1,800 MacDermid, Inc .................................. 37,332 8,500 Massey Energy Co ................................ 66,045 1,400 * Material Sciences Corp .......................... 17,892 2,900 * Mattson Technology, Inc ......................... 6,670 400 * Maui Land & Pineapple Co ........................ 7,540 2,600 MDC Holdings, Inc ............................... 107,640 400 * Mestek, Inc ..................................... 7,564 8,500 Millennium Chemicals, Inc ....................... 103,190 2,800 Minerals Technologies, Inc ...................... 114,660 1,500 * Mobile Mini, Inc ................................ 23,325 1,200 * Modtech Holdings, Inc ........................... 12,000 3,800 * Mueller Industries, Inc ......................... 102,220 2,500 * NCI Building Systems, Inc ....................... 46,500 1,200 NL Industries, Inc .............................. 19,068 1,200 * Nortek, Inc ..................................... 52,860 600 * Northwest Pipe Co ............................... 10,650 2,300 * NS Group, Inc ................................... 16,445 1,300 Octel Corp ...................................... 27,950 5,400 * Omnova Solutions, Inc ........................... 29,700 3,500 * Oregon Steel Mills, Inc ......................... 24,290 1,400 * Osmonics, Inc ................................... 18,200 600 * Palm Harbor Homes, Inc .......................... 8,022 300 Penford Corp .................................... 4,155 1,600 Penn Engineering & Manufacturing Corp ........... 20,224 1,100 Penn Virginia Corp .............................. 36,894 10,600 PolyOne Corp .................................... 104,621 2,100 Pope & Talbot, Inc .............................. 27,678 3,900 Potlatch Corp ................................... 117,663 1,900 Quanex Corp ..................................... 74,803 3,200 Reliance Steel & Aluminum Co .................... 76,960 1,300 Roanoke Electric Steel Corp ..................... 15,288 1,500 Rock-Tenn Co (Class A) .......................... 25,230 2,800 * RTI International Metals, Inc ................... 31,920 3,000 Ryerson Tull, Inc ............................... 22,530 500 Schnitzer Steel Industries, Inc (Class A) ....... 9,057 4,000 Schulman (A.), Inc .............................. 83,880 1,400 * Silgan Holdings, Inc ............................ 40,768 800 Skyline Corp .................................... 21,832 14,100 Solutia, Inc .................................... 97,713 1,900 Southern Peru Copper Corp ....................... 25,251 1,000 Spartech Corp ................................... 20,230 4,400 Standard-Pacific Corp ........................... 120,912 2,100 * Steel Dynamics, Inc ............................. 30,870 5,800 * Stillwater Mining Co ............................ 37,352 SEE NOTES TO FINANCIAL STATEMENTS B-148 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- BASIC INDUSTRIES--(CONTINUED) 300 * Technical Olympic Usa, Inc ...................... $ 4,875 5,300 * Terra Industries, Inc ........................... 10,918 2,900 Texas Industries, Inc ........................... 85,376 3,300 Tredegar Corp ................................... 59,565 200 * Trex Co, Inc .................................... 5,900 200 Tremont Corp .................................... 6,620 2,700 * U.S. Concrete, Inc .............................. 14,769 1,800 Universal Forest Products, Inc .................. 34,002 1,900 * URS Corp ........................................ 32,946 10,900 USEC, Inc ....................................... 73,030 5,000 b* USG Corp ........................................ 25,450 1,400 * Water Pik Technologies, Inc ..................... 16,800 2,300 Watsco, Inc ..................................... 33,856 4,600 Wausau-Mosinee Paper Corp ....................... 47,012 4,300 Wellman, Inc .................................... 65,360 200 West Pharmaceutical Services, Inc ............... 4,728 600 * William Lyon Homes, Inc ......................... 13,884 9,100 Worthington Industries, Inc ..................... 166,075 ----------- TOTAL BASIC INDUSTRIES 5,205,699 ----------- CONSUMER CYCLICAL--11.02% 200 Aaron Rents, Inc ................................ 4,500 400 * Acme Communication, Inc ......................... 3,200 300 Advanced Marketing Services, Inc ................ 3,945 800 * Aeropostale, Inc ................................ 15,640 100 * Aftermarket Technology Corp ..................... 1,699 700 * Alliance Gaming Corp ............................ 11,207 3,800 * AMC Entertainment, Inc .......................... 31,882 1,400 * Amerco .......................................... 16,016 200 * Ameristar Casinos, Inc .......................... 4,428 1,200 Angelica Corp ................................... 22,320 4,400 * AnnTaylor Stores Corp ........................... 113,300 300 Apogee Enterprises, Inc ......................... 3,384 1,200 Arctic Cat, Inc ................................. 17,136 700 * Argosy Gaming Co ................................ 18,095 4,600 * Aztar Corp ...................................... 60,214 3,700 * Bally Total Fitness Holding Corp ................ 39,590 1,400 Bandag, Inc ..................................... 49,952 1,100 Barnes Group, Inc ............................... 21,901 1,400 Bassett Furniture Industries, Inc ............... 20,986 1,100 Blair Corp ...................................... 22,110 4,300 Bob Evans Farms, Inc ............................ 101,136 3,900 * Boca Resorts, Inc (Class A) ..................... 42,237 4,500 Bowne & Co, Inc ................................. 49,680 2,900 * Boyd Gaming Corp ................................ 51,620 1,100 * Brookstone, Inc ................................. 13,541 2,400 Brown Shoe Co, Inc .............................. 49,656 900 * Buckle, Inc ..................................... 18,261 2,400 Burlington Coat Factory Warehouse Corp .......... 48,240 1,100 Bush Industries, Inc (Class A) .................. 8,547 300 * Carmike Cinemas, Inc ............................ 5,100 1,300 * Cascade Corp .................................... 18,837 2,000 * Central Garden & Pet Co ......................... 32,440 1,500 * Championship Auto Racing Teams, Inc ............. 7,035 16,100 * Charming Shoppes, Inc ........................... 117,369 200 * Checkers Drive-In Restaurant .................... 1,638 500 * Cherokee, Inc ................................... 8,790 3,000 * Choice Hotels International, Inc ................ 72,000 800 Churchill Downs, Inc ............................ 29,000 5,900 * CKE Restaurants, Inc ............................ 29,441 4,600 Claire's Stores, Inc ............................ 107,042 2,000 Coachmen Industries, Inc ........................ 33,880 500 * Coldwater Creek, Inc ............................ 7,480 1,200 * Cole National Corp .............................. 17,988 300 CPI Corp ........................................ 4,245 SHARES VALUE ------ ----- 3,400 * Crown Media Holdings, Inc (Class A) ............. $ 15,368 400 * CSS Industries, Inc ............................. 14,712 800 * Culp, Inc ....................................... 7,208 1,500 * Dave & Buster's, Inc ............................ 19,590 1,500 * Department 56, Inc .............................. 17,190 1,600 * DHB Industries, Inc ............................. 3,680 3,300 * Dollar Thrifty Automotive Group, Inc ............ 58,377 700 Dover Downs Gaming & Entertainment, Inc ......... 6,209 2,100 Dover Motorsport, Inc ........................... 10,290 3,200 * Dress Barn, Inc ................................. 36,416 2,000 * Dura Automotive Systems, Inc .................... 27,780 400 * Elizabeth Arden, Inc ............................ 3,840 5,500 Equity Inns, Inc ................................ 35,310 500 * EUniverse, Inc .................................. 1,820 2,600 * Finish Line, Inc (Class A) ...................... 24,960 700 * Fisher Communications, Inc ...................... 34,755 2,700 * Footstar, Inc ................................... 28,620 2,200 Friedman's, Inc (Class A) ....................... 18,810 1,700 G & K Services, Inc (Class A) ................... 58,599 3,000 * Gaylord Entertainment Co ........................ 66,330 4,200 GenCorp, Inc .................................... 46,116 500 * Genesco, Inc .................................... 7,250 2,200 * Goody's Family Clothing, Inc .................... 12,870 1,100 Gray Television, Inc (Class A) .................. 14,586 600 * Group 1 Automotive, Inc ......................... 17,460 1,000 * Guess?, Inc ..................................... 5,110 1,100 Hancock Fabrics, Inc ............................ 16,929 3,400 * Handleman Co .................................... 36,992 5,000 * Harris Interactive, Inc ......................... 12,450 1,200 Haverty Furniture Cos, Inc ...................... 16,164 2,100 Hollinger International, Inc .................... 21,252 700 * Hollywood Casino Corp (Class A) ................. 8,540 3,200 * Hollywood Entertainment Corp .................... 46,176 300 * IHOP Corp ....................................... 7,395 1,500 * IMPCO Technologies, Inc ......................... 7,830 5,200 * Insight Communications Co, Inc .................. 49,395 2,900 Intermet Corp ................................... 18,995 800 * Intertan, Inc ................................... 5,776 700 * Isle Of Capri Casinos, Inc ...................... 12,110 2,700 * Jack In The Box, Inc ............................ 64,098 2,900 * Jakks Pacific, Inc .............................. 32,973 1,800 * Jo-Ann Stores, Inc (Class A) .................... 59,580 500 * Johnson Outdoors, Inc (Class A) ................. 5,861 3,700 * Journal Register Co ............................. 72,298 66,900 b* Kmart Corp ...................................... 40,809 700 K-Swiss, Inc (Class A) .......................... 13,215 2,400 * K2, Inc ......................................... 20,592 3,400 Kellwood Co ..................................... 85,034 400 * Kenneth Cole Productions, Inc (Class A) ......... 9,160 1,100 * Keystone Automotive Industries, Inc ............. 15,598 4,600 Kimball International, Inc (Class B) ............ 68,356 1,100 * Kirby Corp ...................................... 25,575 3,000 Landry's Restaurants, Inc ....................... 64,950 2,300 LaSalle Hotel Properties ........................ 28,635 700 * Liberty Livewire Corp (Class A) ................. 1,456 300 * Linens `n Things, Inc ........................... 6,594 1,000 * Lodgenet Entertainment Corp ..................... 9,270 2,300 Lone Star Steakhouse & Saloon, Inc .............. 43,332 3,000 * Luby's, Inc ..................................... 16,050 1,200 * Steven Madden Ltd ............................... 20,400 2,600 Marcus Corp ..................................... 37,830 1,800 * Maxwell Shoe Co, Inc (Class A) .................. 21,798 100 * Medis Technologies Ltd .......................... 499 2,800 * Men's Wearhouse, Inc ............................ 47,908 800 * Midas, Inc ...................................... 5,520 SEE NOTES TO FINANCIAL STATEMENTS B-149 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 3,800 Modine Manufacturing Co ......................... $ 80,218 1,000 * Monaco Coach Corp ............................... 20,230 700 * Monro Muffler Brake, Inc ........................ 12,887 500 * Mossimo, Inc .................................... 2,775 200 * MTR Gaming Group, Inc ........................... 1,698 2,500 Myers Industries, Inc ........................... 31,650 600 National Presto Industries, Inc ................. 17,862 3,400 * Nautica Enterprises, Inc ........................ 40,970 1,100 * Netratings, Inc ................................. 6,050 200 * O'Charley's, Inc ................................ 3,800 800 Oshkosh Truck Corp .............................. 47,360 800 Oxford Industries, Inc .......................... 15,840 200 * Papa John's International, Inc .................. 5,652 2,200 * Payless Shoesource, Inc ......................... 128,172 1,000 * Penton Media, Inc ............................... 270 3,100 Phillips-Van Heusen Corp ........................ 41,695 3,300 * Pinnacle Entertainment, Inc ..................... 27,720 400 * PLATO Learning, Inc ............................. 2,620 500 * Pricesmart, Inc ................................. 12,135 6,100 * Prime Hospitality Corp .......................... 56,669 5,600 * Primedia, Inc ................................... 8,064 1,200 Pulitzer, Inc ................................... 55,680 1,600 * Quaker Fabric Corp .............................. 12,624 800 * Quiksilver, Inc ................................. 19,400 100 * Rare Hospitality International, Inc ............. 2,369 5,600 * Raytech Corp .................................... 36,904 1,700 * Regent Communications, Inc ...................... 8,602 1,700 Regis Corp ...................................... 47,156 1,100 * Rex Stores Corp ................................. 11,924 3,300 Russell Corp .................................... 51,711 900 * Salton, Inc ..................................... 7,659 600 * Shoe Carnival, Inc .............................. 9,600 3,900 * ShopKo Stores, Inc .............................. 59,514 4,200 * Sinclair Broadcast Group, Inc (Class A) ......... 54,978 9,300 * Sirius Satellite Radio, Inc ..................... 14,322 2,300 Smith (A.O.) Corp ............................... 67,850 100 * Speedway Motorsports, Inc ....................... 2,398 1,500 * Stage Stores, Inc ............................... 35,475 900 Standard Motor Products, Inc .................... 10,926 100 * Stanley Furniture Co, Inc ....................... 2,010 2,000 * Station Casinos, Inc ............................ 28,300 1,200 * Stein Mart, Inc ................................. 9,240 1,700 * Stoneridge, Inc ................................. 28,458 5,400 Stride Rite Corp ................................ 43,200 300 Sturm Ruger & Co, Inc ........................... 4,017 1,200 Superior Industries International, Inc .......... 57,384 800 * Sylvan Learning Systems, Inc .................... 10,640 2,300 * TBC Corp ........................................ 25,139 5,100 * Tenneco Automotive, Inc ......................... 28,866 2,100 * The Sports Authority, Inc ....................... 12,390 2,100 * The Steak n Shake Co ............................ 27,426 1,100 * Thomas Nelson, Inc .............................. 10,989 400 * Topps Co, Inc ................................... 3,480 8,300 * Tower Automotive, Inc ........................... 66,400 100 * Tropical Sportswear International Corp .......... 1,688 6,800 * Unifi, Inc ...................................... 50,524 1,100 * Vail Resorts, Inc ............................... 17,545 2,500 * Vans, Inc ....................................... 17,375 800 * Vastera, Inc .................................... 3,111 3,100 * Wabash National Corp ............................ 16,275 1,400 * West Marine, Inc ................................ 17,780 2,900 * Westpoint Stevens, Inc .......................... 3,451 300 * Wet Seal, Inc (Class A) ......................... 3,756 1,900 * Wilsons The Leather Experts, Inc ................ 14,611 SHARES VALUE ------ ----- 2,800 * WMS Industries, Inc ............................. $ 43,120 5,600 Wolverine World Wide, Inc ....................... 93,352 700 Woodward Governor Co ............................ 34,195 7,300 * XM Satellite Radio Holdings, Inc ................ 38,617 1,200 * Young Broadcasting, Inc (Class A) ............... 13,188 2,600 * Zomax, Inc ...................................... 10,920 ----------- TOTAL CONSUMER CYCLICAL 4,838,235 ----------- CONSUMER NON-CYCLICAL--5.68% 1,400 * 7-Eleven, Inc ................................... 12,670 500 * American Italian Pasta Co (Class A) ............. 19,000 2,200 * Applica, Inc .................................... 10,890 1,000 * Asbury Automotive Group, Inc .................... 11,380 3,200 * Aurora Foods, Inc ............................... 4,256 2,600 Blyth, Inc ...................................... 72,670 4,400 * The Bombay Co, Inc .............................. 12,188 5,300 Casey's General Stores, Inc ..................... 66,250 4,600 Corn Products International, Inc ................ 131,330 300 Deb Shops, Inc .................................. 8,316 1,600 * Del Monte Foods Co .............................. 14,704 2,300 Delta & Pine Land Co ............................ 43,332 5,600 DIMON, Inc ...................................... 35,728 3,500 * Drugstore.Com, Inc .............................. 6,720 600 * Duane Reade, Inc ................................ 9,894 100 Farmer Brothers Co .............................. 32,200 700 * Finlay Enterprises, Inc ......................... 12,530 800 Fleming Cos, Inc ................................ 4,560 2,800 * Flowers Foods, Inc .............................. 60,732 100 * Galyans Trading Co, Inc ......................... 1,088 100 * Gart Sports Co .................................. 2,058 2,300 * Great Atlantic & Pacific Tea Co, Inc ............ 23,046 3,200 * Hain Celestial Group, Inc ....................... 52,608 3,300 Hughes Supply, Inc .............................. 102,003 1,400 Ingles Markets, Inc (Class A) ................... 16,309 5,900 Interface, Inc (Class A) ........................ 29,500 2,000 * International Multifoods Corp ................... 41,560 3,300 Interstate Bakeries Corp ........................ 75,075 400 * J & J Snack Foods Corp .......................... 16,104 3,500 JM Smucker Co ................................... 134,260 1,500 * Lithia Motors, Inc (Class A) .................... 29,850 4,200 Longs Drug Stores Corp .......................... 105,000 1,000 * MarineMax, Inc .................................. 11,200 1,200 Movado Group, Inc ............................... 20,628 200 Nash Finch Co ................................... 3,290 100 * National Beverage Corp .......................... 1,365 1,400 Nature's Sunshine Products, Inc ................. 15,344 300 * Netflix, Inc .................................... 3,690 4,300 Nu Skin Enterprises, Inc (Class A) .............. 55,900 15,500 * OfficeMax, Inc .................................. 75,175 1,000 Oneida Ltd ...................................... 15,400 200 * Overstock.com, Inc .............................. 1,210 3,800 * Pathmark Stores, Inc ............................ 42,940 800 * PC Connection, Inc .............................. 4,727 1,400 * Penn Traffic Co ................................. 10,710 6,500 Pep Boys-Manny Moe & Jack ....................... 93,470 2,100 Pilgrim's Pride Corp (Class B) .................. 18,837 3,700 * Playtex Products, Inc ........................... 36,815 4,100 * Ralcorp Holdings, Inc ........................... 94,628 1,100 * Revlon, Inc (Class A) ........................... 4,158 1,300 * Robert Mondavi Corp (Class A) ................... 44,187 4,200 Ruddick Corp .................................... 74,802 1,100 Russ Berrie & Co, Inc ........................... 36,894 1,900 * Seminis, Inc (Class A) .......................... 5,700 4,700 Sensient Technologies Corp ...................... 107,301 100 * Sharper Image Corp .............................. 2,065 2,200 * Shop At Home, Inc ............................... 4,708 SEE NOTES TO FINANCIAL STATEMENTS B-150 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER NON-CYCLICAL--(CONTINUED) 100 * Skechers U.S.A., Inc (Class A) .................. $ 1,033 1,600 * Smart & Final, Inc .............................. 8,400 4,700 * Stamps.com, Inc ................................. 20,539 1,500 Standard Commercial Corp ........................ 29,340 600 * Steinway Musical Instruments, Inc ............... 10,020 800 Stepan Co ....................................... 21,840 500 Tasty Baking Co ................................. 7,545 1,800 Thomas Industries, Inc .......................... 48,600 1,200 * Tractor Supply Co ............................... 40,116 2,300 * Trans World Entertainment Corp .................. 11,661 1,800 * Triarc Cos, Inc ................................. 43,740 3,100 Tupperware Corp ................................. 55,397 2,400 * Tweeter Home Entertainment Group, Inc ........... 19,632 2,300 * United Auto Group, Inc .......................... 37,030 3,000 Universal Corp .................................. 115,200 1,300 Weis Markets, Inc ............................... 43,277 ----------- TOTAL CONSUMER NON-CYCLICAL 2,496,325 ----------- ENERGY--2.75% 2,100 * 3TEC Energy Corp ................................ 31,290 4,500 * Tom Brown, Inc .................................. 108,630 3,800 Cabot Oil & Gas Corp (Class A) .................. 83,980 1,400 * Chesapeake Energy Corp .......................... 8,708 3,000 * Comstock Resources, Inc ......................... 18,600 3,200 * Denbury Resources, Inc .......................... 32,288 100 * Dril-Quip, Inc .................................. 1,820 1,200 * Encore Acquisition Co ........................... 21,000 2,600 * Energy Partners Ltd ............................. 20,670 1,100 * Global Industries Ltd ........................... 4,983 700 * Gulf Island Fabrication, Inc .................... 8,176 5,800 * Hanover Compressor Co ........................... 63,104 2,300 * Harvest Natural Resources, Inc .................. 9,131 1,300 Holly Corp ...................................... 22,750 1,000 * Horizon Offshore, Inc ........................... 5,090 400 * Houston Exploration Co .......................... 12,200 6,100 * Input/Output, Inc ............................... 41,602 800 * Key Energy Services, Inc ........................ 6,360 100 * Key Production Co, Inc .......................... 1,701 800 Lufkin Industries, Inc .......................... 22,167 4,300 * Meridian Resource Corp .......................... 10,707 2,200 * Nuevo Energy Co ................................. 24,728 1,000 * Oceaneering International, Inc .................. 24,800 10,600 * Parker Drilling Co .............................. 25,228 300 * Petroleum Helicopters (Vote) .................... 8,805 500 * Pure Resources, Inc ............................. 11,500 6,900 * Range Resources Corp ............................ 32,775 700 * Remington Oil & Gas Corp ........................ 10,157 2,400 * Seacor Smit, Inc ................................ 93,600 200 * Spinnaker Exploration Co ........................ 6,010 3,600 St. Mary Land & Exploration Co .................. 84,600 1,600 * Stone Energy Corp ............................... 53,120 3,100 * Swift Energy Co ................................. 38,037 8,700 * Tesoro Petroleum Corp ........................... 28,449 1,900 * Transmontaigne, Inc ............................. 9,690 3,000 * Trico Marine Services, Inc ...................... 9,660 2,300 * Universal Compression Holdings, Inc ............. 46,460 4,200 * Veritas DGC, Inc ................................ 49,308 5,600 Vintage Petroleum, Inc .......................... 58,128 2,200 * Westport Resources Corp ......................... 40,062 900 World Fuel Services Corp ........................ 16,830 ----------- TOTAL ENERGY 1,206,904 ----------- FINANCIAL SERVICES--29.31% 1,300 ABC Bancorp ..................................... 17,407 1,800 Acadia Realty Trust ............................. 13,500 3,100 Advanta Corp (Class A) .......................... 29,295 SHARES VALUE ------ ----- 1,100 Alabama National Bancorp ........................ $ 48,895 2,300 Alfa Corp ....................................... 29,621 1,400 Allegiant Bancorp, Inc .......................... 22,890 3,300 Amcore Financial, Inc ........................... 75,900 500 American National Bankshares, Inc ............... 13,300 3,800 American Capital Strategies Ltd ................. 72,884 3,100 American Financial Holdings, Inc ................ 95,945 1,300 * American Physicians Capital, Inc ................ 23,205 1,900 AMLI Residential Properties Trust ............... 41,990 6,200 Anthracite Capital, Inc ......................... 76,570 3,100 Anworth Mortgage Asset Corp ..................... 41,788 3,600 Apex Mortgage Capital, Inc ...................... 47,124 2,900 Argonaut Group, Inc ............................. 46,516 2,200 Associated Estates Realty Corp .................. 18,216 800 Baldwin & Lyons, Inc (Class B) .................. 16,680 1,800 * Banc Corp ....................................... 14,220 500 Bancfirst Corp .................................. 24,000 1,500 Bank Mutual Corp ................................ 32,055 1,600 Bank Of Granite Corp ............................ 30,080 300 Bank Of The Ozarks, Inc ......................... 7,683 5,600 BankAtlantic Bancorp, Inc (Class A) ............. 53,760 2,900 * Bankunited Financial Corp (Class A) ............. 44,051 1,400 Banner Corp ..................................... 28,420 8,500 * Bay View Capital Corp ........................... 48,280 1,700 * Beazer Homes U.S.A., Inc ........................ 121,550 2,000 Bedford Property Investors, Inc ................. 51,200 800 Berkshire Hills Bancorp, Inc .................... 19,992 700 * BKF Capital Group, Inc .......................... 15,610 200 Boston Private Financial Holdings, Inc .......... 4,436 500 Bostonfed Bancorp, Inc .......................... 15,200 2,400 Boykin Lodging Co ............................... 22,512 3,600 Brandywine Realty Trust ......................... 80,532 1,100 BSB Bancorp, Inc ................................ 22,990 500 California First National Bancorp ............... 6,810 900 Camden National Corp ............................ 22,050 2,900 Capital Automotive REIT ......................... 72,500 900 Capital City Bank Group, Inc .................... 32,085 100 Capitol Bancorp Ltd ............................. 2,096 1,300 Capstead Mortgage Corp .......................... 27,625 600 Cascade Bancorp ................................. 8,400 3,000 Cash America International, Inc ................. 23,820 400 CB Bancshares, Inc .............................. 15,184 2,600 CBL & Associates Properties, Inc ................ 102,310 1,000 CCBT Financial Cos, Inc ......................... 26,010 400 * CCC Information Services Group, Inc ............. 5,316 2,500 Centennial Bancorp .............................. 22,300 1,400 Center Trust, Inc ............................... 8,120 200 Century Bancorp, Inc (Class A) .................. 5,360 2,600 * Ceres Group, Inc ................................ 5,772 1,600 CFS Bancorp, Inc ................................ 22,478 400 Charter Financial Corp .......................... 11,936 5,600 Charter Municipal Mortgage Acceptance Co ........ 100,184 2,900 Chemical Financial Corp ......................... 83,897 1,200 Citizens First Bancorp, Inc ..................... 23,520 300 City Bank ....................................... 8,817 900 City Holding Co ................................. 22,968 1,300 * Clark/Bardes, Inc ............................... 22,490 2,100 CNA Surety Corp ................................. 27,426 500 Coastal Bancorp, Inc ............................ 14,915 2,000 Colonial Properties Trust ....................... 72,100 1,800 * Columbia Banking System, Inc .................... 20,754 3,300 Commerce Group, Inc ............................. 124,542 6,100 Commercial Federal Corp ......................... 142,496 5,000 Commercial Net Lease Realty, Inc ................ 80,250 900 Commonwealth Bancorp, Inc ....................... 26,676 SEE NOTES TO FINANCIAL STATEMENTS B-151 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 1,500 Community Bank System, Inc ...................... $ 44,715 400 Community Banks, Inc ............................ 10,676 3,200 Community First Bankshares, Inc ................. 86,240 1,500 Community Trust Bancorp, Inc .................... 41,070 1,800 * CompuCredit Corp ................................ 9,306 1,500 Connecticut Bancshares, Inc ..................... 55,875 6,500 Cornerstone Realty Income Trust, Inc ............ 62,335 2,300 Corporate Office Properties Trust ............... 31,970 1,000 Correctional Properties Trust ................... 21,500 3,800 * Corrections Corp Of America ..................... 60,420 1,200 Corus Bankshares, Inc ........................... 51,924 100 CPB, Inc ........................................ 4,488 500 * Credit Acceptance Corp .......................... 4,825 1,200 * CSK Auto Corp ................................... 15,612 1,800 Delphi Financial Group, Inc (Class A) ........... 69,984 1,300 East West Bancorp, Inc .......................... 42,497 2,000 Eastgroup Properties, Inc ....................... 52,500 1,900 * Electro Rent Corp ............................... 21,090 300 EMC Insurance Group, Inc ........................ 4,464 2,300 Entertainment Properties Trust .................. 51,727 800 Equity One, Inc ................................. 10,984 1,200 F & M Bancorp ................................... 38,400 800 Farmers Capital Bank Corp ....................... 27,680 1,500 FBL Financial Group, Inc (Class A) .............. 27,270 2,700 FBR Asset Investment Corp ....................... 93,150 6,000 FelCor Lodging Trust, Inc ....................... 86,400 2,100 Fidelity Bankshares, Inc ........................ 42,672 1,100 Financial Industries Corp ....................... 16,885 1,000 First Bancorp North Carolina .................... 25,000 100 * First Banks America, Inc ........................ 4,030 4,200 First Charter Corp .............................. 72,114 800 First Citizens Bancshares, Inc (Class A) ........ 84,072 7,900 First Commonwealth Financial Corp ............... 99,856 600 First Community Bancshares ...................... 18,180 700 First Defiance Financial Corp ................... 12,873 800 First Essex Bancorp, Inc ........................ 26,399 2,200 First Federal Capital Corp ...................... 42,350 4,600 First Financial Bancorp ......................... 82,156 1,000 First Financial Bankshares, Inc ................. 37,990 900 First Financial Corp (Indiana) .................. 45,486 1,500 First Financial Holdings, Inc ................... 44,040 1,600 First Indiana Corp .............................. 29,600 2,000 First Merchants Corp ............................ 55,140 400 First National Corp ............................. 11,600 400 First Oak Brook Bancshares, Inc ................. 12,756 300 First Of Long Island Corp ....................... 10,185 1,700 First Place Financial Corp ...................... 29,750 1,200 * First Republic Bank ............................. 26,448 3,100 First Sentinel Bancorp, Inc ..................... 42,997 2,000 1st Source Corp ................................. 33,800 1,000 Firstfed America Bancorp, Inc ................... 24,000 2,300 * FirstFed Financial Corp ......................... 59,340 1,700 Flagstar Bancorp, Inc ........................... 35,173 1,200 Flushing Financial Corp ......................... 20,916 700 FNB Corp (Virginia) ............................. 22,260 1,200 * FPIC Insurance Group, Inc ....................... 10,848 7,900 Fremont General Corp ............................ 40,132 300 * Friedman, Billings, Ramsey Group, Inc ........... 2,970 3,000 Gables Residential Trust ........................ 86,010 7,700 * Gartner, Inc (Class A) .......................... 73,073 1,100 GBC Bancorp ..................................... 22,605 1,300 German American Bancorp ......................... 23,517 600 Glacier Bancorp, Inc ............................ 13,800 800 Gladstone Capital Corp .......................... 13,640 SHARES VALUE ------ ----- 2,200 Glenborough Realty Trust, Inc ................... $ 45,188 800 Glimcher Realty Trust ........................... 15,200 3,800 Gold Banc Corp, Inc ............................. 37,810 400 Granite State Bankshares, Inc ................... 13,600 1,000 Great American Financial Resources, Inc ......... 15,950 1,800 Great Lakes REIT, Inc ........................... 31,500 1,800 Hancock Holding Co .............................. 87,264 2,300 Harbor Florida Bancshares, Inc .................. 51,520 4,000 Harleysville Group, Inc ......................... 93,520 800 * Hawthorne Financial Corp ........................ 20,784 5,300 Health Care REIT, Inc ........................... 148,400 5,700 Healthcare Realty Trust, Inc .................... 180,120 2,500 Heritage Property Investment Trust .............. 61,800 3,500 Home Properties Of New York, Inc ................ 119,875 10,400 * Homestore, Inc .................................. 4,160 4,800 Horace Mann Educators Corp ...................... 77,136 17,300 HRPT Properties Trust ........................... 143,763 2,100 Hudson River Bancorp, Inc ....................... 55,062 800 IBERIABANK Corp ................................. 31,704 5,800 IMPAC Mortgage Holdings, Inc .................... 70,992 400 Independence Holding Co ......................... 7,400 1,000 Independent Bank Corp (Michigan) ................ 33,400 3,400 Innkeepers U.S.A. Trust ......................... 29,002 2,600 * Insignia Financial Group, Inc ................... 21,320 1,300 * Insurance Auto Auctions, Inc .................... 23,400 2,100 Integra Bank Corp ............................... 43,596 2,700 Investors Real Estate Trust ..................... 27,621 4,600 IRT Property Co ................................. 56,304 2,000 Irwin Financial Corp ............................ 34,580 600 * Itla Capital Corp ............................... 17,999 4,700 JDN Realty Corp ................................. 59,878 400 Jefferies Group, Inc ............................ 17,440 3,500 * Jones Lang LaSalle, Inc ......................... 75,250 500 Kansas City Life Insurance Co ................... 19,520 2,000 Keystone Property Trust ......................... 33,480 3,300 Kilroy Realty Corp .............................. 80,520 10,300 * Knight Trading Group, Inc ....................... 43,775 2,600 Koger Equity, Inc ............................... 46,020 2,500 Kramont Realty Trust ............................ 38,250 18,500 * La Quinta Corp .................................. 96,755 200 Lakeland Financial Corp ......................... 4,950 2,500 Landamerica Financial Group, Inc ................ 87,875 500 * LendingTree, Inc ................................ 7,995 3,200 Lexington Corporate Properties Trust ............ 52,480 2,300 Liberty Corp .................................... 87,262 3,100 LNR Property Corp ............................... 107,632 2,400 * Local Financial Corp ............................ 35,256 1,000 LSB Bancshares, Inc ............................. 16,950 1,900 LTC Properties, Inc ............................. 13,338 900 Macatawa Bank Corp .............................. 17,550 1,700 MAF Bancorp, Inc ................................ 58,310 800 MainSource Financial Group, Inc ................. 19,624 500 MASSBANK Corp ................................... 15,725 1,400 MB Financial, Inc ............................... 48,468 2,000 MCG Capital Corp ................................ 31,740 900 Medford Bancorp, Inc ............................ 31,428 100 * MEEMIC Holdings, Inc ............................ 2,898 200 Merchants Bancshares, Inc ....................... 5,000 5,500 Meristar Hospitality Corp ....................... 58,300 800 * Meritage Corp ................................... 31,648 4,100 Metris Cos, Inc ................................. 14,391 4,600 MFA Mortgage Investments, Inc ................... 44,574 300 Mid Atlantic Realty Trust ....................... 4,650 1,900 Mid-America Apartment Communities, Inc .......... 48,640 2,900 Mid-State Bancshares ............................ 51,620 SEE NOTES TO FINANCIAL STATEMENTS B-152 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 1,100 Midland Co ...................................... $ 22,473 1,300 Mission West Properties, Inc .................... 15,587 100 NASB Financial, Inc ............................. 2,075 3,100 National Health Investors, Inc .................. 47,182 800 National Health Realty, Inc ..................... 13,104 300 * National Western Life Insurance Co (Class A) .... 30,900 5,900 Nationwide Health Properties, Inc ............... 102,365 500 * Navigators Group, Inc ........................... 11,525 799 NBC Capital Corp ................................ 20,894 2,000 NBT Bancorp, Inc ................................ 36,480 4,500 * NetBank, Inc .................................... 52,065 300 New Century Financial Corp ...................... 9,363 1,400 Novastar Financial, Inc ......................... 41,300 200 * NYMAGIC, Inc .................................... 2,952 700 OceanFirst Financial Corp ....................... 16,380 5,100 * Ocwen Financial Corp ............................ 16,167 2,300 Odyssey Re Holdings Corp ........................ 39,330 6,900 * Ohio Casualty Corp .............................. 118,128 700 Old Second Bancorp, Inc ......................... 25,774 1,100 Omega Financial Corp ............................ 36,828 300 Pacific Northwest Bancorp ....................... 8,958 500 * Pacific Union Bank .............................. 6,120 4,500 Pan Pacific Retail Properties, Inc .............. 152,550 600 Parkvale Financial Corp ......................... 14,820 1,100 Parkway Properties, Inc ......................... 39,743 700 Partners Trust Financial Group, Inc ............. 9,772 700 Pennfed Financial Services, Inc ................. 18,900 600 Peoples Bancorp, Inc ............................ 17,130 800 Peoples Holding Co .............................. 32,800 1,500 PFF Bancorp, Inc ................................ 44,850 2,300 * Philadelphia Consolidated Holding Corp .......... 83,375 900 * Pico Holdings, Inc .............................. 11,610 3,600 PMA Capital Corp (Class A) ...................... 56,880 600 Port Financial Corp ............................. 22,836 4,500 Post Properties, Inc ............................ 130,455 4,200 Prentiss Properties Trust ....................... 124,446 2,800 Presidential Life Corp .......................... 44,828 2,500 * Price Legacy Corp ............................... 7,250 2,900 * ProAssurance Corp ............................... 48,140 800 Prosperity Bancshares, Inc ...................... 14,360 100 Provident Bancorp, Inc .......................... 2,915 3,000 Provident Bankshares Corp ....................... 67,080 1,300 PS Business Parks, Inc .......................... 45,045 700 * Quaker City Bancorp, Inc ........................ 23,905 800 R & G Financial Corp (Class B) .................. 17,552 2,100 RAIT Investment Trust ........................... 48,615 1,200 Ramco-Gershenson Properties ..................... 23,652 4,500 Realty Income Corp .............................. 153,225 1,500 Redwood Trust, Inc .............................. 44,340 5,000 Republic Bancorp, Inc ........................... 65,250 900 Republic Bancorp, Inc (Kentucky) (Class A) ...... 10,602 700 * Republic Bancshares, Inc ........................ 14,063 2,000 Resource America, Inc (Class A) ................. 16,300 3,900 RFS Hotel Investors, Inc ........................ 45,045 1,900 Riggs National Corp ............................. 27,455 900 RLI Corp ........................................ 50,733 400 Royal Bancshares Of Pennsylvania (Class A) ...... 7,540 300 S & T Bancorp, Inc .............................. 7,710 1,000 Sandy Spring Bancorp, Inc ....................... 33,300 1,100 Santander Bancorp ............................... 17,633 1,100 Saul Centers, Inc ............................... 25,564 3,500 * Saxon Capital, Inc .............................. 46,375 1,100 Seacoast Banking Corp Of Florida ................ 21,725 3,100 Seacoast Financial Services Corp ................ 66,898 SHARES VALUE ------ ----- 900 Second Bancorp, Inc ............................. $ 24,507 3,500 Selective Insurance Group, Inc .................. 87,150 6,100 Senior Housing Properties Trust ................. 76,860 1,000 Simmons First National Corp (Class A) ........... 37,980 1,200 Sizeler Property Investors ...................... 12,456 3,600 SL Green Realty Corp ............................ 117,108 10,000 * SoundView Technology Group, Inc ................. 14,400 5,500 South Financial Group, Inc ...................... 116,435 700 Southwest Bancorp, Inc .......................... 18,620 1,700 * Southwest Bancorp Of Texas, Inc ................. 63,835 1,700 Sovran Self Storage, Inc ........................ 52,241 1,000 St. Francis Capital Corp ........................ 22,418 1,700 State Auto Financial Corp ....................... 25,670 800 State Bancorp, Inc .............................. 13,856 500 Staten Island Bancorp, Inc ...................... 9,080 800 Sterling Bancorp ................................ 22,576 2,600 Sterling Bancshares, Inc ........................ 36,868 600 Sterling Financial Corp (Pennsylvania) .......... 15,048 1,600 * Sterling Financial Corp/Spokane ................. 30,400 2,300 * Stewart Information Services Corp ............... 45,310 500 Summit Bancshares, Inc .......................... 11,350 3,000 Summit Properties, Inc .......................... 61,650 600 Sun Bancorp, Inc ................................ 13,770 800 Sun Communities, Inc ............................ 29,592 900 * Sun Bancorp, Inc ................................ 12,150 900 Superior Financial Corp ......................... 17,100 4,700 Susquehanna Bancshares, Inc ..................... 106,972 1,900 SWS Group, Inc .................................. 24,833 300 * Syntroleum Corp ................................. 519 3,900 Taubman Centers, Inc ............................ 56,550 1,800 Texas Regional Bancshares, Inc (Class A) ........ 65,250 6,000 Thornburg Mortgage, Inc ......................... 117,420 1,100 Three Rivers Bancorp, Inc ....................... 18,480 200 Tompkins Trustco, Inc ........................... 9,610 4,000 * Trammell Crow Co ................................ 41,360 400 * Transcontinental Realty Investors, Inc .......... 6,672 700 * Triad Guaranty, Inc ............................. 28,350 300 Trico Bancshares ................................ 7,599 1,100 Troy Financial Corp ............................. 30,547 1,900 Trust Co Of New Jersey .......................... 47,443 2,700 U.S. Restaurant Properties, Inc ................. 39,825 800 U.S.B. Holding Co, Inc .......................... 13,536 5,200 * UICI ............................................ 91,520 2,300 UMB Financial Corp .............................. 93,035 1,400 * Union Acceptance Corp (Class A) ................. 5,810 1,000 Union Bankshares Corp ........................... 23,230 4,200 United Community Financial Corp ................. 37,296 1,000 United Fire & Casualty Co ....................... 36,270 400 United National Bancorp ......................... 8,640 3,100 * Universal American Financial Corp ............... 19,158 1,300 Universal Health Realty Income Trust ............ 35,308 3,000 Unizan Financial Corp ........................... 59,520 2,400 Urstadt Biddle Properties, Inc (Class A) ........ 27,432 4,600 Vesta Insurance Group, Inc ...................... 13,248 1,200 * VIB Corp ........................................ 17,940 100 Virginia Financial Group, Inc ................... 3,010 3,200 W Holding Co, Inc ............................... 56,416 500 Warwick Community Bancorp ....................... 12,800 5,100 Waypoint Financial Corp ......................... 90,010 700 * Wellsford Real Properties, Inc .................. 12,530 2,900 Wesbanco, Inc ................................... 72,442 2,100 West Coast Bancorp .............................. 33,260 1,100 Westcorp ........................................ 22,297 700 Westfield Financial, Inc ........................ 10,850 200 * WFS Financial, Inc .............................. 4,330 SEE NOTES TO FINANCIAL STATEMENTS B-153 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 700 Willow Grove Bancorp, Inc ....................... $ 8,400 2,300 Winston Hotels, Inc ............................. 18,262 300 Wintrust Financial Corp ......................... 9,627 1,300 * World Acceptance Corp ........................... 10,608 200 WSFS Financial Corp ............................. 5,298 20,100 * Wyndham International, Inc (Class A) ............ 10,653 800 Yardville National Bancorp ...................... 14,080 900 Zenith National Insurance Corp .................. 23,688 ----------- TOTAL FINANCIAL SERVICES 12,874,012 ----------- HEALTH CARE--7.09% 10,500 * Abgenix, Inc .................................... 76,230 1,700 * Abiomed, Inc .................................... 8,670 400 * Alaris Medical, Inc ............................. 2,024 5,400 * Alderwoods Group, Inc ........................... 36,018 2,500 * Alexion Pharmaceuticals, Inc .................... 30,383 4,200 * Align Technology, Inc ........................... 13,650 1,400 * Alliance Imaging, Inc ........................... 18,592 500 * Allscripts Healthcare Solutions, Inc ............ 1,200 4,000 Alpharma, Inc (Class A) ......................... 40,040 900 * American Medical Security Group, Inc ............ 13,500 300 * American Pharmaceutical Partners, Inc ........... 5,010 1,000 * Ameripath, Inc .................................. 16,450 2,300 * Amylin Pharmaceuticals, Inc ..................... 29,854 4,400 * Applera Corp (Celera Genomics Group) ............ 38,500 2,100 * Applied Molecular Evolution ..................... 9,660 2,700 * Arena Pharmaceuticals, Inc ...................... 17,064 2,900 * Arqule, Inc ..................................... 19,198 800 Arrow International, Inc ........................ 26,664 300 * Arthrocare Corp ................................. 3,894 2,100 * AVANIR Pharmaceuticals (Class A) ................ 3,003 2,700 * Avigen, Inc ..................................... 23,220 5,300 * Beverly Enterprises, Inc ........................ 13,197 200 * Bio-Reference Labs, Inc ......................... 1,364 7,900 * Bio-Technology General Corp ..................... 27,255 300 * Bone Care International, Inc .................... 1,797 300 * Bruker AXS, Inc ................................. 675 1,600 * Caliper Technologies Corp ....................... 7,040 1,400 * Cardiac Science, Inc ............................ 1,806 4,500 * Cell Genesys, Inc ............................... 54,900 4,500 * Cell Therapeutics, Inc .......................... 21,465 200 * Centene Corp .................................... 4,700 300 * Chattem, Inc .................................... 11,400 1,200 * Cima Labs, Inc .................................. 28,044 1,100 * Ciphergen Biosystems, Inc ....................... 3,685 3,900 * Coherent, Inc ................................... 80,418 900 * Columbia Laboratories, Inc ...................... 4,050 100 * Computer Programs & Systems, Inc ................ 2,329 1,800 * Conmed Corp ..................................... 36,990 6,200 * Corixa Corp ..................................... 43,028 2,700 * CuraGen Corp .................................... 13,119 3,500 * CV Therapeutics, Inc ............................ 75,880 1,600 Datascope Corp .................................. 45,936 4,900 * Decode Genetics, Inc ............................ 11,172 1,100 * Deltagen, Inc ................................... 1,650 2,300 * Discovery Partners International, Inc ........... 8,441 1,100 * Diversa Corp .................................... 9,867 1,000 * DJ Orthopedics, Inc ............................. 4,080 1,700 * DVI, Inc ........................................ 23,052 400 * Eon Labs, Inc ................................... 8,308 400 * EPIX Medical, Inc ............................... 2,008 2,200 * Esperion Therapeutics, Inc ...................... 13,376 5,800 * Exelixis, Inc ................................... 28,420 3,700 * Gene Logic, Inc ................................. 31,709 3,800 * Genesis Health Ventures, Inc .................... 56,240 SHARES VALUE ------ ----- 5,100 * Genzyme Corp (Biosurgery Division) .............. $ 14,280 3,300 * Guilford Pharmaceuticals, Inc ................... 13,530 2,200 * Hanger Orthopedic Group, Inc .................... 38,368 1,200 * Healthcare Services Group ....................... 14,400 200 * Hologic, Inc .................................... 2,000 400 * Igen International, Inc ......................... 13,148 500 * Ilex Oncology, Inc .............................. 2,525 2,800 * Illumina, Inc ................................... 9,380 2,700 * ImClone Systems, Inc ............................ 20,709 5,400 * Immunogen, Inc .................................. 19,872 9,100 * Incyte Genomics, Inc ............................ 44,772 7,500 * Inhale Therapeutic Systems, Inc ................. 47,250 3,600 * Integrated Silicon Solution, Inc ................ 17,388 1,200 * Kendle International, Inc ....................... 9,324 1,600 * Kindred Healthcare, Inc ......................... 59,744 200 * Kos Pharmaceuticals, Inc ........................ 2,458 200 * Kyphon, Inc ..................................... 2,760 4,500 * Lexicon Genetics, Inc ........................... 22,455 1,900 * Ligand Pharmaceuticals, Inc (Class B) ........... 12,635 3,300 * Magellan Health Services, Inc ................... 2,277 300 * Matria Healthcare, Inc .......................... 2,565 300 * MAXIMUS, Inc .................................... 6,675 3,900 * Maxygen, Inc .................................... 30,693 9,400 * Medarex, Inc .................................... 50,196 900 * Medcath Corp .................................... 13,896 500 * Medical Staffing Network Holdings, Inc .......... 8,150 300 * Molecular Devices Corp .......................... 3,603 1,400 * Mykrolis Corp ................................... 10,164 5,200 * Nabi Biopharmaceuticals ......................... 29,063 600 * National Healthcare Corp ........................ 11,238 1,000 * Neoforma, Inc ................................... 9,290 1,600 * Neopharm, Inc ................................... 21,360 1,500 * Neose Technologies, Inc ......................... 10,350 1,300 * Neurogen Corp ................................... 11,700 2,200 * Omega Healthcare Investors, Inc ................. 11,704 1,900 * Onyx Pharmaceuticals, Inc ....................... 8,075 100 * Option Care, Inc ................................ 1,098 4,200 * OSI Pharmaceuticals, Inc ........................ 65,184 2,200 Owens & Minor, Inc .............................. 33,110 4,700 * Pacificare Health Systems, Inc .................. 112,048 2,300 * Parexel International Corp ...................... 21,689 700 * PDI, Inc ........................................ 3,479 500 * Pediatrix Medical Group, Inc .................... 17,120 900 * Per-Se Technologies, Inc ........................ 7,837 3,200 * Pharmacopeia, Inc ............................... 26,336 3,000 * Pozen, Inc ...................................... 15,390 7,000 * Praecis Pharmaceuticals, Inc .................... 21,210 1,800 * Prime Medical Services, Inc ..................... 19,008 12,000 * Protein Design Labs, Inc ........................ 122,280 600 * Proxymed, Inc ................................... 8,988 9,600 * PSS World Medical, Inc .......................... 77,280 2,900 * Quovadx, Inc .................................... 5,365 900 * RehabCare Group, Inc ............................ 21,510 2,000 * Res-Care, Inc ................................... 9,640 900 * Seattle Genetics, Inc ........................... 3,186 2,600 * Sepracor, Inc ................................... 13,104 5,100 * Sequenom, Inc ................................... 11,501 39,600 * Service Corp International ...................... 130,680 200 * Sangamo Biosciences, Inc ........................ 484 3,000 * Sola International, Inc ......................... 31,920 700 * Specialty Laboratories, Inc ..................... 5,600 13,000 * Stewart Enterprises, Inc (Class A) .............. 65,130 2,400 * Sunrise Assisted Living, Inc .................... 55,272 4,000 * SuperGen, Inc ................................... 12,240 2,300 * Sybron Dental Specialties, Inc .................. 36,018 SEE NOTES TO FINANCIAL STATEMENTS B-154 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 2,200 * Tanox, Inc ...................................... $ 28,270 300 * Texas Biotechnology Corp ........................ 690 3,700 * Theragenics Corp ................................ 17,945 6,600 * Thoratec Corp ................................... 52,800 3,000 * TriPath Imaging, Inc ............................ 5,970 2,100 * United Therapeutics Corp ........................ 34,650 9,900 * U.S. Oncology, Inc .............................. 87,615 200 * Varian, Inc ..................................... 6,590 1,000 * VCA Antech, Inc ................................. 14,040 6,500 Ventas, Inc ..................................... 84,825 3,500 * Viasys Healthcare, Inc .......................... 56,490 2,600 * Vical, Inc ...................................... 13,494 700 * Watson Wyatt & Co Holdings ...................... 14,483 2,200 X-Rite, Inc ..................................... 19,096 500 * Zymogenetics, Inc ............................... 3,925 ----------- TOTAL HEALTH CARE 3,112,812 ----------- OTHER--3.07% 1,200 * 4Kids Entertainment, Inc ........................ 24,720 4,000 Acuity Brands, Inc .............................. 61,200 400 * Advo, Inc ....................................... 13,700 5,500 Alexander & Baldwin, Inc ........................ 121,550 1,900 Banta Corp ...................................... 70,281 2,400 * Bell Microproducts, Inc ......................... 13,200 1,600 * CDI Corp ........................................ 43,488 2,100 Central Parking Corp ............................ 42,546 10,600 * Century Business Services, Inc .................. 29,044 900 * Charles River Associates, Inc ................... 14,535 1,800 * Cornell Cos, Inc ................................ 14,400 1,000 Curtiss-Wright Corp ............................. 56,300 2,400 * Daisytek International Corp ..................... 31,200 1,600 * ESCO Technologies, Inc .......................... 48,096 700 * First Consulting Group, Inc ..................... 4,893 3,100 Gentiva Health Services, Inc .................... 24,335 1,100 * Hall Kinion & Associates, Inc ................... 6,325 1,800 Harland (John H.) Co ............................ 48,420 2,200 * Heidrick & Struggles International, Inc ......... 37,664 1,300 Kelly Services, Inc (Class A) ................... 29,315 5,100 * Korn/Ferry International ........................ 38,913 600 * Memberworks, Inc ................................ 9,990 12,600 * MPS Group, Inc .................................. 67,032 2,600 * NCO Group, Inc .................................. 44,824 2,500 * Offshore Logistics, Inc ......................... 46,500 700 * ProQuest Co ..................................... 24,584 1,600 * Protection One, Inc ............................. 4,464 1,800 * R.H. Donnelley Corp ............................. 45,900 700 * Remedytemp, Inc (Class A) ....................... 7,973 3,500 * Rent-Way, Inc ................................... 10,710 200 * Right Management Consultants .................... 4,631 600 * School Specialty, Inc ........................... 14,034 7,900 * Spherion Corp ................................... 59,250 700 Standard Register Co ............................ 18,207 1,400 Standex International Corp ...................... 28,014 8,900 * U.S. Industries, Inc ............................ 26,255 1,100 Unifirst Corp ................................... 26,873 3,100 * United Stationers, Inc .......................... 86,056 3,700 Walter Industries, Inc .......................... 48,655 ----------- TOTAL OTHER 1,348,077 ----------- PRODUCER DURABLES--5.59% 2,100 * Active Power, Inc ............................... 3,591 1,300 * Actuant Corp .................................... 48,516 800 Alamo Group, Inc ................................ 10,816 1,800 American States Water Co ........................ 47,124 2,600 Applied Industrial Technologies, Inc ............ 48,776 2,100 * Astec Industries, Inc ........................... 27,615 SHARES VALUE ------ ----- 2,200 Briggs & Stratton Corp .......................... $ 85,338 3,300 * Brooks-PRI Automation, Inc ...................... 52,965 1,800 California Water Service Group .................. 44,172 5,000 * Capstone Turbine Corp ........................... 4,900 2,200 * Casella Waste Systems, Inc (Class A) ............ 13,970 1,300 Circor International, Inc ....................... 21,450 1,700 * Columbus Mckinnon Corp .......................... 10,132 1,500 * Consolidated Graphics, Inc ...................... 26,535 400 * CTB International Corp .......................... 5,096 700 * Cuno, Inc ....................................... 22,897 6,500 * Dycom Industries, Inc ........................... 68,380 3,200 Federal Signal Corp ............................. 62,304 1,200 * Flow International Corp ......................... 4,308 1,900 * FuelCell Energy, Inc ............................ 14,535 2,200 * Gardner Denver, Inc ............................. 42,020 600 * Genlyte Group, Inc .............................. 20,820 300 Gorman-Rupp Co .................................. 6,960 3,100 * Graphic Packaging International Corp ............ 25,110 2,000 IDEX Corp ....................................... 66,120 2,500 * Imagistics International, Inc ................... 46,075 2,400 * Ionics, Inc ..................................... 56,304 5,700 JLG Industries, Inc ............................. 50,730 5,800 * Joy Global, Inc ................................. 63,220 1,800 * Kadant, Inc ..................................... 26,280 2,800 Kaydon Corp ..................................... 60,088 4,700 Kennametal, Inc ................................. 158,390 600 Lawson Products, Inc ............................ 16,470 1,200 * Littelfuse, Inc ................................. 26,100 6,000 * Magna Entertainment Corp (Class A) .............. 30,900 2,700 * Magnetek, Inc ................................... 11,205 1,200 Manitowoc Co, Inc ............................... 38,820 2,300 Milacron, Inc ................................... 14,375 700 Nacco Industries, Inc (Class A) ................. 28,560 800 * Newpark Resources, Inc .......................... 3,392 1,600 Nordson Corp .................................... 38,768 3,500 * Power-One, Inc .................................. 10,115 4,300 * Quanta Services, Inc ............................ 12,642 1,400 * Rayovac Corp .................................... 19,250 3,100 Regal-Beloit Corp ............................... 58,962 900 Richardson Electronics Ltd ...................... 7,371 1,300 Robbins & Myers, Inc ............................ 25,870 1,300 Sauer-Danfoss, Inc .............................. 12,740 300 SJW Corp ........................................ 24,324 1,700 * SPS Technologies, Inc ........................... 47,770 900 Starrett (L.S.) Co (Class A) .................... 15,732 3,900 Stewart & Stevenson Services, Inc ............... 47,658 2,100 Tecumseh Products Co (Class A) .................. 101,934 100 Tennant Co ...................................... 3,760 5,400 * Terex Corp ...................................... 114,912 6,400 * Tetra Tech, Inc ................................. 59,712 900 * Tetra Technologies, Inc ......................... 19,062 5,400 * Thomas & Betts Corp ............................. 82,998 1,000 Toro Co ......................................... 56,780 200 * Trikon Technologies, Inc ........................ 1,470 4,800 Trinity Industries, Inc ......................... 85,920 5,600 * UNOVA, Inc ...................................... 31,360 2,400 Valhi, Inc ...................................... 28,704 1,200 Valmont Industries, Inc ......................... 29,220 3,900 Wabtec Corp ..................................... 52,689 600 * Waste Connections, Inc .......................... 20,814 1,600 Watts Industries, Inc (Class A) ................. 27,840 ----------- TOTAL PRODUCER DURABLES 2,453,736 ----------- TECHNOLOGY--10.76% 1,000 * 3D Systems Corp ................................. 7,050 2,700 * Acterna Corp .................................... 1,269 SEE NOTES TO FINANCIAL STATEMENTS B-155 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 1,300 * ADE Corp ........................................ $ 8,450 2,800 * Adtran, Inc ..................................... 52,696 3,800 * Advanced Digital Information Corp ............... 20,140 100 * Advanced Power Technology, Inc .................. 456 2,300 * Aether Systems, Inc ............................. 6,334 2,800 * Agile Software Corp ............................. 18,116 3,200 * Alliance Semiconductor Corp ..................... 14,528 300 * Alloy, Inc ...................................... 2,928 200 * Altiris, Inc .................................... 2,266 2,700 * American Management Systems, Inc ................ 41,172 1,300 * American Superconductor Corp .................... 4,095 1,600 * Anadigics, Inc .................................. 4,816 800 Analogic Corp ................................... 34,448 3,100 * Anaren Microwave, Inc ........................... 26,443 4,200 * Anixter International, Inc ...................... 99,330 4,900 * Answerthink, Inc ................................ 10,682 600 * Anteon International Corp ....................... 14,400 1,400 * Arbitron, Inc ................................... 45,654 16,800 * Ariba, Inc ...................................... 31,920 7,500 * Arris Group, Inc ................................ 28,500 4,000 * Artesyn Technologies, Inc ....................... 9,520 18,000 * Ascential Software Corp ......................... 41,580 7,100 * Aspect Communications Corp ...................... 13,135 1,500 * Aspen Technology, Inc ........................... 5,760 400 * Asyst Technologies, Inc ......................... 3,596 2,300 * Audiovox Corp (Class A) ......................... 16,606 5,500 * Avanex Corp ..................................... 10,340 4,700 * Avenue A, Inc ................................... 12,596 400 * Avid Technology, Inc ............................ 4,464 700 * Avocent Corp .................................... 10,101 1,200 * AXT, Inc ........................................ 4,992 200 Bel Fuse, Inc (Class B) ......................... 4,438 3,100 Belden, Inc ..................................... 48,670 1,700 * Benchmark Electronics, Inc ...................... 44,710 800 * Black Box Corp .................................. 27,424 1,700 * Boston Communications Group ..................... 16,150 3,100 C&D Technologies, Inc ........................... 48,980 2,300 * C-COR.net Corp .................................. 11,155 6,000 * Cable Design Technologies Corp .................. 40,920 600 * Caminus Corp .................................... 1,266 4,100 * Checkpoint Systems, Inc ......................... 47,970 7,500 * Ciber, Inc ...................................... 48,525 8,600 * Cirrus Logic, Inc ............................... 25,112 7,900 * CNET Networks, Inc .............................. 9,480 7,000 * CommScope, Inc .................................. 50,050 3,100 * Compucom Systems, Inc ........................... 17,701 4,300 * Computer Horizons Corp .......................... 17,200 1,800 * Computer Network Technology Corp ................ 12,600 500 Compx International, Inc ........................ 4,725 3,200 * Concord Camera Corp ............................. 15,360 100 * CoorsTek, Inc ................................... 1,750 6,200 * Credence Systems Corp ........................... 72,106 5,000 * Cree, Inc ....................................... 67,250 1,300 CTS Corp ........................................ 7,800 500 * Datastream Systems, Inc ......................... 2,630 5,200 * DDI Corp ........................................ 1,976 1,700 * DiamondCluster International, Inc (Class A) ..... 6,596 100 * Digimarc Corp ................................... 1,106 500 * Digitas, Inc .................................... 1,630 4,500 * DoubleClick, Inc ................................ 25,515 1,300 * DSP Group, Inc .................................. 22,009 1,400 * Dupont Photomasks, Inc .......................... 35,182 4,000 * E.piphany, Inc .................................. 16,360 16,800 * Earthlink, Inc .................................. 98,616 SHARES VALUE ------ ----- 700 EDO Corp ........................................ $ 15,645 1,200 * eFunds Corp ..................................... 11,304 300 * Electro Scientific Industries, Inc .............. 5,328 600 * Electroglas, Inc ................................ 1,848 7,300 * Electronics For Imaging, Inc .................... 118,486 1,600 * Emcore Corp ..................................... 4,624 500 * EMS Technologies, Inc ........................... 11,100 18,300 * Enterasys Networks, Inc ......................... 23,058 400 * Entrust, Inc .................................... 1,844 2,800 * Esterline Technologies Corp ..................... 50,120 900 * Exar Corp ....................................... 11,871 400 * Filenet Corp .................................... 5,580 8,500 * Finisar Corp .................................... 8,330 4,000 * FSI International, Inc .......................... 16,800 7,600 * GlobespanVirata, Inc ............................ 24,312 6,700 * GrafTech International Ltd ...................... 61,640 3,100 * Griffon Corp .................................... 37,107 1,500 * Handspring, Inc ................................. 1,785 3,400 * Hutchinson Technology, Inc ...................... 57,868 4,600 * Hypercom Corp ................................... 19,780 2,700 * iGate Corp ...................................... 10,770 400 * II-VI, Inc ...................................... 5,296 4,800 * Imation Corp .................................... 150,864 5,000 * InFocus Corp .................................... 49,250 200 * Infogrames, Inc ................................. 506 8,500 * Infonet Services Corp (Class B) ................. 19,975 3,700 * Information Resources, Inc ...................... 16,465 300 * Inforte Corp .................................... 2,067 9,400 * Inktomi Corp .................................... 4,230 16,500 * Interland, Inc .................................. 46,695 300 * Internet Security Systems, Inc .................. 4,500 9,900 * Intertrust Technologies Corp .................... 27,522 6,600 * Interwoven, Inc ................................. 17,820 7,400 * Iomega Corp ..................................... 93,388 2,600 * ITXC Corp ....................................... 9,724 100 * IXYS Corp ....................................... 499 1,500 * Keane, Inc ...................................... 13,065 1,600 * Keynote Systems, Inc ............................ 11,104 2,600 * Kforce, Inc ..................................... 8,918 5,700 * Lattice Semiconductor Corp ...................... 38,931 500 * Lawson Software, Inc ............................ 1,950 700 * LeCroy Corp ..................................... 7,077 6,800 * Liberate Technologies ........................... 11,424 3,500 * Lightbridge, Inc ................................ 25,550 2,200 * LTX Corp ........................................ 17,182 700 * Magma Design Automation, Inc .................... 8,078 3,900 * Mail-Well, Inc .................................. 4,290 1,000 * Mantech International Corp (Class A) ............ 23,520 1,300 * Manufacturers Services Ltd ...................... 5,083 3,700 * Manugistics Group, Inc .......................... 15,244 100 * Mapinfo Corp .................................... 515 2,700 * Mastec, Inc ..................................... 10,287 1,400 * Matrixone, Inc .................................. 6,930 23,500 * Maxtor Corp ..................................... 79,430 2,300 * MCSi, Inc ....................................... 14,168 2,300 * MEMC Electronic Materials, Inc .................. 9,798 500 * Merix Corp ...................................... 4,575 3,300 * MetaSolv, Inc ................................... 6,765 4,600 Methode Electronics, Inc (Class A) .............. 43,746 5,900 * Microtune, Inc .................................. 23,836 4,900 * MRV Communications, Inc ......................... 5,390 2,800 MTS Systems Corp ................................ 34,272 1,000 * Nanometrics, Inc ................................ 4,550 1,600 * Navigant International, Inc ..................... 17,040 1,300 NDCHealth Corp .................................. 23,686 SEE NOTES TO FINANCIAL STATEMENTS B-156 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 2,400 * Net2Phone, Inc .................................. $ 7,200 1,500 * Netegrity, Inc .................................. 3,767 2,600 * NETIQ Corp ...................................... 48,828 4,200 * Netro Corp ...................................... 11,004 1,800 * Netscout Systems, Inc ........................... 7,648 5,000 * New Focus, Inc .................................. 13,950 2,400 * Newport Corp .................................... 38,640 2,300 * Next Level Communications, Inc .................. 2,185 48,700 * Novell, Inc ..................................... 115,908 1,900 * Nu Horizons Electronics Corp .................... 12,540 1,900 * Nuance Communications, Inc ...................... 5,225 3,300 * Numerical Technologies, Inc ..................... 13,134 1,100 * ON Semiconductor Corp ........................... 1,806 11,200 * Openwave Systems, Inc ........................... 8,736 13,800 * Oplink Communications, Inc ...................... 10,336 1,200 * Optical Communication Products, Inc ............. 1,248 50,700 * Palm, Inc ....................................... 40,560 2,400 * Paradyne Networks, Inc .......................... 4,584 15,800 * Parametric Technology Corp ...................... 42,660 1,800 Park Electrochemical Corp ....................... 36,180 300 * Paxar Corp ...................................... 4,806 1,900 * Paxson Communications Corp ...................... 5,605 2,700 * PC-Tel, Inc ..................................... 14,715 3,400 * Pegasus Solutions, Inc .......................... 47,729 2,500 * Pericom Semiconductor Corp ...................... 23,375 4,100 Pioneer-Standard Electronics, Inc ............... 40,959 400 * Pixelworks, Inc ................................. 2,372 1,300 * Pomeroy Computer Resources, Inc ................. 15,912 700 * Powell Industries, Inc .......................... 13,300 3,300 * Proton Energy Systems ........................... 8,415 16,000 * Proxim Corp (Class A) ........................... 37,440 6,400 * PTEK Holdings, Inc .............................. 30,086 17,500 * Quantum Corp .................................... 53,375 900 * Radisys Corp .................................... 5,166 3,200 * Rainbow Technologies, Inc ....................... 11,840 5,200 * Raindance Communications, Inc ................... 15,860 16,300 * Read-Rite Corp .................................. 11,573 1,900 * Red Hat, Inc .................................... 9,975 4,000 * Register.com, Inc ............................... 16,680 2,300 * Riverstone Networks, Inc ........................ 1,610 300 * Roxio, Inc ...................................... 1,224 5,000 * RSA Security, Inc ............................... 19,250 16,200 * Safeguard Scientifics, Inc ...................... 24,138 3,800 * Sandisk Corp .................................... 59,774 6,500 * Sapient Corp .................................... 8,704 1,600 * SBS Technologies, Inc ........................... 11,680 2,100 * SCM Microsystems, Inc ........................... 13,923 1,200 * Seachange International, Inc .................... 8,844 25,600 * Silicon Graphics, Inc ........................... 29,184 3,500 * Sipex Corp ...................................... 10,675 7,600 * Sitel Corp ...................................... 14,744 500 * Somera Communications, Inc ...................... 1,325 11,600 * SONICblue, Inc .................................. 3,457 4,200 * SonicWALL, Inc .................................. 19,152 1,500 * Sourcecorp ...................................... 31,365 700 * Spectrian Corp .................................. 4,025 1,700 * SpeechWorks International, Inc .................. 5,831 3,700 * SpeedFam-IPEC, Inc .............................. 15,799 1,200 * SPSS, Inc ....................................... 14,173 200 * SRA International, Inc (Class A) ................ 5,550 1,800 * Standard Microsystems Corp ...................... 32,058 4,200 * StorageNetworks, Inc ............................ 7,098 11,100 * Stratex Networks, Inc ........................... 20,868 5,200 * Stratos Lightwave, Inc .......................... 3,068 SHARES VALUE ------ ----- 100 * Suntron Corp .................................... $ 396 7,300 * Surebeam Corp (Class A) ......................... 13,505 16,100 * Sycamore Networks, Inc .......................... 43,631 1,900 * Sykes Enterprises, Inc .......................... 11,400 400 * Synaptics, Inc .................................. 2,380 1,800 * Systems & Computer Technology Corp .............. 12,582 2,900 Technitrol, Inc ................................. 53,070 5,000 * Tellium, Inc .................................... 2,500 8,800 * Terayon Communication Systems, Inc .............. 27,280 300 * Therma-Wave, Inc ................................ 396 2,900 * Three-Five Systems, Inc ......................... 16,240 3,000 * TIBCO Software, Inc ............................. 13,260 1,700 * Tollgrade Communications, Inc ................... 18,258 14,100 * Touch America Holdings, Inc ..................... 10,293 1,400 * Transaction Systems Architects, Inc (Class A) ... 9,521 6,200 * Transmeta Corp .................................. 6,758 700 * Trimble Navigation Ltd .......................... 9,065 3,300 * Triquint Semiconductor, Inc ..................... 15,177 1,000 * Trizetto Group, Inc ............................. 6,910 100 * TTM Technologies, Inc ........................... 317 4,800 * Turnstone Systems, Inc .......................... 14,400 600 * Ulticom, Inc .................................... 3,474 2,900 * Ultratech Stepper, Inc .......................... 33,875 2,300 * United Online, Inc .............................. 25,185 8,600 * Valueclick, Inc ................................. 20,210 400 * Veeco Instruments, Inc .......................... 5,420 200 * Verint Systems, Inc ............................. 1,982 1,400 * Verity, Inc ..................................... 14,014 1,600 * Vicor Corp ...................................... 11,840 15,400 * Vignette Corp ................................... 14,168 500 Virco Manufacturing Corp ........................ 5,490 12,800 * Vitesse Semiconductor Corp ...................... 16,256 4,800 * Vitria Technology, Inc .......................... 4,272 1,100 * Volt Information Sciences, Inc .................. 18,656 5,000 Wallace Computer Services, Inc .................. 92,200 1,800 * WatchGuard Technologies, Inc .................... 9,270 1,100 * webMethods, Inc ................................. 7,733 11,200 * Western Digital Corp ............................ 51,968 2,700 * Wind River Systems, Inc ......................... 14,445 1,900 * Wireless Facilities, Inc ........................ 9,500 1,000 Woodhead Industries, Inc ........................ 16,000 1,000 * Zoran Corp ...................................... 11,500 600 * Zygo Corp ....................................... 3,000 ----------- TOTAL TECHNOLOGY 4,726,388 ----------- TRANSPORTATION--2.82% 6,500 Airborne, Inc ................................... 84,435 3,300 * Alaska Air Group, Inc ........................... 73,755 2,900 * Arkansas Best Corp .............................. 81,838 400 * ATA Holdings Corp ............................... 1,336 2,300 * Atlas Air Worldwide Holdings, Inc ............... 5,865 3,200 * BE Aerospace, Inc ............................... 21,984 800 * Covenant Transport, Inc (Class A) ............... 14,320 3,400 * EGL, Inc ........................................ 40,120 3,100 * Express Jet Holdings, Inc ....................... 35,464 3,100 Florida East Coast Industries, Inc (Class A) .... 82,181 900 * Frontier Airlines, Inc .......................... 5,976 1,100 * Genesee & Wyoming, Inc (Class A) ................ 23,155 1,800 * Heartland Express, Inc .......................... 36,252 3,000 * Hunt (J.B.) Transport Services, Inc ............. 70,380 8,100 * Kansas City Southern Industries, Inc ............ 115,830 1,300 * Mesaba Holdings, Inc ............................ 7,241 1,800 * Midwest Express Holdings, Inc ................... 10,782 3,700 Overseas Shipholding Group, Inc ................. 61,198 100 * P.A.M. Transportation Services .................. 2,095 3,900 * Railamerica, Inc ................................ 30,186 SEE NOTES TO FINANCIAL STATEMENTS B-157 - INSTITUTIONAL SMALL-CAP VALUE INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TRANSPORTATION--(CONTINUED) 1,600 Roadway Corp .................................... $ 52,896 1,100 Shurgard Storage Centers, Inc (Class A) ......... 35,585 800 * U.S. Xpress Enterprises, Inc (Class) A .......... 7,687 7,500 * UAL Corp ........................................ 20,250 3,700 USFreightways Corp .............................. 109,520 5,200 Werner Enterprises, Inc ......................... 100,828 3,900 * Yellow Corp ..................................... 106,080 ----------- TOTAL TRANSPORTATION 1,237,239 ----------- UTILITIES--7.27% 7,600 AGL Resources, Inc .............................. 176,396 7,000 * Alamosa Holdings, Inc ........................... 2,520 900 * Alaska Communications Systems Group, Inc ........ 2,313 7,000 * Allegiance Telecom, Inc ......................... 6,510 3,700 * Allen Telecom, Inc .............................. 18,944 12,900 * American Tower Corp (Class A) ................... 29,025 5,600 Atmos Energy Corp ............................... 123,200 6,500 Avista Corp ..................................... 78,000 2,100 Black Hills Corp ................................ 57,099 25,700 * Broadwing, Inc .................................. 60,395 700 Cascade Natural Gas Corp ........................ 14,798 700 * Centennial Communications Corp .................. 2,086 1,600 Central Vermont Public Service Corp ............. 26,944 2,200 CH Energy Group, Inc ............................ 104,610 5,500 Cleco Corp ...................................... 84,865 19,100 * Crown Castle International Corp ................. 47,750 2,300 CT Communications, Inc .......................... 30,935 1,300 * Dobson Communications Corp (Class A) ............ 455 9,600 DQE, Inc ........................................ 149,472 6,300 * El Paso Electric Co ............................. 74,970 3,000 Empire District Electric Co ..................... 51,450 4,700 Energen Corp .................................... 117,171 200 Energysouth, Inc ................................ 5,366 1,600 * Golden Telecom, Inc ............................. 22,000 2,600 Laclede Group, Inc .............................. 62,140 900 MGE Energy, Inc ................................. 24,075 500 * NATCO Group, Inc (Class A) ...................... 3,685 3,300 New Jersey Resources Corp ....................... 107,250 3,400 Northwest Natural Gas Co ........................ 95,302 3,700 Northwestern Corp ............................... 44,326 2,200 NUI Corp ........................................ 45,540 SHARES/ PRINCIPAL VALUE --------- ----- 2,300 * Oil States International, Inc ................... 24,012 7,200 Oneok, Inc ...................................... 140,400 4,200 Piedmont Natural Gas Co, Inc .................... 153,300 4,900 PNM Resources, Inc .............................. 103,586 400 * Quicksilver Resources, Inc ...................... 7,740 3,900 * RCN Corp ........................................ 3,003 2,500 SEMCO Energy, Inc ............................... 22,275 13,800 * Sierra Pacific Resources ........................ 100,464 6,000 * Skyworks Solutions, Inc ......................... 31,560 1,600 South Jersey Industries, Inc .................... 50,736 5,500 * Southern Union Co ............................... 71,225 4,500 Southwest Gas Corp .............................. 99,900 300 * Southwestern Energy Co .......................... 3,729 9,300 * Talk America Holdings, Inc ...................... 23,436 3,100 * Time Warner Telecom, Inc (Class A) .............. 3,782 7,900 * Ubiquitel, Inc .................................. 2,765 2,100 UGI Corp ........................................ 74,571 1,700 UIL Holdings Corp ............................... 64,022 3,900 Unisource Energy Corp ........................... 61,776 500 Unitil Corp ..................................... 13,325 7,600 Westar Energy, Inc .............................. 83,980 2,000 Western Gas Resources, Inc ...................... 65,880 6,600 WGL Holdings, Inc ............................... 159,852 4,300 WPS Resources Corp .............................. 156,331 ----------- TOTAL UTILITIES 3,191,242 ----------- TOTAL COMMON STOCK (COST $43,236,671) 43,117,933 ----------- SHORT TERM INVESTMENT--2.96% U.S. GOVERNMENT AND AGENCY--2.96% Federal Home Loan Bank (FHLB) $1,300,000 1.590%, 09/16/02 .............................. 1,299,818 ----------- TOTAL SHORT TERM INVESTMENT (COST $1,299,818) 1,299,818 ----------- TOTAL PORTFOLIO--101.14% (COST $44,536,489) 44,417,751 OTHER ASSETS & LIABILITIES, NET--(1.14%) (499,615) ----------- NET ASSETS--100.00% $43,918,136 =========== ---------- * Non-income producing b In bankruptcy SEE NOTES TO FINANCIAL STATEMENTS B-158 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--98.57% AEROSPACE AND DEFENSE--0.94% 1,800 AAR Corp ........................................ $ 10,728 1,600 * Armor Holdings, Inc ............................. 25,200 1,300 * Aviall, Inc ..................................... 14,690 1,100 * DRS Technologies, Inc ........................... 42,361 500 * Ducommun, Inc ................................... 8,245 500 * Dynamics Research Corp .......................... 9,100 600 Engineered Support Systems, Inc ................. 34,884 1,000 Heico Corp ...................................... 10,470 800 * Herley Industries, Inc .......................... 16,008 1,600 * Hexcel Corp ..................................... 4,160 500 * Integrated Defense Technology, Inc .............. 12,750 1,500 Kaman Corp (Class A) ............................ 18,840 600 * Ladish Co, Inc .................................. 4,800 1,000 * Moog, Inc (Class A) ............................. 30,860 2,900 * Orbital Sciences Corp ........................... 10,295 3,100 * Remec, Inc ...................................... 10,788 400 * Sequa Corp (Class A) ............................ 21,920 2,100 * Teledyne Technologies, Inc ...................... 38,640 1,000 * Triumph Group, Inc .............................. 32,400 1,400 * United Defense Industries, Inc .................. 32,046 1,200 * Viasat, Inc ..................................... 6,300 ----------- TOTAL AEROSPACE AND DEFENSE 395,485 ----------- BASIC INDUSTRIES--8.48% 600 * Aaon, Inc ....................................... 10,290 300 * AEP Industries, Inc ............................. 10,050 3,900 * Airgas, Inc ..................................... 55,146 1,600 Albany International Corp (Class A) ............. 34,576 200 Alico, Inc ...................................... 5,600 1,300 Amcol International Corp ........................ 7,930 300 American Woodmark Corp .......................... 14,328 200 Ameron International Corp ....................... 9,780 800 * Applied Films Corp .............................. 8,376 1,400 Arch Chemicals, Inc ............................. 27,692 3,100 Arch Coal, Inc .................................. 53,661 300 * Avatar Holdings, Inc ............................ 7,860 300 * Baker (Michael) Corp ............................ 3,822 1,100 * Brush Engineered Materials, Inc ................. 9,900 1,600 * Buckeye Technologies, Inc ....................... 12,160 800 * Building Materials Holding Corp ................. 10,184 400 Butler Manufacturing Co ......................... 8,880 300 * BWAY Corp ....................................... 4,218 1,600 * Cabot Microelectronics Corp ..................... 70,592 2,200 Calgon Carbon Corp .............................. 13,178 1,500 Cambrex Corp .................................... 56,880 1,800 * Caraustar Industries, Inc ....................... 18,126 2,100 Carlisle Cos, Inc ............................... 92,421 1,300 Carpenter Technology Corp ....................... 25,428 500 Castle (A.M.) & Co .............................. 3,825 400 Centex Construction Products, Inc ............... 14,436 800 Century Aluminum Co ............................. 6,241 3,300 * Champion Enterprises, Inc ....................... 9,405 400 * Chase Industries, Inc ........................... 4,732 700 Chemed Corp ..................................... 23,135 700 ChemFirst, Inc .................................. 20,160 1,000 Chesapeake Corp ................................. 20,420 1,700 Clarcor, Inc .................................... 52,615 600 * Cleveland-Cliffs, Inc ........................... 16,080 1,700 * Collins & Aikman Corp ........................... 8,755 2,500 * Comfort Systems U.S.A., Inc ..................... 8,375 1,600 Commercial Metals Co ............................ 31,056 7,700 Crompton Corp ................................... 87,395 10,700 * Crown Cork & Seal Co, Inc ....................... 74,793 2,700 * Cytec Industries, Inc ........................... 69,930 SHARES VALUE ------ ----- 700 Deltic Timber Corp .............................. $ 17,955 1,200 * Dionex Corp ..................................... 32,652 200 * Dominion Homes, Inc ............................. 4,070 200 Donnelly Corp ................................... 5,586 300 * Drew Industries, Inc ............................ 4,485 4,400 * Earthshell Corp ................................. 4,092 1,300 ElkCorp ......................................... 21,385 1,000 * EMCOR Group, Inc ................................ 51,990 900 * Encore Wire Corp ................................ 8,370 1,000 * Energy Conversion Devices, Inc .................. 11,150 2,200 Ferro Corp ...................................... 52,360 2,400 * Fleetwood Enterprises, Inc ...................... 18,024 1,300 Florida Rock Industries, Inc .................... 46,761 2,000 * FMC Corp ........................................ 58,020 1,500 * Foamex International, Inc ....................... 9,000 1,900 H.B. Fuller Co .................................. 54,321 1,900 Georgia Gulf Corp ............................... 50,274 600 Gibraltar Steel Corp ............................ 12,540 700 Glatfelter ...................................... 8,953 4,400 * WR Grace & Co ................................... 9,108 2,200 Granite Construction, Inc ....................... 39,182 2,500 Great Lakes Chemical Corp ....................... 70,550 900 Greif Brothers Corp (Class A) ................... 24,885 5,800 * Hecla Mining Co ................................. 25,810 1,000 * Hovnanian Enterprises, Inc (Class A) ............ 39,150 800 * Imco Recycling, Inc ............................. 5,296 1,500 * Insituform Technologies, Inc (Class A) .......... 24,555 2,200 * Integrated Electrical Services, Inc ............. 9,570 700 * International Specialty Products, Inc ........... 6,818 400 Interpool, Inc .................................. 5,820 800 * Jarden Corp ..................................... 21,400 2,900 Lennox International, Inc ....................... 44,283 400 * Liquidmetal Technologies ........................ 2,996 2,000 * Lone Star Technologies, Inc ..................... 31,600 3,400 * Longview Fibre Co ............................... 26,384 7,100 * Louisiana-Pacific Corp .......................... 52,398 1,000 LSI Industries, Inc ............................. 10,340 1,000 * Lydall, Inc ..................................... 11,550 800 M/I Schottenstein Homes, Inc .................... 28,088 1,700 MacDermid, Inc .................................. 35,258 4,300 Massey Energy Co ................................ 33,411 700 * Material Sciences Corp .......................... 8,946 1,500 * Mattson Technology, Inc ......................... 3,450 200 * Maui Land & Pineapple Co ........................ 3,770 1,300 MDC Holdings, Inc ............................... 53,820 200 * Mestek, Inc ..................................... 3,782 4,300 Millennium Chemicals, Inc ....................... 52,202 1,400 Minerals Technologies, Inc ...................... 57,330 900 * Mobile Mini, Inc ................................ 13,995 600 * Modtech Holdings, Inc ........................... 6,000 1,900 * Mueller Industries, Inc ......................... 51,110 1,300 * NCI Building Systems, Inc ....................... 24,180 600 NL Industries, Inc .............................. 9,534 600 * Nortek, Inc ..................................... 26,430 400 * Northwest Pipe Co ............................... 7,100 1,100 * NS Group, Inc ................................... 7,865 700 Octel Corp ...................................... 15,050 3,100 Olin Corp ....................................... 57,536 2,700 * Omnova Solutions, Inc ........................... 14,850 1,800 * Oregon Steel Mills, Inc ......................... 12,492 700 * Osmonics, Inc ................................... 9,100 1,200 * Palm Harbor Homes, Inc .......................... 16,044 500 Penford Corp .................................... 6,925 800 Penn Engineering & Manufacturing Corp ........... 10,112 500 Penn Virginia Corp .............................. 16,770 SEE NOTES TO FINANCIAL STATEMENTS B-159 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- BASIC INDUSTRIES--(CONTINUED) 900 * Penwest Pharmaceuticals Co ...................... $ 8,928 5,300 PolyOne Corp .................................... 52,311 1,100 Pope & Talbot, Inc .............................. 14,498 1,900 Potlatch Corp ................................... 57,323 500 Quaker Chemical Corp ............................ 10,555 1,000 Quanex Corp ..................................... 39,370 1,600 Reliance Steel & Aluminum Co .................... 38,480 700 Roanoke Electric Steel Corp ..................... 8,232 800 Rock-Tenn Co (Class A) .......................... 13,456 900 Royal Gold, Inc ................................. 16,245 1,400 * RTI International Metals, Inc ................... 15,960 1,500 Ryerson Tull, Inc ............................... 11,265 300 Schnitzer Steel Industries, Inc (Class A) ....... 5,434 2,000 Schulman (A.), Inc .............................. 41,940 700 * Silgan Holdings, Inc ............................ 20,384 1,000 * Simpson Manufacturing Co, Inc ................... 33,550 400 Skyline Corp .................................... 10,916 7,100 Solutia, Inc .................................... 49,203 1,000 Southern Peru Copper Corp ....................... 13,290 1,000 Spartech Corp ................................... 20,230 2,200 Standard-Pacific Corp ........................... 60,456 2,200 * Steel Dynamics, Inc ............................. 32,340 2,900 * Stillwater Mining Co ............................ 18,676 200 * Technical Olympic Usa, Inc ...................... 3,250 2,700 * Terra Industries, Inc ........................... 5,562 1,400 Texas Industries, Inc ........................... 41,216 1,800 Tredegar Corp ................................... 32,490 500 * Trex Co, Inc .................................... 14,750 100 Tremont Corp .................................... 3,310 1,400 * U.S. Concrete, Inc .............................. 7,658 900 Universal Forest Products, Inc .................. 17,001 1,000 * URS Corp ........................................ 17,340 5,500 USEC, Inc ....................................... 36,850 2,500 b* USG Corp ........................................ 12,725 700 * Water Pik Technologies, Inc ..................... 8,400 1,100 Watsco, Inc ..................................... 16,192 2,400 Wausau-Mosinee Paper Corp ....................... 24,528 500 * WCI Communities, Inc ............................ 8,745 1,100 WD-40 Co ........................................ 30,140 2,100 Wellman, Inc .................................... 31,920 900 West Pharmaceutical Services, Inc ............... 21,276 400 * William Lyon Homes, Inc ......................... 9,256 4,500 Worthington Industries, Inc ..................... 82,125 ----------- TOTAL BASIC INDUSTRIES 3,559,040 ----------- CONSUMER CYCLICAL--12.17% 400 * 1-800 Contacts, Inc ............................. 3,860 1,000 Aaron Rents, Inc .................................. 22,500 4,700 * Acclaim Entertainment, Inc ...................... 10,763 600 * Acme Communication, Inc ......................... 4,800 1,100 * Action Performance Cos, Inc ..................... 32,450 900 Advanced Marketing Services, Inc .................. 11,835 900 * Aeropostale, Inc ................................ 17,595 1,000 * AFC Enterprises, Inc ............................ 19,150 500 * Aftermarket Technology Corp ..................... 8,495 100 * Alexander's, Inc ................................ 6,515 2,900 * Alliance Gaming Corp ............................ 46,429 1,900 * AMC Entertainment, Inc .......................... 15,941 700 * Amerco .......................................... 8,008 700 * Ameristar Casinos, Inc .......................... 15,498 600 Angelica Corp ..................................... 11,160 3,000 * AnnTaylor Stores Corp ........................... 77,250 1,900 Apogee Enterprises, Inc ........................... 21,432 1,100 Arctic Cat, Inc ................................... 15,708 100 * Arden Group, Inc (Class A) ...................... 5,651 SHARES VALUE ------ ----- 1,700 * Argosy Gaming Co ................................ $ 43,945 2,300 * Aztar Corp ...................................... 30,107 2,100 * Bally Total Fitness Holding Corp ................ 22,470 700 Bandag, Inc ..................................... 24,976 700 Barnes Group, Inc ............................... 13,937 700 Bassett Furniture Industries, Inc ............... 10,493 400 * Beasley Broadcast Group, Inc (Class A) .......... 5,400 300 * Bebe Stores, Inc ................................ 4,725 300 * Benihana, Inc (Class A) ......................... 3,600 500 Blair Corp ...................................... 10,050 2,300 Bob Evans Farms, Inc ............................ 54,096 1,900 * Boca Resorts, Inc (Class A) ..................... 20,577 2,200 Bowne & Co, Inc ................................. 24,288 2,100 * Boyd Gaming Corp ................................ 37,380 1,200 * Boyds Collection Ltd ............................ 7,200 600 * Brookstone, Inc ................................. 7,386 1,200 Brown Shoe Co, Inc .............................. 24,828 1,000 * Buca, Inc ....................................... 8,450 500 * Buckle, Inc ..................................... 10,145 1,200 Burlington Coat Factory Warehouse Corp .......... 24,120 600 Bush Industries, Inc (Class A) .................. 4,662 200 * Cache, Inc ...................................... 2,020 1,000 * California Pizza Kitchen, Inc ................... 21,390 100 * Carmike Cinemas, Inc ............................ 1,700 600 * Cascade Corp .................................... 8,694 1,000 Cato Corp (Class A) ............................. 18,760 1,000 * Central Garden & Pet Co ......................... 16,220 700 * Championship Auto Racing Teams, Inc ............. 3,283 600 * Champps Entertainment, Inc ...................... 6,060 500 * Charlotte Russe Holding, Inc .................... 6,555 7,900 * Charming Shoppes, Inc ........................... 57,591 600 * Checkers Drive-In Restaurant .................... 4,914 300 * Cherokee, Inc ................................... 5,274 700 * Chicago Pizza & Brewery, Inc .................... 5,257 800 * Children's Place Retail Stores, Inc ............. 15,096 1,500 * Choice Hotels International, Inc ................ 36,000 1,600 * Christopher & Banks Corp ........................ 56,960 400 Churchill Downs, Inc ............................ 14,500 3,400 * CKE Restaurants, Inc ............................ 16,966 2,900 Claire's Stores, Inc ............................ 67,483 1,000 Coachmen Industries, Inc ........................ 16,940 300 * Coldwater Creek, Inc ............................ 4,488 700 * Cole National Corp .............................. 10,493 500 CPI Corp ........................................ 7,075 600 * Cross Media Marketing Corp ...................... 588 1,700 * Crown Media Holdings, Inc (Class A) ............. 7,684 200 * CSS Industries, Inc ............................. 7,356 400 * Culp, Inc ....................................... 3,604 700 * Dave & Buster's, Inc ............................ 9,142 700 * Department 56, Inc .............................. 8,022 1,100 * DHB Industries, Inc ............................. 2,530 1,700 * Dollar Thrifty Automotive Group, Inc ............ 30,073 700 Dover Downs Gaming & Entertainment, Inc ......... 6,209 1,000 Dover Motorsport, Inc ........................... 4,900 1,900 * Dress Barn, Inc ................................. 21,622 1,000 * Dura Automotive Systems, Inc .................... 13,890 900 * Elizabeth Arden, Inc ............................ 8,640 2,800 Equity Inns, Inc ................................ 17,976 200 * Escalade, Inc ................................... 4,000 800 * EUniverse, Inc .................................. 2,912 1,400 Factset Research Systems, Inc ................... 32,186 1,300 * Finish Line, Inc (Class A) ...................... 12,480 300 * Fisher Communications, Inc ...................... 14,895 1,400 * Footstar, Inc ................................... 14,840 1,400 * Fossil, Inc ..................................... 32,298 SEE NOTES TO FINANCIAL STATEMENTS B-160 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 1,500 Fred's, Inc ..................................... $ 47,775 1,100 Friedman's, Inc (Class A) ....................... 9,405 1,300 G & K Services, Inc (Class A) ................... 44,811 1,500 * Gaylord Entertainment Co ........................ 33,165 2,100 GenCorp, Inc .................................... 23,058 1,400 * Genesco, Inc .................................... 20,300 1,100 * Goody's Family Clothing, Inc .................... 6,435 600 Gray Television, Inc (Class A) .................. 7,956 100 Grey Global Group, Inc .......................... 57,300 1,300 * Group 1 Automotive, Inc ......................... 37,830 1,300 * GSI Commerce, Inc ............................... 6,734 500 * Guess?, Inc ..................................... 2,555 900 * Guitar Center, Inc .............................. 15,660 900 * Gulfmark Offshore, Inc .......................... 14,976 1,600 * Gymboree Corp ................................... 30,080 1,100 Hancock Fabrics, Inc ............................ 16,929 1,700 * Handleman Co .................................... 18,496 2,500 * Harris Interactive, Inc ......................... 6,225 1,000 Haverty Furniture Cos, Inc ...................... 13,470 500 * Hibbett Sporting Goods, Inc ..................... 11,300 3,500 Hollinger International, Inc .................... 35,420 700 * Hollywood Casino Corp (Class A) ................. 8,540 3,600 * Hollywood Entertainment Corp .................... 51,948 2,100 * Hot Topic, Inc .................................. 40,992 1,100 * iDine Rewards Network, Inc ...................... 10,890 1,300 * IHOP Corp ....................................... 32,045 700 * IMPCO Technologies, Inc ......................... 3,654 700 * Information Holdings, Inc ....................... 14,875 2,800 * Insight Communications Co, Inc .................. 26,597 1,400 Intermet Corp ................................... 9,170 1,600 * Intertan, Inc ................................... 11,552 1,000 * Isle Of Capri Casinos, Inc ...................... 17,300 2,500 * Jack In The Box, Inc ............................ 59,350 1,600 * Jakks Pacific, Inc .............................. 18,192 1,000 * Jo-Ann Stores, Inc (Class A) .................... 33,100 200 * Johnson Outdoors, Inc (Class A) ................. 2,344 1,800 * Journal Register Co ............................. 35,172 33,400 b* Kmart Corp ...................................... 20,374 800 K-Swiss, Inc (Class A) .......................... 15,102 1,200 * K2, Inc ......................................... 10,296 1,700 Kellwood Co ..................................... 42,517 500 * Kenneth Cole Productions, Inc (Class A) ......... 11,450 700 * Keystone Automotive Industries, Inc ............. 9,926 2,300 Kimball International, Inc (Class B) ............ 34,178 1,300 * Kirby Corp ...................................... 30,225 1,500 * Kroll, Inc ...................................... 31,050 1,500 Landry's Restaurants, Inc ....................... 32,475 1,200 LaSalle Hotel Properties ........................ 14,940 1,000 Libbey, Inc ..................................... 30,990 400 * Liberty Livewire Corp (Class A) ................. 832 2,500 * Linens `n Things, Inc ........................... 54,950 700 * Lodgenet Entertainment Corp ..................... 6,489 1,100 Lone Star Steakhouse & Saloon, Inc .............. 20,724 1,500 * Luby's, Inc ..................................... 8,025 600 * Steven Madden Ltd ............................... 10,200 1,300 Marcus Corp ..................................... 18,915 400 Marine Products Corp ............................ 3,960 700 * Martha Stewart Living Omnimedia, Inc (Class A) .. 6,251 900 * Maxwell Shoe Co, Inc (Class A) .................. 10,899 3,600 * Mediacom Communications Corp .................... 22,860 700 * Medis Technologies Ltd .......................... 3,493 2,100 * Men's Wearhouse, Inc ............................ 35,931 1,300 * Metro One Telecommunications, Inc ............... 15,600 1,100 * Micros Systems, Inc ............................. 27,775 SHARES VALUE ------ ----- 400 * Midas, Inc ...................................... $ 2,760 2,000 * Midway Games, Inc ............................... 12,100 1,900 Modine Manufacturing Co ......................... 40,109 1,600 * Monaco Coach Corp ............................... 32,368 200 * Monarch Casino & Resort, Inc .................... 2,588 400 * Monro Muffler Brake, Inc ........................ 7,364 300 * Mossimo, Inc .................................... 1,665 200 * Mothers Work, Inc ............................... 7,530 1,200 * Movie Gallery, Inc .............................. 17,100 1,400 * MTR Gaming Group, Inc ........................... 11,886 700 * Multimedia Games, Inc ........................... 12,033 1,200 Myers Industries, Inc ........................... 15,192 300 National Presto Industries, Inc ................. 8,931 1,700 * Nautica Enterprises, Inc ........................ 20,485 2,000 * Nautilus Group, Inc ............................. 59,900 500 * Netratings, Inc ................................. 2,750 1,700 * Oakley, Inc ..................................... 18,785 1,100 * O'Charley's, Inc ................................ 20,900 700 Oshkosh B'gosh, Inc (Class A) ................... 23,457 1,000 Oshkosh Truck Corp .............................. 59,200 400 Oxford Industries, Inc .......................... 7,920 1,100 * P.F. Chang's China Bistro, Inc .................. 32,164 2,100 * Pacific Sunwear Of California, Inc .............. 48,993 1,600 * Panera Bread Co (Class A) ....................... 39,971 900 * Papa John's International, Inc .................. 25,434 600 * Parkervision, Inc ............................... 9,600 1,500 * Payless Shoesource, Inc ......................... 87,390 2,100 * Penn National Gaming, Inc ....................... 42,252 1,000 * Penton Media, Inc ............................... 270 1,500 Phillips-Van Heusen Corp ........................ 20,175 1,600 * Pinnacle Entertainment, Inc ..................... 13,440 4,000 * Pinnacle Systems, Inc ........................... 40,080 1,100 * PLATO Learning, Inc ............................. 7,205 900 * Playboy Enterprises, Inc (Class B) .............. 9,234 2,100 * Presstek, Inc ................................... 6,657 300 * Pricesmart, Inc ................................. 7,281 3,100 * Prime Hospitality Corp .......................... 28,799 9,300 * Primedia, Inc ................................... 13,392 1,000 * Private Media Group, Inc ........................ 2,960 600 Pulitzer, Inc ................................... 27,840 800 * Quaker Fabric Corp .............................. 6,312 1,300 * Quiksilver, Inc ................................. 31,525 600 * Racing Champions Ertl Corp ...................... 11,076 1,300 * Rare Hospitality International, Inc ............. 30,797 2,800 * Raytech Corp .................................... 18,452 1,800 * Regent Communications, Inc ...................... 9,108 2,900 Regis Corp ...................................... 80,443 1,300 * Resources Connection, Inc ....................... 23,140 600 * Rex Stores Corp ................................. 6,504 400 Riviana Foods, Inc .............................. 8,748 1,600 Russell Corp .................................... 25,072 3,000 * Ryan's Family Steak Houses, Inc ................. 36,660 1,000 * Saga Communications, Inc (Class A) .............. 17,700 600 * Salem Communications Corp (Class A) ............. 13,440 400 * Salton, Inc ..................................... 3,404 500 Schawk, Inc ..................................... 5,000 2,900 * Scientific Games Corp (Class A) ................. 21,254 1,200 * SCP Pool Corp ................................... 34,379 500 * Shoe Carnival, Inc .............................. 8,000 1,900 * ShopKo Stores, Inc .............................. 28,994 1,200 * Shuffle Master, Inc ............................. 22,500 2,100 * Sinclair Broadcast Group, Inc (Class A) ......... 27,489 4,700 * Sirius Satellite Radio, Inc ..................... 7,238 1,100 Smith (A.O.) Corp ............................... 32,450 2,500 * Sonic Corp ...................................... 55,623 SEE NOTES TO FINANCIAL STATEMENTS B-161 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 3,000 * Sotheby's Holdings, Inc (Class A) ............... $ 26,400 2,500 * Spanish Broadcasting System, Inc (Class A) ...... 20,000 600 Spartan Motors, Inc ............................. 6,744 900 * Speedway Motorsports, Inc ....................... 21,582 1,600 * Sports Resorts International, Inc ............... 7,440 1,400 * Stage Stores, Inc ............................... 33,110 500 Standard Motor Products, Inc .................... 6,070 300 * Stanley Furniture Co, Inc ....................... 6,030 2,300 * Station Casinos, Inc ............................ 32,545 1,500 * Stein Mart, Inc ................................. 11,550 900 * Stoneridge, Inc ................................. 15,066 2,700 Stride Rite Corp ................................ 21,600 1,300 Sturm Ruger & Co, Inc ........................... 17,407 1,500 Superior Industries International, Inc .......... 71,730 2,100 * Sylvan Learning Systems, Inc .................... 27,930 300 Tanger Factory Outlet Centers, Inc .............. 8,394 1,100 * TBC Corp ........................................ 12,023 2,600 * Tenneco Automotive, Inc ......................... 14,716 2,200 * The Sports Authority, Inc ....................... 12,980 1,500 * The Steak n Shake Co ............................ 19,590 500 * Thomas Nelson, Inc .............................. 4,995 1,000 Thor Industries, Inc ............................ 34,400 2,700 * THQ, Inc ........................................ 63,990 2,300 * Too, Inc ........................................ 54,073 2,500 * Topps Co, Inc ................................... 21,750 4,200 * Tower Automotive, Inc ........................... 33,600 400 * Tropical Sportswear International Corp .......... 6,753 2,200 * Tyler Technologies, Inc ......................... 9,966 3,400 * Unifi, Inc ...................................... 25,262 900 * Universal Electronics, Inc ...................... 9,261 500 * Urban Outfitters, Inc ........................... 13,690 600 * Vail Resorts, Inc ............................... 9,570 1,300 * Vans, Inc ....................................... 9,035 2,200 * Vastera, Inc .................................... 8,556 1,600 * Wabash National Corp ............................ 8,400 700 * West Marine, Inc ................................ 8,890 2,300 * Westpoint Stevens, Inc .......................... 2,737 1,700 * Wet Seal, Inc (Class A) ......................... 21,284 1,000 * Wilsons The Leather Experts, Inc ................ 7,690 800 Winnebago Industries, Inc ....................... 33,992 1,500 * WMS Industries, Inc ............................. 23,100 2,800 Wolverine World Wide, Inc ....................... 46,676 600 Woodward Governor Co ............................ 29,310 700 * World Wrestling Federation Entertainment, Inc ... 6,790 3,700 * XM Satellite Radio Holdings, Inc ................ 19,573 1,000 * Young Broadcasting, Inc (Class A) ............... 10,990 2,000 * Zomax, Inc ...................................... 8,400 ----------- TOTAL CONSUMER CYCLICAL 5,112,577 ----------- CONSUMER NON-CYCLICAL--5.38% 800 * 1-800-Flowers.com, Inc (Class A) ................ 6,848 1,600 * 7-Eleven, Inc ................................... 14,480 800 * AC Moore Arts & Crafts, Inc ..................... 17,720 1,100 * American Italian Pasta Co (Class A) ............. 41,800 1,100 * Applica, Inc .................................... 5,445 500 * Asbury Automotive Group, Inc .................... 5,690 1,600 * Aurora Foods, Inc ............................... 2,128 2,200 Blyth, Inc ...................................... 61,490 2,200 * The Bombay Co, Inc .............................. 6,094 600 * Boston Beer Co, Inc (Class A) ................... 8,460 200 Bridgford Foods Corp ............................ 2,098 2,500 * Cadiz, Inc ...................................... 9,750 2,600 Casey's General Stores, Inc ..................... 32,500 2,400 * Chiquita Brands International, Inc .............. 38,712 100 Coca-Cola Bottling Co Consolidated .............. 4,700 SHARES VALUE ------ ----- 2,300 Corn Products International, Inc ................ $ 65,665 1,300 * Cost Plus, Inc .................................. 34,307 300 Deb Shops, Inc .................................. 8,316 300 * DEL Laboratories, Inc ........................... 5,760 1,800 * Del Monte Foods Co .............................. 16,542 2,500 Delta & Pine Land Co ............................ 47,100 2,800 DIMON, Inc ...................................... 17,864 1,700 * Drugstore.Com, Inc .............................. 3,264 1,500 * Duane Reade, Inc ................................ 24,735 700 * Electronics Boutique Holdings Corp .............. 20,328 1,100 * FAO, Inc ........................................ 4,202 900 * Factory 2-U Stores, Inc ......................... 2,160 100 Farmer Brothers Co .............................. 32,200 400 * Finlay Enterprises, Inc ......................... 7,160 3,100 Fleming Cos, Inc ................................ 17,670 1,500 * Flowers Foods, Inc .............................. 32,535 1,300 * FTI Consulting, Inc ............................. 50,739 400 * Gaiam, Inc ...................................... 4,620 700 * Galyans Trading Co, Inc ......................... 7,616 400 * Gart Sports Co .................................. 8,232 1,100 * Great Atlantic & Pacific Tea Co, Inc ............ 11,022 200 * Green Mountain Coffee, Inc ...................... 2,860 1,600 * Hain Celestial Group, Inc ....................... 26,304 400 * Horizon Organic Holding Corp .................... 5,852 1,600 Hughes Supply, Inc .............................. 49,456 700 Ingles Markets, Inc (Class A) ................... 8,154 2,800 * Insight Enterprises, Inc ........................ 33,236 200 Inter Parfums, Inc .............................. 1,300 3,000 Interface, Inc (Class A) ........................ 15,000 1,100 * International Multifoods Corp ................... 22,858 2,900 Interstate Bakeries Corp ........................ 65,975 400 * J & J Snack Foods Corp .......................... 16,104 1,200 * Jill (J.) Group, Inc ............................ 26,340 3,000 JM Smucker Co ................................... 115,080 1,600 Lance, Inc ...................................... 20,576 700 * Lithia Motors, Inc (Class A) .................... 13,930 2,100 Longs Drug Stores Corp .......................... 52,500 500 * MarineMax, Inc .................................. 5,600 1,100 * Marvel Enterprises, Inc ......................... 6,985 900 * Monterey Pasta Co ............................... 5,373 600 Movado Group, Inc ............................... 10,314 700 Nash Finch Co ................................... 11,515 200 * National Beverage Corp .......................... 2,730 800 Nature's Sunshine Products, Inc ................. 8,768 2,800 * NBTY, Inc ....................................... 46,732 400 * Netflix, Inc .................................... 4,920 3,000 Nu Skin Enterprises, Inc (Class A) .............. 39,000 7,900 * OfficeMax, Inc .................................. 38,315 1,000 Oneida Ltd ...................................... 15,400 200 * Overstock.com, Inc .............................. 1,210 400 * Party City Corp ................................. 6,036 2,000 * Pathmark Stores, Inc ............................ 22,600 500 * PC Connection, Inc .............................. 2,955 600 * Peets Coffee & Tea, Inc ......................... 9,180 700 * Penn Traffic Co ................................. 5,355 3,200 Pep Boys-Manny Moe & Jack ....................... 46,016 4,100 * Perrigo Co ...................................... 44,825 1,000 Pilgrim's Pride Corp (Class B) .................. 8,970 1,900 * Playtex Products, Inc ........................... 18,905 8,500 * Priceline.com, Inc .............................. 19,380 1,100 * Princeton Review, Inc ........................... 6,798 2,000 * Ralcorp Holdings, Inc ........................... 46,160 1,200 * Restoration Hardware, Inc ....................... 6,840 600 * Revlon, Inc (Class A) ........................... 2,268 600 * Robert Mondavi Corp (Class A) ................... 20,394 SEE NOTES TO FINANCIAL STATEMENTS B-162 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER NON-CYCLICAL--(CONTINUED) 2,100 Ruddick Corp .................................... $ 37,401 700 Russ Berrie & Co, Inc ........................... 23,478 300 Sanderson Farms, Inc ............................ 5,429 1,000 Schweitzer-Mauduit International, Inc ........... 22,050 900 * Seminis, Inc (Class A) .......................... 2,700 2,900 Sensient Technologies Corp ...................... 66,207 500 * Sharper Image Corp .............................. 10,326 2,400 * Shop At Home, Inc ............................... 5,136 1,000 * Skechers U.S.A., Inc (Class A) .................. 10,330 800 * Smart & Final, Inc .............................. 4,200 2,300 * Stamps.com, Inc ................................. 10,051 800 Standard Commercial Corp ........................ 15,648 300 * Steinway Musical Instruments, Inc ............... 5,010 400 Stepan Co ....................................... 10,920 500 Tasty Baking Co ................................. 7,545 1,000 Thomas Industries, Inc .......................... 27,000 900 * Tractor Supply Co ............................... 30,087 1,100 * Trans World Entertainment Corp .................. 5,577 900 * Triarc Cos, Inc ................................. 21,870 600 * Tuesday Morning Corp ............................ 10,920 3,500 Tupperware Corp ................................. 62,545 1,300 * Tweeter Home Entertainment Group, Inc ........... 10,634 1,100 * United Auto Group, Inc .......................... 17,710 1,300 * United Natural Foods, Inc ....................... 25,974 1,800 Universal Corp .................................. 69,120 1,400 * Valuevision International, Inc (Class A) ........ 18,619 1,400 Vector Group Ltd ................................ 22,806 600 * Virbac Corp ..................................... 3,012 700 Weis Markets, Inc ............................... 23,303 700 * Whitehall Jewellers, Inc ........................ 8,624 1,300 * Wild Oats Markets, Inc .......................... 15,080 1,800 * Yankee Candle Co, Inc ........................... 31,860 ----------- TOTAL CONSUMER NON-CYCLICAL 2,260,193 ----------- ENERGY--3.43% 1,100 * 3TEC Energy Corp ................................ 16,390 600 * Atwood Oceanics, Inc ............................ 18,480 1,100 Berry Petroleum Co (Class A) .................... 18,205 2,300 * Tom Brown, Inc .................................. 55,522 1,900 Cabot Oil & Gas Corp (Class A) .................. 41,990 2,500 * Cal Dive International, Inc ..................... 53,150 600 CARBO Ceramics, Inc ............................. 19,848 9,500 * Chesapeake Energy Corp .......................... 59,090 1,500 * Comstock Resources, Inc ......................... 9,300 1,600 * Denbury Resources, Inc .......................... 16,144 500 * Dril-Quip, Inc .................................. 9,100 600 * Encore Acquisition Co ........................... 10,500 1,300 * Energy Partners Ltd ............................. 10,335 1,300 * Evergreen Resources, Inc ........................ 49,894 1,000 * Exploration Co Of Delaware, Inc ................. 5,900 1,800 Frontier Oil Corp ............................... 23,400 1,000 Getty Realty Corp ............................... 19,850 4,500 * Global Industries Ltd ........................... 20,385 11,200 * Grey Wolf, Inc .................................. 35,840 500 * Gulf Island Fabrication, Inc .................... 5,840 3,300 * Hanover Compressor Co ........................... 35,904 2,300 * Harvest Natural Resources, Inc .................. 9,131 700 Holly Corp ...................................... 12,250 1,200 * Horizon Offshore, Inc ........................... 6,108 700 * Houston Exploration Co .......................... 21,350 800 * Hydril Co ....................................... 20,680 3,000 * Input/Output, Inc ............................... 20,460 6,500 * Key Energy Services, Inc ........................ 51,675 1,000 * Key Production Co, Inc .......................... 17,010 400 Lufkin Industries, Inc .......................... 11,084 SHARES VALUE ------ ----- 3,200 * Magnum Hunter Resources, Inc .................... $ 16,928 2,500 * Maverick Tube Corp .............................. 29,100 2,200 * Meridian Resource Corp .......................... 5,478 1,100 * Nuevo Energy Co ................................. 12,364 1,600 * Oceaneering International, Inc .................. 39,680 5,200 * Parker Drilling Co .............................. 12,376 1,600 Patina Oil & Gas Corp ........................... 45,584 200 * Petroleum Helicopters (Vote) .................... 5,870 1,600 * Plains Resources, Inc ........................... 40,688 700 * Prima Energy Corp ............................... 14,462 1,200 * Pure Resources, Inc ............................. 27,600 3,400 * Range Resources Corp ............................ 16,150 1,400 * Remington Oil & Gas Corp ........................ 20,314 700 RPC, Inc ........................................ 8,750 1,200 * Seacor Smit, Inc ................................ 46,800 1,600 * Spinnaker Exploration Co ........................ 48,080 1,900 St. Mary Land & Exploration Co .................. 44,650 1,500 * Stone Energy Corp ............................... 49,800 3,300 * Superior Energy Services, Inc ................... 26,301 1,600 * Swift Energy Co ................................. 19,632 4,400 * Tesoro Petroleum Corp ........................... 14,388 1,000 * Transmontaigne, Inc ............................. 5,100 1,500 * Trico Marine Services, Inc ...................... 4,830 2,400 * Unit Corp ....................................... 42,384 1,100 * Universal Compression Holdings, Inc ............. 22,220 2,100 * Veritas DGC, Inc ................................ 24,654 3,300 Vintage Petroleum, Inc .......................... 34,254 1,600 * W-H Energy Services, Inc ........................ 24,816 1,100 * Westport Resources Corp ......................... 20,031 600 World Fuel Services Corp ........................ 11,220 ----------- TOTAL ENERGY 1,439,319 ----------- FINANCIAL SERVICES--22.89% 700 ABC Bancorp ..................................... 9,373 900 Acadia Realty Trust ............................. 6,750 1,600 Advanta Corp (Class A) .......................... 15,120 700 Alabama National Bancorp ........................ 31,115 1,200 Alexandria Real Estate Equities, Inc ............ 51,600 2,300 Alfa Corp ....................................... 29,621 800 Allegiant Bancorp, Inc .......................... 13,080 1,700 Amcore Financial, Inc ........................... 39,100 400 American National Bankshares, Inc ............... 10,640 2,800 American Capital Strategies Ltd ................. 53,704 1,600 American Financial Holdings, Inc ................ 49,520 600 American Home Mortgage Holdings, Inc ............ 7,098 600 * American Physicians Capital, Inc ................ 10,710 6,200 * Ameritrade Holding Corp ......................... 23,002 1,000 AMLI Residential Properties Trust ............... 22,100 1,400 Anchor Bancorp Wisconsin, Inc ................... 29,260 3,100 Anthracite Capital, Inc ......................... 38,285 1,500 Anworth Mortgage Asset Corp ..................... 20,220 2,000 Apex Mortgage Capital, Inc ...................... 26,180 1,500 Argonaut Group, Inc ............................. 24,060 400 Arrow Financial Corp ............................ 12,820 1,100 Associated Estates Realty Corp .................. 9,108 400 Baldwin & Lyons, Inc (Class B) .................. 8,340 900 * Banc Corp ....................................... 7,110 300 Bancfirst Corp .................................. 14,400 700 Bank Mutual Corp ................................ 14,959 900 Bank Of Granite Corp ............................ 16,920 300 Bank Of The Ozarks, Inc ......................... 7,683 2,800 BankAtlantic Bancorp, Inc (Class A) ............. 26,880 1,500 * Bankunited Financial Corp (Class A) ............. 22,785 700 Banner Corp ..................................... 14,210 4,200 * Bay View Capital Corp ........................... 23,856 800 * Beazer Homes U.S.A., Inc ........................ 57,200 SEE NOTES TO FINANCIAL STATEMENTS B-163 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 1,000 Bedford Property Investors, Inc ................. $ 25,600 400 Berkshire Hills Bancorp, Inc .................... 9,996 400 * BKF Capital Group, Inc .......................... 8,920 1,300 Boston Private Financial Holdings, Inc .......... 28,834 300 Bostonfed Bancorp, Inc .......................... 9,120 1,200 Boykin Lodging Co ............................... 11,256 1,800 Brandywine Realty Trust ......................... 40,266 3,900 Brookline Bancorp, Inc .......................... 47,580 200 Bryn Mawr Bank Corp ............................. 7,964 600 BSB Bancorp, Inc ................................ 12,540 200 California First National Bancorp ............... 2,724 500 Camden National Corp ............................ 12,250 1,400 Capital Automotive REIT ......................... 35,000 500 Capital City Bank Group, Inc .................... 17,825 500 Capitol Bancorp Ltd ............................. 10,480 700 Capstead Mortgage Corp .......................... 14,875 800 Cascade Bancorp ................................. 11,200 1,500 Cash America International, Inc ................. 11,910 1,000 Cathay Bancorp, Inc ............................. 43,230 200 CB Bancshares, Inc .............................. 7,592 1,400 CBL & Associates Properties, Inc ................ 55,090 600 CCBT Financial Cos, Inc ......................... 15,606 800 * CCC Information Services Group, Inc ............. 10,632 1,400 Centennial Bancorp .............................. 12,488 700 Center Trust, Inc ............................... 4,060 500 * Central Coast Bancorp ........................... 9,595 200 Century Bancorp, Inc (Class A) .................. 5,360 1,300 * Ceres Group, Inc ................................ 2,886 800 CFS Bancorp, Inc ................................ 11,239 300 Charter Financial Corp .......................... 8,952 2,800 Charter Municipal Mortgage Acceptance Co ........ 50,092 1,500 Chateau Communities, Inc ........................ 41,925 1,900 Chelsea Property Group, Inc ..................... 64,676 1,500 Chemical Financial Corp ......................... 43,395 2,000 Chittenden Corp ................................. 60,400 600 Citizens First Bancorp, Inc ..................... 11,760 1,500 * Citizens, Inc ................................... 12,765 500 City Bank ....................................... 14,695 1,200 City Holding Co ................................. 30,624 1,000 * Clark/Bardes, Inc ............................... 17,300 1,000 CNA Surety Corp ................................. 13,060 300 Coastal Bancorp, Inc ............................ 8,949 600 Coastal Financial Corp .......................... 8,664 500 CoBiz, Inc ...................................... 7,950 1,000 Colonial Properties Trust ....................... 36,050 400 Columbia Bancorp ................................ 7,580 900 * Columbia Banking System, Inc .................... 10,377 1,700 Commerce Group, Inc ............................. 64,158 3,100 Commercial Federal Corp ......................... 72,416 2,500 Commercial Net Lease Realty, Inc ................ 40,125 500 Commonwealth Bancorp, Inc ....................... 14,820 800 Community Bank System, Inc ...................... 23,848 500 Community Banks, Inc ............................ 13,345 2,700 Community First Bankshares, Inc ................. 72,765 800 Community Trust Bancorp, Inc .................... 21,904 1,200 * CompuCredit Corp ................................ 6,204 800 Connecticut Bancshares, Inc ..................... 29,800 3,300 Cornerstone Realty Income Trust, Inc ............ 31,647 1,100 Corporate Office Properties Trust ............... 15,290 500 Correctional Properties Trust ................... 10,750 1,900 * Corrections Corp Of America ..................... 30,210 600 Corus Bankshares, Inc ........................... 25,962 500 CPB, Inc ........................................ 22,440 1,800 Crawford & Co (Class B) ......................... 13,806 SHARES VALUE ------ ----- 900 * Credit Acceptance Corp .......................... $ 8,685 1,700 Crown American Realty Trust ..................... 16,218 1,900 * CSK Auto Corp ................................... 24,719 1,800 CVB Financial Corp .............................. 42,174 900 Delphi Financial Group, Inc (Class A) ........... 34,992 1,500 Dime Community Bancshares ....................... 33,240 1,600 East West Bancorp, Inc .......................... 52,304 1,000 Eastgroup Properties, Inc ....................... 26,250 900 * Electro Rent Corp ............................... 9,990 200 EMC Insurance Group, Inc ........................ 2,976 1,100 Entertainment Properties Trust .................. 24,739 400 Equity One, Inc ................................. 5,492 1,000 Essex Property Trust, Inc ....................... 51,790 1,000 * Euronet Worldwide, Inc .......................... 7,650 700 F & M Bancorp ................................... 22,400 400 Farmers Capital Bank Corp ....................... 13,840 800 FBL Financial Group, Inc (Class A) .............. 14,544 1,400 FBR Asset Investment Corp ....................... 48,300 600 * Federal Agricultural Mortgage Corp (Class C) .... 17,106 2,600 Federal Realty Investment Trust ................. 70,928 3,000 FelCor Lodging Trust, Inc ....................... 43,200 1,100 Fidelity Bankshares, Inc ........................ 22,352 800 * Financial Federal Corp .......................... 26,704 500 Financial Industries Corp ....................... 7,675 500 Financial Institutions, Inc ..................... 13,850 1,500 First Bancorp Puerto Rico ....................... 60,765 500 First Bancorp North Carolina .................... 12,500 100 * First Banks America, Inc ........................ 4,030 600 First Busey Corp ................................ 13,350 2,100 First Charter Corp .............................. 36,057 400 First Citizens Bancshares, Inc (Class A) ........ 42,036 3,900 First Commonwealth Financial Corp ............... 49,296 500 First Community Bancorp ......................... 14,475 600 First Community Bancshares ...................... 18,180 400 First Defiance Financial Corp ................... 7,356 400 First Essex Bancorp, Inc ........................ 13,200 1,200 First Federal Capital Corp ...................... 23,100 2,500 First Financial Bancorp ......................... 44,650 800 First Financial Bankshares, Inc ................. 30,392 500 First Financial Corp (Indiana) .................. 25,270 900 First Financial Holdings, Inc ................... 26,424 800 First Indiana Corp .............................. 14,800 1,000 First Merchants Corp ............................ 27,570 500 First National Corp ............................. 14,500 600 First Niagara Financial Group, Inc .............. 17,700 300 First Oak Brook Bancshares, Inc ................. 9,567 200 First Of Long Island Corp ....................... 6,790 900 First Place Financial Corp ...................... 15,750 700 * First Republic Bank ............................. 15,428 1,700 First Sentinel Bancorp, Inc ..................... 23,579 1,000 1st Source Corp ................................. 16,900 200 First South Bancorp, Inc ........................ 7,034 400 First State Bancorp ............................. 9,704 500 Firstfed America Bancorp, Inc ................... 12,000 1,200 * FirstFed Financial Corp ......................... 30,960 900 Flagstar Bancorp, Inc ........................... 18,621 700 Flushing Financial Corp ......................... 12,201 400 FNB Corp (Virginia) ............................. 12,720 600 * FPIC Insurance Group, Inc ....................... 5,424 200 Franklin Financial Corp ......................... 4,930 3,900 Fremont General Corp ............................ 19,812 1,000 * Friedman, Billings, Ramsey Group, Inc ........... 9,900 1,100 Frontier Financial Corp ......................... 27,941 400 * Gabelli Asset Management, Inc (Class A) ......... 12,116 1,700 Gables Residential Trust ........................ 48,739 SEE NOTES TO FINANCIAL STATEMENTS B-164 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 5,500 * Gartner, Inc (Class A) .......................... $ 52,195 500 GBC Bancorp ..................................... 10,275 600 German American Bancorp ......................... 10,854 1,100 Glacier Bancorp, Inc ............................ 25,300 600 Gladstone Capital Corp .......................... 10,230 1,100 Glenborough Realty Trust, Inc ................... 22,594 2,000 Glimcher Realty Trust ........................... 38,000 2,000 Gold Banc Corp, Inc ............................. 19,900 300 Granite State Bankshares, Inc ................... 10,200 500 Great American Financial Resources, Inc ......... 7,975 900 Great Lakes REIT, Inc ........................... 15,750 400 Great Southern Bancorp, Inc ..................... 14,400 900 Hancock Holding Co .............................. 43,632 600 * Hanmi Financial Corp ............................ 9,270 1,500 Harbor Florida Bancshares, Inc .................. 33,600 2,000 Harleysville Group, Inc ......................... 46,760 1,300 Harleysville National Corp ...................... 33,657 400 * Hawthorne Financial Corp ........................ 10,392 2,600 Health Care REIT, Inc ........................... 72,800 2,800 Healthcare Realty Trust, Inc .................... 88,480 1,200 Heritage Property Investment Trust .............. 29,664 1,900 Hilb, Rogal & Hamilton Co ....................... 85,025 1,700 Home Properties Of New York, Inc ................ 58,225 5,200 * Homestore, Inc .................................. 2,080 3,600 Hooper Holmes, Inc .............................. 22,572 2,400 Horace Mann Educators Corp ...................... 38,568 8,700 HRPT Properties Trust ........................... 72,297 1,000 Hudson River Bancorp, Inc ....................... 26,220 700 Humboldt Bancorp ................................ 8,918 400 IBERIABANK Corp ................................. 15,852 2,900 IMPAC Mortgage Holdings, Inc .................... 35,496 200 Independence Holding Co ......................... 3,700 800 Independent Bank Corp (Massachusetts) ........... 17,304 800 Independent Bank Corp (Michigan) ................ 26,720 1,700 Innkeepers U.S.A. Trust ......................... 14,501 1,300 * Insignia Financial Group, Inc ................... 10,660 700 * Insurance Auto Auctions, Inc .................... 12,600 1,000 Integra Bank Corp ............................... 20,760 600 Interchange Financial Services Co ............... 10,050 1,600 International Bancshares Corp ................... 63,600 1,900 Investors Real Estate Trust ..................... 19,437 2,300 IRT Property Co ................................. 28,152 1,000 Irwin Financial Corp ............................ 17,290 300 * Itla Capital Corp ............................... 9,000 2,900 * ITT Educational Services, Inc ................... 52,925 2,400 JDN Realty Corp ................................. 30,576 1,300 Jefferies Group, Inc ............................ 56,680 2,000 * Jones Lang LaSalle, Inc ......................... 43,000 200 Kansas City Life Insurance Co ................... 7,808 1,000 Keystone Property Trust ......................... 16,740 1,600 Kilroy Realty Corp .............................. 39,040 5,500 * Knight Trading Group, Inc ....................... 23,375 1,300 Koger Equity, Inc ............................... 23,010 1,200 Kramont Realty Trust ............................ 18,360 9,300 * La Quinta Corp .................................. 48,639 700 Lakeland Bancorp, Inc ........................... 13,398 300 Lakeland Financial Corp ......................... 7,425 1,300 Landamerica Financial Group, Inc ................ 45,695 100 Leeds Federal Bankshares, Inc ................... 3,160 500 * LendingTree, Inc ................................ 7,995 1,600 Lexington Corporate Properties Trust ............ 26,240 1,100 Liberty Corp .................................... 41,734 1,500 LNR Property Corp ............................... 52,080 1,300 * Local Financial Corp ............................ 19,097 SHARES VALUE ------ ----- 600 LSB Bancshares, Inc ............................. $ 10,170 900 LTC Properties, Inc ............................. 6,318 400 Macatawa Bank Corp .............................. 7,800 2,200 Macerich Co ..................................... 67,980 1,300 MAF Bancorp, Inc ................................ 44,590 700 Main Street Banks, Inc .......................... 13,475 400 MainSource Financial Group, Inc ................. 9,812 900 Manufactured Home Communities, Inc .............. 29,790 300 MASSBANK Corp ................................... 9,435 800 MB Financial, Inc ............................... 27,696 1,500 MCG Capital Corp ................................ 23,805 500 Medford Bancorp, Inc ............................ 17,460 100 * MEEMIC Holdings, Inc ............................ 2,898 300 Merchants Bancshares, Inc ....................... 7,500 2,800 Meristar Hospitality Corp ....................... 29,680 600 * Meritage Corp ................................... 23,736 2,100 Metris Cos, Inc ................................. 7,371 2,900 MFA Mortgage Investments, Inc ................... 28,101 1,200 Mid Atlantic Realty Trust ....................... 18,600 1,000 Mid-America Apartment Communities, Inc .......... 25,600 1,600 Mid-State Bancshares ............................ 28,480 500 Midland Co ...................................... 10,215 600 Midwest Banc Holdings, Inc ...................... 11,412 1,500 Mills Corp ...................................... 43,500 1,000 Mission West Properties, Inc .................... 11,990 400 Mississippi Valley Bancshares, Inc .............. 20,628 300 Nara Bancorp, Inc ............................... 5,517 200 NASB Financial, Inc ............................. 4,150 1,600 National Health Investors, Inc .................. 24,352 400 National Health Realty, Inc ..................... 6,552 1,200 National Penn Bancshares, Inc ................... 34,020 100 * National Western Life Insurance Co (Class A) .... 10,300 3,300 Nationwide Health Properties, Inc ............... 57,255 300 * Navigators Group, Inc ........................... 6,915 533 NBC Capital Corp ................................ 13,938 2,000 NBT Bancorp, Inc ................................ 36,480 3,300 * NetBank, Inc .................................... 38,181 1,100 New Century Financial Corp ...................... 34,331 700 Northwest Bancorp, Inc .......................... 9,589 700 Novastar Financial, Inc ......................... 20,650 100 * NYMAGIC, Inc .................................... 1,476 700 OceanFirst Financial Corp ....................... 16,380 2,500 * Ocwen Financial Corp ............................ 7,925 1,100 Odyssey Re Holdings Corp ........................ 18,810 3,400 * Ohio Casualty Corp .............................. 58,208 500 Old Second Bancorp, Inc ......................... 18,410 600 Omega Financial Corp ............................ 20,088 800 Oriental Financial Group, Inc ................... 17,600 2,400 Pacific Capital Bancorp ......................... 65,760 1,100 Pacific Northwest Bancorp ....................... 32,846 700 * Pacific Union Bank .............................. 8,568 2,200 Pan Pacific Retail Properties, Inc .............. 74,580 300 Parkvale Financial Corp ......................... 7,410 500 Parkway Properties, Inc ......................... 18,065 500 Partners Trust Financial Group, Inc ............. 6,980 200 Peapack Gladstone Financial Corp ................ 12,650 400 Pennfed Financial Services, Inc ................. 10,800 500 Pennrock Financial Services Corp ................ 14,500 900 Pennsylvania Real Estate Investment Trust ....... 23,391 500 Peoples Bancorp, Inc ............................ 14,275 400 Peoples Holding Co .............................. 16,400 800 PFF Bancorp, Inc ................................ 23,920 1,100 * Philadelphia Consolidated Holding Corp .......... 39,875 400 * Pico Holdings, Inc .............................. 5,160 1,800 PMA Capital Corp (Class A) ...................... 28,440 SEE NOTES TO FINANCIAL STATEMENTS B-165 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 300 Port Financial Corp ............................. $ 11,418 2,300 Post Properties, Inc ............................ 66,677 2,100 Prentiss Properties Trust ....................... 62,223 1,400 Presidential Life Corp .......................... 22,414 1,300 * Price Legacy Corp ............................... 3,770 300 PrivateBancorp, Inc ............................. 9,375 1,500 * ProAssurance Corp ............................... 24,900 700 Prosperity Bancshares, Inc ...................... 12,565 200 Provident Bancorp, Inc .......................... 5,830 1,600 Provident Bankshares Corp ....................... 35,776 700 PS Business Parks, Inc .......................... 24,255 300 * Quaker City Bancorp, Inc ........................ 10,245 1,000 R & G Financial Corp (Class B) .................. 21,940 1,000 RAIT Investment Trust ........................... 23,150 600 Ramco-Gershenson Properties ..................... 11,826 2,300 Realty Income Corp .............................. 78,315 800 Redwood Trust, Inc .............................. 23,648 3,200 Republic Bancorp, Inc ........................... 41,760 500 Republic Bancorp, Inc (Kentucky) (Class A) ...... 5,890 300 * Republic Bancshares, Inc ........................ 6,027 1,000 Resource America, Inc (Class A) ................. 8,150 2,000 RFS Hotel Investors, Inc ........................ 23,100 900 Riggs National Corp ............................. 13,005 400 RLI Corp ........................................ 22,548 300 Royal Bancshares Of Pennsylvania (Class A) ...... 5,655 1,800 S & T Bancorp, Inc .............................. 46,260 400 S.Y. Bancorp, Inc ............................... 14,480 1,000 Sandy Spring Bancorp, Inc ....................... 33,300 600 Santander Bancorp ............................... 9,618 700 Saul Centers, Inc ............................... 16,268 1,900 * Saxon Capital, Inc .............................. 25,175 700 Seacoast Banking Corp Of Florida ................ 13,825 1,600 Seacoast Financial Services Corp ................ 34,528 600 Second Bancorp, Inc ............................. 16,338 1,800 Selective Insurance Group, Inc .................. 44,820 3,100 Senior Housing Properties Trust ................. 39,060 500 Simmons First National Corp (Class A) ........... 18,990 800 Sizeler Property Investors ...................... 8,304 1,800 SL Green Realty Corp ............................ 58,554 5,000 * SoundView Technology Group, Inc ................. 7,200 2,700 South Financial Group, Inc ...................... 57,159 300 Southwest Bancorp, Inc .......................... 7,980 1,900 * Southwest Bancorp Of Texas, Inc ................. 71,345 900 Sovran Self Storage, Inc ........................ 27,657 500 St. Francis Capital Corp ........................ 11,209 800 State Auto Financial Corp ....................... 12,080 500 State Bancorp, Inc .............................. 8,660 3,700 Staten Island Bancorp, Inc ...................... 67,191 600 Sterling Bancorp ................................ 16,932 2,600 Sterling Bancshares, Inc ........................ 36,868 1,100 Sterling Financial Corp (Pennsylvania) .......... 27,588 800 * Sterling Financial Corp/Spokane ................. 15,200 1,200 * Stewart Information Services Corp ............... 23,640 800 Suffolk Bancorp ................................. 25,600 400 Summit Bancshares, Inc .......................... 9,080 1,500 Summit Properties, Inc .......................... 30,825 300 Sun Bancorp, Inc ................................ 6,885 1,000 Sun Communities, Inc ............................ 36,990 400 * Sun Bancorp, Inc ................................ 5,400 500 Superior Financial Corp ......................... 9,500 2,600 Susquehanna Bancshares, Inc ..................... 59,176 900 SWS Group, Inc .................................. 11,763 1,300 * Syntroleum Corp ................................. 2,249 1,900 Taubman Centers, Inc ............................ 27,550 SHARES VALUE ------ ----- 1,500 Texas Regional Bancshares, Inc (Class A) ........ $ 54,375 3,000 Thornburg Mortgage, Inc ......................... 58,710 600 Three Rivers Bancorp, Inc ....................... 10,080 500 Tompkins Trustco, Inc ........................... 24,025 1,000 Town & Country Trust ............................ 21,800 2,000 * Trammell Crow Co ................................ 20,680 200 * Transcontinental Realty Investors, Inc .......... 3,336 600 * Triad Guaranty, Inc ............................. 24,300 300 Trico Bancshares ................................ 7,599 600 Troy Financial Corp ............................. 16,662 1,300 Trust Co Of New Jersey .......................... 32,461 4,800 Trustco Bank Corp NY ............................ 56,400 1,300 U.S. Restaurant Properties, Inc ................. 19,175 800 U.S.B. Holding Co, Inc .......................... 13,536 1,200 UCBH Holdings, Inc .............................. 46,068 2,600 * UICI ............................................ 45,760 1,100 UMB Financial Corp .............................. 44,495 1,300 Umpqua Holdings Corp ............................ 21,840 700 * Union Acceptance Corp (Class A) ................. 2,905 500 Union Bankshares Corp ........................... 11,615 2,500 United Bankshares, Inc .......................... 74,250 1,100 United Community Banks, Inc ..................... 28,314 2,100 United Community Financial Corp ................. 18,648 500 United Fire & Casualty Co ....................... 18,135 1,100 United National Bancorp ......................... 23,760 1,600 * Universal American Financial Corp ............... 9,888 700 Universal Health Realty Income Trust ............ 19,012 1,500 Unizan Financial Corp ........................... 29,760 1,200 Urstadt Biddle Properties, Inc (Class A) ........ 13,716 100 Value Line, Inc ................................. 4,050 2,300 Vesta Insurance Group, Inc ...................... 6,624 800 * VIB Corp ........................................ 11,960 500 Virginia Financial Group, Inc ................... 15,050 2,900 W Holding Co, Inc ............................... 51,127 200 Warwick Community Bancorp ....................... 5,120 2,500 Washington Real Estate Investment Trust ......... 65,900 900 Washington Trust Bancorp, Inc ................... 18,450 2,500 Waypoint Financial Corp ......................... 44,123 400 * Wellsford Real Properties, Inc .................. 7,160 1,500 Wesbanco, Inc ................................... 37,470 1,100 West Coast Bancorp .............................. 17,422 800 Westcorp ........................................ 16,216 300 Westfield Financial, Inc ........................ 4,650 500 * WFS Financial, Inc .............................. 10,825 300 Willow Grove Bancorp, Inc ....................... 3,600 1,200 Winston Hotels, Inc ............................. 9,528 1,000 Wintrust Financial Corp ......................... 32,089 700 * World Acceptance Corp ........................... 5,712 500 WSFS Financial Corp ............................. 13,245 10,100 * Wyndham International, Inc (Class A) ............ 5,353 400 Yardville National Bancorp ...................... 7,040 600 Zenith National Insurance Corp .................. 15,792 ----------- TOTAL FINANCIAL SERVICES 9,613,757 ----------- HEALTH CARE--13.11% 800 * aaiPharma, Inc .................................. 12,800 5,300 * Abgenix, Inc .................................... 38,478 800 * Abiomed, Inc .................................... 4,080 2,100 * Adolor Corp ..................................... 28,350 600 * Advanced Neuromodulation Systems, Inc ........... 21,426 4,900 * Advanced Tissue Sciences, Inc ................... 5,488 300 * Advisory Board Co/The ........................... 9,975 1,700 * Aksys Ltd ....................................... 10,013 900 * Alaris Medical, Inc ............................. 4,554 1,400 * Albany Molecular Research, Inc .................. 27,790 2,700 * Alderwoods Group, Inc ........................... 18,009 SEE NOTES TO FINANCIAL STATEMENTS B-166 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 1,200 * Alexion Pharmaceuticals, Inc .................... $ 14,584 2,200 * Align Technology, Inc ........................... 7,150 3,700 * Alkermes, Inc ................................... 28,675 800 * Alliance Imaging, Inc ........................... 10,624 1,500 * Allos Therapeutics, Inc ......................... 11,580 1,500 * Allscripts Healthcare Solutions, Inc ............ 3,600 2,000 Alpharma, Inc (Class A) ......................... 20,020 1,300 * American Medical Systems Holdings, Inc .......... 28,405 700 * American Healthways, Inc ........................ 11,900 400 * American Medical Security Group, Inc ............ 6,000 600 * American Pharmaceutical Partners, Inc ........... 10,020 700 * AMERIGROUP Corp ................................. 20,188 1,900 * Ameripath, Inc .................................. 31,255 1,400 * Amsurg Corp ..................................... 42,966 4,200 * Amylin Pharmaceuticals, Inc ..................... 54,516 1,500 * Antigenics, Inc ................................. 13,500 1,200 * Aphton Corp ..................................... 5,460 4,600 * Applera Corp (Celera Genomics Group) ............ 40,250 1,000 * Applied Molecular Evolution ..................... 4,600 2,800 * Apria Healthcare Group, Inc ..................... 65,520 1,300 * Arena Pharmaceuticals, Inc ...................... 8,216 1,900 * Ariad Pharmaceuticals, Inc ...................... 6,232 1,400 * Arqule, Inc ..................................... 9,268 1,300 * Array Biopharma, Inc ............................ 10,166 600 Arrow International, Inc ........................ 19,998 1,500 * Arthrocare Corp ................................. 19,470 1,700 * Atherogenics, Inc ............................... 11,900 1,400 * Atrix Laboratories, Inc ......................... 20,720 3,900 * AVANIR Pharmaceuticals (Class A) ................ 5,577 1,400 * Avigen, Inc ..................................... 12,040 800 * Benthley Pharmaceuticals, Inc ................... 7,600 6,600 * Beverly Enterprises, Inc ........................ 16,434 1,200 * Bio-Rad Laboratories, Inc (Class A) ............. 50,520 500 * Bio-Reference Labs, Inc ......................... 3,411 4,000 * Bio-Technology General Corp ..................... 13,800 2,500 * BioMarin Pharmaceutical, Inc .................... 10,773 1,300 * Biopure Corp .................................... 5,460 200 * Bioreliance Corp ................................ 4,052 800 * Biosite, Inc .................................... 23,520 600 * Bone Care International, Inc .................... 3,594 600 * Bradley Pharmaceuticals, Inc .................... 5,094 800 * Britesmile, Inc ................................. 840 600 * Bruker AXS, Inc ................................. 1,350 800 * Bruker Daltonics, Inc ........................... 3,832 1,700 * Caliper Technologies Corp ....................... 7,480 400 * Cantel Medical Corp ............................. 5,200 3,700 * Cardiac Science, Inc ............................ 4,773 2,100 * Cardiodynamics International Corp ............... 5,838 2,200 * Cell Genesys, Inc ............................... 26,840 2,300 * Cell Therapeutics, Inc .......................... 10,971 400 * Centene Corp .................................... 9,400 1,800 * Cepheid, Inc .................................... 7,704 900 * Cerus Corp ...................................... 16,110 400 * Chattem, Inc .................................... 15,200 800 * Cholestech Corp ................................. 10,160 1,000 * Cima Labs, Inc .................................. 23,370 1,400 * Ciphergen Biosystems, Inc ....................... 4,690 400 * Closure Medical Corp ............................ 5,220 600 * Cobalt Corp ..................................... 10,590 2,000 * Coherent, Inc ................................... 41,240 1,800 * Columbia Laboratories, Inc ...................... 8,100 200 * Computer Programs & Systems, Inc ................ 4,658 1,200 * Conceptus, Inc .................................. 18,348 1,800 * Conmed Corp ..................................... 36,990 SHARES VALUE ------ ----- 2,100 * Connetics Corp .................................. $ 21,756 1,000 Cooper Cos, Inc ................................. 52,080 3,100 * Corixa Corp ..................................... 21,514 400 * Corvel Corp ..................................... 11,620 4,200 * Covance, Inc .................................... 80,724 2,200 * Cross County, Inc ............................... 30,910 1,100 * CryoLife, Inc ................................... 3,531 1,800 * Cubist Pharmaceuticals, Inc ..................... 8,910 2,900 * CuraGen Corp .................................... 14,091 700 * Curative Health Services, Inc ................... 8,260 1,800 * CV Therapeutics, Inc ............................ 39,024 1,500 * Cyberonics, Inc ................................. 27,750 900 D&K Healthcare Resources, Inc ................... 21,285 800 Datascope Corp .................................. 22,968 2,500 * Decode Genetics, Inc ............................ 5,700 600 * Deltagen, Inc ................................... 900 2,100 * Dendrite International, Inc ..................... 15,435 600 * Dianon Systems, Inc ............................. 24,318 800 * Digene Corp ..................................... 6,968 1,100 * Discovery Partners International, Inc ........... 4,037 1,600 * Diversa Corp .................................... 14,352 500 * DJ Orthopedics, Inc ............................. 2,040 1,700 * Durect Corp ..................................... 7,582 800 * DVI, Inc ........................................ 10,848 400 * Dynacq International, Inc ....................... 5,564 2,300 * Eclipsys Corp ................................... 15,295 500 * Embrex, Inc ..................................... 5,850 1,400 * Endo Pharmaceuticals Holdings, Inc .............. 13,020 900 * Endocardial Solutions, Inc ...................... 2,646 1,200 * Endocare, Inc ................................... 12,828 1,600 * Enzo Biochem, Inc ............................... 22,400 2,900 * Enzon, Inc ...................................... 62,785 700 * Eon Labs, Inc ................................... 14,539 800 * EPIX Medical, Inc ............................... 4,016 600 * eResearch Technology, Inc ....................... 11,058 2,000 * Esperion Therapeutics, Inc ...................... 12,160 800 * Exact Sciences Corp ............................. 10,424 3,100 * Exelixis, Inc ................................... 15,190 1,500 * First Horizon Pharmaceutical .................... 9,345 1,900 * Gene Logic, Inc ................................. 16,283 600 * Genencor International, Inc ..................... 5,670 1,900 * Genesis Health Ventures, Inc .................... 28,120 2,900 * Genta, Inc ...................................... 21,167 2,600 * Genzyme Corp (Biosurgery Division) .............. 7,280 1,700 * Geron Corp ...................................... 8,058 1,600 * Guilford Pharmaceuticals, Inc ................... 6,560 1,200 * Haemonetics Corp ................................ 31,008 1,300 * Hanger Orthopedic Group, Inc .................... 22,672 1,200 * Harvard Bioscience, Inc ......................... 5,760 600 * Healthcare Services Group ....................... 7,200 1,000 * HealthExtras, Inc ............................... 4,260 500 * HealthTronics Surgical Services, Inc ............ 6,250 1,300 * Hologic, Inc .................................... 13,000 2,800 * I-many, Inc ..................................... 7,112 700 * ICU Medical, Inc ................................ 26,572 2,200 * Idexx Laboratories, Inc ......................... 66,682 1,100 * IDX Systems Corp ................................ 13,849 1,100 * Igen International, Inc ......................... 36,157 2,200 * Ilex Oncology, Inc .............................. 11,110 1,600 * Illumina, Inc ................................... 5,360 3,500 * ImClone Systems, Inc ............................ 26,845 400 * Immucor, Inc .................................... 10,700 2,700 * Immunogen, Inc .................................. 9,936 2,800 Immunomedics, Inc ................................. 15,932 1,000 * Impath, Inc ..................................... 10,820 SEE NOTES TO FINANCIAL STATEMENTS B-167 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 1,700 * Impax Laboratories, Inc ......................... $ 10,013 800 * Inamed Corp ..................................... 18,920 4,600 * Incyte Genomics, Inc ............................ 22,632 2,600 * Indevus Pharmaceuticals, Inc .................... 3,900 3,700 * Inhale Therapeutic Systems, Inc ................. 23,310 1,300 * Integra LifeSciences Holding .................... 20,280 1,800 * Integrated Silicon Solution, Inc ................ 8,694 1,700 * InterMune, Inc .................................. 49,793 1,200 * Interpore International ......................... 7,884 2,000 * Intuitive Surgical, Inc ......................... 16,200 1,800 Invacare Corp ................................... 64,170 500 * Inverness Medical Innovations, Inc .............. 6,945 3,200 * Isis Pharmaceuticals, Inc ....................... 28,704 700 * Kendle International, Inc ....................... 5,439 500 * Kensey Nash Corp ................................ 8,000 800 * Kindred Healthcare, Inc ......................... 29,872 400 * Kos Pharmaceuticals, Inc ........................ 4,916 1,100 * Kosan Biosciences, Inc .......................... 7,282 1,500 * KV Pharmaceutical Co (Class A) .................. 28,335 400 * Kyphon, Inc ..................................... 5,520 2,900 * La Jolla Pharmaceutical Co ...................... 14,761 400 * LabOne, Inc ..................................... 7,556 500 Landauer, Inc ................................... 16,060 200 * Lannett Co, Inc ................................. 2,120 2,300 * Lexicon Genetics, Inc ........................... 11,477 700 * Lifecore Biomedical, Inc ........................ 5,663 3,500 * Ligand Pharmaceuticals, Inc (Class B) ........... 23,275 1,300 * Luminex Corp .................................... 9,789 1,700 * Magellan Health Services, Inc ................... 1,173 1,400 * Martek Biosciences Corp ......................... 23,352 400 * Matria Healthcare, Inc .......................... 3,420 1,200 * MAXIMUS, Inc .................................... 26,700 2,000 * Maxygen, Inc .................................... 15,740 600 * Med-Design Corp ................................. 2,748 4,700 * Medarex, Inc .................................... 25,098 400 * Medcath Corp .................................... 6,176 500 * Medical Staffing Network Holdings, Inc .......... 8,150 1,600 * Medicines Co .................................... 15,984 700 * MedQuist, Inc ................................... 17,947 600 * MedSource Technologies, Inc ..................... 5,388 1,300 Mentor Corp ..................................... 38,987 200 * Meridian Medical Technologies, Inc .............. 5,102 800 * Merit Medical Systems, Inc ...................... 13,969 1,700 * MGI Pharma, Inc ................................. 11,526 1,600 * MIM Corp ........................................ 17,680 1,000 * Molecular Devices Corp .......................... 12,010 1,000 * Mright Medical Group, Inc ....................... 18,750 2,700 * Mykrolis Corp ................................... 19,602 1,600 * Myriad Genetics, Inc ............................ 27,085 2,600 * Nabi Biopharmaceuticals ......................... 14,531 1,700 * Napro Biotherapeutics, Inc ...................... 3,451 500 * Nastech Pharmaceutical Co ....................... 4,030 600 * National Healthcare Corp ........................ 11,238 500 * Neoforma, Inc ................................... 4,645 800 * Neopharm, Inc ................................... 10,680 800 * Neose Technologies, Inc ......................... 5,520 1,900 * Neurocrine Biosciences, Inc ..................... 73,149 900 * Neurogen Corp ................................... 8,100 1,400 * Noven Pharmaceuticals, Inc ...................... 17,220 1,800 * NPS Pharmaceuticals, Inc ........................ 35,460 1,100 * Ocular Sciences, Inc ............................ 27,093 800 * Odyssey HealthCare, Inc ......................... 22,440 1,100 * Omega Healthcare Investors, Inc ................. 5,852 1,000 * Omnicell, Inc ................................... 6,170 SHARES VALUE ------ ----- 1,500 * On Assignment, Inc .............................. $ 14,985 900 * Onyx Pharmaceuticals, Inc ....................... 3,825 900 * Option Care, Inc ................................ 9,882 1,800 * OraSure Technologies, Inc ....................... 7,859 2,100 * Orthologic Corp ................................. 8,715 2,500 * OSI Pharmaceuticals, Inc ........................ 38,800 2,300 Owens & Minor, Inc .............................. 34,615 2,400 * Pacificare Health Systems, Inc .................. 57,216 1,100 * Pain Therapeutics, Inc .......................... 6,491 1,600 * Parexel International Corp ...................... 15,088 500 * PDI, Inc ........................................ 2,485 1,600 * Pediatrix Medical Group, Inc .................... 54,784 2,000 * Per-Se Technologies, Inc ........................ 17,416 6,400 * Peregrine Pharmaceuticals, Inc .................. 3,776 1,200 * Pharmaceutical Resources, Inc ................... 33,840 1,600 * Pharmacopeia, Inc ............................... 13,168 700 * PolyMedica Corp ................................. 16,808 1,200 * Possis Medical, Inc ............................. 14,676 1,500 * Pozen, Inc ...................................... 7,695 1,100 * PracticeWorks, Inc .............................. 16,390 3,500 * Praecis Pharmaceuticals, Inc .................... 10,605 900 * Prime Medical Services, Inc ..................... 9,504 1,600 * Priority Healthcare Corp (Class B) .............. 39,280 500 * Progenics Pharmaceuticals ....................... 2,820 6,000 * Protein Design Labs, Inc ........................ 61,140 3,200 * Province Healthcare Co .......................... 54,400 300 * Proxymed, Inc ................................... 4,494 4,800 * PSS World Medical, Inc .......................... 38,640 500 * QMed, Inc ....................................... 3,575 1,800 * Quadramed Corp .................................. 3,474 1,700 * Quidel Corp ..................................... 8,073 1,400 * Quovadx, Inc .................................... 2,590 1,300 * Radiologix, Inc ................................. 14,859 2,300 * Regeneron Pharmaceuticals, Inc .................. 33,695 1,200 * RehabCare Group, Inc ............................ 28,680 1,000 * Res-Care, Inc ................................... 4,820 2,100 * Resmed, Inc ..................................... 64,428 2,100 * Respironics, Inc ................................ 68,564 1,800 * Rigel Pharmaceuticals, Inc ...................... 3,978 700 * Rita Medical Systems, Inc ....................... 3,626 1,200 * Salix Pharmaceuticals Ltd ....................... 9,564 1,800 * Sangstat Medical Corp ........................... 35,370 3,100 * Scios, Inc ...................................... 79,887 1,200 * Seattle Genetics, Inc ........................... 4,248 1,200 * Select Medical Corp ............................. 17,760 4,700 * Sepracor, Inc ................................... 23,688 2,600 * Sequenom, Inc ................................... 5,863 1,500 * Serologicals Corp ............................... 18,045 19,700 * Service Corp International ...................... 65,010 1,700 * Sierra Health Services, Inc ..................... 31,484 1,200 * Sangamo Biosciences, Inc ........................ 2,904 1,500 * Sola International, Inc ......................... 15,960 700 * Sonic Innovations, Inc .......................... 3,871 1,000 * SonoSite, Inc ................................... 12,500 500 * Specialty Laboratories, Inc ..................... 4,000 2,300 * Stericycle, Inc ................................. 70,608 6,500 * Stewart Enterprises, Inc (Class A) .............. 32,565 1,200 * Sunrise Assisted Living, Inc .................... 27,636 2,000 * SuperGen, Inc ................................... 6,120 900 * SurModics, Inc .................................. 25,452 2,600 * Sybron Dental Specialties, Inc .................. 40,716 1,200 * Syncor International Corp ....................... 40,980 1,600 * Tanox, Inc ...................................... 20,560 2,800 * Techne Corp ..................................... 85,680 1,800 * Telik, Inc ...................................... 24,300 SEE NOTES TO FINANCIAL STATEMENTS B-168 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 2,900 * Texas Biotechnology Corp ........................ $ 6,670 2,000 * Theragenics Corp ................................ 9,700 1,500 * Therasense, Inc ................................. 20,400 3,300 * Thoratec Corp ................................... 26,400 1,900 * Transkaryotic Therapies, Inc .................... 65,379 2,100 * Triangle Pharmaceuticals, Inc ................... 8,398 900 * Trimeris, Inc ................................... 41,580 1,500 * TriPath Imaging, Inc ............................ 2,985 2,600 * Tularik, Inc .................................... 20,644 1,300 * Umilab Corp ..................................... 22,880 1,000 * United Surgical Partners International, Inc ..... 28,060 1,100 * United Therapeutics Corp ........................ 18,150 900 * Urologix, Inc ................................... 4,491 4,900 * U.S. Oncology, Inc .............................. 43,365 600 * U.S. Physical Therapy, Inc ...................... 9,180 2,000 * Varian, Inc ..................................... 65,900 1,200 * VCA Antech, Inc ................................. 16,848 900 * Ventana Medical Systems, Inc .................... 18,297 4,100 Ventas, Inc ..................................... 53,505 1,400 * Versicor, Inc ................................... 12,768 1,700 * Viasys Healthcare, Inc .......................... 27,438 1,300 * Vical, Inc ...................................... 6,747 3,200 * Visx, Inc ....................................... 31,840 400 Vital Signs, Inc ................................ 11,776 2,500 * VitalWorks, Inc ................................. 19,200 2,200 * Vivus, Inc ...................................... 8,954 1,300 * Watson Wyatt & Co Holdings ...................... 26,897 1,000 * Women First Healthcare, Inc ..................... 5,310 1,200 X-Rite, Inc ..................................... 10,416 300 * Young Innovations, Inc .......................... 7,710 600 * Zoll Medical Corp ............................... 19,974 700 * Zymogenetics, Inc ............................... 5,495 ----------- TOTAL HEALTH CARE 5,506,174 ----------- OTHER--3.96% 700 * 4Kids Entertainment, Inc ........................ 14,420 2,500 ABM Industries, Inc ............................. 36,575 1,300 * Acacia Research Corp ............................ 5,135 2,800 Acuity Brands, Inc .............................. 42,840 1,300 * Administaff, Inc ................................ 3,094 1,300 * Advo, Inc ....................................... 44,525 2,800 Alexander & Baldwin, Inc ........................ 61,880 400 * Ambassadors Group, Inc .......................... 5,296 1,700 Banta Corp ...................................... 62,883 1,200 * Bell Microproducts, Inc ......................... 6,600 1,300 Brady Corp (Class A) ............................ 45,500 700 * Bright Horizons Family Solutions, Inc ........... 20,825 800 * CDI Corp ........................................ 21,744 1,200 Central Parking Corp ............................ 24,312 5,300 * Century Business Services, Inc .................. 14,522 500 * Charles River Associates, Inc ................... 8,075 2,600 * Corinthian Colleges, Inc ........................ 95,680 900 * Cornell Cos, Inc ................................ 7,200 2,500 * Corporate Executive Board Co .................... 70,600 900 * CoStar Group, Inc ............................... 18,549 200 Courier Corp .................................... 7,966 700 Curtiss-Wright Corp ............................. 39,410 1,200 * Daisytek International Corp ..................... 15,600 1,100 Ennis Business Forms, Inc ....................... 14,058 800 * ESCO Technologies, Inc .......................... 24,048 3,200 * Exult, Inc ...................................... 9,600 900 * Fidelity National Information Solutions, Inc .... 21,636 1,200 * First Consulting Group, Inc ..................... 8,388 1,000 * Forrester Research, Inc ......................... 16,740 400 * General Binding Corp ............................ 6,920 SHARES VALUE ------ ----- 1,500 Gentiva Health Services, Inc .................... $ 11,775 700 * Hall Kinion & Associates, Inc ................... 4,025 2,000 Harland (John H.) Co ............................ 53,800 1,200 * Heidrick & Struggles International, Inc ......... 20,544 200 * ICT Group, Inc .................................. 3,796 1,700 * infoUSA, Inc .................................... 8,670 800 * Invision Technologies, Inc ...................... 28,608 1,400 * Itron, Inc ...................................... 23,492 1,100 Kelly Services, Inc (Class A) ................... 24,805 2,500 * Korn/Ferry International ........................ 19,075 2,800 * Labor Ready, Inc ................................ 20,188 300 * Lifeline Systems, Inc ........................... 6,741 1,800 Matthews International Corp (Class A) ........... 45,000 600 McGrath RentCorp ................................ 12,510 600 * Memberworks, Inc ................................ 9,990 6,300 * MPS Group, Inc .................................. 33,516 1,700 * MSC.Software Corp ............................... 17,697 2,600 * Navigant Consulting, Inc ........................ 15,392 1,300 * NCO Group, Inc .................................. 22,412 800 New England Business Services, Inc .............. 16,720 1,300 * Offshore Logistics, Inc ......................... 24,180 900 * Pre-Paid Legal Services, Inc .................... 19,269 1,100 * ProQuest Co ..................................... 38,632 800 * Protection One, Inc ............................. 2,232 1,800 * R.H. Donnelley Corp ............................. 45,900 400 * Remedytemp, Inc (Class A) ....................... 4,556 1,700 * Rent-Way, Inc ................................... 5,202 700 * Right Management Consultants .................... 16,210 800 * RMH Teleservices, Inc ........................... 5,592 900 Rollins, Inc .................................... 17,838 1,000 * School Specialty, Inc ........................... 23,390 3,900 * Spherion Corp ................................... 29,250 1,200 Standard Register Co ............................ 31,212 700 Standex International Corp ...................... 14,007 700 * Startek, Inc .................................... 17,045 500 Strayer Education, Inc .......................... 28,500 1,500 * Symyx Technologies, Inc ......................... 15,707 900 Talx Corp ....................................... 12,249 500 * Tejon Ranch Co .................................. 12,300 2,600 * TeleTech Holdings, Inc .......................... 16,588 4,500 * U.S. Industries, Inc ............................ 13,275 500 Unifirst Corp ................................... 12,215 2,000 * United Stationers, Inc .......................... 55,520 600 * Wackenhut Corrections Corp ...................... 6,990 1,800 Walter Industries, Inc .......................... 23,670 ----------- TOTAL OTHER 1,664,906 ----------- PRODUCER DURABLES--4.89% 2,300 * Active Power, Inc ............................... 3,933 600 * Actuant Corp .................................... 22,392 400 Alamo Group, Inc ................................ 5,408 1,000 American States Water Co ........................ 26,180 2,200 Ametek, Inc ..................................... 70,378 1,300 Applied Industrial Technologies, Inc ............ 24,388 1,000 * Astec Industries, Inc ........................... 13,150 500 * August Technology Corp .......................... 2,150 2,000 Baldor Electric Co .............................. 39,840 1,500 Briggs & Stratton Corp .......................... 58,185 2,300 * Brooks-PRI Automation, Inc ...................... 36,915 1,000 California Water Service Group .................. 24,540 5,200 * Capstone Turbine Corp ........................... 5,096 1,100 * Casella Waste Systems, Inc (Class A) ............ 6,985 700 Circor International, Inc ....................... 11,550 1,500 * Coinstar, Inc ................................... 38,624 800 * Columbus Mckinnon Corp .......................... 4,768 700 * Consolidated Graphics, Inc ...................... 12,383 SEE NOTES TO FINANCIAL STATEMENTS B-169 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- PRODUCER DURABLES--(CONTINUED) 200 * CTB International Corp .......................... $ 2,548 1,100 * Cuno, Inc ....................................... 35,981 3,200 * Dycom Industries, Inc ........................... 33,664 3,000 Federal Signal Corp ............................. 58,410 900 * Flow International Corp ......................... 3,231 400 Franklin Electric Co, Inc ....................... 18,200 2,300 * FuelCell Energy, Inc ............................ 17,595 1,100 * Gardner Denver, Inc ............................. 21,010 800 * Genlyte Group, Inc .............................. 27,760 1,500 * Global Power Equipment Group, Inc ............... 7,860 500 Gorman-Rupp Co .................................. 11,600 1,500 * Graphic Packaging International Corp ............ 12,150 1,700 * Headwaters, Inc ................................. 22,117 1,900 IDEX Corp ....................................... 62,814 1,200 * Imagistics International, Inc ................... 22,116 1,200 * Ionics, Inc ..................................... 28,152 2,800 JLG Industries, Inc ............................. 24,920 2,900 * Joy Global, Inc ................................. 31,610 900 * Kadant, Inc ..................................... 13,140 1,900 Kaydon Corp ..................................... 40,774 2,300 Kennametal, Inc ................................. 77,510 300 Lawson Products, Inc ............................ 8,235 2,200 Lincoln Electric Holdings, Inc .................. 53,878 700 Lindsay Manufacturing Co ........................ 16,772 1,300 * Littelfuse, Inc ................................. 28,275 3,000 * Magna Entertainment Corp (Class A) .............. 15,450 1,400 * Magnetek, Inc ................................... 5,810 1,600 Manitowoc Co, Inc ............................... 51,760 1,200 Milacron, Inc ................................... 7,500 500 Mine Safety Appliances Co ....................... 20,050 400 Nacco Industries, Inc (Class A) ................. 16,320 4,800 * Newpark Resources, Inc .......................... 20,352 800 NN, Inc ......................................... 7,936 1,500 Nordson Corp .................................... 36,345 1,200 * Photon Dynamics, Inc ............................ 27,072 1,100 * Plug Power, Inc ................................. 6,842 3,700 * Power-One, Inc .................................. 10,693 2,200 * Quanta Services, Inc ............................ 6,468 2,200 * Rayovac Corp .................................... 30,250 1,600 Regal-Beloit Corp ............................... 30,432 400 Richardson Electronics Ltd ...................... 3,276 700 Robbins & Myers, Inc ............................ 13,930 2,000 Roper Industries, Inc ........................... 70,540 700 Sauer-Danfoss, Inc .............................. 6,860 100 SJW Corp ........................................ 8,108 900 * SPS Technologies, Inc ........................... 25,290 400 Starrett (L.S.) Co (Class A) .................... 6,992 2,000 Stewart & Stevenson Services, Inc ............... 24,440 200 * Strattec Security Corp .......................... 10,580 1,000 Tecumseh Products Co (Class A) .................. 48,540 600 Tennant Co ...................................... 22,560 2,700 * Terex Corp ...................................... 57,456 3,400 * Tetra Tech, Inc ................................. 31,722 900 * Tetra Technologies, Inc ......................... 19,062 3,000 * Thomas & Betts Corp ............................. 46,110 900 Toro Co ......................................... 51,102 600 * TRC Cos, Inc .................................... 10,482 700 * Trikon Technologies, Inc ........................ 5,145 2,400 Trinity Industries, Inc ......................... 42,960 2,800 * UNOVA, Inc ...................................... 15,680 1,400 Valhi, Inc ...................................... 16,744 900 Valmont Industries, Inc ......................... 21,915 2,300 Wabtec Corp ..................................... 31,073 SHARES VALUE ------ ----- 1,900 * Waste Connections, Inc .......................... $ 65,911 1,000 Watts Industries, Inc (Class A) ................. 17,400 ----------- TOTAL PRODUCER DURABLES 2,054,345 ----------- TECHNOLOGY--16.27% 500 * 3D Systems Corp ................................. 3,525 1,400 * Actel Corp ...................................... 16,100 1,800 * Acterna Corp .................................... 846 3,000 * Actuate Corp .................................... 5,070 600 * ADE Corp ........................................ 3,900 1,400 * Adtran, Inc ..................................... 26,348 4,200 * Advanced Digital Information Corp ............... 22,260 1,200 * Advanced Energy Industries, Inc ................. 14,220 400 * Advanced Power Technology, Inc .................. 1,824 4,100 * Aeroflex, Inc ................................... 21,443 2,500 * Aether Systems, Inc ............................. 6,885 2,500 * Agile Software Corp ............................. 16,175 6,600 * Akamai Technologies, Inc ........................ 6,072 1,600 * Alliance Semiconductor Corp ..................... 7,264 2,100 * Alloy, Inc ...................................... 20,498 300 * Altiris, Inc .................................... 3,399 2,600 * American Management Systems, Inc ................ 39,647 1,400 * American Superconductor Corp .................... 4,410 2,100 * Anadigics, Inc .................................. 6,321 500 Analogic Corp ................................... 21,530 1,500 * Anaren Microwave, Inc ........................... 12,795 2,100 * Anixter International, Inc ...................... 49,665 3,100 * Answerthink, Inc ................................ 6,758 1,000 * Ansys, Inc ...................................... 22,750 1,000 * Anteon International Corp ....................... 24,000 1,700 * APAC Customer Services, Inc ..................... 5,270 2,000 * Arbitron, Inc ................................... 65,220 17,700 * Ariba, Inc ...................................... 33,630 4,400 * Arris Group, Inc ................................ 16,720 2,000 * Artesyn Technologies, Inc ....................... 4,760 1,000 * Artisan Components, Inc ......................... 9,130 17,100 * Ascential Software Corp ......................... 39,501 2,000 * Asiainfo Holdings, Inc .......................... 8,720 3,500 * Aspect Communications Corp ...................... 6,475 2,400 * Aspen Technology, Inc ........................... 9,216 1,300 * AstroPower, Inc ................................. 11,830 2,600 * Asyst Technologies, Inc ......................... 23,374 1,500 * At Road, Inc .................................... 9,000 1,900 * ATMI, Inc ....................................... 29,469 1,100 * Audiovox Corp (Class A) ......................... 7,942 4,000 * Avanex Corp ..................................... 7,520 2,300 * Avenue A, Inc ................................... 6,164 1,700 * Avid Technology, Inc ............................ 18,974 2,800 * Avocent Corp .................................... 40,404 6,600 * Axcelis Technologies, Inc ....................... 37,818 1,300 * AXT, Inc ........................................ 5,408 1,000 * Barra, Inc ...................................... 34,000 700 BEI Technologies, Inc ........................... 9,184 700 Bel Fuse, Inc (Class B) ......................... 15,533 1,500 Belden, Inc ..................................... 23,550 1,600 * Benchmark Electronics, Inc ...................... 42,080 1,400 * Black Box Corp .................................. 47,992 4,100 * Borland Software Corp ........................... 38,212 900 * Boston Communications Group ..................... 8,550 1,800 C&D Technologies, Inc ........................... 28,440 2,100 * C-COR.net Corp .................................. 10,185 3,000 * Cable Design Technologies Corp .................. 20,460 1,900 * CACI International, Inc (Class A) ............... 69,540 600 * Caminus Corp .................................... 1,266 1,300 * Carreker Corp ................................... 10,700 SEE NOTES TO FINANCIAL STATEMENTS B-170 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 400 * Catapult Communications Corp .................... $ 4,544 1,900 * Centillium Communications, Inc .................. 4,180 2,200 * Checkpoint Systems, Inc ......................... 25,740 3,300 * ChipPAC, Inc .................................... 9,174 2,400 * Chordiant Software, Inc ......................... 2,160 3,700 * Ciber, Inc ...................................... 23,939 4,900 * Cirrus Logic, Inc ............................... 14,308 500 * ClearOne Communications, Inc .................... 5,800 8,500 * CNET Networks, Inc .............................. 10,200 2,300 * Cognex Corp ..................................... 36,225 600 * Cognizant Technology Solutions Corp ............. 37,518 1,400 Cohu, Inc ....................................... 20,552 3,500 * CommScope, Inc .................................. 25,025 1,500 * Compucom Systems, Inc ........................... 8,565 2,100 * Computer Horizons Corp .......................... 8,400 1,800 * Computer Network Technology Corp ................ 12,600 200 Compx International, Inc ........................ 1,890 1,600 * Concord Camera Corp ............................. 7,680 1,100 * Concord Communications, Inc ..................... 7,909 4,200 * Concurrent Computer Corp ........................ 13,398 600 * CoorsTek, Inc ................................... 10,500 1,300 * Covansys Corp ................................... 2,951 2,900 * Cray, Inc ....................................... 11,890 4,100 * Credence Systems Corp ........................... 47,683 4,900 * Cree, Inc ....................................... 65,905 2,000 CTS Corp ........................................ 12,000 1,000 Cubic Corp ...................................... 20,560 900 * Daktronics, Inc. ................................ 8,910 1,000 * Datastream Systems, Inc ......................... 5,260 3,300 * DDI Corp ........................................ 1,254 2,200 * dELiA*s Corp (Class A) .......................... 2,904 1,400 * DiamondCluster International, Inc (Class A) ..... 5,432 600 * Digimarc Corp ................................... 6,636 1,900 * Digital Insight Corp ............................ 33,972 1,800 * Digital River, Inc .............................. 16,128 600 * Digitas, Inc .................................... 1,956 500 * DocuCorp International, Inc ..................... 6,531 2,700 * Documentum, Inc ................................. 39,528 8,100 * DoubleClick, Inc ................................ 45,927 600 * Drexler Technology Corp ......................... 10,476 1,800 * DSP Group, Inc .................................. 30,474 800 * Dupont Photomasks, Inc .......................... 20,104 4,200 * E.piphany, Inc .................................. 17,178 8,400 * Earthlink, Inc .................................. 49,308 1,700 * Echelon Corp .................................... 20,910 1,000 EDO Corp ........................................ 22,350 3,100 * eFunds Corp ..................................... 29,202 1,900 * Electro Scientific Industries, Inc .............. 33,744 1,500 * Electroglas, Inc ................................ 4,620 3,700 * Electronics For Imaging, Inc .................... 60,055 500 * Embarcadero Technologies, Inc ................... 3,440 1,700 * Emcore Corp ..................................... 4,913 700 * EMS Technologies, Inc ........................... 15,540 3,100 * Entegris, Inc ................................... 27,683 10,900 * Enterasys Networks, Inc ......................... 13,734 3,200 * Entrust, Inc .................................... 14,749 700 * EPIQ Systems, Inc ............................... 12,495 1,500 * espeed, Inc (Class A) ........................... 15,375 2,200 * ESS Technology, Inc ............................. 16,896 1,400 * Esterline Technologies Corp ..................... 25,060 2,600 * Exar Corp ....................................... 34,294 600 * Excel Technology, Inc ........................... 13,080 6,900 * Extreme Networks, Inc ........................... 60,237 1,500 * F5 Networks, Inc ................................ 16,185 SHARES VALUE ------ ----- 2,300 * FalconStor Software, Inc ........................ $ 11,801 1,700 * FEI Co .......................................... 30,804 2,300 * Filenet Corp .................................... 32,085 9,000 * Finisar Corp .................................... 8,820 1,000 * Flir Systems, Inc ............................... 37,630 5,800 * Foundry Networks, Inc ........................... 48,140 2,700 * Freemarkets, Inc ................................ 15,822 2,000 * FSI International, Inc .......................... 8,400 2,300 General Cable Corp .............................. 10,879 2,100 * Genesis Microchip, Inc .......................... 19,551 500 * Global Imaging Systems, Inc ..................... 9,575 8,000 * GlobespanVirata, Inc ............................ 25,592 3,900 * GrafTech International Ltd ...................... 35,880 1,800 * Griffon Corp .................................... 21,546 2,900 * Handspring, Inc ................................. 3,451 4,000 * Harmonic, Inc ................................... 9,040 1,800 Helix Technology Corp ........................... 18,630 1,700 * Hutchinson Technology, Inc ...................... 28,934 2,300 * Hypercom Corp ................................... 9,890 2,300 * Hyperion Solutions Corp ......................... 56,235 5,700 * Identix, Inc .................................... 40,185 1,300 * iGate Corp ...................................... 5,186 700 * II-VI, Inc ...................................... 9,268 2,400 * Imation Corp .................................... 75,432 800 * Inet Technologies, Inc .......................... 3,800 2,500 * InFocus Corp .................................... 24,625 400 * Infogrames, Inc ................................. 1,012 4,200 * Infonet Services Corp (Class B) ................. 9,870 3,900 * Informatica Corp ................................ 15,561 1,800 * Information Resources, Inc ...................... 8,010 400 * Inforte Corp .................................... 2,756 9,800 * Inktomi Corp .................................... 4,410 600 * Inrange Technologies Corp (Class B) ............. 2,424 600 * Integral Systems, Inc ........................... 11,250 1,200 Inter-Tel, Inc .................................. 30,539 1,100 * Intercept, Inc .................................. 14,751 3,700 * Interdigital Communications Corp ................ 34,854 3,100 * Intergraph Corp ................................. 52,700 8,200 * Interland, Inc .................................. 23,206 1,000 * Intermagnetics General Corp ..................... 14,900 2,600 * Internet Security Systems, Inc .................. 38,997 4,900 * Intertrust Technologies Corp .................... 13,622 7,100 * Interwoven, Inc ................................. 19,170 1,000 * Intrado, Inc .................................... 13,650 3,700 * Iomega Corp ..................................... 46,694 1,300 * ITXC Corp ....................................... 4,862 1,400 * Ixia ............................................ 8,106 800 * IXYS Corp ....................................... 3,992 400 * j2 Global Communications, Inc ................... 8,444 1,900 * JDA Software Group, Inc ......................... 24,491 3,900 * Keane, Inc ...................................... 33,969 400 Keithley Instruments, Inc ....................... 6,100 1,600 * Keynote Systems, Inc ............................ 11,104 1,300 * Kforce, Inc ..................................... 4,459 4,700 * Kopin Corp ...................................... 27,866 1,400 * Kronos, Inc ..................................... 37,450 3,300 * Kulicke & Soffa Industries, Inc ................. 14,025 5,800 * Lattice Semiconductor Corp ...................... 39,614 900 * Lawson Software, Inc ............................ 3,510 700 * Learning Tree International, Inc ................ 11,410 600 * LeCroy Corp ..................................... 6,066 5,900 * Legato Systems, Inc ............................. 20,060 2,200 * Lexar Media, Inc ................................ 9,438 7,200 * Liberate Technologies ........................... 12,096 1,900 * Lightbridge, Inc ................................ 13,870 SEE NOTES TO FINANCIAL STATEMENTS B-171 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 4,600 * Looksmart Ltd ................................... $ 5,267 3,100 * LTX Corp ........................................ 24,211 2,900 * Macrovision Corp ................................ 38,077 1,300 * Magma Design Automation, Inc .................... 15,002 2,000 * Mail-Well, Inc .................................. 2,200 1,300 * Manhattan Associates, Inc ....................... 26,663 500 * Mantech International Corp (Class A) ............ 11,760 1,000 * Manufacturers Services Ltd ...................... 3,910 4,000 * Manugistics Group, Inc .......................... 16,480 1,000 * MAPICS, Inc ..................................... 6,300 1,000 * Mapinfo Corp .................................... 5,150 1,400 * Mastec, Inc ..................................... 5,334 3,200 * Matrixone, Inc .................................. 15,840 13,500 * Maxtor Corp ..................................... 45,630 800 * McAfee.com Corp ................................. 14,032 4,300 * McData Corp (Class A) ........................... 35,991 1,500 * MCSi, Inc ....................................... 9,240 3,800 * MEMC Electronic Materials, Inc .................. 16,188 4,400 * Mentor Graphics Corp ............................ 32,032 1,500 * Mercury Computer Systems, Inc ................... 38,265 900 * Merix Corp ...................................... 8,235 2,000 * MetaSolv, Inc ................................... 4,100 2,300 Methode Electronics, Inc (Class A) .............. 21,873 5,100 * Micromuse, Inc .................................. 15,764 2,000 * Microsemi Corp .................................. 12,420 3,000 * Microtune, Inc .................................. 12,120 2,400 * MIPS Technologies, Inc (Class A) ................ 4,608 1,200 * Monolithic System Technology, Inc ............... 12,204 1,200 * MRO Software, Inc ............................... 11,316 6,100 * MRV Communications, Inc ......................... 6,710 1,400 MTS Systems Corp ................................ 17,136 500 * Nanometrics, Inc ................................ 2,275 300 * Nassda Corp ..................................... 2,334 800 * Navigant International, Inc ..................... 8,520 2,200 NDCHealth Corp .................................. 40,084 1,200 * Net2Phone, Inc .................................. 3,600 1,800 * Netegrity, Inc .................................. 4,520 2,700 * NETIQ Corp ...................................... 50,706 2,600 * Netro Corp ...................................... 6,812 1,200 * Netscout Systems, Inc ........................... 5,099 700 * NetScreen Technologies, Inc ..................... 8,708 4,500 * New Focus, Inc .................................. 12,555 2,600 * Newport Corp .................................... 41,860 1,100 * Next Level Communications, Inc .................. 1,045 1,600 * NIC, Inc ........................................ 2,720 900 * Novadigm, Inc ................................... 2,565 24,300 * Novell, Inc ..................................... 57,834 1,000 * Nu Horizons Electronics Corp .................... 6,600 2,000 * Nuance Communications, Inc ...................... 5,500 1,700 * Numerical Technologies, Inc ..................... 6,766 1,700 * NYFIX, Inc ...................................... 7,157 3,800 * Oak Technology, Inc ............................. 14,060 1,400 * Omnivision Technologies, Inc .................... 14,434 1,900 * ON Semiconductor Corp ........................... 3,120 2,900 * Onyx Software Corp .............................. 7,975 11,700 * Openwave Systems, Inc ........................... 9,126 6,900 * Oplink Communications, Inc ...................... 5,168 700 * Opnet Technologies, Inc ......................... 4,935 1,000 * Optical Communication Products, Inc ............. 1,040 500 * OSI Systems, Inc ................................ 9,715 500 * Overland Storage, Inc ........................... 5,500 3,500 * Overture Services, Inc .......................... 79,730 1,600 * Packeteer, Inc .................................. 6,736 38,800 * Palm, Inc ....................................... 31,040 SHARES VALUE ------ ----- 1,800 * Paradyne Networks, Inc .......................... $ 3,438 17,500 * Parametric Technology Corp ...................... 47,250 1,200 Park Electrochemical Corp ....................... 24,120 2,100 * Paxar Corp ...................................... 33,642 2,100 * Paxson Communications Corp ...................... 6,195 1,300 * PC-Tel, Inc ..................................... 7,085 800 * PDF Solutions, Inc .............................. 4,976 600 * PEC Solutions, Inc .............................. 14,970 1,700 * Pegasus Solutions, Inc .......................... 23,865 400 * Pegasystems, Inc ................................ 2,680 1,300 * Pericom Semiconductor Corp ...................... 12,155 1,700 * Phoenix Technologies Ltd ........................ 13,022 1,800 * Photronics, Inc ................................. 22,986 2,000 Pioneer-Standard Electronics, Inc ............... 19,980 2,300 * Pixelworks, Inc ................................. 13,639 900 * Planar Systems, Inc ............................. 16,533 2,600 * Plantronics, Inc ................................ 48,490 2,900 * Plexus Corp ..................................... 40,600 1,200 * PLX Technology, Inc ............................. 2,100 700 * Pomeroy Computer Resources, Inc ................. 8,568 8,000 * Portal Software, Inc ............................ 2,560 500 * Powell Industries, Inc .......................... 9,500 1,700 * Power Integrations, Inc ......................... 22,304 4,400 * Powerwave Technologies, Inc ..................... 23,848 2,400 * PRG-Schultz International, Inc .................. 32,856 1,400 * Probusiness Services, Inc ....................... 10,528 2,100 * Progress Software Corp .......................... 29,694 1,600 * Proton Energy Systems ........................... 4,080 8,000 * Proxim Corp (Class A) ........................... 18,720 3,200 * PTEK Holdings, Inc .............................. 15,043 900 * QRS Corp ........................................ 6,966 8,700 * Quantum Corp .................................... 26,535 2,500 * Quest Software, Inc ............................. 27,150 400 Quixote Corp .................................... 7,172 1,200 * Radiant Systems, Inc ............................ 11,004 1,100 * Radisys Corp .................................... 6,314 1,600 * Rainbow Technologies, Inc ....................... 5,920 2,900 * Raindance Communications, Inc ................... 8,845 5,600 * Rambus, Inc ..................................... 29,120 8,200 * Read-Rite Corp .................................. 5,822 7,600 * Red Hat, Inc .................................... 39,900 10,200 * Redback Networks, Inc ........................... 9,588 2,000 * Register.com, Inc ............................... 8,340 800 * Renaissance Learning, Inc ....................... 13,248 700 * Research Frontiers, Inc ......................... 6,293 3,500 * Retek, Inc ...................................... 15,995 8,400 * Riverstone Networks, Inc ........................ 5,880 1,100 * Rogers Corp ..................................... 29,524 1,300 * Roxio, Inc ...................................... 5,303 3,100 * RSA Security, Inc ............................... 11,935 600 * Rudolph Technologies, Inc ....................... 8,185 4,800 * S1 Corp ......................................... 27,600 8,000 * Safeguard Scientifics, Inc ...................... 11,920 900 * Sanchez Computer Associates, Inc ................ 2,934 4,100 * Sandisk Corp .................................... 64,493 5,500 * Sapient Corp .................................... 7,365 1,000 * SBS Technologies, Inc ........................... 7,300 3,500 * Scansoft, Inc ................................... 14,105 400 * Scansource, Inc ................................. 24,144 1,000 * SCM Microsystems, Inc ........................... 6,630 1,500 * Seachange International, Inc .................... 11,055 2,000 * Secure Computing Corp ........................... 8,500 3,500 * Seebeyond Technology Corp ....................... 5,985 1,100 * Semitool, Inc ................................... 6,710 1,200 * Serena Software, Inc ............................ 19,056 SEE NOTES TO FINANCIAL STATEMENTS B-172 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TECHNOLOGY--(CONTINUED) 12,700 * Silicon Graphics, Inc ........................... $ 14,478 3,900 * Silicon Image, Inc .............................. 14,980 1,800 * Silicon Laboratories, Inc ....................... 35,388 5,200 * Silicon Storage Technology, Inc ................. 26,364 400 * Siliconix, Inc .................................. 8,232 500 * Simpletech, Inc ................................. 1,165 1,800 * Sipex Corp ...................................... 5,490 3,800 * Sitel Corp ...................................... 7,372 1,420 * SmartForce plc (Spon ADR) ....................... 6,106 2,100 * Somera Communications, Inc ...................... 5,565 5,800 * SONICblue, Inc .................................. 1,728 3,500 * SonicWALL, Inc .................................. 15,960 12,200 * Sonus Networks, Inc ............................. 8,503 1,000 * Sourcecorp ...................................... 20,910 1,100 * Spectralink Corp ................................ 7,238 800 * Spectrian Corp .................................. 4,600 1,800 * SpeechWorks International, Inc .................. 6,174 1,800 * SpeedFam-IPEC, Inc .............................. 7,686 800 * SPSS, Inc ....................................... 9,449 400 * SRA International, Inc (Class A) ................ 11,100 500 * SS&C Technologies, Inc .......................... 6,210 1,000 * Standard Microsystems Corp ...................... 17,810 4,400 * StorageNetworks, Inc ............................ 7,436 5,600 * Stratex Networks, Inc ........................... 10,528 4,900 * Stratos Lightwave, Inc .......................... 2,891 200 * Suntron Corp .................................... 792 700 * Supertex, Inc ................................... 7,245 4,300 * Surebeam Corp (Class A) ......................... 7,955 10,800 * Sycamore Networks, Inc .......................... 29,268 1,600 * Sykes Enterprises, Inc .......................... 9,600 300 * Synaptics, Inc .................................. 1,785 600 * Synplicity, Inc ................................. 2,994 400 * Syntel, Inc ..................................... 5,244 300 Sypris Solutions, Inc ........................... 3,285 2,100 * Systems & Computer Technology Corp .............. 14,679 2,600 * Take-Two Interactive Software, Inc .............. 70,200 2,700 Technitrol, Inc ................................. 49,410 3,200 * Tekelec ......................................... 26,880 5,300 * Tellium, Inc .................................... 2,650 4,400 * Terayon Communication Systems, Inc .............. 13,640 1,700 * Therma-Wave, Inc ................................ 2,244 1,500 * Three-Five Systems, Inc ......................... 8,400 5,400 * TIBCO Software, Inc ............................. 23,868 1,000 * Tier Technologies, Inc (Class B) ................ 19,980 1,200 * Tivo, Inc ....................................... 4,560 900 * Tollgrade Communications, Inc ................... 9,666 7,000 * Touch America Holdings, Inc ..................... 5,110 2,100 * Transaction Systems Architects, Inc (Class A) ... 14,282 7,300 * Transmeta Corp .................................. 7,957 1,700 * Trimble Navigation Ltd .......................... 22,015 500 * Tripos, Inc ..................................... 3,335 8,800 * Triquint Semiconductor, Inc ..................... 40,471 2,000 * Trizetto Group, Inc ............................. 13,820 1,000 * TTM Technologies, Inc ........................... 3,170 2,400 * Turnstone Systems, Inc .......................... 7,200 700 * Ulticom, Inc .................................... 4,053 800 * Ultimate Electronics, Inc ....................... 9,360 1,500 * Ultratech Stepper, Inc .......................... 17,522 600 United Industrial Corp .......................... 12,060 1,400 * United Online, Inc .............................. 15,330 1,100 * Universal Display Corp .......................... 6,094 4,300 * Valueclick, Inc ................................. 10,105 2,100 * Varian Semiconductor Equipment Associates, Inc .. 39,383 1,700 * Veeco Instruments, Inc .......................... 23,035 SHARES VALUE ------ ----- 300 * Verint Systems, Inc ............................. $ 2,973 1,500 * Verity, Inc ..................................... 15,015 1,400 * Vicor Corp ...................................... 10,360 2,500 * Viewpoint Corp .................................. 10,000 15,800 * Vignette Corp ................................... 14,536 700 * Virage Logic Corp ............................... 7,560 400 Virco Manufacturing Corp ........................ 4,392 13,500 * Vitesse Semiconductor Corp ...................... 17,145 5,000 * Vitria Technology, Inc .......................... 4,450 500 * Volt Information Sciences, Inc .................. 8,480 2,500 Wallace Computer Services, Inc .................. 46,100 1,800 * WatchGuard Technologies, Inc .................... 9,270 1,600 * WebEx Communications, Inc ....................... 23,264 3,100 * webMethods, Inc ................................. 21,793 1,500 * Websense, Inc ................................... 24,390 900 * WESCO International, Inc ........................ 4,707 12,900 * Western Digital Corp ............................ 59,855 1,200 * White Electronic Designs Corp ................... 10,368 1,400 * Wilson Greatbatch Technologies, Inc ............. 38,010 4,600 * Wind River Systems, Inc ......................... 24,610 1,600 * Wireless Facilities, Inc ........................ 8,000 1,000 * Witness Systems, Inc ............................ 6,140 700 Woodhead Industries, Inc ........................ 11,200 1,400 * Xicor, Inc ...................................... 6,258 1,900 * Zoran Corp ...................................... 21,850 1,100 * Zygo Corp ....................................... 5,500 ----------- TOTAL TECHNOLOGY 6,832,683 ----------- TRANSPORTATION--2.14% 3,300 Airborne, Inc ................................... 42,867 4,200 * Airtran Holdings, Inc ........................... 14,490 1,600 * Alaska Air Group, Inc ........................... 35,760 1,500 * Arkansas Best Corp .............................. 42,330 300 * ATA Holdings Corp ............................... 1,002 2,800 * Atlantic Coast Airlines Holdings, Inc ........... 33,152 1,200 * Atlas Air Worldwide Holdings, Inc ............... 3,060 2,400 * BE Aerospace, Inc ............................... 16,488 400 * Covenant Transport, Inc (Class A) ............... 7,160 2,400 * EGL, Inc ........................................ 28,320 2,000 * Express Jet Holdings, Inc ....................... 22,880 1,600 Florida East Coast Industries, Inc (Class A) .... 42,416 800 * Forward Air Corp ................................ 18,239 2,000 * Frontier Airlines, Inc .......................... 13,280 800 * Genesee & Wyoming, Inc (Class A) ................ 16,840 2,000 * Heartland Express, Inc .......................... 40,280 1,500 * Hunt (J.B.) Transport Services, Inc ............. 35,190 4,000 * Kansas City Southern Industries, Inc ............ 57,200 1,600 * Knight Transportation, Inc ...................... 29,408 1,000 * Landstar System, Inc ............................ 51,950 2,100 * Mesa Air Group, Inc ............................. 12,348 600 * Mesaba Holdings, Inc ............................ 3,342 900 * Midwest Express Holdings, Inc ................... 5,391 1,900 Overseas Shipholding Group, Inc ................. 31,426 200 * P.A.M. Transportation Services .................. 4,190 1,900 * Railamerica, Inc ................................ 14,706 800 Roadway Corp .................................... 26,448 2,300 Shurgard Storage Centers, Inc (Class A) ......... 74,405 400 * U.S. Xpress Enterprises, Inc (Class A) .......... 3,844 3,800 * UAL Corp ........................................ 10,260 1,800 USFreightways Corp .............................. 53,280 2,600 Werner Enterprises, Inc ......................... 50,414 2,000 * Yellow Corp ..................................... 54,400 ----------- TOTAL TRANSPORTATION .............................. 896,766 ----------- SEE NOTES TO FINANCIAL STATEMENTS B-173 - INSTITUTIONAL SMALL-CAP BLEND INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- UTILITIES--4.91% 3,700 AGL Resources, Inc .............................. $ 85,877 1,600 * AirGate PCS, Inc ................................ 1,664 5,000 * Alamosa Holdings, Inc ........................... 1,800 500 * Alaska Communications Systems Group, Inc ........ 1,285 7,400 * Allegiance Telecom, Inc ......................... 6,882 1,900 * Allen Telecom, Inc .............................. 9,728 10,900 * American Tower Corp (Class A) ................... 24,525 2,800 Atmos Energy Corp ............................... 61,600 3,200 Avista Corp ..................................... 38,400 1,800 Black Hills Corp ................................ 48,942 12,900 * Broadwing, Inc .................................. 30,315 800 Cascade Natural Gas Corp ........................ 16,912 700 * Centennial Communications Corp .................. 2,086 800 Central Vermont Public Service Corp ............. 13,472 1,100 CH Energy Group, Inc ............................ 52,305 2,800 Cleco Corp ...................................... 43,204 800 * Commonwealth Telephone Enterprises, Inc ......... 29,888 500 Connecticut Water Service, Inc .................. 12,560 13,700 * Crown Castle International Corp ................. 34,250 1,100 CT Communications, Inc .......................... 14,795 1,400 * Dobson Communications Corp (Class A) ............ 490 4,800 DQE, Inc ........................................ 74,736 3,200 * El Paso Electric Co ............................. 38,080 1,500 Empire District Electric Co ..................... 25,725 2,300 Energen Corp .................................... 57,339 300 Energysouth, Inc ................................ 8,049 2,800 * General Communication, Inc (Class A) ............ 8,120 800 * Golden Telecom, Inc ............................. 11,000 900 Hickory Tech Corp ............................... 13,023 1,300 Laclede Group, Inc .............................. 31,070 1,100 MGE Energy, Inc ................................. 29,425 500 Middlesex Water Co .............................. 11,485 600 * NATCO Group, Inc (Class A) ...................... 4,422 1,800 New Jersey Resources Corp ....................... 58,500 4,600 * Nextel Partners, Inc (Class A) .................. 29,440 1,000 North Pittsburgh Systems, Inc ................... 15,000 1,700 Northwest Natural Gas Co ........................ 47,651 1,900 Northwestern Corp ............................... 22,762 1,100 NUI Corp ........................................ 22,770 1,100 * Oil States International, Inc ................... 11,484 3,600 Oneok, Inc ...................................... 70,200 1,700 Otter Tail Corp ................................. 42,636 1,800 * Petroquest Energy, Inc .......................... 7,830 2,100 Piedmont Natural Gas Co, Inc .................... 76,650 2,500 PNM Resources, Inc .............................. 52,850 SHARES/ PRINCIPAL VALUE --------- ----- 3,200 * Price Communications Corp ....................... $ 38,752 600 * Quicksilver Resources, Inc ...................... 11,610 4,300 * RCN Corp ........................................ 3,311 1,300 SEMCO Energy, Inc ............................... 11,583 200 Shenandoah Telecom Co ........................... 10,098 6,900 * Sierra Pacific Resources ........................ 50,232 9,100 * Skyworks Solutions, Inc ......................... 47,866 800 South Jersey Industries, Inc .................... 25,368 2,800 * Southern Union Co ............................... 36,260 2,200 Southwest Gas Corp .............................. 48,840 600 Southwest Water Co .............................. 8,790 1,700 * Southwestern Energy Co .......................... 21,131 900 SureWest Communications ......................... 29,709 4,600 * Talk America Holdings, Inc ...................... 11,592 2,900 * Time Warner Telecom, Inc (Class A) .............. 3,538 1,400 * Triton PCS Holdings, Inc (Class A) .............. 4,340 4,000 * Ubiquitel, Inc .................................. 1,400 1,900 UGI Corp ........................................ 67,469 800 UIL Holdings Corp ............................... 30,128 1,900 Unisource Energy Corp ........................... 30,096 300 Unitil Corp ..................................... 7,995 6,000 * U.S. Unwired, Inc (Class A) ..................... 7,020 3,800 Westar Energy, Inc .............................. 41,990 1,300 Western Gas Resources, Inc ...................... 42,822 3,600 * Western Wireless Corp (Class A) ................. 11,484 3,300 WGL Holdings, Inc ............................... 79,926 2,100 WPS Resources Corp .............................. 76,335 ----------- TOTAL UTILITIES 2,060,912 ----------- TOTAL COMMON STOCK (COST $41,427,718) 41,396,166 ----------- TOTAL SHORT TERM INVESTMENT--2.62% U.S. GOVERNMENT AND AGENCY--2.62% Federal Home Loan Bank (FHLB) $1,100,000 1.590%, 09/16/02 .............................. 1,099,846 ----------- TOTAL SHORT TERM INVESTMENT (COST $1,099,846) 1,099,846 ----------- TOTAL PORTFOLIO--101.19% (COST $42,527,564) 42,496,012 OTHER ASSETS & LIABILITIES, NET--(1.19%) (497,712) ----------- NET ASSETS--100.00% $41,998,300 ----------- ---------- * Non-income producing b In bankruptcy SEE NOTES TO FINANCIAL STATEMENTS B-174 - INSTITUTIONAL INTERNATIONAL EQUITY INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- Summary by Country VALUE % -------------------------------------------------------------------------------- FOREIGN: AUSTRALIA ............................................ $ 2,292,769 4.68 AUSTRIA .............................................. 59,160 0.12 BELGIUM .............................................. 494,594 1.01 DENMARK .............................................. 367,533 0.75 FINLAND .............................................. 880,119 1.80 FRANCE ............................................... 4,201,782 8.58 GERMANY .............................................. 3,027,301 6.18 GREECE ............................................... 186,389 0.38 HONG KONG ............................................ 808,477 1.65 IRELAND .............................................. 358,802 0.73 ITALY ................................................ 1,803,795 3.68 JAPAN ................................................ 10,723,785 21.90 LUXEMBOURG ........................................... 39,042 0.08 NETHERLANDS .......................................... 2,652,357 5.42 NEW ZEALAND .......................................... 75,196 0.15 NORWAY ............................................... 223,789 0.46 PORTUGAL ............................................. 161,093 0.33 SINGAPORE ............................................ 422,276 0.86 SPAIN ................................................ 1,483,900 3.03 SWEDEN ............................................... 865,334 1.77 SWITZERLAND .......................................... 3,782,868 7.72 UNITED KINGDOM ....................................... 13,179,707 26.91 ----------- ------ TOTAL FOREIGN ........................................ 48,090,068 98.19 SHORT TERM INVESTMENT ................................ 884,876 1.81 ----------- ------ TOTAL PORTFOLIO ...................................... $48,974,944 100.00% =========== ====== ---------- SHARES VALUE ------ ----- PREFERRED STOCK--0.15% CONSUMER CYCLICAL--0.08% 71 Porsche AG ...................................... $ 32,517 739 Prosieben Media AG .............................. 5,655 ----------- TOTAL CONSUMER CYCLICAL 38,172 ----------- CONSUMER NON-CYCLICAL--0.07% 527 Henkel Kgaa ..................................... 34,977 ----------- TOTAL CONSUMER NON-CYCLICAL 34,977 ----------- TOTAL PREFERRED STOCK (COST $74,178) 73,149 ----------- COMMON STOCK--98.03% AEROSPACE AND DEFENSE--0.50% 28,084 BAE Systems plc ................................. 103,898 2,704 European Aeronautic Defense And Space Co ........ 33,871 13,167 Rolls-Royce plc ................................. 25,898 5,142 Smiths Group plc ................................ 56,267 651 Thales S.A ...................................... 22,769 ----------- TOTAL AEROSPACE AND DEFENSE 242,703 ----------- BASIC INDUSTRIES--7.26% 252 Acciona S.A ..................................... 9,741 374 Acerinox S.A .................................... 13,498 360 ACS Actividades de Construccion y Servicios S.A . 10,463 2,602 Akzo Nobel NV ................................... 89,376 75 Aluminum Of Greece S.A.I.C ...................... 1,669 7,493 Amcor Ltd ....................................... 35,398 2,740 Amec plc ........................................ 10,864 3,333 * Arcelor ......................................... 39,042 12,000 Asahi Kasei Corp ................................ 32,230 2,174 Barratt Developments plc ........................ 14,677 5,008 BASF AG ......................................... 198,729 6,404 Bayer AG ........................................ 130,979 SHARES VALUE ------ ----- 1,186 Berkeley Group plc .............................. $ 11,358 34,289 BHP Billiton Ltd ................................ 176,144 21,654 BHP Billiton plc ................................ 100,728 7,338 * BHP Steel Ltd ................................... 11,232 4,584 BOC Group plc ................................... 64,544 52 Boehler-Uddeholm AG ............................. 2,346 5,319 Boral Ltd ....................................... 12,710 4,507 BPB plc ......................................... 20,121 401 Buderus AG ...................................... 8,437 833 Buhrmann NV ..................................... 4,997 7,800 Carter Holt Harvey Ltd .......................... 6,507 4,000 Cheung Kong Infrastructure Holdings Ltd ......... 7,000 603 Ciba Specialty Chemicals AG. (Regd) ............. 43,207 313 Cimpor Cimentos de Portugal S.A ................. 5,483 1,263 Clariant AG. (Regd) ............................. 23,458 2,955 Compagnie De Saint-Gobain ....................... 78,078 28,647 * Corus Group plc ................................. 22,359 4,860 CRH plc (Ireland) ............................... 69,438 8,762 CSR Ltd ......................................... 30,297 2,000 Daicel Chemical Industries Ltd .................. 5,620 5,000 * Dainippon Ink & Chemicals, Inc .................. 8,181 700 Daito Trust Construction Co Ltd ................. 14,202 4,000 Daiwa House Industry Co Ltd ..................... 22,280 3,000 Denki Kagaku Kogyo KK ........................... 7,190 2,000 Dowa Mining Co Ltd .............................. 8,529 96 Elkem ASA ....................................... 2,110 3,100 Fletcher Building Ltd ........................... 4,188 21,400 * Fletcher Challenge Forests Ltd .................. 2,333 370 Fomento de Construcciones y Contratas S.A ....... 7,520 1,209 Grupo Dragados S.A .............................. 17,759 555 Grupo Ferrovial S.A ............................. 13,627 6,841 Hanson plc ...................................... 41,487 268 Heidelberger Zement AG. (Germany) ............... 10,493 565 Hellenic Technodomiki S.A ....................... 3,373 247 Hoganas AB (B Shs) .............................. 4,723 1,289 Holcim Ltd (Regd) ............................... 43,489 458 Holmen AB (B Shs) ............................... 10,411 17 Imerys S.A ...................................... 2,163 11,005 Imperial Chemical Industries plc ................ 39,211 2,000 * Ishihara Sangyo Kaisha Ltd ...................... 2,810 700 Italcementi S.p.A ............................... 6,549 3,779 * James Hardie Industries NV ...................... 13,754 2,000 JGC Corp ........................................ 10,925 2,000 Johnson Matthey plc ............................. 26,537 1,000 JSR Corp ........................................ 8,082 7,000 Kajima Corp ..................................... 18,859 2,000 Kaneka Corp ..................................... 11,537 21,000 * Kawasaki Steel Corp ............................. 23,255 1,000 Kinden Corp ..................................... 4,041 1,234 Lafarge S.A. (Br) ............................... 108,862 945 L'Air Liquide S.A ............................... 119,664 1,169 Leighton Holdings Ltd ........................... 6,984 761 Linde AG ........................................ 29,938 245 Lonza Group AG. (Regd) .......................... 15,362 3,000 Matsushita Electric Works Ltd ................... 17,181 42 Mayr-Melnhof Karton AG .......................... 2,649 18,147 MIM Holdings Ltd ................................ 11,391 16,000 * Mitsubishi Chemical Corp ........................ 29,354 3,000 * Mitsubishi Gas Chemical Co, Inc ................. 4,661 8,000 Mitsubishi Materials Corp ....................... 11,636 1,000 * Mitsubishi Paper Mills Ltd ...................... 1,074 5,000 Mitsui Chemicals, Inc ........................... 21,652 5,000 Mitsui Mining & Smelting Co Ltd ................. 11,322 2,000 NatSteel Ltd .................................... 2,023 2,520 Newcrest Mining Ltd ............................. 9,851 SEE NOTES TO FINANCIAL STATEMENTS B-175 - INSTITUTIONAL INTERNATIONAL EQUITY INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- BASIC INDUSTRIES--(CONTINUED) 1,000 Nippon Kayaku Co Ltd ............................ $ 3,694 2,000 Nippon Sanso Corp ............................... 6,033 1,000 Nippon Shokubai Co Ltd .......................... 4,669 50,000 * Nippon Steel Corp ............................... 65,700 9 Nippon Unipac Holding ........................... 42,767 2,000 Nishimatsu Construction Co Ltd .................. 5,504 1,000 Nissan Chemical Industries Ltd .................. 4,545 28,000 * NKK Corp ........................................ 23,602 1,018 Norske Skogindustrier ASA ....................... 14,169 504 Novozymes a/s (B Shs) ........................... 9,961 5,000 Obayashi Corp ................................... 11,776 7,000 OJI Paper Co Ltd ................................ 30,891 1,000 Okumura Corp .................................... 3,058 2,409 Orica Ltd ....................................... 12,826 541 Outokumpu Oyj ................................... 5,665 3,340 Paperlinx Ltd ................................... 9,324 1,442 Patrick Corp Ltd ................................ 11,782 683 Pechiney S.A. (A Shs) ........................... 23,728 8,659 Pilkington plc .................................. 9,327 710 Rautaruukki Oyj ................................. 2,918 4,021 Rexam plc ....................................... 27,304 189 * RHI AG .......................................... 1,358 2,873 Rio Tinto Ltd ................................... 50,541 9,832 Rio Tinto plc ................................... 168,672 2,466 RMC Group plc ................................... 19,594 3,000 Sekisui Chemical Co Ltd ......................... 8,206 4,000 Sekisui House Ltd ............................... 28,065 4,000 SembCorp Marine Ltd ............................. 2,442 5,000 Shimizu Corp .................................... 13,760 3,500 Shin-Etsu Chemical Co Ltd ....................... 119,168 8,000 * Showa Denko KK .................................. 11,504 3,560 Skanska AB (B Shs) .............................. 21,365 379 Solvay S.A ...................................... 24,442 6,219 Stora Enso Oyj (R Shs) .......................... 68,162 1,000 Sumitomo Bakelite Co Ltd ........................ 5,620 10,000 Sumitomo Chemical Co Ltd ........................ 38,676 28,000 * Sumitomo Metal Industries Ltd ................... 11,338 4,000 Sumitomo Metal Mining Co Ltd .................... 16,363 3,000 Sumitomo Osaka Cement Co Ltd .................... 4,066 1,745 Svenska Cellulosa AB (B Shs) .................... 56,625 535 Svenskt Stal AB (Ssab) Series A ................. 5,342 982 Syngenta AG ..................................... 55,044 7,000 * Taiheiyo Cement Corp ............................ 11,570 8,000 Taisei Corp ..................................... 15,206 5,104 Taylor Woodrow plc .............................. 15,098 629 Technical Olympic S.A ........................... 2,056 3,087 ThyssenKrupp AG ................................. 38,064 255 Titan Cement Co S.A ............................. 9,627 1,000 Toda Corp ....................................... 1,818 4,000 Tosoh Corp ...................................... 8,925 2,000 Tostem Inax Holding Corp ........................ 29,933 3,000 Toto Ltd ........................................ 11,553 1,000 Toyo Seikan Kaisha Ltd .......................... 10,454 3,847 Transurban Group ................................ 8,261 683 Trelleborg AB (B Shs) ........................... 6,130 7,000 UBE Industries Ltd .............................. 8,272 148 Umicore ......................................... 5,507 2,252 UPM-Kymmene Oyj ................................. 68,428 273 Uponor Oyj ...................................... 5,477 619 Vinci S.A ....................................... 39,041 847 Viohalco S.A .................................... 4,376 171 Voest-Alpine AG ................................. 4,501 336 Wienerberger AG ................................. 4,709 3,389 Wimpey (George) plc ............................. 15,712 SHARES VALUE ------ ----- 10,196 WMC Ltd ......................................... $ 43,564 5,287 Wolseley plc .................................... 45,309 ----------- TOTAL BASIC INDUSTRIES .......................... 3,557,139 ----------- CONSUMER CYCLICAL--12.55% 1,855 Accor S.A ....................................... 60,214 2,000 Aeon Co Ltd ..................................... 47,271 500 Aoyama Trading Co Ltd ........................... 6,198 2,463 Aristocrat Leisure Ltd .......................... 6,943 1,351 Arnoldo Mondadori Editore S.p.A ................. 7,562 300 Asatsu-DK, Inc .................................. 5,318 200 Autobacs Seven Co Ltd ........................... 5,537 1,020 * Autogrill S.p.A ................................. 9,782 200 Avex, Inc ....................................... 2,645 4,238 BBA Group plc ................................... 13,231 117 Bekaert S.A ..................................... 5,140 463 Benetton Group S.p.A ............................ 4,757 5,000 Bridgestone Corp ................................ 62,477 11,489 * British Sky Broadcasting Group plc .............. 100,432 1,239 Bulgari S.p.A ................................... 4,850 300 Capcom Co Ltd ................................... 7,537 6,462 Carlton Communications plc ...................... 12,962 1,000 Casio Computer Co Ltd ........................... 4,983 673 Castorama-Dubois Investissements ................ 43,863 10,445 Coles Myer Ltd .................................. 33,471 20,623 Compass Group plc ............................... 97,946 965 * Continental AG .................................. 15,015 1,000 Cycle & Carriage Ltd ............................ 2,283 2,000 * Daiei, Inc ...................................... 2,975 3,123 Daily Mail & General Trust plc .................. 26,520 1,000 Daimaru, Inc .................................... 4,289 7,685 DaimlerChrysler AG. (Regd) ...................... 311,726 4,700 Denso Corp ...................................... 75,546 17,991 Dixons Group plc ................................ 49,709 7,757 EMI Group plc ................................... 20,040 1,625 Eniro AB ........................................ 8,492 500 FamilyMart Co Ltd ............................... 12,024 500 Fast Retailing Co Ltd ........................... 12,768 3,063 Fiat S.p.A ...................................... 33,032 400 Fisher & Paykel Appliances Holdings Ltd ......... 1,943 600 Fisher & Paykel Healthcare Corp ................. 2,799 116 Folli-Follie S.A ................................ 1,841 4,000 Fuji Photo Film Co Ltd .......................... 119,664 2 Fuji Television Network, Inc .................... 9,223 6,725 GKN plc ......................................... 27,583 26,615 Granada plc ..................................... 33,029 652 Groupe Bruxelles Lambert S.A .................... 26,734 864 Grupo Prisa S.A ................................. 6,857 1,721 Gruppo Editoriale L'Espresso S.p.A .............. 5,305 1,000 Gunze Ltd ....................................... 3,909 9,298 GUS plc ......................................... 73,732 1,000 Hankyu Department Stores, Inc ................... 5,942 4,763 Harvey Norman Holdings Ltd ...................... 7,736 4,354 Hennes & Mauritz AB (B Shs) ..................... 83,015 14,525 Hilton Group plc ................................ 40,812 2,000 Hino Motors Ltd ................................. 4,363 6,200 Honda Motor Co Ltd .............................. 248,501 4,922 Independent News & Media plc .................... 6,743 3,000 Independent Newspapers Ltd ...................... 4,622 1,943 Inditex S.A ..................................... 36,869 1,000 Isetan Co Ltd ................................... 9,024 3,000 Ito-Yokado Co Ltd ............................... 114,293 8,783 John Fairfax Holdings Ltd ....................... 15,185 4,000 * Kanebo Ltd ...................................... 5,818 382 KarstadtQuelle AG ............................... 7,869 SEE NOTES TO FINANCIAL STATEMENTS B-176 - INSTITUTIONAL INTERNATIONAL EQUITY INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER CYCLICAL--(CONTINUED) 494 Kesko Oyj (B Shs) ............................... $ 5,269 23,930 Kingfisher plc .................................. 77,698 800 Konami Corp ..................................... 20,495 846 Koninklijke Vendex KBB NV ....................... 8,196 3,000 Kuraray Co Ltd .................................. 17,652 1,321 Lagardere S.C.A ................................. 47,508 600 Lawson, Inc ..................................... 17,999 2,012 LVMH Moet Hennessy Louis Vuitton S.A ............ 82,262 1,020 MAN AG .......................................... 18,466 21,223 Marks & Spencer Group plc ....................... 118,354 3,000 Marui Co Ltd .................................... 33,420 21,000 Matsushita Electric Industrial Co Ltd ........... 236,717 5,625 Mediaset S.p.A .................................. 39,193 1,237 Michelin (C.G.D.E.) (B Shs) ..................... 40,577 4,000 Mitsubishi Rayon Co Ltd ......................... 10,281 3,000 Mitsukoshi Ltd .................................. 8,405 609 * Modern Times Group AB (B Shs) ................... 5,272 300 Namco Ltd ....................................... 5,107 29,246 News Corp Ltd ................................... 153,621 2,931 Next plc ........................................ 42,321 2,000 NGK Insulators Ltd .............................. 12,842 889 * NH Hoteles S.A .................................. 8,830 900 Nintendo Co Ltd ................................. 106,136 22,000 Nissan Motor Co Ltd ............................. 162,357 1,000 Nisshinbo Industries, Inc ....................... 4,339 400 Oriental Land Co Ltd ............................ 26,015 1,000 Overseas Union Enterprises Ltd .................. 3,730 6,350 P & O Princess Cruises plc ...................... 44,011 200 Paris Miki, Inc ................................. 3,644 7,604 Pearson plc ..................................... 71,931 1,512 Peugeot Citroen S.A ............................. 61,479 617 Pinault-Printemps-Redoute S.A ................... 47,790 1,400 Pioneer Corp .................................... 23,116 9,430 Pirelli S.p.A ................................... 9,302 515 * Pt Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A ............................. 3,674 971 Publicis Groupe S.A ............................. 20,240 1,815 Publishing & Broadcasting Ltd ................... 8,494 5,383 Rank Group plc .................................. 22,352 5,858 Reed Elsevier NV ................................ 72,575 11,888 Reed Elsevier Plc ............................... 104,199 1,481 Renault S.A ..................................... 68,190 13,540 Reuters Group plc ............................... 49,669 200 Saizeriya Co Ltd ................................ 3,026 400 Sanrio Co Ltd ................................... 2,836 14,000 Sanyo Electric Co Ltd ........................... 51,370 548 Schibsted ASA ................................... 5,693 46,058 * Seat-Pagine Gialle S.p.A ........................ 27,629 900 * Sega Corp ....................................... 19,896 1,000 * Seiyu Ltd ....................................... 3,388 3,000 Seven-Eleven Japan Co Ltd ....................... 100,409 8,000 Sharp Corp ...................................... 77,881 400 Shimachu Co Ltd ................................. 6,611 100 Shimamura Co Ltd ................................ 6,553 600 Shimano, Inc .................................... 8,618 15,582 Signet Group plc ................................ 21,770 3,000 Singapore Press Holdings Ltd .................... 32,894 7,972 Six Continents plc .............................. 69,004 1,600 Sky City Entertainment Group .................... 5,347 700 Skylark Co Ltd .................................. 15,127 1,170 Societe Television Francaise 1 (T.F.1) .......... 27,548 863 Sodexho Alliance S.A ............................ 24,491 674 Sol Melia S.A ................................... 3,166 8,600 Sony Corp ....................................... 363,172 SHARES VALUE ------ ----- 3,297 TABCORP Holdings Ltd ............................ $ 22,074 2,000 Takashimaya Co Ltd .............................. 10,198 7,000 Teijin Ltd ...................................... 20,363 1,506 Telefonica Publicidad E Informacion S.A ......... 4,775 3,000 Television Broadcasts Ltd ....................... 9,615 1,000 The Warehouse Group Ltd ......................... 3,508 1,500 Toho Co Ltd ..................................... 16,338 11,000 Toray Industries, Inc ........................... 26,453 5,000 Toyobo Co Ltd ................................... 7,024 400 Toyoda Gosei Co Ltd ............................. 5,897 23,100 Toyota Motor Corp ............................... 566,019 1,241 TUI AG .......................................... 23,439 3,416 United Business Media plc ....................... 14,024 1,000 UNY Co Ltd ...................................... 10,380 765 Valeo S.A ....................................... 25,715 36 Valora Holding AG ............................... 6,807 8,259 Vivendi Universal S.A ........................... 106,686 2,108 VNU NV .......................................... 49,509 2,726 Volkswagen AG ................................... 117,376 2,860 Volvo AB (B Shs) ................................ 43,593 2,703 Whitbread plc ................................... 23,249 2,545 Wolters Kluwer NV ............................... 47,320 9,756 Woolworths Ltd .................................. 66,501 300 World Co Ltd .................................... 7,537 10,694 WPP Group plc ................................... 72,449 200 Yamada Denki Co Ltd ............................. 14,049 1,000 Yamaha Motor Co Ltd ............................. 7,611 ----------- TOTAL CONSUMER CYCLICAL 6,149,625 ----------- CONSUMER NON-CYCLICAL--9.69% 300 Aderans Co Ltd .................................. 5,839 390 Adidas-Salomon AG ............................... 27,403 999 AGFA Gevaert NV ................................. 18,819 5,000 Ajinomoto Co, Inc ............................... 49,998 2,628 Altadis S.A ..................................... 60,411 100 Ariake Japan Co Ltd ............................. 3,182 3,000 Asahi Breweries Ltd ............................. 20,925 262 Beiersdorf AG ................................... 22,998 8,183 Boots Co plc .................................... 70,894 15,113 British American Tobacco plc .................... 172,217 1,464 BRL Hardy Ltd ................................... 6,884 4,238 Bunzl plc ....................................... 29,174 18,980 Cadbury Schweppes plc ........................... 137,028 239 Carlsberg a/s (A Shs) ........................... 10,817 4,865 Carrefour S.A ................................... 219,239 275 Casino Guichard-Perrachon ....................... 19,148 3,776 Coca-Cola Amatil Ltd ............................ 12,537 860 Coca-Cola Hellenic Bottling Co S.A .............. 12,658 400 Coca-Cola West Japan Co Ltd ..................... 7,140 135 Colruyt S.A ..................................... 6,541 4,800 Compagnie Financiere Richemont AG. (Units) (A Shs) 80,171 541 Danisco As ...................................... 20,529 711 Delhaize Group .................................. 21,312 30,088 Diageo plc ...................................... 379,965 2,847 Electrolux AB Series B .......................... 47,327 917 Essilor International S.A ....................... 38,138 19,598 Foster's Group Ltd .............................. 50,932 1,000 Fraser & Neave Ltd .............................. 4,409 60 Givaudan S.A. (Regd) ............................ 26,096 10,611 Goodman Fielder Ltd ............................. 9,640 1,163 Groupe Danone ................................... 142,150 1,775 Heineken NV ..................................... 72,138 6,719 Imperial Tobacco Group plc ...................... 112,225 1,387 Interbrew S.A ................................... 36,512 200 ITO EN Ltd ...................................... 7,074 7 Japan Tobacco, Inc .............................. 47,320 SEE NOTES TO FINANCIAL STATEMENTS B-177 - INSTITUTIONAL INTERNATIONAL EQUITY INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER NON-CYCLICAL--(CONTINUED) 269 * Jeronimo Martins SGPS S.A ....................... $ 1,622 5,000 Kao Corp ........................................ 114,251 400 Katokichi Co Ltd ................................ 6,191 1,082 Kerry Group (Class A) ........................... 15,353 1,000 Kikkoman Corp ................................... 6,058 6,000 Kirin Brewery Co Ltd ............................ 35,255 14,000 Li & Fung Ltd ................................... 14,718 3,086 L'Oreal S.A ..................................... 228,762 1,238 Luxottica Group S.p.A ........................... 15,350 2,000 Meiji Dairies Corp .............................. 5,983 3,000 Meiji Seika Kaisha Ltd .......................... 8,925 1,343 Metro AG ........................................ 29,571 3,642 Nestle S.A. (Regd) .............................. 768,888 2,000 Nichirei Corp ................................... 6,661 1,000 Nippon Meat Packers, Inc ........................ 7,867 1,000 Nisshin Seifun Group, Inc ....................... 7,190 800 Nissin Food Products Co Ltd ..................... 15,999 1,370 Numico NV ....................................... 24,977 1,846 Orkla ASA ....................................... 30,242 140 Papastratos Cigarette Co ........................ 2,126 3,592 Parmalat Finanziaria S.p.A ...................... 10,721 401 Pernod-Ricard ................................... 36,416 900 QP Corp ......................................... 7,564 4,980 Reckitt Benckiser plc ........................... 96,395 5,903 Royal Ahold NV .................................. 91,271 7,399 SABMiller plc ................................... 52,898 9,773 Safeway plc ..................................... 32,876 13,431 Sainsbury (J) plc ............................... 67,300 2,000 Sapporo Breweries Ltd ........................... 4,264 7,089 Scottish & Newcastle plc ........................ 61,748 3,000 Shiseido Co Ltd ................................. 36,668 1,000 * Snow Brand Milk Products Co ..................... 1,661 366 Societe BIC S.A ................................. 13,786 9,579 * Sonae SPGS S.A .................................. 4,687 5,999 Southcorp Ltd ................................... 18,134 3,253 Swedish Match AB ................................ 25,224 1,000 Takara Holdings, Inc ............................ 5,281 3,745 Tate & Lyle plc ................................. 21,396 64,708 Tesco plc ....................................... 214,139 2,009 The Swatch Group AG. (Regd) ..................... 30,401 5,203 Unilever NV (Cert) .............................. 301,426 25,561 Unilever plc .................................... 231,424 200 Wella AG ........................................ 7,927 1,000 Yakult Honsha Co Ltd ............................ 10,983 1,000 Yamazaki Baking Co Ltd .......................... 5,248 ----------- TOTAL CONSUMER NON-CYCLICAL 4,745,617 ----------- ENERGY--10.17% 32,500 BG Group plc .................................... 130,890 204,586 BP plc .......................................... 1,456,275 39,011 Centrica plc .................................... 106,112 25,639 ENI S.p.A ....................................... 383,380 3,014 Fortum Oyj ...................................... 17,402 2,037 Gas Natural SDG S.A ............................. 34,386 825 Hellenic Petroleum S.A .......................... 4,925 35,000 Hong Kong & China Gas Co Ltd .................... 46,667 263 IHC Caland NV ................................... 12,508 1,716 Italgas S.p.A ................................... 16,927 8,000 Japan Energy Corp ............................... 7,867 32,385 Lattice Group plc ............................... 88,341 13,000 Nippon Oil Corp ................................. 54,039 1,356 Norsk Hydro ASA ................................. 55,717 125 OMV AG .......................................... 10,618 5,681 Origin Energy Ltd ............................... 11,480 19,000 Osaka Gas Co Ltd ................................ 45,221 SHARES VALUE ------ ----- 8,392 Repsol YPF S.A .................................. $ 106,515 19,379 Royal Dutch Petroleum Co ........................ 823,998 5,725 Santos Ltd ...................................... 19,859 88,439 Shell Transport & Trading Co plc ................ 552,902 1,000 Showa Shell Sekiyu KK ........................... 5,454 321 Smedvig a/s (A Shs) ............................. 1,706 7,113 Snam Rete Gas ................................... 21,787 4,060 Statoil ASA ..................................... 33,256 213 Technip-Coflexip S.A ............................ 16,675 1,000 Teikoku Oil Co Ltd .............................. 3,727 24,000 Tokyo Gas Co Ltd ................................ 67,633 2,000 TonenGeneral Sekiyu KK .......................... 11,966 5,813 Total Fina Elf S.A .............................. 799,249 4,345 Woodside Petroleum Ltd .......................... 31,579 ----------- TOTAL ENERGY 4,979,065 ----------- FINANCIAL SERVICES--23.93% 5,646 3i Group plc .................................... 44,331 3,000 77 Bank Ltd ..................................... 10,537 12,643 ABN Amro Holding NV ............................. 173,709 700 Acom Co Ltd ..................................... 37,312 8,464 Aegon NV ........................................ 91,112 100 Aeon Credit Service Co Ltd ...................... 5,008 400 Aiful Corp ...................................... 23,635 4,230 Alleanza Assicurazioni .......................... 28,935 3,000 Allgreen Properties Ltd ......................... 1,967 1,713 Allianz AG. (Regd) .............................. 170,987 8,272 Allied Irish Banks plc .......................... 100,944 1,412 Alpha Bank S.A .................................. 19,234 4,821 AMP Diversified Property Trust .................. 6,716 10,582 AMP Ltd ......................................... 76,210 5,864 Amvescap plc .................................... 33,228 7,000 * Ashikaga Bank Ltd ............................... 7,000 9,354 Assicurazioni Generali S.p.A .................... 153,876 13,825 Australia and New Zealand Banking Group Ltd ..... 148,892 20,977 Aviva plc ....................................... 126,560 12,617 AXA ............................................. 155,572 2,516 Banca Fideuram S.p.A ............................ 10,735 7,041 Banca Monte Dei Paschi Siena .................... 18,604 14,721 * Banca Nazionale Del Lavoro S.p.A ................ 19,895 3,342 * Banca Popolare Di Milano ........................ 12,264 27,796 Banco Bilbao Vizcaya Argentaria S.A ............. 257,050 14,113 Banco Comercial Portugues S.A. (Regd) ........... 35,909 807 Banco Espirito Santo S.A. (Regd) ................ 8,687 39,358 Banco Santander Central Hispano S.A ............. 243,419 13,200 Bank Of East Asia Ltd ........................... 24,285 4,000 Bank Of Fukuoka Ltd ............................. 14,644 9,321 Bank Of Ireland (London) ........................ 99,972 1,090 Bank Of Piraeus ................................. 7,104 8,000 Bank Of Yokohama Ltd ............................ 32,065 61,303 Barclays plc .................................... 412,920 3,140 Bayerische Hypo-und Vereinsbank AG .............. 59,920 14,692 * Bipop-Carire S.p.A .............................. 6,642 7,267 BNP Paribas ..................................... 300,744 25,000 * BOC Hong Kong Holdings Ltd ...................... 26,282 3,089 BPI-SGPS S.A. (Regd) ............................ 6,802 4,727 British Land Co plc ............................. 33,648 11,048 BT Office Trust ................................. 8,699 4,436 * Canary Wharf Group plc .......................... 26,521 10,000 CapitaLand Ltd .................................. 7,235 11,277 Capitalia S.p.A ................................. 13,629 14,000 Cheung Kong Holdings Ltd ........................ 97,372 6,000 Chiba Bank Ltd .................................. 18,941 4,000 City Developments Ltd ........................... 12,321 1,221 Close Brothers Group plc ........................ 9,435 5,088 Colonial First State Property Trust Group ....... 6,864 SEE NOTES TO FINANCIAL STATEMENTS B-178 - INSTITUTIONAL INTERNATIONAL EQUITY INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- FINANCIAL SERVICES--(CONTINUED) 648 Commercial Bank Of Greece ....................... $ 12,264 11,626 Commonwealth Bank Of Australia .................. 203,753 713 Corporacion Mapfre S.A .......................... 4,521 1,100 Credit Saison Co Ltd ............................ 23,181 9,369 Credit Suisse Group ............................. 206,559 38,000 * Daiwa Bank Holdings, Inc ........................ 27,321 11,000 Daiwa Securities Group, Inc ..................... 54,998 5,090 Danske Bank a/s ................................. 84,167 10,000 DBS Group Holdings Ltd .......................... 68,389 5,122 Deutsche Bank AG. (Regd) ........................ 297,987 554 Deutsche Boerse AG .............................. 20,873 10,747 Deutsche Office Trust ........................... 6,864 5,981 Dexia ........................................... 69,358 3,575 DnB Holding ASA ................................. 17,046 838 Drott AB (B Shs) ................................ 7,878 1,432 EFG Eurobank Ergasias S.A ....................... 17,685 239 Erste Bank Der Oesterreichischen Sparkassen AG .. 15,965 9,120 Fortis .......................................... 157,077 17,778 General Property Trust .......................... 27,212 408 * Gjensidige Nor Asa .............................. 13,449 3,000 Gunma Bank Ltd .................................. 12,818 2,507 Hammerson plc ................................... 18,765 11,000 Hang Lung Properties Ltd ........................ 10,859 7,400 Hang Seng Bank Ltd .............................. 79,218 34,913 HBOS plc ........................................ 367,052 5,000 Henderson Land Development Co Ltd ............... 15,641 6,000 * Hokuriku Bank Ltd ............................... 7,735 10,000 Hong Kong Exchanges & Clearing Ltd .............. 12,244 85,178 HSBC Holdings plc (United Kingdom) .............. 933,399 15,457 ING Groep NV .................................... 294,810 11,802 Insurance Australia Group Ltd ................... 20,339 32,496 IntesaBci S.p.A ................................. 75,526 8,428 IntesaBci S.p.A. (Rnc) .......................... 13,856 2,543 Irish Life & Permanent plc ...................... 31,729 7,000 Joyo Bank Ltd ................................... 19,437 827 KBC Bancassurance Holding NV .................... 29,378 3,000 Keppel Land Ltd ................................. 1,950 4,831 Land Securities Group Plc ....................... 56,559 47,570 Legal & General Group plc ....................... 73,885 3,599 Lend Lease Corp Ltd ............................. 21,679 51,595 Lloyds TSB Group plc ............................ 423,639 1,837 Macquarie Bank Ltd .............................. 23,263 17,586 Macquarie Infrastructure Group .................. 29,533 2,415 Man Group plc ................................... 39,470 530 Marschollek Lautenschlaeger Und Partner ......... 6,509 3,873 Mediobanca S.p.A ................................ 29,298 1,991 Mediolanum S.p.A ................................ 9,489 344 Metrovacesa S.A ................................. 5,891 14 * Millea Holdings, Inc ............................ 108,871 6,301 Mirvac Group .................................... 14,259 8,000 Mitsubishi Estate Co Ltd ........................ 59,634 34 Mitsubishi Tokyo Financial ...................... 219,164 6,000 Mitsui Fudosan Co Ltd ........................... 45,469 12,000 Mitsui Sumitomo Insurance Co .................... 55,535 4,000 Mitsui Trust Holdings, Inc ...................... 7,834 56 Mizuho Holdings, Inc ............................ 111,532 972 Muenchener Rueckver AG. (Regd) .................. 154,094 14,349 National Australia Bank Ltd ..................... 283,867 1,713 National Bank Of Greece S.A ..................... 29,973 13,000 New World Development Co Ltd .................... 8,083 12,000 Nikko Cordial Corp .............................. 49,188 17,000 Nomura Holdings, Inc ............................ 207,222 20,678 Nordea AB (Sweden) .............................. 94,445 700 ORIX Corp ....................................... 44,139 SHARES VALUE ------ ----- 9,000 Oversea-Chinese Banking Corp Ltd ................ $ 51,376 4,000 Parkway Holdings Ltd ............................ 1,775 154 Pohjola Group plc (D Shs) ....................... 2,200 800 Promise Co Ltd .................................. 33,718 2,227 Provident Financial plc ......................... 20,510 18,489 Prudential plc .................................. 118,909 5,168 QBE Insurance Group Ltd ......................... 20,601 3,243 RAS S.p.A ....................................... 38,020 13,579 Royal & Sun Alliance Insurance Group plc ........ 23,581 24,961 Royal Bank Of Scotland Group plc ................ 568,487 2,552 Sampo Oyj Series (A Shs) ........................ 17,831 7,998 Sanpaolo IMI S.p.A .............................. 58,310 5,000 Shizuoka Bank Ltd ............................... 31,941 6,000 Singapore Exchange Ltd .......................... 4,035 1,000 Singapore Land Ltd .............................. 1,797 8,145 Skandia Forsakrings AB .......................... 18,428 4,337 Skandinaviska Enskilda Banken (A Shs) ........... 41,000 3,769 Slough Estates plc .............................. 19,298 2,737 Societe Generale (A Shs) ........................ 145,037 7,000 Sompo Japan Insurance, Inc ...................... 40,147 7,741 Stockland Trust Group ........................... 18,583 1,404 * Storebrand ASA .................................. 4,918 36,000 Sumitomo Mitsui Banking Corp .................... 162,142 3,000 Sumitomo Realty & Development Co Ltd ............ 14,999 8,000 Sumitomo Trust & Banking Co Ltd ................. 34,511 12,000 Sun Hung Kai Properties Ltd ..................... 74,615 4,920 Suncorp-Metway Ltd .............................. 33,726 1,000 Suruga Bank Ltd ................................. 4,066 5,455 Svenska Handelsbanken AB (A Shs) ................ 75,036 2,757 Swiss Reinsurance Co (Regd) ..................... 174,983 720 Takefuji Corp ................................... 44,626 214 * Topdanmark As ................................... 5,865 1,200 Tower Ltd ....................................... 2,190 11,520 UBS AG. (Regd) .................................. 504,885 31 UFJ Holdings, Inc ............................... 64,815 383 Unibail ......................................... 23,800 31,340 UniCredito Italiano S.p.A ....................... 119,917 11,000 United Overseas Bank Ltd ........................ 78,958 2,000 United Overseas Land Ltd ........................ 1,933 984 Vallehermoso S.A ................................ 7,251 3,811 Westfield Holdings Ltd .......................... 27,887 18,656 Westfield Trust (Units) ......................... 33,589 16,255 Westpac Banking Corp ............................ 140,873 3,000 Wing Tai Holdings Ltd ........................... 1,221 783 Zurich Financial Services AG .................... 67,482 ----------- TOTAL FINANCIAL SERVICES 11,722,072 ----------- HEALTH CARE--9.72% 634 Altana AG ....................................... 25,872 6,450 Amersham plc .................................... 55,981 16,008 AstraZeneca plc (United Kingdom) ................ 494,272 6,166 Aventis S.A ..................................... 337,907 1,000 Banyu Pharmaceutical Co Ltd ..................... 11,347 2,560 * Celltech Group plc .............................. 15,585 2,000 Chugai Pharmaceutical Co Ltd .................... 19,834 478 Cochlear Ltd .................................... 9,764 110 Coloplast a/s (B Shs) ........................... 8,551 1,495 CSL Ltd ......................................... 19,706 2,000 Daiichi Pharmaceutical Co Ltd ................... 31,734 2,300 Eisai Co Ltd .................................... 54,836 3,234 * Elan Corp plc ................................... 8,545 336 Fresenius Medical Care AG ....................... 8,056 2,000 Fujisawa Pharmaceutical Co Ltd .................. 42,312 1,629 Gambro AB (A Shs) ............................... 8,029 876 Gambro AB (B Shs) ............................... 4,299 228 Gehe AG ......................................... 9,371 SEE NOTES TO FINANCIAL STATEMENTS B-179 - INSTITUTIONAL INTERNATIONAL EQUITY INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HEALTH CARE--(CONTINUED) 55,308 GlaxoSmithKline plc ............................. $ 1,048,981 650 H. Lundbeck a/s ................................. 15,416 430 Instrumentarium Oyj ............................. 10,878 3,000 Kyowa Hakko Kogyo Co Ltd ........................ 14,057 445 Merck Kgaa ...................................... 9,798 194 * Nobel Biocare Holding Ag ........................ 9,664 25,196 Novartis AG. (Regd) ............................. 994,845 2,536 Novo Nordisk a/s (B Shs) ........................ 75,182 164 Omega Pharma S.A ................................ 6,620 306 Orion-Yhtyma (B Shs) ............................ 6,828 1,267 * Qiagen NV ....................................... 6,695 7,188 Roche Holding AG. (Genusscheine) ................ 480,224 3,000 Sankyo Co Ltd ................................... 39,916 3,674 Sanofi-Synthelabo S.A ........................... 205,296 1,629 Schering AG ..................................... 87,199 64 Serono S.A. (B Shs) ............................. 33,479 2,000 Shionogi & Co Ltd ............................... 20,164 8,539 Smith & Nephew plc .............................. 50,385 2,058 Sonic Healthcare Ltd ............................ 7,139 82 * Sulzer Medica AG. (Regd) ........................ 12,025 300 Suzuken Co Ltd .................................. 6,520 40 Synthes-Stratec, Inc ............................ 20,951 1,000 Taisho Pharmaceutical Co Ltd .................... 15,198 7,000 Takeda Chemical Industries Ltd .................. 286,351 1,700 Terumo Corp ..................................... 23,715 804 UCB S.A ......................................... 23,509 274 * William Demant Holding .......................... 5,885 3,200 Yamanouchi Pharmaceutical Co Ltd ................ 71,137 1,174 Zeltia S.A ...................................... 6,859 ----------- TOTAL HEALTH CARE 4,760,917 ----------- OTHER--2.42% 1,193 Adecco S.A. (Regd) .............................. 48,021 9,703 Aegis Group plc ................................. 10,830 2,148 Amadeus Global Travel Distribution S.A. (A Shs) . 11,057 190 Amer Group plc .................................. 5,392 2,708 Assa ABloy AB (B Shs) ........................... 27,326 2,100 Auckland International Airport Ltd .............. 4,280 9,861 BAA plc ......................................... 80,813 30 Bellsystem 24, Inc .............................. 5,672 600 Benesse Corp .................................... 9,848 6,230 Capita Group plc ................................ 25,698 7,540 Chubb plc ....................................... 15,154 735 DCC plc ......................................... 7,286 3,584 Deutsche Post AG. (Regd) ........................ 36,125 4,016 Electrocomponents plc ........................... 17,616 100 Flughafen Wien AG ............................... 2,985 200 Fuji Soft ABC, Inc .............................. 4,016 601 Group 4 Falck A/S ............................... 16,511 1,012 Hagemeyer NV .................................... 10,111 1,000 Haw Par Corp Ltd ................................ 2,295 15,202 Hays plc ........................................ 31,205 200 Hitachi Software Engineering Co Ltd ............. 5,553 21,000 Hutchison Whampoa Ltd ........................... 137,981 402 * ISS a/s ......................................... 16,393 13,000 Itochu Corp ..................................... 32,123 300 Itochu Techno-Science Corp ...................... 6,669 5,000 Keppel Corp Ltd ................................. 12,717 55 Kobenhavns Lufthavne As ......................... 3,696 330 M.J. Maillis S.A ................................ 1,673 11,000 Marubeni Corp ................................... 12,090 300 Meitec Corp ..................................... 7,277 10,000 Mitsubishi Corp ................................. 65,286 11,000 Mitsui & Co Ltd ................................. 55,816 1 NET One Systems Co Ltd .......................... 4,463 SHARES VALUE ------ ----- 200 Nippon System Development Co Ltd ................ $ 4,711 692 OCE NV .......................................... 5,959 300 Oracle Corp (Japan) ............................. 9,867 185 * Ostasiatiske Kompagni ........................... 3,705 17,402 Rentokil Initial plc ............................ 60,034 1,500 Secom Co Ltd .................................... 60,865 2,688 Securitas AB (B Shs) ............................ 39,972 3,788 Serco Group plc ................................. 9,520 41 SGS Societe Generale Surveillance Holdings S.A .. 10,409 1,800 Softbank Corp ................................... 15,827 6,000 Sumitomo Corp ................................... 30,048 9,000 Swire Pacific Ltd (A Shs) ....................... 39,231 3,681 * Terra Lycos S.A ................................. 16,390 300 TIS, Inc ........................................ 5,553 3,012 TPG NV .......................................... 55,738 100 Trans Cosmos, Inc ............................... 1,625 993 Vedior NV ....................................... 8,270 3,479 Wesfarmers Ltd .................................. 54,210 11,000 Wharf Holdings Ltd .............................. 21,577 ----------- TOTAL OTHER 1,187,489 ----------- PRODUCER DURABLES--4.58% 8,280 * ABB Ltd ......................................... 36,510 600 Advantest Corp .................................. 25,784 2,510 * Alstom .......................................... 15,843 2,000 Amada Co Ltd .................................... 7,967 1,744 Atlas Copco AB (B Shs) .......................... 32,325 3,719 Balfour Beatty plc .............................. 9,709 5,000 * Chartered Semiconductor Manufacturing Ltd ....... 4,041 1,000 Daikin Industries Ltd ........................... 17,396 2,000 Ebara Corp ...................................... 7,867 1,000 Fanuc Ltd ....................................... 42,808 231 * FLS Industries a/s (B Shs) ...................... 2,694 4,000 Fuji Electric Co Ltd ............................ 9,355 300 Fuji Machine Manufacturing Co Ltd ............... 3,595 15,000 Fujitsu Ltd ..................................... 70,286 28,000 Hitachi Ltd ..................................... 145,084 8,000 * Hitachi Zosen Corp .............................. 3,570 1,000 Hoya Corp ....................................... 64,377 2,923 IMI plc ......................................... 12,685 32,266 Invensys plc .................................... 35,761 11,000 Ishikawajima-Harima Heavy Industries Co Ltd ..... 14,545 11,000 * Kawasaki Heavy Industries Ltd ................... 11,454 126 KCI Konecranes International .................... 3,385 9,000 Komatsu Ltd ..................................... 30,495 312 Kone Oyj (B Shs) ................................ 8,793 11,964 Koninklijke Philips Electronics NV .............. 202,196 9,000 Kubota Corp ..................................... 24,247 4,210 * Kvaerner Industrier Asa (Series A) .............. 2,658 389 * Logitech International S.A. (Regd) .............. 10,422 200 Mabuchi Motor Co Ltd ............................ 18,082 1,000 Makita Corp ..................................... 5,818 928 Metso Oyj ....................................... 10,126 15,000 * Mitsubishi Electric Corp ........................ 48,593 28,000 Mitsubishi Heavy Industries Ltd ................. 75,203 6,000 * Mitsui Engineering & Shipbuilding Co Ltd ........ 6,248 400 Mori Seiki Co Ltd ............................... 2,568 2,200 Murata Manufacturing Co Ltd ..................... 125,267 13,000 * NEC Corp ........................................ 64,567 172 * NEG Micon a/s ................................... 3,626 2,000 * Nikon Corp ...................................... 16,908 1,200 Nitto Denko Corp ................................ 32,528 4,000 NSK Ltd ......................................... 12,826 3,000 NTN Corp ........................................ 9,917 4,000 * Oki Electric Industry Co Ltd .................... 7,372 1,000 Rohm Co Ltd ..................................... 123,714 SEE NOTES TO FINANCIAL STATEMENTS B-180 - INSTITUTIONAL INTERNATIONAL EQUITY INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- PRODUCER DURABLES--(CONTINUED) 1,000 Sanden Corp ..................................... $ 2,868 2,020 Sandvik AB ...................................... 47,740 46 Schindler Holding AG. (Pt Cert) ................. 7,852 1,953 Schneider Electric S.A .......................... 88,852 9,000 SembCorp Industries Ltd ......................... 5,239 7,344 Siemens AG ...................................... 309,034 12,000 Singapore Technologies Engineering Ltd .......... 11,666 898 SKF AB (B Shs) .................................. 20,460 400 SMC Corp ........................................ 38,676 2,000 * ST Assembly Test Services ....................... 1,130 1,000 Stanley Electric Co Ltd ......................... 11,528 4,000 * Sumitomo Heavy Industries Ltd ................... 3,041 1,000 Taiyo Yuden Co Ltd .............................. 15,132 1,090 Tandberg ASA .................................... 11,469 900 THK Co Ltd ...................................... 12,793 1,489 * Thomson Multimedia .............................. 25,718 1,400 Tokyo Electron Ltd .............................. 60,278 1,666 Tomra Systems ASA ............................... 9,120 26,000 * Toshiba Corp .................................... 84,443 1,400 Toyota Industries Corp .......................... 21,404 1,000 Ushio, Inc ...................................... 9,826 82 VA Technologie AG ............................... 1,505 974 Vestas Wind Systems a/s ......................... 13,090 344 Wartsila Oyj (B Shs) ............................ 4,881 1,000 Yokogawa Electric Corp .......................... 6,405 ----------- TOTAL PRODUCER DURABLES 2,243,365 ----------- TECHNOLOGY--4.40% 10,907 Alcatel S.A ..................................... 40,133 1,000 Alps Electric Co Ltd ............................ 11,867 9,421 * ARM Holdings plc ................................ 20,589 7,000 Asahi Glass Co Ltd .............................. 39,916 4,171 * ASML Holding NV ................................. 32,613 8,000 Canon, Inc ...................................... 270,400 983 Cap Gemini S.A .................................. 25,386 2,000 Citizen Watch Co Ltd ............................ 11,074 450 Creative Technology Ltd ......................... 3,027 600 CSK Corp ........................................ 21,470 5,000 Dai Nippon Printing Co Ltd ...................... 53,593 1,000 * Dainippon Screen Manufacturing Co Ltd ........... 4,281 430 Dassault Systemes S.A ........................... 11,698 2,000 Datacraft Asia Ltd .............................. 1,350 429 * EDB Business Partner ASA ........................ 1,143 466 * Epcos AG ........................................ 5,655 141,447 * Ericsson (LM) (B Shs) ........................... 87,141 3,000 Fujikura Ltd .................................... 7,785 100 Fujitsu Support & Service, Inc .................. 1,769 4,000 Furukawa Electric Co Ltd ........................ 9,983 200 Hirose Electric Co Ltd .......................... 14,941 1,000 Hitachi Cable Ltd ............................... 3,016 3,173 * Infineon Technologies AG ........................ 27,139 704 Intracom S.A .................................... 4,395 14,000 Johnson Electric Holdings Ltd ................... 14,718 200 Keyence Corp .................................... 35,370 2,000 Konica Corp ..................................... 12,875 1,500 Kyocera Corp .................................... 102,267 3,000 Minebea Co Ltd .................................. 15,297 5,350 Misys plc ....................................... 14,991 600 Mitsumi Electric Co Ltd ......................... 7,343 1,000 NGK Spark Plug Co Ltd ........................... 6,801 300 Nidec Corp ...................................... 16,313 1,000 Nippon Comsys Corp .............................. 4,958 3,000 Nippon Sheet Glass Co Ltd ....................... 7,710 43,421 Nokia Oyj ....................................... 604,232 12 NTT Data Corp ................................... 41,056 SHARES VALUE ------ ----- 2,000 Olympus Optical Co Ltd .......................... $ 29,007 2,000 Omron Corp ...................................... 26,429 6,000 Ricoh Co Ltd .................................... 103,880 11,211 Sage Group plc .................................. 20,650 1,873 SAP AG .......................................... 115,107 5,539 STMicroelectronics NV ........................... 96,105 5,000 Sumitomo Electric Industries Ltd ................ 28,594 1,100 TDK Corp ........................................ 45,543 762 Tietoenator Corp ................................ 10,514 5,000 Toppan Printing Co Ltd .......................... 41,568 500 * Trend Micro, Inc ................................ 13,842 90 Unaxis Holding AG. (Regd) ....................... 6,103 2,000 Venture Manufacturing Ltd (Singapore) ........... 13,113 1,000 Yamaha Corp ..................................... 8,727 ----------- TOTAL TECHNOLOGY 2,153,483 ----------- TRANSPORTATION--1.73% 18,176 * Alitalia S.p.A .................................. 5,247 4,000 * All Nippon Airways Co Ltd ....................... 9,322 2,967 Associated British Ports Holdings plc ........... 19,360 569 Attica Enterprise Holding S.A ................... 1,849 357 Bergesen DY a/s (B Shs) ......................... 5,516 9,021 Brambles Industries Ltd ......................... 36,259 6,657 Brambles Industries plc ......................... 24,628 4,674 * British Airways plc ............................. 8,992 9,000 Cathay Pacific Airways Ltd ...................... 12,115 9 Central Japan Railway Co ........................ 53,254 2 Dampskibsselskabet Af 1912 (B Shs) .............. 13,176 2 Dampskibsselskabet Svendborg (B Shs) ............ 17,208 1,762 * Deutsche Lufthansa AG. (Regd) ................... 19,485 181 DSV, DE Sammensluttede Vognmaend ................ 4,507 32 East Japan Railway Co ........................... 144,390 2,704 Exel plc ........................................ 29,125 3,921 Firstgroup plc .................................. 14,904 419 * Frontline Ltd ................................... 2,288 3,889 Iberia .......................................... 5,328 5,000 Japan Airlines Co Ltd ........................... 11,983 1,000 Kamigumi Co Ltd ................................. 4,727 4,000 Kawasaki Kisen Kaisha Ltd ....................... 4,859 3,000 Keihin Electric Express Railway Co Ltd .......... 14,008 5,000 Keio Electric Railway Co Ltd .................... 26,156 14,000 * Kinki Nippon Railway Co Ltd ..................... 37,602 7,710 Mayne Group Ltd ................................. 15,367 1,000 Mitsubishi Logistics Corp ....................... 5,859 7,000 Mitsui O.S.K. Lines Ltd ......................... 12,611 12,500 MTR Corp ........................................ 15,224 8,000 * Neptune Orient Lines Ltd ........................ 2,803 7,000 Nippon Express Co Ltd ........................... 28,982 9,000 Nippon Yusen Kabushiki Kaisha ................... 26,404 6,286 Peninsular And Oriental Steam Navigation Co ..... 19,821 3,466 * Ryanair Holdings plc ............................ 18,791 688 * SAS AB .......................................... 4,458 1,000 Seino Transportation Co Ltd ..................... 5,529 2,000 SembCorp Logistics Ltd .......................... 2,136 5,000 Singapore Airlines Ltd .......................... 28,825 8,000 SMRT Corp Ltd ................................... 2,736 7,000 Tobu Railway Co Ltd ............................. 17,933 9,000 Tokyu Corp ...................................... 31,610 10 West Japan Railway Co ........................... 35,618 3,000 Yamato Transport Co Ltd ......................... 44,874 ----------- TOTAL TRANSPORTATION 845,869 ----------- UTILITIES--11.08% 944 ACEA S.p.A ...................................... 4,878 559 Aguas de Barcelona S.A .......................... 5,514 3,915 Australian Gas Light Co Ltd ..................... 21,707 1,106 Autopistas Concesionaria Espanola S.A ........... 12,966 SEE NOTES TO FINANCIAL STATEMENTS B-181 - INSTITUTIONAL INTERNATIONAL EQUITY INDEX FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- UTILITIES--(CONTINUED) 7,557 Autostrade-Concessioni e Costruzioni Autostrade S.p.A. ............................. $ 65,818 2,569 AWG plc ......................................... 18,527 1,575 Bouygues S.A .................................... 40,952 2,534 Brisa-Auto Estradas de Portugal S.A ............. 13,490 80,293 BT Group plc .................................... 244,408 20,987 Cable & Wireless plc ............................ 47,994 6,100 Chubu Electric Power Co, Inc .................... 111,912 17,500 CLP Holdings Ltd ................................ 71,571 2,500 Contact Energy Ltd .............................. 4,598 19,222 Deutsche Telekom AG. (Regd) ..................... 198,264 5,385 E.ON AG ......................................... 263,488 275 Electrabel S.A .................................. 63,646 17,509 Electricidade De Portugal S.A ................... 29,300 8,351 Endesa S.A ...................................... 93,164 19,627 Enel S.p.A ...................................... 102,565 3,863 France Telecom S.A .............................. 39,126 2,016 * GN Store Nord ................................... 6,003 3,074 Hellenic Telecommunications Organization S.A .... 36,640 13,500 Hong Kong Electric Holdings Ltd ................. 55,731 7,009 Iberdrola S.A ................................... 89,853 10,620 * International Power plc ......................... 16,744 6,600 Kansai Electric Power Co, Inc ................... 101,832 3,615 Kelda Group plc ................................. 21,387 15,878 * KPN NV .......................................... 83,440 3,000 Kyushu Electric Power Co, Inc ................... 43,535 16,348 National Grid Group Plc ......................... 118,473 53 Nippon Telegraph & Telephone Corp ............... 192,281 173 NTT Docomo, Inc ................................. 314,531 43 Oesterreichische Elektrizitaetswirtschafts AG. (A Shs) ....................................... 3,143 90,000 * Pacific Century Cyberworks Ltd .................. 13,731 1,526 * Panafon Hellenic Telecom S.A .................... 6,899 8,761 Portugal Telecom SGPS S.A. (Regd) ............... 51,441 429 Public Power Corp ............................... 6,020 3,643 RWE AG .......................................... 124,063 7,927 Scottish & Southern Energy plc .................. 79,813 17,141 Scottish Power plc .............................. 100,339 3,182 Severn Trent plc ................................ 31,293 62,000 Singapore Telecommunications Ltd ................ 50,461 SHARES/ PRINCIPAL VALUE --------- ----- 5,106 * Sonera Oyj ...................................... $ 21,736 7,472 Suez S.A ........................................ 147,412 244 Swisscom AG. (Regd) ............................. 65,532 1,214 TDC a/s ......................................... 30,552 822 * Tele2 AB (B Shs) ................................ 14,407 14,100 Telecom Corp Of New Zealand Ltd ................. 32,882 34,545 Telecom Italia S.p.A ............................ 266,727 42,245 * Telefonica S.A .................................. 363,387 1,155 * Telekom Austria AG .............................. 9,381 4,228 Telenor ASA ..................................... 13,290 8,393 Telia AB ........................................ 24,873 20,534 Telstra Corp Ltd ................................ 56,078 34,848 TIM S.p.A ....................................... 146,981 1,450 * Tiscali S.p.A ................................... 6,456 4,200 Tohoku Electric Power Co, Inc ................... 59,006 11,300 Tokyo Electric Power Co, Inc .................... 219,453 2,109 Union Fenosa S.A ................................ 26,830 5,138 United Utilities plc ............................ 49,566 620,000 Vodafone Group plc .............................. 873,485 ----------- TOTAL UTILITIES 5,429,575 ----------- TOTAL COMMON STOCK (COST $49,099,469) 48,016,919 ----------- SHORT TERM INVESTMENT--1.80% U.S. GOVERNMENT AND AGENCY--1.80% Federal Home Loan Bank (FHLB) $ 885,000 1.590%, 09/16/02 .............................. 884,876 ----------- TOTAL SHORT TERM INVESTMENT (COST $884,876) 884,876 ----------- TOTAL PORTFOLIO--99.98% (COST $50,058,523) 48,974,944 OTHER ASSETS & LIABILITIES, NET--0.02% 8,770 ----------- NET ASSETS-- 100.00% $48,983,714 ----------- ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-182 - INSTITUTIONAL REAL ESTATE SECURITIES FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK--84.26% CONSUMER CYCLICAL--0.87% 15,400 Hilton Hotels Corp .............................. $ 174,020 ----------- TOTAL CONSUMER CYCLICAL ......................... 174,020 ----------- FINANCIAL SERVICES--83.39% 13,000 AMB Property Corp ............................... 378,950 14,000 American Land Lease, Inc ........................ 198,800 17,800 Apartment Investment & Management Co (Class A) .. 743,862 22,200 Archstone-Smith Trust ........................... 576,090 8,400 AvalonBay Communities, Inc ...................... 374,220 24,800 Boston Properties, Inc .......................... 956,040 14,000 CarrAmerica Realty Corp ......................... 379,400 3,400 Centerpoint Properties Corp ..................... 190,230 6,700 Chateau Communities, Inc ........................ 187,265 1,950 Corporate Office Properties Trust ............... 27,105 41,200 Equity Office Properties Trust .................. 1,137,944 27,900 Equity Residential .............................. 746,883 15,700 * Fairmont Hotels & Resorts ....................... 378,056 14,000 Federal Realty Investment Trust ................. 381,920 11,400 General Growth Properties, Inc .................. 570,000 15,200 Heritage Property Investment Trust .............. 375,744 11,200 Home Properties Of New York, Inc ................ 383,600 38,300 * Host Marriott Corp .............................. 383,766 5,350 IRT Property Co ................................. 65,484 19,700 iStar Financial, Inc ............................ 561,056 12,100 Kimco Realty Corp ............................... 382,360 22,900 Lexington Corporate Properties Trust ............ 375,560 11,600 Manufactured Home Communities, Inc .............. 383,960 6,600 Mills Corp ...................................... 191,400 6,750 Mission West Properties, Inc .................... 80,933 SHARES/ PRINCIPAL VALUE --------- ----- 30,600 Prologis ........................................ $ 769,896 11,000 PS Business Parks, Inc .......................... 381,150 11,800 Public Storage, Inc ............................. 377,128 9,700 Ramco-Gershenson Properties ..................... 191,187 16,200 Reckson Associates Realty Corp .................. 380,700 23,800 Rouse Co ........................................ 761,362 21,700 Simon Property Group, Inc ....................... 765,576 11,700 SL Green Realty Corp ............................ 380,601 12,400 Sovran Self Storage, Inc ........................ 381,052 13,300 St. Joe Co ...................................... 385,966 14,000 Starwood Hotels & Resorts Worldwide, Inc ........ 341,320 10,200 Sun Communities, Inc ............................ 377,298 18,600 Vornado Realty Trust ............................ 762,600 ----------- TOTAL FINANCIAL SERVICES ........................ 16,666,464 ----------- TOTAL COMMON STOCK (COST $16,860,382) 16,840,484 ----------- SHORT TERM INVESTMENT--100.05% U.S. GOVERNMENT AND AGENCY--100.05% Federal Home Loan Bank (FHLB) $20,000,000 1.590%, 9/16/02 ............................... 19,997,200 ----------- TOTAL SHORT TERM INVESTMENT (COST $19,997,200) 19,997,200 ----------- TOTAL PORTFOLIO--184.31% (COST $36,857,582) 36,837,684 OTHER ASSETS & LIABILITIES, NET--(84.31%) (16,851,077) ----------- NET ASSETS--100.00% $19,986,607 =========== ---------- * Non-income producing SEE NOTES TO FINANCIAL STATEMENTS B-183 - INSTITUTIONAL INFLATION-LINKED BOND FUND - Statement of Investments September 13, 2002 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- GOVERNMENT BONDS--99.02% U.S. TREASURY SECURITIES--99.02% U.S. Treasury Bond $ 861,346 3.375%, 01/15/12 ................................ $ 941,694 709,597 3.375%, 04/15/32 ................................ 817,811 U.S. Treasury Inflation Indexed Bond 2,498,518 k 3.375%, 01/15/07 ................................ 2,689,810 2,617,344 k 3.625%, 01/15/08 ................................ 2,850,450 2,523,462 k 3.875%, 01/15/09 ................................ 2,799,466 1,250,884 k 3.000%, 07/15/12 ................................ 1,330,628 2,614,359 k 3.625%, 04/15/28 ................................ 3,059,208 3,009,981 k 3.875%, 04/15/29 ................................ 3,679,232 PRINCIPAL VALUE --------- ----- U.S. Treasury Note $1,711,168 4.251%, 01/15/10 .............................. $ 1,947,256 1,550,745 3.500%, 01/15/11 .............................. 1,697,097 ----------- TOTAL U.S. TREASURY SECURITIES .................. 21,812,652 ----------- TOTAL GOVERNMENT BONDS (COST $21,794,523) 21,812,652 ----------- TOTAL PORTFOLIO--99.02% (COST $21,794,523) 21,812,652 OTHER ASSETS & LIABILITIES, NET--0.98% 216,293 ----------- NET ASSETS--100.00% $22,028,945 ----------- ---------- k Principal amount for interest accrual purposes is periodically adjusted based on changes in the Consumer Price Index. SEE NOTES TO FINANCIAL STATEMENTS B-184 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS STATEMENTS OF ASSETS AND LIABILITIES -------------------------------------------------------------------------------- September 13, 2002
LARGE-CAP MID-CAP MID-CAP SMALL-CAP VALUE GROWTH VALUE EQUITY FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------- ASSETS Portfolio investments, at cost $ 39,573,071 $ 9,952,229 $ 10,494,657 $ 20,007,387 Net unrealized appreciation (depreciation) of portfolio investments 65,463 (128,780) (218,836) (175,662) --------------------------------------------------------------------------------------------------------------------- Portfolio investments, at value 39,638,534 9,823,449 10,275,821 19,831,725 Cash 5,939 77,935 20,023 240,212 Receivable from securities transactions 976,260 141,162 907,221 -- Dividends and interest receivable 64 614 2,941 6,398 --------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 40,620,797 10,043,160 11,206,006 20,078,335 --------------------------------------------------------------------------------------------------------------------- LIABILITIES Accrued expenses 2,402 1,197 1,193 1,640 Payable for securities transactions 20,553,473 171,391 1,433,963 239,481 --------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 20,555,875 172,588 1,435,156 241,121 --------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 20,064,922 $ 9,870,572 $ 9,770,850 $ 19,837,214 ===================================================================================================================== NET ASSETS CONSIST OF: Paid in capital $ 20,000,000 $ 10,000,000 $ 10,000,000 $ 20,000,000 Accumulated undistributed net investment income 5,679 2,990 5,365 12,876 Accumulated undistributed net realized gain (loss) on total investments (6,220) (3,638) (15,679) -- Accumulated net unrealized appreciation (depreciation) on total investments 65,463 (128,780) (218,836) (175,662) --------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 20,064,922 $ 9,870,572 $ 9,770,850 $ 19,837,214 ===================================================================================================================== RETIREMENT CLASS: Net Assets $ 100,325 $ 98,705 $ 97,709 $ 99,183 Shares outstanding (unlimited authorized; $.0001 par value) 10,000 10,000 10,000 10,000 --------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $10.03 $9.87 $9.77 $9.92 ===================================================================================================================== INSTITUTIONAL CLASS: Net Assets $ 100,333 $ 98,714 $ 97,717 $ 99,190 Shares outstanding (unlimited authorized; $.0001 par value) 10,000 10,000 10,000 10,000 --------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $10.03 $9.87 $9.77 $9.92 ===================================================================================================================== RETAIL CLASS: Net Assets $ 19,864,264 $ 9,673,153 $ 9,575,424 $ 19,638,841 Shares outstanding (unlimited authorized; $.0001 par value) 1,980,000 980,000 980,000 1,980,000 --------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $10.03 $9.87 $9.77 $9.92 ===================================================================================================================== LARGE-CAP LARGE-CAP S&P 500 MID-CAP GROWTH INDEX GROWTH INDEX INDEX GROWTH INDEX FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------- ASSETS Portfolio investments, at cost $ 64,685,569 $ 59,801,852 $ 44,716,201 $ 47,490,791 Net unrealized appreciation (depreciation) of portfolio investments 795,639 365,506 697,228 94,122 ----------------------------------------------------------------------------------------------------------------- Portfolio investments, at value 65,481,208 60,167,358 45,413,429 47,584,913 Cash 1,979,295 386,853 984,196 5,704 Receivable from securities transactions -- -- -- -- Dividends and interest receivable 26,579 35,937 21,629 -- ----------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 67,487,082 60,590,148 46,419,254 47,590,617 ----------------------------------------------------------------------------------------------------------------- LIABILITIES Accrued expenses 1,453 1,341 1,012 534 Payable for securities transactions 1,647,311 172,423 687,872 23,485,751 ----------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 1,648,764 173,764 688,884 23,486,285 ================================================================================================================= NET ASSETS $ 65,838,318 $ 60,416,384 $ 45,730,370 $ 24,104,332 ================================================================================================================= NET ASSETS CONSIST OF: Paid in capital $ 65,000,000 $ 60,000,000 $ 45,000,000 $ 24,000,000 Accumulated undistributed net investment income 42,679 50,878 33,142 10,210 Accumulated undistributed net realized gain (loss) on total investments -- -- -- -- Accumulated net unrealized appreciation (depreciation) on total investments 795,639 365,506 697,228 94,122 ----------------------------------------------------------------------------------------------------------------- NET ASSETS $ 65,838,318 $ 60,416,384 $ 45,730,370 $ 24,104,332 ================================================================================================================= RETIREMENT CLASS: Net Assets $ 101,282 $ 100,686 $ 101,615 $ 100,427 Shares outstanding (unlimited authorized; $.0001 par value) 10,000 10,000 10,000 10,000 ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $10.13 $10.07 $10.16 $10.04 ================================================================================================================= INSTITUTIONAL CLASS: Net Assets $ 65,737,036 $ 60,315,698 $ 45,628,755 $ 24,003,905 Shares outstanding (unlimited authorized; $.0001 par value) 6,490,000 5,990,000 4,490,000 2,390,000 ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $10.13 $10.07 $10.16 $10.04 ================================================================================================================= RETAIL CLASS: Net Assets -- -- -- -- Shares outstanding (unlimited authorized; $.0001 par value) -- -- -- -- ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE -- -- -- -- =================================================================================================================
See notes to financial statements B-185-186 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS STATEMENTS OF ASSETS AND LIABILITIES -------------------------------------------------------------------------------- September 13, 2002
MID-CAP MID-CAP SMALL-CAP SMALL-CAP VALUE INDEX BLEND INDEX GROWTH INDEX VALUE INDEX FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------- ASSETS Portfolio investments, at cost $46,097,761 $52,189,947 $49,534,508 $44,536,489 Net unrealized appreciation (depreciation) of portfolio investments 128,870 272,209 72,294 (118,738) ----------------------------------------------------------------------------------------------------------------- Portfolio investments, at value 46,226,631 52,462,156 49,606,802 44,417,751 Cash 9,998 11,365 215,451 28,364 Receivable from securities transactions -- -- -- -- Dividends and interest receivable -- -- 13,496 23,909 ----------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 46,236,629 52,473,521 49,835,749 44,470,004 ----------------------------------------------------------------------------------------------------------------- LIABILITIES Accrued expenses 534 599 1,083 972 Payable for securities transactions 22,097,006 25,189,215 734,472 550,916 ----------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 22,097,540 25,189,814 735,555 551,888 ----------------------------------------------------------------------------------------------------------------- NET ASSETS $24,139,089 $27,283,707 $49,100,194 $43,918,136 ================================================================================================================= NET ASSETS CONSIST OF: Paid in capital $24,000,000 $27,000,000 $49,000,000 $44,000,000 Accumulated undistributed net investment income 10,219 11,498 27,900 36,874 Accumulated undistributed net realized gain (loss) on total investments -- -- -- -- Accumulated net unrealized appreciation (depreciation) on total investments 128,870 272,209 72,294 (118,738) ----------------------------------------------------------------------------------------------------------------- NET ASSETS $24,139,089 $27,283,707 $49,100,194 $43,918,136 ================================================================================================================= RETIREMENT CLASS: Net Assets $ 100,572 $ 101,043 $ 100,197 $ 99,806 Shares outstanding (unlimited authorized; $.0001 par value) 10,000 10,000 10,000 10,000 ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $10.06 $10.10 $10.02 $9.98 ================================================================================================================= INSTITUTIONAL CLASS: Net Assets $24,038,517 $27,182,664 $48,999,997 $43,818,330 Shares outstanding (unlimited authorized; $.0001 par value) 2,390,000 2,690,000 4,890,000 4,390,000 ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $10.06 $10.11 $10.02 $9.98 ================================================================================================================= RETAIL CLASS: Net Assets -- -- -- -- Shares outstanding (unlimited authorized; $.0001 par value) -- -- -- -- ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE -- -- -- -- ================================================================================================================= SMALL-CAP INTERNATIONAL REAL ESTATE INFLATION-LINKED BLEND INDEX EQUITY INDEX SECURITIES BOND FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------- ASSETS Portfolio investments, at cost $42,527,564 $50,058,523 $36,857,582 $21,794,523 Net unrealized appreciation (depreciation) of portfolio investments (31,552) (1,083,579) (19,898) 18,129 -------------------------------------------------------------------------------------------------------------------- Portfolio investments, at value 42,496,012 48,974,944 36,837,684 21,812,652 Cash 105,790 4,515 10,727 42,376 Receivable from securities transactions -- 203,535 -- -- Dividends and interest receivable 17,496 7,001 -- 175,715 -------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 42,619,298 49,189,995 36,848,411 22,030,743 -------------------------------------------------------------------------------------------------------------------- LIABILITIES Accrued expenses 929 2,064 2,456 1,798 Payable for securities transactions 620,069 204,217 16,859,348 -- -------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 620,998 206,281 16,861,804 1,798 -------------------------------------------------------------------------------------------------------------------- NET ASSETS $41,998,300 $48,983,714 $19,986,607 $22,028,945 ==================================================================================================================== NET ASSETS CONSIST OF: Paid in capital $42,000,000 $50,000,000 $20,000,000 $22,000,000 Accumulated undistributed net investment income 29,852 20,674 6,505 10,816 Accumulated undistributed net realized gain (loss) on total investments -- 46,619 -- -- Accumulated net unrealized appreciation (depreciation) on total investments (31,552) (1,083,579) (19,898) 18,129 -------------------------------------------------------------------------------------------------------------------- NET ASSETS $41,998,300 $48,983,714 $19,986,607 $22,028,945 ==================================================================================================================== RETIREMENT CLASS: Net Assets $ 99,988 $ 97,960 $ 99,933 -- Shares outstanding (unlimited authorized; $.0001 par value) 10,000 10,000 10,000 -- -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $10.00 $9.80 $9.99 -- ==================================================================================================================== INSTITUTIONAL CLASS: Net Assets $41,898,312 $48,885,754 $ 99,941 $ 100,136 Shares outstanding (unlimited authorized; $.0001 par value) 4,190,000 4,990,000 10,000 10,000 -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $10.00 $9.80 $9.99 $10.01 ==================================================================================================================== RETAIL CLASS: Net Assets -- -- $19,786,733 $21,928,809 Shares outstanding (unlimited authorized; $.0001 par value) -- -- 1,980,000 2,190,000 -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE -- -- $9.99 $10.01 ====================================================================================================================
See notes to financial statements B-187-188 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS STATEMENTS OF OPERATIONS -------------------------------------------------------------------------------- For the Period September 4, 2002 (commencement of operations) to September 13, 2002
LARGE-CAP MID-CAP MID-CAP SMALL-CAP VALUE GROWTH VALUE EQUITY FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest $8,017 $3,573 $3,617 $8,118 Dividends 64 614 2,941 6,398 ---------------------------------------------------------------------------------------------------------- Total income 8,081 4,187 6,558 14,516 ---------------------------------------------------------------------------------------------------------- EXPENSES Investment management fees 438 219 219 438 Distribution fees -- Retirement Class 1 1 1 1 Service Agreement fees -- Retirement Class 8 9 8 8 Service Agreement fees -- Institutional Class 1 1 1 1 Service Agreement fees -- Retail Class 1,790 885 884 1,029 Custody fees 57 28 27 56 Audit fees 32 16 16 32 Registration fees -- Retirement Class -- -- -- -- Registration fees -- Institutional Class -- -- -- -- Registration fees -- Retail Class 70 35 34 70 Trustee fees and expenses 5 3 3 5 ---------------------------------------------------------------------------------------------------------- Total expenses 2,402 1,197 1,193 1,640 ---------------------------------------------------------------------------------------------------------- Net investment income 5,679 2,990 5,365 12,876 ---------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS Realized loss on total investments (6,220) (3,638) (15,679) -- Change in unrealized appreciation (depreciation) on total investments 65,463 (128,780) (218,836) (175,662) ---------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on total investments 59,243 (132,418) (234,515) (175,662) ---------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $64,922 $(129,428) $(229,150) $(162,786) ========================================================================================================== LARGE-CAP LARGE-CAP S&P 500 MID-CAP GROWTH INDEX VALUE INDEX INDEX GROWTH INDEX FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest $17,553 $16,282 $12,525 $10,744 Dividends 26,579 35,937 21,629 -- ------------------------------------------------------------------------------------------------------- Total income 44,132 52,219 34,154 10,744 ------------------------------------------------------------------------------------------------------- EXPENSES Investment management fees 723 667 502 263 Distribution fees -- Retirement Class 1 1 1 1 Service Agreement fees -- Retirement Class 7 7 8 7 Service Agreement fees -- Institutional Class 361 333 250 131 Service Agreement fees -- Retail Class -- -- -- -- Custody fees 181 166 125 66 Audit fees 108 100 75 39 Registration fees -- Retirement Class -- -- -- -- Registration fees -- Institutional Class 54 50 38 20 Registration fees -- Retail Class -- -- -- -- Trustee fees and expenses 18 17 13 7 ------------------------------------------------------------------------------------------------------- Total expenses 1,453 1,341 1,012 534 ------------------------------------------------------------------------------------------------------- Net investment income 42,679 50,878 33,142 10,210 ------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS Realized loss on total investments -- -- -- -- Change in unrealized appreciation (depreciation) on total investments 795,639 365,506 697,228 94,122 ------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on total investments 795,639 365,506 697,228 94,122 ------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $838,318 $416,384 $730,370 $104,332 =======================================================================================================
See notes to financial statements B-189-190 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS STATEMENTS OF OPERATIONS -------------------------------------------------------------------------------- For the Period September 4, 2002 (commencement of operations) to September 13, 2002
MID-CAP MID-CAP SMALL-CAP SMALL-CAP VALUE INDEX BLEND INDEX GROWTH INDEX VALUE INDEX FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest $10,753 $12,097 $15,487 $13,937 Dividends -- -- 13,496 23,909 Foreign taxes withheld -- -- -- -- ------------------------------------------------------------------------------------------------------------------- Total income 10,753 12,097 28,983 37,846 ------------------------------------------------------------------------------------------------------------------- EXPENSES Investment management fees 263 296 538 482 Distribution fees -- Retirement Class 1 1 1 1 Service Agreement fees -- Retirement Class 7 7 7 7 Service Agreement fees -- Institutional Class 131 147 268 241 Service Agreement fees -- Retail Class -- -- -- -- Custody fees 66 75 136 121 Audit fees 39 44 80 72 Registration fees -- Retirement Class -- -- -- -- Registration fees -- Institutional Class 20 22 40 36 Registration fees -- Retail Class -- -- -- -- Trustee fees and expenses 7 7 13 12 ------------------------------------------------------------------------------------------------------------------- Total expenses 534 599 1,083 972 ------------------------------------------------------------------------------------------------------------------- Net investment income 10,219 11,498 27,900 36,874 ------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS Realized gain on total investments -- -- -- -- Change in unrealized appreciation (depreciation) on total investments 128,870 272,209 72,294 (118,738) ------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on total investments 128,870 272,209 72,294 (118,738) ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $139,089 $283,707 $100,194 $(81,864) =================================================================================================================== SMALL-CAP INTERNATIONAL REAL ESTATE INFLATION-LINKED BLEND INDEX EQUITY INDEX SECURITIES BOND FUND FUND FUND FUND -------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest $13,285 $15,784 $8,961 $12,614 Dividends 17,496 7,754 -- -- Foreign taxes withheld -- (800) -- -- ---------------------------------------------------------------------------------------------------------------------- Total income 30,781 22,738 8,961 12,614 ---------------------------------------------------------------------------------------------------------------------- EXPENSES Investment management fees 461 548 493 541 Distribution fees -- Retirement Class 1 1 1 -- Service Agreement fees -- Retirement Class 7 7 8 -- Service Agreement fees -- Institutional Class 230 274 1 1 Service Agreement fees -- Retail Class -- -- 1,789 1,076 Custody fees 116 1,097 57 60 Audit fees 69 82 32 36 Registration fees -- Retirement Class -- -- -- -- Registration fees -- Institutional Class 34 41 -- -- Registration fees -- Retail Class -- -- 70 78 Trustee fees and expenses 11 14 5 6 ---------------------------------------------------------------------------------------------------------------------- Total expenses 929 2,064 2,456 1,798 ---------------------------------------------------------------------------------------------------------------------- Net investment income 29,852 20,674 6,505 10,816 ---------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS Realized gain on total investments -- 46,619 -- -- Change in unrealized appreciation (depreciation) on total investments (31,552) (1,083,579) (19,898) 18,129 ---------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on total investments (31,552) (1,036,960) (19,898) 18,129 ---------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(1,700) $(1,016,286) $(13,393) $28,945 ======================================================================================================================
See notes to financial statements B-191-192 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------- ---------------------------------------- For the Period September 4, 2002 (commencement of operations) to September 13, 2002
LARGE-CAP MID-CAP MID-CAP SMALL-CAP VALUE GROWTH VALUE EQUITY FUND FUND FUND FUND ---------------------------------------------------------------------------------------------------------------------- CHANGE IN NET ASSETS OPERATIONS: Net investment income $ 5,679 $ 2,990 $ 5,365 $ 12,876 Net realized loss on total investments (6,220) (3,638) (15,679) -- Net change in unrealized appreciation (depreciation) on total investments 65,463 (128,780) (218,836) (175,662) ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) from operations 64,922 (129,428) (229,150) (162,786) ---------------------------------------------------------------------------------------------------------------------- SHAREHOLDER TRANSACTIONS: Subscriptions: Retirement Class 100,000 100,000 100,000 100,000 Institutional Class 100,000 100,000 100,000 100,000 Retail Class 19,800,000 9,800,000 9,800,000 19,800,000 ---------------------------------------------------------------------------------------------------------------------- Net increase from shareholder transactions 20,000,000 10,000,000 10,000,000 20,000,000 ---------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD $20,064,922 $ 9,870,572 $ 9,770,850 $19,837,214 ====================================================================================================================== CHANGE IN FUND SHARES: Shares sold to TIAA: Retirement Class 10,000 10,000 10,000 10,000 Institutional Class 10,000 10,000 10,000 10,000 Retail Class 1,980,000 980,000 980,000 1,980,000 LARGE-CAP LARGE-CAP S&P 500 MID-CAP GROWTH INDEX VALUE INDEX INDEX GROWTH INDEX FUND FUND FUND FUND ---------------------------------------------------------------------------------------------------------------------- CHANGES IN NET ASSETS OPERATIONS: Net investment income $42,679 $50,878 $33,142 $10,210 Net realized loss on total investments -- -- -- -- Net change in unrealized appreciation (depreciation) on total investments 795,639 365,506 697,228 94,122 ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) from operations 838,318 416,384 730,370 104,332 ------------------------------------------------------------------------------------------------------------------- SHAREHOLDER TRANSACTIONS: Subscriptions: Retirement Class 100,000 100,000 100,000 100,000 Institutional Class 64,900,000 59,900,000 44,900,000 23,900,000 Retail Class -- -- -- -- ------------------------------------------------------------------------------------------------------------------- Net increase from shareholder transactions 65,000,000 60,000,000 45,000,000 24,000,000 ------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD $65,838,318 $60,416,384 $45,730,370 $24,104,332 =================================================================================================================== CHANGE IN FUND SHARES: Shares sold to TIAA: Retirement Class 10,000 10,000 10,000 10,000 Institutional Class 6,490,000 5,990,000 4,490,000 2,390,000 Retail Class -- -- -- --
See notes to financial statements B-193-194 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS STATEMENTS OF CHANGES IN NET ASSETS -------------------------------------------------------------------------------- For the Period September 4, 2002 (commencement of operations) to September 13, 2002
MID-CAP MID-CAP SMALL-CAP SMALL-CAP VALUE INDEX BLEND INDEX GROWTH INDEX VALUE INDEX FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------- CHANGE IN NET ASSETS OPERATIONS: Net investment income $ 10,219 $ 11,498 $ 27,900 $ 36,874 Net realized gain on total investments -- -- -- -- Net change in unrealized appreciation (depreciation) on total investments 128,870 272,209 72,294 (118,738) ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) from operations 139,089 283,707 100,194 (81,864) ------------------------------------------------------------------------------------------------------------------- SHAREHOLDER TRANSACTIONS: Subscriptions: Retirement Class 100,000 100,000 100,000 100,000 Institutional Class 23,900,000 26,900,000 48,900,000 43,900,000 Retail Class -- -- -- -- ------------------------------------------------------------------------------------------------------------------- Net increase from shareholder transactions 24,000,000 27,000,000 49,000,000 44,000,000 ------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD $ 24,139,089 $ 27,283,707 $ 49,100,194 $ 43,918,136 =================================================================================================================== CHANGE IN FUND SHARES: Shares sold to TIAA: Retirement Class 10,000 10,000 10,000 10,000 Institutional Class 2,390,000 2,690,000 4,890,000 4,390,000 Retail Class -- -- -- -- SMALL-CAP INTERNATIONAL REAL ESTATE INFLATION-LINKED BLEND INDEX EQUITY INDEX SECURITIES BOND FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------ CHANGES IN NET ASSETS OPERATIONS: Net investment income $ 29,852 $ 20,674 $ 6,505 $ 10,816 Net realized gain on total investments -- 46,619 -- -- Net change in unrealized appreciation (depreciation) on total investments (31,552) (1,083,579) (19,898) 18,129 ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) from operations (1,700) (1,016,286) (13,393) 28,945 ---------------------------------------------------------------------------------------------------------------------- SHAREHOLDER TRANSACTIONS: Subscriptions: Retirement Class 100,000 100,000 100,000 -- Institutional Class 41,900,000 49,900,000 100,000 100,000 Retail Class -- -- 19,800,000 21,900,000 ---------------------------------------------------------------------------------------------------------------------- Net increase from shareholder transactions 42,000,000 50,000,000 20,000,000 22,000,000 ---------------------------------------------------------------------------------------------------------------------- NET ASSETS, END OF PERIOD $ 41,998,300 $ 48,983,714 $ 19,986,607 $ 22,028,945 ====================================================================================================================== CHANGE IN FUND SHARES: Shares sold to TIAA: Retirement Class 10,000 10,000 10,000 -- Institutional Class 4,190,000 4,990,000 10,000 10,000 Retail Class -- -- 1,980,000 2,190,000
See notes to financial statements B-195-196 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS -------------------------------------------------------------------------------- For the Period September 4, 2002 (commencement of operations) to September 13, 2002
LARGE-CAP VALUE FUND MID-CAP GROWTH FUND ----------------------------------- ----------------------------------- RETIREMENT INSTITUTIONAL RETAIL RETIREMENT INSTITUTIONAL RETAIL CLASS CLASS CLASS CLASS CLASS CLASS ------------------------------------------------------------------------------------------------------------------------ SELECTED PER SHARE DATA Net asset value, beginning of period $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 ------------------------------------------------------------------------------------------------------------------------ Gain (loss) from investment operations: Net investment income 0.00 0.00 0.00 0.00 0.00 0.00 Net realized and unrealized gain (loss) on investments 0.03 0.03 0.03 (0.13) (0.13) (0.13) ------------------------------------------------------------------------------------------------------------------------ Total gain (loss) from investment operations 0.03 0.03 0.03 (0.13) (0.13) (0.13) ------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $10.03 $10.03 $10.03 $ 9.87 $ 9.87 $ 9.87 ------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN 0.30% 0.30% 0.30% (1.30)% (1.30)% (1.30)% RATIOS AND SUPPLEMENTAL DATA Net assets at end of period (in thousands) 100 100 19,864 99 99 9,673 Ratio of expenses to average net assets 0.01% 0.00% 0.01% 0.01% 0.00% 0.01% Ratio of net investment income to average net assets 0.03% 0.04% 0.03% 0.03% 0.04% 0.03% Portfolio turnover rate 4.97% 4.97% 4.97% 17.05% 17.05% 17.05% MID-CAP VALUE FUND SMALL-CAP EQUITY FUND --------------------------------- --------------------------------- RETIREMENT INSTITUTIONAL RETAIL RETIREMENT INSTITUTIONAL RETAIL CLASS CLASS CLASS CLASS CLASS CLASS ------------------------------------------------------------------------------------------------------------------------ SELECTED PER SHARE DATA Net asset value, beginning of period $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 ------------------------------------------------------------------------------------------------------------------------ Gain (loss) from investment operations: Net investment income 0.01 0.01 0.01 0.01 0.01 0.01 Net realized and unrealized gain (loss) on investments (0.24) (0.24) (0.24) (0.09) (0.09) (0.09) ------------------------------------------------------------------------------------------------------------------------ Total gain (loss) from investment operations (0.23) (0.23) (0.23) (0.08) (0.08) (0.08) ------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 9.77 $ 9.77 $ 9.77 $ 9.92 $ 9.92 $ 9.92 ======================================================================================================================== TOTAL RETURN (2.30)% (2.30)% (2.30)% (0.80)% (0.80)% (0.80)% RATIOS AND SUPPLEMENTAL DATA Net assets at end of period (in thousands) 98 98 9,575 99 99 19,639 Ratio of expenses to average net assets 0.01% 0.00% 0.01% 0.01% 0.00% 0.01% Ratio of net investment income to average net assets 0.05% 0.06% 0.05% 0.06% 0.07% 0.06% Portfolio turnover rate 9.28% 9.28% 9.28% 0.00% 0.00% 0.00% LARGE CAP GROWTH LARGE CAP VALUE INDEX FUND INDEX FUND S&P 500 INDEX FUND ------------------------- ------------------------- ------------------------- RETIREMENT INSTITUTIONAL RETIREMENT INSTITUTIONAL RETIREMENT INSTITUTIONAL CLASS CLASS CLASS CLASS CLASS CLASS -------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net asset value, beginning of period $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 --------------------------------------------------------------------------------------------------------------------------- Gain (loss) from investment operations: Net investment income 0.01 0.01 0.01 0.01 0.01 0.01 Net realized and unrealized gain (loss) on investments 0.12 0.12 0.06 0.06 0.15 0.15 --------------------------------------------------------------------------------------------------------------------------- Total gain (loss) from investment operations 0.13 0.13 0.07 0.07 0.16 0.16 --------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $10.13 $10.13 $10.07 $10.07 $10.16 $10.16 =========================================================================================================================== TOTAL RETURN 1.30% 1.30% 0.70% 0.70% 1.60% 1.60%
RATIOS AND SUPPLEMENTAL DATA Net assets at end of period (in thousands) 101 65,737 101 60,316 102 45,629 Ratio of expenses to average net assets 0.01% 0.00% 0.01% 0.00% 0.01% 0.00% Ratio of net investment income to average net assets 0.06% 0.06% 0.08% 0.08% 0.06% 0.07% Portfolio turnover rate 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
The percentages shown above are not annualized. ================================================================================ See notes to financial statements B-197-198 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------- For the Period September 4, 2002 (commencement of operations) to September 13, 2002
MID-CAP GROWTH MID-CAP VALUE MID-CAP BLEND INDEX FUND INDEX FUND INDEX FUND ------------------------------------------------------------------------------------------------------------------------------ RETIREMENT INSTITUTIONAL RETIREMENT INSTITUTIONAL RETIREMENT INSTITUTIONAL CLASS CLASS CLASS CLASS CLASS CLASS ------------------------------------------------------------------------------------------------------------------------------ SELECTED PER SHARE DATA Net asset value, beginning of period $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 -------------------------------------------------------------------------------------------------------------------------- Gain (loss) from investment operations: Net investment income 0.00 0.00 0.00 0.00 0.00 0.00 Net realized and unrealized gain (loss) on investments 0.04 0.04 0.06 0.06 0.10 0.11 -------------------------------------------------------------------------------------------------------------------------- Total gain (loss) from investment operations 0.04 0.04 0.06 0.06 0.10 0.11 -------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period 10.04 $10.04 $10.06 $10.06 $10.10 $10.11 ========================================================================================================================== TOTAL RETURN 0.40% 0.40% 0.60% 0.60% 1.00% 1.10% RATIOS AND SUPPLEMENTAL DATA Net assets at end of period (in thousands) 100 24,004 101 24,039 101 27,183 Ratio of expenses to average net assets 0.01% 0.00% 0.01% 0.00% 0.01% 0.00% Ratio of net investment income to average net assets 0.03% 0.04% 0.03% 0.04% 0.03% 0.04% Portfolio turnover rate 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% SMALL-CAP GROWTH SMALL-CAP VALUE SMALL-CAP BLEND INDEX FUND INDEX FUND INDEX FUND ------------------------- ------------------------- ------------------------- RETIREMENT INSTITUTIONAL RETIREMENT INSTITUTIONAL RETIREMENT INSTITUTIONAL CLASS CLASS CLASS CLASS CLASS CLASS ------------------------------------------------------------------------------------------------------------------------------ SELECTED PER SHARE DATA Net asset value, beginning of period $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 -------------------------------------------------------------------------------------------------------------------------- Gain (loss) from investment operations: Net investment income 0.00 0.01 0.01 0.01 0.01 0.01 Net realized and unrealized gain (loss) on investments 0.02 0.01 (0.03) (0.03) (0.01) (0.01) -------------------------------------------------------------------------------------------------------------------------- Total gain (loss) from investment operations 0.02 0.02 (0.02) (0.02) 0.00 0.00 -------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $10.02 $10.02 $ 9.98 $ 9.98 $10.00 $10.00 ========================================================================================================================== TOTAL RETURN 0.20% 0.20% (0.20)% (0.20)% 0.00% 0.00% RATIOS AND SUPPLEMENTAL DATA Net assets at end of period (in thousands) 100 49,000 100 43,818 100 41,898 Ratio of expenses to average net assets 0.01% 0.00% 0.01% 0.00% 0.01% 0.00% Ratio of net investment income to average net assets 0.05% 0.06% 0.08% 0.08% 0.06% 0.07% Portfolio turnover rate 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% INTERNATIONAL EQUITY REAL ESTATE INFLATION-LINKED INDEX FUND SECURITIES FUND BOND FUND ------------------------- --------------------------------- --------------------- RETIREMENT INSTITUTIONAL RETIREMENT INSTITUTIONAL RETAIL INSTITUTIONAL RETAIL CLASS CLASS CLASS CLASS CLASS CLASS CLASS ------------------------------------------------------------------------------------------------------------------------------------ SELECTED PER SHARE DATA Net asset value, beginning of period $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 $10.00 ------------------------------------------------------------------------------------------------------------------------------------ Gain (loss) from investment operations: Net investment income 0.00 0.00 0.00 0.00 0.00 0.01 0.00 Net realized and unrealized gain (loss) on investments (0.20) (0.20) (0.01) (0.01) (0.01) 0.00 0.01 ------------------------------------------------------------------------------------------------------------------------------------ Total gain (loss) from investment operations (0.20) (0.20) (0.01) (0.01) (0.01) 0.01 0.01 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 9.80 $ 9.80 $ 9.99 $ 9.99 $ 9.99 $10.01 $10.01 ==================================================================================================================================== TOTAL RETURN (2.00)% (2.00)% (0.10)% (0.10)% (0.10)% 0.10% 0.10% RATIOS AND SUPPLEMENTAL DATA Net assets at end of period (in thousands) 98 48,886 100 100 19,787 100 21,929 Ratio of expenses to average net assets 0.01% 0.00% 0.01% 0.00% 0.01% 0.00% 0.01% Ratio of net investment income to average net assets 0.03% 0.04% 0.03% 0.04% 0.03% 0.05% 0.05% Portfolio turnover rate 0.37% 0.37% 0.00% 0.00% 0.00% 0.00% 0.00%
The percentages shown above are not annualized. ================================================================================ See notes to financial statements B-199-200 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS SEPTEMBER 13, 2002 NOTE 1. SIGNIFICANT ACCOUNTING POLICIES TIAA-CREF Institutional Mutual Funds is a Delaware business trust that was organized on April 15, 1999 and is registered with the Securities and Exchange Commission ("Commission") under the Investment Company Act of 1940 as an open-end management investment company. Each fund listed below (the "Funds") commenced operations on September 4, 2002 with a seed money investment by Teachers Insurance and Annuity Association of America ("TIAA") as indicated. There are seven additional funds in the TIAA-CREF Institutional Mutual Funds which are not included in these financial statements. At September 13, 2002, TIAA remains the sole shareholder of each Fund. Seed Money Investment Made On September 4, 2002 by TIAA -------------------- Large-Cap Value Fund $20,000,000 Mid-Cap Growth Fund 10,000,000 Mid-Cap Value Fund 10,000,000 Small-Cap Equity Fund 20,000,000 Large-Cap Growth Index Fund 65,000,000 Large-Cap Value Index Fund 60,000,000 S&P 500 Index Fund 45,000,000 Mid-Cap Growth Index Fund 24,000,000 Mid-Cap Value Index Fund 24,000,000 Mid-Cap Blend Index Fund 27,000,000 Small-Cap Growth Index Fund 49,000,000 Small-Cap Value Index Fund 44,000,000 Small-Cap Blend Index Fund 42,000,000 International Equity Index Fund 50,000,000 Real Estate Securities Fund 20,000,000 Inflation-Linked Bond Fund 22,000,000 Upon becoming effective with the Commission, the Funds intend to publicly offer their shares, without a sales load, through their principal underwriter, Teachers Personal Investors Services, Inc. ("TPIS"), which is a wholly-owned subsidiary of TIAA. The Funds will offer up to three share classes, although any one Fund may not offer all three classes. The Retirement Class shares will be offered exclusively through accounts established by employers, or the trustees of plans sponsored by employers, with TIAA-CREF Individual and Institutional Services, Inc., a broker-dealer affiliate of TIAA, in connection with certain employee benefit plans. The Institutional Class shares will be offered to certain intermediaries affiliated with TIAA-CREF, state-sponsored tuition savings plans, who have entered into a contract with an affiliate of TIAA-CREF or other affiliates of TIAA-CREF that the Funds may approve from time to time. The Retail Class shares will be offered directly to the investing public. TPIS is registered with the Commission as a broker-dealer and is a member of the National Association of Securities Dealers, Inc. Teachers Advisors Inc. ("Advisors"), a wholly-owned subsidiary of TIAA, which is registered with the Commission as an investment adviser, provides investment management services for the Funds. The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States which may require the use of estimates made by management. Actual results may differ from those estimates. The following is a summary of the significant accounting policies followed by the Funds. VALUATION OF INVESTMENTS: Securities listed or traded on any United States national securities exchange are valued at the last sale price as of the close of the principal securities exchange on which such securities are traded or, if there is no sale, at the mean of the last bid and asked prices on such exchange. Securities traded only in the over-the-counter market and quoted in the NASDAQ National Market System are valued at the last sale price, or at the mean of the last bid and asked prices if no sale is reported. All other over-the-counter securities are valued at the mean of the last bid and asked prices, except for bonds which are valued at the most recent bid price or the equivalent quoted yield of such bonds. Foreign investments are valued at the closing price in the principal market where they are traded; converted into U.S. dollars. Money market instruments are valued at fair market value, except for such instruments within 60 days to maturity, which are valued at amortized cost, which approximates market value. The amortized cost method initially values securities at original cost and assumes a constant rate of amortization to maturity of any discount or premium. Portfolio securities for which market quotations are not readily available (including restricted securities) are valued at fair value, as determined in good faith under the direction of the Board of Trustees. B-201 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS--(CONTINUED) SEPTEMBER 13, 2002 ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of trade date. Interest income is recorded as earned and includes amortization of discounts and premiums. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Funds are informed of the ex-dividend date. Realized gains and losses on securities transactions are based upon the specific identification method for both financial statement and federal income tax purposes. FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Portfolio investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of securities, income receipts and expense payments made in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the respective dates of the 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 realized gains and losses on foreign currency transactions include maturities of forward foreign currency contracts, 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. FORWARD FOREIGN CURRENCY CONTRACTS: The Funds may use forward foreign currency contracts to facilitate transactions in securities denominated in foreign currencies. Such contracts are entered into directly with a counterparty and are "marked-to-market" at the end of each day's trading. The Funds are also exposed to credit risk associated with counterparty nonperformance on these forward foreign currency exchange contracts which is typically limited to the unrealized gain on each open contract. SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS: The Funds may purchase securities on a when-issued or delayed delivery basis. In addition to the normal market risks, this exposes the Funds to the risk that the transaction may not be consummated. RESTRICTED SECURITIES: Restricted securities held by the Funds, if any, may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in securities which are widely held and publicly traded. DIVIDENDS TO SHAREHOLDERS: Dividends from net investment income, if any, are declared and paid annually, except for the Real Estate Securities Fund and the Inflation-Linked Bond Fund where distributions are declared and paid quarterly. Distributions from realized gains, if any, are declared and paid annually for each of the Funds. Undistributed net investment income and accumulated undistributed net realized gain (loss) on total investments may include temporary book and tax differences which will reverse in a subsequent period. Any permanent book and tax basis differences relating to shareholder distributions will result in reclassifications among the respective components of net assets. INCOME TAXES: The Funds intend to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code ("Code") and will not be subject to income taxes to the extent that they distribute substantially all taxable income each year and comply with various other Code requirements. NOTE 2. MANAGEMENT AGREEMENT Under the terms of an Investment Management Agreement, each Fund pays Advisors a monthly fee for the management of the Fund's net assets, based on the average daily net assets of each Fund. Under the terms of a Distribution Plan, the Retirement Class of the Funds indicated below, are permitted to reimburse TPIS up to the indicated annual fee based on average daily net assets of the Fund's Retirement Class for certain promotional expenses of selling the Retirement Class shares. Under the terms of a Service Agreement, each Fund Class pays Advisors a monthly fee based on the average daily net assets of each Fund Class for providing transfer agency, accounting and administration services. Advisors will receive the following annual percentages of each Fund's/Classes' average daily net assets for investment management fees, reimbursement of distribution plan expenses and service agreement fees: B-202 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS--(CONTINUED) SEPTEMBER 13, 2002
Investment Management Distribution Fee Fee Service Agreement Fee ------------ ------------ ---------------------------------------------- All Retirement Retirement Institutional Retail Classes Class Class Class Class ------------ ------------ ------------ ---------------- -------- Large-Cap Value Fund 0.08% 0.04% 0.29% 0.04% 0.33% Mid-Cap Growth Fund 0.08% 0.04% 0.29% 0.04% 0.33% Mid-Cap Value Fund 0.08% 0.04% 0.29% 0.04% 0.33% Small-Cap Equity Fund 0.08% 0.04% 0.29% 0.04% 0.19% Large-Cap Growth Index Fund 0.04% 0.04% 0.27% 0.02% -- Large-Cap Value Index Fund 0.04% 0.04% 0.27% 0.02% -- S&P 500 Index Fund 0.04% 0.04% 0.27% 0.02% -- Mid-Cap Growth Index Fund 0.04% 0.04% 0.27% 0.02% -- Mid-Cap Value Index Fund 0.04% 0.04% 0.27% 0.02% -- Mid-Cap Blend Index Fund 0.04% 0.04% 0.27% 0.02% -- Small-Cap Growth Index Fund 0.04% 0.04% 0.27% 0.02% -- Small-Cap Value Index Fund 0.04% 0.04% 0.27% 0.02% -- Small-Cap Blend Index Fund 0.04% 0.04% 0.27% 0.02% -- International Equity Index Fund 0.04% 0.04% 0.27% 0.02% -- Real Estate Securities Fund 0.09% 0.04% 0.29% 0.04% 0.33% Inflation-Linked Bond Fund 0.09% 0.04% -- 0.03% 0.18%
NOTE 3. INVESTMENTS At September 13, 2002, net unrealized appreciation (depreciation) of portfolio investments for each of the Funds, consisting of gross unrealized appreciation and gross unrealized depreciation, was as follows:
Net Unrealized Gross Unrealized Gross Unrealized Appreciation Appreciation Depreciation (Depreciation) ---------------- ---------------- --------------- Large-Cap Value Fund $ 160,968 $ 95,505 $ 65,463 Mid-Cap Growth Fund 103,858 232,638 (128,780) Mid-Cap Value Fund 41,712 260,548 (218,836) Small-Cap Equity Fund 197,579 373,241 (175,662) Large-Cap Growth Index Fund 1,674,323 878,684 795,639 Large-Cap Value Index Fund 1,120,187 754,681 365,506 S&P 500 Index Fund 1,182,537 485,309 697,228 Mid-Cap Growth Index Fund 214,399 120,277 94,122 Mid-Cap Value Index Fund 176,529 47,659 128,870 Mid-Cap Blend Index Fund 340,436 68,227 272,209 Small-Cap Growth Index Fund 1,077,600 1,005,306 72,294 Small-Cap Value Index Fund 661,775 780,513 (118,738) Small-Cap Blend Index Fund 770,955 802,507 (31,552) International Equity Index Fund 283,910 1,367,489 (1,083,579) Real Estate Securities Fund 61,679 81,577 (19,898) Inflation-Linked Bond Fund 36,167 18,038 18,129
B-203 TIAA-CREF INSTITUTIONAL MUTUAL FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS--(CONTINUED) SEPTEMBER 13, 2002 Purchases and sales of securities, other than short-term money market instruments, for the Funds, for the period September 4, 2002 (commencement of operations) to September 13, 2002, were as follows:
Non-Government Government Non-Government Government Purchases Purchases Sales Sales --------------------------------------------------------------------------------- Large-Cap Value Fund $ 20,558,256 $ -- $ 976,260 $-- Mid-Cap Growth Fund 11,630,352 -- 1,674,485 -- Mid-Cap Value Fund 10,919,496 -- 907,221 -- Small-Cap Equity Fund 19,090,681 -- -- -- Large-Cap Growth Index Fund 64,685,569 -- -- -- Large-Cap Value Index Fund 59,801,852 -- -- -- S&P 500 Index Fund 44,716,201 -- -- -- Mid-Cap Growth Index Fund 23,492,911 -- -- -- Mid-Cap Value Index Fund 22,099,881 -- -- -- Mid-Cap Blend Index Fund 25,192,332 -- -- -- Small-Cap Growth Index Fund 48,334,614 -- -- -- Small-Cap Value Index Fund 43,236,604 -- -- -- Small-Cap Blend Index Fund 41,427,661 -- -- -- International Equity Index Fund 49,356,707 -- 177,355 -- Real Estate Securities Fund 16,859,348 -- -- -- Inflation-Linked Bond Fund -- 21,799,192 -- --
NOTE 4. TRUSTEE FEES Each Fund pays the Trustees who are not also officers or affiliated persons of the Funds, certain remuneration for their services, plus travel and other expenses incurred in attending Board meetings. Trustees who are also officers or affiliated persons receive no remuneration for their services as Trustees of the Funds. B-204 REPORT OF INDEPENDENT AUDITORS To the Shareholders and Board of Trustees of TIAA-CREF Institutional Mutual Funds: We have audited the accompanying statements of assets and liabilities, including the statements of investments, of the Large-Cap Value Fund, Mid-Cap Growth Fund, Mid-Cap Value Fund, Small-Cap Equity Fund, Large-Cap Growth Index Fund, Large-Cap Value Index Fund, S&P 500 Index Fund, Mid-Cap Growth Index Fund, Mid-Cap Value Index Fund, Mid-Cap Blend Index Fund, Small-Cap Growth Index Fund, Small-Cap Value Index Fund, Small-Cap Blend Index Fund, International Equity Index Fund, Real Estate Securities Fund and Inflation-Linked Bond Fund (the "Funds", sixteen of the Funds comprising TIAA-CREF Institutional Mutual Funds) as of September 13, 2002, and the related statements of operations and changes in net assets and financial highlights for the period from September 4, 2002 (commencement of operations) to September 13, 2002. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 13, 2002 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the TIAA-CREF Institutional Mutual Funds referred to above at September 13, 2002, and the results of their operations, the changes in their net assets and the financial highlights for the period from September 4, 2002 to September 13, 2002, in conformity with accounting principles generally accepted in the United States. /s/ Ernst & Young LLP New York, New York September 23, 2002 B-205 PART C: OTHER INFORMATION ITEM 22. FINANCIAL STATEMENTS (a) The audited financial statements and statements of investments for the existing portfolios of the TIAA-CREF Institutional Mutual Funds for the year ended September 30, 2001 are incorporated into Part B of the Registration Statement by reference to pages 10 through 92 of the Funds' Annual Report to Shareholders, filed with the Securities and Exchange Commission on Form N-30D pursuant to Rule 30d-1 under the Investment Company Act of 1940 on November 28, 2001. (b) The unaudited financial statements and statements of investments for the existing portfolios of the TIAA-CREF Institutional Mutual Funds for the six months ended March 31, 2002 are incorporated into Part B of the Registration Statement by reference to pages 9 through 77 of the Funds' Semi-Annual Report to Shareholders, filed with the Securities and Exchange Commission on Form N-30D pursuant to Rule 30d-1 under the Investment Company Act of 1940 on May 30, 2002. (c) The audited financial statements and statements of investments for the Large-Cap Value, Mid-Cap Value, Mid-Cap Growth, Small-Cap Equity, International Equity Index, Large-Cap Value Index, Large-Cap Growth Index, Mid-Cap Value Index, Mid-Cap Growth Index, Mid-Cap Blend Index, Small-Cap Value Index, Small-Cap Growth Index, Small-Cap Blend Index, S&P 500 Index, Real Estate Securities and Inflation-Linked Bond Funds of the TIAA-CREF Institutional Mutual Funds are included in Part B of the Registration Statement. ITEM 23. EXHIBITS (a) (1) Declaration of Trust, dated as of April 15, 1999.(1) (2) Declaration of Trust, dated as of April 15, 1999, as amended.* (b) Registrant has adopted no bylaws. (c) The relevant portions of Registrant's Declaration of Trust are incorporated herein by reference to Exhibit (a) above. (d) (1) Investment Management Agreement by and between Registrant and Teachers Advisors, Inc. ("Advisors"), dated as of June 1, 1999.(2) (2) Amendment to the Investment Management Agreement by and between Registrant and Advisors, dated as of September 3, 2002.* (e) (1) Distribution Agreement by and between Registrant and Teachers Personal Investors Services, Inc. ("TPIS"), dated as of June 1, 1999.(2) (2) Selling Agreement by and between TPIS and TIAA-CREF Individual & Institutional Services, Inc. ("Services"), dated as of June 1, 1999.(3) (3) Amendment to Distribution Agreement by and between Registrant and TPIS, dated as of September 3, 2002.* (f) (1) TIAA and CREF Non-Employee Trustee and Member, and TIAA-CREF Mutual Funds and TIAA-CREF Institutional Mutual Funds Non-Employee Trustee, Long-Term Compensation Plan, as of January 1, 1998, as amended as of August 1, 1999.(4) (2) TIAA and CREF Non-Employee Trustee and Member, and TIAA-CREF Mutual Funds and TIAA-CREF Institutional Mutual Funds Non-Employee Trustee, Deferred Compensation Plan, as of June 1, 1998, as amended as of August 1, 1999.(4) (g) (1) Custodian Agreement by and between Registrant and State Street Bank and Trust Company ("State Street"), dated as of June 11, 1999.(3) (2) Custodian Agreement by and between Registrant and JPMorgan Chase Bank ("JPMorgan"), dated as of July 1, 2002.* (3) Amendment to the Custodian Agreement by and between Registrant and JPMorgan, dated August 26, 2002.* (h) (1) Administration Agreement by and between Registrant and State Street, dated as of July 1, 1999.(3) (2) Transfer Agency Agreement by and between Registrant and Boston Financial Data Services, Inc., dated as of July 1, 1999.(3) (3) Transfer Agency and Service Agreement by and between Registrant and Boston Financial Data Services, Inc., dated as of July 1, 2002.* (4) Service Agreement by and between Registrant and Advisors, dated as of May 22, 2002.* (i) Opinion and Consent of Charles H. Stamm, Esq.* (j) (1) Consent of Sutherland Asbill & Brennan LLP.* (2) Consent of Ernst & Young LLP.* (k) Not applicable. (l) (1) Seed Money Agreement by and between Registrant and Teachers Insurance and Annuity Association of America ("TIAA"), dated as of June 1, 1999.(3) (2) Seed Money Agreement by and between Registrant and TIAA, dated as of August 1, 2002.* (m) Distribution Plan for Retirement Class Shares of Registrant adopted pursuant to Rule 12b-1 of the Investment Company Act of 1940 (the "1940 Act"), dated May 22, 2002.* (n) Multiple Class Plan of Registrant adopted pursuant to Rule 18f-3 of the 1940 Act.* (p) Policy Statement on Personal Trading.(4) (1) Incorporated herein by reference to the initial registration statement on Form N-1A (File No. 333-76651) as filed with the Commission on April 20, 1999. (2) Incorporated herein by reference to Pre-Effective Amendment No. 1 to the registration statement on Form N-1A (File No. 333-76651) as filed with the Commission on June 11, 1999. (3) Incorporated herein by reference to Pre-Effective Amendment No. 2 to the registration statement on Form N-1A (File No. 333-76651) as filed with the Commission on June 24, 1999. (4) Incorporated herein by reference to Post-Effective Amendment No. 2 to the registration statement on Form N-1A (File No. 333-76651) as filed with the Commission on January 31, 2001. * Filed herewith. ITEM 24. PERSONS CONTROLLED BY OR UNDER COMMON CONTROL WITH THE FUND As the ultimate parent (holding indirectly 100% of the voting securities of Advisors, investment adviser of Registrant, TIAA may be deemed to control Registrant (although Registrant does not concede such control). As the beneficial owner of more than 25% of the voting securities of one or more series of Registrant's shares (pursuant to the Seed Money Agreement), TIAA controls Registrant. Therefore, persons directly or indirectly controlled by TIAA may be deemed to be under common control with Registrant. BT Properties, Inc. College Credit Trust DAN Properties, Inc. ETC Repackaging, Inc. Illinois Teachers Properties, LLC JV Florida One, Inc. JV Florida Four, Inc. JV Georgia One, Inc. JV Michigan Three, Inc. JV Minnesota One, Inc. JV North Carolina One, Inc. JWL Properties, Inc. Liberty Place Retail, Inc. Liberty Place Retail II, Inc. Light St. Partners, LLP M.O.A. Enterprises, Inc. MOA Investors I, Inc. NCDC Funding, LLC ND Properties, Inc. Rouse-Teachers Holding Company Savannah Teachers Properties, Inc. T114 Properties, Inc. T-Investment Properties Corp. T-Land Corp. TCT Holdings, Inc. Teachers Advisors, Inc. Teachers Boca Properties II, Inc. Teachers Boca Properties III, Inc. Teachers Concourse, LLC Teachers Mayflower, LLC Teachers Michigan Properties, Inc. Teachers Pennsylvania Realty, Inc. Teachers Personal Investors Services, Inc. Teachers Properties, Inc. Teachers REA, LLC Teachers REA II, LLC Teachers REA III, LLC Teachers REA IV, LLC Teachers Realty Corporation Teachers West, LLC TEO-NP, LLC TIAA Advisory Services, LLC TIAA CMBS I, LLC TIAA Diamond Investor, LLC TIAA European Funding Trust TIAA Financial Services, LLC TIAA Franklin Square, LLC TIAA Lakepointe, LLC TIAA SF One, LLC TIAA Realty, Inc. TIAA Retail Commercial, LLC TIAA Tri-State, LLC TIAA Timberlands I, LLC TIAA Timberlands II, LLC TIAA-CREF Enterprises, Inc. TIAA-CREF Individual & Institutional Services, Inc. TIAA-CREF Investment Management, LLC TIAA-CREF Life Insurance Company TIAA-CREF Trust Company, FSB TIAA-CREF Tuition Financing, Inc. TIAA-Fund Equities, Inc. TPI Housing, Inc. Washington Teachers Properties II, Inc. WRC Properties, Inc. 730 Texas Forest Holdings, Inc. 485 Properties, LLC SUBSIDIARIES OF TEACHERS PROPERTIES, INC.: Rouse-Teachers Holding Company Rouse-Teachers Land Holdings, Inc. 1) All subsidiaries are Delaware corporations except as follows: A) Pennsylvania non-stock, non-profit corporations: Liberty Place Retail, Inc. Teachers Pennsylvania Realty, Inc. Teachers Realty Corporation B) College Credit Trust, a New York Trust C) TIAA-CREF Life Insurance Company is a New York Corporation D) TIAA-CREF Trust Company, FSB is a Federal Savings Bank E) TIAA European Funding Trust, a Delaware Trust F) Light St. Partners, LLP, a Maryland Limited Liability Partnership G) Rouse-Teachers Holding Company, a Nevada Corporation 2) All subsidiaries are 100% owned directly by TIAA, except as follows: A) TIAA-CREF Enterprises, Inc. owns 100% of the stock of Advisors, TPIS, TIAA-CREF Life Insurance Company, TIAA-CREF Tuition Financing, Inc. and TCT Holdings, Inc. B) TCT Holdings, Inc. owns 100% of the stock of TIAA-CREF Trust Company, FSB. C) Teachers Properties, Inc. owns 100% of the stock of TPI Housing, Inc. and 95% of the stock of Rouse-Teachers Holding Company. Rouse-Teachers Holding Company owns 100% of the stock of Rouse-Teachers Land Holdings, Inc. D) ND Properties, Inc. owns 100% of the stock of IMOR, S.A., a Portuguese corporation. ITEM 25. INDEMNIFICATION As a Delaware business trust, Registrant's operations are governed by its Declaration of Trust dated as of April 15, 1999 (the "Declaration"). Generally, Delaware business trust shareholders are not personally liable for obligations of the Delaware business trust under Delaware law. The Delaware Business Trust Act (the "DBTA") provides that a shareholder of a trust shall be entitled to the same limitation of liability extended to shareholders of private for-profit Delaware corporations. Registrant's Declaration expressly provides that it has been organized under the DBTA and that the Declaration is to be governed by Delaware law. It is nevertheless possible that a Delaware business trust, such as Registrant, might become a party to an action in another state whose courts refuse to apply Delaware law, in which case Registrant's shareholders could be subject to personal liability. To protect Registrant's shareholders against the risk of personal liability, the Declaration (i) contains an express disclaimer of shareholder liability for acts or obligations of Registrant and provides that notice of such disclaimer may be given in each agreement, obligation and instrument entered into or executed by Registrant or its trustees; (ii) provides for the indemnification out of Registrant's property of any shareholders held personally liable for any obligations of Registrant or any series of Registrant; and (iii) provides that Registrant shall, upon request, assume the defense of any claim made against any shareholder for any act or obligation of Registrant and satisfy any judgment thereon. Thus, the risk of a shareholder incurring financial loss beyond his or her investment because of shareholder liability is limited to circumstances in which all of the following factors are present: (i) a court refuses to apply Delaware law; (ii) the liability arose under tort law or, if not, no contractual limitation of liability was in effect; and (iii) Registrant itself would be unable to meet its obligations. In the light of Delaware law, the nature of Registrant's business and the nature of its assets, the risk of personal liability to a shareholder is remote. The Declaration further provides that Registrant shall indemnify each of its trustees and officers against liabilities and expenses reasonably incurred by them, in connection with, or arising out of, any action, suit or proceeding, threatened against or otherwise involving such trustee or officer, directly or indirectly, by reason of being or having been a trustee or officer of Registrant. The Declaration does not authorize Registrant to indemnify any trustee or officer against any liability to which he or she would otherwise be subject by reason of or for willful misfeasance, bad faith, gross negligence or reckless disregard of such person's duties. Insofar as indemnification for liability arising under the Securities Act of 1933 (the "1933 Act") may be permitted to trustees, officers and controlling persons, or otherwise, Registrant has been advised that in the opinion of the Commission such indemnification may be against public policy as expressed in the 1993 Act and may be, therefore, unenforceable. In the event that a claim for indemnification against such liabilities (other than the payment by Registrant of expenses incurred or paid by a trustee, officer or controlling person of Registrant in the successful defense of any action, suit or proceeding) is asserted by such trustee, officer or controlling person in connection with the securities being registered, Registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the 1933 Act and will be governed by the final adjudication of such issue. ITEM 26. BUSINESS AND OTHER CONNECTIONS OF INVESTMENT ADVISER Advisors also provides investment management services to TIAA-CREF Life Funds, TIAA-CREF Mutual Funds, and TIAA Separate Account VA-1. The trustees of Advisors are John H. Biggs, Martin L. Leibowitz, and Charles H. Stamm. Other officers of Advisors are Richard J. Adamski and Richard L. Gibbs. All officers of Advisors are also officers of TIAA-CREF Investment Management, LLC ("Investment Management"), and are employees of TIAA. Mr. Biggs is also a trustee of TIAA, College Retirement Equities Fund ("CREF"), Services, a manager of Investment Management, and a director of TPIS. He is Chief Executive Officer of TIAA and CREF. Mr. Biggs is also a director of The Boeing Company, 7755 East Marginal Way South, Seattle, WA 98108. Mr. Leibowitz is a trustee of TIAA and CREF and a manager of Investment Management. He is Vice Chairman and Chief Investment Officer of TIAA and CREF. Mr. Stamm is a trustee of Services, a manager of Investment Management, and a director of TPIS. He is General Counsel of TIAA and CREF. Mr. Adamski is Treasurer of Services and TPIS. Mr. Gibbs is Executive Vice President of Services and TPIS. The principal business address of TIAA, CREF, Services, Investment Management, and TPIS is 730 Third Avenue, New York, NY 10017-3206. ITEM 27. PRINCIPAL UNDERWRITERS TPIS acts as the principal underwriter for the Registrant. TPIS also acts as the principal underwriter for TIAA-CREF Mutual Funds and TIAA-CREF Life Funds. The officers of TPIS and their positions and offices with TPIS and the Registrant are listed in Schedule A of Form BD as currently on file with the Commission (File No. 8-47051), the text of which is hereby incorporated by reference. ITEM 28. LOCATION OF ACCOUNTS AND RECORDS All accounts, books and other documents required to be maintained by Section 31(a) of the 1940 Act and the rules promulgated thereunder will be maintained at the Registrant's home office, 730 Third Avenue, New York, NY 10017-3206, at other offices of the Registrant located at 750 Third Avenue and 485 Lexington Avenue, both in New York, NY 10017-3206, and at the offices of the Registrant's custodian, JPMorgan Chase Bank, 4 Chase MetroTech Center, Brooklyn, NY 11245. In addition, certain duplicated records are maintained at Pierce Leahy Archives, 64 Leone Lane, Chester, NY 10918. ITEM 29. MANAGEMENT SERVICES Not Applicable. ITEM 30. UNDERTAKINGS Not Applicable. SIGNATURES Pursuant to the requirements of the Securities Act of 1933 and the Investment Company Act of 1940, the Registrant, TIAA-CREF Institutional Mutual Funds, certifies that it meets all of the requirements for effectiveness of this Registration Statement under Rule 485(b) under the Securities Act of 1933 and has duly caused this Registration Statement to be signed on its behalf by the undersigned, duly authorized, in the City of New York, and State of New York, on the 27th day of September, 2002. TIAA-CREF INSTITUTIONAL MUTUAL FUNDS By: /s/ LISA SNOW ------------------------------- Name: Lisa Snow Title: Vice President and Chief Counsel, Corporate Law and Secretary Pursuant to the requirements of the Securities Act of 1933, this Registration Statement has been signed below by the following persons in the capacities and on the dates indicated. SIGNATURE TITLE DATE --------- ----- ---- /s/ MARTIN E. GALT, III President September 27, 2002 ----------------------- Martin E. Galt, III (Principal Executive Officer) /s/ SCOTT C. EVANS Executive Vice President September 27, 2002 ----------------------- Scott C. Evans (Principal Financial Officer) /s/ RICHARD L. GIBBS Executive Vice President September 27, 2002 ----------------------- Richard L. Gibbs (Principal Accounting Officer)
SIGNATURE OF TRUSTEE DATE SIGNATURE OF TRUSTEE DATE -------------------- ---- -------------------- ---- /s/ ELIZABETH E. BAILEY /s/ BEVIS LONGSTRETH ------------------------ ---------------------- Elizabeth E. Bailey September 27, 2002 Bevis Longstreth September 27, 2002 /s/ JOHN H. BIGGS ------------------------ ---------------------- John H. Biggs September 27, 2002 Stephen A. Ross /s/ JOYCE A. FECSKE /s/ NESTOR V. SANTIAGO ------------------------ ---------------------- Joyce A. Fecske September 27, 2002 Nestor V. Santiago September 27, 2002 /s/ EDES P. GILBERT ------------------------ ---------------------- Edes P. Gilbert September 27, 2002 Eugene C. Sit /s/ MARTIN J. GRUBER /s/ MACEO K. SLOAN ------------------------ ---------------------- Martin J. Gruber September 27, 2002 Maceo K. Sloan September 27, 2002 /s/ NANCY L. JACOB /s/ DAVID K. STORRS ------------------------ ---------------------- Nancy L. Jacob September 27, 2002 David K. Storrs September 27, 2002 ------------------------ /s/ ROBERT W. VISHNY Marjorie Fine Knowles ---------------------- Robert W. Vishny September 27, 2002 /s/ MARTIN L. LEIBOWITZ ------------------------ Martin L. Leibowitz September 27, 2002
EXHIBIT INDEX EXHIBIT NO. EXHIBIT NAME (a)(2) Declaration of Trust, dated as of April 15, 1999, as amended. (d)(2) Amendment to the Investment Management Agreement by and between Registrant and Teachers Advisors, Inc., dated as of September 3, 2002. (e)(3) Amendment to the Distribution Agreement by and between Registrant and Teachers Personal Investors Services, Inc., dated as of September 3, 2002. (g)(2) Custodian Agreement by and between Registrant and JPMorgan Chase Bank ("JPMorgan"), dated as of July 1, 2002. (g)(3) Amendment to the Custodian Agreement by and between Registrant and JPMorgan, dated August 26, 2002. (h)(3) Transfer Agency and Service Agreement by and between Registrant and Boston Financial Data Services, Inc., dated as of July 1, 2002. (h)(4) Service Agreement by and between Registrant and Teachers Advisors, Inc., dated as of May 22, 2002. (i) Opinion and Consent of Charles H. Stamm, Esq. (j)(1) Consent of Sutherland Asbill & Brennan LLP. (j)(2) Consent of Ernst & Young LLP. (l)(2) Seed Money Agreement by and between Registrant and TIAA, dated as of August 1, 2002. (m) Distribution Plan for Retirement Class shares of Registrant adopted pursuant to Rule 12b-1 of the Investment Company Act of 1940 dated May 22, 2002. (n) Multiple Class Plan of Registrant adopted pursuant to Rule 18f-3 of the Investment Company Act of 1940.