N-CSR 1 indextrustncsr.txt VANGUARD INDEX FUNDS N-CSR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 2-56846 Name of Registrant: VANGUARD INDEX FUNDS Address of Registrant: P.O. BOX 2600, VALLEY FORGE, PA 19482 Name and address of agent for service: R. GREGORY BARTON P.O. BOX 876 VALLEY FORGE, PA 19482 Registrant's telephone number, including area code: (610) 669-1000 Date of fiscal year end: December 31 Date of reporting period: January 1, 2003 - December 31, 2003 ITEM 1: Reports to Shareholders VANGUARD(R) 500 INDEX FUND DECEMBER 31, 2003 ANNUAL REPORT THE VANGUARD GROUP(R)LOGO HOW TO READ YOUR FUND REPORT This report contains information that can help you evaluate your investment. It includes details about your fund's return and presents data and analysis that provide insight into the fund's performance and investment approach. By reading the letter from Vanguard's chairman, you'll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund's performance and characteristics stack up against those of similar funds and market benchmarks. It's important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus. Frequent updates on the fund's performance and information about some of its holdings are available on Vanguard.com(R). -------------------------------------------------------------------------------- CONTENTS 1 letter from the chairman 7 fund profile 8 glossary of investment terms 9 performance summary 10 your fund's after-tax returns 11 about your fund's expenses 12 financial statements 27 advantages of vanguard.com -------------------------------------------------------------------------------- SUMMARY * Vanguard 500 Index Fund returned 28.5% in its latest fiscal year, tracking the return of its target benchmark almost perfectly. * Every major stock sector advanced, helping the fund to record its best year since 1998. * Technology stocks led the way with a 45.5% gain. -------------------------------------------------------------------------------- Want less clutter in your mailbox? Just register with Vanguard.com and opt to get fund reports online. LETTER FROM THE CHAIRMAN FELLOW SHAREHOLDER, Vanguard 500 Index Fund's Investor Shares returned 28.5% in 2003 as U.S. stocks rebounded sharply after a three-year bear market. Your fund's return nearly matched the 28.7% return of its benchmark, the Standard & Poor's 500 Index, and surpassed the 25.6% average return of its peer fund group. [PICTURES OF JOHN J. BRENNAN] ---------------------------------------------------- 2003 TOTAL RETURNS FISCAL YEAR ENDED DECEMBER 31 ---------------------------------------------------- VANGUARD 500 INDEX FUND Investor Shares 28.5% Admiral Shares 28.6 S&P 500 Index 28.7 Average Large-Cap Core Fund* 25.6 ---------------------------------------------------- *Derived from data provided by Lipper Inc. The table at left provides the total returns for your fund (both the Investor Shares and the lower- cost Admiral Shares) and its comparative measures. The per-share components of the fund's total returns--starting and ending net asset values, as well as income distributions--are presented in a table on page 6. Shareholders who own the 500 Index Fund in a taxable account may also wish to review the fund's after-tax returns on page 10. STOCKS BEGAN TO RECOVER FROM FIERCE BEAR MARKET Three straight years of stock market declines ended in a spectacular fashion in 2003. The broad U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned 31.6% for the 12 months. The start of combat operations in Iraq in mid-March and the subsequent quick end to that phase of the engagement relieved months of anticipation and uncertainty that had cast a pall over the financial markets. Other factors also contributed to investors' optimism: the Federal Reserve Board's cutting short-term interest rates to a 45-year low; a falling U.S. dollar, which aided businesses dependent on exports and profits from operations overseas; mortgage rates' hitting 1 four-decade lows, which spurred further home-buying and freed up cash through refinancing; tax cuts and refunds to consumers who were more than willing to spend the windfall; a spike in spending by businesses to replenish inventories and equipment; and the rapid growth of the economy, which expanded at an annual rate of 8.2% in the third quarter. -------------------------------------------------------------------------------- ADMIRAL(TM) SHARES A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. -------------------------------------------------------------------------------- The rebound was impressive across all stock market segments and industry sectors. By most gauges of performance, growth and value stocks--whose prices reflect either a premium or a discount relative to company earnings, book value, or other measures--provided similar returns. However, as a group small-capitalization stocks outpaced large-caps by a substantial margin, with the small-cap Russell 2000 Index outperforming the mid-to-large-cap Russell 1000 Index by 17.4 percentage points. Among sectors, technology stocks--the group that contributed the most to both the bull market of the late 1990s and the subsequent bear market--made the largest gains. Meanwhile, overseas markets--particularly emerging markets--posted results that surpassed those in the United States. For U.S.-based investors, the falling dollar augmented returns from securities denominated in most other currencies. "JUNK" REIGNED SUPREME, AND YIELDS HIT NEW LOWS Investors' renewed appetite for risk was evident not just in the equity markets, but on the fixed income side as well. Bonds from companies with below-investment-grade credit ratings (popularly known as "junk" bonds) surged 29.0% during the 12 months, as measured by the Lehman Brothers High Yield Bond Index. At the other extreme of the credit-quality spectrum, U.S. Treasury securities at first seemed poised for a fourth straight year of outstanding gains. By June, the rising price of the 10-year Treasury note drove its yield down to just above 3%--a level not seen since Dwight Eisenhower occupied the Oval Office. However, the prices of Treasuries fell subsequently, and by year-end the 10-year note's yield stood at 4.25%, up 44 basis points (0.44 percentage point) from the beginning of the year. Treasuries' total returns (which include interest income) for the full 12 months were still in positive territory, but 2 barely so. Mortgage-backed securities did only marginally better, while investment-grade corporate bonds--particularly those with longer maturities--posted solid returns. The Lehman Aggregate Bond Index, the benchmark for the broad U.S. investment-grade taxable bond market, earned 4.1%. As mentioned earlier, short-term interest rates also hit historical lows during the year. On top of rate cuts made in previous years to bolster the economy, the Fed slashed the target federal funds rate in June by 25 basis points to 1.00%. The yield of the 3-month Treasury bill, a proxy for money market rates, ended the year at 0.92%, 27 basis points lower than at the start of 2003. AFTER A SLOW START, THE FUND SURGED IN THE SPRING Vanguard 500 Index Fund--like the S&P 500 itself--began the year with a small step backward. At the end of the first quarter, the fund had a return of -3.2%, continuing the negative pattern that had dominated the market since early 2000. However, once investor sentiment turned positive beginning in late March, stocks scarcely looked back for the rest of the year. Your fund posted consecutive quarterly gains of 15.4%, 2.6%, and 12.1% to close 2003 with a one-year total return (including reinvested distributions) of 28.5%, its best performance since a 28.6% advance in 1998. Despite its strong appreciation, the fund distributed no capital gains, remaining exceptionally tax-efficient. ------------------------------------------------------------------------------ MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 -------------------------------------- ONE THREE FIVE YEAR YEARS YEARS ------------------------------------------------------------------------------ STOCKS Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1% Russell 2000 Index (Small-caps) 47.3 6.3 7.1 Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4 MSCI All Country World Index Free ex USA (International) 41.4 -1.0 1.5 ------------------------------------------------------------------------------ BONDS Lehman Aggregate Bond Index 4.1% 7.6% 6.6% (Broad taxable market) Lehman Municipal Bond Index 5.3 6.7 5.8 Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5 ============================================================================== CPI Consumer Price Index 1.9% 1.9% 2.4% ------------------------------------------------------------------------------ The fund's gains were broadly based, reflecting strength in all corners of the market. Every S&P 500 sector advanced approximately 15% or more. Technology stocks, the index's second-largest group, led the way with a 45.5% gain as investors anticipated a boost in sales of tech equipment and services. Both financial service and consumer discretionary stocks in the fund posted gains of about 30% as optimism spread that the U.S. economy was recovering after several years of treading 3 water. Materials & processing stocks, a relatively small sector, more than carried their weight with a 37.1% gain. So did the multi-sector companies in the "other" category. These 11 stocks--which include General Electric, 3M, and Tyco--jumped 36%. A few sectors underperformed the broad market but still posted healthy gains. Consistent with their history of providing more modest returns during bull markets, consumer staples (up 17.8%) and utilities (up 16.2%) trailed the parade. Health care companies (up 14.9%) also lagged the market. A STURDY RECORD OF OUTPERFORMANCE For investors in Vanguard 500 Index Fund, the ups and downs of recent years have been dizzying to say the least. But as veteran shareholders know, the fund's long-term performance continues to prove the merits of index investing. As shown in the table below, your fund's ten-year annualized return of 11.0% a year is 2.1 percentage points higher than that provided by funds investing in the same market segment--the vast majority of which are actively managed. The cumulative effect of this outperformance is illustrated by the hypothetical balances in the column on the right. The fund's competitive advantages, which include broad diversification and low turnover, are difficult for our competitors to overcome because they, on average, have to bear far higher operating and transaction costs in trying to beat the market. As you can see on page 11, your investment benefits from a cost advantage that 500 Index Fund shareholders have enjoyed for many years. While we believe that actively managed funds--especially those with stable management, consistently executed strategies, and low costs--have a place in many portfolios, the long-term success of Vanguard 500 Index Fund is powerful evidence that diversified, low-cost index funds should be core holdings for most investors. ----------------------------------------------------------------- TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2003 ----------------------------------------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT ----------------------------------------------------------------- 500 Index Fund Investor Shares 11.0% $28,367 S&P 500 Index 11.1 28,563 Average Large-Cap Core Fund 8.9 23,353 ----------------------------------------------------------------- It's worth noting that, when it comes to tracking an index, your fund's advisor, Vanguard's Quantitative Equity Group, has provided consistently excellent results. An index is a theoretical portfolio that incurs no costs, 4 making it a tough bogie to hit. Yet the 500 Index Fund has come very close to doing so, despite its real-world expenses. The fund's ten-year annualized return is only one tenth of a percentage point behind that of the S&P 500 Index--about as close as we can get to replicating its performance. For an index fund, that result constitutes an unqualified success. KEEPING AN EVEN KEEL IN GOOD TIMES AND BAD Although we were as relieved as anyone that the bulls returned in 2003, we always urge our shareholders to look beyond short-term trends and to focus instead on long-term performance, which varies much less than the market's year-to-year gyrations. For example, our report to you last year showed that Vanguard 500 Index Fund, even after three consecutive years of decline, had a ten-year annualized return of 9.3%, not far from the market's annualized return over the past 75 years of approximately 10%. Clearly, time is the ally of patient investors. Even if the stocks contained in the S&P 500--and therefore owned by the 500 Index Fund--should reverse course in 2004 and post disappointing results, a buy-and-hold approach will remain the best way for stock investors to seek long-term growth of capital. And the 500 Index Fund will remain one of the best ways to invest in U.S. stocks, because it encompasses the bulk of the market's capitalization. We are confident that the fund's low costs will continue to make it one of the best bargains in the industry. Of course, successful investing almost always requires holding more than one fund. We hope that no matter what the stock and bond markets do in the short run, you will maintain a steady and well-diversified mix of stocks, bonds, and short-term reserves that suits your individual circumstances and goals. A balanced, low-cost approach to investing is a proven way to build long-term wealth. Thank you for your continued confidence in Vanguard. Sincerely, /S/JOHN J. BRENNAN John J. Brennan CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 12, 2004 5 ------------------------------------------------------------------------------ YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003 DISTRIBUTIONS PER SHARE ------------------------------------ STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS ------------------------------------------------------------------------------ 500 Index Fund Investor Shares $81.15 $102.67 $1.430 $0.00 Admiral Shares 81.15 102.68 1.487 0.00 ------------------------------------------------------------------------------ 6 FUND PROFILE AS OF 12/31/2003 This Profile provides a snapshot of the fund's characteristics, compared where appropriate with its unmanaged target index. Key terms are defined on page 8. 500 INDEX FUND ---------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET FUND INDEX* ---------------------------------------------------- Number of Stocks 503 500 Median Market Cap $52.3B $52.3B Price/Earnings Ratio 22.6x 22.6x Price/Book Ratio 3.2x 3.2x Yield 1.6% Investor Shares 1.5% Admiral Shares 1.6% Return on Equity 21.4% 21.4% Earnings Growth Rate 7.7% 7.7% Foreign Holdings 0.0% 0.0% Turnover Rate 2% -- Expense Ratio -- Investor Shares 0.18% Admiral Share 0.12% Short-Term Reserves 0% -- ---------------------------------------------------- ----------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 3.0% (conglomerate) Microsoft Corp. 2.9 (software) ExxonMobil Corp. 2.6 (oil) Pfizer Inc. 2.6 (phamaceuticals) Citigroup, Inc. 2.4 (banking) Wal-Mart Stores, Inc. 2.2 (retail) Intel Corp. 2.0 (electronics) American International Group, Inc. 1.7 (insurance) Cisco Systems, Inc. 1.6 (computer hardware) International Business Machines Corp. 1.5 (computer hardware) ----------------------------------------------------------------- Top Ten 22.5% ----------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. ---------------------------------------------------- VOLATILITY MEASURES TARGET FUND INDEX* ---------------------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 ---------------------------------------------------- ----------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET FUND INDEX* ----------------------------------------------------------------- Auto & Transportation 3% 3% Consumer Discretionary 14 14 Consumer Staples 8 8 Financial Services 22 22 Health Care 13 13 Integrated Oils 4 4 Other Energy 2 2 Materials & Processing 4 4 Producer Durables 4 4 Technology 16 16 Utilities 7 7 Other 3 3 ----------------------------------------------------------------- ---------------------------------- INVESTMENT FOCUS STYLE Blend MARKET CAP Large ---------------------------------- VISIT OUR WEBSITE AT VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. *S&P 500 Index. 7 GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility. -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or depositary receipts of companies based outside the United States. -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by a given index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0. -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. -------------------------------------------------------------------------------- SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash. -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of income provided by securities in the index. 8 PERFORMANCE SUMMARY AS OF 12/31/2003 All of the returns in this report represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. 500 INDEX FUND -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003 AVERAGE 500 INDEX FUND WILSHIRE S&P LARGE-CAP INVESTOR SHARES* 5000 INDEX 500 INDEX CORE FUND** 199312 10000 10000 10000 10000 199403 9616 9627 9621 9659 199406 9654 9552 9661 9567 199409 10123 10071 10134 9977 199412 10118 9994 10132 9861 199503 11100 10896 11119 10672 199506 12153 11913 12180 11584 199509 13118 13002 13148 12461 199512 13906 13636 13939 13050 199603 14649 14402 14688 13742 199606 15301 15037 15347 14255 199609 15769 15462 15821 14718 199612 17088 16528 17140 15728 199703 17537 16635 17599 15929 199706 20590 19445 20672 18490 199709 22131 21342 22220 19883 199712 22759 21700 22858 20174 199803 25926 24578 26047 22889 199806 26778 25057 26907 23482 199809 24114 22043 24231 20787 199812 29272 26785 29391 25300 199903 30730 27796 30855 26565 199906 32882 29965 33030 28277 199909 30827 27983 30968 26554 199912 35439 33095 35575 30955 200003 36234 34358 36391 32329 200006 35290 32817 35425 31493 200009 34960 32873 35081 31280 200012 32230 29490 32336 28182 200103 28395 25849 28503 25178 200106 30047 27782 30171 26573 200109 25625 23364 25742 22706 200112 28355 26254 28493 24304 200203 28421 26506 28571 24707 200206 24603 23164 24743 21509 200209 20367 19270 20469 18072 200212 22075 20777 22196 18595 200303 21372 20136 21497 18338 200306 24661 23459 24806 21091 200309 25302 24329 25462 21842 200312 28367 27351 28563 23353 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 FINAL VALUE ---------------------------------------------- ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT -------------------------------------------------------------------------------- 500 Index Fund Investor Shares* 28.50% -0.63% 10.99% $28,367 Wilshire 5000 Index 31.64 0.42 10.59 27,351 S&P 500 Index 28.68 -0.57 11.07 28,563 Average Large-Cap Core Fund** 25.59 -1.59 8.85 23,353 -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION+ INVESTMENT -------------------------------------------------------------------------------- 500 Index Fund Admiral Shares 28.59% -4.59% $215,816 Wilshire 5000 Index 31.64 -3.19 225,863 S&P 500 Index 28.68 - 4.55 216,102 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003 500 INDEX FUND S&P INVESTOR SHARES 500 INDEX 1994 1.2 1.3 1995 37.4 37.6 1996 22.9 23.0 1997 33.2 33.4 1998 28.6 28.6 1999 21.1 21.0 2000 -9.1 -9.1 2001 -12.0 -11.9 2002 -22.1 -22.1 2003 28.5 28.7 -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +November 13, 2000. NOTE: See Financial Highlights tables on pages 21 and 22 for dividend and capital gains information. 9 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect the reduced tax rates on ordinary income (including qualified dividend income) and short-term capital gains that became effective as of January 1, 2003, and on long-term capital gains realized on or after May 6, 2003. Qualified dividend income is for calendar year 2003. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.) The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ONE YEAR FIVE YEARS TEN YEARS ---------------------------------------- 500 INDEX FUND INVESTOR SHARES* Returns Before Taxes 28.50% -0.63% 10.99% Returns After Taxes on Distributions 28.20 -1.09 10.24 Returns After Taxes on Distributions and Sale of Fund Shares 18.86 -0.78 9.33 -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. 10 ABOUT YOUR FUND'S EXPENSES All mutual funds have operating expenses. These expenses include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its net assets. This figure is known as the expense ratio. a hypothetical example We believe it is important for you to understand the impact of costs on your investment. The following example illustrates the costs that you would incur over a 12-month period if you invested $10,000 in the fund, using the fund's actual return and operating expenses for the fiscal year ended December 31, 2003. The cost in dollars is calculated by applying the expense ratio to the average balance in the hypothetical account. For comparative purposes, we also list the average expense ratio for the fund's peer group, which is derived from data provided by Lipper Inc. -------------------------------------------------------------------------------- COST OF $10,000 FUND PEER GROUP* INVESTMENT IN FUND EXPENSE RATIO EXPENSE RATIO -------------------------------------------------------------------------------- 500 Index Fund Investor Shares $21 0.18% 1.41% Admiral Shares 14 0.12 -- -------------------------------------------------------------------------------- *Average Large-Cap Core Fund. The calculation assumes no shares were sold. Your actual costs may have been higher or lower, depending on the amount of your investment and your holding period. Peer-group ratio captures data through year-end 2002. You can find more information about the fund's expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the fund's prospectus. The prospectus presents hypothetical shareholder costs over various time periods based upon a $10,000 investment and a return of 5% a year. This standardized example, which appears in all mutual fund prospectuses, may be useful to you in comparing the costs of investing in different funds. 11 FINANCIAL STATEMENTS AS OF 12/31/2003 STATEMENT OF NET ASSETS This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.4%)(1) -------------------------------------------------------------------------------- General Electric Co. 90,652,537 $ 2,808,416 Microsoft Corp. 97,618,930 2,688,425 ExxonMobil Corp. 59,675,794 2,446,708 Pfizer Inc. 68,900,296 2,434,247 Citigroup, Inc. 46,574,494 2,260,726 Wal-Mart Stores, Inc. 39,072,961 2,072,821 Intel Corp. 58,973,523 1,898,947 American International Group, Inc. 23,545,706 1,560,609 * Cisco Systems, Inc. 62,326,386 1,513,908 International Business Machines Corp. 15,532,771 1,439,577 Johnson & Johnson 26,797,730 1,384,371 The Procter & Gamble Co. 11,707,540 1,169,349 The Coca-Cola Co. 22,133,544 1,123,277 Bank of America Corp. 13,414,605 1,078,937 Altria Group, Inc. 18,338,542 997,983 Merck & Co., Inc. 20,088,553 928,091 Wells Fargo & Co. 15,276,596 899,639 Verizon Communications 24,932,898 874,646 ChevronTexaco Corp. 9,651,247 833,771 * Dell Inc. 23,117,083 785,056 SBC Communications Inc. 29,890,753 779,252 United Parcel Service, Inc. 10,150,433 756,715 * Time Warner, Inc. 40,825,148 734,444 Home Depot, Inc. 20,542,139 729,041 PepsiCo, Inc. 15,499,913 722,606 * Amgen, Inc. 11,646,469 719,752 Eli Lilly & Co. 10,138,365 713,031 Viacom Inc. Class B 15,649,927 694,544 J.P. Morgan Chase & Co. 18,420,882 676,599 Fannie Mae 8,772,921 658,495 Abbott Laboratories 14,115,037 657,761 Hewlett-Packard Co. 27,529,757 632,359 * Oracle Corp. 47,189,737 622,905 * Comcast Corp. Class A 18,508,672 608,380 3M Co. 7,086,477 602,563 Morgan Stanley 9,778,511 565,882 American Express Co. 11,613,583 560,123 Wachovia Corp. 11,951,904 556,839 Medtronic, Inc. 10,943,517 531,964 U.S. Bancorp 17,414,179 518,594 Wyeth 12,024,623 510,445 Bristol-Myers Squibb Co. 17,509,377 500,768 Merrill Lynch & Co., Inc. 8,534,941 500,574 Tyco International Ltd. 18,049,435 478,310 BellSouth Corp. 16,686,366 472,224 Bank One Corp. 10,093,601 460,167 Texas Instruments, Inc. 15,625,549 459,079 The Walt Disney Co. 18,467,379 430,844 12 -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) -------------------------------------------------------------------------------- The Goldman Sachs Group, Inc. 4,274,877 $ 422,059 FleetBoston Financial Corp. 9,521,563 415,616 E.I. du Pont de Nemours & Co. 8,999,846 413,003 ConocoPhillips Co. 6,146,730 403,041 United Technologies Corp. 4,248,710 402,650 Lowe's Cos., Inc. 7,099,924 393,265 QUALCOMM Inc. 7,223,773 389,578 Anheuser-Busch Cos., Inc. 7,356,480 387,539 * eBay Inc. 5,832,582 376,726 Freddie Mac 6,281,577 366,342 Dow Chemical Co. 8,311,609 345,514 * Applied Materials, Inc. 15,016,539 337,121 Walgreen Co. 9,256,550 336,753 Gillette Co. 9,134,852 335,523 Washington Mutual, Inc. 8,120,202 325,783 The Boeing Co. 7,593,591 319,994 Target Corp. 8,229,704 316,021 UnitedHealth Group Inc. 5,295,449 308,089 Fifth Third Bancorp 5,137,780 303,643 Alcoa Inc. 7,813,408 296,910 Motorola, Inc. 21,012,133 295,641 Schlumberger Ltd. 5,286,141 289,258 MBNA Corp. 11,532,984 286,595 McDonald's Corp. 11,456,175 284,457 * EMC Corp. 21,698,961 280,351 * Nextel Communications, Inc. 9,927,894 278,577 Allstate Corp. 6,350,969 273,219 * Boston Scientific Corp. 7,394,355 271,816 General Motors Corp. 5,063,174 270,373 First Data Corp. 6,578,851 270,325 Kimberly-Clark Corp. 4,553,537 269,069 * Yahoo! Inc. 5,935,297 268,097 Ford Motor Co. 16,532,954 264,527 Clear Channel Communications, Inc. 5,558,310 260,296 Caterpillar, Inc. 3,134,449 260,222 Honeywell International Inc. 7,783,692 260,209 Emerson Electric Co. 3,799,560 246,022 Colgate-Palmolive Co. 4,850,971 242,791 Cardinal Health, Inc. 3,909,247 239,090 Illinois Tool Works, Inc. 2,782,209 233,455 The Bank of New York Co., Inc. 6,985,012 231,344 Metropolitan Life Insurance Co. 6,863,838 231,105 Schering-Plough Corp. 13,267,969 230,730 Marsh & McLennan Cos., Inc. 4,787,807 229,288 Carnival Corp. 5,687,744 225,974 Gannett Co., Inc. 2,447,574 218,226 Sysco Corp. 5,843,477 217,553 Automatic Data Processing, Inc. 5,367,468 212,605 Lockheed Martin Corp. 4,071,225 209,261 * Forest Laboratories, Inc. 3,301,563 204,037 Prudential Financial, Inc. 4,880,482 203,858 * Cendant Corp. 9,148,867 203,745 Southern Co. 6,611,460 199,997 Exelon Corp. 2,952,922 195,956 * AT&T Wireless Services Inc. 24,510,621 195,840 HCA Inc. 4,474,259 192,214 BB&T Corp. 4,935,671 190,714 Newmont Mining Corp. Holding Co. 3,901,458 189,650 Lehman Brothers Holdings, Inc. 2,450,702 189,243 The Gap, Inc. 8,086,279 187,683 International Paper Co. 4,338,496 187,033 Dominion Resources, Inc. 2,929,393 186,983 National City Corp. 5,489,281 186,306 FedEx Corp. 2,693,536 181,814 SunTrust Banks, Inc. 2,540,993 181,681 Guidant Corp. 2,808,264 169,057 Baxter International, Inc. 5,508,332 168,114 Duke Energy Corp. 8,190,947 167,505 AFLAC Inc. 4,628,587 167,462 Progressive Corp. of Ohio 1,949,580 162,965 NIKE, Inc. Class B 2,368,519 162,149 General Dynamics Corp. 1,784,756 161,324 Union Pacific Corp. 2,303,192 160,026 Northrop Grumman Corp. 1,652,929 158,020 State Street Corp. 3,016,493 157,099 Waste Management, Inc. 5,257,087 155,610 Sara Lee Corp. 7,133,054 154,859 Travelers Property Casualty Corp. Class B 9,069,254 153,905 * Zimmer Holdings, Inc. 2,182,635 153,658 * Costco Wholesale Corp. 4,131,540 153,611 SLM Corp. 4,068,973 153,319 Stryker Corp. 1,800,556 153,065 General Mills, Inc. 3,369,967 152,660 Best Buy Co., Inc. 2,921,021 152,594 Analog Devices, Inc. 3,316,807 151,412 The Hartford Financial Services Group Inc. 2,553,397 150,727 Omnicom Group Inc. 1,714,911 149,763 Maxim Integrated Products, Inc. 2,965,862 147,700 Occidental Petroleum Corp. 3,476,045 146,828 Tribune Co. 2,818,352 145,427 Charles Schwab Corp. 12,244,319 144,973 AT&T Corp. 7,129,230 144,723 Avon Products, Inc. 2,134,658 144,068 * Veritas Software Corp. 3,859,234 143,409 Computer Associates International, Inc. 5,226,654 142,897 Golden West Financial Corp. 1,371,294 141,504 Deere & Co. 2,166,298 140,918 13 -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Kellogg Co. 3,683,801 $ 140,279 * Kohl's Corp. 3,068,895 137,916 PNC Financial Services Group 2,502,553 136,965 Sprint Corp. 8,159,015 133,971 * WellPoint Health Networks Inc. Class A 1,371,252 132,998 * Sun Microsystems, Inc. 29,485,563 132,390 ALLTEL Corp. 2,816,781 131,206 Harley-Davidson, Inc. 2,734,637 129,977 CVS Corp. 3,564,735 128,758 * Electronic Arts Inc. 2,688,617 128,462 ConAgra Foods, Inc. 4,846,350 127,895 Capital One Financial Corp. 2,083,984 127,727 Danaher Corp. 1,386,045 127,170 Weyerhaeuser Co. 1,984,070 126,980 Paychex, Inc. 3,403,183 126,598 Countrywide Financial Corp. 1,662,708 126,116 * Agilent Technologies, Inc. 4,292,005 125,498 * Corning, Inc. 12,008,085 125,244 Mellon Financial Corp. 3,885,182 124,753 * The Kroger Co. 6,725,285 124,485 * Staples, Inc. 4,468,583 121,992 The McGraw-Hill Cos., Inc. 1,729,413 120,921 Devon Energy Corp. 2,099,107 120,195 * Xilinx, Inc. 3,090,029 119,708 Linear Technology Corp. 2,819,901 118,633 Apache Corp. 1,462,634 118,620 Entergy Corp. 2,065,307 117,991 Franklin Resources Corp. 2,265,424 117,938 * Starbucks Corp. 3,530,089 116,705 * Bed Bath & Beyond, Inc. 2,672,819 115,867 H.J. Heinz Co. 3,176,040 115,703 * Univision Communications Inc. 2,910,950 115,536 Anadarko Petroleum Corp. 2,264,655 115,520 The Chubb Corp. 1,694,920 115,424 Southwest Airlines Co. 7,105,413 114,681 Masco Corp. 4,180,570 114,589 Wm. Wrigley Jr. Co. 2,028,607 114,028 Raytheon Co. 3,756,628 112,849 Praxair, Inc. 2,935,181 112,124 International Game Technology 3,124,970 111,561 KeyCorp 3,783,307 110,927 American Electric Power Co., Inc. 3,567,149 108,834 * Biogen Idec Inc 2,958,380 108,809 FPL Group, Inc. 1,661,167 108,674 Air Products & Chemicals, Inc. 2,052,420 108,429 Burlington Northern Santa Fe Corp. 3,350,399 108,385 * Apollo Group, Inc. Class A 1,592,701 108,304 * Lucent Technologies, Inc. 37,848,693 107,490 Electronic Data Systems Corp. 4,338,052 106,456 Ingersoll-Rand Co. 1,565,721 106,281 FirstEnergy Corp. 2,976,931 104,788 ACE Ltd. 2,520,316 104,391 Sears, Roebuck & Co. 2,292,272 104,275 * PG&E Corp. 3,743,776 103,965 Equity Office Properties Trust REIT 3,610,214 103,433 * KLA-Tencor Corp. 1,758,397 103,165 Halliburton Co. 3,956,052 102,857 TJX Cos., Inc. 4,551,687 100,365 Progress Energy, Inc. 2,213,148 100,167 * Genzyme Corp.-General Division 2,022,737 99,802 Burlington Resources, Inc. 1,793,927 99,348 Campbell Soup Co. 3,705,851 99,317 * Xerox Corp. 7,151,164 98,686 PPG Industries, Inc. 1,534,589 98,244 SouthTrust Corp. 2,996,569 98,078 John Hancock Financial Services, Inc. 2,611,493 97,931 Baker Hughes, Inc. 3,023,985 97,251 * Chiron Corp. 1,695,255 96,613 Marriott International, Inc. Class A 2,088,295 96,479 The Principal Financial Group, Inc. 2,916,763 96,457 * Symantec Corp. 2,780,396 96,341 XL Capital Ltd. Class A 1,239,752 96,143 * St. Jude Medical, Inc. 1,558,106 95,590 * Intuit, Inc. 1,792,654 94,849 Johnson Controls, Inc. 815,693 94,718 Becton, Dickinson & Co. 2,293,335 94,348 Fortune Brands, Inc. 1,317,407 94,181 * Anthem, Inc. 1,248,835 93,663 * Broadcom Corp. 2,733,642 93,190 Aetna Inc. 1,377,855 93,115 Public Service Enterprise Group, Inc. 2,122,755 92,977 Marathon Oil Corp. 2,801,920 92,716 The Clorox Co. 1,905,814 92,546 Northern Trust Corp. 1,989,894 92,371 * Yum! Brands, Inc. 2,656,565 91,386 * Lexmark International, Inc. 1,160,315 91,247 Allergan, Inc. 1,178,097 90,490 Hershey Foods Corp. 1,175,175 90,477 Coca-Cola Enterprises, Inc. 4,106,317 89,805 PACCAR, Inc. 1,053,832 89,702 H & R Block, Inc. 1,610,092 89,151 Archer-Daniels-Midland Co. 5,837,324 88,844 Comerica, Inc. 1,583,725 88,784 Consolidated Edison Inc. 2,036,205 87,577 14 -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Safeway, Inc. 3,992,679 $ 87,480 Unocal Corp. 2,338,645 86,132 Rohm & Haas Co. 2,010,933 85,887 Pitney Bowes, Inc. 2,109,092 85,671 McKesson Corp. 2,630,689 84,603 Limited Brands, Inc. 4,664,197 84,095 Biomet, Inc. 2,309,090 84,074 Norfolk Southern Corp. 3,525,995 83,390 Adobe Systems, Inc. 2,113,503 83,061 * Medco Health Solutions, Inc. 2,441,280 82,979 Loews Corp. 1,674,883 82,823 St. Paul Cos., Inc. 2,060,616 81,703 Moody's Corp. 1,343,880 81,372 Simon Property Group, Inc. REIT 1,727,790 80,066 Synovus Financial Corp. 2,725,376 78,818 Marshall & Ilsley Corp. 2,045,150 78,227 AmSouth Bancorp 3,170,699 77,682 * Altera Corp. 3,420,700 77,650 Cintas Corp. 1,542,362 77,319 * PeopleSoft, Inc. 3,384,735 77,172 MBIA, Inc. 1,301,710 77,100 Federated Department Stores, Inc. 1,632,906 76,959 May Department Stores Co. 2,606,425 75,769 Albertson's, Inc. 3,313,955 75,061 * Computer Sciences Corp. 1,691,767 74,827 Mattel, Inc. 3,882,669 74,819 Regions Financial Corp. 2,006,902 74,657 * Micron Technology, Inc. 5,512,195 74,249 Eaton Corp. 686,409 74,118 Equity Residential REIT 2,486,776 73,385 CIGNA Corp. 1,268,903 72,962 Dover Corp. 1,829,152 72,709 * SunGard Data Systems, Inc. 2,593,523 71,867 Bear Stearns Co., Inc. 885,404 70,788 Georgia Pacific Group 2,295,281 70,396 Textron, Inc. 1,228,550 70,101 PPL Corp. 1,601,636 70,072 * Apple Computer, Inc. 3,274,077 69,967 Charter One Financial, Inc. 2,010,848 69,475 CSX Corp. 1,933,076 69,475 TXU Corp. 2,925,356 69,389 * Transocean Inc. 2,889,306 69,372 * Fiserv, Inc. 1,750,561 69,165 * Qwest Communications International Inc. 15,964,301 68,966 * Quest Diagnostics, Inc. 939,650 68,698 * AutoZone Inc. 801,700 68,313 Monsanto Co. 2,366,434 68,106 Aon Corp. 2,832,577 67,812 Freeport-McMoRan Copper & Gold, Inc. Class B 1,609,319 67,801 Ameren Corp. 1,466,833 67,474 * Tenet Healthcare Corp. 4,198,029 67,378 Ambac Financial Group, Inc. 965,153 66,972 Eastman Kodak Co. 2,588,382 66,444 * American Standard Cos., Inc. 657,637 66,224 * National Semiconductor Corp. 1,673,645 65,958 Kinder Morgan, Inc. 1,113,093 65,784 Starwood Hotels & Resorts Worldwide, Inc. 1,825,855 65,676 Lincoln National Corp. 1,607,630 64,900 J.C. Penney Co., Inc. (Holding Co.) 2,466,074 64,808 * Edison International 2,942,843 64,537 Jefferson-Pilot Corp. 1,274,133 64,535 New York Times Co. Class A 1,346,012 64,326 * Network Appliance, Inc. 3,116,456 63,981 Dollar General Corp. 3,044,042 63,894 Parker Hannifin Corp. 1,071,045 63,727 Ecolab, Inc. 2,327,231 63,696 Cinergy Corp. 1,608,449 62,424 * Concord EFS, Inc. 4,201,215 62,346 * Siebel Systems, Inc. 4,476,738 62,092 ITT Industries, Inc. 832,427 61,774 * Phelps Dodge Corp. 807,039 61,408 Sempra Energy 2,042,502 61,398 Xcel Energy, Inc. 3,602,385 61,168 Cincinnati Financial Corp. 1,449,138 60,690 Centex Corp. 561,510 60,447 Rockwell Automation, Inc. 1,684,018 59,951 DTE Energy Co. 1,520,176 59,895 Tiffany & Co. 1,324,548 59,870 Molex, Inc. 1,715,422 59,851 Constellation Energy Group, Inc. 1,510,955 59,169 * Sanmina-SCI Corp. 4,670,619 58,897 Hilton Hotels Corp. 3,425,269 58,675 * Interpublic Group of Cos., Inc. 3,739,864 58,342 * Novellus Systems, Inc. 1,376,025 57,862 The Pepsi Bottling Group, Inc. 2,373,666 57,395 * MedImmune Inc. 2,235,982 56,794 AmerisourceBergen Corp. 1,010,802 56,757 * Comcast Corp. Special Class A 1,814,271 56,750 Newell Rubbermaid, Inc. 2,478,604 56,438 Avery Dennison Corp. 997,871 55,901 Family Dollar Stores, Inc. 1,557,485 55,883 Knight Ridder 721,711 55,839 North Fork Bancorp, Inc. 1,371,105 55,489 * Nabors Industries, Inc. 1,324,190 54,954 MeadWestvaco Corp. 1,811,778 53,900 15 -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) -------------------------------------------------------------------------------- IMS Health, Inc. 2,163,087 $ 53,774 Union Planters Corp. 1,703,334 53,638 UST, Inc. 1,498,137 53,469 T. Rowe Price Group Inc. 1,123,048 53,244 * AES Corp. 5,624,777 53,098 KeySpan Corp. 1,436,836 52,876 * Sprint Corp. (PCS Group) 9,350,035 52,547 Pulte Homes, Inc. 559,684 52,398 Genuine Parts Co. 1,571,575 52,176 ProLogis REIT 1,622,655 52,071 Health Management Associates Inc. Class A 2,166,361 51,993 NiSource, Inc. 2,367,517 51,943 Delphi Corp. 5,061,367 51,677 * BJ Services Co. 1,429,866 51,332 Brown-Forman Corp. Class B 548,212 51,230 * Jabil Circuit, Inc. 1,803,060 51,027 MGIC Investment Corp. 887,890 50,556 Plum Creek Timber Co. Inc. REIT 1,650,339 50,253 First Tennessee National Corp. 1,133,773 49,999 Zions Bancorp 810,374 49,700 Harrah's Entertainment, Inc. 996,239 49,583 Cooper Industries, Inc. Class A 842,947 48,832 SAFECO Corp. 1,249,588 48,646 * Avaya Inc. 3,757,784 48,626 Rockwell Collins, Inc. 1,596,297 47,937 EOG Resources, Inc. 1,037,886 47,919 * JDS Uniphase Corp. 12,940,429 47,233 * Office Depot, Inc. 2,823,990 47,189 * Express Scripts Inc. 708,331 47,054 * Advanced Micro Devices, Inc. 3,147,625 46,900 Torchmark Corp. 1,020,601 46,478 Huntington Bancshares Inc. 2,064,142 46,443 Williams Cos., Inc. 4,673,137 45,890 Sherwin-Williams Co. 1,315,625 45,705 Whirlpool Corp. 628,250 45,642 * AutoNation, Inc. 2,480,682 45,570 RadioShack Corp. 1,479,963 45,405 El Paso Corp. 5,492,131 44,981 * Watson Pharmaceuticals, Inc. 973,572 44,784 * Solectron Corp. 7,552,440 44,635 R.J. Reynolds Tobacco Holdings, Inc. 763,230 44,382 * Unisys Corp. 2,983,602 44,306 * Teradyne, Inc. 1,727,771 43,972 * QLogic Corp. 851,909 43,959 American Power Conversion Corp. 1,792,914 43,837 Vulcan Materials Co. 917,176 43,630 * Noble Corp. 1,206,542 43,170 Amerada Hess Corp. 810,604 43,100 Nordstrom, Inc. 1,241,053 42,568 CenturyTel, Inc. 1,300,544 42,424 Kerr-McGee Corp. 909,535 42,284 VF Corp. 974,568 42,140 UnumProvident Corp. 2,669,977 42,106 * Sealed Air Corp. 766,418 41,494 Wendy's International, Inc. 1,027,563 40,322 Jones Apparel Group, Inc. 1,140,035 40,163 * Mercury Interactive Corp. 813,064 39,547 Nucor Corp. 706,080 39,540 W.W. Grainger, Inc. 823,223 39,012 Applera Corp.-Applied Biosystems Group 1,875,980 38,851 * BMC Software, Inc. 2,040,335 38,052 C.R. Bard, Inc. 467,685 37,999 McCormick & Co., Inc. 1,251,887 37,682 Leggett & Platt, Inc. 1,733,155 37,488 Scientific-Atlanta, Inc. 1,369,459 37,386 * Thermo Electron Corp. 1,468,394 37,004 Dow Jones & Co., Inc. 735,681 36,674 * Waters Corp. 1,095,002 36,310 * Allied Waste Industries, Inc. 2,615,698 36,306 * Robert Half International, Inc. 1,544,166 36,041 Sigma-Aldrich Corp. 625,197 35,749 Janus Capital Group Inc. 2,173,571 35,668 Sunoco, Inc. 696,657 35,634 * Novell, Inc. 3,374,142 35,496 Symbol Technologies, Inc. 2,079,354 35,120 Liz Claiborne, Inc. 984,202 34,900 Black & Decker Corp. 701,067 34,577 SuperValu Inc. 1,209,294 34,574 * NVIDIA Corp. 1,464,753 34,056 Engelhard Corp. 1,131,413 33,886 * Pactiv Corp. 1,417,717 33,883 Hasbro, Inc. 1,575,919 33,536 Alberto-Culver Co. Class B 530,024 33,434 * Humana Inc. 1,455,179 33,251 * King Pharmaceuticals, Inc. 2,174,670 33,185 * NCR Corp. 853,878 33,130 Pinnacle West Capital Corp. 823,154 32,943 United States Steel Corp. 931,162 32,609 * Citizens Communications Co. 2,565,142 31,859 * Tellabs, Inc. 3,762,676 31,719 Goodrich Corp. 1,060,615 31,490 * Citrix Systems, Inc. 1,483,921 31,474 * PMC Sierra Inc. 1,560,518 31,444 Darden Restaurants Inc. 1,486,835 31,283 R.R. Donnelley & Sons Co. 1,024,726 30,895 Equifax, Inc. 1,254,202 30,728 Temple-Inland Inc. 489,461 30,675 * Comverse Technology, Inc. 1,741,653 30,636 16 -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Providian Financial Corp. 2,617,393 $ 30,466 * LSI Logic Corp. 3,418,398 30,321 KB HOME 417,943 30,309 Ball Corp. 508,797 30,309 Pall Corp. 1,127,070 30,239 * Navistar International Corp. 619,580 29,672 International Flavors & Fragrances, Inc. 844,590 29,493 Fluor Corp. 739,881 29,329 Apartment Investment & Management Co. Class A REIT 849,694 29,314 Federated Investors, Inc. 979,996 28,773 * CIENA Corp. 4,272,834 28,372 Sabre Holdings Corp. 1,293,839 27,934 Manor Care, Inc. 803,920 27,791 The Stanley Works 730,862 27,678 Eastman Chemical Co. 697,730 27,581 Ashland, Inc. 618,703 27,260 CenterPoint Energy Inc. 2,760,301 26,747 Brunswick Corp. 825,421 26,273 Boise Cascade Corp. 779,759 25,623 Autodesk, Inc. 1,008,177 24,781 Dana Corp. 1,340,237 24,593 Bausch & Lomb, Inc. 472,783 24,537 TECO Energy, Inc. 1,693,798 24,408 * Toys R Us, Inc. 1,925,243 24,335 Tektronix, Inc. 765,529 24,191 Bemis Co., Inc. 479,043 23,952 * Convergys Corp. 1,290,064 22,524 * Monster Worldwide Inc. 1,017,008 22,333 Meredith Corp. 452,484 22,086 * ADC Telecommunications, Inc. 7,258,354 21,557 Reebok International Ltd. 532,861 20,952 * Compuware Corp. 3,463,686 20,921 Ryder System, Inc. 578,398 19,752 Maytag Corp. 708,181 19,723 * Rowan Cos., Inc. 848,302 19,655 PerkinElmer, Inc. 1,143,998 19,528 Circuit City Stores, Inc. 1,889,006 19,136 * Millipore Corp. 440,204 18,951 Deluxe Corp. 455,699 18,834 Cummins Inc. 381,483 18,670 Adolph Coors Co. Class B 328,306 18,418 * Calpine Corp. 3,725,767 17,921 * Louisiana-Pacific Corp. 954,976 17,075 Snap-On Inc. 525,492 16,942 * Applied Micro Circuits Corp. 2,765,445 16,537 Crane Co. 535,924 16,474 * Andrew Corp. 1,385,608 15,948 * Big Lots Inc. 1,054,235 14,981 * Allegheny Energy, Inc. 1,148,089 14,650 * Dynegy, Inc. 3,395,357 14,532 Cooper Tire & Rubber Co. 665,996 14,239 Worthington Industries, Inc. 776,460 14,000 Peoples Energy Corp. 331,954 13,955 NICOR Inc. 397,196 13,520 * Gateway, Inc. 2,925,514 13,457 Delta Air Lines, Inc. 1,113,429 13,150 * American Greetings Corp. Class A 598,761 13,095 Winn-Dixie Stores, Inc. 1,277,178 12,708 * The Goodyear Tire & Rubber Co. 1,581,135 12,428 Great Lakes Chemical Corp. 456,467 12,411 * CMS Energy Corp. 1,454,881 12,395 Dillard's Inc. 750,775 12,358 Visteon Corp. 1,179,045 12,274 * Hercules, Inc. 1,000,316 12,204 Thomas & Betts Corp. 528,012 12,086 Allegheny Technologies Inc. 729,372 9,642 * Parametric Technology Corp. 2,405,431 9,477 Tupperware Corp. 528,163 9,158 * Power-One, Inc. 750,975 8,133 Viacom Inc. Class A 143,386 6,348 Molex, Inc. Class A 4,051 119 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $71,914,380) $ 92,858,729 -------------------------------------------------------------------------------- 17 -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.9%)(1) -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.05%, 1/20/2004 $ 10,700 10,694 (2) 1.05%, 1/30/2004 15,000 14,988 (2) 1.05%, 1/7/2004 10,000 9,999 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.99%, 1/2/2004 596,853 596,853 0.99%, 1/2/2004--Note E 192,999 192,999 -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $825,532) $ 825,533 -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.3%) (Cost $72,739,912) $ 93,684,262 -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.3%) -------------------------------------------------------------------------------- Other Assets--Note B 858,822 Liabilities--Note E (1,102,871) --------------- (244,049) --------------- -------------------------------------------------------------------------------- NET ASSETS (100%) $ 93,440,213 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1) The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets. See Note C in Notes to Financial Statements. (2) Security has been segregated as initial margin for open futures contracts. REIT-Real Estate Investment Trust. -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: -------------------------------------------------------------------------------- Paid-in Capital $ 76,953,742 Overdistributed Net Investment Income (104,622) Accumulated Net Realized Losses (4,381,485) Unrealized Appreciation Investment Securities 20,944,350 Futures Contracts 28,228 -------------------------------------------------------------------------------- NET ASSETS $ 93,440,213 ================================================================================ Investor Shares--Net Assets Applicable to 733,805,254 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 75,342,454 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 102.67 ================================================================================ Admiral Shares--Net Assets Applicable to 176,262,344 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 18,097,759 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 102.68 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 18 STATEMENT OF OPERATIONS This Statement shows the types of income earned by the fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period. -------------------------------------------------------------------------------- 500 INDEX FUND YEAR ENDED DECEMBER 31, 2003 (000) -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 1,395,598 Interest 7,365 Security Lending 758 -------------------------------------------------------------------------------- Total Income 1,403,721 -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 153 Management and Administrative Investor Shares 103,288 Admiral Shares 14,924 Marketing and Distribution Investor Shares 8,639 Admiral Shares 1,718 Custodian Fees 531 Auditing Fees 17 Shareholders' Reports Investor Shares 2,064 Admiral Shares 41 Trustees' Fees and Expenses 96 -------------------------------------------------------------------------------- Total Expenses 131,471 -------------------------------------------------------------------------------- NET INVESTMENT INCOME 1,272,250 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold 309,757 Futures Contracts 116,333 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) 426,090 -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 18,523,862 Futures Contracts 38,436 -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 18,562,298 -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 20,260,638 ================================================================================ 19 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how the fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. -------------------------------------------------------------------------------- 500 INDEX FUND ------------------------- YEAR ENDED DECEMBER 31, -------------------------------------------------------------------------------- 2003 2002 (000) (000) -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $1,272,250 $1,106,685 Realized Net Gain (Loss) 426,090 (2,516,358) Change in Unrealized Appreciation (Depreciation) 18,562,298 (18,331,701) -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 20,260,638 (19,741,374) -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (1,029,145) (940,961) Admiral Shares (245,685) (202,486) Realized Capital Gain Investor Shares -- -- Admiral Shares -- -- -------------------------------------------------------------------------------- Total Distributions (1,274,830) (1,143,447) -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares 3,674,152 439,822 Admiral Shares 2,634,755 1,576,643 -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 6,308,907 2,016,465 -------------------------------------------------------------------------------- Total Increase (Decrease) 25,294,715 (18,868,356) -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 68,145,498 87,013,854 -------------------------------------------------------------------------------- End of Period $ 93,440,213 $ 68,145,498 ================================================================================ 20 FINANCIAL HIGHLIGHTS This table summarizes the fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
500 INDEX FUND INVESTOR SHARES ------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ----------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 81.15 $105.89 $121.86 $135.33 $113.95 ------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.44 1.32 1.260 1.29 1.370 Net Realized and Unrealized Gain (Loss) on Investments 21.51 (24.70) (15.955) (13.46) 22.415 ------------------------------------------------------------------------------------------------------------- Total from Investment Operations 22.95 (23.38) (14.695) (12.17) 23.785 ------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.43) (1.36) (1.275) (1.30) (1.410) Distributions from Realized Capital Gains -- -- -- -- (.995) ------------------------------------------------------------------------------------------------------------- Total Distributions (1.43) (1.36) (1.275) (1.30) (2.405) ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $102.67 $ 81.15 $105.89 $121.86 $135.33 ============================================================================================================= TOTAL RETURN* 28.50% -22.15% -12.02% -9.06% 21.07% ============================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $75,342 $56,224 $73,151 $88,240 $104,652 Ratio of Total Expenses to Average Net Assets 0.18% 0.18% 0.18% 0.18% 0.18% Ratio of Net Investment Income to Average Net Assets 1.61% 1.43% 1.14% 0.98% 1.13% Portfolio Turnover Rate** 2% 7% 4% 9% 6% ============================================================================================================= * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Portfolio turnover rates excluding in-kind redemptions were 1%, 6%, 3%, 7%, and 3%, respectively.
21 FINANCIAL HIGHLIGHTS (CONTINUED)
500 INDEX FUND ADMIRAL SHARES ------------------------------------------------------------------------------------------ YEAR ENDED DECEMBER 31, NOV. 13* TO ----------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 ------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 81.15 $105.89 $121.87 $124.88 ------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income 1.507 1.374 1.313 .179 Net Realized and Unrealized Gain (Loss) on Investments 21.510 (24.700) (15.955) (2.808) ------------------------------------------------------------------------------------------ Total from Investment Operations 23.017 (23.326) (14.642) (2.629) ------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (1.487) (1.414) (1.338) (.381) Distributions from Realized Capital Gains -- -- -- -- ------------------------------------------------------------------------------------------ Total Distributions (1.487) (1.414) (1.338) (.381) ------------------------------------------------------------------------------------------ Net Asset Value, End of Period $102.68 $ 81.15 $105.89 $121.87 ========================================================================================== Total Return 28.59% -22.10% -11.98% -2.10% ========================================================================================== Ratios/Supplemental Data Net Assets, End of Period (Millions) $18,098 $11,922 $13,863 $8,237 Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12% 0.12%+ Ratio of Net Investment Income to Average Net Assets 1.67% 1.50% 1.22% 1.03+ Portfolio Turnover Rate** 2% 7% 4% 9% ========================================================================================== * Inception. ** Portfolio turnover rates excluding in-kind redemptions were 1%, 6%, 3%, and 7%, respectively. YAnnualized. see accompanying notes, which are an integral part of the financial statements. +Annualized.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 22 NOTES TO FINANCIAL STATEMENTS Vanguard 500 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares, Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements. 1. SECURITY VALUATION: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities' primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. 2. FUTURES CONTRACTS: The fund uses S&P 500 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard Group, transfers uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. 23 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2003, the fund had contributed capital of $14,158,000 to Vanguard (included in Other Assets), representing 0.02% of the fund's net assets and 14.15% of Vanguard's capitalization. The fund's trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. During the year ended December 31, 2003, the fund realized $521,303,000 of net capital gains resulting from in-kind redemptions--in which shareholders exchange fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. For tax purposes, at December 31, 2003, the fund had $8,300,000 of ordinary income available for distribution. The fund had available realized losses of $4,349,644,000 to offset future net capital gains of $193,358,000 through December 31, 2008, $890,248,000 through December 31, 2009, $3,087,963,000 through December 31, 2010, $176,196,000 through December 31, 2011, and $1,879,000 through December 31, 2012. At December 31, 2003, net unrealized appreciation of investment securities for tax purposes was $20,944,350,000, consisting of unrealized gains of $29,380,473,000 on securities that had risen in value since their purchase and $8,436,123,000 in unrealized losses on securities that had fallen in value since their purchase. 24 At December 31, 2003, the aggregate settlement value of open futures contracts expiring in March 2004 and the related unrealized appreciation were: -------------------------------------------------------------------------------- (000) ------------------------------ AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) -------------------------------------------------------------------------------- S&P 500 Index 1,978 $549,192 $27,415 E-mini S&P 500 Index 660 36,650 813 -------------------------------------------------------------------------------- Unrealized appreciation on open futures contracts is required to be treated as realized gain for tax purposes. D. During the year ended December 31, 2003, the fund purchased $8,200,431,000 of investment securities and sold $1,830,078,000 of investment securities other than temporary cash investments. E. The market value of securities on loan to broker/dealers at December 31, 2003, was $187,977,000, for which the fund held cash collateral of $192,999,000. The fund invests cash collateral received in repurchase agreements, and records a liability for the return of the collateral, during the period the securities are on loan. F. Capital share transactions for each class of shares were: -------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, -------------------------------------------------- 2003 2002 ------------------------ ------------------------ AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) -------------------------------------------------------------------------------- INVESTOR SHARES Issued $ 13,026,688 146,182 $ 13,122,035 141,376 Issued in Lieu of Cash Distributions 971,109 10,563 883,934 10,271 Redeemed (10,323,645) (115,745) (13,566,147) (149,680) -------------------------------------------------------- Net Increase (Decrease) --Investor Shares 3,674,152 41,000 439,822 1,967 -------------------------------------------------------- Admiral Shares Issued 4,455,070 49,744 3,955,614 42,831 Issued in Lieu of Cash Distributions 207,450 2,251 171,021 1,990 Redeemed (2,027,765) (22,633) (2,549,992) (28,843) -------------------------------------------------------- Net Increase (Decrease) --Admiral Shares 2,634,755 29,362 1,576,643 15,978 -------------------------------------------------------------------------------- 25 REPORT OF INDEPENDENT AUDITORS To the Shareholders and Trustees of Vanguard 500 Index Fund: In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard 500 Index Fund (the "Fund") at December 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and broker, provide a reasonable basis for our opinion. PRICEWATERHOUSECOOPERS LLP PHILADELPHIA, PENNSYLVANIA FEBRUARY 3, 2004 -------------------------------------------------------------------------------- SPECIAL 2003 TAX INFORMATION (UNAUDITED) FOR VANGUARD 500 INDEX FUND This information for the fiscal year ended December 31, 2003, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, 100% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction. The fund distributed the maximum amount of qualified dividend income allowable. The amount of qualified dividend income distributed by the fund was provided to individual shareholders on their 2003 Form 1099-DIV. -------------------------------------------------------------------------------- 26 INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM If you're like many Vanguard investors, you believe in planning and taking control of your own investments. VANGUARD.COM was built for you--and it keeps getting better. RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE Use our PLANNING & ADVICE and RESEARCH FUNDS & STOCKS sections to: * Determine what asset allocation might best suit your needs--by taking our Investor Questionnaire. * Find out how much to save for retirement and your children's college education-- by using our planning tools. * Learn how to achieve your goals--by reading our PlainTalk(R) investment guides. * Find Your Next Fund--by Using the Compare Funds, Compare Costs, and Narrow Your Fund Choices Tools. * Look up fund price, performance history, and distribution information--in a snap. INVEST AND MANAGE ACCOUNTS WITH EASE Log on to VANGUARD.COM to: * See what you own (at Vanguard and elsewhere) and how your investments are doing. * Elect to receive online statements, fund reports (like this one), prospectuses, and tax forms. * Analyze your portfolio's holdings and performance. * Open new accounts, buy and sell shares, and exchange money between funds--securely and easily. * Sign up to receive electronic newsletters from Vanguard informing you of news on our funds, products, and services, as well as on investing and the financial markets. Find out what Vanguard.com can do for you. Log on today! 27 CAPITALIZE ON YOUR IRA Are you taking full advantage of your individual retirement account? You really should be. The contribution limits on IRAs were recently raised, making these tax-deferred accounts more powerful options for retirement savers. Here's how you can exploit your IRA--and improve your chances of having the retirement of your dreams. CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR It may be an obvious point, but if you invest as much in your IRA as the law allows-- currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over--you will increase the odds of meeting your retirement goals. "Max out" every year you can. MAKE IT AUTOMATIC Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit. CONSIDER COST The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice. REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS Don't spend your retirement assets before you've retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA. If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit VANGUARD.COM. You can open or fund your IRA on our website and have a confirmation in your hand within minutes. THE VANGUARD(R)FAMILY OF FUNDS STOCK FUNDS 500 Index Fund Calvert Social Index Fund Capital Opportunity Fund Capital Value Fund Convertible Securities Fund Developed Markets Index Fund Dividend Growth Fund Emerging Markets Stock Index Fund Energy Fund Equity Income Fund European Stock Index Fund Explorer(TM) Fund Extended Market Index Fund Global Equity Fund Growth and Income Fund Growth Equity Fund Growth Index Fund Health Care Fund Institutional Developed Markets Index Fund Institutional Index Fund Institutional Total Stock Market Index Fund International Explorer(TM) Fund International Growth Fund International Value Fund Mid-Cap Growth Fund Mid-Cap Index Fund Morgan(TM) Growth Fund Pacific Stock Index Fund Precious Metals Fund PRIMECAP Fund REIT Index Fund Selected Value Fund Small-Cap Growth Index Fund Small-Cap Index Fund Small-Cap Value Index Fund Strategic Equity Fund Tax-Managed Capital Appreciation Fund Tax-Managed Growth and Income Fund Tax-Managed International Fund Tax-Managed Small-Cap Fund Total International Stock Index Fund Total Stock Market Index Fund U.S. Growth Fund U.S. Value Fund Value Index Fund Windsor(TM) Fund Windsor(TM) II Fund BALANCED FUNDS Asset Allocation Fund Balanced Index Fund LifeStrategy(R) Conservative Growth Fund LifeStrategy(R) Growth Fund LifeStrategy(R) Income Fund LifeStrategy(R) Moderate Growth Fund STAR(R) Fund Target Retirement Funds: Retirement Income Retirement 2005 Retirement 2015 Retirement 2025 Retirement 2035 Retirement 2045 Tax-Managed Balanced Fund Wellesley(R) Income Fund Wellington(TM) Fund BOND FUNDS GNMA Fund High-Yield Corporate Fund High-Yield Tax-Exempt Fund Inflation-Protected Securities Fund Institutional Total Bond Market Index Fund Insured Long-Term Tax-Exempt Fund Intermediate-Term Bond Index Fund Intermediate-Term Corporate Fund Intermediate-Term Tax-Exempt Fund Intermediate-Term Treasury Fund Limited-Term Tax-Exempt Fund Long-Term Bond Index Fund Long-Term Corporate Fund Long-Term Tax-Exempt Fund Long-Term Treasury Fund Short-Term Bond Index Fund Short-Term Corporate Fund Short-Term Federal Fund Short-Term Tax-Exempt Fund Short-Term Treasury Fund State Tax-Exempt Bond Funds (California, Florida, Massachusetts, New Jersey, New York, Ohio, Pennsylvania) Total Bond Market Index Fund MONEY MARKET FUNDS Admiral(TM) Treasury Money Market Fund Federal Money Market Fund Prime Money Market Fund State Tax-Exempt Money Market Funds (California, New Jersey, New York, Ohio, Pennsylvania) Tax-Exempt Money Market Fund Treasury Money Market Fund VARIABLE ANNUITY Balanced Portfolio Capital Growth Portfolio Diversified Value Portfolio Equity Income Portfolio Equity Index Portfolio Growth Portfolio High Yield Bond Portfolio International Portfolio Mid-Cap Index Portfolio Money Market Portfolio REIT Index Portfolio Short-Term Corporate Portfolio Small Company Growth Portfolio Total Bond Market Index Portfolio Total Stock Market Index Portfolio For information about Vanguard funds and annuities, including charges and expenses, obtain a prospectus from The Vanguard Group, P.O. Box 2600, Valley Forge, PA 19482-2600. Read it carefully before you invest or send money. THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard(R) funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard(R) funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
------------------------------------------------------------------------------------------------------------ POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS ------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee (1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies May 1987 Executive Officer, served by The Vanguard Group. and Trustee (118) ------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (118) to Greenwich Associates (international business strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. ------------------------------------------------------------------------------------------------------------ RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (1945) (118) Chairman (JanuarySeptember 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. ------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the HEISEN (118) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer (1950) products); Director of the Medical Center at Princeton and Women's July 1998 Research and Education Institute. ------------------------------------------------------------------------------------------------------------ BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University; (1932) (116) Director of Vanguard Investment Series plc (Irish invest-ment fund) May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish investment management firm)(since November 2001),Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc.(software company). ------------------------------------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS ------------------------------------------------------------------------------------------------------------ Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (1941) (118) Industries, Inc. (forklift trucks/housewares/lignite); Director of January 1993 Goodrich Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (supplier for the automotive industry) until 1998. ------------------------------------------------------------------------------------------------------------ J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (1936) (118) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal distribution); Trustee of Vanderbilt University. ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (118) Secretary of The Vanguard Group and of each of the investment June 2001 companies served by The Vanguard Group. ------------------------------------------------------------------------------------------------------------ Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (1957) (118) investment companies served by The Vanguard Group. July 1998 ------------------------------------------------------------------------------------------------------------ *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. ------------------------------------------------------------------------------------------------------------ VANGUARD SENIOR MANAGEMENT TEAM MORTIMER J. BUCKLEY, Information Technology. MICHAEL S. MILLER, Planning and Development. JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance. KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer. F. WILLIAM MCNABB, III, Client Relationship Group. ------------------------------------------------------------------------------------------------------------ JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. ------------------------------------------------------------------------------------------------------------
[VANGUARD SHIP LOGO] THE VANGUARD GROUP(R) POST OFFICE BOX 2600 VALLEY FORGE, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, Admiral, Consolidated View, Explorer, Morgan, LifeStrategy, PlainTalk, STAR, Wellesley, Wellington, Windsor, and the ship logo are trademarks of The Vanguard Group, Inc. S&P 500(R), Standard & Poor's 500, and 500 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. All other marks are the exclusive property of their respective owners. ABOUT OUR COVER The photographs that appear on the cover of this report are copyrighted by Michael Kahn. FOR MORE INFORMATION This report is intended for the fund's shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com. Prospectuses may also be viewed online. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 DIRECT INVESTOR ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 TEXT TELEPHONE 1-800-952-3335 (C) 2004 THE VANGUARD GROUP, INC. ALL RIGHTS RESERVED. VANGUARD MARKETING CORPORATION, DISTRIBUTOR. Q400 022004 VANGUARD(R) U.S. STOCK INDEX FUNDS SMALL-CAPITALIZATION PORTFOLIOS DECEMBER 31, 2003 ANNUAL REPORT VANGUARD(R) SMALL-CAP INDEX FUND VANGUARD(R) SMALL-CAP GROWTH INDEX FUND VANGUARD(R) SMALL-CAP VALUE INDEX FUND THE VANGUARD GROUP(R) LOGO HOW TO READ YOUR FUND REPORT This report contains information that can help you evaluate your investment. It includes details about your fund's return and presents data and analysis that provide insight into the fund's performance and investment approach. By reading the letter from Vanguard's chairman, you'll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund's performance and characteristics stack up against those of similar funds and market benchmarks. It's important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus. Frequent updates on the fund's performance and information about some of its holdings are available on Vanguard.com(R). -------------------------------------------------------------------------------- CONTENTS 1 letter from the chairman 7 fund profiles 10 glossary of investment terms 11 performance summaries 14 your fund's after-tax returns 15 about your fund's expenses 16 financial statements 74 advantages of vanguard.com -------------------------------------------------------------------------------- SUMMARY * During 2003, Vanguard's small-cap index funds posted their best fiscal-year returns ever, with gains ranging from 37.2% to 45.9%. * The stock market began to recover from one of the longest and deepest bear markets in modern financial history. * As they have for the last several years, small-caps posted higher returns than the broad market. -------------------------------------------------------------------------------- Want less clutter in your mailbox? Just register with VANGUARD.COM and opt to get fund reports online. INDEXED TO MSCI SMALL-CAP INDEX FUND SMALL-CAP GROWTH INDEX FUND SMALL-CAP VALUE INDEX FUND LETTER FROM THE CHAIRMAN Fellow Shareholder, The stock market rebound that began in March turned 2003 into a remarkable year for equities, especially those from smaller companies. The three Vanguard small-capitalization index funds turned in their best fiscal-year returns ever, with gains ranging from 37.2% to 45.9%. As the adjacent table shows, Vanguard Small-Cap Index Fund posted the best results among the three and also outpaced the average small-cap core fund. Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund lagged the returns for their respective peer groups. [PICTURES OF JOHN J. BRENNAN] ---------------------------------------------- 2003 TOTAL RETURNS FISCAL YEAR ENDED DECEMBER 31 ---------------------------------------------- VANGUARD SMALL-CAP INDEX FUND Investor Shares 45.6% Admiral Shares 45.8 Institutional Shares 45.9 Spliced Small Cap Index* 45.5 Average Small-Cap Core Fund** 44.2 ---------------------------------------------- VANGUARD SMALL-CAP GROWTH INDEX FUND Investor Shares 42.9% Institutional Shares 43.1 Spliced Small Cap Growth Index+ 41.9 Average Small-Cap Growth Fund** 44.4 ---------------------------------------------- VANGUARD SMALL-CAP VALUE INDEX FUND Investor Shares 37.2% Institutional Shares 37.2 Spliced Small Cap Value Index++ 35.5 Average Small-Cap Value Fund** 42.9 ---------------------------------------------- * Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter. ** Derived from data provided by Lipper Inc. +S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter. ++S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter. The three Vanguard funds met their objectives of tracking their respective indexes, though the margins between fund and index results were wider than usual. As you know, the funds switched to new target indexes on May 16 (hence the "spliced" indexes cited in this report, which incorporate returns from both the old and new benchmarks). To reduce transaction costs, the actual transition of portfolio holdings to reflect the new indexes took place over several weeks, introducing some tracking error that, in all three cases, worked in the funds' favor. 1 Each fund's total returns are based on the change in net asset value plus any income or capital gains distributions during the year. The table on page 6 provides details. If you hold any of the funds in a taxable account, you may wish to see page 14 for after-tax returns. -------------------------------------------------------------------------------- ADMIRAL(TM) SHARES A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the Fund. INSTITUTIONAL SHARES This class of shares also carries low expenses and is available for a minimum investment of $10 million. -------------------------------------------------------------------------------- STOCKS LEAPED AHEAD AFTER YEARS OF DECLINE Three straight years of stock market declines ended in a spectacular fashion in 2003. The broad U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned 31.6% for the 12 months. The start of combat operations in Iraq in mid-March and the subsequent quick end to that phase of the engagement relieved months of anticipation and uncertainty that had cast a pall over the financial markets. Other factors also contributed to investors' optimism: the Federal Reserve Board's cutting short-term interest rates to a 45-year low of 1.00%; a falling U.S. dollar, which aided businesses dependent on exports and profits from operations overseas; mortgage rates' hitting four-decade lows, which spurred further home-buying and freed up cash through refinancing; tax cuts and refunds to consumers who were more than willing to spend the windfall; a spike in spending by businesses to replenish inventories and equipment; and the rapid growth of the economy, which reached an annual rate of 8.2% in the third quarter. -------------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 --------------------------------------- ONE THREE FIVE YEAR YEARS YEARS -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1% Russell 2000 Index (Small-caps) 47.3 6.3 7.1 Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4 MSCI All Country World Index Free ex USA (International) 41.4 -1.0 1.5 -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 4.1% 7.6% 6.6% (Broad taxable market) Lehman Municipal Bond Index 5.3 6.7 5.8 Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5 ================================================================================ CPI Consumer Price Index 1.9% 1.9% 2.4% -------------------------------------------------------------------------------- "JUNK" REIGNED SUPREME Investors' renewed appetite for risk was evident not just in the equity markets, but on the fixed income side as well. Bonds from companies with below-investment-grade credit ratings (popularly known as 2 "junk" bonds) surged 29.0% during the 12 months, as measured by the Lehman Brothers High Yield Bond Index. At the other extreme of the credit-quality spectrum, U.S. Treasury securities at first seemed poised for a fourth straight year of outstanding gains. By June, the rising price of the 10-year Treasury note drove its yield down to just above 3%--a level not seen since Dwight Eisenhower occupied the Oval Office. However, the prices of Treasuries fell subsequently, and by year-end the 10-year note's yield stood at 4.25%, up 44 basis points (0.44 percentage point) from the beginning of the year. Treasuries' total returns (which include interest income) for the full 12 months were still in positive territory, but barely so. Mortgage-backed securities did only marginally better, while investment-grade corporate bonds--particularly those with longer maturities--posted solid returns. The Lehman Aggregate Bond Index, the benchmark for the broad U.S. investment-grade taxable bond market, earned 4.1%. Even as yields on longer-maturity bonds rose, the yield of the 3-month U.S. Treasury bill, a proxy for money market rates, finished the year at 0.92%, 27 basis points below its year-ago level. THE FUNDS' GAINS WERE STELLAR ACROSS SECTORS As expected, Vanguard's three small-cap index funds reflected the performance of their target benchmarks during the 12 months. But in contrast to the previous year--when even small-caps, the best-performing stocks through most of the bear market, posted double-digit negative returns--achieving the market return was a pleasant experience. We thank our shareholders for their patience and loyalty through the long stock downturn. The impressive gains made in 2003 were almost universal across sectors within all three funds. Outside of the funds' minuscule stakes in integrated oil companies, every sector registered a double-digit return, ranging from a "low" of 17% to a high of 74%. Technology shares generally enjoyed the greatest gains, but stocks in consumer discretionary, financial services, health care, and producer durables--sectors that, in general, stand to benefit from an expanding economy--also posted remarkable returns and, in some cases, had more of an impact on overall performance because of their heavier weightings in the target indexes and therefore the funds. 3 THE FUNDS POSTED MORE MODEST, BUT SOLID, LONGER-TERM RETURNS One year is a mere snapshot; a fund's performance should be gauged over the long term. The adjacent table shows the annualized returns and the final results of a hypothetical $10,000 initial investment over ten years for the Small-Cap Index Fund and its comparative measures. Also shown are figures for the Small-Cap Growth Index Fund, the Small-Cap Value Index Fund, and their respective benchmarks since those funds' inceptions in May 1998. ---------------------------------------------------------------- TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003* ---------------------------------------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT ---------------------------------------------------------------- Small-Cap Index Fund Investor Shares 10.2% $ 26,419 Spliced Small Cap Index 9.3 24,420 Average Small-Cap Core Fund 12.5 32,574 ---------------------------------------------------------------- Small-Cap Growth Index Fund Investor Shares 6.0% $ 13,899 Spliced Small Cap Growth Index 5.6 13,564 Average Small-Cap Growth Fund 5.4 13,439 ---------------------------------------------------------------- Small-Cap Value Index Fund Investor Shares 7.2% $ 14,756 Spliced Small Cap Value Index 6.4 14,161 Average Small-Cap Value Fund 8.6 15,859 ---------------------------------------------------------------- * Ten years for the Small-Cap Index Fund. For the Small-Cap Growth Index and Small-Cap Value Index Funds, the returns are annualized since May 21, 1998, the funds' inception date. All three funds slightly outpaced their respective target indexes--no mean feat, given that index funds are normally expected to lag their targets because of real-world operating costs. As mentioned earlier, part of that outperformance was a result of tracking error as we transitioned to the new indexes. But much of it was due to the skill of the funds' investment advisor, Vanguard's Quantitative Equity Group, which added value through use of proprietary tracking methodologies that took maximum advantage of the funds' low costs. Relative to competing funds, our funds had mixed results. The Small-Cap Index Fund and Small-Cap Value Index Fund lagged the average returns for their peers, while the Small-Cap Growth Index Fund outperformed its average peer. Small-cap stocks trailed large- and mid-caps during the 1990s--a factor that dampened the Small-Cap Index Fund's return relative to actively managed small-cap funds, which often included stocks whose girth strained the definition of "small-cap." The bear market was a dominant influence for much of our other two funds' shorter life spans. Their former target indexes exclude companies that have less than four quarters of operating profits, which meant many of the more speculative companies that suffered in the downturn were not part of the indexes. Not holding these companies had a positive impact on the relative performance of the Small-Cap Growth Index Fund. However, this factor had a negligible impact on the Small-Cap Value Index Fund's relative performance, as value funds and indexes tend to be light on speculative stocks, or at least those with very high valuations. 4 THE NEW INDEXES SHOULD PROVIDE MORE CONSISTENCY As we noted earlier, Vanguard Small-Cap Index Fund posted a higher return than its growth and value siblings during 2003, which seems to contradict normal expectations that the result of a broad fund would fall between those of its growth and value counterparts. In other years, such as 2000 and 2002, a similar contradiction existed, but in reverse, with the growth and value funds outperforming the broad fund. The reason: Until recently, the three funds tracked indexes from two providers with different methods of constructing their indexes. We have since adopted new Morgan Stanley Capital International (MSCI) indexes for most of our domestic index funds, including all three small-cap funds. What the impact will be on the funds' absolute returns going forward, no one can say. However, the new MSCI indexes should provide several benefits, with the most obvious being that the new target indexes are based on a common methodology, eliminating that contradiction between results. The changes should also reduce the overlap of certain individual stocks between indexes--a benefit for those investors who prefer to build their portfolios with funds focused on discrete market segments. In addition, MSCI's methodology should result in lower portfolio turnover in the future, potentially mitigating taxes for investors who hold the funds in nonretirement accounts. (In the past fiscal year, transition to the new indexes did significantly increase turnover. The transition did not generate net capital gains.) Most importantly, we feel the new indexes are a better reflection of their respective market segments and should provide results more consistent with those of their mutual fund peers. The latter means that costs, rather than index methodology, will play a bigger role in the funds' relative performance. And when it comes to costs, Vanguard has an advantage: Our expense ratios are typically a fraction of the average for peer funds. (For details on the impact of costs on returns, please refer to page 15.) 5 2003 BROUGHT STRONG RETURNS--AND DISAPPOINTMENT Writing about positive stock fund returns is a welcome change. The market's resurgence has made my task more pleasant--but it has in no way altered the advice that we offered to shareholders both before and during the long downturn and that we continue to offer today. In any market environment, the keys to successful long-term investing are balance, diversification, and low costs. Make these principles the foundation of your investment plan, and you'll be positioned to survive-- and ultimately thrive--come what may. Unfortunately, 2003 also brought disappointment to many investors. The reports of late trading and market-timing at some competing investment management firms have been as disturbing to us as they no doubt have been to you. I want to close this letter with an assurance that Vanguard has policies and procedures in place to identify and deter such behavior. More important, Vanguard shareholders are served by a crew of the highest integrity, and our client-owned corporate structure aligns our day-to-day efforts with your long-term financial goals. Thank you for investing your assets with Vanguard. Sincerely, /S/ JOHN J. BRENNAN John J. Brennan CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 15, 2004 -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003 DISTRIBUTIONS PER SHARE ------------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS -------------------------------------------------------------------------------- Small-Cap Investor Shares $ 15.66 $ 22.60 $ 0.204 $ 0.000 Admiral Shares 15.66 22.60 0.224 0.000 Institutional Shares 15.66 22.61 0.234 0.000 -------------------------------------------------------------------------------- Small-Cap Growth Investor Shares $ 9.17 $ 13.08 $ 0.022 $ 0.000 Institutional Shares 9.17 13.09 0.030 0.000 -------------------------------------------------------------------------------- Small-Cap Value Investor Shares $ 8.52 $ 11.49 $ 0.198 $ 0.000 Institutional Shares 8.53 11.50 0.204 0.000 -------------------------------------------------------------------------------- 6 FUND PROFILES These Profiles provide snapshots of each funds' characteristics, compared where indicated with the fund's target index and a broad market index. Key terms are defined on page 10. SMALL-CAP INDEX FUND ----------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** ----------------------------------------------------------------------- Number of Stocks 1,756 1,750 5,216 Median Market Cap $1.2B $1.2B $29.3B Price/Earnings Ratio 30.3x 30.3x 25.6x Price/Book Ratio 2.4x 2.4x 3.1x Yield 1.2% 1.5% Investor Shares 1.0% Admiral Shares 1.1% Institutional Shares 1.2% Return on Equity 11.4% 11.4% 15.9% Earnings Growth Rate 6.3% 6.2% 5.3% Foreign Holdings 0.3% 0.3% 0.8% Turnover Rate 39%+ -- -- Expense Ratio -- -- Investor Shares 0.27% Admiral Shares 0.18% Institutional Shares 0.10% Short-Term Reserves 0% -- -- ----------------------------------------------------------------------- ----------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) NTL Inc. 0.4% (telecommunications) Novell, Inc. 0.3 (computer software) United States Steel Corp. 0.3 (metals and mining) PMC Sierra Inc. 0.3 (electronics) Invitrogen Corp. 0.3 (biotechnology) International Rectifier Corp. 0.2 (electronics) Rite Aid Corp. 0.2 (drug stores and pharmacies) Sirius Satellite Radio, Inc. 0.2 (radio broadcasting and programming) Navistar International Corp. 0.2 (automotive and transport) Foundry Networks, Inc. 0.2 (computer hardware) ----------------------------------------------------- Top Ten 2.6% ----------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. ------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX++ FUND INDEX** ------------------------------------------------------------- R-Squared 1.00 1.00 0.79 1.00 Beta 1.00 1.00 1.06 1.00 ------------------------------------------------------------- ---------------------------------- INVESTMENT FOCUS STYLE BLEND MARKET CAP SMALL ---------------------------------- -------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** -------------------------------------------------------------------- Auto & Transportation 4% 4% 3% Consumer Discretionary 18 18 15 Consumer Staples 2 2 7 Financial Services 22 22 23 Health Care 12 12 13 Integrated Oils 0 0 3 Other Energy 5 5 2 Materials & Processing 8 8 4 Producer Durables 8 8 4 Technology 14 14 15 Utilities 6 6 6 Other 1 1 5 -------------------------------------------------------------------- *MSCI US Small Cap 1750 Index. **Wilshire 5000 Index. +Includes activity related to a change in the fund's target index. ++Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter. 7 FUND PROFILES (CONTINUED) SMALL-CAP GROWTH INDEX FUND ----------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** ----------------------------------------------------------------------- Number of Stocks 979 975 5,216 Median Market Cap $1.2B $1.2B $29.3B Price/Earnings Ratio 57.8x 57.5x 25.6x Price/Book Ratio 3.5x 3.5x 3.1x Yield 0.2% 1.5% Investor Shares 0.0% Institutional Shares 0.2% Return on Equity 12.2% 12.2% 15.9% Earnings Growth Rate 12.1% 12.1% 5.3% Foreign Holdings 0.4% 0.4% 0.8% Turnover Rate 108%+ -- -- Expense Ratio -- -- Investor Shares 0.27% Institutional Shares 0.10% Short-Term Reserves 1% -- -- ----------------------------------------------------------------------- ----------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Novell, Inc. 0.6% (computer software) PMC Sierra Inc. 0.5 (electronics) International Rectifier Corp. 0.5 (electronics) Rite Aid Corp. 0.5 (drug stores and pharmacies) Sirius Satellite Radio, Inc. 0.5 (radio broadcasting and programming) Foundry Networks, Inc. 0.5 (computer hardware) GTECH Holdings Corp. 0.5 (gaming equipment and services) Cognizant Technology Solutions Corp. 0.4 (computer services) Rambus Inc. 0.4 (electronics) DaVita, Inc. 0.4 (health care services) ----------------------------------------------------- Top Ten 4.8% ----------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. ------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX++ FUND INDEX** ------------------------------------------------------------- R-Squared 1.00 1.00 0.78 1.00 Beta 1.01 1.00 0.97 1.00 ------------------------------------------------------------- ---------------------------------- INVESTMENT FOCUS STYLE GROWTH MARKET CAP SMALL ---------------------------------- -------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** -------------------------------------------------------------------- Auto & Transportation 4% 4% 3% Consumer Discretionary 23 23 15 Consumer Staples 2 2 7 Financial Services 8 8 23 Health Care 20 20 13 Integrated Oils 0 0 3 Other Energy 5 5 2 Materials & Processing 3 3 4 Producer Durables 9 9 4 Technology 23 24 15 Utilities 2 2 6 Other 0 0 5 -------------------------------------------------------------------------------- Short-Term Reserves 1% -- -- -------------------------------------------------------------------------------- *MSCI US Small Cap Growth Index. **Wilshire 5000 Index. +Includes activity related to a change in the fund's target index. ++S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter. (degree) (degree) small-cap value index fund 8 ----------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** ----------------------------------------------------------------------- Number of Stocks 991 988 5,216 Median Market Cap $1.2B $1.2B $29.3B Price/Earnings Ratio 20.9x 20.9x 25.6x Price/Book Ratio 1.8x 1.8x 3.1x Yield 2.1% 1.5% Investor Shares 2.0% Institutional Shares 2.1% Return on Equity 10.9% 10.9% 15.9% Earnings Growth Rate 2.9% 2.8% 5.3% Foreign Holdings 0.2% 0.2% 0.8% Turnover Rate 109%+ -- -- Expense Ratio -- -- Investor Shares 0.27% Institutional Shares 0.10% Short-Term Reserves 0% -- -- ----------------------------------------------------------------------- ----------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) NTL Inc. 0.8% (telecommunications) United States Steel Corp. 0.5 (metals and mining) Friedman, Billings, Ramsey Group, Inc. 0.4 (financial services) Precision Castparts Corp. 0.4 (metal fabrication) PacifiCare Health Systems, Inc. 0.4 (health care services) Alliant Energy Corp. 0.4 (electric utilities) Boise Cascade Corp. 0.4 (paper product manufacturing) AmeriCredit Corp. 0.4 (financial services) Developers Diversified Realty Corp. REIT 0.4 (real estate) Mack-Cali Realty Corp. REIT 0.4 (real estate) ----------------------------------------------------- Top Ten 4.5% ----------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. ------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX++ FUND INDEX** ------------------------------------------------------------- R-Squared 1.00 1.00 0.68 1.00 Beta 1.01 1.00 0.93 1.00 ------------------------------------------------------------- ---------------------------------- INVESTMENT FOCUS STYLE VALUE MARKET CAP SMALL ---------------------------------- -------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** -------------------------------------------------------------------- Auto & Transportation 5% 5% 3% Consumer Discretionary 13 13 15 Consumer Staples 2 2 7 Financial Services 37 37 23 Health Care 4 4 13 Integrated Oils 0 0 3 Other Energy 4 4 2 Materials & Processing 13 13 4 Producer Durables 8 8 4 Technology 4 4 15 Utilities 9 9 6 Other 1 1 5 -------------------------------------------------------------------- *MSCI US Small Cap Value Index. **Wilshire 5000 Index. +Includes activity related to a change in the fund's target index. ++S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter. VISIT OUR WEBSITE AT VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 9 GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility. -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or depositary receipts of companies based outside the United States. -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by a given index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0. -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. -------------------------------------------------------------------------------- SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash. -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of income provided by securities in the index. -------------------------------------------------------------------------------- 10 PERFORMANCE SUMMARIES All of the returns in this report represent past performance, which cannot be used to predict future returns that may be achieved by the funds. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. SMALL-CAP INDEX FUND -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 --------------------------------- FINAL VALUE OF ONE FIVE TEN A $10,000 YEAR YEARS YEARS INVESTMENT -------------------------------------------------------------------------------- Small-Cap Index Fund Investor Shares* 45.63% 7.55% 10.20% $26,419 Wilshire 5000 Index 31.64 0.42 10.59 27,351 Spliced Small Cap Index** 45.49 6.87 9.34 24,420 Average Small-Cap Core Fund+ 44.24 11.37 12.53 32,574 -------------------------------------------------------------------------------- FINAL VALUE OF ONE SINCE A $250,000 YEAR INCEPTION++ INVESTMENT -------------------------------------------------------------------------------- Small-Cap Index Fund Admiral Shares 45.76% 6.69% $306,232 Wilshire 5000 Index 31.64 -3.19 225,863 Spliced Small Cap Index** 45.49 6.16 301,449 -------------------------------------------------------------------------------- FINAL VALUE OF ONE FIVE SINCE A $10,000,000 YEAR YEARS INCEPTION++ INVESTMENT -------------------------------------------------------------------------------- Small-Cap Index Fund Institutional Shares 45.88% 7.72% 7.26% $15,756,787 Wilshire 5000 Index 31.64 0.42 4.99 13,711,047 Spliced Small Cap Index** 45.49 6.87 6.61 15,142,622 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003 SMALL-CAP SPLICED INDEX FUND SMALL-CAP INVESTOR SHARES INDEX** 1994 -0.5 -1.8 1995 28.7 28.4 1996 18.1 16.5 1997 24.6 22.4 1998 -2.6 -2.5 1999 23.1 21.3 2000 -2.7 -3.0 2001 3.1 2.5 2002 -20.0 -20.5 2003 45.6 45.5 -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter. +Derived from data provided by Lipper Inc. ++Inception dates are November 13, 2000, for the Admiral Shares and July 7, 1997, for the Institutional Shares. NOTE: See Financial Highlights tables on pages 61 through 63 for dividend and capital gains information. 11 PERFORMANCE SUMMARIES (CONTINUED) SMALL-CAP GROWTH INDEX FUND -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 --------------------------------- FINAL VALUE OF ONE FIVE SINCE A $10,000 YEAR YEARS INCEPTION* INVESTMENT -------------------------------------------------------------------------------- Small-Cap Growth Index Fund Investor Shares** 42.88% 7.86% 6.04% $13,899 Wilshire 5000 Index 31.64 0.42 1.80 11,054 Spliced Small Cap Growth Index+ 41.90 7.37 5.58 13,564 Average Small-Cap Growth Fund++ 44.36 6.95 5.41 13,439 -------------------------------------------------------------------------------- FINAL VALUE OF ONE SINCE A $250,000 YEAR INCEPTION++ INVESTMENT -------------------------------------------------------------------------------- Small-Cap Growth Index Fund Institutional Shares 43.08% 6.71% $12,636,337 Wilshire 5000 Index 31.64 -3.26 8,874,157 Spliced Small Cap Growth IndexY 41.90 6.06 12,363,228 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003 SMALL-CAP SPLICED GROWTH INDEX FUND SMALL-CAP INVESTOR SHARES GROWTH INDEX** 1998 -4.8 -5.0 1999 19.8 19.6 2000 1.6 0.6 2001 -0.8 -1.2 2002 -15.4 -15.4 2003 42.9 41.9 -------------------------------------------------------------------------------- *Inception dates are May 21, 1998, for the Investor Shares and May 24, 2000, for the Institutional Shares. **Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. +S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter. ++Derived from data provided by Lipper Inc. NOTE: See Financial Highlights tables on pages 64 and 65 for dividend and capital gains information. 12 SMALL-CAP VALUE INDEX FUND -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 --------------------------------- FINAL VALUE OF ONE FIVE SINCE A $10,000 YEAR YEARS INCEPTION* INVESTMENT -------------------------------------------------------------------------------- Small-Cap Value Index Fund Investor Shares** 37.19% 11.01% 7.18% $14,756 Wilshire 5000 Index 31.64 0.42 1.80 11,054 Spliced Small Cap Value Index+ 35.54 10.30 6.39 14,161 Average Small-Cap Value FundY+ 42.88 13.31 8.56 15,859 -------------------------------------------------------------------------------- FINAL VALUE OF ONE SINCE A $250,000 YEAR INCEPTION++ INVESTMENT -------------------------------------------------------------------------------- Small-Cap Value Index Fund Institutional Shares 37.22% 13.72% $16,869,091 Wilshire 5000 Index 31.64 -3.42 8,680,189 Spliced Small Cap Value Index+ 35.54 12.73 16,274,915 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003 SMALL-CAP SPLICED VALUE INDEX FUND SMALL-CAP INVESTOR SHARES VALUE INDEX** 1998 -12.5 -13.3 1999 3.3 3.0 2000 21.9 20.9 2001 13.7 13.1 2002 -14.2 -14.5 2003 37.2 35.5 -------------------------------------------------------------------------------- *Inception dates are May 21, 1998, for the Investor Shares and December 7, 1999, for the Institutional Shares. **Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. +S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter. ++Derived from data provided by Lipper Inc. NOTE: See Financial Highlights tables on pages 66 and 67 for dividend and capital gains information. 13 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect the reduced tax rates on ordinary income (including qualified dividend income) and short-term capital gains that became effective as of January 1, 2003, and on long-term capital gains realized on or after May 6, 2003. Qualified dividend income is for calendar year 2003. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.) The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ONE YEAR FIVE YEARS TEN YEARS* -------------------------------------- SMALL-CAP INDEX FUND INVESTOR SHARES** Returns Before Taxes 45.63% 7.55% 10.20% Returns After Taxes on Distributions 45.35 6.02 8.47 Returns After Taxes on Distributions and Sale of Fund Shares 29.84 5.78 8.07 -------------------------------------------------------------------------------- SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES** Returns Before Taxes 42.88% 7.86% 6.04% Returns After Taxes on Distributions 42.85 7.47 5.68 Returns After Taxes on Distributions and Sale of Fund Shares 27.92 6.60 5.02 -------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND INVESTOR SHARES** Returns Before Taxes 37.19% 11.01% 7.18% Returns After Taxes on Distributions 36.67 9.08 5.46 Returns After Taxes on Distributions and Sale of Fund Shares 24.47 8.30 5.08 -------------------------------------------------------------------------------- *For Vanguard Small-Cap Growth and Small-Cap Value Index Funds, returns are annualized since inception on May 21, 1998. **Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. 14 ABOUT YOUR FUND'S EXPENSES All mutual funds have operating expenses. These expenses include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its net assets. This figure is known as the expense ratio. A HYPOTHETICAL EXAMPLE We believe it is important for you to understand the impact of costs on your investment. The following example illustrates the costs that you would incur over a 12-month period if you invested $10,000 in your fund, using the funds' actual returns and operating expenses for the fiscal year ended December 31, 2003. The cost in dollars is calculated by applying the expense ratio to the average balance in the hypothetical account. For comparative purposes, we also list the average expense ratio for the funds' peer groups, which are derived from data provided by Lipper Inc. -------------------------------------------------------------------------------- COST OF $10,000 FUND PEER GROUP* INVESTMENT IN FUND EXPENSE RATIO EXPENSE RATIO -------------------------------------------------------------------------------- Small-Cap Index Fund Investor Shares $33 0.27% 1.58% Admiral Shares 22 0.18 -- Institutional Shares 12 0.10 -- Small-Cap Growth Index Fund Investor Shares $33 0.27% 1.74% Institutional Shares 12 0.10 -- Small-Cap Value Index Fund Investor Shares $32 0.27% 1.56% Institutional Shares 12 0.10 -- -------------------------------------------------------------------------------- *For the Small-Cap Index Fund, the Average Small-Cap Core Fund; for the Small-Cap Growth Index Fund, the Average Small-Cap Growth Fund; for the Small-Cap Value Index Fund, the Average Small-Cap Value Fund. The calculation assumes no shares were sold. Your actual costs may have been higher or lower, depending on the amount of your investment and your holding period. Peer-group ratios capture data through year-end 2002. You can find more information about the funds' expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the funds' prospectus. The prospectus presents hypothetical shareholder costs over various time periods based upon a $10,000 investment and a return of 5% a year. This standardized example, which appears in all mutual fund prospectuses, may be useful to you in comparing the costs of investing in different funds. 15 FINANCIAL STATEMENTS STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.7%)(1) -------------------------------------------------------------------------------- * NTL Inc. 416,735 $ 29,067 * Novell, Inc. 2,010,759 21,153 United States Steel Corp. 556,174 19,477 * PMC Sierra Inc. 917,871 18,495 * Invitrogen Corp. 256,936 17,986 * International Rectifier Corp. 345,645 17,078 * Rite Aid Corp. 2,775,713 16,765 * Sirius Satellite Radio, Inc. 5,193,128 16,410 * Navistar International Corp. 332,538 15,925 * Foundry Networks, Inc. 580,373 15,879 GTECH Holdings Corp. 319,610 15,817 * Cognizant Technology Solutions Corp. 338,903 15,468 Friedman, Billings, Ramsey Group, Inc. 664,604 15,339 Precision Castparts Corp. 335,610 15,240 * PacifiCare Health Systems, Inc. 224,820 15,198 Chesapeake Energy Corp. 1,105,513 15,012 Alliant Energy Corp. 594,635 14,806 Autodesk, Inc. 601,167 14,777 * Rambus Inc. 474,479 14,567 Boise Cascade Corp. 442,383 14,537 * DaVita, Inc. 358,237 13,971 * Avnet, Inc. 644,395 13,958 * Mid Atlantic Medical Services, Inc. 214,187 13,879 * Red Hat, Inc. 738,895 13,869 * Atmel Corp. 2,272,733 13,659 * Cypress Semiconductor Corp. 637,226 13,611 * AmeriCredit Corp. 841,704 13,408 * XM Satellite Radio Holdings, Inc. 507,456 13,377 Developers Diversified Realty Corp. REIT 395,405 13,274 Mack-Cali Realty Corp. REIT 312,583 13,010 Catellus Development Corp. 532,962 12,855 The Chicago Mercantile Exchange 176,461 12,769 Chelsea Property Group REIT 232,424 12,739 The Macerich Co. REIT 283,001 12,594 * Western Digital Corp. 1,067,237 12,583 * Arrow Electronics, Inc. 543,222 12,570 Donaldson Co., Inc. 210,194 12,435 United Dominion Realty Trust REIT 646,500 12,413 Martin Marietta Materials, Inc. 263,206 12,363 BorgWarner, Inc. 145,040 12,339 * Crown Castle International Corp. 1,118,483 12,337 * American Tower Corp. Class A 1,127,118 12,195 16 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- HON Industries, Inc. 280,282 $ 12,142 * Newfield Exploration Co. 270,310 12,040 * ImClone Systems, Inc. 301,028 11,939 * Pharmaceutical Resources, Inc. 182,084 11,863 Great Plains Energy, Inc. 372,727 11,860 Ryland Group, Inc. 133,518 11,834 Applebee's International, Inc. 300,349 11,795 * Toll Brothers, Inc. 294,858 11,724 Certegy, Inc. 356,770 11,702 Ryder System, Inc. 341,826 11,673 * Fisher Scientific International Inc. 281,478 11,645 Sky Financial Group, Inc. 446,234 11,575 Pentair, Inc. 252,335 11,532 * Monster Worldwide Inc. 521,435 11,451 * ITT Educational Services, Inc. 241,552 11,346 * Getty Images, Inc. 226,311 11,345 Webster Financial Corp. 245,871 11,276 Valeant Pharmaceuticals International 447,434 11,253 OGE Energy Corp. 459,176 11,107 * Reliant Resources, Inc. 1,506,543 11,088 * AMR Corp. 855,873 11,084 PerkinElmer, Inc. 648,527 11,070 Colonial BancGroup, Inc. 636,154 11,018 Philadelphia Suburban Corp. 497,065 10,985 * Sepracor Inc. 456,403 10,922 * Renal Care Group, Inc. 264,810 10,910 Rayonier Inc. 260,178 10,800 Cullen/Frost Bankers, Inc. 263,162 10,676 Washington Federal Inc. 375,488 10,664 First American Corp. 355,443 10,582 * Sybase, Inc. 510,715 10,511 Mills Corp. REIT 238,616 10,499 Waddell & Reed Financial, Inc. 446,038 10,464 * Polycom, Inc. 532,693 10,398 HCC Insurance Holdings, Inc. 326,146 10,371 Arden Realty Group, Inc. REIT 341,726 10,368 * Neurocrine Biosciences, Inc. 189,735 10,347 American Capital Strategies, Ltd. 347,661 10,336 Polaris Industries, Inc. 116,659 10,334 Medicis Pharmaceutical Corp. 143,797 10,253 * Amkor Technology, Inc. 562,127 10,236 National Fuel Gas Co. 416,131 10,170 * Education Management Corp. 326,816 10,144 Snap-On Inc. 314,483 10,139 Federal Realty Investment Trust REIT 263,928 10,132 Cabot Corp. 315,960 10,060 Carlisle Co., Inc. 165,256 10,057 * Edwards Lifesciences Corp. 333,678 10,037 CBRL Group, Inc. 261,976 10,023 * O'Reilly Automotive, Inc. 261,246 10,021 * Barnes & Noble, Inc. 304,625 10,007 Ruby Tuesday, Inc. 349,723 9,964 * Calpine Corp. 2,064,051 9,928 Vectren Corp. 401,896 9,907 American Financial Realty Trust REIT 580,828 9,903 StanCorp Financial Group, Inc. 156,918 9,867 * Applied Micro Circuits Corp. 1,641,720 9,817 * Varco International, Inc. 472,384 9,745 Peabody Energy Corp. 233,063 9,721 Thornburg Mortgage, Inc. REIT 356,070 9,685 * Ultra Petroleum Corp. 392,103 9,654 * Integrated Device Technology Inc. 561,095 9,634 Harsco Corp. 219,245 9,607 * Mettler-Toledo International Inc. 227,345 9,596 * Louisiana-Pacific Corp. 535,561 9,576 Hawaiian Electric Industries Inc. 201,723 9,556 Roper Industries Inc. 193,948 9,554 Herman Miller, Inc. 392,584 9,527 * The Corp. Executive Board Co. 203,600 9,502 * Stericycle, Inc. 203,405 9,499 AGL Resources Inc. 326,342 9,497 * UnitedGlobalCom Inc. Class A 1,119,666 9,495 * Amylin Pharmaceuticals, Inc. 426,776 9,483 * AnnTaylor Stores Corp. 242,794 9,469 Ventas, Inc. REIT 427,612 9,407 * Gen-Probe Inc. 257,874 9,405 * Sonus Networks, Inc. 1,243,891 9,404 Graco, Inc. 234,281 9,395 Camden Property Trust REIT 211,804 9,383 IKON Office Solutions, Inc. 788,495 9,352 Annaly Mortgage Management Inc. REIT 506,964 9,328 Health Care Inc. REIT 258,893 9,320 * Advanced Fibre Communications, Inc. 461,724 9,304 Pan Pacific Retail Properties, Inc. REIT 194,680 9,277 CenterPoint Properties Corp. REIT 123,205 9,228 Oshkosh Truck Corp. 179,456 9,158 * Borders Group, Inc. 417,074 9,142 * Martek Biosciences Corp. 140,459 9,126 * Avocent Corp. 249,581 9,115 CNF Inc. 267,511 9,069 BancorpSouth, Inc. 380,264 9,020 Lubrizol Corp. 277,057 9,010 Independence Community Bank Corp. 250,221 9,000 * Semtech Corp. 395,579 8,992 17 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- UCBH Holdings, Inc. 229,894 $ 8,959 * Big Lots Inc. 630,048 8,953 * The Neiman Marcus Group, Inc. Class A 166,813 8,953 IndyMac Bancorp, Inc. REIT 299,238 8,914 Hudson United Bancorp 241,055 8,906 * Covance, Inc. 331,819 8,893 BRE Properties Inc. Class A REIT 265,144 8,856 * Andrx Group 368,264 8,853 * Pacific Sunwear of California, Inc. 418,338 8,835 * Integrated Circuit Systems, Inc. 309,954 8,831 F.N.B. Corp. 249,058 8,829 Regis Corp. 223,304 8,825 * Allmerica Financial Corp. 285,439 8,783 * Cymer, Inc. 189,588 8,757 Westamerica Bancorporation 176,168 8,756 Cummins Inc. 178,601 8,741 CBL & Associates Properties, Inc. REIT 154,571 8,733 * Service Corp. International 1,619,415 8,729 The South Financial Group, Inc. 313,001 8,720 * Allegheny Energy, Inc. 682,416 8,708 Crescent Real Estate, Inc. REIT 507,995 8,702 * Earthlink, Inc. 864,557 8,646 * Activision, Inc. 474,868 8,643 * BJ's Wholesale Club, Inc. 375,812 8,629 Ametek, Inc. 178,308 8,605 ONEOK, Inc. 389,693 8,604 * Protein Design Labs, Inc. 479,180 8,577 * Andrew Corp. 744,934 8,574 * IDEXX Laboratories Corp. 185,110 8,567 WPS Resources Corp. 185,165 8,560 * The Titan Corp. 389,261 8,490 Patina Oil & Gas Corp. 173,048 8,478 Whitney Holdings Corp. 206,381 8,460 Claire's Stores, Inc. 448,258 8,445 * STERIS Corp. 373,445 8,440 * Performance Food Group Co. 233,328 8,438 Massey Energy Co. 405,604 8,437 * American Axle & Manufacturing Holdings, Inc. 208,655 8,434 * Apria Healthcare Group Inc. 294,903 8,396 Arch Coal, Inc. 268,674 8,375 Furniture Brands International Inc. 285,506 8,373 CarrAmerica Realty Corp. REIT 280,929 8,366 * BearingPoint, Inc. 826,689 8,341 * Yellow Roadway Corp. 230,180 8,326 Peoples Energy Corp. 197,523 8,304 * Human Genome Sciences, Inc. 626,281 8,298 Lee Enterprises, Inc. 189,996 8,293 * Valassis Communications, Inc. 280,043 8,219 Shurgard Storage Centers, Inc. Class A REIT 217,928 8,205 * Respironics, Inc. 181,705 8,193 Church & Dwight, Inc. 206,102 8,162 * Cytyc Corp. 591,040 8,133 * Accredo Health, Inc. 257,110 8,127 * Ascential Software Corp. 313,237 8,122 * Acxiom Corp. 436,844 8,112 * Varian Semiconductor Equipment Associates, Inc. 185,502 8,105 * Grant Prideco, Inc. 621,788 8,096 Healthcare Realty Trust Inc. REIT 226,281 8,090 Realty Income Corp. REIT 202,121 8,085 IPC Holdings Ltd. 207,600 8,084 NICOR Inc. 237,081 8,070 * Crown Holdings, Inc. 889,149 8,056 * DeVry, Inc. 320,545 8,055 * J.B. Hunt Transport Services, Inc. 298,094 8,052 * Knight Trading Group, Inc. 549,845 8,050 ArvinMeritor, Inc. 332,317 8,015 * Charles River Laboratories, Inc. 233,401 8,013 Briggs & Stratton Corp. 118,556 7,991 Cooper Cos., Inc. 169,399 7,984 Ethan Allen Interiors, Inc. 189,940 7,955 * Western Wireless Corp. Class A 432,630 7,943 * Affiliated Managers Group, Inc. 113,986 7,931 * The MONY Group Inc. 252,762 7,909 Westar Energy, Inc. 389,181 7,881 * Techne Corp. 208,599 7,881 York International Corp. 214,004 7,875 Jefferies Group, Inc. 238,364 7,871 * The Yankee Candle Co., Inc. 287,944 7,870 Crane Co. 255,773 7,862 Piedmont Natural Gas, Inc. 180,830 7,859 Trustmark Corp. 268,449 7,858 * Zale Corp. 147,325 7,838 * Affymetrix, Inc. 317,813 7,821 Old National Bancorp 341,902 7,812 * Kinder Morgan Management, LLC 181,729 7,807 Jack Henry & Associates Inc. 378,906 7,798 Reader's Digest Association, Inc. 531,569 7,793 UGI Corp. Holding Co. 229,715 7,787 * AGCO Corp. 385,225 7,758 HRPT Properties Trust REIT 766,568 7,735 First Midwest Bancorp, Inc. 238,014 7,714 * Cytec Industries, Inc. 199,755 7,669 18 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Standard Pacific Corp. 157,905 $ 7,666 * Varian, Inc. 183,247 7,647 Airgas, Inc. 355,947 7,646 Cooper Tire & Rubber Co. 357,523 7,644 * Brocade Communications Systems, Inc. 1,319,425 7,626 * OmniVision Technologies, Inc. 137,923 7,620 * INAMED Corp. 158,330 7,609 * Marvel Enterprises Inc. 260,763 7,591 Reckson Associates Realty Corp. REIT 312,334 7,590 Kennametal, Inc. 190,608 7,577 * Hot Topic, Inc. 256,430 7,553 Helmerich & Payne, Inc. 269,698 7,533 MDC Holdings, Inc. 116,777 7,532 * CACI International, Inc. 154,829 7,528 Trizec Properties, Inc. REIT 486,701 7,495 Delta Air Lines, Inc. 631,851 7,462 * FMC Technologies Inc. 319,876 7,453 Duquesne Light Holdings, Inc. 404,706 7,422 Forest City Enterprise Class A 155,888 7,406 Raymond James Financial, Inc. 196,438 7,406 * Hovnanian Enterprises Inc. Class A 84,901 7,391 * Netscreen Technologies, Inc. 298,595 7,390 * Forest Oil Corp. 258,433 7,383 AmerUs Group Co. 210,640 7,366 Visteon Corp. 704,906 7,338 * Avid Technology, Inc. 152,683 7,329 * Electronics for Imaging, Inc. 281,511 7,325 * United Stationers, Inc. 178,652 7,310 * Pharmaceutical Product Development, Inc. 270,965 7,308 * Nextel Partners, Inc. 541,552 7,284 WGL Holdings Inc. 261,588 7,270 Highwood Properties, Inc. REIT 286,134 7,268 Engineered Support Systems, Inc. 131,706 7,252 First BanCorp Puerto Rico 183,186 7,245 * NII Holdings Inc. 97,055 7,243 * American Greetings Corp. Class A 330,812 7,235 W Holding Co., Inc. 388,417 7,228 AptarGroup Inc. 185,229 7,224 The Timken Co. 359,990 7,221 * Tetra Tech, Inc. 290,449 7,221 Thomas & Betts Corp. 315,232 7,216 * Key Energy Services, Inc. 699,010 7,207 Greater Bay Bancorp 252,574 7,193 * ResMed Inc. 173,116 7,191 * Emmis Communications, Inc. 265,489 7,181 Media General, Inc. Class A 110,309 7,181 First Industrial Realty Trust REIT 212,123 7,159 * United Defense Industries Inc. 224,557 7,159 * Linens 'n Things, Inc. 237,790 7,153 * Tom Brown, Inc. 220,996 7,127 Global Payments Inc. 150,878 7,109 ADTRAN Inc. 228,742 7,091 * Terex Corp. 247,064 7,036 * Scotts Co. 118,887 7,033 Essex Property Trust, Inc. REIT 109,471 7,030 * Cree, Inc. 395,000 6,988 * Benchmark Electronics, Inc. 200,467 6,978 Lancaster Colony Corp. 154,509 6,978 Beazer Homes USA, Inc. 71,417 6,975 East West Bancorp, Inc. 129,825 6,969 * Skyworks Solutions, Inc. 798,390 6,946 * Dade Behring Holdings Inc. 194,303 6,944 * Plantronics, Inc. 212,497 6,938 Prentiss Properties Trust REIT 210,195 6,934 * Hercules, Inc. 568,057 6,930 * Conexant Systems, Inc. 1,393,104 6,924 Reinsurance Group of America, Inc. 179,050 6,920 * Dycom Industries, Inc. 257,761 6,913 Joy Global Inc. 264,220 6,909 SL Green Realty Corp. REIT 168,006 6,897 * Tommy Hilfiger Corp. 463,893 6,870 International Bancshares Corp. 145,609 6,865 * DoubleClick Inc. 666,646 6,813 * Pediatrix Medical Group, Inc. 123,620 6,810 * OSI Pharmaceuticals, Inc. 211,102 6,800 * Arbitron Inc. 162,455 6,778 Alexander & Baldwin, Inc. 200,776 6,764 Imation Corp. 191,454 6,730 * NBTY, Inc. 250,512 6,729 Station Casinos, Inc. 219,492 6,723 * Take-Two Interactive Software, Inc. 233,271 6,721 * Evergreen Resources, Inc. 206,624 6,717 * Silicon Valley Bancshares 185,967 6,708 * Vitesse Semiconductor Corp. 1,142,108 6,704 Park National Corp. 59,144 6,692 Worthington Industries, Inc. 371,144 6,692 New Century Financial Corp. 168,645 6,690 * The Goodyear Tire & Rubber Co. 850,786 6,687 * MGI Pharma, Inc. 162,136 6,672 * Cincinnati Bell Inc. 1,316,177 6,647 * CMS Energy Corp. 776,952 6,620 Chittenden Corp. 196,601 6,614 * P.F. Chang's China Bistro, Inc. 129,985 6,614 * R.H. Donnelley Corp. 165,901 6,609 IDEX Corp. 158,826 6,606 * CEC Entertainment Inc. 138,817 6,579 19 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Trimble Navigation Ltd. 175,669 $ 6,542 Pennsylvania REIT 179,944 6,532 Trinity Industries, Inc. 211,540 6,524 * GrafTech International Ltd. 482,753 6,517 * FLIR Systems, Inc. 178,413 6,512 * Cabot Microelectronics Corp. 132,608 6,498 Washington REIT 222,524 6,498 Citizens Banking Corp. 198,155 6,484 Pacific Capital Bancorp 175,794 6,473 * Alkermes, Inc. 479,329 6,471 * Hyperion Solutions Corp. 214,554 6,467 * Kronos, Inc. 163,153 6,462 * Coeur D'Alene Mines Corp. 1,112,456 6,430 * Sonic Corp. 209,888 6,427 * Lexar Media, Inc. 367,636 6,408 Minerals Technologies, Inc. 108,040 6,401 * United Rentals, Inc. 332,014 6,395 * Copart, Inc. 387,379 6,392 Energen Corp. 155,203 6,368 Corn Products International, Inc. 184,518 6,357 * The Medicines Co. 215,748 6,356 Florida Rock Industries, Inc. 115,526 6,337 Commercial Federal Corp. 237,119 6,333 MAF Bancorp, Inc. 151,110 6,332 Home Properties of New York, Inc. REIT 156,156 6,307 Great Lakes Chemical Corp. 231,549 6,296 Extended Stay America, Inc. 434,660 6,294 GATX Corp. 224,735 6,288 * Silicon Laboratories Inc. 145,437 6,286 * Interdigital Communications Corp. 304,493 6,285 The Brink's Co. 277,856 6,282 United Bankshares, Inc. 201,117 6,275 Strayer Education, Inc. 57,533 6,261 * SCP Pool Corp. 190,508 6,226 * Flowserve Corp. 297,989 6,222 * Tractor Supply Co. 159,800 6,215 * Scholastic Corp. 182,420 6,210 * Landstar System, Inc. 163,099 6,204 Nationwide Health Properties, Inc. REIT 316,838 6,194 Callaway Golf Co. 366,757 6,180 IDACORP, Inc. 205,864 6,159 The Pep Boys (Manny, Moe & Jack) 269,175 6,156 * Swift Transportation Co., Inc. 292,339 6,145 The Toro Co. 132,062 6,128 PNM Resources Inc. 216,802 6,092 * Dynegy, Inc. 1,423,071 6,091 * NPS Pharmaceuticals Inc. 198,063 6,088 Southwest Bancorporation of Texas, Inc. 156,229 6,069 * Charter Communications, Inc. 1,509,129 6,067 Bob Evans Farms, Inc. 186,813 6,064 * KEMET Corp. 442,459 6,057 Atmos Energy Corp. 248,510 6,039 * Macromedia, Inc. 337,610 6,023 * IGEN International, Inc. 102,137 6,017 Mentor Corp. 249,956 6,014 * Sylvan Learning Systems, Inc. 208,775 6,011 * VISX Inc. 258,859 5,993 Hughes Supply, Inc. 120,625 5,985 Dillard's Inc. 363,545 5,984 Cousins Properties, Inc. REIT 195,446 5,981 * Cimarex Energy Co. 223,843 5,974 Ferro Corp. 219,469 5,972 * Panera Bread Co. 150,900 5,965 Clarcor Inc. 135,026 5,955 Universal Corp. (VA) 134,704 5,950 Alexandria Real Estate Equities, Inc. REIT 102,692 5,946 * Alliance Data Systems Corp. 214,360 5,933 Blyth, Inc. 183,970 5,928 Cathay Bancorp, Inc. 106,380 5,923 Cognex Corp. 209,423 5,914 * Alliance Gaming Corp. 239,642 5,907 * Akamai Technologies, Inc. 547,593 5,887 Fremont General Corp. 347,538 5,877 * UNOVA, Inc. 256,024 5,876 * Lattice Semiconductor Corp. 606,639 5,872 Kellwood Co. 143,059 5,865 IMC Global Inc. 589,824 5,857 * LifePoint Hospitals, Inc. 198,700 5,852 * FMC Corp. 171,215 5,844 Invacare Corp. 144,553 5,836 * Micrel, Inc. 373,671 5,822 The Phoenix Cos., Inc. 482,976 5,815 * Sybron Dental Specialties, Inc. 205,902 5,786 * Waste Connections, Inc. 153,183 5,786 Acuity Brands, Inc. 223,860 5,776 * Alleghany Corp. 25,948 5,773 * Continental Airlines, Inc. Class B 354,684 5,771 * Cerner Corp. 152,173 5,760 Brandywine Realty Trust REIT 213,157 5,706 * Premcor, Inc. 219,464 5,706 * Cumulus Media Inc. 258,964 5,697 * La Quinta Corp. REIT 887,742 5,690 Staten Island Bancorp, Inc. 252,728 5,686 Olin Corp. 283,383 5,685 * Parametric Technology Corp. 1,436,334 5,659 New Jersey Resources Corp. 146,603 5,646 20 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Brooks Automation, Inc. 233,082 $ 5,634 * Gateway, Inc. 1,223,680 5,629 * Perot Systems Corp. 417,374 5,626 Community First Bankshares, Inc. 193,979 5,614 Thor Industries, Inc. 99,760 5,609 * Timberland Co. 107,500 5,598 Platinum Underwriters Holdings, Ltd. 185,366 5,561 La-Z-Boy Inc. 264,833 5,556 Banta Corp. 137,163 5,555 Fred's, Inc. 179,115 5,549 Downey Financial Corp. 112,465 5,545 * AMERIGROUP Corp. 129,041 5,504 Western Gas Resources, Inc. 116,429 5,501 Taubman Co. REIT 266,184 5,483 * Kroll Inc. 210,101 5,463 * Anteon International Corp. 151,302 5,454 * Axcelis Technologies, Inc. 533,592 5,453 Werner Enterprises, Inc. 279,792 5,453 * Stone Energy Corp. 128,076 5,437 * Applera Corp.-Celera Genomics Group 390,408 5,431 * Southern Union Co. 294,787 5,424 Hollinger International, Inc. 347,247 5,424 * Ohio Casualty Corp. 311,928 5,415 * Mentor Graphics Corp. 371,256 5,398 * Mueller Industries Inc. 156,988 5,394 Skywest, Inc. 296,338 5,370 Diagnostic Products Corp. 116,375 5,343 Perrigo Co. 339,547 5,338 * Power Integrations, Inc. 159,462 5,336 Flowers Foods, Inc. 206,762 5,334 * Odyssey Healthcare, Inc. 182,125 5,329 Albemarle Corp. 177,791 5,328 * FileNET Corp. 196,670 5,326 * Abgenix, Inc. 427,162 5,322 Impac Mortgage Holdings, Inc. REIT 290,932 5,298 Novastar Financial, Inc. REIT 123,274 5,296 * Quiksilver, Inc. 298,673 5,295 TrustCo Bank NY 400,756 5,270 Colonial Properties Trust REIT 133,021 5,268 * Telik, Inc. 228,594 5,260 Capital Automotive REIT 163,492 5,232 * Catalina Marketing Corp. 259,417 5,230 * PETCO Animal Supplies, Inc. 170,363 5,188 * Corrections Corp. of America REIT 179,361 5,171 Gables Residential Trust REIT 148,545 5,160 * Adaptec, Inc. 583,554 5,153 * Vicuron Pharmaceuticals Inc. 275,975 5,147 * MPS Group, Inc. 550,172 5,144 Matthews International Corp. 173,804 5,143 MSC Industrial Direct Co., Inc. Class A 186,644 5,133 * Arch Capital Group Ltd. 128,749 5,132 * McDATA Corp. Class A 537,805 5,125 ADVO, Inc. 161,349 5,124 Post Properties, Inc. REIT 183,312 5,118 Potlatch Corp. 147,044 5,113 * Bio-Rad Laboratories, Inc. Class A 88,521 5,105 Cabot Oil & Gas Corp. 173,482 5,092 Susquehanna Bancshares, Inc. 203,535 5,090 * VCA Antech, Inc. 164,297 5,090 * Tesoro Petroleum Corp. 348,515 5,078 * Silicon Storage Technology, Inc. 461,000 5,071 Provident Financial Group, Inc. 157,819 5,042 * Macrovision Corp. 223,187 5,042 USF Corp. 146,979 5,025 Provident Financial Services Inc. 265,515 5,018 Winnebago Industries, Inc. 72,981 5,017 LNR Property Corp. 101,203 5,011 * Gemstar-TV Guide International, Inc. 991,264 5,006 Hilb, Rogal and Hamilton Co. 155,973 5,002 * FTI Consulting, Inc. 213,749 4,995 Superior Industries International, Inc. 114,544 4,985 * Wynn Resorts Ltd. 177,610 4,975 John Wiley & Sons Class A 191,064 4,973 * Beverly Enterprises, Inc. 578,160 4,966 LandAmerica Financial Group, Inc. 94,922 4,961 * Scientific Games Corp. 291,603 4,960 * Sycamore Networks, Inc. 946,447 4,959 Delta & Pine Land Co. 195,156 4,957 Tupperware Corp. 283,783 4,921 * Payless ShoeSource, Inc. 366,856 4,916 * Hecla Mining Co. 592,313 4,910 Black Hills Corp. 164,495 4,907 * Dionex Corp. 106,608 4,906 * Ralcorp Holdings, Inc. 155,919 4,890 Delphi Financial Group, Inc. 135,495 4,878 Winn-Dixie Stores, Inc. 490,151 4,877 * TriQuint Semiconductor, Inc. 687,869 4,863 NDCHealth Corp. 189,543 4,856 Kilroy Realty Corp. REIT 148,214 4,854 Reliance Steel & Aluminum Co. 145,793 4,842 * Westport Resources Corp. 162,060 4,839 21 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- First Niagara Financial Group, Inc. 324,538 $ 4,839 * Wilson Greatbatch Technologies, Inc. 114,250 4,829 * Chiquita Brands International, Inc. 213,792 4,817 * Endo Pharmaceuticals Holdings, Inc. 248,930 4,794 * AirTran Holdings, Inc. 401,953 4,783 * Cost Plus, Inc. 116,473 4,775 Commerce Group, Inc. 120,800 4,772 Brookline Bancorp, Inc. 310,880 4,769 * Kansas City Southern 332,991 4,768 * Advanced Neuromodulation Systems, Inc. 103,518 4,760 Sensient Technologies Corp. 239,986 4,745 * ProAssurance Corp. 147,356 4,737 * Priority Healthcare Corp. Class B 196,463 4,737 Texas Regional Bancshares, Inc. 127,758 4,727 * Simpson Manufacturing Co. 92,530 4,706 BankAtlantic Bancorp, Inc. Class A 247,518 4,703 * CommScope, Inc. 287,589 4,696 * American Eagle Outfitters, Inc. 285,688 4,685 Redwood Trust, Inc. REIT 92,065 4,682 * Cal Dive International, Inc. 192,893 4,651 Select Medical Corp. 285,200 4,643 * Urban Outfitters, Inc. 125,200 4,639 Allegheny Technologies Inc. 350,502 4,634 * Aspect Communications Corp. 293,885 4,632 * Philadelphia Consolidated Holding Corp. 94,444 4,612 * Sierra Pacific Resources 627,488 4,606 * Commonwealth Telephone Enterprises, Inc. 121,752 4,596 * Spinnaker Exploration Co. 142,369 4,594 * United Online, Inc. 272,983 4,583 * Southwestern Energy Co. 191,725 4,582 * Washington Group International, Inc. 134,754 4,578 Bank Mutual Corp. 400,390 4,560 * Actuant Corp. 125,888 4,557 Cleco Corp. 253,114 4,551 H.B. Fuller Co. 152,924 4,548 Albany International Corp. 134,046 4,544 Federal Signal Corp. 258,867 4,535 Black Box Corp. 98,216 4,525 Commercial Net Lease Realty REIT 253,861 4,519 Georgia Gulf Corp. 156,378 4,516 * Internet Security Systems, Inc. 239,726 4,514 * Advanced Digital Information Corp. 322,093 4,509 FactSet Research Systems Inc. 117,546 4,491 Westcorp, Inc. 122,551 4,479 * Credence Systems Corp. 340,045 4,475 American Financial Group, Inc. 168,850 4,468 * RSA Security Inc. 314,421 4,465 Avista Corp. 245,560 4,450 UniSource Energy Corp. 180,134 4,442 * Gaylord Entertainment Co. Class A 147,873 4,414 * Unit Corp. 186,433 4,390 * Esperion Therapeutics, Inc. 126,818 4,389 Nordson Corp. 127,009 4,386 * Rare Hospitality International Inc. 179,334 4,383 Wolverine World Wide, Inc. 214,640 4,374 Lexington Corporate Properties Trust REIT 216,537 4,372 * PSS World Medical, Inc. 361,398 4,362 St. Mary Land & Exploration Co. 152,868 4,357 * CNET Networks, Inc. 638,386 4,354 * eFunds Corp. 250,702 4,350 Senior Housing Properties Trust REIT 252,363 4,348 Republic Bancorp, Inc. 321,382 4,335 Wintrust Financial Corp. 95,827 4,322 Alpharma, Inc. Class A 214,968 4,321 * Maverick Tube Corp. 224,413 4,320 Millennium Chemicals, Inc. 340,676 4,320 People's Bank 132,501 4,320 * Transaction Systems Architects, Inc. 190,789 4,318 * Tuesday Morning Corp. 142,340 4,306 * Asyst Technologies, Inc. 247,462 4,293 * Hutchinson Technology, Inc. 139,648 4,293 R.L.I. Corp. 114,368 4,284 Crompton Corp. 596,205 4,275 Casey's General Stores, Inc. 241,927 4,272 * Hollywood Entertainment Corp. 310,553 4,270 * Extreme Networks, Inc. 591,891 4,268 Northwest Natural Gas Co. 138,747 4,266 MacDermid, Inc. 124,375 4,259 * Vertex Pharmaceuticals, Inc. 415,661 4,252 * US Oncology, Inc. 394,759 4,248 * Tularik, Inc. 262,612 4,241 * Technitrol, Inc. 204,416 4,240 IHOP Corp. 110,031 4,234 Liberty Corp. 93,562 4,228 * Men's Wearhouse, Inc. 169,005 4,227 Florida East Coast Industries, Inc. Class A 127,604 4,224 * Shaw Group, Inc. 309,901 4,221 * Borland Software Corp. 433,793 4,221 22 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Intergraph Corp. 176,207 $ 4,215 Selective Insurance Group 130,246 4,215 Brady Corp. Class A 103,396 4,213 Texas Industries, Inc. 113,694 4,207 * Navigant Consulting, Inc. 222,942 4,205 * Steel Dynamics, Inc. 178,875 4,202 Lennox International Inc. 251,056 4,193 * Insight Enterprises, Inc. 222,637 4,186 Granite Construction Co. 177,860 4,178 * Aztar Corp. 185,663 4,177 * Province Healthcare Co. 261,026 4,176 * IDT Corp. Class B 179,432 4,150 * Jack in the Box Inc. 194,121 4,146 * ILEX Oncology, Inc. 194,925 4,142 * Digital Insight Corp. 166,257 4,140 Lincoln Electric Holdings, Inc. 167,242 4,138 * Ariba, Inc. 1,375,036 4,125 * Tekelec 264,415 4,112 * Journal Register Co. 198,301 4,105 * F5 Networks, Inc. 163,060 4,093 * Investment Technology Group, Inc. 253,224 4,090 * Aeropostale, Inc. 148,756 4,079 * Wabash National Corp. 139,183 4,078 * Nektar Therapeutics 299,187 4,072 * Watson Wyatt & Co. Holdings 168,563 4,071 * AmSurg Corp. 107,342 4,067 Southwest Gas Corp. 181,039 4,064 * American Italian Pasta Co. 96,663 4,050 * SEACOR SMIT Inc. 96,262 4,046 * CUNO Inc. 89,789 4,043 * BankUnited Financial Corp. 156,598 4,039 * Anixter International Inc. 156,005 4,037 * The Sports Authority, Inc. 105,088 4,035 * McDermott International, Inc. 337,129 4,029 * MICROS Systems, Inc. 92,787 4,023 * LTX Corp. 267,578 4,022 R & G Financial Corp. Class B 100,958 4,018 Glimcher Realty Trust REIT 179,000 4,006 * MKS Instruments, Inc. 138,082 4,004 * OM Group, Inc. 152,762 4,001 The Manitowoc Co., Inc. 128,207 4,000 Tootsie Roll Industries, Inc. 111,000 3,996 * Informatica Corp. 387,371 3,990 * Sunrise Senior Living, Inc. 102,927 3,987 * Keane, Inc. 272,095 3,983 * Kindred Healthcare, Inc. 76,600 3,982 Quanex Corp. 86,318 3,979 Modine Manufacturing Co. 147,292 3,974 * MAXIMUS, Inc. 101,451 3,970 First Commonwealth Financial Corp. 277,832 3,962 * Onyx Pharmaceuticals, Inc. 140,342 3,962 CH Energy Group, Inc. 84,318 3,955 * United Surgical Partners International, Inc. 117,720 3,941 * Plexus Corp. 229,307 3,937 Christopher & Banks Corp. 200,929 3,924 * CSK Auto Corp. 208,851 3,920 John H. Harland Co. 143,422 3,915 * Enterasys Networks, Inc. 1,043,907 3,915 * Dobson Communications Corp. 595,542 3,913 ABM Industries Inc. 224,706 3,912 * Penn National Gaming, Inc. 169,418 3,910 Heartland Express, Inc. 161,598 3,909 Kaydon Corp. 151,172 3,906 Provident Bankshares Corp. 132,668 3,906 Commercial Metals Co. 128,154 3,896 * Hanover Compressor Co. 349,058 3,892 * Kulicke & Soffa Industries, Inc. 269,751 3,879 * Fossil, Inc. 138,292 3,874 * K-V Pharmaceutical Co. Class A 151,614 3,866 Manufactured Home Communities, Inc. REIT 102,580 3,862 * ATMI, Inc. 166,824 3,860 * Ligand Pharmaceuticals Inc. Class B 262,218 3,852 * Power-One, Inc. 355,562 3,851 * The Warnaco Group, Inc. 241,309 3,849 * Sierra Health Services, Inc. 139,355 3,825 * Coherent, Inc. 160,634 3,823 * Progress Software Corp. 186,842 3,823 G & K Services, Inc. Class A 104,000 3,822 * Zoran Corp. 219,264 3,813 * Rogers Corp. 86,362 3,810 * Nabi Biopharmaceuticals 299,615 3,808 * Genlyte Group, Inc. 65,186 3,806 * DSP Group Inc. 152,716 3,804 * Northwest Airlines Corp. Class A 301,406 3,804 * DRS Technologies, Inc. 136,180 3,783 * Armor Holdings, Inc. 143,778 3,783 * Veeco Instruments, Inc. 134,039 3,780 * First Federal Financial Corp. 86,624 3,768 * OMI Corp. 421,900 3,768 * Cray Inc. 379,294 3,766 * Manhattan Associates, Inc. 136,105 3,762 Owens & Minor, Inc. Holding Co. 171,634 3,761 * Group 1 Automotive, Inc. 103,730 3,754 Longs Drug Stores, Inc. 151,373 3,745 * Aeroflex, Inc. 320,299 3,744 Arkansas Best Corp. 119,282 3,744 * Exar Corp. 218,586 3,733 USEC Inc. 444,351 3,733 23 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Kos Pharmaceuticals, Inc. 86,700 $ 3,732 * Six Flags, Inc. 495,898 3,729 CVB Financial Corp. 193,190 3,727 * Choice Hotel International, Inc. 105,671 3,725 * Moog Inc. 75,338 3,722 Chemical Financial Corp. 102,197 3,719 Tecumseh Products Co. Class A 76,774 3,718 * GlobespanVirata, Inc. 630,515 3,707 * Alaska Air Group, Inc. 135,580 3,700 * Ask Jeeves, Inc. 203,889 3,694 Stewart Information Services Corp. 91,035 3,691 MB Financial, Inc. 100,778 3,668 * Lin TV Corp. 141,738 3,658 * Argosy Gaming Co. 140,748 3,658 Infinity Property & Casualty Corp. 110,599 3,655 Seacoast Financial Services Corp. 133,327 3,654 * Microsemi Corp. 148,335 3,646 * NetIQ Corp. 274,939 3,643 * Rayovac Corp. 173,666 3,638 * Jarden Corp. 133,001 3,636 * Kirby Corp. 104,201 3,635 * Eon Labs, Inc. 71,296 3,633 * American Healthways Inc. 152,016 3,629 * Oceaneering International, Inc. 129,455 3,625 Wabtec Corp. 212,627 3,623 * Hain Celestial Group, Inc. 155,994 3,621 Sun Communities, Inc. REIT 93,359 3,613 Waypoint Financial Corp. 166,334 3,608 * ProQuest Co. 122,065 3,595 Curtiss-Wright Corp. 79,800 3,592 * Openwave Systems Inc. 326,314 3,589 * EGL, Inc. 203,882 3,580 * Electro Scientific Industries, Inc. 150,205 3,575 * Aquila, Inc. 1,054,105 3,573 National Penn Bancshares Inc. 111,054 3,567 * Wind River Systems Inc. 405,972 3,556 * EMCOR Group, Inc. 80,992 3,556 * InterMune Inc. 153,029 3,544 * eSPEED, Inc. Class A 151,363 3,543 Gray Television, Inc. 234,035 3,539 * Dick's Sporting Goods, Inc. 72,700 3,538 Community Bank System, Inc. 72,171 3,536 JLG Industries, Inc. 232,178 3,536 PS Business Parks, Inc. REIT 85,619 3,533 * Inveresk Research Group Inc. 142,791 3,531 * Cyberonics, Inc. 110,086 3,524 * Photon Dynamics, Inc. 87,400 3,517 * Sinclair Broadcast Group, Inc. 235,586 3,515 * Jones Lang Lasalle Inc. 169,410 3,512 * CONMED Corp. 147,535 3,511 * NetFlix.com, Inc. 64,200 3,511 A.O. Smith Corp. 100,050 3,507 * CoStar Group, Inc. 84,112 3,506 Brown Shoe Co., Inc. 92,356 3,503 Heritage Property Investment Trust REIT 123,071 3,501 Otter Tail Corp. 130,866 3,498 * CSG Systems International, Inc. 279,680 3,493 PolyMedica Corp. 132,634 3,490 * THQ Inc. 206,113 3,485 Harleysville National Corp. 115,577 3,479 * El Paso Electric Co. 260,387 3,476 Summit Properties, Inc. REIT 144,618 3,474 * Meritage Corp. 52,295 3,468 * Dollar Thrifty Automotive Group, Inc. 133,515 3,463 United Auto Group, Inc. 110,598 3,462 * Newport Corp. 209,255 3,459 * TIBCO Software Inc. 510,065 3,453 * Cirrus Logic 449,312 3,446 * Grey Wolf, Inc. 921,404 3,446 Net.Bank, Inc. 258,082 3,445 * School Specialty, Inc. 101,279 3,444 Flagstar Bancorp, Inc. 160,710 3,442 * Ryan's Family Steak Houses, Inc. 227,298 3,441 Interstate Bakeries Corp. 241,687 3,439 * Imagistics International Inc. 91,582 3,434 * Websense, Inc. 117,430 3,434 * Mykrolis Corp. 213,442 3,432 * ValueClick, Inc. 376,785 3,421 * American Management Systems, Inc. 226,508 3,413 * MicroStrategy Inc. 64,999 3,411 * Ultratech, Inc. 116,130 3,411 First Citizens BancShares Class A 27,998 3,403 Grey Global Group Inc. 4,973 3,397 * United Natural Foods, Inc. 94,545 3,395 * Altiris, Inc. 93,000 3,393 * eResearch Technology, Inc. 133,400 3,391 * CMGI Inc. 1,903,371 3,388 S & T Bancorp, Inc. 112,973 3,378 * NeighborCare Inc. 170,882 3,375 A. Schulman Inc. 157,762 3,363 * Littelfuse, Inc. 116,557 3,359 * Monaco Coach Corp. 140,967 3,355 Wausau-Mosinee Paper Corp. 247,936 3,352 * Checkpoint Systems, Inc. 177,221 3,351 Ruddick Corp. 187,069 3,349 NBT Bancorp, Inc. 156,119 3,347 24 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Scottish Annuity & Life Holdings, Ltd. 160,984 $ 3,345 * Verity, Inc. 200,114 3,340 * Knight Transportation, Inc. 130,036 3,335 Cambrex Corp. 131,846 3,330 * URS Corp. 132,860 3,323 UIL Holdings Corp. 73,484 3,314 * Viasys Healthcare Inc. 160,640 3,309 * Photronics Inc. 166,014 3,307 Spartech Corp. 134,209 3,307 * Headwaters Inc. 168,514 3,306 * Charming Shoppes, Inc. 611,118 3,300 K-Swiss, Inc. 137,054 3,298 Schnitzer Steel Industries, Inc. Class A 54,460 3,295 * Select Comfort Corp. 132,670 3,285 CONSOL Energy, Inc. 126,580 3,278 * Digital River, Inc. 147,947 3,270 * Symyx Technologies, Inc. 159,028 3,268 United National Bancorp 91,436 3,267 * Secure Computing Corp. 182,212 3,263 Amcore Financial, Inc. 120,153 3,247 * RealNetworks, Inc. 568,271 3,245 * ANSYS, Inc. 81,319 3,228 Landry's Restaurants, Inc. 125,294 3,223 * Dendrite International, Inc. 205,191 3,215 * Actel Corp. 133,311 3,213 * Pacer International, Inc. 158,852 3,212 Harbor Florida Bancshares, Inc. 108,072 3,211 * Saxon Capital Inc. 153,145 3,208 Baldor Electric Co. 140,238 3,204 National Health Investors REIT 128,601 3,200 * Quest Software, Inc. 225,008 3,195 Boston Private Financial Holdings, Inc. 128,587 3,194 * Mindspeed Technologies, Inc. 466,120 3,193 * USI Holdings Corp. 244,534 3,191 Sonic Automotive, Inc. 139,171 3,190 Horace Mann Educators Corp. 228,331 3,190 Glacier Bancorp, Inc. 98,374 3,187 EastGroup Properties, Inc. REIT 98,399 3,186 * Dot Hill Systems Corp. 208,871 3,164 Overseas Shipholding Group Inc. 92,910 3,164 * Helen of Troy Ltd. 135,988 3,148 * Spherion Corp. 321,406 3,147 Hancock Holding Co. 57,555 3,141 Dime Community Bancshares 101,913 3,135 * Thoratec Corp. 240,645 3,131 * WCI Communities, Inc. 151,701 3,127 * American Pharmaceuticals Partners, Inc. 92,929 3,122 Mine Safety Appliances Co. 39,260 3,122 United Community Banks, Inc. 94,652 3,114 * Connetics Corp. 171,405 3,113 * Sola International Inc. 165,313 3,108 * Comstock Resources, Inc. 161,010 3,107 * Too Inc. 184,084 3,107 First Charter Corp. 158,716 3,103 Vintage Petroleum, Inc. 257,703 3,100 * Triumph Group, Inc. 85,001 3,094 * InfoSpace, Inc. 133,819 3,085 MFA Mortgage Investments, Inc. REIT 316,147 3,082 * Vignette Corp. 1,356,726 3,080 Mid-America Apartment Communities, Inc. REIT 91,701 3,079 * Apex Silver Mines Ltd. 147,298 3,079 * Shuffle Master, Inc. 88,856 3,076 Longview Fibre Co. 248,581 3,070 * Genesis Microchip Inc. 169,882 3,065 * Advanced Medical Optics, Inc. 155,650 3,059 * Stewart Enterprises, Inc. Class A 537,864 3,055 * Denbury Resources, Inc. 219,103 3,048 * Orbital Sciences Corp. 253,032 3,041 UMB Financial Corp. 63,955 3,040 Boyd Gaming Corp. 188,348 3,040 Carpenter Technology Corp. 102,712 3,037 Mid-State Bancshares 119,144 3,031 Umpqua Holdings Corp. 145,588 3,027 Equity One, Inc. REIT 179,196 3,025 * Primus Telecommunications Group, Inc. 297,021 3,024 * Adolor Corp. 150,970 3,022 Nu Skin Enterprises, Inc. 176,846 3,022 * Esterline Technologies Corp. 112,671 3,005 WD-40 Co. 84,833 3,000 * Forward Air Corp. 108,989 2,997 * Pinnacle Systems, Inc. 351,332 2,997 * ScanSource, Inc. 65,600 2,993 * Price Communications Corp. 217,631 2,988 * ESCO Technologies Inc. 68,401 2,986 * Finish Line, Inc. 99,580 2,984 * Leapfrog Enterprises, Inc. 112,402 2,982 Regal-Beloit Corp. 135,389 2,979 * PolyOne Corp. 466,050 2,978 * Wright Medical Group, Inc. 97,789 2,977 Corporate Office Properties Trust, Inc. REIT 141,700 2,976 LaBranche & Co. Inc. 254,800 2,974 * FEI Co. 132,102 2,972 RAIT Investment Trust REIT 116,067 2,971 * FuelCell Energy, Inc. 228,421 2,969 * TTM Technologies, Inc. 175,799 2,967 25 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Max Re Capital Ltd. 132,240 $ 2,967 City Holding Co. 84,738 2,966 * Centene Corp. 105,800 2,963 Arch Chemicals, Inc. 115,198 2,956 * Resources Connection, Inc. 108,015 2,950 * Digene Corp. 73,542 2,949 * Advanced Energy Industries, Inc. 113,174 2,948 The Trust Co. of New Jersey 74,262 2,947 * WMS Industries, Inc. 112,027 2,935 * SRA International, Inc. 68,040 2,933 Empire District Electric Co. 133,701 2,932 * Mediacom Communications Corp. 336,571 2,918 * XOMA Ltd. 441,672 2,915 * Bright Horizons Family Solutions, Inc. 69,178 2,905 Helix Technology Corp. 141,128 2,904 * Financial Federal Corp. 94,943 2,901 Keystone Property Trust REIT 131,221 2,899 MGE Energy, Inc. 91,834 2,894 Entertainment Properties Trust REIT 83,343 2,893 Sandy Spring Bancorp, Inc. 77,309 2,891 * Micromuse Inc. 418,594 2,888 Alabama National BanCorporation 54,807 2,880 * The Neiman Marcus Group, Inc. Class B 57,553 2,878 Thomas Industries, Inc. 82,977 2,876 * Entravision Communications Corp. 258,934 2,874 Woodward Governor Co. 50,567 2,874 * Interactive Data Corp. 173,150 2,867 * S1 Corp. 356,193 2,867 Belden, Inc. 135,758 2,863 * Ionics, Inc. 89,831 2,861 Steelcase Inc. 199,047 2,858 Kelly Services, Inc. Class A 99,797 2,848 * TBC Corp. 110,296 2,847 Hudson River Bancorp. Inc. 72,889 2,845 Irwin Financial Corp. 90,592 2,845 Watts Water Technologies 128,043 2,843 Corus Bankshares Inc. 89,950 2,839 * Systems & Computer Technology Corp. 173,588 2,838 * NCO Group, Inc. 124,644 2,838 * Jacuzzi Brands, Inc. 400,245 2,838 * Quantum Corp. 909,342 2,837 Sterling Bancshares, Inc. 212,446 2,832 Surewest Communications 69,966 2,828 * Guitar Center, Inc. 86,730 2,826 Tanger Factory Outlet Centers, Inc. REIT 69,397 2,824 * Cleveland-Cliffs Inc. 55,409 2,823 * Superior Energy Services, Inc. 300,261 2,822 * ESS Technology, Inc. 165,889 2,822 * AK Steel Corp. 552,801 2,819 * InVision Technologies, Inc. 83,975 2,819 * Magma Design Automation, Inc. 120,660 2,816 Glenborough Realty Trust, Inc. REIT 141,109 2,815 * TETRA Technologies, Inc. 116,009 2,812 Texas Genco Holdings, Inc. 86,432 2,809 * Offshore Logistics, Inc. 114,428 2,806 Cash America International Inc. 132,253 2,801 * Sotheby's Holdings Class A 204,697 2,796 * Enzon Pharmaceuticals, Inc. 232,916 2,795 The Laclede Group, Inc. 97,874 2,794 * Teledyne Technologies, Inc. 147,932 2,789 MCG Capital Corp. 142,981 2,788 * Intuitive Surgical, Inc. 163,127 2,788 Frontier Financial Corp. 83,974 2,785 * AtheroGenics, Inc. 185,926 2,780 Universal Forest Products, Inc. 86,268 2,776 Anworth Mortgage Asset Corp. REIT 198,400 2,764 Barnes Group, Inc. 85,181 2,752 * Ocular Sciences, Inc. 95,558 2,743 * Packeteer, Inc. 161,489 2,742 * Magnum Hunter Resources Inc. 288,303 2,742 * Global Imaging Systems, Inc. 86,300 2,740 * Houston Exploration Co. 75,020 2,740 Barra, Inc. 77,155 2,738 * Harmonic, Inc. 377,594 2,738 * Quanta Services, Inc. 374,979 2,737 * The Gymboree Corp. 158,785 2,736 PFF Bancorp, Inc. 75,289 2,731 * Entegris Inc. 212,358 2,729 Rollins, Inc. 120,919 2,727 South Jersey Industries, Inc. 67,236 2,723 * Griffon Corp. 134,308 2,721 Handleman Co. 132,530 2,721 * Atrix Laboratories, Inc. 113,087 2,719 * ArthroCare Corp. 110,714 2,712 * 7-Eleven, Inc. 168,820 2,710 * Retek Inc. 291,801 2,708 * WebEx Communications, Inc. 134,391 2,701 * USG Corp. 162,863 2,699 * Epicor Software Corp. 211,299 2,696 * Range Resources Corp. 284,561 2,689 * Korn/Ferry International 201,105 2,683 * Frontier Airlines, Inc. 187,907 2,680 Independent Bank Corp. (MI) 94,375 2,676 26 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Westbanco Inc. 96,519 $ 2,673 * Plains Exploration & Production Co. 173,119 2,664 * Labor Ready, Inc. 203,299 2,663 First Financial Bancorp 166,934 2,663 Anchor Bancorp Wisconsin Inc. 106,917 2,662 * MEMC Electronic Materials, Inc. 276,706 2,662 Park Electrochemical Corp. 100,335 2,658 * Mercury Computer Systems, Inc. 106,702 2,657 West Pharmaceutical Services, Inc. 78,368 2,657 * Integra LifeSciences Holdings 92,791 2,657 * BioMarin Pharmaceutical Inc. 341,708 2,655 * Core Laboratories NV 158,230 2,641 Gold Banc Corp., Inc. 187,754 2,640 * Ciber, Inc. 304,342 2,636 * Ventana Medical Systems, Inc. 66,851 2,634 * Multimedia Games Inc. 64,000 2,630 * FelCor Lodging Trust, Inc. REIT 236,689 2,623 C & D Technologies, Inc. 136,659 2,620 Aaron Rents, Inc. Class B 129,783 2,613 * Haemonetics Corp. 109,222 2,609 * Safeguard Scientifics, Inc. 645,155 2,606 Arrow International, Inc. 104,290 2,605 * Movie Gallery, Inc. 139,157 2,599 First Community Bancorp 71,829 2,596 AMLI Residential Properties Trust REIT 96,700 2,592 * Encore Acquisition Co. 105,001 2,588 * Agile Software Corp. 261,346 2,587 * Powerwave Technologies, Inc. 338,022 2,586 * K2 Inc. 169,876 2,584 First Financial Bankshares, Inc. 61,958 2,584 * Central Garden and Pet Co. 92,153 2,583 * Cell Genesys, Inc. 199,595 2,583 * Corvis Corp. 1,518,300 2,581 Connecticut Bancshares, Inc. 49,996 2,577 CARBO Ceramics Inc. 50,194 2,572 * Sterling Financial Corp. (Spokane) 75,103 2,571 * ON Semiconductor Corp. 398,300 2,569 * E.piphany Inc. 355,221 2,561 First Republic Bank 71,418 2,557 * Merit Medical Systems, Inc. 114,182 2,542 Penn Virginia Corp. 45,661 2,541 * Gartner, Inc. Class B 233,043 2,536 * Cubist Pharmaceuticals, Inc. 208,297 2,533 * Insight Communications Co., Inc. 245,495 2,531 * CIMA Labs Inc. 77,544 2,529 * Sapient Corp. 451,135 2,526 * Remec, Inc. 299,335 2,517 Inter-Tel, Inc. 100,686 2,515 * Triad Guaranty, Inc. 49,945 2,515 ElkCorp 94,178 2,515 * Paxar Corp. 187,376 2,511 * Applied Films Corp. 75,994 2,509 * VistaCare, Inc. 71,360 2,508 * Genta Inc. 240,560 2,504 * West Corp. 107,769 2,503 First Sentinel Bancorp Inc. 118,628 2,498 * Finisar Corp. 798,034 2,498 * TierOne Corp. 108,672 2,495 * Silgan Holdings, Inc. 58,543 2,493 Ramco-Gershenson Properties Trust REIT 88,001 2,490 * Kopin Corp. 370,741 2,488 * Swift Energy Co. 147,267 2,481 * Per-Se Technologies, Inc. 162,595 2,481 * Arris Group Inc. 341,957 2,476 Alfa Corp. 192,495 2,475 * Teletech Holdings Inc. 218,434 2,468 * FormFactor Inc. 124,628 2,468 * The Advisory Board Co. 70,600 2,465 * Transmeta Corp. 723,660 2,460 Watsco, Inc. 108,217 2,460 * Medarex, Inc. 394,568 2,458 * Silicon Image, Inc. 339,862 2,457 * Hibbett Sporting Goods, Inc. 82,060 2,445 * Serologicals Corp. 131,274 2,442 Cornerstone Realty Income Trust, Inc. REIT 278,185 2,437 * Impax Laboratories, Inc. 168,698 2,428 Anthracite Capital Inc. REIT 219,285 2,427 * j2 Global Communications, Inc. 97,928 2,426 * webMethods, Inc. 264,959 2,424 * Exelixis, Inc. 341,651 2,419 Brookfield Homes Corp. 93,764 2,416 * Advent Software, Inc. 138,540 2,415 * Stage Stores, Inc. 86,460 2,412 Rock-Tenn Co. 139,741 2,412 The Stride Rite Corp. 211,872 2,411 * Eclipsys Corp. 207,061 2,410 Frontier Oil Corp. 139,813 2,408 Datascope Corp. 67,113 2,406 * JDA Software Group, Inc. 145,323 2,399 Sovran Self Storage, Inc. REIT 64,432 2,394 * Interwoven Inc. 189,245 2,392 * Time Warner Telecom Inc. 235,932 2,390 * ExpressJet Holdings, Inc. 158,963 2,384 * ScanSoft, Inc. 447,608 2,381 LaSalle Hotel Properties REIT 128,358 2,381 Koger Equity, Inc. REIT 113,745 2,381 * Universal Compression Holdings, Inc. 90,941 2,379 27 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Centex Construction Products, Inc. 39,366 $ 2,373 * ShopKo Stores, Inc. 155,412 2,370 * Incyte Corp. 346,313 2,369 Odyssey Re Holdings Corp. 104,781 2,363 Bandag, Inc. 57,306 2,361 * Quicksilver Resources, Inc. 73,001 2,358 California Water Service Group 86,000 2,356 * IDT Corp. 106,300 2,355 * Integrated Silicon Solution, Inc. 150,129 2,353 * Transkaryotic Therapies, Inc. 150,685 2,352 Schweitzer-Mauduit International, Inc. 78,935 2,351 * Regeneron Pharmaceuticals, Inc. 159,589 2,348 Oxford Industries, Inc. 69,002 2,338 * Insituform Technologies Inc. Class A 141,508 2,335 * AMC Entertainment, Inc. 153,303 2,332 Bowne & Co., Inc. 171,769 2,329 Lone Star Steakhouse & Saloon, Inc. 100,413 2,328 Speedway Motorsports, Inc. 80,326 2,323 * Digitas Inc. 249,188 2,322 * IDX Systems Corp. 86,474 2,319 Roto-Rooter, Inc. 50,245 2,316 * Prime Hospitality Corp. 226,751 2,313 * Elizabeth Arden, Inc. 116,099 2,313 Parkway Properties Inc. REIT 55,459 2,307 Methode Electronics, Inc. Class A 188,509 2,305 * American Medical Systems Holdings, Inc. 105,691 2,303 * PTEK Holdings, Inc. 260,315 2,293 * ViaSat, Inc. 119,765 2,292 * Enzo Biochem, Inc. 127,915 2,291 * NCI Building Systems, Inc. 95,848 2,291 * Inspire Pharmaceuticals, Inc. 161,655 2,289 Franklin Electric, Inc. 37,803 2,287 First Essex Bancorp, Inc. 39,282 2,284 Bedford Property Investors, Inc. REIT 79,761 2,284 Gibraltar Steel 90,566 2,278 * Biosite Inc. 78,657 2,277 Endurance Specialty Holdings 67,866 2,277 * HomeStore, Inc. 480,092 2,271 * Remington Oil & Gas Corp. 115,151 2,267 First Merchants Corp. 88,797 2,266 * PalmOne, Inc. 192,378 2,260 * SonicWALL, Inc. 289,783 2,260 Getty Realty Holding Corp. REIT 86,248 2,255 * At Road, Inc. 169,428 2,253 * Papa John's International, Inc. 67,452 2,252 * Genesee & Wyoming Inc. Class A 71,476 2,251 * Therasense, Inc. 110,574 2,245 * W-H Energy Services, Inc. 138,511 2,244 * PAREXEL International Corp. 137,982 2,244 * CTI Molecular Imaging, Inc. 132,420 2,239 * ICU Medical, Inc. 64,971 2,227 * Salix Pharmaceuticals, Ltd. 98,236 2,227 * United Therapeutics Corp. 96,995 2,226 Unizan Financial Corp. 109,730 2,222 Kramont Realty Trust REIT 122,225 2,212 * Trammell Crow Co. 166,671 2,208 * SOURCECORP, Inc. 86,151 2,208 The Nautilus Group, Inc. 156,979 2,206 NACCO Industries, Inc. Class A 24,640 2,205 * America West Holdings Corp. Class B 177,791 2,205 * ManTech International Corp. 88,350 2,204 CDI Corp. 67,132 2,199 * Priceline.com, Inc. 122,613 2,195 * Steak n Shake Co. 122,911 2,194 Cato Corp. Class A 106,759 2,189 * Right Management Consultants, Inc. 117,280 2,188 * SERENA Software, Inc. 119,219 2,188 Central Pacific Financial Co. 72,770 2,186 Chesapeake Corp. of Virginia 82,266 2,178 * Big 5 Sporting Goods Corp. 103,900 2,177 Sterling Bancorp 76,046 2,167 * Artisan Components, Inc. 105,600 2,165 * UICI 162,999 2,165 Phillips-Van Heusen Corp. 121,719 2,159 * Cable Design Technologies Corp. 240,023 2,158 * Atlantic Coast Airlines Holdings Inc. 217,767 2,156 Fidelity Bankshares, Inc. 68,609 2,154 * Enbridge Energy Management 44,565 2,153 AMCOL International Corp. 106,600 2,153 * Champion Enterprises, Inc. 306,935 2,149 GenCorp, Inc. 198,712 2,140 Russell Corp. 121,645 2,136 Oriental Financial Group Inc. 82,896 2,130 * Nuevo Energy Co. 88,134 2,130 * aQuantive, Inc. 207,421 2,125 The Topps Co., Inc. 207,009 2,124 * MeriStar Hospitality Corp. REIT 326,018 2,122 * Fleetwood Enterprises, Inc. 206,679 2,121 MTS Systems Corp. 110,236 2,120 * Pixelworks, Inc. 191,780 2,117 * CV Therapeutics, Inc. 144,345 2,116 * Sharper Image Corp. 64,800 2,116 * Tanox, Inc. 142,329 2,114 28 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- First Financial Holdings, Inc. 67,554 $ 2,112 * Mesa Air Group Inc. 168,528 2,110 M/I Schottenstein Homes, Inc. 53,803 2,101 * Mastec Inc. 141,600 2,097 Applied Industrial Technology, Inc. 87,832 2,096 * Global Industries Ltd. 406,916 2,096 * Stillwater Mining Co. 217,953 2,086 * Spanish Broadcasting System, Inc. 198,420 2,083 * Excel Technology, Inc. 63,335 2,081 Valmont Industries, Inc. 89,850 2,080 * Lionbridge Technologies, Inc. 215,902 2,075 Cohu, Inc. 108,289 2,074 New England Business Service, Inc. 70,291 2,074 * Standard Microsystem Corp. 81,766 2,069 * Caraustar Industries, Inc. 149,902 2,069 Stewart & Stevenson Services, Inc. 146,906 2,064 * Align Technology, Inc. 124,802 2,062 * Orthodontic Centers of America, Inc. 255,841 2,060 * SafeNet, Inc. 66,900 2,059 Analogic Corp. 50,198 2,058 * aaiPharma Inc. 81,841 2,056 * Tower Automotive, Inc. 300,986 2,056 American States Water Co. 82,137 2,053 * Trimeris, Inc. 97,759 2,051 * Identix, Inc. 460,647 2,050 Russ Berrie and Co., Inc. 60,447 2,049 * Old Dominion Freight Line, Inc. 59,964 2,044 * Kyphon Inc. 82,249 2,042 * Gardner Denver Inc. 85,541 2,042 * InFocus Corp. 210,856 2,041 * Geron Corp. 204,306 2,037 * Consolidated Graphics, Inc. 64,464 2,036 Hooper Holmes, Inc. 329,372 2,036 Independent Bank Corp. (MA) 70,600 2,035 * LabOne, Inc. 62,595 2,032 CTS Corp. 176,236 2,027 Suffolk Bancorp 58,642 2,025 * Heidrick & Struggles International, Inc. 92,866 2,024 * Robert Mondavi Corp. Class A 52,032 2,021 Greif Inc. Class A 56,891 2,020 * Manugistics Group, Inc. 323,188 2,020 * Itron, Inc. 109,969 2,019 Oakley, Inc. 145,517 2,014 * Immucor Inc. 98,697 2,012 Burlington Coat Factory Warehouse Corp. 94,815 2,006 * Jo-Ann Stores, Inc. 98,243 2,004 * Alaris Medical, Inc. 131,637 2,002 First Federal Capital Corp. 88,882 2,002 Sterling Financial Corp. (PA) 72,110 2,001 * Oil States International, Inc. 143,283 1,997 * SeaChange International, Inc. 129,687 1,996 * Alexion Pharmaceuticals, Inc. 117,253 1,996 Town & Country Trust REIT 78,258 1,984 * Newpark Resources, Inc. 412,910 1,978 * Lawson Software Inc. 240,237 1,977 * Intermagnetics General Corp. 89,059 1,974 * Avanex Corp. 394,529 1,969 Cubic Corp. 85,551 1,968 Equity Inns, Inc. REIT 216,804 1,962 Libbey, Inc. 68,681 1,956 EDO Corp. 79,340 1,956 * Hydrill Co. 81,653 1,954 Allegiant Bancorp, Inc. 69,565 1,951 Landauer, Inc. 47,600 1,941 Firstfed America Bancorp, Inc. 74,402 1,937 * California Pizza Kitchen, Inc. 96,200 1,937 * Genesis Healthcare Corp 84,991 1,936 Pulitzer, Inc. 35,676 1,927 * ChipPAC, Inc. 253,437 1,924 * ValueVision Media, Inc. 115,130 1,923 * West Marine, Inc. 69,130 1,923 * Energy Partners, Ltd. 137,957 1,918 Kimball International, Inc. Class B 123,231 1,916 * Opsware, Inc. 258,750 1,915 Berry Petroleum Class A 94,376 1,911 * Keystone Automotive Industries, Inc. 75,322 1,910 Tredegar Corp. 122,893 1,909 * Harris Interactive Inc. 229,844 1,908 * Wireless Facilities, Inc. 128,256 1,906 * Concord Communications, Inc. 95,422 1,906 * SurModics, Inc. 79,696 1,905 * Atwood Oceanics, Inc. 59,629 1,905 PrivateBancorp, Inc. 41,783 1,902 * The Children's Place Retail Stores, Inc. 71,152 1,902 * Mattson Technology, Inc. 155,462 1,900 United Community Financial Corp. 166,117 1,895 * Young Broadcasting Inc. 94,556 1,895 * Stratex Networks, Inc. 445,843 1,895 * Ocwen Financial Corp. 213,786 1,894 Simmons First National Corp. 67,753 1,890 * Local Financial Corp. 90,568 1,887 * Daktronics, Inc. 74,766 1,881 Lithia Motors, Inc. 74,500 1,878 29 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Boca Resorts, Inc. Class A 125,518 $ 1,878 * Veritas DGC Inc. 179,137 1,877 * Possis Medical Inc. 95,043 1,877 * RTI International Metals Inc. 111,236 1,877 * DuPont Photomasks, Inc. 77,682 1,875 * CompuCredit Corp. 87,739 1,867 * Harvest Natural Resources, Inc. 187,641 1,867 * Coinstar, Inc. 103,360 1,867 * SupportSoft, Inc. 141,712 1,864 * Duane Reade Inc. 109,907 1,860 * WFS Financial, Inc. 43,678 1,855 * Verso Technologies, Inc. 578,968 1,853 * Planar Systems, Inc. 76,068 1,850 World Fuel Services Corp. 54,474 1,849 Weis Markets, Inc. 50,863 1,846 U.S. Restaurant Properties, Inc. REIT 108,100 1,842 BSB Bancorp, Inc. 46,582 1,839 Community Trust Bancorp Inc. 60,864 1,838 * Noven Pharmaceuticals, Inc. 120,636 1,835 Integra Bank Corp. 83,310 1,831 Newcastle Investment Corp. REIT 67,530 1,830 * Red Robin Gourmet Burgers 60,110 1,830 * Hologic, Inc. 105,529 1,829 * General Communication, Inc. 210,207 1,829 Sea Containers Ltd. Class A 99,619 1,818 * Netegrity, Inc. 176,261 1,817 * RehabCare Group, Inc. 85,464 1,817 * RailAmerica, Inc. 153,881 1,816 * Plug Power, Inc. 249,652 1,810 * O'Charley's Inc. 100,726 1,808 * Prima Energy Corp. 51,347 1,805 * Pharmacopeia, Inc. 126,697 1,800 Universal Health Realty Income REIT 59,700 1,797 American Woodmark Corp. 32,637 1,797 IBERIABANK Corp. 30,441 1,796 Arctic Cat, Inc. 72,676 1,795 Zenith National Insurance Corp. 55,014 1,791 Orient-Express Hotel Ltd. 108,661 1,785 The Marcus Corp. 108,701 1,783 * Accredited Home Lenders Holding Co. 58,224 1,782 * National Western Life Insurance Co. Class A 11,500 1,781 Walter Industries, Inc. 133,364 1,780 * Genesco, Inc. 116,917 1,769 Capitol Bancorp Ltd. 62,280 1,769 * Argonaut Group, Inc. 113,706 1,767 CIRCOR International, Inc. 73,301 1,767 * Tejon Ranch Co. 43,010 1,764 * Ceradyne, Inc. 51,763 1,763 Riggs National Corp. 106,651 1,763 * Unifi, Inc. 273,217 1,762 * Myriad Genetics, Inc. 136,967 1,761 Haverty Furniture Cos., Inc. 88,602 1,760 * TiVo Inc. 237,160 1,755 First Financial Corp. (IN) 58,314 1,750 * Isis Pharmaceuticals, Inc. 269,006 1,749 Washington Trust Bancorp, Inc. 66,645 1,746 Glatfelter 140,172 1,745 * The Dress Barn, Inc. 116,218 1,742 * Zymogenetics, Inc. 112,374 1,742 Wellman, Inc. 170,517 1,741 * JAKKS Pacific, Inc. 132,145 1,739 * General Maritime Corp. 98,779 1,739 Royal Gold, Inc. 82,950 1,736 * 4Kids Entertainment Inc. 66,691 1,735 Community Banks, Inc. 44,089 1,733 * Hanger Orthopedic Group, Inc. 111,084 1,730 West Coast Bancorp 80,781 1,724 * Zoll Medical Corp. 48,534 1,722 * Pre-Paid Legal Services, Inc. 65,356 1,707 * Aviall Inc. 109,966 1,706 First Community Bancshares, Inc. 50,966 1,690 Innkeepers USA Trust REIT 201,477 1,686 PXRE Group Ltd. 71,486 1,685 * Buckeye Technology, Inc. 167,170 1,680 * Cross Country Healthcare, Inc. 112,461 1,678 * CKE Restaurants Inc. 262,438 1,676 Action Performance Cos., Inc. 85,479 1,675 * OraSure Technologies, Inc. 210,383 1,675 * Echelon Corp. 150,089 1,672 * Albany Molecular Research, Inc. 111,180 1,670 * Electronics Boutique Holdings Corp. 72,860 1,668 * Isle of Capri Casinos, Inc. 77,660 1,667 * Westell Technologies, Inc. 263,903 1,665 * International Multifoods Corp. 92,481 1,665 Investors Real Estate Trust REIT 168,106 1,664 * Wild Oats Markets Inc. 128,637 1,663 * Brightpoint, Inc. 96,045 1,657 * GameStop Corp. 107,400 1,655 * CuraGen Corp. 225,100 1,650 * II-VI, Inc. 63,924 1,649 * SonoSite, Inc. 76,893 1,649 Tennant Co. 38,031 1,647 * Century Business Services, Inc. 368,112 1,645 * Anaren, Inc. 116,455 1,644 Capital City Bank Group, Inc. 35,642 1,639 Agilysys, Inc. 146,738 1,636 * Exult Inc. 229,513 1,634 Bel Fuse, Inc. Class B 49,863 1,627 30 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * ITLA Capital Corp. 32,401 $ 1,623 Main Street Banks, Inc. 61,046 1,618 United Fire & Casualty Co. 40,069 1,617 * Plains Resources Inc. 100,669 1,616 Dimon Inc. 239,161 1,614 * Autobytel Inc. 177,468 1,611 * Rainbow Technologies, Inc. 143,029 1,611 Flushing Financial Corp. 87,751 1,604 * Rudolph Technologies, Inc. 65,217 1,600 * Gartner, Inc. Class A 141,461 1,600 Prosperity Bancshares, Inc. 70,990 1,599 * PRAECIS Pharmaceuticals Inc. 248,199 1,598 * EPIX Medical, Inc. 97,677 1,590 * MatrixOne, Inc. 258,130 1,590 Triarc Cos., Inc. Class B 147,200 1,587 * ActivCard Corp. 200,586 1,581 * PRIMEDIA Inc. 558,391 1,580 * Lone Star Technologies, Inc. 98,573 1,575 * Gentiva Health Services, Inc. 124,499 1,574 Talx Corp. 68,299 1,573 * Kadant Inc. 72,595 1,572 * USANA Health Sciences, Inc. 51,249 1,568 * Cell Therapeutics, Inc. 179,165 1,559 Standex International Corp. 55,619 1,557 * Tyler Technologies, Inc. 161,671 1,557 Iomega Corp. 260,321 1,557 * New Focus, Inc. 309,859 1,555 * Ameristar Casinos, Inc. 63,318 1,549 Columbia Banking System, Inc. 71,418 1,547 * MemberWorks, Inc. 56,551 1,536 * Net2Phone, Inc. 225,684 1,535 * Bombay Co. 188,275 1,533 * Fisher Communications, Inc. 30,016 1,531 * Terayon Communications Systems, Inc. 338,743 1,524 * RC2 Corp. 73,394 1,523 * Commercial Capital Bancorp, Inc. 70,599 1,512 * MRO Software Inc. 112,211 1,509 * Dendreon Corp. 187,157 1,508 Lindsay Manufacturing Co. 59,736 1,508 * Corixa Corp. 249,440 1,507 * Electro Rent Corp. 112,868 1,506 * FreeMarkets, Inc. 224,748 1,504 * Trex Co., Inc. 39,451 1,498 * Federal Agricultural Mortgage Corp. Class C 46,877 1,498 Central Vermont Public Service Corp. 63,579 1,494 Kaman Corp. Class A 117,223 1,492 * Inet Technologies, Inc. 124,273 1,491 Omega Financial Corp. 38,708 1,490 * William Lyon Homes, Inc. 23,651 1,485 * Hawthorne Financial Corp. 52,991 1,483 * SPSS, Inc. 82,743 1,479 Quaker Chemical Corp. 47,905 1,473 * Information Holdings Inc. 66,622 1,472 * Chattem, Inc. 82,200 1,471 * Ixia 125,581 1,469 Myers Industries, Inc. 120,746 1,463 State Auto Financial Corp. 62,548 1,463 * Siliconix, Inc. 31,905 1,458 Gabelli Asset Management Inc. 36,600 1,457 * Savient Pharmaceuticals Inc. 315,476 1,454 * Inverness Medical Innovations, Inc. 66,601 1,451 * Molecular Devices Corp. 76,301 1,449 * Concurrent Computer Corp. 331,485 1,448 * Tenneco Automotive, Inc. 216,442 1,448 Republic Bancshares, Inc. 45,931 1,445 Saul Centers, Inc. REIT 50,405 1,445 Pilgrim's Pride Corp. 88,490 1,445 Hancock Fabrics, Inc. 99,751 1,444 * Mobile Mini, Inc. 73,171 1,443 * Metrologic Instruments, Inc. 53,356 1,441 Deltic Timber Corp. 47,338 1,439 Central Parking Corp. 96,343 1,438 Presidential Life Corp. 109,220 1,437 * Synaptics Inc. 95,560 1,431 WSFS Financial Corp. 31,823 1,427 Harleysville Group, Inc. 71,715 1,426 Urstadt Biddle Properties Class A REIT 100,601 1,424 Quaker City Bancorp, Inc. 30,475 1,419 Kenneth Cole Productions, Inc. 48,250 1,419 * AMN Healthcare Services, Inc. 82,484 1,415 Apogee Enterprises, Inc. 124,593 1,414 CCBT Financial Cos. Inc. 40,341 1,410 * Silicon Graphics, Inc. 1,028,561 1,409 Lance, Inc. 93,309 1,402 Pope & Talbot, Inc. 79,344 1,397 Tompkins Trustco, Inc. 30,331 1,397 * Forrester Research, Inc. 78,070 1,395 Ameron International Corp. 40,100 1,391 * Playtex Products, Inc. 179,742 1,389 * MTR Gaming Group Inc. 134,762 1,388 * MSC.Software Corp. 146,831 1,388 * A.C. Moore Arts & Crafts, Inc. 72,028 1,387 * CorVel Corp. 36,794 1,383 * Computer Network Technology Corp. 145,000 1,383 SWS Group, Inc. 77,647 1,382 * Pericom Semiconductor Corp. 129,611 1,381 OceanFirst Financial Corp. 50,855 1,381 31 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * NeoPharm, Inc. 75,341 $ 1,380 * Talk America Holdings, Inc. 119,731 1,379 NUI Corp. 85,426 1,377 Bank of Granite Corp. 63,182 1,376 * Herley Industries Inc. 66,466 1,376 * Intrado Inc. 62,480 1,371 * Navigators Group, Inc. 44,404 1,371 * Metris Cos., Inc. 308,523 1,370 First Busey Corp. 50,710 1,369 Courier Corp. 35,576 1,369 * Lexicon Genetics Inc. 232,043 1,367 Banner Corp. 54,338 1,367 Vector Group Ltd. 83,702 1,366 * Universal Display Corp. 99,894 1,366 * Citizens, Inc. 144,807 1,366 * Steven Madden, Ltd. 66,900 1,365 Holly Corp. 49,421 1,359 Coachmen Industries, Inc. 74,942 1,357 * SciClone Pharmaceuticals, Inc. 199,518 1,353 CityBank Lynnwood WA 41,590 1,352 * The Wet Seal, Inc. Class A 136,161 1,347 Peoples Bancorp, Inc. 45,518 1,343 LSI Industries Inc. 99,412 1,342 First Source Corp. 62,356 1,341 First Bancorp (NC) 42,701 1,340 * Group 1 Software, Inc. 75,954 1,338 * Concur Technologies, Inc. 138,015 1,336 Ennis Business Forms, Inc. 86,800 1,328 * OSI Systems Inc. 69,100 1,327 Skyline Corp. 38,029 1,326 * J. Jill Group, Inc. 103,900 1,321 Movado Group, Inc. 46,723 1,319 McGrath Rent Corp. 48,376 1,318 Old Second Bancorp, Inc. 26,617 1,318 * CCC Information Services Group 77,858 1,316 * Antigenics, Inc. 115,928 1,312 * Cole National Corp. Class A 65,579 1,312 * J & J Snack Foods Corp. 34,627 1,308 Keithley Instruments Inc. 70,958 1,299 * Interface, Inc. 234,660 1,298 Troy Financial Corp. 36,966 1,294 Great Lakes, Inc. REIT 82,401 1,294 Peoples Holding Co. 39,196 1,293 * Salem Communications Corp. 47,643 1,292 * EPIQ Systems, Inc. 75,350 1,291 * Avatar Holding, Inc. 34,896 1,289 North Pittsburgh Systems, Inc. 68,122 1,288 HEICO Corp. 70,762 1,288 Virginia Financial Group, Inc. 36,221 1,287 * Audiovox Corp. 99,998 1,284 * Maxygen Inc. 120,766 1,284 CT Communications, Inc. 94,833 1,280 * Columbia Laboratories Inc. 203,200 1,280 * MarineMax, Inc. 65,831 1,279 * Presstek, Inc. 175,140 1,273 * Tollgrade Communications, Inc. 72,473 1,270 * Vicor Corp. 111,311 1,270 * Parker Drilling Co. 497,860 1,269 * Universal American Financial Corp. 128,099 1,269 * Playboy Enterprises, Inc. Class B 78,406 1,267 Churchill Downs, Inc. 34,999 1,267 * Diversa Corp. 136,689 1,264 Midwest Banc Holdings, Inc. 56,728 1,262 * Regent Communications, Inc. 198,766 1,262 * Verint Systems Inc. 55,797 1,259 Financial Institutions, Inc. 44,525 1,257 * 1-800-FLOWERS.COM, Inc. 113,526 1,256 S.Y. Bancorp, Inc. 61,066 1,256 * Asbury Automotive Group, Inc. 70,050 1,255 * Central European Distribution Corp. 39,671 1,254 CSS Industries, Inc. 40,350 1,251 * Pegasus Solutions Inc. 119,337 1,249 Cascade Natural Gas Corp. 59,244 1,249 First Indiana Corp. 66,416 1,245 * Closure Medical Corp. 36,597 1,242 Arrow Financial Corp. 44,568 1,238 BEI Technologies, Inc. 61,716 1,234 Penn Engineering & Manufacturing Corp. 64,751 1,232 CB Bancshares Inc. (HI) 19,552 1,231 * Clark, Inc. 63,547 1,223 * Verisity Ltd. 95,880 1,222 Mission West Properties Inc. REIT 94,180 1,220 * Strattec Security Corp. 19,997 1,218 Sturm, Ruger & Co., Inc. 106,903 1,214 * Oplink Communications, Inc. 507,518 1,213 * Sequa Corp. Class A 24,641 1,207 * Credit Acceptance Corp. 78,829 1,206 * Bally Total Fitness Holding Corp. 171,532 1,201 * PDF Solutions, Inc. 80,338 1,197 * FalconStor Software, Inc. 136,734 1,195 * iPayment Holdings, Inc. 34,900 1,187 * Stein Mart, Inc. 143,896 1,186 * Renaissance Learning, Inc. 49,065 1,181 * Lightbridge, Inc. 129,415 1,178 Great Southern Bancorp, Inc. 25,354 1,176 * Stamps.com Inc. 189,374 1,174 * Kensey Nash Corp. 50,497 1,174 Union Bankshares Corp. 38,486 1,174 First Place Financial Corp. 60,002 1,172 32 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Portfolio Recovery Associates, Inc. 44,104 $ 1,171 * Triton PCS, Inc. 209,655 1,170 * K-V Pharmaceutical Co. Class B 45,112 1,169 Connecticut Water Services, Inc. 42,224 1,167 Robbins & Myers, Inc. 61,408 1,166 First National Corp. 38,815 1,165 * Conceptus, Inc. 109,638 1,164 Partners Trust Financial Group, Inc. 34,021 1,157 The Standard Register Co. 68,722 1,157 Bank of the Ozarks, Inc. 51,376 1,156 * Drugstore.com, Inc. 209,832 1,156 Calgon Carbon Corp. 186,110 1,156 * Dura Automotive Systems, Inc. 89,745 1,146 * Neoware Systems, Inc. 83,522 1,144 Second Bancorp, Inc. 43,199 1,140 * infoUSA Inc. 153,688 1,140 * SeeBeyond Technology Corp. 265,811 1,140 Seacoast Banking Corp. of Florida 65,462 1,136 Pennrock Financial Services Corp. 36,542 1,136 * Wackenhut Corrections Corp. 49,567 1,130 * White Electronic Designs Corp. 127,890 1,125 UniFirst Corp. 47,460 1,125 * The TriZetto Group, Inc. 173,938 1,122 Vital Signs, Inc. 34,215 1,119 * Digimarc Corp. 83,956 1,117 * Gulfmark Offshore, Inc. 79,745 1,116 * OpenTV Corp. 332,899 1,115 Midland Co. 47,051 1,111 * Input/Output, Inc. 245,752 1,108 * Portal Software, Inc. 164,251 1,105 * Entrust, Inc. 270,900 1,105 * Komag, Inc. 75,235 1,101 Building Materials Holding Corp. 70,685 1,098 Standard Commercial Tobacco Co. 54,597 1,096 Camden National Corp. 36,078 1,095 Lakeland Bancorp, Inc. 67,954 1,091 * Astec Industries, Inc. 88,565 1,087 * Saga Communications, Inc. 58,589 1,086 * PalmSource, Inc. 49,644 1,082 * Stoneridge, Inc. 71,462 1,076 Startek, Inc. 26,351 1,075 * Keynote Systems Inc. 90,016 1,071 First Oak Brook Bancshares, Inc. 35,634 1,069 Baldwin & Lyons, Inc. Class B 38,003 1,065 * Bioreliance Corp. 22,143 1,059 * Peet's Coffee & Tea Inc. 60,800 1,058 Young Innovations, Inc. 29,400 1,058 Integral Systems, Inc. 49,062 1,056 * Steiner Leisure Ltd. 73,724 1,054 * Aftermarket Technology Corp. 76,801 1,054 * Crown Media Holdings, Inc. 127,200 1,052 * ImmunoGen, Inc. 205,458 1,038 Peapack Gladstone Financial Corp. 33,452 1,037 * PRG-Schultz International, Inc. 211,307 1,035 Coca-Cola Bottling Co. 19,354 1,035 Farmers Capital Bank Corp. 30,415 1,034 * InterCept, Inc. 91,440 1,032 * CardioDynamics International Corp. 172,801 1,032 * Global Power Equipment Group Inc. 154,296 1,031 Angelica Corp. 46,614 1,026 United Industrial Corp. 56,629 1,022 * Embarcadero Technologies, Inc. 63,640 1,015 * MTC Technologies, Inc. 31,500 1,015 * Tweeter Home Entertainment Group, Inc. 107,207 1,013 SJW Corp. 11,300 1,009 * Volt Information Sciences Inc. 44,624 1,009 Capstead Mortgage Corp. REIT 59,754 1,003 Pennfed Financial Services, Inc. 29,664 994 Blair Corp. 40,818 994 The Buckle, Inc. 44,802 992 Oshkosh B' Gosh, Inc. Class A 46,198 991 * PEC Solutions, Inc. 57,933 982 * Palm Harbor Homes, Inc. 54,895 981 * AAON, Inc. 50,530 981 NBC Capital Corp. 36,634 977 * iGATE Corp. 123,821 972 * Immunomedics Inc. 213,046 971 * Alloy, Inc. 186,418 971 * IXYS Corp. 103,625 969 Sanderson Farms, Inc. 24,000 967 * Semitool, Inc. 89,979 965 * Hudson Highland Group, Inc. 40,400 964 * Rewards Network Inc. 90,201 962 Gorman-Rupp Co. 36,114 953 Capital Southwest Corp. 15,300 949 * Charlotte Russe Holding Inc. 67,900 941 * Navigant International, Inc. 67,900 940 Riviana Foods, Inc. 34,302 940 Republic Bancorp, Inc. Class A 47,930 937 Shenandoah Telecommunications Co. 18,101 928 * Blue Rhino Corp. 66,301 921 Advanced Marketing Services 80,445 917 * Pozen Inc. 89,865 917 Lawson Products, Inc. 27,547 914 National Presto Industries, Inc. 25,235 912 * WatchGuard Technologies, Inc. 155,913 907 33 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * TransMontaigne Inc. 140,146 $ 904 * Monolithic System Technology, Inc. 105,000 898 * Hollis-Eden Pharmaceuticals, Inc. 81,166 894 * Lydall, Inc. 87,515 892 Advanta Corp. Class B 70,048 891 Hanmi Financial Corp. 44,792 886 * bebe stores, inc 33,830 878 CoBiz Inc. 47,334 872 * Learning Tree International, Inc. 50,132 872 * Vail Resorts Inc. 51,249 871 * CNA Surety Corp. 91,453 870 * Covenant Transport, Inc. 45,669 868 German American Bancorp 49,133 860 Triarc Cos., Inc. Class A 72,400 856 BancFirst Corp. 14,560 855 * Boston Communications Group, Inc. 91,192 847 * Paxson Communications Corp. 219,640 846 * Boston Beer Co., Inc. Class A 45,101 818 Citizens 1st Bancorp, Inc. 35,750 815 * Atari, Inc. 192,952 810 * Energy Conversion Devices, Inc. 89,683 810 CFS Bancorp, Inc. 54,543 809 * Skechers U.S.A., Inc. 99,261 809 * Radiant Systems, Inc. 95,196 801 * National Healthcare Corp. 39,696 790 Stepan Co. 30,676 787 Syntel, Inc. 31,637 782 * Tier Technologies, Inc. 94,875 775 * Gene Logic Inc. 149,183 774 * Exact Sciences Corp. 75,879 768 * The Great Atlantic & Pacific Tea Co., Inc. 91,395 768 * P.A.M. Transportation Services, Inc. 35,748 763 * QAD Inc. 61,220 751 * Gulf Island Fabrication, Inc. 43,504 741 Bay View Capital Corp. 340,789 729 * barnesandnoble.com inc 244,967 723 * Drexler Technology Corp. 52,820 722 * Party City Corp. 56,294 714 * PC Connection, Inc. 85,324 714 * McLeod USA Inc. 479,600 710 * Medical Staffing Network Holdings, Inc. 63,991 701 * Specialty Laboratories, Inc. 41,200 692 * CompuCom Systems, Inc. 131,508 689 * Infonet Services Corp. 401,299 682 Computer Programs and Systems, Inc. 33,140 667 * Wesco International, Inc. 74,685 661 * Vastera, Inc. 164,423 658 * Martha Stewart Living Omnimedia, Inc. 66,700 657 * Powell Industries, Inc. 34,120 653 * 1-800 CONTACTS, Inc. 31,110 653 * Beasley Broadcast Group, Inc. 39,710 652 Alico, Inc. 18,718 651 * Del Laboratories, Inc. 25,937 648 * Ulticom, Inc. 67,000 647 * Neoforma, Inc. 60,400 643 * MedQuist, Inc. 39,627 636 * GSI Commerce, Inc. 64,699 632 * Virage Logic Corp. 61,762 628 * NetRatings, Inc. 54,600 624 * Kirkland's, Inc. 35,250 623 * Arena Pharmaceuticals, Inc. 98,953 614 Franklin Financial Corp. 19,842 610 PMA Capital Corp. Class A 117,006 599 NL Industries, Inc. 50,900 596 * Shoe Carnival, Inc. 33,451 595 * Dril-Quip, Inc. 36,490 595 Royal Bancshares of Pennsylvania, Inc. 23,281 594 * General Binding Corp. 32,207 580 Advanta Corp. Class A 44,380 576 * Collins & Aikman Corp. 133,099 576 Deb Shops, Inc. 25,600 550 * Guess?, Inc. 45,525 549 Acadia Realty Trust REIT 43,199 540 Ingles Markets, Inc. 52,549 540 * Lannett Company, Inc. 31,701 533 * Brucker BioSciences Corp. 113,978 519 Dover Downs Gaming & Entertainment, Inc. 54,527 516 * Mothers Work, Inc. 20,826 508 * FTD, Inc. 20,250 499 Arden Group Inc. Class A 6,307 489 * The Boyds Collection, Ltd. 111,191 473 * Pegasystems Inc. 54,192 467 * Galyan's Trading Co. 36,393 438 Curtiss-Wright Corp. Class B 9,600 431 * Restoration Hardware, Inc. 88,263 419 * NASSDA Corp. 47,963 348 Crawford & Co. Class B 45,567 322 * McDATA Corp. 29,100 277 * Alliance Imaging, Inc. 74,100 274 * ICT Group, Inc. 22,400 263 Tecumseh Products Co. Class B 5,200 245 * Dynacq Healthcare, Inc 31,190 240 Urstadt Biddle Properties REIT 16,400 223 Bandag, Inc. Class A 4,500 182 * Raytech Corp. 42,594 141 34 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- HEICO Corp. Class A 9,710 $ 136 * Revlon, Inc. Class A 60,274 135 * Insurance Auto Auctions, Inc. 3,529 46 * SureBeam Corp. 157,211 34 * Magnum Hunter Resources Inc. Warrants Exp. 3/21/2005 36,400 20 * Microstrategy Inc. Warrants Exp. 6/24/2007 11,775 3 * Optical Cable Corp. Warrants Exp. 10/24/2007 953 2 Timco Aviation Services, Inc. 8.00%, 1/2/2007 Cvt 11,722 1 * CSF Holdings Inc. Contingent Litigation Rights 29,125 -- * ProcureNet, Inc. 136,100 -- -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $5,260,263) $ 7,019,949 -------------------------------------------------------------------------------- FACE AMOUNT (000) -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (6.1%)(1) -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.06%, 1/14/2004 $ 2,000 1,999 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.98%, 1/2/2004 34,863 34,863 0.99%, 1/2/2004--Note E 390,557 390,557 -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $427,419 ) $ 427,419 -------------------------------------------------------------------------------- TOTAL INVESTMENTS (105.8%) (Cost $5,687,682) $ 7,447,368 -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-5.8%) -------------------------------------------------------------------------------- Other Assets--Note B 58,162 Security Lending Collateral Payable to Brokers--Note E (390,557) Other Liabilities (77,458) ---------------- $ (409,853) ---------------- -------------------------------------------------------------------------------- NET ASSETS (100%) $7,037,515 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1) The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 5.9%, respectively, of net assets. See Note C in Notes to Financial Statements. (2) Security has been segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. -------------------------------------------------------------------------------- AMOUNT (000) -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: -------------------------------------------------------------------------------- Paid-in Capital $ 6,294,219 Overdistributed Net Investment Income (7,071) Accumulated Net Realized Losses (1,009,586) Unrealized Appreciation Investment Securities 1,759,686 Futures Contracts 267 -------------------------------------------------------------------------------- NET ASSETS $7,037,515 ================================================================================ Investor Shares--Net Assets Applicable to 215,519,024 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 4,870,517 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 22.60 ================================================================================ Admiral Shares--Net Assets Applicable to 46,731,224 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 1,056,102 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 22.60 ================================================================================ Institutional Shares--Net Assets Applicable to 49,134,957 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 1,110,896 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 22.61 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 35 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%) -------------------------------------------------------------------------------- * Novell, Inc. 542,353 $ 5,706 * PMC Sierra Inc. 247,600 4,989 * International Rectifier Corp. 93,146 4,602 * Rite Aid Corp. 748,621 4,522 * Sirius Satellite Radio, Inc. 1,400,659 4,426 * Foundry Networks, Inc. 156,468 4,281 GTECH Holdings Corp. 86,180 4,265 * Cognizant Technology Solutions Corp. 91,346 4,169 * Rambus Inc. 127,917 3,927 * DaVita, Inc. 96,545 3,765 * Mid Atlantic Medical Services, Inc. 57,753 3,742 * Red Hat, Inc. 199,324 3,741 * Cypress Semiconductor Corp. 171,776 3,669 * XM Satellite Radio Holdings, Inc. 136,812 3,606 Catellus Development Corp. 143,015 3,450 The Chicago Mercantile Exchange 47,476 3,435 * Western Digital Corp. 287,625 3,391 * Arrow Electronics, Inc. 146,360 3,387 Donaldson Co., Inc. 56,613 3,349 * American Tower Corp. Class A 303,802 3,287 * ImClone Systems, Inc. 81,199 3,220 * Pharmaceutical Resources, Inc. 49,048 3,195 Applebee's International, Inc. 81,030 3,182 Certegy, Inc. 96,096 3,152 * Fisher Scientific International Inc. 75,898 3,140 * Monster Worldwide Inc. 140,413 3,083 * Getty Images, Inc. 61,014 3,059 * ITT Educational Services, Inc. 65,077 3,057 * AMR Corp. 230,655 2,987 PerkinElmer, Inc. 174,804 2,984 * Sepracor Inc. 123,000 2,943 * Renal Care Group, Inc. 71,416 2,942 Waddell & Reed Financial, Inc. 120,162 2,819 * Polycom, Inc. 143,510 2,801 Polaris Industries, Inc. 31,475 2,788 * Neurocrine Biosciences, Inc. 51,012 2,782 Medicis Pharmaceutical Corp. 38,812 2,767 * Education Management Corp. 88,042 2,733 * Edwards Lifesciences Corp. 89,896 2,704 CBRL Group, Inc. 70,630 2,702 * O'Reilly Automotive, Inc. 70,383 2,700 * Barnes & Noble, Inc. 82,128 2,698 Ruby Tuesday, Inc. 94,180 2,683 * Applied Micro Circuits Corp. 442,494 2,646 * UnitedGlobalCom Inc. Class A 310,291 2,631 * Varco International, Inc. 127,293 2,626 * Ultra Petroleum Corp. 105,621 2,600 * Integrated Device Technology Inc. 151,126 2,595 Autodesk, Inc. 105,360 2,590 * Mettler-Toledo International Inc. 61,272 2,586 Roper Industries Inc. 52,235 2,573 * Stericycle, Inc. 54,754 2,557 * The Corporate Executive Board Co. 54,764 2,556 * Sonus Networks, Inc. 335,267 2,535 * Gen-Probe Inc. 69,464 2,533 Graco, Inc. 63,130 2,532 * Advanced Fibre Communications, Inc. 124,312 2,505 * Martek Biosciences Corp. 37,948 2,465 Oshkosh Truck Corp. 48,258 2,463 * Avocent Corp. 67,212 2,455 * Semtech Corp. 106,612 2,423 * Invitrogen Corp. 34,609 2,423 UCBH Holdings, Inc. 61,951 2,414 * Covance, Inc. 89,395 2,396 * Atmel Corp. 398,323 2,394 * Andrx Group 99,263 2,386 * Pacific Sunwear of California, Inc. 112,798 2,382 * Integrated Circuit Systems, Inc. 83,489 2,379 Regis Corp. 60,173 2,378 * Cymer, Inc. 50,970 2,354 * Earthlink, Inc. 232,964 2,330 * Protein Design Labs, Inc. 129,118 2,311 * IDEXX Laboratories Corp. 49,798 2,305 Patina Oil & Gas Corp. 46,526 2,279 Claire's Stores, Inc. 120,824 2,276 * STERIS Corp. 100,646 2,275 * Performance Food Group Co. 62,798 2,271 * Apria Healthcare Group Inc. 79,428 2,261 * BearingPoint, Inc. 222,782 2,248 * Human Genome Sciences, Inc. 168,770 2,236 * Valassis Communications, Inc. 75,464 2,215 * Respironics, Inc. 48,843 2,202 Church & Dwight, Inc. 55,511 2,198 * Accredo Health, Inc. 69,327 2,191 * Cytyc Corp. 159,242 2,191 * Ascential Software Corp. 84,345 2,187 * Acxiom Corp. 117,770 2,187 * Grant Prideco, Inc. 167,460 2,180 * Varian Semiconductor Equipment Associates, Inc. 49,889 2,180 * DeVry, Inc. 86,295 2,169 * J.B. Hunt Transport Services, Inc. 80,262 2,168 * Charles River Laboratories, Inc. 62,815 2,156 Cooper Cos., Inc. 45,545 2,147 * Navistar International Corp. 44,815 2,146 36 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Affiliated Managers Group, Inc. 30,830 $ 2,145 * Western Wireless Corp. Class A 116,646 2,142 * Techne Corp. 56,105 2,120 * The Yankee Candle Co., Inc. 77,514 2,118 * Affymetrix, Inc. 85,546 2,105 Jack Henry & Associates Inc. 102,011 2,099 * Varian, Inc. 49,333 2,059 * Brocade Communications Systems, Inc. 355,431 2,054 * OmniVision Technologies, Inc. 37,098 2,050 * INAMED Corp. 42,531 2,044 * Marvel Enterprises Inc. 70,197 2,043 Helmerich & Payne, Inc. 72,730 2,031 * Hot Topic, Inc. 68,945 2,031 * CACI International, Inc. 41,655 2,025 * FMC Technologies Inc. 86,145 2,007 * Hovnanian Enterprises Inc. Class A 22,921 1,996 * Netscreen Technologies, Inc. 80,346 1,989 * Avid Technology, Inc. 41,055 1,971 * Pharmaceutical Product Development, Inc. 73,015 1,969 * Nextel Partners, Inc. 145,728 1,960 Engineered Support Systems, Inc. 35,525 1,956 * NII Holdings Inc. 26,182 1,954 W Holding Co., Inc. 104,686 1,948 * Tetra Tech, Inc. 78,186 1,944 * Key Energy Services, Inc. 188,274 1,941 * Emmis Communications, Inc. 71,577 1,936 * ResMed Inc. 46,561 1,934 * Linens 'n Things, Inc. 64,129 1,929 * United Defense Industries Inc. 60,424 1,926 * Tom Brown, Inc. 59,497 1,919 Global Payments Inc. 40,551 1,911 ADTRAN Inc. 61,562 1,908 * Scotts Co. 32,148 1,902 * Cree, Inc. 106,400 1,882 * Avnet, Inc. 86,779 1,880 East West Bancorp, Inc. 34,882 1,872 * Skyworks Solutions, Inc. 215,073 1,871 * Plantronics, Inc. 57,247 1,869 * Dade Behring Holdings Inc. 52,243 1,867 Joy Global Inc. 71,081 1,859 International Bancshares Corp. 39,186 1,848 * DoubleClick Inc. 179,476 1,834 * OSI Pharmaceuticals, Inc. 56,814 1,830 * Arbitron Inc. 43,666 1,822 * NBTY, Inc. 67,533 1,814 * Take-Two Interactive Software, Inc. 62,822 1,810 * Evergreen Resources, Inc. 55,666 1,810 Station Casinos, Inc. 59,064 1,809 * Vitesse Semiconductor Corp. 307,582 1,806 * Silicon Valley Bancshares 50,035 1,805 * Amkor Technology, Inc. 98,446 1,793 * P.F. Chang's China Bistro, Inc. 34,921 1,777 * CEC Entertainment Inc. 37,333 1,769 * Trimble Navigation Ltd. 47,261 1,760 * GrafTech International Ltd. 129,963 1,755 * FLIR Systems, Inc. 48,019 1,753 * Cabot Microelectronics Corp. 35,610 1,745 * Hyperion Solutions Corp. 57,815 1,743 * Alkermes, Inc. 128,998 1,741 * Kronos, Inc. 43,819 1,736 * Sonic Corp. 56,522 1,731 * Lexar Media, Inc. 98,980 1,725 * Copart, Inc. 104,277 1,721 * The Medicines Co. 58,046 1,710 * Interdigital Communications Corp. 82,012 1,693 * Silicon Laboratories Inc. 39,096 1,690 Strayer Education, Inc. 15,516 1,689 * SCP Pool Corp. 51,258 1,675 * Tractor Supply Co. 42,954 1,670 Herman Miller, Inc. 68,716 1,668 * Landstar System, Inc. 43,828 1,667 * Crown Castle International Corp. 150,641 1,662 * Amylin Pharmaceuticals, Inc. 74,678 1,659 * Swift Transportation Co., Inc. 78,679 1,654 Southwest Bancorporation of Texas, Inc. 42,054 1,634 * Charter Communications, Inc. 406,371 1,634 * IGEN International, Inc. 27,611 1,627 * Macromedia, Inc. 90,896 1,622 Mentor Corp. 67,385 1,621 * Sylvan Learning Systems, Inc. 56,270 1,620 * VISX Inc. 69,661 1,613 * Panera Bread Co. 40,644 1,607 Ryland Group, Inc. 18,066 1,601 * Alliance Data Systems Corp. 57,698 1,597 Cognex Corp. 56,426 1,593 * Alliance Gaming Corp. 64,401 1,587 * Akamai Technologies, Inc. 147,370 1,584 * UNOVA, Inc. 68,880 1,581 * LifePoint Hospitals, Inc. 53,437 1,574 Invacare Corp. 38,827 1,567 * Micrel, Inc. 100,527 1,566 * Sybron Dental Specialties, Inc. 55,484 1,559 * Waste Connections, Inc. 41,156 1,554 * Cerner Corp. 40,935 1,549 * Cumulus Media Inc. 69,514 1,529 * Brooks Automation, Inc. 62,747 1,517 Thor Industries, Inc. 26,921 1,513 37 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Timberland Co. 28,881 $ 1,504 Fred's, Inc. 48,187 1,493 * The Titan Corp. 68,005 1,483 * AMERIGROUP Corp. 34,677 1,479 Western Gas Resources, Inc. 31,301 1,479 * Kroll Inc. 56,612 1,472 * Axcelis Technologies, Inc. 143,609 1,468 * Anteon International Corp. 40,632 1,465 * Applera Corp.-Celera Genomics Group 104,862 1,459 * Mentor Graphics Corp. 99,994 1,454 Diagnostic Products Corp. 31,289 1,436 * Power Integrations, Inc. 42,851 1,434 * FileNET Corp. 52,933 1,433 * Odyssey Healthcare, Inc. 48,948 1,432 * Abgenix, Inc. 114,905 1,432 * Quiksilver, Inc. 80,139 1,421 * Telik, Inc. 61,577 1,417 Chesapeake Energy Corp. 104,241 1,416 * Catalina Marketing Corp. 69,713 1,405 * PETCO Animal Supplies, Inc. 45,770 1,394 Ethan Allen Interiors, Inc. 33,233 1,392 Matthews International Corp. 46,648 1,380 * Bio-Rad Laboratories, Inc. Class A 23,932 1,380 MSC Industrial Direct Co., Inc. Class A 50,176 1,380 Jefferies Group, Inc. 41,730 1,378 ADVO, Inc. 43,344 1,377 * VCA Antech, Inc. 44,150 1,368 * Silicon Storage Technology, Inc. 123,610 1,360 Winnebago Industries, Inc. 19,738 1,357 * Macrovision Corp. 59,965 1,355 Provident Financial Services Inc. 71,395 1,349 Hilb, Rogal and Hamilton Co. 41,884 1,343 * Gemstar-TV Guide International, Inc. 265,852 1,343 * Wynn Resorts Ltd. 47,732 1,337 * Scientific Games Corp. 78,546 1,336 John Wiley & Sons Class A 51,287 1,335 Airgas, Inc. 62,128 1,335 Delta & Pine Land Co. 52,442 1,332 * Dionex Corp. 28,741 1,323 * Hecla Mining Co. 158,874 1,317 * Westport Resources Corp. 43,842 1,309 NDCHealth Corp. 51,047 1,308 * TriQuint Semiconductor, Inc. 184,479 1,304 * Wilson Greatbatch Technologies, Inc. 30,632 1,295 * Cost Plus, Inc. 31,547 1,293 * Advanced Neuromodulation Systems, Inc. 27,956 1,285 * Endo Pharmaceuticals Holdings, Inc. 66,700 1,285 * Priority Healthcare Corp. Class B 53,205 1,283 * AirTran Holdings, Inc. 107,796 1,283 * Simpson Manufacturing Co. 25,035 1,273 * American Eagle Outfitters, Inc. 77,427 1,270 * CommScope, Inc. 77,094 1,259 * Urban Outfitters, Inc. 33,878 1,255 Select Medical Corp. 77,096 1,255 * Cal Dive International, Inc. 51,795 1,249 * Aspect Communications Corp. 78,922 1,244 * United Online, Inc. 74,026 1,243 * Commonwealth Telephone Enterprises, Inc. 32,884 1,241 * McDATA Corp. Class A 129,674 1,236 * Southwestern Energy Co. 51,487 1,231 * Internet Security Systems, Inc. 64,805 1,220 Black Box Corp. 26,296 1,211 * Dycom Industries, Inc. 45,086 1,209 * Advanced Digital Information Corp. 86,298 1,208 * RSA Security Inc. 84,968 1,207 FactSet Research Systems Inc. 31,525 1,205 * Unit Corp. 50,397 1,187 * Rare Hospitality International Inc. 48,445 1,184 * Esperion Therapeutics, Inc. 34,056 1,179 * CNET Networks, Inc. 172,574 1,177 * eFunds Corp. 67,671 1,174 St. Mary Land & Exploration Co. 41,082 1,171 * Maverick Tube Corp. 60,629 1,167 * MGI Pharma, Inc. 28,278 1,164 * Tuesday Morning Corp. 38,432 1,163 Wintrust Financial Corp. 25,738 1,161 Ametek, Inc. 23,932 1,155 * Hollywood Entertainment Corp. 83,746 1,152 * Asyst Technologies, Inc. 66,314 1,151 * Technitrol, Inc. 55,181 1,144 HON Industries, Inc. 26,401 1,144 * Men's Wearhouse, Inc. 45,608 1,141 * Borland Software Corp. 117,194 1,140 * Vertex Pharmaceuticals, Inc. 111,395 1,140 * Newfield Exploration Co. 25,473 1,135 * Navigant Consulting, Inc. 59,737 1,127 * Coeur D'Alene Mines Corp. 194,001 1,121 * ILEX Oncology, Inc. 52,664 1,119 * Digital Insight Corp. 44,898 1,118 * Ariba, Inc. 371,260 1,114 * IDT Corp. Class B 48,148 1,114 Florida Rock Industries, Inc. 20,261 1,111 * Journal Register Co. 53,514 1,108 * F5 Networks, Inc. 44,100 1,107 * Toll Brothers, Inc. 27,798 1,105 38 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Investment Technology Group, Inc. 68,414 $ 1,105 * Aeropostale, Inc. 40,224 1,103 * Tekelec 70,896 1,102 * Nektar Therapeutics 80,728 1,099 * Watson Wyatt & Co. Holdings 45,277 1,093 * AmSurg Corp. 28,793 1,091 * CUNO Inc. 24,218 1,091 * Informatica Corp. 105,628 1,088 * American Italian Pasta Co. 25,911 1,086 * Anixter International Inc. 41,897 1,084 * The Sports Authority, Inc. 28,200 1,083 * MKS Instruments, Inc. 37,298 1,082 * Crown Holdings, Inc. 119,354 1,081 Tootsie Roll Industries, Inc. 29,997 1,080 * Knight Trading Group, Inc. 73,761 1,080 * McDermott International, Inc. 90,270 1,079 * NPS Pharmaceuticals Inc. 34,598 1,064 * MAXIMUS, Inc. 27,160 1,063 * United Surgical Partners International, Inc. 31,583 1,057 * Dobson Communications Corp. 160,805 1,056 * Penn National Gaming, Inc. 45,763 1,056 * Plexus Corp. 61,421 1,055 Christopher & Banks Corp. 53,855 1,052 Heartland Express, Inc. 43,422 1,050 John H. Harland Co. 38,437 1,049 * Kulicke & Soffa Industries, Inc. 72,404 1,041 * Fossil, Inc. 37,100 1,039 * ATMI, Inc. 44,699 1,034 * Rogers Corp. 23,394 1,032 * Ligand Pharmaceuticals Inc. Class B 70,237 1,032 * Coherent, Inc. 43,047 1,025 * Progress Software Corp. 49,992 1,023 * Nabi Biopharmaceuticals 80,288 1,020 * DSP Group Inc. 40,947 1,020 * Northwest Airlines Corp. Class A 80,678 1,018 * Veeco Instruments, Inc. 35,999 1,015 * Kos Pharmaceuticals, Inc. 23,432 1,009 * Cray Inc. 101,561 1,009 * Manhattan Associates, Inc. 36,475 1,008 CVB Financial Corp. 52,168 1,006 * Aeroflex, Inc. 85,860 1,004 Delta Air Lines, Inc. 84,772 1,001 * Exar Corp. 58,563 1,000 * Choice Hotel International, Inc. 28,332 999 * GlobespanVirata, Inc. 168,910 993 * Ask Jeeves, Inc. 54,636 990 * Argosy Gaming Co. 38,041 989 * Lin TV Corp. 38,259 987 * Rayovac Corp. 46,964 984 * Electronics for Imaging, Inc. 37,796 983 * Oceaneering International, Inc. 35,031 981 * Eon Labs, Inc. 19,232 980 * Microsemi Corp. 39,797 978 * Kirby Corp. 27,931 974 * American Healthways Inc. 40,800 974 HCC Insurance Holdings, Inc. 30,594 973 * ProQuest Co. 32,699 963 * Openwave Systems Inc. 87,472 962 * EGL, Inc. 54,663 959 * InterMune Inc. 41,348 958 * eSPEED, Inc. Class A 40,889 957 * Dick's Sporting Goods, Inc. 19,600 954 * Sinclair Broadcast Group, Inc. 63,637 949 * NetFlix.com, Inc. 17,348 949 * CONMED Corp. 39,847 948 * Inveresk Research Group Inc. 38,310 947 * CoStar Group, Inc. 22,704 946 PolyMedica Corp. 35,862 944 * Cyberonics, Inc. 29,448 943 * Photon Dynamics, Inc. 23,369 940 * TIBCO Software Inc. 137,790 933 * Grey Wolf, Inc. 249,162 932 * Cirrus Logic 121,410 931 Perrigo Co. 59,228 931 * Websense, Inc. 31,799 930 * Conexant Systems, Inc. 186,988 929 * Mykrolis Corp. 57,695 928 * ValueClick, Inc. 102,012 926 * MicroStrategy Inc. 17,599 924 * Ultratech, Inc. 31,446 924 Grey Global Group Inc. 1,337 913 * eResearch Technology, Inc. 35,723 908 * United Natural Foods, Inc. 25,285 908 * Littelfuse, Inc. 31,498 908 * Altiris, Inc. 24,850 907 * NeighborCare Inc. 45,700 903 * Verity, Inc. 54,044 902 * Knight Transportation, Inc. 35,088 900 * Monaco Coach Corp. 37,799 900 New Century Financial Corp. 22,646 898 * Vicuron Pharmaceuticals Inc. 48,050 896 * Cincinnati Bell Inc. 176,620 892 K-Swiss, Inc. 37,034 891 * Select Comfort Corp. 35,900 889 * Headwaters Inc. 45,084 885 * Photronics Inc. 44,389 884 * Digital River, Inc. 39,998 884 * Symyx Technologies, Inc. 43,013 884 * Secure Computing Corp. 49,133 880 * RealNetworks, Inc. 153,561 877 * Dendrite International, Inc. 55,563 871 * Actel Corp. 35,997 868 39 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Pacer International, Inc. 42,898 $ 867 * USI Holdings Corp. 66,140 863 * ANSYS, Inc. 21,729 863 * Quest Software, Inc. 60,296 856 * Dot Hill Systems Corp. 56,501 856 * American Pharmaceuticals Partners, Inc. 25,100 843 * Too Inc. 49,677 839 * Thoratec Corp. 64,430 838 * InfoSpace, Inc. 36,200 834 * Vignette Corp. 367,318 834 United Community Banks, Inc. 25,325 833 * Connetics Corp. 45,864 833 * Apex Silver Mines Ltd. 39,748 831 * Shuffle Master, Inc. 23,990 831 Boston Private Financial Holdings, Inc. 33,405 830 * Genesis Microchip Inc. 45,900 828 * K-V Pharmaceutical Co. Class A 32,447 827 * Advanced Medical Optics, Inc. 42,003 825 * Orbital Sciences Corp. 68,459 823 * Primus Telecommunications Group, Inc. 80,369 818 * Adolor Corp. 40,820 817 * Forward Air Corp. 29,464 810 * ScanSource, Inc. 17,694 807 * Spinnaker Exploration Co. 24,997 807 * Leapfrog Enterprises, Inc. 30,332 805 * FuelCell Energy, Inc. 61,800 803 * Pinnacle Systems, Inc. 94,052 802 * FEI Co. 35,652 802 * TTM Technologies, Inc. 47,470 801 Bank Mutual Corp. 70,313 801 * Wright Medical Group, Inc. 26,187 797 * Resources Connection, Inc. 29,132 796 * SRA International, Inc. 18,400 793 * Centene Corp. 28,301 793 * WMS Industries, Inc. 30,234 792 * Advanced Energy Industries, Inc. 30,315 790 * Digene Corp. 19,666 789 IMC Global Inc. 79,128 786 * Credence Systems Corp. 59,700 786 * XOMA Ltd. 118,200 780 * Bright Horizons Family Solutions, Inc. 18,500 777 * Financial Federal Corp. 25,431 777 Helix Technology Corp. 37,734 777 * S1 Corp. 96,369 776 * Interactive Data Corp. 46,828 775 * Entravision Communications Corp. 69,846 775 * Micromuse Inc. 111,978 773 Sterling Bancshares, Inc. 57,498 766 * Guitar Center, Inc. 23,432 763 Surewest Communications 18,870 763 * ESS Technology, Inc. 44,699 760 * Magma Design Automation, Inc. 32,548 760 * TETRA Technologies, Inc. 31,290 758 * Transaction Systems Architects, Inc. 33,493 758 Millennium Chemicals, Inc. 59,774 758 * Sotheby's Holdings Class A 55,355 756 * Superior Energy Services, Inc. 80,312 755 * InVision Technologies, Inc. 22,468 754 * Intuitive Surgical, Inc. 44,123 754 * Enzon Pharmaceuticals, Inc. 62,832 754 * Perot Systems Corp. 55,918 754 * AtheroGenics, Inc. 50,164 750 * Extreme Networks, Inc. 104,007 750 * Tularik, Inc. 46,080 744 * Packeteer, Inc. 43,630 741 * Magnum Hunter Resources Inc. 77,850 740 Barra, Inc. 20,844 740 * The Gymboree Corp. 42,832 738 * Steel Dynamics, Inc. 31,399 738 * Global Imaging Systems, Inc. 23,198 737 Rollins, Inc. 32,647 736 * Entegris Inc. 57,264 736 * 7-Eleven, Inc. 45,600 732 * ArthroCare Corp. 29,828 731 * Epicor Software Corp. 57,140 729 * Atrix Laboratories, Inc. 30,298 728 * WebEx Communications, Inc. 36,200 728 * Korn/Ferry International 54,399 726 * Retek Inc. 77,985 724 * Labor Ready, Inc. 54,970 720 * Integra LifeSciences Holdings 25,113 719 * Mercury Computer Systems, Inc. 28,864 719 * Cytec Industries, Inc. 18,700 718 Park Electrochemical Corp. 27,099 718 * Frontier Airlines, Inc. 50,328 718 * MEMC Electronic Materials, Inc. 74,568 717 * BioMarin Pharmaceutical Inc. 92,212 716 * Wabash National Corp. 24,226 710 * Ventana Medical Systems, Inc. 18,000 709 C & D Technologies, Inc. 36,863 707 * Haemonetics Corp. 29,538 706 * MICROS Systems, Inc. 16,232 704 * Movie Gallery, Inc. 37,627 703 * Multimedia Games Inc. 17,100 702 Arrow International, Inc. 28,064 701 * LTX Corp. 46,599 700 * Encore Acquisition Co. 28,411 700 * Agile Software Corp. 70,562 699 * Powerwave Technologies, Inc. 91,211 698 40 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Forest City Enterprise Class A 14,664 $ 697 * Onyx Pharmaceuticals, Inc. 24,651 696 * ON Semiconductor Corp. 107,450 693 CARBO Ceramics Inc. 13,509 692 * E.piphany Inc. 96,021 692 Connecticut Bancshares, Inc. 13,416 691 * Merit Medical Systems, Inc. 30,967 689 * Cubist Pharmaceuticals, Inc. 56,214 684 * Hanover Compressor Co. 61,300 683 Cabot Oil & Gas Corp. 23,282 683 * CIMA Labs Inc. 20,897 682 * Paxar Corp. 50,779 680 * Remec, Inc. 80,900 680 * Applied Films Corp. 20,542 678 Inter-Tel, Inc. 27,132 678 * Genta Inc. 65,096 678 * Triad Guaranty, Inc. 13,428 676 * VistaCare, Inc. 19,232 676 AptarGroup Inc. 17,332 676 * West Corp. 29,080 676 * The Warnaco Group, Inc. 42,348 675 * Kopin Corp. 100,576 675 * Finisar Corp. 215,400 674 * Per-Se Technologies, Inc. 43,971 671 * FTI Consulting, Inc. 28,664 670 * Sycamore Networks, Inc. 127,824 670 * Teletech Holdings Inc. 59,000 667 * FormFactor Inc. 33,594 665 G & K Services, Inc. Class A 18,090 665 * Silicon Image, Inc. 91,920 665 * The Advisory Board Co. 19,000 663 * Medarex, Inc. 106,460 663 * Hibbett Sporting Goods, Inc. 22,198 662 * Impax Laboratories, Inc. 45,599 656 * Benchmark Electronics, Inc. 18,848 656 * j2 Global Communications, Inc. 26,468 656 * Advent Software, Inc. 37,599 655 * webMethods, Inc. 71,462 654 * Eclipsys Corp. 56,014 652 * Interwoven Inc 51,340 649 * JDA Software Group, Inc. 39,229 648 * ExpressJet Holdings, Inc. 43,064 646 * ScanSoft, Inc. 120,800 643 * Transkaryotic Therapies, Inc. 40,600 634 * Quicksilver Resources, Inc. 19,598 633 * Insituform Technologies Inc. Class A 38,263 631 * IDT Corp. 28,500 631 * The Goodyear Tire & Rubber Co. 79,838 628 * IDX Systems Corp. 23,300 625 * Wind River Systems Inc. 71,243 624 * American Medical Systems Holdings, Inc. 28,603 624 * Elizabeth Arden, Inc. 31,215 622 * Gartner, Inc. Class B 56,999 620 * PTEK Holdings, Inc. 70,385 620 * R.H. Donnelley Corp. 15,549 619 * Enzo Biochem, Inc. 34,584 619 * Inspire Pharmaceuticals, Inc. 43,580 617 * ViaSat, Inc. 32,199 616 * Actuant Corp. 17,000 615 * Biosite Inc. 21,194 613 * HomeStore, Inc. 129,331 612 * SonicWALL, Inc. 78,342 611 * Meritage Corp. 9,214 611 * Remington Oil & Gas Corp. 30,942 609 * At Road, Inc. 45,764 609 * W-H Energy Services, Inc. 37,497 607 * Therasense, Inc. 29,900 607 * CTI Molecular Imaging, Inc. 35,800 605 * Papa John's International, Inc. 18,118 605 Harleysville National Corp. 20,081 604 * ICU Medical, Inc. 17,583 603 * Salix Pharmaceuticals, Ltd. 26,456 600 * United Therapeutics Corp. 26,100 599 * Priceline.com, Inc. 32,997 591 * ManTech International Corp. 23,600 589 * PSS World Medical, Inc. 48,450 585 * Artisan Components, Inc. 28,500 584 * Big 5 Sporting Goods Corp. 27,864 584 * Right Management Consultants, Inc. 31,264 583 * SERENA Software, Inc. 31,762 583 * Cable Design Technologies Corp. 64,799 583 AMCOL International Corp. 28,700 580 * aQuantive, Inc. 56,045 574 * Spanish Broadcasting System, Inc. 54,550 573 MacDermid, Inc. 16,721 573 * The Neiman Marcus Group, Inc. Class B 11,446 572 * Pixelworks, Inc. 51,600 570 * Sharper Image Corp. 17,432 569 * KEMET Corp. 41,494 568 * Insight Enterprises, Inc. 30,013 564 * Excel Technology, Inc. 17,112 562 * Align Technology, Inc. 33,707 556 * SafeNet, Inc. 18,050 555 * Alleghany Corp. 2,496 555 * aaiPharma Inc. 22,099 555 * Trimeris, Inc. 26,432 554 * Kyphon Inc. 22,326 554 Blyth, Inc. 17,200 554 41 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Standard Microsystem Corp. 21,899 $ 554 * Identix, Inc. 124,491 554 * Old Dominion Freight Line, Inc. 16,253 554 * Lionbridge Technologies, Inc. 57,635 554 Oakley, Inc. 39,950 553 Fremont General Corp. 32,585 551 * Lattice Semiconductor Corp. 56,900 551 * LabOne, Inc. 16,929 550 * Manugistics Group, Inc. 87,800 549 * Intergraph Corp. 22,914 548 * Itron, Inc. 29,637 544 * Immucor Inc. 26,675 544 * Alaris Medical, Inc. 35,698 543 * Newpark Resources, Inc. 113,075 542 * Parametric Technology Corp. 137,205 541 * SeaChange International, Inc. 35,100 541 * Continental Airlines, Inc.Class B 33,131 539 * Jo-Ann Stores, Inc. 26,396 538 * Gateway, Inc. 116,889 538 * Enterasys Networks, Inc. 143,361 538 * Lawson Software Inc. 65,279 537 * Avanex Corp. 107,369 536 * Hydrill Co. 22,383 536 Cubic Corp. 23,170 533 * Intermagnetics General Corp. 23,974 531 * ValueVision Media, Inc. 31,708 530 * K-V Pharmaceutical Co. Class B 20,400 529 EDO Corp. 21,389 527 * Energy Partners, Ltd. 37,888 526 * Harris Interactive Inc. 63,128 524 * Mediacom Communications Corp. 60,146 521 * California Pizza Kitchen, Inc. 25,900 521 * SurModics, Inc. 21,812 521 * Power-One, Inc. 48,080 521 * West Marine, Inc. 18,677 519 * Opsware, Inc. 70,050 518 * Keystone Automotive Industries, Inc. 20,400 517 * Possis Medical Inc. 26,170 517 * Wireless Facilities, Inc. 34,764 517 * The Children's Place Retail Stores, Inc. 19,205 513 * Concord Communications, Inc. 25,705 513 PrivateBancorp, Inc. 11,264 513 * Verso Technologies, Inc. 160,003 512 * Planar Systems, Inc. 21,042 512 * Atwood Oceanics, Inc. 16,000 511 * Young Broadcasting Inc. 25,500 511 * Zoran Corp. 29,385 511 * SupportSoft, Inc. 38,750 510 * Daktronics, Inc. 20,200 508 Hollinger International, Inc. 32,512 508 * Coinstar, Inc. 27,949 505 * RehabCare Group, Inc. 23,699 504 * CompuCredit Corp. 23,675 504 * Quantum Corp. 160,899 502 * Group 1 Automotive, Inc. 13,831 501 * Gartner, Inc. Class A 44,144 499 * Netegrity, Inc. 48,322 498 * NetIQ Corp. 37,500 497 * Noven Pharmaceuticals, Inc. 32,535 496 * Cleveland-Cliffs Inc. 9,672 493 * Red Robin Gourmet Burgers 16,115 490 * Electro Scientific Industries, Inc. 20,554 489 * Pharmacopeia, Inc. 34,378 489 Wabtec Corp. 28,500 486 * Prima Energy Corp. 13,791 485 Arctic Cat, Inc. 19,552 483 * Tejon Ranch Co. 11,759 482 * Accredited Home Lenders Holding Co. 15,742 482 * Myriad Genetics, Inc. 37,100 477 * Harmonic, Inc. 65,692 476 * Genesco, Inc. 31,465 476 * TiVo Inc. 64,196 475 * The Dress Barn, Inc. 31,663 475 * Ceradyne, Inc. 13,865 472 * 4Kids Entertainment Inc. 18,131 472 Royal Gold, Inc. 22,398 469 Aaron Rents, Inc. Class B 23,248 468 * Zoll Medical Corp. 13,100 465 * CMGI Inc. 261,061 465 * Echelon Corp. 41,554 463 * Cell Genesys, Inc. 35,760 463 * Isle of Capri Casinos, Inc. 21,550 463 * OraSure Technologies, Inc. 57,800 460 * Brightpoint, Inc. 26,655 460 * Pre-Paid Legal Services, Inc. 17,593 460 * Electronics Boutique Holdings Corp. 20,032 459 * Westell Technologies, Inc. 72,608 458 * II-VI, Inc. 17,723 457 * Wild Oats Markets Inc. 35,300 456 * Sapient Corp. 81,171 455 * SonoSite, Inc. 21,200 454 * The Neiman Marcus Group, Inc. Class A 8,443 453 * Exult Inc. 63,416 451 * Sterling Financial Corp. (Spokane) 13,121 449 * Autobytel Inc. 49,138 446 * GameStop Corp. 28,864 445 * Plains Resources Inc. 27,708 445 42 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Main Street Banks, Inc. 16,757 $ 444 * Anaren, Inc. 31,330 442 * Rainbow Technologies, Inc. 39,254 442 * EPIX Medical, Inc. 26,992 439 * ActivCard Corp. 55,597 438 * Transmeta Corp. 128,270 436 * Rudolph Technologies, Inc. 17,763 436 * Exelixis, Inc. 61,462 435 * Lone Star Technologies, Inc. 27,163 434 * Tyler Technologies, Inc. 44,668 430 * Spherion Corp. 43,799 429 * MatrixOne, Inc. 69,420 428 * Time Warner Telecom Inc. 42,200 427 * Cell Therapeutics, Inc. 49,030 427 Talx Corp. 18,520 427 * Net2Phone, Inc. 62,425 424 * USANA Health Sciences, Inc. 13,845 424 * Ameristar Casinos, Inc. 17,250 422 * Bombay Co. 51,846 422 Westcorp, Inc. 11,500 420 * Digitas Inc. 44,959 419 * Commercial Capital Bancorp., Inc. 19,560 419 * Dendreon Corp. 51,913 418 * Denbury Resources, Inc. 29,916 416 * Corixa Corp. 68,810 415 * AMC Entertainment, Inc. 27,300 414 Umpqua Holdings Corp. 19,850 413 * Integrated Silicon Solution, Inc. 26,330 412 * Inet Technologies, Inc. 34,246 411 * MemberWorks, Inc. 15,091 410 Franklin Electric, Inc. 6,766 409 * Information Holdings Inc. 18,449 408 * FreeMarkets, Inc. 60,773 407 * PalmOne, Inc. 34,595 406 * Chattem, Inc. 22,698 406 * Ixia 34,500 404 * Federal Agricultural Mortgage Corp. Class C 12,600 403 * Trex Co., Inc. 10,600 403 * PAREXEL International Corp. 24,708 402 * William Lyon Homes, Inc. 6,400 402 * Concurrent Computer Corp. 91,700 401 * Metrologic Instruments, Inc. 14,809 400 * Molecular Devices Corp. 20,906 397 * Synaptics Inc. 26,500 397 * Siliconix, Inc. 8,632 394 * Genesee & Wyoming Inc. Class A 12,500 394 * Silicon Graphics, Inc. 287,300 394 * AMN Healthcare Services, Inc. 22,739 390 Kenneth Cole Productions, Inc. 13,149 387 * Forrester Research, Inc. 21,500 384 * Pericom Semiconductor Corp. 36,010 384 * A.C. Moore Arts & Crafts, Inc. 19,850 382 * Keane, Inc. 26,100 382 * Intrado Inc. 17,398 382 * Computer Network Technology Corp. 39,950 381 * Lexicon Genetics Inc. 64,600 380 * Teledyne Technologies, Inc. 20,178 380 * MTR Gaming Group Inc. 36,898 380 * MSC.Software Corp. 40,050 378 * Citizens, Inc. 40,120 378 * CV Therapeutics, Inc. 25,784 378 * SciClone Pharmaceuticals, Inc. 55,394 376 * Universal Display Corp. 27,400 375 * Steven Madden, Ltd. 18,350 374 Vector Group Ltd. 22,865 373 * Tanox, Inc. 25,100 373 * CorVel Corp. 9,900 372 * Sunrise Senior Living, Inc. 9,608 372 * Group 1 Software, Inc. 20,999 370 PFF Bancorp, Inc. 10,160 369 * J. Jill Group, Inc. 28,957 368 * The Wet Seal, Inc. Class A 37,049 366 * Geron Corp. 36,660 366 * Concur Technologies, Inc. 37,730 365 * Antigenics, Inc. 32,130 364 * Cole National Corp. Class A 18,171 363 * Salem Communications Corp. 13,300 361 * CCC Information Services Group 21,274 360 Keithley Instruments Inc. 19,615 359 * EPIQ Systems, Inc. 20,900 358 * Safeguard Scientifics, Inc. 88,454 357 * Maxygen Inc. 33,400 355 * Tollgrade Communications, Inc. 19,999 351 * Diversa Corp. 37,900 351 * Presstek, Inc. 48,131 350 * 1-800-FLOWERS.COM, Inc. 31,583 349 * Playboy Enterprises, Inc. Class B 21,600 349 * Verint Systems Inc. 15,450 349 * ChipPAC, Inc. 45,800 348 * Insight Communications Co., Inc. 33,714 348 Curtiss-Wright Corp. 7,700 346 S.Y. Bancorp, Inc. 16,847 345 BEI Technologies, Inc. 17,208 344 * Mattson Technology, Inc. 27,909 341 * Central European Distribution Corp. 10,770 340 Gray Television, Inc. 22,486 340 Penn Virginia Corp. 6,100 339 * Serologicals Corp. 18,200 339 43 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Stratex Networks, Inc. 79,624 $ 338 * Verisity Ltd. 26,518 338 * Closure Medical Corp. 9,932 337 Penn Engineering & Manufacturing Corp. 17,700 337 Frontier Oil Corp. 19,351 333 World Fuel Services Corp. 9,803 333 * Stein Mart, Inc. 39,899 329 * FalconStor Software, Inc. 37,600 329 * Plug Power, Inc. 45,324 329 * American Management Systems, Inc. 21,786 328 * Stamps.com Inc. 52,931 328 Net.Bank, Inc. 24,550 328 * General Communication, Inc. 37,453 326 * Kensey Nash Corp. 14,000 326 * Lightbridge, Inc. 35,700 325 * PDF Solutions, Inc. 21,800 325 * WFS Financial, Inc. 7,646 325 * Conceptus, Inc. 30,364 322 Bank of the Ozarks, Inc. 14,300 322 * Renaissance Learning, Inc. 13,350 321 * Imagistics International Inc. 8,533 320 * iPayment Holdings, Inc. 9,411 320 Bowne & Co., Inc. 23,563 320 * Triton PCS, Inc. 57,250 319 Scottish Annuity & Life Holdings, Ltd. 15,371 319 * Portfolio Recovery Associates, Inc. 12,000 319 * Regeneron Pharmaceuticals, Inc. 21,564 317 * Drugstore.com, Inc. 57,210 315 * Neoware Systems, Inc. 22,997 315 * White Electronic Designs Corp. 35,600 313 * infoUSA Inc. 42,200 313 * Columbia Laboratories Inc. 49,700 313 * Zymogenetics, Inc. 20,116 312 * The TriZetto Group, Inc. 48,100 310 * Portal Software, Inc. 45,957 309 * NCI Building Systems, Inc. 12,941 309 * SeeBeyond Technology Corp. 72,000 309 * OpenTV Corp. 91,619 307 * Entrust, Inc. 75,156 307 * Isis Pharmaceuticals, Inc. 46,992 305 * Astec Industries, Inc. 24,846 305 * Komag, Inc. 20,782 304 * Digimarc Corp. 22,844 304 Sonic Automotive, Inc. 13,148 301 * Comstock Resources, Inc. 15,600 301 * Keynote Systems Inc. 25,050 298 * Champion Enterprises, Inc. 42,423 297 * Albany Molecular Research, Inc. 19,764 297 * Saga Communications, Inc. 16,001 296 Integral Systems, Inc. 13,698 295 * America West Holdings Corp. Class B 23,656 293 * Bioreliance Corp. 6,132 293 * PalmSource, Inc. 13,413 292 * Global Power Equipment Group Inc. 43,400 290 * Peet's Coffee & Tea Inc. 16,573 289 * Steiner Leisure Ltd. 20,174 288 Young Innovations, Inc. 8,000 288 * ESCO Technologies Inc. 6,566 287 * Mesa Air Group Inc. 22,699 283 * PRIMEDIA Inc. 100,072 283 The Trust Co. of New Jersey 7,100 282 * Finish Line, Inc. 9,400 282 * New Focus, Inc. 55,900 281 CTS Corp. 24,399 281 Max Re Capital Ltd. 12,500 281 * MTC Technologies, Inc. 8,700 280 * Embarcadero Technologies, Inc. 17,550 280 Oshkosh B' Gosh, Inc. Class A 13,027 280 * CardioDynamics International Corp. 46,790 279 Peapack Gladstone Financial Corp. 9,010 279 Hudson River Bancorp. Inc. 7,100 277 * Terayon Communications Systems, Inc. 61,080 275 * Systems & Computer Technology Corp. 16,805 275 * Alexion Pharmaceuticals, Inc. 16,100 274 * Semitool, Inc. 25,500 273 * AAON, Inc. 14,024 272 * Rewards Network Inc. 25,500 272 * Palm Harbor Homes, Inc. 15,198 272 * IXYS Corp. 28,998 271 * Immunomedics Inc. 59,200 270 Lindsay Manufacturing Co. 10,575 267 Gabelli Asset Management Inc. 6,700 267 * PEC Solutions, Inc. 15,700 266 * Charlotte Russe Holding Inc. 19,100 265 * MRO Software Inc. 19,616 264 * Mobile Mini, Inc. 13,199 260 * Pozen Inc. 25,499 260 * Core Laboratories NV 15,187 253 * Blue Rhino Corp. 18,200 253 * WatchGuard Technologies, Inc. 43,168 251 * Corvis Corp. 147,600 251 * Hollis-Eden Pharmaceuticals, Inc. 22,649 249 * Learning Tree International, Inc. 14,200 247 44 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Monolithic System Technology, Inc. 28,700 $ 245 * OSI Systems Inc. 12,700 244 * bebe stores, inc 9,350 243 Old Second Bancorp, Inc. 4,900 243 * Silgan Holdings, Inc. 5,683 242 Triarc Cos., Inc. Class A 20,300 240 * Paxson Communications Corp. 62,200 239 CoBiz Inc. 12,968 239 * Covenant Transport, Inc. 12,500 238 * Incyte Corp. 34,152 234 * Boston Beer Co., Inc. Class A 12,800 232 Brookfield Homes Corp. 9,000 232 Troy Financial Corp. 6,600 231 * Regent Communications, Inc. 35,900 228 * Energy Conversion Devices, Inc. 25,162 227 * Vicor Corp. 19,799 226 * Atari, Inc. 53,747 226 * Radiant Systems, Inc. 26,600 224 * Oplink Communications, Inc. 91,686 219 Syntel, Inc. 8,860 219 * PRAECIS Pharmaceuticals Inc. 33,899 218 * Exact Sciences Corp. 21,299 216 * McDATA Corp. 22,400 213 * Gene Logic Inc. 40,750 211 The Nautilus Group, Inc. 14,965 210 * Gulfmark Offshore, Inc. 14,700 206 * Drexler Technology Corp. 15,000 205 * Hawthorne Financial Corp. 7,300 204 * QAD Inc. 16,660 204 * Party City Corp. 16,050 204 * Input/Output, Inc. 45,085 203 Gibraltar Steel 8,021 202 * Heidrick & Struggles International, Inc. 9,182 200 Cohu, Inc. 10,399 199 * barnesandnoble.com inc 67,334 199 Republic Bancshares, Inc. 6,299 198 * Global Industries Ltd. 38,430 198 * Medical Staffing Network Holdings, Inc. 18,009 197 * Oil States International, Inc. 14,130 197 * PC Connection, Inc. 23,338 195 * Playtex Products, Inc. 24,600 190 * Navigators Group, Inc. 6,099 188 * NeoPharm, Inc. 10,240 188 * Talk America Holdings, Inc. 16,275 187 * DuPont Photomasks, Inc. 7,699 186 Computer Programs and Systems, Inc. 9,200 185 * Vastera, Inc. 46,100 184 * ImmunoGen, Inc. 36,400 184 * 1-800 CONTACTS, Inc. 8,700 183 * Martha Stewart Living Omnimedia, Inc. 18,500 182 * Avatar Holding, Inc. 4,894 181 * Del Laboratories, Inc. 7,205 180 * Beasley Broadcast Group, Inc. 10,900 179 * MedQuist, Inc. 11,100 178 * Ulticom, Inc. 18,350 177 * Alloy, Inc. 33,950 177 Churchill Downs, Inc. 4,846 175 Franklin Financial Corp. 5,700 175 * Audiovox Corp. 13,530 174 * Kirkland's, Inc. 9,800 173 * GSI Commerce, Inc. 17,661 172 * Crown Media Holdings, Inc. 20,600 170 * Virage Logic Corp. 16,700 170 * NetRatings, Inc. 14,709 168 Hanmi Financial Corp. 8,200 162 * General Binding Corp. 8,799 158 * Cross Country Healthcare, Inc. 10,562 158 * CuraGen Corp. 21,400 157 * Guess ?, Inc. 12,864 155 * Boston Communications Group, Inc. 16,315 152 * Fisher Communications, Inc. 2,958 151 * Lannett Company, Inc. 8,934 150 * Gentiva Health Services, Inc. 11,842 150 * RC2 Corp. 7,100 147 * SPSS, Inc. 8,199 147 * FTD, Inc. 5,791 143 Coca-Cola Bottling Co. 2,659 142 * Brucker BioSciences Corp. 31,065 141 Arden Group Inc. Class A 1,800 140 Sanderson Farms, Inc. 3,451 139 * Gulf Island Fabrication, Inc. 8,165 139 * Mothers Work, Inc. 5,600 137 * The Boyds Collection, Ltd. 30,810 131 * Pegasystems Inc. 15,179 131 * Metris Cos., Inc. 29,422 131 * Parker Drilling Co. 47,729 122 * Restoration Hardware, Inc. 24,200 115 Bel Fuse, Inc. Class B 3,400 111 Vital Signs, Inc. 3,299 108 * Dril-Quip, Inc. 6,599 108 * Infonet Services Corp. 56,934 97 * Specialty Laboratories, Inc. 5,700 96 * NASSDA Corp. 12,850 93 * iGATE Corp. 11,788 93 Shenandoah Telecommunications Co. 1,800 92 Curtiss-Wright Corp. Class B 2,000 90 * Vail Resorts Inc. 5,218 89 45 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Shoe Carnival, Inc. 4,900 $ 87 * Skechers U.S.A., Inc. 10,100 82 * P.A.M. Transportation Services, Inc. 3,650 78 * Alliance Imaging, Inc. 20,400 75 * ICT Group, Inc. 6,100 72 * Dynacq Healthcare, Inc 8,400 65 * Neoforma, Inc. 5,700 61 * Revlon, Inc. Class A 18,000 40 * SureBeam Corp. 90,150 19 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $754,267) $ 935,029 -------------------------------------------------------------------------------- FACE AMOUNT (000) -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.4%) -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. 1.07%, 1/2/2004 $ 2,000 2,000 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.98%, 1/2/2004 3,119 3,119 0.99%, 1/2/2004--Note E 26,915 26,915 ------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $32,034) 32,034 -------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.3%) (Cost $786,301) 967,063 -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.3%) -------------------------------------------------------------------------------- Receivables for Investment Securities Sold 20,185 Other Assets--Note B 4,597 Security Lending Collateral Payable to Brokers--Note E (26,915) Payables for Capital Shares Redeemed (22,699) Other Liabilities (5,675) ---------------- $ (30,507) ---------------- -------------------------------------------------------------------------------- NET ASSETS (100%) $ 936,556 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: -------------------------------------------------------------------------------- Paid-in Capital $ 859,694 Overdistributed Net Investment Income (732) Accumulated Net Realized Losses (103,168) Unrealized Appreciation 180,762 -------------------------------------------------------------------------------- NET ASSETS $ 936,556 ================================================================================ Investor Shares--Net Assets Applicable to 69,344,328 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 906,824 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 13.08 ================================================================================ Institutional Shares--Net Assets Applicable to 2,270,911 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 29,732 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 13.09 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 46 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (100.0%) -------------------------------------------------------------------------------- * NTL Inc. 214,766 $ 14,980 United States Steel Corp. 286,641 10,038 Friedman, Billings, Ramsey Group, Inc. 342,447 7,904 Precision Castparts Corp. 173,157 7,863 * PacifiCare Health Systems, Inc. 115,890 7,834 Alliant Energy Corp. 306,338 7,628 Boise Cascade Corp. 227,960 7,491 * AmeriCredit Corp. 433,730 6,909 Developers Diversified Realty Corp. REIT 203,702 6,838 Mack-Cali Realty Corp. REIT 161,233 6,711 Chelsea Property Group REIT 119,830 6,568 The Macerich Co. REIT 145,978 6,496 United Dominion Realty Trust REIT 333,164 6,397 Martin Marietta Materials, Inc. 135,768 6,377 BorgWarner, Inc. 74,952 6,376 Great Plains Energy, Inc. 192,003 6,110 Ryder System, Inc. 176,026 6,011 Sky Financial Group, Inc. 229,932 5,965 Pentair, Inc. 130,134 5,947 Webster Financial Corp. 126,668 5,809 Valeant Pharmaceuticals International 230,582 5,799 OGE Energy Corp. 236,633 5,724 * Reliant Resources, Inc. 776,087 5,712 Colonial BancGroup, Inc. 327,758 5,677 Philadelphia Suburban Corp. 255,993 5,658 Cullen/Frost Bankers, Inc. 135,674 5,504 Washington Federal Inc. 193,401 5,493 First American Corp. 182,961 5,447 Rayonier Inc. 130,664 5,424 * Sybase, Inc. 263,000 5,413 Mills Corp. REIT 122,999 5,412 Arden Realty Group, Inc. REIT 175,941 5,338 American Capital Strategies, Ltd. 179,085 5,324 National Fuel Gas Co. 214,451 5,241 Federal Realty Investment Trust REIT 136,131 5,226 Snap-On Inc. 161,861 5,218 Cabot Corp. 162,687 5,180 Carlisle Co., Inc. 85,064 5,177 * Calpine Corp. 1,063,128 5,114 Vectren Corp. 207,001 5,103 American Financial Realty Trust REIT 299,172 5,101 StanCorp Financial Group, Inc. 80,794 5,080 Chesapeake Energy Corp. 370,301 5,029 Peabody Energy Corp. 120,080 5,009 Thornburg Mortgage, Inc. REIT 183,397 4,989 Harsco Corp. 112,933 4,949 * Louisiana-Pacific Corp. 275,760 4,931 Hawaiian Electric Industries Inc. 103,966 4,925 AGL Resources Inc. 168,019 4,889 * AnnTaylor Stores Corp. 125,157 4,881 Ventas, Inc. REIT 220,320 4,847 Camden Property Trust REIT 109,105 4,833 IKON Office Solutions, Inc. 406,161 4,817 Health Care Inc. REIT 133,501 4,806 Annaly Mortgage Management Inc. REIT 260,988 4,802 Pan Pacific Retail Properties, Inc. REIT 100,265 4,778 CenterPoint Properties Corp. REIT 63,649 4,767 * Borders Group, Inc. 214,815 4,709 CNF Inc. 137,647 4,666 Lubrizol Corp. 142,917 4,648 BancorpSouth, Inc. 195,773 4,644 Independence Community Bank Corp. 128,932 4,638 * Invitrogen Corp. 66,233 4,636 * Big Lots Inc. 324,458 4,611 Hudson United Bancorp 124,218 4,590 IndyMac Bancorp, Inc. REIT 154,000 4,588 BRE Properties Inc. Class A REIT 136,656 4,564 F.N.B. Corp. 128,157 4,543 * Allmerica Financial Corp. 147,160 4,528 Westamerica Bancorporation 90,709 4,508 Cummins Inc. 91,994 4,502 CBL & Associates Properties, Inc. REIT 79,595 4,497 * Service Corp. International 833,933 4,495 The South Financial Group, Inc. 161,187 4,491 * Allegheny Energy, Inc. 351,371 4,484 Crescent Real Estate, Inc. REIT 261,647 4,482 * Activision, Inc. 244,455 4,449 * BJ's Wholesale Club, Inc. 193,563 4,444 ONEOK, Inc. 200,799 4,434 * Andrew Corp. 383,525 4,415 WPS Resources Corp. 95,341 4,408 Whitney Holdings Corp. 106,361 4,360 Massey Energy Co. 209,027 4,348 * American Axle & Manufacturing Holdings, Inc. 107,450 4,343 Arch Coal, Inc. 138,504 4,317 CarrAmerica Realty Corp. REIT 144,767 4,311 Furniture Brands International Inc. 146,981 4,311 * Yellow Roadway Corp. 118,489 4,286 47 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Peoples Energy Corp. 101,744 $ 4,277 Lee Enterprises, Inc. 97,840 4,271 Shurgard Storage Centers, Inc. Class A REIT 112,230 4,225 Healthcare Realty Trust Inc. REIT 116,632 4,170 IPC Holdings Ltd. 106,963 4,165 Realty Income Corp. REIT 104,124 4,165 NICOR Inc. 122,178 4,159 * The Neiman Marcus Group, Inc. Class A 77,393 4,154 Briggs & Stratton Corp. 61,292 4,131 ArvinMeritor, Inc. 171,001 4,125 * Navistar International Corp. 85,757 4,107 * The MONY Group Inc. 130,298 4,077 HON Industries, Inc. 93,975 4,071 Westar Energy, Inc. 200,427 4,059 York International Corp. 110,219 4,056 Trustmark Corp. 138,327 4,049 Crane Co. 131,617 4,046 Piedmont Natural Gas, Inc. 93,073 4,045 * Newfield Exploration Co. 90,617 4,036 * Zale Corp. 75,839 4,035 * Kinder Morgan Management, LLC 93,607 4,021 Old National Bancorp 175,979 4,021 UGI Corp. Holding Co. 118,387 4,013 Reader's Digest Association, Inc. 273,581 4,011 * AGCO Corp. 198,320 3,994 HRPT Properties Trust REIT 394,582 3,981 First Midwest Bancorp, Inc. 122,660 3,975 Standard Pacific Corp. 81,298 3,947 Cooper Tire & Rubber Co. 184,126 3,937 * Toll Brothers, Inc. 98,763 3,927 Reckson Associates Realty Corp. REIT 160,725 3,906 Kennametal, Inc. 98,145 3,901 MDC Holdings, Inc. 60,389 3,895 Trizec Properties, Inc. REIT 250,661 3,860 Duquesne Light Holdings, Inc. 208,261 3,820 Raymond James Financial, Inc. 101,173 3,814 * Forest Oil Corp. 133,038 3,801 AmerUs Group Co. 108,481 3,794 Visteon Corp. 362,856 3,777 * United Stationers, Inc. 91,969 3,763 WGL Holdings Inc. 134,818 3,747 Highwood Properties, Inc. REIT 147,287 3,741 First BanCorp Puerto Rico 94,384 3,733 * American Greetings Corp. Class A 170,296 3,724 The Timken Co. 185,375 3,719 Thomas & Betts Corp. 162,258 3,714 Media General, Inc. Class A 56,987 3,710 Greater Bay Bancorp 129,977 3,702 First Industrial Realty Trust REIT 109,349 3,691 Essex Property Trust, Inc. REIT 56,565 3,633 * Terex Corp. 127,301 3,626 Beazer Homes USA, Inc. 36,899 3,604 * Avnet, Inc. 165,962 3,595 Lancaster Colony Corp. 79,543 3,592 Prentiss Properties Trust REIT 108,317 3,573 * Hercules, Inc. 292,384 3,567 Reinsurance Group of America, Inc. 92,128 3,561 SL Green Realty Corp. REIT 86,503 3,551 * Tommy Hilfiger Corp. 238,781 3,536 * Pediatrix Medical Group, Inc. 63,865 3,518 Alexander & Baldwin, Inc. 103,450 3,485 HCC Insurance Holdings, Inc. 109,117 3,470 Imation Corp. 98,600 3,466 Park National Corp. 30,502 3,451 Worthington Industries, Inc. 191,007 3,444 * CMS Energy Corp. 399,896 3,407 Chittenden Corp. 101,244 3,406 IDEX Corp. 81,797 3,402 Pennsylvania REIT 92,677 3,364 Trinity Industries, Inc. 109,061 3,363 Washington REIT 114,728 3,350 Citizens Banking Corp. 101,973 3,337 Pacific Capital Bancorp 90,530 3,333 Minerals Technologies, Inc. 55,764 3,304 * United Rentals, Inc. 170,809 3,290 Energen Corp. 79,895 3,278 Corn Products International, Inc. 95,027 3,274 Commercial Federal Corp. 122,150 3,263 MAF Bancorp, Inc. 77,728 3,257 Home Properties of New York, Inc. REIT 80,298 3,243 Extended Stay America, Inc. 223,882 3,242 Great Lakes Chemical Corp. 119,201 3,241 GATX Corp. 115,751 3,239 The Brink's Co. 143,058 3,235 United Bankshares, Inc. 103,656 3,234 * Flowserve Corp. 153,263 3,200 * Scholastic Corp. 93,935 3,198 Nationwide Health Properties, Inc. REIT 163,197 3,191 Callaway Golf Co. 188,629 3,178 * Crown Castle International Corp. 288,100 3,178 IDACORP, Inc. 105,964 3,170 The Pep Boys (Manny, Moe & Jack) 138,440 3,166 The Toro Co. 67,925 3,152 PNM Resources Inc. 111,662 3,138 48 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Dynegy, Inc. 732,340 $ 3,134 Bob Evans Farms, Inc. 96,222 3,123 Atmos Energy Corp. 128,053 3,112 * Cimarex Energy Co. 115,713 3,088 Ferro Corp. 113,130 3,078 Dillard's Inc. 187,007 3,078 Cousins Properties, Inc. REIT 100,576 3,078 Hughes Supply, Inc. 61,965 3,075 Alexandria Real Estate Equities, Inc. REIT 53,058 3,072 Clarcor Inc. 69,420 3,061 Universal Corp. (VA) 69,265 3,059 Cathay General Bancorp 54,940 3,059 Ryland Group, Inc. 34,424 3,051 Kellwood Co. 73,620 3,018 * FMC Corp. 88,077 3,006 The Phoenix Cos., Inc. 248,522 2,992 Acuity Brands, Inc. 115,580 2,982 Brandywine Realty Trust REIT 109,860 2,941 * Premcor, Inc. 113,053 2,939 * La Quinta Corp. REIT 457,800 2,935 Olin Corp. 145,820 2,925 Staten Island Bancorp, Inc. 129,992 2,925 New Jersey Resources Corp. 75,466 2,906 Community First Bankshares, Inc. 99,893 2,891 Downey Financial Corp. 58,113 2,865 Platinum Underwriters Holdings, Ltd. 95,446 2,863 La-Z-Boy Inc. 136,443 2,863 Banta Corp. 70,520 2,856 Taubman Co. REIT 136,864 2,819 Werner Enterprises, Inc. 143,961 2,806 * Southern Union Co. 151,975 2,796 * Stone Energy Corp. 65,807 2,794 * Ohio Casualty Corp. 160,485 2,786 * Mueller Industries Inc. 80,847 2,778 Skywest, Inc. 152,487 2,763 Flowers Foods, Inc. 106,535 2,749 Albemarle Corp. 91,565 2,744 Impac Mortgage Holdings, Inc. REIT 149,600 2,724 Novastar Financial, Inc. REIT 63,300 2,719 TrustCo Bank NY 206,163 2,711 Colonial Properties Trust REIT 68,385 2,708 Capital Automotive REIT 84,391 2,701 Autodesk, Inc. 108,343 2,663 * Corrections Corp. of America REIT 92,301 2,661 Gables Residential Trust REIT 76,371 2,653 * Adaptec, Inc. 300,190 2,651 * MPS Group, Inc. 282,998 2,646 * Arch Capital Group Ltd. 66,240 2,640 Post Properties, Inc. REIT 94,347 2,634 Potlatch Corp. 75,616 2,629 Susquehanna Bancshares, Inc. 105,058 2,628 * Tesoro Petroleum Corp. 179,290 2,612 Provident Financial Group, Inc. 81,428 2,602 LNR Property Corp. 52,300 2,589 USF Corp. 75,553 2,583 Superior Industries International, Inc. 59,196 2,576 * Cytec Industries, Inc. 66,898 2,568 LandAmerica Financial Group, Inc. 49,049 2,563 * Beverly Enterprises, Inc. 297,275 2,554 Winn-Dixie Stores, Inc. 254,483 2,532 Tupperware Corp. 145,970 2,531 * Payless ShoeSource, Inc. 188,867 2,531 Black Hills Corp. 84,809 2,530 Delphi Financial Group, Inc. 70,193 2,527 * Ralcorp Holdings, Inc. 80,222 2,516 Kilroy Realty Corp. REIT 76,707 2,512 * Chiquita Brands International, Inc. 110,801 2,496 First Niagara Financial Group, Inc. 167,020 2,490 Reliance Steel & Aluminum Co. 74,932 2,488 Forest City Enterprise Class A 52,100 2,475 * Atmel Corp. 410,600 2,468 Brookline Bancorp, Inc. 160,266 2,458 * ProAssurance Corp. 76,300 2,453 Commerce Group, Inc. 62,099 2,453 * Kansas City Southern 171,182 2,451 Sensient Technologies Corp. 123,608 2,444 Texas Regional Bancshares, Inc. 65,653 2,429 Redwood Trust, Inc. REIT 47,600 2,420 BankAtlantic Bancorp, Inc. Class A 127,268 2,418 AptarGroup Inc. 61,942 2,416 Allegheny Technologies Inc. 180,583 2,387 * Sierra Pacific Resources 325,218 2,387 * Philadelphia Consolidated Holding Corp. 48,464 2,367 Cleco Corp. 131,172 2,358 * Washington Group International, Inc. 69,383 2,357 Albany International Corp. 69,424 2,353 Georgia Gulf Corp. 81,200 2,345 H.B. Fuller Co. 78,714 2,341 * Benchmark Electronics, Inc. 67,129 2,337 Federal Signal Corp. 133,059 2,331 Commercial Net Lease Realty REIT 130,475 2,322 Avista Corp. 127,291 2,307 49 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- American Financial Group, Inc. 87,125 $ 2,305 UniSource Energy Corp. 93,312 2,301 Nordson Corp. 65,799 2,272 * Gaylord Entertainment Co. Class A 76,031 2,270 Wolverine World Wide, Inc. 111,196 2,266 Lexington Corporate Properties Trust REIT 112,201 2,265 Republic Bancorp, Inc. 166,457 2,246 People's Bank 68,782 2,242 * The Goodyear Tire & Rubber Co. 284,570 2,237 Senior Housing Properties Trust REIT 129,787 2,236 Alpharma, Inc. Class A 110,485 2,221 R.L.I. Corp. 59,230 2,219 Crompton Corp. 309,085 2,216 Ametek, Inc. 45,881 2,214 * Hutchinson Technology, Inc. 71,981 2,213 * R.H. Donnelley Corp. 55,441 2,209 Northwest Natural Gas Co. 71,543 2,200 Casey's General Stores, Inc. 124,429 2,197 IHOP Corp. 56,931 2,191 * Shaw Group, Inc. 160,622 2,188 Florida East Coast Industries, Inc. Class A 66,086 2,187 * US Oncology, Inc. 203,228 2,187 Selective Insurance Group 67,457 2,183 Brady Corp. Class A 53,477 2,179 Lennox International Inc. 130,090 2,173 Liberty Corp. 48,054 2,172 Granite Construction Co. 92,399 2,170 * Aztar Corp. 96,345 2,168 * Province Healthcare Co. 135,207 2,163 Texas Industries, Inc. 58,434 2,162 * Jack in the Box Inc. 100,227 2,141 Lincoln Electric Holdings, Inc. 86,077 2,130 Southwest Gas Corp. 93,890 2,108 * BankUnited Financial Corp. 80,836 2,085 * SEACOR SMIT Inc. 49,451 2,078 * Crown Holdings, Inc. 229,238 2,077 * Knight Trading Group, Inc. 141,475 2,071 R & G Financial Corp. Class B 51,803 2,062 Glimcher Realty Trust REIT 92,100 2,061 * OM Group, Inc. 78,678 2,061 * Kindred Healthcare, Inc. 39,600 2,058 The Manitowoc Co., Inc. 65,900 2,056 Quanex Corp. 44,545 2,054 CH Energy Group, Inc. 43,678 2,049 Modine Manufacturing Co. 75,800 2,045 First Commonwealth Financial Corp. 142,843 2,037 ABM Industries Inc. 116,698 2,032 * KEMET Corp. 147,990 2,026 * CSK Auto Corp. 107,608 2,020 Kaydon Corp. 77,819 2,011 Provident Bankshares Corp. 68,254 2,009 Commercial Metals Co. 65,877 2,003 Manufactured Home Communities, Inc. REIT 52,700 1,984 Blyth, Inc. 61,504 1,982 * Sierra Health Services, Inc. 71,799 1,971 * Lattice Semiconductor Corp. 203,197 1,967 Fremont General Corp. 116,158 1,964 * Genlyte Group, Inc. 33,633 1,963 * DRS Technologies, Inc. 70,488 1,958 * Armor Holdings, Inc. 74,399 1,957 * OMI Corp. 219,090 1,956 Owens & Minor, Inc. Holding Co. 89,199 1,954 * First Federal Financial Corp. 44,753 1,947 * Alleghany Corp. 8,736 1,944 Arkansas Best Corp. 61,820 1,941 * Six Flags, Inc. 257,349 1,935 * Continental Airlines, Inc. Class B 118,554 1,929 Longs Drug Stores, Inc. 77,962 1,929 * Moog Inc. 39,000 1,927 Delta Air Lines, Inc. 162,899 1,924 USEC Inc. 228,927 1,923 * Alaska Air Group, Inc. 70,198 1,916 Chemical Financial Corp. 52,543 1,912 Tecumseh Products Co. Class A 39,378 1,907 * Parametric Technology Corp. 481,200 1,896 Seacoast Financial Services Corp. 69,154 1,896 Stewart Information Services Corp. 46,743 1,895 * Electronics for Imaging, Inc. 72,540 1,887 * Jarden Corp. 68,977 1,886 * Gateway, Inc. 409,821 1,885 MB Financial, Inc. 51,781 1,885 Infinity Property & Casualty Corp. 56,817 1,878 Sun Communities, Inc. REIT 48,400 1,873 * Hain Celestial Group, Inc. 80,529 1,869 Waypoint Financial Corp. 85,848 1,862 * Amkor Technology, Inc. 101,294 1,845 * Aquila, Inc. 542,475 1,839 PS Business Parks, Inc. REIT 44,401 1,832 National Penn Bancshares Inc. 57,029 1,832 Community Bank System, Inc. 37,330 1,829 * EMCOR Group, Inc. 41,531 1,823 JLG Industries, Inc. 119,561 1,821 Otter Tail Corp. 67,911 1,815 Hollinger International, Inc. 116,199 1,815 50 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * CSG Systems International, Inc. 145,158 $ 1,813 * Jones Lang Lasalle Inc. 87,396 1,812 * THQ Inc. 107,071 1,811 A.O. Smith Corp. 51,450 1,803 Heritage Property Investment Trust REIT 63,258 1,800 Brown Shoe Co., Inc. 47,367 1,797 Summit Properties, Inc. REIT 74,600 1,792 Flagstar Bancorp, Inc. 83,501 1,789 * El Paso Electric Co. 133,967 1,788 * Conexant Systems, Inc. 359,074 1,785 * Newport Corp. 107,699 1,780 * Dollar Thrifty Automotive Group, Inc. 68,586 1,779 United Auto Group, Inc. 56,800 1,778 * Ryan's Family Steak Houses, Inc. 117,033 1,772 * School Specialty, Inc. 52,035 1,770 Interstate Bakeries Corp. 124,297 1,769 First Citizens BancShares Class A 14,475 1,759 A. Schulman Inc. 82,144 1,751 S & T Bancorp, Inc. 58,558 1,751 NBT Bancorp, Inc. 81,288 1,743 Wausau-Mosinee Paper Corp. 128,860 1,742 * URS Corp. 68,947 1,724 Ruddick Corp. 96,320 1,724 * Checkpoint Systems, Inc. 91,154 1,724 * Viasys Healthcare Inc. 83,596 1,722 New Century Financial Corp. 43,400 1,722 Herman Miller, Inc. 70,864 1,720 UIL Holdings Corp. 38,077 1,717 Cambrex Corp. 67,920 1,716 * Cincinnati Bell Inc. 339,389 1,714 * Amylin Pharmaceuticals, Inc. 76,856 1,708 Spartech Corp. 69,235 1,706 CONSOL Energy, Inc. 65,650 1,700 Schnitzer Steel Industries, Inc. Class A 28,100 1,700 * Charming Shoppes, Inc. 314,309 1,697 United National Bancorp 47,201 1,686 Amcore Financial, Inc. 62,268 1,682 Landry's Restaurants, Inc. 64,985 1,671 * Saxon Capital Inc. 79,573 1,667 Baldor Electric Co. 72,839 1,664 National Health Investors REIT 66,864 1,664 Harbor Florida Bancshares, Inc. 55,965 1,663 Horace Mann Educators Corp. 118,554 1,656 EastGroup Properties, Inc. REIT 50,963 1,650 Glacier Bancorp, Inc. 50,795 1,646 * Mindspeed Technologies, Inc. 239,966 1,644 Overseas Shipholding Group Inc. 48,128 1,639 * Helen of Troy Ltd. 70,635 1,635 Hancock Holding Co. 29,801 1,626 Dime Community Bancshares 52,796 1,624 * WCI Communities, Inc. 78,579 1,620 * Sola International Inc. 85,923 1,615 Mine Safety Appliances Co. 20,300 1,614 First Charter Corp. 82,342 1,610 Vintage Petroleum, Inc. 133,766 1,609 * Triumph Group, Inc. 44,178 1,608 MFA Mortgage Investments, Inc. REIT 164,234 1,601 Mid-America Apartment Communities, Inc. REIT 47,501 1,595 Boyd Gaming Corp. 97,982 1,581 Longview Fibre Co. 127,757 1,578 UMB Financial Corp. 33,102 1,574 Equity One, Inc. REIT 93,186 1,573 Mid-State Bancshares 61,801 1,572 * Stewart Enterprises, Inc. Class A 276,565 1,571 Carpenter Technology Corp. 52,799 1,561 Nu Skin Enterprises, Inc. 90,984 1,555 * Esterline Technologies Corp. 58,299 1,555 * Price Communications Corp. 113,029 1,552 WD-40 Co. 43,800 1,549 * PolyOne Corp. 242,307 1,548 LaBranche & Co. Inc. 132,600 1,547 Corporate Office Properties Trust, Inc. REIT 73,500 1,544 RAIT Investment Trust REIT 60,234 1,542 * The Titan Corp. 70,284 1,533 City Holding Co. 43,780 1,532 Regal-Beloit Corp. 69,494 1,529 Arch Chemicals, Inc. 59,406 1,524 Empire District Electric Co. 69,131 1,516 Westcorp, Inc. 41,472 1,516 IMC Global Inc. 151,982 1,509 Keystone Property Trust REIT 68,101 1,504 Sandy Spring Bancorp, Inc. 40,160 1,502 Entertainment Properties Trust REIT 43,190 1,499 Alabama National BanCorporation 28,480 1,497 Woodward Governor Co. 26,261 1,492 Thomas Industries, Inc. 42,952 1,489 Belden, Inc. 70,513 1,487 Steelcase Inc. 103,496 1,486 MGE Energy, Inc. 47,162 1,486 * Jacuzzi Brands, Inc. 208,529 1,478 Kelly Services, Inc. Class A 51,800 1,478 * NCO Group, Inc. 64,843 1,476 * TBC Corp. 57,196 1,476 51 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Ionics, Inc. 46,342 $ 1,476 Corus Bankshares Inc. 46,730 1,475 Watts Water Technologies 66,301 1,472 Glenborough Realty Trust, Inc. REIT 73,353 1,463 Irwin Financial Corp. 46,601 1,463 * AK Steel Corp. 286,801 1,463 * Offshore Logistics, Inc. 59,547 1,460 * Perot Systems Corp. 107,452 1,448 Frontier Financial Corp. 43,624 1,447 Tanger Factory Outlet Centers, Inc. REIT 35,539 1,446 Cash America International Inc. 68,207 1,445 Texas Genco Holdings, Inc. 44,375 1,442 The Laclede Group, Inc. 50,315 1,436 Ethan Allen Interiors, Inc. 34,213 1,433 MCG Capital Corp. 73,410 1,432 * Houston Exploration Co. 39,000 1,424 Universal Forest Products, Inc. 44,223 1,423 * Ocular Sciences, Inc. 49,555 1,423 Anworth Mortgage Asset Corp. REIT 102,129 1,423 Jefferies Group, Inc. 42,916 1,417 Handleman Co. 69,001 1,417 South Jersey Industries, Inc. 34,900 1,413 * Griffon Corp. 69,757 1,413 Barnes Group, Inc. 43,710 1,412 * Quanta Services, Inc. 192,790 1,407 * Range Resources Corp. 147,857 1,397 * USG Corp. 83,660 1,386 Westbanco Inc. 49,952 1,383 Independent Bank Corp. (MI) 48,758 1,383 Anchor Bancorp Wisconsin Inc. 55,533 1,383 Airgas, Inc. 64,200 1,379 * Plains Exploration & Production Co. 89,325 1,375 * Ciber, Inc. 158,487 1,373 First Financial Bancorp 85,742 1,368 Gold Banc Corp., Inc. 97,100 1,365 West Pharmaceutical Services, Inc. 40,200 1,363 * FelCor Lodging Trust, Inc. REIT 122,813 1,361 First Community Bancorp 37,286 1,348 AMLI Residential Properties Trust REIT 50,100 1,343 First Financial Bankshares, Inc. 32,190 1,342 * Keane, Inc. 91,458 1,339 First Republic Bank 37,282 1,335 * Sunrise Senior Living, Inc. 34,362 1,331 * Central Garden and Pet Co. 47,394 1,328 * K2 Inc. 87,185 1,326 Cabot Oil & Gas Corp. 44,699 1,312 ElkCorp 48,926 1,306 * Sycamore Networks, Inc. 246,876 1,294 * TierOne Corp. 56,312 1,293 First Sentinel Bancorp Inc. 61,272 1,290 Ramco-Gershenson Properties Trust REIT 45,590 1,290 * FTI Consulting, Inc. 55,000 1,285 * Swift Energy Co. 76,114 1,283 * Arris Group Inc. 177,040 1,282 Alfa Corp. 99,560 1,280 Watsco, Inc. 56,023 1,273 Cornerstone Realty Income Trust, Inc. REIT 144,626 1,267 Anthracite Capital Inc. REIT 114,301 1,265 Curtiss-Wright Corp. 27,980 1,259 Datascope Corp. 35,024 1,256 Rock-Tenn Co. 72,417 1,250 * Dycom Industries, Inc. 46,522 1,248 The Stride Rite Corp. 109,600 1,247 * Stage Stores, Inc. 44,664 1,246 Centex Construction Products, Inc. 20,601 1,242 Sovran Self Storage, Inc. REIT 33,400 1,241 * Universal Compression Holdings, Inc. 47,341 1,238 LaSalle Hotel Properties REIT 66,692 1,237 Koger Equity, Inc. REIT 59,097 1,237 * ShopKo Stores, Inc. 80,994 1,235 California Water Service Group 44,600 1,222 Oxford Industries, Inc. 36,022 1,220 Schweitzer-Mauduit International, Inc. 40,891 1,218 Odyssey Re Holdings Corp. 54,001 1,218 Bandag, Inc. 29,468 1,214 * Prime Hospitality Corp. 118,110 1,205 Parkway Properties Inc. REIT 28,900 1,202 * MGI Pharma, Inc. 29,200 1,202 Roto-Rooter, Inc. 26,050 1,201 Lone Star Steakhouse & Saloon, Inc. 51,759 1,200 Methode Electronics, Inc. Class A 98,050 1,199 Gray Television, Inc. 78,908 1,193 Speedway Motorsports, Inc. 41,232 1,192 Endurance Specialty Holdings 35,333 1,185 First Essex Bancorp, Inc. 20,384 1,185 Bedford Property Investors, Inc. REIT 41,360 1,184 * Actuant Corp. 32,614 1,181 First Merchants Corp. 46,238 1,180 Getty Realty Holding Corp. REIT 45,053 1,178 Unizan Financial Corp. 57,139 1,157 * Coeur D'Alene Mines Corp. 200,141 1,157 52 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Florida Rock Industries, Inc. 21,019 $ 1,153 * American Management Systems, Inc. 76,491 1,153 * SOURCECORP, Inc. 44,911 1,151 Net.Bank, Inc. 86,188 1,151 * Trammell Crow Co. 86,600 1,147 * Steak n Shake Co. 64,227 1,146 Kramont Realty Trust REIT 63,300 1,146 * Imagistics International Inc. 30,548 1,146 CDI Corp. 34,915 1,143 NACCO Industries, Inc. Class A 12,701 1,136 Central Pacific Financial Co. 37,771 1,135 Cato Corp. Class A 55,082 1,129 * Atlantic Coast Airlines Holdings Inc. 114,020 1,129 * PSS World Medical, Inc. 93,507 1,129 Chesapeake Corp. of Virginia 42,557 1,127 * Enbridge Energy Management 23,234 1,123 Phillips-Van Heusen Corp. 63,276 1,123 Scottish Annuity & Life Holdings, Ltd. 53,827 1,119 Sterling Bancorp 39,188 1,117 Oriental Financial Group Inc. 43,398 1,115 * UICI 83,746 1,112 Fidelity Bankshares, Inc. 35,400 1,112 GenCorp, Inc. 103,074 1,110 Russell Corp. 63,131 1,109 The Topps Co., Inc. 108,030 1,108 * Nuevo Energy Co. 45,694 1,104 * MeriStar Hospitality Corp. REIT 169,460 1,103 MacDermid, Inc. 32,199 1,102 * Fleetwood Enterprises, Inc. 107,394 1,102 * NPS Pharmaceuticals Inc. 35,686 1,097 M/I Schottenstein Homes, Inc. 27,984 1,093 First Financial Holdings, Inc. 34,955 1,093 * Insight Enterprises, Inc. 57,799 1,087 * Mastec Inc. 73,300 1,086 MTS Systems Corp. 56,360 1,084 New England Business Service, Inc. 36,579 1,079 * Intergraph Corp. 45,102 1,079 Applied Industrial Technology, Inc. 45,042 1,075 Sonic Automotive, Inc. 46,857 1,074 * Caraustar Industries, Inc. 77,580 1,071 Analogic Corp. 26,079 1,069 Valmont Industries, Inc. 46,160 1,069 * Stillwater Mining Co. 111,465 1,067 Russ Berrie and Co., Inc. 31,458 1,066 * Gardner Denver Inc. 44,662 1,066 * Tower Automotive, Inc. 155,919 1,065 * Orthodontic Centers of America, Inc. 132,276 1,065 Hooper Holmes, Inc. 171,977 1,063 * InFocus Corp. 109,298 1,058 * Consolidated Graphics, Inc. 33,485 1,057 Stewart & Stevenson Services, Inc. 75,199 1,057 American States Water Co. 42,186 1,055 Suffolk Bancorp 30,490 1,053 * Comstock Resources, Inc. 54,390 1,050 Independent Bank Corp. (MA) 36,400 1,049 Burlington Coat Factory Warehouse Corp. 49,351 1,044 Town & Country Trust REIT 41,101 1,042 * Robert Mondavi Corp. Class A 26,801 1,041 Sterling Financial Corp. (PA) 37,510 1,041 Greif Inc. Class A 29,300 1,040 First Federal Capital Corp. 45,920 1,034 Equity Inns, Inc. REIT 113,387 1,026 Libbey, Inc. 35,699 1,017 Allegiant Bancorp, Inc. 36,200 1,015 Pulitzer, Inc. 18,750 1,013 * Enterasys Networks, Inc. 269,999 1,013 * Finish Line, Inc. 33,597 1,007 * ESCO Technologies Inc. 23,033 1,005 Firstfed America Bancorp, Inc. 38,540 1,003 Max Re Capital Ltd. 44,673 1,002 * Power-One, Inc. 92,519 1,002 Kimball International, Inc. Class B 64,290 1,000 * Genesis Healthcare Corp 43,789 998 Landauer, Inc. 24,440 997 Berry Petroleum Class A 49,185 996 * Ocwen Financial Corp. 111,415 987 Tredegar Corp. 63,474 986 Simmons First National Corp. 35,152 981 United Community Financial Corp. 85,931 980 The Trust Co. of New Jersey 24,685 980 * Zoran Corp. 56,253 978 * Local Financial Corp. 46,900 977 * Veritas DGC Inc. 93,226 977 * RTI International Metals Inc. 57,793 975 * Group 1 Automotive, Inc. 26,859 972 * Boca Resorts, Inc. Class A 64,960 972 * Harvest Natural Resources, Inc. 97,601 971 Lithia Motors, Inc. 38,363 967 Hudson River Bancorp. Inc. 24,764 967 Perrigo Co. 61,129 961 * Duane Reade Inc. 56,674 959 Community Trust Bancorp Inc. 31,701 957 Weis Markets, Inc. 26,368 957 U.S. Restaurant Properties, Inc. REIT 56,100 956 BSB Bancorp, Inc. 24,199 956 Integra Bank Corp. 43,301 952 53 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Hologic, Inc. 54,817 $ 950 Newcastle Investment Corp. REIT 35,050 950 * Systems & Computer Technology Corp. 58,061 949 * RailAmerica, Inc. 80,300 948 Sea Containers Ltd. Class A 51,377 938 American Woodmark Corp. 17,000 936 Zenith National Insurance Corp. 28,700 934 * NetIQ Corp. 70,500 934 * National Western Life Insurance Co. Class A 6,028 933 IBERIABANK Corp. 15,801 932 * O'Charley's Inc. 51,923 932 Universal Health Realty Income REIT 30,900 930 Walter Industries, Inc. 69,619 929 Wabtec Corp. 54,525 929 Orient-Express Hotel Ltd. 56,546 929 * Vicuron Pharmaceuticals Inc. 49,650 926 Riggs National Corp. 55,977 925 * Unifi, Inc. 143,090 923 The Marcus Corp. 56,165 921 CIRCOR International, Inc. 38,052 917 * Electro Scientific Industries, Inc. 38,518 917 Capitol Bancorp Ltd. 32,163 913 Haverty Furniture Cos., Inc. 45,983 913 * Argonaut Group, Inc. 58,597 911 Washington Trust Bancorp, Inc. 34,553 905 Glatfelter 72,649 904 Wellman, Inc. 88,515 904 First Financial Corp. (IN) 30,100 903 * General Maritime Corp. 51,300 903 West Coast Bancorp 42,243 901 Community Banks, Inc. 22,898 900 * JAKKS Pacific, Inc. 68,141 897 * Hanger Orthopedic Group, Inc. 57,501 895 * Core Laboratories NV 53,325 890 First Community Bancshares, Inc. 26,634 883 * Aviall Inc. 56,748 880 * Buckeye Technology, Inc. 87,463 879 * Corvis Corp. 516,425 878 PXRE Group Ltd. 37,133 875 * CMGI Inc. 491,600 875 * CKE Restaurants Inc. 136,890 875 Innkeepers USA Trust REIT 104,464 874 Action Performance Cos., Inc. 44,609 874 Investors Real Estate Trust REIT 88,200 873 Tennant Co. 20,001 866 * International Multifoods Corp. 47,887 862 * Century Business Services, Inc. 191,270 855 Capital City Bank Group, Inc. 18,466 849 * Silgan Holdings, Inc. 19,900 848 Dimon Inc. 125,239 845 Agilysys, Inc. 75,755 845 * ITLA Capital Corp. 16,839 844 United Fire & Casualty Co. 20,882 843 Bank Mutual Corp. 73,268 835 * Spinnaker Exploration Co. 25,852 834 Triarc Cos., Inc. Class B 77,198 832 Prosperity Bancshares, Inc. 36,821 829 Flushing Financial Corp. 45,304 828 * Kadant Inc. 38,105 825 Brookfield Homes Corp. 32,000 825 Iomega Corp. 136,520 816 * Credence Systems Corp. 61,558 810 * Spherion Corp. 82,513 808 Standex International Corp. 28,811 807 Columbia Banking System, Inc. 37,128 804 * Incyte Corp. 117,301 802 * Denbury Resources, Inc. 56,546 787 Omega Financial Corp. 20,376 784 Millennium Chemicals, Inc. 61,552 780 * Transaction Systems Architects, Inc. 34,459 780 * Electro Rent Corp. 58,388 779 Umpqua Holdings Corp. 37,326 776 Central Vermont Public Service Corp. 32,925 774 Kaman Corp. Class A 60,629 772 * Extreme Networks, Inc. 106,976 771 * Tularik, Inc. 47,636 769 Quaker Chemical Corp. 24,963 768 State Auto Financial Corp. 32,610 763 * Steel Dynamics, Inc. 32,329 759 Pilgrim's Pride Corp. 46,500 759 * Savient Pharmaceuticals Inc. 164,714 759 Myers Industries, Inc. 62,566 758 Hancock Fabrics, Inc. 52,282 757 Deltic Timber Corp. 24,805 754 * Inverness Medical Innovations, Inc. 34,601 754 * Tenneco Automotive, Inc. 112,464 752 The Nautilus Group, Inc. 53,399 750 Presidential Life Corp. 56,988 750 Central Parking Corp. 50,106 748 Saul Centers, Inc. REIT 26,064 747 Harleysville Group, Inc. 37,449 745 Apogee Enterprises, Inc. 65,371 742 Quaker City Bancorp, Inc. 15,934 742 WSFS Financial Corp. 16,500 740 * MICROS Systems, Inc. 17,001 737 Lance, Inc. 48,898 735 CCBT Financial Cos. Inc. 21,010 734 * Wabash National Corp. 24,994 732 54 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Pope & Talbot, Inc. 41,583 $ 732 Ameron International Corp. 21,031 730 Urstadt Biddle Properties Class A REIT 51,401 727 OceanFirst Financial Corp. 26,703 725 * LTX Corp. 48,194 724 * Herley Industries Inc. 34,941 723 Bank of Granite Corp. 33,178 723 Tompkins Trustco, Inc. 15,691 723 First Busey Corp. 26,697 721 SWS Group, Inc. 40,358 718 * Onyx Pharmaceuticals, Inc. 25,423 718 Courier Corp. 18,651 718 * Teledyne Technologies, Inc. 37,999 716 Banner Corp. 28,457 716 PFF Bancorp, Inc. 19,700 715 NUI Corp. 44,336 715 * Hanover Compressor Co. 63,979 713 Coachmen Industries, Inc. 39,112 708 Holly Corp. 25,700 707 CityBank Lynnwood WA 21,630 703 * Global Industries Ltd. 136,247 702 LSI Industries Inc. 51,925 701 Ennis Business Forms, Inc. 45,800 701 * The Warnaco Group, Inc. 43,819 699 First Source Corp. 32,464 698 Gibraltar Steel 27,727 697 HEICO Corp. 38,301 697 Skyline Corp. 19,952 696 Peoples Bancorp, Inc. 23,566 695 Cohu, Inc. 36,169 693 First Bancorp (NC) 22,039 692 G & K Services, Inc. Class A 18,799 691 * J & J Snack Foods Corp. 18,222 688 McGrath Rent Corp. 25,064 683 Movado Group, Inc. 24,100 680 * Heidrick & Struggles International, Inc. 31,189 680 Peoples Holding Co. 20,550 678 * Oil States International, Inc. 48,600 677 Virginia Financial Group, Inc. 19,000 675 CT Communications, Inc. 49,949 674 * Interface, Inc. 121,568 672 * MarineMax, Inc. 34,570 672 * Safeguard Scientifics, Inc. 165,062 667 North Pittsburgh Systems, Inc. 35,214 666 * Universal American Financial Corp. 67,124 665 Great Lakes, Inc. REIT 42,220 663 Midwest Banc Holdings, Inc. 29,657 660 Penn Virginia Corp. 11,800 657 CSS Industries, Inc. 21,100 654 Financial Institutions, Inc. 23,139 653 * Insight Communications Co., Inc. 63,210 652 * Pegasus Solutions Inc. 62,208 651 * Wind River Systems Inc. 74,319 651 * Asbury Automotive Group, Inc. 36,350 651 CB Bancshares Inc. (HI) 10,293 648 First Indiana Corp. 34,532 647 Cascade Natural Gas Corp. 30,688 647 * Clark, Inc. 33,600 646 * Strattec Security Corp. 10,556 643 Arrow Financial Corp. 23,150 643 Bel Fuse, Inc. Class B 19,565 638 * Meritage Corp. 9,600 637 Mission West Properties Inc. REIT 48,980 634 * Serologicals Corp. 34,092 634 Sturm, Ruger & Co., Inc. 55,697 633 Frontier Oil Corp. 36,595 630 * DuPont Photomasks, Inc. 26,052 629 * Credit Acceptance Corp. 41,000 627 Harleysville National Corp. 20,828 627 * Sequa Corp. Class A 12,766 626 * Bally Total Fitness Holding Corp. 89,058 623 Great Southern Bancorp, Inc. 13,418 622 Union Bankshares Corp. 20,301 619 * Regeneron Pharmaceuticals, Inc. 41,899 616 First Place Financial Corp. 31,200 609 Connecticut Water Services, Inc. 21,990 608 First National Corp. 20,245 608 Calgon Carbon Corp. 97,251 604 Robbins & Myers, Inc. 31,755 603 The Standard Register Co. 35,747 602 Bowne & Co., Inc. 44,353 601 Partners Trust Financial Group, Inc. 17,679 601 Seacoast Banking Corp. of Florida 34,370 597 * NCI Building Systems, Inc. 24,787 592 Pennrock Financial Services Corp. 18,951 589 UniFirst Corp. 24,837 589 Second Bancorp, Inc. 22,267 588 * Dura Automotive Systems, Inc. 45,880 586 * Wackenhut Corrections Corp. 25,634 584 Lakeland Bancorp, Inc. 35,890 576 Midland Co. 24,346 575 Startek, Inc. 14,012 572 Building Materials Holding Corp. 36,687 570 Camden National Corp. 18,700 568 Standard Commercial Tobacco Co. 28,200 566 * America West Holdings Corp. Class B 45,252 561 * Cross Country Healthcare, Inc. 37,500 560 * Stoneridge, Inc. 37,100 558 * Champion Enterprises, Inc. 79,299 555 First Oak Brook Bancshares, Inc. 18,450 554 55 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * CuraGen Corp. 75,470 $ 553 Baldwin & Lyons, Inc. Class B 19,700 553 * Aftermarket Technology Corp. 40,281 553 * Mesa Air Group Inc. 43,771 548 Advanta Corp. Class A 42,100 547 Farmers Capital Bank Corp. 15,915 541 * PRG-Schultz International, Inc. 110,271 540 Angelica Corp. 24,349 536 * InterCept, Inc. 47,400 535 United Industrial Corp. 29,600 534 * Gentiva Health Services, Inc. 42,141 533 * Tweeter Home Entertainment Group, Inc. 56,200 531 SJW Corp. 5,900 527 * Mediacom Communications Corp. 60,600 525 * Volt Information Sciences Inc. 23,142 523 CTS Corp. 45,436 523 Capstead Mortgage Corp. REIT 31,000 520 Pennfed Financial Services, Inc. 15,448 518 * Cleveland-Cliffs Inc. 10,131 516 Blair Corp. 21,200 516 * Fisher Communications, Inc. 10,100 515 NBC Capital Corp. 19,301 515 The Buckle, Inc. 23,200 514 * Alexion Pharmaceuticals, Inc. 30,100 512 * RC2 Corp. 24,576 510 * Quantum Corp. 162,400 507 * Hudson Highland Group, Inc. 21,050 502 * SPSS, Inc. 27,949 500 Gorman-Rupp Co. 18,900 499 Capital Southwest Corp. 8,000 496 * Harmonic, Inc. 67,800 492 * Navigant International, Inc. 35,400 490 Riviana Foods, Inc. 17,827 488 Republic Bancorp, Inc. Class A 24,942 487 National Presto Industries, Inc. 13,380 484 Advanced Marketing Services 42,206 481 Lawson Products, Inc. 14,500 481 * TransMontaigne Inc. 73,380 473 Aaron Rents, Inc. Class B 23,496 473 * Sterling Financial Corp. 13,800 472 * Cell Genesys, Inc. 36,100 467 * Lydall, Inc. 45,493 464 * Metris Cos., Inc. 103,561 460 * Sapient Corp. 81,600 457 BancFirst Corp. 7,700 452 * CNA Surety Corp. 47,460 451 German American Bancorp 25,665 449 * Exelixis, Inc. 61,900 438 * Transmeta Corp. 128,720 438 * Time Warner Telecom Inc. 42,581 431 Citizens 1st Bancorp, Inc. 18,821 429 * Parker Drilling Co. 166,371 424 * AMC Entertainment, Inc. 27,826 423 * Integrated Silicon Solution, Inc. 27,003 423 * Digitas Inc. 45,220 421 CFS Bancorp, Inc. 28,384 421 Franklin Electric, Inc. 6,923 419 * PRAECIS Pharmaceuticals Inc. 64,715 417 * National Healthcare Corp. 20,800 414 * PAREXEL International Corp. 25,404 413 Stepan Co. 15,971 410 * PalmOne, Inc. 34,724 408 * Genesee & Wyoming Inc. Class A 12,897 406 * The Great Atlantic & Pacific Tea Co., Inc. 47,889 402 * Tier Technologies, Inc. 49,114 401 Vital Signs, Inc. 11,784 385 * CV Therapeutics, Inc. 26,055 382 * Hawthorne Financial Corp. 13,501 378 Republic Bancshares, Inc. 12,000 378 Bay View Capital Corp. 176,331 377 * Tanox, Inc. 25,292 376 * McLeod USA Inc. 253,300 375 * Geron Corp. 37,139 370 * Navigators Group, Inc. 11,656 360 * CompuCom Systems, Inc. 68,660 360 * Playtex Products, Inc. 46,501 359 * NeoPharm, Inc. 19,394 355 * Talk America Holdings, Inc. 30,717 354 Alico, Inc. 10,002 348 * ChipPAC, Inc. 45,800 348 * Wesco International, Inc. 39,086 346 * Mattson Technology, Inc. 28,290 346 World Fuel Services Corp. 10,027 340 * Stratex Networks, Inc. 80,039 340 * Avatar Holding, Inc. 9,089 336 * WFS Financial, Inc. 7,900 335 * Powell Industries, Inc. 17,400 333 * General Communication, Inc. 38,028 331 * iGATE Corp. 42,000 330 * Audiovox Corp. 25,643 329 * Plug Power, Inc. 45,147 327 Churchill Downs, Inc. 9,017 326 Shenandoah Telecommunications Co. 6,200 318 * Arena Pharmaceuticals, Inc. 51,093 317 * Isis Pharmaceuticals, Inc. 48,400 315 * Zymogenetics, Inc. 20,289 314 PMA Capital Corp. Class A 60,800 311 NL Industries, Inc. 26,480 310 Royal Bancshares of Pennsylvania, Inc. 12,039 307 * Vail Resorts Inc. 17,801 303 56 -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Albany Molecular Research, Inc. 20,028 $ 301 * Collins & Aikman Corp. 68,362 296 * PRIMEDIA Inc. 100,691 285 Ingles Markets, Inc. 27,741 285 Deb Shops, Inc. 13,100 282 Acadia Realty Trust REIT 22,500 281 * New Focus, Inc. 56,001 281 * Terayon Communications Systems, Inc. 61,540 277 * Skechers U.S.A., Inc. 33,916 276 Coca-Cola Bottling Co. 5,100 273 Lindsay Manufacturing Co. 10,799 273 * MRO Software Inc. 20,217 272 Gabelli Asset Management Inc. 6,746 268 Dover Downs Gaming & Entertainment, Inc. 28,364 268 * P.A.M. Transportation Services, Inc. 12,200 260 * Mobile Mini, Inc. 13,109 259 Sanderson Farms, Inc. 6,313 254 Old Second Bancorp, Inc. 4,901 243 * OSI Systems Inc. 12,600 242 Troy Financial Corp. 6,701 235 * Vicor Corp. 20,318 232 * Regent Communications, Inc. 35,992 229 * Galyan's Trading Co. 18,973 228 Advanta Corp. Class B 17,600 224 * Oplink Communications, Inc. 90,888 217 * Neoforma, Inc. 20,400 217 * Input/Output, Inc. 45,731 206 * Gulfmark Offshore, Inc. 14,606 204 * Crown Media Holdings, Inc. 23,828 197 * ImmunoGen, Inc. 36,400 184 * Alloy, Inc. 34,700 181 * Specialty Laboratories, Inc. 10,735 180 * Infonet Services Corp. 102,107 174 Crawford & Co. Class B 23,901 169 Hanmi Financial Corp. 8,200 162 * Shoe Carnival, Inc. 8,474 151 * Boston Communications Group, Inc. 16,160 150 Tecumseh Products Co. Class B 2,900 137 * Gulf Island Fabrication, Inc. 7,701 131 Urstadt Biddle Properties REIT 9,300 127 * Dril-Quip, Inc. 6,377 104 Bandag, Inc. Class A 2,500 101 * Raytech Corp. 22,300 74 HEICO Corp. Class A 3,800 54 * Insurance Auto Auctions, Inc. 2,552 33 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $1,486,142) $ 1,835,743 -------------------------------------------------------------------------------- FACE AMOUNT (000) -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.2%) -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. 1.07%, 1/8/2004 $ 2,000 2,000 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.99%, 1/2/2004--Note E 51,223 51,223 0.98%, 1/2/2004 5,224 5,224 -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $58,447) 58,447 -------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.2%) (Cost $1,544,589) 1,894,190 -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.2%) -------------------------------------------------------------------------------- Other Assets--Note B 17,995 Security Lending Collateral Payable to Brokers--Note E (51,223) Other Liabilities (24,797) ---------------- $ (58,025) ---------------- -------------------------------------------------------------------------------- NET ASSETS (100%) $ 1,836,165 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. REIT--Real Estate Investment Trust. -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: -------------------------------------------------------------------------------- AMOUNT (000) -------------------------------------------------------------------------------- Paid-in Capital $ 1,818,277 Overdistributed Net Investment Income (927) Accumulated Net Realized Losses (330,786) Unrealized Appreciation 349,601 -------------------------------------------------------------------------------- NET ASSETS $ 1,836,165 ================================================================================ Investor Shares--Net Assets Applicable to 150,666,550 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 1,730,457 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 11.49 ================================================================================ Institutional Shares--Net Assets Applicable to 9,188,203 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 105,708 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 11.50 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 57 STATEMENT OF OPERATIONS This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period. -------------------------------------------------------------------------------- SMALL-CAP SMALL-CAP SMALL-CAP GROWTH INDEX VALUE INDEX INDEX FUND FUND FUND ----------------------------------------------- YEAR ENDED DECEMBER 31, 2003 ----------------------------------------------- (000) (000) (000) -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 71,206 $ 2,570 $ 33,475 Interest 407 38 50 Security Lending 3,108 335 517 -------------------------------------------------------------------------------- Total Income 74,721 2,943 34,042 -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 153 113 113 Management and Administrative Investor Shares 8,760 1,155 3,041 Admiral Shares 1,202 -- -- Institutional Shares 600 9 74 Marketing and Distribution Investor Shares 476 70 204 Admiral Shares 105 -- -- Institutional Shares 138 12 38 Custodian Fees 271 180 148 Auditing Fees 17 15 15 Shareholders' Reports Investor Shares 228 19 40 Admiral Shares 3 -- -- Institutional Shares 1 -- 1 Trustees' Fees and Expenses 6 1 2 -------------------------------------------------------------------------------- Total Expenses 11,960 1,574 3,676 -------------------------------------------------------------------------------- NET INVESTMENT INCOME 62,761 1,369 30,366 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (856,527) 45,666 (161,410) Futures Contracts 15,310 1,026 1,439 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (841,217) 46,692 (159,971) -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 2,807,252 166,882 583,355 Futures Contracts 498 -- -- -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 2,807,750 166,882 583,355 -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $2,029,294 $214,943 $453,750 ================================================================================ 58 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. -------------------------------------------------------------------------------- SMALL-CAP SMALL-CAP GROWTH INDEX FUND INDEX FUND ---------------------- ---------------------- YEAR ENDED DECEMBER 31, -------------------------------------------------------------------------------- 2003 2002 2003 2002 (000) (000) (000) (000) -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 62,761 $ 52,047 $ 1,369 $ 1,422 Realized Net Gain (Loss) (841,217) (98,958) 46,692 (51,171) Change in Unrealized Appreciation (Depreciation) 2,807,750 (989,851) 166,882 (41,084) -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 2,029,294 (1,036,762) 214,943 (90,833) -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (43,573) (35,750) (1,547) (1,051) Admiral Shares (10,499) (7,673) -- -- Institutional Shares (10,910) (8,974) (68) (460) -------------------------------------------------------------------------------- REALIZED CAPITAL GAIN Investor Shares -- -- -- -- Admiral Shares -- -- -- -- Institutional Shares -- -- -- -- -------------------------------------------------------------------------------- Total Distributions (64,982) (52,397) (1,615) (1,511) -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares 559,646 194,844 313,013 98,555 Admiral Shares 173,758 187,727 -- -- Institutional Shares 120,654 249,580 (81,321) 19,034 -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 854,058 632,151 231,692 117,589 -------------------------------------------------------------------------------- Total Increase (Decrease) 2,818,370 (457,008) 445,020 25,245 -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 4,219,145 4,676,153 491,536 466,291 -------------------------------------------------------------------------------- End of Period $ 7,037,515 $4,219,145 $936,556 $491,536 ================================================================================ 59 STATEMENT OF CHANGES IN NET ASSETS (CONTINUED) -------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND -------------------------- YEAR ENDED DECEMBER 31, -------------------------- 2003 2002 (000) (000) -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 30,366 $ 16,319 Realized Net Gain (Loss) (159,971) (157,642) Change in Unrealized Appreciation (Depreciation) 583,355 (249,915) -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 453,750 (391,238) -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (29,307) (12,346) Institutional Shares (1,838) (4,083) Realized Capital Gain* Investor Shares -- (26,299) Institutional Shares -- (11,401) -------------------------------------------------------------------------------- Total Distributions (31,145) (54,129) -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares 145,432 713,241 Institutional Shares (246,367) 118,815 -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (100,935) 832,056 -------------------------------------------------------------------------------- Total Increase (Decrease) 321,670 386,689 -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 1,514,495 1,127,806 -------------------------------------------------------------------------------- End of Period $1,836,165 $1,514,495 ================================================================================ * Includes fiscal 2002 short-term gain distributions totaling $26,363,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 60 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
SMALL-CAP INDEX FUND INVESTOR SHARES ---------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $23.60 $21.20 ---------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .200 .192 .217 .270 .256 Net Realized and Unrealized Gain (Loss) on Investments 6.944 (4.160) .388 (1.145) 4.491 ---------------------------------------------------------------------------------------------------------------- Total from Investment Operations 7.144 (3.968) .605 (.875) 4.747 ---------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.204) (.192) (.225) (.260) (.267) Distributions from Realized Capital Gains -- -- -- (3.025) (2.080) ---------------------------------------------------------------------------------------------------------------- Total Distributions (.204) (.192) (.225) (3.285) (2.347) ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $22.60 $15.66 $19.82 $19.44 $23.60 ================================================================================================================ TOTAL RETURN* 45.63% -20.02% 3.10% -2.67% 23.13% ================================================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $4,871 $2,943 $3,545 $3,577 $3,553 Ratio of Total Expenses to Average Net Assets 0.27% 0.27% 0.27% 0.27% 0.25% Ratio of Net Investment Income to Average Net Assets 1.17% 1.11% 1.16% 1.17% 1.25% Portfolio Turnover Rate 39%** 32% 39% 49% 42% ================================================================================================================ * Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000, or the $10 annual account maintenance fee applied on balances under $10,000. ** Includes activity related to a change in the fund's target index.
61 FINANCIAL HIGHLIGHTS (CONTINUED) SMALL-CAP INDEX FUND ADMIRAL SHARES -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, NOV. 13* TO ----------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $22.40 -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .220 .207 .231 .053 Net Realized and Unrealized Gain (Loss) on Investments 6.944 (4.160) .388 .062 -------------------------------------------------------------------------------- Total from Investment Operations 7.164 (3.953) .619 .115 -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.224) (.207) (.239) (.265) Distributions from Realized Capital Gains -- -- -- ( 2.810) -------------------------------------------------------------------------------- Total Distributions (.224) (.207) (.239) (3.075) -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $22.60 $15.66 $19.82 $19.44 ================================================================================ TOTAL RETURN 45.76% -19.95% 3.17% 1.75% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,056 $591 $547 $252 Ratio of Total Expenses to Average Net Assets 0.18% 0.18% 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 1.26% 1.22% 1.24% 1.79%** Portfolio Turnover Rate 39%+ 32% 39% 49% ================================================================================ *Inception. **Annualized. +Includes activity related to a change in the fund's target index. 62
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES ---------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $23.61 $21.20 ---------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .240 .219 .251 .292 .295 Net Realized and Unrealized Gain (Loss) on Investments 6.944 (4.160) .388 (1.145) 4.491 ---------------------------------------------------------------------------------------------------------------- Total from Investment Operations 7.184 (3.941) .639 (.853) 4.786 ---------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.234) (.219) (.259) (.292) (.296) Distributions from Realized Capital Gains -- -- -- (3.025) (2.080) ---------------------------------------------------------------------------------------------------------------- Total Distributions (.234) (.219) (.259) (3.317) (2.376) ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $22.61 $15.66 $19.82 $19.44 $23.61 ================================================================================================================ TOTAL RETURN* 45.88% -19.89% 3.27% -2.56% 23.33% ================================================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,111 $686 $584 $490 $415 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.13% 0.12% Ratio of Net Investment Income to Average Net Assets 1.33% 1.32% 1.34% 1.32% 1.37% Portfolio Turnover Rate 39%** 32% 39% 49% 42% ================================================================================================================
*Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000. **Includes activity related to a change in the fund's target index. 63 FINANCIAL HIGHLIGHTS (CONTINUED)
SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES ---------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 9.17 $10.87 $10.97 $11.38 $ 9.53 ---------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .021 .027 .009 .009 .025 Net Realized and Unrealized Gain (Loss) on Investments 3.911 (1.702) (.094) .154 1.860 ---------------------------------------------------------------------------------------------------------------- Total from Investment Operations 3.932 (1.675) (.085) .163 1.885 ---------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.022) (.025) (.015) (.003) (.035) Distributions from Realized Capital Gains -- -- -- (.570) -- ---------------------------------------------------------------------------------------------------------------- Total Distributions (.022) (.025) (.015) (.573) (.035) ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $13.08 $ 9.17 $10.87 $10.97 $11.38 ================================================================================================================ TOTAL RETURN* 42.88% -15.41% -0.78% 1.59% 19.80% ================================================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $907 $388 $357 $356 $167 Ratio of Total Expenses to Average Net Assets 0.27% 0.27% 0.27% 0.27% 0.25% Ratio of Net Investment Income to Average Net Assets 0.21% 0.24% 0.11% 0.03% 0.33% Portfolio Turnover Rate 108%** 61% 74% 136% 82% ================================================================================================================
* Total returns do not reflect transaction fees on purchases (0.5% from March 1, 1999, through March 31, 2002; 1.0% from inception through February 28, 1999) or the $10 annual account maintenance fee applied on balances under $10,000. ** Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 91%. **** **** 64 SMALL-CAP GROWTH INDEX FUND INSTITUTIONAL SHARES -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, MAY 24* TO ----------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 9.17 $10.87 $10.97 $11.03 -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .039 .043 .024 .009 Net Realized and Unrealized Gain (Loss) on Investments 3.911 (1.702) (.094) .513 -------------------------------------------------------------------------------- Total from Investment Operations 3.950 (1.659) (.070) .522 -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.030) (.041) (.030) (.012) Distributions from Realized Capital Gains -- -- -- (.570) -------------------------------------------------------------------------------- Total Distributions (.030) (.041) (.030) (.582) -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $13.09 $ 9.17 $10.87 $10.97 ================================================================================ TOTAL RETURN 43.08% -15.26% -0.64% 4.90% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $30 $104 $109 $73 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.13%+ Ratio of Net Investment Income to Average Net Assets 0.38% 0.41% 0.28% 0.11%+ Portfolio Turnover Rate 108%++ 61% 74% 136% ================================================================================ * Inception. ** Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002. +Annualized. ++Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 91%. 65 FINANCIAL HIGHLIGHTS (CONTINUED)
SMALL-CAP VALUE INDEX FUND INVESTOR SHARES ---------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 8.52 $10.29 $ 9.65 $ 8.45 $ 8.74 ---------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .192 .090 .074 .084 .065 Net Realized and Unrealized Gain (Loss) on Investments 2.976 (1.494) 1.176 1.698 .210 ---------------------------------------------------------------------------------------------------------------- Total from Investment Operations 3.168 (1.404) 1.250 1.782 .275 ---------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.198) (.090) (.065) (.082) (.070) Distributions from Realized Capital Gains -- (.276) (.545) (.500) (.495) ---------------------------------------------------------------------------------------------------------------- Total Distributions (.198) (.366) (.610) (.582) (.565) ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $11.49 $ 8.52 $10.29 $ 9.65 $ 8.45 ================================================================================================================ TOTAL RETURN* 37.19% -14.20% 13.70% 21.88% 3.35% ================================================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,730 $1,176 $802 $317 $204 Ratio of Total Expenses to Average Net Assets 0.27% 0.27% 0.27% 0.27% 0.25% Ratio of Net Investment Income to Average Net Assets 2.07% 0.93% 0.97% 1.16% 0.96% Portfolio Turnover Rate 109%** 57% 59% 82% 80% ================================================================================================================
* Total returns do not reflect transaction fees on purchases (0.5% from March 1, 1999, through March 31, 2002; 1.0% from inception through February 28, 1999) or the $10 annual account maintenance fee applied on balances under $10,000. ** Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 100%. 66
SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES -------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, DEC. 7* TO --------------------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $8.53 $10.29 $9.65 $8.45 $8.74 -------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .198 .114 .089 .097 .009 Net Realized and Unrealized Gain (Loss) on Investments 2.976 (1.494) 1.176 1.698 .226 -------------------------------------------------------------------------------------------- Total from Investment Operations 3.174 (1.380) 1.265 1.795 .235 -------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.204) (.104)(.080) (.095) (.070) Distributions from Realized Capital Gains -- (.276)(.545) (.500) (.455) -------------------------------------------------------------------------------------------- Total Distributions (.204) (.380)(.625) (.595) (.525) -------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $11.50 $8.53 $10.29 $9.65 $8.45 ============================================================================================ TOTAL RETURN 37.22% -13.96% 13.86% 22.04% 2.83% ============================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $106 $338 $325 $86 $10 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.13% 0.13%+ Ratio of Net Investment Income to Average Net Assets 2.24% 1.08% 1.14% 1.36% 1.37%+ Portfolio Turnover Rate 109%++ 57% 59% 82% 80% ============================================================================================
* Inception. ** Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002. +Annualized. ++Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 100%. SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 67 NOTES TO FINANCIAL STATEMENTS Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. The Small-Cap Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. The Small-Cap Growth Index and Small-Cap Value Index Funds each offer two classes of shares, Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements. 1. SECURITY VALUATION: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds' pricing time but after the close of the securities' primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. 2. FUTURES CONTRACTS: The funds use Russell 2000 Index and S&P MidCap 400 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. A fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 3. REPURCHASE AGREEMENTS: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 68 4. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on purchases of capital shares through March 31, 2002, were credited to paid-in capital. Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2003, the funds had contributed capital to Vanguard (included in Other Assets) of: -------------------------------------------------------------------------------- CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION -------------------------------------------------------------------------------- Small-Cap $1,074 0.02% 1.07% Small-Cap Growth 144 0.02 0.14 Small-Cap Value 272 0.02 0.27 -------------------------------------------------------------------------------- The funds' trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. During the year ended December 31, 2003, the Small-Cap Growth Index and Small-Cap Value Index Funds realized $20,834,000 and $12,094,000, respectively, of net capital gains resulting from in-kind redemptions--in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the funds, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. 69 At December 31, 2003, the funds had the following tax-basis amounts available for distribution, and capital losses available to offset future net capital gains: -------------------------------------------------------------------------------- AMOUNT AVAILABLE FOR DISTRIBUTION CAPITAL LOSSES ------------------------------- ---------------------------- ORDINARY LONG-TERM EXPIRATION: FISCAL INCOME CAPITAL GAIN AMOUNT YEARS ENDING INDEX FUND (000) (000) (000) DECEMBER 31 -------------------------------------------------------------------------------- Small-Cap $(390)* -- $1,009,290 2009-2012 Small-Cap Growth (5)* -- 103,165 2009-2012 Small-Cap Value (200)* -- 328,412 2010-2011 -------------------------------------------------------------------------------- *Amount of the fund's December 2003 dividend payable in January 2004 that will be used to reduce required 2004 ordinary income dividends. At December 31, 2003, net unrealized appreciation of investment securities for tax purposes was: -------------------------------------------------------------------------------- (000) ------------------------------------------------------ NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) -------------------------------------------------------------------------------- Small-Cap $2,008,663 $(248,977) $1,759,686 Small-Cap Growth 195,428 (14,666) 180,762 Small-Cap Value 371,245 (21,644) 349,601 -------------------------------------------------------------------------------- At December 31, 2003, the aggregate settlement value of open futures contracts expiring in March 2004 and the related unrealized appreciation were: -------------------------------------------------------------------------------- (000) ------------------------------------------------------ AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) -------------------------------------------------------------------------------- Small-Cap/Russell 2000 Index 47 $13,094 $267 -------------------------------------------------------------------------------- Unrealized appreciation on open futures contracts is required to be treated as realized gain for tax purposes. D. During the year ended December 31, 2003, purchases and sales of investment securities other than temporary cash investments were: -------------------------------------------------------------------------------- (000) ---------------------------------- INDEX FUND PURCHASES SALES -------------------------------------------------------------------------------- Small-Cap $2,916,857 $2,048,957 Small-Cap Growth 891,521 659,629 Small-Cap Value 1,589,232 1,690,957 -------------------------------------------------------------------------------- 70 E. The market value of securities on loan to broker/dealers at December 31, 2003, and collateral received with respect to such loans were: -------------------------------------------------------------------------------- (000) ---------------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED -------------------------------------------------------------------------------- Small-Cap $361,787 $390,557 Small-Cap Growth 23,448 26,915 Small-Cap Value 48,086 51,223 -------------------------------------------------------------------------------- The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan. F. Capital share transactions for each class of shares were: -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------------------ 2003 2002 ---------------------------- ---------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) -------------------------------------------------------------------------------- SMALL-CAP Investor Shares Issued $1,255,911 65,734 $969,210 52,655 Issued in Lieu of Cash Distributions 40,382 1,799 32,957 2,099 Redeemed (736,647) (39,926) (807,323) (45,694) ------------------------------------------------------ Net Increase (Decrease)-- Investor Shares 559,646 27,607 194,844 9,060 ------------------------------------------------------ Admiral Shares Issued 370,576 19,377 360,338 19,812 Issued in Lieu of Cash Distributions 8,958 399 6,353 405 Redeemed (205,776) (10,747) (178,964) (10,091) ------------------------------------------------------ Net Increase (Decrease)-- Admiral Shares 173,758 9,029 187,727 10,126 ------------------------------------------------------ Institutional Shares Issued 301,591 15,201 350,815 20,013 Issued in Lieu of Cash Distributions 9,885 440 7,773 495 Redeemed (190,822) (10,272) (109,008) (6,203) ------------------------------------------------------ Net Increase (Decrease)-- Institutional Shares 120,654 5,369 249,580 14,305 -------------------------------------------------------------------------------- 71 -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------------------ 2003 2002 ---------------------------- ---------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) -------------------------------------------------------------------------------- SMALL-CAP GROWTH Investor Shares Issued $ 477,577 41,583 $186,828 18,562 Issued in Lieu of Cash Distributions 1,307 101 853 93 Redeemed (165,871) (14,657) (89,126) (9,205) ------------------------------------------------------ Net Increase (Decrease)-- Investor Shares 313,013 27,027 98,555 9,450 ------------------------------------------------------ Institutional Shares Issued 34,063 3,404 67,564 6,452 Issued in Lieu of Cash Distributions 68 5 457 50 Redeemed (115,452) (12,427) (48,987) (5,246) ------------------------------------------------------ Net Increase (Decrease)-- Institutional Shares (81,321) (9,018) 19,034 1,256 -------------------------------------------------------------------------------- SMALL-CAP VALUE Investor Shares Issued $ 523,908 54,116 $1,192,018 113,003 Issued in Lieu of Cash Distributions 26,862 2,345 35,943 3,594 Redeemed (405,338) (43,803) (514,720) (56,570) ------------------------------------------------------ Net Increase (Decrease)-- Investor Shares 145,432 12,658 713,241 60,027 ------------------------------------------------------ Institutional Shares Issued 91,334 10,337 278,790 25,926 Issued in Lieu of Cash Distributions 1,528 133 14,995 1,481 Redeemed (339,229) (40,928) (174,970) (19,366) ------------------------------------------------------ Net Increase (Decrease)-- Institutional Shares (246,367) (30,458) 118,815 8,041 -------------------------------------------------------------------------------- 72 REPORT OF INDEPENDENT AUDITORS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Small-Cap Index Fund, Small-Cap Growth Index Fund, and Small-Cap Value Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2003, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and broker, provide a reasonable basis for our opinion. PRICEWATERHOUSECOOPERS LLP PHILADELPHIA, PENNSYLVANIA FEBRUARY 3, 2004 -------------------------------------------------------------------------------- SPECIAL 2003 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (SMALL-CAPITALIZATION PORTFOLIOS) This information for the fiscal year ended December 31, 2003, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: ----------------------------------- INDEX FUND PERCENTAGE ----------------------------------- Small-Cap 68.2% Small-Cap Growth 100.0 Small-Cap Value 65.1 ----------------------------------- The funds distributed the maximum amount of qualified dividend income allowable. The amount of qualified dividend income distributed by the funds was provided to individual shareholders on their 2003 Form 1099-DIV. -------------------------------------------------------------------------------- 73 INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM If you're like many Vanguard investors, you believe in planning and taking control of your own investments. Vanguard.com was built for you--and it keeps getting better. research and plan your investments with confidence Use our PLANNING & ADVICE and RESEARCH FUNDS & STOCKS sections to: * Determine what asset allocation might best suit your needs--by taking our Investor Questionnaire. * Find out how much to save for retirement and your children's college education-- by using our planning tools. * Learn how to achieve your goals--by reading our PlainTalk(R) investment guides. * Find your next fund--by using the Compare Funds, Compare Costs, and Narrow Your Fund Choices tools. * Look up fund price, performance history, and distribution information--in a snap. INVEST AND MANAGE ACCOUNTS WITH EASE Log on to VANGUARD.COM to: * See what you own (at Vanguard and elsewhere) and how your investments are doing. * Elect to receive online statements, fund reports (like this one), prospectuses, and tax forms. * Analyze your portfolio's holdings and performance. * Open new accounts, buy and sell shares, and exchange money between funds--securely and easily. * Sign up to receive electronic newsletters from Vanguard informing you of news on our funds, products, and services, as well as on investing and the financial markets. Find out what Vanguard.com can do for you. Log on today! 74 CAPITALIZE ON YOUR IRA Are you taking full advantage of your individual retirement account? You really should be. The contribution limits on IRAs were recently raised, making these tax-deferred accounts more powerful options for retirement savers. Here's how you can exploit your IRA--and improve your chances of having the retirement of your dreams. contribute the maximum amount each year It may be an obvious point, but if you invest as much in your IRA as the law allows--currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over--you will increase the odds of meeting your retirement goals. "Max out" every year you can. MAKE IT AUTOMATIC Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit. CONSIDER COST The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice. REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS Don't spend your retirement assets before you've retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA. If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit VANGUARD.COM. You can open or fund your IRA on our website and have a confirmation in your hand within minutes. THE VANGUARD(R) FAMILY OF FUNDS STOCK FUNDS 500 Index Fund Calvert Social Index Fund Capital Opportunity Fund Capital Value Fund Convertible Securities Fund Developed Markets Index Fund Dividend Growth Fund Emerging Markets Stock Index Fund Energy Fund Equity Income Fund European Stock Index Fund Explorer(TM) Fund Extended Market Index Fund Global Equity Fund Growth and Income Fund Growth Equity Fund Growth Index Fund Health Care Fund Institutional Developed Markets Index Fund Institutional Index Fund Institutional Total Stock Market Index Fund International Explorer(TM) Fund International Growth Fund International Value Fund Mid-Cap Growth Fund Mid-Cap Index Fund Morgan(TM) Growth Fund Pacific Stock Index Fund Precious Metals Fund PRIMECAP Fund REIT Index Fund Selected Value Fund Small-Cap Growth Index Fund Small-Cap Index Fund Small-Cap Value Index Fund Strategic Equity Fund Tax-Managed Capital Appreciation Fund Tax-Managed Growth and Income Fund Tax-Managed International Fund Tax-Managed Small-Cap Fund Total International Stock Index Fund Total Stock Market Index Fund U.S. Growth Fund U.S. Value Fund Value Index Fund Windsor(TM) Fund Windsor(TM) II Fund BALANCED FUNDS Asset Allocation Fund Balanced Index Fund LifeStrategy(R) Conservative Growth Fund LifeStrategy(R) Growth Fund LifeStrategy(R) Income Fund LifeStrategy(R) Moderate Growth Fund STAR(R) Fund Target Retirement Funds: Retirement Income Retirement 2005 Retirement 2015 Retirement 2025 Retirement 2035 Retirement 2045 Tax-Managed Balanced Fund Wellesley(R) Income Fund Wellington(TM) Fund BOND FUNDS GNMA Fund High-Yield Corporate Fund High-Yield Tax-Exempt Fund Inflation-Protected Securities Fund Institutional Total Bond Market Index Fund Insured Long-Term Tax-Exempt Fund Intermediate-Term Bond Index Fund Intermediate-Term Corporate Fund Intermediate-Term Tax-Exempt Fund Intermediate-Term Treasury Fund Limited-Term Tax-Exempt Fund Long-Term Bond Index Fund Long-Term Corporate Fund Long-Term Tax-Exempt Fund Long-Term Treasury Fund Short-Term Bond Index Fund Short-Term Corporate Fund Short-Term Federal Fund Short-Term Tax-Exempt Fund Short-Term Treasury Fund State Tax-Exempt Bond Funds (California, Florida, Massachusetts, New Jersey, New York, Ohio, Pennsylvania) Total Bond Market Index Fund MONEY MARKET FUNDS Admiral(TM) Treasury Money Market Fund Federal Money Market Fund Prime Money Market Fund State Tax-Exempt Money Market Funds (California, New Jersey, New York, Ohio, Pennsylvania) Tax-Exempt Money Market Fund Treasury Money Market Fund VARIABLE ANNUITY Balanced Portfolio Capital Growth Portfolio Diversified Value Portfolio Equity Income Portfolio Equity Index Portfolio Growth Portfolio High Yield Bond Portfolio International Portfolio Mid-Cap Index Portfolio Money Market Portfolio REIT Index Portfolio Short-Term Corporate Portfolio Small Company Growth Portfolio Total Bond Market Index Portfolio Total Stock Market Index Portfolio For information about Vanguard funds and annuities, including charges and expenses, obtain a prospectus from The Vanguard Group, P.O. Box 2600, Valley Forge, PA 19482-2600. Read it carefully before you invest or send money. THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard(R) funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
------------------------------------------------------------------------------------------------------------ POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS ------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee (1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies May 1987 Executive Officer, served by The Vanguard Group. and Trustee (118) ------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (118) to Greenwich Associates (international business strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. ------------------------------------------------------------------------------------------------------------ RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (1945) (118) Chairman (JanuarySeptember 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. ------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the HEISEN (118) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer (1950) products); Director of the Medical Center at Princeton and Women's July 1998 Research and Education Institute. ------------------------------------------------------------------------------------------------------------ BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University; (1932) (116) Director of Vanguard Investment Series plc (Irish invest-ment fund) May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish investment management firm)(since November 2001),Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc.(software company). ------------------------------------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS ------------------------------------------------------------------------------------------------------------ Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (1941) (118) Industries, Inc. (forklift trucks/housewares/lignite); Director of January 1993 Goodrich Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (supplier for the automotive industry) until 1998. ------------------------------------------------------------------------------------------------------------ J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (1936) (118) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal distribution); Trustee of Vanderbilt University. ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (118) Secretary of The Vanguard Group and of each of the investment June 2001 companies served by The Vanguard Group. ------------------------------------------------------------------------------------------------------------ Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (1957) (118) investment companies served by The Vanguard Group. July 1998 ------------------------------------------------------------------------------------------------------------ *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. ------------------------------------------------------------------------------------------------------------ VANGUARD SENIOR MANAGEMENT TEAM MORTIMER J. BUCKLEY, Information Technology. MICHAEL S. MILLER, Planning and Development. JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance. KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer. F. WILLIAM MCNABB, III, Client Relationship Group. ------------------------------------------------------------------------------------------------------------ JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. ------------------------------------------------------------------------------------------------------------
[VANGUARD SHIP LOGO] THE VANGUARD GROUP(R) POST OFFICE BOX 2600 VALLEY FORGE, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Admiral, Consolidated View, Explorer, Morgan, LifeStrategy, PlainTalk, STAR, Wellesley, Wellington, Windsor, and the ship logo are trademarks of The Vanguard Group, Inc. S&P 500(R), Standard & Poor's 500, and 500 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. Calvert Social Index is a trademark of Calvert Group, Ltd., and has been licensed for use by The Vanguard Group, Inc. Vanguard Calvert Social Index Fund is not sponsored, endorsed, sold, or promoted by Calvert Group, Ltd., and Calvert Group, Ltd., makes no representation regarding the advisability of investing in the fund. The funds or securities referred to herein that are offered by The Vanguard Group and track an MSCI index are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities. The prospectus contains more detailed description of the limited relationship MSCI has with The Vanguard Group and any related funds. All other marks are the exclusive property of their respective owners. ABOUT OUR COVER The photographs that appear on the cover of this report are copyrighted by Michael Kahn. FOR MORE INFORMATION This report is intended for the funds' shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the funds or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through VANGUARD.COM. Prospectuses may also be viewed online. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 DIRECT INVESTOR ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 TEXT TELEPHONE 1-800-952-3335 (C) 2004 THE VANGUARD GROUP, INC. ALL RIGHTS RESERVED. VANGUARD MARKETING CORPORATION, DISTRIBUTOR. Q480 022004 VANGUARD(R) U.S. STOCK INDEX FUNDS MID-CAPITALIZATION PORTFOLIOS DECEMBER 31, 2003 ANNUAL REPORT VANGUARD(R)EXTENDED MARKET INDEX FUND VANGUARD(R)MID-CAP INDEX FUND THE VANGUARD GROUP(R) LOGO HOW TO READ YOUR FUND REPORT This report contains information that can help you evaluate your investment. It includes details about your fund's return and presents data and analysis that provide insight into the fund's performance and investment approach. By reading the letter from Vanguard's chairman, you'll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund's performance and characteristics stack up against those of similar funds and market benchmarks. It's important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus. Frequent updates on the fund's performance and information about some of its holdings are available on Vanguard.com(R). -------------------------------------------------------------------------------- CONTENTS 1 letter from the chairman 7 fund profiles 9 glossary of investment terms 10 performance summaries 13 your fund's after-tax returns 14 about your fund's expenses 15 financial statements 71 advantages of vanguard.com -------------------------------------------------------------------------------- SUMMARY * As the stock market recovered in 2003 from one of the longest and deepest bear markets in history, the Extended Market Index and Mid-Cap Index Funds recorded their best annual returns ever. Their Investor Shares earned 43.4% and 34.1%, respectively. * Small-cap stocks led the market, which boosted returns for the Extended Market Index Fund. Want Less Clutter in Your Mailbox? Just Register With VANGUARD.COM and opt to get fund reports online. INDEXED TO MSCI MID-CAP INDEX FUND -------------------------------------------------------------------------------- LETTER FROM THE CHAIRMAN Fellow Shareholder, The stock market rebound that began in March turned 2003 into a remarkable year for equities, especially those from smaller companies. Vanguard Extended Market Index Fund and Vanguard Mid-Cap Index Fund registered their best fiscal-year performances ever: 43.4% and 34.1%, respectively, for the funds' Investor Shares. [PICTURES OF JOHN J. BRENNAN] ---------------------------------------------- 2003 TOTAL RETURNS YEAR ENDED DECEMBER 31 ---------------------------------------------- VANGUARD EXTENDED MARKET INDEX FUND Investor Shares 43.4% Admiral Shares 43.5 Institutional Shares 43.7 VIPER Shares Market Price 43.7 Net Asset Value 43.6 Wilshire 4500 Index 43.8 Average Mid-Cap Core Fund* 36.1 ---------------------------------------------- VANGUARD MID-CAP INDEX FUND Investor Shares 34.1% Admiral Shares 34.2 Institutional Shares 34.3 Spliced Mid Cap Index** 33.8 Average Mid-Cap Core Fund* 36.1 ---------------------------------------------- *Derived from data provided by Lipper Inc. **S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter. As the adjacent table shows, both funds fulfilled their objectives of closely tracking their target indexes. (The Mid-Cap Index Fund even slightly outperformed its benchmark.) The Extended Market Index Fund also outpaced the average mid-capitalization core mutual fund by more than 7 percentage points, in part because the fund's target index includes small-cap stocks--the best- performing segment of the broad market during the 12 months. On the other hand, the Mid-Cap Index Fund, which tracks an index that's "pure" mid-cap, lagged the same average peer fund by 2 percentage points. Each fund's total returns are based on the change in net asset value plus income distributions during the year. (Despite the funds' strong returns, neither one distributed a capital gain, enhancing tax-efficiency.) The table on page 6 provides details. If you hold either fund in a taxable account, you may wish to refer to page 13 to view after-tax returns. 1 STOCKS LEAPED FORWARD AFTER YEARS OF DECLINE Three straight years of stock market declines ended in a spectacular fashion in 2003. The broad U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned 31.6% for the 12 months. The start of combat operations in Iraq in mid-March and the subsequent quick end to that phase of the engagement relieved months of anticipation and uncertainty that had cast a pall over the financial markets. -------------------------------------------------------------------------------- ADMIRAL(TM) SHARES A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. INSTITUTIONAL SHARES This class of shares also carries low expenses and is available for a minimum investment of $10 million. VIPER(R) SHARES Traded on the American Stock Exchange, VIPERS(R) are available only through brokers. A table on page 11 shows VIPER returns based on both the AMEX market price and the net asset value for a share. -------------------------------------------------------------------------------- Other factors also contributed to investors' optimism: the Federal Reserve Board's cutting short-term interest rates to a 45-year low of 1.00%; a falling U.S. dollar, which aided businesses dependent on exports and profits from operations overseas; mortgage rates' hitting four-decade lows, which spurred further home-buying and freed up cash through refinancing; tax cuts and refunds to consumers who were more than willing to spend the windfall; a spike in spending by businesses to replenish inventories and equipment; and the rapid growth of the economy, which reached an annual rate of 8.2% in the third quarter. "JUNK" REIGNED SUPREME Investors' renewed appetite for risk was evident not just in the equity market, but on the fixed income side as well. Bonds from companies with below-investment-grade credit ratings (popularly known as "junk" bonds) surged 29.0% during the 12 months, as measured by the Lehman Brothers High Yield Bond Index. At the other extreme of the credit-quality spectrum, U.S. Treasury securities at first seemed poised for a fourth straight year of outstanding gains. By June, the rising price of the 10-year Treasury note drove its yield down to just above 3%--a level not seen since Dwight Eisenhower occupied the Oval Office. However, the prices of Treasuries fell subsequently, 2 and by year-end the 10-year note's yield stood at 4.25%, up 44 basis points (0.44 percentage point) from the beginning of the year. Treasuries' total returns (which include interest income) for the full 12 months were still in positive territory, but barely above inflation. Mortgage-backed securities did only marginally better, while investment-grade corporate bonds--particularly those with longer maturities--posted solid returns. The Lehman Aggregate Bond Index, the benchmark for the broad U.S. investment-grade taxable bond market, earned 4.1%. Even as yields on longer-maturity bonds rose, the yield of the 3-month U.S. Treasury bill, a proxy for money market rates, finished the year at 0.92%, 27 basis points below its year-ago level. THE FUNDS' GAINS WERE STELLAR ACROSS SECTORS As expected, the Vanguard mid-cap index funds reflected the performance of their target benchmarks during the 12 months. In a change from recent years, fulfilling that objective was a pleasant experience. We thank our shareholders for their patience and loyalty through some trying times during the long bear market. -------------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 --------------------------------------------- ONE THREE FIVE YEAR YEARS YEARS -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1% Russell 2000 Index (Small-caps) 47.3 6.3 7.1 Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4 MSCI All Country World Index Free ex USA (International) 41.4 -1.0 1.5 -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 4.1% 7.6% 6.6% (Broad taxable market) Lehman Municipal Bond Index 5.3 6.7 5.8 Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5 ================================================================================ CPI Consumer Price Index 1.9% 1.9% 2.4% -------------------------------------------------------------------------------- The gains made in 2003 were consistently high across sectors within both funds. Indeed, sector returns ranged from a "low" of 15% (energy-related stocks within the Mid-Cap Index Fund) to a high of 71% (technology stocks within the Extended Market Index Fund). Other sectors, including consumer discretionary, financial services, health care, and producer durables--industries that, in general, stand to benefit in an expanding economy--posted impressive returns and, in some cases, made more of an impact on overall performance because of their heavier weightings in the target indexes and therefore the funds. 3 The Extended Market Index Fund posted the more impressive total returns, both in absolute and relative terms, in large part because its target, the Wilshire 4500 Completion Index, includes both mid-cap and small-cap stocks. On the other hand, the Mid-Cap Index Fund's index is virtually all mid-caps, which, despite their substantial gains, didn't keep pace with small-cap issues. As I explained in our last semiannual report, the Mid-Cap Index Fund's benchmark switched in mid-May from the Standard & Poor's MidCap 400 Index to the new Morgan Stanley Capital International (MSCI) US Mid Cap 450 Index. (The "spliced" index that appears throughout this report reflects the change.) Because of the different methods used to construct these two indexes, performance results will also differ. What the impact will be on the fund's absolute returns going forward, no one can say. However, we feel the new MSCI index is a better reflection of the mid-cap segment of the market and should also provide more consistent results relative to mutual fund peers. The latter means that costs, rather than index methodology, will play a bigger role in the fund's relative performance. And when it comes to costs, Vanguard has an advantage: Our expense ratios are typically a fraction of the average for peer funds. (For details on the impact of costs on returns, see page 14.) --------------------------------------------------------------- TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2003* --------------------------------------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT --------------------------------------------------------------- Extended Market Index Fund Investor Shares 10.1% $26,076 Wilshire 4500 Index 9.8 25,436 Average Mid-Cap Core Fund 12.2 31,733 --------------------------------------------------------------- Mid-Cap Index Fund Investor Shares 9.7% $16,849 Spliced Mid Cap Index 9.4 16,528 Average Mid-Cap Core Fund 8.3 15,617 --------------------------------------------------------------- *For the Mid-Cap Index Fund and its comparative measures, returns are since the fund's inception on May 21, 1998. OUR TRACKING RECORD HAS HELD UP OVER THE LONG TERM One year is a mere snapshot; a fund's performance should be gauged over the long term. The table above shows the annualized returns and the final results of a hypothetical $10,000 initial investment over ten years for the Extended Market Index Fund and its comparative measures. Also shown are figures for the Mid-Cap Index Fund and its benchmarks since that fund's inception in May 1998. 4 Both funds slightly outpaced their respective target indexes--no mean feat, given that index funds are normally expected to lag their targets because of real-world operating costs. The funds' investment advisor, Vanguard's Quantitative Equity Group, added value through skillful use of proprietary tracking methodologies that helped take maximum advantage of the funds' low costs. Relative to the average competing fund, the funds' long-term returns are the reverse of their recent one-year results: The Extended Market Index Fund lagged the average peer by about 2 percentage points, while the Mid-Cap Index Fund outpaced the same peer by 1.4 percentage points. The reasons again lie in differing index constructions, as well as different time periods. Small-cap stocks lagged large- and mid-caps during most of the 1990s--a factor that hindered the Extended Market Index Fund's returns. Actively managed peer funds, on the other hand, often included large-cap stocks that dominated the market. Meanwhile, the bear market prevailed during much of the Mid-Cap Index Fund's shorter life span. The fund's former target index excludes companies that have less than four quarters of operating profits. That meant many of the more speculative companies that plunged during the bear market were not part of the index, an advantage for the fund's relative performance. 2003 BROUGHT STRONG RETURNS--AND DISAPPOINTMENT Writing about positive stock fund returns has been a welcome change. Although the market's resurgence has made my task more pleasant, it has in no way altered the advice that we offered to shareholders both before and during the long downturn and that we continue to offer today. In any market environment, the keys to successful long-term investing are balance, diversification, and low costs. Make these principles the foundation of your investment plan, and you'll be positioned to survive--and ultimately thrive--come what may. Unfortunately, 2003 was a disappointment in one key respect. The reports of late trading and market-timing at some investment management firms have been as disturbing to us as they no doubt have been to you. I want to close this letter with an assurance that Vanguard has long had policies and procedures in place to identify and deter such behavior. 5 More important, Vanguard shareholders are served by a crew of the highest integrity, and our client-owned corporate structure aligns our day-to-day efforts with your long-term financial goals. Thank you for investing your assets with Vanguard. Sincerely, /S/JOHN J. BRENNAN John J. Brennan CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 14, 2004 -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003 DISTRIBUTIONS PER SHARE ------------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS -------------------------------------------------------------------------------- Extended Market Index Fund Investor Shares $18.74 $26.66 $0.213 $0.000 Admiral Shares 18.74 26.66 0.227 0.000 Institutional Shares 18.74 26.67 0.243 0.000 VIPER Shares 49.46 70.37 0.612 0.000 -------------------------------------------------------------------------------- Mid-Cap Index Fund Investor Shares $ 9.88 $13.13 $0.122 $0.000 Admiral Shares 44.81 59.55 0.595 0.000 Institutional Shares 9.90 13.16 0.137 0.000 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND VIPER SHARES PREMIUM/DISCOUNT: DECEMBER 27, 2001*-DECEMBER 31, 2003 CLOSING PRICE ABOVE OR EQUAL TO CLOSING PRICE BELOW CLOSING NET ASSET VALUE CLOSING NET ASSET VALUE -------------------------- ------------------------ NUMBER PERCENTAGE OF NUMBER PERCENTAGE OF BASIS POINT DIFFERENTIAL** OF DAYS TOTAL DAYS OF DAYS TOTAL DAYS -------------------------------------------------------------------------------- 0-24.9 280 55.23% 151 29.78% 25-49.9 48 9.47 20 3.94 50-74.9 3 0.59 3 0.59 75-100.0 1 0.20 1 0.20 >100.0 0 0.00 0 0.00 -------------------------------------------------------------------------------- Total 332 65.49% 175 34.51% -------------------------------------------------------------------------------- *Inception. **One basis point equals 1/100th of 1%. 6 FUND PROFILES These Profiles provide snapshots of each fund's characteristics, compared where indicated with the fund's unmanaged target index and a broad market index. Key terms are defined on page 9. EXTENDED MARKET INDEX FUND ----------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** ----------------------------------------------------------------- Number of Stocks 3,337 4,720 5,216 Median Market Cap $1.9B $1.9B $29.3B Price/Earnings Ratio 37.5x 37.8x 25.6x Price/Book Ratio 2.2x 2.2x 3.1x Yield 1.1% 1.5% Investor Shares 0.8% Admiral Shares 0.9% Institutional Shares 1.0% VIPER Shares 0.9% Return on Equity 6.5% 6.5% 15.9% Earnings Growth Rate 5.2% 5.4% 5.3% Foreign Holdings 0.2% 1.1% 0.8% Turnover Rate 8% -- -- Expense Ratio -- -- Investor Shares 0.26% Admiral Shares 0.20% Institutional Shares 0.10% VIPER Shares 0.20% Short-Term Reserves 0% -- -- ----------------------------------------------------------------- --------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Berkshire Hathaway Inc. 3.3% (financial services) Liberty Media Corp. 1.1 (media) InterActiveCorp 0.7 (retail) Amazon.com, Inc. 0.7 (retail) Genentech, Inc. 0.7 (biotechnology) Cox Communications, Inc. Class A 0.7 (telecommunications) Hughes Electronics Corp. 0.5 (telecommunications services) M & T Bank Corp. 0.4 (banking) Gilead Sciences, Inc. 0.4 (pharmaceuticals) Fox Entertainment Group, Inc. Class A 0.3 (entertainment) --------------------------------------------------- Top Ten 8.8% --------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. ----------------------------------------------------------------- VOLATILITY MEASURES TARGET BROAD FUND INDEX* FUND INDEX** ----------------------------------------------------------------- R-Squared 1.00 1.00 0.90 1.00 Beta 1.01 1.00 1.11 1.00 ----------------------------------------------------------------- ------------------------ INVESTMENT FOCUS STYLE Blend MARKET CAP Medium ------------------------ ----------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** ----------------------------------------------------------------- Auto & Transportation 3% 3% 3% Consumer Discretionary 21 21 15 Consumer Staples 3 3 7 Financial Services 28 28 23 Health Care 12 12 13 Integrated Oils 0 0 3 Other Energy 5 5 2 Materials & Processing 6 6 4 Producer Durables 5 5 4 Technology 12 12 15 Utilities 5 5 6 Other 0 0 5 ----------------------------------------------------------------- VISIT OUR WEBSITE AT VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. *Wilshire 4500 Index. **Wilshire 5000 Index. 7 FUND PROFILES (CONTINUED) MID-CAP INDEX FUND ----------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** ----------------------------------------------------------------- Number of Stocks 453 452 5,216 Median Market Cap $4.8B $4.7B $29.3B Price/Earnings Ratio 24.7x 24.6x 25.6x Price/Book Ratio 2.5x 2.5x 3.1x Yield 1.3% 1.5% Investor Shares 1.1% Admiral Shares 1.2% Institutional Shares 1.3% Return on Equity 14.6% 14.6% 15.9% Earnings Growth Rate 9.0% 9.0% 5.3% Foreign Holdings 0.5% 0.5% 0.8% Turnover Rate 73%+ -- -- Expense Ratio -- -- Investor Shares 0.26% Admiral Shares 0.18% Institutional Shares 0.10% Short-Term Reserves 0% -- -- ----------------------------------------------------------------- --------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Xerox Corp. 0.7% (electronic business equipment) PACCAR, Inc. 0.6 (automotive and transport) Medco Health Solutions, Inc. 0.6 (health care) Altera Corp. 0.5 (electronics) CIGNA Corp. 0.5 (insurance) Flextronics International Ltd. 0.5 (electronics) Apple Computer, Inc. 0.5 (computer technology) Broadcom Corp. 0.5 (electronics) PPL Corp. 0.5 (electric utilities) Eaton Corp. 0.5 (manufacturing) --------------------------------------------------- Top Ten 5.4% --------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. ----------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX++ FUND INDEX** ----------------------------------------------------------------- R-Squared 1.00 1.00 0.89 1.00 Beta 1.00 1.00 0.98 1.00 ----------------------------------------------------------------- -------------------------------------- INVESTMENT FOCUS STYLE Blend MARKET CAP Medium -------------------------------------- ----------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** ----------------------------------------------------------------- Auto & Transportation 3% 3% 3% Consumer Discretionary 18 18 15 Consumer Staples 3 3 7 Financial Services 22 22 23 Health Care 9 10 13 Integrated Oils 1 1 3 Other Energy 6 6 2 Materials & Processing 7 7 4 Producer Durables 7 7 4 Technology 15 15 15 Utilities 8 8 6 Other 1 0 5 ----------------------------------------------------------------- *MSCI US Mid Cap 450 Index. **Wilshire 5000 Index. +Includes activity related to a change in the fund's target index. ++S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter. 8 GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility. -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or depositary receipts of companies based outside the United States. -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by a given index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0. -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. -------------------------------------------------------------------------------- SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash. -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of income provided by securities in the index. -------------------------------------------------------------------------------- 9 PERFORMANCE SUMMARIES All of the returns in this report represent past performance, which cannot be used to predict future returns that may be achieved by the funds. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. EXTENDED MARKET INDEX FUND -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003 EXTENDED MARKET AVERAGE INDEX FUND WILSHIRE WILSHIRE MID-CAP INVESTOR SHARES* 5000 INDEX 4500 INDEX CORE FUND** 199312 10000 10000 10000 10000 199403 9687 9627 9638 9713 199406 9427 9552 9342 9231 199409 10049 10071 9984 9974 199412 9824 9994 9734 9876 199503 10550 10896 10471 10542 199506 11500 11913 11365 11516 199509 12826 13002 12648 12745 199512 13144 13636 12993 12866 199603 13954 14402 13761 13536 199606 14518 15037 14388 14191 199609 14894 15462 14695 14514 199612 15463 16528 15226 15145 199703 14925 16635 14581 14303 199706 17273 19445 16833 16379 199709 19878 21342 19413 18913 199712 19596 21700 19136 18432 199803 21852 24578 21355 20605 199806 21376 25057 20937 19976 199809 17379 22043 17073 16102 199812 21226 26785 20788 20020 199903 21082 27796 20752 19626 199906 23706 29965 23147 21877 199909 22321 27983 21718 21059 199912 28914 33095 28166 27682 200003 31714 34358 30968 31447 200006 28960 32817 28262 30103 200009 30057 32873 29284 31792 200012 24419 29490 23724 29648 200103 20576 25849 19958 27764 200106 23518 27782 22774 30417 200109 18567 23364 18002 24830 200112 22189 26254 21512 28571 200203 22602 26506 21898 30805 200206 20334 23164 19754 26995 200209 17182 19270 16726 22550 200212 18181 20777 17683 23314 200303 17581 20136 17111 23445 200306 21326 23459 20781 26933 200309 22927 24329 22382 28589 200312 26076 27351 25436 31733 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ------------------------------------- FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT -------------------------------------------------------------------------------- Extended Market Index Fund Investor Shares* 43.43% 4.20% 10.06% $26,076 Wilshire 5000 Index 31.64 0.42 10.59 27,351 Wilshire 4500 Index 43.84 4.12 9.79 25,436 Average Mid-Cap Core Fund** 36.11 9.65 12.24 31,733 -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION+ INVESTMENT -------------------------------------------------------------------------------- Extended Market Index Fund Admiral Shares 43.51% 0.75% $255,888 Wilshire 5000 Index 31.64 -3.19 225,863 Wilshire 4500 Index 43.84 0.79 256,261 -------------------------------------------------------------------------------- FINAL VALUE OF ONE FIVE SINCE A $10,000,000 YEAR YEARS INCEPTION+ INVESTMENT -------------------------------------------------------------------------------- Extended Market Index Fund Institutional Shares 43.66% 4.36% 6.46% $15,011,341 Wilshire 5000 Index 31.64 0.42 4.99 13,711,047 Wilshire 4500 Index 43.84 4.12 6.33 14,893,028 -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $10,000 YEAR INCEPTION+ INVESTMENT -------------------------------------------------------------------------------- Extended Market Index Fund VIPER Shares 43.55% 8.47% $11,776 Wilshire 5000 Index 31.64 1.74 10,354 Wilshire 4500 Index 43.84 8.76 11,840 -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +Inception dates are: for Admiral Shares, November 13, 2000; for Institutional Shares, July 7, 1997; for VIPER Shares, December 27, 2001. Note: See Financial Highlights tables on pages 60-62 for dividend and capital gains information. 10 -------------------------------------------------------------------------------- CUMULATIVE RETURNS: VIPER SHARES DECEMBER 27, 2001*-DECEMBER 31, 2003 CUMULATIVE ONE SINCE YEAR INCEPTION -------------------------------------------------------------------------------- Extended Market Index Fund VIPER Shares Market Returns 43.69% 18.03% Extended Market Index Fund VIPER Shares Net Total Returns 43.55 17.76 Wilshire 4500 Index 43.84 18.40 -------------------------------------------------------------------------------- *Inception. -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003 EXTENDED MARKET INDEX FUND WILSHIRE INVSETOR SHARES 4500 INDEX 1994 -1.8 -2.7 1995 33.8 33.5 1996 17.6 17.2 1997 26.7 25.7 1998 8.3 8.6 1999 36.2 35.5 2000 -15.5 -15.8 2001 -9.1 -9.3 2002 -18.1 -17.8 2003 43.4 43.8 -------------------------------------------------------------------------------- PERFORMANCE SUMMARIES (CONTINUED) MID-CAP INDEX FUND -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE MAY 21, 1998-DECEMBER 31, 2003 MID-CAP SPLICED AVERAGE INDEX FUND WILSHIRE MID CAP MID CAP INVESTOR SHARES** 5000 INDEX INDEX+ CORE FUND+ 5/21/1998 10000 10000 10000 10000 199806 9851 10126 9833 9965 199809 8436 8908 8410 8030 199812 10855 10825 10781 9853 199903 10176 11233 10093 9702 199906 11628 12110 11522 10909 199909 10674 11309 10555 10502 199912 12518 13375 12368 13623 200003 14136 13885 13938 15545 200006 13687 13262 13478 15010 200009 15346 13285 15116 15855 200012 14783 11918 14534 14590 200103 13186 10447 12968 13725 200106 14927 11228 14674 15167 200109 12470 9442 12243 12383 200112 14709 10610 14446 14061 200203 15697 10712 15417 15228 200206 14230 9361 13982 13460 200209 11873 7788 11669 11246 200212 12561 8397 12349 11474 200303 12001 8138 11802 11590 200306 13959 9480 13682 13429 200309 14836 9832 14552 14258 200312 16849 11054 16528 15617 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ---------------------------------- FINAL VALUE ONE FIVE SINCE OF A $10,000 YEAR YEARS INCEPTION* INVESTMENT -------------------------------------------------------------------------------- Mid-Cap Index Fund Investor Shares** 34.14% 9.19% 9.74% $16,849 Wilshire 5000 Index 31.64 0.42 1.80 11,054 Spliced Mid Cap IndexY 33.84 8.92 9.36 16,528 Average Mid-Cap Core Fund++ 36.11 9.65 8.26 15,617 -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION* INVESTMENT -------------------------------------------------------------------------------- Mid-Cap Index Fund Admiral Shares 34.24% 10.59% $309,899 Wilshire 5000 Index 31.64 3.96 271,584 Spliced Mid Cap IndexY 33.84 10.46 309,123 -------------------------------------------------------------------------------- FINAL VALUE OF ONE FIVE SINCE A $10,000,000 YEAR YEARS INCEPTION* INVESTMENT -------------------------------------------------------------------------------- Mid-Cap Index Fund Institutional Shares 34.33% 9.36% 9.90% $16,990,821 Wilshire 5000 Index 31.64 0.42 1.80 11,053,539 Spliced Mid Cap Index+ 33.84 8.92 9.36 16,528,450 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) MAY 21, 1998-DECEMBER 31, 2003 MID-CAP SPLICED INDEX FUND MID-CAP INVESTOR SHARES INDEX+ 1998 8.6 7.8 1999 15.3 14.7 2000 18.1 17.5 2001 -0.5 -0.6 2002 -14.6 -14.5 2003 34.1 33.8 -------------------------------------------------------------------------------- *Inception dates are: for Investor and Institutional Shares, May 21, 1998; for Admiral Shares, November 12, 2001. **Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. +S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index thereafter. ++Derived from data provided by Lipper Inc. NOTE: See Financial Highlights tables on pages 63-65 for dividend and capital gains information. 12 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect the reduced tax rates on ordinary income (including qualified dividend income) and short-term capital gains that became effective as of January 1, 2003, and on long-term capital gains realized on or after May 6, 2003. Qualified dividend income is based on calendar year 2003. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.) The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ONE YEAR FIVE YEARS TEN YEARS ------------------------------------------ EXTENDED MARKET INDEX FUND INVESTOR SHARES* Returns Before Taxes 43.43% 4.20% 10.06% Returns After Taxes on Distributions 43.19 2.48 8.24 Returns After Taxes on Distributions and Sale of Fund Shares 28.39 2.86 7.98 -------------------------------------------------------------------------------- SINCE ONE YEAR FIVE YEARS INCEPTION** ------------------------------------------ MID-CAP INDEX FUND INVESTOR SHARES* Returns Before Taxes 34.14% 9.19% 9.74% Returns After Taxes on Distributions 33.94 7.47 8.12 Returns After Taxes on Distributions and Sale of Fund Shares 22.42 6.90 7.47 -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Returns are since the fund's inception on May 21, 1998. 13 ABOUT YOUR FUND'S EXPENSES All mutual funds have operating expenses. These expenses include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its net assets. This figure is known as the expense ratio. A HYPOTHETICAL EXAMPLE We believe it is important for you to understand the impact of costs on your investment. The following example illustrates the costs that you would incur over a 12-month period if you invested $10,000 in your fund, using the fund's actual return and operating expenses for the fiscal year ended December 31, 2003. The cost in dollars is calculated by applying the expense ratio to the average balance in the hypothetical account. For comparative purposes, we also list the average expense ratio for each fund's peer group, which is derived from data provided by Lipper Inc. -------------------------------------------------------------------------------- COST OF $10,000 FUND PEER GROUP* INVESTMENT IN FUND EXPENSE RATIO EXPENSE RATIO -------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND Investor Shares $32 0.26% 1.39% Admiral Shares 24 0.20 -- Institutional Shares 12 0.10 -- VIPER Shares 24 0.20 -- -------------------------------------------------------------------------------- MID-CAP INDEX FUND Investor Shares $30 0.26% 1.39% Admiral Shares 21 0.18 -- Institutional Shares 12 0.10 -- -------------------------------------------------------------------------------- *Average Mid-Cap Core Fund. Calculations assume no shares were sold. Your actual costs may have been higher or lower, depending on the amount of your investment and your holding period. Peer-group ratio captures data through year-end 2002. You can find more information about the funds' expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the funds' prospectus. The prospectus presents hypothetical shareholder costs over various time periods based upon a $10,000 investment and a return of 5% a year. This standardized example, which appears in all mutual fund prospectuses, may be useful to you in comparing the costs of investing in different funds. 14 FINANCIAL STATEMENTS] STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.4%)(1) -------------------------------------------------------------------------------- * Berkshire Hathaway Inc. Class A 2,663 $ 224,358 * Liberty Media Corp. 6,346,518 75,460 * InterActiveCorp 1,525,367 51,756 * Amazon.com, Inc. 945,569 49,775 * Genentech, Inc. 520,091 48,665 * Cox Communications, Inc. Class A 1,397,973 48,160 * Hughes Electronics Corp. 2,136,359 35,357 M & T Bank Corp. 283,059 27,825 * Gilead Sciences, Inc. 477,321 27,751 * Fox Entertainment Group, Inc. Class A 831,033 24,225 Kraft Foods Inc. 660,270 21,274 * EchoStar Communications Corp. Class A 580,383 19,733 UnionBanCal Corp. 342,878 19,729 CIT Group Inc. 502,908 18,080 E.W. Scripps Co. Class A 190,335 17,918 Washington Post Co. Class B 22,519 17,822 New York Community Bancorp, Inc. 454,443 17,292 Hudson City Bancorp, Inc. 449,943 17,179 * Juniper Networks, Inc. 917,661 17,142 * Affiliated Computer Services, Inc. Class A 309,486 16,855 Lennar Corp. Class A 172,946 16,603 * Coach, Inc. 437,430 16,513 Sovereign Bancorp, Inc. 689,799 16,383 Microchip Technology, Inc. 488,944 16,311 D. R. Horton, Inc. 370,574 16,031 Mylan Laboratories, Inc. 633,869 16,012 * Caremark Rx, Inc. 627,447 15,893 Royal Caribbean Cruises, Ltd. 455,126 15,834 Vornado Realty Trust REIT 271,368 14,857 Total System Services, Inc. 463,953 14,443 * NTL Inc. 204,938 14,294 Murphy Oil Corp. 216,733 14,155 Popular, Inc. 313,351 14,082 General Growth Properties Inc. REIT 506,663 14,060 * Ameritrade Holding Corp. 995,653 14,009 GlobalSantaFe Corp. 550,133 13,660 Fidelity National Financial, Inc. 349,374 13,549 * Millennium Pharmaceuticals, Inc. 710,321 13,262 National Commerce Financial Corp. 483,208 13,182 Valero Energy Corp. 283,443 13,135 Public Storage, Inc. REIT 299,253 12,985 * MGM Mirage, Inc. 342,709 12,889 * CNA Financial Corp. 527,192 12,705 Archstone-Smith Trust REIT 450,792 12,613 15 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Laboratory Corp. of America Holdings 338,187 $ 12,496 Banknorth Group, Inc. 381,157 12,399 * Synopsys, Inc. 366,162 12,362 XTO Energy, Inc. 434,072 12,284 * Barr Pharmaceuticals INC 158,497 12,196 * Cablevision Systems NY Group Class A 517,528 12,105 * Dean Foods Co. 367,862 12,092 Legg Mason Inc. 156,159 12,052 * BEA Systems, Inc. 956,400 11,764 * L-3 Communications Holdings, Inc. 228,267 11,724 Kimco Realty Corp. REIT 260,410 11,653 * AdvancePCS 218,968 11,531 Compass Bancshares Inc. 292,480 11,497 Harman International Industries, Inc. 155,102 11,474 * SanDisk Corp. 187,019 11,434 * Cadence Design Systems, Inc. 631,429 11,353 CDW Corp. 196,304 11,339 Green Point Financial Corp. 319,387 11,281 Estee Lauder Cos. Class A 286,236 11,238 Boston Properties, Inc. REIT 230,766 11,121 * Varian Medical Systems, Inc. 160,370 11,082 * IVAX Corp. 463,041 11,057 * Mohawk Industries, Inc. 156,734 11,056 * Weatherford International Ltd. 306,708 11,041 Tyson Foods, Inc. 826,298 10,940 * E*Trade Financial Corp. 863,147 10,919 Smurfit-Stone Container Corp. 583,262 10,831 Old Republic International Corp. 426,324 10,812 Radian Group, Inc. 221,445 10,795 * SPX Corp. 179,612 10,563 * Patterson Dental Co. 160,944 10,326 Rouse Co. REIT 213,509 10,035 Duke Realty Corp. REIT 320,699 9,942 * LAM Research Corp. 307,540 9,934 Transatlantic Holdings, Inc. 122,516 9,899 * Metro-Goldwyn-Mayer Inc. 577,573 9,871 * Smith International, Inc. 235,999 9,799 Lear Corp. 159,604 9,789 White Mountains Insurance Group Inc. 21,214 9,757 Omnicare, Inc. 241,521 9,755 * Weight Watchers International, Inc. 252,211 9,677 ENSCO International, Inc. 353,127 9,594 Republic Services, Inc. Class A 373,737 9,579 * Williams-Sonoma, Inc. 275,280 9,571 * Whole Foods Market, Inc. 141,217 9,480 Ross Stores, Inc. 358,453 9,474 * Career Education Corp. 236,083 9,460 Commerce Bancorp, Inc. 178,898 9,424 Expeditors International of Washington, Inc. 247,608 9,325 iStar Financial Inc. REIT 239,174 9,304 Wisconsin Energy Corp. 277,520 9,283 * XM Satellite Radio Holdings, Inc. 352,127 9,282 * VeriSign, Inc. 569,355 9,280 * Host Marriott Corp. REIT 752,605 9,272 Diebold, Inc. 171,266 9,226 * Coventry Health Care Inc. 141,665 9,136 * Level 3 Communications, Inc. 1,596,285 9,099 Hillenbrand Industries, Inc. 145,756 9,046 * Pixar, Inc. 130,444 9,038 SCANA Corp. 261,275 8,949 Fastenal Co. 178,961 8,937 * Pioneer Natural Resources Co. 278,241 8,884 * Health Net Inc. 270,257 8,837 * The Dun & Bradstreet Corp. 171,744 8,709 * Vishay Intertechnology, Inc. 378,323 8,664 Manpower Inc. 183,755 8,651 * Celgene Corp. 191,597 8,626 Hibernia Corp. Class A 366,076 8,606 TCF Financial Corp. 167,319 8,592 Mercantile Bankshares Corp. 187,715 8,556 Telephone & Data Systems, Inc. 135,483 8,474 * Invitrogen Corp. 120,499 8,435 DENTSPLY International Inc. 186,717 8,434 Hormel Foods Corp. 326,757 8,434 * Foundry Networks, Inc. 307,551 8,415 * Oxford Health Plans, Inc. 192,884 8,390 Allied Capital Corp. 300,907 8,389 The PMI Group Inc. 223,940 8,337 Doral Financial Corp. 254,537 8,216 * DST Systems, Inc. 196,693 8,214 * Constellation Brands, Inc. Class A 248,001 8,167 * Dollar Tree Stores, Inc. 271,330 8,156 Intersil Corp. 327,535 8,139 Leucadia National Corp. 176,251 8,125 ServiceMaster Co. 696,076 8,109 * Westwood One, Inc. 235,775 8,066 Friedman, Billings, Ramsey Group, Inc. 349,207 8,060 Avalonbay Communities, Inc. REIT 167,946 8,028 PETsMART, Inc. 337,189 8,025 Gentex Corp. 180,900 7,989 * Sirius Satellite Radio, Inc. 2,525,926 7,982 * Iron Mountain, Inc. 201,359 7,962 16 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Foot Locker, Inc. 337,840 $ 7,922 Commerce Bancshares, Inc. 161,051 7,895 Pepco Holdings, Inc. 403,927 7,893 * ChoicePoint Inc. 206,156 7,852 Outback Steakhouse 176,482 7,802 * NVR, Inc. 16,702 7,783 Health Care Properties Investors REIT 152,916 7,768 Bunge Ltd. 235,411 7,750 * Park Place Entertainment Corp. 714,448 7,737 Energy East Corp. 344,251 7,711 Belo Corp. Class A 269,802 7,646 * Lamar Advertising Co. Class A 204,855 7,645 * Red Hat, Inc. 406,681 7,633 * SICOR, Inc. 280,568 7,631 * PanAmSat Corp. 353,881 7,630 * Chico's FAS, Inc. 205,487 7,593 SEI Corp. 248,608 7,575 * Brinker International, Inc. 228,008 7,561 * CarMax, Inc. 244,334 7,557 C.H. Robinson Worldwide, Inc. 199,168 7,550 * International Rectifier Corp. 151,636 7,492 The McClatchy Co. Class A 108,850 7,489 * Energizer Holdings, Inc. 199,301 7,486 * Amkor Technology, Inc. 409,825 7,463 * Zebra Technologies Corp. Class A 111,579 7,405 Beckman Coulter, Inc. 145,427 7,392 * Ceridian Corp. 352,141 7,374 Associated Banc-Corp 172,836 7,371 * Rite Aid Corp. 1,216,583 7,348 Universal Health Services Class B 136,739 7,346 Liberty Property Trust REIT 188,825 7,345 * Mid Atlantic Medical Services, Inc. 112,800 7,309 Pogo Producing Co. 150,342 7,262 * U.S. Cellular Corp. 203,109 7,210 * 3Com Corp. 879,254 7,184 City National Corp. 115,446 7,172 * Rambus Inc. 230,784 7,085 Lyondell Chemical Co. 416,940 7,067 * Advance Auto Parts, Inc. 86,650 7,053 * ImClone Systems, Inc. 176,763 7,010 Michaels Stores, Inc. 157,965 6,982 * Agere Systems Inc. Class A 2,287,398 6,977 Astoria Financial Corp. 187,474 6,974 * Lincare Holdings, Inc. 231,878 6,963 * Henry Schein, Inc. 102,922 6,955 * Fairchild Semiconductor International, Inc. 277,642 6,933 Chesapeake Energy Corp. 510,453 6,932 Arthur J. Gallagher & Co. 212,374 6,900 Student Loan Corp. 47,253 6,899 Questar Corp. 195,893 6,886 GTECH Holdings Corp. 138,933 6,876 W.R. Berkley Corp. 196,641 6,873 * Toll Brothers, Inc. 172,285 6,850 Developers Diversified Realty Corp. REIT 203,683 6,838 AVX Corp. 409,292 6,802 A.G. Edwards & Sons, Inc. 185,626 6,725 * Storage Technology Corp. 260,800 6,716 The St. Joe Co. 179,758 6,703 * Atmel Corp. 1,111,375 6,679 * Getty Images, Inc. 133,023 6,668 * PacifiCare Health Systems, Inc. 98,577 6,664 Precision Castparts Corp. 146,211 6,639 Lafarge North America Inc. 163,682 6,632 * Cognizant Technology Solutions Corp. 145,101 6,622 Unitrin, Inc. 159,333 6,598 * Amphenol Corp. 103,183 6,596 * WebMD Corp. 723,638 6,506 Alliant Energy Corp. 260,992 6,499 Mandalay Resort Group 145,028 6,486 Dial Corp. 227,192 6,468 Valley National Bancorp 221,251 6,461 Aramark Corp. Class B 234,432 6,428 * Maxtor Corp. 578,858 6,425 Erie Indemnity Co. Class A 151,454 6,419 * Entercom Communications Corp. 121,138 6,415 Northeast Utilities 315,596 6,366 MDU Resources Group, Inc. 266,873 6,354 * Cephalon, Inc. 131,230 6,353 * JetBlue Airways Corp. 239,163 6,343 AMB Property Corp. REIT 192,719 6,337 Diamond Offshore Drilling, Inc. 307,360 6,304 Equitable Resources, Inc. 146,830 6,302 * Patterson-UTI Energy, Inc. 190,807 6,281 * Jacobs Engineering Group Inc. 130,785 6,279 Allete, Inc. 205,083 6,276 Capitol Federal Financial 173,052 6,240 DPL Inc. 298,175 6,226 * The Neiman Marcus Group, Inc. Class A 115,368 6,192 Hubbell Inc. Class B 140,358 6,190 * Community Health Systems, Inc. 232,241 6,173 * Hovnanian Enterprises Inc. Class A 70,848 6,168 * Fisher Scientific International Inc. 148,107 6,127 * ICOS Corp. 148,296 6,122 * Avnet, Inc. 282,473 6,118 17 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Hospitality Properties Trust REIT 147,676 $ 6,096 NSTAR 124,988 6,062 The Macerich Co. REIT 136,126 6,058 * Cypress Semiconductor Corp. 283,463 6,055 Donaldson Co., Inc. 102,276 6,051 Bowater Inc. 130,646 6,050 * Endo Pharmaceuticals Holdings, Inc. 310,686 5,984 Mercury General Corp. 128,261 5,971 * Pride International, Inc. 319,732 5,960 Harris Corp. 157,034 5,959 Eaton Vance Corp. 162,629 5,959 Noble Energy, Inc. 133,909 5,950 * DaVita, Inc. 152,464 5,946 HON Industries, Inc. 137,224 5,945 * Cooper Cameron Corp. 127,466 5,940 Wesco Financial Corp. 16,818 5,920 Investors Financial Services Corp. 154,032 5,916 * Triad Hospitals, Inc. 177,693 5,912 Valspar Corp. 119,343 5,898 * Newfield Exploration Co. 132,113 5,884 * Markel Corp. 23,196 5,880 * AmeriCredit Corp. 368,993 5,878 Nuveen Investments, Inc. Class A 218,806 5,833 PepsiAmericas, Inc. 340,243 5,825 * Corinthian Colleges, Inc. 104,502 5,806 * Nextel Partners, Inc. 430,555 5,791 ADTRAN Inc. 186,586 5,784 Bank of Hawaii Corp. 136,487 5,760 United Dominion Realty Trust REIT 299,151 5,744 * Network Associates, Inc. 380,645 5,725 * Western Digital Corp. 485,314 5,722 Mack-Cali Realty Corp. REIT 137,422 5,720 * Crown Castle International Corp. 518,151 5,715 * Rent-A-Center, Inc. 191,075 5,709 Weingarten Realty Investors REIT 128,486 5,698 New Plan Excel Realty Trust REIT 230,525 5,687 * Ingram Micro, Inc. Class A 357,182 5,679 Sky Financial Group, Inc. 217,590 5,644 * Abercrombie & Fitch Co. 228,028 5,635 Sonoco Products Co. 228,745 5,632 Chelsea Property Group REIT 102,671 5,627 Regency Centers Corp. REIT 140,794 5,611 Wilmington Trust Corp. 155,691 5,605 International Speedway Corp. 125,497 5,605 The Chicago Mercantile Exchange 77,421 5,602 Fulton Financial Corp. 255,636 5,601 Forest City Enterprise Class A 117,809 5,597 Fair, Isaac, Inc. 113,640 5,587 Catellus Development Corp. 231,597 5,586 National Instruments Corp. 122,591 5,574 BorgWarner, Inc. 64,729 5,506 * Arrow Electronics, Inc. 237,803 5,503 Reinsurance Group of America, Inc. 142,310 5,500 Protective Life Corp. 162,511 5,499 First American Corp. 184,460 5,491 CONSOL Energy, Inc. 211,776 5,485 Trizec Properties, Inc. REIT 355,954 5,482 * American Axle & Manufacturing Holdings, Inc. 134,557 5,439 Packaging Corp. of America 248,470 5,432 Martin Marietta Materials, Inc. 115,384 5,420 * American Tower Corp. Class A 499,956 5,410 * Smithfield Foods, Inc. 261,067 5,404 FirstMerit Corp. 199,496 5,380 * The Cheesecake Factory 121,868 5,366 J.M. Smucker Co. 118,064 5,347 Peabody Energy Corp. 127,913 5,335 * Eon Labs, Inc. 104,474 5,323 Pentair, Inc. 116,469 5,323 * Tech Data Corp. 133,899 5,314 * Education Management Corp. 170,617 5,296 Puget Energy, Inc. 222,219 5,282 Brown & Brown, Inc. 161,902 5,280 American National Insurance Co. 62,550 5,277 * Alliant Techsystems, Inc. 91,143 5,264 * Glamis Gold, Ltd. 306,160 5,241 * Pharmaceutical Resources, Inc. 80,258 5,229 * Emulex Corp. 195,452 5,215 Viad Corp. 208,364 5,209 * BOK Financial Corp. 134,432 5,205 * Krispy Kreme Doughnuts, Inc. 142,116 5,201 Great Plains Energy, Inc. 163,314 5,197 * CheckFree Corp. 187,762 5,192 Ryland Group, Inc. 58,391 5,176 * Barnes & Noble, Inc. 157,069 5,160 * Conseco, Inc. 236,356 5,153 * Columbia Sportswear Co. 94,431 5,146 * Reliant Resources, Inc. 694,766 5,113 * Del Monte Foods Co. 490,415 5,100 * J.B. Hunt Transport Services, Inc. 188,662 5,096 Applebee's International, Inc. 129,635 5,091 Colonial BancGroup, Inc. 293,435 5,082 * Silicon Laboratories Inc. 117,356 5,072 * Kmart Holding Corp. 211,439 5,064 18 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Certegy, Inc. 154,012 $ 5,052 * ITT Educational Services, Inc. 106,756 5,014 Mills Corp. REIT 113,718 5,004 * Saks Inc. 332,218 4,997 * Marvel Enterprises Inc. 170,437 4,961 Cullen/Frost Bankers, Inc. 122,289 4,961 OGE Energy Corp. 204,970 4,958 Webster Financial Corp. 107,620 4,935 ONEOK, Inc. 223,461 4,934 * Apogent Technologies Inc. 214,075 4,932 Valeant Pharmaceuticals International 195,947 4,928 * O'Reilly Automotive, Inc. 127,963 4,909 * Amylin Pharmaceuticals, Inc. 220,357 4,896 * Kinder Morgan Management, LLC 113,546 4,878 * AMR Corp. 375,667 4,865 Rayonier Inc. 117,183 4,864 * Gemstar-TV Guide International, Inc. 962,084 4,859 * Integrated Circuit Systems, Inc. 170,167 4,848 Philadelphia Suburban Corp. 218,102 4,820 * Sepracor Inc. 200,187 4,790 * Agere Systems Inc. Class B 1,650,000 4,785 HCC Insurance Holdings, Inc. 150,387 4,782 * Varco International, Inc. 230,120 4,747 * Westport Resources Corp. 158,777 4,741 * Renal Care Group, Inc. 114,974 4,737 People's Bank 144,904 4,724 * MEMC Electronic Materials, Inc. 487,853 4,693 * Sybase, Inc. 227,947 4,691 National Fuel Gas Co. 191,928 4,691 Washington Federal Inc. 164,390 4,669 W Holding Co., Inc. 249,547 4,644 * Stericycle, Inc. 99,223 4,634 Cabot Corp. 145,507 4,633 * 99 Cents Only Stores 170,004 4,629 * BearingPoint, Inc. 458,271 4,624 Independence Community Bank Corp. 128,341 4,616 Thornburg Mortgage, Inc. REIT 169,626 4,614 Medicis Pharmaceutical Corp. 64,708 4,614 Reynolds & Reynolds Class A 158,362 4,600 Arden Realty Group, Inc. REIT 151,579 4,599 Lee Enterprises, Inc. 105,225 4,593 Pier 1 Imports Inc. 209,745 4,585 * Polycom, Inc. 233,879 4,565 Waddell & Reed Financial, Inc. 194,332 4,559 Polaris Industries, Inc. 51,447 4,557 American Financial Group, Inc. 172,186 4,556 * Neurocrine Biosciences, Inc. 83,225 4,539 American Capital Strategies, Ltd. 152,270 4,527 Teleflex Inc. 93,605 4,524 Pan Pacific Retail Properties, Inc. REIT 94,939 4,524 * Scotts Co. 76,092 4,502 Harte-Hanks, Inc. 206,588 4,493 RPM International, Inc. 272,749 4,489 * National-Oilwell, Inc. 200,612 4,486 MDC Holdings, Inc. 69,427 4,478 CBRL Group, Inc. 116,753 4,467 Federal Realty Investment Trust REIT 115,875 4,448 Carlisle Co., Inc. 72,821 4,432 AGL Resources Inc. 151,556 4,410 Vectren Corp. 178,467 4,399 * RF Micro Devices, Inc. 437,161 4,393 Westcorp, Inc. 119,996 4,386 Nationwide Financial Services, Inc. 132,559 4,382 Tootsie Roll Industries, Inc. 121,679 4,380 BancorpSouth, Inc. 184,377 4,373 Ruby Tuesday, Inc. 153,374 4,370 * Sonus Networks, Inc. 576,198 4,356 Graco, Inc. 108,444 4,349 Claire's Stores, Inc. 230,754 4,347 * Edwards Lifesciences Corp. 144,131 4,335 StanCorp Financial Group, Inc. 68,911 4,333 * First Health Group Corp. 222,540 4,331 Jack Henry & Associates Inc. 210,256 4,327 Raymond James Financial, Inc. 114,696 4,324 Station Casinos, Inc. 141,082 4,321 * Ultra Petroleum Corp. 175,396 4,318 International Bancshares Corp. 91,522 4,315 * Timberland Co. 82,786 4,311 Tidewater Inc. 142,902 4,270 Jefferies Group, Inc. 128,589 4,246 * Integrated Device Technology Inc. 247,193 4,244 * Martek Biosciences Corp. 65,069 4,228 Harsco Corp. 96,405 4,224 Hawaiian Electric Industries Inc. 89,171 4,224 * 7-Eleven, Inc. 263,030 4,222 Oshkosh Truck Corp. 82,612 4,216 The Timken Co. 210,066 4,214 * NBTY, Inc. 156,681 4,208 * The Titan Corp. 192,124 4,190 Health Care Inc. REIT 116,196 4,183 Herman Miller, Inc. 171,921 4,173 Annaly Mortgage Management Inc. REIT 226,545 4,168 Roper Industries Inc. 84,584 4,167 19 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Valhi, Inc. 278,204 $ 4,162 * AnnTaylor Stores Corp. 106,659 4,160 Ventas, Inc. REIT 189,073 4,160 * Yellow Roadway Corp. 114,913 4,156 Global Payments Inc. 88,147 4,153 * DeVry, Inc. 165,186 4,151 * BISYS Group, Inc. 278,879 4,150 * Swift Transportation Co., Inc. 197,219 4,146 * Owens-Illinois, Inc. 348,493 4,144 UCBH Holdings, Inc. 106,247 4,140 Camden Property Trust REIT 93,401 4,138 * Advanced Fibre Communications, Inc. 204,937 4,129 * Gen-Probe Inc. 113,177 4,128 * The Corporate Executive Board Co. 88,187 4,116 Talbots Inc. 133,533 4,110 * WFS Financial, Inc. 96,780 4,109 IKON Office Solutions, Inc. 345,321 4,096 * Andrx Group 169,912 4,085 Regis Corp. 103,017 4,071 CenterPoint Properties Corp. REIT 54,323 4,069 Shurgard Storage Centers, Inc. Class A REIT 107,634 4,052 * Avocent Corp. 110,605 4,039 * Human Genome Sciences, Inc. 304,689 4,037 Trustmark Corp. 137,903 4,036 CBL & Associates Properties, Inc. REIT 71,239 4,025 Crescent Real Estate, Inc. REIT 234,156 4,011 * Borders Group, Inc. 182,653 4,004 CNF Inc. 117,227 3,974 * INAMED Corp. 82,655 3,972 Lubrizol Corp. 121,668 3,957 * Protein Design Labs, Inc. 221,024 3,956 * Knight Trading Group, Inc. 270,208 3,956 * Semtech Corp. 173,945 3,954 Patina Oil & Gas Corp. 80,583 3,948 WPS Resources Corp. 85,355 3,946 BRE Properties Inc. Class A REIT 117,811 3,935 * Cymer, Inc. 85,132 3,932 * Alleghany Corp. 17,662 3,930 * Covance, Inc. 146,173 3,917 * Performance Food Group Co. 108,116 3,911 Whitney Holdings Corp. 95,368 3,909 IndyMac Bancorp, Inc. REIT 131,157 3,907 Hudson United Bancorp 105,725 3,907 * Pacific Sunwear of California, Inc. 184,593 3,899 ArvinMeritor, Inc. 161,601 3,898 The South Financial Group, Inc. 139,131 3,876 Arch Coal, Inc. 124,148 3,870 Furniture Brands International Inc. 131,539 3,858 F.N.B. Corp. 108,746 3,855 MAF Bancorp, Inc. 91,919 3,851 * Allmerica Financial Corp. 125,162 3,851 * Service Corp. International 710,762 3,831 Westamerica Bancorporation 76,995 3,827 Lancaster Colony Corp. 84,467 3,815 * Activision, Inc. 209,168 3,807 * IDEXX Laboratories Corp. 82,219 3,805 Ametek, Inc. 78,801 3,803 Thor Industries, Inc. 67,570 3,799 John Wiley & Sons Class A 145,398 3,785 * BJ's Wholesale Club, Inc. 164,600 3,779 Church & Dwight, Inc. 95,398 3,778 * Earthlink, Inc. 376,611 3,766 Standard Pacific Corp. 77,469 3,761 Airgas, Inc. 174,388 3,746 * Respironics, Inc. 82,908 3,738 First BanCorp Puerto Rico 94,423 3,734 * Grant Prideco, Inc. 286,416 3,729 Select Medical Corp. 228,410 3,719 * Acxiom Corp. 200,236 3,718 Florida Rock Industries, Inc. 67,650 3,711 Western Gas Resources, Inc. 78,474 3,708 * Charles River Laboratories, Inc. 107,963 3,706 * STERIS Corp. 163,740 3,701 Massey Energy Co. 177,696 3,696 CarrAmerica Realty Corp. REIT 123,901 3,690 Provident Financial Group, Inc. 115,429 3,688 * Varian Semiconductor Equipment Associates, Inc. 84,373 3,686 Ethan Allen Interiors, Inc. 87,904 3,681 * West Corp. 158,474 3,681 Park National Corp. 32,524 3,680 Werner Enterprises, Inc. 188,106 3,666 * Western Wireless Corp. Class A 199,610 3,665 * Techne Corp. 96,852 3,659 * FMC Technologies Inc. 156,188 3,639 * Ascential Software Corp. 140,049 3,631 * Interactive Data Corp. 218,717 3,622 Media General, Inc. Class A 55,585 3,619 Healthcare Realty Trust Inc. REIT 101,000 3,611 * Valassis Communications, Inc. 122,799 3,604 * Forest Oil Corp. 125,918 3,597 SL Green Realty Corp. REIT 87,539 3,593 * AGCO Corp. 177,846 3,582 Realty Income Corp. REIT 89,476 3,579 * Accredo Health, Inc. 112,930 3,570 20 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Pharmaceutical Product Development, Inc. 132,005 $ 3,560 * Cytyc Corp. 258,684 3,559 First Midwest Bancorp, Inc. 109,759 3,557 * MKS Instruments, Inc. 122,148 3,542 * Perot Systems Corp. 262,457 3,538 * OmniVision Technologies, Inc. 64,032 3,538 * Cytec Industries, Inc. 92,024 3,533 Briggs & Stratton Corp. 52,415 3,533 * Crown Holdings, Inc. 389,114 3,525 Greater Bay Bancorp 123,559 3,519 * Brocade Communications Systems, Inc. 607,519 3,511 * Affiliated Managers Group, Inc. 50,414 3,508 Cousins Properties, Inc. REIT 114,636 3,508 Energen Corp. 85,382 3,503 * United Rentals, Inc. 181,834 3,502 Cooper Cos., Inc. 74,186 3,496 * Emmis Communications, Inc. 129,091 3,492 * The MONY Group Inc. 111,333 3,484 * Avid Technology, Inc. 72,480 3,479 York International Corp. 94,513 3,478 * Tom Brown, Inc. 107,597 3,470 * Copart, Inc. 210,046 3,466 Westar Energy, Inc. 171,061 3,464 * Urban Outfitters, Inc. 93,454 3,462 Blyth, Inc. 107,461 3,462 Essex Property Trust, Inc. REIT 53,833 3,457 Odyssey Re Holdings Corp. 153,298 3,457 * Dade Behring Holdings Inc. 96,323 3,443 * Bio-Rad Laboratories, Inc. Class A 59,691 3,442 Piedmont Natural Gas, Inc. 79,162 3,440 * Apria Healthcare Group Inc. 120,434 3,429 * Tractor Supply Co. 88,019 3,423 * Plantronics, Inc. 104,791 3,421 Reader's Digest Association, Inc. 233,367 3,421 * Affymetrix, Inc. 138,980 3,420 * Meridian Gold Co. 233,970 3,418 UGI Corp. Holding Co. 100,749 3,415 Old National Bancorp 149,440 3,415 * Varian, Inc. 81,720 3,410 HRPT Properties Trust REIT 336,846 3,399 * TIBCO Software Inc. 501,461 3,395 * Zale Corp. 63,705 3,389 * Micrel, Inc. 217,354 3,386 Kennametal, Inc. 85,103 3,383 Trinity Industries, Inc. 109,400 3,374 Polo Ralph Lauren Corp. 116,922 3,367 * Sycamore Networks, Inc. 641,698 3,362 * The Yankee Candle Co., Inc. 122,419 3,346 Hearst-Argyle Television Inc. 121,201 3,340 AptarGroup Inc. 85,648 3,340 * Benchmark Electronics, Inc. 95,936 3,340 Citizens Banking Corp. 102,014 3,338 * ResMed Inc. 80,158 3,330 Alexander & Baldwin, Inc. 98,673 3,324 * Hot Topic, Inc. 112,784 3,323 * CACI International, Inc. 68,287 3,320 Extended Stay America, Inc. 229,102 3,317 * DoubleClick Inc. 324,467 3,316 * Electronics for Imaging, Inc. 127,287 3,312 * IGEN International, Inc. 56,216 3,312 Helmerich & Payne, Inc. 118,249 3,303 New Century Financial Corp. 83,086 3,296 * ON Semiconductor Corp. 510,537 3,293 * The Medicines Co. 111,720 3,291 Prentiss Properties Trust REIT 99,356 3,278 * Evergreen Resources, Inc. 100,820 3,278 * Premcor, Inc. 125,939 3,274 * Terex Corp. 114,870 3,271 * United Stationers, Inc. 79,688 3,261 Duquesne Light Holdings, Inc. 177,726 3,259 * Conexant Systems, Inc. 654,324 3,252 Downey Financial Corp. 65,934 3,251 GATX Corp. 116,083 3,248 United Bankshares, Inc. 103,786 3,238 Seagate Technology 171,036 3,233 AmerUs Group Co. 92,434 3,232 IDEX Corp. 77,655 3,230 * Siliconix, Inc. 70,642 3,228 * UNOVA, Inc. 140,224 3,218 Fresh Del Monte Produce Inc. 134,060 3,195 Engineered Support Systems, Inc. 57,957 3,191 Hollinger International, Inc. 204,115 3,188 WGL Holdings Inc. 114,696 3,187 * Tetra Tech, Inc. 128,175 3,186 * Lexar Media, Inc. 182,786 3,186 Highwood Properties, Inc. REIT 125,356 3,184 * Linens 'n Things, Inc. 105,654 3,178 * Key Energy Services, Inc. 307,905 3,175 * Southern Union Co. 172,325 3,171 * Cerner Corp. 83,582 3,164 * Scholastic Corp. 92,846 3,160 First Industrial Realty Trust REIT 93,301 3,149 Beazer Homes USA, Inc. 32,227 3,147 Southwest Bancorporation of Texas, Inc. 80,742 3,137 Diagnostic Products Corp. 68,076 3,125 * Quest Software, Inc. 219,657 3,119 Staten Island Bancorp, Inc. 138,552 3,117 21 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Cree, Inc. 175,008 $ 3,096 * Gaylord Entertainment Co. 103,289 3,083 East West Bancorp, Inc. 57,431 3,083 Heritage Property Investment Trust REIT 108,167 3,077 * Fossil, Inc. 109,808 3,076 United Auto Group, Inc. 97,839 3,062 * MGI Pharma, Inc. 74,412 3,062 * Pediatrix Medical Group, Inc. 55,577 3,062 * Hyperion Solutions Corp. 101,522 3,060 Flagstar Bancorp, Inc. 142,826 3,059 * P.F. Chang's China Bistro, Inc. 60,105 3,058 * Dycom Industries, Inc. 113,821 3,053 * Akamai Technologies, Inc. 283,689 3,050 * Skyworks Solutions, Inc. 350,479 3,049 FactSet Research Systems Inc. 79,774 3,048 Joy Global Inc. 115,931 3,032 Fremont General Corp. 179,124 3,029 Pennsylvania REIT 83,413 3,028 First Citizens BancShares Class A 24,811 3,015 Callaway Golf Co. 178,396 3,006 * Anteon International Corp. 83,142 2,997 * Take-Two Interactive Software, Inc. 103,762 2,989 * Arbitron Inc. 71,624 2,988 Commerce Group, Inc. 75,448 2,980 * Vitesse Semiconductor Corp. 507,679 2,980 * VCA Antech, Inc. 95,965 2,973 * Simpson Manufacturing Co. 58,286 2,964 * Choice Hotel International, Inc. 84,091 2,964 * Sylvan Learning Systems, Inc. 102,840 2,961 * OSI Pharmaceuticals, Inc. 91,868 2,959 Invacare Corp. 73,261 2,958 Imation Corp. 84,067 2,955 * Silicon Valley Bancshares 81,899 2,954 The Pep Boys (Manny, Moe & Jack) 128,845 2,947 * National Processing, Inc. 125,118 2,947 Pacific Capital Bancorp 79,982 2,945 Home Properties, Inc. REIT 72,850 2,942 Corn Products International, Inc. 85,216 2,936 * Alliance Gaming Corp. 118,546 2,922 * K-V Pharmaceutical Co. Class A 114,500 2,920 Speedway Motorsports, Inc. 100,931 2,919 Cognex Corp. 103,344 2,918 * R.H. Donnelley Corp. 73,222 2,917 * Tuesday Morning Corp. 96,423 2,917 Winnebago Industries, Inc. 42,358 2,912 Albemarle Corp. 97,148 2,912 * Cincinnati Bell Inc. 576,070 2,909 * Trimble Navigation Ltd. 78,074 2,907 * Coeur D'Alene Mines Corp. 502,870 2,907 The Brink's Co. 128,180 2,898 Chittenden Corp. 86,113 2,897 Atmos Energy Corp. 119,006 2,892 * CEC Entertainment Inc. 60,970 2,889 Florida East Coast Industries, Inc. Class A 86,668 2,869 Overseas Shipholding Group Inc. 84,232 2,868 * Cabot Microelectronics Corp. 58,443 2,864 Fred's, Inc. 92,268 2,858 Minerals Technologies, Inc. 48,123 2,851 Heartland Express, Inc. 117,864 2,851 * GrafTech International Ltd. 211,171 2,851 * FMC Corp. 83,352 2,845 * Sonic Corp. 92,645 2,837 * Alkermes, Inc. 209,955 2,834 * FLIR Systems, Inc. 77,630 2,833 Washington REIT 97,023 2,833 Nu Skin Enterprises, Inc. 165,770 2,833 * Kronos, Inc. 71,494 2,832 Reckson Associates Realty Corp. REIT 115,658 2,810 * Panera Bread Co. 70,707 2,795 * Charter Communications, Inc. 695,269 2,795 * KEMET Corp. 203,869 2,791 * Esperion Therapeutics, Inc. 80,512 2,787 Olin Corp. 138,533 2,779 * Mueller Industries Inc. 80,877 2,779 21st Century Insurance Group 201,627 2,772 Hughes Supply, Inc. 55,794 2,768 Strayer Education, Inc. 25,403 2,765 Nordson Corp. 80,012 2,763 * American Eagle Outfitters, Inc. 167,975 2,755 * Cumulus Media Inc. 125,134 2,753 Superior Industries International, Inc. 63,167 2,749 * Kos Pharmaceuticals, Inc. 63,796 2,746 Commercial Federal Corp. 102,715 2,744 * SCP Pool Corp. 83,626 2,733 Flowers Foods, Inc. 105,820 2,730 Equity One, Inc. REIT 161,466 2,726 * Flowserve Corp. 130,456 2,724 Hilb, Rogal and Hamilton Co. 84,838 2,721 Nationwide Health Properties, Inc. REIT 138,743 2,712 IDACORP, Inc. 90,267 2,701 * Houston Exploration Co. 73,910 2,699 Cathay General Bancorp 48,444 2,697 IMC Global Inc. 271,588 2,697 * Landstar System, Inc. 70,761 2,692 22 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- La-Z-Boy Inc. 127,859 $ 2,682 The Phoenix Cos., Inc. 222,793 2,682 * Interdigital Communications Corp. 129,909 2,681 Bob Evans Farms, Inc. 82,592 2,681 * NPS Pharmaceuticals Inc. 87,109 2,678 The Toro Co. 57,703 2,677 Centex Construction Products, Inc. 44,408 2,676 PNM Resources Inc. 95,008 2,670 * Steel Dynamics, Inc. 113,625 2,669 * NetFlix.com, Inc. 48,752 2,666 * LifePoint Hospitals, Inc. 90,456 2,664 Albany International Corp. 78,573 2,664 * Arch Capital Group Ltd. 66,537 2,652 Ferro Corp. 97,409 2,650 * Stone Energy Corp. 62,339 2,646 * VISX Inc. 114,045 2,640 * Macromedia, Inc. 147,727 2,635 Clarcor Inc. 59,759 2,635 Delphi Financial Group, Inc. 73,100 2,632 * Cimarex Energy Co. 98,320 2,624 Mentor Corp. 109,055 2,624 Alexandria Real Estate Equities, Inc. REIT 45,292 2,622 * Macrovision Corp. 115,472 2,609 Universal Corp. (VA) 58,942 2,603 Perrigo Co. 165,014 2,594 * McDATA Corp. Class A 272,195 2,594 * Abgenix, Inc. 208,063 2,592 * Intergraph Corp. 108,311 2,591 Kellwood Co. 63,146 2,589 Texas Regional Bancshares, Inc. 69,882 2,586 * United Online, Inc. 153,816 2,583 * Lattice Semiconductor Corp. 266,147 2,576 * Kroll Inc. 98,657 2,565 Arrow International, Inc. 102,641 2,564 * ALARIS Medical Systems, Inc. 168,479 2,563 Community First Bankshares, Inc. 88,486 2,561 Regal Entertainment Group Class A 124,628 2,557 * Northwest Airlines Corp. Class A 202,432 2,555 * Catalina Marketing Corp. 126,179 2,544 Acuity Brands, Inc. 98,527 2,542 * Waste Connections, Inc. 67,234 2,539 * Philadelphia Consolidated Holding Corp. 51,946 2,537 * Sybron Dental Specialties, Inc. 90,208 2,535 * Ligand Pharmaceuticals Inc. Class B 172,465 2,534 * Spinnaker Exploration Co. 78,446 2,531 Brandywine Realty Trust REIT 94,416 2,528 * Continental Airlines, Inc. Class B 155,131 2,524 Reliance Steel & Aluminum Co. 75,666 2,513 Post Properties, Inc. REIT 89,787 2,507 * Odyssey Healthcare, Inc. 85,625 2,505 * Ohio Casualty Corp. 143,893 2,498 * Tularik, Inc. 154,308 2,492 First Niagara Financial Group, Inc. 167,033 2,490 New Jersey Resources Corp. 64,520 2,485 * Cox Radio, Inc. 98,403 2,483 MacDermid, Inc. 72,398 2,479 * Brooks Automation, Inc. 102,419 2,475 * Scientific Games Corp. 145,513 2,475 Skywest, Inc. 136,566 2,475 * Silicon Storage Technology, Inc. 224,387 2,468 * Priority Healthcare Corp. Class B 102,314 2,467 Alpharma, Inc. Class A 122,609 2,464 Capital Automotive REIT 76,966 2,463 Boyd Gaming Corp. 152,180 2,456 * AMERIGROUP Corp. 57,453 2,450 * Radio One, Inc. Class D 126,800 2,447 Colonial Properties Trust REIT 61,795 2,447 Alfa Corp. 190,218 2,446 Maguire Properties, Inc. REIT 100,663 2,446 Novastar Financial, Inc. REIT 56,830 2,441 UMB Financial Corp. 51,342 2,441 Banta Corp. 60,251 2,440 Santander BanCorp 99,793 2,430 * Aeropostale, Inc. 88,468 2,426 BankAtlantic Bancorp, Inc. Class A 127,645 2,425 * Unit Corp. 102,980 2,425 Taubman Co. REIT 117,722 2,425 * La Quinta Corp. REIT 377,765 2,421 Lincoln Electric Holdings, Inc. 97,856 2,421 A.O. Smith Corp. 69,004 2,419 Northwest Bancorp, Inc. 112,789 2,409 Impac Mortgage Holdings, Inc. REIT 132,068 2,405 Rollins, Inc. 106,590 2,404 * FileNET Corp. 88,617 2,400 * Axcelis Technologies, Inc. 233,599 2,387 * Corrections Corp. of America REIT 82,785 2,387 * Power Integrations, Inc. 71,148 2,381 Senior Housing Properties Trust REIT 137,739 2,373 Kelly Services, Inc. Class A 83,108 2,372 23 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Vicuron Pharmaceuticals Inc. 127,082 $ 2,370 * Wright Medical Group, Inc. 77,848 2,370 Potlatch Corp. 67,920 2,362 * AirTran Holdings, Inc. 198,263 2,359 * CompuCredit Corp. 110,644 2,355 Susquehanna Bancshares, Inc. 93,872 2,348 * Radio One, Inc. 120,016 2,346 * Applera Corp.-Celera Genomics Group 168,678 2,346 * Mentor Graphics Corp. 160,877 2,339 Weis Markets, Inc. 64,387 2,337 Gables Residential Trust REIT 67,256 2,336 Syntel, Inc. 94,249 2,329 LNR Property Corp. 47,029 2,328 * Berkshire Hathaway Inc. Class B 827 2,328 * Men's Wearhouse, Inc. 93,006 2,326 Lennox International Inc. 138,900 2,320 * Quiksilver, Inc. 130,714 2,318 * FTI Consulting, Inc. 99,022 2,314 TrustCo Bank NY 175,666 2,310 * Telik, Inc. 100,266 2,307 Mine Safety Appliances Co. 28,991 2,305 * MPS Group, Inc. 246,342 2,303 Granite Construction Co. 98,036 2,303 BlackRock, Inc. 43,303 2,300 * Kyphon Inc. 92,559 2,298 * Dionex Corp. 49,912 2,297 LandAmerica Financial Group, Inc. 43,940 2,296 MB Financial, Inc. 62,974 2,292 * Wynn Resorts Ltd. 81,759 2,290 * CommScope, Inc. 139,929 2,285 Delta & Pine Land Co. 89,872 2,283 * Align Technology, Inc. 138,133 2,282 * CNET Networks, Inc. 334,177 2,279 * The Sports Authority, Inc. 59,138 2,271 * Adaptec, Inc. 256,721 2,267 Black Hills Corp. 75,964 2,266 * Knight Transportation, Inc. 88,326 2,266 Redwood Trust, Inc. REIT 44,526 2,264 ADVO, Inc. 71,137 2,259 * Tekelec 145,102 2,256 Brady Corp. Class A 55,357 2,256 MSC Industrial Direct Co., Inc. Class A 81,997 2,255 Cabot Oil & Gas Corp. 76,617 2,249 Matthews International Corp. 75,763 2,242 * TriQuint Semiconductor, Inc. 316,848 2,240 American Financial Realty Trust REIT 131,085 2,235 Burlington Coat Factory Warehouse Corp. 105,492 2,232 * Tesoro Petroleum Corp. 152,754 2,226 R.L.I. Corp. 59,378 2,224 Oakley, Inc. 160,451 2,221 Georgia Gulf Corp. 76,756 2,217 * Anixter International Inc. 85,612 2,216 USF Corp. 64,767 2,214 * Keane, Inc. 151,126 2,212 * Internet Security Systems, Inc. 117,463 2,212 * Inveresk Research Group Inc. 89,341 2,209 * RealNetworks, Inc. 386,782 2,209 * Altiris, Inc. 60,462 2,206 * Entegris Inc. 171,580 2,205 CVB Financial Corp. 114,252 2,204 * Kindred Healthcare, Inc. 42,395 2,204 * Genencor International Inc. 139,868 2,203 * ProAssurance Corp. 68,418 2,200 Longs Drug Stores, Inc. 88,572 2,191 * Wireless Facilities, Inc. 146,973 2,184 State Auto Financial Corp. 93,336 2,183 Modine Manufacturing Co. 80,792 2,180 Sensient Technologies Corp. 109,972 2,174 * United Surgical Partners International, Inc. 64,814 2,170 Kilroy Realty Corp. REIT 66,164 2,167 * US Oncology, Inc. 201,376 2,167 * Teletech Holdings Inc. 191,633 2,165 * Beverly Enterprises, Inc. 251,825 2,163 * Hecla Mining Co. 260,789 2,162 * Penn National Gaming, Inc. 93,614 2,161 * Payless ShoeSource, Inc. 160,709 2,154 * Cal Dive International, Inc. 89,258 2,152 * Hewitt Associates, Inc. 71,711 2,144 * Ralcorp Holdings, Inc. 68,321 2,143 * Commonwealth Telephone Enterprises, Inc. 56,675 2,139 Brookline Bancorp, Inc. 138,934 2,131 NDCHealth Corp. 83,091 2,129 * Chiquita Brands International, Inc. 94,451 2,128 * Advanced Neuromodulation Systems, Inc. 46,260 2,127 * WCI Communities, Inc. 102,971 2,122 * eResearch Technology, Inc. 83,324 2,118 * Wilson Greatbatch Technologies, Inc. 50,104 2,118 * Cost Plus, Inc. 51,572 2,114 Bank Mutual Corp. 185,521 2,113 Grey Global Group Inc. 3,085 2,107 * UnitedGlobalCom Inc. Class A 248,362 2,106 24 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- National Financial Partners Corp. 76,339 $ 2,103 Wintrust Financial Corp. 46,617 2,102 * Kansas City Southern 146,589 2,099 PS Business Parks, Inc. REIT 50,866 2,099 * Primus Telecommunications Group, Inc. 205,827 2,095 Corus Bankshares Inc. 66,195 2,089 * Aspect Communications Corp. 132,504 2,088 Casey's General Stores, Inc. 117,814 2,081 Irwin Financial Corp. 66,173 2,078 Selective Insurance Group 64,172 2,077 * Advanced Digital Information Corp. 148,266 2,076 * GlobespanVirata, Inc. 351,860 2,069 Avista Corp. 114,179 2,069 * Insight Enterprises, Inc. 110,041 2,069 Hugoton Royalty Trust 94,397 2,065 * CSK Auto Corp. 109,805 2,061 * Meritage Corp. 31,032 2,058 Liberty Corp. 45,504 2,056 * Informatica Corp. 198,619 2,046 Chemical Financial Corp. 55,972 2,037 Commercial Metals Co. 66,906 2,034 ABM Industries Inc. 116,452 2,027 * WebEx Communications, Inc. 100,859 2,027 * Stillwater Mining Co. 211,626 2,025 * Sierra Pacific Resources 275,485 2,022 Republic Bancorp, Inc. 149,774 2,020 * RSA Security Inc. 141,950 2,016 Owens & Minor, Inc. Holding Co. 91,987 2,015 * Moog Inc. 40,795 2,015 * Actuant Corp. 55,670 2,015 * Journal Register Co. 97,172 2,011 * Southwestern Energy Co. 84,047 2,009 * Quanta Services, Inc. 275,007 2,008 K-Swiss, Inc. 83,224 2,002 Cleco Corp. 111,318 2,001 * Kirby Corp. 57,330 2,000 First Commonwealth Financial Corp. 140,122 1,998 * Therasense, Inc. 98,399 1,997 * Extreme Networks, Inc. 276,221 1,992 H.B. Fuller Co. 66,954 1,991 Manufactured Home Communities, Inc. REIT 52,883 1,991 * Navigant Consulting, Inc. 105,547 1,991 * Advanced Energy Industries, Inc. 76,408 1,990 * Sotheby's Holdings Class A 145,652 1,990 * Ask Jeeves, Inc. 109,762 1,989 Federal Signal Corp. 113,459 1,988 Hancock Holding Co. 36,217 1,976 * Hollywood Entertainment Corp. 143,647 1,975 Commercial Net Lease Realty REIT 110,914 1,974 Schnitzer Steel Industries, Inc. Class A 32,631 1,974 * Credence Systems Corp. 149,797 1,971 * ProQuest Co. 66,937 1,971 * Technitrol, Inc. 95,016 1,971 * Select Comfort Corp. 79,408 1,966 * OMI Corp. 220,054 1,965 * EGL, Inc. 111,872 1,964 * Onyx Pharmaceuticals, Inc. 69,443 1,960 Black Box Corp. 42,548 1,960 The Manitowoc Co., Inc. 62,816 1,960 * ILEX Oncology, Inc. 92,078 1,957 UniSource Energy Corp. 79,288 1,955 Ruddick Corp. 109,180 1,954 * Manhattan Associates, Inc. 70,698 1,954 * URS Corp. 78,093 1,953 * Veeco Instruments, Inc. 69,240 1,953 * Digital Insight Corp. 78,412 1,952 * Technical Olympic USA, Inc. 70,623 1,944 * Rare Hospitality International Inc. 79,537 1,944 * Group 1 Automotive, Inc. 53,671 1,942 IHOP Corp. 50,426 1,940 * Hanover Compressor Co. 173,812 1,938 Lexington Corporate Properties Trust REIT 95,890 1,936 * Entravision Communications Corp. 174,277 1,934 * MAXIMUS, Inc. 49,382 1,932 Wolverine World Wide, Inc. 94,770 1,931 * eFunds Corp. 111,205 1,929 * Sunrise Senior Living, Inc. 49,606 1,922 * Regeneron Pharmaceuticals, Inc. 130,585 1,921 * Zymogenetics, Inc. 123,732 1,918 * ExpressJet Holdings, Inc. 127,834 1,918 * NeighborCare Inc. 96,941 1,915 * Ariba, Inc. 638,063 1,914 * Universal Compression Holdings, Inc. 73,132 1,913 Pilgrim's Pride Corp. 117,106 1,912 * PSS World Medical, Inc. 158,344 1,911 * F5 Networks, Inc. 76,111 1,910 * Maverick Tube Corp. 99,122 1,908 * Transaction Systems Architects, Inc. 84,280 1,907 Brookfield Homes Corp. 74,010 1,907 Millennium Chemicals, Inc. 150,301 1,906 * Corvis Corp. 1,120,187 1,904 * Piper Jaffray Companies 45,700 1,900 25 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Quicksilver Resources, Inc. 58,709 1,896 St. Mary Land & Exploration Co. 66,501 1,895 * Watson Wyatt & Co. Holdings 78,474 1,895 * ManTech International Corp. 75,794 1,891 CARBO Ceramics Inc. 36,851 1,889 Crompton Corp. 263,012 1,886 * Hutchinson Technology, Inc. 61,294 1,884 * Hain Celestial Group, Inc. 80,961 1,879 * Asyst Technologies, Inc. 108,301 1,879 Northwest Natural Gas Co. 61,032 1,877 * Vertex Pharmaceuticals, Inc. 183,365 1,876 * Leapfrog Enterprises, Inc. 70,690 1,875 Greif Inc. Class A 52,692 1,871 * Dick's Sporting Goods, Inc. 38,440 1,870 * IDX Systems Corp. 69,742 1,870 S & T Bancorp, Inc. 62,369 1,865 * Genlyte Group, Inc. 31,942 1,865 * McDermott International, Inc. 156,029 1,865 * Genta Inc. 178,965 1,863 * MICROS Systems, Inc. 42,935 1,862 * Dobson Communications Corp. 283,266 1,861 Dime Community Bancshares 60,450 1,859 * LTX Corp. 123,703 1,859 * Borland Software Corp. 191,067 1,859 * SEACOR SMIT Inc. 44,215 1,858 Stewart Information Services Corp. 45,793 1,857 * Shaw Group, Inc. 136,328 1,857 * Credit Acceptance Corp. 121,096 1,853 Bandag, Inc. 44,944 1,852 R & G Financial Corp. Class B 46,494 1,850 * Wabash National Corp. 63,136 1,850 Glimcher Realty Trust REIT 82,579 1,848 * General Maritime Corp. 104,979 1,848 Newcastle Investment Corp. REIT 68,121 1,846 * Sierra Health Services, Inc. 67,195 1,845 Arkansas Best Corp. 58,656 1,841 * Mediacom Communications Corp. 212,097 1,839 National Penn Bancshares Inc. 57,249 1,839 Texas Industries, Inc. 49,697 1,839 * Silgan Holdings, Inc. 43,170 1,839 * Integra LifeSciences Holdings 64,164 1,837 * Enterasys Networks, Inc. 489,248 1,835 * Aeroflex, Inc. 156,923 1,834 United Community Banks, Inc. 55,745 1,834 * Guitar Center, Inc. 56,262 1,833 * WMS Industries, Inc. 69,956 1,833 * Province Healthcare Co. 114,540 1,833 * Magma Design Automation, Inc. 78,451 1,831 Vintage Petroleum, Inc. 151,929 1,828 * Aztar Corp. 81,100 1,825 * Impax Laboratories, Inc. 126,489 1,820 USEC Inc. 216,615 1,820 Sauer-Danfoss, Inc. 112,308 1,819 * Jack in the Box Inc. 85,056 1,817 John H. Harland Co. 66,363 1,812 * Exult Inc. 253,750 1,807 * CTI Molecular Imaging, Inc. 106,734 1,805 Southwest Gas Corp. 80,316 1,803 G & K Services, Inc. Class A 49,049 1,803 * Nektar Therapeutics 132,426 1,802 * Argosy Gaming Co. 69,325 1,802 * BankUnited Financial Corp. 69,849 1,801 * American Healthways Inc. 75,444 1,801 * NetIQ Corp. 135,349 1,793 * Magnum Hunter Resources Inc. 188,518 1,793 Quanex Corp. 38,889 1,793 * AmSurg Corp. 47,309 1,793 * Adolor Corp. 89,421 1,790 * aaiPharma Inc. 70,991 1,783 MCG Capital Corp. 91,410 1,782 * Investment Technology Group, Inc. 110,282 1,781 Summit Properties, Inc. REIT 74,018 1,778 * CUNO Inc. 39,472 1,777 * Pacer International, Inc. 87,816 1,776 * Digene Corp. 44,275 1,775 * Denbury Resources, Inc. 127,605 1,775 * Alexander's, Inc. REIT 14,233 1,774 * American Italian Pasta Co. 42,329 1,774 Baldor Electric Co. 77,387 1,768 Hudson River Bancorp. Inc. 45,293 1,768 Wabtec Corp. 103,539 1,764 * Encore Acquisition Co. 71,532 1,763 * Renaissance Learning, Inc. 73,218 1,763 * FEI Co. 78,304 1,762 * DRS Technologies, Inc. 63,201 1,756 * Price Communications Corp. 127,860 1,756 * Wind River Systems Inc. 200,176 1,754 * OM Group, Inc. 66,940 1,753 * Armor Holdings, Inc. 66,557 1,751 * Plains Exploration & Production Co. 113,739 1,750 * First Federal Financial Corp. 40,212 1,749 CH Energy Group, Inc. 37,251 1,747 * InterMune Inc. 75,223 1,742 Christopher & Banks Corp. 89,174 1,742 Longview Fibre Co. 140,934 1,741 * PRIMEDIA Inc. 614,657 1,739 Barnes Group, Inc. 53,830 1,739 26 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * ChipPAC, Inc. 229,141 $ 1,739 * Cyberonics, Inc. 54,294 1,738 * Zoran Corp. 99,878 1,737 * SERENA Software, Inc. 94,551 1,735 National Health Investors REIT 69,734 1,735 * SRA International, Inc. 40,211 1,733 * CoStar Group, Inc. 41,526 1,731 * Gartner, Inc. Class B 158,927 1,729 * Cleveland-Cliffs Inc. 33,932 1,729 * Jarden Corp. 63,229 1,729 Sun Communities, Inc. REIT 44,651 1,728 * Plexus Corp. 100,559 1,727 Waypoint Financial Corp. 79,537 1,725 * Thoratec Corp. 132,510 1,724 The Trust Co. of New Jersey 43,422 1,723 * Alaska Air Group, Inc. 63,056 1,721 Charter Financial Corp. 46,139 1,720 * Triad Guaranty, Inc. 34,107 1,717 Kaydon Corp. 66,396 1,716 * InfoSpace, Inc. 74,422 1,715 Provident Bankshares Corp. 57,969 1,707 American Home Mortgage Investment Corp. 75,806 1,706 * American Medical Systems Holdings, Inc. 78,222 1,705 Great American Financial Resources, Inc. 105,108 1,705 * The Warnaco Group, Inc. 106,790 1,703 Spartech Corp. 69,108 1,703 * Papa John's International, Inc. 50,981 1,702 * Kulicke & Soffa Industries, Inc. 118,103 1,698 Harleysville National Corp. 56,389 1,697 * Cray Inc. 170,806 1,696 * ATMI, Inc. 73,284 1,696 * Rogers Corp. 38,301 1,690 * Progress Software Corp. 82,518 1,688 * DSP Group Inc. 67,740 1,687 * The Children's Place Retail Stores, Inc. 63,122 1,687 * Mastec Inc. 113,864 1,686 * Microsemi Corp. 68,602 1,686 * USG Corp. 101,691 1,685 RAIT Investment Trust REIT 65,775 1,684 Seacoast Financial Services Corp. 61,355 1,682 * At Road, Inc. 126,433 1,682 * eSPEED, Inc. Class A 71,787 1,681 * AAR Corp. 112,352 1,680 * Tessera Technologies, Inc. 89,259 1,679 Harbor Florida Bancshares, Inc. 56,507 1,679 * Coherent, Inc. 70,465 1,677 * Cirrus Logic 218,571 1,676 NBT Bancorp, Inc. 77,928 1,671 Landry's Restaurants, Inc. 64,925 1,670 * CMGI Inc. 936,288 1,667 * United Natural Foods, Inc. 46,209 1,659 * Orbital Sciences Corp. 137,985 1,659 First Financial Bancorp 103,941 1,658 Watts Water Technologies, Inc. 74,662 1,657 Startek, Inc. 40,615 1,657 Russ Berrie and Co., Inc. 48,821 1,655 * WellChoice Inc. 47,870 1,652 Entertainment Properties Trust REIT 47,549 1,650 * Comstock Resources, Inc. 85,490 1,650 * Gartner, Inc. Class A 145,719 1,648 * Six Flags, Inc. 218,970 1,647 LaBranche & Co. Inc. 141,069 1,646 * Superior Energy Services, Inc. 175,075 1,646 * Griffon Corp. 81,206 1,645 * PolyOne Corp. 257,388 1,645 Wausau-Mosinee Paper Corp. 121,561 1,644 FBL Financial Group, Inc. Class A 63,689 1,643 * Labor Ready, Inc. 125,409 1,643 * Exar Corp. 96,098 1,641 * Ixia 140,045 1,639 * Shuffle Master, Inc. 47,303 1,638 * CONMED Corp. 68,792 1,637 * Monaco Coach Corp. 68,777 1,637 EastGroup Properties, Inc. REIT 50,544 1,637 * Digital River, Inc. 73,864 1,632 * Finisar Corp. 521,508 1,632 * Ditech Communications Corp. 85,431 1,632 Infinity Property & Casualty Corp. 49,340 1,631 Cash America International Inc. 76,952 1,630 Corporate Office Properties Trust, Inc. REIT 77,585 1,629 * Range Resources Corp. 172,391 1,629 * Financial Federal Corp. 53,308 1,629 * Ultratech, Inc. 55,447 1,628 * Global Imaging Systems, Inc. 51,285 1,628 Barra, Inc. 45,871 1,628 * Ocular Sciences, Inc. 56,627 1,626 Keystone Property Trust REIT 73,595 1,626 Otter Tail Corp. 60,749 1,624 * Openwave Systems Inc. 147,263 1,620 * Lin TV Corp. 62,760 1,620 * Priceline.com, Inc. 90,471 1,619 * Tejon Ranch Co. 39,430 1,617 Brown Shoe Co., Inc. 42,618 1,617 MFA Mortgage Investments, Inc. REIT 165,720 1,616 27 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * TTM Technologies, Inc. 95,554 $ 1,613 * William Lyon Homes, Inc. 25,679 1,612 * ArthroCare Corp. 65,763 1,611 * Rayovac Corp. 76,820 1,609 * ValueClick, Inc. 176,984 1,607 * Oceaneering International, Inc. 57,380 1,607 * FormFactor Inc. 1,071 1,605 * Grey Wolf, Inc. 428,887 1,604 Zenith National Insurance Corp. 49,240 1,603 WD-40 Co. 45,245 1,600 Alabama National BanCorporation 30,439 1,600 * Oil States International, Inc. 114,712 1,599 * Verint Systems Inc. 70,790 1,597 Amcore Financial, Inc. 59,088 1,597 United National Bancorp 44,593 1,593 * ScanSource, Inc. 34,863 1,590 * Sapient Corp. 283,987 1,590 * United Defense Industries Inc. 49,841 1,589 PolyMedica Corp. 60,383 1,589 * Interwoven Inc. 125,628 1,588 * AMIS Holdings Inc. 86,838 1,587 Mid-America Apartment Communities, Inc. REIT 47,157 1,584 * bebe stores, inc 60,926 1,583 * USI Holdings Corp. 121,047 1,580 Independent Bank Corp. (MI) 55,667 1,579 Texas Genco Holdings, Inc. 48,538 1,577 Southern Peru Copper Corp. 33,394 1,575 Getty Realty Holding Corp. REIT 60,218 1,575 * Electro Scientific Industries, Inc. 66,115 1,574 * Offshore Logistics, Inc. 64,153 1,573 Anworth Mortgage Asset Corp. REIT 112,611 1,569 Glenborough Realty Trust, Inc. REIT 78,586 1,568 * The Advisory Board Co. 44,874 1,567 * ESCO Technologies Inc. 35,861 1,565 Franklin Electric, Inc. 25,870 1,565 The Laclede Group, Inc. 54,779 1,564 * Ventana Medical Systems, Inc. 39,689 1,564 Gray Television, Inc. 103,420 1,564 Blockbuster Inc. Class A 87,018 1,562 * Aquila, Inc. 460,707 1,562 Carpenter Technology Corp. 52,804 1,561 JLG Industries, Inc. 102,509 1,561 * EMCOR Group, Inc. 35,527 1,560 * ESS Technology, Inc. 91,681 1,559 * Metrologic Instruments, Inc. 57,690 1,558 First Republic Bank 43,507 1,558 * Helen of Troy Ltd. 67,127 1,554 Sonic Automotive, Inc. 67,738 1,553 * Sinclair Broadcast Group, Inc. 103,832 1,549 * Dot Hill Systems Corp. 102,214 1,549 Anthracite Capital Inc. REIT 139,783 1,547 * Ryan's Family Steak Houses, Inc. 102,099 1,546 * Jones Lang Lasalle Inc. 74,550 1,545 Thomas Industries, Inc. 44,579 1,545 Gold Banc Corp., Inc. 109,883 1,545 UIL Holdings Corp. 34,248 1,545 * Swift Energy Co. 91,621 1,544 * FelCor Lodging Trust, Inc. REIT 139,304 1,543 * International Steel Group, Inc. 39,600 1,542 * Imagistics International Inc. 41,128 1,542 First Financial Bankshares, Inc. 36,888 1,538 Vector Group Ltd. 94,214 1,538 Tecumseh Products Co. Class A 31,747 1,538 Sanderson Farms, Inc. 38,146 1,537 * Ameristar Casinos, Inc. 62,816 1,537 Cambrex Corp. 60,822 1,536 * Mindspeed Technologies, Inc. 224,192 1,536 * CSG Systems International, Inc. 122,937 1,535 * Mykrolis Corp. 95,415 1,534 * Bright Horizons Family Solutions, Inc. 36,525 1,534 Aaron Rents, Inc. Class B 76,179 1,533 * Photon Dynamics, Inc. 38,102 1,533 * THQ Inc. 90,645 1,533 * Remington Oil & Gas Corp. 77,713 1,530 South Jersey Industries, Inc. 37,777 1,530 * InVision Technologies, Inc. 45,506 1,528 * Symyx Technologies, Inc. 74,275 1,526 * Newport Corp. 92,138 1,523 Curtiss-Wright Corp. 33,819 1,522 * El Paso Electric Co. 113,923 1,521 * Tanox, Inc. 102,340 1,520 * Headwaters Inc. 77,424 1,519 * Movie Gallery, Inc. 81,252 1,518 * Nuevo Energy Co. 62,728 1,516 Glacier Bancorp, Inc. 46,788 1,516 First Sentinel Bancorp Inc. 71,943 1,515 * MicroStrategy Inc. 28,852 1,514 * XOMA Ltd. 229,386 1,514 Interstate Bakeries Corp. 105,917 1,507 * Websense, Inc. 51,527 1,507 A. Schulman Inc. 70,640 1,506 * Dollar Thrifty Automotive Group, Inc. 58,056 1,506 * Trex Co., Inc. 39,646 1,506 * Dendrite International, Inc. 96,063 1,505 * Prima Energy Corp. 42,785 1,504 28 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * American Management Systems, Inc. 99,439 $ 1,499 Sovran Self Storage, Inc. REIT 40,326 1,498 Net.Bank, Inc. 112,041 1,496 * K2 Inc. 98,195 1,494 * Esterline Technologies Corp. 55,966 1,493 * Isle of Capri Casinos, Inc. 69,480 1,492 * Littelfuse, Inc. 51,735 1,491 * School Specialty, Inc. 43,821 1,490 * KCS Energy, Inc. 141,124 1,489 AMLI Residential Properties Trust REIT 55,535 1,488 CDI Corp. 45,436 1,488 * Steak n Shake Co. 83,239 1,486 * Hibbett Sporting Goods, Inc. 49,764 1,483 Community Bank System, Inc. 30,258 1,483 Penn Virginia Corp. 26,611 1,481 Handleman Co. 71,763 1,473 * Plug Power, Inc. 202,817 1,470 * Photronics Inc. 73,808 1,470 Phillips-Van Heusen Corp. 82,862 1,470 Surewest Communications 36,359 1,470 * National Western Life Insurance Co. Class A 9,490 1,470 * Closure Medical Corp. 43,287 1,469 * PTEK Holdings, Inc. 166,326 1,465 * Trammell Crow Co. 110,586 1,465 * A.S.V., Inc. 39,092 1,460 * Nabi Biopharmaceuticals 114,421 1,454 * Verity, Inc. 87,103 1,454 * Checkpoint Systems, Inc. 76,721 1,451 Inter-Tel, Inc. 58,024 1,449 * UICI 108,874 1,446 Frontier Financial Corp. 43,570 1,445 * Petroleum Development Corp. 60,905 1,443 * Sharper Image Corp. 44,142 1,441 * Paxar Corp. 107,385 1,439 * Resources Connection, Inc. 52,679 1,439 * Accredited Home Lenders Holding Co. 46,948 1,437 Cornerstone Realty Income Trust, Inc. REIT 163,290 1,430 Cubic Corp. 62,143 1,429 Boston Private Financial Holdings, Inc. 57,537 1,429 * aQuantive, Inc. 139,376 1,429 * Viasys Healthcare Inc. 69,281 1,427 * Silicon Image, Inc. 197,071 1,425 * Citadel Broadcasting Corp. 63,673 1,424 Mid-State Bancshares 55,842 1,421 Woodward Governor Co. 24,944 1,418 * Charming Shoppes, Inc. 262,200 1,416 * Sola International Inc. 75,294 1,416 * Atwood Oceanics, Inc. 44,253 1,413 * AK Steel Corp. 276,891 1,412 * Per-Se Technologies, Inc. 92,445 1,411 * American Pharmaceuticals Partners, Inc. 41,932 1,409 * Finish Line, Inc. 46,951 1,407 * Crown Media Holdings, Inc. 169,901 1,405 PFF Bancorp, Inc. 38,611 1,401 * Red Robin Gourmet Burgers 46,010 1,401 Farmer Brothers, Inc. 4,488 1,397 * Enbridge Energy Management 28,903 1,397 Datascope Corp. 38,952 1,396 * InterVoice, Inc. 117,562 1,395 * Actel Corp. 57,875 1,395 * MedQuist, Inc. 86,846 1,395 Sterling Bancshares, Inc. 104,586 1,394 * Genesee & Wyoming Inc. Class A 44,211 1,393 Firstfed America Bancorp, Inc. 53,449 1,391 The Middleby Corp. 34,312 1,389 * Overnite Corp. 61,007 1,388 * Opsware, Inc. 187,150 1,385 Russell Corp. 78,850 1,385 * Kronos Worldwide, Inc. 62,354 1,384 * Saxon Capital Inc. 65,959 1,382 Umpqua Holdings Corp. 66,293 1,378 Harleysville Group, Inc. 69,104 1,374 Oriental Financial Group Inc. 53,475 1,374 The Stride Rite Corp. 120,460 1,371 Horace Mann Educators Corp. 98,015 1,369 Kenneth Cole Productions, Inc. 46,559 1,369 City Holding Co. 39,092 1,368 * CapitalSource Inc. 62,967 1,365 Tredegar Corp. 87,889 1,365 * USANA Health Sciences, Inc. 44,560 1,364 * S1 Corp. 169,041 1,361 * Manugistics Group, Inc. 217,714 1,361 * ANSYS, Inc. 34,271 1,361 * ValueVision Media, Inc. 81,431 1,360 * Big 5 Sporting Goods Corp. 64,881 1,359 * Serologicals Corp. 73,072 1,359 * NCO Group, Inc. 59,546 1,356 * Sterling Financial Corp. 39,567 1,354 West Pharmaceutical Services, Inc. 39,866 1,351 * The Pantry, Inc. 59,437 1,349 Bedford Property Investors, Inc. REIT 47,066 1,347 Main Street Banks, Inc. 50,752 1,345 29 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Frontier Oil Corp. 77,978 $ 1,343 First Charter Corp. 68,601 1,341 Parkway Properties Inc. REIT 32,230 1,341 * Energy Partners, Ltd. 96,370 1,340 * Forward Air Corp. 48,701 1,339 Steelcase Inc. 93,199 1,338 Anchor Bancorp Wisconsin Inc. 53,635 1,336 NL Industries, Inc. 114,008 1,334 Saul Centers, Inc. REIT 46,497 1,333 Kimball International, Inc. Class B 85,508 1,330 * PETCO Animal Supplies, Inc. 43,652 1,329 BancFirst Corp. 22,627 1,328 * Asbury Automotive Group, Inc. 74,132 1,328 * Too Inc. 78,552 1,326 Roto-Rooter, Inc. 28,761 1,326 * QAD Inc. 108,076 1,325 Tanger Factory Outlet Centers, Inc. REIT 32,546 1,325 * AtheroGenics, Inc. 88,581 1,324 BSB Bancorp, Inc. 33,511 1,324 First Essex Bancorp, Inc. 22,748 1,323 * Century Business Services, Inc. 295,663 1,322 * Vignette Corp. 581,829 1,321 Walter Industries, Inc. 98,779 1,319 Applied Industrial Technology, Inc. 55,161 1,316 * j2 Global Communications, Inc. 53,100 1,315 Koger Equity, Inc. REIT 62,789 1,314 * Systems & Computer Technology Corp. 79,977 1,308 * Electronics Boutique Holdings Corp. 57,117 1,307 M/I Schottenstein Homes, Inc. 33,470 1,307 * Old Dominion Freight Line, Inc. 38,314 1,306 Arch Chemicals, Inc. 50,882 1,306 * Connetics Corp. 71,873 1,305 * Encysive Pharmaceuticals, Inc. 145,606 1,303 * Multimedia Games Inc. 31,694 1,303 * TBC Corp. 50,427 1,302 Royal Gold, Inc. 62,178 1,301 * Haemonetics Corp. 54,308 1,297 Rock-Tenn Co. 75,107 1,296 * Genesis Healthcare Corp. 56,903 1,296 * Central Garden and Pet Co. 46,209 1,295 Capital City Bank Group, Inc. 28,147 1,294 Valmont Industries, Inc. 55,916 1,294 Holly Corp. 47,013 1,293 * Harvest Natural Resources, Inc. 129,925 1,293 * Enzo Biochem, Inc. 72,171 1,293 Bowne & Co., Inc. 95,167 1,290 * Epicor Software Corp. 101,122 1,290 * Trimeris, Inc. 61,491 1,290 * LabOne, Inc. 39,660 1,288 * VistaCare, Inc. 36,551 1,285 * Elizabeth Arden, Inc. 64,435 1,284 * Mattson Technology, Inc. 104,843 1,281 First Federal Capital Corp. 56,884 1,281 * The Gymboree Corp. 74,284 1,280 Regal-Beloit Corp. 58,149 1,279 Berry Petroleum Class A 63,142 1,279 * CIMA Labs Inc. 39,151 1,277 * Advent Software, Inc. 73,192 1,276 * Aspen Technologies, Inc. 124,207 1,274 * Integrated Electrical Services, Inc. 137,640 1,273 * ICU Medical, Inc. 37,133 1,273 World Fuel Services Corp. 37,452 1,271 * Mesa Air Group Inc. 101,458 1,270 * World Acceptance Corp. 63,769 1,270 Sterling Bancorp 44,531 1,269 Connecticut Bancshares, Inc. 24,623 1,269 Simmons First National Corp. 45,469 1,269 * AMN Healthcare Services, Inc. 73,759 1,266 ElkCorp 47,287 1,263 * Packeteer, Inc. 74,318 1,262 * Merit Medical Systems, Inc. 56,654 1,261 MGE Energy, Inc. 40,011 1,261 * Teledyne Technologies, Inc. 66,806 1,259 * Ethyl Corp. 57,467 1,257 Prosperity Bancshares, Inc. 55,754 1,256 * Inspire Pharmaceuticals, Inc. 88,662 1,255 Empire District Electric Co. 57,232 1,255 Methode Electronics, Inc. Class A 102,502 1,254 * Centene Corp. 44,635 1,250 * Sykes Enterprises, Inc. 146,025 1,250 * RTI International Metals, Inc. 74,045 1,249 Analogic Corp. 30,376 1,245 * Boca Resorts, Inc. Class A 83,182 1,244 Glatfelter 99,811 1,243 * Quantum Corp. 397,636 1,241 * Ciber, Inc. 143,173 1,240 Oxford Industries, Inc. 36,466 1,235 Schweitzer-Mauduit International, Inc. 41,467 1,235 * PalmOne, Inc. 104,947 1,233 Community Trust Bancorp Inc. 40,812 1,233 * Bioreliance Corp. 25,711 1,230 * Albany Molecular Research, Inc. 81,841 1,229 Town & Country Trust REIT 48,453 1,228 Kansas City Life Insurance Co. 26,565 1,227 30 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Independent Bank Corp. (MA) 42,569 $ 1,227 * Micromuse Inc. 177,567 1,225 Lance, Inc. 81,486 1,225 * Rudolph Technologies, Inc. 49,871 1,224 * Jacuzzi Brands, Inc. 172,611 1,224 * Plains Resources Inc. 76,222 1,223 * II-VI, Inc. 47,399 1,223 CIRCOR International, Inc. 50,723 1,222 * Playtex Products, Inc. 158,122 1,222 * Advanced Medical Optics, Inc. 62,163 1,222 * Digitas Inc. 130,510 1,216 * Triumph Group, Inc. 33,376 1,215 * Tumbleweed Communications Corp. 144,776 1,213 * Right Management Consultants, Inc. 64,974 1,212 * HomeStore, Inc. 256,304 1,212 The Topps Co., Inc. 118,094 1,212 * Stage Stores, Inc. 43,412 1,211 * Arris Group Inc. 167,171 1,210 * Guess ?, Inc. 100,209 1,210 * Avanex Corp. 242,386 1,210 * Internap Network Services Corp. 492,836 1,207 * Pinnacle Systems, Inc. 141,113 1,204 Baldwin & Lyons, Inc. Class B 42,884 1,203 First Financial Holdings, Inc. 38,374 1,200 * BioMarin Pharmaceutical Inc. 154,291 1,199 * Aviall Inc. 77,246 1,198 First Merchants Corp. 46,856 1,196 * Eclipsys Corp. 102,717 1,196 Flushing Financial Corp. 65,331 1,194 EDO Corp. 48,399 1,193 Westbanco Inc. 42,938 1,189 * PAREXEL International Corp. 73,111 1,189 Lennar Corp. Class B 12,999 1,188 * Stewart Enterprises, Inc. Class A 209,168 1,188 IBERIABANK Corp. 20,105 1,186 * FuelCell Energy, Inc. 91,187 1,185 * Hydrill Co. 49,424 1,183 * Infonet Services Corp. 695,619 1,183 * Noven Pharmaceuticals, Inc. 77,597 1,180 * California Pizza Kitchen, Inc. 58,463 1,177 * Remec, Inc. 139,801 1,176 * Atrix Laboratories, Inc. 8,896 1,175 * Avatar Holding, Inc. 31,757 1,173 * UTStarcom, Inc. 31,563 1,170 * Agile Software Corp. 117,813 1,166 * Insight Communications Co., Inc. 112,953 1,165 * DuPont Photomasks, Inc. 48,136 1,162 * RailAmerica, Inc. 98,436 1,162 * Carter's, Inc. 45,635 1,161 * Centennial Communications Corp. Class A 220,723 1,161 * PDI, Inc. 43,293 1,161 * Navigators Group, Inc. 37,590 1,160 * TiVo Inc. 156,646 1,159 * Inet Technologies, Inc. 96,502 1,158 * Secure Computing Corp. 64,656 1,158 * Alliance Data Systems Corp. 41,834 1,158 * Enzon Pharmaceuticals, Inc. 96,323 1,156 * Immucor Inc. 56,611 1,154 Churchill Downs, Inc. 31,825 1,152 * Harmonic, Inc. 158,880 1,152 Cohu, Inc. 59,945 1,148 United Community Financial Corp. 100,499 1,147 * Frontier Airlines, Inc. 80,385 1,146 * Forrester Research, Inc. 64,099 1,145 New England Business Service, Inc. 38,814 1,145 Cato Corp. Class A 55,745 1,143 * Pixelworks, Inc. 103,352 1,141 * Tower Automotive, Inc. 167,057 1,141 * Biosite Inc. 39,294 1,138 Integra Bank Corp. 51,759 1,138 * Kopin Corp. 169,516 1,137 Midwest Banc Holdings, Inc. 51,055 1,136 AMCOL International Corp. 56,174 1,135 CTS Corp. 98,660 1,135 * Abaxis, Inc. 62,565 1,134 First Community Bancorp 31,344 1,133 Bank of the Ozarks, Inc. 50,314 1,133 * C-COR Electronics, Inc. 101,746 1,132 * John B. Sanfilippo & Son, Inc. 22,187 1,132 Ramco-Gershenson Properties Trust REIT 39,939 1,130 * Ocwen Financial Corp. 127,569 1,130 BEI Technologies, Inc. 56,508 1,130 Republic Bancshares, Inc. 35,901 1,130 Central Parking Corp. 75,532 1,128 * Mapics Inc. 85,912 1,125 * NeoPharm, Inc. 61,381 1,124 NACCO Industries, Inc. Class A 12,562 1,124 Watsco, Inc. 49,403 1,123 * Clayton Williams Energy, Inc. 38,489 1,119 * iPayment Holdings, Inc. 32,888 1,118 * Veritas DGC Inc. 106,514 1,116 * Spherion Corp. 113,930 1,115 * CorVel Corp. 29,636 1,114 Universal Health Realty Income REIT 36,993 1,113 31 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Investors Real Estate Trust REIT 112,409 $ 1,113 Suffolk Bancorp 32,208 1,112 Advanta Corp. Class A 8 5,520 1,111 OceanFirst Financial Corp. 40,833 1,109 Sandy Spring Bancorp, Inc. 29,595 1,107 Vital Signs, Inc. 33,830 1,106 * Global Industries Ltd. 214,661 1,106 * M&F Worldwide Corp. 82,601 1,104 * McMoRan Exploration Co. 58,498 1,097 * SeeBeyond Technology Corp. 255,663 1,097 * Mercury Computer Systems, Inc. 44,026 1,096 * Netegrity, Inc. 106,175 1,095 * Citizens, Inc. 115,939 1,093 * Exelixis, Inc. 154,338 1,093 Sterling Financial Corp. (PA) 39,355 1,092 * CNA Surety Corp. 114,760 1,091 WSFS Financial Corp. 24,320 1,091 American States Water Co. 43,622 1,091 * The Meridian Resource Corp. 183,431 1,090 Pulitzer, Inc. 20,164 1,089 * Local Financial Corp. 52,228 1,088 Allegiant Bancorp, Inc. 38,800 1,088 * Powerwave Technologies, Inc. 142,163 1,088 * ScanSoft, Inc. 204,151 1,086 * Artesyn Technologies, Inc. 127,420 1,086 Standex International Corp. 38,692 1,083 * United Therapeutics Corp. 47,106 1,081 * General Communication, Inc. 124,107 1,080 * Central European Distribution Corp. 34,133 1,079 * Ionics, Inc. 33,846 1,078 * Intuitive Surgical, Inc. 62,997 1,077 * Anaren, Inc. 76,241 1,077 * Casella Waste Systems, Inc. 78,611 1,076 * Cepheid, Inc. 112,301 1,076 Universal Forest Products, Inc. 33,411 1,075 * Geron Corp. 107,731 1,074 * Hexcel Corp. 144,768 1,073 * Genesis Microchip Inc. 59,447 1,072 * JDA Software Group, Inc. 64,890 1,071 * Transmeta Corp. 314,697 1,070 * Jo-Ann Stores, Inc. 52,377 1,068 U.S.B. Holding Co., Inc. 55,011 1,067 * 4Kids Entertainment Inc. 40,844 1,063 * J & J Snack Foods Corp. 28,126 1,062 * SuperGen, Inc. 96,504 1,062 Marine Products Corp. 56,412 1,061 Bel Fuse, Inc. Class B 32,500 1,060 * Escalade, Inc. 31,131 1,058 * Trans World Entertainment Corp. 148,595 1,058 Columbia Banking System, Inc. 48,791 1,057 * Intrado Inc. 48,041 1,054 Aceto Corp. 41,280 1,054 * DJ Orthopedics Inc. 39,311 1,054 * Salem Communications Corp. 38,776 1,052 * Newpark Resources, Inc. 219,456 1,051 * Medarex, Inc. 168,598 1,050 * Oregon Steel Mills, Inc. 179,923 1,045 * Robert Mondavi Corp. Class A 26,869 1,044 * IDT Corp. Class B 45,100 1,043 C & D Technologies, Inc. 54,377 1,042 Value Line, Inc. 20,857 1,041 Southern Financial Bancorp, Inc. 24,108 1,038 * AMC Entertainment, Inc. 68,234 1,038 * Unifi, Inc. 160,627 1,036 * Insituform Technologies Inc. Class A 62,789 1,036 * Transkaryotic Therapies, Inc. 66,221 1,034 First Financial Corp. (IN) 34,441 1,034 Correctional Properties Trust REIT 35,884 1,033 LaSalle Hotel Properties REIT 55,704 1,033 * Whiting Petroleum Corp. 56,063 1,032 * ViaSat, Inc. 53,884 1,031 Great Southern Bancorp, Inc. 22,195 1,029 * Hawthorne Financial Corp. 36,769 1,029 Helix Technology Corp. 49,893 1,027 * Lifeline Systems, Inc. 53,993 1,026 * CardioDynamics International Corp. 171,707 1,025 * Diversa Corp. 110,688 1,024 Coca-Cola Bottling Co. 19,134 1,023 * Commercial Capital Bancorp, Inc. 47,796 1,023 * West Marine, Inc. 36,786 1,023 Lone Star Steakhouse & Saloon, Inc. 44,003 1,020 Lawson Products, Inc. 30,738 1,020 * Caraustar Industries, Inc. 73,802 1,018 * Pegasystems Inc. 118,124 1,018 * General Cable Corp. 124,809 1,017 * Ace Cash Express, Inc. 47,779 1,016 * Cross Country Healthcare, Inc. 68,058 1,015 * American Superconductor Corp. 73,218 1,015 The Nautilus Group, Inc. 72,106 1,013 Central Pacific Financial Co. 33,713 1,013 * Nanogen, Inc. 112,397 1,013 * Saga Communications, Inc. 54,521 1,010 * TransMontaigne Inc. 156,625 1,010 * BioLase Technology, Inc. 60,839 1,010 Resource America, Inc. 67,310 1,010 * Spanish Broadcasting System, Inc. 95,993 1,008 32 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Antigenics, Inc. 88,971 $ 1,007 * PEC Solutions, Inc. 59,367 1,006 * Daktronics, Inc. 39,982 1,006 * Encore Capital Group, Inc. 67,678 1,005 Landauer, Inc. 24,641 1,005 * Tempur-Pedic International Inc. 64,767 1,004 * SonoSite, Inc. 46,802 1,003 * webMethods, Inc. 109,501 1,002 * Keystone Automotive Industries, Inc. 39,505 1,002 * CCC Information Services Group 59,279 1,002 * KNBT Bancorp Inc. 56,969 1,002 * Concord Communications, Inc. 50,139 1,001 * E.piphany Inc. 138,608 999 * PC Mall, Inc. 61,738 997 The Standard Register Co. 59,219 997 Ambassadors Group, Inc. 42,414 996 Innkeepers USA Trust REIT 118,935 995 * Retek Inc. 107,193 995 * Pre-Paid Legal Services, Inc. 38,063 994 * MarineMax, Inc. 51,100 993 Triarc Cos., Inc. Class B 92,087 993 * Time Warner Telecom Inc. 97,869 991 Riviana Foods, Inc. 36,190 991 Belden, Inc. 46,929 990 * Integrated Silicon Solution, Inc. 63,079 988 * Talk America Holdings, Inc. 85,773 988 * Network Equipment Technologies, Inc. 89,807 988 * TETRA Technologies, Inc. 40,708 987 * Universal American Financial Corp. 99,430 985 Arctic Cat, Inc. 39,855 984 * ITLA Capital Corp. 19,599 982 Chesapeake Corp. of Virginia 37,038 981 Washington Trust Bancorp, Inc. 37,384 979 Apogee Enterprises, Inc. 86,260 979 * Echelon Corp. 87,825 978 Park Electrochemical Corp. 36,922 978 Omega Healthcare Investors, Inc. REIT 104,824 978 * Sun Bancorp, Inc. (NJ) 37,036 978 * SonicWALL, Inc. 125,267 977 * SupportSoft, Inc. 74,180 975 The Marcus Corp. 59,457 975 * Consolidated Graphics, Inc. 30,860 975 * Mobile Mini, Inc. 49,417 975 Omega Financial Corp. 25,303 974 Pope & Talbot, Inc. 55,243 973 * General Binding Corp. 53,991 972 * US LEC Corp. Class A 123,292 972 Riggs National Corp. 58,724 971 * Stratex Networks, Inc. 227,915 969 NYMAGIC, Inc. 35,289 968 * Lone Star Technologies, Inc. 60,525 967 * Sequa Corp. Class A 19,721 966 * MRV Communications Inc. 256,834 966 * W-H Energy Services, Inc. 59,576 965 * Brightpoint, Inc. 55,949 965 * Ciphergen Biosystems, Inc. 85,734 964 * Information Holdings Inc. 43,559 963 * Administaff, Inc. 55,321 961 * 1-800-FLOWERS.COM, Inc. 86,872 961 * CV Therapeutics, Inc. 65,471 960 Progress Financial Corp. 31,014 956 * Portfolio Recovery Associates, Inc. 35,962 955 Noble International, Ltd. 41,766 952 * America West Holdings Corp. Class B 76,649 950 * Tradestation Group Inc. 107,273 950 Gabelli Asset Management Inc. 23,857 950 * Wesco International, Inc. 107,171 948 * Century Aluminum Co. 49,862 948 * Capital Crossing Bank 19,931 944 * Itron, Inc. 51,310 942 * Atlantic Coast Airlines Holdings Inc. 95,095 941 Lindsay Manufacturing Co. 37,272 941 * Cell Genesys, Inc. 72,625 940 * O'Charley's Inc. 52,320 939 * National Beverage Corp. 57,584 939 * Brigham Exploration Co. 116,837 938 * United PanAm Financial Corp. 56,124 938 * Vail Resorts Inc. 55,096 937 * Volt Information Sciences Inc. 41,439 937 * Artisan Components, Inc. 45,634 935 Healthcare Services Group, Inc. 48,447 935 * Tenneco Automotive, Inc. 139,666 934 * Kadant Inc. 43,104 933 * Ulticom, Inc. 96,464 931 GenCorp, Inc. 86,277 929 * Harvard Bioscience, Inc. 104,170 927 Keithley Instruments Inc. 50,453 923 Gevity HR, Inc. 41,513 923 Banner Corp. 36,704 923 * Korn/Ferry International 69,138 922 * TriPath Imaging, Inc. 118,069 921 Agilysys, Inc. 82,483 920 Ameron International Corp. 26,491 919 * Safeguard Scientifics, Inc. 227,360 919 * SurModics, Inc. 38,228 914 33 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Vicor Corp. 80,065 $ 914 * Charlotte Russe Holding Inc. 65,854 913 Wellman, Inc. 89,373 912 Cascade Bancorp 47,359 912 * Amerco, Inc. 42,409 912 SWS Group, Inc. 51,198 911 * Atari, Inc. 216,840 911 * Smart & Final Inc. 90,280 910 * Concurrent Computer Corp. 207,549 907 * Molecular Devices Corp. 47,735 906 * Keynote Systems Inc. 76,115 906 Unizan Financial Corp. 44,717 906 * Orbitz, Inc. 39,000 905 First Source Corp. 42,064 905 * Rainbow Technologies, Inc. 80,085 902 S.Y. Bancorp, Inc. 43,781 900 The Buckle, Inc. 40,638 900 Mission West Properties Inc. REIT 69,506 900 * The Dress Barn, Inc. 59,996 899 Coachmen Industries, Inc. 49,576 898 * Pinnacle Entertainment, Inc. 96,247 897 * Salix Pharmaceuticals, Ltd. 39,471 895 * Fisher Communications, Inc. 17,535 894 * Comtech Telecommunications Corp. 30,976 894 Central Vermont Public Service Corp. 38,011 893 * NIC Inc. 111,208 893 * Kensey Nash Corp. 38,368 892 Urstadt Biddle Properties Class A REIT 62,994 891 Dimon Inc. 131,952 891 * Learning Tree International, Inc. 51,157 890 * Incyte Corp. 129,941 889 * Gulfmark Offshore, Inc. 63,455 888 Cascade Natural Gas Corp. 42,115 888 SJW Corp. 9,951 888 NUI Corp. 55,082 888 * MemberWorks, Inc. 32,659 887 Myers Industries, Inc. 73,020 885 * Prime Hospitality Corp. 86,730 885 Goody's Family Clothing 94,306 883 Interpool, Inc. 57,873 883 * Mobius Management Systems, Inc. 69,672 881 Kaman Corp. Class A 69,234 881 * Kirkland's, Inc. 49,813 880 * Zix Corp. 101,073 878 * Dyax Corp. 106,842 878 * Edge Petroleum Corp. 86,672 877 * Brush Engineered Materials Inc. 57,250 876 California Water Service Group 31,983 876 * Blount International, Inc. 111,313 876 * Fleetwood Enterprises, Inc. 85,380 876 * Applied Films Corp. 26,523 876 * Netscreen Technologies, Inc. 35,375 876 * Cubist Pharmaceuticals, Inc. 71,982 875 * DHB Industries, Inc. 125,013 875 First Place Financial Corp. 44,806 875 Bank of Granite Corp. 40,128 874 * Terayon Communications Systems, Inc. 194,152 874 * SBS Technologies, Inc. 59,392 874 Vesta Insurance Group, Inc. 226,568 872 * Euronet Worldwide, Inc. 48,321 870 * Digi International, Inc. 90,420 868 Gibraltar Steel 34,454 867 PrivateBancorp, Inc. 19,033 866 * SPSS, Inc. 48,430 866 * Specialty Laboratories, Inc. 51,571 866 MGP Ingredients, Inc. 54,767 863 * Regeneration Technologies, Inc. 78,698 863 * Westell Technologies, Inc. 136,686 862 * Universal Display Corp. 63,032 862 * EMS Technologies, Inc. 41,939 861 * SigmaTel Inc. 34,879 861 TriCo Bancshares 27,260 860 * Herley Industries Inc. 41,556 860 * SafeNet, Inc. 27,930 859 * FPIC Insurance Group, Inc. 34,245 859 Capstead Mortgage Corp. REIT 51,184 859 Libbey, Inc. 30,130 858 Winston Hotels, Inc. REIT 84,097 858 Deb Shops, Inc. 39,870 857 * JAKKS Pacific, Inc. 65,120 857 Partners Trust Financial Group, Inc. 25,195 857 * Seattle Genetics, Inc. 99,669 855 * Magnatek, Inc. 129,650 854 * Superconductor Technologies Inc. 153,112 854 Frisch's Restaurants, Inc. 29,650 854 * Orthodontic Centers of America, Inc. 106,028 854 * Carrier Access Corp. 68,087 852 * Argonaut Group, Inc. 54,784 851 American Woodmark Corp. 15,454 851 * MeriStar Hospitality Corp. REIT 130,676 851 * Callon Petroleum Co. 82,019 851 * ShopKo Stores, Inc. 55,769 850 * IXYS Corp. 90,699 848 * KFX, Inc. 112,218 847 34 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Fidelity Bankshares, Inc. 26,884 $ 844 Yardville National Bancorp 32,772 844 * LCA-Vision Inc. 39,836 843 * MTR Gaming Group Inc. 81,781 842 * Drugstore.com, Inc. 152,874 842 * Stein Mart, Inc. 102,077 841 * Chattem, Inc. 46,937 840 Met-Pro Corp. 52,001 840 * ADE Corp. 45,230 838 * Identix, Inc. 187,964 836 * Interface, Inc. 151,215 836 Seacoast Banking Corp. of Florida 48,150 836 Stewart & Stevenson Services, Inc. 59,396 835 * Therma-Wave Inc. 141,413 834 * Tyler Technologies, Inc. 86,573 834 * Rofin-Sinar Technologies Inc. 24,105 833 Skyline Corp. 23,868 832 * MTC Technologies, Inc. 25,819 832 * MIPS Technologies, Inc. 151,966 827 Penn Engineering & Manufacturing Corp. 43,373 825 * Input/Output, Inc. 182,756 824 * Presstek, Inc. 113,177 823 * Harris Interactive Inc. 99,100 823 * Lionbridge Technologies, Inc. 85,526 822 Pennfed Financial Services, Inc. 24,510 821 * Cellstar Corp. 64,956 820 Waste Industries USA, Inc. 71,315 820 Capitol Bancorp Ltd. 28,813 818 * Parker Drilling Co. 320,856 818 Flexsteel Industry 36,219 815 BHA Group Holdings Inc. 32,324 813 * Tollgrade Communications, Inc. 46,372 813 Lufkin Industries 28,221 812 * Gardner Denver Inc. 34,032 812 * PICO Holdings, Inc. 51,554 808 * Aspect Medical Systems, Inc. 70,780 808 * ImmunoGen, Inc. 159,833 807 Hancock Fabrics, Inc. 55,714 807 National Presto Industries, Inc. 22,290 806 * Indevus Pharmaceuticals, Inc. 136,687 805 * Heidrick & Struggles International, Inc. 36,918 805 * Symmetricom Inc. 110,496 804 * Barrett Business Services, Inc. 61,904 804 CCBT Financial Cos. Inc. 22,981 803 * Embarcadero Technologies, Inc. 50,346 803 * Rent-Way, Inc. 97,961 802 * Capital Corp. of the West 20,233 802 * Coinstar, Inc. 44,388 802 * Wiser Oil Co. 94,739 801 * NVE Corp. 15,593 800 * Wild Oats Markets Inc. 61,852 800 * Steven Madden, Ltd. 39,134 798 Medallion Financial Corp. 84,072 798 * Excel Technology, Inc. 24,271 798 * Peet's Coffee & Tea Inc. 45,754 797 * Standard Microsystem Corp. 31,472 796 * NCI Building Systems, Inc. 33,313 796 * Collins & Aikman Corp. 183,521 795 * US Physical Therapy, Inc. 50,511 795 * MatrixOne, Inc. 128,760 793 CT Communications, Inc. 58,718 793 * NETGEAR, Inc. 49,544 792 * Computer Network Technology Corp. 83,025 792 * Ashford Hospitality Trust 84,337 792 * Guilford Pharmaceuticals, Inc. 116,445 789 RPC Inc. 71,828 789 * PetroQuest Energy, Inc. 252,896 789 Haverty Furniture Cos., Inc. 39,725 789 Inter Parfums, Inc. 34,904 788 * Intermagnetics General Corp. 35,574 788 * Audiovox Corp. 61,249 786 * Water Pik Technologies, Inc. 63,983 785 * Diodes Inc. 41,239 784 * Autobytel Inc. 86,253 783 * Ventiv Health, Inc. 85,584 783 * Pegasus Solutions Inc. 74,783 783 * Stifel Financial Corp. 40,111 782 * Pharmacopeia, Inc. 54,978 781 Columbia Bancorp 24,444 781 * Aftermarket Technology Corp. 56,743 779 * Duane Reade Inc. 45,842 776 * Trident Microsystems, Inc. 44,413 774 * Retail Ventures, Inc. 162,812 773 Klamath First Bancorp 29,117 773 * Discovery Laboratories, Inc. 73,650 773 * SOURCECORP, Inc. 30,112 772 * Perry Ellis International Corp. 29,834 769 * NetRatings, Inc. 67,287 769 HEICO Corp. 42,193 768 Hooper Holmes, Inc. 124,223 768 News Corp. Ltd. Pfd. ADR 25,317 766 * GSI Commerce, Inc. 78,496 766 * Netopia, Inc. 52,551 766 * HealthExtras, Inc. 57,138 766 * Maxim Pharmaceuticals, Inc. 86,017 766 * Palm Harbor Homes, Inc. 42,765 764 * AmericanWest Bancorporation 33,515 764 35 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Champion Enterprises, Inc. 109,159 $ 764 Merchants Bancshares, Inc. 24,977 763 * Penwest Pharmaceuticals Co. 44,156 763 * NS Group Inc. 78,639 763 * P.A.M. Transportation Services, Inc. 35,700 761 * Entrust, Inc. 186,261 760 Kramont Realty Trust REIT 41,965 760 * OraSure Technologies, Inc. 95,366 759 * Captaris Inc. 134,834 758 BostonFed Bancorp, Inc. 21,710 758 * OPNET Technologies, Inc. 45,968 757 Netsmart Technologies, Inc. 49,134 754 * Omnicell, Inc. 46,552 754 * Applied Molecular Evolution, Inc. 42,334 754 * Young Broadcasting Inc. 37,601 754 * 1-800 CONTACTS, Inc. 35,882 754 * Psychiatric Solutions, Inc. 36,018 753 * Gundle/SLT Environmental, Inc. 36,254 753 * Rocky Shoes & Boots, Inc. 33,500 750 * infoUSA Inc. 100,828 748 * Instinet Group Inc. 145,199 748 * Rentrak Corp. 76,832 748 * Bluegreen Corp. 119,779 747 * Allied Healthcare International Inc. 119,709 747 * Coldwater Creek Inc. 67,874 747 Abington Bancorp Inc. 19,339 746 HEICO Corp. Class A 52,975 746 Milacron Inc. 178,269 743 HMN Financial, Inc. 30,596 743 World Wrestling Entertainment, Inc. 56,510 740 Blair Corp. 30,393 740 Pacific Crest Capital Inc. 28,539 738 * ThermoGenesis Corp. 142,257 737 * America Service Group Inc. 23,810 736 * InFocus Corp. 76,020 736 * Syntroleum Corp. 169,990 734 * Cable Design Technologies Corp. 81,662 734 * Orleans Homebuilders, Inc. 25,906 734 Presidential Life Corp. 55,762 734 * Regent Communications, Inc. 115,506 733 Southwest Water Co. 45,544 731 * Martha Stewart Living Omnimedia, Inc. 74,207 731 * PC-Tel, Inc. 68,793 730 * Navigant International, Inc. 52,671 729 CPI Corp. 36,065 729 * Cache, Inc. 34,958 728 * A.C. Moore Arts & Crafts, Inc. 37,684 726 Intermet Corp. 133,591 725 * Wackenhut Corrections Corp. 31,788 725 Calgon Carbon Corp. 116,567 724 * Pinnacle Airlines Corp. 52,000 722 United Fire & Casualty Co. 17,888 722 * Candela Corp. 39,696 722 * Radiant Systems, Inc. 85,763 721 * Blue Rhino Corp. 51,925 721 Integral Systems, Inc. 33,483 721 * First Horizon Pharmaceutical Corp. 64,239 719 * RC2 Corp. 34,566 717 * SeaChange International, Inc. 46,538 717 Peoples Holding Co. 21,714 717 * International Multifoods Corp. 39,782 716 * Verso Technologies, Inc. 223,514 715 * Metris Cos., Inc. 161,079 715 BRT Realty Trust REIT 24,763 714 * Astec Industries, Inc. 58,131 713 * ATP Oil & Gas Corp. 113,574 713 * Merix Corp. 29,065 713 * IMCO Recycling, Inc. 72,076 713 * Medical Staffing Network Holdings, Inc. 65,089 713 * Oplink Communications, Inc. 298,038 712 Cherokee Inc. 31,285 711 EnergySouth, Inc. 20,269 709 * August Technology Corp. 38,236 709 * Luminex Corp. 75,615 709 * Dril-Quip, Inc. 43,492 709 D&K Healthcare Resources, Inc. 52,177 708 * The Great Atlantic & Pacific Tea Co., Inc. 84,208 707 Acadia Realty Trust REIT 56,567 707 Angelica Corp. 32,119 707 Provident Bancorp, Inc. 15,026 706 * Matria Healthcare, Inc. 33,413 706 Action Performance Cos., Inc. 35,974 705 * Pegasus Communications Corp. 25,086 704 Oshkosh B' Gosh, Inc. Class A 32,736 703 * Charles River Associates Inc. 21,872 700 * Vans, Inc. 61,291 699 * Q-Med, Inc. 62,085 698 * Actuate Software Corp. 224,393 698 * Pericom Semiconductor Corp. 65,405 697 Redwood Empire Bancorp 26,213 697 * RadiSys Corp. 41,310 696 Ampco-Pittsburgh Corp. 50,922 696 * DiamondCluster International, Inc. 68,241 696 * Gentiva Health Services, Inc. 55,063 696 Newmil Bancorp, Inc. 23,900 694 State Financial Services Corp. Class A 26,118 694 36 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Bassett Furniture Industries, Inc. 41,939 $ 692 Tennant Co. 15,948 691 American Software, Inc. Class A 96,451 690 * Concur Technologies, Inc. 71,316 690 Journal Communications, Inc. 37,247 690 * Isis Pharmaceuticals, Inc. 106,040 689 Badger Meter, Inc. 18,036 688 Old Second Bancorp, Inc. 13,891 688 Iomega Corp. 114,900 687 * Carreker Corp. 48,982 686 Cross Timbers Royalty Trust 24,015 685 * Mechanical Technology Inc. 125,209 685 PVF Capital Corp. 42,466 684 * Tarragon Realty Investors Inc. REIT 41,385 683 * Navarre Corp. 112,338 683 * FindWhat.com 36,395 682 Summit Bancshares, Inc. 24,491 682 * Maxxam Inc. 35,960 681 Midland Co. 28,840 681 * A.M. Castle & Co. 93,291 681 * PalmSource, Inc. 31,230 681 MTS Systems Corp. 35,334 679 * Source Interlink Companies, Inc. 63,947 679 * iGATE Corp. 86,496 679 * CKE Restaurants Inc. 106,256 679 Curtiss-Wright Corp. Class B 15,116 679 * Planar Systems, Inc. 27,903 679 * Rimage Corp. 42,824 678 * New Focus, Inc. 134,891 677 * CuraGen Corp. 92,363 677 * Digital Theater Systems Inc. 27,416 677 * FalconStor Software, Inc. 77,209 675 * Ultralife Batteries, Inc. 54,497 675 Donegal Group Inc. 34,873 671 * Petrocorp, Inc. 49,858 671 Coastal Bancorp, Inc. 16,321 671 * Equinix, Inc. 23,734 669 * Bradley Pharmaceuticals, Inc. 26,319 669 Financial Institutions, Inc. 23,704 669 * Buckeye Technology, Inc. 66,250 666 Horizon Financial Corp. 38,004 665 * Hifn, Inc. 55,913 665 * North Coast Energy Inc. 62,188 665 Boykin Lodging Co. REIT 72,589 664 * Dave & Busters, Inc. 52,370 664 * EPIQ Systems, Inc. 38,720 663 * Nexstar Broadcasting Group, Inc. 48,376 663 BWC Financial Corp. 27,964 662 * RehabCare Group, Inc. 31,112 661 * Bruker BioSciences Corp. 144,988 660 Todd Shipyards Corp. 37,142 660 * Hanger Orthopedic Group, Inc. 42,252 658 Young Innovations, Inc. 18,254 657 * Stoneridge, Inc. 43,637 657 * ActivCard Corp. 83,270 656 * Bombay Co. 80,593 656 * Beasley Broadcast Group, Inc. 39,913 656 Crawford & Co. Class B 92,863 656 * Maxygen Inc. 61,655 655 * E-LOAN, Inc. 219,866 655 * Applica Inc. 86,196 655 Nara Bancorp, Inc. 23,985 655 * VitalWorks Inc. 148,108 655 * Inverness Medical Innovations, Inc. 29,972 653 * Cell Therapeutics, Inc. 74,982 652 Second Bancorp, Inc. 24,688 652 * LifeCell Corp. 104,919 652 * AAON, Inc. 33,533 651 Humphrey Hospitality Trust, Inc. REIT 141,108 651 UNITILI Corp. 25,195 650 TF Financial Corp. 19,134 650 * Garden Fresh Restaurant Corp. 40,452 650 Advanced Marketing Services 56,978 650 * PRG-Schultz International, Inc. 132,195 648 * Orthologic Corp. 105,665 648 * eCollege.com Inc. 35,042 647 * Olympic Steel, Inc. 78,732 647 E-Z-EM, Inc. 49,929 647 * The First Marblehead Corp. 29,506 646 * Horizon Organic Holding Corp. 26,947 645 * Westmoreland Coal Co. 36,877 645 First Albany Companies Inc. 45,930 645 Heritage Financial Corp. 29,471 645 * Steinway Musical Instruments Inc. 26,072 644 * Portal Software, Inc. 95,207 641 CFS Bancorp, Inc. 43,044 639 Cascade Corp. 28,626 638 * Medical Action Industries Inc. 34,058 637 Equity Inns, Inc. REIT 70,386 637 * VaxGen, Inc. 80,359 636 Hanmi Financial Corp. 32,166 636 * Sirva Inc. 32,542 636 * Ceradyne, Inc. 18,656 635 * Gerber Scientific, Inc. 79,754 635 * NYFIX, Inc. 79,743 634 * Galyan's Trading Co. 52,631 634 * Datastream Systems, Inc. 80,614 633 * Delta Petroleum Corp. 104,240 633 37 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- First of Long Island Corp. 14,689 $ 632 * Synaptics Inc. 42,105 631 * Genesco, Inc. 41,684 631 * Playboy Enterprises, Inc. Class B 39,022 631 * Clark, Inc. 32,738 630 * Alexion Pharmaceuticals, Inc. 37,007 630 Greater Delaware Valley Savings Bank 22,474 629 Chesapeake Utilities Corp. 24,111 628 Associated Estates Realty Corp. REIT 85,922 628 * Florida Banks, Inc. 44,788 627 * Savient Pharmaceuticals Inc. 136,013 627 Ambassadors International, Inc. 50,101 626 Scope Industries 8,400 626 U.S. Restaurant Properties, Inc. REIT 36,722 626 * PC Connection, Inc. 74,697 625 * Chalone Wine Group Ltd. 71,034 625 Community Banks, Inc. 15,865 624 Interchange Financial Services Corp. 24,633 623 * Orchid Biosciences, Inc. 336,734 623 Sanders Morris Harris Group Inc. 50,134 622 * Criimi Mae, Inc. REIT 59,567 621 * Alderwoods Group, Inc. 65,866 620 * SCS Transportation, Inc. 35,246 620 North Valley Bancorp 40,600 620 * Triton PCS, Inc. 110,964 619 * Advanced Magnetics, Inc. 47,607 619 * MAIR Holdings, Inc. 84,995 619 American Land Lease, Inc. REIT 31,014 619 * Nuvelo, Inc. 177,936 617 * I-STAT Corp. 40,324 617 * Interpore International 47,333 615 Parkvale Financial Corp. 22,911 615 * Tweeter Home Entertainment Group, Inc. 65,071 615 * OneSource Information Services, Inc. 65,211 614 Tompkins Trustco, Inc. 13,333 614 * Republic First Bancorp, Inc. 50,263 611 * Perini Corp. 66,721 610 * A.T. Cross Co. Class A 91,426 610 * IMPAC Medical Systems, Inc. 23,806 608 Semco Energy Inc. 124,171 608 * GameStop Corp. 39,437 608 * FTD, Inc. 24,580 606 * Tripath Technology Inc. 87,772 606 * PRAECIS Pharmaceuticals Inc. 93,915 605 * BioCryst Pharmaceuticals, Inc. 88,653 605 * Zoltek Cos., Inc. 119,374 604 * Horizon Offshore, Inc. 137,240 604 * ARIAD Pharmaceuticals, Inc. 80,917 603 CityBank Lynnwood WA 18,509 602 * Liquidmetal Technologies Inc. 211,737 601 * Lexicon Genetics Inc. 102,075 601 * Royale Energy, Inc. 48,952 601 * NMS Communications Corp. 96,224 600 * Quidel Corp. 55,465 600 MutualFirst Financial Inc. 23,668 600 Maritrans Inc. 35,884 600 * Fargo Electronics 47,109 599 * Collagenex Pharmaceuticals, Inc. 53,388 598 * Covansys Corp. 54,384 598 Lithia Motors, Inc. 23,718 598 * Virginia Commerce Bancorp, Inc. 18,646 597 * Kforce Inc. 63,882 597 First Busey Corp. 22,085 596 Quaker Fabric Corp. 62,755 596 * KVH Industries, Inc. 21,697 596 * The SCO Group, Inc. 35,017 595 * EPIX Medical, Inc. 36,535 595 * Bell Microproducts Inc. 65,625 595 * PDF Solutions, Inc. 39,842 594 * Department 56 Inc. 45,113 591 * Taser International Inc. 7,169 591 CSS Industries, Inc. 19,029 590 * Insurance Auto Auctions, Inc. 45,176 590 * Myriad Genetics, Inc. 45,682 587 * The Exploration Co. of Delaware, Inc. 96,254 587 * Progenics Pharmaceuticals, Inc. 31,099 587 * The Sportsman's Guide Inc. 34,182 586 * Universal Technical Institute Inc. 19,500 585 LSB Bancshares, Inc. 33,577 584 * Central Coast Bancorp 32,166 583 * American Science & Engineering, Inc. 48,374 583 Deltic Timber Corp. 19,174 583 ABC Bancorp 36,479 583 * Theragenics Corp. 106,418 582 Raven Industries, Inc. 19,705 581 * Ceres Group, Inc. 99,498 581 * Corixa Corp. 95,718 578 Troy Financial Corp. 16,504 578 Ohio Valley Banc Corp. 21,725 577 * Benihana Inc. Class A 44,822 576 SpectraLink Corp. 30,041 576 * The Wet Seal, Inc. Class A 58,197 576 * Aether Systems, Inc. 120,997 575 * Buca, Inc. 84,354 574 38 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Neurobiological Technologies, Inc. 98,521 $ 574 * Embrex, Inc. 41,742 574 * Docucorp International, Inc. 56,387 572 Maine & Maritimes Corp. 16,300 571 * Image Entertainment, Inc. 138,088 570 * Dendreon Corp. 70,691 570 * MarketWatch.com, Inc. 66,164 570 * Drexler Technology Corp. 41,661 570 * Cole National Corp. Class A 28,421 568 * Zomax Inc. 113,743 568 * SM&A Corp. 48,448 567 * Salton, Inc. 43,411 567 Maxcor Financial Group Inc. 43,767 566 Dover Motorsports, Inc. 161,773 566 * Stellent Inc. 57,483 566 * Double Eagle Petroleum Co. 37,606 565 * Acmat Corp. Class A 45,773 564 * Research Frontiers, Inc. 60,659 564 * Meta Group, Inc. 89,375 563 * SONUS Pharmaceuticals, Inc. 110,647 562 * Loudeye Corp. 288,054 562 Tecumseh Products Co. Class B 11,900 562 * FARO Technologies, Inc. 22,476 561 * Terra Industries, Inc. 169,566 561 Saucony Inc. 32,339 560 * Columbia Laboratories Inc. 88,860 560 * Illumina, Inc. 79,369 560 * Hampshire Group, Ltd. 17,834 559 * Interlink Electronics Inc. 79,650 559 * MSC.Software Corp. 59,084 558 Penford Corp. 40,603 557 Green Mountain Power Corp. 23,564 556 * Monolithic System Technology, Inc. 64,961 555 * ePlus Inc. 44,979 555 * Neose Technologies, Inc. 60,279 555 * Visual Networks, Inc. 247,044 553 * Nu Horizons Electronics Corp. 56,396 553 * Zygo Corp. 33,413 551 * Oxigene, Inc. 68,004 549 * Toreador Resources Corp. 118,100 549 * Checkers Drive-In Restaurants, Inc. 52,744 549 SS&C Technologies, Inc. 19,637 549 * Chordiant Software, Inc. 100,707 549 * Celadon Group Inc. 38,645 549 * Electroglas, Inc. 150,320 549 * Cholestech Corp. 71,905 549 Spartan Motors, Inc. 54,305 548 * ChromaVision Medical Systems, Inc. 171,867 548 * MRO Software Inc. 40,717 548 * Possis Medical Inc. 27,736 548 * Sipex Corp. 71,038 548 * Valence Technology Inc. 142,233 548 * Orphan Medical, Inc. 53,348 547 * Casual Male Retail Group, Inc. 78,749 547 * Nastech Pharmaceutical Co., Inc. 56,923 546 * Lawson Software Inc. 66,398 546 Seaboard Corp. 1,937 546 * Alliance Semiconductor Corp. 76,813 546 * RF Monolithics, Inc. 55,538 546 * Midas Inc. 38,162 546 First Oak Brook Bancshares, Inc. 18,184 546 * LoJack Corp. 67,698 546 * Concord Camera Corp. 58,929 545 NASB Financial Inc. 12,988 544 * The Greenbrier Cos., Inc. 32,431 543 Movado Group, Inc. 19,239 543 MOCON, Inc. 66,962 542 * LKQ Corp. 30,210 542 * Universal Electronics, Inc. 42,547 542 Astro-Med, Inc. 41,850 542 * Pemstar Inc. 164,541 541 Nature's Sunshine Inc. 63,634 538 Mystic Financial, Inc. 17,955 537 * Comfort Systems USA, Inc. 98,049 537 * Hologic, Inc. 31,003 537 Triarc Cos., Inc. Class A 45,356 536 * iPass Inc. 33,406 535 * The TriZetto Group, Inc. 83,014 535 Safety Insurance Group, Inc. 31,240 535 * Luby's, Inc. 144,665 534 * Bone Care International, Inc. 41,838 533 * Highland Hospitality Corp. 48,600 530 * Evolving Systems, Inc. 39,785 529 * Mediware Information Systems, Inc. 33,090 528 Anchor Glass Container Corp. 33,006 528 * APAC Teleservices, Inc. 203,061 528 * MedAmicus, Inc. 40,125 528 * Sonic Solutions, Inc. 34,439 527 * FreeMarkets, Inc. 78,629 526 * Switchboard Inc. 75,861 524 Chester Valley Bancorp 22,625 524 Standard Commercial Tobacco Co. 26,090 524 * Centra Software, Inc. 132,312 523 * Sigma Designs, Inc. 69,399 523 * Genome Therapeutics Corp. 166,886 522 * WJ Communications, Inc. 101,994 522 * Titanium Metals Corp. 9,929 521 * Marimba, Inc. 94,792 521 39 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Infocrossing, Inc. 43,442 $ 520 * Vivus, Inc. 137,156 520 * Quantum Fuel Systems Technologies Worldwide, Inc. 64,593 519 California National Bancorp 36,297 519 * SITEL Corp. 222,544 519 * Spectrum Control, Inc. 65,131 519 * Cypress Bioscience, Inc. 34,204 518 BNP Residential Properties, Inc. REIT 44,600 518 * Immunomedics Inc. 113,370 517 * American Independence Corp. 43,678 516 * Maxwell Technologies, Inc. 72,627 516 Landmark Bancorp Inc. 18,954 516 FNB Financial Services Corp. 25,826 515 * Silicon Graphics, Inc. 375,793 515 * Enesco Group, Inc. 49,683 513 * Hector Communications Corp. 36,550 512 * Orthovita, Inc. 159,613 512 * Repligen Corp. 117,218 512 * Overstock.com, Inc. 25,729 511 * The Boyds Collection, Ltd. 120,208 511 * Rush Enterprises, Inc. Class A 52,100 510 * Group 1 Software, Inc. 28,934 510 Ryerson Tull, Inc. 44,506 510 * Insmed Inc. 171,514 509 * Pozen Inc. 49,792 508 * Electro Rent Corp. 37,988 507 McGrath Rent Corp. 18,539 505 * Urologix, Inc. 76,527 505 Cavalry Bancorp, Inc. 28,717 505 * Lightbridge, Inc. 55,412 504 * Skechers U.S.A., Inc. 61,871 504 * Zhone Technologies 101,972 504 * OpenTV Corp. 150,346 504 * CyberOptics Corp. 46,591 503 * Lakes Entertainment, Inc. 31,095 502 NN, Inc. 39,873 502 * Net2Phone, Inc. 73,789 502 * Zila, Inc. 122,598 501 * Jos. A. Bank Clothiers, Inc. 14,448 501 * Kana Software, Inc. 148,695 501 * SciClone Pharmaceuticals, Inc. 73,899 501 * Universal Stainless & Alloy Products, Inc. 46,326 500 * Xicor, Inc. 44,107 500 * Hub Group, Inc. 23,205 500 * NATCO Group Inc. 65,819 500 * Quality Systems, Inc. 11,200 499 * Immersion Corp. 83,717 498 * Corillian Corp. 78,930 498 * BE Aerospace, Inc. 92,129 497 * Zoll Medical Corp. 14,011 497 Dover Downs Gaming & Entertainment, Inc. 52,448 496 Republic Bancorp, Inc. Class A 25,251 493 * AXT, Inc. 158,512 493 * North American Scientific, Inc. 46,940 493 Talx Corp. 21,377 492 * White Electronic Designs Corp. 55,887 492 * First Consulting Group, Inc. 87,232 491 * EasyLink Services Corp. 329,065 490 * SoundView Technology Group, Inc. 31,635 490 * Peregrine Pharmaceuticals, Inc. 221,388 489 D&E Communications, Inc. 33,679 489 * LodgeNet Entertainment Corp. 26,725 489 West Coast Bancorp 22,880 488 * Shoe Carnival, Inc. 27,381 487 * Osteotech, Inc. 55,326 487 * Cardinal Financial Corp. 58,779 487 * Glacier Water Services, Inc. 24,400 486 * Laserscope 31,143 486 * Novavax, Inc. 80,712 484 * Pumatech, Inc. 121,553 484 * American Medical Security Group, Inc. 21,567 484 * Cardiac Science, Inc. 121,109 483 American Mortgage Acceptance Co. REIT 29,628 483 * LogicVision, Inc. 107,197 482 * Team, Inc. 46,934 482 * Stamps.com Inc. 77,499 480 * PLX Technology, Inc. 54,233 480 * Radiologix Inc. 141,528 480 * Blue Coat Systems, Inc. 21,485 479 Communications Systems, Inc. 59,841 479 * Carmike Cinemas, Inc. 13,719 478 * Sirenza Microdevices, Inc. 99,588 478 * Spherix Inc. 76,464 478 * FSI International, Inc. 64,739 478 Urstadt Biddle Properties REIT 35,000 476 * Greg Manning Auctions, Inc. 40,220 476 * UQM Technologies, Inc. 156,357 475 * Boston Communications Group, Inc. 51,147 475 * HealthTronics Surgical Services, Inc. 75,988 475 * Encore Medical Corp. 58,163 474 The First Years Inc. 31,728 474 * NCO Portfolio Management, Inc. 57,156 473 Applied Signal Technology, Inc. 20,478 471 40 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) ------------------------------------------------------------------------------- * Rush Enterprises, Inc. Class B 46,581 $ 470 California Independent Bancorp 12,216 470 * American Dental Partners, Inc. 41,417 470 * W.R. Grace & Co. 182,899 470 * Natus Medical Inc. 112,037 469 Nash-Finch Co. 21,010 469 * Rewards Network Inc. 44,008 469 Distributed Energy Systems Corp. 163,993 469 Home Federal Bancorp 16,626 469 * Hi-Tech Pharmacal Co., Inc. 19,920 468 * J. Jill Group, Inc. 36,827 468 Peoples Bancorp, Inc. 15,848 468 Knape & Vogt Manufacturing Co. 39,168 468 * Continental Materials Corp. 17,151 467 * Millennium Cell Inc. 199,673 465 * Ameriserv Financial Inc. 92,691 463 * TechTeam Global, Inc. 66,267 463 * Willis Lease Finance Corp. 62,954 463 PMA Capital Corp. Class A 90,323 462 * Danielson Holdings Corp. 158,686 462 * Answerthink Consulting Group, Inc. 82,988 461 Community Capital Corp. 23,210 460 * Fairchild Corp. 90,953 458 * Celeritek, Inc. 61,735 458 Sypris Solutions, Inc. 27,245 458 Farmers Capital Bank Corp. 13,448 457 Middlesex Water Co. 22,510 457 * Vasomedical, Inc. 406,887 456 * GlycoGenesys, Inc. 303,254 455 Courier Corp. 11,803 454 L.S. Starrett Co. Class A 27,600 454 * Neoforma, Inc. 42,666 454 * GTC Biotherapeutics, Inc. 142,154 453 * Semitool, Inc. 42,256 453 * eMerge Interactive, Inc. 312,137 453 * Energy Conversion Devices, Inc. 50,088 452 Connecticut Water Services, Inc. 16,326 451 * Z-Tel Technologies, Inc. 223,079 451 * Pathmark Stores, Inc. 59,234 450 American Vanguard Corp. 12,064 450 * Res-Care, Inc. 55,373 449 * Management Network Group Inc. 135,633 448 * Bally Total Fitness Holding Corp. 63,936 448 * American Power Technology, Inc. 51,767 447 * Party City Corp. 35,230 447 * Matrix Bancorp, Inc. 48,314 447 * Authentidate Holding Corp. 37,471 446 * SFBC International, Inc. 16,760 445 * Friendly Ice Cream Corp. 46,115 445 * Nanometrics Inc. 30,243 445 * Capital Title Group, Inc. 103,212 445 Bairnco Corp. 73,100 445 Computer Programs and Systems, Inc. 22,100 445 Sturm, Ruger & Co., Inc. 39,099 445 * SimpleTech, Inc. 73,886 444 * Niku Corp. 52,116 443 * Copper Mountain Networks, Inc. 41,110 443 * Nuance Communications Inc. 57,789 442 * Shiloh Industries, Inc. 69,950 441 * Park-Ohio Holdings Corp. 59,448 440 Great Lakes, Inc. REIT 27,996 440 First Bancorp (NC) 13,985 439 * Nashua Corp. 51,621 439 Covest Bankshares, Inc. 15,958 438 * Rita Medical Systems, Inc. 98,260 437 * Primus Knowledge Solutions, Inc. 69,495 437 * Mannatech, Inc. 40,241 437 * Able Laboratories, Inc. 24,184 437 * AVANT Immunotherapeutics, Inc. 159,433 437 * Crossroads Systems, Inc. 156,782 436 * Alloy, Inc. 83,571 435 German American Bancorp 24,847 435 Ingles Markets, Inc. 42,289 434 Sound Federal Bancorp Inc. 27,759 433 North Pittsburgh Systems, Inc. 22,865 432 Timberland Bancorp, Inc. 19,054 432 * WatchGuard Technologies, Inc. 74,153 432 United Guardian, Inc. 54,600 431 * Witness Systems, Inc. 46,055 430 * Rainbow Rentals, Inc. 57,000 429 * Somanetics Corp. 63,493 429 * Compass Minerals International 30,000 428 * Biosource International Inc. 63,232 428 Liberty Homes, Inc. Class A 84,500 428 * Matrix Service Co. 23,550 427 * Rubio's Restaurants, Inc. 71,380 427 * Cellegy Pharmaceuticals, Inc. 137,221 427 * BioSphere Medical Inc. 106,928 427 * America's Car-Mart, Inc. 15,830 426 * Telular Corp. 64,807 424 * Novoste Corp. 88,564 424 * The Immune Response Corp. 280,841 424 * Stratasys, Inc. 15,556 424 Unity Bancorp, Inc. 37,092 424 * The Med-Design Corp. 94,158 424 * Nelnet, Inc. 18,900 423 Arrow Financial Corp. 15,236 423 Fedders Corp. 58,700 423 * The Leather Factory, Inc. 87,200 422 41 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * SteelCloud Inc. 98,128 $ 422 First Indiana Corp. 22,498 422 * Somera Communications, Inc. 263,255 421 * Worldwide Restaurant Concepts Inc. 150,365 421 * Array BioPharma Inc. 73,724 419 * Arotech Corp. 230,367 419 Pennrock Financial Services Corp. 13,481 419 * Famous Dave's of America, Inc. 88,863 419 * Lipid Sciences, Inc. 117,049 418 Central Bancorp, Inc. 11,400 416 * Genaera Corp. 127,229 416 Merchants Group, Inc. 17,450 416 Nobility Homes, Inc. 39,000 415 * Paxson Communications Corp. 107,752 415 * XETA Technologies Inc. 68,519 415 Thomas Nelson, Inc. 21,442 414 * AP Pharma Inc. 168,225 412 * Viisage Technology, Inc. 114,377 412 * Medis Technology Ltd. 38,431 411 * Pharmos Corp. 117,473 411 * Curon Medical Inc. 130,662 411 * Catalytica Energy Systems, Inc. 117,383 411 * USA Truck, Inc. 41,528 411 * Vitria Technology, Inc. 57,820 411 * Vyyo Inc. 48,111 410 X-Rite Inc. 36,253 410 * UbiquiTel Inc. 152,519 410 Quaker City Bancorp, Inc. 8,809 410 * Monterey Pasta Co. 109,914 410 * Mitcham Industries, Inc. 113,700 409 * Xybernaut Corp. 260,539 409 * GRIC Communications, Inc. 75,722 409 Robbins & Myers, Inc. 21,508 408 * Globecomm Systems, Inc. 85,809 408 Schawk, Inc. 29,870 407 * Latitude Communications, Inc. 103,521 407 Oak Hill Financial, Inc. 13,197 407 * Micronetics Inc. 56,357 406 * EnPro Industries, Inc. 29,031 405 * TransTechnology Corp. 60,841 405 * Revlon, Inc. Class A 180,360 404 * Workflow Management, Inc. 69,351 404 * TRC Cos., Inc. 19,151 403 Belmont Bancorp 71,557 401 Quaker Chemical Corp. 13,022 400 * Maxwell Shoe Co. Inc. 23,550 400 * The Smith & Wollensky Restaurant Group, Inc. 62,995 399 Patriot Bank Corp. 13,946 399 * U.S. Home Systems, Inc. 35,939 399 * Chicago Pizza & Brewery, Inc. 26,649 398 One Liberty Properties, Inc. REIT 19,900 397 * Synovis Life Technologies, Inc. 19,486 396 * FiberNet Telecom Group, Inc. 319,473 396 * Clean Harbors Inc. 44,425 396 * Applix, Inc. 111,924 395 Steel Technologies, Inc. 22,332 395 * Kosan Biosciences, Inc. 40,046 395 * Systemax Inc. 59,247 395 * Modtech Holdings, Inc. 46,914 395 * Carrington Labs Inc. 95,546 394 * Digital Impact, Inc. 136,405 393 * Aksys, Ltd. 44,467 393 * Neurogen Corp. 46,629 392 * Plumtree Software, Inc. 83,444 392 * Brookstone, Inc. 18,390 392 LTC Properties, Inc. REIT 26,579 392 * Huttig Building Products, Inc. 130,102 390 * BSQUARE Corp. 272,536 390 * MTI Technology Corp. 165,079 390 * barnesandnoble.com inc 131,938 389 * Natural Alternatives International, Inc. 60,700 389 * Drew Industries, Inc. 13,989 389 PMC Capital, Inc. 69,742 388 Lakeland Financial Corp. 10,982 388 * InterCept, Inc. 34,238 387 * Liberte Investors, Inc. REIT 54,732 386 * Darling International, Inc. 139,939 386 * SIGA Technologies, Inc. 168,654 386 * Rigel Pharmaceuticals, Inc. 20,203 386 * Clarus Corp. 53,463 386 * OSI Systems Inc. 20,056 385 * Glenayre Technologies, Inc. 143,202 385 * Industrial Distribution Group, Inc. 69,200 385 * Allscripts Healthcare Solutions, Inc. 72,205 384 * Bottomline Technologies, Inc. 42,536 383 * COMARCO, Inc. 34,743 382 * Fonar Corp. 331,626 381 * Kendle International Inc. 60,081 381 * NPTest Holding Corp. 34,500 381 * California Micro Devices Corp. 41,615 380 * Tut Systems, Inc. 59,180 380 Capital Trust Class A 16,697 379 * EMCORE Corp. 80,466 379 MFB Corp. 12,400 378 Virco Manufacturing Corp. 59,511 378 * Endologix, Inc. 95,084 377 * Tor Minerals International, Inc. 72,301 377 * Newtek Business Services, Inc. 54,345 377 42 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Peoples BancTrust Co., Inc. 23,550 $ 377 Vulcan International Corp. 8,600 376 * Key Tronic Corp. 167,700 375 Bay View Capital Corp. 174,531 373 Strategic Distribution, Inc. 26,230 373 * Neoware Systems, Inc. 27,197 373 * Omega Protein Corp. 48,253 373 Meridian Bioscience Inc. 35,658 372 * Pain Therapeutics, Inc. 53,426 371 * Ramtron International Corp. 141,548 371 Mainsource Financial Group, Inc. 12,091 371 * Lynx Therapeutics, Inc. 58,192 371 * LCC International, Inc. Class A 69,109 371 * Northfield Laboratories, Inc. 55,985 370 * ONYX Software Corp. 93,910 370 * Torch Offshore, Inc. 70,051 369 * ANADIGICS, Inc. 61,712 368 Packaging Dynamics Corp. 35,745 367 * Interpharm Holdings, Inc. 78,155 367 * V.I. Technologies, Inc. 333,576 367 American Equity Investment Life Holding Co. 36,800 367 * EntreMed, Inc. 109,837 367 * McLeod USA Inc. 247,625 366 * ViroPharma Inc. 131,782 366 Pacific Union Bank 14,348 366 CB Bancshares Inc. (HI) 5,803 365 * Covalent Group, Inc. 143,141 365 * Penn Octane Corp. 152,030 365 * Wilshire Enterprises, Inc. 59,800 365 * Sports Resorts International, Inc. 71,991 364 Monmouth Real Estate Investment Corp. REIT 41,882 364 GA Financial, Inc. 10,475 364 * Ultimate Electronics, Inc. 47,645 364 Capital Bank Corp. 23,514 363 * Digimarc Corp. 27,255 362 * Novatel Wireless, Inc. 60,405 362 * CyberSource Corp. 70,009 361 * QRS Corp. 44,411 361 * Beacon Power Corp. 329,535 359 Rock of Ages Corp. 62,200 359 * Mobility Electronics, Inc. 40,090 358 * Omnova Solutions Inc. 74,615 358 * Bentley Pharmaceuticals, Inc. 26,926 358 * MicroFinancial Inc. 123,455 358 Provident Financial Holdings, Inc. 9,867 358 Sunrise Telecom Inc. 102,237 358 Southwest Bancorp, Inc. 19,987 357 Shore Bancshares, Inc. 9,371 357 * National R. V. Holdings, Inc. 35,870 357 * Jupitermedia Corp. 77,512 357 * Encore Wire Corp. 20,123 356 * U.S. Energy Corp. 119,440 356 FloridaFirst Bancorp, Inc. 10,742 356 * Nobel Learning Communities, Inc. 65,987 355 Peoples Bancorp of North Carolina 18,779 354 * Ducommun, Inc. 15,841 354 * Foodarama Supermarkets, Inc. 13,041 353 * Mail-Well, Inc. 76,497 353 Camden National Corp. 11,603 352 * Network Engines, Inc. 80,759 352 * ABIOMED, Inc. 50,905 352 FLAG Financial Corp. 27,238 351 * Conceptus, Inc. 32,957 350 * Extended Systems Inc. 80,621 350 * VA Software Corp. 89,401 350 First M&F Corp. 9,211 349 Psychemedics Corp. 37,180 348 * BNCCORP, Inc. 19,153 348 * Centillium Communications, Inc. 61,779 348 * Computer Task Group, Inc. 89,201 347 * Trico Marine Services, Inc. 193,764 347 * Petroleum Helicopters, Inc. 12,835 347 Sizeler Property Investors, Inc. REIT 32,354 347 * Data Systems & Software, Inc. 100,950 346 * Docent, Inc. 75,201 346 * Monro Muffler Brake, Inc. 17,286 346 * TransPro Inc. 82,510 346 * The Princeton Review, Inc. 35,394 345 * Arena Pharmaceuticals, Inc. 55,633 345 FNB Corp. (VA) 11,610 345 * Paul-Son Gaming Corp. 59,700 344 * TranSwitch Corp. 149,443 344 Woodhead Industries, Inc. 20,290 343 First State Bancorporation 9,862 343 * Epimmune Inc. 187,039 342 * Serrento Networks Corp. 115,605 342 Arden Group Inc. Class A 4,401 341 Greater Community Bancorp 20,090 341 Royal Bancshares of Pennsylvania, Inc. 13,354 341 * Proxim Corp. Class A 203,496 340 Consolidated-Tomoka Land Co. 10,378 339 * TheStreet.com, Inc. 82,330 339 * Verticalnet, Inc. 287,229 339 * Measurement Specialties, Inc. 16,567 338 * CompuCom Systems, Inc. 64,530 338 * NTN Communications, Inc. 91,222 338 * Dominion Homes, Inc. 11,123 337 * First Cash Financial Services, Inc. 13,157 337 43 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Flanders Corp. 51,242 $ 337 * First Potomac REIT 17,989 337 Delta Apparel, Inc. 18,709 337 * Compex Technologies Inc. 40,270 337 * Franklin Electronic Publishers, Inc. 85,861 337 Citizens First Financial Corp. 13,152 335 * ParkerVision, Inc. 34,241 335 * Zonagen, Inc. 180,675 334 * Caliper Technologies Corp. 50,777 334 Penn-America Group, Inc. 25,120 333 Franklin Financial Corp. 10,839 333 * CYTOGEN Corp. 30,593 333 * Merisel, Inc. 56,315 333 * I-Flow Corp. 23,918 333 * Charles & Colvard Ltd. 80,426 332 Guaranty Federal Bancshares, Inc. 17,225 332 * Saba Software, Inc. 96,091 332 * Playboy Enterprises Inc. Class A 22,850 331 * Verisity Ltd. 25,893 330 * E. Gottschalk & Co., Inc. 93,600 329 * Digital Generation Systems 146,925 329 * Graphic Packaging Corp. 81,054 329 * Alliance Imaging, Inc. 88,671 328 Traffix, Inc. 60,112 328 Ennis Business Forms, Inc. 21,406 328 * Midway Games Inc. 84,086 326 Craftmade International, Inc. 12,431 326 * LECG Corp. 14,202 325 Lowrance Electronics, Inc. 15,870 325 Union Community Bancorp 18,300 323 United Mobile Homes, Inc. REIT 19,006 323 * Rainier Pacific Financial Group Inc. 20,300 323 Boston Acoustics, Inc. 29,287 322 * Manufacturers' Services Ltd. 53,023 322 * Pharmacyclics, Inc. 43,513 322 CoBiz Inc. 17,462 322 LSI Industries Inc. 23,816 322 * Overland Storage, Inc. 17,071 321 * Del Laboratories, Inc. 12,832 321 * Lydall, Inc. 31,457 321 * Exactech, Inc. 21,666 320 * Books-a-Million Inc. 49,373 319 Oneida Ltd. 54,090 319 First Mutual Bancshares, Inc. 12,996 318 * Sonic Innovations, Inc. 49,363 318 * Standard Management Corp. 94,169 317 * Third Wave Technologies 69,584 317 * Provide Commerce Inc. 20,800 316 Cooperative Bankshares, Inc. 12,296 315 * Ansoft Corp. 24,505 314 * Virage Logic Corp. 30,858 314 * FOCUS Enhancements, Inc. 144,273 313 * Capstone Turbine Corp. 167,622 312 FFLC Bancorp, Inc. 10,784 310 * Dura Automotive Systems, Inc. 24,250 310 * BAM! Entertainment Inc. 257,675 309 * Heritage Commerce Corp. 25,187 309 National Health Realty Inc. REIT 15,661 309 * Emisphere Technologies, Inc. 56,266 308 Alico, Inc. 8,863 308 * MapInfo Corp. 30,538 308 * Hollis-Eden Pharmaceuticals, Inc. 27,862 307 * DOV Pharmaceutical, Inc. 22,768 307 TSR, Inc. 39,780 306 * Segue Software, Inc. 121,987 305 * Infinity, Inc. 77,318 305 * Click2learn, Inc. 145,046 305 * Raindance Communications, Inc. 110,189 303 * Lifeway Foods, Inc. 22,442 303 * PLATO Learning, Inc. 28,652 302 * Prime Medical Services, Inc. 64,338 302 Center Bancorp, Inc. 15,348 302 * Wave Systems Corp. 183,612 301 * NeoRx Corp. 72,372 301 * Supertex, Inc. 15,744 301 * Global ePoint, Inc. 61,304 300 EMC Insurance Group, Inc. 14,189 300 * Inforte Corp. 36,172 300 * Evans & Sutherland Computer Corp. 66,336 299 * Natrol, Inc. 106,900 298 * Hypercom Corp. 62,401 297 * ITXC Corp. 68,756 297 * Sangamo BioSciences, Inc. 53,606 297 Commercial Bankshares, Inc. 8,845 297 Presidential Realty Corp. REIT 40,600 297 * Sequenom, Inc. 93,266 297 Foothill Independent Bancorp 12,534 297 * Bio-logic Systems, Corp. 50,500 296 * InKine Pharmaceutical Co., Inc. 61,376 296 Click Commerce, Inc. 57,813 296 * Aphton Corp. 49,221 295 * Restoration Hardware, Inc. 62,038 295 * Duratek, Inc. 22,530 294 * Covenant Transport, Inc. 15,439 293 FirstBank Corp. 9,667 293 * Alteon, Inc. 186,772 293 * Sanchez Computer Associates, Inc. 70,633 293 * Foster Wheeler Ltd. 284,354 293 * Paradyne Networks, Inc. 85,082 293 Union Bankshares Corp. 9,596 293 44 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- United Industrial Corp. 16,190 $ 292 * Technology Solutions Co. 232,833 291 * Virbac Corp. 44,736 291 * Meade Instruments Corp. 84,234 291 Westfield Financial, Inc. 12,222 290 First United Corp. 11,864 289 * Vastera, Inc. 72,213 289 * Applied Innovation Inc. 42,902 289 Hawkins, Inc. 20,563 287 * Innovex, Inc. 34,013 287 * SSP Solutions, Inc. 204,306 286 * NetScout Systems, Inc. 37,582 286 * Luminent Mortgage Capital, Inc. 20,200 285 Penn Engineering & Manufacturing Corp. Class A 16,600 285 * Option Care, Inc. 26,526 283 * WorldGate Communications, Inc. 262,057 283 * DepoMed, Inc. 39,903 283 Bowl America, Inc. Class A 20,076 283 * SBA Communications Corp. 74,737 283 * Performance Technologies, Inc. 19,796 282 * Selectica, Inc. 65,819 282 * Argonaut Technologies Inc. 160,050 282 Standard Motor Products, Inc. 23,148 281 * Evergreen Solar, Inc. 166,435 281 * Blue Martini Software, Inc. 57,142 280 * Exact Sciences Corp. 27,654 280 Stepan Co. 10,907 280 * Federal Agricultural Mortgage Corp. Class A 12,488 279 * National Healthcare Corp. 13,984 278 * Avigen, Inc. 47,185 277 * Molina Healthcare Inc. 10,993 277 * Consumer Portfolio Services, Inc. 74,520 277 * Layne Christensen Co. 23,568 277 * Dynamics Research Corp. 17,157 277 * Alcide Corp. 18,808 276 * On2 Technologies, Inc. 210,930 276 * Wilsons The Leather Experts Inc. 78,775 275 * Aetrium, Inc. 88,069 275 * Starcraft Corp. 8,444 275 * BroadVision, Inc. 64,339 274 * Merge Technologies, Inc. 15,449 273 * Commerce One, Inc. 213,619 271 Golden Enterprises Inc. 92,800 271 * Integrated Alarm Services Group, Inc. 31,799 270 * LookSmart, Ltd. 174,279 270 * Gene Logic Inc. 51,889 269 Peapack Gladstone Financial Corp. 8,672 269 * Rainmaker Systems, Inc. 191,210 268 * Quality Distribution Inc. 13,666 267 * Strattec Security Corp. 4,385 267 Coastal Financial Corp. 15,140 267 * Corio, Inc. 97,301 267 * America Online Latin America, Inc. 187,627 266 * Genelabs Technologies, Inc. 94,932 266 * Landec Corp. 40,191 266 * Maui Land & Pineapple Co., Inc. 7,677 265 * Convera Corp. 77,838 265 * Active Power, Inc. 90,992 264 * Peerless Systems Corp. 105,245 263 BancTrust Financial Group, Inc. 16,389 263 Thistle Group Holdings, Co. 10,105 262 * Firstwave Technologies, Inc. 49,096 262 Camco Financial Corp. 15,071 261 * Micro Therapeutics, Inc. 80,646 260 Gorman-Rupp Co. 9,866 260 * Allied Motion Technologies, Inc. 66,145 260 * On Assignment, Inc. 49,831 260 * Three-Five Systems, Inc. 49,535 260 * R&B, Inc. 16,697 259 * Delphax Technologies, Inc. 83,700 259 * GMX Resources Inc. 64,400 258 * Bankrate, Inc. 20,785 257 * BindView Development Corp. 68,216 257 * Digital Angel Corp. 54,150 257 * Pac-West Telecom, Inc. 133,457 256 * Pemco Aviation Group, Inc. 7,406 256 ASTA Funding, Inc. 7,447 255 * AXS-One Inc. 134,586 254 * Alaska Communications Systems Holdings, Inc. 53,631 254 * Microtek Medical Holdings, Inc. 50,763 254 Jefferson Bancshares, Inc. 18,400 254 * Beta Oil & Gas, Inc. 128,226 253 * Versant Corp. 161,862 253 * Foamex International, Inc. 50,430 252 * Onyx Acceptance Corp. 21,360 252 * Microvision, Inc. 33,027 252 Citizens South Banking Corp. 18,018 251 * Aclara Biosciences, Inc. 68,850 251 Northern States Financial Corp. 8,688 251 Community Bank of Northern Virginia 13,218 251 * Avici Systems Inc. 31,552 251 * SCM Microsystems, Inc. 32,461 251 UniFirst Corp. 10,564 250 * Modem Media Inc. 30,396 248 * STAAR Surgical Co. 21,980 247 PFS Bancorp, Inc. 12,561 247 45 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Metro One Telecommunications, Inc. 94,800 $ 246 * TippingPoint Technologies Inc. 8,201 246 * Meadowbrook Insurance Group, Inc. 58,131 246 * Aware, Inc. 84,588 246 * Emeritus Corp. 29,430 246 * Seabulk International, Inc. 30,233 245 * La Jolla Pharmaceutical Co. 57,050 245 * MedSource Technologies, Inc. 54,350 245 Eastern Virginia Bankshares, Inc. 8,478 244 * Reading International Inc. Class A 41,195 244 * Deckers Outdoor Corp. 11,815 242 * Marten Transport, Ltd. 15,745 242 ESB Financial Corp. 14,763 242 * Introgen Therapeutics, Inc. 28,503 241 Quixote Corp. 9,873 241 * Eden Bioscience Corp. 167,478 239 * Exponent, Inc. 11,170 239 Harrodsburg First Financial Bancorp, Inc. 10,354 237 * Spectranetics Corp. 62,895 236 * Hemispherx Biopharma, Inc. 104,192 235 Berkshire Hills Bancorp, Inc. 6,484 235 * DigitalThink, Inc. 82,902 233 United Capital Corp. 11,242 233 * Chronimed Inc. 27,456 233 * Register.com, Inc. 44,320 233 * Bush Industries, Inc. 55,432 232 * Large Scale Biology Corp. 125,936 232 * Impco Technologies Inc. 26,562 232 * Perficient, Inc. 103,056 231 * Durect Corp. 89,171 230 * CryoLife Inc. 39,781 230 * Sirna Therapeutics, Inc. 44,188 230 * SAVVIS Communications Corp. 153,347 229 * Art Technology Group, Inc. 149,717 229 FNB Corp./North Carolina 10,758 228 * NetManage, Inc. 43,021 227 * Immtech International, Inc. 20,463 226 * Syms Corp. 32,470 224 * Raytech Corp. 67,141 223 * Genus, Inc. 37,111 223 CNB Florida Bancshares, Inc. 9,640 222 * Titan Pharmaceuticals, Inc. 75,844 221 * InterVideo Inc. 18,766 221 * RMH Teleservices, Inc. 42,277 218 * MetaSolv, Inc. 89,731 218 * Terremark Worldwide, Inc. 340,692 218 * California Amplifier, Inc. 15,469 218 Bryn Mawr Bank Corp. 8,887 218 * Franklin Covey Co. 77,706 218 First Federal Financial Corp. of Kentucky 8,619 217 * Falcon Financial Investment Trust REIT 22,100 217 * En Pointe Technologies, Inc. 73,361 216 * IntraBiotics Pharmaceuticals, Inc. 13,422 216 * NASSDA Corp. 29,728 216 * Powell Industries, Inc. 11,245 215 * Insignia Systems, Inc. 81,741 214 * Hudson Highland Group, Inc. 8,969 214 Shenandoah Telecommunications Co. 4,155 213 Building Materials Holding Corp. 13,578 211 * Pervasive Software Inc. 29,057 211 * iVillage Inc. 58,681 210 State Bancorp, Inc. 8,647 210 * Gulf Island Fabrication, Inc. 12,316 210 * Cortex Pharmaceuticals, Inc. 80,283 209 * LivePerson, Inc. 41,074 209 Westwood Holdings Group, Inc. 11,726 209 * Harken Energy Corp. 178,041 208 * Prime Group Realty Trust REIT 33,184 208 * Iridex Corp. 38,174 208 * U.S. Xpress Enterprises, Inc. 16,909 207 * Phoenix Technologies Ltd. 25,597 207 * Vical, Inc. 41,686 205 * Innovative Solutions and Support, Inc. 12,599 205 * Astronics Corp. 40,492 202 Commercial National Financial Corp. 7,723 202 The Washington Savings Bank 21,800 202 Summit Financial Corp. 11,130 200 * Synplicity, Inc. 25,506 200 * Pinnacor Inc. 85,494 199 * American Physicians Capital, Inc. 10,792 199 Citizens 1st Bancorp, Inc. 8,679 198 * Ceva, Inc. 18,943 197 * Ciprico Inc. 40,800 196 Willow Grove Bancorp, Inc. 11,045 196 Stanley Furniture Co., Inc. 6,224 196 * Wyndham International, Inc. Class A 292,312 196 Wainwright Bank & Trust Co. 13,610 194 * Cerus Corp. 42,768 194 * Curative Health Services, Inc. 14,017 193 * The Ultimate Software Group, Inc. 21,943 192 * Brillian Corp. 22,653 191 * Hollywood Media Corp. 71,457 190 * Wheeling-Pittsburgh Corp. 7,775 190 * Cornell Companies, Inc. 13,806 188 46 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * LeCroy Corp. 10,419 $ 188 * Curis, Inc. 41,689 188 * PriceSmart, Inc. 29,749 186 * Lesco, Inc. 14,276 185 * Optika Inc. 40,710 185 Exchange National Bancshares, Inc. 5,119 185 * MedCath Corp. 17,547 184 Massbank Corp. 4,273 182 CNS, Inc. 13,263 182 First Midwest Financial, Inc. 8,153 181 * SAFLINK Corp. 67,451 181 * Axonyx Inc. 37,140 181 Pomeroy IT Solutions, Inc. 12,270 181 * Neogen Corp. 7,256 180 * PW Eagle, Inc. 40,600 179 Ohio Art Co. 14,800 178 * Novadigm, Inc. 45,952 178 * Internet Capital Group, Inc. 516,199 178 * Roxio, Inc. 37,164 178 * Medtox Scientific, Inc. 29,812 177 * Dynacq Healthcare, Inc 22,987 177 * Boston Beer Co., Inc. Class A 9,732 177 * ShoLodge, Inc. 39,343 176 * Emerson Radio Corp. 46,437 175 * Catapult Communications Corp. 12,038 175 * Critical Path, Inc. 131,064 174 * VASCO Data Security International, Inc. 74,379 174 * Computer Horizons Corp. 44,205 174 * 24/7 Real Media, Inc. 129,462 173 Andersons, Inc. 10,852 173 * Zones, Inc. 101,825 173 Security Bank Corp. 5,495 173 * Intraware, Inc. 83,451 173 Resource Bankshares Corp. 5,468 172 * Braun Consulting, Inc. 57,866 171 Berkshire Bancorp Inc. 3,411 171 Pamrapo Bancorp, Inc. 6,726 171 * Intevac, Inc. 11,999 169 * Biopure Corp. 70,799 169 Friedman's, Inc. Class A 24,997 168 Independence Holding Co. 7,006 168 Agree Realty Corp. REIT 5,921 167 * Qualstar Corp. 34,789 167 * NaviSite, Inc. 25,065 165 * Gaiam, Inc. 27,492 164 * Mod-Pac Corp. 20,246 162 * Katy Industries, Inc. 28,122 161 * U.S. Concrete, Inc. 24,858 160 * Interstate Hotels & Resorts, Inc. 29,939 160 * Allied Holdings, Inc. 33,500 160 Warwick Community Bancorp, Inc. 4,645 160 * Star Scientific, Inc. 86,579 159 * SPEEDUS Corp. 110,500 154 * GenVec, Inc. 46,527 154 * Applied Digital Solutions, Inc. 323,142 152 Lifetime Hoan Corp. 8,981 152 * Superior Consultant Holdings Corp. 36,750 152 * Competitive Technologies, Inc. 60,564 151 * Peoples Community Bancorp 6,700 151 * Gadzooks, Inc. 97,160 151 * Tier Technologies, Inc. 18,354 150 * CardioTech International, Inc. 27,654 149 * Central Freight Lines, Inc. 8,400 149 * IDT Corp. 6,718 149 * VIA NET.WORKS, Inc. 86,888 149 * Global Power Equipment Group Inc. 22,115 148 American National Bankshares Inc. 5,559 147 * Cedar Shopping Centers, Inc. 11,700 145 * Intelli-Check Inc. 18,298 145 * Medialink Worldwide, Inc. 45,030 144 * MPW Industrial Services Group, Inc. 63,200 144 * Midwest Air Group Inc. 34,088 144 * Seneca Foods Corp. 6,603 142 * National Medical Health Card Systems, Inc. 7,856 139 First Defiance Financial Corp. 5,212 139 * First Virtual Communications, Inc. 62,641 138 * Matrixx Initiatives, Inc. 7,758 138 Outlook Group Corp. 27,300 137 * Summit America Television Inc. 34,909 137 * Brooktrout Technology, Inc. 10,805 136 * ACE Corp. 54,565 135 Nitches Inc. 33,141 134 * Cosine Communications, Inc. 18,112 134 * MIM Corp. 18,813 132 * ICT Group, Inc. 11,158 131 Weyco Group, Inc. 3,840 129 * Applied Extrusion Technologies, Inc. 48,600 129 * Mestek, Inc. 6,636 128 * Allos Therapeutics Inc. 35,453 127 * Correctional Services Corp. 47,300 127 * Questcor Pharmaceuticals, Inc. 171,500 127 * Horizon Medical Products, Inc. 87,300 127 * Palatin Technologies, Inc. 50,374 126 * SI International Inc. 6,414 125 * JLM Industries, Inc. 91,500 124 * RCN Corp. 155,302 124 * Optical Cable Corp. 17,452 124 47 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * ACT Teleconferencing, Inc. 114,200 $ 123 * Acclaim Entertainment Inc. 188,102 122 * Whitehall Jewellers, Inc. 12,386 122 * Bioanalytical Systems, Inc. 32,481 122 * AVI BioPharma, Inc. 29,895 122 * Catalyst Semiconductor, Inc. 17,102 121 * Medifast, Inc. 8,509 120 * Green Mountain Coffee Roasters, Inc. 5,208 120 * Interland, Inc. 18,280 119 * QuickLogic Corp. 24,016 119 * National Research Corp. 7,281 118 * 8X8 Inc 26,186 117 Warwick Valley Telephone Co. 3,919 116 * Mothers Work, Inc. 4,736 116 * Endocardial Solutions, Inc. 16,044 116 * SRS Labs, Inc 12,380 116 * Quovadx, Inc. 23,510 115 * Innovo Group Inc. 35,869 114 * Ista Pharmaceuticals Inc. 12,278 114 Hickory Tech Corp. 9,863 113 * Texas Capital Bancshares, Inc. 7,800 113 * Intelidata Technologies Corp. 68,107 112 * Myogen, Inc. 7,800 112 * Gallery of History, Inc. 25,900 110 * The Allied Defense Group, Inc. 4,603 110 * Amedisys Inc 7,302 110 * E Com Ventures, Inc. 7,224 109 Bon-Ton Stores, Inc. 9,845 109 * eLoyalty Corp. 29,818 109 * American Access Technologies Inc. 80,800 108 Mesa Laboratories, Inc. 10,838 108 * IGI, Inc. 68,500 108 * Hungarian Telephone and Cable Corp. 10,810 107 * BioTime, Inc. 76,700 106 * Hartmarx Corp. 25,261 105 * Virologic, Inc. 27,850 105 * REX Stores Corp. 7,391 105 Cascade Financial Corp. 5,347 104 * Five Star Quality Care, Inc. 23,337 103 * Mayor's Jeweler's, Inc. 138,600 103 * Acusphere, Inc. 11,567 102 Financial Industries Corp. 7,192 101 * Icad Inc. 19,084 101 * Ibis Technology Corp. 8,944 101 * Delta Financial Corp. 13,812 99 * Stratos International Inc. 14,531 99 * Indus International, Inc. 32,269 97 Preformed Line Products Co. 3,237 97 * Targeted Genetics Corp. 44,003 96 * J. Alexander's Corp. 12,900 93 * Private Business Inc. 77,134 93 Richardson Electronics, Ltd. 7,506 92 * MediaBay, Inc. 83,112 92 Alamo Group, Inc. 5,952 91 First SecurityFed Financial, Inc. 2,963 90 * Pharmion Corp. 5,883 90 Noland Co. 2,161 90 * Nutraceutical International Corp. 8,032 89 * Hawk Corp. Class A 24,243 88 * Home Products International Inc. 67,520 88 * Catalina Lighting, Inc. 7,160 88 * TransAct Technologies Inc. 3,613 87 Sun Bancorp, Inc. 4,597 87 * Obie Media Corp. 33,210 87 * Retractable Technologies, Inc. 14,385 87 * I-many, Inc. 85,624 86 * Acme Communications, Inc. 9,738 86 * Media 100 Inc. 162,889 85 * HyperFeed Technologies, Inc. 13,778 85 * Airnet Communications Corp. 99,290 84 * Bitstream Inc. 27,353 84 * SRI/Surgical Express, Inc. 13,480 84 * Food Technology Service, Inc. 78,720 83 McRae Industries, Inc. 8,300 83 * eXegenics Inc. 91,207 82 * Banc Corp. 9,570 81 * United National Group Ltd. Class A 4,600 81 First South Bancorp, Inc. 2,208 81 * Factory 2-U Stores Inc. 58,774 81 * Zapata Corp. 1,359 79 * Weider Nutritional International, Inc. 17,707 79 * Discovery Partners International 12,779 79 Malan Realty Investors, Inc. REIT 15,700 76 * DigitalNet Holdings, Inc. 3,900 76 * Hanover Direct, Inc. 378,734 76 SCPIE Holdings Inc. 8,535 75 Material Sciences Corp. 7,347 74 * Heska Corp. 31,255 72 * CoActive Marketing Group, Inc. 22,500 72 Calavo Growers, Inc. 6,484 71 * ArQule, Inc. 14,502 71 * DSL.Net, Inc. 116,280 70 * Manchester Technologies, Inc. 19,622 70 * InsWeb Corp. 15,096 70 * Cantel Medical Corp. 4,283 69 * Callidus Software Inc. 3,900 69 * Finlay Enterprises, Inc. 4,846 68 * Digital Lightwave, Inc. 84,367 68 48 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Redback Networks Inc. 293,373 $ 68 Ecology and Environment, Inc. 6,925 68 * Advantage Marketing Systems, Inc. 16,300 67 * Universal Access Global Holdings Inc. 22,599 66 * 3D Systems Corp. 6,522 66 * Viewpoint Corp. 87,314 65 Commonwealth Industries Inc. 6,456 65 * Peco II, Inc. 57,640 65 * Multi-Color Corp. 3,676 64 * IVAX Diagnostics, Inc. 13,189 64 PAB Bankshares, Inc. 4,097 64 * Avanir Pharmaceuticals Class A 43,380 63 * Hauppage Digital, Inc. 27,333 63 * Internet Pictures Corp. 35,265 62 * SportsLine.com, Inc. 48,080 61 * Ault Inc. 22,500 60 * BioSpecifics Technology 40,800 60 * Onvia.com, Inc. 12,867 60 * Protection One, Inc. 164,000 59 Falmouth Bancorp, Inc. 1,600 58 Woronoco Bancorp Inc. 1,600 58 * Palomar Medical Technologies, Inc. 5,457 57 Northeast Indiana Bancorp, Inc. 2,700 57 * Concerto Software Inc. 4,740 57 Atlantic Tele-Network, Inc. 1,978 55 * Providence Service Corp. 3,429 55 * Kaiser Ventures LLC Class A 36,800 55 * NuCo2, Inc. 4,342 55 First Federal Bancorp, Inc. 6,100 55 * Applied Imaging Corp. 36,348 55 * Capital Senior Living Corp. 9,284 55 * Lantronix, Inc. 46,521 54 * Price Legacy Corp. REIT 14,150 54 * Nonophase Technologies Corp. 6,554 53 * Delta Woodside Industries, Inc 27,175 53 APCO Argentina Inc. 1,986 53 * Tipperary Corp. 16,869 51 * Radyne Comstream Inc. 6,150 51 * Online Resources Corp. 7,697 51 * Cognitronics Corp. 14,700 49 * Harris & Harris Group, Inc. 4,254 49 Bel Fuse, Inc. Class A 1,629 49 * Physiometrix, Inc. 20,606 45 * Redenvelope Inc 2,712 45 Northrim Bancorp Inc. 1,964 45 * CPI Aerostructures, Inc. 3,715 44 * Culp, Inc. 4,028 44 * Transcontinental Realty Investors, Inc. REIT 2,603 44 * BayCorp Holdings, Ltd. 3,314 43 Nevada Chemicals, Inc. 7,400 43 * WHX Corp. 15,855 42 Butler Manufacturing Co. 1,894 42 * Evercel, Inc. 47,164 42 Hersha Hospitality Trust 4,100 41 * ePresence, Inc. 10,180 38 * Gold Reserve Inc. Class A 7,751 38 * Lynch Corp. 3,500 37 Fidelity Southern Corp. 2,739 36 * Precision Optics Corp., Inc. 17,201 36 * Franklin Bank Corp. 1,900 36 * Oglebay Norton Co. 8,500 36 * Andrea Radio Corp. 85,700 35 * FiberMark, Inc. 19,600 34 * SureBeam Corp. 157,426 34 * Ag Services of America, Inc. 3,851 33 * American Realty Investors, Inc. 3,535 32 Century Bancorp, Inc. Class A 903 32 * Invivo Corporation 1,446 32 * EarthShell Corp. 17,585 32 * Artisoft, Inc. 11,633 31 * Captiva Software Corp. 2,467 31 BIW Limited 1,600 31 * Persistence Software, Inc. 7,110 29 * Aradigm Corp. 15,211 26 * Shoe Pavilion, Inc. 21,100 26 Roanoke Electric Steel Corp. 1,896 25 Aaron Rents, Inc. Class A 1,350 25 * Diedrich Coffee, Inc. 6,450 25 Bandag, Inc. Class A 600 24 * nStor Technologies, Inc. 47,523 24 * MakeMusic! Inc. 7,540 23 Providence and Worcester Railroad Co. 2,500 22 * eGain Communications Corp. 10,788 22 * Integrated Biopharma, Inc. 1,751 21 * GP Strategies Corp. 2,660 21 Hubbell Inc. Class A 500 21 * American Ecology Corporation 2,546 21 * Versata, Inc. 12,200 20 Merrill Merchants Bancshares, Inc. 925 20 * Almost Family Inc. 2,200 20 * HPSC, Inc. 1,316 19 * ATA Holdings, Inc. 1,951 19 Haggar Corp. 939 18 * Nematron Corp. 63,000 18 AmeriVest Properties, Inc. REIT 2,513 18 Liquid Audio, Inc. 61,700 18 ILX Resorts Inc. 2,500 18 * LightPath Technologies, Inc. Class A 6,262 17 49 -------------------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET INDEX FUND SHARES (000) -------------------------------------------------------------------------------- FMS Financial Corporation 967 $ 17 Balchem Corp. 758 17 Dynabazaar, Inc. 50,100 17 * SciQuest, Inc. 4,506 16 * OMNI Energy Services Corp. 2,466 16 Cotton States Life Insurance Company 800 16 Net Perceptions, Inc. 38,256 15 * Datalink Corp. 3,842 14 * Horizon Group Properties, Inc. REIT 3,415 14 * Suntron Corp. 2,995 13 Capital Properties, Inc. Class A 1,000 13 * Hoenig Group, Inc. Rights Exp. 9/1/2006 54,300 12 * Perma-Fix Environmental Services, Inc. 3,661 11 * Telecommunication Systems, Inc. 2,157 11 * Landenburg Thalmann Financial Services, Inc. 18,943 11 * American Pacific Bank 1,227 10 * Calton, Inc. 15,400 10 * rStar Corp. 15,041 9 * Continucare Corp. 6,200 9 * DiaSys Corp. 15,600 8 * Sento Corporation 1,675 8 * Moldflow Corp. 670 8 * Sunlink Health Systems, Inc. 2,600 7 * LMI Aerospace, Inc. 3,600 7 * Analytical Surveys, Inc. 2,531 7 L. S. Starrett Co. Class B 400 7 Superior Uniform Group, Inc. 399 7 * Hudson Technology, Inc. 5,600 6 * NexPrise, Inc. 4,740 6 * BMC Industries, Inc. 126,104 6 * Innotrac Corp. 519 5 * Radview Software Ltd. 9,000 5 * Investors Capital Holdings, Ltd. 900 5 * Fiberstars, Inc. 700 5 * Olympic Cascade Financial Corp. 2,900 4 * Bluefly, Inc. 1,022 4 * Microstrategy Inc. Warrants Exp. 6/24/2007 16,080 4 * ARK Restaurants Corp. 265 4 * General Bearing Corp. 1,200 4 * Fedders Corp-Rights 58,700 4 * Max & Erma's Restaurants, Inc. 179 3 * Cogent Communications Group, Inc. 2,779 3 * VCampus Corp. 2,030 3 * Corrpro Cos., Inc. 2,400 3 * Optical Cable Corp. Warrants Exp. 10/24/2007 1,053 2 * Ampex Corp. Class A 2,890 2 * Valley Forge Scientific Corp. 1,100 2 * GoAmerica, Inc. 5,000 2 * Vista Medical Technologies, Inc. 1,300 2 * Diamond Hill Investment Group 200 1 * Manhattan Pharmaceuticals, Inc. 681 1 * Cap Rock Energy Corp 33 1 * Prolong International Corp. 2,500 1 * Panavision, Inc. 174 1 Capital Properties, Inc. Class B 90 1 * Travis Boats & Motors, Inc. 700 -- * Synergy Brands Inc. 25 -- * Conolog Corp. 10 -- * Pinnacle Warrants Exp. 11/13/2007 350 -- * ProcureNet, Inc. 21,000 -- -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $6,288,388) $ 6,922,451 -------------------------------------------------------------------------------- FACE AMOUNT (000) -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (4.1%)(1) -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.05%, 1/20/2004 5,000 4,997 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.99%, 1/2/2004 60,573 60,573 0.99%, 1/2/2004--Note E 223,920 223,920 -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $289,490) $ 289,490 -------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.5%) (Cost $6,577,878) $ 7,211,941 -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.5%) -------------------------------------------------------------------------------- Other Assets--Note B 144,769 Security Lending Collateral Payable to Brokers--Note E (223,920) Other Liabilities (167,483) --------------- (246,634) --------------- -------------------------------------------------------------------------------- NET ASSETS (100%) $ 6,965,307 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 3.6%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Security has been segregated as initial margin for open futures contracts. ADR--American Depositary Receipt. REIT--Real Estate Investment Trust. 50 -------------------------------------------------------------------------------- AMOUNT (000) -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: -------------------------------------------------------------------------------- Paid-in Capital $ 6,911,793 Overdistributed Net Investment Income (5,831) Accumulated Net Realized Losses (575,520) Unrealized Appreciation Investment Securities 634,063 Futures Contracts 802 -------------------------------------------------------------------------------- NET ASSETS $ 6,965,307 ================================================================================ Investor Shares--Net Assets Applicable to 159,757,610 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 4,259,427 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 26.66 ================================================================================ Admiral Shares--Net Assets Applicable to 40,321,123 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 1,075,087 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 26.66 ================================================================================ Institutional Shares--Net Assets Applicable to 57,139,644 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 1,524,160 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 26.67 ================================================================================ VIPER Shares--Net Assets Applicable to 1,515,362 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 106,633 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- VIPER SHARES $ 70.37 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 51 -------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (100.1%)(1) -------------------------------------------------------------------------------- * Xerox Corp. 2,653,913 $ 36,624 PACCAR, Inc. 371,661 31,636 * Medco Health Solutions, Inc. 908,929 30,894 * Altera Corp. 1,283,386 29,133 CIGNA Corp. 470,613 27,060 * Flextronics International Ltd. 1,754,200 26,032 * Apple Computer, Inc. 1,216,600 25,999 * Broadcom Corp. 761,634 25,964 PPL Corp. 592,969 25,942 Eaton Corp. 239,242 25,833 CSX Corp. 718,074 25,808 CIT Group Inc. 710,321 25,536 Monsanto Co. 878,947 25,296 * Computer Sciences Corp. 565,243 25,001 TXU Corp. 1,026,615 24,351 * National Semiconductor Corp. 616,880 24,311 Starwood Hotels & Resorts Worldwide, Inc. 675,206 24,287 Jefferson-Pilot Corp. 475,745 24,096 J.C. Penney Co., Inc. (Holding Co.) 912,366 23,977 Parker Hannifin Corp. 396,645 23,600 Georgia Pacific Group 766,308 23,503 Textron, Inc. 409,352 23,358 Sovereign Bancorp, Inc. 980,373 23,284 * Coach, Inc. 609,624 23,013 Microchip Technology, Inc. 687,674 22,941 Mylan Laboratories, Inc. 900,638 22,750 * Phelps Dodge Corp. 298,866 22,741 Xcel Energy, Inc. 1,338,240 22,723 * Caremark Rx, Inc. 892,487 22,607 * Network Appliance, Inc. 1,090,024 22,378 Centex Corp. 207,192 22,304 Tiffany & Co. 488,972 22,101 Cinergy Corp. 565,982 21,966 Synovus Financial Corp. 758,724 21,942 Constellation Energy Group, Inc. 560,138 21,935 * Siebel Systems, Inc. 1,575,191 21,848 * Interpublic Group of Cos., Inc. 1,392,233 21,719 * Sanmina-SCI Corp. 1,712,039 21,589 * Edison International 984,092 21,581 * Novellus Systems, Inc. 508,100 21,366 New York Community Bancorp, Inc. 557,044 21,196 AmerisourceBergen Corp. 375,573 21,088 Knight Ridder 269,752 20,871 * American Standard Cos., Inc. 206,019 20,746 Union Planters Corp. 657,881 20,717 ITT Industries, Inc. 278,928 20,699 North Fork Bancorp, Inc. 510,758 20,670 Hilton Hotels Corp. 1,204,064 20,626 Sempra Energy 684,126 20,565 * Nabors Industries, Inc. 491,320 20,390 Dollar General Corp. 954,794 20,041 MeadWestvaco Corp. 672,512 20,007 IMS Health, Inc. 802,432 19,948 UST, Inc. 558,714 19,941 Rockwell Automation, Inc. 558,246 19,874 KeySpan Corp. 531,975 19,577 D. R. Horton, Inc. 448,355 19,396 Genuine Parts Co. 583,709 19,379 NiSource, Inc. 882,017 19,351 * Quest Diagnostics, Inc. 264,680 19,351 ProLogis REIT 602,062 19,320 Health Management Associates Inc. Class A 804,915 19,318 * Juniper Networks, Inc. 1,029,900 19,239 Cincinnati Financial Corp. 457,654 19,167 * BJ Services Co. 531,229 19,071 General Growth Properties Inc. REIT 683,693 18,972 MGIC Investment Corp. 330,498 18,819 Plum Creek Timber Co. Inc. REIT 614,130 18,700 Family Dollar Stores, Inc. 519,436 18,637 Harrah's Entertainment, Inc. 369,395 18,385 Kinder Morgan, Inc. 310,331 18,341 Murphy Oil Corp. 277,388 18,116 Rockwell Collins, Inc. 601,765 18,071 * Laboratory Corp. of America Holdings 486,172 17,964 Cooper Industries, Inc. Class A 308,912 17,895 National Commerce Financial Corp. 652,298 17,795 Valero Energy Corp. 383,974 17,793 First Tennessee National Corp. 401,268 17,696 T. Rowe Price Group Inc. 373,101 17,689 * AES Corp. 1,871,873 17,670 Archstone-Smith Trust REIT 630,693 17,647 Freeport-McMoRan Copper & Gold, Inc. Class B 418,375 17,626 Vornado Realty Trust REIT 321,892 17,624 Banknorth Group, Inc. 540,943 17,597 Torchmark Corp. 383,199 17,451 * Office Depot, Inc. 1,039,947 17,378 * Advanced Micro Devices, Inc. 1,164,502 17,351 Delphi Corp. 1,692,385 17,279 * Cablevision Systems NY Group Class A 736,700 17,231 SAFECO Corp. 441,413 17,184 * Dean Foods Co. 519,566 17,078 Williams Cos., Inc. 1,738,306 17,070 52 -------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Popular, Inc. 378,812 $ 17,024 Fidelity National Financial, Inc. 438,477 17,004 El Paso Corp. 2,070,767 16,960 * Millennium Pharmaceuticals, Inc. 902,288 16,846 * Synopsys, Inc. 497,146 16,784 Whirlpool Corp. 230,796 16,767 XTO Energy, Inc. 590,117 16,700 Zions Bancorp 270,983 16,619 * L-3 Communications Holdings, Inc. 323,442 16,612 GlobalSantaFe Corp. 665,894 16,534 * Solectron Corp. 2,784,953 16,459 R.J. Reynolds Tobacco Holdings, Inc. 282,803 16,445 Pulte Homes, Inc. 175,647 16,444 Huntington Bancshares Inc. 729,152 16,406 * Unisys Corp. 1,104,741 16,405 * Cadence Design Systems, Inc. 911,160 16,383 * QLogic Corp. 316,300 16,321 RadioShack Corp. 527,975 16,198 Legg Mason Inc. 209,461 16,166 * Teradyne, Inc. 633,269 16,117 EOG Resources, Inc. 346,980 16,020 * SanDisk Corp. 261,047 15,960 * Weatherford International Ltd. 440,520 15,859 * Noble Corp. 442,787 15,843 * Varian Medical Systems, Inc. 228,987 15,823 * Watson Pharmaceuticals, Inc. 343,400 15,796 Compass Bancshares Inc. 400,604 15,748 Kerr-McGee Corp. 338,405 15,732 Everest Re Group, Ltd. 185,936 15,730 Lennar Corp. Class A 160,746 15,432 Vulcan Materials Co. 323,900 15,408 Radian Group, Inc. 314,047 15,310 Harman International Industries, Inc. 205,286 15,187 * SPX Corp. 257,040 15,117 * Jabil Circuit, Inc. 533,993 15,112 * BEA Systems, Inc. 1,218,700 14,990 Jones Apparel Group, Inc. 424,833 14,967 CenturyTel, Inc. 458,819 14,967 Boston Properties, Inc. REIT 310,353 14,956 * JDS Uniphase Corp. 4,082,815 14,902 UnumProvident Corp. 943,600 14,881 Kimco Realty Corp. REIT 331,369 14,829 Nucor Corp. 262,376 14,693 Old Republic International Corp. 577,695 14,650 * Sealed Air Corp. 270,577 14,649 * E*Trade Financial Corp. 1,155,163 14,613 Smurfit-Stone Container Corp. 782,991 14,540 * Avaya Inc. 1,118,768 14,477 Sherwin-Williams Co. 416,437 14,467 Applera Corp.-Applied Biosystems Group 697,972 14,455 Amerada Hess Corp. 271,583 14,440 Estee Lauder Cos. Class A 365,010 14,330 * BMC Software, Inc. 764,039 14,249 Wendy's International, Inc. 361,854 14,199 C.R. Bard, Inc. 173,817 14,123 Duke Realty Corp. REIT 455,409 14,118 * Mercury Interactive Corp. 289,300 14,072 * Express Scripts Inc. 210,890 14,009 * AdvancePCS 265,453 13,979 * Smith International, Inc. 335,879 13,946 Rouse Co. REIT 295,935 13,909 Republic Services, Inc. Class A 539,183 13,819 Lear Corp. 225,271 13,816 * Barr Pharmaceuticals Inc. 179,160 13,786 American Power Conversion Corp. 562,719 13,758 * LAM Research Corp. 425,674 13,749 Omnicare, Inc. 339,998 13,733 * Thermo Electron Corp. 544,722 13,727 * Waters Corp. 412,469 13,677 * Sprint PCS 2,430,240 13,658 Scientific-Atlanta, Inc. 500,077 13,652 * Whole Foods Market, Inc. 200,981 13,492 Ross Stores, Inc. 510,166 13,484 * Career Education Corp. 332,674 13,330 Leggett & Platt, Inc. 613,478 13,270 Green Point Financial Corp. 375,332 13,257 Expeditors International of Washington, Inc. 351,202 13,226 Wisconsin Energy Corp. 393,112 13,150 Diebold, Inc. 243,363 13,110 Symbol Technologies, Inc. 775,953 13,106 ENSCO International, Inc. 477,658 12,978 Liz Claiborne, Inc. 365,454 12,959 Sigma-Aldrich Corp. 225,508 12,895 Black & Decker Corp. 260,694 12,857 SuperValu Inc. 449,219 12,843 * Health Net Inc. 389,995 12,753 SCANA Corp. 372,326 12,752 * Robert Half International, Inc. 543,352 12,682 Commerce Bancorp, Inc. 239,847 12,635 * Pactiv Corp. 528,622 12,634 Engelhard Corp. 420,379 12,590 * The Dun & Bradstreet Corp. 247,805 12,566 * Mohawk Industries, Inc. 177,917 12,550 Sunoco, Inc. 245,281 12,546 McCormick & Co., Inc. 416,041 12,523 53 -------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * VeriSign, Inc. 766,921 $ 12,501 VF Corp. 288,326 12,467 * NCR Corp. 318,127 12,343 W.W. Grainger, Inc. 260,397 12,340 Manpower Inc. 260,823 12,280 Pinnacle West Capital Corp. 306,362 12,261 * Celgene Corp. 271,899 12,241 Mercantile Bankshares Corp. 266,416 12,143 * Oxford Health Plans, Inc. 278,389 12,110 CDW Corp. 208,070 12,018 * Pioneer Natural Resources Co. 375,711 11,996 Allied Capital Corp. 428,400 11,944 Public Storage, Inc. REIT 274,780 11,923 * Host Marriott Corp. REIT 964,178 11,879 * Citizens Communications Co. 954,208 11,851 * Humana Inc. 515,500 11,779 * IVAX Corp. 492,570 11,763 Nordstrom, Inc. 342,467 11,747 * King Pharmaceuticals, Inc. 768,652 11,730 The PMI Group Inc. 314,895 11,724 * Citrix Systems, Inc. 552,400 11,716 Hibernia Corp. Class A 497,668 11,700 * Williams-Sonoma, Inc. 333,017 11,579 * Agere Systems Inc. Class A 3,785,100 11,545 Equifax, Inc. 470,862 11,536 ServiceMaster Co. 990,175 11,536 PETsMART, Inc. 479,244 11,406 * Providian Financial Corp. 973,900 11,336 * NVIDIA Corp. 485,100 11,279 * LSI Logic Corp. 1,271,157 11,275 Avalonbay Communities, Inc. REIT 235,731 11,268 * Comverse Technology, Inc. 640,324 11,263 Pepco Holdings, Inc. 573,536 11,207 Foot Locker, Inc. 477,500 11,197 Pall Corp. 416,480 11,174 Hasbro, Inc. 524,737 11,166 iStar Financial Inc. REIT 286,550 11,147 * ChoicePoint Inc. 292,404 11,138 Goodrich Corp. 374,960 11,133 White Mountains Insurance Group Inc. 24,173 11,118 * Tellabs, Inc. 1,316,438 11,098 * Vishay Intertechnology, Inc. 484,202 11,088 TCF Financial Corp. 215,760 11,079 * Dollar Tree Stores, Inc. 367,050 11,034 Darden Restaurants Inc. 524,019 11,025 * AutoNation, Inc. 599,939 11,021 * Coventry Health Care Inc. 170,800 11,015 * Patterson Dental Co. 171,589 11,009 Energy East Corp. 489,305 10,960 Hillenbrand Industries, Inc. 176,128 10,931 R.R. Donnelley & Sons Co. 361,646 10,904 Apartment Investment & Management Co. Class A REIT 315,713 10,892 Intersil Corp. 437,403 10,869 Fluor Corp. 273,993 10,861 The Stanley Works 285,419 10,809 * Brinker International, Inc. 325,845 10,805 Liberty Property Trust REIT 277,694 10,802 Fastenal Co. 216,284 10,801 Health Care Properties Investors REIT 212,500 10,795 DENTSPLY International Inc. 238,597 10,777 Gentex Corp. 243,598 10,757 * CarMax, Inc. 347,162 10,738 Ball Corp. 180,059 10,726 Telephone & Data Systems, Inc. 170,916 10,691 Janus Capital Group Inc. 642,487 10,543 * Marvell Technology Group Ltd. 276,538 10,489 PartnerRe Ltd. 179,850 10,440 RenaissanceRe Holdings Ltd. 212,273 10,412 * Ceridian Corp. 497,220 10,412 Sabre Holdings Corp. 481,902 10,404 Beckman Coulter, Inc. 204,544 10,397 Manor Care, Inc. 298,770 10,328 * Lamar Advertising Co. Class A 276,744 10,328 * UTStarcom, Inc. 276,950 10,267 Eastman Chemical Co. 259,622 10,263 Temple-Inland Inc. 163,531 10,248 * Constellation Brands, Inc. Class A 310,087 10,211 * Chico's FAS, Inc. 275,401 10,176 Molex, Inc. 289,625 10,105 * 3Com Corp. 1,236,055 10,099 * Ameritrade Holding Corp. 708,700 9,971 Tyson Foods, Inc. 751,601 9,951 Doral Financial Corp. 307,800 9,936 Alberto-Culver Co. Class B 157,488 9,934 Michaels Stores, Inc. 224,714 9,932 Seagate Technology 525,140 9,925 * Lincare Holdings, Inc. 330,340 9,920 * Park Place Entertainment Corp. 912,190 9,879 Arthur J. Gallagher & Co. 304,026 9,878 Universal Health Services Class B 181,753 9,764 KB HOME 134,151 9,729 Brunswick Corp. 303,872 9,672 A.G. Edwards & Sons, Inc. 266,860 9,668 Commerce Bancshares, Inc. 196,976 9,656 * Energizer Holdings, Inc. 255,287 9,589 54 -------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Ashland, Inc. 217,491 $ 9,583 * NVR, Inc. 20,360 9,488 Associated Banc-Corp 221,987 9,468 * Storage Technology Corp. 367,667 9,467 * CIENA Corp. 1,422,866 9,448 * MGM Mirage, Inc. 251,150 9,446 Outback Steakhouse 213,577 9,442 International Flavors & Fragrances, Inc. 268,652 9,381 * Henry Schein, Inc. 138,454 9,357 * DST Systems, Inc. 223,155 9,319 Questar Corp. 264,093 9,283 * Zebra Technologies Corp. Class A 139,794 9,278 * Westwood One, Inc. 269,728 9,227 Bausch & Lomb, Inc. 176,815 9,177 Dial Corp. 321,910 9,165 Dana Corp. 498,806 9,153 C.H. Robinson Worldwide, Inc. 241,412 9,152 City National Corp. 146,426 9,096 TECO Energy, Inc. 629,897 9,077 * Toys R Us, Inc. (Holding Co.) 716,205 9,053 * Iron Mountain, Inc. 228,848 9,049 Astoria Financial Corp. 243,043 9,041 * Cephalon, Inc. 186,200 9,014 Tektronix, Inc. 284,714 8,997 Equitable Resources, Inc. 208,903 8,966 CenterPoint Energy Inc. 923,622 8,950 * Maxtor Corp. 803,800 8,922 Garmin Ltd. 163,100 8,886 DPL Inc. 424,565 8,865 Belo Corp. Class A 309,154 8,761 W.R. Berkley Corp. 250,651 8,760 * WebMD Corp. 973,959 8,756 Pogo Producing Co. 181,124 8,748 Valley National Bancorp 299,031 8,732 Aramark Corp. Class B 314,932 8,635 NSTAR 177,863 8,626 Northeast Utilities 426,497 8,602 Bowater Inc. 185,700 8,600 Hudson City Bancorp, Inc. 224,652 8,577 * Cooper Cameron Corp. 183,697 8,560 AMB Property Corp. REIT 260,334 8,560 * Patterson-UTI Energy, Inc. 257,863 8,489 Bemis Co., Inc. 169,323 8,466 Harris Corp. 222,891 8,459 Investors Financial Services Corp. 218,519 8,393 * Convergys Corp. 479,125 8,366 * Fairchild Semiconductor International, Inc. 334,610 8,355 Bank of Hawaii Corp. 196,842 8,307 * Allied Waste Industries, Inc. 597,361 8,291 Hospitality Properties Trust REIT 199,374 8,230 * ICOS Corp. 199,300 8,227 * Level 3 Communications, Inc. 1,428,991 8,145 MDU Resources Group, Inc. 341,963 8,142 * SICOR, Inc. 299,247 8,140 Dow Jones & Co., Inc. 162,889 8,120 New Plan Excel Realty Trust REIT 327,002 8,067 SEI Corp. 264,090 8,047 * Jacobs Engineering Group Inc. 167,291 8,032 Federated Investors, Inc. 273,313 8,024 * ADC Telecommunications, Inc. 2,701,225 8,023 * Abercrombie & Fitch Co. 324,432 8,017 Noble Energy, Inc. 179,933 7,994 Allete, Inc. 261,075 7,989 * Triad Hospitals, Inc. 240,024 7,986 Valspar Corp. 161,359 7,974 Fair, Isaac, Inc. 161,667 7,948 Lyondell Chemical Co. 467,576 7,925 * Network Associates, Inc. 525,069 7,897 Mandalay Resort Group 175,315 7,840 * Compuware Corp. 1,284,425 7,758 * Corinthian Colleges, Inc. 139,478 7,749 Fulton Financial Corp. 351,852 7,709 Weingarten Realty Investors REIT 173,674 7,702 Leucadia National Corp. 166,239 7,664 Sonoco Products Co. 308,785 7,602 * Tech Data Corp. 190,528 7,562 * Markel Corp. 29,741 7,540 Puget Energy, Inc. 315,560 7,501 * Alliant Techsystems, Inc. 129,478 7,479 Protective Life Corp. 219,580 7,431 Viad Corp. 296,638 7,416 Deluxe Corp. 178,389 7,373 * Emulex Corp. 276,300 7,372 Hubbell Inc. Class B 166,932 7,362 * Rowan Cos., Inc. 314,982 7,298 FirstMerit Corp. 269,352 7,264 * The Cheesecake Factory 163,995 7,221 * Pride International, Inc. 385,551 7,187 * Apogent Technologies Inc. 308,632 7,111 * Entercom Communications Corp. 133,946 7,094 * Millipore Corp. 163,260 7,028 * Advance Auto Parts, Inc. 86,040 7,004 Maytag Corp. 250,241 6,969 J.M. Smucker Co. 150,869 6,833 55 -------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Eaton Vance Corp. 184,628 $ 6,765 Wilmington Trust Corp. 187,881 6,764 Circuit City Stores, Inc. 665,885 6,745 * CheckFree Corp. 240,414 6,647 Hormel Foods Corp. 255,715 6,600 * Rent-A-Center, Inc. 220,350 6,584 Pier 1 Imports Inc. 300,877 6,577 * Del Monte Foods Co. 632,300 6,576 Unitrin, Inc. 158,642 6,569 Reynolds & Reynolds Class A 225,573 6,553 * Amphenol Corp. 99,977 6,392 RPM International, Inc. 387,985 6,386 Brown & Brown, Inc. 194,936 6,357 * JetBlue Airways Corp. 235,750 6,252 Reebok International Ltd. 158,547 6,234 Nationwide Financial Services, Inc. 188,403 6,229 * First Health Group Corp. 318,395 6,196 Meredith Corp. 126,751 6,187 * Smithfield Foods, Inc. 294,485 6,096 Brown-Forman Corp. Class B 64,800 6,056 * National-Oilwell, Inc. 270,767 6,054 * BISYS Group, Inc. 402,058 5,983 Molex, Inc. Class A 201,900 5,928 * RF Micro Devices, Inc. 587,676 5,906 Teleflex Inc. 119,408 5,771 * Krispy Kreme Doughnuts, Inc. 156,213 5,717 The St. Joe Co. 153,319 5,717 Transatlantic Holdings, Inc. 70,305 5,681 Tidewater Inc. 190,113 5,681 Regency Centers Corp. REIT 139,600 5,563 * Saks Inc. 368,162 5,537 National Instruments Corp. 121,237 5,513 * Weight Watchers International, Inc. 143,300 5,498 * Agere Systems Inc. Class B 1,859,200 5,392 * Pixar, Inc. 73,200 5,072 PepsiAmericas, Inc. 289,990 4,965 * Ingram Micro, Inc. Class A 304,050 4,834 * Community Health Systems, Inc. 181,779 4,832 Carolina Group 184,740 4,663 Adolph Coors Co. Class B 82,452 4,626 The McClatchy Co. Class A 66,181 4,553 Packaging Corp. of America 207,651 4,539 Harte-Hanks, Inc. 208,463 4,534 Diamond Offshore Drilling, Inc. 216,380 4,438 * Owens-Illinois, Inc. 368,100 4,377 Mercury General Corp. 91,150 4,243 * Metro-Goldwyn-Mayer Inc. 246,366 4,210 Lafarge North America Inc. 103,113 4,178 International Speedway Corp. 93,308 4,167 Total System Services, Inc. 132,045 4,111 Erie Indemnity Co. Class A 95,683 4,055 Polo Ralph Lauren Corp. 140,206 4,038 * 99 Cents Only Stores 141,817 3,862 * Radio One, Inc. Class D 177,700 3,430 AVX Corp. 201,385 3,347 * Cox Radio, Inc. 131,088 3,307 BlackRock, Inc. 61,993 3,292 * Kmart Holding Corp. 133,709 3,202 Montpelier Re Holdings Ltd. 84,072 3,085 Axis Capital Holdings Ltd. 102,600 3,004 Lennar Corp. Class B 31,764 2,903 * Hewitt Associates, Inc. 96,100 2,873 Capitol Federal Financial 72,925 2,630 Talbots Inc. 84,600 2,604 * BOK Financial Corp. 66,218 2,564 * Columbia Sportswear Co. 46,422 2,530 * International Steel Group, Inc. 64,600 2,516 * WellChoice Inc. 69,240 2,389 Hearst-Argyle Television Inc. 85,250 2,349 Regal Entertainment Group Class A 113,368 2,326 Blockbuster Inc. Class A 119,040 2,137 Student Loan Corp. 13,300 1,942 * U.S. Cellular Corp. 52,950 1,880 * Citadel Broadcasting Corp. 81,623 1,826 * Radio One, Inc. 85,494 1,671 * CapitalSource Inc. 76,522 1,659 Nuveen Investments, Inc. Class A 54,897 1,464 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $4,377,290) $ 5,528,374 -------------------------------------------------------------------------------- FACE AMOUNT (000) -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.8%)(1) -------------------------------------------------------------------------------- Federal National Mortgage Assn. (2) 1.05%, 1/7/2004 $ 900 900 Repurchase Agreement Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.99%, 1/2/2004--Note E 42,262 42,262 -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $43,162) 43,162 -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.9%) (Cost $4,420,452) 5,571,536 -------------------------------------------------------------------------------- 56 -------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND (000) -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.9%) -------------------------------------------------------------------------------- Other Assets--Note B 125,372 Liabilities--Note E (173,391) --------------- (48,019) --------------- -------------------------------------------------------------------------------- NET ASSETS (100%) $ 5,523,517 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.3% and 0.6%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Security has been segregated as initial margin for open futures contracts. REIT-Real Estate Investment Trust. -------------------------------------------------------------------------------- AMOUNT (000) -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: -------------------------------------------------------------------------------- Paid-in Capital $ 4,925,517 Overdistributed Net Investment Income (3,247) Accumulated Net Realized Losses (550,013) Unrealized Appreciation Investment Securities 1,151,084 Futures Contracts 176 -------------------------------------------------------------------------------- NET ASSETS $ 5,523,517 ================================================================================ Investor Shares--Net Assets Applicable to 274,949,309 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 3,610,249 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 13.13 ================================================================================ Admiral Shares--Net Assets Applicable to 14,143,193 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 842,170 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 59.55 ================================================================================ Institutional Shares--Net Assets Applicable to 81,403,987 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 1,071,098 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 13.16 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 57 This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period. -------------------------------------------------------------------------------- EXTENDED MARKET MID-CAP INDEX FUND INDEX FUND ------------------ --------------- YEAR ENDED DECEMBER 31, 2003 -------------------------------------------------------------------------------- (000) (000) -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 61,529 $ 58,911 Interest 967 353 Security Lending 2,472 1,082 -------------------------------------------------------------------------------- Total Income 64,968 60,346 -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 153 113 Management and Administrative Investor Shares 7,314 6,288 Admiral Shares 1,365 874 Institutional Shares 760 596 VIPER Shares 93 -- Marketing and Distribution Investor Shares 418 433 Admiral Shares 97 83 Institutional Shares 164 139 VIPER Shares 7 -- Custodian Fees 424 203 Auditing Fees 18 17 Shareholders' Reports Investor Shares 240 139 Admiral Shares 7 1 Institutional Shares 5 1 VIPER Shares 1 -- Trustees' Fees and Expenses 6 5 -------------------------------------------------------------------------------- Total Expenses 11,072 8,892 -------------------------------------------------------------------------------- NET INVESTMENT INCOME 53,896 51,454 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (333,560) (551,236) Futures Contracts 23,914 2,272 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (309,646) (548,964) -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 2,150,050 1,778,310 Futures Contracts 1,614 337 -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 2,151,664 1,778,647 -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $1,895,914 $1,281,137 ================================================================================ 58 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. -------------------------------------------------------------------------------- EXTENDED MARKET MID-CAP INDEX FUND INDEX FUND ----------------- --------------- YEAR ENDED DECEMBER 31, 2003 -------------------------------------------------------------------------------- 2003 2002 2003 2002 (000) (000) (000) (000) -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 53,896 $ 39,014 $ 51,454 $ 29,619 Realized Net Gain (Loss) (309,646) (168,168) (548,964) 40,337 Change in Unrealized Appreciation (Depreciation) 2,151,664 (742,468) 1,778,647 (643,379) -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 1,895,914 (871,622) 1,281,137 (573,423) -------------------------------------------------------------------------------- DISTRIBUTIONS NET INVESTMENT INCOME Investor Shares (33,593) (24,109) (33,257) (20,612) Admiral Shares (8,969) (6,195) (8,130) (3,979) Institutional Shares (12,612) (7,231) (10,818) (6,440) VIPER Shares (913) (327) -- -- REALIZED CAPITAL GAIN* Investor Shares -- -- -- (25,635) Admiral Shares -- -- -- (4,240) Institutional Shares -- -- -- (7,402) VIPER Shares -- -- -- -- -------------------------------------------------------------------------------- Total Distributions (56,087) (37,862) (52,205) (68,308) -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares 466,197 122,033 530,455 261,445 Admiral Shares 183,088 21,721 258,512 261,445 Institutional Shares 504,125 49,773 174,943 127,670 VIPER Shares 57,633 28,082 -- -- -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 3,914,437 4,602,3123,330,675 2,921,577 -------------------------------------------------------------------------------- End of Period $6,965,307 $3,914,437$5,523,517 $3,330,675 ================================================================================ *Includes fiscal 2003 and 2002 short-term gain distributions by the Mid-Cap Index Fund totaling $0 and $3,244,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 59 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
EXTENDED MARKET INDEX FUND INVESTOR SHARES -------------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, -------------------------------------------------------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.61 $37.07 $30.63 -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .207 .19 .203 .274 .297 Net Realized and Unrealized Gain (Loss) on Investments 7.926 (4.36) (2.703) (6.041) 10.101 -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 8.133 (4.17) (2.500) (5.767) 10.398 -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.213) (.18) (.210) (.263) (.318) Distributions from Realized Capital Gains -- -- (.810) (4.430) (3.640) -------------------------------------------------------------------------------------------------------------------- Total Distributions (.213) (.18) (1.020) (4.693) (3.958) -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $26.66 $18.74 $23.09 $26.61 $37.07 ==================================================================================================================== TOTAL RETURN* 43.43% -18.06% -9.13% -15.55% 36.22% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $4,259 $2,629 $3,115 $3,881 $4,221 Ratio of Total Expenses to Average Net Assets 0.26% 0.26% 0.25% 0.25% 0.25% Ratio of Net Investment Income to Average Net Assets 1.01% 0.88% 0.88% 0.81% 1.04% Portfolio Turnover Rate 8% 17% 20% 33% 26% ====================================================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2000, or the $10 annual account maintenance fee applied on balances under $10,000. 60
EXTENDED MARKET INDEX FUND ADMIRAL SHARES --------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, NOV. 13* TO ---------------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 --------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.61 $31.89 --------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .221 .201 .213 .050 Net Realized and Unrealized Gain (Loss) on Investments 7.926 (4.360) (2.703) (1.736) --------------------------------------------------------------------------------------------- Total from Investment Operations 8.147 (4.159) (2.490) (1.686) --------------------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.227) (.191) (.220) (.274) Distributions from Realized Capital Gains -- -- (.810) (3.320) --------------------------------------------------------------------------------------------- Total Distributions (.227) (.191) (1.030) (3.594) --------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $26.66 $18.74 $23.09 $26.61 ============================================================================================= TOTAL RETURN 43.51% -18.02% -9.09% -4.30% ============================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,075 $611 $735 $441 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 1.07% 0.94% 0.94% 1.23%** Portfolio Turnover Rate 8% 17% 20% 33% ============================================================================================= *Inception. **Annualized.
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES ---------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.62 $37.09 $30.63 ---------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .247 .22 .228 .313 .363 Net Realized and Unrealized Gain (Loss) on Investments 7.926 (4.36) (2.703) (6.041) 10.101 ---------------------------------------------------------------------------------------------------------- Total from Investment Operations 8.173 (4.14) (2.475) (5.728) 10.464 ---------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.243) (.21) (.245) (.312) (.364) Distributions from Realized Capital Gains -- -- (.810) (4.430) (3.640) ---------------------------------------------------------------------------------------------------------- Total Distributions (.243) (.21) (1.055) (4.742) (4.004) ---------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $26.67 $18.74 $23.09 $26.62 $37.09 ========================================================================================================== TOTAL RETURN* 43.66% -17.93% -9.03% -15.41% 36.45% ========================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,524 $644 $746 $954 $870 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10% Ratio of Net Investment Income to Average Net Assets 1.17% 1.05% 1.02% 0.96% 1.18% Portfolio Turnover Rate 8% 17% 20% 33% 26% ========================================================================================================== *Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2000.
61 FINANCIAL HIGHLIGHTS (CONTINUED) EXTENDED MARKET INDEX FUND VIPER SHARES -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, DEC. 27* TO --------------------- DEC . 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $49.46 $60.99 $60.94 -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .608 .566 -- Net Realized and Unrealized Gain (Loss) on Investments 20.914 (11.561) .05 -------------------------------------------------------------------------------- Total from Investment Operations 21.522 (10.995) .05 -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.612) (.535) -- Distributions from Realized Capital Gains -- -- -- -------------------------------------------------------------------------------- Total Distributions (.612) (.535) -- -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $70.37 $49.46 $60.99 ================================================================================ TOTAL RETURN 43.55% -18.04% 0.08% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $107 $30 $6 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 1.07% 1.04% 0.54%** Portfolio Turnover Rate 8% 17% 20% ================================================================================ *Inception. **Annualized. 62
MID-CAP INDEX FUND INVESTOR SHARES ---------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 9.88 $11.81 $12.21 $11.30 $10.79 ---------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .122 .088 .081 .071 .073 Net Realized and Unrealized Gain (Loss) on Investments 3.250 (1.798) (.166) 1.897 1.448 ---------------------------------------------------------------------------------------------------------- Total from Investment Operations 3.372 (1.710) (.085) 1.968 1.521 ---------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.122) (.093) (.070) (.078) (.076) Distributions from Realized Capital Gains -- (.127) (.245) (.980) (.935) ---------------------------------------------------------------------------------------------------------- Total Distributions (.122) (.220) (.315) (1.058) (1.011) ---------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $13.13 $ 9.88 $11.81 $12.21 $11.30 ========================================================================================================== TOTAL RETURN* 34.14% -14.61% -0.50% 18.10% 15.32% ========================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $3,610 $2,267 $2,049 $1,614 $605 Ratio of Total Expenses to Average Net Assets 0.26% 0.26% 0.25% 0.25% 0.25% Ratio of Net Investment Income to Average Net Assets 1.20% 0.85% 0.83% 0.90% 0.99% Portfolio Turnover Rate 73%** 20%+ 24% 51% 38% ========================================================================================================== *Total returns do not reflect the 0.25% transaction fee on purchases from inception through February 28, 1999, or the $10 annual account maintenance fee applied on balances under $10,000. **Includes activity related to a change in the fund's target index. +The portfolio turnover rate excluding in-kind redemptions was 18%.
63 FINANCIAL HIGHLIGHTS (CONTINUED) MID-CAP INDEX FUND ADMIRAL SHARES -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, NOV. 12* TO --------------------- DEC . 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $44.81 $53.56 $50.00 -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .593 .431 .056 Net Realized and Unrealized Gain (Loss) on Investments 14.742 (8.154) 3.982 -------------------------------------------------------------------------------- Total from Investment Operations 15.335 (7.723) 4.038 -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.595) (.451) (.320) Distributions from Realized Capital Gains -- (.576) (.158) -------------------------------------------------------------------------------- Total Distributions (.595) (1.027) (.478) -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $59.55 $44.81 $53.56 ================================================================================ TOTAL RETURN 34.24% -14.55% 8.06% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $842 $411 $223 Ratio of Total Expenses to Average Net Assets 0.18% 0.18% 0.20%** Ratio of Net Investment Income to Average Net Assets 1.31% 0.94% 0.86%** Portfolio Turnover Rate 73%*+ 20%++ 24% ================================================================================ *Inception. **Annualized. +Includes activity related to a change in the fund's target index. ++The portfolio turnover rate excluding in-kind redemptions was 18%. 64
MID-CAP INDEX FUND INSTITUTIONAL SHARES ---------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ---------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 9.90 $11.83 $12.23 $11.30 $10.79 ---------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .147 .103 .097 .081 .083 Net Realized and Unrealized Gain (Loss) on Investments 3.250 (1.798) (.166) 1.918 1.448 ---------------------------------------------------------------------------------------------------------- Total from Investment Operations 3.397 (1.695) (.069) 1.999 1.531 ---------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.137) (.108) (.086) (.089) (.086) Distributions from Realized Capital Gains -- (.127) (.245) (.980) (.935) ---------------------------------------------------------------------------------------------------------- Total Distributions (.137) (.235) (.331) (1.069) (1.021) ---------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $13.16 $ 9.90 $11.83 $12.23 $11.30 ========================================================================================================== TOTAL RETURN* 34.33% -14.45% -0.37% 18.39% 15.41% ========================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,071 $653 $650 $307 $143 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.12% 0.12% Ratio of Net Investment Income to Average Net Assets 1.36% 1.01% 1.00% 1.03% 1.11% Portfolio Turnover Rate 73%** 20%+ 24% 51% 38% ========================================================================================================== *Total returns do not reflect the 0.25% transaction fee on purchases from inception through February 28, 1999. **Includes activity related to a change in the fund's target index. +The portfolio turnover rate excluding in-kind redemptions was 18%.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 65 NOTES TO FINANCIAL STATEMENTS Vanguard Extended Market Index and Mid-Cap Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. The Extended Market Index Fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares. The Mid-Cap Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. VIPER Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements. 1. SECURITY VALUATION: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds' pricing time but after the close of the securities' primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. 2. FUTURES CONTRACTS: The funds use index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. Both funds use S&P MidCap 400 Index futures contracts; the Extended Market Index Fund also uses Russell 2000 Index futures contracts. A fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 3. REPURCHASE AGREEMENTS: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 66 4. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2003, the funds had contributed capital to Vanguard (included in Other Assets) of: -------------------------------------------------------------------------------- CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION -------------------------------------------------------------------------------- Extended Market $1,044 0.01% 1.04% Mid-Cap 837 0.02 0.84 -------------------------------------------------------------------------------- The funds' trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. At December 31, 2003, the funds had the following tax-basis amounts available for distribution, and capital losses available to offset future net capital gains: -------------------------------------------------------------------------------- AMOUNT AVAILABLE FOR DISTRIBUTION CAPITAL LOSSES ------------------------------ ---------------------------- ORDINARY LONG-TERM EXPIRATION: FISCAL INCOME CAPITAL GAIN AMOUNT YEARS ENDING INDEX FUND (000) (000) (000) DECEMBER 31 -------------------------------------------------------------------------------- Extended Market $(127)* -- $573,529 2009-2012 Mid-Cap (146)* -- 548,640 2011-2012 -------------------------------------------------------------------------------- *Amount of the fund's December 2003 dividend payable in January 2004 that will be used to reduce required 2004 ordinary income dividends. 67 NOTES TO FINANCIAL STATEMENTS (CONTINUED) At December 31, 2003, net unrealized appreciation of investment securities for tax purposes was: -------------------------------------------------------------------------------- (000) ----------------------------------------------- NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) -------------------------------------------------------------------------------- Extended Market $2,103,436 $(1,469,373) $ 634,063 Mid-Cap 1,190,099 (39,015) 1,151,084 -------------------------------------------------------------------------------- At December 31, 2003, the aggregate settlement value of open futures contracts expiring in March 2004 and the related unrealized appreciation were: -------------------------------------------------------------------------------- (000) -------------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) -------------------------------------------------------------------------------- Extended Market/ E-mini S&P MidCap 400 Index 2 $ 115 $ 3 S&P MidCap 400 Index 54 15,553 214 Russell 2000 Index 86 23,960 585 Mid-Cap/ E-mini S&P MidCap 400 Index 45 2,592 53 S&P MidCap 400 Index 31 8,929 123 -------------------------------------------------------------------------------- Unrealized appreciation on open futures contracts is required to be treated as realized gain for tax purposes. D. During the year ended December 31, 2003, purchases and sales of investment securities other than temporary cash investments were: -------------------------------------------------------------------------------- (000) ----------------------------------- INDEX FUND PURCHASES SALES -------------------------------------------------------------------------------- Extended Market $1,664,289 $ 421,599 Mid-Cap 4,006,264 3,014,996 -------------------------------------------------------------------------------- E. The market value of securities on loan to broker/dealers at December 31, 2003, and collateral received with respect to such loans were: -------------------------------------------------------------------------------- (000) ------------------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED -------------------------------------------------------------------------------- Extended Market $197,814 $223,920 Mid-Cap 40,594 42,262 -------------------------------------------------------------------------------- The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan. 68 F. Capital share transactions for each class of shares were: -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------- 2003 2002 ------------------------------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) -------------------------------------------------------------------------------- EXTENDED MARKET INVESTOR SHARES Issued $1,043,071 45,478 $ 699,391 33,544 Issued in Lieu of Cash Distributions 31,753 1,220 22,749 1,208 Redeemed (608,627) (27,268) (600,107) (29,319) ---------------------------------------------- Net Increase (Decrease)-- Investor Shares 466,197 19,430 122,033 5,433 ---------------------------------------------- Admiral Shares Issued 400,805 17,637 217,397 10,455 Issued in Lieu of Cash Distributions 7,595 293 5,147 273 Redeemed (225,312) (10,194) (200,823) (9,993) ---------------------------------------------- Net Increase (Decrease)-- Admiral Shares 183,088 7,736 21,721 735 ---------------------------------------------- Institutional Shares Issued 798,707 36,316 265,407 12,612 Issued in Lieu of Cash Distributions 11,140 431 6,005 319 Redeemed (305,722) (13,978) (221,639) (10,859) ---------------------------------------------- Net Increase (Decrease)-- Institutional Shares 504,125 22,769 49,773 2,072 ---------------------------------------------- VIPER Shares Issued 57,619 904 28,082 511 Issued in Lieu of Cash Distributions 14 -- -- -- Redeemed -- -- -- -- ---------------------------------------------- Net Increase (Decrease)-- VIPER Shares 57,633 904 28,082 511 ---------------------------------------------- MID-CAP Investor Shares Issued $1,136,824 100,873 $1,263,770 111,624 Issued in Lieu of Cash Distributions 29,801 2,292 42,143 3,986 Redeemed (636,170) (57,631) (644,199) (59,639) ---------------------------------------------- Net Increase (Decrease)-- Investor Shares 530,455 45,534 661,714 55,971 ---------------------------------------------- Admiral Shares Issued 416,475 7,996 406,131 7,971 Issued in Lieu of Cash Distributions 6,645 113 6,949 147 Redeemed (164,608) (3,129) (151,635) (3,124) ---------------------------------------------- Net Increase (Decrease)-- Admiral Shares 258,512 4,980 261,445 4,994 ---------------------------------------------- Institutional Shares Issued 344,525 30,275 343,553 31,481 Issued in Lieu of Cash Distributions 9,135 702 11,623 1,094 Redeemed (178,717) (15,554) (227,506) (21,501) ---------------------------------------------- Net Increase (Decrease)-- Institutional Shares 174,943 15,423 127,670 11,074 -------------------------------------------------------------------------------- *Amount of the fund's December 2003 dividend payable in January 2004 that will be used to reduce required 2004 ordinary income dividends. 69 REPORT OF INDEPENDENT AUDITORS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Extended Market Index Fund and Mid-Cap Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2003, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodians and broker, provide a reasonable basis for our opinion. PRICEWATERHOUSECOOPERS LLP PHILADELPHIA, PENNSYLVANIA FEBRUARY 3, 2004 -------------------------------------------------------------------------------- SPECIAL 2003 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (MID-CAPITALIZATION PORTFOLIOS) This information for the fiscal year ended December 31, 2003, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: ------------------------------- INDEX FUND PERCENTAGE ------------------------------- Extended Market 73.9% Mid-Cap 90.5 ------------------------------- The funds distributed the maximum amount of qualified dividend income allowable. The amount of qualified dividend income distributed by each fund was provided to individual shareholders on their 2003 Form 1099-DIV. -------------------------------------------------------------------------------- 70 INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM If you're like many Vanguard investors, you believe in planning and taking control of your own investments. Vanguard.com was built for you--and it keeps getting better. research and plan your investments with confidence Use our PLANNING & ADVICE and RESEARCH FUNDS & STOCKS sections to: * Determine what asset allocation might best suit your needs--by taking our Investor Questionnaire. * Find out how much to save for retirement and your children's college education-- by using our planning tools. * Learn how to achieve your goals--by reading our PlainTalk(R) investment guides. * Find your next fund--by using the Compare Funds, Compare Costs, and Narrow Your Fund Choices tools. * Look up fund price, performance history, and distribution information--in a snap. INVEST AND MANAGE ACCOUNTS WITH EASE Log on to VANGUARD.COM to: * See what you own (at Vanguard and elsewhere) and how your investments are doing. * Elect to receive online statements, fund reports (like this one), prospectuses, and tax forms. * Analyze your portfolio's holdings and performance. * Open new accounts, buy and sell shares, and exchange money between funds--securely and easily. * Sign up to receive electronic newsletters from Vanguard informing you of news on our funds, products, and services, as well as on investing and the financial markets. Find out what Vanguard.com can do for you. Log on today! 71 THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard(R) funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
------------------------------------------------------------------------------------------------------------ POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS ------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee (1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies May 1987 Executive Officer, served by The Vanguard Group. and Trustee (118) ------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (118) to Greenwich Associates (international business strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. ------------------------------------------------------------------------------------------------------------ RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (1945) (118) Chairman (January-September 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. ------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the HEISEN (118) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer (1950) products); Director of the Medical Center at Princeton and Women's July 1998 Research and Education Institute. ------------------------------------------------------------------------------------------------------------ BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University; (1932) (116) Director of Vanguard Investment Series plc (Irish invest-ment fund) May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish investment management firm)(since November 2001),Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc.(software company). ------------------------------------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS ------------------------------------------------------------------------------------------------------------ Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (1941) (118) Industries, Inc. (forklift trucks/housewares/lignite); Director of January 1993 Goodrich Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (supplier for the automotive industry) until 1998. ------------------------------------------------------------------------------------------------------------ J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (1936) (118) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal distribution); Trustee of Vanderbilt University. ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (118) Secretary of The Vanguard Group and of each of the investment June 2001 companies served by The Vanguard Group. ------------------------------------------------------------------------------------------------------------ Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (1957) (118) investment companies served by The Vanguard Group. July 1998 ------------------------------------------------------------------------------------------------------------ *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. ------------------------------------------------------------------------------------------------------------ VANGUARD SENIOR MANAGEMENT TEAM MORTIMER J. BUCKLEY, Information Technology. MICHAEL S. MILLER, Planning and Development. JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance. KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer. F. WILLIAM MCNABB, III, Client Relationship Group. ------------------------------------------------------------------------------------------------------------ JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. ------------------------------------------------------------------------------------------------------------
77 [VANGUARD SHIP LOGO] THE VANGUARD GROUP(R) POST OFFICE BOX 2600 VALLEY FORGE, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Admiral, PlainTalk, VIPER, VIPERs, and the ship logo are trademarks of The Vanguard Group, Inc. Standard & Poor's and S&P are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. The funds or securities referred to herein that are offered by The Vanguard Group and track an MSCI index are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities. For such funds or securities, the prospectus or the Statement of Additional Information contains a more detailed description of the limited relationship MSCI has with The Vanguard Group. All other marks are the exclusive property of their respective owners. ABOUT OUR COVER The photographs that appear on the cover of this report are copyrighted by Michael Kahn. FOR MORE INFORMATION This report is intended for the funds' shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the funds or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com. Prospectuses may also be viewed online. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 DIRECT INVESTOR ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 TEXT TELEPHONE 1-800-952-3335 (C) 2004 THE VANGUARD GROUP, INC. ALL RIGHTS RESERVED. VANGUARD MARKETING CORPORATION, DISTRIBUTOR. Q980 022004 VANGUARD(R) U.S. STOCK INDEX FUNDS LARGE-CAPITALIZATION PORTFOLIOS DECEMBER 31, 2003 ANNUAL REPORT VANGUARD(R) GROWTH INDEX FUND VANGUARD(R) VALUE INDEX FUND VANGUARD(R) TOTAL STOCK MARKET INDEX FUND THE VANGUARD GROUP(R) HOW TO READ YOUR FUND REPORT This report contains information that can help you evaluate your investment. It includes details about your fund's return and presents data and analysis that provide insight into the fund's performance and investment approach. By reading the letter from Vanguard's chairman, you'll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund's performance and characteristics stack up against those of similar funds and market benchmarks. It's important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus. Frequent updates on the fund's performance and information about some of its holdings are available on Vanguard.com(R). -------------------------------------------------------------------------------- CONTENTS 1 letter from the chairman 8 fund profiles 11 glossary of investment terms 12 performance summaries 16 your fund's after-tax returns 17 about your fund's expenses 18 financial statements 46 advantages of vanguard.com SUMMARY - The Growth, Value, and Total Stock Market Index Funds posted double-digit gains as the stock market surged during 2003. - Two of the three funds outperformed their peer-group averages for the year; over the past decade, all three have posted superior results. - Investors regained their appetite for risk, and small-cap stocks and "junk" bonds were the best performers in their respective asset classes. -------------------------------------------------------------------------------- Want less clutter in your mailbox? Just register with VANGUARD.COM and opt to get fund reports online. INDEXED TO MSCI GROWTH INDEX FUND VALUE INDEX FUND LETTER FROM THE CHAIRMAN Fellow Shareholder, During 2003, the U.S. stock market rebounded strongly from one of the longest and deepest bear markets in modern financial history. The Wilshire 5000 Total Market Index, a gauge of the broad market, returned 31.6%--its best calendar-year performance since 1995. [PICTURES OF JOHN J. BRENNAN] As expected, Vanguard's large-capitalization index funds reflected the market's performance. All three tracked their target indexes quite well--registering double-digit gains--and two outperformed their peer-group averages. The table, on page 2, lists the total returns (capital change plus reinvested distributions) for all the funds' share classes, as well as for their benchmarks. An analysis of the per-share components of the funds' returns appears on page 7. If you hold your shares in a taxable account, you may wish to review the funds' after-tax returns on page 16. STOCKS LEFT THE BEAR MARKET IN THEIR DUST The long and painful downturn of the broad U.S. stock market, which lost more than one-third of its value during the three years ended December 31, 2002, came to a dramatic close in 2003. The start and swift completion of major combat operations in Iraq ignited a broad-based rally that propelled the Wilshire 5000 Index to a 31.6% return. Other factors contributing to the rebound included the Federal Reserve Board's reduction in short-term interest rates to a 45-year low of 1.00%; low mortgage rates, which spurred home-buying and freed up cash through refinancing; the decline of the U.S. dollar relative to other currencies, which aided businesses dependent on exports and profits from operations overseas; tax cuts, which resulted in cash that consumers were more than willing to spend; a spike in business investment; and 1 rapid growth in U.S. production of goods and services--expanding at an 8.2% annualized rate in the third quarter. By most (if not all) gauges of performance, growth and value stocks--whose prices reflect either a premium or a discount relative to company earnings, book value, or other measures--provided similar returns. Small-cap stocks outpaced large-caps by a substantial margin, with the small-cap Russell 2000 Index outperforming the mid- to-large-cap Russell 1000 Index by 17.4 percentage points. International stocks, particularly those from emerging markets, also posted excellent returns. For U.S.-based investors, strong local-currency returns were generally augmented by the dollar's decline. -------------------------------------------------------------------------------- 2003 TOTAL RETURNS YEAR ENDED DECEMBER 31 -------------------------------------------------------------------------------- VANGUARD GROWTH INDEX FUND Investor Shares 25.9% Admiral Shares 26.0 Institutional Shares 26.1 Spliced Growth Index* 26.1 Average Large-Cap Growth Fund** 27.0 -------------------------------------------------------------------------------- VANGUARD VALUE INDEX FUND Investor Shares 32.2% Admiral Shares 32.4 Institutional Shares 32.4 Spliced Value Index+ 32.4 Average Large-Cap Value Fund** 28.3 -------------------------------------------------------------------------------- Vanguard Total Stock Market Index Fund Investor Shares 31.4% Admiral Shares 31.4 Institutional Shares 31.5 VIPER Shares Market Price 31.2 Net Asset Value 31.4 Wilshire 5000 Index 31.6 Average Multi-Cap Core Fund** 29.9 -------------------------------------------------------------------------------- *S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth Index thereafter. **Derived from data provided by Lipper Inc. +S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value Index thereafter. "JUNK" REIGNED SUPREME IN THE BOND MARKET An appetite for risk was evident not just in the stock market, but also in fixed income investments. Bonds from companies rated below-investment-grade (popularly known as "junk" bonds) surged 29.0% during the 12 months, as measured by the Lehman Brothers High Yield Bond Index. U.S. Treasury securities, which are essentially free of credit risk, provided weak returns. The benchmark 10-year Treasury note rallied early in the year, compressing yields to levels not seen since Dwight Eisenhower occupied the Oval Office, but retreated as the stock market and the broader economy gathered steam. By year-end, the 10-year note's yield stood at 4.25%, up 44 basis points (0.44 percentage point) from the beginning of the year. Rising rates mean falling prices, and the return of the broad Treasury market was barely above inflation. Overall, the broad U.S. investment-grade taxable bond market earned 4.1%. 2 Even as yields of longer-maturity bonds rose, the yield of the 3-month Treasury bill, a proxy for money market rates, finished the year at 0.92%, 27 basis points below its year-ago level. THE FUNDS REBOUNDED STRONGLY WITH THE MARKET Fueled by the broad-based resurgence in stocks, the Vanguard large-capitalization index funds provided excellent returns on an absolute basis and performed competitively against their peer-group averages, which are dominated by the returns of actively managed portfolios. The Value Index Fund recorded the highest gains, while its counterpart, the Growth Index Fund, earned lower, but still strong, returns. The returns for the Total Stock Market Index Fund, which tracks not only large-cap issues but also small- and mid-cap stocks, fell in between. As I noted in the funds' semiannual report in June, the Growth and Value Index Funds adopted new target benchmarks--the MSCI US Prime Market Growth and MSCI US Prime Market Value Indexes, respectively--during the year. The funds' trustees (of whom I am one) determined that the methodologies underlying these benchmarks make them superior to other available large-cap indexes, and we believe the new indexes will provide a more accurate picture of the performance of their respective market segments. -------------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ------------------------------- ONE THREE FIVE YEAR YEARS YEARS -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1% Russell 2000 Index (Small-caps) 47.3 6.3 7.1 Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4 MSCI All Country World Index Free ex USA (International) 41.4 -1.0 1.5 -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 4.1% 7.6% 6.6% (Broad taxable market) Lehman Municipal Bond Index 5.3 6.7 5.8 Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5 ================================================================================ CPI Consumer Price Index 1.9% 1.9% 2.4% -------------------------------------------------------------------------------- 3 One expected benefit of the change is lower portfolio turnover, which would reduce transaction costs. (It could also reduce the taxable distributions passed on to you.) However, the transition did result in a one-time significant increase in turnover. Even so, the transition did not generate net capital gains distributions in either fund. In the past year, the difference in performance between growth and value wasn't all that extreme. In all three large-cap funds, economically sensitive stocks were the best performers. In the Total Stock Market Index Fund, for example, technology stocks returned 48.9%. These stocks, which were among the hardest hit in the long downturn, made an especially noteworthy contribution to the Growth Index Fund's return, and performed well in the Value Index Fund too. Corporations have been boosting capital spending, and their investments helped to propel strong earnings growth in the tech sector. -------------------------------------------------------------------------------- In all three funds, economically sensitive stocks were the best performers. They made a significant contribution to the Growth Index Fund's return and performed well in the Value Index Fund. -------------------------------------------------------------------------------- Producer durables and materials & processing stocks also generated strong returns. These companies produce the economy's basic building blocks, and they often perform well as an expansion gathers momentum. Another strong performer was the financial services sector--an especially large group in the Total Stock Market and Value Index Funds--which benefited from low interest rates and recovering stock prices. In the Value Index Fund, this sector accounted for more than one-third of the fund's return for the year. Consumer staples and utilities stocks--traditionally defensive sectors that lost some appeal in a more risk-tolerant market--were among the "weaker" performers, though they still recorded double-digit gains. THE CASE FOR INDEXING HAS BEEN COMPELLING While the Total Stock Market and Value Index Funds outperformed the average returns of their peer groups over the past year, the Growth Index Fund trailed. Index portfolios can't be expected to provide above-average performance every year. As illustrated by the table on page 5, however, the case for indexing grows more powerful over time. During the ten years ended December 31, for example, a hypothetical $10,000 4 investment in the Total Stock Market Index Fund's Investor Shares would have grown to $27,097. The same investment in the average multi-cap core fund would have increased to $24,948-- a $2,149 difference in wealth accumulation on a relatively modest initial outlay. The Growth and Value Index Funds also created more wealth than their peer-group averages. -------------------------------------------------------------------------------- TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2003 -------------------------------------------------------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT -------------------------------------------------------------------------------- Growth Index Fund Investor Shares 11.1% $28,566 Spliced Growth Index 11.2 28,803 Average Large-Cap Growth Fund 8.4 22,339 -------------------------------------------------------------------------------- Value Index Fund Investor Shares 10.5% $27,126 Spliced Value Index 10.6 27,380 Average Large-Cap Value Fund 10.2 26,532 -------------------------------------------------------------------------------- Total Stock Market Index Fund Investor Shares 10.5% $27,097 Wilshire 5000 Index 10.6 27,351 Average Multi-Cap Core Fund 9.6 24,948 -------------------------------------------------------------------------------- The keys to this strong long-term performance have been full investment in stocks (eliminating the "drag" of uninvested cash in a generally rising market), broad diversification within a market segment (or, in the case of the Total Stock Market Index Fund, across the entire market), excellent execution by Vanguard Quantitative Equity Group, and exceptionally low costs. (For a comparison of the expense ratios of your fund and its peer group, see page 17.) Over long periods, the cumulative effect of these attributes has been imposing. For taxable investors, the benefits can be even greater, as our index funds' low portfolio turnover generally results in fewer realized capital gains. THE YEAR BROUGHT WELCOME CHANGE AND DISAPPOINTMENT In terms of fund performance, this is the most upbeat letter I've been able to write to shareholders of our large-cap index funds for several years. (The last time I reported on an "up" fiscal year for all three funds was 1999.) Although the market's resurgence has made my task more pleasant, it has in no way altered the advice that we offered to shareholders both before and during the long downturn. In any market environment, the keys to successful long-term investing are balance, diversification, and low costs. Make these principles the foundation of your investment plan, and you'll be positioned to survive--and ultimately thrive--come what may. 5 Unfortunately, even though stocks rebounded, 2003 also provided a disappointment to many investors. The reports of late trading and market-timing at some competing investment management firms have been as disturbing to us as they no doubt have been to you. I want to close this letter with an assurance that Vanguard has policies and procedures in place to identify and deter such behavior. More important, Vanguard shareholders are served by a crew of the highest integrity, and our client-owned corporate structure aligns our day-to-day efforts with your long-term financial goals. Thank you for investing your assets with Vanguard. Sincerely, /S/JOHN J. BRENNAN John J. Brennan CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 13, 2004 6 -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003 DISTRIBUTIONS PER SHARE ----------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS -------------------------------------------------------------------------------- Growth Index Fund Investor Shares $19.95 $24.92 $0.176 $0.000 Admiral Shares 19.95 24.92 0.195 0.000 Institutional Shares 19.95 24.92 0.206 0.000 -------------------------------------------------------------------------------- Value Index Fund Investor Shares $14.65 $18.95 $0.372 $0.000 Admiral Shares 14.65 18.95 0.386 0.000 Institutional Shares 14.65 18.95 0.394 0.000 -------------------------------------------------------------------------------- Total Stock Market Index Fund Investor Shares $20.07 $25.99 $0.327 $0.000 Admiral Shares 20.07 25.99 0.338 0.000 Institutional Shares 20.07 26.00 0.352 0.000 VIPER Shares 82.47 106.81 1.382 0.000 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND VIPER SHARES PREMIUM/DISCOUNT: MAY 24, 2001*-DECEMBER 31, 2003 CLOSING PRICE ABOVE OR EQUAL TO CLOSING PRICE BELOW CLOSING NET ASSET VALUE CLOSING NET ASSET VALUE ----------------------- ----------------------- NUMBER PERCENTAGE OF NUMBER PERCENTAGE OF BASIS POINT DIFFERENTIAL** OF DAYS TOTAL DAYS OF DAYS TOTAL DAYS -------------------------------------------------------------------------------- 0-24.9 331 50.69% 307 47.01% 25-49.9 10 1.53 3 0.46 50-74.9 0 0.00 2 0.31 75-100.0 0 0.00 0 0.00 >100.0 0 0.00 0 0.00 -------------------------------------------------------------------------------- Total 341 52.22% 312 47.78% -------------------------------------------------------------------------------- *Inception. **One basis point equals 1/100th of 1%. 7 FUND PROFILES AS OF 12/31/2003 These Profiles provide snapshots of the funds' characteristics, compared where indicated with the appropriate target index and a broad market index. Key terms are defined on page 11. GROWTH INDEX FUND -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** -------------------------------------------------------------------------------- Number of Stocks 402 401 5,216 Median Market Cap $44.0B $44.0B $29.3B Price/Earnings Ratio 33.1x 33.2x 25.6x Price/Book Ratio 4.5x 4.5x 3.1x Yield 0.7% 1.5% Investor Shares 0.5% Admiral Shares 0.6% Institutional Shares 0.6% Return on Equity 22.5% 22.5% 15.9% Earnings Growth Rate 11.0% 11.0% 5.3% Foreign Holdings 0.3% 0.3% 0.8% Turnover Rate 44%+ -- -- Expense Ratio -- -- Investor Shares 0.23% Admiral Shares 0.15% Institutional Shares 0.10% Short-Term Reserves 0% -- -- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX++ FUND INDEX** -------------------------------------------------------------------------------- R-Squared 1.00 1.00 0.94 1.00 Beta 1.00 1.00 0.99 1.00 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** -------------------------------------------------------------------------------- Auto & Transportation 2% 2 3% Consumer Discretionary 18 18 15 Consumer Staples 8 8 7 Financial Services 11 11 23 Health Care 21 21 13 Integrated Oils 0 0 3 Other Energy 2 2 2 Materials & Processing 1 1 4 Producer Durables 4 4 4 Technology 27 27 15 Utilities 3 3 6 Other 3 3 5 -------------------------------------------------------------------------------- *MSCI US Prime Market Growth Index. **Wilshire 5000 Index. +Includes activity related to a change in the fund's target index. ++S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth Index thereafter. -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Pfizer Inc. 5.3% (pharmaceuticals) Microsoft Corp. 4.8 (software) Intel Corp. 4.0 (electronics) Cisco Systems, Inc. 3.2 (computer hardware) International Business Machines Corp. 3.1 (computer hardware) Johnson & Johnson 2.9 (pharmaceuticals) Wal-Mart Stores, Inc. 2.9 (retail) American International Group, Inc. 2.8 (insurance) The Procter & Gamble Co. 2.3 (consumer products) Home Depot, Inc. 1.6 (retail) -------------------------------------------------------------------------------- Top Ten 32.9% -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. -------------------------------------------------------------------------------- INVESTMENT FOCUS Market Cap Large Style Growth -------------------------------------------------------------------------------- 8 VALUE INDEX FUND -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** -------------------------------------------------------------------------------- Number of Stocks 421 419 5,216 Median Market Cap $44.3B $44.3B $29.3B Price/Earnings Ratio 17.0x 17.0x 25.6x Price/Book Ratio 2.4x 2.4x 3.1x Yield 2.5% 1.5% Investor Shares 2.3% Admiral Shares 2.4% Institutional Shares 2.5% Return on Equity 19.2% 19.2% 15.9% Earnings Growth Rate 5.1% 5.1% 5.3% Foreign Holdings 0.0% 0.0% 0.8% Turnover Rate 47%+ -- -- Expense Ratio -- -- Investor Shares 0.23% Admiral Shares 0.15% Institutional Shares 0.10% Short-Term Reserves 0% -- -- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX++ FUND INDEX** -------------------------------------------------------------------------------- R-Squared 1.00 1.00 0.94 1.00 Beta 1.00 1.00 0.99 1.00 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** -------------------------------------------------------------------------------- Auto & Transportation 2% 2% 3% Consumer Discretionary 9 9 15 Consumer Staples 6 6 7 Financial Services 34 34 23 Health Care 6 6 13 Integrated Oils 8 8 3 Other Energy 2 2 2 Materials & Processing 5 5 4 Producer Durables 4 4 4 Technology 3 3 15 Utilities 11 11 6 Other 10 10 5 -------------------------------------------------------------------------------- *MSCI US Prime Market Value Index. **Wilshire 5000 Index. +Includes activity related to a change in the fund's target index. ++S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value Index thereafter. -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 5.8% (conglomerate) ExxonMobil Corp. 5.1 (oil) Citigroup, Inc. 4.6 (banking) Bank of America Corp. 2.2 (banking) Altria Group, Inc. 2.1 (tobacco) Merck & Co., Inc. 1.9 (pharmaceuticals) Wells Fargo & Co. 1.8 (banking) Verizon Communications 1.8 (telecommunications) ChevronTexaco Corp. 1.7 (oil) SBC Communications Inc. 1.6 (telecommunications) -------------------------------------------------------------------------------- Top Ten 28.6% -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. -------------------------------------------------------------------------------- INVESTMENT FOCUS Market Cap Large Style Value -------------------------------------------------------------------------------- VISIT OUR WEBSITE AT VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 9 FUND PROFILES (CONTINUED) TOTAL STOCK MARKET INDEX FUND -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET FUND INDEX* -------------------------------------------------------------------------------- Number of Stocks 3,651 5,216 Median Market Cap $29.3B $29.3B Price/Earnings Ratio 25.6x 25.6x Price/Book Ratio 3.0x 3.1x Yield 1.5% Investor Shares 1.4% Admiral Shares 1.5% Institutional Shares 1.5% VIPER Shares 1.5% Return on Equity 15.9% 15.9% Earnings Growth Rate 5.3% 5.3% Foreign Holdings 0.8% 0.8% Turnover Rate 2% -- Expense Ratio -- Investor Shares 0.20% Admiral Shares 0.15% Institutional Shares 0.08% VIPER Shares 0.15% Short-Term Reserves 0% -- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET FUND INDEX* -------------------------------------------------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET FUND INDEX* -------------------------------------------------------------------------------- Auto & Transportation 3% 3% Consumer Discretionary 15 15 Consumer Staples 7 7 Financial Services 23 23 Health Care 13 13 Integrated Oils 3 3 Other Energy 2 2 Materials & Processing 4 4 Producer Durables 4 4 Technology 15 15 Utilities 6 6 Other 5 5 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 2.4% (conglomerate) Microsoft Corp. 2.3 (software) ExxonMobil Corp. 2.1 (oil) Pfizer Inc. 2.0 (pharmaceuticals) Citigroup, Inc. 1.9 (banking) Wal-Mart Stores, Inc. 1.7 (retail) Intel Corp. 1.6 (electronics) American International Group, Inc. 1.3 (insurance) Cisco Systems, Inc. 1.3 (computer hardware) International Business Machines Corp. 1.2 (computer hardware) -------------------------------------------------------------------------------- Top Ten 17.8% -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. -------------------------------------------------------------------------------- INVESTMENT FOCUS Market Cap Large Style Blend -------------------------------------------------------------------------------- *Wilshire 5000 Index. 10 GLOSSARY OF INVESTMENT TERMS Beta. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility. -------------------------------------------------------------------------------- Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. -------------------------------------------------------------------------------- Expense Ratio. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. -------------------------------------------------------------------------------- Foreign Holdings. The percentage of a fund's equity assets represented by stocks or depositary receipts of companies based outside the United States. -------------------------------------------------------------------------------- Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. -------------------------------------------------------------------------------- Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. -------------------------------------------------------------------------------- Price/Earnings Ratio. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. -------------------------------------------------------------------------------- R-Squared. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by a given index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0. -------------------------------------------------------------------------------- Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. -------------------------------------------------------------------------------- Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash. -------------------------------------------------------------------------------- Turnover Rate. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). -------------------------------------------------------------------------------- Yield. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of income provided by securities in the index. -------------------------------------------------------------------------------- 11 PERFORMANCE SUMMARIES AS OF 12/31/2003 All of the returns in this report represent past performance, which cannot be used to predict future returns that may be achieved by the funds. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. GROWTH INDEX FUND -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003 GROWTH INDEX WILSHIRE SPLICED GROWTH AVERAGE LARGE-CAP FUND 5000 INDEX GROWTH FUND 199312 10000 10000 10000 10000 199403 9554 9627 9568 9620 199406 9541 9552 9560 9309 199409 10224 10071 10243 9858 199412 10283 9994 10313 9781 199503 11284 10896 11326 10510 199506 12449 11913 12497 11677 199509 13438 13002 13489 12698 199512 14198 13636 14246 12985 199603 14806 14402 14862 13676 199606 15820 15037 15904 14329 199609 16375 15462 16464 14858 199612 17568 16528 17660 15652 199703 18190 16635 18291 15538 199706 21869 19445 22001 18303 199709 23144 21342 23293 19994 199712 23953 21700 24112 20034 199803 27834 24578 28032 23027 199806 29453 25057 29674 24245 199809 27328 22043 27525 21618 199812 34062 26785 34276 27658 199903 36414 27796 36635 29990 199906 37834 29965 38039 30927 199909 36502 27983 36711 29803 199912 43858 33095 43959 38193 200003 45625 34358 45765 41411 200006 44980 32817 45094 39077 200009 41047 32873 41132 38842 200012 34118 29490 34253 31987 200103 28147 25849 28288 25844 200106 30316 27782 30470 27076 200109 26297 23364 26447 21841 200112 29707 26254 29892 24646 200203 29448 26506 29654 24312 200206 24649 23164 24833 20164 200209 21181 19270 21326 16999 200212 22673 20777 22841 17590 200303 22467 20136 22652 17736 200306 25067 23459 25256 20010 200309 25878 24329 26087 20594 200312 28566 27351 28803 22339 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 -------------------------------------FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT -------------------------------------------------------------------------------- Growth Index Fund Investor Shares* 25.92% -3.47% 11.07% $28,566 Wilshire 5000 Index 31.64 0.42 10.59 27,351 Spliced Growth Index** 26.10 -3.42 11.16 28,803 Average Large-Cap Growth FundY 27.00 -4.18 8.37 22,339 -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION++ INVESTMENT -------------------------------------------------------------------------------- Growth Index Fund Admiral Shares 26.03% -7.82% $193,739 Spliced Growth Index** 26.10 -7.70 194,501 -------------------------------------------------------------------------------- FINAL VALUE OF ONE FIVE SINCE A $10,000,000 YEAR YEARS INCEPTION++ INVESTMENT -------------------------------------------------------------------------------- Growth Index Fund Institutional Shares 26.09% -3.36% 0.32% $10,183,490 Spliced Growth Index** 26.10 -3.42 0.24 10,134,525 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003 FISCAL GROWTH INDEX FUND SPLICED GROWTH YEAR INVESTOR SHARES INDEX 1994 2.9 3.1 1995 38.1 38.1 1996 23.7 24 1997 36.3 36.5 1998 42.2 42.2 1999 28.8 28.2 2000 -22.2 -22.1 2001 -12.9 -12.7 2002 -23.7 -23.6 2003 25.9 26.1 -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **S&P 500/Barra Growth Index through May 16, 2003, MSCI US Prime Market Growth Index thereafter. +Derived from data provided by Lipper Inc. ++Inception dates are November 13, 2000, for the Admiral Shares and May 14, 1998, for the Institutional Shares. Note: See Financial Highlights tables on pages 34 and 35 for dividend and capital gains information. 12 VALUE INDEX FUND -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003 GROWTH INDEX WILSHIRE SPLICED GROWTH AVERAGE LARGE-CAP FUND 5000 INDEX GROWTH FUND 199312 10000 10000 10000 10000 199403 9668 9627 9673 9651 199406 9762 9552 9762 9653 199409 10006 10071 10012 10049 199412 9927 9994 9936 9977 199503 10884 10896 10894 10818 199506 11827 11913 11842 11729 199509 12775 13002 12784 12572 199512 13594 13636 13612 13268 199603 14455 14402 14482 13970 199606 14755 15037 14778 14422 199609 15132 15462 15169 14852 199612 16565 16528 16606 16081 199703 16843 16635 16898 16369 199706 19280 19445 19344 18810 199709 21038 21342 21116 20283 199712 21497 21700 21585 20611 199803 23972 24578 24078 23011 199806 24098 25057 24203 23162 199809 20974 22043 21077 20741 199812 24644 26785 24752 24569 199903 25330 27796 25457 25204 199906 28054 29965 28207 27193 199909 25461 27983 25604 25031 199912 27742 33095 27901 27328 200003 27788 34358 27966 27566 200006 26598 32817 26765 26940 200009 28938 32873 29124 27684 200012 29429 29490 29598 27689 200103 27493 25849 27666 26491 200106 28706 27782 28885 27985 200109 24038 23364 24204 24273 200112 25934 26254 26132 25839 200203 26277 26506 26478 26859 200206 23468 23164 23660 24227 200209 18668 19270 18819 19627 200212 20512 20777 20683 20684 200303 19362 20136 19543 19999 200306 23286 23459 23475 23648 200309 23809 24329 24023 24061 200312 27126 27351 27380 26532 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 -------------------------------------FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT -------------------------------------------------------------------------------- Value Index Fund Investor Shares* 32.25% 1.94% 10.49% $27,126 Wilshire 5000 Index 31.64 0.42 10.59 27,351 Spliced Value Index** 32.38 2.04 10.60 27,380 Average Large-Cap Value Fund+ 28.27 1.55 10.25 26,532 -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION++ INVESTMENT -------------------------------------------------------------------------------- Value Index Fund Admiral Shares 32.36% -1.54% $238,142 Spliced Value Index** 32.38 -1.51 238,383 -------------------------------------------------------------------------------- FINAL VALUE OF ONE FIVE SINCE A $10,000,000 YEAR YEARS INCEPTION++ INVESTMENT -------------------------------------------------------------------------------- Value Index Fund Institutional Shares 32.42% 2.05% 1.99% $11,146,886 Spliced Value Index** 32.38 2.04 1.97 11,130,681 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003 FISCAL VALUE INDEX FUND SPLICED VALUE YEAR INVESTOR SHARES INDEX 1994 -0.7 -0.6 1995 36.9 37 1996 21.9 22 1997 29.8 30 1998 14.6 14.7 1999 12.6 12.7 2000 6.1 6.1 2001 -11.9 -11.7 2002 -20.9 -20.9 2003 32.2 32.4 -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **S&P 500/Barra Value Index through May 16, 2003, MSCI US Prime Market Value Index thereafter. +Derived from data provided by Lipper Inc. ++Inception dates are November 13, 2000, for the Admiral Shares and July 2, 1998, for the Institutional Shares. Note: See Financial Highlights tables on pages 36 and 37 for dividend and capital gains information. 13 PERFORMANCE SUMMARIES (CONTINUED) TOTAL STOCK MARKET INDEX FUND -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003 TOTAL STOCK MARKET WILSHIRE 5000 AVERAGE MULIT-CAP INDEX FUND INVESTOR SHARES INDEX CORE FUND 199312 10000 10000 10000 199403 9629 9627 9700 199406 9542 9552 9526 199409 10079 10071 10003 199412 9983 9994 9841 199503 10897 10896 10612 199506 11903 11913 11510 199509 12967 13002 12431 199512 13556 13636 12904 199603 14303 14402 13665 199606 14911 15037 14176 199609 15330 15462 14689 199612 16397 16528 15586 199703 16504 16635 15630 199706 19278 19445 17919 199709 21158 21342 19745 199712 21479 21700 19637 199803 24331 24578 22162 199806 24779 25057 22289 199809 21789 22043 19335 199812 26476 26785 23181 199903 27458 27796 23784 199906 29621 29965 25806 199909 27719 27983 24225 199912 32781 33095 28386 200003 34041 34358 29851 200006 32546 32817 28784 200009 32635 32873 29452 200012 29315 29490 27546 200103 25719 25849 23791 200106 27640 27782 25120 200109 23238 23364 21641 200112 26100 26254 24546 200203 26354 26506 24008 200206 23009 23164 20774 200209 19134 19270 17839 200212 20629 20777 19207 200303 19981 20136 18143 200306 23270 23459 20687 200309 24108 24329 22095 200312 27097 27351 24948 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 -------------------------------------FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT -------------------------------------------------------------------------------- Total Stock Market Index Fund Investor Shares* 31.35% 0.46% 10.48% $27,097 Wilshire 5000 Index 31.64 0.42 10.59 27,351 Average Multi-Cap Core Fund** 29.89 1.48 9.57 24,948 -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION+ INVESTMENT -------------------------------------------------------------------------------- Total Stock Market Index Fund Admiral Shares 31.42% -3.24% $225,522 Wilshire 5000 Index 31.64 -3.19 225,863 -------------------------------------------------------------------------------- FINAL VALUE OF ONE FIVE SINCE A $10,000,000 YEAR YEARS INCEPTION+ INVESTMENT -------------------------------------------------------------------------------- Total Stock Market Index Fund Institutional Shares 31.55% 0.58% 5.08% $13,791,530 Wilshire 5000 Index 31.64 0.42 4.99 13,711,047 -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $10,000 YEAR INCEPTION+ INVESTMENT -------------------------------------------------------------------------------- Total Stock Market Index Fund VIPER Shares Market Price 31.17% -2.53% $9,353 Total Stock Market Index Fund VIPER Shares Net Asset Value 31.43 -2.46 9,372 Wilshire 5000 Index 31.64 -2.38 9,392 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CUMULATIVE RETURNS: VIPER SHARES MAY 24, 2001++-DECEMBER 31, 2003 Cumulative One Since Year Inception -------------------------------------------------------------------------------- Total Stock Market Index Fund VIPER Shares Market Price 31.17% -6.47% Total Stock Market Index Fund VIPER Shares Net Asset Value 31.43 -6.28 Wilshire 5000 Index 31.64 -6.08 -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +Inception dates are November 13, 2000, for the Admiral Shares, July 7, 1997, for the Institutional Shares and May 24, 2001, for the VIPER Shares. ++Inception. Note: See Financial Highlights tables on pages 37-39 for dividend and capital gains information. 14 -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003 FISCAL TOTAL STOCK MARKET INDEX FUND WILSHIRE 5000 YEAR INVESTOR SHARES INDEX 1994 -0.2 -0.1 1995 35.8 36.4 1996 21 21.2 1997 31 31.3 1998 23.3 23.4 1999 23.8 23.6 2000 -10.6 -10.9 2001 -11 -11 2002 -21 -20.9 2003 31.4 31.6 -------------------------------------------------------------------------------- 15 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect the reduced tax rates on ordinary income (including qualified dividend income) and short-term capital gains that became effective as of January 1, 2003, and on long-term capital gains realized on or after May 6, 2003. Qualified dividend income is based on calendar year 2003. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.) The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ONE YEAR FIVE YEARS TEN YEARS ---------------------------------- GROWTH INDEX FUND INVESTOR SHARES* Returns Before Taxes 25.92% -3.47% 11.07% Returns After Taxes on Distributions 25.77 -3.84 10.48 Returns After Taxes on Distributions and Sale of Fund Shares 17.01 -3.07 9.55 -------------------------------------------------------------------------------- VALUE INDEX FUND INVESTOR SHARES* Returns Before Taxes 32.25% 1.94% 10.49% Returns After Taxes on Distributions 31.81 0.39 8.73 Returns After Taxes on Distributions and Sale of Fund Shares 21.44 0.90 8.29 -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES* Returns Before Taxes 31.35% 0.46% 10.48% Returns After Taxes on Distributions 31.07% -0.03 9.72 Returns After Taxes on Distributions and Sale of Fund Shares 20.69 0.13 8.85 -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. 16 ABOUT YOUR FUND'S EXPENSES All mutual funds have operating expenses. These expenses include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its net assets. This figure is known as the expense ratio. a hypothetical example We believe it is important for you to understand the impact of costs on your investment. The following example illustrates the costs that you would incur over a 12-month period if you invested $10,000 in your fund, using each fund's actual return and operating expenses for the fiscal year ended December 31, 2003. The cost in dollars is calculated by applying the expense ratio to the average balance in the hypothetical account. For comparative purposes, we also list the average expense ratios for the funds' peer groups, which are derived from data provided by Lipper Inc. -------------------------------------------------------------------------------- COST OF $10,000 FUND PEER GROUP* INVESTMENT IN FUND EXPENSE RATIO EXPENSE RATIO -------------------------------------------------------------------------------- GROWTH INDEX FUND Investor Shares $26 0.23% 1.57% Admiral Shares 17 0.15 -- Institutional Shares 11 0.10 -- VALUE INDEX FUND Investor Shares 27 0.23 1.41 Admiral Shares 17 0.15 -- Institutional Shares 12 0.10 -- TOTAL STOCK MARKET INDEX FUND Investor Shares 23 0.20 1.38 Admiral Shares 17 0.15 -- Institutional Shares 9 0.08 -- VIPER Shares 17 0.15 -- -------------------------------------------------------------------------------- *Peer groups are: for the Growth Index Fund, the Average Large-Cap Growth Fund; for the Value Index Fund, the Average Large-Cap Value Fund; for the Total Stock Market Index Fund, the Average Multi-Cap Core Fund. The calculations assume no shares were sold. Your actual costs may have been higher or lower, depending on the amount of your investment and your holding period. Peer-group ratios capture data through year-end 2002. You can find more information about the funds' expenses, including annual expense ratios for the past five years, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to the funds' prospectuses. The prospectus presents hypothetical shareholder costs over various time periods based upon a $10,000 investment and a return of 5% a year. This standardized example, which appears in all mutual fund prospectuses, may be useful to you in comparing the costs of investing in different funds. 17 FINANCIAL STATEMENTS AS OF 12/31/2003 The Statement of Net Assets--an integral part of the Financial Statements for the Vanguard Total Stock Market Index Fund--is included as an insert to this report. The Growth Index and Value Index Funds' Statements of Net Assets are provided below. STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%) -------------------------------------------------------------------------------- Pfizer Inc. 14,068,380 $ 497,036 Microsoft Corp. 16,555,839 455,948 Intel Corp. 11,721,662 377,438 * Cisco Systems, Inc. 12,532,238 304,408 International Business Machines Corp. 3,126,164 289,733 Johnson & Johnson 5,362,770 277,041 Wal-Mart Stores, Inc. 5,131,374 272,219 American International Group, Inc. 4,006,734 265,566 The Procter & Gamble Co. 2,225,614 222,294 Home Depot, Inc. 4,277,446 151,807 PepsiCo, Inc. 3,117,873 145,355 * Amgen, Inc. 2,324,061 143,627 * Dell Inc. 4,154,485 141,086 The Coca-Cola Co. 2,597,875 131,842 Eli Lilly & Co. 1,825,496 128,387 3M Co. 1,344,020 114,282 Medtronic, Inc. 2,198,461 106,867 American Express Co. 2,092,991 100,945 * Oracle Corp. 7,053,107 93,101 Texas Instruments, Inc. 3,128,100 91,904 Anheuser-Busch Cos., Inc. 1,493,859 78,697 QUALCOMM Inc. 1,429,053 77,069 Lowe's Cos., Inc. 1,344,918 74,495 United Parcel Service, Inc. 957,650 71,393 Walgreen Co. 1,851,899 67,372 * Applied Materials, Inc. 2,994,538 67,227 * Comcast Corp. Special Class A 2,114,316 66,136 Gillette Co. 1,751,197 64,321 UnitedHealth Group Inc. 1,077,356 62,681 Abbott Laboratories 1,341,055 62,493 Target Corp. 1,563,681 60,045 * Comcast Corp. Class A 1,798,622 59,121 Schlumberger Ltd. 1,052,710 57,604 * EMC Corp. 4,351,838 56,226 First Data Corp. 1,337,490 54,957 * eBay Inc. 800,316 51,692 Fifth Third Bancorp 871,936 51,531 Cardinal Health, Inc. 806,720 49,339 Colgate-Palmolive Co. 972,161 48,657 * Nextel Communications, Inc. 1,710,273 47,990 Fannie Mae 615,895 46,229 * Yahoo! Inc. 996,746 45,023 Clear Channel Communications, Inc. 944,451 44,229 18 -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Sysco Corp. 1,173,819 $ 43,701 Automatic Data Processing, Inc. 1,074,943 42,579 Illinois Tool Works, Inc. 500,669 42,011 * Boston Scientific Corp. 1,115,672 41,012 * Forest Laboratories, Inc. 659,468 40,755 * Genentech, Inc. 421,100 39,402 * Cendant Corp. 1,740,149 38,753 Newmont Mining Corp. (Holding Co.) 783,198 38,071 * Berkshire Hathaway Inc. Class B 13,083 36,829 The Boeing Co. 845,800 35,642 MBNA Corp. 1,425,561 35,425 HCA Inc. 821,380 35,286 FedEx Corp. 512,432 34,589 Guidant Corp. 562,169 33,843 * Liberty Media Corp. 2,844,685 33,823 AFLAC Inc. 928,821 33,605 * AT&T Wireless Services Inc. 4,166,975 33,294 State Street Corp. 601,435 31,323 Progressive Corp. of Ohio 372,930 31,173 SLM Corp. 814,742 30,699 * Zimmer Holdings, Inc. 434,685 30,602 * Costco Wholesale Corp. 823,008 30,599 Analog Devices, Inc. 663,750 30,300 Omnicom Group Inc. 343,441 29,993 Motorola, Inc. 2,102,520 29,582 Maxim Integrated Products, Inc. 584,572 29,112 Avon Products, Inc. 426,872 28,810 * InterActiveCorp 841,316 28,546 * Veritas Software Corp. 766,500 28,483 * Amazon.com, Inc. 536,367 28,234 * WellPoint Health Networks Inc. Class A 274,708 26,644 The Gap, Inc. 1,130,043 26,228 Harley-Davidson, Inc. 546,919 25,995 Best Buy Co., Inc. 495,227 25,871 Freddie Mac 434,700 25,352 * Electronic Arts Inc. 530,092 25,328 Capital One Financial Corp. 410,700 25,172 * Kohl's Corp. 552,095 24,811 * Corning, Inc. 2,337,526 24,380 The McGraw-Hill Cos., Inc. 345,519 24,159 * Staples, Inc. 882,658 24,097 Linear Technology Corp. 565,620 23,796 * Xilinx, Inc. 613,650 23,773 * Starbucks Corp. 704,151 23,279 * Bed Bath & Beyond, Inc. 532,303 23,075 Paychex, Inc. 610,453 22,709 International Game Technology 623,512 22,259 Marsh & McLennan Cos., Inc. 457,132 21,892 Charles Schwab Corp. 1,835,308 21,730 * Biogen Idec Inc. 586,610 21,576 * Lucent Technologies, Inc. 7,517,449 21,350 * Gilead Sciences, Inc. 362,499 21,076 * Hughes Electronics Corp. 1,259,026 20,837 Southwest Airlines Co. 1,273,208 20,550 * KLA-Tencor Corp. 349,051 20,479 TJX Cos., Inc. 915,730 20,192 Stryker Corp. 233,974 19,890 * Genzyme Corp.-General Division 399,800 19,726 * Xerox Corp. 1,428,890 19,719 Baker Hughes, Inc. 604,769 19,449 Danaher Corp. 207,600 19,047 * St. Jude Medical, Inc. 310,380 19,042 * Symantec Corp. 546,552 18,938 * Anthem, Inc. 250,503 18,788 * Intuit, Inc. 351,437 18,595 * Yum! Brands, Inc. 530,348 18,244 * Lexmark International, Inc. 231,469 18,203 Allergan, Inc. 235,934 18,122 * Sun Microsystems, Inc. 3,779,792 16,971 H & R Block, Inc. 306,050 16,946 Adobe Systems, Inc. 419,896 16,502 McKesson Corp. 498,600 16,035 * Accenture Ltd. 607,500 15,989 Biomet, Inc. 438,499 15,966 Waste Management, Inc. 535,100 15,839 * Altera Corp. 688,553 15,630 Mattel, Inc. 793,126 15,284 * EchoStar Communications Corp. Class A 442,600 15,048 * Apollo Group, Inc. Class A 220,851 15,018 Wm. Wrigley Jr. Co. 265,823 14,942 Computer Associates International, Inc. 543,900 14,870 * Agilent Technologies, Inc. 502,700 14,699 * Univision Communications Inc. 365,939 14,524 * SunGard Data Systems, Inc. 515,710 14,290 * Flextronics International Ltd. 941,124 13,966 * Broadcom Corp. 408,602 13,929 Moody's Corp. 229,216 13,879 * Fiserv, Inc. 348,508 13,770 * PeopleSoft, Inc. 603,600 13,762 * Micron Technology, Inc. 991,800 13,360 * National Semiconductor Corp. 332,152 13,090 * Concord EFS, Inc. 879,547 13,052 * Cox Communications, Inc. Class A 374,900 12,915 New York Times Co. Class A 268,543 12,834 * Affiliated Computer Services, Inc. Class A 228,199 12,428 * Coach, Inc. 328,298 12,393 19 -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- Microchip Technology, Inc. 369,399 $ 12,323 Mylan Laboratories, Inc. 484,948 12,250 * Phelps Dodge Corp. 160,979 12,249 * Caremark Rx, Inc. 480,551 12,172 * Network Appliance, Inc. 584,725 12,004 Tiffany & Co. 263,231 11,898 Synovus Financial Corp. 408,517 11,814 * Siebel Systems, Inc. 845,010 11,720 * Sanmina-SCI Corp. 918,445 11,582 Cintas Corp. 230,539 11,557 * Chiron Corp. 201,470 11,482 * Novellus Systems, Inc. 272,500 11,459 * MedImmune Inc. 449,802 11,425 * American Standard Cos., Inc. 111,015 11,179 ITT Industries, Inc. 150,221 11,148 Hilton Hotels Corp. 648,301 11,105 * Nabors Industries, Inc. 264,678 10,984 * AutoZone Inc. 128,488 10,948 * Medco Health Solutions, Inc. 318,144 10,814 Dollar General Corp. 514,049 10,790 IMS Health, Inc. 432,106 10,742 * Quest Diagnostics, Inc. 142,620 10,427 Health Management Associates Class A 433,389 10,401 * Juniper Networks, Inc. 552,500 10,321 * BJ Services Co. 286,053 10,269 * Fox Entertainment Group, Inc. Class A 346,900 10,112 Family Dollar Stores, Inc. 279,667 10,034 Lennar Corp. Class A 103,799 9,965 Harrah's Entertainment, Inc. 198,914 9,900 Rockwell Collins, Inc. 324,048 9,731 * Laboratory Corp. of America Holdings 261,750 9,672 Ecolab, Inc. 352,034 9,635 Freeport-McMoRan Copper & Gold, Inc. Class B 225,231 9,489 * Cablevision Systems NY Group Class A 396,600 9,276 The Clorox Co. 190,907 9,270 * Apple Computer, Inc. 424,183 9,065 * Synopsys, Inc. 266,708 9,004 XTO Energy, Inc. 317,799 8,994 * L-3 Communications Holdings, Inc. 174,199 8,947 * Solectron Corp. 1,499,405 8,861 * QLogic Corp. 169,601 8,751 RadioShack Corp. 284,274 8,722 Legg Mason Inc. 112,899 8,714 * Teradyne, Inc. 340,958 8,677 EOG Resources, Inc. 186,828 8,626 * SanDisk Corp. 140,389 8,583 * Weatherford International Ltd. 237,299 8,543 * Noble Corp. 238,499 8,534 * Varian Medical Systems, Inc. 123,199 8,513 * Watson Pharmaceuticals, Inc. 185,000 8,510 Harman International Industries, Inc. 110,600 8,182 * SPX Corp. 138,483 8,144 * Jabil Circuit, Inc. 287,468 8,135 * BEA Systems, Inc. 653,800 8,042 * JDS Uniphase Corp. 2,190,500 7,995 * Sealed Air Corp. 145,768 7,892 Washington Post Co. Class B 9,879 7,818 Smurfit-Stone Container Corp. 419,988 7,799 Applera Corp.- Applied Biosystems Group 375,838 7,784 Estee Lauder Cos. Class A 196,560 7,717 * Mercury Interactive Corp. 155,230 7,550 * Express Scripts Inc. 113,149 7,516 * AdvancePCS 142,699 7,515 * Smith International, Inc. 180,899 7,511 * Barr Pharmaceuticals Inc. 96,543 7,429 New York Community Bancorp, Inc. 194,964 7,418 Omnicare, Inc. 183,099 7,395 * LAM Research Corp. 228,299 7,374 * Waters Corp. 222,115 7,365 * Sprint PCS 1,308,374 7,353 * Qwest Communications International Inc. 1,692,482 7,312 Dover Corp. 183,100 7,278 * Whole Foods Market, Inc. 107,799 7,237 Ross Stores, Inc. 273,657 7,233 Tribune Co. 138,900 7,167 * Career Education Corp. 178,498 7,152 Expeditors International of Washington, Inc. 188,399 7,095 Franklin Resources Corp. 136,100 7,085 Symbol Technologies, Inc. 417,783 7,056 ENSCO International, Inc. 257,199 6,988 Sigma-Aldrich Corp. 121,344 6,938 E.W. Scripps Co. Class A 73,250 6,896 * Health Net Inc. 209,999 6,867 * Robert Half International, Inc. 292,508 6,827 * Pactiv Corp. 284,621 6,802 Commerce Bancorp, Inc. 129,099 6,801 * Mohawk Industries, Inc. 95,899 6,765 * The Dun & Bradstreet Corp. 133,199 6,755 McCormick & Co., Inc. 224,009 6,743 * VeriSign, Inc. 411,855 6,713 Manpower Inc. 140,499 6,615 20 -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Celgene Corp. 145,800 $ 6,564 * Oxford Health Plans, Inc. 149,899 6,521 * Pioneer Natural Resources Co. 202,299 6,459 CDW Corp. 111,699 6,452 * Citizens Communications Co. 513,736 6,381 * Agere Systems Inc. Class A 2,092,000 6,381 * IVAX Corp. 265,199 6,333 * Citrix Systems, Inc. 296,263 6,284 Hershey Foods Corp. 81,510 6,275 * Williams-Sonoma, Inc. 179,399 6,238 Equifax, Inc. 253,583 6,213 T. Rowe Price Group Inc. 130,028 6,165 PETsMART, Inc. 257,361 6,125 * Advanced Micro Devices, Inc. 407,506 6,072 * LSI Logic Corp. 684,379 6,070 * NVIDIA Corp. 260,150 6,048 * Comverse Technology, Inc. 343,435 6,041 Centex Corp. 55,819 6,009 * ChoicePoint Inc. 157,599 6,003 White Mountains Insurance Group Inc. 13,014 5,986 TCF Financial Corp. 116,051 5,959 Darden Restaurants Inc. 282,072 5,935 * Coventry Health Care Inc. 91,851 5,923 * Dollar Tree Stores, Inc. 196,799 5,916 * Patterson Dental Co. 92,199 5,915 * Interpublic Group of Cos., Inc. 374,800 5,847 Intersil Corp. 234,699 5,832 * Brinker International, Inc. 175,499 5,820 Fastenal Co. 116,099 5,798 Ball Corp. 97,095 5,784 * CarMax, Inc. 186,999 5,784 DENTSPLY International Inc. 127,997 5,782 Gentex Corp. 130,808 5,776 * Cadence Design Systems, Inc. 318,897 5,734 AmerisourceBergen Corp. 101,178 5,681 * Marvell Technology Group Ltd. 148,598 5,636 * Ceridian Corp. 267,699 5,606 Beckman Coulter, Inc. 109,999 5,591 Manor Care, Inc. 161,022 5,567 * Lamar Advertising Co. Class A 148,440 5,540 * UTStarcom, Inc. 148,778 5,515 * Constellation Brands, Inc. Class A 166,899 5,496 * Chico's FAS, Inc. 147,999 5,469 Alberto-Culver Co. Class B 84,890 5,355 Michaels Stores, Inc. 121,099 5,353 * Ameritrade Holding Corp. 380,100 5,348 Seagate Technology 282,800 5,345 Doral Financial Corp. 165,337 5,337 * Lincare Holdings, Inc. 177,199 5,321 Arthur J. Gallagher & Co. 163,299 5,306 Universal Health Services Class B 97,799 5,254 Jones Apparel Group, Inc. 148,306 5,225 * NVR, Inc. 10,960 5,107 * MGM Mirage, Inc. 134,950 5,075 Outback Steakhouse 114,799 5,075 * Avaya Inc. 391,559 5,067 * Henry Schein, Inc. 74,479 5,033 * DST Systems, Inc. 119,999 5,011 * Zebra Technologies Corp. Class A 75,239 4,994 * Westwood One, Inc. 144,899 4,957 Dial Corp. 172,999 4,925 C.H. Robinson Worldwide, Inc. 129,652 4,915 * Iron Mountain, Inc. 123,009 4,864 * Cephalon, Inc. 100,100 4,846 Tektronix, Inc. 153,066 4,837 Equitable Resources, Inc. 112,199 4,816 Garmin Ltd. 87,660 4,776 * AES Corp. 503,947 4,757 Avery Dennison Corp. 84,911 4,757 Pogo Producing Co. 97,410 4,705 * WebMD Corp. 522,826 4,700 Aramark Corp. Class B 169,179 4,639 Hudson City Bancorp, Inc. 120,730 4,609 * Cooper Cameron Corp. 98,799 4,604 Diebold, Inc. 85,000 4,579 * Patterson-UTI Energy, Inc. 138,599 4,563 * Millennium Pharmaceuticals, Inc. 241,999 4,518 Investors Financial Services Corp. 117,499 4,513 * Convergys Corp. 257,497 4,496 * Fairchild Semiconductor International, Inc. 179,899 4,492 * Allied Waste Industries, Inc. 321,571 4,463 * Unisys Corp. 296,861 4,408 * SICOR, Inc. 160,899 4,376 * Level 3 Communications, Inc. 766,557 4,369 Dow Jones & Co., Inc. 87,541 4,364 SEI Corp. 141,899 4,324 * Jacobs Engineering Group Inc. 89,999 4,321 Federated Investors, Inc. 146,918 4,314 * Abercrombie & Fitch Co. 174,399 4,309 * ADC Telecommunications, Inc. 1,450,884 4,309 Noble Energy, Inc. 96,699 4,296 Fair, Isaac, Inc. 86,899 4,272 * Network Associates, Inc. 281,999 4,241 * Corinthian Colleges, Inc. 74,998 4,167 * Alliant Techsystems, Inc. 69,509 4,015 * Emulex Corp. 148,500 3,962 21 -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Rowan Cos., Inc. 169,284 $ 3,922 * The Cheesecake Factory 87,999 3,875 * Pride International, Inc. 207,099 3,860 * BMC Software, Inc. 205,396 3,831 * Apogent Technologies Inc. 165,899 3,822 Campbell Soup Co. 142,465 3,818 * Entercom Communications Corp. 71,999 3,813 C.R. Bard, Inc. 46,682 3,793 * Millipore Corp. 87,747 3,778 * Advance Auto Parts, Inc. 46,340 3,772 American Power Conversion Corp. 151,234 3,698 Scientific-Atlanta, Inc. 134,300 3,666 D. R. Horton, Inc. 84,299 3,647 Eaton Vance Corp. 99,299 3,638 Molex, Inc. 103,773 3,621 * Rent-A-Center, Inc. 118,550 3,542 Pier 1 Imports Inc. 161,599 3,533 * Amphenol Corp. 53,873 3,444 Brown & Brown, Inc. 104,899 3,421 Murphy Oil Corp. 52,289 3,415 * JetBlue Airways Corp. 126,750 3,361 * Energizer Holdings, Inc. 89,199 3,350 * First Health Group Corp. 171,100 3,330 Meredith Corp. 68,056 3,322 * NCR Corp. 85,477 3,317 * BISYS Group, Inc. 216,099 3,216 * RF Micro Devices, Inc. 315,799 3,174 * King Pharmaceuticals, Inc. 206,479 3,151 Molex, Inc. Class A 105,400 3,095 * Krispy Kreme Doughnuts, Inc. 83,999 3,074 The St. Joe Co. 82,434 3,074 Pall Corp. 111,909 3,003 Everest Re Group, Ltd. 35,028 2,963 National Instruments Corp. 65,099 2,960 * Weight Watchers International, Inc. 77,100 2,958 * Agere Systems Inc. Class B 946,800 2,746 * Pixar, Inc. 39,400 2,730 * Community Health Systems, Inc. 97,699 2,597 * Storage Technology Corp. 98,799 2,544 * CIENA Corp. 381,959 2,536 Harte-Hanks, Inc. 111,799 2,432 * CheckFree Corp. 84,099 2,325 * Metro-Goldwyn-Mayer Inc. 132,385 2,262 International Speedway Corp. 50,399 2,251 * Host Marriott Corp. REIT 181,142 2,232 * ICOS Corp. 53,601 2,213 Total System Services, Inc. 70,900 2,207 Polo Ralph Lauren Corp. 75,544 2,176 * National-Oilwell, Inc. 94,610 2,115 Mandalay Resort Group 47,224 2,112 * 99 Cents Only Stores 77,299 2,105 Hasbro, Inc. 98,892 2,104 Fluor Corp. 51,541 2,043 RenaissanceRe Holdings Ltd. 39,957 1,960 KB HOME 25,272 1,833 * Cox Radio, Inc. 71,501 1,804 BlackRock, Inc. 33,815 1,796 * Radio One, Inc. Class D 90,100 1,739 * Maxtor Corp. 151,113 1,677 Brown-Forman Corp. Class B 17,388 1,625 Packaging Corp. of America 73,343 1,603 * Hewitt Associates, Inc. 52,300 1,564 * Triad Hospitals, Inc. 45,200 1,504 Talbots Inc. 46,100 1,419 * Columbia Sportswear Co. 25,300 1,379 * International Steel Group, Inc. 35,300 1,375 * WellChoice Inc. 37,700 1,301 The McClatchy Co. Class A 17,793 1,224 Student Loan Corp. 7,233 1,056 * Radio One, Inc. 51,100 999 * Citadel Broadcasting Corp. 44,376 993 AVX Corp. 55,136 916 * CapitalSource Inc. 41,708 904 Nuveen Investments, Inc. Class A 29,806 795 Regal Entertainment Group Class A 30,508 626 News Corp. Ltd. Pfd. ADR 15,118 457 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $7,355,284) 9,455,889 -------------------------------------------------------------------------------- FACE AMOUNT (000) -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENT (0.1%) -------------------------------------------------------------------------------- REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.99%, 1/2/2004--Note E (Cost $5,735) $5,735 5,735 -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.0%) (Cost $7,361,019) 9,461,624 -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Other Assets--Note B 93,683 Liabilities--Note E (95,351) -------- (1,668) -------- -------------------------------------------------------------------------------- NET ASSETS (100%) $9,459,956 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. ADR--American Depositary Receipt. REIT--Real Estate Investment Trust. 22 -------------------------------------------------------------------------------- AMOUNT (000) -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: -------------------------------------------------------------------------------- Paid-in Capital $11,046,032 Overdistributed Net Investment Income (11,623) Accumulated Net Realized Losses (3,675,058) Unrealized Appreciation 2,100,605 -------------------------------------------------------------------------------- NET ASSETS $9,459,956 ================================================================================ Investor Shares--Net Assets Applicable to 304,451,081 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $7,586,419 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $24.92 ================================================================================ Admiral Shares--Net Assets Applicable to 43,807,965 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $1,091,652 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $24.92 ================================================================================ Institutional Shares--Net Assets Applicable to 31,376,427 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $781,885 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $24.92 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 23 -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%) -------------------------------------------------------------------------------- General Electric Co. 7,869,600 $ 243,800 ExxonMobil Corp. 5,213,089 213,737 Citigroup, Inc. 4,045,838 196,385 Bank of America Corp. 1,173,931 94,419 Altria Group, Inc. 1,594,100 86,751 Merck & Co., Inc. 1,761,310 81,373 Wells Fargo & Co. 1,327,819 78,195 Verizon Communications 2,165,000 75,948 ChevronTexaco Corp. 839,407 72,516 SBC Communications Inc. 2,610,623 68,059 * Time Warner, Inc. 3,410,271 61,351 J.P. Morgan Chase & Co. 1,599,688 58,757 Viacom Inc. Class B 1,209,845 53,693 Hewlett-Packard Co. 2,275,218 52,262 Wachovia Corp. 1,046,382 48,751 U.S. Bancorp 1,513,040 45,058 Morgan Stanley 768,871 44,495 Wyeth 1,045,600 44,386 Bristol-Myers Squibb Co. 1,522,700 43,549 Tyco International Ltd. 1,568,892 41,576 BellSouth Corp. 1,451,061 41,065 Merrill Lynch & Co., Inc. 697,664 40,918 Bank One Corp. 885,017 40,348 The Walt Disney Co. 1,605,603 37,459 Fannie Mae 497,200 37,320 FleetBoston Financial Corp. 826,512 36,077 E.I. du Pont de Nemours & Co. 782,549 35,911 United Technologies Corp. 368,161 34,891 ConocoPhillips Co. 507,346 33,267 The Coca-Cola Co. 608,100 30,861 Dow Chemical Co. 721,314 29,985 Washington Mutual, Inc. 725,147 29,093 Abbott Laboratories 583,000 27,168 Alcoa Inc. 664,573 25,254 McDonald's Corp. 999,437 24,816 Kimberly-Clark Corp. 397,900 23,512 Allstate Corp. 525,062 22,588 Caterpillar, Inc. 270,966 22,496 Ford Motor Co. 1,383,324 22,133 The Goldman Sachs Group, Inc. 223,374 22,054 Honeywell International Inc. 641,706 21,452 Emerson Electric Co. 330,700 21,413 Freddie Mac 350,927 20,466 Metropolitan Life Insurance Co. 596,997 20,101 The Bank of New York Co., Inc. 606,803 20,097 Schering-Plough Corp. 1,154,000 20,068 General Motors Corp. 374,302 19,988 Gannett Co., Inc. 211,818 18,886 Prudential Financial, Inc. 428,607 17,903 Southern Co. 572,190 17,309 Exelon Corp. 255,923 16,983 BB&T Corp. 430,439 16,632 National City Corp. 482,334 16,370 Dominion Resources, Inc. 253,903 16,207 Lockheed Martin Corp. 300,942 15,468 International Paper Co. 357,770 15,423 Baxter International, Inc. 478,200 14,595 Duke Energy Corp. 710,373 14,527 SunTrust Banks, Inc. 198,907 14,222 Union Pacific Corp. 189,985 13,200 The Hartford Financial Services Group Inc. 221,755 13,090 Motorola, Inc. 913,985 12,860 Occidental Petroleum Corp. 300,567 12,696 Sara Lee Corp. 579,900 12,590 AT&T Corp. 617,433 12,534 Lehman Brothers Holdings, Inc. 160,944 12,428 Northrop Grumman Corp. 129,290 12,360 Deere & Co. 188,429 12,257 PNC Financial Services Group 220,000 12,041 General Dynamics Corp. 131,575 11,893 Carnival Corp. 296,633 11,785 Sprint Corp. 709,396 11,648 CVS Corp. 309,972 11,196 ConAgra Foods, Inc. 421,724 11,129 Weyerhaeuser Co. 172,125 11,016 Mellon Financial Corp. 338,100 10,856 ALLTEL Corp. 232,594 10,834 Countrywide Financial Corp. 142,369 10,799 General Mills, Inc. 234,100 10,605 Golden West Financial Corp. 101,768 10,501 * The Kroger Co. 560,596 10,377 Apache Corp. 127,149 10,312 Entergy Corp. 179,020 10,227 Masco Corp. 369,154 10,119 H.J. Heinz Co. 276,200 10,062 The Chubb Corp. 147,181 10,023 Anadarko Petroleum Corp. 195,934 9,995 Praxair, Inc. 255,900 9,775 Raytheon Co. 325,101 9,766 Sears, Roebuck & Co. 211,019 9,599 Marsh & McLennan Cos., Inc. 198,700 9,516 American Electric Power Co., Inc. 310,206 9,464 Burlington Northern Santa Fe Corp. 292,335 9,457 Air Products & Chemicals, Inc. 178,608 9,436 Devon Energy Corp. 163,858 9,383 Electronic Data Systems Corp. 376,703 9,244 24 -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- KeyCorp 313,906 $ 9,204 Ingersoll-Rand Co. 134,516 9,131 ACE Ltd. 218,528 9,051 FirstEnergy Corp. 255,978 9,010 * PG&E Corp. 323,562 8,985 Equity Office Properties Trust REIT 313,218 8,974 FPL Group, Inc. 137,098 8,969 Travelers Property Casualty Corp. Class B 528,340 8,966 Halliburton Co. 343,886 8,941 NIKE, Inc. Class B 130,279 8,919 Burlington Resources, Inc. 157,616 8,729 SouthTrust Corp. 264,946 8,672 PPG Industries, Inc. 133,410 8,541 John Hancock Financial Services, Inc. 227,319 8,524 XL Capital Ltd. Class A 107,701 8,352 The Boeing Co. 197,933 8,341 MBNA Corp. 333,489 8,287 Progress Energy, Inc. 181,754 8,226 Becton, Dickinson & Co. 199,363 8,202 Aetna Inc. 120,948 8,174 Johnson Controls, Inc. 70,259 8,158 Fortune Brands, Inc. 113,994 8,149 Public Service Enterprise Group, Inc. 184,139 8,065 Marathon Oil Corp. 243,527 8,058 * Liberty Media Corp. 665,616 7,914 Comerica, Inc. 137,726 7,721 Kraft Foods Inc. 238,500 7,684 * Safeway, Inc. 346,886 7,600 Consolidated Edison Inc. 176,692 7,600 Unocal Corp. 203,071 7,479 Pitney Bowes, Inc. 183,900 7,470 PACCAR, Inc. 87,036 7,409 Kellogg Co. 192,500 7,330 Norfolk Southern Corp. 306,296 7,244 Marriott International, Inc. Class A 155,481 7,183 The Principal Financial Group, Inc. 215,923 7,141 St. Paul Cos., Inc. 178,856 7,092 Waste Management, Inc. 232,812 6,891 Federated Department Stores, Inc. 143,566 6,766 AmSouth Bancorp 275,747 6,756 MBIA, Inc. 113,935 6,748 Archer-Daniels-Midland Co. 430,940 6,559 Northern Trust Corp. 138,802 6,443 Equity Residential REIT 214,985 6,344 CIGNA Corp. 110,220 6,338 May Department Stores Co. 215,256 6,257 Limited Brands, Inc. 346,159 6,241 Albertson's, Inc. 273,720 6,200 Simon Property Group, Inc. REIT 133,723 6,197 Regions Financial Corp. 166,347 6,188 Charter One Financial, Inc. 177,174 6,121 PPL Corp. 138,839 6,074 Eaton Corp. 56,021 6,049 CSX Corp. 168,220 6,046 * Transocean Inc. 251,447 6,037 CIT Group Inc. 166,190 5,975 Bear Stearns Co., Inc. 74,326 5,942 Monsanto Co. 205,685 5,920 * Computer Sciences Corp. 132,321 5,853 Ameren Corp. 127,116 5,847 * Tenet Healthcare Corp. 364,231 5,846 Ambac Financial Group, Inc. 83,752 5,812 Marshall & Ilsley Corp. 151,835 5,808 Tribune Co. 112,136 5,786 Eastman Kodak Co. 225,198 5,781 TXU Corp. 240,207 5,698 Starwood Hotels & Resorts Worldwide, Inc. 157,948 5,681 Lincoln National Corp. 139,714 5,640 Jefferson-Pilot Corp. 111,352 5,640 J.C. Penney Co., Inc. (Holding Co.) 213,511 5,611 M & T Bank Corp. 56,299 5,534 Parker Hannifin Corp. 92,794 5,521 Georgia Pacific Group 179,471 5,504 Textron, Inc. 95,881 5,471 Sovereign Bancorp, Inc. 229,308 5,446 Xcel Energy, Inc. 313,437 5,322 DTE Energy Co. 132,072 5,204 Cinergy Corp. 132,553 5,144 Constellation Energy Group, Inc. 131,165 5,136 * Edison International 230,259 5,050 Loews Corp. 101,892 5,039 Aon Corp. 208,950 5,002 Newell Rubbermaid, Inc. 215,600 4,909 Knight Ridder 63,188 4,889 Rohm & Haas Co. 113,614 4,852 Union Planters Corp. 154,028 4,850 North Fork Bancorp, Inc. 119,574 4,839 Sempra Energy 160,165 4,815 MeadWestvaco Corp. 157,475 4,685 UST, Inc. 130,847 4,670 Rockwell Automation, Inc. 130,599 4,649 25 -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- KeySpan Corp. 124,449 $ 4,580 Genuine Parts Co. 136,634 4,536 NiSource, Inc. 206,543 4,532 ProLogis REIT 140,944 4,523 Cincinnati Financial Corp. 107,182 4,489 General Growth Properties Inc. REIT 160,056 4,442 MGIC Investment Corp. 77,260 4,399 Plum Creek Timber Co. Inc. REIT 143,630 4,374 Kinder Morgan, Inc. 72,674 4,295 Coca-Cola Enterprises, Inc. 195,336 4,272 Cooper Industries, Inc. Class A 72,299 4,188 National Commerce Financial Corp. 152,599 4,163 Valero Energy Corp. 89,799 4,161 First Tennessee National Corp. 93,895 4,141 Archstone-Smith Trust REIT 147,667 4,132 Vornado Realty Trust REIT 75,272 4,121 Banknorth Group, Inc. 126,599 4,118 Torchmark Corp. 89,558 4,078 * Office Depot, Inc. 243,373 4,067 Delphi Corp. 396,244 4,046 SAFECO Corp. 103,319 4,022 Williams Cos., Inc. 407,266 3,999 * Dean Foods Co. 121,516 3,994 * Sun Microsystems, Inc. 888,746 3,990 Fidelity National Financial, Inc. 102,673 3,982 Popular, Inc. 88,535 3,979 El Paso Corp. 484,757 3,970 Whirlpool Corp. 53,986 3,922 Zions Bancorp 63,502 3,895 GlobalSantaFe Corp. 155,836 3,869 R.J. Reynolds Tobacco Holdings, Inc. 66,190 3,849 Pulte Homes, Inc. 41,081 3,846 Huntington Bancshares Inc. 170,800 3,843 Compass Bancshares Inc. 93,755 3,685 Kerr-McGee Corp. 79,181 3,681 Vulcan Materials Co. 75,697 3,601 Radian Group, Inc. 73,399 3,578 CenturyTel, Inc. 107,308 3,500 Boston Properties, Inc. REIT 72,502 3,494 UnumProvident Corp. 220,766 3,481 Computer Associates International, Inc. 127,239 3,479 Kimco Realty Corp. REIT 77,459 3,466 Nucor Corp. 61,473 3,442 * Agilent Technologies, Inc. 117,610 3,439 Old Republic International Corp. 135,199 3,429 * E*TRADE Financial Corp. 270,299 3,419 Sherwin-Williams Co. 97,480 3,386 Amerada Hess Corp. 63,534 3,378 Wendy's International, Inc. 84,655 3,322 The Pepsi Bottling Group, Inc. 136,682 3,305 Duke Realty Corp. REIT 106,507 3,302 Rouse Co. REIT 69,247 3,255 Lear Corp. 52,699 3,232 Republic Services, Inc. Class A 126,099 3,232 * Thermo Electron Corp. 127,434 3,211 Dover Corp. 79,599 3,164 Leggett & Platt, Inc. 143,477 3,103 Green Point Financial Corp. 87,748 3,099 Campbell Soup Co. 115,200 3,087 Travelers Property Casualty Corp. Class A 183,500 3,079 Franklin Resources Corp. 59,119 3,078 Wisconsin Energy Corp. 91,999 3,077 Liz Claiborne, Inc. 85,513 3,032 Black & Decker Corp. 60,885 3,003 SuperValu Inc. 105,007 3,002 SCANA Corp. 87,099 2,983 Engelhard Corp. 98,595 2,953 D. R. Horton, Inc. 68,200 2,950 Sunoco, Inc. 57,372 2,935 VF Corp. 67,371 2,913 W.W. Grainger, Inc. 60,832 2,883 Pinnacle West Capital Corp. 71,697 2,869 Mercantile Bankshares Corp. 62,299 2,840 Allied Capital Corp. 100,500 2,802 Public Storage, Inc. REIT 64,259 2,788 * Humana Inc. 120,678 2,757 Murphy Oil Corp. 42,164 2,754 Nordstrom, Inc. 80,204 2,751 The PMI Group Inc. 73,599 2,740 Hershey Foods Corp. 35,500 2,733 Hibernia Corp. Class A 116,254 2,733 ServiceMaster Co. 231,643 2,699 * Providian Financial Corp. 228,471 2,659 Avalonbay Communities, Inc. REIT 55,145 2,636 Pepco Holdings, Inc. 134,599 2,630 Foot Locker, Inc. 111,800 2,622 Centex Corp. 24,265 2,612 iStar Financial Inc. REIT 67,080 2,609 Goodrich Corp. 87,761 2,606 * Tellabs, Inc. 308,698 2,602 * Vishay Intertechnology, Inc. 113,399 2,597 * AutoNation, Inc. 140,222 2,576 Energy East Corp. 114,799 2,571 Hillenbrand Industries, Inc. 41,199 2,557 R.R. Donnelley & Sons Co. 84,513 2,548 26 -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Interpublic Group of Cos., Inc. 163,288 $ 2,547 Apartment Investment & Management Co. Class A REIT 73,825 2,547 * Medco Health Solutions, Inc. 74,645 2,537 The Stanley Works 66,989 2,537 Liberty Property Trust REIT 65,199 2,536 Health Care Properties Investors REIT 49,700 2,525 Telephone & Data Systems, Inc. 40,099 2,508 Janus Capital Group Inc. 150,100 2,463 AmerisourceBergen Corp. 43,863 2,463 PartnerRe Ltd. 42,050 2,441 Sabre Holdings Corp. 112,679 2,433 Eastman Chemical Co. 60,931 2,409 Temple-Inland Inc. 38,221 2,395 Everest Re Group, Ltd. 28,299 2,394 UnionBanCal Corp. 41,600 2,394 * 3Com Corp. 289,800 2,368 Tyson Foods, Inc. 176,399 2,336 * Park Place Entertainment Corp. 213,999 2,318 Commerce Bancshares, Inc. 46,199 2,265 A.G. Edwards & Sons, Inc. 62,399 2,261 Brunswick Corp. 70,948 2,258 Ashland, Inc. 50,882 2,242 Associated Banc-Corp 52,100 2,222 International Flavors & Fragrances, Inc. 62,846 2,195 Questar Corp. 61,799 2,172 The Clorox Co. 44,600 2,166 Bausch & Lomb, Inc. 41,419 2,150 Dana Corp. 117,040 2,148 * Apple Computer, Inc. 99,952 2,136 TECO Energy, Inc. 147,803 2,130 City National Corp. 34,199 2,124 * Toys R Us, Inc. 168,022 2,124 Astoria Financial Corp. 56,800 2,113 CenterPoint Energy Inc. 216,456 2,097 DPL Inc. 99,599 2,080 * AES Corp. 219,469 2,072 Avery Dennison Corp. 36,800 2,062 Belo Corp. Class A 72,599 2,057 W.R. Berkley Corp. 58,600 2,048 Valley National Bancorp 69,835 2,039 Bowater Inc. 43,599 2,019 Northeast Utilities 100,099 2,019 NSTAR 41,499 2,013 AMB Property Corp. REIT 61,099 2,009 Bemis Co., Inc. 39,730 1,987 Harris Corp. 52,099 1,977 * Millennium Pharmaceuticals, Inc. 105,900 1,977 Bank of Hawaii Corp. 46,234 1,951 * Unisys Corp. 129,551 1,924 Hospitality Properties Trust REIT 46,599 1,924 MDU Resources Group, Inc. 80,198 1,910 New Plan Excel Realty Trust REIT 76,699 1,892 Valspar Corp. 37,863 1,871 Allete, Inc. 60,999 1,867 Lyondell Chemical Co. 109,699 1,859 * Compuware Corp. 300,848 1,817 Weingarten Realty Investors REIT 40,790 1,809 Fulton Financial Corp. 82,535 1,808 * Host Marriott Corp. REIT 146,700 1,807 Leucadia National Corp. 39,075 1,801 Sonoco Products Co. 72,499 1,785 * Tech Data Corp. 44,499 1,766 * Markel Corp. 6,953 1,763 Puget Energy, Inc. 73,999 1,759 Protective Life Corp. 51,499 1,743 Viad Corp. 69,599 1,740 New York Community Bancorp, Inc. 45,566 1,734 Deluxe Corp. 41,640 1,721 Hubbell Inc. Class B 38,999 1,720 * Qwest Communications International Inc. 396,389 1,712 FirstMerit Corp. 63,299 1,707 Hasbro, Inc. 80,107 1,705 * BMC Software, Inc. 89,666 1,672 Fluor Corp. 41,823 1,658 C.R. Bard, Inc. 20,273 1,647 Maytag Corp. 58,756 1,636 American Power Conversion Corp. 66,098 1,616 Scientific-Atlanta, Inc. 58,678 1,602 J.M. Smucker Co. 35,199 1,594 RenaissanceRe Holdings Ltd. 32,416 1,590 Wilmington Trust Corp. 44,099 1,588 Circuit City Stores, Inc. 156,245 1,583 Hormel Foods Corp. 60,099 1,551 * Del Monte Foods Co. 148,500 1,544 Reynolds & Reynolds Class A 53,000 1,540 Unitrin, Inc. 36,999 1,532 RPM International, Inc. 90,999 1,498 KB HOME 20,352 1,476 Nationwide Financial Services, Inc. 44,307 1,465 Reebok International Ltd. 37,003 1,455 T. Rowe Price Group Inc. 30,483 1,445 * NCR Corp. 37,167 1,442 * Smithfield Foods, Inc. 68,999 1,428 * Advanced Micro Devices, Inc. 95,168 1,418 * King Pharmaceuticals, Inc. 90,176 1,376 27 -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) -------------------------------------------------------------------------------- * Maxtor Corp. 122,578 $ 1,361 Teleflex Inc. 27,999 1,353 * Cadence Design Systems, Inc. 74,800 1,345 Tidewater Inc. 44,699 1,336 Transatlantic Holdings, Inc. 16,437 1,328 Pall Corp. 48,887 1,312 Regency Centers Corp. REIT 32,880 1,310 * Saks Inc. 86,399 1,299 Jones Apparel Group, Inc. 34,887 1,229 * Triad Hospitals, Inc. 36,699 1,221 * Avaya Inc. 91,873 1,189 PepsiAmericas, Inc. 68,199 1,168 * Ingram Micro, Inc. Class A 71,000 1,129 * Storage Technology Corp. 43,200 1,112 Carolina Group 43,880 1,108 * CIENA Corp. 166,442 1,105 Adolph Coors Co. Class B 19,379 1,087 Diebold, Inc. 19,899 1,072 Diamond Offshore Drilling, Inc. 51,380 1,054 * Owens-Illinois, Inc. 87,400 1,039 Mercury General Corp. 21,441 998 Lafarge North America Inc. 24,468 991 * ICOS Corp. 23,500 970 Erie Indemnity Co. Class A 22,793 966 Mandalay Resort Group 20,675 925 * Energizer Holdings, Inc. 21,000 789 * Kmart Holding Corp. 31,779 761 Montpelier Re Holdings Ltd. 20,081 737 Axis Capital Holdings Ltd. 24,200 709 Molex, Inc. Class A 23,913 702 Brown-Forman Corp. Class B 7,500 701 Capitol Federal Financial 17,375 627 * BOK Financial Corp. 15,800 612 Hearst-Argyle Television Inc. 20,300 559 * CheckFree Corp. 19,562 541 The McClatchy Co. Class A 7,651 526 Blockbuster Inc. Class A 28,420 510 * National-Oilwell, Inc. 21,989 492 * U.S. Cellular Corp. 12,500 444 AVX Corp. 23,924 398 Packaging Corp. of America 17,236 377 Regal Entertainment Group Class A 13,494 277 Washington Post Co. Class B 50 40 White Mountains Insurance Group Inc. 60 28 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $3,732,330) 4,225,948 -------------------------------------------------------------------------------- FACE AMOUNT AMOUNT (000) (000) -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENT (0.2%) -------------------------------------------------------------------------------- REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.99%, 1/2/2004--Note E (Cost $7,981) $7,981 $ 7,981 -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.1%) (Cost $3,740,311) 4,233,929 -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.1%) -------------------------------------------------------------------------------- Other Assets--Note B 40,198 Liabilities--Note E (46,181) -------- (5,983) -------- -------------------------------------------------------------------------------- NET ASSETS (100%) $4,227,946 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. REIT--Real Estate Investment Trust. 28 -------------------------------------------------------------------------------- AMOUNT (000) -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: -------------------------------------------------------------------------------- Paid-in Capital $4,651,844 Overdistributed Net Investment Income (4,544) Accumulated Net Realized Losses (912,972) Unrealized Appreciation 493,618 -------------------------------------------------------------------------------- NET ASSETS $4,227,946 ================================================================================ Investor Shares--Net Assets Applicable to 154,129,944 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $2,920,941 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $18.95 ================================================================================ Admiral Shares--Net Assets Applicable to 40,803,692 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $773,300 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $18.95 ================================================================================ Institutional Shares--Net Assets Applicable to 28,160,115 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $533,705 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $18.95 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 29 STATEMENT OF OPERATIONS This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period. -------------------------------------------------------------------------------- GROWTH VALUE INDEX FUND INDEX FUND ------------------------------ YEAR ENDED DECEMBER 31, 2003 ------------------------------ (000) (000) -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 82,699 $ 89,143 Interest 110 168 Security Lending 43 218 -------------------------------------------------------------------------------- Total Income 82,852 89,529 -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 113 113 Management and Administrative Investor Shares 13,985 4,909 Admiral Shares 1,161 708 Institutional Shares 526 323 Marketing and Distribution Investor Shares 821 341 Admiral Shares 120 88 Institutional Shares 127 87 Custodian Fees 154 161 Auditing Fees 17 17 Shareholders' Reports Investor Shares 325 75 Admiral Shares 5 2 Institutional Shares 3 2 Trustees' Fees and Expenses 12 4 -------------------------------------------------------------------------------- Total Expenses 17,369 6,830 -------------------------------------------------------------------------------- NET INVESTMENT INCOME 65,483 82,699 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (436,436) (327,605) Futures Contracts (654) 3 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (437,090) (327,602) -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 2,312,375 1,243,304 Futures Contracts -- -- -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 2,312,375 1,243,304 -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $1,940,768 $ 998,401 ================================================================================ 30 -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND YEAR ENDED DECEMBER 31, 2003 (000) -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 531,482 Interest 1,531 Security Lending 3,454 -------------------------------------------------------------------------------- Total Income 536,467 -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 113 Management and Administrative Investor Shares 33,196 Admiral Shares 7,841 Institutional Shares 3,416 VIPER Shares 2,453 Marketing and Distribution Investor Shares 2,445 Admiral Shares 660 Institutional Shares 794 VIPER Shares 299 Custodian Fees 654 Auditing Fees 20 Shareholders' Reports Investor Shares 816 Admiral Shares 21 Institutional Shares 15 VIPER Shares 23 Trustees' Fees and Expenses 36 -------------------------------------------------------------------------------- Total Expenses 52,802 -------------------------------------------------------------------------------- NET INVESTMENT INCOME 483,665 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (329,740) Futures Contracts 21,981 -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (307,759) -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 9,012,637 Futures Contracts 1,316 -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 9,013,953 -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $9,189,859 ================================================================================ 31 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. -------------------------------------------------------------------------------- GROWTH VALUE INDEX FUND INDEX FUND ----------------- ---------------- YEAR ENDED DECEMBER 31, -------------------------------------------------------------------------------- 2003 2002 2003 2002 (000) (000) (000) (000) -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 65,483 $ 86,098 $ 82,699 $ 68,872 Realized Net Gain (Loss) (437,090) (858,416) (327,602) (358,599) Change in Unrealized Appreciation (Depreciation) 2,312,375 (1,638,184) 1,243,304 (614,611) -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 1,940,768 (2,410,502) 998,401 (904,338) -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (53,318) (70,060) (55,864) (48,530) Admiral Shares (7,958) (8,872) (14,343) (10,594) Institutional Shares (6,561) (8,738) (11,117) (12,094) Realized Capital Gain Investor Shares -- -- -- -- Admiral Shares -- -- -- -- Institutional Shares -- -- -- -- -------------------------------------------------------------------------------- Total Distributions (67,837) (87,670) (81,324) (71,218) -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Investor Shares (21,541) (319,751) 81,496 (143,326) Admiral Shares 135,609 88,780 136,542 34,060 Institutional Shares (46,173) (23,525) (77,454) (214,549) -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 67,895 (254,496) 140,584 (323,815) -------------------------------------------------------------------------------- Total Increase (Decrease) 1,940,826 (2,752,668) 1,057,661 (1,299,371) -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 7,519,130 10,271,798 3,170,285 4,469,656 -------------------------------------------------------------------------------- End of Period $9,459,956 $7,519,130 $4,227,946 $3,170,285 ================================================================================ 32 -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND ------------------------- YEAR ENDED DECEMBER 31, -------------------------------------------------------------------------------- 2003 2002 (000) (000) -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 483,665 $ 331,288 Realized Net Gain (Loss) (307,759) (168,590) Change in Unrealized Appreciation (Depreciation) 9,013,953 (5,904,648) -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 9,189,859 (5,741,950) -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (280,716) (197,489) Admiral Shares (92,244) (55,661) Institutional Shares (91,521) (60,729) VIPER Shares (28,586) (18,616) Realized Capital Gain Investor Shares -- -- Admiral Shares -- -- Institutional Shares -- -- VIPER Shares -- -- -------------------------------------------------------------------------------- Total Distributions (493,067) (332,495) -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Investor Shares 4,707,953 2,207,858 Admiral Shares 2,288,250 1,155,128 Institutional Shares 2,034,942 1,291,353 VIPER Shares 739,232 409,620 -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 9,770,377 5,063,959 -------------------------------------------------------------------------------- Total Increase (Decrease) 18,467,169 (1,010,486) -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 24,077,826 25,088,312 -------------------------------------------------------------------------------- End of Period $42,544,995 $24,077,826 ================================================================================ 33 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
GROWTH INDEX FUND INVESTOR SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $39.43 $31.67 ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .169 .222 .181 .126 .207 Net Realized and Unrealized Gain (Loss) on Investments 4.977 (6.465) (4.144) (8.861) 8.821 ------------------------------------------------------------------------------------------------------- Total from Investment Operations 5.146 (6.243) (3.963) (8.735) 9.028 ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.176) (.227) (.187) (.125) (.228) Distributions from Realized Capital Gains -- -- -- -- (1.040) ------------------------------------------------------------------------------------------------------- Total Distributions (.176) (.227) (.187) (.125) (1.268) ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $24.92 $19.95 $26.42 $30.57 $39.43 ======================================================================================================= TOTAL RETURN* 25.92% -23.68% -12.93% -22.21% 28.76% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $7,586 $6,094 $8,445 $11,162 $15,232 Ratio of Total Expenses to Average Net Assets 0.23% 0.23% 0.22% 0.22% 0.22% Ratio of Net Investment Income to Average Net Assets 0.77% 0.97% 0.67% 0.33% 0.64% Portfolio Turnover Rate 44%** 23% 31% 33% 33% =======================================================================================================
*Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 42%. 34
GROWTH INDEX FUND ADMIRAL SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, NOV. 13* TO ---------------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $33.12 ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .188 .237 .194 .024 Net Realized and Unrealized Gain (Loss) on Investments 4.977 (6.465) (4.144) (2.536) ------------------------------------------------------------------------------------------------------- Total from Investment Operations 5.165 (6.228) (3.950) (2.512) ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.195) (.242) (.200) (.038) Distributions from Realized Capital Gains -- -- -- -- ------------------------------------------------------------------------------------------------------- Total Distributions (.195) (.242) (.200) (.038) ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $24.92 $19.95 $26.42 $30.57 ======================================================================================================= TOTAL RETURN 26.03% -23.62% -12.88% -7.59% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,092 $751 $906 $709 Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.17% 0.17%** Ratio of Net Investment Income to Average Net Assets 0.84% 1.05% 0.74% 0.56%** Portfolio Turnover Rate 44%+ 23% 31% 33% =======================================================================================================
*Inception. **Annualized. +Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 42%.
GROWTH INDEX FUND INSTITUTIONAL SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $39.44 $31.67 ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .199 .248 .213 .156 .249 Net Realized and Unrealized Gain (Loss) on Investments 4.977 (6.465) (4.144) (8.861) 8.821 ------------------------------------------------------------------------------------------------------- Total from Investment Operations 5.176 (6.217) (3.931) (8.705) 9.070 ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.206) (.253) (.219) (.165) (.260) Distributions from Realized Capital Gains -- -- -- -- (1.040) ------------------------------------------------------------------------------------------------------- Total Distributions (.206) (.253) (.219) (.165) (1.300) ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $24.92 $19.95 $26.42 $30.57 $39.44 ======================================================================================================= TOTAL RETURN 26.09% -23.58% -12.82% -22.14% 28.91% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $782 $675 $921 $948 $452 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.12% 0.12% Ratio of Net Investment Income to Average Net Assets 0.92% 1.10% 0.80% 0.44% 0.74% Portfolio Turnover Rate 44%* 23% 31% 33% 33% =======================================================================================================
*Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 42%. 35
FINANCIAL HIGHLIGHTS (CONTINUED) VALUE INDEX FUND INVESTOR SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.89 $22.51 ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .378 .303 .309 .355 .355 Net Realized and Unrealized Gain (Loss) on Investments 4.294 (4.238) (2.986) .963 2.342 ------------------------------------------------------------------------------------------------------- Total from Investment Operations 4.672 (3.935) (2.677) 1.318 2.697 ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.372) (.315) (.316) (.358) (.362) Distributions from Realized Capital Gains -- -- (.977) (.980) (1.955) ------------------------------------------------------------------------------------------------------- Total Distributions (.372) (.315) (1.293) (1.338) (2.317) ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $18.95 $14.65 $18.90 $22.87 $22.89 ======================================================================================================= TOTAL RETURN* 32.25% -20.91% -11.88% 6.08% 12.57% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $2,921 $2,197 $3,018 $3,450 $3,378 Ratio of Total Expenses to Average Net Assets 0.23% 0.23% 0.22% 0.22% 0.22% Ratio of Net Investment Income to Average Net Assets 2.38% 1.80% 1.51% 1.60% 1.59% Portfolio Turnover Rate 47%** 26% 38% 37% 41% =======================================================================================================
*Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 44%.
VALUE INDEX FUND ADMIRAL SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, NOV. 13* TO ---------------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.86 ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .392 .315 .318 .045 Net Realized and Unrealized Gain (Loss) on Investments 4.294 (4.238) (2.986) .635 ------------------------------------------------------------------------------------------------------- Total from Investment Operations 4.686 (3.923) (2.668) .680 ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.386) (.327) (.325) (.100) Distributions from Realized Capital Gains -- -- (.977) (.570) ------------------------------------------------------------------------------------------------------- Total Distributions (.386) (.327) (1.302) (.670) ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $18.95 $14.65 $18.90 $22.87 ======================================================================================================= TOTAL RETURN 32.36% -20.85% -11.83% 3.13% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $773 $480 $587 $248 Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.17% 0.17%** Ratio of Net Investment Income to Average Net Assets 2.48% 1.88% 1.57% 0.19%** Portfolio Turnover Rate 47%+ 26% 38% 37% =======================================================================================================
*Inception. **Annualized. +Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 44%. 36
VALUE INDEX FUND INSTITUTIONAL SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.89 $22.51 ------------------------------------------------------------------------------------------------------- Investment Operations Net Investment Income .400 .322 .333 .377 .377 Net Realized and Unrealized Gain (Loss) on Investments 4.294 (4.238) (2.986) .963 2.342 ------------------------------------------------------------------------------------------------------- Total from Investment Operations 4.694 (3.916) (2.653) 1.340 2.719 ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.394) (.334) (.340) (.380) (.384) Distributions from Realized Capital Gains -- -- (.977) (.980) (1.955) ------------------------------------------------------------------------------------------------------- Total Distributions (.394) (.334) (1.317) (1.360) (2.339) ------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $18.95 $14.65 $18.90 $22.87 $22.89 ======================================================================================================= Total Return 32.42% -20.81% -11.77% 6.19% 12.67% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $534 $494 $865 $1,082 $460 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.12% 0.12% Ratio of Net Investment Income to Average Net Assets 2.46% 1.91% 1.63% 1.70% 1.68% Portfolio Turnover Rate 47%* 26% 38% 37% 41% =======================================================================================================
*Includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 44%.
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.74 $29.26 $33.22 $27.42 ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .325 .295 .310 .331 .317 Net Realized and Unrealized Gain (Loss) on Investments 5.922 (5.672) (3.533) (3.815) 6.133 ------------------------------------------------------------------------------------------------------- Total from Investment Operations 6.247 (5.377) (3.223) (3.484) 6.450 ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.327) (.293) (.297) (.336) (.330) Distributions from Realized Capital Gains -- -- -- (.140) (.320) ------------------------------------------------------------------------------------------------------- Total Distributions (.327) (.293) (.297) (.476) (.650) ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $25.99 $20.07 $25.74 $29.26 $33.22 ======================================================================================================= TOTAL RETURN* 31.35% -20.96% -10.97% -10.57% 23.81% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $24,059 $14,254 $15,781 $16,856 $18,133 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 1.49% 1.32% 1.11% 1.04% 1.15% Portfolio Turnover Rate 2%** 4%** 7%** 7% 3% =======================================================================================================
*Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Includes activity related to a change in the fund's target index. Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively. 37 FINANCIAL HIGHLIGHTS (CONTINUED)
TOTAL STOCK MARKET INDEX FUND ADMIRAL SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, NOV. 13* TO ---------------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.75 $29.26 $30.22 ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .336 .296 .332 .049 Net Realized and Unrealized Gain (Loss) on Investments 5.922 (5.672) (3.533) (.830) ------------------------------------------------------------------------------------------------------- Total from Investment Operations 6.258 (5.376) (3.201) (.781) ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.338) (.304) (.309) (.099) Distributions from Realized Capital Gains -- -- -- (.080) ------------------------------------------------------------------------------------------------------- Total Distributions (.338) (.304) (.309) (.179) ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $25.99 $20.07 $25.75 $29.26 ======================================================================================================= TOTAL RETURN 31.42% -20.95% -10.89% -2.55% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $7,969 $4,069 $3,894 $2,104 Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15%** Ratio of Net Investment Income to Average Net Assets 1.54% 1.39% 1.17% 1.23%** Portfolio Turnover Rate 2%+ 4%+ 7%+ 7+ =======================================================================================================
*Inception. **Annualized. +Includes activity related to a change in the fund's target index. Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively.
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.75 $29.27 $33.22 $27.42 ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .360 .311 .341 .371 .344 Net Realized and Unrealized Gain (Loss) on Investments 5.922 (5.672) (3.533) (3.815) 6.133 ------------------------------------------------------------------------------------------------------- Total from Investment Operations 6.282 (5.361) (3.192) (3.444) 6.477 ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.352) (.319) (.328) (.366) (.357) Distributions from Realized Capital Gains -- -- -- (.140) (.320) ------------------------------------------------------------------------------------------------------- Total Distributions (.352) (.319) (.328) (.506) (.677) ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $26.00 $20.07 $25.75 $29.27 $33.22 ======================================================================================================= TOTAL RETURN 31.55% -20.90% -10.85% -10.46% 23.93% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $8,000 $4,466 $4,217 $4,272 $4,006 Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.10% 0.10% Ratio of Net Investment Income to Average Net Assets 1.62% 1.45% 1.23% 1.14% 1.26% Portfolio Turnover Rate 2%* 4%* 7%* 7% 3% =======================================================================================================
*Includes activity related to a change in the fund's target index. Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively 38
TOTAL STOCK MARKET INDEX FUND VIPER SHARES ------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, MAY 24* TO ------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 82.47 $105.80 $118.46 ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.381 1.259 .843 Net Realized and Unrealized Gain (Loss) on Investments 24.341 (23.337) (12.515) ------------------------------------------------------------------------------------------------------- Total from Investment Operations 25.722 (22.078) (11.672) ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.382) (1.252) (.988) Distributions from Realized Capital Gains -- -- -- ------------------------------------------------------------------------------------------------------- Total Distributions (1.382) (1.252) (.988) ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $106.81 $ 82.47 $105.80 ======================================================================================================= TOTAL RETURN 31.43% -20.94% -9.82% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $2,517 $1,290 $1,195 Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15%** Ratio of Net Investment Income to Average Net Assets 1.54% 1.38% 1.26%** Portfolio Turnover Rate 2%+ 4%+ 7%+ =======================================================================================================
*Inception. **Annualized. +Includes activity related to a change in the fund's target index. Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively. SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 39 NOTES TO FINANCIAL STATEMENTS Vanguard Growth Index, Value Index, and Total Stock Market Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. The Growth Index and Value Index Funds each offer three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. The Total Stock Market Index Fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. VIPER Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements. 1. SECURITY VALUATION: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds' pricing time but after the close of the securities' primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. 2 FUTURES CONTRACTS: The funds use index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. A fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts based upon the following indexes are used: S&P 500 Index (Growth Index Fund, Value Index Fund, and Total Stock Market Index Fund), S&P MidCap 400 Index (Total Stock Market Index Fund), Russell 2000 Index (Total Stock Market Index Fund). Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 3. REPURCHASE AGREEMENTS: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances into a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market 40 value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2003, the funds had contributed capital to Vanguard (included in Other Assets) of: -------------------------------------------------------------------------------- CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION -------------------------------------------------------------------------------- Growth $1,459 0.02% 1.46% Value 615 0.01 0.61 Total Stock Market 6,333 0.01 6.33 -------------------------------------------------------------------------------- The funds' trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. During the year ended December 31, 2003, the Growth Index, Value Index and Total Stock Market Index Funds realized $82,296,000, $38,697,000, and $59,180,000, respectively, of net capital gains resulting from in-kind redemptions--in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the funds, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. 41 At December 31, 2003, the funds had the following tax-basis amounts available for distribution, and capital losses available to offset future net capital gains: -------------------------------------------------------------------------------- AMOUNT AVAILABLE FOR DISTRIBUTION CAPITAL LOSSES ------------------------ ------------------------- ORDINARY LONG-TERM EXPIRATION: FISCAL INCOME CAPITAL GAIN AMOUNT YEARS ENDING INDEX FUND (000) (000) (000) DECEMBER 31 -------------------------------------------------------------------------------- Growth $ 616 -- $3,672,554 2008-2012 Value 893 -- 913,086 2010-2012 Total Stock Market 3,989 -- 1,068,601 2009-2012 -------------------------------------------------------------------------------- At December 31, 2003, net unrealized appreciation of investment securities for tax purposes was: -------------------------------------------------------------------------------- (000) ---------------------------------------------------- NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) -------------------------------------------------------------------------------- Growth $2,349,012 $ (248,407) $2,100,605 Value 855,334 (361,716) 493,618 Total Stock Market 7,370,186 (3,777,798) 3,592,388 -------------------------------------------------------------------------------- At December 31, 2003, the aggregate settlement value of open futures contracts expiring in March 2004 and the related unrealized appreciation were: -------------------------------------------------------------------------------- (000) -------------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) -------------------------------------------------------------------------------- Total Stock Market/ Russell 2000 Index 14 $ 3,900 $ 86 S&P 500 Index 120 33,318 105 S&P MidCap 400 Index 30 8,641 119 E-mini S&P 500 Index 94 5,220 -- -------------------------------------------------------------------------------- Unrealized appreciation on open futures contracts is required to be treated as realized gain for tax purposes. D. During the year ended December 31, 2003, purchases and sales of investment securities other than temporary cash investments were: -------------------------------------------------------------------------------- (000) -------------------------------- INDEX FUND PURCHASES SALES -------------------------------------------------------------------------------- Growth $ 3,722,121 $3,655,281 Value 1,762,492 1,621,644 Total Stock Market 10,479,326 657,216 -------------------------------------------------------------------------------- 42 E. The market value of securities on loan to broker/dealers at December 31, 2003, and collateral received with respect to such loans were: -------------------------------------------------------------------------------- (000) -------------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED -------------------------------------------------------------------------------- Growth $ 5,374 $ 5,735 Value 7,727 7,981 Total Stock Market 422,104 467,633 -------------------------------------------------------------------------------- The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan. F. Capital share transactions for each class of shares were:
------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, -------------------------------------------------- 2003 2002 ----------------------- ----------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) ------------------------------------------------------------------------------------------------------- GROWTH Investor Shares Issued $ 1,112,070 50,491 $1,155,407 51,026 Issued in Lieu of Cash Distributions 48,439 2,221 64,183 3,026 Redeemed (1,182,050) (53,735) (1,539,341) (68,271) --------------------------------------------------- Net Increase (Decrease)--Investor Shares (21,541) (1,023) (319,751) (14,219) --------------------------------------------------- Admiral Shares Issued 319,578 14,466 334,819 14,388 Issued in Lieu of Cash Distributions 6,879 313 7,507 355 Redeemed (190,848) (8,613) (253,546) (11,400) --------------------------------------------------- Net Increase (Decrease)--Admiral Shares 135,609 6,166 88,780 3,343 --------------------------------------------------- Institutional Shares Issued 358,863 16,602 296,930 12,916 Issued in Lieu of Cash Distributions 5,769 265 8,074 381 Redeemed (410,805) (19,312) (328,529) (14,342) --------------------------------------------------- Net Increase (Decrease)--Institutional Shares (46,173) (2,445) (23,525) (1,045) --------------------------------------------------------------------------------------------------------
43 notes to financial statements (continued)
------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, -------------------------------------------------- 2003 2002 ----------------------- ----------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) ------------------------------------------------------------------------------------------------------- VALUE Investor Shares Issued $ 607,551 37,231 $ 603,011 36,010 Issued in Lieu of Cash Distributions 51,413 3,062 44,772 2,868 Redeemed (577,468) (36,125) (791,109) (48,545) --------------------------------------------------- Net Increase (Decrease)--Investor Shares 81,496 4,168 (143,326) (9,667) --------------------------------------------------- Admiral Shares Issued 304,350 18,620 308,314 18,151 Issued in Lieu of Cash Distributions 12,109 719 8,803 564 Redeemed (179,917) (11,285) (283,057) (16,995) --------------------------------------------------- Net Increase (Decrease)--Admiral Shares 136,542 8,054 34,060 1,720 --------------------------------------------------- Institutional Shares Issued 236,300 14,799 213,528 12,571 Issued in Lieu of Cash Distributions 9,799 591 10,995 701 Redeemed (323,553) (20,938) (439,072) (25,343) --------------------------------------------------- Net Increase (Decrease)--Institutional Shares (77,454) (5,548) (214,549) (12,071) -------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET Investor Shares Issued $ 7,122,285 324,147 $ 4,425,830 197,493 Issued in Lieu of Cash Distributions 267,229 11,591 186,853 8,717 Redeemed (2,681,561) (120,340) (2,404,825) (108,975) --------------------------------------------------- Net Increase (Decrease)--Investor Shares 4,707,953 215,398 2,207,858 97,235 --------------------------------------------------- Admiral Shares Issued 3,028,715 136,668 1,958,681 88,190 Issued in Lieu of Cash Distributions 78,377 3,392 46,963 2,198 Redeemed (818,842) (36,234) (850,516) (38,902) --------------------------------------------------- Net Increase (Decrease)--Admiral Shares 2,288,250 103,826 1,155,128 51,486 --------------------------------------------------- Institutional Shares Issued 3,065,400 130,293 1,925,666 87,123 Issued in Lieu of Cash Distributions 77,606 3,353 50,565 2,361 Redeemed (1,108,064) (48,413) (684,878) (30,787) --------------------------------------------------- Net Increase (Decrease)--Institutional Shares 2,034,942 85,233 1,291,353 58,697 --------------------------------------------------- VIPER Shares Issued 782,045 8,467 774,929 8,336 Issued in Lieu of Cash Distributions 969 11 357 4 Redeemed (43,782) (550) (365,666) (4,000) --------------------------------------------------- Net Increase (Decrease)--VIPER Shares 739,232 7,928 409,620 4,340 --------------------------------------------------------------------------------------------------------
44 REPORT OF INDEPENDENT AUDITORS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the statements of net assets appearing herein and in the insert to this annual report and the accompanying related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Growth Index Fund, Value Index Fund, and Total Stock Market Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2003, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and broker, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 3, 2004 -------------------------------------------------------------------------------- SPECIAL 2003 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (LARGE-CAPITALIZATION PORTFOLIOS) This information for the fiscal year ended December 31, 2003, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: ---------------------------------------------- INDEX FUND PERCENTAGE ---------------------------------------------- Growth 100% Value 100 Total Stock Market 100 ---------------------------------------------- The funds distributed the maximum amount of qualified dividend income allowable. The amount of qualified dividend income distributed by each fund was provided to individual shareholders on their 2003 Form 1099-DIV. -------------------------------------------------------------------------------- 45 -------------------------------------------------------------------------------- INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM -------------------------------------------------------------------------------- If you're like many Vanguard investors, you believe in planning and taking control of your own investments. VANGUARD.COM was built for you--and it keeps getting better. RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE Use our PLANNING & Advice and RESEARCH FUNDS & Stocks sections to: * Determine what asset allocation might best suit your needs--by taking our Investor Questionnaire. * Find out how much to save for retirement and your children's college education-- by using our planning tools. * Learn how to achieve your goals--by reading our PlainTalk(R) investment guides. * Find your next fund--by using the Compare Funds, Compare Costs, and Narrow Your Fund Choices tools. * Look up fund price, performance history, and distribution information--in a snap. INVEST AND MANAGE ACCOUNTS WITH EASE Log on to Vanguard.com to: * See what you own (at Vanguard and elsewhere) and how your investments are doing. * Elect to receive online statements, fund reports (like this one), prospectuses, and tax forms. * Analyze your portfolio's holdings and performance. * Open new accounts, buy and sell shares, and exchange money between funds--securely and easily. * Sign up to receive electronic newsletters from Vanguard informing you of news on our funds, products, and services, as well as on investing and the financial markets. Find out what Vanguard.com can do for you. Log on today! 46 CAPITALIZE ON YOUR IRA Are you taking full advantage of your individual retirement account? You really should be. The contribution limits on IRAs were recently raised, making these tax-deferred accounts more powerful options for retirement savers. Here's how you can exploit your IRA--and improve your chances of having the retirement of your dreams. CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR It may be an obvious point, but if you invest as much in your IRA as the law allows-- currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over--you will increase the odds of meeting your retirement goals. "Max out" every year you can. MAKE IT AUTOMATIC Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit. CONSIDER COST The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice. REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS Don't spend your retirement assets before you've retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA. If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit VANGUARD.COM. You can open or fund your IRA on our website and have a confirmation in your hand within minutes. THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard(R) funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
------------------------------------------------------------------------------------------------------------ POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS ------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee (1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies May 1987 Executive Officer, served by The Vanguard Group. and Trustee (118) ------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (118) to Greenwich Associates (international business strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. ------------------------------------------------------------------------------------------------------------ RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (1945) (118) Chairman (January-September 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. ------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the HEISEN (118) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer (1950) products); Director of the Medical Center at Princeton and Women's July 1998 Research and Education Institute. ------------------------------------------------------------------------------------------------------------ BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University; (1932) (116) Director of Vanguard Investment Series plc (Irish invest-ment fund) May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish investment management firm)(since November 2001),Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc.(software company). ------------------------------------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS ------------------------------------------------------------------------------------------------------------ Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (1941) (118) Industries, Inc. (forklift trucks/housewares/lignite); Director of January 1993 Goodrich Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (supplier for the automotive industry) until 1998. ------------------------------------------------------------------------------------------------------------ J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (1936) (118) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal distribution); Trustee of Vanderbilt University. ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (118) Secretary of The Vanguard Group and of each of the investment June 2001 companies served by The Vanguard Group. ------------------------------------------------------------------------------------------------------------ Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (1957) (118) investment companies served by The Vanguard Group. July 1998 ------------------------------------------------------------------------------------------------------------ *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. ------------------------------------------------------------------------------------------------------------ VANGUARD SENIOR MANAGEMENT TEAM MORTIMER J. BUCKLEY, Information Technology. MICHAEL S. MILLER, Planning and Development. JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance. KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer. F. WILLIAM MCNABB, III, Client Relationship Group. ------------------------------------------------------------------------------------------------------------ JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. ------------------------------------------------------------------------------------------------------------
[VANGUARD SHIP LOGO] THE VANGUARD GROUP(R) POST OFFICE BOX 2600 VALLEY FORGE, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, Admiral, PlainTalk, VIPER, VIPERs, and the ship logo are trademarks of The Vanguard Group, Inc. All other marks are the exclusive property of their respective owners. The funds or securities referred to herein that are offered by The Vanguard Group and track an MSCI index are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities. For such funds or securities, the prospectus or the Statement of Additional Information contains a more detailed description of the limited relationship MSCI has with The Vanguard Group. ABOUT OUR COVER The photographs that appear on the cover of this report are copyrighted by Michael Kahn. FOR MORE INFORMATION This report is intended for the funds' shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the funds or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com. Prospectuses may also be viewed online. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 DIRECT INVESTOR ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 TEXT TELEPHONE 1-800-952-3335 (C) 2004 THE VANGUARD GROUP, INC. ALL RIGHTS RESERVED. VANGUARD MARKETING CORPORATION, DISTRIBUTOR. Q850 022004 AS OF 12/31/2003 VANGUARD(R)U.S. STOCK INDEX FUNDS TOTAL STOCK MARKET INDEX FUND STATEMENT OF NET ASSETS The Statement of Net Assets should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, Notes to Financial Statements, and Report of Independent Auditors, all of which appear in the accompanying report. This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- General Electric Co. 32,473,695 $1,006,035 Microsoft Corp. 34,969,239 963,053 ExxonMobil Corp. 21,377,179 876,464 Pfizer Inc. 24,681,610 872,001 Citigroup, Inc. 16,683,962 809,840 Wal-Mart Stores, Inc. 13,996,723 742,526 Intel Corp. 21,125,510 680,241 American International Group, Inc. 8,434,523 559,040 * Cisco Systems, Inc. 22,326,517 542,311 International Business Machines Corp. 5,564,191 515,689 Johnson & Johnson 9,599,445 495,907 The Procter & Gamble Co. 4,193,899 418,887 The Coca-Cola Co. 7,928,655 402,379 Bank of America Corp. 4,805,346 386,494 Altria Group, Inc. 6,569,146 357,493 Merck & Co., Inc. 7,195,993 332,455 Wells Fargo & Co. 5,472,309 322,264 Verizon Communications 8,931,329 313,311 ChevronTexaco Corp. 3,457,262 298,673 * Berkshire Hathaway Inc. Class A 3,410 287,293 * Dell Inc. 8,280,867 281,218 SBC Communications Inc. 10,707,274 279,139 United Parcel Service, Inc. 3,635,993 271,063 * Time Warner, Inc. 14,624,044 263,087 Home Depot, Inc. 7,358,477 261,152 PepsiCo, Inc. 5,552,298 258,848 * Amgen, Inc. 4,171,941 257,826 Eli Lilly & Co. 3,631,728 255,419 Viacom Inc. Class B 5,480,120 243,208 J.P. Morgan Chase & Co. 6,598,633 242,368 Fannie Mae 3,142,544 235,879 Abbott Laboratories 5,056,138 235,616 Hewlett-Packard Co. 9,861,417 226,517 * Oracle Corp. 16,903,868 223,131 * Comcast Corp. Class A 6,625,013 217,764 3M Co. 2,538,491 215,848 Morgan Stanley 3,502,764 202,705 American Express Co. 4,160,121 200,643 Wachovia Corp. 4,281,297 199,466 Medtronic, Inc. 3,920,106 190,556 1 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- U.S. Bancorp 6,237,957 185,766 Wyeth 4,307,344 182,847 Merrill Lynch & Co., Inc. 3,062,923 179,640 Bristol-Myers Squibb Co. 6,272,016 179,380 BellSouth Corp. 5,977,147 169,153 Bank One Corp. 3,615,557 164,833 Texas Instruments, Inc. 5,597,207 164,446 The Walt Disney Co. 6,615,106 154,330 The Goldman Sachs Group, Inc. 1,531,340 151,189 FleetBoston Financial Corp. 3,410,634 148,874 E.I. du Pont de Nemours & Co. 3,223,787 147,940 ConocoPhillips Co. 2,201,810 144,373 United Technologies Corp. 1,521,868 144,227 Lowe's Cos., Inc. 2,543,207 140,868 QUALCOMM Inc. 2,587,636 139,551 Anheuser-Busch Cos., Inc. 2,635,103 138,817 * eBay Inc. 2,089,289 134,947 Freddie Mac 2,250,071 131,224 Dow Chemical Co. 2,977,183 123,762 * Applied Materials, Inc. 5,378,883 120,756 Walgreen Co. 3,315,666 120,624 Gillette Co. 3,272,156 120,186 Washington Mutual, Inc. 2,909,635 116,735 The Boeing Co. 2,720,734 114,652 Target Corp. 2,947,897 113,199 UnitedHealth Group Inc. 1,897,353 110,388 Fifth Third Bancorp 1,840,342 108,764 Alcoa Inc. 2,798,704 106,351 Motorola, Inc. 7,528,403 105,925 Schlumberger Ltd. 1,893,438 103,609 * Liberty Media Corp. 8,705,046 103,503 MBNA Corp. 4,132,268 102,687 McDonald's Corp. 4,104,757 101,921 * EMC Corp. 7,774,967 100,453 * Nextel Communications, Inc. 3,556,053 99,783 Allstate Corp. 2,275,517 97,893 * Boston Scientific Corp. 2,649,361 97,391 First Data Corp. 2,357,133 96,855 General Motors Corp. 1,813,625 96,848 Kimberly-Clark Corp. 1,631,499 96,405 * Yahoo! Inc. 2,125,977 96,030 Ford Motor Co. 5,921,921 94,751 Caterpillar, Inc. 1,123,064 93,237 Clear Channel Communications, Inc. 1,990,910 93,234 Honeywell International Inc. 2,788,061 93,205 Emerson Electric Co. 1,360,932 88,120 Colgate-Palmolive Co. 1,737,545 86,964 Cardinal Health, Inc. 1,400,285 85,641 Illinois Tool Works, Inc. 996,586 83,624 The Bank of New York Co., Inc. 2,501,946 82,864 Metropolitan Life Insurance Co. 2,458,503 82,778 Schering-Plough Corp. 4,752,430 82,645 Marsh & McLennan Cos., Inc. 1,714,951 82,129 Carnival Corp. 2,037,252 80,940 Gannett Co., Inc. 876,722 78,169 Sysco Corp. 2,093,046 77,924 Automatic Data Processing, Inc. 1,922,561 76,153 Lockheed Martin Corp. 1,458,240 74,954 * Forest Laboratories, Inc. 1,182,600 73,085 Prudential Financial, Inc. 1,748,129 73,019 * Cendant Corp. 3,276,892 72,976 Southern Co. 2,368,117 71,636 * InterActiveCorp 2,092,501 70,999 Exelon Corp. 1,057,679 70,188 * AT&T Wireless Services Inc. 8,779,060 70,145 HCA Inc. 1,602,558 68,846 BB&T Corp. 1,767,859 68,310 * Amazon.com, Inc. 1,297,234 68,286 Newmont Mining Corp. (Holding Co.) 1,397,426 67,929 Lehman Brothers Holdings, Inc. 878,229 67,817 The Gap, Inc. 2,897,278 67,246 International Paper Co. 1,553,905 66,989 Dominion Resources, Inc. 1,049,289 66,976 * Genentech, Inc. 713,622 66,774 National City Corp. 1,966,176 66,732 * Cox Communications, Inc. Class A 1,917,457 66,056 FedEx Corp. 964,753 65,121 SunTrust Banks, Inc. 910,531 65,103 Guidant Corp. 1,005,847 60,552 Baxter International, Inc. 1,973,819 60,241 Duke Energy Corp. 2,935,105 60,023 AFLAC Inc. 1,658,661 60,010 Progressive Corp. of Ohio 698,642 58,399 NIKE, Inc. Class B 848,783 58,108 General Dynamics Corp. 639,561 57,810 Union Pacific Corp. 825,393 57,348 Northrop Grumman Corp. 592,367 56,630 State Street Corp. 1,081,049 56,301 Waste Management, Inc. 1,883,837 55,762 Sara Lee Corp. 2,555,991 55,491 Travelers Property Casualty Corp. Class B 3,249,778 55,149 * Zimmer Holdings, Inc. 782,138 55,063 * Costco Wholesale Corp. 1,480,477 55,044 SLM Corp. 1,458,140 54,943 Stryker Corp. 645,195 54,848 General Mills, Inc. 1,207,557 54,702 Best Buy Co., Inc. 1,046,766 54,683 Analog Devices, Inc. 1,188,334 54,247 The Hartford Financial Services Group Inc. 915,032 54,014 2 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Omnicom Group Inc. 614,578 53,671 Maxim Integrated Products, Inc. 1,062,790 52,927 Occidental Petroleum Corp. 1,245,645 52,616 Tribune Co. 1,009,922 52,112 Charles Schwab Corp. 4,387,488 51,948 AT&T Corp. 2,555,178 51,870 Avon Products, Inc. 764,981 51,629 * Veritas Software Corp. 1,382,895 51,388 Computer Associates International, Inc. 1,872,924 51,206 Golden West Financial Corp. 491,437 50,711 Deere & Co. 776,213 50,493 Kellogg Co. 1,320,070 50,268 * Kohl's Corp. 1,099,692 49,420 PNC Financial Services Group 896,753 49,079 * Hughes Electronics Corp. 2,940,147 48,659 * WellPoint Health Networks Inc. Class A 501,528 48,643 Sprint Corp. 2,923,590 48,005 * Sun Microsystems, Inc. 10,565,265 47,438 ALLTEL Corp. 1,009,541 47,024 Harley-Davidson, Inc. 980,156 46,587 CVS Corp. 1,278,038 46,163 * Electronic Arts Inc. 963,680 46,045 ConAgra Foods, Inc. 1,737,438 45,851 Capital One Financial Corp. 746,906 45,778 Danaher Corp. 496,824 45,584 Weyerhaeuser Co. 710,920 45,499 Paychex, Inc. 1,219,649 45,371 Countrywide Financial Corp. 596,001 45,207 * Agilent Technologies, Inc. 1,538,459 44,985 * Corning, Inc. 4,304,471 44,896 Mellon Financial Corp. 1,391,461 44,680 * The Kroger Co. 2,411,150 44,630 * Staples, Inc. 1,602,862 43,758 The McGraw-Hill Cos., Inc. 619,864 43,341 Devon Energy Corp. 752,930 43,113 * Xilinx, Inc. 1,107,931 42,921 Apache Corp. 524,314 42,522 Linear Technology Corp. 1,010,577 42,515 Franklin Resources Corp. 812,333 42,290 Entergy Corp. 740,019 42,277 * Starbucks Corp. 1,265,148 41,826 * Bed Bath & Beyond, Inc. 958,410 41,547 H.J. Heinz Co. 1,138,957 41,492 Anadarko Petroleum Corp. 812,307 41,436 * Univision Communications Inc. 1,043,655 41,423 The Chubb Corp. 607,598 41,377 Southwest Airlines Co. 2,548,580 41,134 Masco Corp. 1,497,977 41,060 Wm. Wrigley Jr. Co. 727,104 40,871 Raytheon Co. 1,347,305 40,473 Praxair, Inc. 1,051,768 40,178 International Game Technology 1,120,234 39,992 KeyCorp 1,356,963 39,786 American Electric Power Co., Inc. 1,279,089 39,025 * Biogen Idec Inc. 1,061,007 39,024 FPL Group, Inc. 594,925 38,920 Air Products & Chemicals, Inc. 735,470 38,855 Burlington Northern Santa Fe Corp. 1,200,739 38,844 * Apollo Group, Inc. Class A 570,674 38,806 * Lucent Technologies, Inc. 13,575,000 38,553 M & T Bank Corp. 388,328 38,173 Electronic Data Systems Corp. 1,553,768 38,129 * Gilead Sciences, Inc. 655,418 38,106 Ingersoll-Rand Co. 561,109 38,088 FirstEnergy Corp. 1,066,841 37,553 Sears, Roebuck & Co. 821,058 37,350 * PG&E Corp. 1,342,311 37,276 Equity Office Properties Trust REIT 1,293,138 37,048 * KLA-Tencor Corp. 630,062 36,966 Halliburton Co. 1,416,930 36,840 TJX Cos., Inc. 1,632,516 35,997 Progress Energy, Inc. 793,412 35,910 * Genzyme Corp.--General Division 725,406 35,792 Burlington Resources, Inc. 643,155 35,618 Campbell Soup Co. 1,327,361 35,573 * Xerox Corp. 2,563,681 35,379 PPG Industries, Inc. 549,688 35,191 SouthTrust Corp. 1,073,855 35,147 John Hancock Financial Services, Inc. 935,920 35,097 Baker Hughes, Inc. 1,083,674 34,851 * Chiron Corp. 607,651 34,630 Marriott International, Inc. Class A 748,664 34,588 The Principal Financial Group, Inc. 1,044,838 34,553 * Symantec Corp. 996,900 34,543 * St. Jude Medical, Inc. 558,131 34,241 * Intuit, Inc. 642,463 33,993 Johnson Controls, Inc. 292,300 33,942 Becton, Dickinson & Co. 821,595 33,800 Fortune Brands, Inc. 472,514 33,780 * Anthem, Inc. 447,445 33,558 * Broadcom Corp. 980,118 33,412 Aetna Inc. 493,750 33,368 Public Service Enterprise Group, Inc. 760,838 33,325 3 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Fox Entertainment Group, Inc. Class A 1,140,239 33,238 Marathon Oil Corp. 1,003,580 33,208 The Clorox Co. 682,747 33,154 Northern Trust Corp. 713,430 33,117 * Yum! Brands, Inc. 952,119 32,753 * Lexmark International, Inc. 416,078 32,720 Allergan, Inc. 422,412 32,445 Hershey Foods Corp. 421,199 32,428 Coca-Cola Enterprises, Inc. 1,472,387 32,201 PACCAR, Inc. 377,832 32,161 H & R Block, Inc. 577,383 31,970 Archer-Daniels-Midland Co. 2,091,746 31,836 Comerica, Inc. 567,531 31,816 Consolidated Edison Inc. 729,437 31,373 * Safeway, Inc. 1,431,266 31,359 Unocal Corp. 838,428 30,879 Rohm & Haas Co. 720,565 30,775 Pitney Bowes, Inc. 755,973 30,708 McKesson Corp. 943,234 30,334 Limited Brands, Inc. 1,673,169 30,167 Biomet, Inc. 828,356 30,160 Norfolk Southern Corp. 1,264,147 29,897 Adobe Systems, Inc. 758,070 29,792 * Medco Health Solutions, Inc. 875,401 29,755 Loews Corp. 600,356 29,688 St. Paul Cos., Inc. 738,675 29,288 Moody's Corp. 481,933 29,181 Kraft Foods Inc. 905,649 29,180 Simon Property Group, Inc. REIT 619,510 28,708 Synovus Financial Corp. 977,072 28,257 Marshall & Ilsley Corp. 732,847 28,031 AmSouth Bancorp 1,137,306 27,864 * Altera Corp. 1,226,503 27,842 Cintas Corp. 552,668 27,705 * PeopleSoft, Inc. 1,212,766 27,651 MBIA, Inc. 466,386 27,624 Federated Department Stores, Inc. 585,798 27,609 May Department Stores Co. 934,647 27,170 * EchoStar Communications Corp. Class A 797,275 27,107 UnionBanCal Corp. 470,539 27,075 Albertson's, Inc. 1,188,421 26,918 * Computer Sciences Corp. 607,008 26,848 Mattel, Inc. 1,390,371 26,792 Regions Financial Corp. 719,576 26,768 * Micron Technology, Inc. 1,977,362 26,635 Eaton Corp. 246,218 26,587 * Berkshire Hathaway Inc. Class B 9,393 26,441 Equity Residential REIT 892,165 26,328 CIGNA Corp. 454,409 26,129 Dover Corp. 656,120 26,081 * SunGard Data Systems, Inc. 930,774 25,792 Bear Stearns Co., Inc. 319,515 25,545 Georgia Pacific Group 823,393 25,253 Textron, Inc. 440,707 25,147 PPL Corp. 573,646 25,097 * Apple Computer, Inc. 1,172,473 25,056 Charter One Financial, Inc. 723,048 24,981 TXU Corp. 1,049,629 24,897 * Transocean Inc. 1,036,798 24,894 CSX Corp. 692,238 24,879 CIT Group Inc. 689,893 24,802 * Fiserv, Inc. 626,866 24,767 E.W. Scripps Co. Class A 261,524 24,620 * Quest Diagnostics, Inc. 336,465 24,599 * AutoZone Inc. 287,503 24,498 Washington Post Co. Class B 30,861 24,423 Monsanto Co. 847,472 24,390 * Qwest Communications International Inc. 5,640,858 24,369 Aon Corp. 1,014,429 24,285 Freeport-McMoRan Copper & Gold, Inc. Class B 575,484 24,245 Ameren Corp. 525,976 24,195 * Tenet Healthcare Corp. 1,504,639 24,149 Ambac Financial Group, Inc. 345,780 23,994 New York Community Bancorp, Inc. 625,605 23,804 Eastman Kodak Co. 927,279 23,803 * American Standard Cos., Inc. 235,847 23,750 * National Semiconductor Corp. 600,447 23,664 Hudson City Bancorp, Inc. 617,236 23,566 Kinder Morgan, Inc. 398,712 23,564 Starwood Hotels & Resorts Worldwide, Inc. 654,324 23,536 * Juniper Networks, Inc. 1,258,870 23,516 Lincoln National Corp. 575,858 23,247 J.C. Penney Co., Inc. (Holding Co.) 883,386 23,215 * Affiliated Computer Services, Inc. Class A 425,564 23,176 * Edison International 1,054,088 23,116 Jefferson-Pilot Corp. 456,254 23,109 New York Times Co. Class A 482,480 23,058 * Network Appliance, Inc. 1,116,273 22,917 Dollar General Corp. 1,090,472 22,889 Parker Hannifin Corp. 384,200 22,860 Lennar Corp. Class A 237,764 22,825 Ecolab, Inc. 833,345 22,809 * Coach, Inc. 600,479 22,668 Sovereign Bancorp, Inc. 947,453 22,502 4 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Microchip Technology, Inc. 671,341 22,396 Cinergy Corp. 576,298 22,366 * Concord EFS, Inc. 1,505,017 22,334 * Siebel Systems, Inc. 1,604,235 22,251 ITT Industries, Inc. 298,963 22,186 D. R. Horton, Inc. 509,404 22,037 Sempra Energy 732,055 22,006 * Phelps Dodge Corp. 289,109 21,998 Mylan Laboratories, Inc. 870,005 21,976 Xcel Energy, Inc. 1,292,066 21,939 * Caremark Rx, Inc. 862,072 21,836 Cincinnati Financial Corp. 519,780 21,768 Royal Caribbean Cruises, Ltd. 625,656 21,767 Centex Corp. 201,460 21,687 Rockwell Automation, Inc. 604,339 21,514 Molex, Inc. 616,262 21,501 DTE Energy Co. 544,799 21,465 Tiffany & Co. 474,423 21,444 Constellation Energy Group, Inc. 541,481 21,204 * Sanmina-SCI Corp. 1,674,464 21,115 Hilton Hotels Corp. 1,229,208 21,056 * Interpublic Group of Cos., Inc. 1,341,359 20,925 * Novellus Systems, Inc. 493,348 20,745 The Pepsi Bottling Group, Inc. 850,511 20,565 * Comcast Corp. Special Class A 654,930 20,486 Vornado Realty Trust REIT 373,113 20,428 * MedImmune Inc. 801,011 20,346 AmerisourceBergen Corp. 361,936 20,323 Newell Rubbermaid, Inc. 887,978 20,219 Avery Dennison Corp. 357,731 20,040 Family Dollar Stores, Inc. 557,959 20,020 Knight Ridder 258,397 19,992 North Fork Bancorp, Inc. 490,904 19,867 Total System Services, Inc. 637,565 19,847 * NTL Inc. 283,595 19,781 * Nabors Industries, Inc. 474,754 19,702 Murphy Oil Corp. 297,531 19,432 Union Planters Corp. 616,957 19,428 Popular, Inc. 429,831 19,317 General Growth Properties Inc. REIT 695,624 19,304 MeadWestvaco Corp. 648,807 19,302 IMS Health, Inc. 774,585 19,256 * Ameritrade Holding Corp. 1,366,709 19,230 UST, Inc. 537,629 19,188 T. Rowe Price Group Inc. 403,406 19,125 * AES Corp. 2,016,334 19,034 KeySpan Corp. 514,716 18,942 * Sprint PCS 3,352,387 18,840 Pulte Homes, Inc. 200,814 18,800 GlobalSantaFe Corp. 756,715 18,789 Genuine Parts Co. 563,012 18,692 ProLogis REIT 582,309 18,686 NiSource, Inc. 849,823 18,645 Health Management Associates Class A 775,743 18,618 Fidelity National Financial, Inc. 480,009 18,615 Delphi Corp. 1,814,379 18,525 * BJ Services Co. 512,570 18,401 Brown-Forman Corp. Class B 195,794 18,297 * Jabil Circuit, Inc. 646,115 18,285 * Millennium Pharmaceuticals, Inc. 975,907 18,220 MGIC Investment Corp. 318,489 18,135 National Commerce Financial Corp. 664,465 18,127 Valero Energy Corp. 389,868 18,066 Plum Creek Timber Co. Inc. REIT 592,403 18,039 First Tennessee National Corp. 406,511 17,927 Zions Bancorp 291,406 17,872 Public Storage, Inc. REIT 411,328 17,848 Harrah's Entertainment, Inc. 357,439 17,790 * MGM Mirage, Inc. 468,827 17,633 Cooper Industries, Inc. Class A 302,754 17,539 SAFECO Corp. 449,300 17,491 * Avaya Inc. 1,351,350 17,486 * CNA Financial Corp. 724,289 17,455 * Laboratory Corp. of America Holdings 469,035 17,331 Archstone-Smith Trust REIT 619,077 17,322 Rockwell Collins, Inc. 573,474 17,221 EOG Resources, Inc. 372,859 17,215 Banknorth Group, Inc. 523,607 17,033 * Synopsys, Inc. 503,447 16,996 * JDS Uniphase Corp. 4,646,098 16,958 * Office Depot, Inc. 1,013,875 16,942 * Express Scripts Inc. 254,254 16,890 XTO Energy, Inc. 596,624 16,884 * Advanced Micro Devices, Inc. 1,129,354 16,827 * Barr Pharmaceuticals Inc. 217,588 16,743 Torchmark Corp. 366,995 16,713 Huntington Bancshares Inc. 742,128 16,698 * Cablevision Systems NY Group Class A 710,619 16,621 * Dean Foods Co. 504,647 16,588 Legg Mason Inc. 214,110 16,525 Williams Cos., Inc. 1,676,177 16,460 Sherwin-Williams Co. 472,786 16,425 Whirlpool Corp. 225,830 16,407 * AutoNation, Inc. 892,285 16,391 RadioShack Corp. 531,486 16,306 El Paso Corp. 1,971,310 16,145 * BEA Systems, Inc. 1,312,170 16,140 * L-3 Communications Holdings, Inc. 313,852 16,119 5 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Watson Pharmaceuticals, Inc. 349,843 16,093 * Solectron Corp. 2,709,392 16,013 Kimco Realty Corp. REIT 357,742 16,009 R.J. Reynolds Tobacco Holdings, Inc. 273,713 15,916 * Unisys Corp. 1,069,348 15,880 * AdvancePCS 300,939 15,847 * QLogic Corp. 306,085 15,794 * Teradyne, Inc. 620,058 15,780 American Power Conversion Corp. 644,079 15,748 Harman International Industries, Inc. 212,716 15,737 * SanDisk Corp. 256,908 15,707 Vulcan Materials Co. 328,966 15,649 CDW Corp. 270,054 15,598 Compass Bancshares Inc. 394,734 15,517 Green Point Financial Corp. 439,198 15,512 * Noble Corp. 433,314 15,504 Amerada Hess Corp. 290,771 15,460 Estee Lauder Cos. Class A 392,544 15,411 * Cadence Design Systems, Inc. 851,459 15,309 * Weatherford International Ltd. 424,478 15,281 Boston Properties, Inc. REIT 316,737 15,264 Nordstrom, Inc. 444,589 15,249 CenturyTel, Inc. 466,426 15,215 * Varian Medical Systems, Inc. 220,073 15,207 Kerr-McGee Corp. 326,891 15,197 * Mohawk Industries, Inc. 215,145 15,176 * IVAX Corp. 635,293 15,171 UnumProvident Corp. 959,076 15,125 VF Corp. 349,644 15,119 Tyson Foods, Inc. 1,136,168 15,043 * E*TRADE Financial Corp. 1,184,118 14,979 Old Republic International Corp. 587,856 14,908 * Sealed Air Corp. 275,255 14,902 Smurfit-Stone Container Corp. 800,051 14,857 Radian Group, Inc. 303,765 14,809 * SPX Corp. 247,090 14,531 Wendy's International, Inc. 368,701 14,468 Jones Apparel Group, Inc. 409,637 14,432 * Mercury Interactive Corp. 291,933 14,200 Nucor Corp. 253,360 14,188 * Patterson Dental Co. 220,919 14,174 W.W. Grainger, Inc. 295,776 14,017 Applera Corp.-Applied Biosystems Group 674,320 13,965 Rouse Co. REIT 293,066 13,774 Transatlantic Holdings, Inc. 170,036 13,739 * BMC Software, Inc. 733,512 13,680 * LAM Research Corp. 422,946 13,661 Duke Realty Corp. REIT 440,113 13,644 C.R. Bard, Inc. 167,871 13,640 * Metro-Goldwyn-Mayer Inc. 793,060 13,553 McCormick & Co., Inc. 449,415 13,527 * Smith International, Inc. 324,580 13,477 Lear Corp. 219,166 13,441 Leggett & Platt, Inc. 620,987 13,432 Scientific-Atlanta, Inc. 491,500 13,418 White Mountains Insurance Group Inc. 29,163 13,414 Omnicare, Inc. 331,605 13,394 * Weight Watchers International, Inc. 346,335 13,289 * Thermo Electron Corp. 526,964 13,279 Republic Services, Inc. Class A 515,987 13,225 ENSCO International, Inc. 486,174 13,209 Dow Jones & Co., Inc. 264,164 13,169 * Williams-Sonoma, Inc. 378,025 13,144 * Waters Corp. 395,286 13,108 * Allied Waste Industries, Inc. 940,961 13,061 * Career Education Corp. 325,012 13,023 * Whole Foods Market, Inc. 193,916 13,018 Ross Stores, Inc. 491,940 13,002 Sigma-Aldrich Corp. 226,718 12,964 * Robert Half International, Inc. 554,505 12,942 Commerce Bancorp, Inc. 245,575 12,937 Expeditors International of Washington, Inc. 340,490 12,823 Sunoco, Inc. 250,095 12,792 Janus Capital Group Inc. 779,308 12,788 iStar Financial Inc. REIT 328,396 12,775 * VeriSign, Inc. 783,453 12,770 * Host Marriott Corp. REIT 1,035,275 12,755 Wisconsin Energy Corp. 381,065 12,747 * XM Satellite Radio Holdings, Inc. 483,528 12,746 * Novell, Inc. 1,208,091 12,709 Diebold, Inc. 235,719 12,698 Symbol Technologies, Inc. 748,422 12,641 * Coventry Health Care Inc. 194,452 12,540 Liz Claiborne, Inc. 353,446 12,533 * Level 3 Communications, Inc. 2,197,984 12,529 Hillenbrand Industries, Inc. 200,746 12,458 SuperValu Inc. 434,448 12,421 Black & Decker Corp. 251,690 12,413 * Pixar, Inc. 179,004 12,403 SCANA Corp. 359,199 12,303 Fastenal Co. 245,408 12,256 * Pioneer Natural Resources Co. 383,050 12,231 * NVIDIA Corp. 524,657 12,198 * Health Net Inc. 372,759 12,189 * Pactiv Corp. 509,736 12,183 Engelhard Corp. 406,681 12,180 6 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Hasbro, Inc. 565,730 12,039 Alberto-Culver Co. Class B 190,698 12,029 * The Dun & Bradstreet Corp. 236,917 12,014 * King Pharmaceuticals, Inc. 781,967 11,933 * Vishay Intertechnology, Inc. 520,472 11,919 * Humana Inc. 521,155 11,908 * NCR Corp. 306,909 11,908 Manpower Inc. 252,371 11,882 Pinnacle West Capital Corp. 295,768 11,837 * Celgene Corp. 262,799 11,831 Hibernia Corp. Class A 502,453 11,813 TCF Financial Corp. 229,951 11,808 Mercantile Bankshares Corp. 258,400 11,778 United States Steel Corp. 334,106 11,700 Telephone & Data Systems, Inc. 186,244 11,650 Hormel Foods Corp. 449,343 11,598 * Foundry Networks, Inc. 423,640 11,591 DENTSPLY International Inc. 256,576 11,590 * Oxford Health Plans, Inc. 266,172 11,578 * Invitrogen Corp. 165,305 11,571 Allied Capital Corp. 412,964 11,513 The PMI Group Inc. 307,732 11,457 * Citizens Communications Co. 921,670 11,447 * Tellabs, Inc. 1,351,837 11,396 Goodrich Corp. 381,043 11,313 * DST Systems, Inc. 270,560 11,299 Doral Financial Corp. 349,639 11,286 Darden Restaurants Inc. 535,488 11,267 * Citrix Systems, Inc. 530,826 11,259 * Constellation Brands, Inc. Class A 340,884 11,225 * Dollar Tree Stores, Inc. 372,695 11,203 Intersil Corp. 449,649 11,174 ServiceMaster Co. 958,606 11,168 Friedman, Billings, Ramsey Group, Inc. 483,207 11,152 R.R. Donnelley & Sons Co. 368,862 11,121 * Westwood One, Inc. 324,757 11,110 PETsMART, Inc. 464,484 11,055 Temple-Inland Inc. 176,275 11,047 Equifax, Inc. 450,563 11,039 Avalonbay Communities, Inc. REIT 230,597 11,023 Gentex Corp. 249,165 11,003 * Sirius Satellite Radio, Inc. 3,481,697 11,002 * Comverse Technology, Inc. 623,650 10,970 * Providian Financial Corp. 941,805 10,963 * Iron Mountain, Inc. 276,784 10,944 KB HOME 150,574 10,920 Ball Corp. 183,099 10,907 * LSI Logic Corp. 1,227,715 10,890 Pall Corp. 405,160 10,870 Foot Locker, Inc. 463,515 10,869 Commerce Bancshares, Inc. 221,545 10,860 Pepco Holdings, Inc. 554,584 10,837 * NVR, Inc. 23,171 10,798 * ChoicePoint Inc. 283,473 10,797 Outback Steakhouse 242,957 10,741 * Agere Systems Inc. Class A 3,509,873 10,705 Health Care Properties Investors REIT 210,307 10,684 * Navistar International Corp. 222,733 10,667 Bunge Ltd. 323,593 10,653 * Park Place Entertainment Corp. 983,574 10,652 Energy East Corp. 473,527 10,607 International Flavors & Fragrances, Inc. 303,033 10,582 Fluor Corp. 266,026 10,545 Apartment Investment & Management Co. Class A REIT 305,235 10,531 Belo Corp. Class A 371,140 10,518 * Lamar Advertising Co. Class A 281,697 10,513 * Red Hat, Inc. 559,503 10,502 * SICOR, Inc. 386,045 10,500 * PanAmSat Corp. 485,611 10,470 * Chico's FAS, Inc. 282,577 10,441 SEI Corp. 342,599 10,439 Leucadia National Corp. 225,978 10,418 * Brinker International, Inc. 314,140 10,417 * CarMax, Inc. 336,537 10,409 C.H. Robinson Worldwide, Inc. 273,168 10,356 Federated Investors, Inc. 352,528 10,350 * Amkor Technology, Inc. 565,038 10,289 The McClatchy Co. Class A 149,527 10,287 * International Rectifier Corp. 208,069 10,281 * Energizer Holdings, Inc. 273,518 10,273 * CIENA Corp. 1,537,450 10,209 Beckman Coulter, Inc. 200,139 10,173 * Zebra Technologies Corp. Class A 153,038 10,157 * Ceridian Corp. 484,908 10,154 Associated Banc-Corp 238,010 10,151 Liberty Property Trust REIT 259,951 10,112 * Mid Atlantic Medical Services, Inc. 155,991 10,108 * Rite Aid Corp. 1,673,503 10,108 Universal Health Services Class B 188,147 10,107 The Stanley Works 266,285 10,084 Sabre Holdings Corp. 466,193 10,065 Pogo Producing Co. 207,077 10,002 Manor Care, Inc. 288,298 9,966 Eastman Chemical Co. 250,940 9,920 * U.S. Cellular Corp. 279,255 9,914 7 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * 3Com Corp. 1,210,171 9,887 City National Corp. 158,708 9,859 Ashland, Inc. 222,598 9,808 * Rambus Inc. 318,162 9,768 Lyondell Chemical Co. 574,038 9,730 Advance Auto Parts, Inc. 119,110 9,696 * ImClone Systems, Inc. 242,912 9,634 CenterPoint Energy Inc. 993,287 9,625 Michaels Stores, Inc. 217,470 9,612 Astoria Financial Corp. 257,574 9,582 * Lincare Holdings, Inc. 318,696 9,570 Chesapeake Energy Corp. 703,308 9,551 * Henry Schein, Inc. 141,199 9,542 * Fairchild Semiconductor International, Inc. 381,865 9,535 Student Loan Corp. 65,020 9,493 Arthur J. Gallagher & Co. 291,400 9,468 W.R. Berkley Corp. 270,745 9,463 Brunswick Corp. 297,025 9,454 Questar Corp. 268,620 9,442 GTECH Holdings Corp. 190,760 9,441 * Toll Brothers, Inc. 237,370 9,438 Developers Diversified Realty Corp. REIT 279,609 9,386 AVX Corp. 563,629 9,368 A.G. Edwards & Sons, Inc. 255,437 9,254 * Storage Technology Corp. 359,196 9,249 The St. Joe Co. 247,800 9,240 Boise Cascade Corp. 280,837 9,228 * Atmel Corp. 1,530,266 9,197 * Getty Images, Inc. 182,882 9,168 Lafarge North America Inc. 226,068 9,160 Precision Castparts Corp. 201,298 9,141 * PacifiCare Health Systems, Inc. 135,192 9,139 * Cognizant Technology Solutions Corp. 199,419 9,101 * Amphenol Corp. 141,959 9,075 Unitrin, Inc. 218,670 9,055 Alliant Energy Corp. 359,537 8,952 * WebMD Corp. 993,482 8,931 Mandalay Resort Group 199,649 8,928 Autodesk, Inc. 362,724 8,916 Valley National Bancorp 305,248 8,913 Dial Corp. 312,978 8,910 Aramark Corp. Class B 324,853 8,907 Dana Corp. 482,816 8,860 Bausch & Lomb, Inc. 170,658 8,857 * Maxtor Corp. 796,213 8,838 * Entercom Communications Corp. 166,866 8,837 TECO Energy, Inc. 610,785 8,801 Northeast Utilities 434,879 8,772 Erie Indemnity Co. Class A 206,802 8,764 * Toys R Us, Inc. 693,160 8,762 MDU Resources Group, Inc. 367,560 8,752 * JetBlue Airways Corp. 329,222 8,731 AMB Property Corp. REIT 265,512 8,730 * Cephalon, Inc. 180,310 8,729 Tektronix, Inc. 274,960 8,689 Diamond Offshore Drilling, Inc. 423,508 8,686 Equitable Resources, Inc. 202,056 8,672 Allete, Inc. 282,375 8,641 * Jacobs Engineering Group Inc. 179,875 8,636 * Patterson-UTI Energy, Inc. 261,836 8,620 Bemis Co., Inc. 172,388 8,619 Capitol Federal Financial 237,582 8,567 DPL Inc. 409,168 8,543 * Community Health Systems, Inc. 319,970 8,505 * Fisher Scientific International Inc. 204,193 8,447 * ICOS Corp. 204,515 8,442 * Avnet, Inc. 389,204 8,430 Hospitality Properties Trust REIT 203,093 8,384 NSTAR 172,201 8,352 * Cypress Semiconductor Corp. 390,876 8,349 Donaldson Co., Inc. 140,861 8,333 Bowater Inc. 179,838 8,328 The Macerich Co. REIT 187,068 8,325 * Endo Pharmaceuticals Holdings, Inc. 428,347 8,250 Mercury General Corp. 176,779 8,229 Eaton Vance Corp. 224,348 8,220 * Pride International, Inc. 440,825 8,217 Harris Corp. 216,478 8,215 Hubbell Inc. Class B 186,267 8,214 HON Industries, Inc. 189,260 8,199 Noble Energy, Inc. 184,317 8,189 * Cooper Cameron Corp. 175,569 8,182 Investors Financial Services Corp. 212,241 8,152 * Convergys Corp. 465,224 8,123 Valspar Corp. 164,291 8,119 * Markel Corp. 31,976 8,106 * Triad Hospitals, Inc. 243,623 8,105 * Newfield Exploration Co. 181,767 8,096 Wesco Financial Corp. 22,998 8,095 * AmeriCredit Corp. 507,278 8,081 * DaVita, Inc. 206,445 8,051 * Monster Worldwide Inc. 366,473 8,048 PepsiAmericas, Inc. 469,195 8,033 Nuveen Investments, Inc. Class A 300,974 8,024 * Corinthian Colleges, Inc. 144,136 8,008 8 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Nextel Partners, Inc. 593,986 7,989 ADTRAN Inc. 257,264 7,975 Bank of Hawaii Corp. 188,162 7,940 Meredith Corp. 162,505 7,932 * Network Associates, Inc. 524,964 7,895 * Crown Castle International Corp. 714,619 7,882 Mack-Cali Realty Corp. REIT 189,320 7,879 * Western Digital Corp. 667,126 7,865 * Rent-A-Center, Inc. 263,044 7,860 Weingarten Realty Investors REIT 177,083 7,854 Viacom Inc. Class A 177,200 7,845 New Plan Excel Realty Trust REIT 317,712 7,838 * Ingram Micro, Inc. Class A 492,949 7,838 * ADC Telecommunications, Inc. 2,617,605 7,774 Sky Financial Group, Inc. 299,458 7,768 Sonoco Products Co. 315,203 7,760 Reinsurance Group of America, Inc. 200,747 7,759 Chelsea Property Group REIT 141,437 7,752 Catellus Development Corp. 321,025 7,743 * Abercrombie & Fitch Co. 313,234 7,740 Fulton Financial Corp. 352,795 7,730 Regency Centers Corp. REIT 193,887 7,726 Wilmington Trust Corp. 214,273 7,714 International Speedway Corp. 172,613 7,709 Fair, Isaac, Inc. 156,614 7,699 The Chicago Mercantile Exchange 106,325 7,694 Forest City Enterprise Class A 161,839 7,689 United Dominion Realty Trust REIT 399,002 7,661 National Instruments Corp. 168,246 7,650 * Hovnanian Enterprises Inc. Class A 87,765 7,641 * Arrow Electronics, Inc. 328,251 7,596 BorgWarner, Inc. 89,220 7,590 Protective Life Corp. 224,257 7,589 First American Corp. 254,391 7,573 CONSOL Energy, Inc. 292,358 7,572 Trizec Properties, Inc. REIT 490,190 7,549 Reebok International Ltd. 191,658 7,536 * Compuware Corp. 1,245,592 7,523 Packaging Corp. of America 343,040 7,499 Martin Marietta Materials, Inc. 159,107 7,473 * Smithfield Foods, Inc. 360,052 7,453 * American Tower Corp. Class A 686,101 7,424 FirstMerit Corp. 275,215 7,423 * The Cheesecake Factory 167,750 7,386 J.M. Smucker Co. 162,873 7,377 Peabody Energy Corp. 176,469 7,361 * Tech Data Corp. 184,758 7,333 Pentair, Inc. 160,414 7,331 * Eon Labs, Inc. 143,556 7,314 Puget Energy, Inc. 306,746 7,291 * Education Management Corp. 234,638 7,283 Brown & Brown, Inc. 222,674 7,261 American National Insurance Co. 86,060 7,261 * Glamis Gold, Ltd. 422,501 7,233 * Alliant Techsystems, Inc. 125,181 7,230 * BOK Financial Corp. 185,606 7,187 * Pharmaceutical Resources, Inc. 110,272 7,184 * Emulex Corp. 269,100 7,180 Viad Corp. 287,067 7,177 Great Plains Energy, Inc. 225,013 7,160 * CheckFree Corp. 258,870 7,158 * Krispy Kreme Doughnuts, Inc. 195,311 7,148 Ryland Group, Inc. 80,518 7,137 Ryder System, Inc. 208,741 7,129 * Barnes & Noble, Inc. 216,924 7,126 * Conseco, Inc. 326,658 7,121 Maytag Corp. 255,332 7,111 * Columbia Sportswear Co. 130,228 7,097 * Rowan Cos., Inc. 306,008 7,090 * The Neiman Marcus Group, Inc. Class A 131,296 7,047 * Del Monte Foods Co. 677,536 7,046 PerkinElmer, Inc. 412,434 7,040 Applebee's International, Inc. 178,993 7,029 * Reliant Resources, Inc. 953,424 7,017 * J.B. Hunt Transport Services, Inc. 259,334 7,005 Colonial BancGroup, Inc. 403,991 6,997 * Silicon Laboratories Inc. 161,250 6,969 Certegy, Inc. 212,248 6,962 * Kmart Holding Corp. 290,275 6,952 * American Axle & Manufacturing Holdings, Inc. 170,826 6,905 * Saks Inc. 458,837 6,901 Deluxe Corp. 166,714 6,890 Mills Corp. REIT 156,576 6,889 Circuit City Stores, Inc. 679,398 6,882 * ITT Educational Services, Inc. 146,426 6,878 Cullen/Frost Bankers, Inc. 168,641 6,842 OGE Energy Corp. 282,485 6,833 * Millipore Corp. 158,530 6,825 Webster Financial Corp. 148,511 6,811 * Marvel Enterprises Inc. 233,948 6,810 * Apogent Technologies Inc. 294,278 6,780 * O'Reilly Automotive, Inc. 176,739 6,780 ONEOK, Inc. 306,523 6,768 * Amylin Pharmaceuticals, Inc. 304,546 6,767 Rayonier Inc. 162,940 6,764 9 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Valeant Pharmaceuticals International 268,795 6,760 Cummins Inc. 137,608 6,735 * Kinder Morgan Management, LLC 156,681 6,731 * AMR Corp. 518,351 6,713 * Gemstar-TV Guide International, Inc. 1,323,292 6,683 * Integrated Circuit Systems, Inc. 233,971 6,666 Philadelphia Suburban Corp. 301,075 6,654 Adolph Coors Co. Class B 117,758 6,606 HCC Insurance Holdings, Inc. 207,640 6,603 * Sepracor Inc. 274,681 6,573 * Renal Care Group, Inc. 159,120 6,556 * Varco International, Inc. 317,302 6,546 * Westport Resources Corp. 218,882 6,536 * MEMC Electronic Materials, Inc. 674,432 6,488 People's Bank 198,949 6,486 * Sybase, Inc. 314,920 6,481 National Fuel Gas Co. 264,657 6,468 Washington Federal Inc. 226,865 6,443 * Calpine Corp. 1,338,742 6,439 * Stericycle, Inc. 137,116 6,403 Cabot Corp. 200,864 6,396 * BearingPoint, Inc. 633,001 6,387 W Holding Co., Inc. 343,173 6,386 Reynolds & Reynolds Class A 219,381 6,373 * 99 Cents Only Stores 233,882 6,369 Arden Realty Group, Inc. REIT 209,304 6,350 Thornburg Mortgage, Inc. REIT 233,208 6,343 Independence Community Bank Corp. 176,171 6,337 Medicis Pharmaceutical Corp. 88,829 6,334 Lee Enterprises, Inc. 145,056 6,332 * Polycom, Inc. 323,209 6,309 Pier 1 Imports Inc. 288,481 6,306 American Financial Group, Inc. 237,929 6,296 Polaris Industries, Inc. 70,869 6,278 Waddell & Reed Financial, Inc. 266,991 6,264 * Neurocrine Biosciences, Inc. 114,799 6,261 American Capital Strategies, Ltd. 210,225 6,250 Teleflex Inc. 129,128 6,241 Harte-Hanks, Inc. 285,707 6,214 Pan Pacific Retail Properties, Inc. REIT 130,393 6,213 * National-Oilwell, Inc. 276,232 6,177 * Scotts Co. 104,317 6,171 RPM International, Inc. 374,381 6,162 CBRL Group, Inc. 160,576 6,144 MDC Holdings, Inc. 95,163 6,138 * Louisiana-Pacific Corp. 342,599 6,126 Federal Realty Investment Trust REIT 159,212 6,112 Snap-On Inc. 188,861 6,089 Carlisle Co., Inc. 99,856 6,077 Nationwide Financial Services, Inc. 183,135 6,054 AGL Resources Inc. 207,853 6,049 Vectren Corp. 244,612 6,030 * RF Micro Devices, Inc. 599,887 6,029 Westcorp, Inc. 164,881 6,026 * Sonus Networks, Inc. 795,786 6,016 BancorpSouth, Inc. 253,471 6,012 Tootsie Roll Industries, Inc. 166,926 6,009 Graco, Inc. 149,692 6,003 Ruby Tuesday, Inc. 210,398 5,994 Jack Henry & Associates Inc. 290,824 5,985 StanCorp Financial Group, Inc. 95,097 5,980 Claire's Stores, Inc. 316,960 5,972 * Edwards Lifesciences Corp. 198,401 5,968 * Ultra Petroleum Corp. 242,360 5,967 * First Health Group Corp. 306,517 5,965 * Timberland Co. 114,415 5,958 * Applied Micro Circuits Corp. 993,396 5,941 Raymond James Financial, Inc. 157,419 5,935 Station Casinos, Inc. 193,573 5,929 Crane Co. 192,322 5,912 Tidewater Inc. 197,552 5,903 International Bancshares Corp. 125,112 5,899 * Integrated Device Technology Inc. 341,781 5,868 Jefferies Group, Inc. 177,438 5,859 * Martek Biosciences Corp. 89,838 5,837 Harsco Corp. 133,102 5,833 Hawaiian Electric Industries Inc. 123,100 5,831 * 7-Eleven, Inc. 360,890 5,792 * NBTY, Inc. 215,601 5,791 The Timken Co. 288,103 5,779 Oshkosh Truck Corp. 113,240 5,779 Valhi, Inc. 386,057 5,775 Annaly Mortgage Management Inc. REIT 312,676 5,753 * Yellow Roadway Corp. 159,046 5,753 * The Titan Corp. 263,614 5,749 Herman Miller, Inc. 236,781 5,747 * DeVry, Inc. 228,509 5,742 * Andrew Corp. 498,840 5,742 Health Care Inc. REIT 159,264 5,734 * The Corporate Executive Board Co. 122,797 5,731 * Swift Transportation Co., Inc. 272,539 5,729 UCBH Holdings, Inc. 146,903 5,725 * BISYS Group, Inc. 384,669 5,724 10 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Global Payments Inc. 121,358 5,718 Roper Industries Inc. 116,015 5,715 * AnnTaylor Stores Corp. 146,421 5,710 Ventas, Inc. REIT 259,422 5,707 * Owens-Illinois, Inc. 478,710 5,692 Camden Property Trust REIT 128,241 5,681 * Gen-Probe Inc. 155,608 5,675 * Advanced Fibre Communications, Inc. 281,223 5,667 * WFS Financial, Inc. 133,291 5,660 * Andrx Group 235,059 5,651 Talbots Inc. 183,195 5,639 IKON Office Solutions, Inc. 474,389 5,626 Regis Corp. 141,804 5,604 CenterPoint Properties Corp. REIT 74,635 5,590 * Human Genome Sciences, Inc. 421,065 5,579 CBL & Associates Properties, Inc. REIT 98,627 5,572 Shurgard Storage Centers, Inc. Class A REIT 147,611 5,558 Trustmark Corp. 189,627 5,550 * Avocent Corp. 151,888 5,547 * Borders Group, Inc. 252,606 5,537 Crescent Real Estate, Inc. REIT 322,063 5,517 * Agere Systems Inc. Class B 1,900,700 5,512 * Protein Design Labs, Inc. 305,648 5,471 CNF Inc. 161,333 5,469 WPS Resources Corp. 118,077 5,459 * Knight Trading Group, Inc. 372,388 5,452 * INAMED Corp. 113,387 5,449 * Semtech Corp. 239,326 5,440 BRE Properties Inc. Class A REIT 162,755 5,436 Lubrizol Corp. 166,920 5,428 Patina Oil & Gas Corp. 110,579 5,417 * Big Lots Inc. 380,944 5,413 IndyMac Bancorp, Inc. REIT 181,497 5,407 * Alleghany Corp. 24,299 5,407 Whitney Holdings Corp. 131,869 5,405 * Performance Food Group Co. 149,250 5,398 Hudson United Bancorp 146,061 5,397 ArvinMeritor, Inc. 223,564 5,392 * Cymer, Inc. 116,691 5,390 * Covance, Inc. 200,656 5,378 * Pacific Sunwear of California, Inc. 253,857 5,361 Furniture Brands International Inc. 182,078 5,340 Arch Coal, Inc. 170,540 5,316 F.N.B. Corp. 149,479 5,299 * Allmerica Financial Corp. 172,142 5,297 Lancaster Colony Corp. 116,778 5,274 Westamerica Bancorporation 106,093 5,273 * Activision, Inc. 289,409 5,267 * Allegheny Energy, Inc. 412,724 5,266 * Service Corp. International 976,970 5,266 * Dynegy, Inc. 1,228,193 5,257 Thor Industries, Inc. 93,255 5,243 Ametek, Inc. 108,335 5,228 Church & Dwight, Inc. 131,905 5,223 * IDEXX Laboratories Corp. 112,818 5,221 The South Financial Group, Inc. 187,363 5,220 * BJ's Wholesale Club, Inc. 227,059 5,213 * Earthlink, Inc. 521,199 5,212 John Wiley & Sons Class A 199,454 5,192 Standard Pacific Corp. 106,512 5,171 Airgas, Inc. 240,417 5,164 Select Medical Corp. 316,074 5,146 * Respironics, Inc. 113,834 5,133 * Acxiom Corp. 276,131 5,128 Cooper Tire & Rubber Co. 239,589 5,122 * Grant Prideco, Inc. 393,355 5,121 First BanCorp Puerto Rico 129,429 5,119 * STERIS Corp. 226,313 5,115 Florida Rock Industries, Inc. 92,923 5,097 * Charles River Laboratories, Inc. 148,449 5,096 Western Gas Resources, Inc. 107,642 5,086 Park National Corp. 44,884 5,079 Massey Energy Co. 243,811 5,071 Ethan Allen Interiors, Inc. 121,068 5,070 CarrAmerica Realty Corp. REIT 170,067 5,065 * Varian Semiconductor Equipment Associates, Inc. 115,799 5,059 * Techne Corp. 133,830 5,056 Provident Financial Group, Inc. 158,199 5,054 * West Corp. 217,390 5,050 Peoples Energy Corp. 120,118 5,050 Werner Enterprises, Inc. 258,644 5,041 * FMC Technologies Inc. 216,247 5,039 * Western Wireless Corp. Class A 274,373 5,037 Worthington Industries, Inc. 278,939 5,029 * Ascential Software Corp. 193,169 5,009 Healthcare Realty Trust Inc. REIT 139,841 4,999 * Interactive Data Corp. 301,849 4,999 Media General, Inc. Class A 76,507 4,981 * Forest Oil Corp. 174,023 4,972 * Valassis Communications, Inc. 168,521 4,946 * AGCO Corp. 245,098 4,936 First Midwest Bancorp, Inc. 152,040 4,928 Realty Income Corp. REIT 123,031 4,921 * Accredo Health, Inc. 155,409 4,912 * Pharmaceutical Product Development, Inc. 181,588 4,897 11 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Cytyc Corp. 355,430 4,891 * MKS Instruments, Inc. 168,512 4,887 * OmniVision Technologies, Inc. 88,102 4,868 * Cytec Industries, Inc. 126,736 4,865 * Brocade Communications Systems, Inc. 840,912 4,860 * Crown Holdings, Inc. 536,190 4,858 NICOR Inc. 142,607 4,854 * Perot Systems Corp. 359,847 4,851 * Gateway, Inc. 1,052,113 4,840 Briggs & Stratton Corp. 71,710 4,833 Greater Bay Bancorp 169,681 4,833 Cousins Properties, Inc. REIT 157,917 4,832 MAF Bancorp, Inc. 115,212 4,827 SL Green Realty Corp. REIT 117,412 4,820 * The MONY Group Inc. 153,976 4,818 * United Rentals, Inc. 249,998 4,815 Energen Corp. 117,291 4,812 Cooper Cos., Inc. 102,091 4,812 York International Corp. 130,636 4,807 * Affiliated Managers Group, Inc. 68,987 4,801 Westar Energy, Inc. 236,703 4,793 * Emmis Communications, Inc. 177,096 4,790 * Copart, Inc. 289,818 4,782 * Tom Brown, Inc. 148,246 4,781 * Avid Technology, Inc. 99,439 4,773 * Dade Behring Holdings Inc. 133,364 4,766 Blyth, Inc. 147,666 4,758 Essex Property Trust, Inc. REIT 74,064 4,756 * Urban Outfitters, Inc. 128,280 4,753 * Bio-Rad Laboratories, Inc. Class A 82,332 4,748 Odyssey Re Holdings Corp. 210,386 4,744 * Apria Healthcare Group Inc. 166,604 4,743 Piedmont Natural Gas, Inc. 109,030 4,738 Delta Air Lines, Inc. 401,064 4,737 * Plantronics, Inc. 144,889 4,731 UGI Corp. Holding Co. 139,499 4,729 Old National Bancorp 206,734 4,724 * American Greetings Corp. Class A 215,514 4,713 * Tractor Supply Co. 121,014 4,706 Reader's Digest Association, Inc. 321,005 4,706 * Affymetrix, Inc. 191,204 4,706 * Zale Corp. 88,353 4,700 * Varian, Inc. 112,544 4,696 * Meridian Gold Co. 320,945 4,689 * TIBCO Software Inc. 691,607 4,682 * Micrel, Inc. 300,142 4,676 HRPT Properties Trust REIT 462,936 4,671 Polo Ralph Lauren Corp. 161,637 4,655 * Sycamore Networks, Inc. 887,453 4,650 Kennametal, Inc. 116,785 4,642 Trinity Industries, Inc. 150,396 4,638 Hearst-Argyle Television Inc. 167,481 4,616 * Benchmark Electronics, Inc. 132,336 4,607 AptarGroup Inc. 117,958 4,600 * CACI International, Inc. 94,611 4,600 Citizens Banking Corp. 140,224 4,588 Alexander & Baldwin, Inc. 136,054 4,584 Winn-Dixie Stores, Inc. 460,623 4,583 * Hot Topic, Inc. 155,420 4,579 Helmerich & Payne, Inc. 163,806 4,575 * ResMed Inc. 109,914 4,566 * IGEN International, Inc. 77,387 4,559 Extended Stay America, Inc. 314,662 4,556 * DoubleClick Inc. 445,724 4,555 * Electronics for Imaging, Inc. 174,654 4,544 * The Yankee Candle Co., Inc. 166,247 4,544 * ON Semiconductor Corp. 702,739 4,533 * The Medicines Co. 153,509 4,522 New Century Financial Corp. 113,931 4,520 * Evergreen Resources, Inc. 139,000 4,519 Duquesne Light Holdings, Inc. 245,739 4,507 * Premcor, Inc. 173,271 4,505 Prentiss Properties Trust REIT 136,470 4,502 Downey Financial Corp. 91,236 4,498 * Terex Corp. 157,752 4,493 GATX Corp. 160,511 4,491 AmerUs Group Co. 128,145 4,481 Dillard's Inc. 272,235 4,481 Great Lakes Chemical Corp. 164,798 4,481 United Bankshares, Inc. 143,612 4,481 * United Stationers, Inc. 109,274 4,471 * The Goodyear Tire & Rubber Co. 568,866 4,471 * Conexant Systems, Inc. 897,660 4,461 * CMS Energy Corp. 522,609 4,453 Seagate Technology 234,725 4,436 IDEX Corp. 106,614 4,434 * UNOVA, Inc. 192,910 4,427 * Siliconix, Inc. 96,858 4,426 Visteon Corp. 424,091 4,415 WGL Holdings Inc. 158,409 4,402 Highwood Properties, Inc. REIT 173,233 4,400 * Tetra Tech, Inc. 176,835 4,396 * Hercules, Inc. 360,133 4,394 Fresh Del Monte Produce Inc. 184,327 4,393 Hollinger International, Inc. 280,808 4,386 Winnebago Industries, Inc. 63,783 4,385 Engineered Support Systems, Inc. 79,623 4,384 * Scholastic Corp. 128,638 4,379 * Lexar Media, Inc. 251,135 4,377 * Linens 'n Things, Inc. 145,215 4,368 12 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Key Energy Services, Inc. 423,233 4,364 First Industrial Realty Trust REIT 129,149 4,359 * Southern Union Co. 236,572 4,353 Thomas & Betts Corp. 189,896 4,347 * Cerner Corp. 114,587 4,337 Southwest Bancorporation of Texas, Inc. 111,580 4,335 Diagnostic Products Corp. 94,212 4,325 * Quest Software, Inc. 303,018 4,303 Beazer Homes USA, Inc. 44,052 4,302 Staten Island Bancorp, Inc. 190,951 4,296 * Cree, Inc. 241,613 4,274 East West Bancorp, Inc. 79,325 4,258 * Fossil, Inc. 151,352 4,239 * Dycom Industries, Inc. 157,777 4,232 United Auto Group, Inc. 134,724 4,217 * Akamai Technologies, Inc. 391,967 4,214 FactSet Research Systems Inc. 110,265 4,213 Heritage Property Investment Trust REIT 148,076 4,213 * MGI Pharma, Inc. 102,150 4,203 * P.F. Chang's China Bistro, Inc. 82,581 4,202 Pennsylvania REIT 115,607 4,197 * Pediatrix Medical Group, Inc. 76,107 4,193 Flagstar Bancorp, Inc. 195,574 4,189 * Skyworks Solutions, Inc. 480,866 4,184 Joy Global Inc. 159,379 4,168 Fremont General Corp. 246,007 4,160 First Citizens BancShares Class A 34,160 4,151 Callaway Golf Co. 245,201 4,132 * Arbitron Inc. 98,833 4,123 * Anteon International Corp. 114,272 4,120 * OSI Pharmaceuticals, Inc. 127,868 4,119 * Choice Hotel International, Inc. 116,575 4,109 Commerce Group, Inc. 103,910 4,104 * Take-Two Interactive Software, Inc. 142,411 4,103 * Vitesse Semiconductor Corp. 698,859 4,102 Pacific Capital Bancorp 110,918 4,084 * VCA Antech, Inc. 131,762 4,082 Invacare Corp. 100,939 4,075 * Simpson Manufacturing Co. 80,102 4,074 * Sylvan Learning Systems, Inc. 141,319 4,069 Imation Corp. 115,748 4,069 * Silicon Valley Bancshares 112,532 4,059 Corn Products International, Inc. 117,715 4,055 * National Processing, Inc. 172,026 4,051 * Tuesday Morning Corp. 133,887 4,050 Home Properties, Inc. REIT 100,233 4,048 * Alliance Gaming Corp. 164,093 4,045 The Pep Boys (Manny, Moe & Jack) 176,791 4,043 * K-V Pharmaceutical Co. Class A 157,846 4,025 * Gaylord Entertainment Co. 134,836 4,025 Chittenden Corp. 119,495 4,020 Speedway Motorsports, Inc. 138,698 4,011 * Coeur D'Alene Mines Corp. 693,436 4,008 The Brink's Co. 177,262 4,008 * R.H. Donnelley Corp. 100,575 4,007 * CEC Entertainment Inc. 84,548 4,007 Cognex Corp. 141,874 4,007 * Trimble Navigation Ltd. 107,476 4,002 * Cincinnati Bell Inc. 792,242 4,001 Albemarle Corp. 133,169 3,991 Florida East Coast Industries, Inc. Class A 120,033 3,973 Atmos Energy Corp. 163,425 3,971 Fred's, Inc. 127,574 3,952 * Cabot Microelectronics Corp. 80,643 3,952 * FMC Corp. 115,521 3,943 Cabot Oil & Gas Corp. 134,287 3,941 * GrafTech International Ltd. 291,889 3,941 Overseas Shipholding Group Inc. 115,668 3,938 * Kronos, Inc. 99,181 3,929 Reckson Associates Realty Corp. REIT 161,622 3,927 Heartland Express, Inc. 162,220 3,924 Nu Skin Enterprises, Inc. 229,290 3,919 Minerals Technologies, Inc. 66,107 3,917 * Alkermes, Inc. 289,897 3,914 * FLIR Systems, Inc. 107,165 3,912 * Hyperion Solutions Corp. 129,775 3,911 * Sonic Corp. 127,513 3,904 * KEMET Corp. 282,985 3,874 * Esperion Therapeutics, Inc. 111,683 3,865 * Beverly Enterprises, Inc. 449,723 3,863 * Charter Communications, Inc. 960,946 3,863 21st Century Insurance Group 279,647 3,845 * Panera Bread Co. 97,174 3,841 * Mueller Industries Inc. 111,607 3,835 Nordson Corp. 110,987 3,832 Strayer Education, Inc. 35,160 3,826 Olin Corp. 190,564 3,823 Flowers Foods, Inc. 147,900 3,816 Commercial Federal Corp. 142,516 3,807 Hughes Supply, Inc. 76,611 3,801 * American Eagle Outfitters, Inc. 231,762 3,801 * Power Integrations, Inc. 113,278 3,790 * SCP Pool Corp. 115,722 3,782 Superior Industries International, Inc. 86,843 3,779 * Kos Pharmaceuticals, Inc. 87,754 3,777 * Ralcorp Holdings, Inc. 120,364 3,775 * Cumulus Media Inc. 171,438 3,772 13 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Nationwide Health Properties, Inc. REIT 192,647 3,766 Equity One, Inc. REIT 222,693 3,759 Washington REIT 128,361 3,748 * Flowserve Corp. 179,137 3,740 * Landstar System, Inc. 98,282 3,739 Hilb, Rogal and Hamilton Co. 116,356 3,732 Mine Safety Appliances Co. 46,927 3,731 The Toro Co. 80,166 3,720 Hugoton Royalty Trust 170,000 3,720 * Houston Exploration Co. 101,707 3,714 Centex Construction Products, Inc. 61,547 3,709 La-Z-Boy Inc. 176,735 3,708 Bob Evans Farms, Inc. 114,208 3,707 IDACORP, Inc. 123,795 3,704 * Steel Dynamics, Inc. 157,581 3,702 * NPS Pharmaceuticals Inc. 120,339 3,699 IMC Global Inc. 372,507 3,699 * Teletech Holdings Inc. 327,271 3,698 The Phoenix Cos., Inc. 306,836 3,694 PNM Resources Inc. 131,274 3,689 * LifePoint Hospitals, Inc. 125,243 3,688 * Interdigital Communications Corp. 178,465 3,684 * NetFlix.com, Inc. 67,116 3,671 * Stone Energy Corp. 86,363 3,666 Albany International Corp. 107,771 3,653 Ferro Corp. 134,056 3,648 * Radio One, Inc. 186,528 3,647 Cathay General Bancorp 65,481 3,646 * VISX Inc. 157,031 3,635 * Arch Capital Group Ltd. 91,166 3,634 Clarcor Inc. 82,389 3,633 Delphi Financial Group, Inc. 100,534 3,619 Universal Corp. (VA) 81,929 3,619 * Macromedia, Inc. 202,840 3,619 * Cimarex Energy Co. 135,449 3,615 K-Swiss, Inc. 150,150 3,613 Mentor Corp. 150,125 3,612 Alexandria Real Estate Equities, Inc. REIT 62,312 3,608 Redwood Trust, Inc. REIT 70,734 3,597 * Macrovision Corp. 159,061 3,593 Perrigo Co. 228,102 3,586 * Abgenix, Inc. 287,500 3,582 Kellwood Co. 87,198 3,575 Kilroy Realty Corp. REIT 109,078 3,572 * McDATA Corp. Class A 374,613 3,570 Texas Regional Bancshares, Inc. 96,338 3,565 Community First Bankshares, Inc. 123,022 3,560 Arrow International, Inc. 142,465 3,559 * Intergraph Corp. 148,769 3,559 * Lattice Semiconductor Corp. 367,338 3,556 * eSPEED, Inc. Class A 151,852 3,555 * Kroll Inc. 136,672 3,553 * United Online, Inc. 211,072 3,544 * Select Comfort Corp. 142,961 3,540 Tupperware Corp. 203,608 3,531 * Catalina Marketing Corp. 174,979 3,528 Regal Entertainment Group Class A 171,763 3,525 * Northwest Airlines Corp. Class A 278,868 3,519 * Alaris Medical Systems, Inc. 231,337 3,519 * Spinnaker Exploration Co. 109,015 3,518 * Philadelphia Consolidated Holding Corp. 72,029 3,517 * Wright Medical Group, Inc. 115,337 3,511 Acuity Brands, Inc. 135,925 3,507 * Sybron Dental Specialties, Inc. 124,592 3,501 * Ligand Pharmaceuticals Inc. Class B 238,024 3,497 * Waste Connections, Inc. 92,443 3,492 Brandywine Realty Trust REIT 129,644 3,471 * Odyssey Healthcare, Inc. 118,420 3,465 * Continental Airlines, Inc. Class B 212,899 3,464 Reliance Steel & Aluminum Co. 104,282 3,463 * Tularik, Inc. 214,056 3,457 * Tesoro Petroleum Corp. 237,193 3,456 Post Properties, Inc. REIT 123,682 3,453 New Jersey Resources Corp. 89,670 3,453 * Hecla Mining Co. 416,542 3,453 Allegheny Technologies Inc. 261,075 3,451 * Ohio Casualty Corp. 198,286 3,442 St. Mary Land & Exploration Co. 120,734 3,441 First Niagara Financial Group, Inc. 230,159 3,432 * Cox Radio, Inc. 135,947 3,430 * Quicksilver Resources, Inc. 106,113 3,427 MacDermid, Inc. 100,075 3,427 * Cost Plus, Inc. 83,494 3,423 * Brooks Automation, Inc. 141,589 3,422 * Scientific Games Corp. 200,653 3,413 Alpharma, Inc. Class A 169,374 3,404 * Parametric Technology Corp. 863,967 3,404 Colonial Properties Trust REIT 85,927 3,403 Delta & Pine Land Co. 133,952 3,402 * Denbury Resources, Inc. 244,466 3,401 Skywest, Inc. 187,417 3,396 Banta Corp. 83,779 3,393 * Priority Healthcare Corp. Class B 140,655 3,391 14 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- UMB Financial Corp. 71,314 3,390 * Silicon Storage Technology, Inc. 307,909 3,387 Boyd Gaming Corp. 209,570 3,382 Santander BanCorp 138,791 3,380 LNR Property Corp. 68,204 3,377 Capital Automotive REIT 105,419 3,373 BankAtlantic Bancorp, Inc. Class A 177,462 3,372 * FileNET Corp. 124,507 3,372 Maguire Properties, Inc. REIT 138,700 3,370 Vintage Petroleum, Inc. 279,993 3,368 * Unit Corp. 142,916 3,366 Alfa Corp. 261,299 3,360 * AMERIGROUP Corp. 78,736 3,358 Lincoln Electric Holdings, Inc. 135,693 3,357 A.O. Smith Corp. 95,755 3,356 Novastar Financial, Inc. REIT 78,108 3,356 * Axcelis Technologies, Inc. 327,373 3,346 * Aeropostale, Inc. 121,600 3,334 Taubman Co. REIT 161,753 3,332 Avista Corp. 183,187 3,319 MSC Industrial Direct Co., Inc. Class A 120,511 3,314 * Corrections Corp. of America REIT 114,869 3,312 * Wynn Resorts Ltd. 118,065 3,307 Northwest Bancorp, Inc. 154,756 3,306 * AirTran Holdings, Inc. 277,475 3,302 Wabtec Corp. 193,496 3,297 Northwest Natural Gas Co. 107,164 3,295 Kelly Services, Inc. Class A 115,401 3,294 Impac Mortgage Holdings, Inc. REIT 180,818 3,293 Rollins, Inc. 145,997 3,292 Longs Drug Stores, Inc. 132,918 3,288 Senior Housing Properties Trust REIT 190,223 3,278 * Journal Register Co. 157,836 3,267 * Encore Acquisition Co. 132,381 3,263 * CompuCredit Corp. 153,006 3,256 * Vicuron Pharmaceuticals Inc. 174,444 3,253 Potlatch Corp. 93,494 3,251 USF Corp. 95,003 3,248 * Applera Corp.-Celera Genomics Group 233,220 3,244 Susquehanna Bancshares, Inc. 129,640 3,242 * OMI Corp. 362,700 3,239 * Mentor Graphics Corp. 222,499 3,235 * US Oncology, Inc. 300,263 3,231 * Men's Wearhouse, Inc. 128,715 3,219 Modine Manufacturing Co. 118,482 3,197 Weis Markets, Inc. 88,005 3,195 Arkansas Best Corp. 101,630 3,190 * Chiquita Brands International, Inc. 141,501 3,188 * Internet Security Systems, Inc. 168,847 3,179 Lennox International Inc. 190,157 3,176 * FTI Consulting, Inc. 135,876 3,175 * MPS Group, Inc. 339,528 3,175 * eResearch Technology, Inc. 124,863 3,174 * United Surgical Partners International, Inc. 94,780 3,173 TrustCo Bank NY 241,157 3,171 Syntel, Inc. 128,154 3,167 * Nektar Therapeutics 232,465 3,164 * Stillwater Mining Co. 330,463 3,163 Granite Construction Co. 134,393 3,157 * Kyphon Inc. 126,906 3,151 BlackRock, Inc. 59,297 3,149 Oakley, Inc. 227,358 3,147 * Transaction Systems Architects, Inc. 138,965 3,145 * CNET Networks, Inc. 460,834 3,143 LandAmerica Financial Group, Inc. 60,078 3,140 * Align Technology, Inc. 189,917 3,137 * Dionex Corp. 68,048 3,132 Georgia Gulf Corp. 108,368 3,130 * Commonwealth Telephone Enterprises, Inc. 82,890 3,129 * Armor Holdings, Inc. 118,778 3,125 * Quiksilver, Inc. 175,548 3,112 Black Hills Corp. 104,262 3,110 * La Quinta Corp. REIT 483,801 3,101 * Inveresk Research Group Inc. 125,354 3,100 * General Maritime Corp. 175,899 3,096 * American Medical Systems Holdings, Inc. 141,970 3,095 * Adaptec, Inc. 350,073 3,091 Schnitzer Steel Industries, Inc. Class A 51,072 3,090 ADVO, Inc. 97,126 3,085 Lexington Corporate Properties Trust REIT 152,389 3,077 * CommScope, Inc. 187,850 3,068 NDCHealth Corp. 119,406 3,059 * Tekelec 196,440 3,055 * United Defense Industries Inc. 95,789 3,054 * TriQuint Semiconductor, Inc. 431,677 3,052 S & T Bancorp, Inc. 102,035 3,051 * Kansas City Southern 212,370 3,041 * Meritage Corp. 45,848 3,040 * Knight Transportation, Inc. 118,427 3,038 Corus Bankshares Inc. 95,986 3,029 * RealNetworks, Inc. 527,560 3,012 Black Box Corp. 65,363 3,011 15 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Casey's General Stores, Inc. 170,488 3,011 * Keane, Inc. 205,590 3,010 * AK Steel Corp. 589,234 3,005 * ExpressJet Holdings, Inc. 199,766 2,996 Burlington Coat Factory Warehouse Corp. 141,607 2,996 * Ditech Communications Corp. 156,805 2,995 Irwin Financial Corp. 95,278 2,992 * Comstock Resources, Inc. 154,415 2,980 State Auto Financial Corp. 127,314 2,978 * The Sports Authority, Inc. 77,485 2,975 * Wilson Greatbatch Technologies, Inc. 70,243 2,969 Gables Residential Trust REIT 85,465 2,969 MB Financial, Inc. 81,499 2,967 Matthews International Corp. 100,235 2,966 * Magnum Hunter Resources Inc. 311,873 2,966 PS Business Parks, Inc. REIT 71,825 2,963 Bank Mutual Corp. 260,159 2,963 * Telik, Inc. 128,775 2,963 * Penn National Gaming, Inc. 128,342 2,962 * DSP Group Inc. 118,868 2,961 * Genencor International Inc. 187,674 2,956 * Veeco Instruments, Inc. 104,817 2,956 * Southwestern Energy Co. 123,674 2,956 Chemical Financial Corp. 81,178 2,954 H.B. Fuller Co. 99,271 2,952 * Radio One, Inc. Class D 152,170 2,937 * Kulicke & Soffa Industries, Inc. 203,748 2,930 * ProAssurance Corp. 91,128 2,930 * Informatica Corp. 284,166 2,927 * Entegris Inc. 227,488 2,923 * Plains Exploration & Production Co. 189,412 2,915 Sensient Technologies Corp. 147,222 2,911 * Digital Insight Corp. 116,863 2,910 Hancock Holding Co. 53,323 2,910 Community Bank System, Inc. 59,284 2,905 ABM Industries Inc. 166,770 2,903 * Actuant Corp. 80,155 2,902 * Wabash National Corp. 98,691 2,892 * Payless ShoeSource, Inc. 215,184 2,883 Kimball International, Inc. Class B 185,336 2,882 * Aztar Corp. 128,056 2,881 USEC Inc. 342,594 2,878 Selective Insurance Group 88,797 2,873 * Technitrol, Inc. 138,465 2,872 * Advanced Neuromodulation Systems, Inc. 62,394 2,869 R.L.I. Corp. 76,426 2,863 * WMS Industries, Inc. 109,265 2,863 First Financial Bancorp 179,026 2,855 UniSource Energy Corp. 115,786 2,855 * Global Imaging Systems, Inc. 89,918 2,855 * ESS Technology, Inc. 167,750 2,853 * Dendrite International, Inc. 182,015 2,852 Brookfield Homes Corp. 110,677 2,852 IHOP Corp. 73,776 2,839 Crompton Corp. 395,016 2,832 Wolverine World Wide, Inc. 138,858 2,830 Ruddick Corp. 158,074 2,830 * Gartner, Inc. Class B 259,823 2,827 * Anixter International Inc. 109,113 2,824 * Rare Hospitality International Inc. 115,418 2,821 * WCI Communities, Inc. 136,795 2,819 * Power-One, Inc. 259,443 2,810 CVB Financial Corp. 145,465 2,806 * Sinclair Broadcast Group, Inc. 187,729 2,801 * SEACOR SMIT Inc. 66,625 2,800 Brady Corp. Class A 68,668 2,798 * Advanced Digital Information Corp. 199,593 2,794 * Group 1 Automotive, Inc. 77,191 2,794 Federal Signal Corp. 158,956 2,785 * Hain Celestial Group, Inc. 119,690 2,778 * MICROS Systems, Inc. 63,929 2,772 CDI Corp. 84,494 2,767 American Financial Realty Trust REIT 162,200 2,766 CARBO Ceramics Inc. 53,946 2,765 Grey Global Group Inc. 4,045 2,763 * Universal Compression Holdings, Inc. 105,604 2,763 Manufactured Home Communities, Inc. REIT 73,357 2,762 Barra, Inc. 77,565 2,753 Zenith National Insurance Corp. 84,556 2,752 * Cyberonics, Inc. 85,957 2,751 * ProQuest Co. 93,403 2,751 Dime Community Bancshares 89,349 2,748 * Kirby Corp. 78,769 2,747 * Sierra Pacific Resources 373,905 2,744 Commercial Metals Co. 90,274 2,744 * Jones Lang Lasalle Inc. 132,333 2,743 * AmSurg Corp. 72,138 2,733 Millennium Chemicals, Inc. 215,540 2,733 Wintrust Financial Corp. 60,581 2,732 * Financial Federal Corp. 89,406 2,731 * Teledyne Technologies, Inc. 144,828 2,730 First Commonwealth Financial Corp. 191,322 2,728 * Extreme Networks, Inc. 378,046 2,726 16 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * WellChoice Inc. 78,917 2,723 Waypoint Financial Corp. 125,121 2,714 Cleco Corp. 150,911 2,713 * PSS World Medical, Inc. 224,445 2,709 Tecumseh Products Co. Class A 55,921 2,708 Brookline Bancorp, Inc. 176,338 2,705 * Watson Wyatt & Co. Holdings 111,960 2,704 Stewart Information Services Corp. 66,644 2,702 * Maverick Tube Corp. 140,142 2,698 G & K Services, Inc. Class A 73,193 2,690 * Cal Dive International, Inc. 111,554 2,690 * Entravision Communications Corp. 241,422 2,680 Kaydon Corp. 103,629 2,678 * Range Resources Corp. 283,148 2,676 * Quanta Services, Inc. 366,337 2,674 Quanex Corp. 58,000 2,674 * EMCOR Group, Inc. 60,851 2,671 * EGL, Inc. 151,940 2,668 * RSA Security Inc. 187,890 2,668 Hudson River Bancorp. Inc. 68,354 2,668 Surewest Communications 65,974 2,667 John H. Harland Co. 97,643 2,666 * CUNO Inc. 59,120 2,662 * AMIS Holdings Inc. 145,500 2,660 Mid-State Bancshares 104,374 2,655 * Electronics Boutique Holdings Corp. 115,807 2,651 * Headwaters Inc. 135,072 2,650 * Hollywood Entertainment Corp. 192,288 2,644 * Credence Systems Corp. 200,783 2,642 * InfoSpace, Inc. 114,597 2,641 * Argosy Gaming Co. 101,631 2,641 Horace Mann Educators Corp. 188,655 2,636 * Jack in the Box Inc. 123,248 2,633 * WebEx Communications, Inc. 130,469 2,622 * LTX Corp. 174,443 2,622 * BankUnited Financial Corp. 101,450 2,616 * Integra LifeSciences Holdings 91,376 2,616 * Finish Line, Inc. 87,271 2,616 * ATMI, Inc. 112,976 2,614 * First Federal Financial Corp. 60,024 2,611 * Corvis Corp. 1,531,493 2,604 * Aspect Communications Corp. 165,052 2,601 * IDX Systems Corp. 96,411 2,586 * Remington Oil & Gas Corp. 131,223 2,584 Glimcher Realty Trust REIT 115,373 2,582 * Manhattan Associates, Inc. 93,396 2,581 * Advanced Energy Industries, Inc. 99,063 2,581 * Triad Guaranty, Inc. 51,210 2,578 * Genesis Healthcare Corp. 113,143 2,577 * Renaissance Learning, Inc. 106,987 2,576 * Regeneron Pharmaceuticals, Inc. 175,030 2,575 * FEI Co. 114,318 2,572 * Ask Jeeves, Inc. 141,899 2,571 Provident Bankshares Corp. 87,293 2,570 Sun Communities, Inc. REIT 66,303 2,566 * Wireless Facilities, Inc. 172,418 2,562 * Ariba, Inc. 853,212 2,560 Liberty Corp. 56,557 2,556 The Laclede Group, Inc. 89,215 2,547 The Trust Co. of New Jersey 64,146 2,545 * Magma Design Automation, Inc. 109,036 2,545 MCG Capital Corp. 130,481 2,544 * Price Communications Corp. 185,226 2,543 Penn Virginia Corp. 45,675 2,542 * Trex Co., Inc. 66,894 2,541 * Too Inc. 150,477 2,540 * Hanover Compressor Co. 227,774 2,540 * Old Dominion Freight Line, Inc. 74,516 2,540 AMCOL International Corp. 125,489 2,535 Charter Financial Corp. 67,997 2,534 CH Energy Group, Inc. 53,984 2,532 Summit Properties, Inc. REIT 104,852 2,519 Handleman Co. 122,613 2,517 Republic Bancorp, Inc. 186,570 2,517 * Rayovac Corp. 120,014 2,514 Watsco, Inc. 110,584 2,514 * KCS Energy, Inc. 238,051 2,511 * Guitar Center, Inc. 77,041 2,510 * DRS Technologies, Inc. 90,279 2,508 * Lin TV Corp. 96,988 2,503 * CSK Auto Corp. 133,308 2,502 * American Italian Pasta Co. 59,718 2,502 Harleysville National Corp. 83,084 2,501 * Hutchinson Technology, Inc. 81,338 2,500 * ChipPAC, Inc. 329,300 2,499 Southern Peru Copper Corp. 52,968 2,498 * Asyst Technologies, Inc. 143,905 2,497 * Vertex Pharmaceuticals, Inc. 243,844 2,495 * InterMune Inc. 107,519 2,490 * NeighborCare Inc. 126,074 2,490 Boston Private Financial Holdings, Inc. 100,195 2,489 * Ultratech, Inc. 84,692 2,487 * GlobespanVirata, Inc. 422,976 2,487 * Symyx Technologies, Inc. 120,946 2,485 * Rogers Corp. 56,280 2,483 * MAXIMUS, Inc. 63,384 2,480 Spartech Corp. 100,617 2,479 Brown Shoe Co., Inc. 65,352 2,479 * Mindspeed Technologies, Inc. 361,838 2,479 Harbor Florida Bancshares, Inc. 83,415 2,478 17 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Citadel Broadcasting Corp. 110,600 2,474 A. Schulman Inc. 115,769 2,468 * Altiris, Inc. 67,638 2,467 * Sunrise Senior Living, Inc. 63,667 2,466 Landry's Restaurants, Inc. 95,790 2,464 * Thoratec Corp. 189,350 2,463 * Prima Energy Corp. 70,005 2,461 Connecticut Bancshares, Inc. 47,729 2,460 * Therasense, Inc. 121,036 2,457 * United Natural Foods, Inc. 68,390 2,456 * Swift Energy Co. 145,746 2,456 * Shaw Group, Inc. 179,911 2,450 * Credit Acceptance Corp. 159,980 2,448 * CTI Molecular Imaging, Inc. 144,671 2,446 Owens & Minor, Inc. Holding Co. 111,610 2,445 * Mastec Inc. 165,085 2,445 * Multimedia Games Inc. 59,472 2,444 * Commercial Capital Bancorp, Inc. 114,119 2,443 * Nuevo Energy Co. 100,972 2,440 * Sharper Image Corp. 74,745 2,440 * NetIQ Corp. 184,182 2,440 * Adolor Corp. 121,775 2,438 Wausau-Mosinee Paper Corp. 180,081 2,435 * Investment Technology Group, Inc. 150,692 2,434 * Exar Corp. 142,466 2,433 Umpqua Holdings Corp. 116,844 2,429 PFF Bancorp, Inc. 66,954 2,429 * USANA Health Sciences, Inc. 79,202 2,424 * The Advisory Board Co. 69,294 2,419 Amcore Financial, Inc. 89,423 2,416 * ANSYS, Inc. 60,807 2,414 * Energy Partners, Ltd. 173,668 2,414 * Genta Inc. 231,706 2,412 Seacoast Financial Services Corp. 87,970 2,411 * eFunds Corp. 138,961 2,411 * Coherent, Inc. 101,280 2,410 * American Management Systems, Inc. 159,789 2,408 * Six Flags, Inc. 320,196 2,408 Commercial Net Lease Realty REIT 135,201 2,407 * USG Corp. 144,959 2,402 * Big 5 Sporting Goods Corp. 114,512 2,399 * S1 Corp. 297,884 2,398 * Petroleum Development Corp. 100,840 2,390 * Oceaneering International, Inc. 85,313 2,389 * Borland Software Corp. 244,892 2,383 * Playtex Products, Inc. 308,159 2,382 * Helen of Troy Ltd. 102,743 2,379 * OM Group, Inc. 90,682 2,375 * CapitalSource Inc. 109,500 2,374 * Progress Software Corp. 115,955 2,372 * Mediacom Communications Corp. 273,415 2,371 American Home Mortgage Investment Corp. 105,181 2,368 Cambrex Corp. 93,707 2,367 Main Street Banks, Inc. 89,157 2,363 * PRIMEDIA Inc. 833,727 2,359 * Photon Dynamics, Inc. 58,550 2,356 * TTM Technologies, Inc. 139,415 2,353 * Priceline.com, Inc. 131,466 2,353 * McDermott International, Inc. 196,872 2,353 * Enterasys Networks, Inc. 627,265 2,352 * American Pharmaceuticals Partners, Inc. 69,832 2,346 * Ryan's Family Steak Houses, Inc. 154,667 2,342 * Ocwen Financial Corp. 264,141 2,340 * Plug Power, Inc. 322,530 2,338 * Micromuse Inc. 338,565 2,336 Interstate Bakeries Corp. 164,031 2,334 * Exult Inc. 327,612 2,333 Oxford Industries, Inc. 68,772 2,330 Vector Group Ltd. 142,443 2,325 Christopher & Banks Corp. 119,023 2,325 Getty Realty Holding Corp. REIT 88,891 2,324 Russ Berrie and Co., Inc. 68,435 2,320 * Leapfrog Enterprises, Inc. 87,442 2,320 Frontier Oil Corp. 134,647 2,319 First Sentinel Bancorp Inc. 110,039 2,317 Net.Bank, Inc. 173,516 2,316 * Kindred Healthcare, Inc. 44,502 2,313 Entertainment Properties Trust REIT 66,618 2,312 * THQ Inc. 136,741 2,312 * Superior Energy Services, Inc. 245,792 2,310 The Standard Register Co. 137,269 2,310 * Oil States International, Inc. 165,389 2,306 * Pinnacle Systems, Inc. 269,681 2,300 * DJ Orthopedics Inc. 85,819 2,300 NBT Bancorp, Inc. 107,217 2,299 * Newport Corp. 138,982 2,297 Gevity HR, Inc. 103,233 2,296 * URS Corp. 91,721 2,294 LaBranche & Co. Inc. 196,383 2,292 Alabama National BanCorporation 43,604 2,291 * Integrated Silicon Solution, Inc. 146,049 2,289 * Dollar Thrifty Automotive Group, Inc. 88,199 2,288 Southwest Gas Corp. 101,614 2,281 18 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Alexander's, Inc. REIT 18,299 2,281 * Enbridge Energy Management 47,177 2,280 Parkway Properties Inc. REIT 54,751 2,278 Franklin Electric, Inc. 37,653 2,278 * CSG Systems International, Inc. 182,252 2,276 * Boca Resorts, Inc. Class A 152,061 2,275 UIL Holdings Corp. 50,401 2,273 Sterling Bancshares, Inc. 170,500 2,273 First Financial Bankshares, Inc. 54,492 2,272 * Papa John's International, Inc. 67,969 2,269 Baldor Electric Co. 99,286 2,269 * Griffon Corp. 111,915 2,267 Infinity Property & Casualty Corp. 68,461 2,263 * SERENA Software, Inc. 123,300 2,263 Holly Corp. 82,144 2,259 Blockbuster Inc. Class A 125,733 2,257 * School Specialty, Inc. 66,289 2,254 * Dobson Communications Corp. 342,928 2,253 Texas Industries, Inc. 60,823 2,250 * Checkpoint Systems, Inc. 118,990 2,250 Sauer-Danfoss, Inc. 138,570 2,245 * CMGI Inc. 1,259,782 2,242 * Sotheby's Holdings Class A 163,983 2,240 City Holding Co. 63,998 2,240 * Impax Laboratories, Inc. 155,610 2,239 * Digene Corp. 55,794 2,237 * Trammell Crow Co. 168,768 2,236 Berry Petroleum Class A 110,347 2,235 First Republic Bank 62,382 2,233 * PTEK Holdings, Inc. 253,209 2,231 * Imagistics International Inc. 59,322 2,225 United National Bancorp 62,228 2,223 * USI Holdings Corp. 170,086 2,220 Ramco-Gershenson Properties Trust REIT 78,331 2,217 * International Steel Group, Inc. 56,900 2,216 * Time Warner Telecom Inc. 218,763 2,216 * Harvest Natural Resources, Inc. 222,213 2,211 * Primus Telecommunications Group, Inc. 217,011 2,209 * Cirrus Logic 287,201 2,203 Watts Water Technologies, Inc. 98,346 2,183 * UnitedGlobalCom Inc. Class A 257,454 2,183 * FuelCell Energy, Inc. 167,560 2,178 * Silgan Holdings, Inc. 51,131 2,178 * Shuffle Master, Inc. 62,869 2,177 * Rudolph Technologies, Inc. 88,237 2,165 * Pacer International, Inc. 106,959 2,163 United Community Banks, Inc. 65,710 2,162 EastGroup Properties, Inc. REIT 66,743 2,161 Inter-Tel, Inc. 86,499 2,161 * Cray Inc. 217,548 2,160 Anchor Bancorp Wisconsin Inc. 86,742 2,160 * Ventana Medical Systems, Inc. 54,784 2,158 * Plains Resources Inc. 134,421 2,157 Cash America International Inc. 101,770 2,155 * Opsware, Inc. 289,839 2,145 * Aeroflex, Inc. 183,464 2,145 * Epicor Software Corp. 167,690 2,140 * VistaCare, Inc. 60,815 2,138 * CONMED Corp. 89,558 2,131 Cubic Corp. 92,570 2,129 Walter Industries, Inc. 159,331 2,127 Carpenter Technology Corp. 71,824 2,124 National Penn Bancshares Inc. 65,873 2,116 * Mercury Computer Systems, Inc. 84,937 2,115 * Red Robin Gourmet Burgers 69,451 2,114 * Tejon Ranch Co. 51,490 2,112 Fidelity Bankshares, Inc. 67,176 2,109 * FormFactor Inc. 106,500 2,109 * Digital River, Inc. 95,271 2,105 * Esterline Technologies Corp. 78,847 2,103 World Fuel Services Corp. 61,934 2,103 * Verity, Inc. 125,943 2,102 * Synaptics Inc. 140,283 2,101 * Arris Group Inc. 289,917 2,099 * Movie Gallery, Inc. 112,165 2,095 * Insight Enterprises, Inc. 111,164 2,090 * America West Holdings Corp. Class B 168,464 2,089 * Forward Air Corp. 75,582 2,079 * California Amplifier, Inc. 147,427 2,074 * Labor Ready, Inc. 158,320 2,074 Bandag, Inc. 50,101 2,064 * Offshore Logistics, Inc. 84,127 2,063 * Advent Software, Inc. 118,251 2,061 * Hewitt Associates, Inc. 68,926 2,061 National Health Investors REIT 82,814 2,060 The Manitowoc Co., Inc. 66,029 2,060 * K2 Inc. 135,096 2,055 * Local Financial Corp. 98,560 2,054 * UTStarcom, Inc. 55,362 2,052 Farmer Brothers, Inc. 6,592 2,052 * Grey Wolf, Inc. 547,561 2,048 Otter Tail Corp. 76,513 2,045 * InterVoice, Inc. 171,973 2,041 U.S. Restaurant Properties, Inc. REIT 119,781 2,041 * PAREXEL International Corp. 125,506 2,041 PolyMedica Corp. 77,534 2,040 * Tanox, Inc. 137,218 2,038 Regal-Beloit Corp. 92,523 2,036 Landauer, Inc. 49,835 2,032 19 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * El Paso Electric Co. 152,203 2,032 * McMoRan Exploration Co. 107,992 2,025 Westbanco Inc. 73,085 2,024 * Tradestation Group Inc. 228,392 2,024 * F5 Networks, Inc. 80,505 2,021 Coca-Cola Bottling Co. 37,738 2,019 South Jersey Industries, Inc. 49,838 2,018 * The Meridian Resource Corp. 339,799 2,018 * MedQuist, Inc. 125,587 2,017 * Daktronics, Inc. 80,127 2,016 * Guess ?, Inc. 166,939 2,015 * Connetics Corp. 110,943 2,015 Russell Corp. 114,662 2,013 * Tyler Technologies, Inc. 209,047 2,013 * Centene Corp. 71,734 2,009 * Standard Microsystem Corp. 79,112 2,002 * William Lyon Homes, Inc. 31,885 2,001 First Charter Corp. 102,347 2,001 * Haemonetics Corp. 83,603 1,997 * Interwoven Inc. 157,949 1,996 * Keystone Automotive Industries, Inc. 78,716 1,996 * Advanced Medical Optics, Inc. 101,568 1,996 Omega Healthcare Investors, Inc. REIT 213,848 1,995 Equity Inns, Inc. REIT 220,377 1,994 Anthracite Capital Inc. REIT 179,658 1,989 Glacier Bancorp, Inc. 61,358 1,988 National Financial Partners Corp. 72,100 1,986 Flushing Financial Corp. 108,652 1,986 Glenborough Realty Trust, Inc. REIT 99,156 1,978 Corporate Office Properties Trust, Inc. REIT 93,997 1,974 Barnes Group, Inc. 60,999 1,971 * Mannatech, Inc. 181,092 1,967 * Actel Corp. 81,569 1,966 Kansas City Life Insurance Co. 42,542 1,965 * Carrier Access Corp. 156,923 1,965 * C-COR Electronics, Inc. 175,910 1,958 * Pixelworks, Inc. 177,210 1,956 * Safeguard Scientifics, Inc. 483,212 1,952 NACCO Industries, Inc. Class A 21,814 1,952 Royal Gold, Inc. 93,152 1,950 * bebe stores, inc 74,995 1,949 JLG Industries, Inc. 127,852 1,947 * CNA Surety Corp. 204,633 1,946 * FARO Technologies, Inc. 77,868 1,945 * Mesa Air Group Inc. 155,333 1,945 * The Children's Place Retail Stores, Inc. 72,632 1,941 * Aviall Inc. 125,121 1,941 * Ocular Sciences, Inc. 67,576 1,940 * Saxon Capital Inc. 92,375 1,935 * Clayton Williams Energy, Inc. 66,548 1,935 Analogic Corp. 47,138 1,933 FBL Financial Group, Inc. Class A 74,739 1,928 * Province Healthcare Co. 120,461 1,927 * MRV Communications Inc. 511,890 1,925 * Vail Resorts Inc. 112,621 1,915 * Per-Se Technologies, Inc. 125,319 1,912 Midwest Banc Holdings, Inc. 85,888 1,911 * Ixia 163,230 1,910 Harleysville Group, Inc. 96,000 1,909 * Stein Mart, Inc. 231,709 1,909 OceanFirst Financial Corp. 70,288 1,909 * InVision Technologies, Inc. 56,829 1,908 Aceto Corp. 74,620 1,906 * Silicon Image, Inc. 263,520 1,905 * Biosite Inc. 65,808 1,905 * Oregon Steel Mills, Inc. 327,728 1,904 Integra Bank Corp. 86,514 1,901 * PalmOne, Inc. 161,808 1,901 * Alliance Data Systems Corp. 68,665 1,901 * Littelfuse, Inc. 65,925 1,900 Kenneth Cole Productions, Inc. 64,563 1,898 * Remec, Inc. 225,281 1,895 * FTD, Inc. 76,800 1,892 Nara Bancorp, Inc. 69,290 1,892 * Pre-Paid Legal Services, Inc. 72,346 1,890 Woodward Governor Co. 33,219 1,888 * Moog Inc. 38,159 1,885 * SuperGen, Inc. 171,114 1,882 * Navigant Consulting, Inc. 99,506 1,877 * ILEX Oncology, Inc. 88,158 1,873 * Charming Shoppes, Inc. 346,875 1,873 * Global Industries Ltd. 363,698 1,873 * Netegrity, Inc. 181,564 1,872 * Verint Systems Inc. 82,593 1,863 * Consolidated Graphics, Inc. 58,927 1,861 M/I Schottenstein Homes, Inc. 47,654 1,861 * Onyx Pharmaceuticals, Inc. 65,904 1,860 Pulitzer, Inc. 34,444 1,860 * I-STAT Corp. 121,159 1,854 Correctional Properties Trust REIT 64,322 1,852 West Pharmaceutical Services, Inc. 54,612 1,851 * Inspire Pharmaceuticals, Inc. 130,732 1,851 * PETCO Animal Supplies, Inc. 60,589 1,845 * ValueVision Media, Inc. 110,341 1,843 * ScanSource, Inc. 40,275 1,837 * Artesyn Technologies, Inc. 215,363 1,835 20 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Enzon Pharmaceuticals, Inc. 152,761 1,833 Curtiss-Wright Corp. 40,714 1,833 * Immucor Inc. 89,782 1,831 C & D Technologies, Inc. 95,433 1,829 Lance, Inc. 121,389 1,824 * KVH Industries, Inc. 66,402 1,824 * Charles River Associates Inc. 57,016 1,824 Value Line, Inc. 36,547 1,824 * Enzo Biochem, Inc. 101,823 1,824 * Brightpoint, Inc. 105,527 1,820 Oriental Financial Group Inc. 70,808 1,820 * Hydrill Co. 75,998 1,819 Pilgrim's Pride Corp. 111,290 1,817 * John B. Sanfilippo & Son, Inc. 35,495 1,812 * Microsemi Corp. 73,552 1,808 Tanger Factory Outlet Centers, Inc. REIT 44,411 1,808 * UICI 135,950 1,805 * NCO Group, Inc. 79,211 1,804 MGE Energy, Inc. 57,117 1,800 * Gartner, Inc. Class A 158,990 1,798 Koger Equity, Inc. REIT 85,854 1,797 Longview Fibre Co. 145,253 1,794 * BioLase Technology, Inc. 107,900 1,791 * Technical Olympic USA, Inc. 65,037 1,790 * The Gymboree Corp. 103,859 1,789 * Argonaut Group, Inc. 115,068 1,788 Greif Inc. Class A 50,354 1,788 * ViaSat, Inc. 93,358 1,787 * Insight Communications Co., Inc. 173,156 1,785 * American Healthways Inc. 74,782 1,785 * Sapient Corp. 318,743 1,785 * Sterling Financial Corp. 52,141 1,785 * At Road, Inc. 133,366 1,774 * Closure Medical Corp. 52,265 1,773 * Quantum Corp. 568,256 1,773 * webMethods, Inc. 193,737 1,773 * Zymogenetics, Inc. 114,132 1,769 Gold Banc Corp., Inc. 125,616 1,766 Phillips-Van Heusen Corp. 99,532 1,766 * Secure Computing Corp. 98,483 1,764 * Overnite Corp. 77,516 1,763 * TransMontaigne Inc. 272,916 1,760 Sonic Automotive, Inc. 76,690 1,758 * ManTech International Corp. 70,344 1,755 * Albany Molecular Research, Inc. 116,603 1,751 * Euronet Worldwide, Inc. 97,242 1,750 * ArthroCare Corp. 71,438 1,750 * The Warnaco Group, Inc. 109,633 1,749 * j2 Global Communications, Inc. 70,573 1,748 * Plexus Corp. 101,709 1,746 * MemberWorks, Inc. 64,244 1,746 * PolyOne Corp. 273,122 1,745 Sovran Self Storage, Inc. REIT 46,960 1,745 Resource America, Inc. 116,123 1,742 * Openwave Systems Inc. 158,347 1,742 Glatfelter 139,695 1,739 * Monaco Coach Corp. 72,982 1,737 Central Pacific Financial Co. 57,746 1,735 * United Therapeutics Corp. 75,508 1,733 * AAR Corp. 115,828 1,732 * MeriStar Hospitality Corp. REIT 265,964 1,731 R & G Financial Corp. Class B 43,477 1,730 * LCA-Vision Inc. 81,732 1,730 * Talk America Holdings, Inc. 149,815 1,726 * RTI International Metals, Inc. 102,262 1,725 * Central Garden and Pet Co. 61,528 1,725 Capstead Mortgage Corp. REIT 102,759 1,724 Schweitzer-Mauduit International, Inc. 57,753 1,720 * Orbital Sciences Corp. 142,878 1,717 * Bright Horizons Family Solutions, Inc. 40,857 1,716 * Discovery Laboratories, Inc. 163,574 1,716 BSB Bancorp, Inc. 43,410 1,715 * Sierra Health Services, Inc. 62,370 1,712 MTS Systems Corp. 89,023 1,712 * Rainbow Technologies, Inc. 151,918 1,711 * Cleveland-Cliffs Inc. 33,535 1,709 * Century Business Services, Inc. 382,023 1,708 First Financial Holdings, Inc. 54,568 1,706 * Smart & Final Inc. 168,779 1,701 Empire District Electric Co. 77,530 1,700 Independent Bank Corp. (MI) 59,946 1,700 * Atwood Oceanics, Inc. 53,208 1,699 Churchill Downs, Inc. 46,899 1,698 * Taser International Inc. 20,600 1,697 * Genlyte Group, Inc. 29,061 1,697 * SCS Transportation, Inc. 96,459 1,696 * Learning Tree International, Inc. 97,359 1,693 Arch Chemicals, Inc. 65,963 1,693 Apogee Enterprises, Inc. 148,866 1,690 First Federal Capital Corp. 74,939 1,688 * First Horizon Pharmaceutical Corp. 150,536 1,686 * Mykrolis Corp. 104,828 1,686 * M&F Worldwide Corp. 126,168 1,686 * Dick's Sporting Goods, Inc. 34,621 1,685 * Concurrent Computer Corp. 385,157 1,683 * Photronics Inc. 84,388 1,681 * Overstock.com, Inc. 84,602 1,680 * Stamps.com Inc. 270,311 1,676 Gray Television, Inc. 110,674 1,673 * SRA International, Inc. 38,789 1,672 21 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- NL Industries, Inc. 142,457 1,667 * Hexcel Corp. 224,747 1,665 Community Trust Bancorp Inc. 55,100 1,664 Simmons First National Corp. 59,466 1,659 Advanta Corp. Class A 127,572 1,657 MFA Mortgage Investments, Inc. REIT 169,701 1,655 Central Parking Corp. 110,755 1,654 * VA Software Corp. 422,485 1,652 * BioMarin Pharmaceutical Inc. 212,149 1,648 * RailAmerica, Inc. 139,628 1,648 * TETRA Technologies, Inc. 67,965 1,647 * Sola International Inc. 87,570 1,646 * Xicor, Inc. 143,564 1,628 Newcastle Investment Corp. REIT 59,834 1,622 * Zoll Medical Corp. 45,665 1,620 * Rofin-Sinar Technologies Inc. 46,867 1,620 * Caraustar Industries, Inc. 117,360 1,620 Independent Bank Corp. (MA) 56,106 1,617 Banner Corp. 64,259 1,616 Town & Country Trust REIT 63,726 1,615 * Geron Corp. 161,911 1,614 * Right Management Consultants, Inc. 86,353 1,611 * Transkaryotic Therapies, Inc. 103,093 1,609 * Ionics, Inc. 50,518 1,609 U.S.B. Holding Co., Inc. 82,888 1,607 * Mattson Technology, Inc. 131,151 1,603 * InFocus Corp. 165,553 1,603 * RC2 Corp. 77,179 1,601 WD-40 Co. 45,244 1,600 * Zoran Corp. 91,988 1,600 Patriot Bank Corp. 55,904 1,599 Universal Health Realty Income REIT 53,094 1,598 The Stride Rite Corp. 140,328 1,597 * Administaff, Inc. 91,864 1,597 * Portfolio Recovery Associates, Inc. 60,051 1,594 * NetScout Systems, Inc. 209,726 1,594 * Wind River Systems Inc. 181,954 1,594 * SonicWALL, Inc. 204,299 1,594 * Finisar Corp. 508,103 1,590 * W-H Energy Services, Inc. 98,153 1,590 * Zygo Corp. 96,420 1,590 * Wackenhut Corrections Corp. 69,694 1,589 * Capital Corp. of the West 40,059 1,588 * Ashford Hospitality Trust 169,100 1,588 * aQuantive, Inc. 154,707 1,586 Lennar Corp. Class B 17,338 1,585 * CorVel Corp. 42,110 1,583 ElkCorp 59,264 1,582 Cross Timbers Royalty Trust 55,441 1,581 NUI Corp. 98,065 1,581 * Hologic, Inc. 91,140 1,579 * Navigators Group, Inc. 51,153 1,579 Cascade Natural Gas Corp. 74,855 1,579 * Atrix Laboratories, Inc. 65,640 1,578 * National Western Life Insurance Co. Class A 10,189 1,578 * Cardiac Science, Inc. 394,576 1,574 Great American Financial Resources, Inc. 97,053 1,574 * Lone Star Technologies, Inc. 98,499 1,574 The Nautilus Group, Inc. 112,018 1,574 * PEC Solutions, Inc. 92,784 1,573 EDO Corp. 63,795 1,573 Cato Corp. Class A 76,678 1,572 CIRCOR International, Inc. 65,117 1,569 * Vignette Corp. 690,985 1,569 * Fleetwood Enterprises, Inc. 152,676 1,566 * Korn/Ferry International 117,386 1,566 * SeeBeyond Technology Corp. 364,303 1,563 * Harmonic, Inc. 215,524 1,563 Movado Group, Inc. 55,206 1,558 Frontier Financial Corp. 46,931 1,556 * Alaska Air Group, Inc. 57,015 1,556 Medallion Financial Corp. 163,900 1,555 Belden, Inc. 73,717 1,555 * Gardner Denver Inc. 65,078 1,553 Pennfed Financial Services, Inc. 46,278 1,550 * J. Jill Group, Inc. 121,902 1,549 * California Pizza Kitchen, Inc. 76,949 1,549 Roto-Rooter, Inc. 33,577 1,548 * Sigma Designs, Inc. 205,274 1,546 McGrath Rent Corp. 56,591 1,542 * Nanogen, Inc. 171,149 1,542 * Whiting Petroleum Corp. 83,801 1,542 * 4Kids Entertainment Inc. 59,005 1,535 * CoStar Group, Inc. 36,738 1,531 * aaiPharma Inc. 60,941 1,531 WSFS Financial Corp. 34,113 1,530 * Jarden Corp. 55,800 1,526 * Electro Scientific Industries, Inc. 64,093 1,525 * Hifn, Inc. 128,123 1,525 Triarc Cos., Inc. Class B 141,030 1,520 NYMAGIC, Inc. 55,397 1,519 * Captiva Software Corp. 119,830 1,517 * NCI Building Systems, Inc. 63,389 1,515 * Kronos Worldwide, Inc. 68,234 1,515 The Middleby Corp. 37,382 1,513 * CIMA Labs Inc. 46,370 1,513 Riggs National Corp. 91,497 1,512 * Metrologic Instruments, Inc. 55,873 1,509 22 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Columbia Bancorp 47,216 1,509 Tredegar Corp. 97,120 1,508 First Financial Corp. (IN) 50,239 1,508 Allegiant Bancorp, Inc. 53,670 1,505 * Lifeline Systems, Inc. 79,214 1,505 * PICO Holdings, Inc. 95,965 1,504 * SM&A Corp. 128,515 1,504 * FelCor Lodging Trust, Inc. REIT 135,629 1,503 Cherokee Inc. 66,050 1,502 * The Dress Barn, Inc. 100,019 1,499 * ATP Oil & Gas Corp. 238,346 1,497 * Encysive Pharmaceuticals, Inc. 167,169 1,496 Coastal Bancorp, Inc. 36,377 1,495 Cross Country Healthcare, Inc. 100,129 1,494 * CCC Information Services Group 88,331 1,493 * Perry Ellis International Corp. 57,870 1,492 * Actuate Software Corp. 479,638 1,492 * Aquila, Inc. 439,196 1,489 Bedford Property Investors, Inc. REIT 51,983 1,488 * Charlotte Russe Holding Inc. 107,207 1,486 Texas Genco Holdings, Inc. 45,705 1,485 * CardioDynamics International Corp. 248,481 1,483 Southwest Bancorp, Inc. 82,576 1,476 Libbey, Inc. 51,834 1,476 * QAD Inc. 120,200 1,474 * Clark, Inc. 76,484 1,472 United Fire & Casualty Co. 36,436 1,471 Interchange Financial Services Corp. 58,015 1,468 * Jo-Ann Stores, Inc. 71,933 1,467 Rock-Tenn Co. 84,988 1,467 * Syntroleum Corp. 339,109 1,465 American States Water Co. 58,596 1,465 * Dyax Corp. 178,131 1,464 * Comfort Systems USA, Inc. 266,994 1,463 * PDI, Inc. 54,553 1,463 * SupportSoft, Inc. 111,145 1,462 Partners Trust Financial Group, Inc. 42,980 1,461 * Young Broadcasting Inc. 72,852 1,460 Chesapeake Corp. of Virginia 55,080 1,459 * Novoste Corp. 304,394 1,458 * Novavax, Inc. 242,970 1,458 * Medical Action Industries Inc. 77,770 1,455 * Tessera Technologies, Inc. 77,217 1,452 * Ciber, Inc. 167,717 1,452 * ValueClick, Inc. 159,934 1,452 * RadiSys Corp. 86,090 1,451 Vesta Insurance Group, Inc. 376,614 1,450 Thomas Industries, Inc. 41,815 1,449 * AMN Healthcare Services, Inc. 83,662 1,436 Newmil Bancorp, Inc. 49,400 1,435 * SurModics, Inc. 60,018 1,434 * Kopin Corp. 213,595 1,433 Thomas Nelson, Inc. 74,090 1,432 * Stewart Enterprises, Inc. Class A 251,762 1,430 Computer Programs and Systems, Inc. 71,053 1,430 * Concord Camera Corp. 154,139 1,426 * PetroQuest Energy, Inc. 456,886 1,425 * Viasys Healthcare Inc. 69,167 1,425 * CV Therapeutics, Inc. 97,156 1,424 Vital Signs, Inc. 43,442 1,421 Investors Real Estate Trust REIT 143,471 1,420 * VaxGen, Inc. 178,998 1,418 * Mapics Inc. 108,254 1,417 Angelica Corp. 64,353 1,416 Sizeler Property Investors, Inc. REIT 132,190 1,416 * KFX, Inc. 187,097 1,413 Nash-Finch Co. 63,170 1,411 Capital City Bank Group, Inc. 30,641 1,409 * Axonyx Inc. 289,351 1,409 * Heidrick & Struggles International, Inc. 64,632 1,409 * Tempur-Pedic International Inc. 90,900 1,409 Anworth Mortgage Asset Corp. REIT 101,141 1,409 * Ameristar Casinos, Inc. 57,471 1,406 * Avatar Holding, Inc. 38,052 1,406 * Gentiva Health Services, Inc. 111,179 1,405 * Transmeta Corp. 412,859 1,404 * La Jolla Pharmaceutical Co. 327,050 1,403 GenCorp, Inc. 130,068 1,401 * Merix Corp. 56,980 1,398 * Isle of Capri Casinos, Inc. 65,093 1,398 Urstadt Biddle Properties Class A REIT 98,664 1,396 * Newpark Resources, Inc. 291,449 1,396 * Answerthink Consulting Group, Inc. 251,218 1,394 * Dot Hill Systems Corp. 91,615 1,388 * The Neiman Marcus Group, Inc. Class B 27,740 1,387 * ShopKo Stores, Inc. 90,948 1,387 Quaker City Bancorp, Inc. 29,757 1,385 * Aspect Medical Systems, Inc. 121,206 1,383 Seacoast Banking Corp. of Florida 79,468 1,380 23 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * E-LOAN, Inc. 462,836 1,379 * Coinstar, Inc. 76,249 1,377 * TiVo Inc. 185,555 1,373 * Nuvelo, Inc. 395,628 1,373 * Possis Medical Inc. 69,266 1,368 X-Rite Inc. 120,788 1,367 * Trimeris, Inc. 65,141 1,367 * Playboy Enterprises, Inc. Class B 84,537 1,366 Yardville National Bancorp 52,973 1,364 * Incyte Corp. 199,175 1,362 * Palm Harbor Homes, Inc. 76,210 1,362 * Hawthorne Financial Corp. 48,634 1,361 Quaker Chemical Corp. 44,227 1,360 * Audiovox Corp. 105,837 1,359 Riviana Foods, Inc. 49,413 1,353 * Tumbleweed Communications Corp. 161,484 1,353 Sandy Spring Bancorp, Inc. 36,177 1,353 * Pozen Inc. 132,636 1,353 * Mobius Management Systems, Inc. 106,886 1,352 * Accredited Home Lenders Holding Co. 44,168 1,352 First Source Corp. 62,797 1,351 Helix Technology Corp. 65,594 1,350 * IDT Corp. Class B 58,342 1,349 * SafeNet, Inc. 43,746 1,346 First Place Financial Corp. 68,824 1,344 * United PanAm Financial Corp. 80,299 1,342 * VitalWorks Inc. 303,442 1,341 Fedders Corp. 186,089 1,340 Great Southern Bancorp, Inc. 28,889 1,340 * TriPath Imaging, Inc. 171,737 1,340 * Jos. A. Bank Clothiers, Inc. 38,599 1,339 * Embarcadero Technologies, Inc. 83,917 1,338 * Aspen Technologies, Inc. 130,242 1,336 Mid-America Apartment Communities, Inc. REIT 39,783 1,336 * Callon Petroleum Co. 128,586 1,333 Bassett Furniture Industries, Inc. 80,765 1,333 * Quantum Fuel Systems Technologies Worldwide, Inc. 164,554 1,323 * Microvision, Inc. 173,498 1,322 * Genesis Microchip Inc. 73,182 1,320 Sturm, Ruger & Co., Inc. 115,944 1,318 Milacron Inc. 315,968 1,318 Bel Fuse, Inc. Class B 40,350 1,317 Provident Financial Holdings, Inc. 36,269 1,315 * Wiser Oil Co. 155,648 1,315 * iGATE Corp. 167,461 1,315 Startek, Inc. 32,179 1,313 Bank of the Ozarks, Inc. 58,286 1,312 * EMCORE Corp. 278,521 1,312 Old Second Bancorp, Inc. 26,471 1,310 * Banc Corp. 154,070 1,310 * infoUSA Inc. 176,480 1,309 * PDF Solutions, Inc. 87,684 1,306 * Giant Industries, Inc. 109,008 1,306 Merchants Bancshares, Inc. 42,715 1,305 Omega Financial Corp. 33,896 1,305 * America's Car-Mart, Inc. 48,323 1,301 Hooper Holmes, Inc. 210,236 1,299 * Quality Systems, Inc. 29,111 1,298 * MIPS Technologies, Inc. 238,391 1,298 Associated Estates Realty Corp. REIT 177,512 1,298 * Foamex International, Inc. 259,156 1,296 Aaron Rents, Inc. Class B 64,349 1,295 * Forrester Research, Inc. 72,445 1,295 * Dendreon Corp. 160,586 1,294 * Intermagnetics General Corp. 58,405 1,294 * Eclipsys Corp. 111,173 1,294 * Echelon Corp. 116,130 1,294 * Champion Enterprises, Inc. 184,626 1,292 * Diodes Inc. 67,825 1,289 * Triton PCS, Inc. 230,621 1,287 * General Cable Corp. 157,876 1,287 Suffolk Bancorp 37,255 1,286 Great Lakes, Inc. REIT 81,930 1,286 Bryn Mawr Bank Corp. 52,506 1,286 Keystone Property Trust REIT 58,109 1,284 * HomeStore, Inc. 271,295 1,283 * Peregrine Pharmaceuticals, Inc. 580,597 1,283 * AtheroGenics, Inc. 85,566 1,279 * Triumph Group, Inc. 35,041 1,275 * TBC Corp. 49,258 1,271 * Witness Systems, Inc. 136,136 1,270 * Cole National Corp. Class A 63,461 1,269 * Websense, Inc. 43,355 1,268 * EZCORP, Inc. 149,109 1,267 * American Medical Security Group, Inc. 56,501 1,267 * Resources Connection, Inc. 46,345 1,266 Kramont Realty Trust REIT 69,897 1,265 * Fargo Electronics 99,421 1,265 * Ace Cash Express, Inc. 59,467 1,264 Cascade Bancorp 65,590 1,263 * Packeteer, Inc. 74,356 1,263 Met-Pro Corp. 78,169 1,262 * Beasley Broadcast Group, Inc. 76,830 1,262 * LookSmart, Ltd. 813,501 1,261 * Insituform Technologies Inc. Class A 76,412 1,261 * Water Pik Technologies, Inc. 102,672 1,260 24 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Bowne & Co., Inc. 92,798 1,258 * Cubist Pharmaceuticals, Inc. 103,465 1,258 * ICU Medical, Inc. 36,686 1,258 * The Exploration Co. of Delaware, Inc. 206,062 1,257 * SFBC International, Inc. 47,278 1,256 American Land Lease, Inc. REIT 62,938 1,256 * Silicon Graphics, Inc. 916,252 1,255 * Encore Wire Corp. 70,790 1,254 * Netscreen Technologies, Inc. 50,615 1,253 * Strattec Security Corp. 20,545 1,251 Prosperity Bancshares, Inc. 55,567 1,251 * Lionbridge Technologies, Inc. 129,873 1,248 * Saga Communications, Inc. 67,351 1,248 * Stage Stores, Inc. 44,697 1,247 * MTC Technologies, Inc. 38,689 1,247 * Digital Generation Systems 555,031 1,243 Crawford & Co. Class B 175,940 1,242 * Shoe Carnival, Inc. 69,700 1,241 * eCollege.com Inc. 67,157 1,240 AMLI Residential Properties Trust REIT 46,183 1,238 * Powerwave Technologies, Inc. 161,771 1,238 * Virage Logic Corp. 121,644 1,237 LTC Properties, Inc. REIT 83,892 1,237 * Stratasys, Inc. 45,250 1,234 * Ciphergen Biosystems, Inc. 109,739 1,233 Peoples Holding Co. 37,375 1,233 * MicroStrategy Inc. 23,472 1,232 * Orbitz, Inc. 53,000 1,230 Heritage Financial Corp. 56,165 1,229 * Hartmarx Corp. 294,636 1,229 Stewart & Stevenson Services, Inc. 87,414 1,228 Arctic Cat, Inc. 49,677 1,227 * Jacuzzi Brands, Inc. 173,014 1,227 Middlesex Water Co. 60,400 1,226 Agilysys, Inc. 109,932 1,226 * Itron, Inc. 66,740 1,225 * The Wet Seal, Inc. Class A 123,814 1,225 Lone Star Steakhouse & Saloon, Inc. 52,719 1,222 * OneSource Information Services, Inc. 129,600 1,221 * Skechers U.S.A., Inc. 149,772 1,221 Steelcase Inc. 84,930 1,220 * Rubio's Restaurants, Inc. 203,894 1,219 * FindWhat.com 64,884 1,217 * Salem Communications Corp. 44,840 1,216 * OPNET Technologies, Inc. 73,853 1,216 * Internap Network Services Corp. 495,642 1,214 Todd Shipyards Corp. 68,351 1,214 * First Mariner Bancorp, Inc. 64,759 1,213 * 1-800-FLOWERS.COM, Inc. 109,671 1,213 * Vivus, Inc. 319,238 1,210 Century Bancorp, Inc. Class A 34,120 1,210 * SOURCECORP, Inc. 47,197 1,210 * Central European Distribution Corp. 38,253 1,209 * NeoPharm, Inc. 65,853 1,206 * Nabi Biopharmaceuticals 94,846 1,205 Lowrance Electronics, Inc. 58,883 1,205 * Antigenics, Inc. 106,340 1,204 * Inet Technologies, Inc. 100,204 1,202 * Spherion Corp. 122,291 1,197 * Avanex Corp. 239,756 1,196 * Infonet Services Corp. 703,499 1,196 Valmont Industries, Inc. 51,556 1,194 * Manugistics Group, Inc. 190,881 1,193 * Cell Genesys, Inc. 92,188 1,193 * Presstek, Inc. 163,876 1,191 * Specialty Laboratories, Inc. 70,687 1,187 LSB Corp. 68,522 1,186 * Casual Male Retail Group, Inc. 170,742 1,185 * Concord Communications, Inc. 59,290 1,184 Coachmen Industries, Inc. 65,363 1,184 Arrow Financial Corp. 42,592 1,183 * Bombay Co. 145,277 1,183 * Prime Hospitality Corp. 115,794 1,181 RPC Inc. 107,458 1,181 * II-VI, Inc. 45,761 1,181 Alico, Inc. 33,905 1,179 * ESCO Technologies Inc. 26,990 1,178 * Systems & Computer Technology Corp. 72,047 1,178 * Tenneco Automotive, Inc. 175,642 1,175 * Progenics Pharmaceuticals, Inc. 62,245 1,174 * Zix Corp. 134,974 1,173 * Applied Films Corp. 35,490 1,172 * Kensey Nash Corp. 50,351 1,171 Winston Hotels, Inc. REIT 114,757 1,171 * Keynote Systems Inc. 98,331 1,170 First Community Bancorp 32,375 1,170 * Crown Media Holdings, Inc. 141,187 1,168 * Florida Banks, Inc. 83,269 1,166 * Blue Rhino Corp. 83,772 1,164 Horizon Financial Corp. 66,436 1,163 * Isis Pharmaceuticals, Inc. 178,957 1,163 * Steven Madden, Ltd. 56,939 1,162 * S&K Famous Brands Inc. 67,333 1,161 * Ventiv Health, Inc. 126,824 1,160 * 24/7 Real Media, Inc. 864,002 1,158 California Water Service Group 42,220 1,157 * Innotrac Corp. 110,258 1,156 25 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Agile Software Corp. 116,588 1,154 * Navarre Corp. 189,684 1,153 The Buckle, Inc. 52,020 1,152 * Tower Automotive, Inc. 168,611 1,152 * RehabCare Group, Inc. 54,161 1,151 Lindsay Manufacturing Co. 45,594 1,151 * Neurogen Corp. 136,692 1,150 Massbank Corp. 26,988 1,150 * Asbury Automotive Group, Inc. 64,131 1,149 * QuickLogic Corp. 230,787 1,147 * Wesco International, Inc. 129,382 1,145 * Unifi, Inc. 177,441 1,144 Marine Products Corp. 60,843 1,144 North Valley Bancorp 74,939 1,144 * Buckeye Technology, Inc. 113,775 1,143 * America Service Group Inc. 36,950 1,142 LSI Industries Inc. 84,590 1,142 * Atlantic Coast Airlines Holdings Inc. 115,179 1,140 * Paxar Corp. 85,091 1,140 * LabOne, Inc. 35,089 1,139 * Pumatech, Inc. 285,846 1,138 * Docucorp International, Inc. 111,850 1,135 Dover Downs Gaming & Entertainment, Inc. 119,999 1,135 * OraSure Technologies, Inc. 142,396 1,133 Action Performance Cos., Inc. 57,761 1,132 National Presto Industries, Inc. 31,268 1,130 * DuPont Photomasks, Inc. 46,752 1,129 * CuraGen Corp. 153,691 1,127 * EntreMed, Inc. 336,720 1,125 Meridian Bioscience Inc. 107,709 1,123 * National Dentex Corp. 46,765 1,122 Capital Bank Corp. 72,631 1,122 * Penwest Pharmaceuticals Co. 64,836 1,120 * Noven Pharmaceuticals, Inc. 73,616 1,120 * Double Eagle Petroleum Co. 74,465 1,118 Sanderson Farms, Inc. 27,705 1,117 * Sequa Corp. Class A 22,776 1,116 * Volt Information Sciences Inc. 49,375 1,116 * MedAmicus, Inc. 84,700 1,114 CTS Corp. 96,848 1,114 * Kadant Inc. 51,342 1,112 RAIT Investment Trust REIT 43,373 1,110 Atlantic Tele-Network, Inc. 39,540 1,109 Superior Uniform Group, Inc. 67,397 1,109 * West Marine, Inc. 39,857 1,108 * World Acceptance Corp. 55,658 1,108 Capital Trust Class A 48,757 1,107 * On2 Technologies, Inc. 844,807 1,107 * Stratex Networks, Inc. 260,268 1,106 * Curis, Inc. 245,575 1,105 Central Vermont Public Service Corp. 46,968 1,104 * Therma-Wave Inc. 187,000 1,103 * Sonic Innovations, Inc. 170,907 1,102 * Retek Inc. 118,754 1,102 * XOMA Ltd. 166,649 1,100 * Duane Reade Inc. 64,994 1,100 * Dynamics Research Corp. 68,154 1,099 * Exelixis, Inc. 155,118 1,098 * A.C. Moore Arts & Crafts, Inc. 56,979 1,097 * Centennial Communications Corp. Class A 208,626 1,097 * ScanSoft, Inc. 206,262 1,097 California Independent Bancorp 28,491 1,097 Ameron International Corp. 31,619 1,097 Goody's Family Clothing 117,010 1,095 * KNBT Bancorp Inc. 62,206 1,094 Standard Commercial Tobacco Co. 54,425 1,092 * ImmunoGen, Inc. 216,144 1,092 * Diversa Corp. 117,793 1,090 Cornerstone Realty Income Trust, Inc. REIT 124,303 1,089 Consolidated-Tomoka Land Co. 33,267 1,088 Presidential Life Corp. 82,648 1,088 * SonoSite, Inc. 50,685 1,087 * Applied Molecular Evolution, Inc. 61,030 1,086 * Instinet Group Inc. 210,635 1,085 Myers Industries, Inc. 89,433 1,084 * Molecular Devices Corp. 57,047 1,083 * Medarex, Inc. 173,608 1,082 * I.D. Systems, Inc. 157,530 1,079 CB Bancshares Inc. (HI) 17,113 1,078 First Merchants Corp. 42,154 1,076 * Omnicell, Inc. 66,400 1,076 * Rewards Network Inc. 100,864 1,075 * Sequenom, Inc. 338,083 1,075 * SeaChange International, Inc. 69,747 1,074 * 1-800 CONTACTS, Inc. 51,144 1,074 * Lakes Entertainment, Inc. 66,500 1,074 * iPayment Holdings, Inc. 31,537 1,072 News Corp. Ltd. Pfd. ADR 35,446 1,072 Hancock Fabrics, Inc. 74,026 1,072 Connecticut Water Services, Inc. 38,743 1,071 * Candela Corp. 58,881 1,070 * Pacific Premier Bancorp, Inc. 96,501 1,070 * Luminex Corp. 114,086 1,070 Summit Bancshares, Inc. 38,350 1,068 * Casella Waste Systems, Inc. 77,933 1,067 * AMC Entertainment, Inc. 70,132 1,067 26 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Datascope Corp. 29,752 1,067 * Spanish Broadcasting System, Inc. 101,549 1,066 * Universal Display Corp. 77,861 1,064 * Coldwater Creek Inc. 96,726 1,064 * United States Exploration, Inc. 381,300 1,064 Stanley Furniture Co., Inc. 33,766 1,064 * Gulfmark Offshore, Inc. 75,965 1,064 * Aftermarket Technology Corp. 77,473 1,063 * Orthodontic Centers of America, Inc. 131,766 1,061 * International Multifoods Corp. 58,922 1,061 * Veritas DGC Inc. 101,099 1,060 * Merit Medical Systems, Inc. 47,566 1,059 * Intuitive Surgical, Inc. 61,915 1,058 * Alliance Semiconductor Corp. 148,750 1,058 * Advanced Magnetics, Inc. 81,310 1,057 * Regeneration Technologies, Inc. 96,303 1,055 The Topps Co., Inc. 102,854 1,055 Blair Corp. 43,334 1,055 Community Banks, Inc. 26,790 1,053 Midland Co. 44,583 1,053 * Frontier Airlines, Inc. 73,840 1,053 * Layne Christensen Co. 89,505 1,052 * Bone Care International, Inc. 82,542 1,052 * PRG-Schultz International, Inc. 214,249 1,050 * Petrocorp, Inc. 77,887 1,048 First Federal Bancshares of Arkansas, Inc. 25,525 1,047 United Industrial Corp. 57,958 1,046 TF Financial Corp. 30,784 1,046 * Valence Technology Inc. 271,251 1,044 * Garden Fresh Restaurant Corp. 65,018 1,044 United Capital Corp. 50,384 1,044 * Input/Output, Inc. 230,842 1,041 * Mail-Well, Inc. 225,660 1,040 * Pinnacle Airlines Corp. 74,700 1,038 * Digitas Inc. 111,126 1,036 Gibraltar Steel 41,172 1,035 * Boston Beer Co., Inc. Class A 56,947 1,033 * Cable Design Technologies Corp. 114,873 1,033 * Vicor Corp. 90,449 1,032 * Netopia, Inc. 70,688 1,031 Iomega Corp. 172,284 1,030 * Oxigene, Inc. 127,224 1,028 Applied Industrial Technology, Inc. 43,031 1,027 * Virginia Commerce Bancorp, Inc. 32,044 1,026 * Metris Cos., Inc. 231,060 1,026 * Targeted Genetics Corp. 468,003 1,025 * iPass Inc. 63,900 1,024 * Serologicals Corp. 54,977 1,023 Investors Title Co. 32,952 1,022 * Cepheid, Inc. 106,283 1,018 * The SCO Group, Inc. 59,867 1,018 Dover Motorsports, Inc. 289,763 1,014 * Genus, Inc. 169,009 1,014 * Neogen Corp. 40,934 1,014 * Sun Bancorp, Inc. (NJ) 38,347 1,012 MutualFirst Financial Inc. 39,804 1,009 Unizan Financial Corp. 49,806 1,009 FloridaFirst Bancorp, Inc. 30,431 1,007 Covest Bankshares, Inc. 36,703 1,007 * General Communication, Inc. 115,755 1,007 * ITXC Corp. 232,896 1,006 Pulaski Financial Corp. 59,513 1,005 * Chattem, Inc. 56,027 1,003 Oil-Dri Corp. of America 63,015 1,003 * AAON, Inc. 51,516 1,000 Republic Bancshares, Inc. 31,772 1,000 North Pittsburgh Systems, Inc. 52,814 999 * E.piphany Inc. 138,402 998 * SBA Communications Corp. 263,820 997 * Mobile Mini, Inc. 50,482 996 * Sykes Enterprises, Inc. 116,197 995 * Titanium Metals Corp. 18,927 994 * Dril-Quip, Inc. 60,922 993 First Bancorp (NC) 31,607 993 * Sonic Solutions, Inc. 64,876 993 * CryoLife Inc. 171,542 992 * Exact Sciences Corp. 97,964 991 * Blue Coat Systems, Inc. 44,383 990 * Energy Conversion Devices, Inc. 109,371 988 Universal Forest Products, Inc. 30,646 986 CPI Corp. 48,791 986 Greater Delaware Valley Savings Bank 35,216 986 Ryerson Tull, Inc. 85,936 984 The Marcus Corp. 59,960 983 SJW Corp. 11,009 983 * Kirkland's, Inc. 55,573 981 * PLX Technology, Inc. 110,700 980 Ingles Markets, Inc. 95,159 977 Gorman-Rupp Co. 37,002 977 * Indevus Pharmaceuticals, Inc. 165,467 975 * Carreker Corp. 69,470 973 * Innovex, Inc. 115,372 973 * Wave Systems Corp. 592,832 972 * JDA Software Group, Inc. 58,808 971 * Nastech Pharmaceutical Co., Inc. 100,932 969 * MTR Gaming Group Inc. 93,975 968 * InKine Pharmaceutical Co., Inc. 200,331 968 27 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Oak Hill Financial, Inc. 31,402 967 Maxcor Financial Group Inc. 74,664 966 * Dura Automotive Systems, Inc. 75,640 966 * Digi International, Inc. 100,512 965 Penford Corp. 70,255 965 * GameStop Corp. 62,568 964 * Pegasystems Inc. 111,692 963 * Myriad Genetics, Inc. 74,856 963 Keithley Instruments Inc. 52,570 962 * Interface, Inc. 173,920 962 * Drexler Technology Corp. 70,206 960 * Constar International Inc. 177,801 958 * Revlon, Inc. Class A 427,752 958 * Bruker BioSciences Corp. 210,073 956 * NETGEAR, Inc. 59,600 953 * Stoneridge, Inc. 63,188 951 * Ceres Group, Inc. 162,679 950 * Identix, Inc. 213,223 949 * EMS Technologies, Inc. 46,082 947 Traffix, Inc. 173,633 946 * MRO Software Inc. 70,225 945 Journal Communications, Inc. 51,000 945 * Universal American Financial Corp. 95,192 943 Citizens South Banking Corp. 67,450 941 Saul Centers, Inc. REIT 32,716 938 * Park-Ohio Holdings Corp. 126,584 937 Park Electrochemical Corp. 35,354 937 First South Bancorp, Inc. 25,647 936 * Equinix, Inc. 33,132 934 American Woodmark Corp. 16,962 934 * SITEL Corp. 400,491 933 * Worldwide Restaurant Concepts Inc. 333,261 933 * Nuance Communications Inc. 122,083 933 * NS Group Inc. 96,088 932 * Price Legacy Corp. REIT 244,190 930 * Pathmark Stores, Inc. 122,181 929 First Essex Bancorp, Inc. 15,950 927 World Wrestling Entertainment, Inc. 70,701 926 * Benihana Inc. Class A 72,046 926 * Pharmacopeia, Inc. 65,106 925 United Community Financial Corp. 81,064 925 * Rochester Medical Corp. 98,694 925 * Axsys Technologies, Inc. 65,018 923 IXYS Corp. 98,667 923 HF Financial Corp. 56,357 921 Quixote Corp. 37,711 921 * RMH Teleservices, Inc. 177,307 915 * Symmetricom Inc. 125,511 914 * Serrento Networks Corp. 308,184 912 * The Great Atlantic & Pacific Tea Co., Inc. 108,239 909 * Savient Pharmaceuticals Inc. 197,098 909 * LodgeNet Entertainment Corp. 49,653 908 * Amerco, Inc. 42,178 907 * Nexstar Broadcasting Group, Inc. 66,133 907 * Insurance Auto Auctions, Inc. 69,278 904 * ParkerVision, Inc. 92,228 903 * MarineMax, Inc. 46,376 901 * Applica Inc. 118,109 898 Second Bancorp, Inc. 33,923 896 * Kana Software, Inc. 265,679 895 * Artisan Components, Inc. 43,630 894 * Lightbridge, Inc. 97,949 891 * Lexicon Genetics Inc. 151,173 890 * Steak n Shake Co. 49,827 889 * Integrated Electrical Services, Inc. 96,126 889 * Workflow Management, Inc. 152,419 887 * Strategic Diagnostics Inc. 187,036 885 * ABIOMED, Inc. 128,026 885 * Neurobiological Technologies, Inc. 151,607 884 * Pegasus Solutions Inc. 84,354 883 BancFirst Corp. 15,005 881 * IntraBiotics Pharmaceuticals, Inc. 54,705 881 HMN Financial, Inc. 36,237 880 Columbia Banking System, Inc. 40,612 880 * Chordiant Software, Inc. 161,259 879 * PalmSource, Inc. 40,309 878 * Anaren, Inc. 62,140 877 * Sirva Inc. 44,900 877 * Ethyl Corp. 40,104 877 * Active Power, Inc. 301,200 873 FNB Financial Services Corp. 43,750 873 * The First Marblehead Corp. 39,875 872 Talx Corp. 37,883 872 * Midas Inc. 60,936 871 * DHB Industries, Inc. 124,338 870 Troy Financial Corp. 24,863 870 * GenVec, Inc. 262,743 867 * Information Holdings Inc. 39,227 867 * Investors Capital Holdings, Ltd. 151,895 866 * ePlus Inc. 69,998 863 * Tier Technologies, Inc. 105,609 863 First Keystone Financial, Inc. 31,603 863 Cohu, Inc. 45,049 863 * A.M. Castle & Co. 118,086 862 Wellman, Inc. 84,193 860 * Westell Technologies, Inc. 136,180 859 28 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- Innkeepers USA Trust REIT 102,352 857 * Gulf Island Fabrication, Inc. 50,300 857 * Enesco Group, Inc. 82,983 856 * FalconStor Software, Inc. 97,984 856 * DutchFork Bancshares, Inc. 22,229 856 * Cardinal Financial Corp. 103,342 856 UniFirst Corp. 36,057 855 * Argonaut Technologies Inc. 485,529 855 * Bioreliance Corp. 17,868 854 * Lydall, Inc. 83,505 851 * Blount International, Inc. 107,925 849 * SIGA Technologies, Inc. 370,359 848 Intermet Corp. 155,765 846 Sterling Financial Corp. (PA) 30,469 846 * FreeMarkets, Inc. 126,014 843 * Graphic Packaging Corp. 207,624 843 * MSC.Software Corp. 89,124 842 * Syms Corp. 122,048 841 Hovnanian Enterprises Inc. Class A 9,650 840 * Ulticom, Inc. 86,877 838 * Titan Pharmaceuticals, Inc. 287,590 837 * Applied Innovation Inc. 124,138 835 * Zomax Inc. 167,263 835 Methode Electronics, Inc. Class A 68,199 834 * Fisher Communications, Inc. 16,345 834 * Harris Interactive Inc. 100,416 833 * Mechanical Technology Inc. 152,351 833 Cadmus Communications 64,086 833 * Spectranetics Corp. 221,621 831 * Fairchild Corp. 164,644 830 * Hollis-Eden Pharmaceuticals, Inc. 75,328 829 * Federal Agricultural Mortgage Corp. Class A 37,006 828 * Gerber Scientific, Inc. 103,609 825 Ampco-Pittsburgh Corp. 60,218 823 HEICO Corp. 45,214 823 Dimon Inc. 121,838 822 * Datastream Systems, Inc. 104,746 822 * Manufacturers' Services Ltd. 135,095 821 * CyberSource Corp. 159,014 821 Triarc Cos., Inc. Class A 69,353 820 * MatrixOne, Inc. 132,565 817 * Bell Microproducts Inc. 90,017 816 Baldwin & Lyons, Inc. Class B 28,994 814 * Stifel Financial Corp. 41,705 813 * Latitude Communications, Inc. 206,814 813 Union Bankshares Corp. 26,644 813 * SciClone Pharmaceuticals, Inc. 119,530 810 * Friendly Ice Cream Corp. 83,843 809 * Tweeter Home Entertainment Group, Inc. 85,465 808 * FSI International, Inc. 109,386 807 * American Physicians Capital, Inc. 43,873 807 * Department 56 Inc. 61,588 807 * Carter's, Inc. 31,700 807 * Concerto Software Inc. 67,203 805 * Paradyne Networks, Inc. 233,983 805 Provident Bancorp, Inc. 17,110 804 * Forgent Networks, Inc. 319,066 804 Advanced Marketing Services 70,423 803 * Xanser Corp. 338,634 803 * Telular Corp. 122,337 801 * Impco Technologies Inc. 91,826 801 * Centra Software, Inc. 202,690 801 * LCC International, Inc. Class A 148,922 799 Tennant Co. 18,433 798 Penn-America Group, Inc. 60,133 798 * The Boyds Collection, Ltd. 187,751 798 * Proxim Corp. Class A 477,544 797 * Switchboard Inc. 115,361 797 * ANADIGICS, Inc. 133,490 796 * Universal Technical Institute Inc. 26,500 795 * Wild Oats Markets Inc. 61,480 795 * Matria Healthcare, Inc. 37,609 795 * TheStreet.com, Inc. 192,786 794 * Atari, Inc. 188,969 794 * Radiant Systems, Inc. 94,350 793 Raven Industries, Inc. 26,834 792 * Tollgrade Communications, Inc. 45,138 791 * COMARCO, Inc. 71,768 789 * Verso Technologies, Inc. 246,144 788 * Covenant Transport, Inc. 41,429 788 * Palatin Technologies, Inc. 314,610 787 Pacific Union Bank 30,747 785 * NYFIX, Inc. 98,728 785 * Synovis Life Technologies, Inc. 38,568 784 * Sirenza Microdevices, Inc. 163,312 784 * Aclara Biosciences, Inc. 214,491 783 * TranSwitch Corp. 340,371 783 * Abaxis, Inc. 43,200 783 * Conceptus, Inc. 73,677 782 * Team, Inc. 76,215 782 * IMPAC Medical Systems, Inc. 30,590 782 * Midway Games Inc. 201,021 780 * Pegasus Communications Corp. 27,753 779 * Theragenics Corp. 142,441 779 * Alderwoods Group, Inc. 82,566 778 * Universal Electronics, Inc. 60,916 776 29 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * American Residential Investment Trust, Inc. REIT 108,540 776 * QRS Corp. 95,326 774 * Elizabeth Arden, Inc. 38,837 774 * PRAECIS Pharmaceuticals Inc. 119,914 772 * Kforce Inc. 82,669 772 * Inverness Medical Innovations, Inc. 35,431 772 * Chalone Wine Group Ltd. 87,314 768 * Array BioPharma Inc. 134,511 765 * CKE Restaurants Inc. 119,694 765 * Pericom Semiconductor Corp. 71,697 764 * Aetrium, Inc. 244,511 763 BHA Group Holdings Inc. 30,331 763 * Cornell Companies, Inc. 55,816 762 * Corixa Corp. 125,881 760 * Applix, Inc. 214,980 759 * White Electronic Designs Corp. 86,104 758 Curtiss-Wright Corp. Class B 16,860 757 * Navigant International, Inc. 54,658 757 * TransPro Inc. 180,536 756 * Ameriserv Financial Inc. 151,259 756 * AmericanWest Bancorporation 33,159 756 * Drugstore.com, Inc. 137,018 755 * Stellent Inc. 76,618 754 * Genesee & Wyoming Inc. Class A 23,804 750 Haverty Furniture Cos., Inc. 37,699 749 * Del Laboratories, Inc. 29,836 746 Standex International Corp. 26,597 745 * Highland Hospitality Corp. 68,300 744 * Autobytel Inc. 81,924 744 * Hi-Tech Pharmacal Co., Inc. 31,653 744 * Acmat Corp. Class A 60,347 743 * IDT Corp. 33,509 742 Standard Motor Products, Inc. 61,041 742 * Nu Horizons Electronics Corp. 75,595 741 * Horizon Offshore, Inc. 168,348 741 * Vitria Technology, Inc. 104,300 741 Firstfed America Bancorp, Inc. 28,436 740 SWS Group, Inc. 41,553 740 Oshkosh B' Gosh, Inc. Class A 34,451 739 Allen Organ Co. 15,974 739 Greater Community Bancorp 43,486 738 * Hibbett Sporting Goods, Inc. 24,754 738 * Genesco, Inc. 48,749 738 Bay View Capital Corp. 344,447 737 * Capstone Turbine Corp. 396,111 737 * Retail Ventures, Inc. 155,031 736 * Griffin Land & Nurseries, Inc. 51,772 736 * Harken Energy Corp. 628,047 735 * iVillage Inc. 204,985 734 * Illumina, Inc. 103,978 733 * On Assignment, Inc. 140,665 733 * PC Connection, Inc. 87,435 732 * Reading International Inc. Class A 123,514 731 * Portal Software, Inc. 108,547 731 * PC-Tel, Inc. 68,849 730 Material Sciences Corp. 72,228 730 * MarketWatch.com, Inc. 84,759 730 * Curative Health Services, Inc. 52,851 729 * Maxxam Inc. 38,429 728 * Salix Pharmaceuticals, Ltd. 32,119 728 * Visual Networks, Inc. 324,823 728 * STAAR Surgical Co. 64,590 727 * Westmoreland Coal Co. 41,497 726 Sterling Bancorp 25,472 726 * UbiquiTel Inc. 269,842 726 * Management Network Group Inc. 219,690 725 New England Business Service, Inc. 24,521 723 Spartan Motors, Inc. 71,460 722 Virco Manufacturing Corp. 113,615 721 IBERIABANK Corp. 12,200 720 * First Potomac REIT 38,407 720 * Sipex Corp. 93,209 719 * Terayon Communications Systems, Inc. 158,911 715 Peapack Gladstone Financial Corp. 23,039 714 Alamo Group, Inc. 46,761 714 * NIC Inc. 88,815 713 * Clarus Corp. 98,886 713 * ActivCard Corp. 90,375 712 * Clean Harbors Inc. 79,792 711 * DiamondCluster International, Inc. 69,255 706 * SPSS, Inc. 39,409 705 * BindView Development Corp. 186,851 704 * Pemco Aviation Group, Inc. 20,400 704 West Coast Bancorp 32,960 703 FNB Corp. VA 23,572 700 * Juno Lighting, Inc. 31,103 700 Chesapeake Utilities Corp. 26,844 699 * New Focus, Inc. 139,104 698 * Maxim Pharmaceuticals, Inc. 78,421 698 * MapInfo Corp. 69,133 697 Inter Parfums, Inc. 30,822 696 * Marimba, Inc. 126,540 696 * Stratus Properties Inc. 69,211 693 * Cardima, Inc. 699,785 693 * Ag Services of America, Inc. 81,403 690 30 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * W.R. Grace & Co. 268,517 690 * Collins & Aikman Corp. 159,167 689 * Trans World Entertainment Corp. 96,664 688 * Herley Industries Inc. 33,114 685 * Perceptron, Inc. 90,106 685 * The Pantry, Inc. 30,123 684 Willow Grove Bancorp, Inc. 38,383 682 * Maxygen Inc. 64,087 681 Maine & Maritimes Corp. 19,454 681 * SONUS Pharmaceuticals, Inc. 133,817 680 * Network Equipment Technologies, Inc. 61,641 678 * ePresence, Inc. 180,749 678 * Vastera, Inc. 169,381 678 * Oplink Communications, Inc. 282,499 675 * OpenTV Corp. 201,376 675 First Oak Brook Bancshares, Inc. 22,426 673 * The Smith & Wollensky Restaurant Group, Inc. 106,040 672 * Durect Corp. 260,268 671 Gabelli Asset Management Inc. 16,819 669 Lakeland Financial Corp. 18,952 669 * Dave & Busters, Inc. 52,741 669 * Guilford Pharmaceuticals, Inc. 98,635 669 Team Financial, Inc. 52,863 669 * O'Charley's Inc. 37,243 669 * Lifecore Biomedical Inc. 111,040 668 * Repligen Corp. 152,876 668 * ARIAD Pharmaceuticals, Inc. 89,671 668 * eMerge Interactive, Inc. 460,233 667 * Cerus Corp. 146,987 667 * Galyan's Trading Co. 55,424 667 * Medical Staffing Network Holdings, Inc. 60,858 666 * AZZ Inc. 49,898 666 BNP Residential Properties, Inc. REIT 57,306 665 * Tut Systems, Inc. 103,067 662 * InterCept, Inc. 58,488 660 L.S. Starrett Co. Class A 39,964 657 * Mothers Work, Inc. 26,827 655 * NetRatings, Inc. 57,223 654 * Crossroads Systems, Inc. 234,919 653 * Jupitermedia Corp. 141,547 651 * Peet's Coffee & Tea Inc. 37,374 651 * Alloy, Inc. 124,575 649 Peoples Bancorp, Inc. 21,981 649 * EnPro Industries, Inc. 46,460 648 * Baldwin Technology Class A 281,219 647 * Sirna Therapeutics, Inc. 124,246 646 * Todhunter International, Inc. 55,986 644 Applied Signal Technology, Inc. 27,957 643 * Interlink Electronics Inc. 91,205 640 * Hector Communications Corp. 45,652 640 * Total Entertainment Restaurant Corp. 52,934 639 Hawkins, Inc. 45,795 639 * The Greenbrier Cos., Inc. 38,127 639 Tompkins Trustco, Inc. 13,841 637 * Phoenix Technologies Ltd. 78,832 637 Stepan Co. 24,770 635 * Cell Therapeutics, Inc. 72,982 635 * Orchid Biosciences, Inc. 342,986 635 * MedCath Corp. 60,300 631 State Financial Services Corp. Class A 23,695 629 Acadia Realty Trust REIT 50,205 628 * Aether Systems, Inc. 131,771 626 * Parker Drilling Co. 245,365 626 * WatchGuard Technologies, Inc. 107,435 625 * Lazare Kaplan International, Inc. 89,948 625 * Cache, Inc. 29,760 620 Green Mountain Power Corp. 26,263 620 First Busey Corp. 22,940 619 * Xybernaut Corp. 394,040 619 * Comtech Telecommunications Corp. 21,396 618 * The TriZetto Group, Inc. 95,606 617 * Checkers Drive-In Restaurants, Inc. 59,228 617 * Superconductor Technologies Inc. 110,431 616 * Group 1 Software, Inc. 34,962 616 Sanders Morris Harris Group Inc. 49,502 614 * Interpore International 47,185 613 * Online Resources Corp. 92,800 613 * PLATO Learning, Inc. 57,987 612 * Optical Communication Products, Inc. 165,247 611 * Pfsweb Inc. 381,875 611 * Hudson Highland Group, Inc. 25,611 611 * Bally Total Fitness Holding Corp. 87,208 610 Integral Systems, Inc. 28,290 609 * Virologic, Inc. 161,911 609 Capitol Bancorp Ltd. 21,418 608 PrivateBancorp, Inc. 13,352 608 Financial Institutions, Inc. 21,504 607 * Nelnet, Inc. 27,100 607 Seaboard Corp. 2,152 607 * GSI Commerce, Inc. 62,172 607 * Curon Medical Inc. 192,760 606 * Pinnacle Entertainment, Inc. 64,955 605 Paul Mueller Co. 15,168 605 31 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Niku Corp. 71,176 605 * Arotech Corp. 332,129 604 * Immunomedics Inc. 132,451 604 * Darling International, Inc. 217,991 602 * HealthExtras, Inc. 44,896 602 TriCo Bancshares 18,932 597 * Lynx Therapeutics, Inc. 93,763 597 Strategic Distribution, Inc. 41,983 597 * BE Aerospace, Inc. 109,805 593 CCBT Financial Cos. Inc. 16,911 591 * Orleans Homebuilders, Inc. 20,833 590 * Zoltek Cos., Inc. 116,521 590 * EPIQ Systems, Inc. 34,413 589 * Carriage Services, Inc. 159,214 589 * Collagenex Pharmaceuticals, Inc. 52,550 589 * Aastrom Biosciences, Inc. 449,600 589 * Carmike Cinemas, Inc. 16,888 589 Deltic Timber Corp. 19,338 588 * Encore Capital Group, Inc. 39,300 584 * Computer Task Group, Inc. 149,835 583 * Trover Solutions, Inc. 87,900 583 * Compass Minerals International 40,800 583 * Excel Technology, Inc. 17,713 582 * Novatel Wireless, Inc. 97,147 582 Humphrey Hospitality Trust, Inc. REIT 125,678 579 LaSalle Hotel Properties REIT 31,227 579 * Exponent, Inc. 26,934 576 * Celeritek, Inc. 77,515 575 Comm Bancorp, Inc. 15,421 574 * SeraCare Life Sciences, Inc. 56,626 574 Ennis Business Forms, Inc. 37,418 572 * JAKKS Pacific, Inc. 43,483 572 * Raindance Communications, Inc. 207,992 572 * BroadVision, Inc. 134,204 572 * Cellstar Corp. 45,175 571 * WJ Communications, Inc. 111,088 569 * Capital Title Group, Inc. 131,733 568 * Buca, Inc. 83,200 567 * Hampshire Group, Ltd. 18,029 566 * ITLA Capital Corp. 11,272 565 * Royale Energy, Inc. 45,844 563 * Digital Theater Systems Inc. 22,777 562 * Glenayre Technologies, Inc. 208,556 561 Chester Valley Bancorp 24,166 560 * SAFLINK Corp. 207,814 559 * Regent Communications, Inc. 87,967 559 Calgon Carbon Corp. 89,939 559 * Corio, Inc. 202,280 554 * Verticalnet, Inc. 469,548 554 * Neoware Systems, Inc. 40,407 554 BCSB Bankcorp, Inc. 29,749 552 Royal Bancshares of Pennsylvania, Inc. 21,527 549 * Danielson Holdings Corp. 188,455 548 * Vyyo Inc. 64,284 548 * Robert Mondavi Corp. Class A 14,111 548 * HMS Holdings Corp. 136,929 548 * NPTest Holding Corp. 49,600 548 * Loudeye Corp. 279,834 546 * Captaris Inc. 96,998 545 * Harvard Bioscience, Inc. 61,087 544 CFS Bancorp, Inc. 36,464 541 * Pharmos Corp. 154,400 540 * Pain Therapeutics, Inc. 77,734 540 * First Consulting Group, Inc. 95,799 539 * Genaissance Pharmaceuticals, Inc. 179,700 539 * Gene Logic Inc. 103,260 536 * US Physical Therapy, Inc. 34,042 535 * SoundView Technology Group, Inc. 34,521 535 * OSI Systems Inc. 27,827 535 First Indiana Corp. 28,498 534 * Capital Pacific Holdings, Inc. 139,064 534 * Century Aluminum Co. 28,072 534 * J & J Snack Foods Corp. 14,128 533 * AVANT Immunotherapeutics, Inc. 194,322 532 * Neoforma, Inc. 50,028 532 * Allied Healthcare International Inc. 85,126 531 * Ceradyne, Inc. 15,561 530 * CompuCom Systems, Inc. 101,054 530 * Planar Systems, Inc. 21,771 529 Shenandoah Telecommunications Co. 10,298 528 Parkvale Financial Corp. 19,655 528 American Equity Investment Life Holding Co. 52,900 527 * Torch Offshore, Inc. 99,700 526 * AVI BioPharma, Inc. 128,742 524 * Magnatek, Inc. 79,378 523 * TechTeam Global, Inc. 74,600 521 CSS Industries, Inc. 16,716 518 Codorus Valley Bancorp, Inc. 24,795 518 * Paxson Communications Corp. 134,288 517 * Plumtree Software, Inc. 109,900 517 * Alexion Pharmaceuticals, Inc. 30,132 513 Urstadt Biddle Properties REIT 37,652 512 * Insmed Inc. 172,165 511 * Computer Horizons Corp. 130,060 511 * Ista Pharmaceuticals Inc. 54,974 510 * Prime Group Realty Trust REIT 81,318 510 Sound Federal Bancorp Inc. 32,665 509 32 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Allos Therapeutics Inc. 141,700 509 * Systemax Inc. 76,352 509 * Inforte Corp. 61,104 507 * Daily Journal Corp. 16,075 506 Citizens First Financial Corp. 19,813 505 Sunrise Telecom Inc. 144,280 505 * U.S. Energy Corp. 169,389 505 * NMS Communications Corp. 80,847 504 Klamath First Bancorp 18,996 504 NN, Inc. 39,888 502 Hanmi Financial Corp. 25,334 501 * Interpharm Holdings, Inc. 106,561 501 * Steinway Musical Instruments Inc. 20,250 500 * Centillium Communications, Inc. 88,599 499 * CYTOGEN Corp. 45,735 498 Community Bank of Northern Virginia 26,079 495 * Monro Muffler Brake, Inc. 24,729 495 * First Union Real Estate REIT 228,962 495 * Intrado Inc. 22,527 494 ISCO, Inc. 53,212 492 * Entrust, Inc. 120,457 491 Astro-Med, Inc. 37,947 491 * Sanchez Computer Associates, Inc. 118,199 491 Concur Technologies, Inc. 50,623 490 * Supertex, Inc. 25,642 490 Washington Trust Bancorp, Inc. 18,636 488 * Cholestech Corp. 63,946 488 * Franklin Electronic Publishers, Inc. 123,940 486 * Biopure Corp. 203,699 485 Commercial Bankshares, Inc. 14,439 485 * Rainier Pacific Financial Group Inc. 30,300 482 * Boston Communications Group, Inc. 51,872 482 * Hycor Biomedical Inc. 123,473 482 * Aksys, Ltd. 54,520 481 * Covansys Corp. 43,720 481 * Republic First Bancorp, Inc. 39,363 478 * Aerosonic Corp. 54,354 477 * General Binding Corp. 26,478 477 EnergySouth, Inc. 13,615 477 SpectraLink Corp. 24,773 475 * Citizens, Inc. 50,326 475 * Horizon Organic Holding Corp. 19,790 474 * Monolithic System Technology, Inc. 55,292 473 * Exactech, Inc. 32,043 473 Lithia Motors, Inc. 18,616 469 * Extended Systems Inc. 107,886 468 FirstBank Corp. 15,330 465 * Lancer Corp. 68,213 464 * Overland Storage, Inc. 24,587 462 * Electro Rent Corp. 34,608 462 * Columbia Laboratories Inc. 72,899 459 * Green Mountain Coffee Roasters, Inc. 19,940 459 * Roxio, Inc. 95,704 458 * Bottomline Technologies, Inc. 50,800 457 CompX International Inc. 71,397 457 D&E Communications, Inc. 31,375 455 * Provide Commerce Inc. 30,000 455 HopFed Bancorp, Inc. 26,395 455 * Verisity Ltd. 35,663 455 First United Corp. 18,635 454 Mission West Properties Inc. REIT 35,009 453 * LKQ Corp. 25,255 453 * Embrex, Inc. 32,981 453 * Network Engines, Inc. 103,874 453 * Intelidata Technologies Corp. 274,416 453 * Miller Industries, Inc. 59,790 449 Distributed Energy Systems Corp. 156,742 448 Wainwright Bank & Trust Co. 31,309 447 * Nashua Corp. 52,515 446 * Hanger Orthopedic Group, Inc. 28,556 445 * Paragon Technologies, Inc. 45,730 444 Courier Corp. 11,503 443 * Katy Industries, Inc. 77,069 440 * DT Industries, Inc. 356,100 438 * Aware, Inc. 150,647 438 * LECG Corp. 19,088 437 United Mobile Homes, Inc. REIT 25,654 436 First M&F Corp. 11,469 435 * AP Pharma Inc. 176,924 433 * barnesandnoble.com inc 146,333 432 * Ampal-American Israel Corp. 131,908 430 * Intraware, Inc. 207,726 430 * Main Street & Main, Inc. 153,007 430 Camden National Corp. 14,155 430 * Gadzooks, Inc. 277,226 430 * Merge Technologies, Inc. 24,330 429 * Allscripts Healthcare Solutions, Inc. 80,360 428 * Correctional Services Corp. 158,860 427 Click Commerce, Inc. 83,232 426 * Trident Microsystems, Inc. 24,450 426 * Emerson Radio Corp. 113,213 426 * Zhone Technologies 86,097 425 33 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- TSR, Inc. 54,847 422 FFLC Bancorp, Inc. 14,652 421 * Alliance Imaging, Inc. 113,793 421 * Liquidmetal Technologies Inc. 148,209 421 * Lifeway Foods, Inc. 31,158 421 * Net2Phone, Inc. 61,819 420 * Epimmune Inc. 229,682 420 Lawson Products, Inc. 12,666 420 Kaman Corp. Class A 33,004 420 Titan International, Inc. 137,239 420 * A.S.V., Inc. 11,195 418 * Third Wave Technologies 91,755 417 * Alcide Corp. 28,391 417 * Aphton Corp. 69,075 414 * Neose Technologies, Inc. 44,927 413 * TippingPoint Technologies Inc. 13,771 413 * NetManage, Inc. 78,246 412 * BTU International, Inc. 116,844 411 * Luminent Mortgage Capital, Inc. 29,100 410 * Art Technology Group, Inc. 267,840 410 * APAC Teleservices, Inc. 157,468 409 * Caliper Technologies Corp. 61,893 407 * Avici Systems Inc. 51,058 406 * Rentrak Corp. 41,700 406 Andersons, Inc. 25,400 406 * Pinnacor Inc. 173,723 405 * National Beverage Corp. 24,783 404 * Genome Therapeutics Corp. 128,943 404 S.Y. Bancorp, Inc. 19,577 403 Robbins & Myers, Inc. 21,177 402 * EPIX Medical, Inc. 24,663 402 * Spherix Inc. 64,236 401 * Ceva, Inc. 38,554 401 Deb Shops, Inc. 18,559 399 One Liberty Properties, Inc. REIT 20,000 399 * TRC Cos., Inc. 18,935 399 * Quovadx, Inc. 81,356 399 Track Data Corp. 284,712 399 * Medis Technology Ltd. 37,234 398 * Able Laboratories, Inc. 22,025 398 * MAIR Holdings, Inc. 54,473 397 * Eden Bioscience Corp. 277,460 396 * RF Monolithics, Inc. 40,135 395 * Selectica, Inc. 92,165 394 * DigitalThink, Inc. 140,133 394 * Arena Pharmaceuticals, Inc. 63,096 391 * Cortex Pharmaceuticals, Inc. 150,400 391 * Research Frontiers, Inc. 42,054 391 * Interstate Hotels & Resorts, Inc. 72,853 390 BRT Realty Trust REIT 13,477 389 Bank of Granite Corp. 17,768 387 Young Innovations, Inc. 10,745 387 * Allied Holdings, Inc. 81,035 387 * Quidel Corp. 35,645 386 * P.A.M. Transportation Services, Inc. 18,016 384 CityBank Lynnwood WA 11,815 384 * Introgen Therapeutics, Inc. 45,300 383 * Bradley Pharmaceuticals, Inc. 15,046 383 SS&C Technologies, Inc. 13,689 383 Steel Technologies, Inc. 21,500 380 * Hypercom Corp. 79,538 379 * SigmaTel Inc. 15,300 378 * ViroPharma Inc. 135,586 377 AmeriVest Properties, Inc. REIT 52,400 376 * Northwest Pipe Co. 28,181 375 Penn Engineering & Manufacturing Corp. 19,694 375 * Factory 2-U Stores Inc. 273,260 375 Habersham Bancorp 15,291 374 * Brookstone, Inc. 17,514 373 Center Bancorp, Inc. 18,813 370 * International Shipholding Corp. 24,861 367 * Optika Inc. 80,396 366 CoBiz Inc. 19,850 366 * Norstan, Inc. 114,478 365 * Convera Corp. 107,089 365 * Chicago Pizza & Brewery, Inc. 24,424 364 * Computer Network Technology Corp. 38,048 363 * Quality Distribution Inc. 18,542 362 * EarthShell Corp. 200,931 362 * Cavalier Homes, Inc. 121,227 361 * Metro One Telecommunications, Inc. 138,563 360 Safety Insurance Group, Inc. 20,937 358 Ameriana Bancorp 24,700 358 Unity Bancorp, Inc. 31,315 358 Weyco Group, Inc. 10,630 358 * Versant Corp. 229,003 357 * Ramtron International Corp. 136,297 357 * Synalloy Corp. 51,479 356 * Perficient, Inc. 159,005 356 * Aradigm Corp. 206,717 353 * American Superconductor Corp. 25,500 353 * Ansoft Corp. 27,506 353 * Air Methods Corp. 39,260 353 Oneida Ltd. 59,690 352 * Chronimed Inc. 41,423 351 Ziegler Cos., Inc. 24,576 350 * Braun Consulting, Inc. 118,706 350 Skyline Corp. 10,028 350 * Emisphere Technologies, Inc. 63,466 348 * MetaSolv, Inc. 142,723 347 34 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- PMA Capital Corp. Class A 67,331 345 * Midwest Air Group Inc. 81,728 344 * Saba Software, Inc. 99,624 344 * SimpleTech, Inc. 57,163 344 * Numerex Corp. 89,442 340 * Global Power Equipment Group Inc. 50,814 339 * Martha Stewart Living Omnimedia, Inc. 34,382 339 * Commerce One, Inc. 266,069 338 * Northfield Laboratories, Inc. 50,900 336 * DOV Pharmaceutical, Inc. 24,928 336 * Omnova Solutions Inc. 69,881 335 NASB Financial Inc. 7,954 333 * Z-Tel Technologies, Inc. 163,922 331 * Carrington Labs Inc. 80,174 330 * Semitool, Inc. 30,771 330 * Candie's, Inc. 157,692 328 Pennrock Financial Services Corp. 10,558 328 * NetSolve, Inc. 40,500 328 * Wellsford Real Properties Inc. 17,574 327 Farmers Capital Bank Corp. 9,610 327 * Five Star Quality Care, Inc. 74,159 326 Jefferson Bancshares, Inc. 23,553 325 Woodhead Industries, Inc. 19,153 324 * Digital Impact, Inc. 111,909 322 * Osteotech, Inc. 36,465 321 Hubbell Inc. Class A 7,600 320 EMC Insurance Group, Inc. 15,078 319 Pope & Talbot, Inc. 18,083 318 * Digimarc Corp. 23,942 318 Foothill Independent Bancorp 13,428 318 Eastern Virginia Bankshares, Inc. 10,992 317 * ebix.com Inc. 25,774 316 Security Bank Corp. 10,029 316 * Bentley Pharmaceuticals, Inc. 23,666 315 * Zonagen, Inc. 169,873 314 * Somera Communications, Inc. 195,262 312 * Consumer Portfolio Services, Inc. 83,980 312 * SteelCloud Inc. 72,599 312 * Falcon Financial Investment Trust REIT 31,800 312 Franklin Financial Corp. 10,124 311 * ICT Group, Inc. 26,420 310 * Parallel Petroleum Corp. 71,200 310 Schawk, Inc. 22,689 309 * Party City Corp. 24,265 308 GA Financial, Inc. 8,834 307 Abigail Adams National Bancorp., Inc. 16,140 307 BioSphere Medical Inc. 76,790 306 * ONYX Software Corp. 77,272 304 * SAVVIS Communications Corp. 202,779 303 FLAG Financial Corp. 23,443 302 * Luby's, Inc. 81,846 302 * SBS Technologies, Inc. 20,464 301 Stephan Co. 69,807 301 Donegal Group Inc. 15,566 300 * SatCon Technology Corp. 146,133 300 * Primus Knowledge Solutions, Inc. 47,511 299 Anchor Glass Container Corp. 18,600 298 * SCM Microsystems, Inc. 38,527 297 Nature's Sunshine Inc. 35,178 297 * Analysts International Corp. 87,783 296 * Bush Industries, Inc. 70,117 294 * Catalytica Energy Systems, Inc. 83,770 293 * NaPro BioTherapeutics, Inc. 148,676 293 BEI Technologies, Inc. 14,462 289 * American Power Technology, Inc. 33,200 287 First State Bancorporation 8,216 286 * Catalina Lighting, Inc. 23,200 284 HEICO Corp. Class A 20,051 282 * McLeod USA Inc. 190,595 282 * IntegraMed America, Inc. 45,061 282 First of Long Island Corp. 6,525 281 * BSQUARE Corp. 196,047 280 * Restoration Hardware, Inc. 58,833 279 * Big Dog Holdings, Inc. 74,520 278 * SRI/Surgical Express, Inc. 44,528 277 * MIM Corp. 39,434 277 Berkshire Hills Bancorp, Inc. 7,651 277 * Trailer Bridge, Inc. 50,046 276 * NASSDA Corp. 38,039 276 United Financial Corp. 10,411 274 * Huttig Building Products, Inc. 90,960 273 * Goodrich Petroleum Corp. 52,100 272 * Raytech Corp. 82,064 272 * Electroglas, Inc. 74,154 271 * Sangamo BioSciences, Inc. 48,321 268 Republic Bancorp, Inc. Class A 13,659 267 CT Communications, Inc. 19,743 267 * Avigen, Inc. 45,312 266 * GTC Biotherapeutics, Inc. 83,315 266 * Innovative Companies, Inc. 52,650 265 * National Healthcare Corp. 13,316 265 German American Bancorp 15,127 265 * Tripath Technology Inc. 38,359 265 Rock of Ages Corp. 45,700 264 * RCN Corp. 328,743 263 * Drew Industries, Inc. 9,427 262 Lufkin Industries 9,073 261 * August Technology Corp. 14,000 260 35 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Rita Medical Systems, Inc. 58,239 259 * US LEC Corp. Class A 32,871 259 * AuthentiDate Holding Corp. 21,720 258 * Molina Healthcare Inc. 10,200 257 Northern States Financial Corp. 8,896 257 * Petroleum Helicopters, Inc. 9,515 257 * Proxymed Pharmacy, Inc. 14,629 256 Tech/Ops Sevcon, Inc. 46,681 256 * Dynacq Healthcare, Inc 33,272 256 * Beacon Power Corp. 234,364 255 * Ducommun, Inc. 11,405 255 * Cypress Bioscience, Inc. 16,800 255 Southern Financial Bancorp, Inc. 5,885 253 * Badger Paper Mills, Inc. 45,643 251 * Infinity, Inc. 63,600 251 * Community West Bancshares 28,743 249 Arden Group Inc. Class A 3,211 249 * Copper Mountain Networks, Inc. 23,092 249 * Edgewater Technology, Inc. 51,034 248 * Lipid Sciences, Inc. 69,352 248 * Kosan Biosciences, Inc. 25,001 247 * Global Payment Tech Inc. 73,317 246 * Toreador Resources Corp. 52,537 244 * Whitehall Jewellers, Inc. 24,672 244 * Prime Energy Corp. 16,656 243 * Peco II, Inc. 216,898 243 * Foster Wheeler Ltd. 235,171 242 ILX Resorts Inc. 34,176 242 * Capital Crossing Bank 5,100 241 * Astec Industries, Inc. 19,592 240 ESB Financial Corp. 14,660 240 * Tarragon Realty Investors Inc. REIT 14,510 240 * Kendle International Inc. 37,725 239 Camco Financial Corp. 13,771 239 * Three-Five Systems, Inc. 45,150 237 * Optical Cable Corp. 33,311 236 * Seabulk International, Inc. 29,071 236 Pomeroy IT Solutions, Inc. 15,744 232 American National Bankshares Inc. 8,704 230 * Prime Medical Services, Inc. 49,089 230 * Gallery of History, Inc. 53,902 229 * Radiologix Inc. 67,100 227 * Option Care, Inc. 21,174 226 * ADE Corp. 12,200 226 D&K Healthcare Resources, Inc. 16,598 225 * Redhook Ale Brewery, Inc. 86,380 225 Psychemedics Corp. 23,937 224 * Res-Care, Inc. 27,600 224 * Hall, Kinion & Associates, Inc. 43,925 222 * Iridex Corp. 40,500 221 * Sports Resorts International, Inc. 43,255 219 * Wilshire Enterprises, Inc. 35,810 218 Saucony Inc. 12,600 218 * U.S. Concrete, Inc. 33,824 218 Citizens 1st Bancorp, Inc. 9,533 217 * WorldGate Communications, Inc. 201,242 217 * 3D Systems Corp. 21,400 217 First Midwest Financial, Inc. 9,751 217 * Maxwell Shoe Co. Inc. 12,714 216 * Greg Manning Auctions, Inc. 18,150 215 California National Bancorp 15,012 215 * Central Freight Lines, Inc. 12,000 213 Westfield Financial, Inc. 8,944 213 * Large Scale Biology Corp. 115,456 212 * All American Semiconductor, Inc. 47,681 212 * Airnet Communications Corp. 247,224 210 * HEI, Inc. 64,450 209 * Nutrition 21 Inc. 261,445 209 Hickory Tech Corp. 18,210 209 * Micro Linear Corp. 37,212 208 * Salton, Inc. 15,900 207 * Datalink Corp. 54,600 207 * MedSource Technologies, Inc. 45,800 206 * The Immune Response Corp. 135,959 205 Cascade Corp. 9,129 204 * Horizon Group Properties, Inc. REIT 48,293 203 * Stratos International Inc. 29,911 203 * NMT Medical, Inc. 45,042 203 * Wyndham International, Inc. Class A 300,330 201 Monmouth Real Estate Investment Corp. REIT 23,091 201 Wayne Savings Bancshares, Inc. 11,126 200 * Orphan Medical, Inc. 19,500 200 * Powell Industries, Inc. 10,428 200 * American Independence Corp. 16,815 199 * Dominion Homes, Inc. 6,522 198 * Webco Industries, Inc. 48,123 197 Building Materials Holding Corp. 12,696 197 Mainsource Financial Group, Inc. 6,420 197 * MTI Technology Corp. 83,119 196 * Bioject Medical Technologies Inc. 64,900 195 * Terra Industries, Inc. 58,781 195 * Register.com, Inc. 36,939 194 * Evergreen Solar, Inc. 114,659 194 * Brillian Corp. 22,859 193 * Medialink Worldwide, Inc. 59,611 191 * Criimi Mae, Inc. REIT 18,188 190 Boykin Lodging Co. REIT 20,680 189 * Acclaim Entertainment Inc. 290,919 189 36 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Abraxas Petroleum Corp. 152,300 187 * Cosine Communications, Inc. 25,188 186 Warwick Valley Telephone Co. 6,236 185 * Retractable Technologies, Inc. 30,292 182 * Bell Industries, Inc. 69,698 181 * Central Coast Bancorp 9,913 180 * LMI Aerospace, Inc. 89,603 179 Healthcare Services Group, Inc. 9,244 178 * Merisel, Inc. 30,163 178 * Apropos Technology, Inc. 51,100 178 Pamrapo Bancorp, Inc. 6,936 176 * Mobility Electronics, Inc. 19,660 176 Shore Bancshares, Inc. 4,605 175 * SPEEDUS Corp. 125,356 174 * Summa Industries 19,702 174 * PharmaNetics, Inc. 93,688 173 * Nutraceutical International Corp. 15,613 172 * V.I. Technologies, Inc. 155,054 171 * Pharmion Corp. 11,100 169 * Allied Motion Technologies, Inc. 42,978 169 First SecurityFed Financial, Inc. 5,540 168 * Internet Capital Group, Inc. 484,628 167 * Bluegreen Corp. 26,600 166 * Synagro Technologies Inc. 75,440 166 * Covista Communications, Inc. 62,285 165 * Omega Protein Corp. 21,000 162 * Pharmacyclics, Inc. 21,890 162 * Laserscope 10,200 159 * Texas Capital Bancshares, Inc. 10,900 158 Knape & Vogt Manufacturing Co. 12,986 155 BancTrust Financial Group, Inc. 9,632 154 Belmont Bancorp 27,394 153 * Paradigm Genetics, Inc. 103,833 153 * Bankrate, Inc. 12,248 152 * Myogen, Inc. 10,600 152 Friedman's, Inc. Class A 22,537 151 * Encore Medical Corp. 18,500 151 * Superior Consultant Holdings Corp. 36,388 150 * EasyLink Services Corp. 100,311 149 * America Online Latin America, Inc. 103,663 147 * Ultimate Electronics, Inc. 19,094 146 * Vical, Inc. 29,486 145 ABC Bancorp 9,007 144 * Continucare Corp. 103,019 143 * Lantronix, Inc. 120,839 141 * Maui Land & Pineapple Co., Inc. 4,044 140 * Diedrich Coffee, Inc. 36,209 139 Home Federal Bancorp 4,916 139 * Interactive Intelligence Inc. 26,516 138 * Pac-West Telecom, Inc. 71,645 138 * Docent, Inc. 29,706 137 TIB Financial Corp. 5,721 135 * Interep National Radio Sales, Inc. 98,600 134 * Trump Hotels & Casino Resorts, Inc. 61,313 132 * VIA NET.WORKS, Inc. 76,174 130 National Health Realty Inc. REIT 6,488 128 * Century Casinos, Inc. 38,500 127 * Seneca Foods Corp. 5,900 127 * Physiometrix, Inc. 56,991 125 Aaron Rents, Inc. 6,750 125 * PriceSmart, Inc. 19,895 125 Maritrans Inc. 7,452 125 * The Princeton Review, Inc. 12,762 124 Warwick Community Bancorp, Inc. 3,617 124 * Alteon, Inc. 79,068 124 * eLoyalty Corp. 33,913 124 The First Years Inc. 8,260 123 * Interland, Inc. 18,885 123 * Microtek Medical Holdings, Inc. 24,500 123 * Rigel Pharmaceuticals, Inc. 6,400 122 * Cytrx Corp. 65,059 121 * Willis Lease Finance Corp. 16,345 120 * eXegenics Inc. 131,711 118 * Creative Host Services, Inc. 49,298 118 * Technology Solutions Co. 94,439 118 * GMX Resources Inc. 29,205 117 Cavalry Bancorp, Inc. 6,571 115 * United National Group Ltd. Class A 6,500 115 * Onvia.com, Inc. 24,695 115 Sypris Solutions, Inc. 6,721 113 Sun Bancorp, Inc. 5,944 113 * Mayor's Jeweler's, Inc. 151,566 112 * Hungarian Telephone and Cable Corp. 11,367 112 First Defiance Financial Corp. 4,192 112 Rocky Mountain Chocolate Factory, Inc. 8,881 111 * General Bearing Corp. 36,504 111 * Benihana Inc. 8,400 111 * Critical Path, Inc. 83,104 111 * Mestek, Inc. 5,722 110 Financial Industries Corp. 7,795 110 LSB Bancshares, Inc. 6,293 109 * Amtech Systems, Inc. 18,932 109 * Matritech Inc. 56,793 107 * Cavco Industries, Inc. 4,453 107 * Viewpoint Corp. 141,539 106 * Newtek Business Services, Inc. 15,073 105 37 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * Anthony & Sylvan Pools Corp. 26,081 104 * DigitalNet Holdings, Inc. 5,300 103 Independence Holding Co. 4,298 103 * Conrad Industries, Inc. 33,845 102 * Rainmaker Systems, Inc. 72,308 101 * InterVideo Inc. 8,602 101 * ACT Teleconferencing, Inc. 93,300 101 * Insightful Corp. 49,316 101 * Larscom Inc. 22,652 100 * IVAX Diagnostics, Inc. 20,534 100 * Transgenomic, Inc. 49,307 99 * Matrix Service Co. 5,400 98 * Perini Corp. 10,505 96 * Redback Networks Inc. 414,613 96 * American Access Technologies Inc. 70,247 94 * JLM Industries, Inc. 69,052 94 * Callidus Software Inc. 5,300 94 * Lanvision Systems, Inc. 28,581 93 Coastal Financial Corp. 5,249 93 * Digital Lightwave, Inc. 113,520 92 * InsWeb Corp. 19,920 92 * Nobel Learning Communities, Inc. 17,000 91 * Omtool, Ltd. 11,972 89 * Applied Digital Solutions, Inc. 186,700 88 * Magellan Petroleum Corp. 65,266 85 * NaviSite, Inc. 12,899 85 * A.D.A.M., Inc. 43,345 85 * Pemstar Inc. 25,578 84 * Gundle/SLT Environmental, Inc. 4,029 84 * Catapult Communications Corp. 5,722 83 Bel Fuse, Inc. Class A 2,773 83 CNB Florida Bancshares, Inc. 3,600 83 * Blue Martini Software, Inc. 16,795 82 Noland Co. 1,969 82 State Bancorp, Inc. 3,335 81 * ICO, Inc. 58,778 80 * SportsLine.com, Inc. 60,513 77 * Fresh Choice, Inc. 43,708 76 American Mortgage Acceptance Co. REIT 4,542 74 * Terremark Worldwide, Inc. 114,800 73 * REX Stores Corp. 5,124 73 * AXT, Inc. 23,300 72 * Universal Access Global Holdings Inc. 23,908 70 * ARK Restaurants Corp. 5,000 70 Exchange National Bancshares, Inc. 1,942 70 * U.S. Energy Systems, Inc. 59,910 68 * MacroChem Corp. 79,800 67 * Internet Pictures Corp. 37,575 66 * Impreso, Inc. 32,000 65 * Immtech International, Inc. 5,800 64 * Evolving Systems, Inc. 4,700 63 * Wilsons The Leather Experts Inc. 17,691 62 * ImageWare Systems, Inc. 18,400 55 * Lesco, Inc. 4,100 53 * SVB Financial Services 3,307 53 * The Allied Defense Group, Inc. 2,200 53 FNB Corp./North Carolina 2,474 52 * National Technical Systems, Inc. 9,597 52 * ACE, Inc. 20,705 51 * First Cash Financial Services, Inc. 2,000 51 * Andrea Radio Corp. 124,782 51 * Finlay Enterprises, Inc. 3,594 51 * I-Flow Corp. 3,600 50 * DSL.Net, Inc. 82,929 50 * Franklin Bank Corp. 2,600 49 * ZEVEX International, Inc. 12,257 49 * Media 100 Inc. 93,278 49 * I-many, Inc. 47,380 47 * Hanover Direct, Inc. 228,984 46 * COMFORCE Corp. 83,292 44 * Artisoft, Inc. 16,051 43 * Versar Inc. 12,700 43 * Protection One, Inc. 113,561 41 * Astea International, Inc. 13,249 40 Commercial National Financial Corp. 1,500 39 * Applied Imaging Corp. 25,900 39 * Micro Therapeutics, Inc. 12,094 39 * SureBeam Corp. 177,337 38 * Star Scientific, Inc. 19,947 37 APCO Argentina Inc. 1,300 35 * Channell Commercial Corp. 8,100 34 * American Realty Investors, Inc. 3,670 34 Liquid Audio, Inc. 114,175 33 * Precision Optics Corp., Inc. 15,765 33 * Star Buffet, Inc. 7,414 33 * IGI, Inc. 20,672 32 * Datawatch Corp. 5,688 31 * Direct Insite Corp. 30,651 31 * Rainbow Rentals, Inc. 3,800 29 * Storage Computer Corp. 78,329 28 * HealthAxis, Inc. 9,014 27 Pittsburgh & West Virginia Railroad REIT 2,927 26 * Ezenia!, Inc. 102,053 26 * Transcontinental Realty Investors, Inc. REIT 1,500 25 * WHX Corp. 9,344 25 38 -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- * LightPath Technologies, Inc. Class A 8,807 25 * GraphOn Corp. 113,770 23 Burnham Pacific Properties, Inc. REIT 102,335 23 Bandag, Inc. Class A 538 22 * SciQuest, Inc. 6,126 22 Dynabazaar, Inc. 65,665 22 * Beta Oil & Gas, Inc. 10,800 21 Net Perceptions, Inc. 52,195 21 * Natrol, Inc. 7,220 20 * eGain Communications Corp. 9,782 20 Provident Financial Services Inc. 1,034 20 * FirstCity Financial Corp. 2,929 18 * The A Consulting Team, Inc. 18,542 17 * Bioanalytical Systems, Inc. 4,400 17 * Provo International Inc. 52,685 16 * Penn Octane Corp. 6,536 16 * Geerlings & Wade Inc. 30,636 15 * Hoenig Group, Inc. Rights Exp. 9/1/2006 62,830 14 Webster City Federal Bancorp 1,000 14 * Vermont Teddy Bear Co., Inc. 3,272 14 * FiberNet Telecom Group, Inc. 10,903 14 * Major Automotive Cos., Inc. 17,395 13 * Click2learn, Inc. 6,000 13 * Ampex Corp. Class A 17,507 12 * Landenburg Thalmann Financial Services, Inc. 21,199 12 * Visual Data Corp. 5,529 12 * Fedders Corp. Rights Exp. 1/16/2004 186,089 11 * Versata, Inc. 6,605 11 * BMC Industries, Inc. 211,416 11 Collins Industries, Inc. 2,300 10 * DGSE Companies, Inc. 4,000 9 * Datakey, Inc. 13,300 9 * Oakwood Homes Corp. 81,969 9 * VCampus Corp. 5,698 8 * Navidec, Inc. 7,254 8 * GoAmerica, Inc. 20,195 7 * Network-1 Security Solutions, Inc. 39,125 7 * Championship Auto Racing Teams, Inc. 77,500 7 * Virbac Corp. 1,099 7 Magnum Hunter Resources Inc. Warrants Exp. 3/21/2005 12,588 7 * CTI Industries Corp. 2,904 7 * Pure Bioscience 6,829 6 * NexPrise, Inc. 4,253 6 * Segue Software, Inc. 2,000 5 * Auspex Systems, Inc. 116,823 5 * Accessity Corp. 9,268 5 * Interactivecorp Cvt. Pfd. 76 4 * Microstrategy Inc. Warrants Exp. 6/24/2007 16,344 4 * Corrpro Cos., Inc. 3,200 4 * Valentis, Inc. 1,345 4 * The Penn Traffic Co. 65,411 4 * Cogent Communications Group, Inc. 2,570 3 * Cone Mills Corp. 104,013 3 * DiaSys Corp. 5,071 2 * Suburban Lodges of America, Inc. 5,000 2 * M-WAVE, Inc. 4,000 2 * SpectRx, Inc. 1,000 2 * Optical Cable Corp. Warrants Exp. 10/24/2007 796 2 * InterActiveCorp Warrants Exp. 2/4/2009 38 2 * Alanco Technologies, Inc. 1,687 1 * T-3 Energy Services, Inc. 177 1 * Headway Corporate Resources, Inc. 152,392 1 * General Chemical Group Inc. 17,001 1 * Wilshire Financial Services Group Inc. 64 -- * XO Communications, Inc. Rights Exp. 1/14/2004 48,114 -- * Pinnacle Warrants Exp. 11/13/2007 433 -- * ProcureNet, Inc. 22,500 -- ------- TOTAL COMMON STOCKS (Cost $38,900,615) 42,493,002 ------- 39 -------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET ACCOUNT VALUE* INDEX FUND (000) (000) -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.6%)(1) ------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.05%, 1/20/2004 $ 8,000 7,996 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.98%, 1/2/2004 207,946 207,946 0.99%, 1/2/2004--Note E 467,633 467,633 -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $683,574) 683,575 -------------------------------------------------------------------------------- TOTAL INVESTMENTS (101.5%) (Cost $39,584,189) 43,176,577 -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-1.5%) Other Assets--Note B 161,719 Liabilities--Note E (793,301) ---------- (631,582) ---------- -------------------------------------------------------------------------------- NET ASSETS (100%) $42,544,995 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 1.5%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Security segregated as initial margin for open futures contracts. ADR--American Depositary Receipt. REIT--Real Estate Investment Trust. -------------------------------------------------------------------------------- AMOUNT (000) -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: -------------------------------------------------------------------------------- Paid-in Capital $40,052,186 Overdistributed Net Investment Income (27,259) Accumulated Net Realized Losses (1,072,630) Unrealized Appreciation Investment Securities 3,592,388 Futures Contracts 310 -------------------------------------------------------------------------------- NET ASSETS $42,544,995 ================================================================================ Investor Shares--Net Assets Applicable to 925,631,786 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $24,058,995 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $25.99 ================================================================================ Admiral Shares--Net Assets Applicable to 306,562,703 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $7,968,576 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $25.99 ================================================================================ Institutional Shares--Net Assets Applicable to 307,739,555 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $8,000,241 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $26.00 ================================================================================ VIPER Shares--Net Assets Applicable to 23,567,450 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $2,517,183 -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- VIPER SHARES $106.81 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. (C) 2004 THE VANGUARD GROUP, INC. ALL RIGHTS RESERVED. VANGUARD MARKETING CORPORATION, DISTRIBUTOR. F850 022004 40 ITEM 2: Code of Ethics. The Board of Trustees has adopted a code of ethics that applies to the principal executive officer, principal financial officer, principal accounting officer or controller of the Registrant and The Vanguard Group, Inc., and to persons performing similar functions. ITEM 3: Audit Committee Financial Expert. All of the members of the Audit Committee have been determined by the Registrant's Board of Trustees to be Audit Committee Financial Experts. The members of the Audit Committee are: Charles D. Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, Burton G. Malkiel, Alfred M. Rankin, Jr., and J. Lawrence Wilson. All Audit Committee members are independent under applicable rules. ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES. (A) AUDIT FEES. AUDIT FEES OF THE REGISTRANT Fiscal Year Ended December 31, 2003: $153,000 Fiscal Year Ended December 31, 2002: $120,000 AGGREGATE AUDIT FEES OF REGISTERED INVESTMENT COMPANIES IN THE VANGUARD GROUP Fiscal Year Ended December 31, 2003: $1,660,800 Fiscal Year Ended December 31, 2002: $1,620,200 (B) AUDIT-RELATED FEES. Fiscal Year Ended December 31, 2003: $324,460 Fiscal Year Ended December 31, 2002: $420,280 Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group. (C) TAX FEES. Fiscal Year Ended December 31, 2003: $409,900 Fiscal Year Ended December 31, 2002: $103,200 Includes fees billed in connection with compliance, planning, and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income, excise, and stamp taxes. (D) ALL OTHER FEES. Fiscal Year Ended December 31, 2003: $31,000 Fiscal Year Ended December 31, 2002: $367,500 Includes fees billed in connection with benefit plans and statements, risk management, privacy matters, educational training materials, and other business advisory services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group. (E) (1) PRE-APPROVAL POLICIES. The policy of the Registrant's Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and permitted non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant's independence. In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant's independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant's independence. The Registrant's Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group. (2) No percentage of the principal accountant's fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant's engagement were not performed by persons other than full-time, permanent employees of the principal accountant. (G) AGGREGATE NON-AUDIT FEES. Fiscal Year Ended December 31, 2003: $440,900 Fiscal Year Ended December 31, 2002: $470,700 Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group. (h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant's independence. ITEM 5: Not applicable. ITEM 6: Reserved. ITEM 7: Not applicable. ITEM 8: Reserved. ITEM 9: CONTROLS AND PROCEDURES. (a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. (b) Internal Control Over Financial Reporting. There were no significant changes in Registrant's internal control over financial reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 10: EXHIBITS. The following exhibits are attached hereto: (a) Code of Ethics (b) Certifications Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. VANGUARD INDEX FUNDS BY:_____________(signature)________________ (HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER Date: February 20, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. VANGUARD INDEX FUNDS BY:_____________(signature)________________ (HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER Date: February 20, 2004 VANGUARD INDEX FUNDS BY:_____________(signature)________________ (HEIDI STAM) THOMAS J. HIGGINS* TREASURER Date: February 20, 2004 *By Power of Attorney. See File Number 2-57689, filed on December 26, 2002. Incorporated by Reference.