N-CSR 1 fidxform.htm FEDERATED INDEX TRUST 

                                  United States
                       Securities and Exchange Commission
                             Washington, D.C. 20549

                                   Form N-CSR
   Certified Shareholder Report of Registered Management Investment Companies




                                    811-6061

                      (Investment Company Act File Number)


                              Federated Index Trust
         _______________________________________________________________

               (Exact Name of Registrant as Specified in Charter)


                            Federated Investors Funds
                              5800 Corporate Drive
                       Pittsburgh, Pennsylvania 15237-7000


                                 (412) 288-1900
                         (Registrant's Telephone Number)


                           John W. McGonigle, Esquire
                            Federated Investors Tower
                               1001 Liberty Avenue
                       Pittsburgh, Pennsylvania 15222-3779
                     (Name and Address of Agent for Service)
                (Notices should be sent to the Agent for Service)






                        Date of Fiscal Year End: 10/31/03


               Date of Reporting Period: Six months ended 4/30/03




Item 1.     Reports to Stockholders

Federated Investors
World-Class Investment Manager

Federated Max-Cap Index Fund

A Portfolio of Federated Index Trust



SEMI-ANNUAL SHAREHOLDER REPORT

April 30, 2003

FINANCIAL HIGHLIGHTS

FINANCIAL STATEMENTS

NOT FDIC INSURED * MAY LOSE VALUE * NO BANK GUARANTEE

Financial Highlights--Institutional Shares

(For a Share Outstanding Throughout Each Period)

   

   

Six Months
Ended
(unaudited)

   

   

Year Ended October 31,

  

4/30/2003

   

  

2002

   

  

2001

   

  

2000

   

  

1999

   

  

1998

   

Net Asset Value, Beginning of Period

   

$17.97

   

   

$21.51

   

   

$29.08

   

   

$28.09

   

   

$22.91

   

   

$19.70

   

Income From Investment Operations:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net investment income

   

0.13

   

   

0.26

   

   

0.27

   

   

0.29

   

   

0.31

   

   

0.31

   

Net realized and unrealized gain (loss) on investments and futures contracts

   

0.61

   

   

(3.55

)

   

(7.56

)

   

1.23

   

   

5.38

   

   

3.83

   

TOTAL FROM INVESTMENT OPERATIONS

   

0.74

   

   

(3.29

)

   

(7.29

)

   

1.52

   

   

5.69

   

   

4.14

   

Less Distributions:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Distributions from net investment income

   

(0.13

)

   

(0.25

)

   

(0.28

)

   

(0.28

)

   

(0.29

)

   

(0.31

)

Distributions from net realized gain on investments and futures contracts

   

--

   

   

--

   

   

--

   

   

(0.25

)

   

(0.22

)

   

(0.62

)

TOTAL DISTRIBUTIONS

   

(0.13

)

   

(0.25

)

   

(0.28

)

   

(0.53

)

   

(0.51

)

   

(0.93

)

Net Asset Value, End of Period

   

$18.58

   

   

$17.97

   

   

$21.51

   

   

$29.08

   

   

$28.09

   

   

$22.91

   

Total Return1

   

4.18

%

   

(15.41

)%

   

(25.15

)%

   

5.40

%

   

25.11

%

   

21.56

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Expenses

   

0.35

%2

   

0.34

%

   

0.34

%

   

0.34

%

   

0.32

%

   

0.31

%

Net investment income

   

1.48

%2

   

1.22

%

   

1.03

%

   

0.98

%

   

1.18

%

   

1.40

%

Expense waiver/reimbursement3

   

0.30

%2

   

0.29

%

   

0.26

%

   

0.25

%

   

0.28

%

   

0.27

%

Supplemental Data:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net assets, end of period (000 omitted)

   

$895,641

   

$906,710

   

$1,228,402

   

$2,021,341

   

$2,003,590

   

$1,445,175

   

Portfolio turnover

   

13

%

   

18

%

   

7

%

   

11

%

   

3

%

   

3

%

1 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.

2 Computed on an annualized basis.

3 This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above.

See Notes which are an integral part of the Financial Statements

Financial Highlights--Institutional Service Shares

(For a Share Outstanding Throughout Each Period)

   

   

Six Months
Ended
(unaudited)

   

   

Year Ended October 31,

  

4/30/2003

   

  

2002

   

  

2001

   

  

2000

   

  

1999

   

  

1998

   

Net Asset Value, Beginning of Period

   

$17.93

   

   

$21.46

   

   

$29.01

   

   

$28.03

   

   

$22.86

   

   

$19.66

   

Income From Investment Operations:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net investment income

   

0.10

   

   

0.19

   

   

0.18

   

   

0.19

   

   

0.23

   

   

0.25

   

Net realized and unrealized gain (loss) on investments and futures contracts

   

0.62

   

   

(3.53

)

   

(7.52

)

   

1.23

   

   

5.37

   

   

3.82

   

TOTAL FROM INVESTMENT OPERATIONS

   

0.72

   

   

(3.34

)

   

(7.34

)

   

1.42

   

   

5.60

   

   

4.07

   

Less Distributions:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Distributions from net investment income

   

(0.11

)

   

(0.19

)

   

(0.21

)

   

(0.19

)

   

(0.21

)

   

(0.25

)

Distributions from net realized gain on investments and futures contracts

   

--

   

   

--

   

   

--

   

   

(0.25

)

   

(0.22

)

   

(0.62

)

TOTAL DISTRIBUTIONS

   

(0.11

)

   

(0.19

)

   

(0.21

)

   

(0.44

)

   

(0.43

)

   

(0.87

)

Net Asset Value, End of Period

   

$18.54

   

   

$17.93

   

   

$21.46

   

   

$29.01

   

   

$28.03

   

   

$22.86

   

Total Return1

   

4.04

%

   

(15.67

)%

   

(25.39

)%

   

5.08

%

   

24.76

%

   

21.21

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Expenses

   

0.65

%2

   

0.64

%

   

0.64

%

   

0.64

%

   

0.62

%

   

0.61

%

Net investment income

   

1.18

%2

   

0.92

%

   

0.73

%

   

0.67

%

   

0.88

%

   

1.09

%

Expense waiver/reimbursement3

   

0.30

%2

   

0.29

%

   

0.26

%

   

0.25

%

   

0.28

%

   

0.27

%

Supplemental Data:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net assets, end of period (000 omitted)

   

$565,324

   

$425,421

   

$578,776

   

$900,246

   

$726,976

   

$477,760

   

Portfolio turnover

   

13

%

   

18

%

   

7

%

   

11

%

   

3

%

   

3

%

1 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.

2 Computed on an annualized basis.

3 This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above.

See Notes which are an integral part of the Financial Statements

Financial Highlights--Class C Shares

(For a Share Outstanding Throughout Each Period)

   

   

Six Months
Ended
(unaudited)

   

   

Year Ended October 31,

  

4/30/2003

   

  

2002

   

  

2001

   

  

2000

   

  

1999

   

  

1998

1

Net Asset Value, Beginning of Period

   

$17.88

   

   

$21.40

   

   

$28.91

   

   

$27.96

   

   

$22.82

   

   

$19.81

   

Income From Investment Operations:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net investment income (loss)

   

0.04

   

   

0.04

   

   

0.01

   

   

(0.00

)2

   

0.07

   

   

0.12

   

Net realized and unrealized gain (loss) on investments and futures contracts

   

0.62

   

   

(3.52

)

   

(7.50

)

   

1.21

   

   

5.35

   

   

3.66

   

TOTAL FROM INVESTMENT OPERATIONS

   

0.66

   

   

(3.48

)

   

(7.49

)

   

1.21

   

   

5.42

   

   

3.78

   

Less Distributions:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Distributions from net investment income

   

(0.05

)

   

(0.04

)

   

(0.02

)

   

(0.01

)

   

(0.06

)

   

(0.15

)

Distributions from net realized gain on investments and futures contracts

   

--

   

   

--

   

   

--

   

   

(0.25

)

   

(0.22

)

   

(0.62

)

TOTAL DISTRIBUTIONS

   

(0.05

)

   

(0.04

)

   

(0.02

)

   

(0.26

)

   

(0.28

)

   

(0.77

)

Net Asset Value, End of Period

   

$18.49

   

   

$17.88

   

   

$21.40

   

   

$28.91

   

   

$27.96

   

   

$22.82

   

Total Return3

   

3.68

%

   

(16.28

)%

   

(25.92

)%

   

4.35

%

   

23.94

%

   

19.57

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Expenses

   

1.35

%4

   

1.34

%

   

1.34

%

   

1.34

%

   

1.32

%

   

1.32

%4

Net investment income (loss)

   

0.48

%4

   

0.22

%

   

0.03

%

   

(0.03

)%

   

0.18

%

   

0.35

%4

Expense waiver/reimbursement6

   

0.05

%4

   

0.04

%

   

0.01

%

   

0.00

%5

   

0.03

%

   

0.02

%4

Supplemental Data:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net assets, end of period (000 omitted)

   

$86,771

   

$88,070

   

$111,863

   

$142,999

   

$96,251

   

$15,784

   

Portfolio turnover

   

13

%

   

18

%

   

7

%

   

11

%

   

3

%

   

3

%

1 Reflects operations for the period from November 10, 1997 (date of initial public investment) to October 31, 1998.

2 Represents less than $0.01.

3 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.

4 Computed on an annualized basis.

5 Represents less than 0.01%.

6 This voluntary expense decrease is reflected in both the expense and the net investment income (loss) ratios shown above.

See Notes which are an integral part of the Financial Statements

Financial Highlights--Class K Shares

(For a Share Outstanding Throughout the Period)

  

Period
Ended
(unaudited)
4/30/2003

1

Net Asset Value, Beginning of Period

   

$17.79

   

Income From Investment Operations:

   

   

   

Net investment income

   

0.01

   

Net realized and unrealized gain on investments and futures contracts

   

0.78

   

TOTAL FROM INVESTMENT OPERATIONS

   

0.79

   

Net Asset Value, End of Period

   

$18.58

   

Total Return2

   

4.44

%

 

 

 

 

Ratios to Average Net Assets:

   

   

   

Expenses

   

1.09

%3

Net investment income

   

0.74

%3

Expense waiver/reimbursement4

   

0.05

%3

Supplemental Data:

   

   

   

Net assets, end of period (000 omitted)

   

$0

5

Portfolio turnover

   

13

%6

1 Reflects operations for the period from April 8, 2003 (start of performance) to April 30, 2003.

2 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.

3 Computed on an annualized basis.

4 This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above.

5 Represents less than $1,000.

6 Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the six months ended April 30, 2003.

See Notes which are an integral part of the Financial Statements

Portfolio of Investments

April 30, 2003 (unaudited)

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--96.6%1

 

 

 

 

Consumer Discretionary--13.8%

 

833,277

2

AOL Time Warner, Inc.

   

$

11,399,229

   

 

11,364

2,3

American Greetings Corp., Class A

   

   

165,460

   

 

52,490

2

AutoNation, Inc.

   

   

726,986

   

 

18,530

2

AutoZone, Inc.

   

   

1,497,409

   

 

57,114

2

Bed Bath & Beyond, Inc.

   

   

2,256,574

   

 

45,440

2,3

Best Buy Co., Inc.

   

   

1,571,315

   

 

20,121

2

Big Lots, Inc.

   

   

251,915

   

 

13,941

 

Black & Decker Corp.

   

   

575,066

   

 

15,799

 

Brunswick Corp.

   

   

344,892

   

 

100,703

 

Carnival Corp.

   

   

2,778,395

   

 

8,170

3

Carnival PLC, ADR

   

   

202,621

   

 

12,593

 

Centex Corp.

   

   

831,390

   

 

36,569

 

Circuit City Stores, Inc.

   

   

209,540

   

 

125,357

2

Clear Channel Communications, Inc.

   

   

4,902,712

   

 

405,219

2

Comcast Corp., Class A

   

   

12,930,538

   

 

13,202

 

Cooper Tire & Rubber Co.

   

   

185,884

   

 

64,504

2,3

Costco Wholesale Corp.

   

   

2,233,773

   

 

26,328

 

Dana Corp.

   

   

244,587

   

 

24,082

 

Darden Restaurants, Inc.

   

   

421,676

   

 

79,952

 

Delphi Auto Systems Corp.

   

   

671,597

   

 

15,216

 

Dillards, Inc., Class A

   

   

212,720

   

 

53,028

3

Dollar General Corp.

   

   

771,027

   

 

11,507

 

Dow Jones & Co.

   

   

455,677

   

 

41,205

 

Eastman Kodak Co.

   

   

1,232,441

   

 

30,060

 

Family Dollar Stores, Inc.

   

   

1,027,751

   

 

37,541

 

Federated Department Stores, Inc.

   

   

1,149,505

   

 

380,209

3

Ford Motor Co.

   

   

3,916,153

   

 

25,949

 

Fortune Brands, Inc.

   

   

1,255,932

   

 

46,580

 

Gannett Co., Inc.

   

   

3,527,038

   

 

153,960

 

Gap (The), Inc.

   

   

2,560,355

   

 

121,925

3

General Motors Corp.

   

   

4,395,396

   

 

24,767

 

Genuine Parts Co.

   

   

791,801

   

 

41,908

2,3

Goodyear Tire & Rubber Co.

   

   

239,714

   

 

52,720

 

Harley Davidson, Inc.

   

   

2,342,877

   

 

22,444

2

Harrah's Entertainment, Inc.

   

   

884,069

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Consumer Discretionary--continued

 

24,614

 

Hasbro, Inc.

   

$ 

393,824

   

 

65,762

3

Hilton Hotels Corp.

   

   

875,950

   

 

421,589

 

Home Depot, Inc.

   

   

11,859,298

   

 

17,784

2,3

International Game Technology

   

   

1,534,759

   

 

54,219

3

Interpublic Group Cos., Inc.

   

   

618,097

   

 

15,503

 

Johnson Controls, Inc.

   

   

1,274,967

   

 

29,435

2,3

Jones Apparel Group, Inc.

   

   

839,486

   

 

10,396

 

KB HOME

   

   

512,211

   

 

14,297

 

Knight-Ridder, Inc.

   

   

922,871

   

 

58,708

2

Kohl's Corp.

   

   

3,334,614

   

 

33,951

 

Leggett and Platt, Inc.

   

   

701,088

   

 

92,346

3

Limited, Inc.

   

   

1,342,711

   

 

15,878

 

Liz Claiborne, Inc.

   

   

516,511

   

 

141,907

3

Lowe's Cos., Inc.

   

   

6,228,298

   

 

33,523

3

Marriott International, Inc., Class A

   

   

1,203,811

   

 

100,161

 

Mattel, Inc.

   

   

2,177,500

   

 

50,043

 

May Department Stores Co.

   

   

1,081,930

   

 

18,078

 

Maytag Corp.

   

   

376,745

   

 

221,400

 

McDonald's Corp.

   

   

3,785,940

   

 

33,657

 

McGraw-Hill Cos., Inc.

   

   

1,965,232

   

 

8,459

3

Meredith Corp.

   

   

365,598

   

 

26,305

 

New York Times Co., Class A

   

   

1,220,026

   

 

46,610

 

Newell Rubbermaid, Inc.

   

   

1,420,673

   

 

46,335

3

Nike, Inc., Class B

   

   

2,480,312

   

 

19,180

 

Nordstrom, Inc.

   

   

332,389

   

 

59,553

2

Office Depot, Inc.

   

   

753,941

   

 

34,526

3

Omnicom Group, Inc.

   

   

2,137,159

   

 

37,690

 

Penney (J.C.) Co., Inc.

   

   

642,991

   

 

8,596

 

Pulte Corp.

   

   

498,482

   

 

26,485

 

Radioshack Corp.

   

   

627,959

   

 

10,398

2

Reebok International Ltd.

   

   

322,962

   

 

79,340

3

Sears, Roebuck & Co.

   

   

2,248,496

   

 

26,123

 

Sherwin-Williams Co.

   

   

728,309

   

 

10,103

 

Snap-On Tools Corp.

   

   

296,523

   

 

15,413

 

Stanley Works

   

   

370,374

   

 

93,560

2,3

Staples, Inc.

   

   

1,781,382

   

 

71,784

2

Starbucks Corp.

   

   

1,686,206

   

 

35,333

 

Starwood Hotels & Resorts Worldwide, Inc.

   

   

948,338

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Consumer Discretionary--continued

 

92,042

 

TJX Cos., Inc.

   

$ 

1,771,809

   

 

158,313

3

Target Corp.

   

   

5,293,987

   

 

25,296

 

Tiffany & Co.

   

   

701,711

   

 

44,142

2

Toys `R' Us, Inc.

   

   

452,456

   

 

53,047

 

Tribune Co.

   

   

2,598,242

   

 

10,202

 

Tupperware Corp.

   

   

141,400

   

 

40,467

2,3

Univision Communications, Inc., Class A

   

   

1,225,341

   

 

19,230

 

V.F. Corp.

   

   

756,508

   

 

308,642

2

Viacom, Inc., Class B

   

   

13,398,149

   

 

23,314

 

Visteon Corp.

   

   

163,431

   

 

778,430

3

Wal-Mart Stores, Inc.

   

   

43,841,178

   

 

360,917

 

Walt Disney Co.

   

   

6,734,711

   

 

16,619

 

Wendy's International, Inc.

   

   

482,616

   

 

11,842

 

Whirlpool Corp.

   

   

633,429

   

 

51,640

2

Yum! Brands, Inc.

   

   

1,275,508

   

 

48,700

2,3

eBay, Inc.

   

   

4,517,899

   

 

 

 

TOTAL

   

   

213,560,353

   

 

 

 

Consumer Staples--8.5%

   

   

   

   

 

12,611

 

Alberto-Culver Co., Class B

   

   

621,470

   

 

66,075

3

Albertsons, Inc.

   

   

1,312,250

   

 

365,462

 

Altria Group, Inc.

   

   

11,241,611

   

 

149,424

 

Anheuser-Busch Cos., Inc.

   

   

7,453,269

   

 

113,874

 

Archer-Daniels-Midland Co.

   

   

1,261,724

   

 

41,068

 

Avon Products, Inc.

   

   

2,388,926

   

 

10,630

 

Brown-Forman Corp., Class B

   

   

813,620

   

 

69,394

 

CVS Corp.

   

   

1,680,029

   

 

71,390

3

Campbell Soup Co.

   

   

1,572,722

   

 

38,873

3

Clorox Co.

   

   

1,757,837

   

 

435,582

 

Coca-Cola Co.

   

   

17,597,513

   

 

78,237

 

Coca-Cola Enterprises, Inc.

   

   

1,524,839

   

 

107,640

 

Colgate-Palmolive Co.

   

   

6,153,779

   

 

93,504

 

ConAgra, Inc.

   

   

1,963,584

   

 

5,044

 

Coors Adolph Co., Class B

   

   

270,005

   

 

82,055

3

General Mills, Inc.

   

   

3,701,501

   

 

184,143

 

Gillette Co.

   

   

5,607,154

   

 

74,802

 

Heinz (H.J.) Co.

   

   

2,235,084

   

 

22,161

 

Hershey Foods Corp.

   

   

1,446,005

   

 

71,207

 

Kellogg Co.

   

   

2,331,317

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Consumer Staples--continued

 

89,786

 

Kimberly-Clark Corp.

   

$ 

4,468,649

   

 

143,021

2

Kroger Co.

   

   

2,045,200

   

 

19,500

 

McCormick & Co., Inc.

   

   

483,405

   

 

302,445

 

PepsiCo, Inc.

   

   

13,089,820

   

 

227,287

 

Procter & Gamble Co.

   

   

20,421,737

   

 

15,700

 

R.J. Reynolds Tobacco Holdings, Inc.

   

   

442,269

   

 

22,990

 

SUPERVALU, Inc.

   

   

378,645

   

 

76,923

2

Safeway, Inc.

   

   

1,278,460

   

 

135,987

3

Sara Lee Corp.

   

   

2,281,862

   

 

114,472

 

Sysco Corp.

   

   

3,288,781

   

 

39,524

 

The Pepsi Bottling Group, Inc.

   

   

811,823

   

 

29,877

 

UST, Inc.

   

   

936,046

   

 

181,296

3

Walgreen Co.

   

   

5,594,795

   

 

20,334

3

Winn-Dixie Stores, Inc.

   

   

254,785

   

 

39,846

 

Wrigley (Wm.), Jr. Co.

   

   

2,259,667

   

 

 

 

TOTAL

   

   

130,970,183

   

 

 

 

Energy--5.7%

   

   

   

   

 

15,987

 

Amerada-Hess Corp.

   

   

721,813

   

 

46,210

 

Anadarko Petroleum Corp.

   

   

2,051,724

   

 

28,136

 

Apache Corp.

   

   

1,610,786

   

 

44,520

 

Ashland, Inc.

   

   

1,320,018

   

 

27,200

2

BJ Services Co.

   

   

993,072

   

 

58,681

 

Baker Hughes, Inc.

   

   

1,643,068

   

 

38,010

 

Burlington Resources, Inc.

   

   

1,760,243

   

 

187,087

 

ChevronTexaco Corp.

   

   

11,750,934

   

 

117,896

 

ConocoPhillips

   

   

5,930,169

   

 

38,451

3

Devon Energy Corp.

   

   

1,816,819

   

 

20,403

 

EOG Resources, Inc.

   

   

762,664

   

 

1,186,571

 

Exxon Mobil Corp.

   

   

41,767,299

   

 

75,948

 

Halliburton Co.

   

   

1,626,047

   

 

14,489

 

Kerr-McGee Corp.

   

   

610,132

   

 

54,877

 

Marathon Oil Corp.

   

   

1,249,549

   

 

25,090

2,3

Nabors Industries Ltd.

   

   

983,528

   

 

28,978

2

Noble Corp.

   

   

896,869

   

 

96,851

 

Occidental Petroleum Corp.

   

   

2,891,002

   

 

13,052

2,3

Rowan Companies, Inc.

   

   

267,566

   

 

82,356

 

Schlumberger Ltd.

   

   

3,453,187

   

 

19,160

 

Sunoco Inc.

   

   

712,944

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Energy--continued

 

100,490

2

Transocean Sedco Forex, Inc.

   

$ 

1,914,335

   

 

45,026

 

Unocal Corp.

   

   

1,247,220

   

 

 

 

TOTAL

   

   

87,980,988

   

 

 

 

Financials--19.7%

   

   

   

   

 

51,174

3

AON Corp.

   

   

1,134,016

   

 

46,000

3

Ace Ltd.

   

   

1,521,680

   

 

114,982

 

Aflac, Inc.

   

   

3,761,061

   

 

147,825

 

Allstate Corp.

   

   

5,586,307

   

 

20,473

 

Ambac Financial Group, Inc.

   

   

1,194,600

   

 

229,095

 

American Express Co.

   

   

8,673,537

   

 

458,932

 

American International Group, Inc.

   

   

26,595,109

   

 

101,952

 

Amsouth Bancorporation

   

   

2,146,090

   

 

13,400

 

Apartment Investment & Management Co., Class A

   

   

505,984

   

 

83,685

3

BB&T Corp.

   

   

2,728,131

   

 

202,965

 

Bank One Corp.

   

   

7,316,888

   

 

276,361

 

Bank of America Corp.

   

   

20,464,532

   

 

108,439

 

Bank of New York Co., Inc.

   

   

2,868,212

   

 

13,534

 

Bear Stearns Cos., Inc.

   

   

904,613

   

 

31,367

3

Capital One Financial Corp.

   

   

1,313,336

   

 

39,490

 

Charter One Financial, Inc.

   

   

1,147,185

   

 

24,295

3

Chubb Corp.

   

   

1,284,963

   

 

28,795

3

Cincinnati Financial Corp.

   

   

1,061,096

   

 

912,319

 

Citigroup, Inc.

   

   

35,808,521

   

 

30,423

 

Comerica, Inc.

   

   

1,323,705

   

 

17,886

 

Countrywide Financial Corp.

   

   

1,209,094

   

 

94,167

 

Equity Office Properties Trust

   

   

2,445,517

   

 

47,100

3

Equity Residential Properties Trust

   

   

1,220,361

   

 

139,334

 

Federal Home Loan Mortgage Corp.

   

   

8,067,439

   

 

174,316

 

Federal National Mortgage Association

   

   

12,618,735

   

 

20,400

 

Federated Investors, Inc.

   

   

556,716

   

 

100,707

 

Fifth Third Bancorp

   

   

4,963,848

   

 

25,600

 

First Tennessee National Corp.

   

   

1,121,280

   

 

182,872

 

FleetBoston Financial Corp.

   

   

4,849,765

   

 

45,280

 

Franklin Resources, Inc.

   

   

1,579,366

   

 

26,709

 

Golden West Financial Corp.

   

   

2,014,393

   

 

77,400

 

Goldman Sachs Group, Inc.

   

   

5,874,660

   

 

61,070

 

Hartford Financial Services Group, Inc.

   

   

2,489,213

   

 

41,509

 

Huntington Bancshares, Inc.

   

   

807,765

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Financials--continued

 

312,528

 

J.P. Morgan Chase & Co.

   

$ 

9,172,697

   

 

38,492

 

Janus Capital Group, Inc.

   

   

535,039

   

 

20,559

 

Jefferson-Pilot Corp.

   

   

824,210

   

 

50,081

 

John Hancock Financial Services, Inc.

   

   

1,453,351

   

 

73,779

 

KeyCorp

   

   

1,778,812

   

 

43,104

 

Lehman Brothers Holdings, Inc.

   

   

2,714,259

   

 

30,708

 

Lincoln National Corp.

   

   

981,428

   

 

32,843

 

Loews Corp.

   

   

1,355,431

   

 

20,831

3

MBIA Insurance Corp.

   

   

931,146

   

 

186,097

 

MBNA Corp.

   

   

3,517,233

   

 

17,964

 

MGIC Investment Corp.

   

   

816,643

   

 

76,010

 

Marsh & McLennan Cos., Inc.

   

   

3,624,157

   

 

38,200

 

Marshall & Ilsley Corp.

   

   

1,123,844

   

 

60,817

 

Mellon Financial Corp.

   

   

1,608,610

   

 

150,725

 

Merrill Lynch & Co., Inc.

   

   

6,187,261

   

 

99,041

 

Metropolitan Life Insurance Co.

   

   

2,845,448

   

 

26,317

 

Moody's Corp.

   

   

1,270,848

   

 

194,656

 

Morgan Stanley

   

   

8,710,856

   

 

106,567

 

National City Corp.

   

   

3,192,747

   

 

28,400

 

North Fork Bancorp, Inc.

   

   

919,024

   

 

29,569

 

Northern Trust Corp.

   

   

1,037,872

   

 

68,412

 

PNC Financial Services Group

   

   

3,003,287

   

 

26,000

 

Plum Creek Timber Co., Inc.

   

   

604,760

   

 

58,600

 

Principal Financial Group

   

   

1,705,260

   

 

30,679

 

Progressive Corp., OH

   

   

2,086,172

   

 

59,436

2

Providian Financial Corp.

   

   

438,043

   

 

80,000

 

Prudential Financial

   

   

2,557,600

   

 

38,535

 

Regions Financial Corp.

   

   

1,299,015

   

 

30,522

 

SAFECO Corp.

   

   

1,175,402

   

 

26,680

 

SLM Corporation

   

   

2,988,160

   

 

189,986

 

Schwab (Charles) Corp.

   

   

1,639,579

   

 

33,000

 

Simon Property Group, Inc.

   

   

1,211,760

   

 

60,261

 

SouthTrust Corp.

   

   

1,618,671

   

 

39,677

 

St. Paul Cos., Inc.

   

   

1,362,508

   

 

56,362

3

State Street Corp.

   

   

1,974,361

   

 

49,391

 

SunTrust Banks, Inc.

   

   

2,826,153

   

 

52,455

3

Synovus Financial Corp.

   

   

1,021,299

   

 

47,854

3

T. Rowe Price Group, Inc.

   

   

1,460,504

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Financials--continued

 

16,737

 

Torchmark Corp.

   

$ 

648,559

   

 

170,045

 

Travelers Property Casualty Corp., Class B

   

   

2,763,231

   

 

333,763

 

U.S. Bancorp

   

   

7,392,850

   

 

42,653

 

UNUMProvident Corp.

   

   

490,510

   

 

34,685

 

Union Planters Corp.

   

   

989,910

   

 

237,249

 

Wachovia Corp.

   

   

9,065,284

   

 

165,025

3

Washington Mutual, Inc.

   

   

6,518,488

   

 

296,649

 

Wells Fargo & Co.

   

   

14,316,281

   

 

19,236

 

XL Capital Ltd.

   

   

1,583,123

   

 

16,067

3

Zions Bancorp

   

   

791,621

   

 

 

 

TOTAL

   

   

305,291,025

   

 

 

 

Healthcare--14.4%

   

   

   

   

 

254,041

 

Abbott Laboratories

   

   

10,321,686

   

 

35,876

 

Aetna US Healthcare

   

   

1,786,625

   

 

22,796

3

Allergan, Inc.

   

   

1,601,419

   

 

15,192

 

AmerisourceBergen Corp.

   

   

878,857

   

 

228,157

2

Amgen, Inc.

   

   

13,988,306

   

 

19,963

2

Anthem, Inc.

   

   

1,370,260

   

 

36,248

 

Applera Corp.

   

   

635,427

   

 

8,952

 

Bard (C.R.), Inc.

   

   

567,378

   

 

9,332

3

Bausch & Lomb, Inc.

   

   

328,113

   

 

100,524

 

Baxter International, Inc.

   

   

2,312,052

   

 

45,328

 

Becton, Dickinson & Co.

   

   

1,604,611

   

 

25,878

2,3

Biogen, Inc.

   

   

983,105

   

 

45,804

 

Biomet, Inc.

   

   

1,395,190

   

 

73,938

2

Boston Scientific Corp.

   

   

3,183,031

   

 

337,525

 

Bristol-Myers Squibb Co.

   

   

8,620,389

   

 

22,870

 

CIGNA Corp.

   

   

1,196,101

   

 

78,508

3

Cardinal Health, Inc.

   

   

4,339,922

   

 

32,794

2,3

Chiron Corp.

   

   

1,338,979

   

 

65,576

2

Forest Laboratories, Inc., Class A

   

   

3,391,591

   

 

30,300

2

Genzyme Corp.

   

   

1,220,484

   

 

68,588

2

Guidant Corp.

   

   

2,674,246

   

 

72,708

 

HCA - The Healthcare Corp.

   

   

2,333,927

   

 

41,500

 

Health Management Association, Class A

   

   

707,990

   

 

50,131

2

Humana, Inc.

   

   

553,948

   

 

42,373

 

IMS Health, Inc.

   

   

652,544

   

 

523,162

 

Johnson & Johnson

   

   

29,485,410

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Healthcare--continued

 

42,561

2

King Pharmaceuticals, Inc.

   

$ 

536,694

   

 

200,166

 

Lilly (Eli) & Co.

   

   

12,774,594

   

 

13,443

2

Manor Care, Inc.

   

   

261,466

   

 

51,466

 

McKesson HBOC, Inc.

   

   

1,427,667

   

 

56,037

2,3

Medimmune, Inc.

   

   

1,976,425

   

 

213,283

3

Medtronic, Inc.

   

   

10,182,130

   

 

399,020

3

Merck & Co., Inc.

   

   

23,214,984

   

 

8,377

2

Millipore Corp.

   

   

286,075

   

 

1,415,820

 

Pfizer, Inc.

   

   

43,536,465

   

 

29,396

2

Quest Diagnostic, Inc.

   

   

1,756,411

   

 

20,198

2

Quintiles Transnational Corp.

   

   

283,782

   

 

255,332

 

Schering Plough Corp.

   

   

4,621,509

   

 

30,904

2

St. Jude Medical, Inc.

   

   

1,621,224

   

 

34,551

 

Stryker Corp.

   

   

2,315,263

   

 

116,205

2

Tenet Healthcare Corp.

   

   

1,724,482

   

 

53,018

 

UnitedHealth Group, Inc.

   

   

4,884,548

   

 

21,772

2

Watson Pharmaceuticals, Inc.

   

   

632,912

   

 

25,932

2

Wellpoint Health Networks, Inc.

   

   

1,969,276

   

 

233,654

 

Wyeth

   

   

10,170,959

   

 

33,994

2

Zimmer Holdings, Inc.

   

   

1,594,319

   

 

 

 

TOTAL

   

   

223,242,776

   

 

 

 

Industrials--11.3%

   

   

   

   

 

68,076

 

3M Co.

   

   

8,580,299

   

 

28,443

2

Allied Waste Industries, Inc.

   

   

236,077

   

 

33,959

2,3

American Power Conversion Corp.

   

   

529,081

   

 

12,900

2

American Standard Cos.

   

   

918,351

   

 

32,500

2

Apollo Group, Inc., Class A

   

   

1,761,468

   

 

108,705

 

Automatic Data Processing, Inc.

   

   

3,655,749

   

 

19,142

 

Avery Dennison Corp.

   

   

1,014,717

   

 

46,443

 

Block (H&R), Inc.

   

   

1,793,629

   

 

146,405

 

Boeing Co.

   

   

3,993,928

   

 

88,038

 

Burlington Northern Santa Fe

   

   

2,479,150

   

 

37,832

 

CSX Corp.

   

   

1,209,867

   

 

75,238

3

Caterpillar, Inc.

   

   

3,957,519

   

 

188,063

2

Cendant Corp.

   

   

2,685,540

   

 

30,037

 

Cintas Corp.

   

   

1,078,328

   

 

90,336

2

Concord EFS, Inc.

   

   

1,249,347

   

 

24,225

2

Convergys Corp.

   

   

392,930

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Industrials--continued

 

16,257

 

Cooper Industries, Inc., Class A

   

$ 

603,135

   

 

10,265

 

Crane Co.

   

   

200,475

   

 

7,117

 

Cummins Engine Co., Inc.

   

   

192,942

   

 

28,220

3

Danaher Corp.

   

   

1,946,616

   

 

42,186

 

Deere & Co.

   

   

1,857,450

   

 

28,694

 

Delta Air Lines, Inc.

   

   

366,996

   

 

10,815

 

Deluxe Corp.

   

   

475,968

   

 

25,093

 

Donnelley (R.R.) & Sons Co.

   

   

505,875

   

 

28,702

 

Dover Corp.

   

   

824,895

   

 

12,327

 

Eaton Corp.

   

   

1,011,677

   

 

73,452

 

Emerson Electric Co.

   

   

3,724,016

   

 

24,616

 

Equifax, Inc.

   

   

570,845

   

 

36,167

2,3

FIserv, Inc.

   

   

1,064,756

   

 

54,568

 

FedEx Corp.

   

   

3,267,532

   

 

128,108

 

First Data Corp., Class

   

   

5,025,677

   

 

13,956

 

Fluor Corp.

   

   

482,459

   

 

35,058

 

General Dynamics Corp.

   

   

2,176,050

   

 

1,765,036

 

General Electric Co.

   

   

51,980,310

   

 

20,690

 

Goodrich (B.F.) Co.

   

   

291,108

   

 

16,047

 

Grainger (W.W.), Inc.

   

   

740,569

   

 

148,018

 

Honeywell International, Inc.

   

   

3,493,225

   

 

04

2

Hudson Highland Group, Inc.

   

   

1

   

 

15,996

 

ITT Industries, Inc.

   

   

932,567

   

 

67,809

 

Illinois Tool Works, Inc.

   

   

4,338,420

   

 

29,942

 

Ingersoll-Rand Co., Class A

   

   

1,319,843

   

 

93,488

 

Lockheed Martin Corp.

   

   

4,679,074

   

 

69,736

 

Masco Corp.

   

   

1,469,338

   

 

42,183

2

McDermott International, Inc.

   

   

137,095

   

 

9,863

2

Navistar International Corp.

   

   

275,178

   

 

67,553

 

Norfolk Southern Corp.

   

   

1,432,799

   

 

25,750

 

Northrop Grumman Corp.

   

   

2,264,713

   

 

24,531

3

PACCAR, Inc.

   

   

1,432,856

   

 

21,689

 

Pall Corp.

   

   

458,072

   

 

16,697

 

Parker-Hannifin Corp.

   

   

679,234

   

 

69,357

3

Paychex, Inc.

   

   

2,159,777

   

 

69,703

 

Pitney Bowes, Inc.

   

   

2,447,272

   

 

11,160

2

Power-One, Inc.

   

   

65,286

   

 

70,655

 

Raytheon Co.

   

   

2,114,704

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Industrials--continued

 

30,394

2

Robert Half International, Inc.

   

$ 

494,814

   

 

26,043

 

Rockwell Collins

   

   

556,799

   

 

32,243

 

Rockwell International Corp.

   

   

735,140

   

 

10,886

 

Ryder Systems, Inc.

   

   

270,408

   

 

25,486

2

Sabre Group Holdings, Inc.

   

   

532,912

   

 

130,846

3

Southwest Airlines Co.

   

   

2,088,302

   

 

15,468

2

TMP Worldwide, Inc.

   

   

259,398

   

 

24,230

 

Textron, Inc.

   

   

714,543

   

 

10,001

2

Thomas & Betts Corp.

   

   

158,116

   

 

347,692

3

Tyco International Ltd.

   

   

5,423,995

   

 

44,195

 

Union Pacific Corp.

   

   

2,630,486

   

 

187,540

 

United Parcel Service, Inc.

   

   

11,649,985

   

 

82,561

 

United Technologies Corp.

   

   

5,103,095

   

 

106,024

 

Waste Management, Inc.

   

   

2,302,841

   

 

 

 

TOTAL

   

   

175,465,619

   

 

 

 

Information Technology--14.4%

   

   

   

   

 

140,822

2

ADC Telecommunications, Inc.

   

   

336,283

   

 

40,155

 

Adobe System, Inc.

   

   

1,387,757

   

 

48,234

2

Advanced Micro Devices, Inc.

   

   

358,861

   

 

65,959

2,3

Agilent Technologies, Inc.

   

   

1,056,663

   

 

66,639

2

Altera Corp.

   

   

1,053,563

   

 

66,824

2

Analog Devices, Inc.

   

   

2,213,211

   

 

13,703

2,3

Andrew Corp.

   

   

105,102

   

 

62,299

2

Apple Computer, Inc.

   

   

884,646

   

 

281,210

2,3

Applied Materials, Inc.

   

   

4,105,666

   

 

42,633

2

Applied Micro Circuits Corp.

   

   

190,996

   

 

16,260

 

Autodesk, Inc.

   

   

253,006

   

 

63,239

2

Avaya, Inc.

   

   

246,632

   

 

52,724

2

BMC Software, Inc.

   

   

786,642

   

 

39,011

2,3

Broadcom Corp.

   

   

697,907

   

 

60,649

2

CIENA Corp.

   

   

295,361

   

 

1,258,428

2,3

Cisco Systems, Inc.

   

   

18,926,757

   

 

35,030

2,3

Citrix Systems, Inc.

   

   

664,169

   

 

98,597

3

Computer Associates International, Inc.

   

   

1,601,215

   

 

33,641

2

Computer Sciences Corp.

   

   

1,108,471

   

 

54,370

2

Compuware Corp.

   

   

238,684

   

 

32,825

2,3

Comverse Technology, Inc.

   

   

429,023

   

 

162,300

2,3

Corning, Inc.

   

   

879,666

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Information Technology--continued

 

454,599

2

Dell Computer Corp.

   

$ 

13,142,457

   

 

383,086

2

EMC Corp. Mass

   

   

3,482,252

   

 

20,300

2,3

Electronic Arts, Inc.

   

   

1,203,181

   

 

87,880

3

Electronic Data Systems Corp.

   

   

1,595,022

   

 

56,178

2

Gateway, Inc.

   

   

161,793

   

 

535,050

 

Hewlett-Packard Co.

   

   

8,721,315

   

 

1,176,580

 

Intel Corp.

   

   

21,649,072

   

 

298,343

 

International Business Machines Corp.

   

   

25,329,321

   

 

50,865

2,3

Intuit, Inc.

   

   

1,972,545

   

 

245,842

2

JDS Uniphase Corp.

   

   

794,070

   

 

27,985

2,3

Jabil Circuit, Inc.

   

   

523,320

   

 

26,725

2,3

KLA-Tencor Corp.

   

   

1,095,725

   

 

64,514

2

LSI Logic Corp.

   

   

345,795

   

 

21,918

2

Lexmark International Group, Class A

   

   

1,633,110

   

 

57,614

 

Linear Technology Corp.

   

   

1,985,955

   

 

662,888

2

Lucent Technologies, Inc.

   

   

1,193,198

   

 

58,841

 

Maxim Integrated Products, Inc.

   

   

2,311,863

   

 

12,132

2

Mercury Interactive Corp.

   

   

411,760

   

 

85,498

2

Micron Technology, Inc.

   

   

726,733

   

 

1,886,118

 

Microsoft Corp.

   

   

48,228,037

   

 

26,981

 

Molex, Inc.

   

   

629,737

   

 

462,521

 

Motorola, Inc.

   

   

3,658,541

   

 

13,537

2

NCR Corp.

   

   

296,731

   

 

21,600

2

NVIDIA Corp.

   

   

308,232

   

 

31,507

2

National Semiconductor Corp.

   

   

590,126

   

 

47,361

2,3

Network Appliance, Inc.

   

   

628,954

   

 

64,623

2

Novell, Inc.

   

   

177,713

   

 

21,021

2

Novellus Systems, Inc.

   

   

589,429

   

 

925,813

2

Oracle Corp.

   

   

10,998,658

   

 

23,595

2

PMC-Sierra, Inc.

   

   

194,659

   

 

46,283

2

Parametric Technology Corp.

   

   

152,734

   

 

56,078

2

Peoplesoft, Inc.

   

   

842,852

   

 

28,595

 

PerkinElmer, Inc.

   

   

283,662

   

 

13,166

2

Qlogic Corp.

   

   

579,172

   

 

137,389

 

Qualcomm, Inc.

   

   

4,381,335

   

 

144,501

2

Sanmina-SCI Corp.

   

   

693,605

   

 

21,780

3

Scientific-Atlanta, Inc.

   

   

353,925

   

 

85,682

2,3

Siebel Systems, Inc.

   

   

742,863

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Information Technology--continued

 

143,405

2

Solectron Corp.

   

$ 

457,462

   

 

541,786

2

Sun Microsystems, Inc.

   

   

1,787,894

   

 

53,100

2

SunGuard Data Systems, Inc.

   

   

1,141,650

   

 

25,100

2

Symantec Corp.

   

   

1,103,145

   

 

39,741

 

Symbol Technologies, Inc.

   

   

434,369

   

 

15,156

2

Tektronix, Inc.

   

   

284,478

   

 

71,585

2

Tellabs, Inc.

   

   

442,395

   

 

31,801

2

Teradyne, Inc.

   

   

368,892

   

 

333,391

3

Texas Instruments, Inc.

   

   

6,164,400

   

 

28,853

2

Thermo Electron Corp.

   

   

524,259

   

 

57,322

2

Unisys Corp.

   

   

596,149

   

 

95,665

2

Veritas Software Corp.

   

   

2,105,587

   

 

22,700

2

Waters Corp.

   

   

545,027

   

 

129,722

2

Xerox Corp.

   

   

1,279,059

   

 

58,712

2

Xilinx, Inc.

   

   

1,589,334

   

 

120,499

2,3

Yahoo, Inc.

   

   

2,985,965

   

 

 

 

TOTAL

   

   

222,239,798

   

 

 

 

Materials--2.6%

   

   

   

   

 

32,232

 

Air Products & Chemicals, Inc.

   

   

1,388,232

   

 

119,348

 

Alcoa, Inc.

   

   

2,736,650

   

 

14,345

 

Allegheny Technologies, Inc.

   

   

59,532

   

 

13,722

 

Ball Corp.

   

   

770,628

   

 

9,338

 

Bemis Co., Inc.

   

   

426,373

   

 

8,106

 

Boise Cascade Corp.

   

   

186,195

   

 

142,137

 

Dow Chemical Co.

   

   

4,639,352

   

 

173,406

 

Du Pont (E.I.) de Nemours & Co.

   

   

7,374,957

   

 

17,496

 

Eastman Chemical Co.

   

   

534,153

   

 

22,703

 

Ecolab, Inc.

   

   

1,159,896

   

 

22,263

3

Engelhard Corp.

   

   

546,557

   

 

20,911

3

Freeport-McMoRan Copper & Gold, Inc., Class B

   

   

361,969

   

 

35,090

 

Georgia-Pacific Corp.

   

   

541,790

   

 

8,655

 

Great Lakes Chemical Corp.

   

   

212,567

   

 

15,158

2

Hercules, Inc.

   

   

153,854

   

 

16,442

 

International Flavors & Fragrances, Inc.

   

   

522,527

   

 

83,626

 

International Paper Co.

   

   

2,989,630

   

 

17,882

2

Louisiana-Pacific Corp.

   

   

144,487

   

 

39,928

3

MeadWestvaco Corp.

   

   

941,902

   

 

51,277

 

Monsanto Co.

   

   

892,220

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Materials--continued

 

58,813

 

Newmont Mining Corp.

   

$ 

1,589,127

   

 

15,867

 

Nucor Corp.

   

   

648,167

   

 

27,442

 

PPG Industries, Inc.

   

   

1,331,211

   

 

27,508

2

Pactiv Corp.

   

   

564,464

   

 

15,466

2,3

Phelps Dodge Corp.

   

   

482,385

   

 

28,195

 

Praxair, Inc.

   

   

1,637,566

   

 

38,458

 

Rohm & Haas Co.

   

   

1,273,344

   

 

11,825

2,3

Sealed Air Corp.

   

   

506,701

   

 

10,180

 

Sigma-Aldrich Corp.

   

   

507,168

   

 

7,462

 

Temple-Inland, Inc.

   

   

338,029

   

 

18,210

 

United States Steel Corp.

   

   

260,767

   

 

17,706

3

Vulcan Materials Co.

   

   

619,179

   

 

55,320

 

Weyerhaeuser Co.

   

   

2,743,319

   

 

12,363

 

Worthington Industries, Inc.

   

   

166,035

   

 

 

 

TOTAL

   

   

39,250,933

   

 

 

 

Telecommunication Services--3.5%

   

   

   

   

 

109,267

 

AT&T Corp.

   

   

1,863,002

   

 

471,865

2,3

AT&T Wireless Services, Inc.

   

   

3,048,248

   

 

75,446

 

Alltel Corp.

   

   

3,535,400

   

 

294,202

 

BellSouth Corp.

   

   

7,499,209

   

 

32,630

3

CenturyTel, Inc.

   

   

960,954

   

 

40,638

2

Citizens Communications Co., Class B

   

   

444,173

   

 

136,136

2,3

NEXTEL Communications, Inc., Class A

   

   

2,013,451

   

 

426,872

2

Qwest Communications International, Inc.

   

   

1,609,307

   

 

582,347

 

SBC Communications, Inc.

   

   

13,603,626

   

 

157,001

3

Sprint Corp.

   

   

1,807,082

   

 

140,352

2

Sprint PCS Group

   

   

491,232

   

 

480,974

 

Verizon Communications

   

   

17,978,808

   

 

 

 

TOTAL

   

   

54,854,492

   

 

 

 

Utilities--2.7%

   

   

   

   

 

78,139

2

AES Corp.

   

   

469,615

   

 

22,243

2,3

Allegheny Energy, Inc.

   

   

184,617

   

 

21,757

 

Ameren Corp.

   

   

891,602

   

 

66,004

3

American Electric Power Co., Inc.

   

   

1,741,186

   

 

24,692

2,3

CMS Energy Corp.

   

   

153,831

   

 

54,446

2,3

Calpine Corp.

   

   

292,375

   

 

54,314

 

CenterPoint Energy, Inc.

   

   

429,081

   

 

29,247

 

Cinergy Corp.

   

   

998,493

   

Shares

  

  

Value

   

 

 

 

COMMON STOCKS--continued1

 

 

 

 

Utilities--continued

 

37,341

3

Consolidated Edison Co.

   

$ 

1,451,445

   

 

28,524

 

Constellation Energy Group

   

   

835,183

   

 

23,667

 

DTE Energy Co.

   

   

954,253

   

 

53,607

 

Dominion Resources, Inc.

   

   

3,172,462

   

 

155,132

3

Duke Energy Corp.

   

   

2,728,772

   

 

53,558

 

Dynegy, Inc.

   

   

235,655

   

 

63,958

2,3

Edison International

   

   

933,147

   

 

86,239

3

El Paso Corp.

   

   

646,792

   

 

38,682

 

Entergy Corp.

   

   

1,802,968

   

 

56,319

 

Exelon Corp.

   

   

2,987,160

   

 

31,891

 

FPL Group, Inc.

   

   

1,941,205

   

 

58,784

 

FirstEnergy Corp.

   

   

1,982,784

   

 

27,456

 

KeySpan Corp.

   

   

929,935

   

 

21,113

 

Kinder Morgan, Inc.

   

   

992,733

   

 

58,136

2

Mirant Corp.

   

   

192,430

   

 

7,489

3

NICOR, Inc.

   

   

225,119

   

 

34,180

3

NiSource, Inc.

   

   

646,002

   

 

70,336

2,3

P G & E Corp.

   

   

1,053,633

   

 

32,287

 

PPL Corp.

   

   

1,168,789

   

 

6,157

 

Peoples Energy Corp.

   

   

239,199

   

 

12,818

3

Pinnacle West Capital Corp.

   

   

425,814

   

 

33,507

 

Progress Energy, Inc.

   

   

1,399,922

   

 

38,769

 

Public Service Enterprises Group, Inc.

   

   

1,491,443

   

 

44,241

3

Sempra Energy

   

   

1,187,428

   

 

153,886

3

Southern Co.

   

   

4,476,544

   

 

25,288

3

TECO Energy, Inc.

   

   

272,857

   

 

45,558

3

TXU Corp.

   

   

907,515

   

 

92,561

 

Williams Cos., Inc. (The)

   

   

643,299

   

 

56,124

3

Xcel Energy, Inc.

   

   

758,796

   

 

 

 

TOTAL

   

   

41,844,084

   

 

 

 

TOTAL COMMON STOCKS (IDENTIFIED COST $987,649,995)

   

   

1,494,700,251

   

Principal
Amount
or Shares

  

  

Value

   

 

 

 

U.S. TREASURY--0.4%5

   

   

   

   

$

5,850,000

 

United States Treasury Bill, 7/17/2003 (identified cost $5,835,275)

   

$ 

5,836,428

   

 

 

 

MUTUAL FUNDS--7.4%

   

   

   

   

 

45,556,052

 

Prime Value Obligations Fund, Class IS

   

   

45,556,052

   

 

69,010,834

 

Prime Value Obligations Fund, Class IS (held as collateral for securities lending)

   

   

69,010,834

   

 

 

 

TOTAL MUTAL FUNDS (AT NET ASSET VALUE)

   

   

114,566,886

   

 

 

 

TOTAL INVESTMENTS--104.4% (IDENTIFIED COST $1,108,052,156)6

   

   

1,615,103,565

   

 

 

 

OTHER ASSETS AND LIABILITIES - NET--(4.4)%

   

   

(67,367,102

)

 

 

 

TOTAL NET ASSETS--100%

   

$

1,547,736,463

   

1 The Fund purchases index futures contracts to efficiently manage cash flows resulting from shareholder purchases and redemptions, dividend and capital gain payments to shareholders and corporate actions while maintaining exposure to the Index and minimizing trading costs. The total market value of open index futures contracts is $53,133,800 at April 30, 2003, which represents 3.4% of total net assets. Taking into consideration these open index futures contracts, the Fund's effective total exposure to the Index is 100.0%.

2 Non-income producing security.

3 Certain shares are temporarily on loan to unaffiliated broker/dealers.

4 Represents less than one share.

5 Represents a security held as collateral which is used to ensure the Fund is able to satisfy the obligations of its outstanding long futures contracts.

6 The cost of investments for federal tax purposes amounts to $1,108,052,156.

Note: The categories of investments are shown as a percentage of total net assets at April 30, 2003.

The following acronym is used throughout this portfolio:

ADR

--American Depositary Receipt

See Notes which are an integral part of the Financial Statements

Statement of Assets and Liabilities

April 30, 2003 (unaudited)

Assets:

  

   

   

  

   

   

   

Total investments in securities, at value including $66,277,754 of securities loaned (identified cost $1,108,052,156)

   

   

   

   

$

1,615,103,565

   

Cash

   

   

   

   

   

979,725

   

Income receivable

   

   

   

   

   

1,553,874

   

Receivable for investments sold

   

   

   

   

   

35,793

   

Receivable for shares sold

   

   

   

   

   

1,440,750

   

TOTAL ASSETS

   

   

   

   

   

1,619,113,707

   

Liabilities:

   

   

   

   

   

   

   

Payable for investments purchased

   

$

126,805

   

   

   

   

Payable for shares redeemed

   

   

1,987,736

   

   

   

   

Payable on collateral due to broker

   

   

69,010,834

   

   

   

   

Accrued expenses

   

   

251,869

   

   

   

   

TOTAL LIABILITIES

   

   

   

   

   

71,377,244

   

Net assets for 83,373,866 shares outstanding

   

   

   

   

$

1,547,736,463

   

Net Assets Consist of:

   

   

   

   

   

   

   

Paid in capital

   

   

   

   

$

1,221,372,871

   

Net unrealized appreciation of investments and futures contracts

   

   

   

   

   

508,577,924

   

Accumulated net realized loss on investments and futures contracts

   

   

   

   

   

(183,562,152

)

Undistributed net investment income

   

   

   

   

   

1,347,820

   

TOTAL NET ASSETS

   

   

   

   

$

1,547,736,463

   

Net Asset Value, Offering Price and Redemption Proceeds Per Share

   

   

   

   

   

   

   

Institutional Shares:

   

   

   

   

   

   

   

Net asset value and offering price per share ($895,641,220 ÷ 48,195,581 shares outstanding)

   

   

   

   

   

$18.58

   

Redemption proceeds per share

   

   

   

   

   

$18.58

   

Institutional Service Shares:

   

   

   

   

   

   

   

Net asset value and offering price per share $565,323,647 ÷ 30,486,479 shares outstanding

   

   

   

   

   

$18.54

   

Redemption proceeds per share

   

   

   

   

   

$18.54

   

Class C Shares:

   

   

   

   

   

   

   

Net asset value per share ($86,771,335 ÷ 4,691,792 shares outstanding)

   

   

   

   

   

$18.49

   

Offering price per share (100/99.00 of $18.49)1

   

   

   

   

   

$18.68

   

Redemption proceeds per share (99.00/100 of $18.49)1

   

   

   

   

   

$18.31

   

Class K Shares:

   

   

   

   

   

   

   

Net asset value and offering price per share ($260.61 ÷ 14.024 shares outstanding

   

   

   

   

   

$18.58

   

Redemption proceeds per share

   

   

   

   

   

$18.58

   

1 See "What Do Shares Cost?" in the Prospectus.

See Notes which are an integral part of the Financial Statements

Statement of Operations

Six Months Ended April 30, 2003 (unaudited)

Investment Income:

  

   

   

   

  

   

   

   

  

   

   

   

Dividends

   

   

   

   

   

   

   

   

   

$

12,490,684

   

Interest (including income on securities loaned of $105,811)

   

   

   

   

   

   

   

   

   

   

325,544

   

TOTAL INCOME

   

   

   

   

   

   

   

   

   

   

12,816,228

   

Expenses:

   

   

   

   

   

   

   

   

   

   

   

   

Management fee

   

   

   

   

   

$

2,108,417

   

   

   

   

   

Custodian fees

   

   

   

   

   

   

62,623

   

   

   

   

   

Transfer and dividend disbursing agent fees and expenses--Institutional Shares

   

   

   

   

   

   

268,384

   

   

   

   

   

Transfer and dividend disbursing agent fees and expenses--Institutional Service Shares

   

   

   

   

   

   

139,322

   

   

   

   

   

Transfer and dividend disbursing agent fees and expenses--Class C Shares

   

   

   

   

   

   

29,329

   

   

   

   

   

Transfer and dividend disbursing agent fees and expenses--Class K Shares

   

   

   

   

   

   

0

1

   

   

   

   

Directors'/Trustees' fees

   

   

   

   

   

   

8,279

   

   

   

   

   

Auditing fees

   

   

   

   

   

   

6,942

   

   

   

   

   

Legal fees

   

   

   

   

   

   

2,367

   

   

   

   

   

Portfolio accounting fees

   

   

   

   

   

   

88,408

   

   

   

   

   

Distribution services fee--Institutional Service Shares

   

   

   

   

   

   

680,165

   

   

   

   

   

Distribution services fee--Class C Shares

   

   

   

   

   

   

317,184

   

   

   

   

   

Distribution services fee--Class K Shares

   

   

   

   

   

   

0

1

   

   

   

   

Shareholder services fee--Institutional Shares

   

   

   

   

   

   

1,084,482

   

   

   

   

   

Shareholder services fee--Institutional Service Shares

   

   

   

   

   

   

566,804

   

   

   

   

   

Shareholder services fee--Class C Shares

   

   

   

   

   

   

105,728

   

   

   

   

   

Share registration costs

   

   

   

   

   

   

36,974

   

   

   

   

   

Printing and postage

   

   

   

   

   

   

51,856

   

   

   

   

   

Insurance premiums

   

   

   

   

   

   

1,384

   

   

   

   

   

Miscellaneous

   

   

   

   

   

   

6,573

   

   

   

   

   

TOTAL EXPENSES

   

   

   

   

   

   

5,565,221

   

   

   

   

   

Waivers And Reimbursement:

   

   

   

   

   

   

   

   

   

   

   

   

Waiver of management fee

   

$

(362,650

)

   

   

   

   

   

   

   

   

Waiver of transfer and dividend disbursing agent fees and expenses

   

   

(11,843

)

   

   

   

   

   

   

   

   

Waiver of distribution services fee--Institutional Service Shares

   

   

(566,804

)

   

   

   

   

   

   

   

   

Waiver of shareholder services fee-Institutional Shares

   

   

(1,084,482

)

   

   

   

   

   

   

   

   

Reimbursement of management fee

   

   

(2,911

)

   

   

   

   

   

   

   

   

TOTAL WAIVERS AND REIMBURSEMENT

   

   

   

   

   

   

(2,028,690

)

   

   

   

   

Net expenses

   

   

   

   

   

   

   

   

   

   

3,536,531

   

Net investment income

   

   

   

   

   

   

   

   

   

   

9,279,697

   

Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:

Net realized loss on investments

   

   

   

   

   

   

   

   

   

   

(39,606,191

)

Net realized loss on future contracts

   

   

   

   

   

   

   

   

   

   

(932,924

)

Net change in unrealized appreciation of investments and futures contracts

   

   

   

   

   

   

   

   

   

   

98,689,507

   

Net increase due to reimbursements from sub-manager for certain losses on investments

   

   

   

   

   

   

   

   

   

   

63,824

   

Net realized and unrealized gain on investments and futures contracts

   

   

   

   

   

   

   

   

   

   

58,214,216

   

Change in net assets resulting from operations

   

   

   

   

   

   

   

   

   

$

67,493,913

   

1 Amount represents less than $1.

See Notes which are an integral part of the Financial Statements

Statement of Changes in Net Assets

 

  

Six Months
Ended
(unaudited)
4/30/2003

   

  

Year Ended
10/31/2002

   

Increase (Decrease) in Net Assets

   

   

   

   

   

   

   

   

Operations:

   

   

   

   

   

   

   

   

Net investment income

   

$

9,279,697

   

   

$

18,969,912

   

Net realized loss on investments and futures contracts

   

   

(40,539,115

)

   

   

(52,055,054

)

Net change in unrealized appreciation/depreciation of investments and futures contracts

   

   

98,689,507

   

   

   

(231,122,406

)

Net increase due to reimbursements from sub-manager for certain losses on investments

   

   

63,824

   

   

   

--

   

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS

   

   

67,493,913

   

   

   

(264,207,548

)

Distributions to Shareholders:

   

   

   

   

   

   

   

   

Distributions from net investment income

   

   

   

   

   

   

   

   

Institutional Shares

   

   

(6,527,114

)

   

   

(13,543,574

)

Institutional Service Shares

   

   

(2,957,807

)

   

   

(4,824,801

)

Class C Shares

   

   

(219,559

)

   

   

(201,421

)

CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS

   

   

(9,704,480

)

   

   

(18,569,796

)

Share Transactions:

   

   

   

   

   

   

   

   

Proceeds from sale of shares

   

   

503,620,016

   

   

   

546,629,146

   

Net asset value of shares issued to shareholders in payment of distributions declared

   

   

6,812,450

   

   

   

12,178,872

   

Cost of shares redeemed

   

   

(440,686,263

)

   

   

(774,869,659

)

CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS

   

   

69,746,203

   

   

   

(216,061,641

)

Change in net assets

   

   

127,535,636

   

   

   

(498,838,985

)

Net Assets:

   

   

   

   

   

   

   

   

Beginning of period

   

   

1,420,200,827

   

   

   

1,919,039,812

   

End of period (including undistributed net investment income of $1,347,820 and $1,772,603, respectively)

   

$

1,547,736,463

   

   

$

1,420,200,827

   

See Notes which are an integral part of the Financial Statements

Notes to Financial Statements

April 30, 2003 (unaudited)

ORGANIZATION

Federated Index Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end, management investment company. The Trust consists of three portfolios. The financial statements included herein are only those of Federated Max-Cap Index Fund (the "Fund"), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. The Fund offers four classes of shares: Institutional Shares, Institutional Service Shares, Class C Shares, and Class K Shares. Effective April 8, 2003, the Fund added Class K Shares. The investment objective of the Fund is to provide investment results that generally correspond to the aggregate price and dividend performance of publicly-traded common stocks comprising the Standard & Poor's 500 Composite Stock Price Index.

SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles ("GAAP").

Investment Valuation

Listed equity securities are valued at the last sale price reported on a national securities exchange. Short-term securities are valued at the prices provided by an independent pricing service. However, short-term securities with remaining maturities of 60 days or less at the time of purchase may be valued at amortized cost, which approximates fair market value. Investments in other open-end regulated investment companies are valued at net asset value. Securities for which no quotations are readily available are valued at fair value as determined in good faith using methods approved by the Board of Trustees (the "Trustees").

Repurchase Agreements

It is the policy of the Fund to require the custodian bank to take possession, to have legally segregated in the Federal Reserve Book Entry System, or to have segregated within the custodian bank's vault, all securities held as collateral under repurchase agreement transactions. Additionally, procedures have been established by the Fund to monitor, on a daily basis, the market value of each repurchase agreement's collateral to ensure that the value of collateral at least equals the repurchase price to be paid under the repurchase agreement.

The Fund will only enter into repurchase agreements with banks and other recognized financial institutions, such as broker/dealers, which are deemed by the Fund's manager to be creditworthy pursuant to the guidelines and/or standards reviewed or established by the Trustees. Risks may arise from the potential inability of counterparties to honor the terms of the repurchase agreement. Accordingly, the Fund could receive less than the repurchase price on the sale of collateral securities. The Fund, along with other affiliated investment companies, may utilize a joint trading account for the purpose of entering into one or more repurchase agreements.

Investment Income, Expenses and Distributions

Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair value. The Fund offers multiple classes of shares, which differ in their respective transfer and dividend disbursing agent, distribution and service fees. All shareholders bear the common expenses of the Fund based on average daily net assets of each class, without distinction between share classes. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in separate class expenses.

Premium and Discount Amortization

All premiums and discounts on fixed income securities are amortized/accreted for financial statement purposes.

Federal Taxes

It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (the "Code") and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal tax is necessary.

When-Issued and Delayed Delivery Transactions

The Fund may engage in when-issued or delayed delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

Futures Contracts

The Fund purchases stock index futures contracts to manage cashflows, enhance yield, and to potentially reduce transaction costs. Upon entering into a stock index futures contract with a broker, the Fund is required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a "variation margin" account. Daily, the Fund receives from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Fund recognizes a realized gain or loss. For the six months ended April 30, 2003, the Fund had realized losses on futures contracts of $932,924.

Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities.

At April 30, 2003, the Fund had outstanding futures contracts as set forth below:

Expiration Date

  

Contracts to Receive

  

Position

  

Unrealized
Appreciation

June 2003

 

232 S&P 500 Index Futures

 

Long

   

$1,526,515

Securities Lending

The Fund participates in a securities lending program providing for the lending of corporate bonds, equity and government securities to qualified brokers. Collateral for securities loaned is invested in an affiliated money market fund. Collateral is maintained at a minimum level of 102% of the market value on investments loaned, plus interest, if applicable. Earnings on collateral are allocated between the custodian securities lending agent, as a fee for its services under the program, and the Fund, according to agreed-upon rates.

As of April 30, 2003, securities subject to this type of arrangement and related collateral were as follows:

Market Value of Securities Loaned

  

Market Value of Collateral

$66,277,754

   

$69,010,834

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ from those estimated.

Other

Investment transactions are accounted for on a trade date basis.

SHARES OF BENEFICIAL INTEREST

The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value) for each class of shares.

Transactions in shares were as follows:

Six Months Ended
4/30/2003

Year Ended
10/31/2002

Institutional Shares:

  

Shares

  

Amount

  

Shares

  

Amount

Shares sold

   

8,143,947

   

   

$

146,138,532

   

   

14,188,299

   

   

$

284,289,685

   

Shares issued to shareholders in payment of distributions declared

   

216,853

   

   

   

3,856,491

   

   

372,258

   

   

   

7,610,990

   

Shares redeemed

   

(10,629,172

)

   

   

(190,174,620

)

   

(21,213,018

)

   

   

(435,881,119

)

NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS

   

(2,268,372

)

   

$

(40,179,597

)

   

(6,652,461

)

   

$

(143,980,444

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
4/30/2003

Year Ended
10/31/2002

Institutional Service Shares:

  

Shares

Amount

Shares

Amount

Shares sold

   

19,980,948

   

   

$

348,636,861

   

   

10,990,773

   

   

$

230,571,516

   

Shares issued to shareholders in payment of distributions declared

   

156,473

   

   

   

2,770,798

   

   

216,124

   

   

   

4,399,518

   

Shares redeemed

   

(13,378,279

)

   

   

(237,388,023

)

   

(14,452,023

)

   

   

(301,626,281

)

NET CHANGE RESULTING FROM INSTITUTIONAL SERVICE SHARE TRANSACTIONS

   

6,759,142

   

   

$

114,019,636

   

   

(3,245,126

)

   

$

(66,655,247

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
4/30/2003

Year Ended
10/31/2002

Class C Shares:

Shares

Amount

Shares

Amount

Shares sold

   

496,347

   

   

$

8,844,373

   

   

1,516,165

   

   

$

31,767,945

   

Shares issued to shareholders in payment of distributions declared

   

10,460

   

   

   

185,161

   

   

8,706

   

   

   

168,364

   

Shares redeemed

   

(740,216

)

   

   

(13,123,618

)

   

(1,827,851

)

   

   

(37,362,259

)

NET CHANGE RESULTING FROM CLASS C SHARE TRANSACTIONS

   

(233,409

)

   

$

(4,094,084

)

   

(302,980

)

   

$

(5,425,950

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period Ended
4/30/20031

Class K Shares:

Shares

Amount

Shares sold

   

14

   

   

$

250

   

   

   

   

   

   

   

   

Shares redeemed

   

--

   

   

   

(2

)

   

   

   

   

   

   

   

NET CHANGE RESULTING FROM CLASS K SHARE TRANSACTIONS

   

14

   

   

$

248

   

   

   

   

   

   

   

   

NET CHANGE RESULTING FROM SHARE TRANSACTIONS

   

4,257,375

   

   

$

69,746,203

   

   

(10,200,567

)

   

$

(216,061,641

)

1 Reflects operations for the period from April 8, 2003 (start of performance) to April 30, 2003.

FEDERAL TAX INFORMATION

At April 30, 2003, the cost of investments for federal tax purposes was $1,108,052,156. The net unrealized appreciation of investments for federal tax purposes was $507,051,409. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $624,943,834 and net unrealized depreciation from investments for those securities having an excess of cost over value of $117,892,425.

At October 31, 2002, the Fund had a capital loss carryforward of $107,480,442, which will reduce the Fund's taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal tax. Pursuant to the Code, such capital loss carryforward will expire as follows:

Expiration Year

  

Expiration Amount

2008

   

$49,445,607

2009

   

$38,257,525

2010

   

$19,777,310

MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Management Fee

Federated Investment Management Company, the Fund's manager (the "Manager"), receives for its services an annual investment management fee equal to 0.30% of the Fund's average daily net assets. The Manager may voluntarily choose to waive any portion of its fee. The Manager can modify or terminate this voluntary waiver at any time at its sole discretion. Under the terms of a sub-management agreement between the Manager and Fund Asset Management L.P., doing business as Mercury Advisors, an indirect, wholly owned subsidiary of Merrill Lynch & Co., Inc. (the "Sub-Manager"), the Sub-Manager receives an annual fee from the Manager equal to 0.015% times 80% of the Fund's average daily net assets plus 0.150% times 20% of the Fund's average daily net assets. Prior to March 27, 2003, the sub-manager was Deutsche Asset Management, Inc.

Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund may invest in Prime Value Obligations Fund, which is managed by the Manager. The Manager has agreed to reimburse certain investment management fees as a result of these transactions.

Shareholder Services Fee

Under the terms of a Shareholder Services Agreement with Federated Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25% of average daily net assets of the Fund's Institutional Shares, Institutional Service Shares and Class C Shares for the period. The fee paid to FSSC is used to finance certain services for shareholders and to maintain shareholder accounts. FSSC may voluntarily choose to waive any portion of its fee. FSSC can modify or terminate this voluntary waiver at any time at its sole discretion.

Distribution Services Fee

The Fund has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. Under the terms of the Plan, the Fund will compensate Federated Securities Corp. ("FSC"), the principal distributor, from the net assets of the Fund to finance activities intended to result in the sale of the Fund's Institutional Service Shares, Class C Shares and Class K Shares. The Plan provides that the Fund may incur distribution expenses according to the following schedule annually, to compensate FSC. FSC may voluntarily choose to waive any portion of its fee. FSC can modify or terminate this voluntary waiver at any time at its sole discretion.

Share Class Name

  

Percentage of Average Daily
Net Assets of Class

Institutional Service Shares

 

0.30%

Class C Shares

 

0.75%

Class K Shares

 

0.50%

Transfer and Dividend Disbursing Agent Fees and Expenses

Federated Services Company ("FServ"), through its subsidiary FSSC, serves as transfer and dividend disbursing agent for the Fund. The fee paid to FSSC is based on the size, type and number of accounts and transactions made by shareholders. FSSC may voluntarily choose to waive any portion of its fee. FSSC can modify or terminate this voluntary waiver at any time at its sole discretion.

Portfolio Accounting Fees

FServ maintains the Fund's accounting records for which it receives a fee. The fee is based on the level of the Fund's average daily net assets for the period, plus out-of-pocket expenses.

General

Certain of the Officers and Trustees of the Trust are Officers and Directors or Trustees of the above companies.

INVESTMENT TRANSACTIONS

Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations (and in-kind contributions), for the six months ended April 30, 2003, were as follows:

Purchases

  

$

218,701,662

Sales

   

$

180,556,651

OTHER

The Fund's former sub-manager, Deutsche Asset Management, Inc. made a voluntary contribution to the Fund of $63,824 for losses on investments inadvertently purchased that did not meet the investment guidelines of the Fund.

Mutual funds are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.

This report is authorized for distribution to prospective investors only when preceded or accompanied by the fund's prospectus, which contains facts concerning its objective and policies, management fees, expenses and other information.

IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY

In an effort to reduce costs and avoid duplicate mailings, the Fund(s) intend to deliver a single copy of certain documents to each household in which more than one shareholder of the Fund(s) resides (so-called "householding"), as permitted by applicable rules. The Fund's "householding" program covers its/their Prospectus and Statement of Additional Information, and supplements to each, as well as Semi-Annual and Annual Reports and any Proxies or information statements. Shareholders must give their written consent to participate in the householding program. The Fund is also permitted to treat a shareholder as having given consent ("implied consent") if (i) shareholders with the same last name, or believed to be members of the same family, reside at the same street address or receive mail at the same post office box, (ii) the Fund gives notice of its intent to "household" at least sixty (60) days before it begins "householding" and (iii) none of the shareholders in the household have notified the Fund(s) or their agent of the desire to "opt out" of householding. Shareholders who have granted written consent, or have been deemed to have granted implied consent, can revoke that consent and opt out of householding at any time by calling 1-800-341-7400.

Federated Investors
World-Class Investment Manager

Federated Max-Cap Index Fund
Federated Investors Funds
5800 Corporate Drive
Pittsburgh, PA 15237-7000
www.federatedinvestors.com

Contact us at 1-800-341-7400 or
www.federatedinvestors.com/contact

Federated Securities Corp., Distributor

Cusip 31420E106
Cusip 31420E403
Cusip 31420E502
Cusip 31420E809

Federated is a registered mark of Federated Investors, Inc. 2003 ©Federated Investors, Inc.

2052905 (6/03)

 

Federated Investors
World-Class Investment Manager

Federated Mid-Cap Index Fund

A Portfolio of Federated Index Trust

 



SEMI-ANNUAL SHAREHOLDER REPORT

April 30, 2003

FINANCIAL HIGHLIGHTS

FINANCIAL STATEMENTS

NOT FDIC INSURED * MAY LOSE VALUE * NO BANK GUARANTEE

Financial Highlights

(For a Share Outstanding Throughout Each Period)

   

   

Six Months
Ended
(unaudited)

   

   

Year Ended October 31,

  

4/30/2003

   

  

2002

   

  

2001

   

  

2000

   

  

1999

   

  

1998

   

Net Asset Value, Beginning of Period

   

$14.11

   

   

$15.26

   

   

$20.13

   

   

$17.63

   

   

$16.53

   

   

$17.17

   

Income From Investment Operations:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net investment income

   

0.05

   

   

0.10

   

   

0.11

   

   

0.17

   

   

0.16

   

   

0.20

   

Net realized and unrealized gain (loss) on investments and futures contracts

   

0.47

   

   

(0.90

)

   

(2.51

)

   

4.71

   

   

2.92

   

   

0.74

   

TOTAL FROM INVESTMENT OPERATIONS

   

0.52

   

   

(0.80

)

   

(2.40

)

   

4.88

   

   

3.08

   

   

0.94

   

Less Distributions:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Distributions from net investment income

   

(0.06

)

   

(0.10

)

   

(0.14

)

   

(0.16

)

   

(0.15

)

   

(0.20

)

Distributions from net realized gain on investments and futures contracts

   

--

   

   

(0.25

)

   

(2.33

)

   

(2.22

)

   

(1.83

)

   

(1.38

)

TOTAL DISTRIBUTIONS

   

(0.06

)

   

(0.35

)

   

(2.47

)

   

(2.38

)

   

(1.98

)

   

(1.58

)

Net Asset Value, End of Period

   

$14.57

   

   

$14.11

   

   

$15.26

   

   

$20.13

   

   

$17.63

   

   

$16.53

   

Total Return1

   

3.67

%

   

(5.47

)%

   

(12.97

)%

   

30.40

%

   

20.23

%

   

5.73

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Expenses

   

0.49

%2

   

0.50

%

   

0.58

%

   

0.57

%

   

0.60

%

   

0.61

%

Net investment income

   

0.76

%2

   

0.66

%

   

0.72

%

   

1.03

%

   

0.98

%

   

1.12

%

Expense waiver/reimbursement3

   

0.28

%2

   

0.23

%

   

0.22

%

   

0.22

%

   

0.22

%

   

0.28

%

Supplemental Data:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net assets, end of period (000 omitted)

   

$411,788

   

$364,656

   

$304,982

   

$213,466

   

$110,100

   

$83,630

   

Portfolio turnover

   

8

%

   

40

%

   

30

%

   

38

%

   

40

%

   

25

%

1 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.

2 Computed on an annualized basis.

3 This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above.

See Notes which are an integral part of the Financial Statements

Portfolio of Investments

April 30, 2003 (unaudited)

Shares

  

  

Value

 

 

 

COMMON STOCKS--94.5%1

   

   

   

 

 

 

Consumer Discretionary--16.4%

   

   

   

 

37,366

2,3

99 Cents Only Stores

   

$

1,100,802

 

52,100

2

Abercrombie & Fitch Co., Class A

   

   

1,713,048

 

38,250

2

American Eagle Outfitters, Inc.

   

   

669,375

 

29,500

3

Applebee's International, Inc.

   

   

808,300

 

36,200

3

ArvinMeritor, Inc.

   

   

572,684

 

37,400

2,3

BJ's Wholesale Club, Inc.

   

   

528,088

 

10,200

 

Bandag, Inc.

   

   

355,470

 

36,000

2,3

Barnes & Noble, Inc.

   

   

709,200

 

60,100

 

Belo (A.H.) Corp., Series A

   

   

1,352,851

 

24,700

3

Blyth Industries, Inc.

   

   

651,586

 

18,800

 

Bob Evans Farms, Inc.

   

   

476,956

 

42,400

2

Borders Group, Inc.

   

   

678,400

 

14,300

3

Borg-Warner Automotive, Inc.

   

   

838,981

 

51,912

2

Brinker International, Inc.

   

   

1,648,206

 

26,550

3

CBRL Group, Inc.

   

   

846,414

 

44,800

2

CDW Computer Centers, Inc.

   

   

1,910,272

 

40,500

3

Callaway Golf Co.

   

   

564,165

 

55,000

2,3

CarMax, Inc.

   

   

1,163,250

 

29,000

2

Catalina Marketing Corp.

   

   

517,070

 

27,000

2,3

Cheesecake Factory, Inc.

   

   

852,930

 

45,300

2,3

Chicos Fas, Inc.

   

   

1,102,602

 

26,050

 

Claire's Stores, Inc.

   

   

677,039

 

72,495

 

Clayton Homes, Inc.

   

   

899,663

 

47,400

2

Coach, Inc.

   

   

2,062,374

 

49,200

2,3

Copart, Inc.

   

   

415,248

 

78,150

 

D. R. Horton, Inc.

   

   

1,852,155

 

60,900

2

Dollar Tree Stores, Inc.

   

   

1,549,905

 

28,400

2,3

Emmis Communications, Corp., Class A

   

   

538,748

 

26,600

2

Entercom Communication Corp.

   

   

1,292,494

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

50,000

2

Extended Stay America, Inc.

   

$ 

593,000

 

25,500

 

Federal Signal Corp.

   

   

440,640

 

30,000

2,3

Furniture Brands International, Inc.

   

   

712,500

 

40,600

2,3

Gentex Corp.

   

   

1,226,120

 

30,500

2

Gtech Holdings Corp.

   

   

1,026,935

 

48,600

3

Harte-Hanks

   

   

874,800

 

58,100

2

Hispanic Broadcasting Corp.

   

   

1,490,265

 

28,400

3

International Speedway Corp., Class A

   

   

1,116,404

 

29,600

2

Krispy Kreme Doughnuts, Inc.

   

   

961,408

 

35,100

2

Lear Corp.

   

   

1,394,874

 

23,600

3

Lee Enterprises, Inc.

   

   

846,532

 

38,060

3

Lennar Corp., Class A

   

   

2,064,374

 

25,800

2,3

Macrovision Corp.

   

   

455,886

 

35,100

2

Mandalay Resort Group

   

   

927,342

 

12,400

 

Media General, Inc., Class A

   

   

681,504

 

35,800

2,3

Michaels Stores, Inc.

   

   

1,118,392

 

18,000

 

Modine Manufacturing Co.

   

   

363,600

 

35,400

2,3

Mohawk Industries, Inc.

   

   

1,963,638

 

25,600

2,3

Neiman-Marcus Group, Inc., Class A

   

   

820,480

 

40,400

 

Outback Steakhouse, Inc.

   

   

1,443,896

 

160,400

2

Park Place Entertainment Corp.

   

   

1,193,376

 

36,069

2

Payless ShoeSource, Inc.

   

   

572,054

 

73,500

2,3

PetSmart, Inc.

   

   

1,112,055

 

49,400

 

Pier 1 Imports, Inc.

   

   

916,864

 

52,200

 

Readers Digest Association, Inc., Class A

   

   

626,400

 

41,500

 

Ross Stores, Inc.

   

   

1,572,850

 

34,100

 

Ruby Tuesday, Inc.

   

   

671,770

 

76,336

2

Saks, Inc.

   

   

683,207

 

20,900

2,3

Scholastic Corp.

   

   

593,769

 

49,400

2,3

Six Flags, Inc.

   

   

290,472

 

14,700

 

Superior Industries International, Inc.

   

   

581,532

 

19,700

2

Timberland Co., Class A

   

   

984,803

 

37,500

2,3

Toll Brothers, Inc.

   

   

871,875

 

29,100

2

Unifi, Inc.

   

   

173,145

 

40,900

2

United Rentals, Inc.

   

   

421,270

 

5,100

 

Washington Post Co., Class B

   

   

3,717,900

 

56,600

2

Westwood One, Inc.

   

   

1,975,340

 

61,900

2

Williams-Sonoma, Inc.

   

   

1,601,972

 

 

 

TOTAL

   

   

67,431,520

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Consumer Staples--4.8%

   

   

   

 

21,300

3

Church and Dwight, Inc.

   

$ 

670,311

 

48,200

2

Constellation Brands, Inc., Class A

   

   

1,292,242

 

48,666

2,3

Dean Foods Co.

   

   

2,118,431

 

50,700

 

Dial Corp.

   

   

1,056,081

 

18,600

3

Dreyers Grand Ice Cream, Inc.

   

   

1,188,168

 

46,625

2

Energizer Holdings, Inc.

   

   

1,343,733

 

74,000

3

Hormel Foods Corp.

   

   

1,702,740

 

23,600

 

Interstate Bakeries Corp.

   

   

247,092

 

19,449

 

Lancaster Colony Corp.

   

   

831,056

 

20,400

3

Longs Drug Stores Corp.

   

   

315,996

 

80,200

 

PepsiAmericas, Inc.

   

   

1,001,698

 

24,800

 

Ruddick Corp.

   

   

330,088

 

25,300

3

Sensient Technologies Corp.

   

   

559,130

 

58,400

2

Smithfield Foods, Inc.

   

   

1,144,640

 

26,418

3

Smucker (J.M.) Co.

   

   

958,445

 

28,342

3

Tootsie Roll Industries, Inc.

   

   

821,351

 

188,227

3

Tyson Foods, Inc., Class A

   

   

1,812,626

 

13,700

 

Universal Corp.

   

   

534,985

 

30,700

2,3

Whole Foods Market, Inc.

   

   

1,822,352

 

 

 

TOTAL

   

   

19,751,165

 

 

 

Energy--6.6%

   

   

   

 

29,000

2

Cooper Cameron Corp.

   

   

1,387,940

 

79,500

 

ENSCO International, Inc.

   

   

2,019,300

 

34,828

2

FMC Technologies, Inc.

   

   

655,463

 

25,100

2,3

Forest Oil Corp.

   

   

521,578

 

64,566

2

Grant Prideco, Inc.

   

   

736,698

 

35,500

2

Hanover Compressor Co.

   

   

298,555

 

26,700

3

Helmerich & Payne, Inc.

   

   

686,991

 

49,300

 

Murphy Oil Corp.

   

   

2,053,345

 

44,900

2

National-Oilwell, Inc.

   

   

942,451

 

30,600

 

Noble Energy, Inc.

   

   

1,015,920

 

18,400

3

Overseas Shipholding Group, Inc.

   

   

346,104

 

42,200

2

Patterson-UTI Energy, Inc.

   

   

1,396,398

 

62,400

2

Pioneer Natural Resources, Inc.

   

   

1,492,608

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Energy--continued

   

   

   

 

32,500

 

Pogo Producing Co.

   

$ 

1,287,000

 

71,700

2,3

Pride International, Inc.

   

   

1,112,784

 

54,200

2,3

Smith International, Inc.

   

   

1,927,352

 

32,300

3

Tidewater, Inc.

   

   

868,870

 

60,300

 

Valero Energy Corp.

   

   

2,216,025

 

51,682

2

Varco International, Inc.

   

   

909,086

 

69,466

2,3

Weatherford International Ltd.

   

   

2,794,617

 

17,600

 

Western Gas Resources, Inc.

   

   

645,568

 

96,600

 

XTO Energy, Inc.

   

   

1,883,700

 

 

 

TOTAL

   

   

27,198,353

 

 

 

Financials--19.2%

   

   

   

 

44,100

 

AMB Property Corp.

   

   

1,203,930

 

28,200

2

Allmerica Financial Corp.

   

   

431,460

 

20,800

3

AmerUs Group Co.

   

   

544,752

 

36,800

 

American Financial Group, Inc.

   

   

816,224

 

82,800

2,3

Americredit Corp.

   

   

562,212

 

39,815

 

Associated Banc Corp.

   

   

1,391,136

 

46,500

 

Astoria Financial Corp.

   

   

1,163,430

 

32,400

 

Bank of Hawaii Corp.

   

   

1,067,904

 

86,100

 

Banknorth Group, Inc.

   

   

2,056,068

 

23,700

 

Berkley, W. R. Corp.

   

   

1,100,628

 

36,900

3

Brown & Brown

   

   

1,319,913

 

26,600

 

City National Corp.

   

   

1,095,122

 

66,000

 

Colonial BancGroup, Inc.

   

   

840,180

 

36,000

3

Commerce Bancorp, Inc.

   

   

1,464,120

 

68,400

 

Compass Bancshares, Inc.

   

   

2,306,448

 

192,900

2,3

E*Trade Group, Inc.

   

   

1,060,950

 

37,000

 

Eaton Vance Corp.

   

   

1,102,600

 

42,087

 

Edwards (AG), Inc.

   

   

1,255,455

 

29,200

 

Everest Re Group Ltd.

   

   

2,033,780

 

55,470

 

Fidelity National Financial, Inc.

   

   

1,908,168

 

38,500

 

First American Financial Corp.

   

   

1,020,250

 

38,250

 

First Virginia Bank, Inc.

   

   

1,562,513

 

45,100

 

FirstMerit Corp.

   

   

924,550

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Financials--continued

   

   

   

 

26,100

3

GATX Corp

   

$

491,724

 

47,000

 

Gallagher (Arthur J.) & Co.

   

   

1,174,530

 

27,500

3

Greater Bay Bancorp

   

   

440,000

 

52,100

 

Greenpoint Financial Corp.

   

   

2,488,296

 

33,200

 

HCC Insurance Holdings, Inc.

   

   

913,000

 

84,100

 

Hibernia Corp., Class A

   

   

1,523,892

 

21,800

3

Horace Mann Educators Corp.

   

   

321,986

 

33,400

3

Hospitality Properties Trust

   

   

962,254

 

30,500

 

Independence Community Bank

   

   

797,575

 

29,400

 

IndyMac Bancorp, Inc.

   

   

655,032

 

25,549

2

Investment Technology Group, Inc.

   

   

365,095

 

34,400

3

Investors Financial Services Corp.

   

   

750,264

 

31,800

3

Labranche & Co. Inc.

   

   

527,244

 

34,600

3

Legg Mason, Inc.

   

   

1,878,780

 

31,000

 

Leucadia National Corp.

   

   

1,181,100

 

40,700

 

Liberty Property Trust

   

   

1,273,503

 

63,239

 

M & T Bank Corp.

   

   

5,341,798

 

30,700

3

Mack-Cali Realty Corp.

   

   

968,892

 

36,750

 

Mercantile Bankshares Corp.

   

   

1,408,995

 

25,000

3

Mony Group, Inc.

   

   

580,750

 

109,450

 

National Commerce Financial Corp.

   

   

2,226,213

 

37,200

 

Neuberger Berman, Inc.

   

   

1,142,040

 

51,700

3

New Plan Excel Realty Trust

   

   

1,032,966

 

57,200

3

New York Community Bancorp, Inc.

   

   

1,985,984

 

32,400

2,3

Ohio Casualty Corp.

   

   

405,810

 

64,300

 

Old Republic International Corp.

   

   

1,967,580

 

48,200

 

PMI Group, Inc.

   

   

1,485,524

 

36,600

 

Protective Life Corp.

   

   

1,051,518

 

26,000

3

Provident Financial Group, Inc.

   

   

614,900

 

49,900

 

Radian Group, Inc.

   

   

1,981,030

 

41,950

3

Roslyn Bancorp, Inc.

   

   

800,406

 

56,600

 

SEI Investments, Co.

   

   

1,490,278

 

20,700

2

Silicon Valley Bancshares

   

   

483,966

 

139,400

 

Sovereign Bancorp, Inc.

   

   

2,153,730

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Financials--continued

   

   

   

 

15,700

 

StanCorp Financial Group, Inc.

   

$ 

843,090

 

39,500

 

TCF Financial Corp.

   

   

1,564,200

 

57,100

3

United Dominion Realty Trust, Inc.

   

   

952,999

 

36,100

 

Unitrin, Inc.

   

   

892,031

 

42,800

3

Waddell & Reed Financial, Inc., Class A

   

   

856,000

 

24,500

 

Webster Financial Corp. Waterbury

   

   

919,730

 

17,900

 

WestAmerica Bancorp.

   

   

771,490

 

35,000

 

Wilmington Trust Corp.

   

   

941,850

 

 

 

TOTAL

   

   

78,839,838

 

 

 

Healthcare--12.6%

   

   

   

 

48,000

2,3

AdvancePCS

   

   

1,442,880

 

57,000

2

Apogent Technologies, Inc.

   

   

979,260

 

29,300

2

Apria Healthcare Group, Inc.

   

   

687,085

 

35,300

2,3

Barr Laboratories, Inc.

   

   

1,962,680

 

33,200

3

Beckman Coulter, Inc.

   

   

1,290,484

 

24,100

2,3

Charles River Laboratories International, Inc.

   

   

654,315

 

54,900

2

Community Health Systems, Inc.

   

   

1,043,100

 

31,900

2,3

Covance, Inc.

   

   

565,587

 

32,000

2,3

Coventry Health Care, Inc.

   

   

1,306,240

 

61,800

2,3

Cytyc Corp.

   

   

815,760

 

41,800

 

Dentsply International, Inc.

   

   

1,565,410

 

32,000

2

Edwards Lifesciences Corp.

   

   

923,840

 

41,600

2,3

Express Scripts, Inc., Class A

   

   

2,452,736

 

50,600

2

First Health Group Corp.

   

   

1,267,530

 

104,900

2

Gilead Sciences, Inc.

   

   

4,840,086

 

66,040

2

Health Net, Inc.

   

   

1,722,984

 

23,500

2

Henry Schein, Inc.

   

   

1,014,025

 

32,900

 

Hillenbrand Industries, Inc.

   

   

1,641,710

 

44,700

 

ICN Pharmaceuticals, Inc.

   

   

391,125

 

81,600

2,3

IDEC Pharmaceuticals Corp.

   

   

2,672,400

 

103,825

2,3

Ivax Corp.

   

   

1,668,468

 

21,100

2,3

LifePoint Hospitals, Inc.

   

   

411,872

 

56,400

2

Lincare Holdings, Inc.

   

   

1,712,868

 

154,592

2,3

Millennium Pharmaceuticals, Inc.

   

   

1,700,512

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Healthcare--continued

   

   

   

 

98,000

 

Mylan Laboratories, Inc.

   

$ 

2,770,460

 

50,300

3

Omnicare, Inc.

   

   

1,333,956

 

44,700

2

Oxford Health Plans, Inc.

   

   

1,308,369

 

19,098

2,3

PacifiCare Health Systems, Inc.

   

   

608,080

 

36,400

2,3

Patterson Dental Co.

   

   

1,462,188

 

293

2

Per-Se Technologies, Inc., Warrants

   

   

3

 

37,000

 

Perrigo Co.

   

   

568,320

 

17,500

2

Pharmaceutical Resources, Inc.

   

   

769,125

 

47,500

2,3

Protein Design Laboratories, Inc.

   

   

471,675

 

62,500

2,3

SICOR, Inc.

   

   

1,120,625

 

44,900

2

Sepracor, Inc.

   

   

859,835

 

37,000

2

Steris Corp.

   

   

839,900

 

39,880

2

Triad Hospitals, Inc.

   

   

877,759

 

32,300

2,3

Universal Health Services, Inc., Class B

   

   

1,249,041

 

27,500

2,3

VISX, Inc.

   

   

430,650

 

36,300

2

Varian Medical Systems, Inc.

   

   

1,955,118

 

40,800

2

Vertex Pharmaceuticals, Inc.

   

   

492,456

 

 

 

TOTAL

   

   

51,850,517

 

 

 

Industrials--12.3%

   

   

   

 

40,000

2

AGCO Corp.

   

   

728,400

 

17,600

 

AMETEK, Inc.

   

   

663,520

 

25,800

 

Airborne, Inc.

   

   

512,388

 

14,100

2,3

Alaska Air Group, Inc.

   

   

251,403

 

22,000

3

Alexander and Baldwin, Inc.

   

   

587,620

 

45,600

3

Allete

   

   

1,083,456

 

13,450

 

Banta Corp.

   

   

417,622

 

64,200

2,3

Bisys Group, Inc.

   

   

1,083,696

 

45,100

 

C.H. Robinson Worldwide, Inc.

   

   

1,659,229

 

26,300

3

CNF Transportation, Inc.

   

   

797,942

 

27,500

2

CSG Systems International, Inc.

   

   

289,575

 

24,600

2

Career Education Corp.

   

   

1,479,198

 

16,300

 

Carlisle Cos., Inc.

   

   

739,368

 

79,200

2,3

Ceridian Corp.

   

   

1,104,840

 

35,400

2

Certegy, Inc.

   

   

884,646

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Industrials--continued

   

   

   

 

42,000

2,3

Checkfree Corp.

   

$ 

1,157,940

 

45,233

2

ChoicePoint, Inc.

   

   

1,595,820

 

23,100

2,3

Corinthian Colleges, Inc.

   

   

1,057,749

 

63,800

2

DST Systems, Inc.

   

   

1,958,660

 

37,300

2,3

DeVRY, Inc.

   

   

863,122

 

23,400

 

Donaldson Co., Inc.

   

   

934,128

 

39,600

2,3

Dun & Bradstreet Corp.

   

   

1,496,880

 

25,500

2,3

Dycom Industries, Inc.

   

   

281,520

 

25,100

2,3

EGL, Inc.

   

   

402,604

 

18,800

2,3

Education Management Corp.

   

   

917,816

 

55,500

3

Expeditors International Washington, Inc.

   

   

2,017,925

 

40,500

3

Fastenal Co.

   

   

1,400,895

 

29,500

2,3

Flowserve Corp.

   

   

455,480

 

22,025

3

Granite Construction, Inc.

   

   

370,020

 

31,500

 

HON Industries, Inc.

   

   

931,770

 

21,600

 

Harsco Corp.

   

   

744,552

 

31,580

 

Hubbell, Inc., Class B

   

   

1,013,718

 

20,900

2,3

Hunt (J.B.) Transportation Services, Inc.

   

   

722,095

 

29,000

2,3

Jacobs Engineering Group, Inc.

   

   

1,193,350

 

18,975

 

Kelly Services, Inc., Class A

   

   

439,271

 

18,700

3

Kennametal, Inc.

   

   

588,863

 

20,200

2

Korn/Ferry International

   

   

138,976

 

50,400

2,3

L-3 Communications Holdings, Inc.

   

   

2,237,760

 

40,900

 

Manpower, Inc.

   

   

1,344,792

 

39,900

3

Miller Herman, Inc.

   

   

697,851

 

17,900

 

Nordson Corp.

   

   

452,154

 

26,300

 

Pentair, Inc.

   

   

1,013,602

 

29,000

 

Pittston Brink's Group

   

   

369,750

 

27,900

3

Precision Castparts Corp.

   

   

772,551

 

33,700

2

Quanta Services, Inc.

   

   

116,265

 

87,400

2

Republic Services, Inc.

   

   

1,875,604

 

23,850

3

Rollins, Inc.

   

   

577,647

 

42,900

2

SPX Corp.

   

   

1,450,020

 

5,700

2

Sequa Corp., Class A

   

   

175,332

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Industrials--continued

   

   

   

 

32,800

2,3

Sothebys Holdings, Inc., Class A

   

$ 

288,312

 

44,600

2,3

Swift Transportation Co.

   

   

808,152

 

21,500

2,3

Sylvan Learning Systems, Inc.

   

   

377,110

 

9,900

 

Tecumseh Products Co., Class A

   

   

398,376

 

21,000

 

Teleflex, Inc.

   

   

806,190

 

24,450

3

Trinity Industries, Inc.

   

   

404,648

 

28,100

2,3

Valassis Communications, Inc.

   

   

747,460

 

47,000

 

Viad Corp.

   

   

945,170

 

22,300

 

Wallace Computer Services, Inc.

   

   

582,699

 

34,000

 

Werner Enterprises, Inc.

   

   

768,060

 

21,000

 

York International Corp.

   

   

501,900

 

 

 

TOTAL

   

   

50,677,462

 

 

 

Information Technology--11.4%

   

   

   

 

193,400

2

3Com Corp.

   

   

1,005,680

 

35,800

2

Activision, Inc.

   

   

547,740

 

47,600

2

Acxiom Corp.

   

   

664,496

 

19,800

2,3

Adtran, Inc.

   

   

801,504

 

44,900

2

Advanced Fibre Communications

   

   

686,970

 

17,500

2,3

Advent Software, Inc.

   

   

220,325

 

70,500

2,3

Affiliated Computer Services, Inc., Class A

   

   

3,362,850

 

53,350

2

Arrow Electronics, Inc.

   

   

900,548

 

125,600

2

Ascential Software Corp.

   

   

482,304

 

242,600

2

Atmel Corp.

   

   

446,384

 

63,700

2

Avnet, Inc.

   

   

812,175

 

24,000

2

Avocent Corp.

   

   

710,880

 

12,942

2,3

Cabot Microelectronics Corp.

   

   

559,353

 

143,500

2

Cadence Design Systems, Inc.

   

   

1,640,205

 

31,600

2,3

CommScope, Inc.

   

   

270,812

 

33,400

2

Credence Systems Corp.

   

   

237,140

 

38,800

2,3

Cree Research, Inc.

   

   

774,060

 

66,000

2

Cypress Semiconductor Corp.

   

   

575,520

 

38,493

 

Diebold, Inc.

   

   

1,538,950

 

26,400

 

Fair Isaac & Co., Inc.

   

   

1,374,912

 

62,400

2,3

Fairchild Semiconductor International, Inc., Class A

   

   

740,688

 

44,100

2,3

Gartner Group, Inc., Class B

   

   

345,744

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Information Technology--continued

   

   

   

 

35,400

 

Harris Corp.

   

$ 

1,011,024

 

46,800

3

Henry Jack & Associates, Inc.

   

   

609,804

 

18,800

2

Imation Corp.

   

   

644,840

 

21,300

2

InFocus Corp.

   

   

95,637

 

55,000

2

Integrated Device Technology, Inc.

   

   

568,150

 

34,100

2

International Rectifier Corp.

   

   

771,342

 

26,400

2

Internet Security Systems, Inc.

   

   

346,368

 

73,000

2

Intersil Holding Corp.

   

   

1,350,500

 

38,200

2

Keane, Inc.

   

   

368,248

 

46,000

2

KEMET Corp.

   

   

421,820

 

26,300

2,3

LTX Corp.

   

   

177,525

 

67,400

2

Lam Research Corp.

   

   

979,322

 

59,900

2,3

Lattice Semiconductor Corp.

   

   

519,932

 

61,900

2,3

Legato Systems, Inc.

   

   

366,448

 

54,700

2

MPS Group, Inc.

   

   

369,225

 

32,200

2

Macromedia, Inc.

   

   

406,042

 

60,500

2,3

McData Corp., Class A

   

   

640,090

 

35,500

2

Mentor Graphics Corp.

   

   

369,910

 

48,900

2

Micrel, Inc.

   

   

572,619

 

108,387

 

Microchip Technology, Inc.

   

   

2,253,366

 

27,200

2,3

National Instruments Corp.

   

   

872,576

 

83,450

2,3

Network Associates, Inc.

   

   

953,834

 

20,800

2

Newport Corp.

   

   

268,757

 

31,100

2,3

Overture Services, Inc.

   

   

332,770

 

24,000

2

Plantronics, Inc.

   

   

444,000

 

22,400

2,3

Plexus Corp.

   

   

228,032

 

53,100

2,3

Polycom, Inc.

   

   

521,442

 

35,600

2

Powerwave Technologies, Inc.

   

   

143,112

 

84,300

2,3

Quantum Corp. - DLT & Storage Systems

   

   

290,835

 

97,400

2,3

RF Micro Devices, Inc.

   

   

462,650

 

30,800

2

RSA Security, Inc.

   

   

295,372

 

30,400

2,3

Retek, Inc.

   

   

190,000

 

37,100

 

Reynolds & Reynolds Co., Class A

   

   

1,068,851

 

36,800

2,3

Sandisk Corp.

   

   

890,560

 

39,300

2,3

Semtech Corp.

   

   

624,870

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Information Technology--continued

   

   

   

 

27,200

2

Silicon Laboratories, Inc.

   

$ 

773,840

 

56,760

2

Storage Technology Corp.

   

   

1,403,107

 

50,500

2

Sybase, Inc.

   

   

646,400

 

40,300

2,3

Synopsys, Inc.

   

   

1,960,192

 

30,100

2,3

Tech Data Corp.

   

   

722,400

 

41,600

2

Titan Corp.

   

   

334,048

 

18,900

2

Transaction Systems Architects, Inc., Class A

   

   

131,355

 

66,668

2

Triquint Semiconductor, Inc.

   

   

234,005

 

18,100

2,3

Varian, Inc.

   

   

572,141

 

85,202

2

Vishay Intertechnology, Inc.

   

   

1,065,025

 

39,200

2

Wind River Systems, Inc.

   

   

129,752

 

 

 

TOTAL

   

   

47,101,378

 

 

 

Materials--4.2%

   

   

   

 

57,800

2

AK Steel Holding Corp.

   

   

168,776

 

38,200

2,3

Airgas, Inc.

   

   

772,786

 

22,175

3

Albemarle Corp.

   

   

598,725

 

28,000

3

Arch Coal, Inc.

   

   

506,240

 

29,500

3

Bowater, Inc.

   

   

1,148,435

 

32,800

3

Cabot Corp.

   

   

914,136

 

12,100

3

Carpenter Technology Corp.

   

   

158,026

 

60,699

 

Crompton Corp.

   

   

389,688

 

20,900

2,3

Cytec Industries, Inc.

   

   

669,009

 

18,700

2

FMC Corp.

   

   

338,844

 

21,550

 

Ferro Corp.

   

   

509,442

 

23,300

 

Glatfelter (P.H.) Co.

   

   

266,785

 

61,300

 

IMC Global, Inc.

   

   

555,378

 

27,200

 

Longview Fibre Co.

   

   

207,536

 

27,500

 

Lubrizol Corp.

   

   

869,275

 

85,300

 

Lyondell Chemical Co.

   

   

1,241,115

 

26,000

 

Martin Marietta Materials

   

   

768,820

 

10,800

 

Minerals Technologies, Inc.

   

   

477,900

 

30,600

3

Olin Corp.

   

   

554,472

 

55,700

2

Packaging Corp. of America

   

   

1,047,717

 

27,900

3

Peabody Energy Corp.

   

   

783,990

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Materials--continued

   

   

   

 

15,200

3

Potlatch Corp.

   

$ 

362,520

 

61,250

3

RPM, Inc.

   

   

757,050

 

14,800

3

Rayonier, Inc.

   

   

745,328

 

8,000

 

Solutia, Inc.

   

   

10,880

 

51,573

 

Sonoco Products Co.

   

   

1,126,870

 

26,700

 

Valspar Corp.

   

   

1,153,173

 

27,467

 

Wausau-Mosinee Paper Corp.

   

   

292,249

 

 

 

TOTAL

   

   

17,395,165

 

 

 

Telecommunication Services--0.6%

   

   

   

 

116,800

2

BroadWing, Inc.

   

   

540,784

 

29,100

2,3

Price Communications Corp.

   

   

355,311

 

31,300

3

Telephone and Data System, Inc.

   

   

1,348,717

 

 

 

TOTAL

   

   

2,244,812

 

 

 

Utilities--6.4%

   

   

   

 

33,000

 

AGL Resources, Inc.

   

   

849,090

 

48,900

3

Alliant Energy Corp.

   

   

858,684

 

96,800

 

Aquila, Inc.

   

   

269,104

 

14,400

 

Black Hills Corp.

   

   

410,112

 

67,500

 

DPL, Inc.

   

   

934,200

 

39,700

3

DQE, Inc.

   

   

539,920

 

77,200

 

Energy East Corp.

   

   

1,406,584

 

33,300

3

Equitable Resources, Inc.

   

   

1,279,386

 

36,400

 

Great Plains Energy, Inc.

   

   

952,588

 

19,500

3

Hawaiian Electric Industries, Inc.

   

   

806,325

 

20,300

3

Idacorp, Inc.

   

   

519,477

 

38,200

3

MDU Resources Group, Inc.

   

   

1,136,832

 

28,300

 

NSTAR

   

   

1,222,560

 

42,800

 

National Fuel Gas Co.

   

   

1,004,088

 

72,400

 

Northeast Utilities Co.

   

   

1,080,208

 

41,800

3

OGE Energy Corp.

   

   

750,310

 

38,600

3

ONEOK, Inc.

   

   

732,242

 

21,000

 

PNM Resources, Inc.

   

   

465,990

 

87,294

3

Pepco Holdings, Inc.

   

   

1,499,711

 

36,200

3

Philadelphia Suburban Corp.

   

   

819,930

Shares or
Principal
Amount

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

   

   

 

 

 

Utilities--continued

   

   

   

 

49,500

 

Puget Energy, Inc.

   

$ 

1,045,440

 

43,700

 

Questar Corp.

   

   

1,319,740

 

59,100

 

SCANA Corp.

   

   

1,875,834

 

55,312

2,3

Sierra Pacific Resources

   

   

204,101

 

36,166

 

Vectren Corp.

   

   

840,860

 

25,900

 

WGL Holdings, Inc.

   

   

698,782

 

17,000

 

WPS Resources Corp.

   

   

685,100

 

38,100

3

Westar Energy, Inc.

   

   

535,686

 

61,700

 

Wisconsin Energy Corp.

   

   

1,624,561

 

 

 

TOTAL

   

   

26,367,445

 

 

 

TOTAL COMMON STOCKS (IDENTIFIED COST $402,842,567)

   

   

388,857,655

 

 

 

U.S. TREASURY--0.3%4

   

   

   

$

1,335,000

 

United States Treasury Bill, 7/17/2003 (IDENTIFIED COST $1,331,658)

   

   

1,331,903

 

 

 

MUTUAL FUNDS--17.6%

   

   

   

 

21,759,911

 

Prime Value Obligations Fund, Class IS

   

   

21,759,911

 

50,753,728

 

Prime Value Obligations Fund, Class IS (held as collateral for securities lending)

   

   

50,753,728

 

 

 

TOTAL MUTUAL FUNDS (AT NET ASSET VALUE)

   

   

72,513,639

 

 

 

TOTAL INVESTMENTS--112.4% (IDENTIFIED COST $476,687,864)5

   

   

462,703,197

 

 

 

OTHER ASSETS AND LIABILITIES - NET--(12.4%)

   

   

(50,915,528)

 

 

 

TOTAL NET ASSETS--100%

   

$

411,787,669

1 The Fund purchases index futures contracts to efficiently manage cash flows resulting from shareholder purchases and redemptions, dividend and capital gain payments to shareholders and corporate actions while maintaining exposure to the index and minimizing trading costs. The underlying face amount, at value, of open index futures contracts is $21,498,750 at April 30, 2003, which represents 5.2% of total net assets. Taking into consideration these open index futures contracts, the Fund's effective total exposure to the index is 99.7%.

2 Non-income producing security.

3 Certain shares are temporarily on loan to unaffiliated broker/dealers.

4 Represents a security held as collateral which is used to ensure the Fund is able to satisfy the obligations of its outstanding long futures contracts.

5 The cost of investments for federal tax purposes amounts to $476,687,864.

Note: The categories of investments are shown as a percentage of total net assets at April 30, 2003.

See Notes which are an integral part of the Financial Statements

Statement of Assets and Liabilities

April 30, 2003 (unaudited)

Assets:

  

   

   

   

  

   

   

   

Total investments in securities, at value including $48,794,285 of securities loaned (identified cost $476,687,864)

   

   

   

   

   

$

462,703,197

   

Cash

   

   

   

   

   

   

206,042

   

Income receivable

   

   

   

   

   

   

235,970

   

Receivable for investments sold

   

   

   

   

   

   

33,885

   

Receivable for shares sold

   

   

   

   

   

   

722,474

   

Receivable for daily variation margin

   

   

   

   

   

   

110,250

   

Prepaid expenses

   

   

   

   

   

   

58,874

   

TOTAL ASSETS

   

   

   

   

   

   

464,070,692

   

Liabilities:

   

   

   

   

   

   

   

   

Payable for investments purchased

   

$

899,360

   

   

   

   

   

Payable for shares redeemed

   

   

590,961

   

   

   

   

   

Payable on collateral due to broker

   

   

50,753,728

   

   

   

   

   

Accrued expenses

   

   

38,974

   

   

   

   

   

TOTAL LIABILITIES

   

   

   

   

   

   

52,283,023

   

Net assets for 28,270,676 shares outstanding

   

   

   

   

   

$

411,787,669

   

Net Assets Consist of:

   

   

   

   

   

   

   

   

Paid in capital

   

   

   

   

   

$

457,307,443

   

Net unrealized depreciation of investments and futures contracts

   

   

   

   

   

   

(12,889,345

)

Accumulated net realized loss on investments and futures contracts

   

   

   

   

   

   

(32,755,681

)

Undistributed net investment income

   

   

   

   

   

   

125,252

   

TOTAL NET ASSETS

   

   

   

   

   

$

411,787,669

   

Net Asset Value, Offering Price and Redemption Proceeds Per Share:

   

   

   

   

   

   

   

   

$411,787,669 ÷ 28,270,676 shares outstanding

   

   

   

   

   

   

$14.57

   

See Notes which are an integral part of the Financial Statements

Statement of Operations

Six Months Ended April 30, 2003 (unaudited)

Investment Income:

  

   

   

   

  

   

   

   

  

   

   

   

Dividends

   

   

   

   

   

   

   

   

   

$

2,240,804

   

Interest (including income on securities loaned of $47,121)

   

   

   

   

   

   

   

   

   

   

107,507

   

TOTAL INCOME

   

   

   

   

   

   

   

   

   

   

2,348,311

   

Expenses:

   

   

   

   

   

   

   

   

   

   

   

   

Management fee

   

   

   

   

   

$

752,386

   

   

   

   

   

Custodian fees

   

   

   

   

   

   

30,740

   

   

   

   

   

Transfer and dividend disbursing agent fees and expenses

   

   

   

   

   

   

77,891

   

   

   

   

   

Directors'/Trustees' fees

   

   

   

   

   

   

3,624

   

   

   

   

   

Auditing fees

   

   

   

   

   

   

7,282

   

   

   

   

   

Legal fees

   

   

   

   

   

   

3,577

   

   

   

   

   

Portfolio accounting fees

   

   

   

   

   

   

53,353

   

   

   

   

   

Shareholder services fee

   

   

   

   

   

   

470,241

   

   

   

   

   

Share registration costs

   

   

   

   

   

   

14,091

   

   

   

   

   

Printing and postage

   

   

   

   

   

   

28,687

   

   

   

   

   

Insurance premiums

   

   

   

   

   

   

762

   

   

   

   

   

Miscellaneous

   

   

   

   

   

   

856

   

   

   

   

   

TOTAL EXPENSES

   

   

   

   

   

   

1,443,490

   

   

   

   

   

Waivers and Reimbursement:

   

   

   

   

   

   

   

   

   

   

   

   

Waiver of management fee

   

$

(104,267

)

   

   

   

   

   

   

   

   

Waiver of shareholder services fee

   

   

(413,812

)

   

   

   

   

   

   

   

   

Reimbursement of management fee

   

   

(1,383

)

   

   

   

   

   

   

   

   

TOTAL WAIVERS AND REIMBURSEMENT

   

   

   

   

   

   

(519,462

)

   

   

   

   

Net expenses

   

   

   

   

   

   

   

   

   

   

924,028

   

Net investment income

   

   

   

   

   

   

   

   

   

   

1,424,283

   

Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:

   

   

   

   

   

   

   

   

   

   

   

   

Net realized loss on investments

   

   

   

   

   

   

   

   

   

   

(4,224,155

)

Net realized loss on future contracts

   

   

   

   

   

   

   

   

   

   

(364,823

)

Net change in unrealized depreciation of investments and futures contracts

   

   

   

   

   

   

   

   

   

   

17,632,549

   

Net realized and unrealized gain on investments and futures contracts

   

   

   

   

   

   

   

   

   

   

13,043,571

   

Change in net assets resulting from operations

   

   

   

   

   

   

   

   

   

$

14,467,854

   

See Notes which are an integral part of the Financial Statements

Statement of Changes in Net Assets

 

   

  

   

Six Months
Ended
(unaudited)
4/30/2003

   

  

   


Year Ended
10/31/2002

   

Increase (Decrease) in Net Assets

   

   

   

   

   

   

   

   

Operations:

   

   

   

   

   

   

   

   

Net investment income

   

$

1,424,283

   

   

$

2,576,544

   

Net realized loss on investments and futures contracts

   

   

(4,588,978

)

   

   

(28,139,086

)

Net change in unrealized appreciation/depreciation of investments and futures contracts

   

   

17,632,549

   

   

   

(8,467,072

)

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS

   

   

14,467,854

   

   

   

(34,029,614

)

Distributions to Shareholders:

   

   

   

   

   

   

   

   

Distributions from net investment income

   

   

(1,530,042

)

   

   

(2,513,096

)

Distributions from net realized gain on investments and future contracts

   

   

--

   

   

   

(5,133,807

)

CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS

   

   

(1,530,042

)

   

   

(7,646,903

)

Share Transactions:

   

   

   

   

   

   

   

   

Proceeds from sale of shares

   

   

108,446,717

   

   

   

385,841,158

   

Net asset value of shares issued to shareholders in payment of distributions declared

   

   

1,209,089

   

   

   

6,180,568

   

Cost of shares redeemed

   

   

(75,461,761

)

   

   

(290,671,702

)

CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS

   

   

34,194,045

   

   

   

101,350,024

   

Change in net assets

   

   

47,131,857

   

   

   

59,673,507

   

Net Assets:

   

   

   

   

   

   

   

   

Beginning of period

   

   

364,655,812

   

   

   

304,982,305

   

End of period (including undistributed net investment income of $125,252 and $231,011, respectively)

   

$

411,787,669

   

   

$

364,655,812

   

See Notes which are an integral part of the Financial Statements

Notes to Financial Statements

April 30, 2003 (Unaudited)

ORGANIZATION

Federated Index Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end, management investment company. The Trust consists of three portfolios. The financial statements included herein are only those of Federated Mid-Cap Index Fund (the "Fund"), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. The investment objective of the Fund is to provide investment results generally corresponding to the aggregate price and dividend performance of publicly traded common stocks that comprise the Standard & Poor's Mid-Cap 400 Index.

SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles ("GAAP").

Investment Valuation

Listed equity securities are valued at the last sale price reported on a national securities exchange. Short-term securities are valued at the prices provided by an independent pricing service. However, short-term securities with remaining maturities of 60 days or less at the time of purchase may be valued at amortized cost, which approximates fair market value. Investments in other open-ended regulated investment companies are valued at net asset value. Securities for which no quotations are readily available are valued at fair value as determined in good faith using methods approved by the Board of Trustees (the "Trustees").

Repurchase Agreements

It is the policy of the Fund to require the custodian bank to take possession, to have legally segregated in the Federal Reserve Book Entry System, or to have segregated within the custodian bank's vault, all securities held as collateral under repurchase agreement transactions. Additionally, procedures have been established by the Fund to monitor, on a daily basis, the market value of each repurchase agreement's collateral to ensure that the value of collateral at least equals the repurchase price to be paid under the repurchase agreement.

The Fund will only enter into repurchase agreements with banks and other recognized financial institutions, such as broker/dealers, which are deemed by the Fund's manager to be creditworthy pursuant to the guidelines and/or standards reviewed or established by the Trustees. Risks may arise from the potential inability of counterparties to honor the terms of the repurchase agreement. Accordingly, the Fund could receive less than the repurchase price on the sale of collateral securities. The Fund, along with other affiliated investment companies, may utilize a joint trading account for the purpose of entering into one or more repurchase agreements.

Investment Income, Expenses and Distributions

Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair value.

Premium and Discount Amortization

All premiums and discounts on fixed income securities are amortized/accreted for financial statement purposes.

Federal Taxes

It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (the "Code") and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal tax is necessary.

When-Issued and Delayed Delivery Transactions

The Fund may engage in when-issued or delayed delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

Futures Contracts

The Fund purchases stock index futures contracts to manage cashflows, enhance yield, and to potentially reduce transaction costs. Upon entering into a stock index futures contract with a broker, the Fund is required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a "variation margin" account. Daily, the Fund receives from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Fund recognizes a realized gain or loss. For the six months ended April 30, 2003 the Fund had a realized loss on futures contracts of $364,823.

Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities.

At April 30, 2003, the Fund had outstanding futures contracts as set forth below:

Expiration Date

  

Contracts to Receive

  

Position

  

Unrealized
Appreciation

June 2003

 

98 S&P Mid Cap 400 Index Futures

 

Long

   

$1,095,322

Securities Lending

The Fund participates in a securities lending program providing for the lending of corporate bonds, equity and government securities to qualified brokers. Collateral for securities loaned is invested in an affiliated money market fund. Collateral is maintained at a minimum level of 102% of the market value on investments loaned, plus interest, if applicable. Earnings on collateral are allocated between the custodian securities lending agent, as a fee for its services under the program, and the Fund, according to agreed-upon rates.

At April 30, 2003, securities subject to this type of arrangement and related collateral were as follows:

Market Value of Securities Loaned

  

Market Value of Collateral

$48,794,285

   

$50,753,728

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ from those estimated.

Other

Investment transactions are accounted for on a trade date basis.

SHARES OF BENEFICIAL INTEREST

The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares were as follows:

   

  

Six Months
Ended
4/30/2003

   

  

Year Ended
10/31/2002

   

Shares sold

   

7,732,691

   

   

23,488,605

   

Shares issued to shareholders in payment of distributions declared

   

86,597

   

   

387,416

   

Shares redeemed

   

(5,398,943

)

   

(18,013,884

)

NET CHANGE RESULTING FROM SHARE TRANSACTIONS

   

2,420,345

   

   

5,862,137

   

FEDERAL TAX INFORMATION

At April 30, 2003, the cost of investments for federal tax purposes was $476,687,864. The net unrealized depreciation of investments for federal tax purposes was $13,984,667. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $45,008,071 and net unrealized depreciation from investments for those securities having an excess of cost over value of $58,992,738.

At October 31, 2002, the Fund had a capital loss carryforward of $451,040, which will reduce the Fund's taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal tax. Pursuant to the Code, such capital loss carryforward will expire in 2010.

MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Management Fee

Federated Investment Management Company, the Fund's manager (the "Manager"), receives for its services an annual investment management fee equal to 0.40% of the Fund's average daily net assets. The Manager may voluntarily choose to waive any portion of its fee. The Manager can modify or terminate this voluntary waiver at any time at its sole discretion. Under the terms of a sub-management agreement between the Manager and Fund Asset Management L.P., doing business as Mercury Advisors, an indirect, wholly owned subsidiary of Merrill Lynch & Co., Inc. (the "Sub-Manager"), the Sub-Manager receives an annual fee from the Manager equal to 0.030% of the Fund's average daily net assets. Prior to March 27, 2003, the sub-manager was Deutsche Asset Management, Inc.

Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund may invest in Prime Value Obligations Fund, which is managed by the Manager. The Manager has agreed to reimburse certain investment management fees as a result of these transactions.

Shareholder Services Fee

Under the terms of a Shareholder Services Agreement with Federated Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25% of average daily net assets of the Fund for the period. The fee paid to FSSC is used to finance certain services for shareholders and to maintain shareholder accounts. FSSC may voluntarily choose to waive any portion of its fee. FSSC can modify or terminate this voluntary waiver at any time at its sole discretion.

Transfer and Dividend Disbursing Agent Fees and Expenses

Federated Services Company ("FServ"), through its subsidiary FSSC, serves as transfer and dividend disbursing agent for the Fund. The fee paid to FSSC is based on the size, type and number of accounts and transactions made by shareholders.

Portfolio Accounting Fees

FServ maintains the Fund's accounting records for which it receives a fee. The fee is based on the level of the Fund's average daily net assets for the period, plus out-of-pocket expenses.

General

Certain of the Officers and Trustees of the Trust are Officers and Directors or Trustees of the above companies.

INVESTMENT TRANSACTIONS

Purchases and sales of investments, excluding long-term U.S government securities and short-term obligations (and in-kind contributions), for the six months ended April 30, 2003 were as follows:

Purchases

  

$53,758,060

Sales

 

$30,000,094

Mutual funds are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.

This report is authorized for distribution to prospective investors only when preceded or accompanied by the fund's prospectus, which contains facts concerning its objective and policies, management fees, expenses and other information.

IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY

In an effort to reduce costs and avoid duplicate mailings, the Fund(s) intend to deliver a single copy of certain documents to each household in which more than one shareholder of the Fund(s) resides (so-called "householding"), as permitted by applicable rules. The Fund's "householding" program covers its/their Prospectus and Statement of Additional Information, and supplements to each, as well as Semi-Annual and Annual Reports and any Proxies or information statements. Shareholders must give their written consent to participate in the householding program. The Fund is also permitted to treat a shareholder as having given consent ("implied consent") if (i) shareholders with the same last name, or believed to be members of the same family, reside at the same street address or receive mail at the same post office box, (ii) the Fund gives notice of its intent to "household" at least sixty (60) days before it begins "householding" and (iii) none of the shareholders in the household have notified the Fund(s) or their agent of the desire to "opt out" of householding. Shareholders who have granted written consent, or have been deemed to have granted implied consent, can revoke that consent and opt out of householding at any time by calling 1-800-341-7400.

Federated Investors
World-Class Investment Manager

Federated Mid-Cap Index Fund
Federated Investors Funds
5800 Corporate Drive
Pittsburgh, PA 15237-7000
www.federatedinvestors.com

Contact us at 1-800-341-7400 or
www.federatedinvestors.com/contact

Federated Securities Corp., Distributor

Cusip 31420E205

Federated is a registered mark of Federated Investors, Inc. 2003 ©Federated Investors, Inc.

3042108 (6/03)

 

Federated Investors
World-Class Investment Manager

Federated Mini-Cap Index Fund

A Portfolio of Federated Index Trust



SEMI-ANNUAL SHAREHOLDER REPORT

April 30, 2003

FINANCIAL HIGHLIGHTS

FINANCIAL STATEMENTS

NOT FDIC INSURED * MAY LOSE VALUE * NO BANK GUARANTEE

Financial Highlights -- Institutional Shares

(For a Share Outstanding Throughout Each Period)

  

Six Months
Ended
(unaudited)

   

  

Year Ended October 31,

  

4/30/2003

   

  

2002

   

  

2001

   

  

2000

   

  

1999

   

  

1998

   

Net Asset Value, Beginning of Period

   

$8.95

   

   

$10.25

   

   

$13.99

   

   

$13.63

   

   

$13.02

   

   

$16.68

   

Income From Investment Operations:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net investment income

   

0.03

   

   

0.05

   

   

0.06

   

   

0.12

   

   

0.11

   

   

0.13

   

Net realized and unrealized gain (loss) on investments and futures contracts

   

0.60

   

   

(1.30

)

   

(1.82

)

   

1.84

   

   

1.43

   

   

(2.19

)

TOTAL FROM INVESTMENT OPERATIONS

   

0.63

   

   

(1.25

)

   

(1.76

)

   

1.96

   

   

1.54

   

   

(2.06

)

Less Distributions:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Distributions from net investment income

   

(0.03

)

   

(0.05

)

   

(0.08)

   

   

(0.10

)

   

(0.11

)

   

(0.14

)

Distributions from net realized gain on investments and futures contracts

   

--

   

   

--

   

   

(1.90

)

   

(1.50

)

   

(0.82

)

   

(1.46

)

TOTAL DISTRIBUTIONS

   

(0.03

)

   

(0.05

)

   

(1.98

)

   

(1.60

)

   

(0.93

)

   

(1.60

)

Net Asset Value, End of Period

   

$9.55

   

   

$ 8.95

   

   

$10.25

   

   

$13.99

   

   

$13.63

   

   

$13.02

   

Total Return1

   

7.06

%

   

(12.31

)%

   

(13.76

)%

   

15.14

%

   

12.43

%

   

(13.46

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Expenses

   

0.91

%2

   

0.94

%

   

1.05

%

   

0.96

%

   

0.93

%

   

0.82

%

Net investment income

   

0.63

%2

   

0.46

%

   

0.56

%

   

0.85

%

   

0.79

%

   

0.80

%

Expense waiver/reimbursement3

   

0.51

%2

   

0.22

%

   

0.13

%

   

0.13

%

   

0.13

%

   

0.13

%

Supplemental Data:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net assets, end of period (000 omitted)

   

$69,936

   

$61,495

   

$82,393

   

$101,330

   

$97,235

   

$118,494

   

Portfolio turnover

   

5

%

   

75

%

   

56

%

   

56

%

   

47

%

   

48

%

1 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.

2 Computed on an annualized basis.

3 This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above.

See Notes which are an integral part of the Financial Statements

Financial Highlights -- Class C Shares

(For a Share Outstanding Throughout Each Period)

  

Six Months
Ended
(unaudited)

   

  

Year Ended October 31,

  

4/30/2003

   

  

2002

   

  

2001

   

  

2000

   

  

1999

   

  

1998

1

Net Asset Value, Beginning of Period

   

$8.85

   

   

$10.18

   

   

$13.91

   

   

$13.59

   

   

$13.00

   

   

$16.75

   

Income From Investment Operations:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net investment income (net operating loss)

   

(0.01

)

   

(0.03

)

   

(0.03

)

   

(0.00

)2

   

(0.00

)2

   

0.00

2

Net realized and unrealized gain (loss) on investments and futures contracts

   

0.61

   

   

(1.30

)

   

(1.80

)

   

1.82

   

   

1.42

   

   

(2.25

)

TOTAL FROM INVESTMENT OPERATIONS

   

0.60

   

   

(1.33

)

   

(1.83

)

   

1.82

   

   

1.42

   

   

(2.25

)

Less Distributions:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Distributions from net investment income

   

--

   

   

--

   

   

--

   

   

--

   

   

(0.01

)

   

(0.04

)

Distributions from net realized gain on investments and futures contracts

   

--

   

   

--

   

   

(1.90

)

   

(1.50

)

   

(0.82

)

   

(1.46

)

TOTAL DISTRIBUTIONS

   

--

   

   

--

   

   

(1.90

)

   

(1.50

)

   

(0.83

)

   

(1.50

)

Net Asset Value, End of Period

   

$9.45

   

   

$8.85

   

   

$10.18

   

   

$13.91

   

   

$13.59

   

   

$13.00

   

Total Return3

   

6.78

%

   

(13.06

)%

   

(14.39

)%

   

14.09

%

   

11.44

%

   

(14.47

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Expenses

   

1.79

%4

   

1.82

%

   

1.93

%

   

1.84

%

   

1.81

%

   

1.72

%4

Net investment income (net operating loss)

   

(0.25

)%4

   

(0.41

)%

   

(0.34

)%

   

(0.06

)%

   

(0.09

)%

   

0.00

%4

Expense waiver/reimbursement5

   

0.38

%4

   

0.09

%

   

--

   

   

--

   

   

--

   

   

--

   

Supplemental Data:

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

   

Net assets, end of period (000 omitted)

   

$6,047

   

   

$5,302

   

   

$5,375

   

   

$6,236

   

   

$4,252

   

   

$1,101

   

Portfolio turnover

   

5

%

   

75

%

   

56

%

   

56

%

   

47

%

   

48

%

1 Reflects operations for the period from November 10, 1997 (date of initial public investment) to October 31, 1998.

2 Represents less than $0.01 per share.

3 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.

4 Computed on an annualized basis.

5 This voluntary expense decrease is reflected in both the expense and the net investment income (net operating loss) ratios shown above.

See Notes which are an integral part of the Financial Statements

Portfolio of Investments

April 30, 2003 (unaudited)

Shares

  

  

Value

 

 

 

COMMON STOCKS--93.1%1

   

 

 

 

 

 

Consumer Discretionary--12.9%

   

 

 

 

1,579

2

1-800-FLOWERS.COM, Inc.

   

$

12,064

 

1,151

2

4 Kids Entertainment, Inc.

   

 

17,725

 

1,500

2,3

A.C. Moore Arts & Crafts, Inc.

   

 

25,845

 

2,050

2

ADVO, Inc.

   

 

80,606

 

1,500

2,3

AFC Enterprises, Inc.

   

 

23,700

 

3,300

2

AMC Entertainment, Inc.

   

 

31,614

 

3,328

2

APAC Customer Services, Inc.

   

 

10,450

 

1,561

 

Aaron Rents, Inc.

   

 

34,888

 

900

2

Acme Communications, Inc.

   

 

6,255

 

1,700

 

Action Performance Cos., Inc.

   

 

31,433

 

1,526

 

Advanced Marketing Services, Inc.

   

 

17,976

 

1,400

2,3

Aeropostale, Inc.

   

 

25,200

 

800

2,3

Aftermarket Technology Co.

   

 

8,528

 

4,700

2

Alliance Gaming Corp.

   

 

75,059

 

3,800

2,3

Alloy Online, Inc.

   

 

22,990

 

600

2

Ambassadors Group, Inc.

   

 

7,530

 

1,400

2,3

Ameristar Casinos, Inc.

   

 

18,984

 

4,975

2,3

Ann Taylor Stores Corp.

   

 

117,708

 

1,782

 

Applica, Inc.

   

 

9,355

 

1,629

 

Arctic Cat, Inc.

   

 

29,680

 

2,740

2

Argosy Gaming Corp.

   

 

55,814

 

700

2

Asbury Automotive Group, Inc.

   

 

6,475

 

529

2

Ascent Media Group, Inc.

   

 

645

 

3,817

2

Aztar Corp.

   

 

54,354

 

3,769

2,3

Bally Total Fitness Holding Corp.

   

 

23,933

 

1,196

 

Bandag, Inc.

   

 

41,681

 

1,100

 

Bassett Furniture Industries, Inc.

   

 

13,519

 

793

2

Beasley Broadcast Group, Inc., Class A

   

 

8,858

 

1,290

2

Beazer Homes USA, Inc.

   

 

90,622

 

631

2

bebe stores, Inc.

   

 

9,579

 

400

2

Benihana, Inc., Class A

   

 

3,816

 

900

 

Blair Corp.

   

 

19,665

 

3,868

 

Blyth Industries, Inc.

   

 

102,038

 

4,363

3

Bob Evans Farms, Inc.

   

 

110,689

 

3,136

2

Boca Resorts, Inc., Class A

   

 

38,886

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Discretionary--continued

   

 

 

 

3,700

2

Bombay Co., Inc.

   

$

31,080

 

3,496

2

Boyd Gaming Corp.

   

 

49,818

 

1,200

2

Brookstone, Inc.

   

 

19,800

 

1,939

 

Brown Shoe Co., Inc.

   

 

56,677

 

1,983

2,3

Buca, Inc.

   

 

11,402

 

724

2

Buckle, Inc.

   

 

13,032

 

1,700

 

Building Materials Holding Corp.

   

 

21,097

 

1,956

 

Burlington Coat Factory Warehouse

   

 

34,719

 

893

2

Bush Industries, Inc., Class A

   

 

2,277

 

5,600

2,3

CKE Restaurants, Inc.

   

 

30,632

 

3,094

2

CSK Auto Corp.

   

 

31,713

 

452

 

CSS Industries, Inc.

   

 

16,358

 

200

2

Cache, Inc.

   

 

1,626

 

1,600

2,3

California Pizza Kitchen, Inc.

   

 

32,256

 

200

2

Carmike Cinemas, Inc.

   

 

3,942

 

1,625

3

Cato Corp., Class A

   

 

33,312

 

5,698

2

Champion Enterprises, Inc.

   

 

13,789

 

1,283

2

Championship Auto Racing Teams, Inc.

   

 

4,593

 

800

2,3

Champps Entertainment, Inc.

   

 

4,184

 

800

2,3

Charlotte Russe Holdings, Inc.

   

 

7,552

 

12,771

2,3

Charming Shoppes, Inc.

   

 

60,024

 

1,500

2,3

Checkers Drive-In Restaurant, Inc.

   

 

9,105

 

500

2

Cherokee, Inc.

   

 

8,240

 

1,600

2,3

Chicago Pizza & Brewery, Inc.

   

 

13,712

 

1,321

2

Children's Place Retail Stores, Inc.

   

 

20,079

 

2,280

2

Choice Hotels International, Inc.

   

 

55,632

 

2,650

2,3

Christopher & Banks Corp.

   

 

66,674

 

685

 

Churchill Downs, Inc.

   

 

25,304

 

4,760

3

Claire's Stores, Inc.

   

 

123,712

 

1,625

 

Coachmen Industries, Inc.

   

 

20,556

 

708

2,3

Coldwater Creek, Inc.

   

 

6,903

 

1,000

2

Cole National Corp., Class A

   

 

8,720

 

2,656

2,3

Collins & Aikman Corp.

   

 

11,076

 

3,177

2

Concord Camera Corp.

   

 

17,855

 

2,150

2,3

Cost Plus, Inc.

   

 

66,070

 

400

 

Courier Corp.

   

 

19,560

 

1,900

2,3

Cross Media Marketing Corp.

   

 

361

 

2,971

2,3

Crown Media Holdings, Inc., Class A

   

 

12,033

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Discretionary--continued

   

 

 

 

700

2

Culp, Inc.

   

$

3,640

 

1,700

2

DHB Industries, Inc.

   

 

6,715

 

1,200

2

Dave & Buster's, Inc.

   

 

10,896

 

400

 

Deb Shops, Inc.

   

 

7,620

 

5,000

2

dELiA*s Corp., Class A

   

 

1,700

 

1,200

2,3

Department 56, Inc.

   

 

14,160

 

200

2

Dominion Homes, Inc.

   

 

3,440

 

1,568

 

Dover Downs Gaming & Entertainment, Inc.

   

 

15,586

 

1,669

 

Dover Motorsports, Inc.

   

 

5,591

 

2,834

2,3

Dress Barn, Inc.

   

 

42,567

 

2,800

2,3

Drugstore.com, Inc.

   

 

11,480

 

1,653

2

Dura Automotive Systems, Inc.

   

 

13,305

 

300

2

Escalade, Inc.

   

 

3,867

 

187

2

F.A.O., Inc.

   

 

670

 

1,383

2,3

Factory 2-U Stores, Inc.

   

 

6,901

 

5,713

3

Federal Signal Corp.

   

 

98,721

 

2,200

2

Finish Line, Inc., Class A

   

 

37,070

 

600

2

Finlay Enterprises, Inc.

   

 

7,944

 

500

2

Fisher Communications, Inc.

   

 

22,170

 

3,874

2,3

Fleetwood Enterprises, Inc.

   

 

19,525

 

3,300

2,3

Foamex International, Inc.

   

 

3,234

 

2,449

2

Footstar, Inc.

   

 

22,653

 

2,476

2

Fossil, Inc.

   

 

45,261

 

2,369

3

Freds, Inc.

   

 

76,874

 

1,800

 

Friedmans, Inc., Class A

   

 

20,700

 

2,300

2,3

GSI Commerce, Inc.

   

 

6,716

 

900

2,3

Gaiam, Inc.

   

 

3,960

 

1,200

2,3

Galyan's Trading Co.

   

 

18,204

 

1,096

2,3

Game Group PLC

   

 

20,495

 

800

2,3

Gart Sports Co.

   

 

18,744

 

2,378

2

Gaylord Entertainment Co.

   

 

49,486

 

2,254

2

Genesco, Inc.

   

 

33,810

 

1,900

2

Goody's Family Clothing, Inc.

   

 

9,348

 

1,000

3

Gray Television, Inc., Class A

   

 

12,750

 

62

 

Grey Global Group, Inc.

   

 

40,347

 

2,045

2,3

Group 1 Automotive, Inc.

   

 

56,258

 

845

2

Guess ?, Inc.

   

 

3,405

 

1,697

2

Guitar Center, Inc.

   

 

39,303

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Discretionary--continued

   

 

 

 

2,700

2,3

Gymboree Corp.

   

$

45,117

 

1,900

 

Hancock Fabrics, Inc.

   

 

29,640

 

2,729

2,3

Handleman Co.

   

 

46,257

 

4,300

2

Harris Interactive, Inc.

   

 

20,597

 

1,648

 

Haverty Furniture Cos., Inc.

   

 

23,154

 

900

2

Hibbett Sporting Goods, Inc.

   

 

24,444

 

4,700

 

Hollinger International, Inc.

   

 

43,710

 

6,031

2

Hollywood Entertainment Corp.

   

 

107,050

 

3,544

2,3

Hot Topic, Inc.

   

 

86,651

 

1,700

2,3

Hovnanian Enterprises, Inc., Class A

   

 

67,660

 

2,646

 

Hughes Supply, Inc.

   

 

74,273

 

2,195

3

IHOP Corp.

   

 

57,729

 

1,172

2,3

IMPCO Technologies, Inc.

   

 

3,387

 

1,092

2

Information Holdings, Inc.

   

 

19,001

 

4,800

2,3

Insight Communication Co.

   

 

65,904

 

4,496

2

Insight Enterprises, Inc.

   

 

33,900

 

4,805

2

Interface, Inc.

   

 

17,298

 

2,500

 

Intermet Corp.

   

 

9,300

 

2,754

2

Intertan, Inc.

   

 

16,634

 

1,623

2,3

Isle of Capri Casinos, Inc.

   

 

20,953

 

2,050

2

J. Jill Group, Inc.

   

 

29,418

 

2,743

2

JAKKS Pacific, Inc.

   

 

35,659

 

4,037

2

Jack in the Box, Inc.

   

 

71,859

 

1,600

2,3

Jo-Ann Stores, Inc.

   

 

41,600

 

700

2,3

Johnson Outdoors, Inc., Class A

   

 

7,154

 

3,019

2

Journal Register Co.

   

 

53,466

 

1,500

3

K Swiss, Inc., Class A

   

 

44,595

 

3,400

2

K2, Inc.

   

 

32,402

 

2,839

3

Kellwood Co.

   

 

84,091

 

869

2,3

Kenneth Cole Productions, Inc., Class A

   

 

20,030

 

1,100

2

Keystone Automotive Industries, Inc.

   

 

20,119

 

3,696

 

Kimball International, Inc., Class B

   

 

59,099

 

2,363

 

Landrys Seafood Restaurants, Inc.

   

 

44,188

 

1,649

 

Libbey, Inc.

   

 

37,070

 

1,790

 

Liberty Corp.

   

 

79,064

 

4,082

2

Linens `N Things, Inc.

   

 

86,498

 

1,200

2

Lithia Motors, Inc., Class A

   

 

15,936

 

1,358

2

Lodgenet Entertainment

   

 

14,123

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Discretionary--continued

   

 

 

 

1,909

 

Lone Star Steakhouse & Saloon

   

$

40,032

 

2,334

2,3

Luby's, Inc.

   

 

5,438

 

2,096

 

M.D.C. Holdings, Inc.

   

 

96,626

 

1,300

3

M/I Schottenstein Homes, Inc.

   

 

44,408

 

2,700

2

MTR Gaming Group, Inc.

   

 

21,870

 

4,500

2

Macrovision Corp.

   

 

79,515

 

4,900

2,3

Magna Entertainment Corp., Class A

   

 

23,765

 

2,117

 

Marcus Corp.

   

 

30,061

 

600

 

Marine Products Corp.

   

 

6,000

 

700

2

MarineMax, Inc.

   

 

8,057

 

1,096

2

Martha Stewart Living Omnimedia

   

 

9,513

 

3,300

2,3

Marvel Enterprises, Inc.

   

 

55,572

 

1,500

2

Maxwell Shoe Co., Inc., Class A

   

 

18,255

 

6,200

2,3

Mediacom Communications Corp.

   

 

61,938

 

3,331

2

Mens Wearhouse, Inc.

   

 

55,461

 

1,000

2

Meritage Corp.

   

 

38,150

 

300

2

Mestek, Inc.

   

 

5,457

 

889

2

Midas, Inc.

   

 

7,156

 

3,589

2,3

Midway Games, Inc.

   

 

11,305

 

3,121

 

Modine Manufacturing Co.

   

 

63,044

 

1,400

2

Modtech Holdings, Inc.

   

 

11,340

 

2,579

2,3

Monaco Coach Corp.

   

 

34,868

 

300

2

Monarch Casino & Resort, Inc.

   

 

2,586

 

900

2

Monro Muffler Brake, Inc.

   

 

20,160

 

500

2,3

Mossimo, Inc.

   

 

2,020

 

400

2

Mothers Work, Inc.

   

 

10,036

 

1,000

 

Movado Group, Inc.

   

 

20,500

 

1,875

2

Movie Gallery, Inc.

   

 

34,671

 

1,200

2,3

Multimedia Games, Inc.

   

 

30,228

 

536

 

National Presto Industries, Inc.

   

 

15,866

 

3,268

2

Nautica Enterprise, Inc.

   

 

37,190

 

1,300

2

Navigant International, Inc.

   

 

14,027

 

700

2,3

NetFlix, Inc.

   

 

16,030

 

2,021

2

O' Charleys, Inc.

   

 

40,905

 

2,800

2

Oakley, Inc.

   

 

29,400

 

12,833

2

Officemax, Inc.

   

 

72,506

 

1,513

 

Oneida Ltd.

   

 

16,688

 

1,159

 

OshKosh B'Gosh, Inc., Class A

   

 

35,210

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Discretionary--continued

   

 

 

 

500

2,3

Overstock.com, Inc.

   

$

4,000

 

600

3

Oxford Industries, Inc.

   

 

20,100

 

1,810

2,3

P. F. Chang's China Bistro, Inc.

   

 

75,839

 

952

2

PC Connections, Inc.

   

 

6,702

 

5,068

2

Pacific Sunwear of California

   

 

115,702

 

1,943

2,3

Palm Harbor Homes, Inc.

   

 

32,526

 

2,500

2,3

Panera Bread Co.

   

 

85,075

 

1,453

2,3

Papa Johns International, Inc.

   

 

34,552

 

1,191

2,3

Parkervision, Inc.

   

 

11,827

 

1,000

2

Party City Corp.

   

 

9,870

 

3,943

2

Paxson Communications Corp.

   

 

13,643

 

7,500

2

Payless ShoeSource, Inc.

   

 

118,950

 

3,420

2,3

Penn National Gaming, Inc.

   

 

66,793

 

2,922

2,3

Penton Media, Inc.

   

 

1,256

 

5,356

 

Pep Boys-Manny Moe & Jack

   

 

45,847

 

2,495

 

Phillips Van Heusen Corp.

   

 

33,134

 

2,711

2

Pinnacle Entertainment, Inc.

   

 

14,477

 

1,440

2,3

Playboy Enterprises, Inc., Class B

   

 

13,997

 

1,400

2

Pomeroy Computer Resources

   

 

10,150

 

14,100

2,3

Priceline.com, Inc.

   

 

31,302

 

457

2

Pricesmart, Inc.

   

 

7,243

 

4,971

2

Prime Hospitality Corp.

   

 

33,107

 

15,400

2

Primedia, Inc.

   

 

40,040

 

1,546

2,3

Private Media Group, Inc.

   

 

2,488

 

1,816

2,3

ProQuest Co.

   

 

45,545

 

1,217

 

Pulitzer, Inc.

   

 

56,749

 

1,300

3

Quaker Fabric Corp.

   

 

8,151

 

2,534

2

Quiksilver, Inc.

   

 

82,608

 

3,257

2

R.H. Donnelley Corp.

   

 

97,254

 

1,100

2

RC2 Corp.

   

 

17,468

 

2,297

2,3

Rare Hospitality International, Inc.

   

 

66,912

 

5,000

2

Raytech Corp.

   

 

38,550

 

2,916

2

Regent Communications, Inc.

   

 

17,467

 

5,071

 

Regis Corp. Minnesota

   

 

143,661

 

2,753

2

Rent-Way, Inc.

   

 

12,168

 

2,300

2,3

Restoration Hardware, Inc.

   

 

9,200

 

800

2,3

Rex Stores Corp.

   

 

8,584

 

970

 

Russ Berrie & Co., Inc.

   

 

31,894

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Discretionary--continued

   

 

 

 

2,691

 

Russell Corp.

   

$

51,452

 

4,854

2

Ryan's Family Steak Houses, Inc.

   

 

60,141

 

2,195

2,3

SCP Pool Corp.

   

 

72,457

 

10,059

2,3

SONICblue, Inc.

   

 

101

 

1,661

2

Saga Communications, Inc., Class A

   

 

33,552

 

1,033

2,3

Salem Communications Corp.

   

 

21,755

 

713

2,3

Salton, Inc.

   

 

9,126

 

1,076

 

Sauer-Danfoss, Inc.

   

 

9,749

 

1,860

2,3

School Specialty, Inc.

   

 

34,540

 

5,500

2,3

Scientific Games Holdings Corp.

   

 

35,860

 

900

2,3

Sharper Image Corp.

   

 

17,811

 

800

2

Shoe Carnival, Inc.

   

 

11,640

 

3,700

2

Shop At Home, Inc.

   

 

10,175

 

3,117

2,3

Shopko Stores, Inc.

   

 

37,498

 

1,900

2,3

Shuffle Master, Inc.

   

 

43,510

 

3,631

2

Sinclair Broadcast Group, Inc.

   

 

38,489

 

92,206

2

Sirius Satellite Radio, Inc.

   

 

68,232

 

1,936

2,3

Skechers USA, Inc., Class A

   

 

13,126

 

925

 

Skyline Corp.

   

 

27,380

 

4,013

2

Sonic Corp.

   

 

108,391

 

4,324

2

Spanish Broadcasting System, Inc.

   

 

33,165

 

1,500

 

Spartan Motors, Inc.

   

 

14,040

 

1,436

 

Speedway Motorsports, Inc.

   

 

34,909

 

3,700

2

Sports Authority, Inc.

   

 

31,931

 

2,700

2,3

Sports Resorts Int'l, Inc.

   

 

18,657

 

2,200

2

Stage Stores, Inc.

   

 

46,024

 

4,117

2

Stamps.com, Inc.

   

 

18,156

 

700

 

Standard Motor Products, Inc.

   

 

8,085

 

3,563

 

Standard Pacific Corp.

   

 

107,781

 

800

 

Stanley Furniture Co., Inc.

   

 

19,792

 

600

 

Starrett (L.S.) Co., Class A

   

 

8,478

 

3,820

2,3

Station Casinos, Inc.

   

 

82,550

 

2,461

2

Stein Mart, Inc.

   

 

13,462

 

600

2

Steinway Musical Instruments

   

 

8,460

 

970

2

Steven Madden Ltd.

   

 

17,188

 

1,498

2

Stoneridge, Inc.

   

 

16,178

 

500

2

Strattec Security Corp.

   

 

24,905

 

4,419

 

Stride Rite Corp.

   

 

38,931

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Discretionary--continued

   

 

 

 

2,152

 

Sturm Ruger & Co., Inc.

   

$

19,153

 

2,291

3

Superior Industries International, Inc.

   

 

90,632

 

1,800

2,3

TBC Corp.

   

 

28,800

 

200

2

Technical Olympic USA, Inc.

   

 

3,892

 

4,300

2

Tenneco Automotive, Inc.

   

 

16,813

 

2,532

2,3

The Boyds Collection Ltd.

   

 

12,685

 

3,063

3

The Nautilus Group, Inc.

   

 

38,900

 

2,669

2

The Steak n Shake Co.

   

 

30,880

 

900

2,3

Thomas Nelson, Inc.

   

 

8,325

 

1,618

3

Thor Industries, Inc.

   

 

51,744

 

2,431

2,3

TiVo, Inc.

   

 

14,464

 

3,826

2

Too, Inc.

   

 

71,011

 

2,752

3

Toro Co.

   

 

102,677

 

6,636

2

Tower Automotive, Inc.

   

 

18,581

 

1,500

2,3

Tractor Supply Co.

   

 

63,525

 

2,414

2

Trans World Entertainment Corp.

   

 

8,690

 

1,521

2

Triarc Cos., Inc.

   

 

42,132

 

900

2,3

Tropical Sportswear International Corp.

   

 

4,716

 

908

2

Tuesday Morning Corp.

   

 

21,229

 

6,196

3

Tupperware Corp.

   

 

85,877

 

2,397

2

Tweeter Home Entertainment Group, Inc.

   

 

13,807

 

1,399

2

Ultimate Electronics, Inc.

   

 

11,822

 

5,515

2

Unifi, Inc.

   

 

32,814

 

800

 

Unifirst Corp.

   

 

13,160

 

1,817

2,3

United Auto Group, Inc.

   

 

30,980

 

1,708

2

Universal Electronics, Inc.

   

 

17,866

 

800

2,3

Urban Outfitters, Inc.

   

 

23,856

 

843

2

Vail Resorts, Inc.

   

 

10,116

 

174

 

Value Line, Inc.

   

 

8,427

 

2,167

2,3

Valuevision International, Inc., Class A

   

 

27,499

 

2,180

2

Vans, Inc.

   

 

10,202

 

400

 

Virco Manufacturing Corp.

   

 

3,880

 

700

2

WCI Communities, Inc.

   

 

9,681

 

2,073

2

WESCO International, Inc.

   

 

8,997

 

2,456

2

WMS Industries, Inc.

   

 

33,131

 

3,503

 

Wellman, Inc.

   

 

40,074

 

1,300

2,3

West Marine, Inc.

   

 

21,242

 

2,775

2,3

Wet Seal, Inc., Class A

   

 

28,305

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Discretionary--continued

   

 

 

 

1,300

2

Whitehall Jewellers, Inc.

   

$

11,791

 

500

2,3

William Lyon Homes, Inc.

   

 

14,020

 

1,942

2

Wilsons The Leather Experts, Inc.

   

 

9,613

 

1,312

3

Winnebago Industries, Inc.

   

 

48,570

 

4,560

 

Wolverine World Wide, Inc.

   

 

84,086

 

1,197

2

World Wrestling Entertainment, Inc.

   

 

10,869

 

15,723

2

Wyndham International, Inc., Class A

   

 

3,145

 

7,555

2,3

XM Satellite Radio Holdings, Inc., Class A

   

 

73,057

 

2,986

2,3

Yankee Candle Co., Inc., The

   

 

65,423

 

1,526

2,3

Young Broadcasting, Inc., Class A

 

 

25,652

 

 

 

TOTAL

 

 

9,822,958

 

 

 

Consumer Staples--3.1%

   

 

 

 

2,400

2

7-Eleven, Inc.

   

 

21,576

 

300

3

Alico, Inc.

   

 

7,269

 

1,843

2,3

American Italian Pasta Co., Class A

   

 

81,276

 

200

2

Arden Group, Inc., Class A

   

 

11,824

 

3,187

2

Aurora Foods, Inc.

   

 

1,721

 

200

3

Bridgford Foods Corp.

   

 

1,450

 

6,161

2

Cadiz, Inc.

   

 

770

 

4,254

3

Casey's General Stores, Inc.

   

 

55,089

 

1,800

2,3

Central Garden & Pet Co.

   

 

43,614

 

1,300

2

Chattem, Inc.

   

 

17,771

 

4,200

2

Chiquita Brands International

   

 

56,490

 

142

 

Coca-Cola Bottling Co.

   

 

7,201

 

4,048

 

Corn Products International, Inc.

   

 

120,954

 

400

2

Del Laboratories, Inc.

   

 

9,264

 

20,700

2,3

Del Monte Foods Co.

   

 

164,565

 

4,054

3

Delta & Pine Land Co.

   

 

94,296

 

4,500

 

Dimon, Inc.

   

 

29,520

 

2,367

2,3

Duane Reade, Inc.

   

 

31,836

 

1,600

2,3

Elizabeth Arden, Inc.

   

 

20,320

 

81

 

Farmer Brothers Co.

   

 

26,345

 

2,400

 

Flowers Foods, Inc.

   

 

67,920

 

2,247

2,3

Great Atlantic & Pacific Tea Co., Inc.

   

 

13,707

 

600

2,3

Green Mountain Coffee, Inc.

   

 

10,350

 

2,766

2,3

Hain Celestial Group, Inc.

   

 

47,741

 

700

2

Horizon Organic Holding Corp.

   

 

9,660

 

990

 

Ingles Markets, Inc., Class A

   

 

9,771

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Staples--continued

   

 

 

 

200

 

Inter Parfums, Inc.

   

$

1,410

 

1,716

2

International Multifoods Corp.

   

 

32,861

 

4,868

 

Interstate Bakeries Corp.

   

 

50,968

 

700

2

J&J Snack Foods Corp.

   

 

21,924

 

2,695

 

Lance, Inc.

   

 

19,943

 

3,453

3

Longs Drug Stores Corp.

   

 

53,487

 

300

2

Maui Land & Pineapple Co., Inc.

   

 

6,258

 

1,062

2,3

Mondavi Robert Corp., Class A

   

 

26,061

 

1,500

2

Monterey Pasta Co.

   

 

5,265

 

4,530

2

NBTY, Inc.

   

 

70,215

 

1,400

3

Nash Finch Co.

   

 

17,500

 

400

2

National Beverage Corp.

   

 

5,600

 

1,200

 

Natures Sunshine Products, Inc.

   

 

11,364

 

4,907

 

Nu Skin Enterprises, Inc., Class A

   

 

44,163

 

3,700

2,3

Pathmark Stores, Inc.

   

 

25,863

 

1,200

2

Peet's Coffee & Tea, Inc.

   

 

20,412

 

1,000

2,3

Penn Traffic Co.

   

 

1,180

 

1,644

3

Pilgrim's Pride Corp.

   

 

14,303

 

3,025

2

Playtex Products, Inc.

   

 

22,234

 

3,267

2

Ralcorp Holdings, Inc.

   

 

81,348

 

3,519

2

Rayovac Corp.

   

 

36,598

 

788

2,3

Revlon, Inc., Class A

   

 

2,537

 

567

 

Riviana Foods, Inc.

   

 

14,776

 

3,464

 

Ruddick Corp.

   

 

46,106

 

800

 

Sanderson Farms, Inc.

   

 

15,168

 

1,593

 

Schweitzer-Mauduit International, Inc.

   

 

34,871

 

33

 

Seaboard Corp.

   

 

6,864

 

1,200

2

Seminis, Inc., Class A

   

 

3,924

 

4,763

3

Sensient Technologies Corp.

   

 

105,262

 

1,269

2

Smart & Final, Inc.

   

 

5,596

 

5,204

3

Smucker (J.M.) Co.

   

 

188,801

 

1,600

 

Standard Commercial Corp.

   

 

25,616

 

800

3

Tasty Baking Co.

   

 

7,160

 

1,200

2

The Boston Beer Co., Inc., Class A

   

 

15,576

 

4,048

2

Topps Co.

   

 

37,687

 

2,336

2,3

United Natural Foods, Inc.

   

 

68,188

 

2,988

 

Universal Corp.

   

 

116,681

 

2,412

3

Vector Group Ltd.

   

 

27,014

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Consumer Staples--continued

   

 

 

 

700

2

Virbac Corp.

   

$

3,990

 

1,949

 

WD 40 Co.

   

 

51,551

 

1,200

 

Weis Markets, Inc.

   

 

38,352

 

2,528

2

Wild Oats Markets, Inc.

 

 

27,353

 

 

 

TOTAL

 

 

2,374,330

 

 

 

Energy--3.8%

   

 

 

 

2,000

2

3TEC Energy Corp.

   

 

30,900

 

942

2

Atwood Oceanics, Inc.

   

 

24,539

 

1,697

 

Berry Petroleum Co., Class A

   

 

26,320

 

3,184

 

Cabot Oil & Gas Corp., Class A

   

 

78,008

 

4,378

2,3

Cal Dive International, Inc.

   

 

70,486

 

1,168

 

Carbo Ceramics, Inc.

   

 

43,940

 

19,321

3

Chesapeake Energy Corp.

   

 

155,727

 

2,546

2

Comstock Resources, Inc.

   

 

28,261

 

2,659

2,3

Denbury Resources, Inc.

   

 

28,185

 

681

2

Dril-Quip, Inc.

   

 

10,474

 

800

2

Encore Aquisition Co.

   

 

13,792

 

2,300

2,3

Energy Partners Ltd.

   

 

22,724

 

2,105

2,3

Evergreen Resources, Inc.

   

 

100,093

 

2,917

3

Frontier Oil Corp.

   

 

49,356

 

7,400

2

Global Industries Ltd.

   

 

32,856

 

18,398

2

Grey Wolf, Inc.

   

 

74,512

 

1,139

2

Gulf Island Fabrication, Inc.

   

 

19,067

 

1,500

2,3

Gulfmark Offshore, Inc.

   

 

19,800

 

5,400

2

Hanover Compressor Co.

   

 

45,414

 

3,800

2

Harvest Natural Resources, Inc.

   

 

19,380

 

1,000

 

Holly Corp.

   

 

28,490

 

1,947

2

Horizon Offshore, Inc.

   

 

7,145

 

1,500

2,3

Hydril Co.

   

 

35,715

 

4,964

2

Input/Output, Inc.

   

 

15,438

 

12,362

2

Key Energy Group, Inc.

   

 

124,485

 

3,368

2,3

Lone Star Technologies, Inc.

   

 

71,503

 

500

 

Lufkin Industries, Inc.

   

 

11,090

 

5,325

2,3

Magnum Hunter Resources, Inc.

   

 

29,980

 

4,203

2

Maverick Tube Corp.

   

 

74,771

 

3,486

2,3

Meridian Resource Corp.

   

 

3,835

 

1,000

2

NATCO Group, Inc., Class A

   

 

5,850

 

1,791

2

NS Group, Inc.

   

 

13,522

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Energy--continued

   

 

 

 

8,083

2

Newpark Resources, Inc.

   

$

37,909

 

1,956

2,3

Nuevo Energy Co.

   

 

26,210

 

2,592

2

Oceaneering International, Inc.

   

 

58,476

 

2,009

2

Offshore Logistics, Inc.

   

 

38,171

 

1,700

2

Oil States International, Inc.

   

 

19,346

 

3,006

3

Overseas Shipholding Group, Inc.

   

 

56,543

 

8,537

2

Parker Drilling Co.

   

 

16,733

 

2,630

 

Patina Oil & Gas Corp.

   

 

90,814

 

1,161

 

PennVirginia Corp.

   

 

45,233

 

300

2

Petroleum Helicopters, Inc.

   

 

7,629

 

4,100

2

PetroQuest Energy, Inc.

   

 

6,232

 

2,628

2,3

Plains Exploration & Production Co.

   

 

21,891

 

2,628

2

Plains Resources, Inc.

   

 

31,851

 

1,140

 

Prima Energy Corp.

   

 

22,379

 

1,100

2,3

Quicksilver Resources, Inc.

   

 

25,432

 

1,161

 

RPC Energy Services, Inc.

   

 

12,643

 

5,500

2

Range Resources Corp.

   

 

32,505

 

2,200

2,3

Remington Oil & Gas Corp.

   

 

34,474

 

1,600

 

Resource America, Inc., Class A

   

 

13,296

 

1,906

2

SEACOR SMIT, Inc.

   

 

68,273

 

2,510

2

Spinnaker Exploration Co.

   

 

53,714

 

3,058

3

St. Mary Land & Exploration Co.

   

 

78,346

 

2,331

2

Stone Energy Corp.

   

 

81,888

 

5,319

2

Superior Energy Services, Inc.

   

 

48,137

 

2,523

2

Swift Energy Co.

   

 

20,991

 

2,199

2

Syntroleum Corp.

   

 

5,190

 

7,220

2,3

Tesoro Petroleum Corp.

   

 

56,099

 

1,400

2,3

Tetra Technologies, Inc.

   

 

37,240

 

2,700

2

The Exploration Co. of Delaware

   

 

8,127

 

1,120

2

The Houston Exploration Co.

   

 

31,326

 

4,120

2

Tom Brown, Inc.

   

 

101,022

 

1,802

2

Transmontaigne, Co.

   

 

7,839

 

2,532

2

Trico Marine Services, Inc.

   

 

5,013

 

4,738

2

Unit Corp.

   

 

92,865

 

1,767

2

Universal Compression Holdings, Inc.

   

 

32,053

 

3,359

2

Veritas DGC, Inc.

   

 

23,009

 

5,834

 

Vintage Petroleum, Inc.

   

 

57,057

 

3,000

2

W-H Energy Services, Inc.

   

 

54,000

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Energy--continued

   

 

 

 

2,287

 

Western Gas Resources, Inc.

   

$

83,887

 

2,559

2,3

Westport Resources Corp.

 

 

53,330

 

 

 

TOTAL

 

 

2,912,831

 

 

 

Financials--21.5%

   

 

 

 

1,458

 

1st Source Corp.

   

 

19,319

 

700

 

ABC Bancorp

   

 

9,870

 

2,000

 

Acadia Realty Trust

   

 

18,100

 

2,400

 

Advanta Corp., Class B

   

 

18,936

 

996

 

Alabama National Bancorp

   

 

45,896

 

219

2,3

Alexander's, Inc.

   

 

16,046

 

2,050

 

Alexandria Real Estate Equities, Inc.

   

 

86,715

 

3,862

 

Alfa Corp.

   

 

49,858

 

1,800

 

Allegiant Bancorp, Inc.

   

 

30,978

 

2,680

3

Amcore Financial, Inc.

   

 

62,766

 

21,200

2,3

AmeriTrade Holding Corp.

   

 

106,424

 

5,976

3

American Capital Strategies Ltd.

   

 

144,978

 

1,300

 

American Home Mortgage Holdings, Inc.

   

 

15,860

 

700

2

American Medical Security Group, Inc.

   

 

11,900

 

400

3

American National Bankshares, Inc.

   

 

9,804

 

1,200

2

American Physicians Capital, Inc.

   

 

27,252

 

1,488

3

Amli Residential Properties Trust

   

 

33,688

 

2,305

 

Anchor Bancorp Wisconsin, Inc.

   

 

53,361

 

5,100

 

Anthracite Capital, Inc.

   

 

60,435

 

2,400

 

Anworth Mortgage Asset Corp.

   

 

33,552

 

2,900

3

Apex Mortgage Capital, Inc.

   

 

18,966

 

2,369

2

Argonaut Group, Inc.

   

 

23,880

 

986

 

Arrow Financial Corp.

   

 

28,486

 

1,600

 

Associated Estates Realty Corp.

   

 

9,616

 

500

2

Avatar Holdings, Inc.

   

 

12,440

 

700

 

BKF Capital Group, Inc.

   

 

11,865

 

881

 

BSB Bancorp, Inc.

   

 

21,276

 

1,073

 

Baldwin & Lyons, Inc., Class B

   

 

24,679

 

1,200

 

Banc Corp.

   

 

6,900

 

389

 

BancFirst Corp.

   

 

19,384

 

1,490

 

Bank Granite Corp.

   

 

25,866

 

1,100

 

Bank Mutual Corp.

   

 

32,747

 

400

 

Bank of the Ozarks, Inc.

   

 

13,600

 

4,600

 

BankAtlantic Bancorp, Inc., Class A

   

 

52,992

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

2,700

2

BankUnited Financial Corp., Class A

   

$

51,003

 

1,200

 

Banner Corp.

   

 

19,908

 

6,885

2

BayView Capital Corp.

   

 

39,451

 

1,573

 

Bedford Property Investors, Inc.

   

 

41,920

 

500

 

Berkshire Hills Bancorp, Inc.

   

 

13,200

 

2,500

 

Boston Private Financial Holdings

   

 

47,125

 

300

 

BostonFed Bancorp, Inc.

   

 

7,875

 

2,831

 

Boykin Lodging Co.

   

 

23,243

 

2,934

 

Brandywine Realty Trust

   

 

65,428

 

7,150

 

Brookline Bancorp, Inc.

   

 

95,595

 

200

 

Bryn Mawr Bank Corp.

   

 

7,150

 

500

 

CB Bancshares, Inc.

   

 

33,990

 

2,364

 

CBL & Associates Properties, Inc.

   

 

100,352

 

900

 

CCBT Financial Cos., Inc.

   

 

20,358

 

1,900

 

CFS Bancorp, Inc.

   

 

26,619

 

1,572

2

CNA Surety Corp.

   

 

14,431

 

1,868

3

CPB, Inc.

   

 

47,541

 

3,691

 

CVB Financial Corp.

   

 

74,927

 

300

 

California First National Bancorp

   

 

2,964

 

700

 

Camden National Corp.

   

 

17,745

 

3,272

3

Capital Automotive

   

 

84,712

 

670

 

Capital City Bank Group, Inc.

   

 

25,815

 

800

 

Capitol Bancorp Ltd.

   

 

16,993

 

1,483

3

Capstead Mortgage Corp.

   

 

16,506

 

1,800

 

Cascade Bancorp

   

 

28,532

 

2,757

 

Cash America International, Inc.

   

 

28,287

 

1,722

 

Cathay Bancorp, Inc.

   

 

74,907

 

823

2

Central Coast Bancorp

   

 

14,065

 

200

 

Century Bancorp, Inc., Class A

   

 

5,164

 

2,200

2

Ceres Group, Inc.

   

 

5,192

 

200

3

Charter Financial Corp.

   

 

6,260

 

5,160

 

Charter Municipal Mortgage Acceptance Co.

   

 

98,298

 

2,443

 

Chateau Communities, Inc.

   

 

52,818

 

3,434

 

Chelsea Property Group, Inc.

   

 

136,192

 

2,568

 

Chemical Financial Corp.

   

 

75,628

 

4,150

3

Chittenden Corp.

   

 

112,257

 

1,500

 

Citizens First Bancorp, Inc.

   

 

31,125

 

2,600

2,3

Citizens, Inc., Class A

   

 

16,432

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

1,188

 

City Bank Lynwood, WA

   

$

28,322

 

1,900

 

City Holding Co.

   

 

54,359

 

1,600

2,3

Clark/Bardes, Inc.

   

 

18,720

 

750

 

CoBiz, Inc.

   

 

10,560

 

700

 

Coastal Bancorp, Inc.

   

 

21,028

 

600

 

Coastal Financial Corp.

   

 

7,659

 

1,584

 

Colonial Properties Trust

   

 

53,872

 

400

 

Columbia Bancorp

   

 

10,256

 

1,920

 

Columbia Banking Systems, Inc.

   

 

29,606

 

2,689

 

Commerce Group, Inc.

   

 

99,654

 

5,374

 

Commercial Federal Corp.

   

 

115,648

 

3,986

3

Commercial Net Lease Realty

   

 

64,414

 

1,300

 

Community Bank System, Inc.

   

 

45,045

 

772

 

Community Banks, Inc.

   

 

22,381

 

4,901

 

Community First Bankshares, Inc.

   

 

131,940

 

1,210

 

Community Trust Bancorp, Inc.

   

 

32,573

 

1,967

2,3

CompuCredit Corp.

   

 

14,890

 

1,300

 

Connecticut Bancshares, Inc.

   

 

55,535

 

5,078

 

Cornerstone Realty Income Trust, Inc.

   

 

35,648

 

1,500

3

Corporate Office Properties Trust

   

 

22,875

 

1,400

 

Correctional Properties Trust

   

 

30,870

 

3,097

2

Corrections Corp. America

   

 

65,811

 

1,281

 

Corus Bankshares, Inc.

   

 

55,224

 

3,362

3

Crawford & Co., Class B

   

 

16,575

 

1,325

2

Credit Acceptance Corp.

   

 

10,229

 

3,800

 

Crown American Realty Trust

   

 

38,836

 

1,326

2

DVI, Inc.

   

 

12,067

 

1,417

 

Delphi Financial Group, Inc., Class A

   

 

62,419

 

2,805

 

Dime Community Bancorp, Inc.

   

 

64,683

 

100

 

EMC Insurance Group, Inc.

   

 

1,913

 

2,937

3

East West Bancorp, Inc.

   

 

99,417

 

1,587

 

EastGroup Properties, Inc.

   

 

41,230

 

1,832

 

Entertainment Properties Trust

   

 

49,372

 

4,491

 

Equity Inns, Inc.

   

 

30,135

 

3,468

3

Equity One, Inc.

   

 

55,107

 

1,723

3

Essex Property Trust, Inc.

   

 

94,713

 

1,700

2

Euronet Services, Inc., ADR

   

 

14,960

 

1,111

 

F & M Bancorp

   

 

53,406

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

1,228

 

FBL Financial Group, Inc., Class A

   

$

24,658

 

500

 

FNB Corp.

   

 

14,650

 

1,200

2,3

FPIC Insurance Group, Inc.

   

 

11,712

 

704

 

Farmers Capital Bank Corp.

   

 

23,134

 

900

2,3

Federal Agricultural Mortgage Association, Class C

   

 

21,330

 

4,745

 

Federal Realty Investment Trust

   

 

146,241

 

5,192

3

FelCor Lodging Trust, Inc.

   

 

36,811

 

2,200

 

Fidelity Bankshares, Inc.

   

 

46,662

 

1,329

2

Financial Federal Corp.

   

 

29,770

 

700

 

Financial Industries Corp.

   

 

10,416

 

900

 

Financial Institutions, Inc.

   

 

19,773

 

3,636

 

First BanCorp

   

 

112,243

 

700

 

First Bancorp, Inc.

   

 

18,060

 

964

 

First Busey Corp.

   

 

22,856

 

3,386

 

First Charter Corp.

   

 

58,815

 

667

 

First Citizens Bancshares, Inc., Class A

   

 

64,872

 

7,331

 

First Commmonwealth Financial Corp.

   

 

88,558

 

1,400

 

First Community Bancorp

   

 

41,706

 

880

 

First Community Bancshares, Inc.

   

 

28,943

 

300

 

First Defiance Financial Corp.

   

 

5,889

 

1,000

 

First Essex Bancorp, Inc.

   

 

34,999

 

2,016

 

First Federal Capital Corp.

   

 

38,102

 

3,941

 

First Financial Bancorp

   

 

61,795

 

1,287

 

First Financial Bankshares, Inc.

   

 

51,504

 

744

 

First Financial Corp.

   

 

37,944

 

1,472

 

First Financial Holdings, Inc.

   

 

39,625

 

1,233

 

First Indiana Corp.

   

 

20,566

 

1,429

 

First Merchants Corp.

   

 

34,024

 

750

 

First National Corp.

   

 

19,388

 

3,106

 

First Niagara Financial Group, Inc.

   

 

37,738

 

300

 

First Oak Brook Bancshares, Inc.

   

 

9,270

 

1,700

 

First Place Financial Corp.

   

 

27,217

 

1,100

2

First Republic Bank

   

 

27,610

 

2,633

 

First Sentinel Bancorp, Inc.

   

 

39,808

 

200

 

First South Bancorp, Inc.

   

 

6,516

 

1,000

 

First State Bancorporation

   

 

24,510

 

700

 

FirstFed America Bancorp, Inc.

   

 

21,560

 

1,838

2,3

FirstFed Financial Corp.

   

 

59,717

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

1,825

 

Flagstar Bancorp, Inc.

   

$

60,408

 

1,550

 

Flushing Financial Corp.

   

 

29,605

 

100

 

Franklin Financial Corp.

   

 

2,966

 

6,433

3

Fremont General Corp.

   

 

60,213

 

9,897

 

Friedman, Billings, Ramsey Group, Inc., Class A

   

 

108,669

 

1,796

 

Frontier Financial Corp.

   

 

48,654

 

822

 

GBC Bancorp

   

 

22,580

 

722

2,3

Gabelli Asset Management, Inc., Class A

   

 

22,570

 

2,707

 

Gables Residential Trust

   

 

76,825

 

992

 

German American Bancorp

   

 

17,320

 

1,700

 

Getty Realty Holding Corp.

   

 

33,813

 

1,600

 

Glacier Bancorp, Inc.

   

 

44,640

 

1,693

 

Glenborough Realty Trust, Inc.

   

 

28,070

 

3,265

 

Glimcher Realty Trust

   

 

67,455

 

4,310

 

Gold Banc Corp., Inc.

   

 

37,928

 

584

 

Great American Financial Resources, Inc.

   

 

8,264

 

1,462

 

Great Lakes REIT, Inc.

   

 

21,579

 

600

 

Great Southern Bancorp, Inc.

   

 

22,770

 

16,161

 

HRPT Properties Trust

   

 

145,934

 

1,753

3

Hancock Holding Co.

   

 

79,323

 

800

 

Hanmi Financial Corp.

   

 

13,360

 

2,375

 

Harbor Florida Bancshares, Inc.

   

 

63,246

 

3,254

3

Harleysville Group, Inc.

   

 

76,794

 

2,091

 

Harleysville National Corp.

   

 

55,412

 

700

2

Hawthorne Financial Corp.

   

 

21,560

 

4,921

 

Health Care REIT, Inc.

   

 

140,101

 

2,100

2,3

HealthExtras, Inc.

   

 

9,345

 

5,220

 

Healthcare Realty Trust, Inc.

   

 

143,707

 

1,800

 

Heritage Property Investment

   

 

45,720

 

3,696

3

Hilb Rogal & Hamilton Co.

   

 

131,393

 

2,915

 

Home Properties of New York, Inc.

   

 

101,238

 

3,893

 

Horace Mann Educators Corp.

   

 

57,500

 

1,600

 

Hudson River Bancorp, Inc.

   

 

39,328

 

1,640

 

Humboldt Bancorp

   

 

21,271

 

4,900

 

IMPAC Mortgage Holdings, Inc.

   

 

65,268

 

500

2

ITLA Capital Corp.

   

 

17,875

 

1,000

3

Iberiabank Corp.

   

 

43,550

 

2,200

2

IDine Rewards Network, Inc.

   

 

21,450

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

32

2

Imperial Credit Industries, Inc., Warrants

   

$

0

 

200

 

Independence Holdings Co.

   

 

3,900

 

1,600

 

Independent Bank Corp.- Massachusetts

   

 

32,448

 

2,529

 

Independent Bank Corp.- Michigan

   

 

60,266

 

2,701

 

Innkeepers USA Trust

   

 

20,366

 

2,113

2,3

Insignia Financial Group, Inc.

   

 

23,454

 

2,162

 

Integra Bank Corp.

   

 

36,819

 

600

 

Interchange Financial Services Corp.

   

 

10,710

 

2,493

 

International Bancshares Corp.

   

 

109,218

 

3,000

 

Investors Real Estate Trust

   

 

29,400

 

1,707

3

Irwin Financial Corp.

   

 

40,456

 

2,125

 

Jefferies Group, Inc.

   

 

82,493

 

3,383

2

Jones Lang LaSalle, Inc.

   

 

50,982

 

555

 

Kansas City Life Insurance Co.

   

 

22,577

 

1,600

3

Keystone Property Trust

   

 

27,520

 

3,296

3

Kilroy Realty Corp.

   

 

81,807

 

9,100

2,3

Knight Trading Group, Inc.

   

 

46,046

 

2,129

 

Koger Equity, Inc.

   

 

34,064

 

2,000

 

Kramont Realty Trust

   

 

30,600

 

2,721

3

LNR Property Corp.

   

 

95,834

 

700

3

LSB Bancshares, Inc.

   

 

12,250

 

1,100

 

LTC Properties, Inc.

   

 

8,470

 

15,168

2

La Quinta Properties, Inc.

   

 

51,420

 

2,320

3

LaSalle Hotel Properties

   

 

32,457

 

1,212

3

Lakeland Bancorp, Inc.

   

 

19,162

 

300

 

Lakeland Financial Corp.

   

 

7,863

 

2,239

 

LandAmerica Financial Group, Inc.

   

 

91,956

 

2,730

3

Lexington Corporate Properties Trust

   

 

47,065

 

2,100

2

Local Financial Corp.

   

 

31,500

 

2,552

 

MAF Bancorp, Inc.

   

 

86,156

 

800

 

MASSBANK Corp.

   

 

24,663

 

1,300

 

MB Financial, Inc.

   

 

48,841

 

2,500

3

MCG Capital Corp.

   

 

26,875

 

4,800

 

MFA Mortgage Investments, Inc.

   

 

44,976

 

500

 

Macatawa Bank Corp.

   

 

12,800

 

4,991

 

Macerich Co. (The)

   

 

164,703

 

1,000

3

Main Street Banks, Inc.

   

 

21,140

 

415

 

MainSource Financial Group, Inc.

   

 

10,031

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

1,351

 

Manufactured Home Communities, Inc.

   

$

43,286

 

200

 

Merchants Bancshares, Inc.

   

 

4,670

 

4,465

 

MeriStar Hospitality Corp.

   

 

18,574

 

3,600

3

Metris Cos., Inc.

   

 

12,996

 

1,381

 

Mid-American Apartment Communities, Inc.

   

 

35,492

 

1,900

 

Mid-Atlantic Realty Trust

   

 

35,207

 

2,640

 

Mid-State Bancshares

   

 

48,576

 

788

 

Midland Co.

   

 

16,067

 

900

3

Midwest Banc Holdings, Inc.

   

 

16,191

 

2,674

 

Mills Corp.

   

 

85,461

 

1,600

 

Mission West Properties, Inc.

   

 

15,776

 

200

 

NASB Financial, Inc.

   

 

4,903

 

666

 

NBC Capital Corp.

   

 

16,384

 

3,223

 

NBT Bancorp, Inc.

   

 

58,626

 

700

 

Nara Bancorp, Inc.

   

 

10,319

 

2,221

 

National Health Investors, Inc.

   

 

36,091

 

300

 

National Health Realty, Inc.

   

 

4,551

 

2,020

 

National Penn Bancshares, Inc.

   

 

60,095

 

291

2

National Western Life Insurance Co., Class A

   

 

28,841

 

5,401

 

Nationwide Health Properties, Inc.

   

 

75,614

 

400

2,3

Navigators Group, Inc.

   

 

10,740

 

5,717

 

Net.B@nk, Inc.

   

 

57,056

 

1,700

3

New Century Financial Corp.

   

 

62,611

 

1,300

 

Northwest Bancorp, Inc.

   

 

21,190

 

1,200

3

Novastar Financial, Inc.

   

 

51,540

 

300

 

Nymagic, Inc.

   

 

6,600

 

1,508

 

OceanFirst Financial Corp.

   

 

33,447

 

4,105

2

Ocwen Financial Corp.

   

 

14,696

 

2,200

3

Odyssey Re Holdings Corp.

   

 

46,200

 

6,119

2,3

Ohio Casualty Corp.

   

 

76,640

 

799

 

Old Second Bancorp, Inc.

   

 

31,680

 

839

 

Omega Financial Corp.

   

 

29,390

 

1,400

2

Omega Healthcare Investors

   

 

3,836

 

1,490

 

Oriental Financial Group

   

 

36,654

 

1,251

 

PFF Bancorp, Inc.

   

 

42,146

 

1,066

2

PICO Holdings, Inc.

   

 

14,828

 

3,319

3

PMA Capital Corp.

   

 

28,344

 

1,129

 

PS Business Parks, Inc.

   

 

35,123

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

3,817

 

Pacific Capital Bancorp

   

$

124,476

 

2,214

3

Pacific Northwest Bancorp

   

 

62,346

 

1,000

 

Pacific Union Bank

   

 

13,000

 

4,312

 

Pan Pacific Retail Properties, Inc.

   

 

168,685

 

300

 

Parkvale Financial Corp.

   

 

6,825

 

840

 

Parkway Properties, Inc.

   

 

32,441

 

800

 

Partners Trust Financial Group, Inc.

   

 

15,760

 

600

 

Peapack-Gladstone Financial Corp.

   

 

17,256

 

600

 

PennFed Financial Services, Inc.

   

 

16,170

 

640

 

PennRock Financial Services Corp.

   

 

18,976

 

1,569

3

Pennsylvania Real Estate Investment Trust

   

 

44,795

 

900

3

Peoples Bancorp, Inc.

   

 

20,745

 

600

 

Peoples Holding Co.

   

 

26,250

 

1,868

2,3

Philadelphia Consolidated Holding Corp.

   

 

72,871

 

700

 

Port Financial Corp.

   

 

37,590

 

3,700

 

Post Properties, Inc.

   

 

95,312

 

3,936

 

Prentiss Properties Trust

   

 

108,240

 

2,253

 

Presidential Life Corp.

   

 

18,204

 

1,300

2

Price Legacy Corp.

   

 

3,640

 

500

 

PrivateBancorp, Inc.

   

 

12,010

 

2,580

2

ProAssurance Corp.

   

 

66,796

 

1,800

 

Prosperity Bancshares, Inc.

   

 

31,716

 

300

 

Provident Bancorp, Inc.

   

 

9,870

 

3,115

 

Provident Bankshares Corp.

   

 

79,121

 

900

2

Quaker City Bancorp, Inc.

   

 

33,265

 

1,715

 

R&G Financial Corp., Class B

   

 

46,442

 

1,700

 

RAIT Investment Trust

   

 

38,250

 

3,131

3

RFS Hotel Investors, Inc.

   

 

33,627

 

1,910

 

RLI Corp.

   

 

56,441

 

1,300

 

Ramco-Gershenson Properties

   

 

29,705

 

3,943

 

Realty Income Corp.

   

 

148,257

 

1,200

 

Redwood Trust, Inc.

   

 

39,888

 

700

 

Republic Bancorp, Inc.

   

 

9,142

 

6,501

3

Republic Bancorp, Inc.

   

 

84,448

 

800

 

Republic Bancshares, Inc.

   

 

17,128

 

1,620

 

Riggs National Corp.

   

 

22,421

 

436

 

Royal Bancshares of Pennsylvania

   

 

8,873

 

2,871

3

S & T Bancorp, Inc.

   

 

79,096

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

600

 

S.Y. Bancorp, Inc.

   

$

22,440

 

2,863

3

SL Green Realty Corp.

   

 

92,274

 

1,542

3

SWS Group, Inc.

   

 

25,551

 

1,919

 

Sandy Spring Bancorp, Inc.

   

 

60,832

 

867

 

Santander BanCorp

   

 

12,398

 

1,129

 

Saul Centers, Inc.

   

 

26,633

 

3,100

2

Saxon Capital, Inc.

   

 

45,725

 

1,700

 

Seacoast Banking Corp. of Florida

   

 

31,416

 

2,624

 

Seacoast Financial Services Corp.

   

 

49,515

 

900

 

Second Bancorp, Inc.

   

 

21,375

 

2,896

 

Selective Insurance Group, Inc.

   

 

72,661

 

4,943

 

Senior Housing Properties Trust

   

 

61,689

 

3,678

 

Shurgard Storage Centers, Inc., Class A

   

 

120,160

 

700

 

Simmons 1st National Corp., Class A

   

 

26,348

 

2,800

3

Sizeler Property Investment, Inc.

   

 

27,720

 

7,943

2

Soundview Technology Group, Inc.

   

 

12,391

 

5,498

 

South Financial Group, Inc.

   

 

134,701

 

400

 

Southwest Bancorp, Inc.

   

 

9,632

 

3,295

2,3

Southwest Bancorp of Texas, Inc.

   

 

111,964

 

1,355

 

Sovran Self Storage, Inc.

   

 

39,783

 

1,300

 

St. Francis Capital Corp.

   

 

32,617

 

1,247

 

State Auto Financial Corp.

   

 

23,444

 

500

 

State Bancorp, Inc.

   

 

9,390

 

6,606

 

Staten Island Bancorp, Inc.

   

 

113,359

 

1,176

 

Sterling Bancorp

   

 

32,128

 

4,174

 

Sterling Bancshares, Inc.

   

 

49,696

 

1,100

2

Sterling Financial Corp.

   

 

26,279

 

1,800

 

Sterling Financial Corp.

   

 

43,290

 

1,877

2

Stewart Information Services Corp.

   

 

50,078

 

1,300

 

Suffolk Bancorp

   

 

40,872

 

300

3

Summit Bancshares, Inc.

   

 

6,861

 

2,365

 

Summit Properties, Inc.

   

 

45,692

 

525

2

Sun Bancorp, Inc.

   

 

8,421

 

200

3

Sun Bancorp, Inc.

   

 

4,068

 

1,666

 

Sun Communities, Inc.

   

 

64,208

 

500

 

Superior Financial Corp.

   

 

9,520

 

5,139

 

Susquehanna Bankshares, Inc.

   

 

116,912

 

595

3

Tanger Factory Outlet Centers, Inc.

   

 

19,159

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

3,146

 

Taubman Centers, Inc.

   

$

55,086

 

708

2

Tejon Ranch Co.

   

 

19,661

 

3,020

 

Texas Regional Bancshares, Inc., Class A

   

 

109,626

 

200

 

The First of Long Island Corp.

   

 

6,818

 

2,445

 

The Trust Co. of New Jersey

   

 

68,509

 

5,700

 

Thornburg Mortgage Asset Co.

   

 

127,680

 

700

 

Tompkins County Trust Co., Inc.

   

 

32,200

 

2,316

 

Town & Country Trust

   

 

51,600

 

3,425

2

Trammell Crow Co.

   

 

29,798

 

100

2

Transcontinental Realty Investors, Inc.

   

 

1,800

 

300

 

TriCo Bancshares

   

 

7,359

 

867

2,3

Triad Guaranty, Inc.

   

 

34,541

 

920

3

Troy Financial Corp.

   

 

24,868

 

8,531

 

Trustco Bank Corp.

   

 

88,978

 

4,360

3

UCBH Holdings, Inc.

   

 

110,918

 

4,258

2

UICI

   

 

50,670

 

1,850

 

UMB Financial Corp.

   

 

73,168

 

3,200

 

US Restaurant Properties

   

 

46,848

 

1,201

 

USB Holdings Co., Inc.

   

 

19,817

 

3,524

 

Umpqua Holdings Corp.

   

 

69,247

 

700

 

Union Bankshares Corp.

   

 

18,844

 

4,489

 

United Bankshares, Inc.

   

 

129,642

 

1,900

 

United Community Banks, Inc.

   

 

48,146

 

3,172

 

United Community Financial Corp.

   

 

28,992

 

700

3

United Fire & Casualty Co.

   

 

22,526

 

1,816

 

United National Bancorp

   

 

46,853

 

3,100

2

Universal American Financial Corp.

   

 

18,073

 

1,200

 

Universal Health Realty Trust, Inc.

   

 

31,380

 

3,060

 

Unizan Financial Corp.

   

 

53,305

 

1,500

 

Urstadt Biddle Properties, Class A

   

 

18,300

 

7,625

 

Ventas, Inc.

   

 

99,125

 

3,800

 

Vesta Insurance Group, Inc.

   

 

9,690

 

700

 

Virginia Financial Group, Inc.

   

 

21,910

 

4,696

 

W Holding Co., Inc.

   

 

92,464

 

761

2

WFS Financial, Inc.

   

 

17,282

 

1,100

 

WSFS Financial Corp.

   

 

37,840

 

300

 

Warwick Community Bancorp

   

 

9,090

 

4,002

 

Washington Real Estate Investment Trust

   

 

104,612

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Financials--continued

   

 

 

 

1,200

 

Washington Trust Bancorp

   

$

24,636

 

4,600

 

Waypoint Financial Corp.

   

 

83,950

 

400

2

Wellsford Real Properties

   

 

6,280

 

2,335

 

Wesbanco, Inc.

   

 

58,209

 

1,600

 

West Coast Bancorp

   

 

24,880

 

1,347

 

Westcorp, Inc.

   

 

28,556

 

100

 

Westfield Financial, Inc.

   

 

1,715

 

300

 

Willow Grove Bancorp, Inc.

   

 

4,512

 

1,400

 

Winston Hotels, Inc.

   

 

10,780

 

1,899

3

Wintrust Financial Corp.

   

 

57,730

 

1,200

2

World Acceptance Corp.

   

 

13,008

 

1,100

 

Yardville National Bancorp

   

 

20,042

 

879

3

Zenith National Insurance Corp.

 

 

22,634

 

 

 

TOTAL

 

 

16,294,298

 

 

 

Healthcare--11.9%

   

 

 

 

700

2,3

1-800 CONTACTS, Inc.

   

 

15,057

 

6,300

2

AVANIR Pharmaceuticals, Class A

   

 

9,072

 

2,050

2,3

aaiPharma, Inc.

   

 

23,165

 

8,800

2,3

Abgenix, Inc.

   

 

83,600

 

1,594

2,3

Abiomed, Inc.

   

 

6,440

 

3,700

2,3

Adolor Corp.

   

 

51,763

 

1,000

2,3

Advanced Neuromodulation Systems, Inc.

   

 

41,870

 

700

2

Advisory Board Co.

   

 

25,634

 

2,800

2,3

Aksys Ltd.

   

 

21,812

 

1,500

2,3

Alaris Medical, Inc.

   

 

14,325

 

2,494

2,3

Albany Molecular Research, Inc.

   

 

28,781

 

4,400

2

Alderwoods Group, Inc.

   

 

21,428

 

2,103

2,3

Alexion Pharmaceuticals, Inc.

   

 

27,739

 

3,600

2,3

Align Technology, Inc.

   

 

27,000

 

6,300

2,3

Alkermes, Inc.

   

 

62,874

 

1,400

2

Alliance Imaging, Inc.

   

 

5,978

 

2,500

2,3

Allos Therapeutics, Inc.

   

 

4,700

 

3,245

3

Alpharma, Inc., Class A

   

 

60,519

 

1,350

2,3

American Healthcorp, Inc.

   

 

33,331

 

2,200

2,3

American Medical Systems Holdings, Inc.

   

 

34,914

 

1,000

2,3

American Pharmaceutical Partners, Inc.

   

 

23,350

 

1,100

2

Amerigroup Corp.

   

 

32,032

 

2,400

2,3

Amsurg Corp.

   

 

62,328

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Healthcare--continued

   

 

 

 

8,020

2,3

Amylin Pharmaceuticals, Inc.

   

$

153,583

 

2,634

2,3

Antigenics, Inc.

   

 

25,919

 

2,793

2,3

Aphton Corp.

   

 

9,329

 

7,700

2

Applera Corp.

   

 

80,850

 

1,800

2,3

Applied Molecular Evolution

   

 

6,066

 

4,556

2,3

Apria Healthcare Group, Inc.

   

 

106,838

 

2,300

2

ArQule, Inc.

   

 

9,062

 

2,200

2,3

Arena Pharmaceuticals, Inc.

   

 

14,256

 

3,902

2

Ariad Pharmaceutiacals, Inc.

   

 

7,921

 

2,200

2,3

Array BioPharma, Inc.

   

 

4,972

 

987

 

Arrow International, Inc.

   

 

42,105

 

2,462

2

Arthrocare Corp.

   

 

37,619

 

3,500

2,3

AtheroGenics, Inc.

   

 

31,850

 

2,300

2,3

Atrix Labs, Inc.

   

 

40,388

 

2,275

2,3

Avigen, Inc.

   

 

6,893

 

1,300

2

Bentley Pharmaceuticals, Inc.

   

 

11,609

 

10,746

2

Beverly Enterprises, Inc.

   

 

20,525

 

1,840

2

Bio Rad Laboratories, Inc., Class A

   

 

86,020

 

1,200

2,3

Bio-Reference Laboratories, Inc.

   

 

5,640

 

6,457

2

Bio-Technology General Corp.

   

 

22,341

 

4,594

2,3

BioMarin Pharmaceutical, Inc.

   

 

50,442

 

400

2

BioReliance Corp.

   

 

7,972

 

2,481

2,3

Biopure Corp.

   

 

8,683

 

1,303

2,3

Biosite Diagnostics, Inc.

   

 

55,612

 

1,053

2

Bone Care International, Inc.

   

 

8,171

 

1,100

2

Bradley Pharmaceuticals, Inc.

   

 

15,851

 

194

2,3

BriteSmile, Inc.

   

 

3,234

 

400

2

Bruker AXS, Inc.

   

 

824

 

1,600

2,3

Bruker Daltonics, Inc.

   

 

5,456

 

3,302

2

CONMED Corp.

   

 

57,521

 

3,057

2

CV Therapeutics, Inc.

   

 

61,079

 

2,720

2,3

Caliper Technologies Corp.

   

 

9,275

 

700

2

Cantel Medical Corp.

   

 

9,555

 

6,100

2

Cardiac Science, Inc.

   

 

14,396

 

3,971

2

CardioDynamics International Corp.

   

 

10,960

 

3,890

2,3

Cell Genesys, Inc.

   

 

34,699

 

3,706

2,3

Cell Therapeutics, Inc.

   

 

33,354

 

700

2,3

Centene Corp.

   

 

22,424

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Healthcare--continued

   

 

 

 

3,100

2,3

Cepheid, Inc.

   

$

11,656

 

1,652

2,3

Cerus Corp.

   

 

13,381

 

1,400

2

Cholestech Corp.

   

 

16,170

 

1,600

2,3

Cima Labs, Inc.

   

 

38,640

 

2,200

2,3

Ciphergen Biosystems, Inc.

   

 

10,758

 

504

2

Closure Medical Corp.

   

 

9,097

 

1,100

2

Cobalt Corp.

   

 

18,095

 

2,688

2,3

Columbia Laboratories, Inc.

   

 

13,279

 

300

2

Computer Programs & Systems, Inc.

   

 

5,793

 

2,000

2,3

Conceptus, Inc.

   

 

20,860

 

3,593

2

Connetics Corp.

   

 

60,686

 

3,386

3

Cooper Companies, Inc.

   

 

94,469

 

5,431

2,3

Corixa Corp.

   

 

38,940

 

714

2

Corvel Corp.

   

 

22,348

 

7,043

2,3

Covance, Inc.

   

 

124,872

 

3,600

2

Cross Country, Inc.

   

 

40,788

 

2,013

2,3

Cryolife, Inc.

   

 

15,299

 

3,138

2,3

Cubist Pharmaceuticals, Inc.

   

 

28,964

 

4,700

2

CuraGen Corp.

   

 

21,902

 

1,300

2,3

Curative Health Services, Inc.

   

 

16,250

 

2,398

2,3

Cyberonics, Inc.

   

 

54,746

 

1,600

 

D & K Healthcare Resources, Inc.

   

 

21,008

 

600

2,3

DJ Orthopedics, Inc.

   

 

3,138

 

1,259

 

Datascope Corp.

   

 

36,006

 

3,900

2

Decode Genetics, Inc.

   

 

8,190

 

1,100

2

Deltagen, Inc.

   

 

407

 

1,396

2

Digene Corp.

   

 

26,538

 

1,700

2

Discovery Partners International

   

 

5,508

 

3,125

2,3

Diversa Corp.

   

 

32,313

 

2,700

2,3

Durect Corp.

   

 

7,911

 

600

2,3

Dynacq International, Inc.

   

 

7,722

 

1,300

2

EPIX Medical, Inc.

   

 

12,415

 

3,994

2

Eclipsys Corp.

   

 

35,986

 

800

2,3

Embrex, Inc.

   

 

7,160

 

2,300

2

Endo Pharmaceuticals Holdings, Inc.

   

 

37,996

 

1,300

2

Endocardial Solutions, Inc.

   

 

4,407

 

2,566

2

Enzo Biochem, Inc.

   

 

38,413

 

4,800

2,3

Enzon, Inc.

   

 

65,856

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Healthcare--continued

   

 

 

 

1,100

2

Eon Labs, Inc.

   

$

33,704

 

950

2,3

eResearch Technology, Inc.

   

 

28,310

 

3,500

2

Esperion Therapeutics, Inc.

   

 

39,900

 

1,400

2

Exact Sciences Corp.

   

 

13,356

 

5,055

2,3

Exelixis, Inc.

   

 

43,064

 

2,500

2

First Horizon Pharmaceutical Corp.

   

 

6,770

 

61,000

2

Five Star Quality Care, Inc., Rights

   

 

0

 

2,923

2

Gene Logic, Inc.

   

 

19,321

 

1,000

2

Genencor International, Inc.

   

 

11,050

 

3,100

2

Genesis Health Ventures, Inc.

   

 

46,376

 

4,747

2,3

Genta, Inc.

   

 

35,508

 

2,500

2

Gentiva Health Services, Inc.

   

 

22,850

 

4,200

2

Genzyme Corp.

   

 

8,274

 

2,740

2,3

Geron Corp.

   

 

12,686

 

2,630

2,3

Guilford Pharmaceuticals, Inc.

   

 

12,808

 

1,964

2

Haemonetics Corp.

   

 

34,822

 

2,100

2,3

Hanger Orthopedic Group, Inc.

   

 

21,651

 

2,100

2

Harvard Bioscience, Inc.

   

 

7,119

 

900

2

HealthTronics Surgical Services, Inc.

   

 

7,209

 

2,300

2

Hologic, Inc.

   

 

20,700

 

5,958

 

Hooper Holmes, Inc.

   

 

36,046

 

1,300

2,3

ICU Medical, Inc.

   

 

41,314

 

3,576

2

IDEXX Laboratories, Inc.

   

 

139,464

 

2,051

2

IDX Systems Corp.

   

 

30,088

 

1,425

2,3

INAMED Corp.

   

 

53,138

 

1,810

2,3

Igen, Inc.

   

 

65,794

 

3,575

2

Ilex Oncology, Inc.

   

 

47,869

 

2,500

2

Illumina, Inc.

   

 

4,975

 

5,800

2

Imclone Systems, Inc.

   

 

105,792

 

1,250

2,3

Immucor, Inc.

   

 

25,663

 

4,845

2

Immunogen, Inc.

   

 

14,680

 

4,563

3

Immunomedics, Inc.

   

 

17,933

 

1,764

2,3

Impath, Inc.

   

 

25,931

 

2,900

2,3

Impax Laboratories, Inc.

   

 

17,052

 

7,500

2

Incyte Genomics, Inc.

   

 

25,875

 

4,700

2

Indevus Pharmaceuticals, Inc.

   

 

17,390

 

2,000

2,3

Integra Lifesciences Corp.

   

 

53,380

 

2,848

2,3

InterMune, Inc.

   

 

57,900

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Healthcare--continued

   

 

 

 

2,200

2,3

Interpore International, Inc.

   

$

19,602

 

3,600

2,3

Intuitive Surgical, Inc.

   

 

22,464

 

2,863

3

Invacare Corp.

   

 

91,473

 

1,100

2,3

Inverness Medical Innovations, Inc.

   

 

20,350

 

5,578

2,3

Isis Pharmaceuticals, Inc.

   

 

30,846

 

2,500

2

KV Pharmaceutical Co., Class A

   

 

56,225

 

1,600

2,3

Kendle International, Inc.

   

 

7,824

 

1,000

2

Kensey Nash Corp.

   

 

21,770

 

1,400

2,3

Kindred Healthcare, Inc.

   

 

20,860

 

678

2,3

Kos Pharmaceuticals, Inc.

   

 

13,831

 

2,300

2,3

Kosan Biosciences, Inc.

   

 

15,042

 

600

2

Kyphon, Inc.

   

 

5,664

 

5,200

2

La Jolla Pharmaceutical Co.

   

 

11,492

 

700

2

Labone, Inc.

   

 

13,195

 

600

2,3

Lannett Co., Inc.

   

 

8,796

 

3,650

2

Lexicon Genetics, Inc.

   

 

18,250

 

1,000

2,3

Lifecore Biomedical, Inc.

   

 

3,810

 

500

2

Lifeline Systems, Inc.

   

 

12,055

 

5,753

2,3

Ligand Pharmaceuticals, Inc., Class B

   

 

51,202

 

2,139

2

Luminex Corp.

   

 

13,048

 

2,762

2,3

MGI PHARMA, Inc.

   

 

39,883

 

2,800

2,3

MIM Corp.

   

 

20,496

 

2,566

2,3

Martek Biosciences Corp.

   

 

87,321

 

1,000

2,3

Matria Healthcare, Inc.

   

 

12,480

 

2,992

 

Matthews International Corp., Class A

   

 

70,492

 

3,207

2

Maxygen, Inc.

   

 

26,297

 

1,000

2,3

Med-Design Corp.

   

 

4,160

 

700

2,3

MedCath Corp.

   

 

3,143

 

600

2,3

MedSource Technologies, Inc.

   

 

1,680

 

8,200

2,3

Medarex, Inc.

   

 

34,194

 

800

2

Medical Staffing Network Holdings, Inc.

   

 

5,992

 

2,700

2

Medicines Co.

   

 

55,485

 

4,576

 

Mentor Corp.

   

 

84,702

 

1,400

2,3

Merit Medical Systems, Inc.

   

 

27,426

 

1,092

 

Mine Safety Appliances Co.

   

 

41,758

 

1,871

2

Molecular Devices Corp.

   

 

23,481

 

3,000

2,3

Myriad Genetics, Inc.

   

 

35,760

 

3,521

3

NDCHealth Corp.

   

 

67,779

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Healthcare--continued

   

 

 

 

3,339

2,3

NPS Pharmaceuticals, Inc.

   

$

63,608

 

3,700

2

NaPro BioTherapeutics, Inc.

   

 

2,109

 

4,303

2

Nabi Biopharmaceuticals

   

 

26,937

 

1,100

2,3

Nastech Pharmaceutical Co.

   

 

8,602

 

1,000

2

National Healthcare Corp.

   

 

18,700

 

6,200

2

Nektar Therapeutics

   

 

49,724

 

1,370

2,3

NeoPharm, Inc.

   

 

20,002

 

1,331

2,3

Neose Technologies, Inc.

   

 

10,595

 

3,218

2,3

Neurocrine Biosciences, Inc.

   

 

145,615

 

1,383

2

Neurogen Corp.

   

 

5,352

 

2,301

2

Noven Pharmaceuticals, Inc.

   

 

22,159

 

4,100

2,3

OSI Pharmaceuticals, Inc.

   

 

86,100

 

2,117

2,3

Ocular Sciences, Inc.

   

 

30,697

 

1,950

2,3

Odyssey Healthcare, Inc.

   

 

50,388

 

1,400

2,3

Omnicell, Inc.

   

 

8,280

 

1,700

2

Onyx Pharmaceuticals, Inc.

   

 

15,198

 

1,725

2,3

Option Care, Inc.

   

 

16,094

 

3,200

2

OraSure Technologies, Inc.

   

 

20,480

 

3,300

2

OrthoLogic Corp.

   

 

11,154

 

3,726

 

Owens & Minor, Inc.

   

 

69,304

 

976

2

PDI, Inc.

   

 

10,882

 

7,861

2

PSS World Medical, Inc.

   

 

47,245

 

4,100

2,3

PacifiCare Health Systems, Inc.

   

 

130,544

 

2,200

2,3

Pain Therapeutics, Inc.

   

 

7,084

 

2,805

2

Parexel International Corp.

   

 

36,241

 

2,500

2

Pediatrix Medical Group

   

 

79,675

 

1,700

2

Penwest Pharmaceuticals Co.

   

 

30,991

 

3,643

2,3

Per-Se Technologies, Inc.

   

 

31,803

 

12,913

2,3

Peregrine Pharmaceuticals, Inc.

   

 

7,619

 

6,774

3

Perrigo Co.

   

 

104,049

 

2,000

2

Pharmaceutical Resources, Inc.

   

 

87,900

 

2,632

2,3

Pharmacopedia, Inc.

   

 

23,451

 

1,177

3

PolyMedica Industries, Inc.

   

 

43,843

 

2,000

2

Possis Corp.

   

 

38,400

 

2,400

2,3

Pozen, Inc.

   

 

10,896

 

5,661

2

Praecis Pharmaceuticals, Inc.

   

 

24,795

 

1,500

2

Prime Medical Services, Inc.

   

 

7,725

 

2,700

2,3

Priority HealthCare Corp., Class B

   

 

61,560

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Healthcare--continued

   

 

 

 

800

2,3

Progenics Pharmaceuticals, Inc.

   

$

7,904

 

10,000

2

Protein Design Laboratories, Inc.

   

 

99,300

 

5,340

2,3

Province Heathcare Co.

   

 

53,400

 

400

2,3

ProxyMed, Inc.

   

 

3,400

 

800

2,3

Q-Med, Inc.

   

 

4,816

 

2,700

2

Quidel Corp.

   

 

13,770

 

2,200

2

Radiologix, Inc.

   

 

6,380

 

3,812

2,3

Regeneron Pharmaceuticals, Inc.

   

 

24,130

 

1,799

2,3

RehabCare Group, Inc.

   

 

31,447

 

2,400

2

Res-Care, Inc.

   

 

7,368

 

3,400

2,3

ResMed, Inc.

   

 

124,712

 

3,942

2,3

Respironics, Inc.

   

 

151,452

 

2,700

2

Rigel Pharmaceuticals, Inc.

   

 

2,349

 

1,400

2,3

Rita Medical Systems, Inc.

   

 

4,004

 

2,100

2

Salix Pharmaceuticals, Ltd.

   

 

23,667

 

2,903

2,3

SangStat Medical Corp.

   

 

36,578

 

1,800

2

Sangamo BioSciences, Inc.

   

 

5,094

 

1,800

2

Seattle Genetics, Inc.

   

 

4,698

 

1,900

2

Select Medical Corp.

   

 

32,148

 

7,800

2,3

Sepracor, Inc.

   

 

149,370

 

4,200

2

Sequenom, Inc.

   

 

8,484

 

2,400

2

Serologicals Corp.

   

 

22,152

 

32,900

2

Service Corp. International

   

 

111,202

 

2,800

2,3

Sierra Health Services, Inc.

   

 

46,480

 

2,400

2

Sola International, Inc.

   

 

33,624

 

1,100

2

Sonic Innovations, Inc.

   

 

4,048

 

1,687

2

SonoSight, Inc.

   

 

27,329

 

700

2,3

Specialty Labratories, Inc.

   

 

6,020

 

10,760

2

Stewart Enterprises, Inc., Class A

   

 

31,527

 

1,988

2,3

Sunrise Assisted Living, Inc.

   

 

53,676

 

3,526

2,3

SuperGen, Inc.

   

 

13,716

 

1,632

2,3

SurModics, Inc.

   

 

59,307

 

4,200

2

Sybron Dental Specialties, Inc.

   

 

85,470

 

2,600

2,3

Tanox, Inc.

   

 

41,080

 

4,900

2,3

Techne Corp.

   

 

108,829

 

3,800

2,3

Telik, Inc.

   

 

49,970

 

5,584

2

Texas Biotechnology Corp.

   

 

10,777

 

3,193

2

Theragenics Corp.

   

 

14,273

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Healthcare--continued

   

 

 

 

2,600

2,3

Therasense, Inc.

   

$

20,566

 

5,530

2,3

Thoratec Laboratories Corp.

   

 

76,038

 

3,303

2,3

Transkaryotic Therapies, Inc.

   

 

19,821

 

2,700

2

TriPath Imaging, Inc.

   

 

10,719

 

1,690

2,3

Trimeris, Inc.

   

 

75,019

 

1,000

2,3

Tripos, Inc.

   

 

5,150

 

4,645

2

Tularik, Inc.

   

 

25,408

 

1,050

2

U.S. Physical Therapy, Inc.

   

 

12,054

 

8,054

2,3

US Oncology, Inc.

   

 

57,828

 

1,800

2

United Surgical Partners International, Inc.

   

 

33,354

 

1,873

2,3

United Therapeutics Corp.

   

 

33,618

 

1,600

2,3

Urologix, Inc.

   

 

3,008

 

2,400

2

VCA Antech, Inc.

   

 

40,294

 

5,343

2,3

VISX, Inc.

   

 

83,671

 

1,374

2,3

Ventana Medical Systems

   

 

31,478

 

2,900

2

Viasys Healthcare, Inc.

   

 

46,980

 

2,487

2,3

Vical, Inc.

   

 

6,964

 

3,900

2,3

Vicuron Pharmaceuticals, Inc.

   

 

45,825

 

601

3

Vital Signs, Inc.

   

 

17,129

 

4,200

2

VitalWorks, Inc.

   

 

14,700

 

4,000

2,3

Vivus, Inc.

   

 

17,840

 

1,392

3

West Pharmaceutical Services, Inc.

   

 

33,199

 

2,300

2,3

Wilson Greatbatch Technology, Inc.

   

 

75,417

 

2,700

2

Women First HealthCare, Inc.

   

 

2,403

 

1,900

2,3

Wright Medical Group, Inc.

   

 

36,062

 

400

2

Young Innovations, Inc.

   

 

8,900

 

994

2

Zoll Medical Corp.

   

 

32,106

 

1,100

2,3

Zymogenetics, Inc.

   

   

12,430

 

 

 

TOTAL

   

   

9,042,796

 

 

 

Industrials--13.6%

   

 

 

 

1,100

2

3D Systems Corp.

   

 

5,566

 

2,867

2

AAR Corp.

   

 

11,124

 

4,104

3

ABM Industries, Inc.

   

 

56,840

 

1,120

2,3

AMERCO

   

 

8,378

 

3,945

3

AMETEK, Inc.

   

 

148,726

 

200

2

ATA Holdings Corp.

   

 

806

 

1,000

2

Aaon, Inc.

   

 

14,000

 

3,700

2,3

Active Power, Inc.

   

 

5,069

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Industrials--continued

   

 

 

 

1,000

2,3

Actuant Corp.

   

$

37,100

 

4,577

 

Acuity Brands, Inc.

   

 

69,708

 

2,126

2

Administaff, Inc.

   

 

13,585

 

6,794

2

Aeroflex, Inc.

   

 

36,552

 

6,994

2,3

AirTran Holdings, Inc.

   

 

54,903

 

5,366

 

Airborne, Inc.

   

 

106,569

 

500

 

Alamo Group, Inc.

   

 

5,875

 

2,651

2,3

AlaskaAir Group, Inc.

   

 

47,267

 

2,656

3

Albany International Corp., Class A

   

 

63,053

 

5,059

3

Alexander and Baldwin, Inc.

   

 

135,126

 

2,421

2,3

American Superconductor Corp.

   

 

8,837

 

600

3

American Woodmark Corp.

   

 

28,770

 

900

 

Angelica Corp.

   

 

15,111

 

3,500

 

Apogee Enterprises, Inc.

   

 

36,190

 

2,126

 

Applied Industrial Technologies, Inc.

   

 

39,310

 

3,300

2

Arbitron, Inc.

   

 

112,398

 

2,384

3

Arkansas Best Corp.

   

 

60,434

 

2,620

2,3

Armor Holdings, Inc.

   

 

31,571

 

1,661

2,3

Astec Industries, Inc.

   

 

13,587

 

2,100

2,3

AstroPower, Inc.

   

 

6,216

 

4,538

2,3

Atlantic Coast Airlines

   

 

37,892

 

1,970

2

Atlas Air, Inc.

   

 

3,073

 

783

2

Aura Systems, Inc., Warrants

   

 

0

 

2,000

 

Aviall, Inc.

   

 

16,400

 

3,900

2,3

BE Aerospace, Inc.

   

 

7,020

 

500

2

Baker Michael Corp.

   

 

4,380

 

3,376

3

Baldor Electric Co.

   

 

75,082

 

2,700

 

Banta Corp.

   

 

83,835

 

1,478

 

Barnes Group, Inc.

   

 

31,097

 

2,513

 

Belden, Inc.

   

 

29,880

 

3,655

 

Bowne & Co., Inc.

   

 

41,228

 

1,987

 

Brady (W.H.) Co.

   

 

66,584

 

2,623

3

Briggs & Stratton Corp.

   

 

118,402

 

1,073

2

Bright Horizons Family Solutions, Inc.

   

 

32,222

 

500

 

Butler Manufacturing Co.

   

 

8,190

 

2,829

 

C&D Technologies, Inc.

   

 

37,626

 

1,420

2

CCC Information Service Group, Inc.

   

 

23,643

 

1,351

2

CDI Corp.

   

 

37,733

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Industrials--continued

   

 

 

 

1,000

 

CIRCOR International, Inc.

   

$

16,350

 

3,009

 

CLARCOR, Inc.

   

 

112,567

 

667

 

CPI Corp.

   

 

8,904

 

7,900

2

Capstone Turbine Corp.

   

 

6,320

 

3,680

 

Carlisle Cos., Inc.

   

 

166,925

 

1,400

 

Cascade Corp.

   

 

21,280

 

1,809

2

Casella Waste Systems, Inc.

   

 

15,413

 

1,965

 

Central Parking Corp.

   

 

19,650

 

8,659

2

Century Business Services, Inc.

   

 

24,418

 

800

2

Charles River Associates, Inc.

   

 

17,312

 

1,063

 

Chemed Corp.

   

 

37,056

 

1,445

2,3

CoStar Group, Inc.

   

 

32,166

 

2,525

2,3

Coinstar, Inc.

   

 

46,182

 

1,200

2

Columbus McKinnon Corp.

   

 

1,848

 

4,000

2,3

Comfort Systems USA, Inc.

   

 

7,880

 

385

 

CompX International, Inc.

   

 

1,937

 

1,500

2

Consolidated Graphics, Inc.

   

 

28,650

 

4,284

2

Corinthian Colleges, Inc.

   

 

196,164

 

1,700

2

Cornell Corrections, Inc.

   

 

18,275

 

4,320

2

Corporate Executive Board Co.

   

 

177,077

 

900

2

Covenant Transport, Inc., Class A

   

 

16,433

 

1,900

 

Cubic Corp.

   

 

36,841

 

1,748

2,3

Cuno, Inc.

   

 

62,648

 

1,166

3

Curtiss Wright Corp.

   

 

70,252

 

2,400

2,3

DRS Technologies, Inc.

   

 

67,224

 

2,000

2,3

Daisytek International Corp.

   

 

1,320

 

2,406

2

DiamondCluster International, Inc., Class A

   

 

4,595

 

2,101

2

Dionex Corp.

   

 

72,298

 

2,700

2

Dollar Thrifty Automotive Group

   

 

44,307

 

500

2

Drew Industries, Inc.

   

 

7,550

 

800

2

Ducommun, Inc.

   

 

9,720

 

5,300

2,3

Dycom Industries, Inc.

   

 

58,512

 

1,700

 

EDO Corp.

   

 

32,045

 

3,842

2

EGL, Inc.

   

 

61,626

 

1,283

2

ESCO Technologies, Inc.

   

 

50,306

 

5,100

2,3

EFunds Corp.

   

 

46,665

 

1,479

2

Electro Rent Corp.

   

 

14,760

 

2,067

 

ElkCorp

   

 

41,857

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Industrials--continued

   

 

 

 

1,678

2

Emcor Group, Inc.

   

 

85,695

 

1,400

2

Encore Wire Corp.

   

 

12,040

 

1,675

2,3

Energy Conversion Devices, Inc.

   

 

15,963

 

1,350

 

Engineered Support Systems, Inc.

   

 

46,886

 

1,900

 

Ennis Business Forms, Inc.

   

 

23,750

 

2,459

2

eSpeed, Inc., Class A

   

 

32,090

 

2,251

2

Esterline Technologies Corp.

   

 

39,955

 

3,300

2

ExpressJet Holdings, Inc.

   

 

38,115

 

5,300

2

Exult, Inc.

   

 

38,107

 

2,700

2,3

FTI Consulting, Inc.

   

 

122,175

 

2,250

2

First Consulting Group, Inc.

   

 

11,318

 

2,700

3

Florida East Coast Industries, Inc.

   

 

69,795

 

1,300

2

Flow International Corp.

   

 

1,521

 

1,201

2,3

Forward Air Corp.

   

 

30,217

 

720

 

Franklin Electronics, Inc.

   

 

37,318

 

3,661

2,3

Frontier Airlines, Inc.

   

 

22,149

 

4,040

2,3

Fuelcell Energy, Inc.

   

 

24,886

 

2,155

 

G & K Services, Inc., Class A

   

 

58,896

 

1,745

2

Gardner Denver, Inc.

   

 

34,603

 

3,390

3

GenCorp, Inc.

   

 

25,764

 

600

2

General Binding Corp.

   

 

4,800

 

3,667

2

General Cable Corp.

   

 

16,502

 

1,300

2

Genesee & Wyoming, Inc., Class A

   

 

22,490

 

1,354

2

Genlyte Group, Inc.

   

 

51,073

 

2,500

2,3

Global Power Equipment Group

   

 

14,975

 

800

 

Gorman Rupp Co.

   

 

16,000

 

3,766

3

Granite Construction, Inc.

   

 

63,269

 

2,929

2

Griffon Corp.

   

 

39,893

 

1,000

2,3

Hall, Kinion & Associates, Inc.

   

 

1,750

 

3,191

 

Harland (John H.) Co.

   

 

76,424

 

3,100

2

Headwaters, Inc.

   

 

50,840

 

900

2

Healthcare Services Group, Inc.

   

 

11,880

 

3,600

2,3

Heartland Express, Inc.

   

 

82,800

 

1,458

3

Heico Corp.

   

 

10,818

 

95

 

Heico Corp., Class A

   

 

579

 

2,022

2,3

Heidrick & Struggles International, Inc.

   

 

28,308

 

1,500

2

Herley Industries, Inc.

   

 

24,242

 

2,469

2

Hexcel Corp.

   

 

9,530

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Industrials--continued

   

 

 

 

2,449

2

Hunt (J.B.) Transportation Services, Inc.

   

$

84,613

 

400

2

ICT Group, Inc.

   

 

3,064

 

3,425

3

IDEX Corp.

   

 

109,086

 

1,174

2

II-VI, Inc.

   

 

22,823

 

4,800

2

ITT Educational Services, Inc.

   

 

141,600

 

2,000

2

Imagistics International, Inc.

   

 

43,040

 

3,224

2

InfoUSA, Inc.

   

 

17,023

 

3,000

2

Information Resources, Inc.

   

 

7,050

 

2,792

2,3

Insituform Technologies, Inc., Class A

   

 

44,532

 

1,106

2

Insurance Automotive Auctions, Inc.

   

 

13,383

 

800

2,3

Integrated Defense Technologies, Inc.

   

 

11,416

 

3,603

2

Integrated Electrical Services

   

 

20,537

 

1,972

2,3

Intercept Group, Inc.

   

 

14,179

 

808

 

Interpool, Inc.

   

 

12,314

 

1,700

2

Intrado, Inc.

   

 

17,714

 

1,300

2,3

Invision Technologies, Inc.

   

 

30,888

 

1,943

2,3

Ionics, Inc.

   

 

36,917

 

4,663

 

JLG Industries, Inc.

   

 

25,367

 

5,500

2

Joy Global, Inc.

   

 

68,035

 

2,616

2

KForce Com, Inc.

   

 

10,412

 

1,428

2

Kadant, Inc.

   

 

23,205

 

2,441

 

Kaman Corp., Class A

   

 

24,434

 

7,000

2

Kansas City Southern Industries, Inc.

   

 

77,490

 

3,368

 

Kaydon Corp.

   

 

75,106

 

1,820

 

Kelly Services, Inc., Class A

   

 

42,133

 

3,795

3

Kennametal, Inc.

   

 

119,505

 

2,035

2

Kirby Corp.

   

 

53,236

 

2,599

2,3

Knight Transportation, Inc.

   

 

62,636

 

4,208

2

Korn/Ferry International

   

 

28,951

 

3,100

2,3

Kroll, Inc.

   

 

69,130

 

4,470

2,3

Labor Ready, Inc.

   

 

28,832

 

900

2,3

Ladish Co., Inc.

   

 

4,283

 

900

 

Landauer, Inc.

   

 

34,515

 

1,712

2

Landstar System, Inc.

   

 

106,367

 

525

 

Lawson Products, Inc.

   

 

14,175

 

1,126

2,3

Learning Tree International, Inc.

   

 

16,473

 

4,660

3

Lennox International, Inc.

   

 

69,248

 

3,421

2

Lightbridge, Inc.

   

 

24,460

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Industrials--continued

   

 

 

 

3,720

 

Lincoln Electric Holdings

   

$

71,457

 

1,072

 

Lindsay Manufacturing Co.

   

 

23,316

 

1,700

2

Lydall, Inc.

   

 

16,150

 

1,650

2

MOOG, Inc., Class A

   

 

52,470

 

2,126

2

Magnetek, Inc.

   

 

4,592

 

2,928

2

Mail-Well, Inc.

   

 

8,257

 

2,952

 

Manitowoc, Inc.

   

 

54,907

 

2,400

2

Mastec, Inc.

   

 

5,232

 

1,256

 

McGrath Rentcorp.

   

 

31,086

 

1,099

2,3

Medis Technologies Ltd.

   

 

8,604

 

1,085

2

Medquist, Inc.

   

 

20,604

 

1,128

2,3

MemberWorks, Inc.

   

 

24,737

 

2,447

2

Mercury Computer Systems, Inc.

   

 

51,387

 

3,822

2

Mesa Air Group, Inc.

   

 

20,562

 

1,171

2

Mesaba Holdings, Inc.

   

 

7,248

 

1,335

2,3

Midwest Express Holdings, Inc.

   

 

3,898

 

1,906

3

Milacron, Inc.

   

 

9,949

 

1,376

2,3

Mobile Mini, Inc.

   

 

21,823

 

3,081

2

Mueller Industries, Inc.

   

 

78,720

 

614

 

NACCO Industries, Inc., Class A

   

 

32,235

 

2,027

2

NCI Building System, Inc.

   

 

32,635

 

2,027

2

NCO Group, Inc.

   

 

33,952

 

4,739

2

Navigant Consulting, Inc.

   

 

35,590

 

1,391

 

New England Business Service, Inc.

   

 

35,401

 

2,386

3

Nordson Corp.

   

 

60,270

 

2,264

2

On Assignment, Inc.

   

 

10,867

 

5,062

2,3

Orbital Sciences Corp.

   

 

28,246

 

1,679

 

OshKosh Truck Corp.

   

 

94,024

 

300

2

P.A.M. Transportation Services, Inc.

   

 

7,125

 

4,237

2,3

PRG-Schultz International, Inc.

   

 

27,032

 

3,452

2,3

Paxar Corp.

   

 

35,659

 

2,923

2

Pegasus Systems, Inc.

   

 

34,784

 

1,270

 

Penn Engineering & Manufacturing Corp.

   

 

16,980

 

1,800

2,3

Plug Power, Inc.

   

 

9,144

 

1,000

2

Powell Industries, Inc.

   

 

13,950

 

6,000

2

Power-One, Inc.

   

 

35,100

 

1,421

2,3

Prepaid Legal Services, Inc.

   

 

32,768

 

1,700

2

Princeton Review (The), Inc.

   

 

8,959

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Industrials--continued

   

 

 

 

2,490

2,3

ProBusiness Services, Inc.

   

$

35,084

 

800

2

Protection One, Inc.

   

 

1,192

 

3,100

2

Proton Energy Systems, Inc.

   

 

8,215

 

6,000

2

Quanta Services, Inc.

   

 

20,700

 

1,100

 

Quixote Corp.

   

 

20,064

 

1,300

2,3

RMH Teleservices, Inc.

   

 

7,072

 

3,100

2

RailAmerica, Inc.

   

 

22,785

 

2,498

 

Regal Beloit Corp.

   

 

42,841

 

2,586

3

Reliance Steel & Aluminum Co.

   

 

43,962

 

600

2

RemedyTemp, Inc., Class A

   

 

7,020

 

2,300

2,3

Resources Connection, Inc.

   

 

50,140

 

1,873

2

Right Management Consultants

   

 

23,413

 

1,284

3

Roadway Express, Inc.

   

 

47,585

 

1,047

 

Robbins & Myers, Inc.

   

 

17,998

 

2,627

3

Rollins, Inc.

   

 

63,626

 

1,901

2

SCS Transportation, Inc.

   

 

22,774

 

5,953

2

SITEL Corp.

   

 

7,739

 

1,674

2

SOURCECORP, Inc.

   

 

26,449

 

1,307

2

SPS Technologies, Inc.

   

 

34,479

 

900

 

Schawk, Inc.

   

 

9,045

 

674

2

Sequa Corp., Class A

   

 

20,732

 

1,654

2

Simpson Manufacturing Co., Inc.

   

 

58,088

 

1,804

3

Smith (A.O.) Corp.

   

 

53,795

 

4,941

2,3

Sothebys Holdings, Inc., Class A

   

 

43,431

 

6,465

2

Spherion Corp.

   

 

28,123

 

1,930

 

Standard Register

   

 

33,350

 

1,077

 

Standex International Corp.

   

 

22,735

 

3,806

2,3

Stericycle, Inc.

   

 

149,538

 

3,165

 

Stewart & Stevenson Services

   

 

42,443

 

1,092

 

Strayer Education, Inc.

   

 

71,024

 

3,760

2

Sylvan Learning Systems, Inc.

   

 

65,950

 

272

2

TIMCO Aviation Services, Warrants

   

 

0

 

1,000

2,3

TRC Cos., Inc.

   

 

11,390

 

1,926

3

Tecumseh Products Co., Class A

   

 

77,502

 

4,300

2

TeleTech Holdings, Inc.

   

 

17,544

 

961

 

Tennant Co.

   

 

31,723

 

4,762

2,3

Terex Corp.

   

 

78,811

 

5,587

2,3

Tetra Tech, Inc.

   

 

86,599

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Industrials--continued

   

 

 

 

4,800

2

Thomas & Betts Corp.

   

$

75,888

 

1,576

 

Thomas Industries, Inc.

   

 

42,394

 

2,821

3

Tredegar Industries, Inc.

   

 

36,278

 

729

2,3

Trex Co. Inc.

   

 

29,904

 

3,936

3

Trinity Industries, Inc.

   

 

65,141

 

1,510

2

Triumph Group, Inc.

   

 

39,683

 

8,178

2

U.S. Industries, Inc.

   

 

38,846

 

4,100

2,3

U.S.G. Corp.

   

 

28,741

 

5,183

2

UNOVA, Inc.

   

 

38,147

 

2,728

2

URS Corp.

   

 

38,738

 

500

2

US Xpress Enterprises, Inc., Class A

   

 

4,625

 

3,133

 

USFreightways Corp.

   

 

89,322

 

2,500

2

United Defense Industries, Inc.

   

 

61,050

 

1,000

 

United Industrial Corp.

   

 

13,610

 

3,593

2

United Stationers, Inc.

   

 

97,406

 

1,538

 

Universal Forest Products, Inc.

   

 

27,069

 

1,464

 

Valmont Industries, Inc.

   

 

28,284

 

2,166

2

Vicor Corp.

   

 

14,556

 

874

2

Volt Information Science, Inc.

   

 

11,563

 

3,072

2

Wabash National Corp.

   

 

28,815

 

3,735

 

Wabtec Corp.

   

 

45,791

 

900

2

Wackenhut Corrections Corp.

   

 

9,900

 

4,369

 

Wallace Computer Services, Inc.

   

 

114,162

 

2,951

 

Walter Industries, Inc.

   

 

29,953

 

3,091

2,3

Waste Connections, Inc.

   

 

103,981

 

1,000

2,3

Water Pik Technologies, Inc.

   

 

7,650

 

1,848

 

Watsco, Inc.

   

 

28,626

 

2,200

2

Watson Wyatt & Co. Holdings

   

 

44,880

 

1,680

 

Watts Industries, Inc., Class A

   

 

27,468

 

4,641

 

Werner Enterprises, Inc.

   

 

104,840

 

1,098

3

Woodward Governor Co.

   

 

40,648

 

900

 

World Fuel Services Corp.

   

 

19,278

 

3,203

2

Yellow Corp.

 

 

85,520

 

 

 

TOTAL

 

 

10,365,317

 

 

 

Information Technology--17.0%

   

 

 

 

2,970

2,3

ATMI, Inc.

   

 

62,664

 

2,263

2

AXT, Inc.

   

 

3,440

 

2,304

2,3

Acacia Research Corp.

   

 

2,373

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

1,286

2,3

Acacia Research Corp.

   

$

2,535

 

7,600

2,3

Acclaim Entertainment, Inc.

   

 

3,572

 

2,551

2,3

Actel Corp.

   

 

50,535

 

5,362

2

Actuate Software Corp.

   

 

9,759

 

1,010

2

Ade Corp.

   

 

6,110

 

2,300

2,3

Adtran, Inc.

   

 

93,104

 

7,194

2,3

Advanced Digital Information Corp.

   

 

57,696

 

1,869

2,3

Advanced Energy Industries, Inc.

   

 

17,961

 

500

2,3

Advanced Power Technology, Inc.

   

 

1,970

 

4,200

2

Agile Software Corp.

   

 

29,148

 

10,700

2

Akamai Technologies, Inc.

   

 

25,894

 

3,258

2,3

Allen Telecom, Inc.

   

 

44,081

 

2,788

2

Alliance Semiconductor Corp.

   

 

10,539

 

3,021

2

Allscripts Healthcare Solutions, Inc.

   

 

8,308

 

700

2,3

Altiris, Inc.

   

 

11,410

 

4,300

2

American Management System, Inc.

   

 

52,890

 

3,333

2,3

Anadigics, Inc.

   

 

6,933

 

795

 

Analogic Corp.

   

 

37,961

 

2,780

2

Anaren Microwave, Inc.

   

 

20,850

 

3,430

2,3

Anixter International, Inc.

   

 

78,821

 

5,560

2

AnswerThink Consulting Group, Inc.

   

 

10,842

 

1,800

2,3

Ansys, Inc.

   

 

47,610

 

1,700

2

Anteon International Corp.

   

 

40,256

 

1,300

2,3

Applied Films Corp.

   

 

28,275

 

3,700

2,3

aQuantive, Inc.

   

 

24,235

 

1,772

2

AremisSoft Corp.

   

 

0

 

29,800

2

Ariba, Inc.

   

 

97,148

 

7,300

2

Arris Group, Inc.

   

 

28,477

 

3,238

2

Artesyn Technologies, Inc.

   

 

13,567

 

1,800

2

Artisan Components, Inc.

   

 

35,586

 

27,700

2

Ascential Software Corp.

   

 

106,368

 

3,400

2

Asiainfo Holdings, Inc.

   

 

14,756

 

6,200

2

Aspect Communications Corp.

   

 

21,762

 

4,679

2,3

Aspen Technology, Inc.

   

 

15,628

 

4,248

2

Asyst Technologies, Inc.

   

 

20,263

 

2,098

2

Audiovox Corp., Class A

   

 

15,106

 

900

2,3

August Technology Corp.

   

 

3,447

 

6,900

2

Avanex Corp.

   

 

6,072

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

2,797

2,3

Avid Technology, Inc.

   

$

76,834

 

4,794

2,3

Avocent Corp.

   

 

141,998

 

11,000

2

Axcelis Technologies, Inc.

   

 

62,480

 

1,799

2,3

BARRA, Inc.

   

 

58,737

 

1,200

 

BEI Technologies, Inc.

   

 

10,272

 

1,100

 

Bel Fuse, Inc.

   

 

21,670

 

2,200

2

Bell Microproducts, Inc.

   

 

10,076

 

2,552

2

Benchmark Electronics, Inc.

   

 

66,224

 

2,222

3

Black Box Corp.

   

 

70,548

 

7,820

2,3

Borland Software Corp.

   

 

70,927

 

4,101

2,3

Brooks Automation, Inc.

   

 

34,735

 

3,824

2

C-COR Electronics, Inc.

   

 

13,040

 

3,208

2,3

CACI International, Inc., Class A

   

 

112,055

 

13,900

2

CNET, Inc.

   

 

50,457

 

3,250

3

CTS Corp.

   

 

27,137

 

4,919

2,3

Cable Design Technologies, Class A

   

 

33,990

 

2,600

2,3

Cabot Microelectronics Corp.

   

 

112,372

 

2,128

2

Carreker-Antinori, Inc.

   

 

8,001

 

600

2,3

Catapult Communications Corp.

   

 

5,310

 

3,267

2

Centillium Communications, Inc.

   

 

18,916

 

3,532

2,3

Checkpoint Systems, Inc.

   

 

47,152

 

5,400

2,3

ChipPAC, Inc.

   

 

29,160

 

3,907

2,3

Chordiant Software, Inc.

   

 

4,141

 

6,180

2

Ciber, Inc.

   

 

33,557

 

8,700

2

Cirrus Logic, Inc.

   

 

23,664

 

3,833

2

Clarent Corp.

   

 

19

 

3,900

2

Cognex Corp.

   

 

85,371

 

6,525

2,3

Cognizant Technology Solutions Corp.

   

 

117,189

 

3,444

2,3

Coherent, Inc.

   

 

79,212

 

2,321

3

Cohu, Inc.

   

 

41,801

 

5,700

2,3

CommScope, Inc.

   

 

48,849

 

2,400

2

Compucom System, Inc.

   

 

9,120

 

3,200

2

Computer Horizons Corp.

   

 

13,408

 

2,983

2,3

Computer Network Technology

   

 

16,884

 

1,900

2,3

Concord Communications, Inc.

   

 

23,997

 

7,442

2

Concurrent Computer Corp.

   

 

15,182

 

2,567

2,3

Covansys Corp.

   

 

6,161

 

6,400

2,3

Cray, Inc.

   

 

48,320

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

6,740

2,3

Credence Systems Corp.

   

$

47,854

 

8,200

2,3

Cree Research, Inc.

   

 

163,590

 

4

2

CycleLogic, Inc.

   

 

1

 

3,018

2

DSP Group, Inc.

   

 

63,076

 

1,700

2

Daktronics, Inc.

   

 

23,885

 

2,046

2

Datastream Systems, Inc.

   

 

17,882

 

3,483

2,3

Dendrite International, Inc.

   

 

35,666

 

983

2,3

Digimarc Corp.

   

 

12,623

 

3,290

2,3

Digital Insight Corp.

   

 

53,166

 

3,000

2,3

Digital River, Inc.

   

 

50,160

 

867

2

Digitas, Inc.

   

 

3,468

 

900

2,3

DocuCorp International, Inc.

   

 

3,933

 

5,318

2,3

Documentum, Inc.

   

 

97,798

 

13,600

2

DoubleClick, Inc.

   

 

116,960

 

1,100

2,3

Drexler Technology, Corp.

   

 

17,534

 

1,360

2,3

Dupont Photomasks, Inc.

   

 

25,282

 

900

2

Dynamics Research Corp.

   

 

8,838

 

6,900

2

E.piphany, Inc.

   

 

30,705

 

3,190

2,3

EMCORE Corp.

   

 

5,742

 

1,200

2

EPIQ Systems, Inc.

   

 

24,780

 

3,484

2,3

ESS Technology, Inc.

   

 

24,109

 

14,400

2,3

EarthLink Network, Inc.

   

 

99,216

 

3,000

2,3

Echelon Corp.

   

 

39,300

 

3,039

2,3

Electro Scientific Industries, Inc.

   

 

40,814

 

2,466

2,3

Electroglas, Inc.

   

 

3,354

 

6,100

2,3

Electronics for Imaging, Inc.

   

 

117,120

 

889

2,3

Embarcadero Technologies, Inc.

   

 

6,099

 

5,100

2,3

Entegris, Inc.

   

 

58,497

 

18,000

2

Enterasys Networks, Inc.

   

 

43,200

 

5,200

2

Entrust Technologies, Inc.

   

 

13,052

 

1,600

2

eUniverse, Inc.

   

 

6,144

 

4,344

2

Exar Corp.

   

 

64,074

 

950

2

Excel Technology, Inc.

   

 

21,774

 

11,600

2,3

Extreme Networks, Inc.

   

 

49,068

 

2,496

2

F5 Networks, Inc.

   

 

34,345

 

2,731

2,3

FEI Co.

   

 

49,950

 

1,700

2,3

FLIR Systems, Inc.

   

 

88,536

 

3,190

2

FSI International, Inc.

   

 

7,528

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

2,315

3

FactSet Research Systems

   

$

80,562

 

3,873

2,3

FalconStor Software, Inc.

   

 

15,376

 

1,683

2,3

Fidelity National Information Solutions, Inc.

   

 

29,537

 

3,937

2,3

Filenet Corp.

   

 

60,590

 

14,700

2,3

Finisar Corp.

   

 

13,671

 

1,541

2

Forrester Research, Inc.

   

 

23,855

 

9,600

2,3

Foundry Networks, Inc.

   

 

104,448

 

4,600

2

FreeMarkets, Inc.

   

 

29,992

 

9,221

2

Gartner Group, Inc., Class A

   

 

73,215

 

3,400

2

Genesis Microchip, Inc.

   

 

58,344

 

1,100

2,3

Global Imaging Systems, Inc.

   

 

20,350

 

12,436

2,3

GlobespanVirata, Inc.

   

 

75,487

 

4,400

2,3

Handspring, Inc.

   

 

2,728

 

6,900

2

Harmonic Lightwaves, Inc.

   

 

23,943

 

2,951

3

Helix Technology Corp.

   

 

33,996

 

7,900

2

Homestore.com, Inc.

   

 

6,636

 

2,860

2,3

Hutchinson Technology, Inc.

   

 

67,610

 

4,000

2

Hypercom Corp.

   

 

18,680

 

3,892

2,3

Hyperion Solutions Corp.

   

 

110,066

 

5,000

2

I-many, Inc.

   

 

4,500

 

2,000

2

IGATE Capital Corp.

   

 

5,380

 

1,644

2,3

IXYS Corp.

   

 

11,672

 

9,764

2,3

Identix, Inc.

   

 

47,844

 

3,903

 

Imation Corp.

   

 

133,873

 

4,297

2

InFocus Corp.

   

 

19,294

 

1,200

2

Inet Technologies, Inc.

   

 

9,624

 

940

2

Infogrames Entertainment

   

 

4,033

 

6,400

2,3

Informatica Corp.

   

 

41,792

 

800

2,3

Inforte Corp.

   

 

5,120

 

800

2

Inrange Technologies Corp.

   

 

1,824

 

1,000

2

Integral Systems, Inc.

   

 

19,450

 

2,965

2

Integrated Silicon Solution, Inc.

   

 

9,636

 

1,980

3

Inter-Tel, Inc.

   

 

32,571

 

6,145

2,3

Interdigital Communications Corp.

   

 

138,447

 

5,487

2

Intergraph Corp.

   

 

111,935

 

14,437

2

Interland, Inc.

   

 

10,828

 

1,628

2,3

Intermagnetics General Corp.

   

 

31,632

 

4,300

2,3

Internet Security Systems, Inc.

   

 

56,416

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

11,700

2

Interwoven, Inc.

   

$

22,113

 

5,712

2

Iomega Corp.

   

 

53,122

 

2,300

2,3

Itron, Inc.

   

 

46,046

 

2,500

2,3

Ixia

   

 

15,225

 

3,293

2

JDA Software Group, Inc.

   

 

37,079

 

600

2,3

j2 Global Communications, Inc.

   

 

17,718

 

6,200

2

Keane, Inc.

   

 

59,768

 

656

 

Keithley Instruments, Inc.

   

 

8,003

 

2,418

2

Keynote Systems, Inc.

   

 

22,802

 

7,700

2

Kopin Corp.

   

 

37,037

 

2,177

2

Kronos, Inc.

   

 

99,315

 

5,494

2,3

Kulicke & Soffa Industries

   

 

28,514

 

1,600

 

LSI Industries, Inc.

   

 

16,720

 

5,031

2,3

LTX Corp.

   

 

33,959

 

9,600

2,3

Lattice Semiconductor Corp.

   

 

83,328

 

1,900

2,3

Lawson Software Inc.

   

 

9,633

 

1,100

2

LeCroy Corp.

   

 

11,154

 

9,716

2,3

Legato Systems, Inc.

   

 

57,519

 

800

2,3

LendingTree, Inc.

   

 

11,336

 

4,200

2

Lexar Media, Inc.

   

 

20,370

 

2,164

2

Littlelfuse, Inc.

   

 

42,328

 

8,000

2

LookSmart Ltd.

   

 

26,960

 

1,800

2

MAPICS, Inc.

   

 

10,800

 

6,368

2,3

MEMC Electronic Materials

   

 

75,524

 

1,863

2

MICROS Systems Corp.

   

 

46,631

 

4,359

2,3

MIPS Technologies, Inc.

   

 

8,631

 

10,558

2

MPS Group, Inc.

   

 

71,267

 

2,058

2

MRO Software, Inc.

   

 

17,637

 

10,590

2

MRV Communications, Inc.

   

 

14,614

 

2,800

2

MSC Software Corp.

   

 

17,304

 

2,300

 

MTS Systems Corp.

   

 

28,844

 

2,200

2

Magma Design Automation

   

 

33,000

 

900

2,3

ManTech International Corp., Class A

   

 

14,040

 

2,212

2,3

Manhattan Associates, Inc.

   

 

53,508

 

1,600

2

Manufacturers' Services Ltd.

   

 

6,160

 

6,600

2,3

Manugistics Group, Inc.

   

 

21,318

 

2,005

2,3

Mapinfo Corp.

   

 

10,125

 

5,218

2,3

MatrixOne, Inc.

   

 

18,263

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

2,471

2,3

Mattson Technology, Inc.

   

$

8,253

 

1,879

2,3

Maximus, Inc.

   

 

45,284

 

22,500

2,3

Maxtor Corp.

   

 

123,750

 

7,100

2,3

McData Corp., Class A

   

 

75,118

 

7,400

2

Mentor Graphics Corp.

   

 

77,108

 

1,500

2,3

Merix Corp.

   

 

6,615

 

3,710

2

Metasolv, Inc.

   

 

4,897

 

3,786

 

Methode Electronics, Inc., Class A

   

 

39,753

 

8,400

2

Micromuse, Inc.

   

 

54,944

 

3,404

2

Microsemi Corp.

   

 

39,929

 

4,800

2

Microtune, Inc.

   

 

8,592

 

2,000

2

Monolithic System Technology, Inc.

   

 

12,000

 

4,400

2

Mykrolis Corp.

   

 

35,288

 

500

2,3

NASSDA Corp.

   

 

2,930

 

2,400

2

NIC, Inc.

   

 

4,920

 

2,900

2

NYFIX, Inc.

   

 

13,920

 

823

2,3

Nanometrics, Inc.

   

 

3,983

 

800

2,3

Neoforma, Inc.

   

 

8,720

 

2,094

2

Net2Phone, Inc.

   

 

8,585

 

4,500

2,3

NetIQ Corp.

   

 

62,010

 

868

2

NetRatings, Inc.

   

 

5,477

 

2,323

2

NetScout Systems, Inc.

   

 

6,063

 

3,219

2,3

Netegrity, Inc.

   

 

15,258

 

3,043

2

Netro Corp.

   

 

8,794

 

1,100

2,3

Netscreen Technologies Inc.

   

 

22,308

 

7,800

2

New Focus, Inc.

   

 

25,740

 

4,200

2

Newport Corp.

   

 

54,268

 

1,445

2,3

Novadigm, Inc.

   

 

3,250

 

40,830

2

Novell, Inc.

   

 

112,283

 

2,200

2

Nu Horizons Electronics Corp.

   

 

11,218

 

3,418

2,3

Nuance Communications, Inc.

   

 

12,476

 

3,800

2

ON Semiconductor Corp.

   

 

5,168

 

5,633

2

ONYX Software Corp.

   

 

3,380

 

1,400

2

OPNET Technologies, Inc.

   

 

9,842

 

1,000

2,3

OSI Systems, Inc.

   

 

15,130

 

6,610

2

Oak Technology, Inc.

   

 

32,191

 

2,300

2,3

Omnivision Technologies, Inc.

   

 

55,844

 

19,500

2

Openwave Systems, Inc.

   

 

33,735

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

12,400

2

Oplink Communications, Inc.

   

$

11,532

 

2,000

2

Optical Communication Products, Inc.

   

 

2,200

 

1,000

2

Overland Storage, Inc.

   

 

17,690

 

5,744

2

Overture Services, Inc.

   

 

61,461

 

2,481

2

PC-Tel, Inc.

   

 

22,776

 

1,200

2

PDF Solutions, Inc.

   

 

8,880

 

1,865

2

PLATO Learning, Inc.

   

 

8,672

 

1,658

2,3

PLX Technology, Inc.

   

 

4,609

 

2,661

2,3

Packeteer, Inc.

   

 

34,806

 

3,340

2,3

Palm, Inc.

   

 

32,031

 

2,700

2

Paradyne Networks, Inc.

   

 

3,240

 

29,200

2

Parametric Technology Corp.

   

 

96,360

 

1,892

 

Park Electrochemical Corp.

   

 

33,753

 

880

2,3

Pec Solutions, Inc.

   

 

12,998

 

700

2

Pegasystems, Inc.

   

 

4,781

 

2,184

2

Pericom Semiconductor Corp.

   

 

18,520

 

3,078

2

Phoenix Technology, Ltd.

   

 

13,943

 

1,899

2,3

Photon Dynamics, Inc.

   

 

41,588

 

3,124

2,3

Photronics, Inc.

   

 

39,269

 

7,014

2,3

Pinnacle Systems, Inc.

   

 

66,282

 

3,679

 

Pioneer Standard Electronics, Inc.

   

 

35,650

 

3,741

2,3

Pixelworks, Inc.

   

 

27,870

 

1,700

2

Planar Systems, Inc.

   

 

29,903

 

4,174

2,3

Plantronics, Inc.

   

 

77,219

 

4,658

2,3

Plexus Corp.

   

 

47,418

 

13,500

2

Portal Software, Inc.

   

 

16,875

 

2,792

2,3

Power Integrations, Inc.

   

 

61,793

 

7,400

2,3

Powerwave Technologies, Inc.

   

 

29,748

 

1,900

2,3

PracticeWorks, Inc.

   

 

22,363

 

3,542

2

Presstek, Inc.

   

 

17,710

 

5,200

2

Procurenet, Inc.

   

 

0

 

3,414

2,3

Progress Software Corp.

   

 

66,539

 

13,978

2

Proxim, Inc., Class A

   

 

9,505

 

1,816

2,3

QRS Corp.

   

 

9,443

 

16,100

2,3

Quantum Corp. - DLT & Storage Systems

   

 

55,545

 

4,100

2,3

Quest Software, Inc.

   

 

43,870

 

2,000

2

Quovadx, Inc.

   

 

5,400

 

6,371

2,3

REMEC, Inc.

   

 

31,536

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

5,000

2

RSA Security, Inc.

   

$

47,950

 

1,849

2

RadiSys Corp.

   

 

15,643

 

1,852

2

Radiant Systems, Inc.

   

 

11,723

 

2,662

2

Rainbow Technologies, Inc.

   

 

23,852

 

5,100

2

Raindance Communications, Inc.

   

 

15,402

 

9,400

2

Rambus, Inc.

   

 

134,420

 

2,660

2

Read-Rite Corp.

   

 

2,155

 

13,000

2

Red Hat, Inc.

   

 

78,000

 

16,500

2

Redback Networks, Inc.

   

 

8,743

 

3,568

2

Register.Com, Inc.

   

 

20,338

 

1,179

2,3

Renaissance Learning, Inc.

   

 

22,460

 

1,156

2,3

Research Frontiers, Inc.

   

 

8,196

 

6,000

2,3

Retek, Inc.

   

 

37,500

 

700

3

Richardson Electronics, Ltd.

   

 

5,530

 

14,500

2

Riverstone Networks, Inc.

   

 

17,835

 

1,716

2

Rogers Corp.

   

 

56,800

 

3,277

3

Roper Industries, Inc.

   

 

100,243

 

2,400

2,3

Roxio, Inc.

   

 

12,600

 

1,178

2,3

Rudolph Technologies, Inc.

   

 

17,800

 

7,900

2

S1 Corp.

   

 

34,760

 

1,596

2

SBS Technologies, Inc.

   

 

13,071

 

2,027

2,3

SCM Microsystems, Inc.

   

 

7,743

 

1,858

2

SERENA Software, Inc.

   

 

29,282

 

1,316

2

SPSS, Inc.

   

 

16,292

 

600

2

SRA International, Inc.

   

 

14,190

 

900

2

SS&C Technologies, Inc.

   

 

12,446

 

13,100

2

Safeguard Scientifics, Inc.

   

 

22,925

 

1,425

2,3

Sanchez Computer Associates

   

 

7,054

 

6,800

2,3

Sandisk Corp.

   

 

164,560

 

8,900

2

Sapient Corp.

   

 

16,910

 

5,800

2,3

ScanSoft, Inc.

   

 

29,986

 

1,200

2,3

ScanSource, Inc.

   

 

23,892

 

2,603

2,3

SeaChange International, Inc.

   

 

20,954

 

3,452

2,3

Secure Computing Corp.

   

 

19,780

 

6,089

2

SeeBeyond Technology Corp.

   

 

14,614

 

1,743

2

Semitool, Inc.

   

 

7,983

 

21,194

2

Silicon Graphics, Inc.

   

 

22,890

 

6,806

2,3

Silicon Image, Inc.

   

 

40,700

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

2,900

2,3

Silicon Laboratories, Inc.

   

$

82,505

 

9,200

2

Silicon Storage Technology

   

 

28,980

 

600

2

Siliconix, Inc.

   

 

16,950

 

1,300

2

SimpleTech, Inc.

   

 

3,640

 

3,084

2,3

Sipex Corp.

   

 

10,393

 

15,300

2,3

Skyworks Solutions, Inc.

   

 

81,855

 

3,774

2,3

Somera Communications, Inc.

   

 

4,227

 

6,064

2

Sonicwall, Inc.

   

 

21,648

 

20,700

2

Sonus Networks, Inc.

   

 

66,240

 

1,827

2

SpectraLink Corp.

   

 

14,287

 

3,200

2

Speechworks International, Inc.

   

 

13,920

 

1,622

2

Standard Microsystems Corp.

   

 

20,535

 

1,180

2

StarTek, Inc.

   

 

32,639

 

7,300

2,3

StorageNetworks, Inc.

   

 

8,176

 

9,200

2

Stratex Networks, Inc.

   

 

22,632

 

821

2,3

Stratos Lightwave, Inc.

   

 

3,103

 

200

2

Suntron Corp.

   

 

484

 

1,131

2

Supertex, Inc.

   

 

18,039

 

7,500

2,3

Surebeam Corp.

   

 

21,600

 

17,800

2

Sycamore Networks, Inc.

   

 

57,494

 

2,600

2

Sykes Enterprises, Inc.

   

 

11,804

 

600

2

Synaptics, Inc.

   

 

4,596

 

1,300

2

Synplicity, Inc.

   

 

4,576

 

565

2

Syntel, Inc.

   

 

8,475

 

500

 

Sypris Solutions, Inc.

   

 

4,510

 

3,394

2

Systems & Computer Technology Corp.

   

 

24,335

 

4,433

2,3

THQ, Inc.

   

 

62,638

 

1,700

2

TTM Technologies

   

 

8,007

 

4,579

2,3

Take-Two Interactive Software, Inc.

   

 

103,028

 

1,480

3

Talx Corp.

   

 

18,826

 

4,438

2

Technitrol, Inc.

   

 

70,076

 

5,200

2

Tekelec, Inc.

   

 

55,952

 

3,352

2

Teledyne Technologies, Inc.

   

 

47,196

 

7,500

2

Tellium, Inc.

   

 

4,650

 

7,100

2

Terayon Communication Systems, Inc.

   

 

13,490

 

2,938

2

Therma-Wave, Inc.

   

 

1,528

 

2,413

2,3

Three-Five Systems, Inc.

   

 

12,306

 

8,900

2

Tibco Software, Inc.

   

 

43,877

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

1,600

2

Tier Technologies, Inc., Class B

   

$

10,560

 

1,402

2,3

Tollgrade Communications, Inc.

   

 

20,343

 

3,541

2

Transaction Systems Architects, Inc., Class A

   

 

24,610

 

12,800

2

Transmeta Corp.

   

 

12,160

 

3,335

2

TriZetto Group, Inc.

   

 

18,009

 

1,200

2,3

Trikon Technologies, Inc.

   

 

3,372

 

3,288

2,3

Trimble Navigation Ltd.

   

 

83,022

 

14,812

2

Triquint Semiconductor, Inc.

   

 

51,990

 

4,500

2

Turnstone Systems, Inc.

   

 

11,250

 

3,400

2

Tyler Technologies, Inc.

   

 

13,430

 

1,287

2,3

Ulticom, Inc.

   

 

9,331

 

2,743

2

Ultratech Stepper, Inc.

   

 

38,868

 

2,300

2,3

United Online, Inc.

   

 

51,428

 

2,090

2,3

Universal Display Corp.

   

 

20,461

 

7,300

2

ValueClick, Inc.

   

 

29,565

 

3,446

2

Varian Semiconductor Equipment Associates, Inc.

   

 

79,430

 

3,260

2

Varian, Inc.

   

 

103,049

 

3,700

2

Vastera, Inc.

   

 

17,686

 

2,941

2,3

Veeco Instruments, Inc.

   

 

47,321

 

500

2

Verint Systems, Inc.

   

 

9,826

 

2,502

2,3

Verity, Inc.

   

 

41,358

 

2,074

2,3

ViaSat, Inc.

   

 

22,067

 

5,480

2,3

Viewpoint Corp.

   

 

4,379

 

26,300

2

Vignette Corp.

   

 

54,178

 

1,500

2

Virage Logic Corp.

   

 

6,540

 

22,700

2

Vitesse Semiconductor Corp.

   

 

70,620

 

9,000

2

Vitria Technology, Inc.

   

 

7,470

 

3,151

2

Watchguard Technologies, Inc.

   

 

13,864

 

2,600

2,3

WebEx Communications, Inc.

   

 

26,780

 

2,388

2,3

Websense, Inc.

   

 

34,077

 

5,100

2,3

WebMethods, Inc.

   

 

51,306

 

21,665

2,3

Western Digital Corp.

   

 

202,134

 

2,100

2

White Electronic Designs Corp.

   

 

16,443

 

8,000

2

Wind River Systems, Inc.

   

 

26,480

 

1,600

2,3

Witness Systems, Inc.

   

 

5,504

 

1,080

 

Woodhead Industries, Inc.

   

 

12,960

 

1,906

3

X-Rite, Inc.

   

 

19,422

 

2,600

2

Xicor, Inc.

   

 

15,470

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Information Technology--continued

   

 

 

 

3,885

2

Zomax Optical Media, Inc.

   

$

12,976

 

3,158

2,3

Zoran Corp.

   

 

56,181

 

1,821

2

Zygo Corp.

 

 

13,603

 

 

 

TOTAL

 

 

12,887,477

 

 

 

Materials--4.3%

   

 

 

 

400

2,3

AEP Industries, Inc.

   

 

2,836

 

2,066

 

AMCOL International Corp.

   

 

12,603

 

6,421

2,3

Airgas, Inc.

   

 

129,897

 

400

3

Ameron, Inc.

   

 

26,880

 

2,193

3

Arch Chemicals, Inc.

   

 

46,777

 

5,000

 

Arch Coal, Inc.

   

 

90,400

 

2,255

2

Brush Engineered Materials, Inc.

   

 

11,951

 

2,790

2

Buckeye Technologies, Inc.

   

 

14,787

 

4,351

 

Calgon Carbon Corp.

   

 

22,190

 

2,465

3

Cambrex Corp.

   

 

42,891

 

2,853

2

Caraustar Industries, Inc.

   

 

19,629

 

2,157

 

Carpenter Technology Corp.

   

 

28,170

 

700

2,3

Castle (A.M.) & Co.

   

 

3,234

 

698

 

Centex Construction Products, Inc.

   

 

26,978

 

1,670

2

Century Aluminium Co.

   

 

11,105

 

1,529

 

Chesapeake Corp.

   

 

27,461

 

1,020

2

Cleveland Cliffs, Inc.

   

 

18,360

 

2,606

 

Commercial Metals Corp.

   

 

40,289

 

12,654

 

Crompton Corp.

   

 

81,239

 

18,000

2

Crown Holdings, Inc.

   

 

95,400

 

4,433

2

Cytec Industries, Inc.

   

 

141,900

 

1,092

 

Deltic Timber Corp.

   

 

26,710

 

7,093

2,3

Earthshell Corp.

   

 

2,553

 

3,400

2

FMC Corp.

   

 

61,608

 

3,701

 

Ferro Corp.

   

 

87,492

 

2,396

 

Florida Rock Industries, Inc.

   

 

91,048

 

3,436

 

Fuller (H.B.) Co.

   

 

84,285

 

3,083

 

Georgia Gulf Corp.

   

 

69,676

 

1,179

 

Gibraltar Steel Corp.

   

 

20,397

 

1,057

 

Glatfelter (P.H.) Co.

   

 

12,103

 

7,200

2

Grace (W.R.) & Co.

   

 

18,864

 

6,318

2

GrafTech International Ltd.

   

 

25,398

 

2,600

2

Graphic Packaging International Corp.

   

 

13,078

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Materials--continued

   

 

 

 

4,100

3

Great Lakes Chemical Corp.

   

$

100,696

 

1,384

 

Greif Brothers Corp., Class A

   

 

28,303

 

10,100

2

Hecla Mining Co.

   

 

37,774

 

1,200

2

Imco Recycling, Inc.

   

 

8,280

 

1,200

2,3

Jarden Corp.

   

 

35,400

 

400

2,3

Liquidmetal Technologies

   

 

1,820

 

5,620

 

Longview Fibre Co.

   

 

42,881

 

11,716

2

Louisiana-Pacific Corp.

   

 

94,665

 

2,872

 

MacDermid, Inc.

   

 

65,281

 

7,000

 

Massey Energy Co.

   

 

73,010

 

1,200

2,3

Material Sciences Corp.

   

 

9,660

 

7,516

3

Millennium Chemicals, Inc.

   

 

104,548

 

2,263

3

Minerals Technologies, Inc.

   

 

100,138

 

2,027

 

Myers Industries, Inc.

   

 

20,351

 

922

3

NL Industries, Inc.

   

 

16,043

 

1,200

3

NN, Inc.

   

 

12,840

 

600

2

Northwest Pipe Co.

   

 

6,426

 

1,100

 

Octel Corp.

   

 

16,280

 

5,623

 

Olin Corp.

   

 

101,889

 

4,368

2

Omnova Solutions, Inc.

   

 

15,506

 

2,700

2

Oregon Steel Mills, Inc.

   

 

6,750

 

800

 

Penford Corp.

   

 

10,792

 

8,842

2

Polyone Corp.

   

 

40,850

 

2,088

 

Pope & Talbot, Inc.

   

 

27,750

 

3,427

3

Potlatch Corp.

   

 

81,734

 

800

 

Quaker Chemical Corp.

   

 

17,880

 

1,758

 

Quanex Corp.

   

 

50,560

 

2,277

2

RTI International Metals

   

 

22,998

 

1,100

 

Roanoke Electric Corp.

   

 

7,601

 

1,204

 

Rock-Tenn Co.

   

 

16,134

 

1,700

3

Royal Gold, Inc.

   

 

27,132

 

2,467

 

Ryerson Tull, Inc.

   

 

18,527

 

400

 

Schnitzer Steel Industries, Inc., Class A

   

 

11,476

 

3,659

3

Schulman (A.), Inc.

   

 

59,858

 

1,300

2

Silgan Holdings, Inc.

   

 

34,606

 

11,800

 

Solutia, Inc.

   

 

16,048

 

1,907

 

Southern Peru Copper Corp.

   

 

29,825

 

1,647

 

Spartech Corp.

   

 

35,658

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Materials--continued

   

 

 

 

3,856

2

Steel Dynamics, Inc.

   

$

46,658

 

630

 

Stepan, Co.

   

 

15,662

 

5,266

2

Stillwater Mining Co.

   

 

14,218

 

2,601

2,3

Symyx Technologies, Inc.

   

 

40,628

 

4,100

2

Terra Industries, Inc.

   

 

6,355

 

2,306

 

Texas Industries, Inc.

   

 

45,520

 

2,100

2

U.S. Concrete, Inc.

   

 

7,896

 

8,883

 

USEC, Inc.

   

 

49,745

 

2,740

 

Valhi, Inc.

   

 

31,373

 

3,995

 

Wausau-Mosinee Paper Corp.

   

 

42,507

 

8,037

 

Worthington Industries, Inc.

 

 

107,937

 

 

 

TOTAL

 

 

3,224,658

 

 

 

Telecommunication Services--1.2%

 

 

 

 

2,400

2,3

AT Road, Inc.

   

 

15,384

 

4,200

2

Aether Systems, Inc.

   

 

15,204

 

966

2,3

Alaska Communications Systems Holdings, Inc.

   

 

2,347

 

11,600

2,3

Allegiance Telecom, Inc.

   

 

2,970

 

18,200

2,3

American Tower Systems Corp.

   

 

120,848

 

1,600

2

Boston Communications Group, Inc.

   

 

28,944

 

21,600

2

BroadWing, Inc.

   

 

100,008

 

2,040

 

CT Communications, Inc.

   

 

20,237

 

827

2,3

Centennial Cellular Corp., Class A

   

 

1,580

 

1,202

2,3

Commonwealth Telephone Enterprises, Inc.

   

 

47,780

 

23,100

2

Crown Castle International Corp.

   

 

147,147

 

1,200

2

EMS Technologies, Inc.

   

 

14,580

 

4,576

2

General Communications, Inc., Class A

   

 

28,330

 

1,557

2

Golden Telecom, Inc.

   

 

26,407

 

1,514

 

Hickory Tech Corp.

   

 

14,428

 

2,285

2

ITXC Corp.

   

 

3,770

 

6,300

2

Infonet Services Corp., Class B

   

 

8,127

 

2,000

2,3

Metro One Telecommunications

   

 

12,940

 

7,500

2,3

Nextel Partners, Inc., Class A

   

 

43,575

 

1,629

 

North Pittsburgh Systems, Inc.

   

 

22,496

 

5,200

2,3

PTEK Holdings, Inc.

   

 

23,192

 

5,334

2

Price Communications Corp.

   

 

65,128

 

6,800

2,3

RCN Corp.

   

 

5,644

 

300

 

Shenandoah Telecommunications Co.

   

 

13,239

 

1,500

3

SureWest Communications

   

 

39,765

Shares

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Telecommunication Services--continued

 

 

 

 

2,766

2,3

TALK America Holdings, Inc.

   

$

24,313

 

5,000

2

Time Warner Telecom, Inc.

   

 

18,000

 

2,400

2,3

Triton PCS, Inc., Class A

   

 

6,840

 

10,500

2,3

US Unwired, Inc., Class A

   

 

1,575

 

8,700

2

UbiquiTel, Inc.

   

 

5,655

 

6,200

2

Western Wireless Corp., Class A

   

 

37,944

 

2,800

2,3

Wireless Facilities, Inc.

 

 

19,488

 

 

 

TOTAL

 

 

937,885

 

 

 

Utilities--3.8%

   

 

 

 

6,968

 

AGL Resources, Inc.

   

 

179,287

 

1,679

 

American States Water Co.

   

 

43,385

 

4,909

3

Atmos Energy Corp.

   

 

111,827

 

5,185

 

Avista Corp.

   

 

61,339

 

3,200

3

Black Hills Corp.

   

 

91,136

 

1,804

3

CH Energy Group, Inc.

   

 

75,858

 

1,627

 

California Water Service Group

   

 

44,498

 

1,252

 

Cascade Natural Gas Corp.

   

 

23,876

 

1,200

 

Central VT Public Service Corp.

   

 

21,228

 

4,680

3

Cleco Corp.

   

 

70,200

 

850

 

Connecticut Water Service, Inc.

   

 

21,675

 

8,700

3

DQE, Inc.

   

 

118,320

 

5,115

2,3

El Paso Electric Co.

   

 

58,004

 

2,461

 

Empire Distribution Electric Co.

   

 

48,432

 

4,268

 

Energen Corp.

   

 

139,990

 

400

 

EnergySouth, Inc.

   

 

10,756

 

2,097

 

Laclede Group, Inc.

   

 

50,538

 

1,642

 

MGE Energy, Inc.

   

 

47,436

 

850

 

Middlesex Water Co.

   

 

19,091

 

1,735

3

NUI Corp.

   

 

24,411

 

2,921

 

New Jersey Resources Corp.

   

 

100,044

 

2,796

 

Northwest Natural Gas Co.

   

 

72,221

 

5,000

3

Northwestern Corp.

   

 

12,100

 

7,058

3

ONEOK, Inc.

   

 

133,890

 

2,671

 

Otter Tail Power Co.

   

 

73,185

 

4,023

3

PNM Resources, Inc.

   

 

89,270

 

3,356

3

Piedmont Natural Gas, Inc.

   

 

125,380

 

194

 

SJW Corp.

   

 

16,393

 

2,007

3

Semco Energy, Inc.

   

 

10,998

Shares or
Principal
Amount

  

  

Value

 

 

 

COMMON STOCKS--continued1

   

 

 

 

 

 

Utilities--continued

   

 

 

 

11,466

2,3

Sierra Pacific Resources

   

$

42,310

 

1,382

3

South Jersey Industries, Inc.

   

 

48,342

 

4,452

 

Southern Union Co.

   

 

62,105

 

3,578

3

Southwest Gas Corp.

   

 

74,279

 

1,050

 

Southwest Water Co.

   

 

12,810

 

2,783

2

Southwestern Energy Co.

   

 

37,042

 

5,082

 

UGI Corp.

   

 

160,591

 

1,565

 

UIL Holdings Corp.

   

 

56,512

 

3,106

 

UniSource Energy Corp.

   

 

55,380

 

400

 

Unitil Corp.

   

 

9,608

 

5,825

 

WGL Holdings, Inc.

   

 

157,159

 

3,922

 

WPS Resources Corp.

   

 

158,057

 

6,700

3

Westar Energy, Inc.

 

 

94,202

 

 

 

TOTAL

 

 

2,863,165

 

 

 

TOTAL COMMON STOCKS (IDENTIFIED COST $64,077,331)

 

 

70,725,715

 

 

 

CORPORATE BONDS--0.0%

   

 

 

 

 

 

Industrials--0.0%

   

 

 

$

262

2

TIMCO Aviation Services, Sub. Note, 8.00%, 1/2/2007

 

 

1

 

 

 

Information Technology--0.0%

   

 

 

 

1,188

 

MicroStrategy, Inc., Unsecd. Note, Series A, 7.50%, 6/24/2007

 

 

942

 

 

 

TOTAL CORPORATE BONDS (IDENTIFIED COST $0)

 

 

943

Shares

  

  

Value

 

 

 

PREFERRED STOCKS--0.0%

   

 

 

 

 

 

Health Care--0.0%

   

 

 

 

76

2

Genesis Health Ventures, Inc., Pfd. (IDENTIFIED COST $28,732)

 

$

0

 

 

 

U.S. TREASURY--0.8%4

   

 

 

 

620,000

 

U.S. Treasury Bill, 7/17/2003 (IDENTIFIED COST $618,485)

 

 

618,562

 

 

 

MUTUAL FUNDS--30.1%

   

 

 

 

1,000

 

Gladstone Capital Corp.

   

 

18,320

 

4,930,810

 

Prime Value Obligations Fund, Class IS

   

 

4,930,810

 

17,933,742

 

Prime Value Obligations Fund, Class IS
(held as collateral for securities lending)

 

 

17,933,742

 

 

 

TOTAL MUTUAL FUNDS
(IDENTIFIED COST $22,882,602)

 

 

22,882,872

 

 

 

TOTAL INVESTMENTS--124.0%
(IDENTIFIED COST $87,607,150)5

 

 

94,228,092

 

 

 

OTHER ASSETS AND LIABILITIES -- NET--(24.0)%

 

 

(18,245,525)

 

 

 

TOTAL NET ASSETS--100%

 

$

75,982,567

1 The Fund purchases index futures contracts to efficiently manage cash flows resulting from shareholder purchases and redemptions, dividend and capital gain payments to shareholders and corporate actions while maintaining exposure to the Index and minimizing trading costs. The total market value of open index futures contracts is $4,983,125 at April 30, 2003, which represents 6.6% of net assets. Taking into consideration these open index futures contracts, the Fund's effective total exposure to the index is 99.6%.

2 Non-income producing security.

3 Certain shares are temporarily on loan to unaffiliated broker/dealers.

4 Represents a security held as collateral which is used to ensure the Fund is able to satisfy the obligations of its outstanding long futures contracts.

5 The cost of investments for federal tax purposes amounts to $87,607,150.

Note: The categories of investments are shown as a percentage of total net assets at April 30, 2003.

The following acronyms are used throughout this portfolio:

ADR

--American Depositary Receipt

REIT

--Real Estate Investment Trust

See Notes which are an integral part of the Financial Statements

Statement of Assets and Liabilities

April 30, 2003 (unaudited)

Assets:

  

   

   

  

   

   

   

Total investments in securities, at value including $17,119,118 of securities loaned (identified cost $87,607,150)

   

   

   

   

$

94,228,092

   

Cash

   

   

   

   

   

43,628

   

Income receivable

   

   

   

   

   

56,898

   

Receivable for investments sold

   

   

   

   

   

245,340

   

Receivable for shares sold

   

   

   

   

   

80,314

   

Receivable for daily variation margin

   

   

   

   

   

39,375

   

TOTAL ASSETS

   

   

   

   

   

94,693,647

   

Liabilities:

   

   

   

   

   

   

   

Payable for investments purchased

   

$

109,133

   

   

   

   

Payable for shares redeemed

   

   

623,187

   

   

   

   

Payable on collateral due to broker

   

   

17,933,742

   

   

   

   

Accrued expenses

   

   

45,018

   

   

   

   

TOTAL LIABILITIES

   

   

   

   

   

18,711,080

   

Net assets for 7,960,558 shares outstanding

   

   

   

   

$

75,982,567

   

Net Assets Consist of:

   

   

   

   

   

   

   

Paid in capital

   

   

   

   

$

87,820,464

   

Net unrealized appreciation of investments and futures contracts

   

   

   

   

   

6,868,929

   

Accumulated net realized loss on investments and futures contracts

   

   

   

   

   

(18,721,760

)

Undistributed net investment income

   

   

   

   

   

14,934

   

TOTAL NET ASSETS

   

   

   

   

$

75,982,567

   

Net Asset Value, Offering Price and Redemption Proceeds Per Share

   

   

   

   

   

   

   

Institutional Shares:

   

   

   

   

   

   

   

Net asset value, offering price and redemption proceeds per share ($69,935,699 ÷ 7,320,413 shares outstanding)

   

   

   

   

   

$9.55

   

Class C Shares:

   

   

   

   

   

   

   

Net asset value and offering price per share ($6,046,868 ÷ 640,145 shares outstanding)

   

   

   

   

   

$9.45

   

Offering price per share (100/99.00 of $9.45)1

   

   

   

   

   

$9.55

   

Redemption proceeds per share (99.00/100 of $9.45)1

   

   

   

   

   

$9.36

   

1 See "What Do Shares Cost?" in the Prospectus.

See Notes which are an integral part of the Financial Statements

Statement of Operations

Six Months Ended April 30, 2003 (unaudited)

Investment Income:

  

   

   

   

  

   

   

   

  

   

   

   

Dividends (net of foreign taxes withheld of $227)

   

   

   

   

   

   

   

   

   

$

503,426

   

Interest (including income on securities loaned of $12,187)

   

   

   

   

   

   

   

   

   

   

24,697

   

TOTAL INCOME

   

   

   

   

   

   

   

   

   

   

528,123

   

Expenses:

   

   

   

   

   

   

   

   

   

   

   

   

Management fee

   

   

   

   

   

$

170,745

   

   

   

   

   

Custodian fees

   

   

   

   

   

   

61,627

   

   

   

   

   

Transfer and dividend disbursing agent fees and expenses

   

   

   

   

   

   

45,186

   

   

   

   

   

Directors'/Trustees' fees

   

   

   

   

   

   

1,995

   

   

   

   

   

Auditing fees

   

   

   

   

   

   

7,019

   

   

   

   

   

Legal fees

   

   

   

   

   

   

2,062

   

   

   

   

   

Portfolio accounting fees

   

   

   

   

   

   

53,140

   

   

   

   

   

Distribution services fee--Class C Shares

   

   

   

   

   

   

20,831

   

   

   

   

   

Shareholder services fee--Institutional Shares

   

   

   

   

   

   

78,429

   

   

   

   

   

Shareholder services fee--Class C Shares

   

   

   

   

   

   

6,944

   

   

   

   

   

Share registration costs

   

   

   

   

   

   

17,984

   

   

   

   

   

Printing and postage

   

   

   

   

   

   

40,197

   

   

   

   

   

Insurance premiums

   

   

   

   

   

   

704

   

   

   

   

   

Miscellaneous

   

   

   

   

   

   

346

   

   

   

   

   

TOTAL EXPENSES

   

   

   

   

   

   

507,209

   

   

   

   

   

Waivers and Reimbursement:

   

   

   

   

   

   

   

   

   

   

   

   

Waiver of management fee

   

$

(129,298

)

   

   

   

   

   

   

   

   

Waiver of shareholder services fee--Institutional Shares

   

   

(40,783

)

   

   

   

   

   

   

   

   

Reimbursement of management fee

   

   

(267

)

   

   

   

   

   

   

   

   

TOTAL WAIVERS AND REIMBURSEMENT

   

   

   

   

   

   

(170,348

)

   

   

   

   

Net expenses

   

   

   

   

   

   

   

   

   

   

336,861

   

Net investment income

   

   

   

   

   

   

   

   

   

   

191,262

   

Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:

   

   

   

   

   

   

   

   

   

   

   

   

Net realized loss on investments

   

   

   

   

   

   

   

   

   

   

(2,176,429

)

Net realized gain on futures contracts

   

   

   

   

   

   

   

   

   

   

78,238

   

Net change in unrealized depreciation of investments and futures contracts

   

   

   

   

   

   

   

   

   

   

7,006,859

   

Net realized and unrealized gain on investments and futures contracts

   

   

   

   

   

   

   

   

   

   

4,908,668

   

Change in net assets resulting from operations

   

   

   

   

   

   

   

   

   

$

5,099,930

   

See Notes which are an integral part of the Financial Statements

Statement of Changes in Net Assets

 

   

  

Six Months
Ended
(unaudited)
4/30/2003

   

  

Year Ended
10/31/2002

   

Increase (Decrease) in Net Assets

   

   

   

   

   

   

   

   

Operations:

   

   

   

   

   

   

   

   

Net investment income

   

$

191,262

   

   

$

425,154

   

Net realized loss on investments and futures contracts

   

   

(2,098,191

)

   

   

(14,913,760

)

Net change in unrealized appreciation/depreciation of investments and futures contracts

   

   

7,006,859

   

   

   

1,675,269

   

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS

   

   

5,099,930

   

   

   

(12,813,337

)

Distributions to Shareholders:

   

   

   

   

   

   

   

   

Distributions from net investment income

   

   

   

   

   

   

   

   

Institutional Shares

   

   

(209,554

)

   

   

(421,312

)

Share Transactions:

   

   

   

   

   

   

   

   

Proceeds from sale of shares

   

   

19,949,199

   

   

   

92,151,376

   

Net asset value of shares issued to shareholders in payment of distributions declared

   

   

160,175

   

   

   

348,540

   

Cost of shares redeemed

   

   

(15,814,600

)

   

   

(100,236,188

)

CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS

   

   

4,294,774

   

   

   

(7,736,272

)

Change in net assets

   

   

9,185,150

   

   

   

(20,970,921

)

Net Assets:

   

   

   

   

   

   

   

   

Beginning of period

   

   

66,797,417

   

   

   

87,768,338

   

End of period (including undistributed net investment income of $14,934 and $33,226, respectively)

   

$

75,982,567

   

   

$

66,797,417

   

See Notes which are an integral part of the Financial Statements

Notes to Financial Statements

April 30, 2003 (unaudited)

ORGANIZATION

Federated Index Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end, management investment company. The Trust consists of three portfolios. The financial statements included herein are only those of Federated Mini-Cap Index Fund (the "Fund"), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. The Fund offers two classes of shares: Institutional Shares and Class C Shares. The investment objective of the Fund is to provide investment results that generally correspond to the aggregate price and dividend performance of the approximately 2,000 publicly traded common stocks that are ranked in terms of capitalization below the top 1,000 stocks that comprise the large and mid-range capitalization sector of the United States equity market. This group of stocks is known as the Russell 2000® Index.

SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles ("GAAP").

Investment Valuation

Listed equity securities are valued at the last sale price reported on a national securities exchange. Short-term securities are valued at the prices provided by an independent pricing service. However, short-term securities with remaining maturities of 60 days or less at the time of purchase may be valued at amortized cost, which approximates fair market value. Investments in other open-end regulated investment companies are valued at net asset value. Securities for which no quotations are readily available are valued at fair value as determined in good faith using methods approved by the Board of Trustees (the "Trustees").

Repurchase Agreements

It is the policy of the Fund to require the custodian bank to take possession, to have legally segregated in the Federal Reserve Book Entry System, or to have segregated within the custodian bank's vault, all securities held as collateral under repurchase agreement transactions. Additionally, procedures have been established by the Fund to monitor, on a daily basis, the market value of each repurchase agreement's collateral to ensure that the value of collateral at least equals the repurchase price to be paid under the repurchase agreement.

The Fund will only enter into repurchase agreements with banks and other recognized financial institutions, such as broker/dealers, which are deemed by the Fund's manager to be creditworthy pursuant to the guidelines and/or standards reviewed or established by the Trustees. Risks may arise from the potential inability of counterparties to honor the terms of the repurchase agreement. Accordingly, the Fund could receive less than the repurchase price on the sale of collateral securities. The Fund, along with other affiliated investment companies, may utilize a joint trading account for the purpose of entering into one or more repurchase agreements.

Investment Income, Expenses and Distributions

Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair value. The Fund offers multiple classes of shares, which differ in their respective distribution and service fees. All shareholders bear the common expenses of the Fund based on average daily net assets of each class, without distinction between share classes. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in separate class expenses.

Premium and Discount Amortization

All premiums and discounts on fixed income securities are amortized/accreted for financial statement purposes.

Federal Taxes

It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (the "Code") and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal tax is necessary.

When-Issued and Delayed Delivery Transactions

The Fund may engage in when-issued or delayed delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

Futures Contracts

The Fund purchases stock index futures contracts to manage cashflows, enhance yield, and to potentially reduce transaction costs. Upon entering into a stock index futures contract with a broker, the Fund is required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a "variation margin" account. Daily, the Fund receives from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Fund recognizes a realized gain or loss. For the six months ended April 30, 2003, the Fund had realized gain on future contracts of $78,238. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities.

At April 30, 2003, the Fund had outstanding futures contracts as set forth below:

Expiration Date

  

Contracts to Receive

  

Position

  

Unrealized
Appreciation

June 2003

 

25 Russell 2000 Index Futures

 

Long

 

247,987

Securities Lending

The Fund participates in a securities lending program providing for the lending of corporate bonds, equity and government securities to qualified brokers. Collateral for securities loaned is invested in an affiliated money market fund. Collateral is maintained at a minimum level of 102% of the market value on investments loaned, plus interest, if applicable. Earnings on collateral are allocated between the custodian securities lending agent, as a fee for its services under the program, and the Fund, according to agreed-upon rates.

As of April 30, 2003, securities subject to this type of arrangement and related collateral were as follows:

Market Value of
Securities Loaned

  

Market Value
of Collateral

$17,119,118

 

$17,933,742

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ from those estimated.

Other

Investment transactions are accounted for on a trade date basis.

SHARES OF BENEFICIAL INTEREST

The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value) for each class of shares.

Transactions in shares were as follows:

  

Six Months Ended
4/30/2003

  

Year Ended
10/31/2002

Institutional Shares:

  

Shares

  

Amount

  

Shares

  

Amount

Shares sold

   

2,106,148

   

   

$

18,932,576

   

   

8,039,749

   

   

$

89,498,691

   

Shares issued to shareholders in payment of distributions declared

   

17,732

   

   

   

160,175

   

   

32,037

   

   

   

348,540

   

Shares redeemed

   

(1,675,424

)

   

   

(15,182,965

)

   

(9,238,628

)

   

   

(98,304,575

)

NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS

   

448,456

   

   

$

3,909,786

   

   

(1,166,842

)

   

$

(8,457,344

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

Six Months Ended
4/30/2003

  

Year Ended
10/31/2002

Class C Shares:

Shares

Amount

Shares

Amount

Shares sold

   

112,155

   

   

$

1,016,623

   

   

243,443

   

   

$

2,652,685

   

Shares redeemed

   

(71,346

)

   

   

(631,635

)

   

(172,345

)

   

   

(1,931,613

)

NET CHANGE RESULTING FROM CLASS C SHARE TRANSACTIONS

   

40,809

   

   

$

384,988

   

   

71,098

   

   

$

721,072

   

NET CHANGE RESULTING FROM SHARE TRANSACTIONS

   

489,265

   

   

$

4,294,774

   

   

(1,095,744

)

   

$

(7,736,272

)

FEDERAL TAX INFORMATION

At April 30, 2003, the cost of investments for federal tax purposes was $87,607,150. The net unrealized appreciation of investments for federal tax purposes was $6,620,942. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $21,483,922 and net unrealized depreciation from investments for those securities having an excess of cost over value of $14,862,980.

At October 31, 2002, the Fund had a capital loss carryforward of $10,219,136 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal tax. Pursuant to the Code, such capital loss carryforward will expire as follows:

 

Expiration Year

  

Expiration Amount

2009

 

$1,591,631

2010

 

$  8,627,505

MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES

Management Fee

Federated Investment Management Company, the Fund's manager (the "Manager"), receives for its services an annual investment management fee equal to 0.50% of the Fund's average daily net assets. The Manager may voluntarily choose to waive any portion of its fee. The Manager can modify or terminate this voluntary waiver at any time at its sole discretion. Under the terms of a sub-management agreement between the Manager and Fund Asset Management L.P., doing business as Mercury Advisors, an indirect, wholly owned subsidiary of Merrill Lynch & Co., Inc. (the "Sub-Manager"), the Sub-Manager receives an annual fee from the Manager equal to 0.030% of the Fund's average daily net assets.

Prior to March 27, 2003, the sub-manager was Deutsche Asset Management, Inc.

Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund may invest in Prime Value Obligations Fund, which is managed by the Fund's Manager. The Manager has agreed to reimburse certain investment adviser fees as a result of these transactions.

Distribution Services Fee

The Fund has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. Under the terms of the Plan, the Fund will compensate Federated Securities Corp. ("FSC"), the principal distributor, from the net assets of the Fund to finance activities intended to result in the sale of the Fund's Class C Shares. The Plan provides that the Fund may incur distribution expenses up to 0.75% of the average daily net assets of Class C Shares annually, to compensate FSC.

Shareholder Services Fee

Under the terms of a Shareholder Services Agreement with Federated Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25% of average daily net assets of the Fund for the period. The fee paid to FSSC is used to finance certain services for shareholders and to maintain shareholder accounts. FSSC may voluntarily choose to waive any portion of its fee. FSSC can modify or terminate this voluntary waiver at any time at its sole discretion.

Transfer and Dividend Disbursing Agent Fees and Expenses

Federated Services Company ("FServ"), through its subsidiary FSSC, serves as transfer and dividend disbursing agent for the Fund. The fee paid to FSSC is based on the size, type and number of accounts and transactions made by shareholders.

Portfolio Accounting Fees

FServ maintains the Fund's accounting records for which it receives a fee. The fee is based on the level of the Fund's average daily net assets for the period, plus out-of-pocket expenses.

General

Certain of the Officers and Trustees of the Trust are Officers and Directors or Trustees of the above companies.

INVESTMENT TRANSACTIONS

Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations (and in-kind contributions), for the six months ended April 30, 2003, were as follows:

Purchases

  

$

4,206,949

Sales

  

$

3,106,781

Mutual funds are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.

This report is authorized for distribution to prospective investors only when preceded or accompanied by the fund's prospectus, which contains facts concerning its objective and policies, management fees, expenses and other information.

IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY

In an effort to reduce costs and avoid duplicate mailings, the Fund(s) intend to deliver a single copy of certain documents to each household in which more than one shareholder of the Fund(s) resides (so-called "householding"), as permitted by applicable rules. The Fund's "householding" program covers its/their Prospectus and Statement of Additional Information, and supplements to each, as well as Semi-Annual and Annual Reports and any Proxies or information statements. Shareholders must give their written consent to participate in the householding program. The Fund is also permitted to treat a shareholder as having given consent ("implied consent") if (i) shareholders with the same last name, or believed to be members of the same family, reside at the same street address or receive mail at the same post office box, (ii) the Fund gives notice of its intent to "household" at least sixty (60) days before it begins "householding" and (iii) none of the shareholders in the household have notified the Fund(s) or their agent of the desire to "opt out" of householding. Shareholders who have granted written consent, or have been deemed to have granted implied consent, can revoke that consent and opt out of householding at any time by calling 1-800-341-7400.

Federated Investors
World-Class Investment Manager

Federated Mini-Cap Index Fund
Federated Investors Funds
5800 Corporate Drive
Pittsburgh, PA 15237-7000
www.federatedinvestors.com

Contact us at 1-800-341-7400 or
www.federatedinvestors.com/contact

Federated Securities Corp., Distributor

Cusip 31420E304
Cusip 31420E601

Federated is a registered mark of Federated Investors, Inc. 2003 ©Federated Investors, Inc.

3052012 (6/03)

 

Item 2.     Code of Ethics

            Not Applicable

Item 3.     Audit Committee Financial Expert

            Not Applicable

Item 4.     Principal Accountant Fees and Services

            Not Applicable

Items 5-6   [Reserved]

Item 7.     Disclosure of Proxy Voting Policies and Procedures for Closed-End
            Management Investment Companies

            Not Applicable

Item 8.     [Reserved]

Item 9.     Controls and Procedures

(a)  The   registrant's   President  and  Treasurer   have  concluded  that  the
     registrant's  disclosure  controls and procedures (as defined in rule 30a-2
     under the  Investment  Company Act of 1940 (the  "Act")) are  effective  in
     design  and  operation  and  are  sufficient  to  form  the  basis  of  the
     certifications  required  by Rule  30a-2  under  the  Act,  based  on their
     evaluation of these  disclosure  controls and procedures  within 90 days of
     the filing date of this report on Form N-CSR.

(b)  There were no significant changes in the registrant's internal controls, or
     the internal  controls of its service  providers,  or in other factors that
     could  significantly  affect these controls subsequent to the date of their
     evaluation,  including any  corrective  actions with regard to  significant
     deficiencies and material weaknesses.

Item 10.    Exhibits




SIGNATURES

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.

Registrant  Federated Index Trust

By          /S/ Richard J. Thomas, Principal Financial Officer
Date        June 24, 2003

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.


By          /S/ J. Christopher Donahue, Principal Executive Officer


Date        June 25, 2003


By          /S/ Richard J. Thomas, Principal Financial Officer


Date        June 24, 2003